Financial Performance - Q3 GAAP Net Income was a loss of ($3.40)/share[8] - Q3 Distributable Earnings were $0.84/share[8] - Q3 Distributable Earnings Return on Average Equity was 26.4%[8, 13] - Book Value per Share declined (27.8%) compared to Q2 2022, primarily due to unrealized mark-to-market losses[9] - Economic Book Value (EBV) declined (19.4%) to $12.94/share versus Q2 2022 EBV of $16.05/share[9] Portfolio Composition - Total Fair Value of Residential Loans was $1.1 Billion with a weighted average coupon of 4.72%[26] - Loans in Securitization Trust totaled $1.175 Billion with a weighted average loan coupon of 4.74%[32] - RMBS Portfolio Total Fair Value was $1.069 Billion with a weighted average coupon of 6.5%[35] Securitization Activity - AOMR closed its fourth post-IPO securitization in July for $184.7 Million with a 5.22% Weighted Average Coupon[22] - The face value of securities sold in the AOMR 2022-4 Securitization was $159.1 Million[24]

Financial Data and Key Metrics Changes - For Q2 2022, the company reported a GAAP net loss of $52.1 million or $2.13 per common share, while distributable earnings were $22.8 million or $0.90 per common share, with a Q2 annualized distributable return on average equity of 23.1% [15][16] - The target asset portfolio increased from $2.7 billion to $3.2 billion, representing a 19% increase [15] - Interest income for the quarter was $29.7 million, a 10% quarter-over-quarter increase [15] - GAAP book value per share decreased to $14.73 from $16.80, a 12.3% decline due to unrealized mark-to-market losses [16] - Economic book value was $16.05 per share, down 8.8% from $17.61 [16] Business Line Data and Key Metrics Changes - The weighted average coupon of loans in the portfolio increased from 4.52% to 4.68% from the end of Q1 to the end of Q2, with new loan purchases in June and July showing coupons of 6.46% and 6.93% respectively [17] - The company purchased $257 million of non-agency mortgages during the quarter [17] Market Data and Key Metrics Changes - The company faced a volatile fixed income market with significant downward pricing pressure on mark-to-market assets, partially offset by an interest rate hedging strategy [10] - The securitization market was extremely limited, but the company successfully executed a $185 million securitization in July [18][19] Company Strategy and Development Direction - The company remains aligned with the Angel Oak Ecosystem, focusing on high-quality non-QM mortgage loans and programmatic securitization to lock in fixed funding costs [8][9] - The management emphasized the importance of strong underwriting and sound liquidity management to navigate market volatility [24] Management's Comments on Operating Environment and Future Outlook - Management acknowledged the challenges posed by rising interest rates and market dislocation but expressed confidence in the company's ability to adapt and capitalize on opportunities [7][11] - The company aims to continue executing at least one securitization per quarter while monitoring market conditions closely [20] Other Important Information - The company declared a second quarter 2022 dividend of $0.45 per common share, payable on August 31, 2022 [14] - The company repurchased approximately 190,000 common shares for about $3 million through its stock repurchase plan [23] Q&A Session Summary Question: How is the company managing its cash position and future securitizations? - Management is closely monitoring cash and unencumbered assets, indicating a balanced approach to liquidity management while preparing for potential securitization opportunities [28][29] Question: What is the rationale behind the recent securitization structure? - The weighted average cost of funding for the recent securitization was 5.8%, with the average coupon on the loan pool at 5.22%, reflecting the pricing dynamics in the current market [33][34] Question: How does the new economic book value measure differ from GAAP book value? - The economic book value accounts for the fair value of securitization obligations, providing a clearer picture of the company's current value in a rising rate environment [36] Question: What is the company's strategy regarding acquisitions in the current market? - The company is looking to capitalize on high-return loans while maintaining discipline in managing existing securitization pipelines, indicating a cautious yet opportunistic approach [46][47] Question: How is the company positioned in the non-QM market amid industry challenges? - Management believes that the current challenges present an opportunity to increase market share, as some competitors are struggling, allowing the company to solidify its leadership position [44]

Part I - FINANCIAL INFORMATION [Item 1. Financial Statements (Unaudited)](index=3&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)) The unaudited Q1 2022 financial statements reveal a significant increase in total assets to $3.20 billion, a net loss of $43.5 million primarily from unrealized losses, and a decrease in stockholders' equity to $421.4 million [Condensed Consolidated Balance Sheets](index=3&type=section&id=Condensed%20Consolidated%20Balance%20Sheets) As of March 31, 2022, total assets grew to $3.20 billion and liabilities to $2.78 billion, primarily from mortgage loans and securitization obligations, leading to a decline in stockholders' equity to $421.4 million Condensed Consolidated Balance Sheet Highlights (in thousands) | Account | March 31, 2022 | December 31, 2021 | | :--- | :--- | :--- | | **Total Assets** | **$3,198,201** | **$2,577,929** | | Residential mortgage loans - at fair value | $1,103,773 | $1,061,912 | | Residential mortgage loans in securitization trusts | $1,077,967 | $667,365 | | **Total Liabilities** | **$2,776,765** | **$2,086,539** | | Notes payable | $956,165 | $853,408 | | Non-recourse securitization obligation | $1,031,200 | $616,557 | | **Total Stockholders' Equity** | **$421,436** | **$491,390** | [Condensed Consolidated Statements of Operations and Comprehensive Income (Loss)](index=4&type=section&id=Condensed%20Consolidated%20Statements%20of%20Operations%20and%20Comprehensive%20Income%20(Loss)) For Q1 2022, the company reported a net loss of $43.5 million, a significant shift from $9.5 million net income in Q1 2021, primarily due to $53.8 million in net unrealized losses on mortgage loans and derivatives Statement of Operations Highlights (in thousands, except per share data) | Metric | Q1 2022 | Q1 2021 | | :--- | :--- | :--- | | Net Interest Income | $16,939 | $9,201 | | Total Realized and Unrealized (Losses) Gains, Net | $(53,765) | $2,230 | | Total Operating Expenses | $10,172 | $1,944 | | Net (Loss) Income | $(43,541) | $9,487 | | Basic (Loss) Earnings Per Common Share | $(1.77) | $0.60 | [Condensed Consolidated Statements of Changes in Stockholder(s)' Equity](index=5&type=section&id=Condensed%20Consolidated%20Statements%20of%20Changes%20in%20Stockholder(s)'%20Equity) Stockholders' equity decreased from $491.4 million to $421.4 million in Q1 2022, driven by a net loss of $43.5 million, common stock dividends, and unrealized losses on securities - Key drivers for the decrease in stockholders' equity in Q1 2022 were the **net loss ($43.5 million)**, **common stock dividends ($11.3 million)**, and **unrealized losses on securities ($13.0 million)**[15](index=15&type=chunk) [Condensed Consolidated Statements of Cash Flows](index=6&type=section&id=Condensed%20Consolidated%20Statements%20of%20Cash%20Flows) In Q1 2022, net cash used in operating activities was $606.4 million, offset by $261.4 million from investing and $388.6 million from financing, resulting in a $43.6 million increase in cash and restricted cash Cash Flow Summary (in thousands) | Activity | Q1 2022 | Q1 2021 | | :--- | :--- | :--- | | Net Cash Used in Operating Activities | $(606,423) | $(81,615) | | Net Cash Provided by Investing Activities | $261,363 | $64,060 | | Net Cash Provided by Financing Activities | $388,644 | $15,599 | | **Change in Cash and Restricted Cash** | **$43,584** | **$(1,956)** | [Notes to the Condensed Consolidated Financial Statements](index=7&type=section&id=Notes%20to%20the%20Condensed%20Consolidated%20Financial%20Statements) The notes detail the company's focus on non-QM residential mortgage loans, its REIT status, and the consolidation of the $537.6 million AOMT 2022-1 securitization, for which the fair value option was elected for the debt - The company's primary strategy is acquiring and investing in first lien non-qualified residential mortgage ("non-QM") loans, primarily sourced from affiliated lenders[20](index=20&type=chunk) - In Q1 2022, the company securitized approximately **$537.6 million** of residential non-QM mortgage loans through the AOMT 2022-1 transaction, which was consolidated as a VIE where the company is the primary beneficiary[32](index=32&type=chunk)[33](index=33&type=chunk) - The company elected the fair value option for the non-recourse securitization obligation related to the AOMT 2022-1 issuance, a change from previous securitizations[30](index=30&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=24&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses Q1 2022's challenging macroeconomic environment, leading to unrealized losses, while highlighting a portfolio increase to $2.7 billion, $675.6 million in loan purchases, a $537.6 million securitization, and Distributable Earnings of $37.3 million [Trends and Recent Developments](index=28&type=section&id=Trends%20and%20Recent%20Developments) Q1 