What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-08-09 compared with 2023-05-09 · 184 added, 125 removed, 576 unchanged (35% of the section changed)

3 unchanged sentences

(in thousands, except for share data)

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Residential mortgage loans - at fair value $ 296,529 $ 770,982

15 unchanged sentences

Due to broker 390,380 1,006,022

Unrealized depreciation on TBAs and interest rate futures contracts - at fair value 8,417 —

Accrued expenses 1,372 1,288

6 unchanged sentences

Common stock, $ 0.01 par value.

As of March 31, 2023:

As of June 30, 2023:

350,000,000 shares authorized, 24,924,886 shares issued and outstanding.

3 unchanged sentences

Accumulated other comprehensive loss ( 6,565 ) ( 21,127 )

Retained deficit ( 225,468 ) ( 218,022 )

Retained earnings (deficit) ( 237,135 ) ( 218,022 )

Total stockholders’ equity $ 232,676 $ 236,479

4 unchanged sentences

(in thousands, except for share and per share data)

Three Months Ended

March 31, 2023 March 31, 2022

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

INTEREST INCOME, NET

14 unchanged sentences

INCOME (LOSS) BEFORE INCOME TAXES ( 2,907 ) ( 52,144 ) ( 2,377 ) ( 99,143 )

Income tax benefit — ( 3,457 )

Income tax expense (benefit) 781 — 781 ( 3,457 )

NET INCOME (LOSS) $ ( 3,688 ) $ ( 52,144 ) $ ( 3,158 ) $ ( 95,686 )

12 unchanged sentences

(in thousands)

Three Months Ended March 31, 2023

Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive (Loss) Income Retained Earnings (Deficit) Total Stockholder(s)’ Equity

Stockholders’ equity as of December 31, 2022 $ 249 $ 475,379 $ ( 21,127 ) $ ( 218,022 ) $ 236,479

Three Months Ended June 30, 2023

Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive (Loss) Income Retained Earnings (Deficit) Total Stockholders’ Equity

Stockholders’ equity as of March 31, 2023 $ 249 $ 475,920 $ ( 6,323 ) $ ( 225,468 ) $ 244,378

Dividends paid on common stock ($ 0.32 per share)

2 unchanged sentences

Unrealized gain on RMBS and CMBS — — ( 242 ) — ( 242 )

Net income — — — 530 530

Stockholders’ equity as of March 31, 2023 $ 249 $ 475,920 $ ( 6,323 ) $ ( 225,468 ) $ 244,378

Three Months Ended March 31, 2022

Net income (loss) — — — ( 3,688 ) ( 3,688 )

Stockholders’ equity as of June 30, 2023 $ 249 $ 476,127 $ ( 6,565 ) $ ( 237,135 ) $ 232,676

Three Months Ended June 30, 2022

Preferred Stock Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive Income (Loss) Retained Earnings (Deficit) Total Stockholders’ Equity

Stockholders’ equity as of December 31, 2021 $ 101 $ 252 $ 476,510 $ 3,000 $ 11,527 $ 491,390

Stockholders’ equity as of March 31, 2022 $ 101 $ 252 $ 474,377 $ ( 9,987 ) $ ( 43,306 ) 421,437

Repurchase of common stock — ( 3 ) ( 2,989 ) — — ( 2,992 )

2 unchanged sentences

Unrealized gain on RMBS and CMBS — — — 11,235 — 11,235

Dividends paid on common stock — — — — ( 11,216 ) ( 11,216 )

Net income (loss) — — — — ( 52,144 ) ( 52,144 )

Stockholders’ equity as of June 30, 2022 $ 101 $ 249 $ 472,356 $ 1,248 $ ( 106,670 ) $ 367,284

The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement.

Angel Oak Mortgage REIT, Inc.

Condensed Consolidated Statements of Changes in Stockholders’ Equity

(in thousands)

Six Months Ended June 30, 2023

Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive Income (Loss) Retained Earnings (Deficit) Total Stockholders’ Equity

Stockholders’ equity as of December 31, 2022 $ 249 $ 475,379 $ ( 21,127 ) $ ( 218,022 ) 236,479

Non-cash equity compensation — 748 — — 748

Unrealized gain on RMBS and CMBS — — 14,562 — 14,562

Dividends paid on common stock ($ 0.32 per share)

— — — ( 15,955 ) ( 15,955 )

Net loss — — — — ( 43,541 ) ( 43,541 )

Stockholders’ equity as of March 31, 2022 $ 101 $ 252 $ 474,378 $ ( 9,987 ) $ ( 43,308 ) $ 421,436

Net income (loss) — — — ( 3,158 ) ( 3,158 )

Stockholders’ equity as of June 30, 2023 $ 249 $ 476,127 $ ( 6,565 ) $ ( 237,135 ) $ 232,676

Six Months Ended June 30, 2022

Preferred Stock Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive Income (Loss) Retained Earnings (Deficit) Total Stockholders’ Equity

