Company: AOMN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001766478-25-000080
Chunk: 23

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 1
Chunk 23
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3,208 Total liabilities, at fair value$4,355 $1,401,980 $— $1,406,335 (1)     AOMT RMBS held as of June 30, 2025 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. (2)     Includes Commercial Loans and AOMT commercial mortgage backed securities (“CMBS)” assets. All AOMT CMBS held as of June 30, 2025 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.(3)     Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value.Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer 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.

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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 June 30, 2025:Input ValuesAssetFair Value  Unobservable InputRangeAverage(in thousands)Residential mortgage loans, at fair value$1,622 Prepayment rate (annual CPR)13% - 13%13.28%Default rate15% - 15%15.34%Loss severity(25.00)% - 10.00%(7.81)%Expected remaining life1.33 - 4.