Cherry Hill Mortgage Investment Corp. posted a third-quarter loss due mainly to a hit on unrealized derivatives income.
The Moorestown, N.J., mortgage investment company took $5.2 million in losses, compared to $2.8 million in gains in the same period last year.
Derivatives, which produced $2 million in unrealized gains in last year's third quarter, dug a nearly $5 million hole in the company's investment revenue this time around.
Total assets stood at $702.2 billion, a 41.7% increase from last year driven by growing its residential mortgage-backed securities available-for-sale holdings.
"While we did not escape unscathed, the positioning of our investment portfolio and our recapture execution helped to minimize the impact on book value at quarter-end," said Cherry Hill's president and chief investment officer Jay Lown in a Nov. 9 press release.
The company took steps to protect itself from losses borne by its RMBS portfolio, which stood at $570 million and produced $270,000 in realized gains in the third quarter. Cherry Hill held interest rate swaps with a notional amount of $323.8 million, swaptions with a notional amount of $125 million and TBAs with a notional loss of $10 million.
Despite its third-quarter results, the company wandered into new territory in the following months. Cherry Hill announced Nov. 2 it had acquired
