Company: AOMN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001766478-25-000042
Chunk: 24

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 1
Chunk 24
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 $1,524,828 $— $1,524,828 (1)     Non‑Agency RMBS held as of December 31, 2024 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. (2)     Includes Commercial Loans and AOMT CMBS assets. All AOMT CMBS held as of December 31, 2024 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.All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans, TBAs, and futures contracts are recognized in net income for the periods presented.Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. Transfers between Level 2 and Level 3 were immaterial for the year ended December 31, 2024.We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. 

19

Angel Oak Mortgage REIT, Inc.Notes to the Condensed Consolidated Financial Statements(Unaudited)

The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2024:Input ValuesAssetFair ValueUnobservable InputRangeAverageResidential mortgage loans in securitization trust, at fair value$32,074 Prepayment rate (annual CPR)3.64% - 19.83%8.48%Default rate