What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-08-07 compared with 2024-05-08 · 206 added, 133 removed, 526 unchanged (39% of the section changed)

3 unchanged sentences

(in thousands, except for share data)

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Residential mortgage loans - at fair value $ 158,940 $ 380,040

5 unchanged sentences

Principal and interest receivable 6,174 7,501

Unrealized appreciation on TBAs and interest rate futures contracts - at fair value 1,702 —

Other assets 36,246 32,922

15 unchanged sentences

Common stock, $ 0.01 par value.

As of March 31, 2024:

As of June 30, 2024:

350,000,000 shares authorized, 24,998,549 shares issued and outstanding.

10 unchanged sentences

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

Three Months Ended

March 31, 2024 March 31, 2023

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

INTEREST INCOME, NET

14 unchanged sentences

INCOME (LOSS) BEFORE INCOME TAXES $ ( 131 ) $ ( 2,907 ) $ 13,030 $ ( 2,377 )

Income tax expense 287 —

Income tax expense (benefit) 142 781 429 781

NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS $ ( 273 ) $ ( 3,688 ) $ 12,601 $ ( 3,158 )

10 unchanged sentences

(in thousands)

Three Months Ended March 31, 2024

Three Months Ended June 30, 2024

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

Stockholder's equity as of December 31, 2023 $ 249 $ 477,068 $ ( 4,975 ) $ ( 216,236 ) $ 256,106

Dividends paid on common stock ($ 0.32 per share)

Stockholder's equity as of March 31, 2024 $ 249 $ 477,698 $ ( 3,272 ) $ ( 211,351 ) $ 263,324

Dividends paid on common stock

$ — $ — $ — $ ( 8,000 ) ( 8,000 )

1 unchanged sentence

Unrealized gain on RMBS and CMBS $ — $ — $ 125 $ — 125

Net income $ — $ — $ — $ 12,874 12,874

Net income (loss) $ — $ — $ — $ ( 273 ) ( 273 )

Stockholders' equity as of June 30, 2024 $ 249 $ 478,328 $ ( 3,147 ) $ ( 219,624 ) $ 255,806

Three 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 March 31, 2023 $ 249 $ 475,920 $ ( 6,323 ) $ ( 225,468 ) $ 244,378

Three Months Ended March 31, 2023

Dividends paid on common stock

$ — $ — $ — $ ( 7,979 ) $ ( 7,979 )

Stock compensation $ — $ 207 $ — $ — $ 207

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

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

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

Six Months Ended June 30, 2024

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, 2023 $ 249 $ 477,068 $ ( 4,975 ) $ ( 216,236 ) $ 256,106

Dividends paid on common stock ($ 0.32 per share)

Dividends paid on common stock

$ — $ — $ — $ ( 15,989 ) $ ( 15,989 )

Stock compensation — 541 — — 541

Non-cash equity compensation $ — $ 1,260 $ — $ — $ 1,260

Unrealized gain on RMBS and CMBS $ — $ — $ 1,828 $ — $ 1,828

Net income $ — $ — $ — $ 12,601 $ 12,601

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

Stockholders’ equity as of June 30, 2024 $ 249 $ 478,328 $ ( 3,147 ) $ ( 219,624 ) $ 255,806

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

— — — ( 15,955 ) ( 15,955 )

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

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

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, 2024 March 31, 2023

Six Months Ended

June 30, 2024 June 30, 2023

CASH FLOWS FROM OPERATING ACTIVITIES

Net income (loss) $ 12,601 $ ( 3,158 )

Adjustments to reconcile net (loss) income to net cash used in operating activities:

Adjustments to reconcile net (loss) income to net cash provided by or (used in) operating activities:

Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS 8,192 15,012

9 unchanged sentences

Purchases of residential mortgage loans from non-affiliates ( 60,635 ) ( 5,024 )

Sale of residential mortgage loans 2,030 —

Sale of residential mortgage loans into affiliate’s securitization trust 66,107 229,569

7 unchanged sentences

Accrued expenses payable to affiliate ( 351 ) ( 951 )

Income tax expense 287 —

Income tax payable ( 1,163 ) 781

Interest payable ( 360 ) ( 1,846 )

4 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2024 June 30, 2023

CASH FLOWS FROM INVESTING ACTIVITIES

3 unchanged sentences

Sale of investments in RMBS, trading 749,377 449,891

Purchase of investment in U.S.

