Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q4 2021 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Mar 15, 2022
Slide 1: Fourth Quarter 2021 Earnings Supplement
Angel Oak Mortgage, Inc. Fourth Quarter 2021 Earnings Supplement
Slide 2: Table of Contents
Table of Contents Angel Oak Overview, Model, and Investment/Funding Strategy 5 Q4 and FY 2021 Financial Results & Metrics 10 Key Portfolio Statistics 18 Appendix 22 Angel Oak Mortgage, Inc. 2
Slide 3: 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 4: Important Notices
Important Notices • the ongoing impact of the COVID-19 pandemic; • the effects of adverse conditions or developments in the financial markets and the economy upon our ability to acquire non-QM loans sourced from Angel Oak’s proprietary mortgage lending platform, Angel Oak Mortgage Lending, and other
Slide 5: Angel Oak Companies Overview
Angel Oak Companies Overview AOMR is supported by the infrastructure, scale, and expertise of the Angel Oak ecosystem ANGEL OAK MORTGAGE LENDING (“AOML”) • Lending platform started in 2011 • $12.9 billion cumulative non-QM production • #1 non-bank originator of non-QM loans • Iterative relationships
Slide 6: The AOMR Model
The AOMR Model AOMR is committed to generating attractive risk-adjusted returns while driving long-term capital appreciation to seek to deliver attractive total economic return to our shareholders Source and purchase high-quality, Declare a quarterly dividend that non-QM loans leveraging the Quarter
Slide 7: AOMR Investment Strategy
AOMR Investment Strategy Our acquisition, securitization, and reinvestment processes enable us to consistently deliver on our business model • Our relationship with Angel Oak • Securitization enables us to: Companies enables us to purchase high- quality loans tailored to our desired ‒ Secure a fixed
Slide 8: Funding Strategy
Funding Strategy The AOMR funding strategy is supported by established loan financing lines, a consistent securitization shelf, and repurchase agreements for retained securities • Newly acquired loans are held on loan financing lines with global LOAN AGGREGATION money center, community banks, and re
Slide 9: Illustrative Securitization Structure
Illustrative Securitization Structure KEY CHARACTERISTICS • Senior and mezzanine bonds receive a fixed coupon • Junior bonds receive the net WAC of collateral ~85 - 90% • Interest-only tranches receive remaining excess spread Senior Bonds of the between the collateral pool and the coupon on the seni
Slide 10: Q4 and FY 2021 Highlights & Financial Results
Q4 and FY 2021 Highlights & Financial Results 10
Slide 11: Q4 and FY21 Highlights
Q4 and FY21 Highlights Q4 GAAP Net Income $0.12/share with Distributable Earnings of $0.89/share; FY21 GAAP Net Income of $1.01/share with FY21 Distributable Earnings of $1.64/share Declared a 25% increase in quarterly dividend to $0.45/share in March 2022 Completed first two securitizations as a pu
Slide 12: Q4 Financial Results
Q4 Financial Results Distributable Declared Q4 dividend of Dividend Earnings Q4: 18.1% $0.45/share in March 2022 ROAE1 GAAP Net Income Q4: $0.12/share Interest Income 28% Quarterly Growth Distributable Target Balance Q4: $0.89/share 33% Quarterly Growth Earnings Sheet Assets KEY COMMENTARY • 25% div
Slide 13: FY21 Interest Income and Average Asset Balances
FY21 Interest Income and Average Asset Balances Delivered nearly 50% annual growth in Interest Income while maintaining Net Interest Margin of 81%, demonstrating the scalability of the AOMR model YE 2021 YE 2020 Interest Income / Interest Income / Average Balance Average Balance $000s Expense Expens
Slide 14: Q4 Distributable Earnings
Q4 Distributable Earnings AOMR has quickly grown its portfolio to generate durable and robust Distributable Earnings For the Three Months Ended December 31, 2021 (in thousands) Net income allocable to common stockholder(s) $ 3,054 Adjustments: Net realized and unrealized (gains) losses on derivative
Slide 15: Target Asset Growth
