Company: ADAMM
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001273685-25-000072
Chunk: 363

Company: ADAMAS TRUST, INC.
Filing Date: 2025-08-01
Form: 10-Q
Item: Part I, Item 8
Chunk 363
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 Amounts Offset in Balance SheetsVariation MarginNet Amounts of Assets (Liabilities) Presented in Balance SheetsDerivative assetsInterest rate caps$56 $— $— $56 Interest rate swaps63,942 (10,134)(53,808)— U.S. Treasury futures952 (658)(294)— Total derivative assets$64,950 $(10,792)$(54,102)$56 Derivative liabilitiesCredit default swaps$(9,120)$— $9,120 $— Interest rate swaps(10,134)10,134 — — U.S. Treasury futures(658)658 — — Total derivative liabilities$(19,912)$10,792 $9,120 $— The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives.  

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The Company is required to post an initial margin amount for its interest rate swaps, credit default swaps and U.S. Treasury futures determined by the respective central clearing houses, which is generally intended to be set at a level sufficient to protect the exchange from the derivative financial instrument’s maximum estimated single-day price movement.  The following table summarizes assets pledged as initial margin as of June 30, 2025 and December 31, 2024, respectively (dollar amounts in thousands):Initial Margin CollateralConsolidated Balance Sheet LocationJune 30, 2025December 31, 2024Agency RMBSInvestment securities available for sale, at fair value$51,845 $33,399 Restricted cashOther assets55,813 68,253 Total initial margin collateral$107,658 $101,652 Margin excess related to settlement of variation margin in the amount of approximately $11.1 million as of June 30, 2025 and December 31, 2024, is included in other assets on the accompanying condensed consolidated balance sheets. Margin deficit related to settlement of variation margin in the amount of approximately $14.5 million and $8.1 million as of June 30, 2025 and December 31, 2024, respectively, is included in other liabilities on the accompanying condensed consolidated balance sheets.

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The tables below summarize