Purchase of investments in U.S.

Treasury securities ( 299,632 ) ( 698,880 )

Investments in majority-owned affiliates ( 1,736 ) ( 11,466 )

Purchases of investments in majority-owned affiliates ( 2,253 ) ( 11,466 )

Principal payments on RMBS and CMBS securities 1,230 202

Maturity of U.S.

Maturities of U.S.

Treasury securities 300,000 400,000

5 unchanged sentences

Cash paid for debt issuance costs ( 125 ) —

Proceeds from non-recourse securitization obligations 274,793 233,318

Net proceeds from (repurchases of) securities sold under agreements to repurchase

14 unchanged sentences

Angel Oak Mortgage REIT, Inc.

(together with its subsidiaries the “Company”) is a real estate finance company focused on acquiring and investing in first lien non-qualified residential mortgage (“non-QM”) loans and other mortgage‑related assets in the U.S.

(together with its subsidiaries the “Company”, “we” or “our”) is a real estate finance company focused on acquiring and investing in first lien non-qualified residential mortgage (“non-QM”) loans and other mortgage‑related assets in the U.S.

mortgage market.

4 unchanged sentences

The Company achieves certain of its investment objectives by investing a portion of its assets in its wholly‑owned taxable REIT subsidiary, Angel Oak Mortgage REIT TRS, LLC, a Delaware limited liability company formed on March 21, 2018, which invests its assets in Angel Oak Mortgage Fund TRS, a Delaware statutory trust formed on June 15, 2018.

The Company is traded on the New York Stock Exchange under the ticker symbol AOMR.

The Company’s common stock is traded on the New York Stock Exchange under the ticker symbol AOMR.

The Operating Partnership

22 unchanged sentences

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

Specifically, certain cash flows previously presented as cash flows from operating activities on the Consolidated Statements of Cash Flows for the three months-ended March 31, 2023, have been reclassified to cash flows from investing activities as Purchases of investments in majority-owned affiliates.

Specifically, certain cash flows previously presented as cash flows from operating activities on the condensed consolidated statements of cash flows for the six months-ended June 30, 2023, have been reclassified to cash flows from investing activities as Purchases of investments in majority-owned affiliates.

Recent Accounting Pronouncements

10 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 following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2024 and December 31, 2023:

March 31, 2024 December 31, 2023

The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

($ in thousands)

Aggregate unpaid principal balance of residential whole loans sold $ 1,554,781 $ 1,334,963

Face amount of Non-recourse securitization obligation issued by the VIE and purchased by third-party investors 1,619,051 1,619,051

Outstanding amount of Non-recourse securitization obligation, at carrying value 1,198,457 1,220,067

Fair value adjustment for residential mortgage loans in securitization trusts

( 106,880 ) ( 113,896 )

Residential mortgage loans in securitization trusts, at fair value

$ 1,447,901 $ 1,221,067

Outstanding amount of Non-recourse securitization obligation, at amortized cost $ 1,417,183 $ 1,220,067

Fair value adjustment for the portion of Non-recourse securitization obligation, at fair value option ( 44,911 ) ( 50,912 )

Outstanding amount of Non-recourse securitization obligation, total $ 1,146,641 $ 1,169,154

Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts $ 1,372,272 $ 1,169,155

Weighted average fixed rate for Non-recourse securitization obligation issued 3.52 % 2.91 %

Face amount of Senior Support Certificates received by the Company $ 91,330 $ 91,330

Cash received $ 194,746 $ 194,746

During the three months ended March 31, 2024, the Company did not issue and retain bonds on our consolidated balance sheets for any securitization transaction for which the Company was the primary beneficiary.

As of March 31, 2024 and December 31, 2023, as a result of the transactions described above, securitized loans with outstanding principal balance of approximately $ 1.3 billion and $ 1.3 billion are included in “Residential mortgage loans in securitization trusts” on the Company’s consolidated balance sheets, respectively.

As of March 31, 2024 and December 31, 2023, the aggregate carrying value of sold bonds issued by consolidated VIEs was $ 1.2 billion and $ 1.2 billion.

These sold bonds are disclosed as “Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts” on the Company’s consolidated balance sheets.

