Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — FY2023 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Mar 5, 2024
Slide 1: Fourth Quarter and Fiscal Year 2023 Earnings Supplement
Angel Oak Mortgage REIT, Inc. Fourth Quarter and Fiscal Year 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: Q4 2023 and FY 2023 Highlights & Financial Results
Q4 2023 and FY 2023 =a ’ Highlights & Financial Results
Slide 5: Q4 Financial Results
Q4 Financial Results Continued earnings and book value growth supported by newly originated loan purchases and securitizations KEY COMMENTARY Q4 GAAP / Economic Book Value* GAAP BV: $10.26 / common share Economic BV: $13.54 / common share GAAP Book Value increased 10.4% and Economic Book Value incre
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. - $222.7MM of loans were purchased between the beginning of Q2 2023 and the end of Q4 2023, witha weighted average coupon of 8.37%, weighted av
Slide 7: Target Asset Composition
Target Asset Composition KEY COMMENTARY Target asset portfolio growing over second half of 2023 as new loan purchases accumulate — We do not expect the Residential Whole Loan portfolio balance to grow above what we believe we can securitize in approximately two securitizations Target ‘inte Q3 2023 t
Slide 8: GAAP Book Value
GAAP Book Value = GAAP Book Value grew $0.97/share, or 10.4%, from Q3 2023 to Q4 2023 supported by target asset growth and valuation tailwinds. $9.29 (3.4%) ($0.32) 9/30/2023 BV Q4 2023 Dividend Q4 2023 BV Growth ? 12/31/2023 BV 1 Excluding quarterly dividend impact & Angel Oak Mortgage REIT, Inc. 8
Slide 9: Economic Book Value
Economic Book Value = Economic Book Value! grew by $0.34/share, or 2.6%, in Q4 2023 - Economic Book Value reflects the impact of fair value changes for our legally held retained bonds associated with loans in securitization trusts $0.66 $13.54 $13.20 (2.4%) ($0.32) 9/30/2023 EBV Q4 2023 Dividend Q4
Slide 10: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY = As of January 16, 2024, our Recourse Debt to Equity Ratio is 1.3x. This reflects the maturity of US Treasuries and their corresponding repurchase agreements. = Our Recourse Debt to Equity Ratio is likely to increase as we continue to purchase newly orig
Slide 11: Q4 Distributable Earnings
Q4 Distributable Earnings Net income (loss) allocable to common stockholders. Adjustments: Net unrealized (gains) losses on trading securities Net unrealized (gains) losses on derivatives Net unrealized (gains) losses on residential loans in securitization trusts and non- recourse securitization obl
Slide 12: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances $000s Interest Income Residential Loans Residential Loans in Securitization Trust Commercial Loans RMBS and Majority-Owned Affiliate cMBS US Treasury Securities Other Interest Income Total Interest Income Interest Expense Notes Payable Non-Recourse Securiti
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Slide 14: Loan Characteristics
0 50 100 150 # of L oa ns Credit Score 0 50 100 150 200 250 300 # o f Lo a n s Coupon Rate (%)
Slide 15: Loan Mix by Borrower Type
Non Owner Occupied, 1% Investor Loans, 28% Just Missed Prime, 21% Loans Made to Bank Statement Borrowers, 50%
Slide 16: Geographic Distribution
FL, 20% CA, 37% TX, 6% GA, 4% Other, 34%
Slide 17: Geographic Distribution
FL, 20% CA, 37% TX, 8% GA, 4% Other, 31%
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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 J + 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 r
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 %y 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 For the Three Months Ended For the Year Ended December For the Year Ended December December 31, 2023 December 31, 2022 31, 2023 31, 2022 INTEREST INCOME, NET Interest income $ 24,550 28,585 $ 95,953 $ 115,544 Interest expense 16,310 2
Slide 23: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: December 31, 2023 December 31, 2022 (in thousands) ASSETS Residential mortgage loans - at fair value $ 380,040 $ 770,982 Residential mortgage loans in securitization trusts - at fair value 1,221,067 1,027,442 RMBS - at fair value 472,058 1,055,
Slide 24: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: December 31, 2023 December 31, 2022 (in thousands) LIABILITIES AND STOCKHOLDERS' EQUITY LIABILITIES Notes payable $ 290,610 $ 639,870 Non-recourse securitization obligations, collateralized by residential loans in securitization trusts 1,
Slide 25: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended Twelve Months Ended December 31, 2023 _ December 31,2022 _ December 31, 2023 _ December 31, 2022 (in thousands) (in thousands) Net income (loss) allocable to common stockholders $ 28,599 §$ (8,801) $ 33,714 $ (187,847) ‘Adjus
Slide 26: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) December 31, 2023 September 30, 2023 June 30, 2023 March 31, 2023 December 31, 2022 in thousands, except for share and per share data GAAP total stockholders’ equity 256,106 231,802 232,676 244,378 236,479 Adjustments: Fair value adjus
Slide 27: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) Fy21 1922 2922 3022 4022 Fy22 1023 2023 3023 4023 FY23 Interest Income 60,555 27,109 29,702 30,148 28,585 115,544 23,740 23,763 23,900 24,550 95,953, Interest Expense 11,476 10,170 13,271 18,408 2175 63,024 16.941 wan 16,490 16,310 67,052
Slide 28: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) 4021 1022 2022 3022 4Q22 1023 2023 3023 4023, Assets: Residential Mortgage Loans - at fair value 1,061,912 1,103,773 1,279,341 1,069,476 770,982 544,436 296,529 284,383 380,040 Residential mortgage loans in securitization trusts - at fair value 667,36
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