What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-11-07 compared with 2024-08-07 · 168 added, 135 removed, 597 unchanged (34% of the section changed)

3 unchanged sentences

(in thousands, except for share data)

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Residential mortgage loans - at fair value $ 428,909 $ 380,040

12 unchanged sentences

Securities sold under agreements to repurchase 102,876 193,656

Senior unsecured notes 47,616 —

Unrealized depreciation on TBAs and interest rate futures contracts - at fair value — 1,334

6 unchanged sentences

Total liabilities 2,038,768 2,051,905

Commitments and contingencies

STOCKHOLDERS’ EQUITY

Common stock, $ 0.01 par value.

As of June 30, 2024:

As of September 30, 2024:

350,000,000 shares authorized, 23,511,272 shares issued and outstanding.

10 unchanged sentences

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

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

INTEREST INCOME, NET

14 unchanged sentences

INCOME (LOSS) BEFORE INCOME TAXES $ 34,036 $ 8,273 $ 47,067 $ 5,896

Income tax expense (benefit) 142 781 429 781

Income tax expense 2,832 — 3,261 781

NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS $ 31,204 $ 8,273 $ 43,806 $ 5,115

10 unchanged sentences

(in thousands)

Three Months Ended June 30, 2024

Three Months Ended September 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 March 31, 2024 $ 249 $ 477,698 $ ( 3,272 ) $ ( 211,351 ) $ 263,324

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

Issuance of common stock, net of expenses $ 2 $ 2,250 $ — $ — 2,252

Repurchase of shares of common stock $ ( 17 ) $ ( 19,933 ) $ — $ — ( 19,950 )

Dividends paid on common stock

1 unchanged sentence

Stock compensation $ — $ 604 $ — $ — 604

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

Unrealized gain (loss) on RMBS and CMBS $ — $ — $ 2,706 $ — 2,706

Net income (loss) $ — $ — $ — $ 31,204 31,204

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

Three Months Ended June 30, 2023

Stockholders' equity as of September 30, 2024 $ 234 $ 461,249 $ ( 441 ) $ ( 195,944 ) $ 265,098

Three Months Ended September 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

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

Dividends paid on common stock

3 unchanged sentences

Net income (loss) $ — $ — $ — $ 8,273 $ 8,273

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

Six Months Ended June 30, 2024

Stockholders’ equity as of September 30, 2023 $ 249 $ 476,574 $ ( 8,172 ) $ ( 236,849 ) $ 231,802

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 (Unaudited)

(in thousands)

Nine Months Ended September 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

Issuance of common stock, net of expenses $ 2 $ 2,250 $ — $ — $ 2,252

Repurchase of shares of common stock $ ( 17 ) $ ( 19,933 ) $ — $ — $ ( 19,950 )

Dividends paid on common stock

1 unchanged sentence

Non-cash equity compensation $ — $ 1,864 $ — $ — $ 1,864

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

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

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

Six Months Ended June 30, 2023

Unrealized gain (loss) on RMBS and CMBS $ — $ — $ 4,534 $ — $ 4,534

Net income (loss) $ — $ — $ — $ 43,806 $ 43,806

Stockholders’ equity as of September 30, 2024

$ 234 $ 461,249 $ ( 441 ) $ ( 195,944 ) $ 265,098

Nine Months Ended September 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

— — — ( 23,942 ) ( 23,942 )

Non-cash equity compensation — 1,195 — — $ 1,195

Unrealized gain (loss) on RMBS and CMBS — — 12,955 — 12,955

Net income (loss) — — — $ 5,115 5,115

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

Stockholders’ equity as of September 30, 2023 $ 249 $ 476,574 $ ( 8,172 ) $ ( 236,849 ) $ 231,802

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

2 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2024 June 30, 2023

Nine Months Ended

September 30, 2024 September 30, 2023

CASH FLOWS FROM OPERATING ACTIVITIES

Net income (loss) $ 43,806 $ 5,115

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

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

Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS 14,527 27,056

26 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2024 June 30, 2023

Nine Months Ended

September 30, 2024 September 30, 2023

CASH FLOWS FROM INVESTING ACTIVITIES

5 unchanged sentences

Treasury securities ( 349,595 ) ( 848,617 )

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

Investments in majority-owned affiliates ( 2,253 ) ( 14,657 )

Principal payments on RMBS and CMBS securities 2,122 816

Maturities of U.S.