Stockholders’ equity as of December 31, 2021 $ 101 $ 252 $ 476,510 $ 3,000 $ 11,527 491,390

Repurchases of common stock — ( 3 ) ( 5,993 ) — — ( 5,996 )

Non-cash equity compensation — — 1,839 — — 1,839

Dividends declared - preferred — — — — ( 8 ) ( 8 )

Unrealized loss on RMBS and CMBS — — — ( 1,752 ) — ( 1,752 )

Dividends paid on common stock — — — — ( 22,503 ) ( 22,503 )

Net income (loss) — — — — ( 95,686 ) ( 95,686 )

Stockholders’ equity as of June 30, 2022 $ 101 $ 249 $ 472,356 $ 1,248 $ ( 106,670 ) $ 367,284

The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement.

2 unchanged sentences

(in thousands)

Three Months Ended

March 31, 2023 March 31, 2022

Six Months Ended

June 30, 2023 June 30, 2022

CASH FLOWS FROM OPERATING ACTIVITIES

18 unchanged sentences

Other assets ( 12,651 ) ( 296 )

Management fee payable to affiliate ( 448 ) 12

Accrued expenses ( 697 ) 2,143

1 unchanged sentence

Interest payable ( 1,846 ) 1,380

Management fee payable to affiliate ( 484 ) 160

Income tax expense (benefit) 781 ( 3,457 )

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES 280,560 ( 635,830 )

The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement.

Angel Oak Mortgage REIT, Inc.

Condensed Consolidated Statements of Cash Flows

(in thousands)

CASH FLOWS FROM INVESTING ACTIVITIES

Purchases of investments in RMBS ( 10,363 ) —

Purchases of investments in RMBS, available for sale ( 1,006,023 ) ( 419,748 )

Purchases of investments in RMBS, trading ( 458,068 ) —

Sale of investments in RMBS, available for sale 1,006,196 669,913

Sale of investments in RMBS, trading 449,891 —

Purchase of investment in U.S.

2 unchanged sentences

Treasury securities 400,000 600,000

Sale of RMBS (available for sale) 164 271,995

Principal payments on RMBS 202 4,936

Principal payments on residential mortgage loans in securitization trusts — 88,228

Purchases of commercial mortgage loans — ( 3,180 )

2 unchanged sentences

NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES ( 306,666 ) 502,541

The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement.

Angel Oak Mortgage REIT, Inc.

Condensed Consolidated Statements of Cash Flows

(in thousands)

CASH FLOWS FROM FINANCING ACTIVITIES

Dividends paid to common stockholders ( 15,955 ) ( 22,503 )

Repurchase of common stock — ( 3,003 )

Dividends paid to preferred shareholders — ( 8 )

Repurchases of common stock — ( 5,996 )

Principal payments on non-recourse securitization obligation ( 44,658 ) ( 156,031 )

Cash paid for debt issuance costs — ( 457 )

Proceeds from non-recourse securitization obligations — 520,262

Proceeds from securitization 233,318 520,044

Net proceeds from (payments on) securities sold under agreements to repurchase 288,157 ( 480,886 )

8 unchanged sentences

Cash paid during the period for interest $ 32,406 $ 22,061

(1) Cash, cash equivalents, and restricted cash as of March 31, 2023 included cash and cash equivalents of $ 36.8 million and restricted cash of $ 20.8 million, and as of March 31, 2022 included cash and cash equivalents of $ 90.4 million and restricted cash of $ 5.4 million.

(1) Cash, cash equivalents, and restricted cash as of June 30, 2023 included cash and cash equivalents of $ 59.1 million and restricted cash of $ 9.6 million, and as of June 30, 2022 included cash and cash equivalents of $ 16.1 million and restricted cash of $ 5.8 million.

The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement.

28 unchanged sentences

These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods.

It is likely that changes in these estimates (e.g., fair value changes due to inputs and underlying assumptions as described in Note 10 — Fair Value , credit performance, prepayments, interest rates, or other reasons) will occur in the near term.

It is likely that changes in these estimates (e.g., fair value changes due to inputs and underlying assumptions as described in Note 10 — Fair Value Measurements , credit performance, prepayments, interest rates, or other reasons) will occur in the near term.

The Company’s estimates are inherently subjective in nature and actual results could differ from the Company’s estimates and the differences could be material.

2 unchanged sentences

New Accounting Standards and Interpretations

As of March 31, 2023, there were no new accounting standards or interpretations adopted by the Company that had a material effect on its condensed consolidated financial statements.

As of June 30, 2023, there were no new accounting standards or interpretations adopted by the Company that had a material effect on its condensed consolidated financial statements.

Reclassifications

2 unchanged sentences

See Note 14 — Other Assets .

Certain comparative period amounts have been reclassified for consistency with current period presentation.

These reclassifications had no effect on the reported results of operations.