The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential

For the period ended:

June 30, 2024 December 31, 2023

($ in thousands)

Aggregate unpaid principal balance of residential whole loans sold, at deal date

$ 2,010,214 $ 1,710,381

Face amount of Non-recourse securitization obligation issued by the VIE and purchased by third-party investors, at deal date

1,893,847 1,619,051

Face amount of Senior Support Certificates received by the Company, at deal date 116,367 91,330

Cash received, at deal date 233,835 194,746

During the three months ended June 30, 2024, the Company and its affiliates issued and sold bonds with a current face value of $ 274.8 million to third-party investors for proceeds of $ 274.8 million, before offering costs and accrued interest.

The sold bonds issued

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

whole loans sold to the VIE.

during the period ended June 30, 2024 are included in “Non-recourse securitization obligations, collateralized by residential mortgage loans in securitization trusts” on the Company’s condensed consolidated balance sheets.

As of June 30, 2024 and December 31, 2023, as a result of the transactions described above, securitized loans with outstanding principal balance of approximately $ 1.6 billion and $ 1.3 billion are included in “Residential mortgage loans in securitization trusts” on the Company’s condensed consolidated balance sheets, respectively.

As of June 30, 2024 and December 31, 2023, the aggregate carrying value of sold bonds issued by consolidated VIEs was $ 1.4 billion and $ 1.2 billion, respectively.

These sold bonds are disclosed as “Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts” on the Company’s condensed consolidated balance sheets.

In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE.

11 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 securitization transactions for which we are not the primary beneficiary were classified as “available for sale” upon receipt and are included in “RMBS - at fair value” and “Other Assets” on the consolidated balance sheets as of March 31, 2024 and December 31, 2023, and details on the accounting treatment and fair value methodology of the securities can be found in Note 9 — Fair Value Measurements .

See also Note 4 — Investment Securities , for the fair value of AOMT securities held by the Company, and Note 13 - Other Assets , for investments in majority-owned affiliates (“MOAs”), as of March 31, 2024 and December 31, 2023 that were retained by the Company as a result of these securitization transactions.

The securities received in the securitization transactions for which we are not the primary beneficiary were classified as “available for sale” upon receipt and are included in “RMBS - at fair value” and “Other Assets” on the condensed consolidated balance sheets as of June 30, 2024 and December 31, 2023, and details on the accounting treatment and fair value methodology of the securities can be found in Note 9 — Fair Value Measurements .

See also Note 4 — Investment Securities , for the fair value of AOMT securities held by the Company, and Note 13 - Other Assets , for investments in majority-owned affiliates (“MOAs”), as of June 30, 2024 and December 31, 2023 that were retained by the Company as a result of these securitization transactions.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

Residential Mortgage Loans

Residential mortgage loans are measured at fair value.

The following table sets forth the cost, unpaid principal balance, net premium on mortgage loans purchased, fair value, weighted average interest rate, and weighted average remaining contractual maturity of the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023:

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

($ in thousands)

5 unchanged sentences

Weighted average interest rate 7.71 % 6.78 %

Weighted average contractual maturity (years)

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

Weighted average remaining contractual maturity (years)

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

See Note 5 — Notes Payable .

The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property ninety (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, 2024 and December 31, 2023:

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

($ in thousands)

6 unchanged sentences

Investment Securities

As of March 31, 2024, investment securities were comprised of:

As of June 30, 2024, investment securities were comprised of:

(i) non‑agency RMBS (“AOMT RMBS”) and (ii) Freddie Mac and Fannie Mae whole pool agency RMBS (“Whole Pool Agency RMBS”, and together with AOMT RMBS, “RMBS”), and (iii) U.S.

Treasury securities.

Treasury securities held by the Company as of March 31, 2024 subsequently matured on April 9, 2024.

The following table sets forth a summary of RMBS at cost as of March 31, 2024 and December 31, 2023:

March 31, 2024 December 31, 2023

Treasury securities held by the Company as of June 30, 2024 subsequently matured on July 2, 2024.

