Angel Oak Mortgage Reit, Inc. · NYSE:AOMR
Angel Oak Mortgage Reit — Q2 2024 Earnings Presentation
29 slides from Angel Oak Mortgage Reit's earnings presentation, Aug 6, 2024
Slide 1: Second Quarter 2024 Earnings Supplement
Angel Oak Mortgage REIT, Inc. Second 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, An
Slide 4: Financial Results
& Rinancial Results
Slide 5: Q2 Financial Results
Q2 Financial Results Net Interest Income expands by 47% versus Q2 2023 and 10% versus Q1 2024, demonstrating profitable loan acquisitions, consistent securitization execution, and effective capital management Q2 Net Interest Income (“NII”) Q2 GAAP & Distributable Earnings per Share (“EPS”)? Q2 GAAP
Slide 6: Interest Income and Average Asset Balances
Interest Income and Average Asset Balances $000s Interest Income Residential Loans Residential Loans in Securitization Trust Commercial Loans RMBS and Majority-Owned Affiliate CMBS US Treasury Securities Other Interest Income Total Interest Income Interest Expense Notes Payable Non-Recourse Securiti
Slide 7: Whole Loan Coupon Trend
Whole Loan Coupon Trend Whole Loan Coupon growth drives increased Net Interest Margin, reduces valuation risk, and supports future securitization execution. - Following the AOMT 2024-4 securitization, purchases of current-market loans replenished the whole loan portfolio and drove the weighted avera
Slide 8: Recourse Debt to Equity Trend
Recourse Debt to Equity Trend KEY COMMENTARY = As of today, our Recourse Debt to Equity Ratio is approximately 0.9x. This incorporates the maturity of US Treasuries and their corresponding repurchase agreements held at the end of the second quarter, as well as the senior unsecured debt issued in Jul
Slide 9: Distributable Earnings
Distributable Earnings Three Months Ended June 30, 2024 June 30, 2023 (in thousands) Net income (loss) allocable to common stockholders $ (273) $ (3,688) Adjustments: Net unrealized (gains) losses on trading securities 1,813 3,882 Net unrealized (gains) losses on derivatives (2,592) (12,179) Net unr
Slide 10: AOMR 2024-4 Securitization
AOMR 2024-4 Securitization In April, AOMR was the sole participant in the $299.8MM AOMT 2024-4 securitization with a 7.4% Weighted Average Coupon 2024-4 Securitization Details at Issuance Class Total Balance Balance Sold Initial Coupon Fair Market Value AL $219,777,000 $219,777,000 6.20% $219,774,53
Slide 11: Target Asset Composition
Target Asset Composition Target Asset Composition’? ($ millions) 2,112 2,026 2,085 2,101 2,033 1,892 595 285 1,194 1,448 284 159 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 @ Residential Whole Loans G Residential Loans in Securitization Trust G@RMBS & Investment in MOA Key Commentary A decrease
Slide 12: GAAP Book Value
GAAP Book Value $10.55 GAAP Book Value Growth Drivers & o0% Highlights $0.00 $10.23 ($0.32) (3.0%) = GAAP Book Value decreased by ($0.32), or (3.0%), versus the prior quarter — GAAP Book Value grew by 9.6% in the twelve months since Q2 2023 = GAAP Book Value was flat excluding dividends paid in Q2 2
Slide 13: Economic Book Value
Economic Book Value $13.78 Economic Book Value Growth Drivers & Highlights ($0.32) (2.3%) = Economic Book Value? decreased by $13.16 $0.62/share, or 4.5%, in Q2 2024 versus : the prior quarter ($0.30) (2.2%) - Economic Book Value reflects the impact of fair value changes for retained bonds associate
Slide 14: Key Portfolio Statistics
Slide 15: Loan count, credit score and coupon rate
