天使橡樹抵押貸款 REIT (AOMR) 2026 年第三季法說會：受利率壓力影響帳面價值下滑

重點摘要

• Angel Oak Mortgage REIT 公布 2026 年第三季 GAAP 淨虧損 1,670 萬美元，或稀釋後每股虧損 0.72 美元，主要是由於與其證券化投資組合相關的 2,440 萬美元淨已實現和未實現損失所致。
• 可分配收益從 2025 年第三季的 50 萬美元（或每股 0.02 美元）增加至 640 萬美元（或稀釋後每股 0.28 美元）。
• GAAP 每股帳面價值季減 11.5% 至 8.97 美元。經濟每股帳面價值下降 6.5% 至 11.45 美元，這反映了利率上升和非合格抵押貸款 (non-QM) 利差擴大，而非底層信用表現惡化。
• 隨著目標資產增加，利息收入年增 16% 至 4,250 萬美元，而淨利息收入持平於 1,020 萬美元。
• 該公司在該季度購買了 2.331 億美元的貸款並完成了兩次證券化。第三次證券化於 2026 年 10 月完成。
• 管理層表示，當前投資的回報率低於其 15%–20% 的目標，但只要利率保持在當前水準附近，隨著鎖定票面利率接近 8% 的較新抵押貸款陸續入帳，回報率可能會恢復至該區間。

關鍵財務數據

業務與營運表現

購買的貸款加權平均綜合貸款成數 (CLTV) 為 71.8%，加權平均信用分數為 758。管理層表示，這些購買項目保持在公司既定的信用和回報參數範圍內。當前鎖定的抵押貸款平均票面利率約為 7.9%。

AOMR 在本季初完成了 2.8 億美元的 AOMT 2026-3 證券化。其底層貸款的加權平均票面利率為 6.9%，加權平均非零信用分數為 757，加權平均 CLTV 為 69%。AAA 級優先債券的定價較美國國債殖利率曲線高出 130 個基點。

該公司還向規模 2.21 億美元的 AOMT 2026-HB1 HELOC（房屋股權淨值信用額度）證券化專案挹注了 7,100 萬美元的貸款。底層資產池的加權平均票面利率為 9.79%，加權平均非零信用分數為 744，加權平均 CLTV 為 64.8%。

10 月下旬，AOMR 完成了 2.5 億美元的 AOMT 2026-6 證券化。該資產池的加權平均票面利率為 7.25%，加權平均非零信用分數為 754，加權平均 CLTV 為 71.6%。

截至季末，該公司持有 2.94 億美元未證券化的住宅整體貸款（由 2.55 億美元的倉儲債務提供融資）、證券化信託中的住宅貸款 23 億美元，以及 2.03 億美元的 RMBS。此外，該公司在四家貸款合作夥伴處還擁有約 10 億美元未提取的貸款融資額度。

AOMR 的非合格抵押貸款 (non-QM) RMBS 證券化貸款投資組合的三個月提前還款速度從第二季末的 15.2% 下降至 11.2%。該公司繼續使用約 20%–30% 的歷史平均提前還款假設來對投資進行模型評估。

管理層指引

管理層預計將繼續保持大約每季一次（即每年四次）的證券化進度。

由於利率上升速度快於抵押貸款鎖定利率的調整速度，新投資的回報率暫時低於公司 15%–20% 的目標。管理層表示，假定利率環境保持相似，票面利率在 8% 左右的新鎖定貸款應能改善回報率，並可能使下一批鎖定貸款回升至目標區間。

該公司計劃保持有紀律的核貸與資本部署，而不是放寬信用標準來追求額外回報。

風險與觀察重點

短期殖利率上升以及殖利率曲線向上平移，在本季度對資產價值和帳面價值帶來壓力。管理層估計，利率變動與非合格抵押貸款 (non-QM) 利差擴大對該下降的影響大致相當。

AOMR 對與證券化執行相關的基準利率風險進行避險，但在證券化後並不對信用利差、整體帳面價值、證券化資產或留存的債券部位進行避險。管理層將對留存權益的壓力主要歸因於按市值計價的風險；預期現金流唯有在信用表現實質偏離其假設時才會大幅改變。

儘管融資設施以較低的利差完成續約，但較高的底層基準利率抵銷了大部分直接效益。資本市場利差擴大也可能減少市場上較弱核貸專案的退場選擇。

分析師問答亮點

管理層估計，隨著市場狀況略有改善，帳面價值在第四季初已回升約 2 個百分點。

在資本配置方面，管理層表示流動性保持強勁，並指出最新一次證券化產生了略多於 2,000 萬美元的資金。股票回購仍是一個選項，但如果回報率放寬並回到目標水準，公司正在權衡潛在的回購與保留資金用於投資。

2029 年到期的票據於 7 月進入可贖回期，但管理層表示目前再融資在經濟上並不具吸引力。公司希望未來幾年的市場條件能提供以更低利率進行再融資或償還票據的機會。

AOMR 在參與 AOMT 2026-HB1 後減少了 HELOC 的購買量，而管理層形容非合格抵押貸款 (non-QM) 和 HELOC 的業務量均保持穩定。管理層還指出，較高的房貸利率可能會支持 HELOC 需求，因為借款人可能更傾向於增額借款，而不是對現有房貸進行再融資。

法說會完整逐字稿

完整財報電話會議逐字稿

管理層陳述

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.

分析師問答

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.