Conferencia de resultados del 3T de 2026 de Angel Oak Mortgage REIT (AOMR): El valor en libros cae por la presión de los tipos de interés

Puntos clave

• Angel Oak Mortgage REIT registró una pérdida neta GAAP en el T3 de 2026 de 16,7 millones de dólares, o 0,72 dólares por acción diluida, principalmente debido a 24,4 millones de dólares en pérdidas netas realizadas y no realizadas relacionadas con su cartera de titulizaciones.
• El beneficio distribuible aumentó a 6,4 millones de dólares, o 0,28 dólares por acción diluida, desde los 0,5 millones de dólares, o 0,02 dólares por acción, del T3 de 2025.
• El valor contable GAAP disminuyó un 11,5% intertrimestral hasta los 8,97 dólares por acción. El valor contable económico cayó un 6,5% hasta los 11,45 dólares por acción, reflejando tipos más altos y diferenciales de non-QM más amplios en lugar de un peor comportamiento crediticio subyacente.
• Los ingresos por intereses aumentaron un 16% interanual hasta los 42,5 millones de dólares a medida que se incrementaron los activos objetivo, mientras que el margen de intereses se mantuvo estable en 10,2 millones de dólares.
• La empresa compró 233,1 millones de dólares en préstamos y completó dos titulizaciones durante el trimestre. Una tercera titulización se cerró en octubre de 2026.
• La dirección indicó que la rentabilidad de las inversiones actuales se situó por debajo de su objetivo del 15%-20%, pero podría recuperarse hasta ese rango a medida que fluyan los compromisos hipotecarios más recientes con un cupón cercano al 8%, siempre que los tipos de interés se mantengan en niveles cercanos a los actuales.

Datos financieros clave

Rendimiento operativo y del negocio

Las compras de préstamos presentaron un ratio préstamo-valor combinado (CLTV) medio ponderado del 71,8% y una puntuación crediticia media ponderada de 758. La dirección indicó que estas compras se mantuvieron dentro de los parámetros de crédito y rentabilidad establecidos por la empresa. Los compromisos hipotecarios actuales promediaron un cupón de aproximadamente el 7,9%.

AOMR ejecutó la titulización AOMT 2026-3 por 280 millones de dólares a principios de trimestre. Sus préstamos subyacentes tenían un cupón medio ponderado del 6,9%, una puntuación crediticia distinta de cero media ponderada de 757 y un CLTV medio ponderado del 69%. Los bonos sénior con calificación AAA se fijaron con un diferencial de 130 puntos básicos sobre la curva de rendimientos del Tesoro.

La compañía también aportó 71 millones de dólares en préstamos a la titulización de HELOC AOMT 2026-HB1 de 221 millones de dólares. El conjunto subyacente registraba un cupón medio ponderado del 9,79%, una puntuación crediticia distinta de cero media ponderada de 744 y un CLTV medio ponderado del 64,8%.

A finales de octubre, AOMR cerró la titulización AOMT 2026-6 por 250 millones de dólares. El conjunto presentaba un cupón medio ponderado del 7,25%, una puntuación crediticia distinta de cero media ponderada de 754 y un CLTV medio ponderado del 71,6%.

Al cierre del trimestre, la empresa mantenía 294 millones de dólares en préstamos hipotecarios residenciales enteros no titulizados financiados con 255 millones de dólares de deuda de líneas de almacén (warehouse debt), 2.300 millones de dólares en préstamos residenciales en fideicomisos de titulización y 203 millones de dólares en RMBS. También contaba con aproximadamente 1.000 millones de dólares en capacidad de financiación de préstamos no dispuesta distribuida entre cuatro socios prestamistas.

Las velocidades de amortización anticipada a tres meses de las carteras de préstamos titulizados en RMBS non-QM de AOMR cayeron al 11,2% desde el 15,2% al cierre del T2. La empresa sigue modelando sus inversiones utilizando supuestos históricos promedio de amortización anticipada de aproximadamente el 20%-30%.

Perspectivas de la dirección

La dirección sigue esperando realizar aproximadamente una titulización por trimestre, o cuatro al año.

Las rentabilidades de las nuevas inversiones se situaron temporalmente por debajo del objetivo del 15%-20% de la empresa después de que los tipos aumentaran más rápido de lo que podían ajustarse los compromisos hipotecarios. La dirección afirmó que los compromisos más recientes en torno a un cupón del 8% deberían mejorar las rentabilidades y podrían devolver el siguiente conjunto de compromisos al rango objetivo, suponiendo que el entorno de tipos de interés se mantenga similar.

