Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q2 2023 Earnings Presentation
28 slides from Angel Oak Mortgage Reit's earnings presentation, Aug 8, 2023
Slide 1: Second Quarter 2023 Earnings Supplement
Angel Oak Mortgage REIT, Inc. Second Quarter 2023 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 unless the context requires otherwise. Unless otherwise indicated, the term “Angel Oak” refers collectively to Angel Oak Capital Advisors, LLC (“Angel Oak Ca
Slide 3: • • • • • • • • • • • • • •
• • • • • • • • • • • • • • • • • • • • • • • • •
Slide 4: Financial Results
— ial Results
Slide 5: Q2 Financial Results
Q2 Financial Results KEY COMMENTARY Declared dividend of $0.32 / common . 2% F share payable on August 31, 2023 + Company resumed purchasing newly originated loans; weighted average coupon is 8.4%; weighted average LTV of 72%, and weighted average original FICO score of 754 as of the end of July * E
Slide 6: Target Asset Composition
Target Asset Composition KEY COMMENTARY Going forward, we expect the size of the portfolio to grow as we continue to cycle into newly originated, higher coupon loans - We do not expect the Residential Whole Loan portfolio balance will grow above what we believe we can securitize in approximately two
Slide 7: GAAP Book Value
GAAP Book Value KEY COMMENTARY = The total decline in GAAP Book Value from Q1 2023 to Q2 2023 is driven by the quarterly dividend payment and unrealized losses on loans in securitization trusts - Loans in securitization trust are the loans underlying securitizations for which the funding costs are f
Slide 8: Economic Book Value
Economic Book Value KEY COMMENTARY = The total decline in Economic Book Value? from Q1 2023 to Q2 2023 is driven by the quarterly dividend - Economic Book Value reflects the impact of fair value changes for our legally held retained bonds associated with loans in securitization trusts = Excluding th
Slide 9: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY = As of today, our recourse debt to equity ratio is 1.2x. This reflects the maturity of US Treasury repurchase agreements on July 13, 2023. = This represents a 65% reduction compared to Q2 2022; Notes Payable has decreased 79% over the same timeframe = Re
Slide 10: Q2 Distributable Earnings
Q2 Distributable Earnings Three Months Ended June 30, 2023 June 30, 2022 (in thousands) Net income (loss) allocable to common stockholders $ (3,688) $ (52,148) Adjustments: Net unrealized (gains) losses on derivatives (12,179) 24,692 Net unrealized (gains) losses on trading securities 3,882 - Net un
Slide 11: AOMR 2023-4 Securitization
AOMR 2023-4 Securitization 2023-4 Securitization Details as of Deal Date Class Total Balance Balance Sold Initial Coupon Fair Market Value Expected Yield A1 $219,660,000 $219,660,000 3.70% $198,523,436 A2 $19,491,000 $19,491,000 3.70% $17,199,759 A3 $20,202,000 $20,202,000 3.70% $17,595,186 M1 $13,5
Slide 12: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances 022023 Q2 2022 ae ! Average Balance arial ! Average Balance $000s Interest Income Residential Loans $ 6,493 $ 483,701 | $ 13,444 $ 1,243,100 Residential Loans in Securitization Trust 12,325 1,074,924 11,469 1,018,247 Commercial Loans 277 9,511 345 20,387 RM
Slide 13: Statistics
Statistics
Slide 14: Loan count by credit score and coupon rate
0 50 100 150 # o f Lo an s Credit Score 0 20 40 60 80 100 120 140 160 # o f Lo an s Coupon Rate (%)
Slide 15: Portfolio composition by loan type
Non Owner Occupied, 2% Investor Loans, 24% Just Missed Prime, 39% Loans Made to Bank Statement Borrowers, 35%
Slide 16: Key Portfolio Statistics: Loans in Securitization Trust
Key Portfolio Statistics: Loans in Securitization Trust $000s UPB of loans Number of loans Weighted Average Loan Coupon Average Loan Amount Weighted Average LTV at loan origination and deal date Weighted Average Credit Score at loan origination and deal date Current 3 month CPR" 90+ Delinquency (as
Slide 17: Geographic concentration of collateral
FL, 20% CA, 35% TX, 8%GA, 5% Other, 32%
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 % Angel Oak Mortgage REIT, 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 f
Slide 22: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) For the Three Months Ended june 30, 2023 For the Three Months Ended June 30, 2022 INTEREST INCOME, NET (in thousands, except for share and per share data) Interest income $ 23,763 29,702 Interest expense 17,311 13,271 NET INTEREST INCOME 6,452 16,431 REALIZED A
Slide 23: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: June 30, 2023 December 31, 2022 (in thousands, except for share and per share data) ASSETS Residential mortgage loans - at fair value $ 296,529 $ 770,982 Residential mortgage loans in securitization trusts - at fair value 1,241,994 1,027,442 Co
Slide 24: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: June 30, 2023 December 31, 2022 (in thousands, except for share and per share data) LIABILITIES AND STOCKHOLDERS' EQUITY LIABILITIES Notes payable $ 233,970 $ 639,870 Non-recourse securitization obligations, collateralized by residential
Slide 25: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended June 30, 2023 June 30, 2022 (in thousands) Net income (loss) allocable to common stockholders $ (3,688) $ (52,148) Adjustments: Net unrealized (gains) losses on derivatives (12,179) 24,692 Net unrealized (gains) losses on tra
Slide 26: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) June 30, 2023 March 31, 2023 December 31, 2022 in thousands, except for per share data GAAP total common stockholders’ equity for book value per share of common stock 232,676 244,378 236,479 Adjustments: Fair value adjustment for secur
Slide 27: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) 2021 3021 4Q21 Fy2i 1022 2022 3022 4022 Fy22 1023 2023 Interest Income 12,143 15,587 22,792 60,555, 27,109 29,702 30,148 28,585 115,544 23,740 23,763 Interest Expense 1,846 2,599 6,199 11,476 10,170 13,271 18,408 21,175 63,024 16,941 1731
Slide 28: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) 2021 3021 4021 Fy2t 3022 2022 3022 4022 Fy22 1023 2023 Assets: Residential Mortgage Loans - at fair value 529,329 723139 1,061,912 1,061,912, 1,103,773 1,279,341 1,069,476 770,982 770,982 544,436 296,529 Residential mortgage loans in securitization tr
Angel Oak Mortgage REIT — Q2 2023 Earnings Presentation on 6ix