Angel Oak Mortgage REIT, Inc. 10-Q

ITEM 1. FINANCIAL STATEMENTS Angel Oak Mortgage REIT, Inc. Condensed Consolidated Balance Sheets (Unaudited) (in thousands, except for share data) As of: March 31, 2026 December 31, 2025 ASSETS Residential mortgage loans - at fair value $ 245,534 $ 294,134 Residential mortgage loans in securitization trusts - at fair value 2,249,614 2,076,776 RMBS - at fair value 212,596 280,005 Cash and cash equivalents 41,963 41,619 Restricted cash 1,682 3,666 Principal and interest receivable 11,269 10,354 TBA securities and interest rate futures contracts - at fair value 3,911 240 Other assets 43,412 42,984 Total assets $ 2,809,981 $ 2,749,778 LIABILITIES AND STOCKHOLDERS’ EQUITY LIABILITIES Notes payable $ 192,230 $ 218,757 Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts (see Note 2) 2,079,653 1,915,321 Securities sold under agreements to repurchase 57,000 54,041 Senior unsecured notes 89,251 89,023 TBA securities and interest rate futures contracts - at fair value — 32 Due to broker 129,359 198,191 Accrued expenses 2,291 2,021 Accrued expenses payable to affiliate 244 783 Interest payable 1,890 3,423 Income taxes payable — — Management fee payable to affiliate 1,161 663 Total liabilities $ 2,553,079 $ 2,482,255 STOCKHOLDERS’ EQUITY Common stock, $ 0.01 par value. As of March 31, 2026: 350,000,000 shares authorized, 24,914,647 shares issued and outstanding. As of December 31, 2025: 350,000,000 shares authorized, 24,914,647 shares issued and outstanding. $ 249 $ 249 Additional paid-in capital 475,000 474,577 Accumulated other comprehensive income (loss) 3,084 ( 1,314 ) Retained earnings (deficit) ( 221,431 ) ( 205,989 ) Total stockholders’ equity $ 256,902 $ 267,523 Total liabilities and stockholders’ equity $ 2,809,981 $ 2,749,778 The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement. 2 Angel Oak Mortgage REIT, Inc. Condensed Consolidated Statements of Operations and Comprehensive Income (Loss) (Unaudited) (in thousands, except for share and per share data) Three Months Ended March 31, 2026 March 31, 2025 INTEREST INCOME, NET Interest income $ 40,694 $ 32,867 Interest expense 28,584 22,780 NET INTEREST INCOME $ 12,110 $ 10,087 REALIZED AND UNREALIZED GAINS (LOSSES), NET Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS $ ( 2,721 ) $ ( 3,182 ) Net unrealized gain (loss) on mortgage loans, portion of debt at fair value option, derivative contracts, and trading securities ( 11,592 ) 16,625 TOTAL REALIZED AND UNREALIZED GAINS (LOSSES), NET $ ( 14,313 ) $ 13,443 EXPENSES Operating expenses $ 1,657 $ 1,201 Operating expenses incurred with affiliate 565 416 Stock compensation 423 237 Securitization costs 1,402 — Management fee incurred with affiliate 1,129 1,145 Total operating expenses $ 5,176 $ 2,999 INCOME (LOSS) BEFORE INCOME TAXES $ ( 7,379 ) $ 20,531 Income tax expense (benefit) — — NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS $ ( 7,379 ) $ 20,531 Other comprehensive income (loss) 4,398 ( 695 ) TOTAL COMPREHENSIVE INCOME (LOSS) $ ( 2,981 ) $ 19,836 Basic earnings (loss) per common share $ ( 0.30 ) $ 0.88 Diluted earnings (loss) per common share $ ( 0.30 ) $ 0.87 Weighted average number of common shares outstanding: Basic 24,757,346 23,396,151 Diluted 24,757,346 23,644,598 The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement. 3 Angel Oak Mortgage REIT, Inc. Condensed Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) (in thousands) Three Months Ended March 31, 2026 Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive (Loss) Income Retained Earnings Total Stockholders' Equity Stockholders' equity as of December 31, 2025 $ 249 $ 474,577 $ ( 1,314 ) $ ( 205,989 ) $ 267,523 Dividends paid on common stock (1) — — — ( 7,973 ) ( 7,973 ) Dividends accrued on unvested performance shares — — — ( 90 ) ( 90 ) Stock compensation — 423 — — 423 Unrealized gain (loss) on RMBS and CMBS — — 4,398 — 4,398 Net income (loss) — — — ( 7,379 ) ( 7,379 ) Stockholders' equity as of March 31, 2026 $ 249 $ 475,000 $ 3,084 $ ( 221,431 ) $ 256,902 Three Months Ended March 31, 2025 Common Stock at Par Additional Paid-in Capital Accumulated Other Comprehensive (Loss) Income Retained Earnings Total Stockholders' Equity Stockholders' equity as of December 31, 2024 $ 234 $ 461,057 $ ( 3,475 ) $ ( 218,849 ) $ 238,967 Dividends paid on common stock (2) — — — ( 7,520 ) ( 7,520 ) Dividends accrued on unvested performance shares — — — ( 40 ) ( 40 ) Stock compensation — 237 — — 237 Unrealized gain (loss) on RMBS and CMBS — — ( 695 ) — ( 695 ) Net income (loss) — — — 20,531 20,531 Stockholders' equity as of March 31, 2025 $ 234 $ 461,294 $ ( 4,170 ) $ ( 205,878 ) $ 251,480 (1) Dividends paid on common stock during the three months ended March 31, 2026 at $ 0.32 per share of common stock on February 27, 2026. (2) Dividends paid on common stock during the three months ended March 31, 2025 at $ 0.32 per share of common stock on February 28, 2025. The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement. 4 Angel Oak Mortgage REIT, Inc. Condensed Consolidated Statements of Cash Flows (Unaudited) (in thousands) Three Months Ended March 31, 2026 March 31, 2025 CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) $ ( 7,379 ) $ 20,531 Adjustments to reconcile net income (loss) to net cash provided or (used in) operating activities: Net realized (gain) loss on mortgage loans, derivative contracts, RMBS, and CMBS 2,721 3,182 Net unrealized (gain) loss on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts 11,592 ( 16,625 ) Amortization of debt issuance costs 263 162 Net amortization of premiums and discounts on mortgage loans 1,030 826 Accretion of non-recourse securitized obligation discount 994 1,114 Amortization of RMBS premium/discount 92 — Accretion of discount on U.S. Treasury securities — ( 38 ) Stock compensation 423 237 Purchases of residential mortgage loans from affiliates ( 46,456 ) ( 76,697 ) Purchases of residential mortgage loans from non-affiliates ( 199,753 ) ( 182,291 ) Sale of residential mortgage loans 527 — Principal payments on residential mortgage loans 10,039 5,403 Principal payments on residential mortgage loans in securitization trusts 85,238 43,211 Net change in: TBA securities and interest rate futures contracts ( 487 ) ( 309 ) Principal and interest receivable on residential mortgage loans ( 915 ) ( 1,682 ) Other assets ( 249 ) 97 Management fee payable to affiliate 498 509 Accrued expenses 179 209 Accrued expenses payable to affiliate ( 539 ) ( 518 ) Interest payable ( 1,533 ) 931 NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES $ ( 143,715 ) $ ( 201,748 ) The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement. 