2022 saw a challenging macroeconomic environment with rising interest rates and widening spreads, causing unrealized losses on the whole loan portfolio, despite the company purchasing $675.6 million in loans and completing a $537.6 million securitization - Rising interest rates and widening credit spreads in Q1 2022 negatively impacted the valuation of the company's whole loan portfolio, resulting in unrealized losses[128](index=128&type=chunk)[129](index=129&type=chunk) - During Q1 2022, the company purchased **$675.6 million** in residential whole loans and completed a new securitization (AOMT 2022-1) with an unpaid principal balance of **$537.6 million**[130](index=130&type=chunk) [Key Financial Metrics](index=30&type=section&id=Key%20Financial%20Metrics) Key metrics for Q1 2022 include Distributable Earnings of $37.3 million, representing a 32.7% annualized return on average equity, and a decline in book value per share to $16.80 Distributable Earnings Reconciliation (in thousands) | Line Item | Q1 2022 | Q1 2021 | | :--- | :--- | :--- | | Net (loss) income allocable to common stockholder(s) | $(43,545) | $9,483 | | Net unrealized (gains) losses on residential loans | $64,587 | $(2,892) | | Net unrealized (gains) losses on derivatives | $(15,326) | $(1,610) | | **Distributable Earnings** | **$37,293** | **$4,839** | Book Value Per Share | Metric | March 31, 2022 | December 31, 2021 | | :--- | :--- | :--- | | Total stockholders' equity (in thousands) | $421,436 | $491,390 | | Shares outstanding | 25,085,796 | 25,227,328 | | **Book value per share** | **$16.80** | **$19.47** | [Results of Operations](index=32&type=section&id=Results%20of%20Operations) For Q1 2022, the company reported a net loss of $43.5 million, primarily due to $53.8 million in net realized and unrealized losses on mortgage loans, despite an increase in net interest income to $16.9 million and higher operating expenses of $10.2 million - Net interest income increased to **$16.9 million** in Q1 2022 from **$9.2 million** in Q1 2021, driven by a higher average balance of residential mortgage loans[151](index=151&type=chunk) - Total realized and unrealized net losses were **$53.8 million** in Q1 2022, compared to a **$2.2 million** gain in Q1 2021. The loss was primarily due to unrealized losses on residential mortgage loans caused by widening interest rate spreads, partially offset by gains on interest rate futures and TBAs[153](index=153&type=chunk)[154](index=154&type=chunk) - Total operating expenses rose to **$10.2 million** in Q1 2022 from **$1.9 million** in Q1 2021, due to increased public company costs, loan diligence, stock compensation, and **$2.0 million** in securitization costs for AOMT 2022-1[155](index=155&type=chunk)[157](index=157&type=chunk)[158](index=158&type=chunk)[159](index=159&type=chunk) [Our Portfolio](index=36&type=section&id=Our%20Portfolio) As of March 31, 2022, the company's total investment portfolio reached $3.1 billion, with target assets of $2.7 billion primarily in residential mortgage loans and RMBS, characterized by a weighted average FICO of 735 and LTV of 70% at origination Portfolio Allocation as of March 31, 2022 (in thousands) | Asset Class | Fair Value | Allocated Capital | % of Total Capital | | :--- | :--- | :--- | :--- | | Residential mortgage loans | $1,103,773 | $148,039 | 35.1% | | Residential mortgage loans in securitization trust | $1,077,967 | $46,767 | 11.1% | | RMBS | $491,287 | $362,732 | 86.1% | | **Total Target Assets** | **$2,703,786** | **$587,866** | **139.5%** | - The residential mortgage loan portfolio as of March 31, 2022, had a weighted average interest rate of **4.52%**, an origination FICO score of **735**, and an origination LTV of **70%**[168](index=168&type=chunk) [Liquidity and Capital Resources](index=50&type=section&id=Liquidity%20and%20Capital%20Resources) The company's liquidity is supported by $1.3 billion in loan financing lines ($956.2 million drawn) and repurchase facilities, with the AOMT 2022-1 securitization generating proceeds to repay $458.3 million in debt, and a new $340.0 million repurchase facility entered post-quarter - As of March 31, 2022, the company had six loan financing facilities with a total capacity of **$1.3 billion** and an outstanding balance of **$956.2 million**[221](index=221&type=chunk)[249](index=249&type=chunk) - The company completed the AOMT 2022-1 securitization in February 2022, issuing **$551.8 million** in bonds and using proceeds to repay **$458.3 million** of existing debt[257](index=257&type=chunk) - Subsequent to the quarter end, on April 13, 2022, the company entered into a new **$340.0 million** repurchase facility with Royal Bank of Canada (RBC)[112](index=112&type=chunk)[133](index=133&type=chunk) [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=58&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) As a smaller reporting company, Angel Oak Mortgage, Inc. is not required to provide this information - The company is not required to provide quantitative and qualitative disclosures about market risk because it qualifies as a smaller reporting company[269](index=269&type=chunk) [Item 4. Controls and Procedures](index=58&type=section&id=Item%204.