La empresa prevé mantener una estricta disciplina en la suscripción de riesgos y el despliegue de capital en lugar de relajar los criterios crediticios para buscar rentabilidades adicionales.

Riesgos y puntos de atención

Los mayores rendimientos a corto plazo y el desplazamiento al alza de la curva de tipos presionaron el valor de los activos y el valor contable durante el trimestre. La dirección estimó que los movimientos de los tipos y el ensanchamiento de los diferenciales non-QM contribuyeron en proporciones similares al descenso.

AOMR cubre la exposición al tipo base asociada a la ejecución de las titulizaciones, pero no cubre los diferenciales de crédito, el valor contable general, los activos titulizados ni las posiciones en bonos retenidas tras la titulización. La dirección caracterizó la presión sobre las participaciones retenidas principalmente como un riesgo de valoración a mercado (mark-to-market); los flujos de caja previstos requerirían un comportamiento crediticio fuera de sus supuestos para cambiar sustancialmente.

Aunque las líneas de financiación se renovaron con diferenciales más bajos, el aumento de los tipos base subyacentes compensó gran parte del beneficio inmediato. La ampliación de los diferenciales en los mercados de capitales también podría reducir las opciones de salida para los programas de suscripción más débiles en todo el mercado.

Puntos destacados del turno de preguntas y respuestas de analistas

La dirección estimó que el valor contable se había recuperado en aproximadamente dos puntos porcentuales a principios del T4, a medida que las condiciones del mercado se volvieron algo más favorables.

En cuanto a la asignación de capital, la dirección afirmó que la liquidez se mantenía sólida y señaló que la última titulización generó algo más de 20 millones de dólares en ingresos. La recompra de acciones sigue siendo una opción, pero la empresa está sopesando las posibles recompras frente a retener capital para inversiones si las rentabilidades vuelven a ampliarse hacia los niveles objetivo.

Los pagarés con vencimiento en 2029 pasaron a ser amortizables anticipadamente en julio, pero la dirección declaró que la refinanciación no resultaba atractiva desde el punto de vista económico en este momento. La empresa confía en que las condiciones del mercado puedan ofrecer la oportunidad de refinanciar a tipos más bajos o amortizar los pagarés en los próximos años.

AOMR redujo las compras de HELOC tras participar en AOMT 2026-HB1, mientras que la dirección calificó de estables tanto los volúmenes de non-QM como los de HELOC. También señaló que unos tipos hipotecarios más altos pueden respaldar la demanda de HELOC, ya que los prestatarios podrían preferir un endeudamiento adicional antes que refinanciar una hipoteca existente.

Transcripción completa de la llamada de resultados

Transcripción completa de la conferencia de resultados

Comentarios de la dirección

Operator

Good day, and welcome to the Angel Oak Mortgage REIT's Third Quarter 2026 Earnings Call. Please note, this event is being recorded. I would now like to turn the conference over to Mr. Randy Chrisman. Please go ahead.

Randy Chrisman

Good morning. Thank you for joining us today for Angel Oak Mortgage REIT's Third Quarter 2026 Earnings Conference Call.

This morning, we filed a press release detailing these results, which is available in the Investors section on our website at www.angeloakreit.com. As a reminder, remarks made on today's conference call may include forward-looking statements. Forward-looking statements are subject to risks and uncertainties that may cause actual results to differ materially from those discussed today. We do not undertake any obligation to update our forward-looking statements in light of new information or future events. For a more detailed discussion of the factors that may affect the company's results, please refer to our earnings release for this quarter and to our most recent SEC filings.

During this call, we will be discussing certain non-GAAP financial measures. More information about these non-GAAP financial measures and reconciliations to the most directly comparable GAAP financial measures are contained in our earnings release and SEC filings.

This morning's conference call is hosted by Angel Oak Mortgage REIT's Chief Executive Officer, Sreeni Prabhu; and Chief Financial Officer, Brandon Filson. Management will make some prepared comments, after which we will open up the call to your questions. Additionally, we recommend reviewing our earnings supplement posted on our website.

Now I will turn the call over to Sreeni.

Sreeniwas Prabhu

Thank you, Randy, and thank you all for joining us today. During the quarter, non-QM and the fixed income market became more challenging as higher rate and a shift upward in the yield curve pressured asset valuations and compressed financing spreads across mortgage credit market. While this environment negatively impacted book values across the landscape as expected, Angel Oak's underlying credit performance of our portfolio remains stable and continue to perform in line with our expectations. We believe this distinction is important as the valuation pressure we experienced reflects broader market environments rather than deterioration in credit quality or performance of our underlying loans.

