Company: ADAMM
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001273685-25-000047
Chunk: 304

Company: ADAMAS TRUST, INC.
Filing Date: 2025-05-02
Form: 10-Q
Item: Part I, Item 8
Chunk 304
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 underlying pools of mortgage loans are “To-Be-Announced,” or TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. The Company elected not to apply hedge accounting for its derivative instruments. The following table summarizes the Company's derivative instruments as of March 31, 2025 and December 31, 2024, respectively (dollar amounts in thousands):Fair ValueType of Derivative InstrumentConsolidated Balance Sheet LocationMarch 31, 2025December 31, 2024Interest rate capsOther assets$346 $56 OptionsOther assets3,184 — Interest rate swapsOther assets— — U.S. Treasury futuresOther assets— — Total derivative assets (1)$3,530 $56 U.S. Treasury futuresOther liabilities$— $— Credit default swapsOther liabilities— — Interest rate swapsOther liabilities— — Total derivative liabilities$— $— (1)Excludes interest rate cap contracts held by certain Consolidated Real Estate VIEs included in other assets in disposal group held for sale (see Note 9). 

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The Company elects to net the fair value of its derivative contracts by counterparty when appropriate and accounts for  the receipt or payment of variation margin as a direct reduction of or increase in the carrying value of the related asset or liability. The following tables present a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of March 31, 2025 and December 31, 2024, respectively (dollar amounts in thousands):March 31, 2025Gross Amount of Recognized Assets (Liabilities)Gross Amounts Offset in Balance SheetsVariation MarginNet Amounts of Assets (Liabilities) Presented in Balance SheetsDerivative assetsInterest rate caps$346 $— $— $346 Options3,184 — — 3,184 Interest rate swaps10,293 (10,293)— — Total derivative assets$13,823 $(10,293)$— $3,530 Derivative liabilitiesCredit default swaps$(7,870)$— $7,870 $— Interest rate swaps(30,422)10,293 20,129 — U.S. Treasury futures(967)— 967 — Total derivative liabilities$(39,259)$10,293 $28,