An adjustment has been made to the Condensed Consolidated Statements of Cash Flows for the six months-ended June 30, 2022, to identify amortization of debt issuance costs, net amortization of premiums and discounts of mortgage loans, and principal payments on residential mortgage loans in securitization trusts.

Summary of Significant Accounting Policies

The Company’s summary of significant accounting policies as set forth in its Annual Report on Form 10-K remain unchanged.

During the period ended March 31, 2023, the Company elected a new accounting classification regarding certain of its investments in debt securities, as further described below, as the Company classifies securities on a trade-by-trade basis upon purchase.

During the six months ended June 30, 2023, the Company elected a new accounting classification regarding certain of its investments in debt securities, as further described below, as the Company classifies securities on a trade-by-trade basis upon purchase.

The Company did not transfer any securities between classifications.

1 unchanged sentence

Historically, the Company had classified all of its investments in debt securities as available for sale (“AFS”).

In the first quarter of 2023, the Company designated its new purchases of Freddie Mac and Fannie Mae-issued whole pool agency residential mortgage-backed securities (“Whole Pool Agency RMBS”) and new purchases of U.S.

In the first quarter of 2023, the Company began designating its purchases of Freddie Mac and Fannie Mae-issued whole pool agency residential mortgage-backed securities (“Whole Pool Agency RMBS”) and purchases of U.S.

Treasury securities as trading securities.

7 unchanged sentences

The retained beneficial interest in VIEs for which the Company is the primary beneficiary is the subordinated tranches of the securitization and further interests in additional interest‑only tranches.

The table below sets forth the fair values of the assets and liabilities recorded in the condensed consolidated balance sheets related to these consolidated VIEs as of March 31, 2023 and December 31, 2022:

The table below sets forth the fair values of the assets and liabilities recorded in the condensed consolidated balance sheets related to these consolidated VIEs as of June 30, 2023 and December 31, 2022:

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

(in thousands)

13 unchanged sentences

Debt issuance costs incurred with the issuances of non-recourse securitization obligations for which the fair value option was not elected are presented at amortized cost.

Income and expense amounts related to the consolidated VIEs recorded in the condensed consolidated statements of operations and comprehensive income (loss) for the three months ended March 31, 2023 and 2022 is set forth as follows:

Three Months Ended March 31, 2023 Three Months Ended March 31, 2022

Income and expense amounts related to the consolidated VIEs recorded in the condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2023 and 2022 is set forth as follows:

Three Months Ended June 30, 2023 Three Months Ended June 30, 2022 Six Months Ended June 30, 2023 Six Months Ended June 30, 2022

(in thousands)

12 unchanged sentences

VIEs for Which the Company is Not the Primary Beneficiary

In 2019 and 2020, the Company co‑sponsored and participated along with other affiliates of Angel Oak Capital the formation of various entities that were considered to be VIEs.

In 2019, 2020 and 2023, the Company sponsored or participated along with other affiliates of Angel Oak Capital in the formation of various entities that were considered to be VIEs.

These VIEs were formed to facilitate securitization issuances that were comprised of secured residential whole loans and/or small balance commercial loans contributed to securitization trusts.

2 unchanged sentences

The Company performs ongoing reassessments of all VIEs in which the Company has participated since its inception as to whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change, and the Company’s assessment of these VIEs remains unchanged.

The securities received in the aforementioned 2019 and 2020 securitization transactions were classified as “available for sale” upon receipt and are included in “RMBS - at fair value” and “CMBS - at fair value” on the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, and details on the accounting treatment and fair value methodology of the securities can be found in Note 10 — Fair Value Measurements .

See also Note 5 — Investment Securities , for the fair value of AOMT securities held by the Company as of March 31, 2023 and December 31, 2022 that were retained by the Company as a result of these securitization transactions.

The securities received in the securitization transactions were classified as “available for sale” upon receipt and are included in “RMBS - at fair value” and “CMBS - at fair value” on the condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022, and details on the accounting treatment and fair value methodology of the securities can be found in Note 10 — Fair Value Measurements .

See also Note 5 — Investment Securities , for the fair value of AOMT securities held by the Company as of June 30, 2023 and December 31, 2022 that were retained by the Company as a result of these securitization transactions.

Angel Oak Mortgage REIT, Inc.

1 unchanged sentence

Residential Mortgage Loans

Residential mortgage loans are mortgage loans on residences located in various states with a concentration in California and Florida.

Residential mortgage loans are mortgage loans on residences located in various states with concentrations in California, Florida, Texas, and Georgia.

Residential mortgage loans are measured at fair value.

The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of March 31, 2023 and December 31, 2022:

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

($ in thousands)

6 unchanged sentences

Weighted average remaining maturity (years) 30 30

At times, various forms of margin maintenance may be required by certain financing facility counterparties.

At times, various forms of margin maintenance on residential mortgage loans may be required by certain financing facility counterparties.

