Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q2 2022 Earnings Presentation
24 slides from Angel Oak Mortgage Reit's earnings presentation, Aug 9, 2022
Slide 1: Second Quarter 2022 Earnings Supplement
Second Quarter 2022 Earnings Supplement Angel Oak Mortgage, Inc.
Slide 2: Important Notices
Important Notices 2 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 “Ange
Slide 3: Important Notices
Important Notices 3 • the impact of the ongoing 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 oth
Slide 4: Q2 Highlights & Financial Results
Q2 Highlights & Financial Results 4
Slide 5: The AOMR Model
Target approximately one securitization per quarter to lock in funding term and rates and provide capital for additional loan purchases Seek to consistently grow asset base of loans and securities to drive increasing returns Intend to declare quarterly dividends that balance shareholder income and l
Slide 6: Q2 Financial Results
Q2 Financial Results 6 $0.90/shareDistributable Earnings1 Declared Q2 dividend of $0.45/shareDividend ($2.13)/shareGAAP Net Income $16.05/shareEconomic Book Value1 Q2: 23.13% Distributable Earnings ROAE1 $14.73/shareBook Value 1 See Appendix for definition and reconciliation to comparable GAAP metri
Slide 7: Q2 FY22 Interest Income and Average Asset Balances
Q2 FY22 Interest Income and Average Asset Balances 7 1 Displays Target Asset Balances and Income, which includes Residential Loans, Loans in Securitization Trust, RMBS, Commercial Loans, and CMBS, excludes $100k of other interest 2 Excludes Debt Issuance Costs Angel Oak Mortgage, Inc. $000s Interest
Slide 8: Q2 Distributable Earnings
Q2 Distributable Earnings 8 GAAP Net Income includes the impact of unrealized Gains/(Losses) due to mark-to-market valuations that do not impact Distributable Earnings ‒ When interest rates rise, the unrealized mark-to-market valuation of existing securities and loans will decline Angel Oak Mortgage
Slide 9: Target Asset Growth
Target Asset Growth 9 1 Displays Target Asset Balances as of quarter end, which includes Residential Loans, Loans in Securitization Trust, RMBS, Commercial Loans, and CMBS Angel Oak Mortgage, Inc. KEY COMMENTARY Balance Sheet grew 19% from Q1 to Q2 as the business matures, in line with previous Qu
Slide 10: Book Value
Book Value 10 KEY COMMENTARY • Book Value of $14.73 including impact of $0.45 dividend paid in May, down from $16.80 at end of Q1 • Q2 Book Value decrease driven by unrealized losses on mark-to-market on our whole loan, on-balance sheet securitization, and RMBS portfolios Angel Oak Mortgage, Inc.
Slide 11: Book Value (Economic Book Value)
Book Value 11 Economic Book Value marks the amortized cost liability balances of our Non-Recourse Financing Obligation Angel Oak Mortgage, Inc.
Slide 12: AOMR 2022-4 Securitization
AOMR 2022-4 Securitization 12 KEY COMMENTARY • $184.7MM Securitization; Face Value of securities sold $159.1MM • Weighted average coupon of loans underlying portfolio of 5.22% • AOMR retained M1, B1, B2, B3, XS, and A-IO-S tranches • Average credit score: 725; Average Loan-to-Value (LTV): 75.1% 2022
Slide 13: Key Portfolio Statistics
Key Portfolio Statistics 13
Slide 14: Key Portfolio Statistics: Residential Loans
Key Portfolio Statistics: Residential Loans 14 Residential Loans by Product RESIDENTIAL LOAN PORTFOLIO: Residential Loans represent individual loans awaiting securitization Total Fair Value: $1.3B Weighted Average Coupon: 4.7% Weighted Average LTV at Origination: 70.8% Weighted Average FICO Score at
Slide 15: Key Portfolio Statistics: Loans in Securitization Trust
Key Portfolio Statistics: Loans in Securitization Trust 15 As of June 30, 2022. 1 No state in other represents more than a 3% in the underlying collateral Angel Oak Mortgage, Inc. Loans in Securitization Trust Geographic Diversification $000s AOMT 2021-4 AOMT 2021-7 AOMT 2022-1 Total / Weighted Aver
Slide 16: Key Portfolio Statistics: RMBS
Key Portfolio Statistics: RMBS 16 RMBS PORTFOLIO: Our RMBS Portfolio represents the legacy retained tranches of securitizations that AOMR took part in before becoming a public company in June 2021 as well as any RMBS purchased in the secondary market. Total Fair Value: $923MM Weighted Average Coupon
Slide 17: Appendix
Appendix 17
Slide 18: AOMR Investment Strategy
AOMR Investment Strategy 18Angel Oak Mortgage, Inc. ACQUIRE PREDOMINANTLY NON-QM LOANS SECURITIZE LOANS RETAIN PORTIONS OF SECURITIZATION REINVEST • Typically retain the bottom 4-10% of market value of the securitization • Retention of subordinated and interest- only tranches can drive higher return
Slide 19: Illustrative Securitization Structure
Angel Oak Mortgage, Inc. Illustrative Securitization Structure 19 Senior Bonds (AAA, AA, A rating) Interest Only Mezzanine Bonds (BBB, BB, B rating) ~85 - 90% of the deal Junior Equity (unrated) ~0 - 10% of the deal ~5 - 10% of the deal KEY CHARACTERISTICS • Senior and mezzanine bonds receive a fixe
Slide 20: Appendix: Q2 FY22 Income Statement (Unaudited)
Appendix: Q2 FY22 Income Statement (Unaudited) 20Angel Oak Mortgage, Inc.
Slide 21: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) 21Angel Oak Mortgage, Inc. June 30, 2022 December 31, 2021 ASSETS Residential mortgage loans - at fair value $ 1,279,341 $ 1,061,912 Residential mortgage loans in securitization trusts - at fair value 982,579 667,365 Commercial mortgage loans - at fai
Slide 22: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) 22Angel Oak Mortgage, Inc. June 30, 2022 December 31, 2021 LIABILITIES AND STOCKHOLDERS' EQUITY LIABILITIES Notes payable $ 1,102,101 $ 853,408 Non-recourse securitization obligation, collateralized by residential mortgage loans - at fair value
Slide 23: Appendix: Q2 FY22 GAAP Reconciliation of Distributable Earnings
Appendix: Q2 FY22 GAAP Reconciliation of Distributable Earnings 23 Distributable Earnings is a non-GAAP measure and is defined as net income (loss) allocable to common stockholders as calculated in accordance with GAAP, excluding (1) unrealized gains and losses on our aggregate portfolio, (2) impair
Slide 24: Appendix: Q2 FY22 GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: Q2 FY22 GAAP Reconciliation of Economic Book Value (Unaudited) 24 “Economic book value” is a non-GAAP financial measure of our financial position. To calculate our economic book value, the portions of our non-recourse financing obligation held at amortized cost are adjusted to fair value.