Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q3 2022 Earnings Presentation
24 slides from Angel Oak Mortgage Reit's earnings presentation, Nov 8, 2022
Slide 1: shee. -.- -
shee. -.- - Sn aloe
Slide 2: Important Notices
Important Notices References in this presentation to “we,” “us,” “our,” “AOMR” and the “Company” refer to Angel Oak Mortgage, Inc., a Maryland corporation, its operating partnership and their respective subsidiaries; the term “Manager” refers to Falcons I, LLC, our external manager; the term “Angel
Slide 3: • • • • • • • • • • • • • •
• • • • • • • • • • • • • • • • • • • • • • • • • •
Slide 4: Financial Results
inancial Results
Slide 5: Q3 Financial Results
Q3 Financial Results a Distributable Dividend Macatee dividend of Earnings Q3: 26.4% ‘ ROAE* CTV etree ($3.40)/share Book Value $10.63/share Distributable Earnings* Economic Book $0.84/share $12.94/share Value* KEY COMMENTARY * Book Value per Share decline of (27.8%) versus Q2 2022, most of which is
Slide 6: Q3 FY22 Interest Income and Average Asset Balances
Q3 FY22 Interest Income and Average Asset Balances $000s Interest Income Residential Loans Residential Loans in Securitization Trust Commercial Loans RMBS cMBS Total Interest Income* Interest Expense Notes Payable Non-Recourse Securitization Obligation Repurchase Facilities Total Interest Expense” N
Slide 7: Q3 Distributable Earnings
Q3 Distributable Earnings Three Months Ended September 30,2022 September 30, 2021 (in thousands) Net income allocable to common stockholder(s) $ (83,353) $ 6,340 Adjustments: Net unrealized (gains) losses on derivatives (10,936) 3,837 Net unrealized (gains) losses on residential loans in securitizat
Slide 8: Target Asset Growth
Target Asset Growth Balance Sheet Composition? ($ millions) 3,214 3,220 2,704 923 2,244 1,684 one 1,271 622 723 320 1,279 529 123 Q2 2021 Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Commercial Loans & CMBS Residential Loans BLoans in Securitization Trust @RMBS KEY COMMENTARY = Balance Sheet roughly flat
Slide 9: GAAP Book Value
GAAP Book Value $19.47 — ($0.45) $16.80 ($2.22) — ($0.45) $14.73 ($1.62) ($0.45) $10.63 ($3.65) e nr o one o CF ir ann io oe® os pe io eo or io oee® R pr y 9 R) o Ry) 9 R) ( au ® ai 2 ol 2 oe o qe? o «ee oe ot a e e e KEY COMMENTARY * GAAP Book Value of $10.63 including impact of $0.45 dividend paid
Slide 10: Economic Book Value
Economic Book Value $20.00 $19.52 a 0.45 $18.00 ($0.45) $17.61 ($1.46) ($0.45) $16.05 $16.00 ($1.11) <=] . ($0.45) $14.00 $12.94 $12.00 ($2.66) $10.00 $8.00 $6.00 as o oe ye o oe ye o oe ye oat oe of oar i oe spr io oe pr aul o eS) 3 o) oe «ol 9 x) cal os oS oF ot 3 oe < @ io os oe Economic Book Val
Slide 11: AOMR 2022-4 Securitization
AOMR 2022-4 Securitization In July, AOMR closed its fourth post-IPO securitization for $184.7MM with a 5.22% Weighted Average Coupon 2022-4 Securitization Details as of Deal Date Class Total Balance Balance Sold Initial Coupon (%) Total Proceeds AL 127,107,000 $ 127,107,000 4.650% $125,509,430 A2 15
Slide 12: Statistics
Statistics
Slide 13: Key Portfolio Statistics: Residential Loans
Key Portfolio Statistics: Residential Loans Residential Loan Portfolio RESIDENTIAL LOAN PORTFOLIO: Credit Score Distribution Residential Loans represent individual loans awaiting securitization 500 Total Fair Value: $1.1B 400 Weighted Average Coupon: 4.72% ‘ . 300 200 Weighted Average LTV at Origina
Slide 14: Geographic concentration of residential loans
FL, 34% CA, 21% TX, 6% GA, 6% Other2, 34%
Slide 15: Geographic concentration of residential loans
FL, 24% CA, 24% TX, 12% GA, 7% Other2, 34%
Slide 16: Appendix
Slide 17: 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 18: 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 19: Illustrative Securitization Structure
Illustrative Securitization Structure Senior Bonds (AAA, AA, A rating) Mezzanine Bonds (BBB, BB, B rating) Junior Equity (unrated) Interest Only %4 Angel Oak Mortgage, 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 fixed
Slide 20: Appendix: Q3 FY22 Income Statement (Unaudited)
Appendix: Q3 FY22 Income Statement (Unaudited) 7, ‘Three Months Ended September 30, 2022_ _Three Months Ended September 30, 2021 (in thousands, except for per share data) INTEREST INCOME, NET Interest income $ 30,148 $ 15,587 Interest expense 18,408 2,599 NET INTEREST INCOME 1,740 12,988 REALIZED AN
Slide 21: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: September 30, 2022 December 31, 2021 (in thousands, except for per share data) ASSETS Residential mortgage loans - at fair value $ 1,069,476 $ 1,061,912 Residential mortgage loans in securitization trusts - at fair value 1,062,585 667,365 Comme
Slide 22: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable Non-recourse securitization obligation, collateralized by loans in securitization trusts - at fair value Securities sold under agreements to repurchase Unrealized depreciation on TBA
Slide 23: Appendix: Q3 FY22 GAAP Reconciliation of Distributable Earnings
Appendix: Q3 FY22 GAAP Reconciliation of Distributable Earnings Three Months Ended September 30, 2022 September 30, 2021 (in thousands) Net income allocable to common stockholder(s) $ (83,353) $ 6,340 Adjustments: Net unrealized (gains) losses on derivatives (10,936) 3,837 Net unrealized (gains) los
Slide 24: Appendix: Q3 FY22 GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: Q3 FY22 GAAP Reconciliation of Economic Book Value (Unaudited) September 30, 2022 June 30, 2022 March 31, 2022 December 31, 2021 GAAP total stockholders’ equity $ 264,957 367,284 $ 421,436 $ 491,390 Preferred stock (101) (101) (101) (101) GAAP total common stockholders’ equity for book val