Company: ADAMM
Filing Date: 2025-02-21
Form Type: 10-K
Source: 0001273685-25-000028
Chunk: 142

Company: ADAMAS TRUST, INC.
Filing Date: 2025-02-21
Form: 10-K
Item: Item 16
Chunk 142
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—-39.8%Yield12.2%12.0%-14.0%LiabilitiesConsolidated SLST CDOs (4) (5)$811,591Discounted cash flowYield5.8%4.9%-13.0%Collateral prepayment rate6.2%—-7.2%Collateral default rate1.3%—-8.5%Loss severity20.3%11.5%-78.9%(1)Weighted average amounts are calculated based on the weighted average fair value of the assets. 

F-73

(2)As of December 31, 2024, 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.(3)Equity investments do not include equity ownership interests in an entity that originates residential loans. The fair value of this investment is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization and NAV of the entity.(4)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 December 31, 2024, the fair value of investment securities we own in Consolidated SLST amounts to $148.5 million. (5)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own. The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2024, 2023 and 2022, respectively, for our Level 3 assets and liabilities held as of December 31, 2024, 2023 and 2022, respectively (dollar amounts in thousands):For the Years Ended December 31,202420232022AssetsResidential loansResidential loans (1)$(7,966)$321 $(57,892)