Notably, we completed 2 securitizations early in the period ahead of the more pronounced increase in rates during August and September. Additionally, despite less favorable conditions, we completed a third securitization in October to mitigate potential further interest rate risk. This consistent access to securitization markets provides us with an important tool to manage financing risk, recycle capital and support the long-term return profile of the portfolio across varying interest rate levels.

We also renewed and extended several financing facilities at reduced spreads during the quarter, reflecting our continued focus on actively managing funding costs, although higher underlying interest rates have offset that near-term benefit. While broader non-QM origination volumes have declined and the higher rate environment has temporarily compressed current returns on new investments, we continue to source and purchase loans that meet our credit and return criteria.

Our structure and position within the Angel Oak organization will continue to be a competitive advantage in a competitive market. We remain deliberate in pacing of our capital deployment across loan vintages and disciplined in maintaining underwriting standards that are central to our strategy rather than extending risk and pursuing incremental returns at the expense of long-term credit performance. We believe that this prudent approach will serve us and our shareholders well and will continue to provide its value through pockets of volatile and challenging interest rate environment.

Looking ahead, our priorities remain consistent. We will continue to focus on disciplined credit underwriting, thoughtful capital deployment and maintaining access to securitization markets, while positioning the portfolio to perform across a range of market environments. We remain confident in the underlying credit performance of our investments and in the strength of the Angel Oak platform.

With that, I'll turn it over to Brandon, who will walk us through our third quarter financial performance in greater detail.

Brandon Filson

Thank you, Sreeni. During the quarter, the upward pressure on shorter-term yields negatively impacted reported book value as expected. That being said, the underlying portfolio performed in line with our expectations with low levels of delinquencies and continued growth in the target asset portfolio.

For the third quarter, we reported a GAAP net loss of $16.7 million or $0.72 per diluted common share compared with GAAP net income of $11.4 million or $0.46 per diluted common share in the third quarter of 2025. The primary driver of the loss was a $24.4 million net realized and unrealized net loss related to our securitization portfolio. This was largely attributable to the previously mentioned unrealized valuation declines during the last quarter.

Notably, distributable earnings for the quarter were $6.4 million or $0.28 per diluted common share compared with $0.5 million or $0.02 per diluted common share in the prior period. The primary drivers of the difference between distributable earnings and GAAP net income for the third quarter of 2026 were adjustments to exclude unrealized losses from our residential loans, the residential loans held in securitization trust, nonrecourse securitization obligations and derivative portfolios. During the quarter, we completed 2 securitizations with $1.8 million of securitization costs reflected in this distributable earnings metric.

Interest income for the quarter was $42.5 million, while net interest income was $10.2 million. This compares favorably with interest income of $36.7 million and net interest income of $10.2 million in the third quarter of 2025. Interest income increased 16%, while net interest income remained relatively flat. We've generated $5.8 million greater interest income for Q3 compared to the comparable period of 2025, driven by increases in the amount of our target assets.

Operating expenses for the third quarter were $2.1 million. Our operating expenses increased marginally compared to the comparative period due to increases in loan diligence fees and valuation costs associated with a larger overall balance in our target asset portfolio.

Loan purchases during the quarter totaled $233.1 million. The weighted average coupon on loans purchased during the quarter was 7.21% with a weighted average CLTV of 71.8% and a weighted average credit score of 758. These purchases continue to be well in line with the credit and return parameters we have discussed as our targets in prior quarters. Current mortgage locks averaged approximately a 7.9% coupon, reflecting the recent increase in rates as it flows through the mortgage origination process.

At the beginning of Q3, we executed the AOMT 2026-3 securitization. We were the sole contributor to the deal, which had $280 million unpaid principal balance and a weighted average coupon of 6.9%, weighted average non-zero credit score of 757 and a weighted average CLTV of 69%. The AAA-rated senior bonds priced at 130 basis point spread over the Treasury yield curve. Additionally, we participated in AOMT 2026-HB1, a $221 million co-mingled HELOC securitization to which we contributed $71 million in loans. Loans underlying the deal had a weighted average coupon of 9.79%, weighted average non-zero credit score of 744 and a weighted average CLTV of 64.8%. Securitization markets have remained constructive amid market uncertainty, and we continue to expect to execute roughly 1 securitization per quarter or 4 per year.

