Angel Oak Mortgage REIT Inc (AOMR) 2023 Q1 法說會逐字稿

Good morning, and welcome to the Angel Oak Mortgage REIT first-quarter 2023 earnings conference call. (Operator Instructions) Please note, this event is being recorded. I would now like to turn the conference to Randy Chrisman, Chief Marketing Officer. Please go ahead.

早上好，歡迎參加 Angel Oak Mortgage REIT 2023 年第一季度收益電話會議。 （操作員說明）請注意，正在記錄此事件。現在我想請首席營銷官蘭迪·克里斯曼 (Randy Chrisman) 主持會議。請繼續。

Good morning. Thank you for joining us today for Angel Mortgage REIT's first-quarter 2023 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.

早上好。感謝您今天參加我們天使抵押房地產投資信託基金 2023 年第一季度收益電話會議。今天早上，我們發布了一份新聞稿，詳細介紹了這些結果，您可以在我們網站 www.angeloakreit.com 的投資者部分查看該新聞稿。

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.

提醒一下，今天電話會議上的言論可能包含前瞻性陳述。前瞻性陳述存在風險和不確定性，可能導致實際結果與今天討論的結果存在重大差異。

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.

我們不承擔根據新信息或未來事件更新我們的前瞻性陳述的任何義務。有關可能影響公司業績的因素的更詳細討論，請參閱我們本季度的收益發布以及我們最近向 SEC 提交的文件。

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.

在本次電話會議中，我們將討論某些非公認會計準則財務指標。有關這些非 GAAP 財務指標以及與最直接可比的 GAAP 財務指標的調節的更多信息，請參閱我們的收益發布和 SEC 文件。

This morning's conference call is hosted by Angel Mortgage REIT's Chief Executive Officer, Sreeni Prabhu; Chief Financial Officer, Brandon Filson; and Angel Capital's co-CIO, Namit Sinha. 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 at www.angeloakreit.com.

今天上午的電話會議由 Angel Mortgage REIT 首席執行官 Sreeni Prabhu 主持；首席財務官布蘭登·菲爾森；以及 Angel Capital 的聯席首席信息官 Namit Sinha。管理層將提出一些準備好的意見，然後我們將開始電話詢問您的問題。此外，我們建議您查看我們網站 www.angeloakreit.com 上發布的收入補充資料。

Now I'll turn over the call to Sreeni.

現在我將把電話轉給 Sreeni。

Thank you, Randy, and thank you, everyone, for joining us today. The first quarter of 2023 marked a solid start to the year for our business as we continue to execute on our strategy to strengthen the holistic earnings power and the return profile of our portfolio while also taking opportunities to mitigate risk over both short and long term.

謝謝蘭迪，也謝謝大家今天加入我們。 2023 年第一季度標誌著我們業務今年的良好開局，我們將繼續執行戰略，增強投資組合的整體盈利能力和回報狀況，同時抓住機會降低短期和長期風險。

We have meaningfully decreased our amount of whole-loan warehouse debt, and our level of mark-to-market exposure has come down significantly, both of which are key elements of our risk-reduction strategy. Building upon these strategic actions, we believe our position was further improved by taking advantage of a strong securitization market in January with our AOMT 2023-1 deal, which produced positive economics while releasing additional capital.

我們顯著減少了全貸倉庫債務金額，並且按市值計價的風險敞口水平也顯著下降，這兩者都是我們降低風險策略的關鍵要素。在這些戰略行動的基礎上，我們相信，通過利用 1 月份強勁的證券化市場的 AOMT 2023-1 交易，我們的地位得到了進一步改善，該交易在釋放額外資本的同時產生了積極的經濟效益。

We saw GAAP and economic book value appreciation for the first quarter since Q3 2021 and are pleased to have resumed purchasing newly originated high-coupon loans, which Brandon and I will discuss in more detail shortly. But that said, we continue to battle heightened risk in the markets with volatility with the yields and rates.

我們看到自 2021 年第三季度以來第一季度的 GAAP 和經濟賬面價值升值，並很高興恢復購買新發放的高息貸款，布蘭登和我將很快對此進行更詳細的討論。但話雖如此，我們仍將繼續應對市場風險加劇、收益率和利率波動的問題。

The Federal Reserve has continued its rate actions, pushing to three rate hikes of 25 basis points this year. The Fed funds rate is now sitting at over 5%, roughly five times higher than where it's at just a year ago. As one would expect, this directly impacted all fixed-income assets, and mortgage rates moved directionally in tandem with the Fed's decision.

