Angel Oak(US:AOMR)2024-08-07 10:43Financial Performance - Angel Oak Mortgage REIT, Inc. reported a net interest margin (NIM) increase due to higher yields on target assets, despite holding fewer assets compared to Q2 2023[144]. - Distributable Earnings for Q2 2024 were a loss of $2.3 million, compared to a loss of $3.9 million in Q2 2023[153]. - Net interest income for Q2 2024 was $9.463 million, an increase from $6.452 million in Q2 2023[165]. - Interest income for Q2 2024 was $25.902 million, up from $23.763 million in Q2 2023[165]. - Net interest income for the three months ended June 30, 2024, was $9.5 million, an increase from $6.5 million in the same period of 2023, primarily due to higher asset yields despite lower average balances[168]. - Total interest income for the six months ended June 30, 2024, was $51.1 million, compared to $47.5 million for the same period in 2023, reflecting an increase in interest income from residential mortgage loans[180]. - The company reported a net income of $12.6 million for the six months ended June 30, 2024, compared to a net loss of $3.2 million in the same period of 2023[180]. - Total realized and unrealized gains (losses) for the six months ended June 30, 2024, resulted in a net gain of $5.2 million, compared to a loss of $(4.4) million for the same period in 2023[185]. Asset Management - The company purchased $114.4 million of newly-originated non-QM residential mortgage loans with a weighted average coupon of 7.93%, LTV of 70.4%, and credit score of 757 in Q2 2024[147]. - The weighted average price of the residential whole loans portfolio increased by approximately 216 basis points since the end of Q1 2024[142]. - The weighted average coupon of the residential whole loans portfolio rose by 60 basis points to 7.71% as of the end of Q2 2024[142]. - As of June 30, 2024, the portfolio consisted of approximately $1.9 billion in residential mortgage loans, RMBS, and other target assets[193]. - The weighted average interest rate of residential mortgage loans in the portfolio as of June 30, 2024, was 7.71%[200]. - The percentage of loans 90+ days delinquent based on unpaid principal balance (UPB) was 1.5% as of June 30, 2024[200]. - The portfolio's LTV (Loan-to-Value) at loan origination averaged 70.7% as of June 30, 2024[200]. Financing Activities - The company closed a public offering of $50 million in 9.500% Senior Notes due 2029, with proceeds intended for general corporate purposes and acquisition of non-QM loans[143]. - Total borrowing capacity was $1.1 billion as of June 30, 2024[149]. - The company has three warehouse loan financing lines allowing borrowings up to $1.1 billion as of June 30, 2024[250]. - The total unused borrowing capacity across all financing lines as of June 30, 2024, was $948.8 million[271]. - The financing facility with Multinational Bank 1 has an interest rate pricing spread of 1.75% as of June 25, 2024, and is set to expire on December 26, 2024[268]. - Global Investment Bank 2 has a new master repurchase agreement with a borrowing capacity of $250.0 million, set to terminate on March 27, 2026[257]. - The total drawn amount as of June 30, 2024 was $101.2 million, down from $290.6 million as of December 31, 2023[268]. Operational Efficiency - Operating expenses for the three months ended June 30, 2024, decreased to $1.3 million from $2.2 million in the same period of 2023, due to cost-saving measures[172]. - Operating expenses decreased to $3.3 million for the six months ended June 30, 2024, down from $4.4 million in 2023, due to cost-saving measures[186]. - The management fee incurred with affiliates decreased to $1.3 million for the three months ended June 30, 2024, from $1.5 million in the same period of 2023, attributed to a decrease in average equity[177]. - Management fees incurred with affiliates decreased to $2.6 million for the six months ended June 30, 2024, from $3.0 million in 2023[191]. Securitization Activities - Angel Oak executed the AOMT 2024-4 securitization, contributing approximately $300 million in scheduled unpaid principal balance of residential mortgage loans[142]. - The company participated in the AOMT 2024-6 securitization, contributing approximately $22.9 million in scheduled unpaid principal balance of residential mortgage loans[148]. - The company participated in a securitization transaction in June 2024, issuing approximately $479.6 million in face value of bonds, with a retained investment of approximately $2.5 million[278]. - Securitization costs for the three months ended June 30, 2024, were $1.4 million, an increase from $1.0 million in the same period of 2023, reflecting proportional allocations related to securitizations[176]. Risk Management - The company expects to utilize various derivative instruments and hedging strategies to mitigate interest rate and credit risks[288]. - The company expects quarter-to-quarter GAAP earnings volatility due to changes in the fair values of consolidated assets and liabilities[298]. - Margin call provisions are included in the agreements, allowing lenders to require cash transfers to eliminate margin deficits due to declines in market value[256]. Cash Flow and Liquidity - The cash flows provided by operating activities for the six months ended June 30, 2024, were $16,014,000, a significant decrease from $292,025,000 for the same period in 2023[292]. - The financing cash flows used for the six months ended June 30, 2024, were $(3,347,000), compared to $54,962,000 provided for the same period in 2023[295]. - The cash and cash equivalents as of June 30, 2024, were sufficient to meet liquidity covenants under financing facilities, with restricted cash of approximately $2.1 million[290].