We also closed AOMT 2026-6 in late October 2026, which had a $250 million unpaid principal balance, a weighted average coupon of 7.25%, weighted average non-zero credit score of 754 and a weighted average CLTV of 71.6%. Additionally, we remained active on the financing front during the period. We renewed and rolled several financing facilities during the quarter at lower spreads. While the higher underlying base rates offset much of the immediate benefit, the lower spreads have improved the economics of those facilities and reflect our continued focus on actively managing financing costs. This will remain particularly important as we manage the portfolio through the existing rate environment.

As of quarter end, GAAP book value per share was $8.97, down 11.5% from $10.13 at the end of the second quarter. Economic book value per share, which fair values all nonrecourse securitization obligations, was $11.45 per share, down 6.5% from $12.24 at the end of Q2. The change in book value during the quarter was primarily driven by noncash mark-to-market valuation declines across the portfolio with higher rates and the upward shift in yield curve pressured asset values, partially offset by earnings generated during the quarter. As Sreeni noted, these valuation movements did not reflect a deterioration in the underlying credit performance of the portfolio.

Our balance sheet has remained well positioned with $49 million in cash and a recourse debt-to-equity ratio of 2x. We ended the quarter with unsecuritized residential whole loans at a fair value of $294 million, financed with $255 million of warehouse debt, $2.3 billion of residential loans in securitization trust and $203 million of RMBS. We also maintained approximately $1 billion of undrawn loan financing capacity across 4 lending partners.

Credit performance remained solid during the quarter with portfolio-wide 90-day plus delinquency of approximately 2.1%, flat compared to the end of the second quarter. Three-month prepayment speeds for our non-QM RMBS securitized loan portfolios were 11.2% at the end of the quarter compared with 15.2% at the end of the second quarter. We continue to model our investments using historical average prepayment assumptions of approximately 20% to 30%.

Lastly, the company declared a $0.32 per share common dividend payable on November 30, 2026, to common stockholders of record as of November 23, 2026. For additional detail on our financial results and portfolio composition, please refer to the earnings supplement available on our website.

Sreeniwas Prabhu

Thank you, Brandon. The proven, well-established Angel Oak origination, purchase and securitization platform provides us with the confidence to perform well in a variety of macro environments. The fundamental backdrop for our business is positive. And while risk remains, we will continue to focus on what we can control, expansion of earnings, consistent securitization market activity and disciplined credit selection and management.

With that, we will open the call for your questions. Operator?

Operator

[Operator Instructions] Your first question comes from Doug Harter with BTIG.

Preguntas y respuestas

Douglas Harter

In the press release, you've talked about kind of the near-term impact on returns from higher rates. I'm wondering if you could quantify that and then kind of how you think about what gets you back to kind of the historical normalized level that you have talked about?

Brandon Filson

Right now, there's -- as rates rose and we're buying loans, locks take 30, 60 days to run through the process. Current returns are not quite as good as we expect that 15% to 20% level. However, they're starting to recover with new locks coming in at around 8%. That's going to pull that back up a little bit lower than our target. But so we -- I mean, I expect if this rate environment stays the way it is, then the next set of locks we get over the next month that we'll be back to the 15% to 20% level, provided that the interest rate environment stays similar to what it is today.

Douglas Harter

That is helpful. And I guess, can you just talk about, I guess, as you go through periods of volatility, kind of what is the hedging? What is the forward commitment and ways that you look to protect yourself from this volatility?

Brandon Filson

Really, what we do, we're hedging the securitization execution on the base rate side. We're not hedging the spread. So over the last quarter, obviously, we had hedging making up some of the losses we would have had in terms of securitization proceeds. But we don't -- we're not hedging our book value, the securitized product out there or the retained bond positions once they're securitized.

Douglas Harter

Got it. And just remind us what -- is there any mismatch in the fundamentals or the cash flows of those retained pieces? Or is that more mark-to-market risk versus actual change in expected cash flows?

Brandon Filson

Yes, that's really mark-to-market risk, not yet -- I mean, we have to have some kind of credit problem to change our -- outside of our expectation to change our expected cash flows on our retained pieces.

Operator

The next question comes from Marissa Lobo with UBS.

Ameeta Lobo Nelson

Just a follow-up on the book value question. How much of that was due to rate moves versus non-QM spread widening? And also on the retained interest, is that just mainly driven from rate mark-to-market? Or is there also some spread widening in that?

Brandon Filson

Yes. I mean, I would say it's -- this quarter is kind of everything. If you just look at what spreads did on our product, early in the quarter, '26-3 priced at the AAA at 130 over. Then '26-6, which closed just a few days ago, was 160 over on the AAA. And then, of course, the 2- and the 5-year also moved up, shifted up. So it's really kind of a bit of both driving it. It probably almost equal share between the 2.