The following table sets forth a summary of RMBS at cost as of June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

(in thousands)

1 unchanged sentence

Whole Pool Agency RMBS $ 181,847 $ 391,964

The following tables sets forth certain information about the Company’s investments in RMBS at fair value as of March 31, 2024 and December 31, 2023:

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following tables sets forth certain information about the Company’s investments in RMBS at fair value as of June 30, 2024 and December 31, 2023:

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

March 31, 2024:

June 30, 2024:

(in thousands)

9 unchanged sentences

Freddie Mac 73,061 — 73,061

Whole Pool Total Agency RMBS $ 360,375 $ — $ 360,375

Total Whole Pool Agency RMBS

$ 180,518 $ — $ 180,518

(1) AOMT RMBS held as of March 31, 2024 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

$ 266,752 $ ( 51,909 ) $ 214,843

(1) AOMT RMBS held as of June 30, 2024 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

(2) A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

These bonds, with a fair value of $ 119.8 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

(3) The whole pool RMBS presented as of March 31, 2024 were purchased from a broker to whom the Company owes approximately $ 360 million, payable upon the settlement date of the trade.

These bonds, with a fair value of $ 142.2 million, are not reflected in the condensed consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

(3) The whole pool RMBS presented as of June 30, 2024 were purchased from a broker to whom the Company owes approximately $ 182 million, payable upon the settlement date of the trade.

See Note 6 - Due to Broker .

Further, we incurred margin calls in the amount of $ 1.1 million as of June 30, 2024 in support for these assets.

December 31, 2023 Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital

10 unchanged sentences

Freddie Mac 113,852 — 113,852

Whole Pool Total Agency RMBS $ 392,362 $ — $ 392,362

Total Whole Pool Agency RMBS

$ 392,362 $ — $ 392,362

Total RMBS $ 472,058 $ ( 44,643 ) $ 427,415

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

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

(2) A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

These bonds, with a fair value of $ 124.1 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

These bonds, with a fair value of $ 124.1 million, are not reflected in the condensed consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

(3) The whole pool RMBS presented as of December 31, 2023 were purchased from a broker to whom the Company owes approximately $ 392 million, payable upon the settlement date of the trade.

1 unchanged sentence

The following table sets forth certain information about the Company’s investments in U.S.

Treasury securities as of March 31, 2024 and December 31, 2023:

Treasury securities as of June 30, 2024 and December 31, 2023:

Date Face Value Unamortized Discount, net Amortized Cost Unrealized Gain/(Loss)

1 unchanged sentence

($ in thousands)

March 31, 2024 $ 150,000 $ 195 $ 149,805 $ — $ 149,805 5.19 %

June 30, 2024 $ 150,000 $ 43 $ 149,957 $ — $ 149,957 5.19 %

December 31, 2023 $ 150,000 $ 159 $ 149,841 $ 86 $ 149,927 5.30 %

4 unchanged sentences

Occasionally, a lender may require certain margin collateral to be posted on a warehouse line of credit.

There was no margin collateral required as of March 31, 2024 or December 31, 2023.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the details of the Company’s notes payable and drawn amounts for whole loan purchases as of March 31, 2024 and December 31, 2023:

There was no margin collateral required as of June 30, 2024 or December 31, 2023.

The following table sets forth the details of the Company’s notes payable and drawn amounts for whole loan purchases as of June 30, 2024 and December 31, 2023:

Spread Drawn Amount

Note Payable Base Interest Rate March 31, 2024 December 31, 2023

Note Payable Base Interest Rate June 30, 2024 December 31, 2023

($ in thousands)

13 unchanged sentences

Total $ 101,200 $ 290,610

(1) On March 25, 2024, this financing facility was extended through September 25, 2024 in accordance with the terms of the agreement, which contemplates six-month renewals, with an interest rate pricing spread of 2.00 %.

(1) On June 25, 2024, this financing facility was extended through December 26, 2024 in accordance with the terms of the agreement, which contemplates six-month renewals, with an interest rate pricing spread of 1.75 %.

Prior to this extension the interest rate pricing spread was up to 2.00 %.

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, 2024:

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the total unused borrowing capacity of each financing line as of June 30, 2024:

Note Payable Borrowing Capacity Balance Outstanding Available Financing

9 unchanged sentences

Due to Broker

The “Due to broker” account on the condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023, respectively, in the amounts of $ 360 million and $ 392 million relates to the purchase of Whole Pool Agency RMBS at quarter-end in the first and fourth quarters of 2024 and 2023, respectively.

