Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q1 2022 Earnings Presentation
22 slides from Angel Oak Mortgage Reit's earnings presentation, May 12, 2022
Slide 1: shee. -.- -
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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, 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
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Slide 4: Financial Results
Financial Results
Slide 5: The AOMR Model
The AOMR Model AOMR is committed to generating attractive risk-adjusted returns and long-term capital appreciation to drive substantial total economic return to our shareholders Source and purchase high-quality, non-QM loans leveraging the Quarterly infrastructure, scale, and expertise Dividend of A
Slide 6: Q1 Financial Results
Q1 Financial Results os Distributable Dividend ate of Earnings Q1: 32.7% . ROAE* CT VV atreucy ($1.77)/share Book Value $16.80/share Distributable Target Balance Eien: $1.49/share ShestAssets 20% Growth vs. Q4 2021 KEY COMMENTARY * Purchased $676MM of loans in Q1 2022; $108MM purchased in Q2 through
Slide 7: FY22 Interest Income and Average Asset Balances
FY22 Interest Income and Average Asset Balances Q12022 Q4 2021 Interest Income / Interest Income / $000s Expense Average Balance Expense Average Balance Interest Income Residential Loans $ 11,981 $ 1,108,704 | $ 11,742 $ 943,524 Residential Loans in Securitization Trust 10,418 881,294 5,117 557,080
Slide 8: Q1 Distributable Earnings
Q1 Distributable Earnings Three Months Ended March 31, 2021 March 31, 2022 (in thousands) Net income allocable to common stockholder(s) $ (43,545) 9,483 Adjustments: Net realized and unrealized (gains) losses on derivatives (15,326) (1,610) Net unrealized (gains) losses on residential loans in secur
Slide 9: Target Asset Growth
Target Asset Growth Balance Sheet Composition ($ millions) 2,704 2,244 486 1,684 1,271 667 723 481 1,062 ee 529 232 Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022 m Commercial Loans & CMBS Residential Loans BLoans in Securitization Trust @RMBS KEY COMMENTARY = Target asset balance growth of 20% versus Q4 2
Slide 10: Book Value
Book Value $19.26 80:22, ___ — fan $0.11 $19.47 $0.12 $0.36 ‘ ’ ($0.45) $16.80 ($2.22) ve aC a RY ose og gt gs se oe at ow® oo apt 3 oP ° ° - of oF ‘ of oe & Ad @ 3 e on) KEY COMMENTARY * Book Value of $16.80 including impact of $0.45 dividend paid in March, down from $19.47 at end of FY21 * Q1 Book
Slide 11: AOMR 2022-1 Securitization
AOMR 2022-1 Securitization AOMR closed its third post-IPO securitization for $537.6MM, with a 4.48% Weighted Average Coupon and a 3.06% Weighted Average Cost of Capital 2022-1 Securitization Details as of Deal Date Class Total Balance AL 416,347,000 A2 40,587,000 A3 31,179,000 M1 21,772,000 B1 6,450
Slide 12: Statistics
Statistics
Slide 13: Key Portfolio Statistics: Residential Loans
Key Portfolio Statistics: Residential Loans RESIDENTIAL LOAN PORTFOLIO: Residential Loan Portfolio 208 Credit Score Distribution Residential Loans represent individual loans awaiting securitization 400 Total Fair Value: $1.1B 2 300 By Weighted Average Coupon: 4.5% 3 200 Weighted Average LTV at Origi
Slide 14: 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 Average UPB of loans $ 225,216 $ 349,088 $ 517,987 $ 1,092,291 Number of loans 494 876 1,113 2,483 Weighted Average Loan Coupon 5.10% 4.80% 4.47% 4.71% Average Loan Amount $ 456 399 $ 4
Slide 15: Key Portfolio Statistics: RMBS
Key Portfolio Statistics: RMBS RMBS PORTFOLIO: RMBS Portfolio LTV Trend Our RMBS Portfolio represents the legacy securitizations that 77.0% AOMR took part in before becoming a public company in June 2021 as well as any RMBS purchased in the secondary market. 76.0% Only retained tranches of these sec
Slide 16: Appendix
Slide 17: AOMR Investment Strategy
AOMR Investment Strategy Our acquisition, securitization, and reinvestment processes enable us to consistently deliver on our business model + Non-QM loans offer an attractive risk- adjusted return in a growing market segment * Loans are held on financing lines with global money centers, community b
Slide 18: 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 19: Appendix: Q1 FY22 Income Statement (Unaudited)
Appendix: Q1 FY22 Income Statement (Unaudited) Three Months Ended March — Three Months Ended March 31, 2022 31,2021 INTEREST INCOME, NET Interest income $ 27,109 $ 10,033 Interest expense 10,170 832 NET INTEREST INCOME 16,939 9,201 REALIZED AND UNREALIZED (LOSSES) GAINS, NET Net realized gain (loss)
Slide 20: 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 21: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable $ 956,165 $ 853,408 Non-recourse securitization obligation, collateralized by residential mortgage loans - at fair value 1,031,200 616,557 Securities sold under agreements to repurch
Slide 22: Appendix: Q1 FY22 GAAP Reconciliation of Distributable Earnings
Appendix: Q1 FY22 GAAP Reconciliation of Distributable Earnings Three Months Ended March 31, 2022 March 31, 2021 (in thousands) Net income allocable to common stockholder(s) $ (43,545) $ 9,483 Adjustments: Net realized and unrealized (gains) losses on derivatives (15,326) (1,610) Net unrealized (gai