%20Controls%20and%20Procedures) Management, including the CEO and CFO, evaluated the company's disclosure controls and procedures and concluded they were effective as of March 31, 2022. There were no material changes to the company's internal control over financial reporting during the quarter - Based on an evaluation as of the end of the period, the CEO and CFO concluded that the company's disclosure controls and procedures were effective[270](index=270&type=chunk) - No changes in internal control over financial reporting occurred during the quarter that materially affected, or are reasonably likely to materially affect, the company's internal controls[271](index=271&type=chunk) Part II. Other Information [Item 1. Legal Proceedings](index=59&type=section&id=Item%201.%20Legal%20Proceedings) The company reported no legal proceedings during the period - There are no legal proceedings to report[272](index=272&type=chunk) [Item 1A. Risk Factors](index=59&type=section&id=Item%201A.%20Risk%20Factors) There have been no material changes to the principal risk factors previously disclosed in the company's Annual Report on Form 10-K - No material changes have occurred to the risk factors disclosed in the Annual Report on Form 10-K[272](index=272&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=59&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) During Q1 2022, the company repurchased 179,959 shares of common stock at an average price of $16.67 per share, with approximately $17.3 million remaining available under its $25.0 million repurchase plan Issuer Purchases of Equity Securities (Q1 2022) | Period | Total Shares Purchased | Average Price Paid per Share | | :--- | :--- | :--- | | Jan 2022 | 106,875 | $17.01 | | Feb 2022 | 26,120 | $16.64 | | Mar 2022 | 46,964 | $15.91 | | **Total** | **179,959** | **$16.67** | - The company's stock repurchase plan, initiated in June 2021, authorizes up to **$25.0 million** in share buybacks. As of March 31, 2022, approximately **$17.3 million** remained available under this authorization[274](index=274&type=chunk) [Item 3. Defaults Upon Senior Securities](index=59&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) The company reported no defaults upon senior securities - There were no defaults upon senior securities[276](index=276&type=chunk) [Item 4. Mine Safety Disclosures](index=59&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This item is not applicable to the company - Not applicable[276](index=276&type=chunk) [Item 5. Other Information](index=59&type=section&id=Item%205.%20Other%20Information) The company reported no other information - There is no other information to report[276](index=276&type=chunk) [Item 6. Exhibits](index=60&type=section&id=Item%206.%20Exhibits) This section lists all exhibits filed with the Form 10-Q, including amendments to financing agreements, CEO and CFO certifications, and XBRL data files - The exhibits include amendments to master repurchase agreements with Barclays, Deutsche Bank, and Goldman Sachs, as well as a new master repurchase agreement with Royal Bank of Canada[277](index=277&type=chunk) - Certifications by the Chief Executive Officer and Chief Financial Officer pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are included as exhibits[277](index=277&type=chunk)

Angel Oak Mortgage, Inc. (NYSE:AOMR) Q1 2022 Earnings Conference Call May 12, 2022 5:00 PM ET Company Participants Randy Chrisman - CMO Robert Williams - CEO Brandon Filson - CFO Namit Sinha - Co-CIO Conference Call Participants Don Fandetti - Wells Fargo Matthew Howlett - B. Riley Chris Kotowski - Oppenheimer & Company Operator Greetings and welcome to the Angel Oak Mortgage, Inc. First Quarter 2022 Earnings Call. At this time, all participants are in a listen-only mode. A question-and-answer session will ...

Angel Oak Mortgage, Inc. (NYSE:AOMR) Q4 2021 Results Conference Call March 15, 2022 5:00 PM ET Company Participants Randy Chrisman - Chief Marketing Officer Robert Williams - CEO Brandon Filson - CFO Namit Sinha - Co- CIO Conference Call Participants Don Fandetti - Wells Fargo Operator Greetings. Welcome to the Angel Oak Mortgage REIT Fourth Quarter Earnings Call. At this time, all participants are in a listen-only mode. A question-and-answer session will follow the formal presentation. [Operator Instructio ...