Company: CHMI-PB
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001140361-25-017536
Chunk: 16

Company: Cherry Hill Mortgage Investment Corp
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 2
Chunk 16
---
2024. The increase of $2.9 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

          Realized loss on RMBS for the three-month period ended March 31, 2025 was approximately $4.0 million as compared to $0 for the three-month period ended March 31, 2024. The
            increase of $4.0 million in realized loss on RMBS was because no RMBS securities were sold during the three-month period ended March 31, 2024.

          Realized Gain (Loss) on Derivatives, Net

          Realized gain on derivatives for the three-month period ended March 31, 2025 was approximately $4.6 million as compared to $13.6 million for the three-month period ended
            December 31, 2024. The decrease of $9.0 million in realized gain on derivatives was substantially comprised of a decrease of $7.2 million in gains on TBAs, an increase of $0.5 million in losses on U.S. Treasury futures and an decrease of $1.3
            million in interest rate swaps periodic interest income due to changes in interest rates.

          Realized gain on derivatives for the three-month period ended March 31, 2025 was approximately $4.6 million as compared $6.3 million for the three-month period ended March 31,
            2024. The decrease of $1.7 million in realized gain on derivatives was substantially comprised of a decrease of $4.3 million in gains on interest rate swaps and a decrease of $2.2 million in interest rate swaps periodic interest income offset
            by a decrease of $4.0 million in losses on TBAs and a decrease of $1.0 million in losses on U.S. Treasury futures due to changes in interest rates.

            57

          Unrealized Gain (Loss) on RMBS, Measured at Fair Value through Earnings, Net

          Unrealized gain on RMBS measured at fair value through earnings for the three-month period ended March 31, 2025 was $14.8 million as compared to a loss of $31.7 million for the
            three-month period ended December 31, 2024. The increase of $46.5 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the quarter.

          Unrealized gain on RMBS measured at