Company: AOMN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001766478-25-000099
Chunk: 21

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 1
Chunk 21
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 AmountsAs of:Derivatives Not Designated as Hedging InstrumentsNumber of ContractsAssetsLiabilitiesLong ExposureShort Exposure($ in thousands)September 30, 2025Interest rate futures3,119$1,944 $— $— $311,900 September 30, 2025TBAsN/A$— $1,309 $— $152,300 December 31, 2024Interest rate futures2,800$987 $— $— $280,000 December 31, 2024TBAsN/A$528 $— $— $213,400 The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and nine months ended September 30, 2025 and September 30, 2024 are set forth as follows:Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)Three Months Ended September 30, 2025Interest rate futures$(3,100)$3,091 Three Months Ended September 30, 2025TBAs$(70)$1,899 Three Months Ended September 30, 2024Interest rate futures$(4,461)$1,184 Three Months Ended September 30, 2024TBAs$3,115 $(1,235)Derivatives Not Designated as Hedging InstrumentsNet Realized Gains (Losses) on Derivative InstrumentsNet Change in Unrealized Appreciation (Depreciation) on Derivative Instruments(in thousands)Nine Months Ended September 30, 2025Interest rate futures$(5,636)$957 Nine Months Ended September 30, 2025TBAs$(1,924)$(1,837)Nine Months Ended September 30, 2024Interest rate futures$(622)$2,232 Nine Months Ended September 30, 2024TBAs$5,238 $753 

18

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

8.    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