Company: CHMI-PB
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001140361-25-017536
Chunk: 7

Company: Cherry Hill Mortgage Investment Corp
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 2
Chunk 7
---
 the event that the Federal Reserve reverses course and tightens monetary policy in the future by
              increasing the federal funds rate and/or the rate of its run off of its balance sheet, these actions could result in higher interest rates, including for Agency RMBS, and reduce economic activity in the United States, as well as decrease
              spreads on interest rates, which can reduce our net interest income and increase our funding costs. They may also negatively impact our results as we have certain assets and liabilities that are sensitive to changes in interest rates. In
              addition, lower net interest income resulting from higher rates is partially offset by lower prepayments which extends the length of cash flows from the MSRs and slows the premium amortization on the RMBS portfolio.

            The impact on our operating results of future actions by the Federal Reserve that change market interest rates is discussed further below. See
              “Factors Impacting our Operating Results.”

            Factors Impacting our Operating Results

            Our income is generated primarily by the net spread between the income we earn on our assets and the cost of our financing and hedging activities as
              well as the amortization of any purchase premiums or the accretion of discounts. Our net income includes the actual interest payments we receive on our RMBS, the net servicing fees we receive on our MSRs and the accretion/amortization of any
              purchase discounts/premiums. Changes in various factors such as market interest rates, prepayment speeds, estimated future cash flows, servicing costs and credit quality could affect the amount of premium to be amortized or discount to be
              accreted into interest income for a given period. Prepayment speeds vary according to the type of investment, conditions in the financial markets, competition and other factors, none of which can be predicted with any certainty. Our operating
              results may also be affected by credit losses in excess of initial anticipations or unanticipated credit events experienced by borrowers whose mortgage loans underlie the MSRs held by Aurora.

              49

            Set forth below is the positive net spread between the yield on RMBS and our costs of funding those assets at the end of each of the quarters
              indicated below:

            Average Net Yield Spread at Period End

                    Quarter Ended

                    Average
                    Asset Yield

                    Average
                    Cost of Funds (A)

                    Average Net 
                    Interest Rate Spread

                    March 31, 2025

                    5.00

                    %

                    1.30

                    %