From a book value per common share perspective, we finished the quarter at $13.41 as of June 30, a 2.3% reduction from where it stood on March 31. Core earnings is a non-GAAP financial measure and is currently defined by the Company as GAAP net income (loss), excluding realized gain (loss) on RMBS, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization), realized and unrealized gain (loss) on derivatives and realized (gain) loss on acquired assets. Look, I would say, Henry, we're looking to play offense, and we're looking to figure out where we're supposed to play offense. Could you provide an inter-quarter book value update, if there's anything as of, I guess, at the end of July?Sure. Speeds were elevated from the first quarter, given historically low interest rates and mortgage rates.Similar to MSR speeds, the RMBS portfolio posted a weighted average three month CPR of approximately 13.7%, elevated from the prior quarter. Do the numbers hold clues to what lies ahead for the stock?Cherry Hill Mortgage Investment Corporation 2020 Q2 - Results - Earnings Call PresentationAGNC Investment's Q2 2020 And 7/24/2020 BV Projection (Indication Of An Undervalued Stock; NLY BV Projection Included)AGNC Investment's Q2 2020 Income Statement And Earnings Preview - Part 3 (Includes Price Target And Recommendation)AGNC Investment's Q2 2020 Income Statement And Earnings Projection - Part 2 (Includes Dividend Sustainability Metric And Recommendation)AGNC Investment's Q2 2020 Income Statement And Earnings Projection - Part 1 (Notable Changes; Includes Current Recommendation)Quick And Dirty Mortgage REIT Discounts For July 6th, 2020Cherry Hill Mortgage Investment Corporation Announces Second Quarter 2020 ResultsCherry Hill Mortgage Investment Corporation Sets Date for Second Quarter 2020 Earnings Release and Conference Call Do they start to come down now that you've sold these assets? Net unrealized gain on the Company’s RMBS portfolio for the second quarter 2020 was approximately It's never been a major strategy for us. [Operator Instructions]I will now turn the conference over to your host, Rory Rumore. And so we're very in tune to that and try to maintain a balanced mortgage backed securities portfolio relative to coupon.Right, right. Our second quarter results are reflective of our decisive efforts to minimize the negative impact to our portfolio from the market dislocation due to COVID 19,” said At this time we will be conducting a question-and-answer session. Their hard work and dedication impresses me every day. You may begin.We'd like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation's second quarter 2020 conference call. Where's the disconnect? For a description of factors that may cause the Company's actual results or performance to differ from its forward-looking statements, please review the information under the heading “Risk Factors” included in the Company's Annual Report on Form 10-K for the year ended Second Quarter 2020 Highlights GAAP net loss applicable to common stockholders of $12.4 million , or And those are great discussions that we have here with the Board. Given where we are with forbearance, we think our forbearance statistics are very good, relative to what we thought might happen.
As of the end of July, active forbearance remained just shy of 8% with approximately 30% of borrowers having made all payments due through July. I guess just first question, would you expect core earnings to exceed the dividend again in 3Q, assuming there's no other major economic deterioration?Hey, it's Jay. It's good to hear from you. Totally understandable, just given the size of it and the fact that you weren't adding to it. We ended the quarter with an aggregate portfolio duration gap of positive 0.19 years. And as one of our peers mentioned on -- in their presentation, we do look at a few metrics.
Comprehensive income (loss) attributable to common stockholders Go ahead. You can talk to the Board about buying back stock. For the second quarter, we earned core income of $0.47 per share. We also declared a dividend of $0.5125 per share on our 8.2% Series A cumulative redeemable preferred stock and a dividend of $0.515625 on our 8.25% Series B fixed-to-floating rate cumulative redeemable preferred stock, both of which were paid on July 15, 2020.At this time, we will open up the call for questions. [Operator Instructions] Our next question is from Henry Coffey with Wedbush. We're going to let those guys do that. Excluding that impact, book value was relatively comparable with the prior quarter. (Common Stock) Sign up to receive e-mail alerts whenever Cherry Hill Mortgage Investment Corporation posts new information to the site. We continue to believe MSRs look compelling at current levels and if they meet our measured risk reward criteria, we will selectively invest through our flow program. Maybe you still have a significant amount of cash, and obviously, you're being conservative with it. That's fair. I'm just wondering what would need to change for you guys to decide to get a little more offensive?Yes.