天使橡树抵押贷款REIT (AOMR) 2026年第三季度业绩电话会：受利率压力影响账面价值下滑

核心要点

• Angel Oak Mortgage REIT公布2026年第三季度GAAP净亏损为1670万美元，即摊薄后每股亏损0.72美元，主要是由于与其证券化投资组合相关的2440万美元净已实现和未实现损失所致。
• 可分配收益从2025年第三季度的50万美元（即每股0.02美元）增至640万美元（即摊薄后每股0.28美元）。
• GAAP每股账面价值环比下降11.5%至8.97美元。经济每股账面价值下降6.5%至11.45美元，反映出利率上升和非合格抵押贷款（non-QM）利差扩大，而非底层信用表现恶化。
• 随着目标资产增加，利息收入同比增长16%至4250万美元，而净利息收入持平于1020万美元。
• 该公司在本季度购买了2.331亿美元的贷款，并完成了两次证券化。第三次证券化于2026年10月完成。
• 管理层表示，当前投资回报率低于其15%–20%的目标，但只要利率维持在当前水平附近，随着票面利率接近8%的新锁定房贷相继注入，回报率可能会回升至该区间。

关键财务数据

业务与经营业绩

购买的贷款加权平均综合贷款价值比（CLTV）为71.8%，加权平均信用分数为758。管理层表示，这些购买仍处于公司既定的信用和回报参数范围内。目前锁定的抵押贷款平均票面利率约为7.9%。

AOMR在本季度初完成了规模为2.8亿美元的AOMT 2026-3证券化发行。其基础贷款的加权平均票面利率为6.9%，加权平均非零信用分数为757，加权平均CLTV为69%。AAA级优先债券定价较国债收益率曲线高出130个基点。

该公司还为规模为2.21亿美元的AOMT 2026-HB1 HELOC证券化注入了7100万美元的贷款。基础资产池的加权平均票面利率为9.79%，加权平均非零信用分数为744，加权平均CLTV为64.8%。

10月下旬，AOMR完成了规模为2.5亿美元的AOMT 2026-6证券化。该资产池的加权平均票面利率为7.25%，加权平均非零信用分数为754，加权平均CLTV为71.6%。

截至季度末，该公司持有由2.55亿美元仓储债务融资支持的2.94亿美元未证券化住宅整体贷款、证券化信托中的23亿美元住宅贷款以及2.03亿美元的住宅抵押贷款支持证券（RMBS）。此外，该公司在四个贷款合作伙伴处还拥有约10亿美元未提取的贷款融资额度。

AOMR非合格抵押贷款（non-QM）RMBS证券化贷款组合的三个月提前还款速度从第二季度末的15.2%降至11.2%。该公司继续使用约20%–30%的历史平均提前还款假设对投资进行建模。

管理层业绩指引

管理层继续预计大约每季度进行一次证券化，即每年四次。

在利率上升速度快于房贷锁定调整速度后，新投资的回报率暂时低于公司15%–20%的目标。管理层表示，假设利率环境保持类似，票面利率在8%左右的新锁定贷款应能提高回报率，并可能使下一批锁定贷款重回目标区间。

该公司计划保持严格纪律的核保和资本配置，而不是通过降低信用标准来追求增量回报。

风险与关注点

短期收益率上升和收益率曲线向上平移在本季度对资产价值和账面价值造成压力。管理层估计，利率变动和non-QM利差扩大对这一降幅的贡献大致相当。

AOMR对其与证券化执行相关的基准利率风险进行对冲，但不对信用利差、整体账面价值、证券化资产或证券化后保留的债券头寸进行对冲。管理层将保留权益面临的压力主要定性为按市值计价风险；只有当信用表现超出其假设时，预期现金流才会发生重大改变。

尽管融资设施以更低利差获得了续期，但较高的底层基准利率抵消了大部分直接好处。资本市场利差扩大还可能减少全市场弱核保项目的退出途径。

分析师问答环节亮点

管理层估计，随着市场条件略有好转，账面价值在第四季度初已回升约两个百分点。

在资本配置方面，管理层表示流动性依然强劲，并指出最新的证券化带来了略高于2000万美元的收益。股票回购仍是一个备选项，但如果回报率扩大并重回目标水平，公司正在将潜在的股票回购与保留资本用于投资进行权衡。

2029年到期的票据于7月具备了赎回条件，但管理层表示目前进行再融资在经济上并不具备吸引力。公司希望未来几年的市场条件能够提供以更低利率进行再融资或偿还票据的机会。

在参与AOMT 2026-HB1之后，AOMR减少了HELOC的购买量，而管理层将non-QM和HELOC的业务量描述为稳定。管理层还指出，较高的抵押贷款利率可能会支撑HELOC需求，因为借款人可能更倾向于增量借贷，而不是对现有抵押贷款进行再融资。

业绩电话会议完整文字记录

完整财报电话会议逐字稿

管理层陈述

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.

分析师问答

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.