The “Due to broker” account on the condensed consolidated balance sheets as of June 30, 2024 and December 31, 2023, respectively, in the amounts of $ 182 million and $ 392 million relates to the purchase of Whole Pool Agency RMBS at quarter-end in the second and fourth quarters of 2024 and 2023, respectively.

Purchases are accounted for on a trade date basis, and, at times, there may be a timing difference between accounting periods for 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 11, 2024 and January 16, 2024, 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 until settled as they are noncash transactions.

These trades settled on July 15, 2024 and January 16, 2024, 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 until settled.

Securities Sold Under Agreements to Repurchase

1 unchanged sentence

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 $ 0.3 million and $ 0.3 million as of March 31, 2024 and December 31, 2023, respectively.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table summarizes certain characteristics of the Company’s repurchase agreements as of March 31, 2024 and December 31, 2023:

March 31, 2024

Restricted cash of margin collateral for securities sold under agreements to repurchase was $ 0.3 million and $ 0.3 million as of June 30, 2024 and December 31, 2023, respectively.

The following table summarizes certain characteristics of the Company’s repurchase agreements as of June 30, 2024 and December 31, 2023:

June 30, 2024

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

10 unchanged sentences

Total $ 193,656 5.91 % 11

(1) A portion of repurchase debt outstanding as of both March 31, 2024 and December 31, 2023 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, 2024 and December 31, 2023 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

See Note 4 - Investment Securities.

1 unchanged sentence

A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls.

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

Derivative Financial Instruments

1 unchanged sentence

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, 2024 and December 31, 2023 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 March 31, 2024 and December 31, 2023 included $ 2.4 million and $ 2.5 million, respectively.

There was no TBA margin collateral required as of either March 31, 2024 or December 31, 2023.

Derivative instruments as of June 30, 2024 and December 31, 2023 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, 2024 and December 31, 2023 included $ 0.7 million and $ 2.5 million, respectively.

There was no TBA margin collateral required as of either June 30, 2024 or December 31, 2023.

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

7 unchanged sentences

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

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of March 31, 2024 and December 31, 2023:

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of June 30, 2024 and December 31, 2023:

Notional Amounts

1 unchanged sentence

($ in thousands)

March 31, 2024 Interest rate futures 1,714 $ — $ 636 $ — $ 171,400

March 31, 2024 TBAs N/A $ — $ 253 $ — $ 372,000

June 30, 2024 Interest rate futures 1,044 $ 207 $ — $ — $ 104,400

June 30, 2024 TBAs N/A $ 1,495 $ — $ — $ 203,400

December 31, 2023 Interest rate futures 1,489 $ — $ 840 $ — $ 148,900

December 31, 2023 TBAs N/A $ — $ 494 $ — $ 386,700

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, 2024 and March 31, 2023 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, 2024 and June 30, 2023 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, 2024 Interest rate futures $ 3,549 $ 204

Three Months Ended March 31, 2024 TBAs $ 306 $ 241

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 June 30, 2024 Interest rate futures $ 290 $ 844

Three Months Ended June 30, 2024 TBAs $ 1,818 $ 1,748

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

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

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

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, 2024 Interest rate futures $ 3,839 $ 1,048

Six Months Ended June 30, 2024 TBAs $ 2,124 $ 1,988

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

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

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, 2024, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2023 included in the Annual Report on Form 10-K.

As of June 30, 2024, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2023 included in the Annual Report on Form 10-K.

Included in Note 10 — Fair Value Measurements to the Consolidated Financial Statements for the year ended December 31, 2023 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.

The fair value of cash, restricted cash, principal and interest receivable, other assets (excluding investments in MOA’s), 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.

The fair value of cash, restricted cash, principal and interest receivable, other assets (excluding investments in MOAs), 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.

The Company’s “investments in majority-owned affiliates” included in other assets (see Note 13 — Other Assets ) and a portion of “non-recourse securitization obligations, collateralized by residential mortgage loans” are held at amortized cost.

2 unchanged sentences

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 March 31, 2024:

The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of June 30, 2024:

Level 1 Level 2 Level 3 Total

10 unchanged sentences

— 11,811 — 11,811

Unrealized appreciation on futures contracts

Unrealized appreciation on TBAs

1,495 — — 1,495

Total assets, at fair value $ 151,659 $ 1,864,417 $ 20,987 $ 2,037,063

2 unchanged sentences

$ — $ 966,991 $ — $ 966,991

Unrealized depreciation on futures contracts ( 636 ) — — ( 636 )

Unrealized depreciation on TBAs ( 253 ) — — ( 253 )

Total liabilities, at fair value $ — $ 966,991 $ — $ 966,991

(1) AOMT RMBS held as of March 31, 2024 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions.