Maturity of U.S.

Treasury securities 450,000 700,000

Sale of commercial mortgage loans to third parties — 4,326

Principal payments on commercial mortgage loans 25 26

2 unchanged sentences

Dividends paid to common stockholders ( 23,514 ) ( 23,942 )

Repurchase of common stock ( 19,950 ) —

Proceeds from issuances of common stock, net of expenses 2,252 —

Proceeds from securitization 274,793 —

Principal payments on non-recourse securitization obligation ( 122,070 ) ( 74,179 )

3 unchanged sentences

( 90,780 ) 135,557

Net proceeds from issuance of senior notes 48,425 —

Net proceeds from (payments on) notes payable 42,432 ( 442,073 )

19 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’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 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.

Specifically, certain cash flows previously presented as cash flows from operating activities on the condensed consolidated statements of cash flows for the nine months-ended September 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 June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

The following table summarizes the key details of the loan securitization transactions for which the Company is the primary beneficiary currently outstanding as of September 30, 2024 and December 31, 2023:

September 30, 2024 December 31, 2023

($ in thousands)

9 unchanged sentences

For the period ended:

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

($ in thousands)

4 unchanged sentences

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

Aggregate cash received, at deal date 233,835 194,746

Angel Oak Mortgage REIT, Inc.

Notes to the Condensed Consolidated Financial Statements

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.

During the three months ended September 30, 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.

For the nine months ended September 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 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 September 30, 2024 and December 31, 2023, as a result of the transactions described above, securitized loans with outstanding principal balance of approximately $ 1.5 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 September 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.

13 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 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.

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 September 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 September 30, 2024 and December 31, 2023 that were retained by the Company as a result of these securitization transactions.

Angel Oak Mortgage REIT, Inc.

2 unchanged sentences

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 June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

($ in thousands)

7 unchanged sentences

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 June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

See Note 5 — Financing .

September 30, 2024 December 31, 2023

($ in thousands)

6 unchanged sentences

Investment Securities

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

As of September 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 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

Treasury securities held by the Company as of September 30, 2024 subsequently matured on October 3, 2024.

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

September 30, 2024 December 31, 2023

(in thousands)

3 unchanged sentences

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:

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

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

June 30, 2024:

September 30, 2024:

(in thousands)

12 unchanged sentences

$ 283,105 $ ( 53,164 ) $ 229,941

(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.

(1) AOMT RMBS held as of September 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 $ 143.5 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.

(3) The whole pool RMBS presented as of September 30, 2024 were purchased from a broker to whom the Company owes approximately $ 195 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.

There was no margin collateral required as of September 30, 2024.

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

21 unchanged sentences

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

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

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

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

1 unchanged sentence

($ in thousands)

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

September 30, 2024 $ 50,000 $ 16 $ 49,984 $ ( 13 ) $ 49,971 3.89 %

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 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:

There was no margin collateral required as of September 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 September 30, 2024 and December 31, 2023:

Spread Drawn Amount

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

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

($ in thousands)

13 unchanged sentences

Total $ 333,042 $ 290,610

(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 %.

(1) On September 25, 2024, this financing facility was extended through March 25, 2025 in accordance with the terms of the agreement, which contemplates six-month renewals.

(2) On March 28, 2024 the amended and restated Master Repurchase Agreement was terminated and replaced with a new $ 250 million Master Repurchase Agreement which has a termination date of March 27, 2026.

Further, the interest rate pricing margin will range from 2.10 % to 3.35 %, based on loan status, dwell time and other factors.

Prior to this extension the interest rate pricing spread was up to 3.45 %.

(3) This financing facility has a termination date of November 7, 2024.

On October 25, 2024, this facility was amended, reducing the interest rate pricing spread to a range from 1.75 % to 3.35 %, based on loan status, dwell time and other factors.

Prior to this extension the interest rate pricing spread ranged from 2.10 % to 3.35 % (See Note 16 — Subsequent Events ).

(3) On November 1, 2024, this facility was amended to (i) reduce the interest rate pricing spread to a range from 1.90 % to 4.75 %, based on loan status, dwell time and other factors, (ii) eliminate the 20 basis point index spread adjustment, and (iii) extend the facility’s termination date to November 1, 2025.

(See note 16 — Subsequent Events ).

(4) These master repurchase agreements expired by their terms on January 4, 2023.

