Company: CHMI-PB
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001140361-25-040783
Chunk: 16

Company: Cherry Hill Mortgage Investment Corp
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 16
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30, 2024. The
            increase of $0.5 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

          Realized Gain on Investments in MSRs, Net

          Realized gain on investments in MSRs for each of the three-month periods ended September 30, 2025 and June 30, 2025 was $0 because no MSRs were sold during these periods.

          Realized gain on investments in MSRs for the nine-month period ended September 30, 2025 was approximately $0 as compared to $0.5 million for the nine-month period ended September 30, 2024. The
            decrease of $0.5 million in realized gain on MSRs was because no MSRs were sold during the nine-month period ended September 30, 2025.

          Realized Gain (Loss) on Derivatives, Net

          Realized loss on derivatives for the three-month period ended September 30, 2025 was approximately $10.5 million as compared to a realized gain of $14.8 million for the three-month period ended
            June 30, 2025. The decrease of $25.3 million in realized gain on derivatives was substantially comprised of an decrease of $21.0 million in gains on TBAs and an decrease of $5.6 million in gain on U.S. Treasury futures offset by an decrease of
            $1.2 million in losses on interest rate swaps and an increase of $0.1 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives.

          Realized gain on derivatives for the nine-month period ended September 30, 2025 was approximately $9.0 million as compared to $7.7 million for the nine-month period ended September 30, 2024.
            The increase of $1.3 million in realized gain on derivatives was substantially comprised of a decrease of $12.4 million in losses on TBAs and an increase of $4.4 million in gains on U.S. Treasury futures offset by a decrease of $5.5 million in
            gains on interest rate swaps and a decrease of $10.0 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives.

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

          Unrealized gain on RMBS measured at