Company: AOMN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001766478-25-000080
Chunk: 21

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 1
Chunk 21
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 Three Months Ended June 30, 2024TBAs$1,818 $1,748 Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)Six Months Ended June 30, 2025Interest rate futures$(2,536)$(2,134)Six Months Ended June 30, 2025TBAs$(1,853)$(3,737)Six Months Ended June 30, 2024Interest rate futures$3,839 $1,048 Six Months Ended June 30, 2024TBAs$2,124 $1,988 

9.    Fair Value Measurements

For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value.In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured.As of June 30, 2025, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2024 included in the Annual Report on Form 10-K. Included in Note 10 — Fair Value Measurements to the Consolidated Financial Statements for the year ended December 31, 2024 included in the Annual Report on Form 10-K is a detailed description of our other financial instruments measured at fair value and their significant inputs, as well as