5 Angel Oak Mortgage REIT, Inc. Condensed Consolidated Statements of Cash Flows (Unaudited) (in thousands) CASH FLOWS FROM INVESTING ACTIVITIES Purchases of investments in whole pool agency RMBS, trading $ ( 198,191 ) $ ( 203,181 ) Sale of investments in whole pool agency RMBS, trading 198,589 201,994 Purchase of investment in U.S. Treasury securities — ( 74,939 ) Principal payments on RMBS and CMBS securities — 253 Principal payments on commercial mortgage loans 5 6 NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES $ 403 $ ( 75,867 ) CASH FLOWS FROM FINANCING ACTIVITIES Dividends paid to common stockholders $ ( 7,973 ) $ ( 7,520 ) Principal payments on non-recourse securitization obligation ( 85,448 ) ( 43,211 ) Proceeds from securitization 258,661 — Net proceeds from (repurchases of) securities sold under agreements to repurchase 2,959 97,912 Net proceeds from (payments on) notes payable ( 26,527 ) 231,011 NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES $ 141,672 $ 278,192 CHANGE IN CASH AND RESTRICTED CASH $ ( 1,640 ) $ 577 CASH AND RESTRICTED CASH, beginning of period 45,285 42,893 CASH AND RESTRICTED CASH, end of period $ 43,645 $ 43,470 SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION Cash paid during the period for interest $ 28,867 $ 17,517 The accompanying Notes to the Condensed Consolidated Financial Statements are an integral part of this statement. 6 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) 1. Organization and Basis of Presentation Angel Oak Mortgage REIT, Inc. (together with its subsidiaries the “Company,” “we,” “our” or “us”) is a real estate finance company focused on acquiring and investing in first and second lien non-qualified residential mortgage (“non-QM”) loans and other mortgage‑related assets in the U.S. mortgage market. The Company’s strategy is to make credit-sensitive investments primarily in newly-originated non-QM loans and other mortgage assets that are primarily made to higher-quality borrowers and sourced from the proprietary mortgage lending platform of its affiliate, Angel Oak Mortgage Solutions LLC (together with other non-operational affiliated originators “Angel Oak Mortgage Lending”) and other originators through our relationship with Angel Oak Capital Advisors, LLC (“Angel Oak Capital”). The Company may also invest in other residential mortgage loans, residential mortgage‑backed securities (“RMBS”), and other mortgage‑related assets. The Company’s objective is to generate attractive risk‑adjusted returns for its stockholders, through cash distributions and capital appreciation, across interest rate and credit cycles. The Company is a Maryland corporation incorporated on March 20, 2018. 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 On February 5, 2020, the Company formed Angel Oak Mortgage Operating Partnership, LP, a Delaware limited partnership (the “Operating Partnership”), through which substantially all of its assets are held and substantially all of its operations are conducted, either directly or through subsidiaries. The Company holds all of the limited partnership interests in the Operating Partnership and indirectly holds the sole general partnership interest in the Operating Partnership through the general partner, which is the Company’s wholly-owned subsidiary. The Company’s Manager and REIT status The Company is externally managed and advised by Falcons I, LLC (the “Manager”), a registered investment adviser with the Securities and Exchange Commission and an affiliate of Angel Oak Capital. The Company has elected to be taxed as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its taxable year ended December 31, 2019. Interim Financial Statements The accompanying unaudited condensed consolidated financial statements have been prepared in conformity with the instructions to Article 10-01 of Regulation S-X for interim financial statements. Accordingly, they do not include all the information and footnotes required by generally accepted accounting principles in the United States of America (“GAAP”) for complete financial statements. These unaudited condensed consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2025, included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2025 (the “Annual Report on Form 10-K”). In the opinion of management, the accompanying condensed consolidated financial statements contain all adjustments, consisting of normal recurring adjustments, necessary for a fair statement of the results for the interim periods presented. Such operating results may not be indicative of the expected results for any other interim periods or the entire year. The condensed consolidated financial statements include the accounts of the Company and its wholly‑owned subsidiaries. All significant intercompany balances and transactions have been eliminated in consolidation. Use of Estimates The preparation of financial statements requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from the Company’s estimates and the differences could be material. Recent Accounting Pronouncements Expense disaggregation 7 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) In November 2024, the FASB issued ASU 2024-03, "Income Statement - Reporting Comprehensive Income Expense Disaggregation Disclosures (Subtopic 220- 40)", and in January 2025, the FASB issued ASU 2025-01, "Income Statement - Reporting Comprehensive Income - Expense Disaggregation Disclosures (Subtopic 220-40): Clarifying the Effective Date". This standard requires public companies to disclose additional information about specific expense categories in the notes to