(1) AOMT RMBS held as of June 30, 2024 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions.

(2) Includes Commercial Loans and AOMT commercial mortgage backed securities (“CMBS)” assets.

All AOMT CMBS held as of March 31, 2024 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

All AOMT CMBS held as of June 30, 2024 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(3) 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, 2024:

The following table sets forth information regarding the Company’s significant Level 3 inputs as of June 30, 2024:

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 10 — Fair Value Measurements 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, 2024, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.15 billion and $ 1.07 billion, respectively, a difference of approximately $ 86.1 million (which includes AOMT 2022-1, AOMT 2022-4, and AOMT 2023-4, which are marked to fair value;

As of June 30, 2024, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.44 billion and $ 1.30 billion, respectively, a difference of approximately $ 139.2 million (which includes AOMT 2022-1, AOMT 2022-4, AOMT 2023-4, and AOMT 2024-4, which are marked to fair value;

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

11 unchanged sentences

PriceServe obtains its price quotes from actual sales or quotes for sale of the same or similar securities and/or provides model‑based valuations that consider inputs derived from recent market activity including default rates, conditional prepayment rates, loss severity, expected yield to maturity, baseline discount margin/yield, recovery assumptions, tranche type, collateral coupon, age and loan size, and other inputs specific to each security.

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 consolidated financial statements.

The amortized cost and fair value of this investment as of March 31, 2024 was approximately $ 18.0 million and $ 22.8 million, respectively.

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 June 30, 2024 was approximately $ 18.6 million and $ 16.7 million, respectively.

The amortized cost and fair value of these investments as of December 31, 2023 was approximately $ 16.2 million and $ 16.7 million, respectively.

54 unchanged sentences

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

The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the period and year ended as of March 31, 2024 and December 31, 2023:

The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the period and year ended as of June 30, 2024 and December 31, 2023:

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) :

($ in thousands)

March 31, 2024 $ 32,036 96 650

Amount of Loans Purchased from Affiliates during the Year-to-Date/Year Ended (in thousands)

Number of Loans Purchased from Affiliates during the Year-to-Date/Year Ended

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

June 30, 2024 $ 98,069 235 212

December 31, 2023 $ 199,793 475 589

4 unchanged sentences

Management Fee

The Company’s management agreement, effective as of June 21, 2021, by and among the Company, the Operating Partnership, and the Manager (the “Management Agreement”), provides that the Company will pay the Manager, in arrears, on a quarterly basis, an aggregate fixed management fee equal to 1.5 % per annum of the Company’s Equity (as is defined in the Management Agreement).

Incentive Fee

Under the Management Agreement, the Manager is also entitled to an incentive fee, which is calculated and payable in cash with respect to each calendar quarter (or part thereof that the Management Agreement is in effect) in arrears in an amount, not less than zero , equal to the excess of (1) the product of (a) 15 % and (b) the excess of (i) the Company’s Distributable Earnings (as defined in the Management Agreement) for the previous 12-month period, over (ii) the product of (A) the Company’s Equity (as defined in the Management Agreement)

The Company’s management agreement, effective as of June 21, 2021 and amended and restated on May 1, 2024, by and among the Company, the Operating Partnership, and the Manager (as amended and restated, the “Management Agreement”), provides that the Company will pay the Manager, in arrears, on a quarterly basis, an aggregate fixed management fee equal to 1.5 % per annum of the Company’s Equity (as is defined in the Management Agreement).

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

in the previous 12-month period, and (B) 8 % per annum, over (2) the sum of any incentive fee earned by the Manager with respect to the first three calendar quarters of such previous 12-month period.

Incentive Fee

To date, the incentive fee has not been earned and no expense has been recognized in the Company’s financial statements.

4 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, 2024, the Company was not aware of any legal claims that could materially impact its financial condition.

As of March 31, 2024, the Company had no unfunded commitments.

As of June 30, 2024, the Company was not aware of any legal claims that could materially impact its financial condition.