See Note 6 — Notes Payable .

The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of March 31, 2023 and December 31, 2022:

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

($ in thousands)

10 unchanged sentences

Commercial mortgage loans are measured at fair value.

The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s commercial mortgage loan portfolio as of March 31, 2023 and December 31, 2022:

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

($ in thousands)

6 unchanged sentences

The net discount on commercial mortgage loans was fully amortized as of December 31, 2022.

There were no commercial mortgage loans more than 90 days overdue as of March 31, 2023 or December 31, 2022.

As of June 30, 2023, one commercial mortgage loan, representing $ 4.3 million in unpaid principal balance, was in foreclosure.

On July 3, 2023, this loan was sold for $ 4.6 million representing the full outstanding principal balance and carrying amount, and accrued costs and fees (see Note 16 — Subsequent Events ) .

There were no commercial mortgage loans more than 90 days overdue or in foreclosure as of December 31, 2022.

Angel Oak Mortgage REIT, Inc.

1 unchanged sentence

Investment Securities

As of March 31, 2023, investment securities were comprised of non‑agency RMBS (“AOMT RMBS”), Whole Pool Agency RMBS, commercial mortgage backed securities (“CMBS”), and U.S.

As of June 30, 2023, investment securities were comprised of non‑agency RMBS (“AOMT RMBS”), Whole Pool Agency RMBS, commercial mortgage backed securities (“CMBS”), and U.S.

Treasury securities.

Treasury securities held by the Company as of March 31, 2023 subsequently matured on April 11, 2023.

Treasury securities held by the Company as of June 30, 2023 subsequently matured on July 13, 2023.

The Company did not hold any U.S.

Treasury securities as of December 31, 2022.

The following table sets forth a summary of AOMT RMBS, Whole Pool Agency RMBS, and CMBS at cost as of March 31, 2023 and December 31, 2022:

March 31, 2023 December 31, 2022

The following table sets forth a summary of AOMT RMBS, Whole Pool Agency RMBS, and CMBS at cost as of June 30, 2023 and December 31, 2022:

June 30, 2023 December 31, 2022

(in thousands)

2 unchanged sentences

CMBS $ 6,419 $ 6,329

The following table sets forth certain information about the Company’s investments in RMBS and CMBS at fair value as of March 31, 2023 and December 31, 2022:

The following table sets forth certain information about the Company’s investments in RMBS and CMBS at fair value as of June 30, 2023 and December 31, 2022:

Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital

March 31, 2023:

June 30, 2023:

(in thousands)

14 unchanged sentences

Total AOMT CMBS $ 6,853 $ — $ 6,853

(1) AOMT RMBS held as of March 31, 2023 included both retained tranches of securitizations in which the Company participated where the Company was not deemed to be the primary beneficiary, and additional securities issued by affiliates of Angel Oak Capital which were purchased in secondary market transactions.

(1) AOMT RMBS held as of June 30, 2023 included both retained tranches of securitizations in which the Company participated where the Company was not deemed to be the primary beneficiary, and additional securities issued by affiliates of Angel Oak Capital which were purchased in secondary market transactions.

(2) A portion of repurchase debt includes borrowings against retained bonds received from securitizations involving consolidated VIEs.

3 unchanged sentences

Notes to the Condensed Consolidated Financial Statements

December 31, 2022 Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital

Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital

December 31, 2022:

(in thousands)

20 unchanged sentences

Treasury securities as of

March 31, 2023 (1) :

Date Face Value Unamortized Discount, net Amortized Cost Unrealized Loss Fair Value Net Effective Yield

June 30, 2023 (1) :

Date Face Value Unamortized Discount, net Amortized Cost Unrealized Gain (Loss) Fair Value Net Effective Yield

($ in thousands)

March 31, 2023 $ 400,000 $ 363 $ 399,637 $ ( 5 ) $ 399,632 3.55 %

June 30, 2023 $ 300,000 $ 460 $ 299,540 $ 41 $ 299,581 5.01 %

(1) There were no U.S.

4 unchanged sentences

Some agreements include upfront fees, fees on unused balances, covenants and concentration limits on types of collateral pledged.

all vary based on the counterparty.

Some of these agreements, as noted below, are “static pool” financing facilities, where the lender has agreed to finance a certain pool of loans contributed to such financing facility, which does not allow for revolving financing terms.

Each of these vary based on the counterparty.

One of these agreements, as noted below, is a “static pool” financing facility, where the lender has agreed to finance a certain pool of loans contributed to such financing facility, which does not allow for any revolving financing terms.

Occasionally, a lender may require cash collateral to be posted as margin collateral on such agreements.

As of March 31, 2023, cash collateral for margin maintenance requirements of approximately $ 15.4 million was held for the benefit of Global Investment Bank 3 within “restricted cash” on the condensed consolidated balance sheet.

As of June 30, 2023, cash collateral for margin maintenance requirements of approximately $ 4.2 million was held for the benefit of Global Investment Bank 3 within “restricted cash” on the condensed consolidated balance sheet.