financial statements at interim and annual reporting periods. The new standard, as clarified by ASU 2025-01, is effective for annual reporting periods beginning after December 15, 2026, and interim reporting periods beginning after December 15, 2027, with early adoption permitted. The Company is currently evaluating the potential impact upon adoption, but does not expect the adoption of the new standard to have a material effect on its consolidated financial statements. Segment Reporting Operating segments are defined as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Company’s CODM is its Chief Executive Officer, Mr. Sreeniwas Prabhu. The Company has determined it currently operates in a single operating segment and has one reportable segment, which is to acquire, invest in, and finance mortgage‑related assets. The CODM reviews net income, net interest income (interest income less interest expense) earned on its portfolio of residential mortgage loans, residential mortgage loans in securitization trusts, RMBS, and other assets as presented on a consolidated basis for purposes of making operating decisions, allocating resources, and evaluating financial performance. Net interest income as used by the CODM in this context is consistent with that presented within the Company’s consolidated financial statements. Segment assets are reflected on the accompanying Balance Sheet as “total assets” and significant segment expenses are listed on the accompanying statement of operations. Summary of Significant Accounting Policies The Company’s summary of significant accounting policies as set forth in its Annual Report on Form 10-K remain unchanged. 2. Variable Interest Entities Since its inception, the Company has utilized variable interest entities (“VIEs”) for the purpose of securitizing whole mortgage loans to obtain long-term non-recourse financing. The Company evaluates its interest in each VIE to determine if it is the primary beneficiary. VIEs for Which the Company is the Primary Beneficiary The Company entered into securitization transactions where it was determined that the Company has the power to direct the activities that most significantly impact the VIE’s economic performance. The Company was the sole entity to contribute residential whole mortgage loans to these securitization vehicles. 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 for which the Company is the primary beneficiary currently outstanding as of March 31, 2026 and December 31, 2025: 8 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) As of: March 31, 2026 December 31, 2025 ($ in thousands) Aggregate unpaid principal balance of residential whole loans sold $ 2,277,410 $ 2,090,583 Fair value adjustment for residential mortgage loans in securitization trusts ( 27,796 ) ( 13,807 ) Residential mortgage loans in securitization trusts, at fair value $ 2,249,614 $ 2,076,776 Outstanding amount of Non-recourse securitization obligation, at amortized cost $ 2,089,596 $ 1,915,389 Fair value adjustment for the portion of Non-recourse securitization obligation, at fair value option ( 9,943 ) ( 68 ) Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts $ 2,079,653 $ 1,915,321 Weighted average rate for Non-recourse securitization obligation issued 4.42 % 4.25 % For the period ended: March 31, 2026 December 31, 2025 ($ in thousands) Aggregate unpaid principal balance of residential whole loans sold, at deal date $ 3,157,900 $ 2,885,625 Face amount of Non-recourse securitization obligation issued by the VIE and purchased by third-party investors, at deal date $ 2,984,147 $ 2,725,486 Face amount of Senior Support Certificates received by the Company, at deal date $ 173,753 $ 160,139 Cash received, at deal date $ 344,002 $ 320,116 During the three months ended March 31, 2026, the Company and its affiliates issued and sold bonds with a face value of $ 258.7 million to third-party investors for proceeds of $ 259.8 million, before offering costs and accrued interest. The sold bonds are included in “Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts” on the Company’s condensed consolidated balance sheets. As of March 31, 2026 and December 31, 2025, as a result of the transactions described above, securitized loans with outstanding principal balance of approximately $ 2.3 billion and $ 2.1 billion are included in “Residential mortgage loans in securitization trusts” on the Company’s condensed consolidated balance sheets, respectively. As of March 31, 2026 and December 31, 2025, the aggregate carrying value of bonds issued by consolidated VIEs was $ 2.1 billion and $ 1.9 billion, respectively. These bonds issued are disclosed as “Non-recourse securitization obligation, collateralized by residential mortgage loans in securitization trusts” on the Company’s condensed 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 whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. VIEs for Which the Company is Not the Primary Beneficiary 9 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) The Company sponsored or participated along with other affiliates and entities managed by Angel Oak Capital in the formation of various entities that were considered to be VIEs. These VIEs were formed to facilitate securitization issuances that were comprised of secured residential whole loans and/or small balance commercial loans contributed to securitization trusts. These securities were issued as a result of the unconsolidated securitizations where the Company retained bonds from the issuances of securitizations issued by a depositor that the Company does not control. The Company determined that it was not then and is not now the primary beneficiary of any of these securitization entities, and thus has not consolidated the operating results or statements of financial position of any of these entities. 