UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2023

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from ________to ________

Commission file number 001-36099

CHERRY HILL MORTGAGE INVESTMENT CORPORATION

(Exact name of registrant as specified in its charter)

Maryland	46-1315605
(State or Other Jurisdiction of Incorporation or Organization)	(I.R.S. Employer Identification No.)

1451 Route 34, Suite 303
Farmingdale, New Jersey	07727
(Address of Principal Executive Offices)	(Zip Code)

(877) 870 – 7005

(Registrant’s Telephone Number, Including Area Code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Stock, $0.01 par value per share	CHMI	New York Stock Exchange
8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value per share	CHMI-PRA	New York Stock Exchange
8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share	CHMI-PRB	New York Stock Exchange

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes  ☒   No  ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes  ☒  No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☐	Accelerated filer	☐
Non-accelerated filer	☒	Smaller reporting company	☒
Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.          ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐   No  ☒

If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to § 240.10D-1(b). ☐

As of August 7, 2023, there were 26,978,077 outstanding shares of common stock, $0.01 par value per share, of Cherry Hill Mortgage Investment Corporation.

CHERRY HILL MORTGAGE INVESTMENT CORPORATION

TABLE OF CONTENTS

		Page
FORWARD-LOOKING INFORMATION		5
PART I.	FINANCIAL INFORMATION	7
Item 1.	Consolidated Financial Statements	7
	Consolidated Balance Sheets	7
	Consolidated Statements of Income (Loss)	8
	Consolidated Statements of Comprehensive Income (Loss)	9
	Consolidated Statements of Changes in Stockholders’ Equity	10
	Consolidated Statements of Cash Flows	11
	Notes to Consolidated Financial Statements	12
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	47
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	73
Item 4.	Controls and Procedures	77
PART II.	OTHER INFORMATION	77
Item 1.	Legal Proceedings	77
Item 1A.	Risk Factors	77
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	77
Item 3.	Defaults Upon Senior Securities	77
Item 4.	Mine Safety Disclosures	77
Item 5.	Other Information	77
Item 6.	Exhibits	78

GLOSSARY

This glossary defines some, but not all, of the terms that we use elsewhere in this Quarterly Report on Form 10-Q. In this Quarterly Report on Form 10-Q, unless specifically stated otherwise or the context otherwise indicates, references to “we”, “us”, “our”, the “Company” or “CHMI” refer to Cherry Hill Mortgage Investment Corporation, a Maryland corporation, together with its consolidated subsidiaries; references to the “Manager” refer to Cherry Hill Mortgage Management, LLC, a Delaware limited liability company; and references to the “Operating Partnership” refer to Cherry Hill Operating Partnership, LP, a Delaware limited partnership.

“Agency” means a U.S. Government agency, such as Ginnie Mae, or a GSE.

 “Agency RMBS” means RMBS issued by an Agency or for which an Agency guarantees payments of principal and interest on the securities.

 “ASC” means an Accounting Standards Codification.

 “ASU” means the Accounting Standards Update issued by the FASB.

 “ARM” means an adjustable-rate residential mortgage loan.

 “CFTC” means the U.S. Commodity Futures Trading Commission.

 “CMO” means a collateralized mortgage obligation. CMOs are either loss share securities issued by a GSE or structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles.

 “Code” means the Internal Revenue Code of 1986, as amended.

 “credit enhancement” means techniques to improve the credit ratings of securities, including overcollateralization, creating retained spread, creating subordinated tranches and insurance.

 “Excess MSR” means an interest in an MSR, representing a portion of the interest payment collected from a pool of mortgage loans, net of a basic servicing fee paid to the mortgage servicer.

 “FASB” means the Financial Accounting Standards Board.

 “Fannie Mae” means the Federal National Mortgage Association.

 “Freddie Mac” means the Federal Home Loan Mortgage Corporation.

 “GAAP” means U.S. generally accepted accounting principles.

 “Ginnie Mae” means the Government National Mortgage Association, a wholly-owned corporate instrumentality of the United States of America within the U.S. Department of Housing and Urban Development.

 “GSE” means a government-sponsored enterprise. When we refer to GSEs, we mean Fannie Mae or Freddie Mac.

“hybrid ARM” means a residential mortgage loan that has an interest rate that is fixed for a specified period of time (typically three, five, seven or ten years) and thereafter adjusts to an increment over a specified interest rate index.

3

“inverse IO” means an inverse interest-only security, which is a type of stripped security. These debt securities receive no principal payments and have a coupon rate which has an inverse relationship to its reference index.