The majority of this restricted cash balance is in an economic interest rate hedging account under the control of Global Investment Bank 3, and may be drawn by Global Investment Bank 3 at its discretion.

4 unchanged sentences

the remainder of which was held in the economic interest rate hedging account referred to above.

The following table sets forth the details of the Company’s notes payable and drawn amounts for whole loan purchases as of March 31, 2023 and December 31, 2022:

The following table sets forth the details of the Company’s notes payable and drawn amounts for whole loan purchases as of June 30, 2023 and December 31, 2022:

Spread Drawn Amount

Note Payable Base Interest Rate March 31, 2023 December 31, 2022

Note Payable Base Interest Rate June 30, 2023 December 31, 2022

($ in thousands)

12 unchanged sentences

(1) On January 25, 2023, this financing facility was extended through July 25, 2023 in accordance with the terms of the agreement, which contemplates six-month renewals.

Subsequent to March 31, 2023, the Company extended this financing facility through October 25, 2023, with an interest rate pricing spread of 2.15 % (See Note 16 — Subsequent Events ).

On April 26, 2023, the Company extended this financing facility through October 25, 2023, with an interest rate pricing spread of 2.15 %.

Subsequent to June 30, 2023, the Company extended this financing facility through January 25, 2024 with an interest rate pricing spread of 2.10 % (see Note 16 — Subsequent Events ).

(2) This financing facility expires on February 2, 2024.

(3) This static pool financing facility expires on December 19, 2023.

The interest rate pricing spread per the agreement began at 2.80 % for the first three months following December 19, 2022, and increases by an additional 50 basis points every three months thereafter;

The interest rate pricing spread per the agreement began at 2.80 % for the first three months following December 19, 2022, exclusive of a 20 basis point index spread adjustment, and increases by an additional 50 basis points every three months thereafter;

however, the facility does not, in general, contain “mark to market” provisions.

5 unchanged sentences

(5) This agreement expired by its terms on March 16, 2023.

The following table sets forth the total unused borrowing capacity of each financing line as of March 31, 2023:

The following table sets forth the total unused borrowing capacity of each financing line as of June 30, 2023:

Note Payable Borrowing Capacity Balance Outstanding Available Financing

8 unchanged sentences

(1) Although available financing is uncommitted, the Company’s unused borrowing capacity is available if it has eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements.

(2) As of March 31, 2023, this financing facility had no unused borrowing capacity as the outstanding borrowings were based on static pools of mortgage loans.

(2) As of June 30, 2023, this financing facility had no unused borrowing capacity as the outstanding borrowings were based on a static pool of mortgage loans.

Angel Oak Mortgage REIT, Inc.

1 unchanged sentence

Due to Broker

The “Due to broker” account on the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively, in the amounts of $ 447.6 million and $ 1.0 billion relates to the purchase of Whole Pool Agency RMBS at quarter-end in the first and fourth quarters of 2023 and 2022, respectively.

The “Due to broker” account on the condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022, respective in the amounts of $ 390.4 million and $ 1.0 billion, relates to the purchase of Whole Pool Agency RMBS at quarter-end in the second and fourth quarters of 2023 and 2022, respectively.

Purchases are accounted for on a trade date basis, and, at times, there may be a timing difference between the trade date and the settlement date of a trade.

The trade dates of these purchases were prior to the applicable quarter-end dates.

These trades settled on April 13, 2023 and January 13, 2023 respectively, at which time these assets were simultaneously sold.

These trades settled on July 13, 2023 and January 13, 2023, respectively, at which time these assets were simultaneously sold.

The purchase transactions of these Whole Pool Agency RMBS are excluded from the condensed consolidated statements of cash flows as they are noncash transactions.

2 unchanged sentences

Margin (if required) for securities sold under agreements to repurchase represents margin collateral amounts held to ensure that the Company has sufficient coverage for securities sold under agreements to repurchase in case of adverse price changes.

Restricted cash of margin collateral for securities sold under agreements to repurchase was $ 5.0 million and $ 3.9 million as of March 31, 2023 and December 31, 2022, respectively.

The following table summarizes certain characteristics of the Company’s repurchase agreements as of March 31, 2023 and December 31, 2022:

March 31, 2023

Restricted cash of margin collateral for securities sold under agreements to repurchase was $ 5.0 million and $ 3.9 million as of June 30, 2023 and December 31, 2022, respectively.

The following table summarizes certain characteristics of the Company’s repurchase agreements as of June 30, 2023 and December 31, 2022:

June 30, 2023

Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days)

8 unchanged sentences

Total $ 52,544 6.07 % 13

(1) A portion of repurchase debt outstanding as of both March 31, 2023 and December 31, 2022 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

(1) A portion of repurchase debt outstanding as of both June 30, 2023 and December 31, 2022 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

See Note 5 — Investment Securities.

