Company: AOMN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001766478-25-000042
Chunk: 23

Company: Angel Oak Mortgage REIT, Inc.
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 1
Chunk 23
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 bonds in the investments to determine fair value. The Company utilizes PriceServe, Bank of America’s independent fixed income pricing service, as the primary valuation source for these bonds. PriceServe obtains its price quotes from actual sales or quotes for sale of the same or similar securities and/or provides model‑based valuations that consider inputs derived from recent market activity including default rates, conditional prepayment rates, loss severity, expected yield to maturity, baseline discount margin/yield, recovery assumptions, tranche type, collateral coupon, age and loan size, and other inputs specific to each security. We believe that these quotes are most reflective of the price that would be achieved if the bonds were sold to an independent third party on the date of the condensed consolidated financial statements. The amortized cost and fair value of this investment as of March 31, 2025 was approximately $20.8 million and $16.8 million, respectively. The amortized cost and fair value of these investments as of December 31, 2024 was approximately $20.6 million and $16.6 million, respectively.

18

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

The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2024:Level 1Level 2Level 3Total(in thousands)Assets, at fair valueResidential mortgage loans$— $183,064 $— $183,064 Residential mortgage loans in securitization trusts— 1,664,921 32,074 1,696,995 Investments in securitiesAOMT RMBS (1)— 98,791 — 98,791 Whole Pool Agency RMBS— 201,452 — 201,452 Unrealized depreciation on futures contracts987 — — 987 Unrealized depreciation on TBAs528 — — 528 Other Assets, at fair value (2)— 10,807 — 10,807 Total assets, at fair value$1,515 $2,159,035 $32,074 $2,192,624 Liabilities, at fair valueNon-recourse securitization obligation, collateralized by residential mortgage loans (3)$— $1,524,828 $— $1,524,828 Total liabilities, at fair value$—