Company: AOMN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001766478-25-000042
Chunk: 18

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 1
Chunk 18
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 RMBS, and CMBS” for realized gains and losses, and “net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts” for unrealized gains and losses.The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities.The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of March 31, 2025 and December 31, 2024:Notional AmountsAs of:Derivatives Not Designated as Hedging InstrumentsNumber of ContractsAssetsLiabilitiesLong ExposureShort Exposure($ in thousands)March 31, 2025Interest rate futures3,605$— $947 $— $360,500 March 31, 2025TBAsN/A$1,421 $— $— $307,200 December 31, 2024Interest rate futures2,800$987 $— $— $280,000 December 31, 2024TBAsN/A$528 $— $— $213,400 The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three months ended March 31, 2025 and March 31, 2024 are set forth as follows:Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)Three Months Ended March 31, 2025Interest rate futures$(1,473)$(1,935)Three Months Ended March 31, 2025TBAs$1,163 $893 Three Months Ended March 31, 2024Interest rate futures$3,549 $204 Three Months Ended March 31, 2024TBAs$306 $241 

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

9.    Fair Value Measurements

For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be