美聯儲繼續採取利率行動，今年加息三次，每次加息25個基點。聯邦基金利率目前超過 5%，大約是一年前的五倍。正如人們所預料的那樣，這直接影響了所有固定收益資產，抵押貸款利率也隨著美聯儲的決定而定向變化。

Despite this, we are beginning to see some promise for potential pause to rate-hike activity from the Fed with the added potential for rate compression. Given where the market was this quarter, our primary focus was to build our portfolio for long term by prudently managing risks as seen to the market and rate exposures, but also with the enhanced focus on our internal expenses and costs.

儘管如此，我們開始看到美聯儲可能暫停加息活動的一些承諾，並增加了利率壓縮的可能性。考慮到本季度的市場狀況，我們的主要重點是通過審慎管理市場風險和利率風險來建立長期投資組合，同時更加關注我們的內部費用和成本。

Thus far through the first quarter, we have progressed our operating expense reduction efforts as seen through lower G&A and management cost savings. Though managing liquidity and expenses remain a key focus last quarter, thanks to our unique business model and progress we have already made with regard to our liquidity position, we were able to take some selective actions this quarter.

到目前為止，第一季度，我們已經在削減運營費用方面取得了進展，這可以通過較低的一般管理費用和管理成本節省來看出。儘管管理流動性和費用仍然是上季度的重點，但由於我們獨特的業務模式和我們在流動性狀況方面已經取得的進展，我們能夠在本季度採取一些有選擇的行動。

First, we have resumed purchasing newly originated loans, notably at an attractive higher coupon in the mid 8% range. Our strong liquidity profile has positioned us to make meaningful loan acquisitions over the next quarter, while providing us the flexibility to purchase these loans while being concerted in our effort to actively manage risk.

首先，我們已恢復購買新發放的貸款，特別是以 8% 左右的較高票息購買。我們強大的流動性狀況使我們能夠在下個季度進行有意義的貸款收購，同時為我們提供購買這些貸款的靈活性，同時積極管理風險。

While new loan origination has been suppressed over the recent months, the Angel Oak ecosystem provides us the confidence to adjust to market conditions, given our ability to customize loan characteristics and prudent underwriting standards of our affiliated entities.

雖然近幾個月來新貸款發放受到抑制，但鑑於我們有能力定制貸款特徵和附屬實體審慎的承保標準，Angel Oak 生態系統為我們提供了適應市場條件的信心。

I would also like to point out an important action that we have not taken. Despite market turmoil over the last 18 months, we have not been forced to raise capital or to refinance existing debt with higher-cost debt. The protective actions we have taken created the optionality that has allowed us to ride out the storm thus far without incurring long-term liabilities that will dampen our future earnings potential.

我還想指出我們尚未採取的一項重要行動。儘管過去 18 個月市場動盪，但我們並未被迫籌集資金或用成本較高的債務為現有債務再融資。我們採取的保護措施創造了選擇權，使我們能夠安然度過迄今為止的風暴，而不會承擔長期負債，從而削弱我們未來的盈利潛力。

The expense mitigation efforts that began in 2022 have started to materialize. We have taken aggressive action on our expense management side, including renegotiating with key vendors and rightsizing our levels of service for the current macro backdrop.

2022 年開始的費用削減措施已開始顯現。我們在費用管理方面採取了積極的行動，包括與主要供應商重新談判，並根據當前的宏觀背景調整我們的服務水平。

We expect that this quarter's operating expense will be representative of the go-forward run rate with some potential for upside. We are proud of the growth we have achieved from a book value perspective, and we believe there is a meaningful upside to be captured as we execute our strategy. As we enter the second quarter and look at the balance of the year, we look forward to delivering greater returns to our shareholders.

我們預計本季度的運營費用將代表未來運行率，並具有一定的上升潛力。從賬面價值的角度來看，我們對所取得的增長感到自豪，並且我們相信，在執行我們的戰略時，可以捕捉到有意義的上升空間。當我們進入第二季度並展望今年的剩餘時間時，我們期待為股東帶來更大的回報。

With that, I'll turn the call over to Bran.

