Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q1 2023 Earnings Presentation
27 slides from Angel Oak Mortgage Reit's earnings presentation, May 4, 2023
Slide 1: ere
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Slide 2: Important Notices
Important Notices References in this presentation to “we,” “us,” “our,” “AOMR” and the “Company” refer to Angel Oak Mortgage REIT, Inc., a Maryland corporation, its operating partnership and their respective subsidiaries; the term “Manager” refers to Falcons I, LLC, our external manager; the term “A
Slide 3: • • • • • • • • • • • • • •
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Slide 4: Financial Results
Financial Results
Slide 5: Q1 Financial Results
Q1 Financial Results Declared dividend of $0.32 / Q1 Annualized common share payable on May Dividend Yield to HEBEL 31, 2023 GAAP Book Value Q1 GAAP Net Income Q1 GAAP Book Value $9.80 / common share $0.02 / common share Q1 Distributable Earnings? Q1 Economic Book) Value* ($0.37) / common share $13.
Slide 6: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances Q1 2023 Q1 2022 $000s Interest Income / Expense Average Balance Interest Income / Expense Average Balance Interest Income Residential Loans $ 7,692 $ 605,469 | $ 11,981 $ 1,108,704 Residential Loans in Securitization Trust 12,220 1,031,245 10,418 881,294 Co
Slide 7: Q1 Distributable Earnings
Q1 Distributable Earnings Three Months Ended March 31, 2023 March 31, 2022 (in thousands) Net income (loss) allocable to common stockholders $ 530 $ (43,545) Adjustments: Net unrealized (gains) losses on derivatives 24,536 (15,326) Net unrealized (gains) losses on trading securities (1,605) m Net un
Slide 8: Target Asset Composition
Target Asset Composition Target Asset Composition! ($ millions) 3,214 3,220 2,86' 2,704 9 923 2,244 2,123 486 1,684 AP 534 622 667 1,029 320 1,062 qe 723 544 Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Commercial Loans &CMBS_ MResidentialLoans @Residential Loans in Securitization Trust ©
Slide 9: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend Notes Payable vs. Recourse Debt? to Equity Trend ($ millions) 1,200 atu 3.7% 3.6x 0x 3.x 3.5x 1,000 ae 3.0x 800 2.5K 2.0x 600 2.0x 1.5x 400 640 139 200 0.5x Q4 2021 Q12022 Q22022 Q32022 Q42022 Q12023 mmm Notes Payable ‘=Total Recourse Debt to Equity = Recourse Debt to E
Slide 10: GAAP Book Value
GAAP Book Value $16.80 $14.73 ($2.07) $10.63 ($4.10) — $9.49 $0.63 $9.80 ($0.76) ($9.32) ($0.06) ($0.32) ~ g > 3S S € Ss ¢ » 3 é wv 2 BS g EY 2 x q BY 2 9 is Kd o @ & @ © 3 © v S s ° y ° 3 ° ea . y ° o o o o oe = o Oo o s” a x” LF e Ra @ @ @ é @ KEY COMMENTARY + GAAP Book Value of 9.80 including imp
Slide 11: Economic Book Value
Economic Book Value? $17.61 $16.05 ($1.56) $12.94 $1.25 $13.11 $0.60 $13.39 ($3.11) = __ ($0.32) ($0.76) (§0.32) a Vv “v & wv > a & g§ § g§ § §& $F$ §F § $F$ & §$ &¢ § £§ § ££ £$ &€ § £ FE & ¥ = s = es ¥ g = 2 g s 2 s & s & s F & v & re gs &€ gg 8 wg F§ ¢ § ¢ ¢ rs »” x s e Ra & & & e & KEY COMMENTAR
Slide 12: AOMR 2023-1 Securitization
AOMR 2023-1 Securitization AOMT 2023-1 was the first securitization since 2020 to which AOMR contributed loans alongside other Angel Oak entities. Key AOMT 2023-1 Stats: Because we were not the sole contributor of loans, the financial treatment of the securitization resembles that of our pre-IPO sec
Slide 13: Statistics
Statistics
Slide 14: CA, 45% FL, 20% TX, 6% AZ, 4% GA, 3% Other, 22% 200 250
CA, 45% FL, 20% TX, 6% AZ, 4% GA, 3% Other, 22% 0 50 100 150 200 250 300 # o f Lo an s Credit Score 0 50 100 150 200 250 300 # o f Lo an s Coupon Rate (%)
Slide 15: Key Portfolio Statistics: Loans in Securitization Trust
