Company: AOMN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001766478-25-000080
Chunk: 24

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 1
Chunk 24
---
08 years2.83 yearsResidential mortgage loans in securitization trust, at fair value$29,970 Prepayment rate (annual CPR)5.51% - 22.76%10.44%Default rate7.36% - 39.21%16.35%Loss severity(25.00)% - 25.00%0.28%Expected remaining life1.33 - 11.82 years4.90 yearsAssets and Liabilities Held at Amortized Cost — Fair Value DisclosurePortion of Non-Recourse Securitization Obligations, Collateralized by Residential Mortgage Loans — Held at Amortized CostTo determine the fair value of the Company’s non-recourse securitization obligation, collateralized by residential mortgage loans, net, held at amortized cost, the Company uses the same method of valuation as described in the Annual Report on Form 10-K, Note 10 — Fair Value Measurements for both the portion of the obligation measured at fair value and the portion of the obligation held at amortized cost, for which fair value is disclosed below.As of June 30, 2025, the total amortized cost basis and fair value of our non-recourse securitization obligations was $1.79 billion and $1.71 billion, respectively, a difference of approximately $80.3 million (we have elected to hold our non-recourse securitization obligations at fair value, with the exception of AOMT 2021-7 and AOMT 2021-4, which are carried at amortized cost, as the fair value option was not elected at the time of the creation of these obligations). The difference between the amortized cost and fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $61.8 million. The difference between the amortized cost basis value and the fair value is derived from the difference between the period-end market pricing of the underlying bonds, as referred to above, and the amortized cost of the obligation. The fair value of the non-recourse securitization debt is not indicative of the amounts at which we could settle this debt.As of December 31, 2024, the total amortized cost basis and fair value of our non-recourse securitization obligations was $1.65 billion and $1.52 billion, respectively, a difference of approximately $124