Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q4 2022 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Mar 9, 2023
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
Slide 3: • • • • • • • • • • • • • •
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Slide 4: Q4 2022 and FY 2022 Highlights & Financial Results
Q4 2022 and FY 2022 Highlights & Financial Results
Slide 5: Highlights
Highlights In Q4, AOMR outlined the key goals of its strategic plan to reposition its portfolio: * Reduce mark-to-market warehouse financing risk + Improve and maintain liquidity * Protect capital structure * Grow earning power of portfolio AOMR has advanced its strategic plan by taking the below ke
Slide 6: Q4 & FY22 Financial Results
Q4 & FY22 Financial Results Annual Declared Q4 dividend of Distributable FY22: 5.5% $0.32/share Earnings ROAE* FY22 GAAP Net Tnconie ($7.65)/share CAVA § ©$9.49/share FY22 Distributable $0.78/share Value? $13.11/share Earnings: Economic Book KEY COMMENTARY + Asa result of Q4 loan sale and non mark-t
Slide 7: FY22 Interest Income and Average Asset Balances
FY22 Interest Income and Average Asset Balances YE 2022 YE 2021 doo0s ee pene ' average Balance Implied Yield a ee hanes Average Balance —_Implied Yield Interest Income Residential Loans 51,634 1,082,632 4.8% 25,705 544,440 4.7% Residential Loans in Securitization Trust 48,022 1,004,632 4.8% 7,709 1
Slide 8: Q4 and FY22 Distributable Earnings
Q4 and FY22 Distributable Earnings Three Months Ended December 31, 2021 Twelve Months Ended December 31, 2021 (in thousands) (in thousands) Net income (loss) allocable to common stockholder(s) $ (8,801) $ 3,053 $ (187,847) $ 21,098 Adjustments: Net unrealized (gains) losses on derivatives (11,484) 1
Slide 9: Target Asset Composition
Target Asset Composition 1,684 1,271 eae 723 320 er 723 Q2 2021 Q3 2021 Commercial Loans & CMBS KEY COMMENTARY Target Asset Composition? ($ millions) 3,214 3,220 2,869 2,704 923 2,244 486 983 667 1,062 Aap) Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 WResidential Loans © G@Residential Loans in Securitiz
Slide 10: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend Notes Payable vs. Recourse Debt to Equity’ Trend ($ millions) 1,200 4.0x 3.5x 1,000 3.0x 800 2.5x 600 20K 1.5x 400 1.0x 200 0.5x Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Mmm Notes Payable ——Recourse Debt to Equity KEY COMMENTARY = Q4 2022 Recourse Debt to Equity at its l
Slide 11: GAAP Book Value
GAAP Book Value $19.47 $16.80 ($2.67) $14.73 ($2.07) $10.63 ($4.10) Co WH __sg09 ($0.76) ($0.32) ($0.06) : 2 ne e ne one cod e ye sia ao’ 29 oo 29 ao’ Nia or ow’ ow oi go 8 Rha i) @° om Re ro if 5 we on oe? oe eo 2 Ps) oe 3 3° os oe yo? eo 2 KEY COMMENTARY + GAAP Book Value of $9.49 including impact
Slide 12: Economic Book Value
Economic Book Value $19.52 $17.61 ($1.91) $16.05 ($1.56) | $12.94 $1.25 $13.11 ($3.11) co _. ($0.76) ($0.32) ~ Vv Vv Vv o > iv § ¢ § ¢ § £ § § F&F F § og - e 2° # é 2 $ é : ro Py 8 Py $ ¢ s e e e e oe ws S e BS Y Ri 2 “ @ ¢ & Economic Book Value marks the amortized cost liability balances of our Non
Slide 13: AOMR 2023-1 Securitization
AOMR 2023-1 Securitization In January 2023, AOMR took part in its fifth post-IPO securitization for $580.5MM with a 5.25% Weighted Average Coupon 2023-1 Securitization Details as of Deal Date Class Total Balance Balance Sold Initial Coupon Fair Market Value Expected Yield AL $434,481,000 $434,481,00
Slide 14: Statistics
Statistics
Slide 15: # o f Lo an s Credit Score 00 400 500 600 # o
0 100 200 300 400 500 # o f Lo an s Credit Score 0 100 200 300 400 500 600 # o f Lo an s Coupon Rate (%) CA, 43% FL, 19% TX, 7% AZ, 4% GA, 4% Other1, 23%
Slide 16: FL, 20% CA, 35% TX, 6% GA, 4% Other2, 35%
FL, 20% CA, 35% TX, 6% GA, 4% Other2, 35%
Slide 17: FL, 24% CA, 24% TX, 11% GA, 7% Other1, 34%
FL, 24% CA, 24% TX, 11% GA, 7% Other1, 34%
Slide 18: Appendix
Slide 19: 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 20: 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 21: 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 22: Appendix: FY22 Income Statement (Unaudited)
Appendix: FY22 Income Statement (Unaudited) a INTEREST INCOME, NET Interest income Interest expense NET INTEREST INCOME REALIZED AND UNREALIZED (LOSSES) GAINS, NET Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS Net unrealized (loss) gain on mortgage loans, debt at f
Slide 23: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: December 31, 2022 December 31, 2021 (in thousands, except for share and per share data) ASSETS Residential mortgage loans - at fair value $ 770,982 $ 1,061,912 Residential mortgage loans in securitization trusts - at fair value 1,027,442 667,36
Slide 24: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: December 31, 2022 December 31, 2021 LIABILITIES AND STOCKHOLDERS’ EQUITY (in thousands, except for share and per share data) LIABILITIES Notes payable $ 639,870 $ 853,408 Non-recourse securitization obligations, collateralized by resident
Slide 25: Appendix: FY22 GAAP Reconciliation of Distributable Earnings
Appendix: FY22 GAAP Reconciliation of Distributable Earnings Twelve Months Ended December 31, 2022 December 31, 2021 (in thousands) Net income (loss) allocable to common stockholder(s) $ (187,847) $ 21,098 Adjustments: Net unrealized (gains) losses on derivatives (13,054) 7,688 Net unrealized (gains
Slide 26: Appendix: FY22 GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: FY22 GAAP Reconciliation of Economic Book Value (Unaudited) December 31, September 30, —_June 30, March 31, December 31, 2022 2022 2022 2022 2021 $ 236,479 $ 264,957 $ 367,284 $ 421,436 $ 491,390 GAAP total stockholders’ equity Preferred stock - (101) (101) (101) (101) GAAP total common st
Slide 27: Condensed Income Statement History
Condensed Income Statement History 2021 3021 4Q21 FY24 1922 2022 3022 4022 FY22 Interest Income 12,143 15,587 22,792 60,555 27,109 29,702 30,148 28,585 115,544 Interest Expense 1,846 2,599 6,199 11,476 10,170 13,271 18,408 21,175 63,024 NET INTEREST INCOME 10,297 12,988 16,593 49,079 16,939 16,431 1
Slide 28: Balance Sheet History
Balance Sheet History 2021 3021 4021 Fy21 1022 2022 3022 4022 Fy22 Assets: Residential Mortgage Loans - at fair value 529,329 723,139 1,061,912 1,061,912 1,103,773 1,279,341 1,069,476 770,982 770,982 Residential mortgage loans in securitization trusts - at fair value : 319,812 667,365 667,365 1,077,