Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q2 2023 Earnings Conference Call August 3, 2023 5:00 PM ET

Company Participants

Garrett Edson - Investor Relations

Jay Lown - President and Chief Executive Officer

Julian Evans - Chief Investment Officer

Michael Hutchby - Chief Financial Officer

Conference Call Participants

Mikhail Goberman - JMP Securities

Matthew Howlett - B.Riley

Operator

Ladies and gentlemen, thank you for standing by. Welcome to the Cherry Hill Mortgage Investment Corporation Second Quarter 2023 Earnings Call. [Operator Instructions] Please be advised that today’s conference is being recorded. I would now like to hand the conference over to your speaker today, Garrett Edson. Please go ahead.

Garrett Edson

We would like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation’s second quarter 2023 conference call. In addition to this call, we have filed a press release that was distributed earlier this afternoon posted to the Investor Relations section of our website at www.chmireit.com.

On today’s call, management’s prepared remarks and answers to your questions may contain forward-looking statements that are subject to risks and uncertainties that could cause actual results to differ from those discussed today. Examples of forward-looking statements include those related to interest income, financial guidance, IRRs, future expected cash flows as well as prepayment and recapture rates, delinquencies and non-GAAP financial measures such as earnings available for distribution, or EAD and comprehensive income.

Forward-looking statements represent management’s current estimates and Cherry Hill assumes no obligation to update any forward-looking statements in the future. We encourage listeners to review the more detailed discussions related to these forward-looking statements contained in the company’s filings with the SEC and the definitions contained in the financial presentations available on the company’s website.

Today’s conference call is hosted by Jay Lown, President and CEO; Julian Evans, Chief Investment Officer; and Michael Hutchby, the Chief Financial Officer.

Now I will turn the call over to Jay.

Jay Lown

Thanks, Garrett and welcome to our second quarter 2023 earnings call. Markets in the second quarter were again largely driven by the Fed and economic data as regional bank pressures eased and markets absorb the MBS asset sales from the FDIC. At a macro level, while rates ended the quarter higher at 3.84%, the U.S 10-year treasury fell as low as 3.3% early in the quarter and the banking crisis was still top of mind. Spreads tightened slightly toward the end of the quarter, creating some tailwinds for agency MBS investors and the worst case scenario of a significant recession seemed to wane.