這樣，我就把電話轉給布蘭。

Thank you, Sreeni. AOMR's core business has proven resilient this quarter despite continued volatility in rates. We have been aggressively managing our risks and maintaining sufficient liquidity, all while strategically setting the stage for the long-term earnings power of the portfolio. Now let's talk through the details of our financial results, then I'll discuss some of our plans and expectations for the near future.

謝謝你，斯雷妮。儘管費率持續波動，AOMR 的核心業務本季度仍表現出彈性。我們一直在積極管理風險並保持充足的流動性，同時從戰略上為投資組合的長期盈利能力奠定基礎。現在讓我們詳細討論一下我們的財務業績，然後我將討論我們對不久的將來的一些計劃和期望。

For the first quarter of 2023, we added GAAP net income of $500,000, or $0.02 per diluted common share. This is our first quarter of GAAP income since Q4 2021. Distributable earnings were negative $9.1 million or a loss of $0.37 per share, driven by the realized loss from the 2023-1 securitization.

對於 2023 年第一季度，我們增加了 50 萬美元的 GAAP 淨利潤，即每股稀釋普通股 0.02 美元。這是我們自 2021 年第四季度以來的第一季度 GAAP 收入。由於 2023 年 1 月證券化已實現的虧損，可分配收益為負 910 萬美元，即每股虧損 0.37 美元。

Please note that the net impact of the securitization was approximately $10 million of positive income due to the reversal of previously recorded unrealized losses on the whole loans contributed to the securitization. Interest income for the quarter was $23.7 million, and net interest margin (sic - see Press Release, "net interest income") was $6.8 million, which compressed due to both a reduction in the size of our portfolio as well as higher financing costs.

請注意，證券化的淨影響約為 1000 萬美元的正收入，這是由於之前記錄的整個證券化貸款的未實現損失被逆轉。該季度的利息收入為 2370 萬美元，淨息差（原文如此 - 參見新聞稿，“淨利息收入”）為 680 萬美元，由於我們投資組合規模的縮小以及融資成本的上升，淨息差有所壓縮。

Operating expenses, excluding securitization costs, were $4.7 million. This compares to a quarterly average of $7.2 million for 2022 when also adjusting for severance expense, representing a $2.5 million quarterly decrease. As Sreeni stated, we expect to maintain these savings and are actively working on additional expense-savings initiatives.

運營費用（不包括證券化費用）為 470 萬美元。相比之下，2022 年的季度平均水平為 720 萬美元，同時還對遣散費進行了調整，季度減少了 250 萬美元。正如 Sreeni 所說，我們希望維持這些節省，並積極開展額外的費用節省計劃。

Turning to the balance sheet, as of March 31, 2023, we had $36.8 million of cash, representing an increase of $7.5 million from Q4 2022. Our recourse debt-to-equity ratio was 3.6 times as of the end of the quarter. As of today's date, our recourse debt-to-equity ratio was 2 times, which reflects the maturity of repurchase obligations from short-term trade that matured in early April. This compares to 2.9 times as of the end of the fourth quarter of 2022.

轉向資產負債表，截至 2023 年 3 月 31 日，我們擁有 3680 萬美元現金，較 2022 年第四季度增加 750 萬美元。截至本季度末，我們的追索權債務股本比率為 3.6 倍。截至今日，我們的追索權債務股本比率為2倍，反映了4月初到期的短期交易回購義務的到期情況。相比之下，截至 2022 年第四季度末，這一數字為 2.9 倍。

We have residential whole loans and a fair value of $544 million financed with $439 million of warehouse debt, 1 billion of residential mortgage loans and securitization trusts, and $523 million of RMBS, including $73.7 million in retained AOMT securities from off-balance sheet securitization.

我們擁有住宅整體貸款，公允價值為 5.44 億美元，由 4.39 億美元的倉庫債務、10 億美元的住宅抵押貸款和證券化信託以及 5.23 億美元的 RMBS 融資，其中包括來自表外證券化的 7,370 萬美元的保留 AOMT 證券。

We finished the quarter with undrawn financing capacity of approximately $690 million. As of today, we have a total of $438 million of warehouse debt only with which 36% is subject to mark-to-market risk. This represents a decrease of over 60% over the last two quarters.