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 the Company is not the primary beneficiary are either classified as “available for sale” upon receipt and are included in “RMBS - at fair value”, or are classified as “Other assets” and held at amortized cost on the condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025, and details on the accounting treatment and fair value methodology of the securities can be found in Note 8 — Fair Value Measurements . See also Note 4 — Investment Securities , for the fair value of Angel Oak Mortgage Trust (“AOMT”) securities held by the Company, and Note 12 - Other Assets , for investments in majority-owned affiliates (“MOAs”), as of March 31, 2026 and December 31, 2025 that were retained by the Company as a result of these securitization transactions. 3. 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, 2026 and December 31, 2025: March 31, 2026 December 31, 2025 ($ in thousands) Cost $ 246,469 $ 291,089 Unpaid principal balance $ 238,772 $ 282,348 Net premium on mortgage loans purchased 7,697 8,742 Change in fair value ( 935 ) 3,044 Fair value $ 245,534 $ 294,134 Weighted average interest rate 7.62 % 7.38 % Weighted average remaining contractual maturity (years) 28.9 29.5 The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property which are 90 or more days past due and those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of March 31, 2026 and December 31, 2025: As of: March 31, 2026 December 31, 2025 ($ in thousands) Number of mortgage loans 90 or more days past due — — Recorded investment in mortgage loans 90 or more days past due $ — $ — Unpaid principal balance of loans 90 or more days past due $ — $ — Number of mortgage loans in foreclosure 4 1 Recorded investment in mortgage loans in foreclosure $ 2,705 $ 1,166 Unpaid principal balance of loans in foreclosure $ 2,619 $ 1,113 10 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) 4. Investment Securities As of March 31, 2026 and December 31, 2025, Investment Securities were comprised of non‑agency RMBS and Freddie Mac and Fannie Mae “whole pool agency RMBS” (together, “RMBS”) and commercial mortgage backed securities (“CMBS”) assets. The following table sets forth a summary of RMBS at cost as of March 31, 2026 and December 31, 2025: March 31, 2026 December 31, 2025 (in thousands) AOMT RMBS $ 82,214 $ 82,705 Whole Pool Agency RMBS $ 129,359 $ 198,191 The following table sets forth certain information about the Company’s investments in RMBS at fair value as of March 31, 2026: March 31, 2026 Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital (in thousands) AOMT RMBS (1) Mezzanine $ 14,265 $ 8,297 $ 5,968 Subordinate 62,229 12,625 49,604 Interest Only/Excess 9,221 — 9,221 Retained RMBS in VIEs (2) — 36,078 ( 36,078 ) Total AOMT RMBS $ 85,715 $ 57,000 $ 28,715 Whole Pool Agency RMBS (3) Fannie Mae $ 96,019 $ — 96,019 Freddie Mac 30,862 — 30,862 Total Whole Pool Agency RMBS $ 126,881 $ — $ 126,881 Total RMBS $ 212,596 $ 57,000 $ 155,596 (1) AOMT RMBS held as of March 31, 2026 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 $ 220.9 million, are included in residential mortgage loans in securitization trusts - at fair value, within the condensed consolidated balance sheets. (3) The whole pool RMBS presented as of March 31, 2026 were purchased from a broker to whom the Company owes approximately $ 129 million, payable upon the settlement date of the trade. See Note 6 - Due to Broker . 11 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) The following table sets forth certain information about the Company’s investments in RMBS at fair value as of December 31, 2025: December 31, 2025 Real Estate Securities at Fair Value Securities Sold Under Agreements to Repurchase Allocated Capital (in thousands) AOMT RMBS (1) Mezzanine $ 13,252 $ ( 6,993 ) $ 6,259 Subordinate 59,587 ( 12,354 ) 47,233 Interest Only/Excess 9,301 — 9,301 Retained RMBS in VIEs (2) — ( 34,694 ) ( 34,694 ) Total AOMT RMBS $ 82,140 $ ( 54,041 ) $ 28,099 Whole Pool Agency RMBS (3) Fannie Mae $ 56,412 $ — $ 56,412 Freddie Mac 141,453 — 141,453 Total Whole Pool Agency RMBS $ 197,865 $ — $ 197,865 Total RMBS $ 280,005 $ ( 54,041 ) $ 225,964 (1) AOMT RMBS held as of December 31, 2025 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 $ 198.9 million, are included in residential mortgage loans in securitization trusts - at fair value, within the condensed consolidated balance sheets. (3) The whole pool RMBS presented as of December 31, 2025 were purchased from a broker to whom the Company owes approximately $ 198.2 million, payable upon the settlement date of the trade. See Note 6 - Due to Broker . 5. Financing The Company has the ability to finance residential whole loans and lines of credit and commercial whole loans, utilizing lines of credit (notes payable) from various counterparties, as further described below. Outstanding borrowings bear interest at floating rates depending on the lending counterparty, the collateral pledged, and the rate in effect for each interest period, as the same may change from time to time at the end of each interest period. Some loans include upfront fees, exit or withdrawal fees, covenants and concentration limits on types of collateral pledged, many of which vary based on the counterparty. 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, 2026 or December 31, 2025. 12 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) The following table sets forth the details of the Company’s financing arrangements as of March 31, 2026 and December 31, 2025 ($ in thousands): March 31, 2026 December 31, 2025 Current Face Carrying Value Stated Maturity Based/Fixed Interest Rate Interest Rate Pricing Spread Carrying Value Notes payable Multinational Bank 1 (1) $ 79,013 $ 79,013 June 2026 Average Daily SOFR 1.65 % - 2.10 % $ 125,091 Global Investment Bank 2 (2) 23,155 23,155 April 2028 1 Month Term SOFR 1.50 % - 2.60 % — Global Investment Bank 3 (3) 64,407 64,407 September 2026 Compound SOFR 1.75 % - 4.75 % 60,263 Global Investment Bank 4 (4) 25,655 25,655 October 2027 Term SOFR 1.60 % 33,403 Total Notes Payable Financing $ 192,230 $ 192,230 $ 218,757 Non-recourse securitization obligation, at fair value $ 2,089,596 $ 2,079,653 N/A 4.42 % $ 1,915,321 Securities sold under agreements to repurchase $ 57,000 $ 57,000 April 2026 5.14 % $ 54,041 Senior Unsecured Notes June 2030 Senior Unsecured Notes $ 42,500 $ 40,888 June 2030 9.75 % $ 40,784 July 