Company: ADAMM
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0001273685-25-000088
Chunk: 84

Company: ADAMAS TRUST, INC.
Filing Date: 2025-11-04
Form: 10-Q
Item: Part I, Item 1
Chunk 84
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 investments (1)$28,825Discounted cash flowDiscount rate16.2%15.0%-17.5%Months to assumed redemption165-29Loss severity—Mortgage servicing rights (1)$21,896Discounted cash flowLifetime voluntary prepayment rate10.3%0.3%-27.5%Lifetime CDR2.2%—-41.8%Yield12.2%12.0%-14.0%IRLCs (1)$2,383Internal valuation modelPull-through rate79.4%78.8%-81.7%LiabilitiesConsolidated SLST CDOs (3) (4)$1,016,952Discounted cash flowYield5.2%4.4%-12.3%Collateral prepayment rate6.1%2.7%-7.3%Collateral default rate1.1%—-18.4%Loss severity15.4%0.3%-25.7%

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(1)Weighted average amounts are calculated based on the weighted average fair value of the assets.(2)As of September 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. As of September 30, 2025, the Company had one multi-family loan scheduled to redeem on October 3, 2025, which was repaid in full on the scheduled redemption date.(3)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 September 30, 2025, the fair value of investment securities we own in Consolidated SLST amounts to $158.8 million. (4)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own. The following table details the changes in unrealized gains (losses)