Key Portfolio Statistics: Loans in Securitization Trust Total / Weighted $000s AOMT 2021-4 AOMT 2021-7 _AOMT 2022-1 _AOMT 2022-4 Average UPB of loans $ 188,852 $ 297,922 $ 468,482 $ 177,159 $ 1,132,416 Number of loans 428 768 1,047 395 2,638 Weighted Average Loan Coupon 5.01% 4.69% 4.42% 5.21% 4.71%
Slide 16: FL, 20% CA, 34% TX, 8%GA, 5% Other, 33%
FL, 20% CA, 34% TX, 8%GA, 5% Other, 33%
Slide 17: Appendix
Slide 18: The AOMR Model
The AOMR Model AOMR is committed to generating attractive risk-adjusted returns and long-term capital appreciation to seek to drive attractive total economic return to our shareholders Source and purchase high-quality, Intend to declare quarterly non-QM loans leveraging the Quarterly dividends that
Slide 19: AOMR Investment Strategy
AOMR Investment Strategy Our acquisition, securitization, and reinvestment processes enable us to consistently deliver on our business model + AOMR’s relationship with Angel Oak * Securitization enables us to: Companies enables AOMR to purchase high-quality loans tailored to its ‘ fi — Secure a fixe
Slide 20: Illustrative Securitization Structure
Illustrative Securitization Structure Senior Bonds (AAA, AA, A rating) Mezzanine Bonds (BBB, BB, B rating) Junior Equity (unrated) Interest Only % Angel Oak Mortgage REIT, Inc. v, N ~85- 90% of the deal ~5-10% of the deal ~0-10% of the deal KEY CHARACTERISTICS Senior and mezzanine bonds receive a fi
Slide 21: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) For the Three Months Ended March 31, 2023 For the Three Months Ended March 31, 2022 INTEREST INCOME, NET (in thousands, except for share and per share data) Interest income $ 23,740 27,109 Interest expense 16,941 10,170 NET INTEREST INCOME 6,799 16,939 REALIZED
Slide 22: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) ASSETS Residential mortgage loans - at fair value Residential mortgage loans in securitization trusts - at fair value Commercial mortgage loans - at fair value RMBS - at fair value CMBS - at fair value U.S. Treasury securities - at fair value Cash and
Slide 23: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: March 31, 2023 December 31, 2022 LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable $ 439,252 $ 639,870 Non-recourse securitization obligations, collateralized by residential loans in securitization trusts 1,012,704 1,003,485
Slide 24: Appendix: FY22 GAAP Reconciliation of Distributable Earnings
Appendix: FY22 GAAP Reconciliation of Distributable Earnings Three Months Ended March 31, 2023 March 31, 2022 (in thousands) Net income (loss) allocable to common stockholders $ 530 $ (43,545) Adjustments: Net unrealized (gains) losses on derivatives 24,536 (15,326) Net unrealized (gains) losses on
Slide 25: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) March 31, 2023 December 31, 2022 September 30, 2022 June 30, 2022 March 31, 2022 in thousands, except for per share data GAAP total common stockholders’ equity for book value per share of common stock 244,378 236,479 264,856 367,183 42
Slide 26: Condensed Income Statement History
Condensed Income Statement History (in thousands) 2021 3021 4021 Fv2a 1022 2022 3022 4022 Fy22 1023 Interest Income 12,143 15,587 22,792 60,555 27,109 29,702 30,148 28,585 115,544 23,740 Interest Expense 1,846 2,599 6,199 11,476 10,170 13,271 18,408 20,a75 63,026 16,941 NET INTEREST INCOME 10,297 12
Slide 27: Balance Sheet History
Balance Sheet History (in thousands) 2021 3021 agai Fyat 1022 2022 3022 4022 Fy22 1023 Assets: Residential Mortgage Loans - at fair value 529,329 723139 1,061,912 1,061,912, 1,103,773. 1,279,341 1,069,476 770,982 770,982 544,436 Residential mortgage loans in securitization trusts - at fair value : 3
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