2029 Senior Unsecured Notes 50,000 48,363 July 2029 9.50 % 48,239 Total Senior Unsecured Notes $ 92,500 $ 89,251 $ 89,023 Total Financing $ 2,431,326 $ 2,418,134 $ 2,277,142 (1) On December 26, 2025, this financing facility was extended through June 25, 2026 in accordance with the terms of the agreement, which contemplates rolling three-month renewals. The interest rate pricing spread remained unchanged from the prior extension at a range from 1.65 % to 2.10 %. (2) On April 22, 2026, the Company and one of its subsidiaries, amended the Pricing Side Letter for its loan financing facility with Global Investment Bank 2. The amendment updates the seller underwriting guidelines to include home equity revolving lines of credit. The termination date of the loan financing facility was extended to April 21, 2028. In addition, the interest rate pricing spread was updated to a range from 1.50 % to 2.60 %; prior to this extension, the interest rate pricing spread was a range from 1.65 % to 2.40 % (3) On September 26, 2025, the facility’s termination date was extended to September 26, 2026. In addition, the interest rate pricing spread was reduced to a range from 1.75 % to 4.75 %; prior to this extension, the interest rate pricing spread was a range from 1.90 % to 4.75 %. 13 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) (4) On October 6, 2025, the Company and one of its subsidiaries entered into a $ 200.0 million repurchase facility with a global investment bank (“Global Investment Bank 4”) through the execution of a Master Repurchase Agreement and Securities Contract (the “Global Investment Bank 4 Master Repurchase Agreement”). The amount expected to be advanced by Global Investment Bank 4 is generally in line with other similar agreements that the Company has entered into. Additionally, the rates, terms, events of default, and remedies for such events of default contained within the Global Investment Bank 4 Master Repurchase Agreement are generally in line with other similar agreements that the Company has entered into. The interest rate is equal to the sum of (1) a spread of 1.60%, and (2) Term SOFR. The Global Investment Bank 4 Master Repurchase Agreement expires on October 6, 2027, unless terminated earlier pursuant to the terms of the Global Investment Bank 4 Master Repurchase Agreement. Notes Payable The following table sets forth the total unused borrowing capacity of each financing line as of March 31, 2026: Note Payable Borrowing Capacity Balance Outstanding Available Financing (in thousands) Multinational Bank 1 $ 600,000 $ 79,013 $ 520,987 Global Investment Bank 2 250,000 23,155 226,845 Global Investment Bank 3 200,000 64,407 135,593 Global Investment Bank 4 200,000 25,655 174,345 Total $ 1,250,000 $ 192,230 $ 1,057,770 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. 14 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) Senior Unsecured Notes The Company’s Senior Unsecured Notes consist of $ 42.5 million principal amount of its 9.750 % Senior Notes due June 2030 (the “2030 Notes”) and $ 50.0 million principal amount of its 9.500 % Senior Notes due July 2029 (the “2029 Notes” and, together with the 2030 Notes, the “Senior Unsecured Notes”). The 2030 Notes were issued in May 2025 in a public offering for net proceeds of approximately $ 40.6 million and the 2029 Notes were issued in July 2024 in a public offering for net proceeds of approximately $ 47.5 million. The below table provides a summary of the Senior Unsecured Notes as of March 31, 2026 ($ in thousands). Carrying Value Senior Unsecured Notes (1) Principal Amount March 31, 2026 December 31, 2025 Maturity Date (2) Redemption Date (3) Rate (4) June 2030 Senior Unsecured Notes $ 42,500 $ 40,888 $ 40,784 June 2030 June 2027 9.75 % July 2029 Senior Unsecured Notes 50,000 48,363 48,239 July 2029 July 2026 9.50 % $ 92,500 $ 89,251 $ 89,023 (1) The Senior Unsecured Notes are fully and unconditionally guaranteed on a senior unsecured basis by the Operating Partnership, including the due and punctual payment of principal, premium, if any, and interest on the Senior Unsecured Notes, whether at stated maturity, upon acceleration, call for redemption or otherwise. (2) The Company has the option to redeem the Senior Unsecured Notes earlier than the maturity date. (3) The Company may redeem the Senior Unsecured Notes in whole or in part at any time on or after the optional redemption date, at a redemption price equal to 100 % of the outstanding principal amount of the Senior Unsecured 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 Senior Unsecured Notes at a price in cash equal to 101 % of the principal amount of the Senior Unsecured Notes, plus accrued and unpaid interest to, but excluding, the repurchase date. (4) The 2030 Notes bear interest at a rate equal to 9.750 % per year, payable in cash quarterly in arrears on March 1, June 1, September 1, and December 1 of each year. The 2029 Notes bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on January 30, April 30, July 30 and October 30 of each year. The below table details the total interest expense incurred on the Senior Unsecured Notes during the three months ended March 31, 2026 and March 31, 2025 ($ in thousands). Three Months Ended March 31, 2026 March 31, 2025 Coupon interest expense $ 2,230 $ 1,187 Amortization expense 221 125 Total interest expense $ 2,451 $ 1,312 At March 31, 2026 and December 31, 2025, the accrued interest payable on the Senior Unsecured Notes was $ 1.2 million and $ 2.2 million, respectively. At March 31, 2026 and December 31, 2025, the unamortized deferred debt issuance cost was $ 1.2 million and $ 1.2 million, respectively. The unamortized debt issuance costs will be amortized until maturity. 15 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) Securities Sold Under Agreements to Repurchase Transactions involving securities sold under agreements to repurchase are treated as collateralized financial transactions, and are recorded at their contracted repurchase amounts. 