Company: AOMN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001766478-25-000042
Chunk: 21

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 1
Chunk 21
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 has taken place. These transfers were not deemed material.We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. 

17

Angel Oak Mortgage REIT, Inc.Notes to the Condensed Consolidated Financial Statements(Unaudited)

The following table sets forth information regarding the Company’s significant Level 3 inputs as of March 31, 2025:Input ValuesAssetFair ValueUnobservable InputRangeAverage($ in thousands)Residential mortgage loans, at fair value$2,232 Prepayment rate (annual CPR)12.96% - 16.31%14.95%Default rate12.90% - 16.41%14.78%Loss severity0.00% - 10.00%6.67%Expected remaining life2.71 - 3.08 years2.96 yearsResidential mortgage loans in securitization trust, at fair value$23,858 Prepayment rate (annual CPR)5.31% - 14.87%9.55%Default rate0.26% - 38.78%15.21%Loss severity0.00% - 10.00%3.89%Expected remaining life1.24 - 7.39 years2.55 yearsAssets and Liabilities Held at Amortized Cost — Fair Value DisclosurePortion of Non-Recourse Securitization Obligations, Collateralized by Residential Mortgage Loans — Held at Amortized CostTo determine the fair value of the Company’s non-recourse securitization obligations, collateralized by residential mortgage loans, net, held at amortized cost, the Company uses the same method of valuation as described in the Annual Report on Form 10-K, Note 10 — Fair Value Measurements for both the portion of the obligation measured at fair value and the portion of the obligation held at amortized cost, for which fair value is disclosed below.As of March 31, 2025, the total amortized cost basis and fair value of our non-recourse securit