エンジェル・オーク・モーゲージREIT (AOMR) 2026年第3四半期決算説明会：金利圧力で純資産価値が低下

要約

• エンジェル・オーク・モーゲージ・リート（Angel Oak Mortgage REIT）の2026年第3四半期のGAAPベースの純損失は1,670万ドル（希薄化後1株当たり0.72ドル）となりました。これは主に、証券化ポートフォリオに関連する2,440万ドルの実現および未実現純損失によるものです。
• 配当可能利益は、2025年第3四半期の50万ドル（1株当たり0.02ドル）から640万ドル（希薄化後1株当たり0.28ドル）に増加しました。
• GAAPベースの1株当たり純資産価値は前四半期比11.5%減の8.97ドルとなりました。経済的純資産価値は、原資産の信用力低下ではなく、金利上昇とノンQMスプレッドの拡大を反映して6.5%減の11.45ドルとなりました。
• 対象資産の増加に伴い、受取利息は前年同期比16%増の4,250万ドルとなりましたが、純受取利息は1,020万ドルで横ばいとなりました。
• 当四半期中、同社は2億3,310万ドルのローンを購入し、2件の証券化を完了しました。3件目の証券化は2026年10月に完了しました。
• 経営陣は、現在の投資リターンは目標の15%〜20%を下回っているものの、金利が現在の水準にとどまれば、8%に近い表面利回りの新規モーゲージ・ロックが反映されるにつれて、同水準まで回復する可能性があると述べました。

主要財務データ

事業および業績ハイライト

購入したローンの加重平均総合借入比率（CLTV）は71.8%、加重平均信用スコアは758でした。経営陣は、これらの購入は確立された信用リスクおよびリターンの基準内にとどまっていると述べました。足元のモーゲージ・ロックの平均表面利回りは約7.9%となっています。

AOMRは四半期序盤に2億8,000万ドル規模の「AOMT 2026-3」証券化を実行しました。裏付ローンの加重平均表面利回りは6.9%、ゼロを除く加重平均信用スコアは757、加重平均CLTVは69%でした。AAA格付のシニア債は、米国債イールドカーブに対して130ベーシス・ポイント（bp）のスプレッドでプライシングされました。

同社はまた、2億2,100万ドル規模の「AOMT 2026-HB1」HELOC証券化に7,100万ドルのローンを拠出しました。裏付資産プールは加重平均表面利回り9.79%、ゼロを除く加重平均信用スコア744、加重平均CLTV 64.8%となっています。

10月下旬、AOMRは2億5,000万ドル規模の「AOMT 2026-6」証券化を完了しました。同プールの加重平均表面利回りは7.25%、ゼロを除く加重平均信用スコアは754、加重平均CLTVは71.6%でした。

四半期末時点において、同社は2億5,500万ドルのウェアハウスローンで融資された未証券化の住宅用ホールローン2億9,400万ドル、証券化トラスト内の住宅用ローン23億ドル、およびRMBS 2億300万ドルを保有していました。また、4社の提携金融機関全体で約10億ドルの未消化融資枠を有していました。

AOMRのノンQM RMBS証券化ローンポートフォリオの3カ月繰上返済速度は、第2四半期末の15.2%から11.2%に低下しました。同社は引き続き、過去平均である約20%〜30%の繰上返済前提を用いて投資モデルを構築しています。

経営陣の見通し

経営陣は引き続き、1四半期あたり約1件、年間で計4件の証券化を見込んでいます。

モーゲージ・ロックの金利調整が追いつく前に金利が急速に上昇したため、新規投資のリターンは一時的に同社の目標値である15%〜20%を下回りました。経営陣は、金利環境が同程度で推移すると仮定すれば、8%前後の表面利回りを持つより新しいロックがリターンを改善させ、次回のロック群を目標範囲内に戻す可能性があると述べました。

同社は、追加のリターンを追求するために与信基準を緩めるのではなく、規律ある引受と資本配分を維持する計画です。

リスクと注目点

当四半期中は、短期利回りの上昇とイールドカーブの上方シフトが資産価値と純資産価値を圧迫しました。経営陣は、金利変動とノンQMスプレッドの拡大が低下に対してほぼ同程度寄与したと推計しています。

AOMRは証券化実行に伴う基準金利リスクをヘッジしていますが、クレジット・スプレッド、純資産価値全体、証券化資産、および証券化後に保有する債券ポジションについてはヘッジを行っていません。経営陣は、保有持ち分への圧迫を主に評価損益（マーク・ツー・マーケット）リスクと位置付けており、期待キャッシュフローが大きく変化するには前提から外れた信用リスクの悪化が必要になると説明しています。

資金調達ファシリティはより低いスプレッドで更新されたものの、原資産となる基準金利の上昇により、その即時効果の多くが相殺されました。また、資本市場でのスプレッド拡大は、市場全体において引き受け基準が緩いプログラムの出口戦略を狭める可能性があります。

アナリスト質疑応答の要点

経営陣は、市場環境がやや好転したことで、第4四半期序盤に純資産価値が約2ポイント回復したと推計しました。

資本配分について、経営陣は流動性は引き続き手厚く、直近の証券化により2,000万ドルをわずかに上回る手取金が発生したと指摘しました。自社株買いも選択肢の1つですが、同社はリターンが目標水準に向けて拡大した場合に備え、自社株買いの検討と投資のための手元資金の確保とのバランスを図っています。

2029年満期社債は7月に繰上償還が可能となりましたが、経営陣は現時点での借換は経済的に魅力的ではないと述べました。同社は、今後数年間で市場環境が改善し、より低い金利での借換や社債償還の機会が得られることを期待しています。

AOMRは「AOMT 2026-HB1」への参加後、HELOCの購入を減らしましたが、経営陣はノンQMおよびHELOCの双方の取り扱い規模は安定していると説明しました。また、住宅ローン金利の上昇により、借り手が既存ローンの借換よりも追加借入を選択する可能性があるため、HELOC需要が下支えされる可能性があるとも指摘しました。

決算説明会文字起こし全文

決算説明会の完全なトランスクリプト

経営陣による説明

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.

質疑応答

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.