Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q1 2024 Earnings Presentation
29 slides from Angel Oak Mortgage Reit's earnings presentation, May 7, 2024
Slide 1: First Quarter 2024 Earnings Supplement
Angel Oak Mortgage REIT, Inc. First Quarter 2024 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, including Angel Oak Mortgage Operating Partnership, LP (the “Operating Partnership”), unless the context requires otherwise. Unless otherwise indicated, the
Slide 3: Important Notices
Important Notices • the effects of adverse conditions or developments in the financial markets and the economy upon our ability to acquire target assets such as non-qualified residential mortgage (“non-QM”) loans, particularly those sourced from Angel Oak’s proprietary mortgage lending platform, Ang
Slide 4: Q1 2024 Highlights & Financial Results
Q1 2024 Highlights & Financial Results 4
Slide 5: Q1 Financial Results
Q1 Financial Results Continued earnings and book value growth supported by newly originated loan purchases and securitizations KEY COMMENTARY GAAP BV: $10.55 / common share Q1 GAAP / Economic Book Value (“BV”)1 • GAAP Book Value increased 2.8% and Economic Book Value increased 1.8% Economic BV: $13.
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-market loan purchases drove the whole loan portfolio weighted average coupon to 7.11% as of the end of Q1 2024 – AOMT 2024-4 securiti
Slide 7: AOMR 2024-4 Securitization
AOMR 2024-4 Securitization In April, AOMR was the sole participant in the AOMT 2024-4 securitization for $299.8MM with a 7.4% Weighted Average Coupon 2024-4 Securitization Details as of Deal Date Class Total Balance Balance Sold Initial Coupon Fair Market Value A1 $219,777,000 $219,777,000 6.20% $21
Slide 8: Target Asset Composition
Target Asset Composition Target Asset Composition1,2 ($ millions) Key Commentary 2,869 • Decrease in Whole Pool RMBS holdings at month-end offset by bonds retained from AOMT 2024-3 comingled securitization and 1,055 2,112 2,101 principal paydowns and valuation changes 2,026 2,085 2,033 • Movement of
Slide 9: GAAP Book Value
GAAP Book Value GAAP Book Value Growth Drivers & 6.1% Highlights (3.1%) ▪ GAAP Book Value grew $0.29/share, or 2.8%, from Q4 2023 to Q1 2024 supported by profitable earnings growth and valuation tailwinds. ▪ GAAP Book Value has increased by $1.21/share net of dividends paid, or 7.6% growth, since Q1
Slide 10: Economic Book Value
Economic Book Value 4.2% Economic Book Value Growth Drivers & Highlights ▪ Economic Book Value1 grew by $0.24/share, or 1.8%, in Q1 2024 versus (2.4%) the prior quarter – Economic Book Value reflects the impact of fair value changes for our legally held retained bonds associated with loans in securi
Slide 11: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY ▪ As of today, our Recourse Debt to Equity Ratio is approximately 0.5x. This reflects the maturity of US Treasuries and their corresponding repurchase agreements on April 9th, 2024 as well as the AOMT 2024-4 securitization, which replaced $236MM of wareho
Slide 12: Q1 Distributable Earnings
Q1 Distributable Earnings Three Months Ended March 31, 20 24 March 31, 20 23 (in thousands) Net income (loss) allocable to common stockholders $ 12,874 $ 530 Adjustments: Net unrealized (gains) losses on trading securities 1 (1,605) Net unrealized (gains) losses on derivatives (445) 24,536 Net unrea
Slide 13: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances Q1 2024 Q1 2023 Interest Income / Interest Income / Average Balance Implied Annual Yield Average Balance Implied Annual Yield Expense Expense $000s Interest Income Residential Loans $ 6,432 $ 383,233 6.7% $ 7,692 $ 605,469 5.1% Residential Loans in Securiti
Slide 14: Key Portfolio Statistics
Key Portfolio Statistics 14
Slide 15: 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 150 Total Fair Value: $368.4MM # of Loans 100 Weighted Average Coupon: 7.11% 50 Weighted Average LTV at Or
Slide 16: Key Portfolio Statistics: Residential Loans by Product Type Detail
Key Portfolio Statistics: Residential Loans by Product Type Detail Residential Loans by Product Weighted Average Credit Score by Product 810 770 Investor Loans, 730 Loans Made to 32% Bank Statement Borrowers, 50% 690 Just Missed 650 Prime, 19% Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 2021 2021 2021 2022
Slide 17: Key Portfolio Statistics: Loans in Securitization Trust
Key Portfolio Statistics: Loans in Securitization Trust Total / Weighted $000s AOMT 20 21-4 AOMT 20 21-7 AOMT 20 22-1 AOMT 20 22-4 AOMT 20 23-4 Average UPB of loans $ 171,258 $ 271,134 $ 438,572 $ 161,631 $ 269,575 $ 1,312,169 Number of loans 391 719 994 365 584 3,053 Weighted Average Loan Coupon 4.