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 $ 1.2 million and $ 1.2 million as of March 31, 2026 and December 31, 2025, respectively. The following table summarizes certain characteristics of the Company’s repurchase agreements as of March 31, 2026 and December 31, 2025: March 31, 2026 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) AOMT RMBS (1) $ 57,000 5.14 % 16 December 31, 2025 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) AOMT RMBS (1) $ 54,041 5.44 % 16 (1) A portion of repurchase debt outstanding as of March 31, 2026 and December 31, 2025 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). See Note 4 - Investment Securities . Although the transactions under repurchase agreements represent committed borrowings until maturity, the lenders retain the right to mark the underlying collateral at fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. 6. Due to Broker The “Due to broker” account on the condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025, respectively, in the amounts of $ 129.4 million and $ 198.2 million relates to the purchase of Whole Pool Agency RMBS at quarter-end in the first and fourth quarters of 2026 and 2025, 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 in April 2026 and January 2026, 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. 7. Derivative Financial Instruments In the normal course of business, the Company enters into derivative financial instruments to manage its exposure to market risk, including interest rate risk and prepayment risk on its whole loan investments. 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, 2026 and December 31, 2025 included interest rate futures contracts. Restricted cash relating to interest rate futures margin collateral in interest rate futures accounts as of March 31, 2026 and December 31, 2025 included $ 0.5 million and $ 2.5 million, respectively. The Company uses interest rate futures as economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. The Company’s credit risk with respect to economic hedges is the risk of default on its investments that result from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. The Company may at times hold To-Be-Announced (“TBA”) securities in order to mitigate its interest rate risk on certain specified mortgage-backed securities. Amounts or obligations owed by or to the Company are subject to the right of set-off with the TBA counterparty. As part of executing these trades, the Company may enter into agreements with its TBA counterparties that govern the transactions for the 16 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage-backed securities fair value fluctuations, or economic hedging gains and losses, are reflected in the tables below. All realized and unrealized gains and losses on derivative contracts are recognized in earnings, in “net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS” for realized gains and losses, and “net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts” for unrealized gains and losses. The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities. The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of March 31, 2026 and December 31, 2025: Notional Amounts As of: Derivatives Not Designated as Hedging Instruments Number of Contracts Assets Liabilities Long Exposure Short Exposure ($ in thousands) March 31, 2026 Interest rate futures 2,666 $ 1,421 $ — $ — $ 266,600 March 31, 2026 TBAs N/A $ 2,490 $ — $ — $ 132,100 December 31, 2025 Interest rate futures 3,143 $ — $ 32 $ — $ 314,300 December 31, 2025 TBAs N/A $ 240 $ — $ — $ 198,600 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, 2026 and March 31, 2025 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, 2026 Interest rate futures $ ( 50 ) $ 1,453 Three Months Ended March 31, 2026 TBAs $ ( 437 ) $ 2,250 Three Months Ended March 31, 2025 Interest rate futures $ ( 1,473 ) $ ( 1,935 ) Three Months Ended March 31, 2025 TBAs $ 1,163 $ 893 8. Fair Value Measurements For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. 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, 2026, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2025 included in the Annual Report on Form 10-K. Included in Note 9 — Fair Value Measurements to the Consolidated Financial Statements for the year ended December 31, 2025 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. 17 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) 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 12 — Other Assets ) and a portion of “non-recourse securitization obligation, collateralized by residential mortgage loans” are held at amortized cost. The fair value of these assets and liabilities is disclosed further below in the section titled “ Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure ”. The following table sets forth information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2026: Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 243,214 $ 2,320 $ 245,534 Residential mortgage loans in securitization trusts — 2,213,528 36,086 2,249,614 Investments in securities AOMT RMBS (1) — 85,715 — 85,715 Whole Pool Agency RMBS — 126,881 — 126,881 Other Assets, at fair value (2) — 10,187 1,897 12,084 Unrealized appreciation on futures contracts 1,421 — — 1,421 Unrealized appreciation on TBAs 2,490 — — 2,490 Total assets, at fair value $ 3,911 $ 2,679,525 $ 40,303 $ 2,723,739 Liabilities, at fair value Non-recourse securitization obligation, collateralized by residential mortgage loans (3) $ — $ 1,747,929 $ — $ 1,747,929 Total liabilities, at fair value $ — $ 1,747,929 $ — $ 1,747,929 (1) AOMT RMBS held as of March 31, 2026 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 CMBS assets. All AOMT CMBS held as of March 31, 2026 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. See below for the disclosure of the full debt at fair value. Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. These transfers were not deemed material. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. 