Cuộc họp công bố kết quả kinh doanh Quý 3/2026 của Angel Oak Mortgage REIT (AOMR): Giá trị sổ sách giảm do áp lực lãi suất

Thông tin cốt lõi

• Angel Oak Mortgage REIT đã báo cáo khoản lỗ ròng GAAP trong quý 3 năm 2026 là 16,7 triệu USD, tương đương 0,72 USD trên mỗi cổ phiếu pha loãng, chủ yếu do khoản lỗ ròng đã thực hiện và chưa thực hiện 24,4 triệu USD liên quan đến danh mục đầu tư chứng khoán hóa của công ty.
• Lợi nhuận có thể phân phối tăng lên 6,4 triệu USD, tương đương 0,28 USD trên mỗi cổ phiếu pha loãng, từ mức 0,5 triệu USD, tương đương 0,02 USD trên mỗi cổ phiếu trong quý 3 năm 2025.
• Giá trị sổ sách GAAP giảm 11,5% so với quý trước xuống còn 8,97 USD trên mỗi cổ phiếu. Giá trị sổ sách kinh tế giảm 6,5% xuống 11,45 USD trên mỗi cổ phiếu, phản ánh mặt bằng lãi suất cao hơn và chênh lệch giá non-QM mở rộng, thay vì do hiệu quả tín dụng cơ sở suy giảm.
• Thu nhập từ lãi tăng 16% so với cùng kỳ năm ngoái lên 42,5 triệu USD nhờ tài sản mục tiêu tăng, trong khi thu nhập lãi thuần đi ngang ở mức 10,2 triệu USD.
• Công ty đã mua 233,1 triệu USD các khoản vay và hoàn tất hai đợt chứng khoán hóa trong quý. Đợt chứng khoán hóa thứ ba đã hoàn tất vào tháng 10 năm 2026.
• Ban lãnh đạo cho biết tỷ suất sinh lời của các khoản đầu tư hiện tại thấp hơn mục tiêu 15%–20%, nhưng có thể phục hồi về khoảng đó khi các khoản chốt lãi suất thế chấp mới hơn gần mức lãi suất cuống phiếu 8% bắt đầu phát huy tác dụng, với điều kiện lãi suất duy trì ở mức hiện tại.

Dữ liệu tài chính chính

Kết quả kinh doanh và hoạt động

Các khoản vay đã mua có tỷ lệ cho vay trên giá trị kết hợp (CLTV) bình quân gia quyền là 71,8% và điểm tín dụng bình quân gia quyền là 758. Ban lãnh đạo cho biết các khoản mua này vẫn nằm trong các hạn mức rủi ro tín dụng và mục tiêu lợi nhuận đã thiết lập của công ty. Các mức chốt lãi suất thế chấp hiện tại đạt trung bình khoảng 7,9%.

AOMR đã thực hiện đợt chứng khoán hóa AOMT 2026-3 trị giá 280 triệu USD vào đầu quý. Các khoản vay cơ sở có lãi suất cuống phiếu bình quân gia quyền 6,9%, điểm tín dụng khác 0 bình quân gia quyền là 757 và CLTV bình quân gia quyền là 69%. Trái phiếu ưu tiên xếp hạng AAA được định giá cao hơn 130 điểm cơ bản so với đường cong lợi suất Trái phiếu Kho bạc.

Công ty cũng đóng góp 71 triệu USD tiền vay vào đợt chứng khoán hóa HELOC AOMT 2026-HB1 trị giá 221 triệu USD. Danh mục cơ sở có lãi suất cuống phiếu bình quân gia quyền là 9,79%, điểm tín dụng khác 0 bình quân gia quyền là 744 và CLTV bình quân gia quyền là 64,8%.

Vào cuối tháng 10, AOMR đã hoàn tất đợt chứng khoán hóa AOMT 2026-6 trị giá 250 triệu USD. Danh mục này có lãi suất cuống phiếu bình quân gia quyền là 7,25%, điểm tín dụng khác 0 bình quân gia quyền là 754 và CLTV bình quân gia quyền là 71,6%.

Vào cuối quý, công ty nắm giữ 294 triệu USD các khoản vay thế chấp nhà ở nguyên gốc chưa chứng khoán hóa được tài trợ bởi 255 triệu USD nợ kho, 2,3 tỷ USD các khoản vay thế chấp nhà ở trong các quỹ thác bảo chứng khoán hóa và 203 triệu USD chứng khoán đảm bảo bằng thế chấp nhà ở (RMBS). Công ty cũng có khoảng 1 tỷ USD hạn mức tài trợ cho vay chưa rút vốn từ bốn đối tác cho vay.