As of June 30, 2024, the Company had no unfunded commitments.

The Company has entered into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties.

As of March 31, 2024, the Company has a total purchase commitments of $ 80.1 million related to both Angel Oak Mortgage Lending and third parties.

As of June 30, 2024, the Company has a total purchase commitments of $ 73.1 million related to both Angel Oak Mortgage Lending and third parties.

These commitments represent off-balance sheet risk where the Company may be required to extend credit.

Accumulated Other Comprehensive Income/(Loss)

The following table sets forth the net unrealized gain/(loss) on available-for-sale (“AFS”) securities for the three months ended March 31, 2024 and 2023, 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, 2024 and 2023:

Three Months Ended March 31, 2024 Three Months Ended March 31, 2023

The following table sets forth the net unrealized gain/(loss) on available-for-sale (“AFS”) securities for the three months ended June 30, 2024 and 2023, which is the sole component of the changes in the Company’s Accumulated Other Comprehensive Income/(Loss) (“AOCI”) for the three months ended June 30, 2024 and 2023:

Three Months Ended June 30, 2024 Three Months Ended June 30, 2023

(in thousands)

2 unchanged sentences

AOCI balance, end of period $ ( 3,147 ) $ ( 6,565 )

Six Months Ended June 30, 2024 Six Months Ended June 30, 2023

(in thousands)

AOCI balance, beginning of period $ ( 4,975 ) $ ( 21,127 )

Net unrealized gain/(loss) on AFS securities 1,828 14,562

AOCI balance, end of period $ ( 3,147 ) $ ( 6,565 )

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, 2024 and December 31, 2023:

March 31, 2024 December 31, 2023

The following table sets forth the detail of other assets included in the condensed consolidated balance sheets as of June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

($ in thousands)

1 unchanged sentence

$ 18,614 $ 16,232

Commercial Mortgage Loans

Commercial Mortgage Loans, at fair value

CMBS, at fair value

Deferred tax asset 3,457 3,457

3 unchanged sentences

Investments in Majority-Owned Affiliates (“MOA”)

In 2023 and the first quarter of 2024, the Company participated in securitization transactions AOMT 2023-1, AOMT 2023-5, AOMT 2023-7, and AOMT 2024-3, which involved MOAs in which the Company received investments of 41.21 %, 34.42 %, 10.35 %, and 10.98 %, respectively, in each case proportional to its share of the unpaid principal balance of the residential whole loans contributed to the securitizations.

In 2023 and the first two quarters of 2024, the Company participated in securitization transactions AOMT 2023-1, AOMT 2023-5, AOMT 2023-7, AOMT 2024-3, and AOMT 2024-6, which involved MOAs in which the Company received investments of 41.21 %, 34.42 %, 10.35 %, 10.98 %, and 4.51 % respectively, in each case proportional to its share of the unpaid principal balance of the residential whole loans contributed to the securitizations.

The purpose of the MOAs is to retain and hold risk retention bonds issued by the securitization trust.

Each MOA is a limited liability company and is accounted for as an equity method investment and held at amortized cost.

The investment will be tested for impairment at least annually utilizing undiscounted cash flows of the underlying risk retention bonds.

The investment will be tested for impairment at least annually utilizing undiscounted cash flows of the underlying bonds.

See Note 9 — Fair Value Measurements .

1 unchanged sentence

Commercial mortgage loans are measured at fair value.

As of March 31, 2024 and December 31, 2023, the cost and unpaid principal balance of the assets was $ 5.6 million and $ 5.6 million, with a fair value of $ 5.2 million and $ 5.2 million, respectively.

The weighted average interest rate was 6.24 % with a weighted average maturity of 12 years, as of March 31, 2024.

There were no commercial mortgage loans more than ninety (90) days past due or in foreclosure as of March 31, 2024 or December 31, 2023.

As of June 30, 2024 and December 31, 2023, the cost and unpaid principal balance of the assets was $ 5.6 million and $ 5.6 million, with a fair value of $ 5.2 million and $ 5.2 million, respectively.

The weighted average interest rate was 6.24 % with a weighted average maturity of 12 years, as of June 30, 2024.

There were no commercial mortgage loans more than ninety (90) days past due or in foreclosure as of June 30, 2024 or December 31, 2023.

Commercial Mortgage Backed Securities

CMBS are held at fair value.