Slide 18: Key Portfolio Statistics: RMBS & Residential Loans in Sec. Trust
Key Portfolio Statistics: RMBS & Residential Loans in Sec. Trust RMBS & RESIDENTIAL LOANS IN SECURITIZATION TRUST PORTFOLIO: Portfolio LTV Trend1 75% Includes (1) legacy retained tranches of securitizations that AOMR was not a sole contributor to, (2) RMBS purchased in the secondary 74% market (if a
Slide 19: Appendix
Appendix 19
Slide 20: 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 21: 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 desired ‒ Secure a f
Slide 22: Illustrative Securitization Structure
Illustrative Securitization Structure KEY CHARACTERISTICS • Senior and mezzanine bonds receive a fixed coupon • Junior bonds receive the net Weighted Average Coupon of ~85 - 90% of collateral Senior Bonds the deal • Interest-only tranches receive remaining excess spread (AAA, AA, A rating) between t
Slide 23: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) For the Three Months Ended March 31, 2024 For the Three Months Ended March 31, 2023 (in thousands) I NTEREST I NCOME, NET I nterest income $ 25,212 $ 23,740 I nterest expense 16,633 16,941 NET I NTEREST I NCOME 8,579 6,799 REALI ZED AND UNREALI ZED GAI NS(LOSSE
Slide 24: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: March 31, 2024 December 31, 2023 (in thousands, except for share data) ASSETS Residential mortgage loans - at fair value $ 368,446 $ 380,040 Residential mortgage loans in securitization trusts - at fair value 1,201,210 1,221,067 RMBS - at fair
Slide 25: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: March 31, 2024 December 31, 2023 (in thousands, except for share data) LI ABI LI TI ES AND STOCKHOLDERS' EQUI TY LIABILITIES Notes payable $ 284,002 $ 290,610 Non-recourse securitization obligations, collateralized by residential loans in
Slide 26: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended March 31, 20 24 March 31, 20 23 (in thousands) Net income (loss) allocable to common stockholders $ 12,874 $ 530 Adjustments: Net unrealized (gains) losses on trading securities 1 (1,605) Net unrealized (gains) losses on deri
Slide 27: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) March 31, 2024 December 31, 2023 September 30, 2023 June 30, 2023 March 31, 2023 in thousands, except for share and per share data GAAP total stockholders’ equity 263,324 256,106 231,802 232,676 244,379 Adjustments: Fair value adjustme
Slide 28: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) FY21 FY22 1Q23 2Q23 3Q23 4Q23 FY23 1Q24 Interest Income 60,555 115,544 23,740 23,763 23,900 24,550 95,953 25,212 Interest Expense 11,476 63,024 16,941 17,311 16,490 16,310 67,052 16,633 NET I NTEREST I NCOME 49,0 79 52,520 6,799 6,452 7,4
Slide 29: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) 4Q21 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 Assets: Residential Mortgage Loans - at fair value 1,061,912 770,982 544,436 296,529 284,383 380,040 368,446 Residential mortgage loans in securitization trusts - at fair value 667,365 1,027,442 1,028,768 1,241,994 1
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