 “IO” means an interest-only security, which is a type of stripped security. IO strips receive a specified portion of the interest on the underlying assets.

 “MBS” means mortgage-backed securities.

 “MSR” means a mortgage servicing right. An MSR provides a mortgage servicer with the right to service a mortgage loan or a pool of mortgages in exchange for a portion of the interest payments made on the mortgage or the underlying mortgages. An MSR is made up of two components: a basic servicing fee and an Excess MSR. The basic servicing fee is the amount of compensation for the performance of servicing duties.

 “mortgage loan” means a loan secured by real estate together with the right to receive the payment of principal and interest on the loan (including the servicing fee).

 “non-Agency RMBS” means CMOs that either are loss share securities issued by a GSE or are not issued or guaranteed by an Agency, including investment grade (AAA through BBB rated) and non-investment grade (BB rated through unrated) classes.

 “REIT” means a real estate investment trust under the Code.

 “residential mortgage pass-through certificate” is a MBS that represents an interest in a “pool” of mortgage loans secured by residential real property where payments of both interest and principal (including principal prepayments) on the underlying residential mortgage loans are made monthly to holders of the security, in effect “passing through” monthly payments made by the individual borrowers on the mortgage loans that underlie the security, net of fees paid to the issuer/guarantor and servicer.

 “RMBS” means a residential Agency RMBS or a non-Agency RMBS.

 “Servicing Related Assets” means Excess MSRs and MSRs.

 “SIFMA” means the Securities Industry and Financial Markets Association.

 “stripped security” is an RMBS structured with two or more classes that receives different distributions of principal or interest on a pool of RMBS. Stripped securities include IOs and inverse IOs.

 “TBA” means a forward-settling Agency RMBS where the pool is “to-be-announced.” In a TBA, a buyer will agree to purchase, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date.

 “TRS” means a taxable REIT subsidiary.

 “UPB” means unpaid principal balance.

 “U.S. Treasury” means the U.S. Department of Treasury.

4

CAUTIONARY STATEMENT CONCERNING FORWARD-LOOKING INFORMATION

Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”, “we”, “our” or “us”) makes forward-looking statements in this Quarterly Report on Form 10-Q within the meaning of the Private Securities Litigation Reform Act of 1995 (as set forth in Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such Sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company’s control. These forward-looking statements include information about possible or assumed future results of the Company’s business, financial condition, liquidity, results of operations, plans and objectives. When the Company uses the words “believe”, “expect”, “anticipate”, “estimate”, “plan”, “continue”, “intend”, “should”, “could”, “would”, “may”, “potential” or the negative of these terms or other comparable terminology, the Company intends to identify forward-looking statements. Forward-looking statements involve numerous risks and uncertainties. Our actual results may differ materially from our beliefs, expectations, estimates and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events. Statements regarding the following subjects, among others, may be forward-looking:

• the Company’s investment objectives and business strategy;

• the Company’s ability to raise capital through the sale of its equity and debt securities and to invest the net proceeds of any such offering in the target assets, if any, identified at the time of the offering;

• the Company’s ability to obtain future financing arrangements and refinance existing financing arrangements as they mature;

• the Company’s expected leverage;

• the Company’s expected investments and the timing thereof;

• the Company’s ability to acquire Servicing Related Assets and mortgage and real estate-related securities;

• estimates and statements relating to, and the Company’s ability to make, future distributions to holders of the Company’s securities;

• the Company’s ability to compete in the marketplace;

• market, industry and economic trends;

• recent market developments and actions taken and to be taken by the U.S. Government, the U.S. Treasury and the Board of Governors of the Federal Reserve System (“Federal Reserve”), Fannie Mae, Freddie Mac, Ginnie Mae and the U.S. Securities and Exchange Commission (“SEC”);

• mortgage loan modification programs and future legislative actions;

• the Federal Reserve’s potential changes in interest rates;

• the Company’s ability to qualify and maintain qualification as a REIT under the Code and limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code;

• the Company’s ability to maintain an exception from the definitions of “investment company” under the Investment Company Act of 1940, as amended (the “Investment Company Act”), or otherwise not fall within those definitions;

• projected capital and operating expenditures;

• availability of qualified personnel; and

• projected prepayment and/or default rates.