7 unchanged sentences

The derivatives in which the Company invests, and the market risk that the economic hedge is intended to mitigate are further discussed below.

Derivative instruments as of March 31, 2023 and December 31, 2022 included both TBAs and interest rate futures contracts.

Restricted cash relating to interest rate futures margin collateral in interest rate futures accounts under the Company’s sole control as of March 31, 2023 and December 31, 2022 included $ 0.4 million and $ 1.1 million, respectively.

There was no TBA margin collateral required as of either March 31, 2023 or December 31, 2022.

Derivative instruments as of June 30, 2023 and December 31, 2022 included both To-Be-Announced (“TBA”) securities and interest rate futures contracts.

Restricted cash relating to interest rate futures margin collateral in interest rate futures accounts under the Company’s sole control as of June 30, 2023 and December 31, 2022 included $ 0.4 million and $ 1.1 million, respectively.

There was no TBA margin collateral required as of either June 30, 2023 or December 31, 2022.

The Company uses interest rate futures as economic hedges to hedge a portion of its interest rate risk exposure.

9 unchanged sentences

The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities.

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of March 31, 2023 and December 31, 2022:

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of June 30, 2023 and December 31, 2022:

Notional Amounts

1 unchanged sentence

($ in thousands)

March 31, 2023 Interest rate futures 3,327 $ — $ ( 6,909 ) $ — $ 332,700

March 31, 2023 TBAs N/A $ — $ ( 1,508 ) $ — $ 468,800

June 30, 2023 Interest rate futures 1,462 $ 1,055 $ — $ — $ 146,200

June 30, 2023 TBAs N/A $ 2,239 $ — $ — $ 402,400

December 31, 2022 Interest rate futures 4,928 $ 2,211 $ — $ — $ 492,800

December 31, 2022 TBAs N/A $ 12,545 $ — $ — $ 1,041,700

The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three months ended March 31, 2023 and March 31, 2022 are set forth as follows:

The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2023 and June 30, 2022 are set forth as follows:

Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments

(in thousands)

Three Months Ended March 31, 2023 Interest rate futures $ 8,374 $ ( 9,121 )

Three Months Ended March 31, 2023 TBAs $ ( 350 ) $ ( 14,052 )

Three Months Ended March 31, 2022 Interest rate futures $ 19,684 $ 14,007

Three Months Ended March 31, 2022 TBAs $ 14,413 $ 1,319

Three Months Ended June 30, 2023 Interest rate futures $ ( 2,604 ) $ 8,432

Three Months Ended June 30, 2023 TBAs $ ( 2,172 ) $ 3,746

Three Months Ended June 30, 2022 Interest rate futures $ 29,429 $ ( 13,413 )

Three Months Ended June 30, 2022 TBAs $ ( 964 ) $ ( 9,577 )

Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments

(in thousands)

Six Months Ended June 30, 2023 Interest rate futures $ 5,770 $ ( 2,052 )

Six Months Ended June 30, 2023 TBAs $ ( 2,522 ) $ ( 10,306 )

Six Months Ended June 30, 2022 Interest rate futures $ 49,113 $ 1,322

Six Months Ended June 30, 2022 TBAs $ 13,179 $ ( 10,686 )

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

Fair Value Measurements

7 unchanged sentences

Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured.

As of March 31, 2023, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2022 included in the Annual Report on Form 10-K.

As of June 30, 2023, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2022 included in the Annual Report on Form 10-K.

Included in Note 11 — Fair Value Measurements to the Consolidated Financial Statements for the year ended December 31, 2022 included in the Annual Report on Form 10-K is a detailed description of our other financial instruments measured at fair value and their significant inputs, as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The fair value of cash, restricted cash, principal and interest receivable, other assets (excluding investment in majority-owned affiliate), notes payable, securities sold under agreements to repurchase, amounts due to broker and accrued expenses (including those payable to an affiliate and management fees payable to an affiliate), and interest payable approximate their carrying values due to the nature of these assets and liabilities.

1 unchanged sentence

The fair value of these assets and liabilities is disclosed further below in the section titled “ Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure ”.

The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of March 31, 2023:

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of June 30, 2023:

Level 1 Level 2 Level 3 Total

11 unchanged sentences

U.S Treasury Securities 299,581 — — 299,581

Unrealized appreciation on futures contracts 1,055 — — 1,055

Unrealized appreciation on TBAs 2,239 — — 2,239

Total assets, at fair value $ 302,875 $ 2,003,490 $ 11,447 $ 2,317,812

Liabilities, at fair value

Unrealized depreciation on futures contracts $ 6,909 $ — $ — $ 6,909

Unrealized depreciation on TBAs 1,508 — — 1,508

Non-recourse securitization obligation, collateralized by residential mortgage loans (2)

1 unchanged sentence

Total liabilities, at fair value $ — $ 763,078 $ — $ 763,078

(1) Non‑Agency RMBS held as of March 31, 2023 included both retained tranches of securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

All AOMT CMBS held as of March 31, 2023 were comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(1) Non‑Agency RMBS held as of June 30, 2023 included both retained tranches of securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

All AOMT CMBS held as of June 30, 2023 were comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(2) Only the portion subject to fair value measurement, as adjusted for fair value, is presented above.

