Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q3 2024 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Nov 6, 2024
Slide 1: Third Quarter 2024 Earnings Supplement
Angel Oak Mortgage REIT, Inc. Third 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, Ange
Slide 4: Q3 2024 Highlights & Financial Results
Slide 5: Q3 Financial Results
Q3 Financial Results Newly originated loan purchases and valuation tailwinds drive a 10.3% GAAP Book Value increase, Interest Income grows 6% versus prior quarter KEY COMMENTARY Q3 GAAP / GAAP BV: $11.28 / common share + Completed a $50MM senior unsecured notes offering in July; majority of Economic
Slide 6: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances $000s Interest Income Residential Mortgage Loans Residential Mortgage Loans in Securitization Tri Commercial Mortgage Loans RMBS and Majority-Owned Affiliate MBS US Treasury Securities Other Interest Income Total Interest Income Interest Expense Notes Payab
Slide 7: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY = As of today, our Recourse Debt to Equity Ratio is approximately 0.7x. This incorporates the impact of the AOMT 2024-10 securitization subsequent to quarter end, as well as the maturity of US Treasuries held at the end of the third quarter. - AOMT 2024-1
Slide 8: AOMR 2024-10 Securitization
AOMR 2024-10 Securitization In October, AOMR was the sole participant in the $316.8MM AOMT 2024-10 securitization with a 7.79% Weighted Average Coupon 2024-10 Securitization Details at Issuance Class Total Balance Balance Sold Initial Coupon Fair Market Value AL $236,307,000 $236,307,000 5.35% $236,
Slide 9: Target Asset Composition
Target Asset Composition Target Asset Composition’? ($ millions) Key Commentary * Whole loan purchases drove the majority of the increase in Target Assets in the third quarter versus the second quarter of 2024 2,026 2,085 2,101 2,033 463 ¢ In total, the Residential Whole Loans balance increased by $
Slide 10: GAAP Book Value per Share
GAAP Book Value per Share $1.37 $11.28 GAAP Book Value Growth Drivers & Highlights = GAAP Book Value increased by $1.05, or $10.23 10.3%, versus the prior quarter - GAAP Book Value grew by 21.4% in the twelve months since Q3 2023 ($0.32) = GAAP Book Value per Share growth was driven by profitable ea
Slide 11: Economic Book Value
Economic Book Value $1.18 $14.02 Economic Book Value Growth Drivers & Highlights = Economic Book Value 2 increased by $0.86/share, or 6.5%, in Q3 2024 versus $13.16 the prior quarter - Economic Book Value reflects the impact of fair value changes for retained bonds associated with ($0.32) loans in s
Slide 12: Distributable Earnings
Distributable Earnings Three Months Ended September 30, 2024 September 30, 2023 (in thousands) Net income (loss) allocable to common stockholders $ 31,204 $ 8,273 Adjustments: Net unrealized (gains) losses on trading securities (984) 4,857 Net unrealized (gains) losses on derivatives 51 (4,563) Net
Slide 13: Statistics
Statistics
Slide 14: Loan coupon rate and credit score distributions
0 40 80 120 160 200 240 280 # o f Lo an s Coupon Rate (%) 0 50 100 150 200 # o f Lo an s Credit Score
Slide 15: Loan composition by borrower type
Investor Loans, 34% Just Missed Prime, 9% Loans Made to Bank Statement Borrowers, 57%
Slide 16: Loan geographic distribution
FL, 22% CA, 35% TX, 7% GA, 3% Other, 34%
Slide 17: Loan geographic distribution
FL, 20% CA, 36% TX, 8%GA, 4% Other, 31%
Slide 18: Appendix
Slide 19: 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 Loan Acquisition Securitization Financing Growing Book Value Source and purchase high-quality, non-QM loans leveraging the infrast
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 * Securitization enables us to: Companies enables AOMR to purchase high-quality loans tailored to its ‘ fi — Secure a fixe
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 s V) Angel Oak Mortgage REIT, Inc. o p. ~85-90% of the deal ~5-10% of the deal ~0 - 10% of the deal KEY CHARACTERISTICS Senior and mezzanine bonds receive
Slide 22: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) 8 V) Angel Oak Mortga Ne (in thousands) INTEREST INCOME, NET Interest income Interest expense NET INTEREST INCOME REALIZED AND UNREALIZED GAINS(LOSSES), NET Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS Net unrealized gain (lo
Slide 23: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: September 30, 2024 December 31, 2023 (in thousands, except for share data) ASSETS Residential mortgage loans - at fair value $ 428,909 $ 380,040 Residential mortgage loans in securitization trusts - at fair value 1,452,907 1,221,067 RMBS - at f
Slide 24: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: September 30, 2024 December 31, 2023 (in thousands, except for share data) LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable $ 333,042 $ 290,610 Non-recourse securitization obligation, collateralized by residential loans in s
Slide 25: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended September 30,2024 September 30, 2023 (in thousands) Net income (loss) allocable to common stockholders $ 31,204 $ 8,273 Adjustments: Net unrealized (gains) losses on trading securities (984) 4,857 Net unrealized (gains) losse
Slide 26: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) September 30, 2024 June 30, 2024 March 31, 2024 December 31, 2023 September 30, 2023 in thousands, except for share and per share data GAAP total stockholders’ equity 265,098 255,806 263,324 256,106 231,802 Adjustments: Fair value adju
Slide 27: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) Fy21 FY22 1023 2023 3023 4023 FY23 1024 2024 3024 Interest Income 60,555 115,544 23,740 23,763 23,900 24,550 95,953 25,212 25,902 27,444 Interest Expense 11,476 63,024 16,941 17311 16,490 16,310 67,052 16,633 16,439 18,424 NETINTEREST: IN
Slide 28: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) 4Q21 4922 1023 2023 3023 4023 1024 2024 3024 Assets: Residential Mortgage Loans - at fair value 1,061,912 770,982 544,436 296,529 284,383 380,040 368,446 158,940 428,909 Residential mortgage loans in securitization trusts - at fair value 667,365 1,027
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