-Angel Oak Mortgage REIT, Inc. (NYSE: AOMR) (the “Company,” “we,” and “our”), a leading real estate finance company focused on acquiring and investing in first lien non-QM loans and other mortgage-related assets in the U.S. mortgage market, today reported financial results for the quarter ended March 31, 2023.

First Quarter Highlights

• Q1 2023 GAAP net income of $0.5 million, or $0.02 per diluted share of common stock.

• Q1 2023 Distributable Earnings loss of ($9.1) million, or ($0.37) per diluted share of common stock.

• GAAP book value increased to $9.80 per share of common stock as of March 31, 2023, up from $9.49 per share of common stock as of December 31, 2022.

• Economic book value increased to $13.39 per share of common stock as of March 31, 2023, up from $13.11 per share of common stock as of December 31, 2022.

• Declared dividend of $0.32 per share of common stock, payable on May 31, 2023, to common stockholders of record as of May 22, 2023.

Sreeni Prabhu, Chief Executive Officer and President of the Company, commented, “The first quarter of 2023 has shown signs of stabilization compared to 2022; however, volatility remains in rates and securitization markets as uncertainty regarding future Fed policy decisions, unemployment and recession concerns, and the failure of several regional banks have fueled investor apprehension. Fortunately, our execution in late-2022 in accordance with our strategic plan to reposition our portfolio, improve liquidity, and reduce risk, allowed AOMR to weather the continued volatility. We are pleased with our results; notably, we achieved a 3.3% increase in GAAP book value and a 2.1% increase in Economic Book Value, respectively, compared to the prior quarter. We were able to take advantage of the stronger securitization market in January to participate in the closing of the AOMT 2023-1 securitization, which drove positive economics and strengthened our portfolio, and we look forward to executing our next securitization shortly. Additionally, I am pleased to say that we have resumed purchasing newly originated, higher-coupon loans. I am confident in our strategy and our team, and I look forward to demonstrating the earnings power of our portfolio in the coming quarters.”

First Quarter Portfolio and Investment Activity

• In January 2023, the Company participated in AOMT 2023-1, an approximately $580.5 million scheduled principal balance securitization backed by a pool of residential mortgage loans, to which the Company contributed loans with a scheduled principal balance of $241 million. This was AOMR’s first securitization in which it participated alongside other Angel Oak entities since 2020.

• In addition to releasing $16 million of cash, the Company retained its economic ownership interest in the rated bonds from the securitization, which had a fair value of $22 million as of the deal date.

• Distributable Earnings are negative due to the realization of losses on loans contributed to the AOMT 2023-1 securitization; however, a higher valuation of the loans upon securitization drove positive net GAAP economics of approximately $10MM.

Capital Markets Activity

• Contributed to the AOMT 2023-1 securitization, contributing $241.3 million scheduled unpaid principal balance.

• As of March 31, 2023, the Company was party to three financing lines which permit borrowings in an aggregate amount of up to $1.1 billion.

• Our total financing capacity as of March 31, 2023, stands at $1.13 billion of which approximately $440 million is drawn, leaving capacity of approximately $690 million for new loan purchases.

Balance Sheet

• Target assets totaled $2.1 billion as of March 31, 2023.

• Held residential mortgage whole loans with fair value of $544.4 million as of March 31, 2023.

• Recourse debt to equity ratio was 3.6x as of March 31, 2023. As of today’s date, our recourse debt to equity ratio was 2.0x, reflecting the maturity of US Treasury bill repurchases on April 11, 2023. This represents a decrease of 0.9x versus our recourse debt to equity ratio of 2.9x as of December 31, 2022.

Corporate

• During the first quarter, the Company’s name changed to Angel Oak Mortgage REIT, Inc. The Company’s website, CUSIP, and New York Stock Exchange ticker symbol remained unchanged.

Dividend

On May 4, 2023, the Company declared a dividend of $0.32 per share of common stock for the first quarter of 2023. The dividend is payable on May 31, 2023, to common stockholders of record as of May 22, 2023.

Conference Call and Webcast Information

The Company will host a live conference call and webcast today, May 4, 2023, at 8:30 a.m. Eastern time. To listen to the live webcast, go to the Investors section of the Company’s website at www.angeloakreit.com at least 15 minutes prior to the scheduled start time to register and install any necessary audio software.

To Participate in the Telephone Conference Call:

Dial in at least 15 minutes prior to start time.
Domestic: 1-844-826-3033
International: 1-412-317-5185

Conference Call Playback:

Domestic: 1-844-512-2921
International: 1-412-317-6671
Passcode: 10177511
The playback can be accessed through May 18, 2023.

Non-GAAP Metrics

Distributable Earnings is a non‑GAAP measure and is defined as net income (loss) allocable to common stockholders as calculated in accordance with generally accepted accounting principles in the United States of America (“GAAP”), excluding (1) unrealized gains and losses on our aggregate portfolio, (2) impairment losses, (3) extinguishment of debt, (4) non-cash equity compensation expense, (5) the incentive fee earned by our Manager, (6) realized gains or losses on swap terminations and (7) certain other nonrecurring gains or losses. We believe that the presentation of Distributable Earnings provides investors with a useful measure to facilitate comparisons of financial performance among our REIT peers, but has important limitations. We believe Distributable Earnings as described above helps evaluate our financial performance without the impact of certain transactions but is of limited usefulness as an analytical tool. Therefore, Distributable Earnings should not be viewed in isolation and is not a substitute for net income computed in accordance with GAAP. Our methodology for calculating Distributable Earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and as a result, our Distributable Earnings may not be comparable to similar measures presented by other REITs.

Economic book value is a non-GAAP financial measure of our financial position. To calculate our economic book value, the portions of our non-recourse financing obligation held at amortized cost are adjusted to fair value. These adjustments are also reflected in our end of period total stockholders’ equity. Management considers economic book value to provide investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for our legally held retained bonds, irrespective of the accounting model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for book value per share of common stock or stockholders’ equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies.