Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q3 2023 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Nov 7, 2023
Slide 1: Third Quarter 2023 Earnings Supplement
Angel Oak Mortgage REIT, Inc. Third Quarter 2023 Earnings Supplement
Slide 2: Important Notices
Important Notices References herein to our “Company,” “AOMR,” “we,” “us,” or “our” refer to Angel Oak Mortgage REIT, Inc. and its subsidiaries unless the context requires otherwise. Unless otherwise indicated, the term “Angel Oak” refers collectively to Angel Oak Capital Advisors, LLC (“Angel Oak Ca
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Slide 4: Financial Results
inancial Results
Slide 5: Q3 Financial Results
Q3 Financial Results Expansion of Net Interest Margin coupled with continued expense reductions drive increase in Net Income Dividend Q3 GAAP Net Income Q3 Distributable Earnings* Q3 Annualized Dividend Yield to GAAP Book Value Q3 GAAP / Economic Book Value* See Appendix for definition and reconcili
Slide 6: Whole Loan Coupon Trend
Whole Loan Coupon Trend Whole Loan Coupon growth drives increased Net Interest Margin, reduces valuation risk, and supports future securitization execution. - Current coupon includes purchases and committed purchases since the end of Q3 2023 - $176MM of loans have been purchased and committed for pu
Slide 7: Target Asset Composition
Target Asset Composition KEY COMMENTARY Target asset portfolio stable from Q2 to Q3 as purchases offset paydowns and valuation pressure - We do not expect the Residential Whole Loan portfolio balance will grow above what we believe we can securitize in approximately two securitizations Target Asset
Slide 8: GAAP Book Value
GAAP Book Value = GAAP Book Value remained stable from Q2 2023 to Q3 2023 despite continued valuation pressure on the existing portfolio $9.34 ($0.32) 6/30/2023 BV Q3 2023 Dividend Q3 2023 BV Growth? 9/30/2023 BV 1 Excluding quarterly dividend impact & Angel Oak Mortgage REIT, Inc. 8 Ne
Slide 9: Economic Book Value
Economic Book Value = Economic Book Value! grew by $0.04/share in Q3 2023 - Economic Book Value reflects the impact of fair value changes for our legally held retained bonds associated with loans in securitization trusts $13.16 ($0.32) 6/30/2023 EBV Q3 2023 Dividend Q3 2023 EBV Growth 12 9/30/2023 E
Slide 10: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY = — As of today, our Recourse Debt to Equity Ratio is 1.0x. This reflects the maturity of US Treasuries and their corresponding repurchase agreements on October 12, 2023. = This represents a 73.0% reduction compared to Q3 2022; Notes Payable has decreased
Slide 11: Q3 Distributable Earnings
Q3 Distributable Earnings Three Months Ended September 30, 2023 September 30, 2022 (in thousands) Net income (loss) allocable to common stockholders $ 8,273 $ (83,353) Adjustments: Net unrealized (gains) losses on derivatives (4,563) (10,936) Net unrealized (gains) losses on trading securities 4,857
Slide 12: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances 032023 022023 <a ! Average Balance a ! Average Balance $000s Interest Income Residential Loans $ 4,272 $ 289,916 | $ 6,493 $ 483,701 Residential Loans in Securitization Trust 15,208 1,228,074 12,325 1,074,924 Commercial Loans 58 6,329 277 9,511 RMBS and Maj
Slide 13: Statistics
Statistics
Slide 14: Loan Credit Score and Coupon Rate Distribution
0 50 100 150 # o f Lo an s Credit Score 0 20 40 60 80 100 120 140 160 # o f Lo an s Coupon Rate (%)
Slide 15: Loan Composition by Borrower and Occupancy Type
Non Owner Occupied, 2% Investor Loans, 29% Just Missed Prime, 25% Loans Made to Bank Statement Borrowers, 44%
Slide 16: Geographic Distribution of Loans
FL, 20% CA, 37% TX, 6% GA, 4% Other, 34%
Slide 17: Geographic Distribution of Loans
FL, 20% CA, 36% TX, 8%GA, 4% Other, 32%
Slide 18: Appendix
Slide 19: The AOMR Model
The AOMR Model AOMR seeks to generate attractive risk-adjusted returns and long-term capital appreciation to deliver attractive total economic return to our shareholders Source and purchase high-quality, Intend to declare quarterly non-QM loans leveraging the Quarterly dividends that balance shareho
Slide 20: 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 Companies enables AOMR to purchase high-quality loans tailored to its desired profile Non-QM loans offer an attractive ris
Slide 21: 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
Slide 22: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) For the Three Months Ended September 30, 2023 For the Three Months Ended September 30, 2022 (in thousands, except for share and per share data) INTEREST INCOME, NET Interest income $ 23,900 30,148 Interest expense 16,490 18,408 NET INTEREST INCOME 7,410 11,740
Slide 23: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: September 30, 2023 December 31, 2022 (in thousands, except for share and per share data) ASSETS Residential mortgage loans - at fair value $ 284,383 $ 770,982 Residential mortgage loans in securitization trusts - at fair value 1,194,119 1,027,4
Slide 24: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: September 30, 2023 December 31, 2022 (in thousands, except for share and per share data) LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable $ 197,797 $ 639,870 Non-recourse securitization obligations, collateralized by residen
Slide 25: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended September 30, 2023 September 30, 2022 (in thousands) Net income (loss) allocable to common stockholders $ 8,273 $ (83,353) Adjustments: Net unrealized (gains) losses on derivatives (4,563) (10,936) Net unrealized (gains) loss
Slide 26: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) September 30, 2023 June 30, 2023 March 31, 2023 December 31, 2022 in thousands, except for per share data GAAP total common stockholders’ equity for book value per share of common stock 231,802 232,676 244,378 236,479 Adjustments: Fair
Slide 27: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) Fy21 1922 2022 3022 4022 Fy22 1023 2023 3023 Interest Income 60,555 27,109 29,702 30,148 28,585 115,544 23,740 23,763 23,900 Interest Expense 11,476 10,170 13,271 18,408 21,175 63,024 16,941 17,311 16,490 NET INTEREST INCOME 49,079 16,939
Slide 28: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) FY21 1022 2022 3022 4022 FY22 1023 2023 3023 Assets: Residential Mortgage Loans - at fair value 1,061,912 1,103,773 «1,279,341 1,069,476 770,982 770,982 544,436 296,529 284,383 Residential mortgage loans in securitization trusts - at fair value 667,36
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