Tốc độ trả nợ trước hạn trong ba tháng đối với các danh mục khoản vay chứng khoán hóa RMBS non-QM của AOMR đã giảm xuống 11,2% từ mức 15,2% vào cuối quý 2. Công ty tiếp tục mô hình hóa các khoản đầu tư bằng cách sử dụng giả định trả nợ trước hạn trung bình trong lịch sử vào khoảng 20%–30%.

Dự báo từ ban lãnh đạo

Ban lãnh đạo tiếp tục kỳ vọng thực hiện khoảng một đợt chứng khoán hóa mỗi quý, tương đương bốn đợt mỗi năm.

Tỷ suất sinh lời từ các khoản đầu tư mới tạm thời thấp hơn mục tiêu 15%–20% của công ty sau khi lãi suất tăng nhanh hơn khả năng điều chỉnh của các mức chốt lãi suất thế chấp. Ban lãnh đạo cho biết các mức chốt mới hơn xoay quanh lãi suất cuống phiếu 8% sẽ cải thiện lợi nhuận và có thể đưa nhóm chốt lãi suất tiếp theo trở lại phạm vi mục tiêu, với giả định môi trường lãi suất duy trì tương tự.

Công ty dự định duy trì kỷ luật bảo lãnh phát hành và phân bổ vốn thay vì nới lỏng tiêu chuẩn tín dụng để theo đuổi thêm lợi nhuận.

Rủi ro và các điểm cần theo dõi

Lợi suất ngắn hạn cao hơn và sự dịch chuyển lên trên của đường cong lợi suất đã gây áp lực lên giá trị tài sản và giá trị sổ sách trong quý. Ban lãnh đạo ước tính rằng biến động lãi suất và sự mở rộng chênh lệch giá non-QM đóng góp tỷ lệ gần như ngang nhau vào sự sụt giảm này.

AOMR thực hiện phòng hộ rủi ro lãi suất cơ sở gắn liền với việc thực thi chứng khoán hóa nhưng không phòng hộ rủi ro chênh lệch giá tín dụng, tổng giá trị sổ sách, tài sản được chứng khoán hóa hoặc các vị thế trái phiếu giữ lại sau khi chứng khoán hóa. Ban lãnh đạo mô tả áp lực lên lợi ích giữ lại chủ yếu là rủi ro đánh giá theo giá thị trường (mark-to-market); dòng tiền dự kiến sẽ chỉ thay đổi đáng kể nếu hiệu quả tín dụng nằm ngoài các giả định đã đưa ra.

Mặc dù các hạn mức tài trợ được gia hạn với mức chênh lệch giá thấp hơn, nhưng lãi suất cơ sở cao hơn đã bù trừ phần lớn lợi ích trước mắt. Chênh lệch giá trên thị trường vốn mở rộng hơn cũng có thể làm giảm các lựa chọn tháo vốn đối với các chương trình bảo lãnh phát hành yếu hơn trên toàn thị trường.

Nội dung nổi bật trong phần Q&A với chuyên gia phân tích

Ban lãnh đạo ước tính giá trị sổ sách đã phục hồi khoảng hai điểm phần trăm vào đầu quý 4 khi điều kiện thị trường trở nên thuận lợi hơn một chút.

Về phân bổ vốn, ban lãnh đạo cho biết thanh khoản vẫn mạnh mẽ và lưu ý rằng đợt chứng khoán hóa gần nhất đã mang lại nguồn tiền thu được nhỉnh hơn 20 triệu USD. Việc mua lại cổ phiếu vẫn là một lựa chọn, nhưng công ty đang cân nhắc việc mua lại tiềm năng so với việc giữ lại vốn để đầu tư nếu tỷ suất sinh lời mở rộng trở lại mức mục tiêu.

Các trái phiếu đáo hạn năm 2029 đã đến hạn có thể thu hồi (callable) vào tháng 7, nhưng ban lãnh đạo cho biết việc tái cơ cấu nợ hiện chưa thu hút về mặt kinh tế. Công ty hy vọng điều kiện thị trường có thể tạo cơ hội tái cơ cấu nợ với lãi suất thấp hơn hoặc hoàn trả trái phiếu trong vài năm tới.

AOMR đã giảm lượng mua HELOC sau khi tham gia vào đợt AOMT 2026-HB1, trong khi ban lãnh đạo mô tả khối lượng của cả non-QM và HELOC đều ổn định. Công ty cũng lưu ý rằng lãi suất thế chấp cao hơn có thể hỗ trợ cầu đối với HELOC vì người vay có thể ưu tiên vay thêm hơn là tái cơ cấu khoản thế chấp hiện có.

Toàn văn biên bản cuộc họp công bố kết quả kinh doanh

Toàn văn cuộc gọi công bố kết quả kinh doanh

Phần trình bày của ban lãnh đạo

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.

Phần hỏi đáp

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.