本季度末，我們的未動用融資能力約為 6.9 億美元。截至目前，我們的倉庫債務總額為 4.38 億美元，其中 36% 面臨按市值計價的風險。這比過去兩個季度下降了 60% 以上。

We're happy with the result of the AOMT 2023-1 securitization. In addition to reducing $190 million of warehouse debt and releasing approximately $16 million in cash, the company retained its effective economic ownership interest in the rated bonds from the securitization, which had a fair value of $21.8 million as of the deal date.

我們對 AOMT 2023-1 證券化的結果感到滿意。除了減少 1.9 億美元的倉庫債務並釋放約 1600 萬美元的現金外，該公司還保留了其在證券化評級債券中的有效經濟所有權權益，截至交易日期，該債券的公允價值為 2180 萬美元。

These bonds are expected to yield between 11% and 13% on a go-forward basis. The weighted average coupons of loans we contributed to the deal was 5.15%, which did have the effect of bringing down the weighted average coupon of our remaining residential loan portfolio to 4.63%. We're actively working on the next securitization, which we hope to execute shortly.

這些債券的未來收益率預計在 11% 至 13% 之間。我們參與該交易的貸款加權平均息票率為 5.15%，這確實將我們剩餘住宅貸款組合的加權平均息票率降低至 4.63%。我們正在積極致力於下一次證券化，希望很快就能執行。

GAAP book value per share increased 3.3% to $9.80 per share as of March 31, 2023, from $9.49 as of December 31, 2022. Economic book value, which fair values all non-recourse securitization obligations was $13.39 per share as of March 31, 2023, up 2.1% from $13.11 per share as of December 31, 2022. We expect changes to our GAAP and economic book value over the near term to be largely tied to the interest rate and spread movements as we continue to rebuild the earnings power of our portfolio.

截至 2023 年 3 月 31 日，公認會計準則每股賬面價值從截至 2022 年 12 月 31 日的 9.49 美元增至 9.80 美元，增長了 3.3%。截至 3 月 31 日，對所有無追索權證券化債務進行公允價值評估的經濟賬面價值為每股 13.39 美元。 2023 年，較截至 2022 年 12 月 31 日的每股 13.11 美元上漲 2.1%。隨著我們繼續重建盈利能力，我們預計短期內 GAAP 和經濟賬面價值的變化將在很大程度上與利率和利差變動相關。我們的投資組合。

As Sreeni discussed, we have resumed purchasing newly originated loans and plan to methodically and prudently increase our purchase volumes throughout the quarter. Recent rate locks are in the 8% range with LTVs of 72% average FICO scores in the mid-700s.

正如 Sreeni 所討論的，我們已恢復購買新發放的貸款，併計劃在整個季度有條不紊、審慎地增加購買量。最近的利率鎖定在 8% 的範圍內，LTV 為 72%，平均 FICO 分數在 700 多分左右。

A balance between these new loans and a structured securitization process is the best way for us to develop the earnings power of our portfolio. As we securitize, will move into more newly originated non-QM loans with significantly higher coupons than our current loan portfolio.

這些新貸款與結構化證券化流程之間的平衡是我們發展投資組合盈利能力的最佳方式。隨著我們的證券化，我們將轉向更多新發放的非 QM 貸款，其票息顯著高於我們當前的貸款組合。

Finally, the company has declared a $0.32 per-share common dividend payable on May 31, 2023, to shareholders of record as of May 22, 2023. This implies an annual dividend rate of $1.28 per share or a yield of approximately 17% as of the closing price on May 3, 2023.

最後，該公司宣布將於 2023 年 5 月 31 日向截至 2023 年 5 月 22 日登記在冊的股東派發每股 0.32 美元的普通股息。這意味著截至 2023 年 5 月 22 日的年度股息率為每股 1.28 美元，收益率約為 17% 2023年5月3日收盤價。

I will now turn it back to Sreeni for closing remarks.

現在我將把它轉回斯雷尼以供結束語。

Thank you, Brandon. Before turning the call over to the operator for Q&A, I would like to conclude with some brief remarks. We're confident in our ability to navigate this current environment while progressing on our long-term strategic outlook. We strongly believe that the embedded strength and the resilience of our portfolio and the business model will be apparent in the coming quarters.