9 unchanged sentences

Notes to the Condensed Consolidated Financial Statements

The following table sets forth information regarding the Company’s significant Level 3 inputs as of March 31, 2023:

The following table sets forth information regarding the Company’s significant Level 3 inputs as of June 30, 2023:

Asset Fair Value Unobservable Input Range Average

11 unchanged sentences

To determine the fair value of the Company’s non-recourse securitization obligations, collateralized by residential mortgage loans, net, held at amortized cost, the Company uses the same method of valuation as described in the Annual Report on Form 10-K, Note 11 — Fair Value for both the portion of the obligation measured at fair value and the portion of the obligation held at amortized cost, for which fair value is disclosed below.

As of March 31, 2023, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.1 billion and $ 924.2 million, respectively, a difference of approximately $ 142.1 million (which includes AOMT 2022-1 and AOMT 2022-4, which are marked to fair value;

As of June 30, 2023, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.4 billion and $ 1.1 billion, respectively, a difference of approximately $ 274.7 million (which includes AOMT 2022-1, AOMT 2022-4, and AOMT 2023-4, which are marked to fair value;

and AOMT 2021-7 and AOMT 2021-4, which are carried at amortized cost, as the fair value option was not elected at the time of the creation of these obligations).

The difference between the amortized cost and fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $ 89.3 million.

The fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $ 119.2 million less than the amortized cost.

The difference between the amortized cost basis value and the fair value is derived from the difference between the period-end market pricing of the underlying bonds, as referred to above, and the amortized cost of the obligation.

10 unchanged sentences

We believe that these quotes are most reflective of the price that would be achieved if the bonds were sold to an independent third party on the date of the condensed consolidated financial statements.

The amortized cost and fair value of this investment as of March 31, 2023 was approximately $ 11.5 million and $ 12.0 million, respectively.

The amortized cost and fair value of this investment as of June 30, 2023 was approximately $ 11.5 million and $ 11.0 million, respectively.

Angel Oak Mortgage REIT, Inc.

48 unchanged sentences

The Company purchases the mortgage loans on a servicing retained basis.

The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the period and year ended and as of March 31, 2023 and December 31, 2022:

The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the six month period ended June 30, 2023 and 12 month period ended December 31, 2022:

As of and for the Year-to-Date/Year Ended:

Amount of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates, Owned and Held as of Year-to-Date/Year End (1) :

Amount of Loans Purchased from Affiliates during the Year-to-Date/Year Ended Number of Loans Purchased from Affiliates during the Year-to-Date/Year Ended Number of Loans Purchased from Affiliates, Owned and Held as of the Periods Ended (1)

($ in thousands)

March 31, 2023 $ — — 532

June 30, 2023 $ 11,515 38 563

December 31, 2022 $ 567,324 1,141 845

4 unchanged sentences

The Company has commercial loan purchase agreements with various affiliates of the Company.

The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions.

As of and for the Year-to-Date/Year Ended:

($ in thousands)

March 31, 2023 $ — None 4

December 31, 2022 $ — None 4

The Company did not purchase any commercial loans in either the six month period ended June 30, 2023 or the 12 month period ended December 31, 2022.

Securitization Transactions and Majority-Owned Affiliate

11 unchanged sentences

The Company, from time to time, may be party to litigation relating to claims arising in the normal course of business.

As of March 31, 2023, the Company was not aware of any legal claims that could materially impact its financial condition.

As of March 31, 2023, the Company had no unfunded commitments.

As of June 30, 2023, the Company was not aware of any legal claims that could materially impact its financial condition.

As of June 30, 2023, the Company had no unfunded commitments.

The Company has a loan release obligation on the facility with Global Investment Bank 3 that is eligible for up to a 100 % reduction based on certain criteria that may extended beyond the current term of the financing facility.

The maximum potential liability is $ 1.1 million, which has not been recorded in the condensed consolidated financial statements as the actual liability is not currently determinable.

