Company: ADAMM
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001273685-25-000047
Chunk: 34

Company: ADAMAS TRUST, INC.
Filing Date: 2025-05-02
Form: 10-Q
Item: Part I, Item 1
Chunk 34
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 in thousands):March 31, 2025Gross Amount of Recognized Assets (Liabilities)Gross Amounts Offset in Balance SheetsVariation MarginNet Amounts of Assets (Liabilities) Presented in Balance SheetsDerivative assetsInterest rate caps$346 $— $— $346 Options3,184 — — 3,184 Interest rate swaps10,293 (10,293)— — Total derivative assets$13,823 $(10,293)$— $3,530 Derivative liabilitiesCredit default swaps$(7,870)$— $7,870 $— Interest rate swaps(30,422)10,293 20,129 — U.S. Treasury futures(967)— 967 — Total derivative liabilities$(39,259)$10,293 $28,966 $— December 31, 2024Gross Amount of Recognized Assets (Liabilities)Gross Amounts Offset in Balance SheetsVariation MarginNet Amounts of Assets (Liabilities) Presented in Balance SheetsDerivative assetsInterest rate caps$56 $— $— $56 Interest rate swaps63,942 (10,134)(53,808)— U.S. Treasury futures952 (658)(294)— Total derivative assets$64,950 $(10,792)$(54,102)$56 Derivative liabilitiesCredit default swaps$(9,120)$— $9,120 $— Interest rate swaps(10,134)10,134 — — U.S. Treasury futures(658)658 — — Total derivative liabilities$(19,912)$10,792 $9,120 $— The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives.  

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The Company is required to post an initial margin amount for its interest rate swaps, credit default swaps and U.S. Treasury futures determined by the respective central clearing houses, which is generally intended to be set at a level sufficient to protect the exchange from the derivative financial instrument’s maximum estimated single-day price movement.  The following table summarizes assets pledged as initial margin as of March 31, 202