謝謝你，布蘭登。在將電話轉接給接線員進行問答之前，我想先做一些簡短的評論。我們對應對當前環境的能力充滿信心，同時推進我們的長期戰略前景。我們堅信，我們的投資組合和業務模式的內在優勢和彈性將在未來幾個季度顯現出來。

That said, we are not naive to the fact that credit cracks are starting to appear and rate volatility story will move to credit risk story. Currently, all eyes are on commercial real estate, and we have not seen any weakness in our residential loan portfolio.

也就是說，我們並不天真地認識到信用裂縫已經開始出現，利率波動的故事將轉向信用風險的故事。目前，所有人的目光都集中在商業房地產上，我們的住宅貸款組合併未出現任何弱點。

But judging from the environment that we're in and the volatility that we're seeing, we are can we are tightening our credit box, being conservative on our HPA assumptions, and lowering our loan-to-values in our new loan originations. As always, I would like to thank the entire Angel Oak team for their hard work and contributions as we seek to build long-term value for our shareholders.

但從我們所處的環境和我們所看到的波動來看，我們可以收緊信貸箱，對 HPA 假設持保守態度，並降低新貸款發放中的貸款價值比。一如既往，我要感謝整個 Angel Oak 團隊在我們尋求為股東創造長期價值的過程中所做的辛勤工作和貢獻。

With that, we'll open up the call to your questions. Operator?

這樣，我們將開始回答您的問題。操作員？

We will now begin the question-and-answer session. (Operator Instructions) Don Fandetti, Wells Fargo.

我們現在開始問答環節。 （操作員說明）Don Fandetti，富國銀行。

Yes. So can you talk a little bit about your liquidity position? I mean, it seems like things are relatively stable, and in particular, if you're able to do another securitization that can help with the $500 million of loans that are yet to be securitized. And then also, can you talk about plans for the dividend?

是的。您能談談您的流動性狀況嗎？我的意思是，情況似乎相對穩定，特別是如果您能夠進行另一次證券化，這可以幫助處理尚未證券化的 5 億美元貸款。另外，您能談談股息計劃嗎？

Yes. Hey, Don. Yes, our liquidity position is much stronger than it's been in the past, and that's why we post quarter-end post-March 31 started buying and locking new loans originating out of the mortgage companies. The business is still generating lots of cash flow, especially if we do get another securitization off in short order. I mean, more to come on that hopefully by the time we meet up again for the next quarter.

是的。嘿，唐。是的，我們的流動性狀況比過去強得多，這就是為什麼我們在 3 月 31 日之後的季度末開始購買並鎖定來自抵押貸款公司的新貸款。該業務仍在產生大量現金流，特別是如果我們確實在短時間內進行另一次證券化的話。我的意思是，希望當我們下個季度再次見面時，還會有更多內容。

But then again, on the dividend side, as soon as we start buying the higher-coupon loans, our NIM will start widening out. And then, coupling that with expense mitigation strategies, barring unforeseen circumstances or what's going on with regional banks spilling over to us, we're kind of -- we're anticipating that we would obviously look at the dividend every quarter, but I think the $0.32 is an achievable target coming in the next few quarters in terms of coverage ratio.

但話又說回來，在股息方面，一旦我們開始購買高息貸款，我們的淨息差就會開始擴大。然後，將其與費用緩解策略結合起來，除非出現不可預見的情況或地區銀行發生的事情向我們溢出，我們預計我們顯然會每個季度都會考慮股息，但我認為就覆蓋率而言，0.32 美元是未來幾個季度可實現的目標。

Okay, thanks.

好的謝謝。

This concludes our question-and-answer session. I would like to turn it back over to management for any closing remarks.

我們的問答環節到此結束。我想將其轉回管理層以供結束語。

Thank you, everyone, for your time and interest in Angel Oak Mortgage REIT. We will look forward to connecting with all of you guys next quarter. In the meantime, if you have any questions, please feel free to reach out to us. Have a great day.

感謝大家花時間關注 Angel Oak Mortgage REIT。我們期待下個季度與你們所有人聯繫。同時，如果您有任何疑問，請隨時與我們聯繫。祝你有美好的一天。

The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.

會議現已結束。感謝您參加今天的演講。您現在可以斷開連接。