2 unchanged sentences

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:

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

Note Payable Borrowing Capacity Balance Outstanding Available Financing

8 unchanged sentences

Although available financing is uncommitted for each of these lines of credit, 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.

Senior Unsecured Notes

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 and are held at amortized cost.

After deducting the underwriting discount and other debt issuance costs, the Company received net proceeds of approximately $ 47.5 million.

The Company may redeem the Notes in whole or in part at any time or from time to time at its option on or after July 30, 2026 at a redemption price equal to 100 % of the principal amount of the Notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date.

Upon the occurrence of certain events relating to a change of control of the Company, the Company must make an offer to repurchase all outstanding Notes at a price in cash equal to 101 % of the principal amount of the Notes, plus accrued and unpaid interest to, but excluding, the repurchase date .

The Notes are fully and unconditionally guaranteed on a senior unsecured basis by the Operating Partnership, including the due and punctual payment of principal of, premium, if any, and interest on the Notes, whether at stated maturity, upon acceleration, call for redemption or otherwise.

At September 30, 2024, the outstanding principal amount of these notes was $ 50 million and the accrued interest payable on the Notes was $ 0.9 million.

At September 30, 2024, the unamortized deferred debt issuance cost was $ 1.5 million, and the net interest expense was $ 1.0 million.

The unamortized deferred debt issuance costs will be amortized until maturity, which will be no later than July 30, 2029.

Due to Broker

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.

The “Due to broker” account on the condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023, respectively, in the amounts of $ 195 million and $ 392 million relates to the purchase of Whole Pool Agency RMBS at quarter-end in the third 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 July 15, 2024 and January 16, 2024, respectively, at which time these assets were simultaneously sold.

These trades settled on October 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.

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 $ 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

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

September 30, 2024

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

6 unchanged sentences

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

Treasury Bills $ 149,013 5.57 % 10

Treasury securities

$ 149,013 5.57 % 10

AOMT RMBS (1)

1 unchanged sentence

Total $ 193,656 5.91 % 11

(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).

(1) A portion of repurchase debt outstanding as of both September 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 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.

Derivative instruments as of September 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 September 30, 2024 and December 31, 2023 included $ 2.3 million and $ 2.5 million, respectively.

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

For the three and nine months ended September 30, 2024, we recognized income tax expense and a corresponding liability related to income from our TBAs.

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.

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:

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 September 30, 2024 and December 31, 2023:

Notional Amounts

1 unchanged sentence

($ in thousands)

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

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

September 30, 2024 Interest rate futures 2,404 $ 1,392 $ — $ — $ 240,400

September 30, 2024 TBAs N/A $ 259 $ — $ — $ 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 and six months ended June 30, 2024 and June 30, 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 nine months ended September 30, 2024 and September 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 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

Three Months Ended September 30, 2024 Interest rate futures $ ( 4,461 ) $ 1,184

Three Months Ended September 30, 2024 TBAs $ 3,115 $ ( 1,235 )

Three Months Ended September 30, 2023 Interest rate futures $ 2,828 $ ( 364 )

Three Months Ended September 30, 2023 TBAs $ 7,421 $ 4,927

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 )

Nine Months Ended September 30, 2024 Interest rate futures $ ( 622 ) $ 2,232

Nine Months Ended September 30, 2024 TBAs $ 5,238 $ 753

Nine Months Ended September 30, 2023 Interest rate futures $ 8,599 $ ( 2,416 )

Nine Months Ended September 30, 2023 TBAs $ 4,900 $ ( 5,379 )

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 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.

As of September 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.

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 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.

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 ”.

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, 2024:

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

Level 1 Level 2 Level 3 Total

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Whole Pool Agency RMBS — 194,364 — 194,364

U.S Treasury Securities 149,957 — — 149,957

Treasury Securities

49,971 — — 49,971

Other Assets, at fair value (2)

1 unchanged sentence

Unrealized appreciation on futures contracts

Unrealized appreciation on TBAs

1,392 — — 1,392

Unrealized appreciation on TBAs

Total assets, at fair value $ 51,622 $ 2,146,416 $ 29,683 $ 2,227,721

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Total liabilities, at fair value $ — $ 1,289,236 $ — $ 1,289,236

(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.

(1) AOMT RMBS held as of September 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 June 30, 2024 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

All AOMT CMBS held as of September 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.