5

The Company’s beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to it or are within its control. If any such change occurs, the Company’s business, financial condition, liquidity and results of operations may vary materially from those expressed in, or implied by, the Company’s forward-looking statements. Important factors, among others, that may cause the Company’s actual results, performance, liquidity or achievements to differ materially from those expressed or implied by the Company’s forward-looking statements include:

• the factors discussed under “Part I, Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q and “Part I, Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022;

• general volatility of the capital markets;

• accelerating inflationary trends, spurred by multiple factors including high commodity prices, a tight labor market, and low residential vacancy rates, may result further in interest rate increases and lead to increased market volatility;

• changes in the Company’s investment objectives and business strategy;

• availability, terms and deployment of capital;

• availability of suitable investment opportunities;

• the Company’s ability to operate its licensed mortgage servicing subsidiary and oversee the activities of such subsidiary;

• the Company’s ability to manage various operational and regulatory risks associated with its business;

• the Company’s dependence on its external Manager, Cherry Hill Mortgage Management, LLC, and the Company’s ability to find a suitable replacement if the Company or the Manager were to terminate the management agreement the Company has entered into with the Manager;

• changes in the Company’s assets, interest rates or the general economy;

• increased rates of default and/or decreased recovery rates on the Company’s investments, including as a result of the effects of more severe weather and changes in traditional weather patterns;

• the ultimate geographic spread, severity and duration of pandemics, such as the outbreak of the COVID-19 pandemic and the emergence of new variants of the virus, actions that may be taken by governmental authorities to contain or address the impact of such pandemics, and the potential negative impacts of such pandemics on the U.S. and global economy generally and the U.S. residential mortgage market and our financial condition and results of operations specifically;

• changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;

• limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code and the Company’s exception from the definitions of “investment company” under the Investment Company Act (or of otherwise not falling within those definitions);

• the degree and nature of the Company’s competition, including competition for the residential mortgage assets in which the Company invests; and

• other risks associated with acquiring, investing in and managing residential mortgage assets.

Although the Company believes that the expectations reflected in the forward-looking statements are reasonable, it cannot guarantee future results, levels of activity, performance or achievements. These forward-looking statements apply only as of the date of this Quarterly Report on Form 10-Q. Except as otherwise may be required by law, the Company undertakes no obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

6

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Balance Sheets

(in thousands — except share and par value data)

	(unaudited)
	June 30, 2023			December 31, 2022
Assets
RMBS, at fair value (including pledged assets of $1,014,269 and $815,171, respectively)	$	1,054,251		$	931,431
Investments in Servicing Related Assets, at fair value (including pledged assets of $264,906 and $279,739, respectively)		264,906			279,739
Cash and cash equivalents		53,021			57,320
Restricted cash		7,889			8,234
Derivative assets		26,504			45,533
Receivables from unsettled trades		-			49,803
Receivables and other assets		34,942			36,765
Total Assets	$	1,441,513		$	1,408,825
Liabilities and Stockholders’ Equity
Liabilities
Repurchase agreements	$	979,907		$	825,962
Derivative liabilities		7,472			24,718
Notes payable		174,968			183,888
Dividends payable		6,188			8,483
Due to manager		1,863			1,870
Payables for unsettled trades		-			78,881
Accrued expenses and other liabilities		8,546			19,507
Total Liabilities	$	1,178,944		$	1,143,309
Stockholders’ Equity
Series A Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of June 30, 2023 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 2022, liquidation preference of $69,541 as of June 30, 2023 and liquidation preference of $69,541 as of December 31, 2022	$	67,311		$	67,311
Series B Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of June 30, 2023 and 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of December 31, 2022, liquidation preference of $50,000 as of June 30, 2023 and liquidation preference of $50,000 as of December 31, 2022		48,068			48,068
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 26,978,077 shares issued and outstanding as of June 30, 2023 and 500,000,000 shares authorized and 23,508,130 shares issued and outstanding as of December 31, 2022		274			239
Additional paid-in capital		363,612			344,510
Accumulated Deficit		(202,243	)		(168,989	)
Accumulated other comprehensive loss		(17,587	)		(29,104	)
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity	$	259,435		$	262,035
Non-controlling interests in Operating Partnership		3,134			3,481
Total Stockholders’ Equity	$	262,569		$	265,516
Total Liabilities and Stockholders’ Equity	$	1,441,513		$	1,408,825

See accompanying notes to consolidated financial statements.

