Company: AOMN
Filing Date: 2025-03-24
Form Type: 10-K
Source: 0001766478-25-000019
Chunk: 208

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-03-24
Form: 10-K
Item: Item 8
Chunk 208
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, 2023 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.(3)     Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See above in “Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure” for the disclosure of the full debt at fair value.All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans, TBAs, and futures contracts are recognized in net income for the periods presented.Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) 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. Transfers between Level 2 and Level 3 were immaterial for the year ended December 31, 2023.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. The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2023:

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Input ValuesAssetFair ValueUnobservable InputRangeAverageResidential mortgage loans, at fair value$6,036 Prepayment rate (annual CPR)6.86% - 19.93%13.40%Default rate12.69% - 13.64%13.16%Loss severity(25.00)% - 40.13%4.12%Expected remaining life0.67 - 4.09 years2.22 yearsResidential mortgage loans in securitization trust, at fair value$13,263 Prepayment rate (annual CPR)5.97% - 20.71%12.32%Default rate4.38% - 28.66%16.92%Loss severity(13.99)% - 19.60%4.14