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Notes to the Condensed Consolidated Financial Statements

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

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

Asset Fair Value Unobservable Input Range Average

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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 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;

As of September 30, 2024, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.38 billion and $ 1.29 billion, respectively, a difference of approximately $ 87.0 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).

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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 this investment as of September 30, 2024 was approximately $ 18.7 million and $ 17.0 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.

28 unchanged sentences

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

See below for the disclosure of the full debt at fair value.

All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans, TBAs, and futures contracts are recognized in net income for the periods presented.

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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 June 30, 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 September 30, 2024 and December 31, 2023:

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

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

June 30, 2024 $ 98,069 235 212

September 30, 2024 $ 182,200 405 380

December 31, 2023 $ 199,793 475 589

15 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 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.

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

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

As of September 30, 2024, the Company has a total purchase commitments of $ 93.3 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 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

The following table sets forth the net unrealized gain/(loss) on available-for-sale (“AFS”) securities for the three and nine months ended September 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 and nine months ended September 30, 2024 and 2023:

Three Months Ended September 30, 2024 Three Months Ended September 30, 2023

(in thousands)

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AOCI balance, end of period $ ( 441 ) $ ( 8,172 )

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

Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023

(in thousands)

4 unchanged sentences

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 June 30, 2024 and December 31, 2023:

June 30, 2024 December 31, 2023

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

September 30, 2024 December 31, 2023

($ in thousands)

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Investments in Majority-Owned Affiliates (“MOA”)

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.

In 2023 and the first three 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.

4 unchanged sentences

Commercial mortgage loans are measured at fair value.

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.

As of September 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 11 years, as of September 30, 2024.

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

Commercial Mortgage Backed Securities

CMBS are held at fair value.

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 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.

As of September 30, 2024 and December 31, 2023, the cost of these assets were $ 6.1 million and $ 6.3 million, with a fair value of $ 5.9 million and $ 6.6 million, respectively.

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

As of September 30, 2024, we had 6,973,959 shares of our common stock remaining available for sale from time to time in at-the-market equity offering program (the “ATM Program”).

These shares are registered with the SEC under our shelf registration statement.

During the three-months and nine-months ended September 30, 2024, the Company issued and sold 188,456 shares of common stock through the ATM Program for proceeds of $ 2.3 million, net of $ 45 thousand in commissions and fees.

On July 25, 2024 the Company repurchased 1,707,922 shares of 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 following the issuance of $ 50 million in aggregate principal amount of the Notes.

Earnings per Share (“EPS”)

In the calculations of basic and diluted earnings per common share for the three and nine months ended September 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 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.

For the three and nine month periods ended September 30, 2024, there were approximately 120,000 dilutive outstanding restricted stock awards and approximately 200,000 dilutive performance-based restricted stock units.

To date we have expensed $ 0.7 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 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 June 30, 2024 and 2023:

June 30, 2024 June 30, 2023

For the three and nine month periods ended September 30, 2023, there were 186,645 anti-dilutive outstanding restricted stock awards and 95,832 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.

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

September 30, 2024 September 30, 2023

(in thousands, except share and per share data)

13 unchanged sentences

Diluted earnings (loss) per common share $ 1.29 $ 0.33

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

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

September 30, 2024 September 30, 2023

(in thousands, except share and per share data)

16 unchanged sentences

Subsequent Events

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.

On October 16, 2024, the Company securitized residential mortgage loans with a scheduled unpaid principal balance of approximately $ 316.8 million in the issuance of AOMT 2024-10.

Similar to certain previous securitization transactions, the Company will consolidate the VIE used to facilitate this transaction.

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 October 25, 2024, the Company amended its loan financing facility with Global Investment Bank 2 to, among other changes, reduce the interest rate pricing spread to a range from 1.75 % to 3.35 %, based on collateral type, loan status, dwell time and other factors.

See Note 5 — Financing for a further discussion related to this financing facility.

On November 1, 2024, the Company amended its loan financing facility with Global Investment Bank 3 to, among other changes, (i) extend the termination date to November 1, 2025;

(ii) reduce the interest rate pricing spread to a range from 1.90 % to 4.75 % based on collateral type, loan status, dwell time and other factors;

and (iii) eliminate the 20 basis point index spread adjustment.

See Note 5 — Financing for a further discussion related to this financing facility.

On November 6, 2024, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on November 27, 2024 to common stockholders of record as of November 19, 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