Target Asset Growth Target Asset Balance Trend1 ($ millions) 2,244 • Target Asset Balance growth of 77% post- 486 1,684 IPO underscores AOMR’s post-IPO ramp • Portfolio continues to shift toward 1,271 622 667 Residential Loans and Loans in Securitization Trust, reflecting AOMR loan 723 320 procureme
Slide 16: Book Value
Book Value KEY COMMENTARY • Book Value of $19.47 including impact of $0.36 dividend paid in November, down from $19.72 in Q3 • Since IPO, have grown Book Value per Share from $19.26 to $19.47 while distributing $0.48 in dividends Angel Oak Mortgage, Inc. 16
Slide 17: AOMR 2021-7 Securitization
AOMR 2021-7 Securitization AOMR closed its second post-IPO securitization for $386.9MM, with a 4.89% Weighted Average Coupon and a 2.09% Weighted Average Cost of Capital 2021-7 Securitization Details as of Deal Date Class Total Balance Balance Sold Initial Coupon (%) Proceeds A1 301,572,000 301,572,
Slide 18: Key Portfolio Statistics
Key Portfolio Statistics 18
Slide 19: Key Portfolio Statistics: Residential Loans
Key Portfolio Statistics: Residential Loans RESIDENTIAL LOAN PORTFOLIO: Residential Loan Portfolio Residential Loans represent individual loans that are awaiting Credit Score Distribution securitization Total Fair Value: $1.1B Weighted Average Coupon: 4.5% Weighted Average LTV at Origination: 70% We
Slide 20: Key Portfolio Statistics: Loans in Securitization Trust
Key Portfolio Statistics: Loans in Securitization Trust Total / Weighted AOMT 2021-4 AOMT 2021-7 Average UPB of loans $ 270,223 $ 372,728 $ 642,951 Number of loans 568 926 1,494 Weighted Average Loan Coupon 5.17% 4.84% 4.98% Average Loan Amount $ 476 $ 403 $ 433 Weighted Average LTV at loan originat
Slide 21: Key Portfolio Statistics: RMBS
Key Portfolio Statistics: RMBS RMBS PORTFOLIO: Our RMBS Portfolio represents the legacy securitizations that AOMR took part in before becoming a public company in June 2021. Only retained tranches of these securitizations are included on our Balance Sheet Total Fair Value: $435.6MM Weighted Average
Slide 22: Appendix
Appendix 22
Slide 23: Appendix: FY21 Consolidated Income Statement (Unaudited)
Appendix: FY21 Consolidated Income Statement (Unaudited) For the Year Ended December 31, 2021 20201 (in thousands except for share and per share data) INTEREST INCOME, NET Interest income $ 60,555 $ 40,820 Interest expense 11,476 7,499 NET INTEREST INCOME 49,079 33,321 REALIZED AND UNREALIZED LOSSES
Slide 24: Appendix: GAAP Reconciliation of FY21 Distributable Earnings
Appendix: GAAP Reconciliation of FY21 Distributable Earnings For the Year Ended December 31, 2021 2020 (in thousands) Net income allocable to common stockholder(s) $ 21,098 $ 721 Adjustments: Net realized and unrealized (gains) losses on derivatives 7,688 257 Net unrealized (gains) losses on residen
Slide 25: Appendix: Q4 FY21 Income Statement (Unaudited)
Appendix: Q4 FY21 Income Statement (Unaudited) For the Three Months Ended December 31, 2021 (in thousands except for share and per share data) INTEREST INCOME, NET Interest income $ 22,792 Interest expense 6,199 NET INTEREST INCOME 16,593 REALIZED AND UNREALIZED LOSSES, NET Net realized loss on mort
Slide 26: Appendix: Q4 FY21 GAAP Reconciliation of Distributable Earnings
Appendix: Q4 FY21 GAAP Reconciliation of Distributable Earnings For the Three Months Ended December 31, 2021 (in thousands) Net income allocable to common stockholder(s) $ 3,054 Adjustments: Net realized and unrealized (gains) losses on derivatives 1,557 Net unrealized (gains) losses on residential
Slide 27: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: December 31, 2021 December 31, 2020 ASSETS Residential mortgage loans - at fair value $ 1,061,912 $ 142,030 Residential mortgage loans in securitization trusts - at fair value 667,365 - Commercial mortgage loans - at fair value 18,664 7,466 RMB
Slide 28: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) LIABILITIES AND STOCKHOLDERS' EQUITY LIABILITIES Notes payable $ 853,408 $ 81,905 Non-recourse securitization obligations, collateralized by residential mortgage loans, net 616,557 - Securities sold under agreements to repurchase 609,251 178,291 Unrea
Angel Oak Mortgage REIT — Q4 2021 Earnings Presentation on 6ix