Company: AOMN
Filing Date: 2025-03-24
Form Type: 10-K
Source: 0001766478-25-000019
Chunk: 199

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-03-24
Form: 10-K
Item: Item 8
Chunk 199
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 to be representative of the volume of its derivative activities.The following table sets forth the derivative instruments presented on the consolidated balance sheets and notional amounts as of December 31, 2024 and 2023:Notional AmountsAs of:Derivatives Not Designated as Hedging InstrumentsNumber of ContractsAssetsLiabilitiesLong ExposureShort Exposure($ in thousands)December 31, 2024Interest rate futures2,800$987 $— $— $280,000 December 31, 2024TBAsN/A$528 $— $— $213,400 December 31, 2023Interest rate futures1,489$— $840 $— $148,900 December 31, 2023TBAsN/A$— $494 $— $386,700 The gains and losses arising from these derivative instruments in the consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2024, and 2023 are set forth as follows:As of:Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)December 31, 2024Interest rate futures$5,847 $1,827 December 31, 2024TBAs$5,374 $1,022 December 31, 2023Interest rate futures$5,492 $(3,947)December 31, 2023TBAs$16,524 $(13,038)

10.    Fair Value Measurements 

Definition and HierarchyFair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability. Inputs may be observable or unobservable:•Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity.•Unobservable inputs are inputs that reflect the reporting entity’s own assumptions.A fair value hierarchy for inputs is implemented in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs are used when available. The availability