Company: AOMN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001766478-25-000099
Chunk: 24

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 1
Chunk 24
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 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. These transfers were not deemed material.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.Assets 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.

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

As of September 30, 2025, the total amortized cost basis and fair value of our non-recourse securitization obligations was $1.73 billion and $1.67 billion, respectively, a difference of approximately $57.1 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 $52.8 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