As of March 31, 2024 and December 31, 2023, the cost of these assets were $ 6.3 million and $ 6.3 million, with a fair value of $ 6.6 million and $ 6.6 million, respectively.

There was no repurchase debt held against these assets at March 31, 2024 or December 31, 2023.

As of June 30, 2024 and December 31, 2023, the cost of these assets were $ 6.2 million and $ 6.3 million, with a fair value of $ 6.6 million and $ 6.6 million, respectively.

There was no repurchase debt held against these assets at June 30, 2024 or December 31, 2023.

Equity and Earnings per Share (“EPS”)

In the calculations of basic and diluted earnings per common share for the three months ended March 31, 2024 and 2023, 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 months ended June 30, 2024 and 2023, 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, 2024, there were 186,886 anti-dilutive outstanding restricted stock awards and 123,767 performance-based restricted stock units.

For the three and six month periods ended June 30, 2024, there were 91,590 and 83,729 anti-dilutive outstanding restricted stock awards, respectively, and 123,767 performance-based restricted stock units.

To date we have expensed $ 0.3 million related to the performance-based restricted stock units based on current market conditions.

However, these units were not included in the diluted weighted average common shares outstanding.

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-based restricted stock 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, 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.

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 March 31, 2024 and 2023:

March 31, 2024 March 31, 2023

The following table sets forth the calculation of basic and diluted earnings per share for the three months ended June 30, 2024 and 2023:

June 30, 2024 June 30, 2023

(in thousands, except share and per share data)

13 unchanged sentences

Diluted earnings (loss) per common share $ ( 0.01 ) $ ( 0.15 )

The following table sets forth the calculation of basic and diluted earnings per share for the six months ended June 30, 2024 and 2023:

June 30, 2024 June 30, 2023

(in thousands, except share and per share data)

Basic Earnings (Loss) per Common Share:

Net income (loss) to common stockholders $ 12,601 $ ( 3,158 )

Dividends allocated to participating securities ( 54 ) ( 81 )

Net income (loss) to common stockholders - basic $ 12,547 $ ( 3,239 )

Basic weighted average common shares outstanding 24,792,918 24,674,875

Basic earnings (loss) per common share $ 0.51 $ ( 0.13 )

Diluted Earnings (Loss) per Common Share:

Net income (loss) to common stockholders - basic $ 12,601 $ ( 3,158 )

Dividends allocated to participating securities ( 54 ) ( 81 )

Net income (loss) to common stockholders - diluted $ 12,547 $ ( 3,239 )

Basic weighted average common shares outstanding 24,792,918 24,674,875

Net effect of dilutive equity awards 180,583 —

Diluted weighted average common shares outstanding 24,973,501 24,674,875

Diluted earnings (loss) per common share $ 0.50 $ ( 0.13 )

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

Subsequent Events

On April 11, 2024, the Company securitized residential mortgage loans with an unpaid principal balance of $ 300 million in the issuance of AOMT 2024-4.

Similar to certain previous securitizations, the Company will consolidate the VIE used to facilitate this

See Note 2 “Variable Interest Entities” for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions.

On May 7, 2024, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on May 31, 2024 to common stockholders of record as of May 22, 2024.

On July 25, 2024, the Company closed an underwritten public offering and sale of, and issued, $ 50 million in aggregate principal amount of its 9.500 % Senior Notes due 2029 (the “Notes”).

The Notes bear interest at a rate of 9.500 % per annum, payable quarterly in arrears on January 30, April 30, July 30 and October 30 of each year, commencing on October 30, 2024.

The Notes will mature on July 30, 2029, unless earlier redeemed or repurchased by the Company.

The Company intends to use the majority of the net proceeds from the offering for general corporate purposes, which may include the acquisition of non-QM loans and other target assets primarily sourced from its affiliated proprietary mortgage lending platform or other target assets through the secondary market in a manner consistent with the Company’s strategy and investment guidelines.

Additionally, the Company used the net proceeds from the offering to repurchase 1,707,922 shares of the Company’s common stock owned by Xylem Finance LLC, an affiliate of Davidson Kempner Capital Management LP, for an aggregate repurchase price of approximately $ 20.0 million.

On August 6, 2024, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on August 30, 2024 to common stockholders of record as of August 22, 2024.

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