7

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Income (Loss)

(Unaudited)

(in thousands — except share and per share data)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Income
Interest income	$	12,534		$	6,004		$	24,329		$	11,523
Interest expense		13,168			2,502			25,123			4,142
Net interest income (expense)		(634	)		3,502			(794	)		7,381
Servicing fee income		13,436			13,188			27,310			26,304
Servicing costs		2,464			2,615			5,229			5,808
Net servicing income		10,972			10,573			22,081			20,496
Other income (loss)
Realized loss on RMBS, net		(10,274	)		(46,036	)		(11,255	)		(59,258	)
Realized gain (loss) on derivatives, net		11,640			(2,730	)		6,040			(13,368	)
Realized gain on acquired assets, net		-			-			-			12
Unrealized loss on RMBS, measured at fair value through earnings, net		(6,619	)		-			(6,811	)		-
Unrealized gain (loss) on derivatives, net		6,827			17,613			(5,419	)		42,069
Unrealized gain (loss) on investments in Servicing Related Assets		(6,010	)		6,150			(14,678	)		27,881
Total Income (Loss)		5,902			(10,928	)		(10,836	)		25,213
Expenses
General and administrative expense		1,995			1,499			3,518			3,243
Management fee to affiliate		1,694			1,614			3,374			3,407
Total Expenses		3,689			3,113			6,892			6,650
Income (Loss) Before Income Taxes		2,213			(14,041	)		(17,728	)		18,563
Provision for (Benefit from) corporate business taxes		587			1,423			(32	)		5,298
Net Income (Loss)		1,626			(15,464	)		(17,696	)		13,265
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(37	)		347			340			(286	)
Dividends on preferred stock		2,465			2,465			4,928			4,928
Net Income (Loss) Applicable to Common Stockholders	$	(876	)	$	(17,582	)	$	(22,284	)	$	8,051
Net Income (Loss) Per Share of Common Stock
Basic	$	(0.03	)	$	(0.93	)	$	(0.88	)	$	0.43
Diluted	$	(0.03	)	$	(0.92	)	$	(0.88	)	$	0.43
Weighted Average Number of Shares of Common Stock Outstanding
Basic		26,014,830			19,007,390			25,342,562			18,632,042
Diluted		26,034,399			19,029,493			25,363,547			18,653,206

See accompanying notes to consolidated financial statements.

8

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Comprehensive Income (Loss)

(Unaudited)

(in thousands)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Net income (loss)	$	1,626		$	(15,464	)	$	(17,696	)	$	13,265
Other comprehensive income (loss):
Unrealized gain (loss) on RMBS, available-for-sale, net		(3,122	)		12,841			11,517			(31,694	)
Net other comprehensive income (loss)		(3,122	)		12,841			11,517			(31,694	)
Comprehensive loss	$	(1,496	)	$	(2,623	)	$	(6,179	)	$	(18,429	)
Comprehensive loss attributable to noncontrolling interests in Operating Partnership		(27	)		(49	)		(119	)		(398	)
Dividends on preferred stock		2,465			2,465			4,928			4,928
Comprehensive loss attributable to common stockholders	$	(3,934	)	$	(5,039	)	$	(10,988	)	$	(22,959	)

See accompanying notes to consolidated financial statements.

9

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Changes in Stockholders’ Equity

(Unaudited)

(in thousands — except share and per share data)