0 50 100 # of L oa ns Credit Score 0 40 80 120 160 200 # o f Lo a n s Coupon Rate (%)
Slide 16: Loan type mix
Investor Loans, 36% Just Missed Prime, 26% Loans Made to Bank Statement Borrowers, 38%
Slide 17: Geographic concentration by state
FL, 22% CA, 35% TX, 7% GA, 3% Other, 34%
Slide 18: Geographic concentration by state
FL, 21% CA, 36% TX, 8%GA, 4% Other, 31%
Slide 19: Appendix
Slide 20: 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 Source and purchase high-quality, Intend to declare quarterly non-QM loans leveraging the Quarterly dividends that balance shareho
Slide 21: 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 22: Illustrative Securitization Structure
Illustrative Securitization Structure Senior Bonds (AAA, AA, A rating) Mezzanine Bonds (BBB, BB, B rating) Junior Equity (unrated) Interest Only %y 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
Slide 23: Appendix: Income Statement (Unaudited)
Appendix: Income Statement (Unaudited) For the Three Months Ended For the Three Months Ended (in thousands) June 30, 2024 June 30, 2023 INTEREST INCOME, NET Interest income $ 25,902 23,763 Interest expense 16,439 17,311 NET INTEREST INCOME 9,463 6,452 REALIZED AND UNREALIZED GAINS(LOSSES), NET Net r
Slide 24: Appendix: Consolidated Balance Sheet (Unaudited)
Appendix: Consolidated Balance Sheet (Unaudited) As of: June 30, 2024 December 31, 2023 (in thousands, except for share data) ASSETS Residential mortgage loans - at fair value $ 158,940 $ 380,040 Residential mortgage loans in securitization trusts - at fair value 1,447,901 1,221,067 RMBS - at fair v
Slide 25: Appendix: Consolidated Balance Sheet Cont. (Unaudited)
Appendix: Consolidated Balance Sheet Cont. (Unaudited) As of: June 30, 2024 December 31, 2023 (in thousands, except for share data) LIABILITIES AND STOCKHOLDERS' EQUITY LIABILITIES Notes payable $ 101,200 $ 290,610 Non-recourse securitization obligation, collateralized by residential loans in securi
Slide 26: Appendix: GAAP Reconciliation of Distributable Earnings
Appendix: GAAP Reconciliation of Distributable Earnings Three Months Ended June 30, 2024 June 30, 2023 (in thousands) Net income (loss) allocable to common stockholders $ (273) $ (3,688) Adjustments: Net unrealized (gains) losses on trading securities 1,813 3,882 Net unrealized (gains) losses on der
Slide 27: Appendix: GAAP Reconciliation of Economic Book Value (Unaudited)
Appendix: GAAP Reconciliation of Economic Book Value (Unaudited) June 30, 2024 March 31, 2024 December 31, 2023 September 30, 2023 June 30, 2023 in thousands, except for share and per share data GAAP total stockholders” equity 255,806 263,324 256,106 231,802 232,676 Adjustments: Fair value adjustmen
Slide 28: Condensed Income Statement History (Unaudited)
Condensed Income Statement History (Unaudited) (in thousands) Fy21 Fy22 1023, 2023 3023 4023 FY23 1024 2024 Interest Income 60,555 115,544 23,740 23,763 23,900 24,550 95,953 25,212 25,902 Interest Expense 11,476 63,024 16,941 17,311 16,490 16,310 67,052 16,633 16,439 NET INTEREST INCOME 49,079 52,52
Slide 29: Balance Sheet History (Unaudited)
Balance Sheet History (Unaudited) (in thousands) 4021 4022 1023 2023 3023 4023, 1024 2024 Assets: Residential Mortgage Loans - at fair value 1,061,912 770,982 544,436 296,529 284,383, 380,040 368,446 158,940 Residential mortgage loans in securitization trusts - at fair value 667,365 1,027,442 1,028,
Angel Oak Mortgage REIT — Q2 2024 Earnings Presentation on 6ix