18 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) The following table sets forth information regarding the Company’s significant Level 3 inputs as of March 31, 2026: Input Values Asset Fair Value Unobservable Input Range Average ($ in thousands) Residential mortgage loans, at fair value $ 2,320 Prepayment rate (annual CPR) — % - — % — % Default rate — % - — % — % Loss severity ( 13.51 )% - 7.41 % ( 2.78 )% Expected remaining life 1.3 years - 2.9 years 2.4 years Residential mortgage loans in securitization trust, at fair value $ 36,086 Prepayment rate (annual CPR) 3.18 % - 18.50 % 11.11 % Default rate 0.21 % - 41.48 % 15.58 % Loss severity ( 25.00 )% - 47.24 % ( 4.57 )% Expected remaining life 0.7 years - 10.75 years 3.4 years Assets and Liabilities Held at Amortized Cost — Fair Value Disclosure Portion of Non-Recourse Securitization Obligation, Collateralized by Residential Mortgage Loans — Held at Amortized Cost 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 9 — Fair Value Measurements (Level 2 in the fair value hierarchy) 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, 2026, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 2.12 billion and $ 2.03 billion, respectively, a difference of approximately $ 88.0 million (we have elected to hold our non-recourse securitization obligations at fair value, with the exception of AOMT 2021-7 and AOMT 2021-4, which are carried at amortized cost, as the fair value option was not elected at the time of the creation of these obligations). The difference between the amortized cost and fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $ 49.0 million less than the amortized cost. The difference between the amortized cost basis value and the fair value is derived from the difference between the period-end market pricing of the underlying bonds, as referred to above, and the amortized cost of the obligation. The fair value of the non-recourse securitization debt is not indicative of the amounts at which we could settle this debt. As of December 31, 2025, the total amortized cost basis and fair value of our non-recourse securitization obligations was $ 1.95 billion and $ 1.87 billion, respectively, a difference of approximately $ 79.0 million (which includes AOMT 2022-1, AOMT 2022-4, AOMT 2023-4, AOMT 2024-4, AOMT 2024-10, and AOMT 2025-10, which are marked to fair value; and AOMT 2021-7 and AOMT 2021-4, which are carried at amortized cost, as the fair value option was not elected at the time of the creation of these obligations). The fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $ 48.8 million less than the amortized cost. The difference between the amortized cost basis value and the fair value is derived from the difference between the period-end market pricing of the underlying bonds, as referred to above, and the amortized cost of the obligation. The fair value of the non-recourse securitization debt is not indicative of the amounts at which we could settle this debt. Investments in Majority-Owned Affiliates To determine the fair value of the Company’s investments in majority-owned affiliates, which are held at amortized cost and included in “other assets”, the Company uses the prices of the underlying bonds in the investments to determine fair value and is categorized as Level 2 in the fair value hierarchy. We believe that these quotes are most reflective of the price that would be achieved if the bonds were sold to an independent third party on the date of the condensed consolidated financial statements. The amortized cost and fair value of this investment as of March 31, 2026 was approximately $ 25.7 million and $ 20.6 million, respectively. The amortized cost and fair value of these investments as of December 31, 2025 was approximately $ 25.5 million and $ 20.5 million, respectively. The following table sets forth information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2025: 19 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 293,141 $ 993 $ 294,134 Residential mortgage loans in securitization trusts — 2,046,609 30,167 2,076,776 Investments in securities AOMT RMBS (1) — 82,140 — 82,140 Whole Pool Agency RMBS — 197,865 — 197,865 Unrealized depreciation on TBAs 240 — — 240 Other Assets, at fair value (2) — 9,893 1,897 11,790 Total assets, at fair value $ 240 $ 2,629,648 $ 33,057 $ 2,662,945 Liabilities, at fair value Non-recourse securitization obligation, collateralized by residential mortgage loans (3) $ — $ 1,572,934 $ — $ 1,572,934 Unrealized depreciation on futures contracts 32 — — 32 Total liabilities, at fair value $ 32 $ 1,572,934 $ — $ 1,572,966 (1) Non‑Agency RMBS held as of December 31, 2025 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, AOMT CMBS assets, and loans held for sale. All AOMT CMBS held as of December 31, 2025 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. 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. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2025: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 993 Prepayment rate (annual CPR) — % - — % — % Default rate — % - — % — % Loss severity ( 9.30 )% - ( 9.30 )% ( 9.30 )% Expected remaining life 2.6 years - 2.6 years 2.67 years Residential mortgage loans in securitization trust, at fair value $ 30,167 Prepayment rate (annual CPR) 2.92 % - 21.31 % 10.05 % Default rate 0.38 % - 26.12 % 14.40 % Loss severity ( 23.91 )% - 28.63 % ( 3.21 )% Expected remaining life 0.6 - 10.75 years 3.56 years 20 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) 9. Related Party Transactions Residential Mortgage Loan Purchases The Company has residential mortgage loan purchase agreements with various affiliates of the Company. The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions. The Company purchases the mortgage loans on a servicing retained basis. The residential mortgage loans are on residences located in various states with a concentration in California and Florida. 