Ameeta Lobo Nelson

And that's captured in third quarter book value as opposed to...

Brandon Filson

Yes.

Ameeta Lobo Nelson

Okay. So how much -- can you give us a sense of where book value is tracking so far in 4Q?

Brandon Filson

Yes. I think book value has probably made a couple of point recovery as of today, a little bit more favorable environment, but I mean, I would say, again, like, about a 2-point recovery.

Ameeta Lobo Nelson

Got it. That's helpful. And on competition, last quarter, you noted there were some weaker programs that AOMR was unwilling to pursue. How is that looking currently? And is it showing up more in pricing or on credit metrics?

Brandon Filson

Not sure I got that question, Marissa. I'm sorry.

Ameeta Lobo Nelson

I just wanted to understand the competitive environment, if you're seeing that show up more in credit underwriting slipping or more competitive pricing?

Sreeniwas Prabhu

Yes. So this is Sreeni here. So I think if the spreads are widening out, what we're seeing is weaker underwriting is getting priced even wider. So there's been a little bit of weakness in that from a competitor's perspective. And that will show up in whole loan tape selling at slight discounts to market, which we are seeing. We're not seeing that in big proportion to be fair. We're seeing that in small ways, but we're definitely seeing that. What will show up in -- if we continue to see spreads being wider, what it will show up in is that those weaker programs will potentially slow down because there will be no exit in the capital markets.

So yet to be seen from a competitor. But I would like to think that we are seeing that in terms of AAA spreads for other shelves. I hope I answered that question.

Operator

[Operator Instructions] The next question comes from Timothy D'Agostino with B. Riley Securities.

Timothy D'Agostino

I guess just on liquidity and capital allocation. Just trying to think through how you all are thinking about it. Does the Board look at a share repurchase program? Is the dividend kind of the key return of capital to shareholders? And then obviously, much longer dated, but the 2029 notes became callable in July. So I just wanted to understand how you think about liquidity position generally and capital allocation going forward.

Brandon Filson

Yes. Timothy, I think our liquidity position is pretty strong today. I mean, again, we've got consistent access to the securitization markets, freeing up. I mean, the last securitization we did, it gave about -- just over $20 million of proceeds, which provides a good amount of runway in terms of buying things back.

And I mean, you mentioned the '29 notes. Today, they're theoretically callable, but not really in the money. I would think from that perspective, we're hopeful over the next few years that the market gives us a better opportunity to call and refinance at lower rates or just to pay off.

And then share repurchase programs, I mean, we've done kind of targeted repurchases here and there. Post IPO, we had a program that we had a couple of targeted ones with Davidson Kempner buying back at what we thought at times opportunistic levels. But obviously, we're very sensitive on the overall size of the balance sheet, what we can do with the capital and what the forecast is. And right now, like I mentioned before, the returns are a little bit compressed. Not too far off from even our dividend yield at today's pricing, but there's an opportunity here where that will widen back out and be where we should keep the capital in the vehicle versus spending the money to repurchase shares and reduce the size, reduce the float of the stock.

Timothy D'Agostino

Okay. Great. And then I guess just a second question, if I can ask here. Just on loan purchases in the quarter, I guess maybe I missed it, but could you break out or maybe just directionally kind of give us some color on non-QM versus HELOC. Just it would be great to hear maybe what the appetite of the market is? Are you seeing more HELOC volume now? Or are you continuing to see more non-QM?

Brandon Filson

Yes. I think from our perspective, the non-QM market is strong. I mean, we personally, AOMR, once we did HB1 or participated in HB1, we pulled back a little bit on the HELOC purchasing for the quarter. So we didn't really purchase too many in the quarter, but that's a switch and a valve that we can turn on and off very easily and source assets out there. I think as rates go up, there's a bit of more HELOC demand than when rates are going down as people have much more propensity to take a little bit of incremental borrowing costs on top of their existing mortgage. But I would think that both volumes are consistent even in a higher rate environment that we had at the end of the last quarter. I mean our mortgage company it's about the same size that it was before. There's been no real drop-off in demand nor any real increase.

Operator

There are no further questions at this time. I will now transfer the conference over to Brandon Filson. Please go ahead, sir.

Brandon Filson

Yes. Well, good morning. Thank you, everybody, for joining us today. We look forward to connecting with you again next quarter. Have a great day.

Operator

Thank you. Ladies and gentlemen, this concludes the conference call for today. Thank you for participating. You may now disconnect your lines.