Company: ADAMM
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001273685-25-000072
Chunk: 395

Company: ADAMAS TRUST, INC.
Filing Date: 2025-08-01
Form: 10-Q
Item: Part I, Item 8
Chunk 395
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2%Consolidated SLST (4)$1,199,383Liability priceN/ATotal$4,026,027Multi-family loans (1) (2)$74,999Discounted cash flowDiscount rate12.2%11.0%-13.5%Months to assumed redemption262-46Loss severity—Equity investments (1) (3)$54,324Discounted cash flowDiscount rate16.0%15.0%-17.5%Months to assumed redemption162-45Loss severity—Mortgage servicing rights (1)$19,449Discounted cash flowLifetime voluntary prepayment rate10.2%0.4%-27.4%Lifetime CDR2.2%0.2%-42.6%Yield12.3%12.0%-14.0%LiabilitiesConsolidated SLST CDOs (4) (5)$1,031,897Discounted cash flowYield5.3%4.4%-12.8%Collateral prepayment rate6.1%2.7%-7.3%Collateral default rate1.0%—%-7.6%Loss severity15.0%0.2%-89.1%(1)Weighted average amounts are calculated based on the weighted average fair value of the assets.(2)As of June 30, 2025, the Company has reduced the fair value of one multi-family loan to zero as a result of developments with respect to the property, its financing and market conditions. Unobservable inputs do not include inputs related to this multi-family loan.

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(3)Equity investments do not include equity ownership interests in an entity that originates residential loans and equity investments in disposal group held for sale. The fair value of equity ownership interests in an entity that originates residential loans is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization and NAV of the entity.  The fair values of equity investments in disposal group held for sale are determined using the negotiated membership interest purchase price.(4)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable. At June 30, 2025, the fair value of investment securities we own in Consolidated SLST amounts to $160.