	Common Stock Shares		Common Stock Amount		Preferred Stock Shares		Preferred Stock Amount		Additional Paid-in Capital		Accumulated Other Comprehensive Income (Loss)			Retained Earnings (Deficit)			Non- Controlling Interest in Operating Partnership			Total Stockholders’ Equity
Balance, December 31, 2021		18,261,848	$	187		4,781,635	$	115,379	$	311,255	$	7,527		$	(158,483	)	$	2,951		$	278,816
Issuance of common stock		505,000		5		-		-		4,099		-			-			-			4,104
Net Income before dividends on preferred stock		-		-		-		-		-		-			28,096			633			28,729
Other Comprehensive Loss		-		-		-		-		-		(44,535	)		-			-			(44,535	)
LTIP-OP Unit awards		-		-		-		-		-		-			-			173			173
Distribution paid on LTIP-OP Units		-		-		-		-		-		-			-			(91	)		(91	)
Common dividends declared, $0.27 per share		-		-		-		-		-		-			(5,082	)		-			(5,082	)
Preferred Series A dividends declared, $0.5125 per share		-		-		-		-		-		-			(1,432	)		-			(1,432	)
Preferred Series B dividends declared, $0.5156 per share		-		-		-		-		-		-			(1,031	)		-			(1,031	)
Balance, March 31, 2022		18,766,848	$	192		4,781,635	$	115,379	$	315,354	$	(37,008	)	$	(137,932	)	$	3,666		$	259,651
Issuance of common stock		881,097		9		-		-		5,804		-			-			-			5,813
Net Loss before dividends on preferred stock		-		-		-		-		-		-			(15,117	)		(347	)		(15,464	)
Other Comprehensive Income		-		-		-		-		-		12,841			-			-			12,841
LTIP-OP Unit awards		-		-		-		-		-		-			-			105			105
Distribution paid on LTIP-OP Units		-		-		-		-		-		-			-			(109	)		(109	)
Common dividends declared, $0.27 per share		-		-		-		-		-		-			(5,290	)		-			(5,290	)
Preferred Series A dividends declared, $0.5125 per share		-		-		-		-		-		-			(1,432	)		-			(1,432	)
Preferred Series B dividends declared, $0.5156 per share		-		-		-		-		-		-			(1,031	)		-			(1,031	)
Balance, June 30, 2022		19,647,945	$	201		4,781,635	$	115,379	$	321,158	$	(24,167	)	$	(160,802	)	$	3,315		$	255,084
Balance, December 31, 2022		23,508,130	$	239		4,781,635	$	115,379	$	344,510	$	(29,104	)	$	(168,989	)	$	3,481		$	265,516
Issuance of common stock		2,140,000		22		-		-		12,672		-			-			-			12,694
Net Loss before dividends on preferred stock		-		-		-		-		-		-			(18,945	)		(377	)		(19,322	)
Other Comprehensive Income		-		-		-		-		-		14,639			-			-			14,639
LTIP-OP Unit awards		-		-		-		-		-		-			-			117			117
Distribution paid on LTIP-OP Units		-		-		-		-		-		-			-			(109	)		(109	)
Common dividends declared, $0.27 per share		-		-		-		-		-		-			(6,927	)		-			(6,927	)
Preferred Series A dividends declared, $0.5125 per share		-		-		-		-		-		-			(1,432	)		-			(1,432	)
Preferred Series B dividends declared, $0.5156 per share		-		-		-		-		-		-			(1,031	)		-			(1,031	)
Balance, March 31, 2023		25,648,130	$	261		4,781,635	$	115,379	$	357,182	$	(14,465	)	$	(197,324	)	$	3,112		$	264,145
Issuance of common stock		1,329,947		13		-		-		6,430		-			-			-			6,443
Net Income before dividends on preferred stock		-		-		-		-		-		-			1,589			37			1,626
Other Comprehensive Loss		-		-		-		-		-		(3,122	)		-			-			(3,122	)
LTIP-OP Unit awards		-		-		-		-		-		-			-			117			117
Distribution paid on LTIP-OP Units		-		-		-		-		-		-			-			(132	)		(132	)
Common dividends declared, $0.15 per share		-		-		-		-		-		-			(4,045	)		-			(4,045	)
Preferred Series A dividends declared, $0.5125 per share		-		-		-		-		-		-			(1,432	)		-			(1,432	)
Preferred Series B dividends declared, $0.5156 per share		-		-		-		-		-		-			(1,031	)		-			(1,031	)
Balance, June 30, 2023		26,978,077	$	274		4,781,635	$	115,379	$	363,612	$	(17,587	)	$	(202,243	)	$	3,134		$	262,569

See accompanying notes to consolidated financial statements.

10

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Cash Flows

(Unaudited)

(in thousands)

	Six Months Ended June 30,
	2023			2022
Cash Flows From Operating Activities
Net income (loss)	$	(17,696	)	$	13,265
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Realized loss on RMBS, net		11,255			59,258
Unrealized (gain) loss on investments in Servicing Related Assets		14,678			(27,881	)
Realized gain on acquired assets, net		-			(12	)
Realized (gain) loss on derivatives, net		(6,040	)		13,368
Unrealized loss on RMBS, measured at fair value through earnings, net		6,811			-
Unrealized (gain) loss on derivatives, net		5,419			(42,069	)
Amortization (accretion) of premiums on RMBS		(753	)		1,427
Amortization of deferred financing costs		80			40
LTIP-OP Unit awards		234			278
Changes in:
Receivables and other assets, net		1,825			10,417
Due to affiliates		(7	)		326
Accrued expenses and other liabilities, net		(10,961	)		1,081
Net cash provided by operating activities	$	4,845		$	29,498
Cash Flows From Investing Activities
Purchase of RMBS		(470,809	)		(562,650	)
Principal paydown of RMBS		32,168			60,685
Proceeds from sale of RMBS		280,946			622,670
Acquisition of MSRs		154			(16,970	)
Payments for settlement of derivatives		(8,944	)		(8,945	)
Proceeds from settlement of derivatives		3,366			-
Net cash provided by (used in) investing activities	$	(163,119	)	$	94,790
Cash Flows From Financing Activities
Borrowings under repurchase agreements		4,688,098			2,736,046
Repayments of repurchase agreements		(4,534,153	)		(