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, 2026 and December 31, 2025, respectively: As of and for the Year-to-Date/Year Ended: 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): ($ in thousands) March 31, 2026 $ 46,456 83 52 December 31, 2025 $ 164,888 364 120 (1) Excludes loans held in consolidated securitizations. Management Fee The Company and the Operating Partnership have entered into a Management Agreement with the Manager, dated as of October 1, 2025 (the “Management Agreement”). Per the Management Agreement, on a quarterly basis in arrears, the Company shall pay its Manager an aggregate, fixed management fee equal to 1.5 % per annum of the Company’s Equity (as 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 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. To date, the incentive fee has not been earned. Operating Expense Reimbursements The Company is also required to pay the Manager reimbursements for certain general and administrative expenses pursuant to the Management Agreement. Accrued expenses payable to affiliate and operating expenses incurred with affiliate are substantially comprised of payroll reimbursements. 10. Commitments and Contingencies 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, 2026, the Company was not aware of any legal claims that could materially impact its financial condition. As of March 31, 2026, 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, 2026, the Company had total purchase commitments of $ 123.7 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. As of December 31, 2025, the Company had total purchase commitments of $ 179.1 million related to both Angel Oak Mortgage Lending and third parties. 11. 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, 2026 and 2025, 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, 2026 and 2025: 21 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) Three Months Ended March 31, 2026 Three Months Ended March 31, 2025 (in thousands) AOCI balance, beginning of period $ ( 1,314 ) $ ( 3,475 ) Net unrealized gain/(loss) on AFS securities 4,398 ( 695 ) AOCI balance, end of period $ 3,084 $ ( 4,170 ) 12. Other Assets The following table sets forth the detail of other assets included in the condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025: March 31, 2026 December 31, 2025 ($ in thousands) Investments in Majority-Owned Affiliates $ 25,667 $ 25,474 Commercial Mortgage Loans, at fair value 5,184 5,189 CMBS, at fair value 5,003 4,703 Deferred tax asset 3,274 3,274 Prepaid expenses 1,530 1,553 Loans held for sale 1,897 1,897 Other 857 894 Total other assets $ 43,412 $ 42,984 Investments in Majority-Owned Affiliates (“MOA”) The Company has participated in securitization transactions which involved MOAs in which the Company received investments 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 and tested for impairment at least annually utilizing undiscounted cash flows of the underlying bonds. See Note 8 — Fair Value Measurements . Commercial Mortgage Loans Commercial mortgage loans are measured at fair value. As of March 31, 2026 and December 31, 2025, the cost and unpaid principal balance of the assets was $ 5.5 million and $ 5.5 million, with a fair value of $ 5.2 million and $ 5.2 million, respectively. The weighted average interest rate was 6.23 % with a weighted average maturity of 10 years, as of March 31, 2026. There were no commercial mortgage loans more than ninety (90) days past due or in foreclosure as of March 31, 2026 or December 31, 2025. Commercial Mortgage Backed Securities CMBS are held at fair value. As of March 31, 2026 and December 31, 2025, the cost of these assets were $ 5.4 million and $ 5.4 million, with a fair value of $ 5.0 million and $ 4.7 million, respectively. There was no repurchase debt held against these assets at March 31, 2026 or December 31, 2025. 22 Angel Oak Mortgage REIT, Inc. Notes to the Condensed Consolidated Financial Statements (Unaudited) 13. Equity and Earnings per Share (“EPS”) In the calculations of basic and diluted earnings per common share for the three months ended March 31, 2026 and 2025, 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. The following table sets forth the calculation of basic and diluted earnings per share for the three months ended March 31, 2026 and 2025: March 31, 2026 March 31, 2025 (in thousands, except share and per share data) Basic Earnings (Loss) per Common Share: Net income (loss) to common stockholders $ ( 7,379 ) $ 20,531 Dividends allocated to participating securities ( 50 ) ( 33 ) Net income (loss) to common stockholders - basic $ ( 7,429 ) $ 20,498 Basic weighted average common shares outstanding 24,757,346 23,396,151 Basic earnings (loss) per common share $ ( 0.30 ) $ 0.88 Diluted Earnings (Loss) per Common Share: Net income (loss) to common stockholders - basic $ ( 7,379 ) $ 20,531 Dividends allocated to participating securities ( 50 ) ( 33 ) Net income (loss) to common stockholders - diluted $ ( 7,429 ) $ 20,498 Basic weighted average common shares outstanding 24,757,346 23,396,151 Net effect of dilutive equity awards — 248,447 Diluted weighted average common shares outstanding 24,757,346 23,644,598 Diluted earnings (loss) per common share $ ( 0.30 ) $ 0.87 The Company’s potential dilutive securities, which include restricted stock awards and performance-based restricted stock unit awards have been excluded from the computation of diluted net loss per share for the three months ended March 31, 2026, as they are anti-dilutive and the effect would be to reduce the net loss per share. Therefore, the weighted-average number of common shares outstanding used to calculate both basic and diluted net loss per share attributable to common stockholders is the same. The Company excluded 447,404 potential common share equivalents presented based on amounts outstanding, from the computation of diluted net loss per share attributable to common stockholders for the three months ended March 31, 2026 because including them would have had an anti-dilutive effect. 14. Subsequent Events On May 5, 2026, the Company declared a dividend of $ 0.32 per share of common stock, to be paid on May 29, 2026 to common stockholders of record as of May 22, 2026. On April 22, 2026, the Company and one of its subsidiaries, amended the Pricing Side Letter for its loan financing facility with Global Investment Bank 2. The amendment updates the seller underwriting guidelines to include home equity revolving lines of credit. The amendment also extended the termination date of the loan financing facility to April 21, 2028. 23