Accumulated Other Comprehensive Income/(Loss)

The following table sets forth the net unrealized gain/(loss) on AFS securities for the three months ended March 31, 2023 and 2022, which is the sole component of the changes in the Company’s Accumulated Other Comprehensive Income/(Loss) (“AOCI”) for the three months ended March 31, 2023 and 2022:

Three Months Ended March 31, 2023 Three Months Ended March 31, 2022

The following table sets forth the net unrealized gain/(loss) on AFS securities for the three months ended June 30, 2023 and 2022, which is the sole component of the changes in the Company’s Accumulated Other Comprehensive Income/(Loss) (“AOCI”) for the three and six months ended June 30, 2023 and 2022:

Three Months Ended June 30, 2023 Three Months Ended June 30, 2022

(in thousands)

2 unchanged sentences

AOCI balance, end of period $ ( 6,565 ) $ 1,248

Six Months Ended June 30, 2023 Six Months Ended June 30, 2022

(in thousands)

AOCI balance, beginning of period $ ( 21,127 ) $ 3,000

Net unrealized gain/(loss) on AFS securities 14,562 ( 1,752 )

AOCI balance, end of period $ ( 6,565 ) $ 1,248

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the detail of other assets included in the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022:

March 31, 2023 December 31, 2022

The following table sets forth the detail of other assets included in the condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022:

June 30, 2023 December 31, 2022

($ in thousands)

2 unchanged sentences

Prepaid expenses 2,172 1,310

Protective advances and other assets 279 —

Total other assets $ 17,418 $ 4,767

6 unchanged sentences

Equity and Earnings per Share (“EPS”)

In the calculations of basic and diluted earnings per common share for the three months ended March 31, 2023 and 2022, the Company included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights.

In the calculations of basic and diluted earnings per common share for the three and six month periods ended June 30, 2023 and 2022, the Company included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights.

Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances.

For the three months ended March 31, 2023, there were no anti-dilutive outstanding restricted stock awards, although the market-based “total stockholder return” conditions for 64,096 performance share units had not been achieved and thus these units were not included in the diluted weighted average common shares outstanding.

For the three months ended March 31, 2022, there were 507,900 outstanding restricted stock awards that were anti-dilutive and thus not included in the diluted weighted average common shares outstanding.

There were no market-based performance share units outstanding as of March 31, 2022.

The following table sets forth the calculation of basic and diluted earnings per share for the three months ended March 31, 2023 and 2022:

March 31, 2023 March 31, 2022

For the three and six month periods ended June 30, 2023, there were 165,473 anti-dilutive outstanding restricted stock awards and 49,370 performance shares, although the market-based “total stockholder return” conditions for performance share units had not been achieved and thus these units were not included in the diluted weighted average common shares outstanding.

For the three and six month periods ended June 30, 2022, there were 362,536 outstanding restricted stock awards that were anti-dilutive and thus not included in the diluted weighted average common shares outstanding.

There were no market-based performance share units outstanding as of June 30, 2022.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the calculation of basic and diluted earnings per share for the three months ended June 30, 2023 and 2022:

June 30, 2023 June 30, 2022

(in thousands, except share and per share data)

13 unchanged sentences

Diluted earnings (loss) per common share $ ( 0.15 ) $ ( 2.13 )

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the calculation of basic and diluted earnings per share for the six months ended June 30, 2023 and 2022:

June 30, 2023 June 30, 2022

(in thousands, except share and per share data)

Basic Earnings (Loss) per Common Share:

Net income (loss) to common stockholders $ ( 3,158 ) $ ( 95,694 )

Dividends allocated to participating securities ( 81 ) —

Net income (loss) to common stockholders - basic $ ( 3,239 ) $ ( 95,694 )

Basic weighted average common shares outstanding 24,674,875 24,549,977

Basic earnings (loss) per common share $ ( 0.13 ) $ ( 3.90 )

Diluted Earnings (Loss) per Common Share:

Net income (loss) to common stockholders - basic $ ( 3,158 ) $ ( 95,694 )

Dividends allocated to participating securities ( 81 ) —

Net income (loss) to common stockholders - diluted $ ( 3,239 ) $ ( 95,694 )

Basic weighted average common shares outstanding 24,674,875 24,549,977

Net effect of dilutive equity awards — —

Diluted weighted average common shares outstanding 24,674,875 24,549,977

Diluted earnings (loss) per common share $ ( 0.13 ) $ ( 3.90 )

Subsequent Events

On April 26, 2023, the Company renewed its loan financing facility with Multinational Bank 1 in accordance with the mechanism for six-month renewal periods as provided for in the original Master Repurchase Agreement with Multinational Bank 1, dated April 13, 2022.

This loan financing facility has been extended to October 25, 2023, and the interest rate pricing spread decreased to 2.15 %.

On May 4, 2023, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on May 31, 2023 to common stockholders of record as of May 22, 2023.

On July 3, 2023, a commercial mortgage loan representing $ 4.3 million in principal balance was sold for $ 4.6 million representing the full outstanding principal balance and carrying amount, and accrued costs and fees.

On July 25, 2023, the Company renewed its loan financing facility with Multinational Bank 1 in accordance with the mechanism for six-month renewal periods provided for in the original Master Repurchase Agreement with Multinational Bank 1, dated April 13, 2022.

This loan financing facility has been extended to January 25, 2024 with an updated interest rate pricing spread of 2.10 %.

On August 8, 2023, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on August 31, 2023 to common stockholders of record as of August 22, 2023.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements