Company: AOMN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001766478-25-000080
Chunk: 20

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 1
Chunk 20
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 TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage-backed securities fair value fluctuations, or economic hedging gains and losses, are reflected in the tables below. All realized and unrealized gains and losses on derivative contracts are recognized in earnings, in “net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS” for realized gains and losses, and “net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts” for unrealized gains and losses.The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities.

17

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

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of June 30, 2025 and December 31, 2024:Notional AmountsAs of:Derivatives Not Designated as Hedging InstrumentsNumber of ContractsAssetsLiabilitiesLong ExposureShort Exposure(in thousands)June 30, 2025Interest rate futures1,953$— $1,147 $— $195,300 June 30, 2025TBAsN/A$— $3,208 $— $251,700 December 31, 2024Interest rate futures2,800$987 $— $— $280,000 December 31, 2024TBAsN/A$528 $— $— $213,400 The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2025 and June 30, 2024 are set forth as follows:Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)Three Months Ended June 30, 2025Interest rate futures$(1,064)$(199)Three Months Ended June 30, 2025TBAs$(3,016)$(4,629)Three Months Ended June 30, 2024Interest rate futures$290 $844