Company: AOMN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001766478-25-000099
Chunk: 23

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 1
Chunk 23
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 sets forth information about the Company’s financial assets and liabilities measured at fair value as of September 30, 2025:Level 1Level 2Level 3Total(in thousands)Assets, at fair valueResidential mortgage loans$— $424,703 $1,072 $425,775 Residential mortgage loans in securitization trusts— 1,835,074 27,256 1,862,330 Investments in securitiesAOMT RMBS (1)— 79,886 — 79,886 Whole Pool Agency RMBS— 155,138 — 155,138 U.S. Treasury Securities— — — — Other Assets, at fair value (2)— 10,065 7,300 17,365 Unrealized appreciation on futures contracts— — — — Unrealized appreciation on TBAs— — — — Total assets, at fair value$— $2,504,866 $35,628 $2,540,494 Liabilities, at fair valueNon-recourse securitization obligation, collateralized by residential mortgage loans (3)$— $1,369,346 $— $1,369,346 Unrealized depreciation on futures contracts(1,944)— — (1,944)Unrealized depreciation on TBAs1,309 — — 1,309 Total liabilities, at fair value$(635)$1,369,346 $— $1,368,711 (1)     AOMT RMBS held as of September 30, 2025 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. (2)     Includes Commercial Loans, AOMT commercial mortgage backed securities (“CMBS”) assets, and loans held for sale. All AOMT CMBS held as of September 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)