Angel Oak Mortgage REIT Inc (AOMR) 2023 Q2 法說會逐字稿

Good day, and welcome to the Angel Oak Mortgage REIT second-quarter 2023 conference call. (Operator Instructions) Please note, this event is being recorded.

美好的一天，歡迎參加 Angel Oak Mortgage REIT 2023 年第二季度電話會議。 （操作員說明）請注意，正在記錄此事件。

I would like now to turn the conference over to Randy Chrisman, Chief Marketing and Corporate Investor Relation. Please go ahead.

現在我想將會議交給首席營銷和企業投資者關係主管蘭迪·克里斯曼 (Randy Chrisman)。請繼續。

Good morning. Thank you for joining us today for Angel Oak Mortgage REIT's second-quarter 2023 earnings conference call. This morning, we filed our press release detailing these results, which is available on the Investors section on our website at www.angeloakreit.com.

早安.感謝您今天參加我們 Angel Oak Mortgage REIT 的 2023 年第二季度收益電話會議。今天早上，我們提交了新聞稿，詳細介紹了這些結果，可在我們網站 www.angeloakreit.com 的投資者部分查看。

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 more most recent SEC filings. 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.

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。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。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 Oak Mortgage REIT's Chief Executive Officer, Sreeni Prabhu; Chief Financial Officer, Brandon Filson; and Angel Oak Capital's co-CIO, Namit Sinha. Management will first lead off the call by making 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 Oak 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 Oak Capital 的聯席首席信息官 Namit Sinha。管理層將首先通過發表一些準備好的評論來開始電話會議，然後我們將開始回答您的問題。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 will turn the call over to Sreeni.

現在我將把電話轉給 Sreeni。

Thank you, Randy, and thank you everyone for joining us today.

謝謝你，蘭迪，也感謝大家今天加入我們。

We were proud to see the work we've done over the previous quarters we demonstrated in our second-quarter results. In the second quarter, we began purchasing newly originated loans, securitize a pool of low coupon loans, and build upon the work we've done to reduce expenses. Since quarter end, we have increased the pace of our loan purchases and actively working towards our next securitization and have taken additional expense savings actions. In a period of time marked by continued uncertainty in the broader economy and rising rates, we believe we've demonstrated the strength and resilience of our business model and it's unique competitive advantages.

我們很自豪地看到我們在第二季度業績中展示了前幾個季度所做的工作。第二季度，我們開始購買新發放的貸款，將低息貸款池證券化，並在我們所做的工作基礎上減少開支。自季度末以來，我們加快了貸款購買的步伐，積極致力於下一次證券化，並採取了額外的費用節省行動。在整個經濟持續不確定且利率不斷上升的時期，我們相信我們已經展示了我們業務模式的實力和彈性及其獨特的競爭優勢。

During the second quarter, interest rates and spreads continue to widen which negatively impacted mark-to-market valuations of our portfolio and drew down earnings and book value. However, market volatility dampened compared to prior several quarters, and expectations are that the Fed is at or near the end of interest rate hike cycle. While mortgage originations and applications have suppressed, we are experiencing some modest but encouraging recovery to demand, supporting our view that our business is well positioned to capitalize and drive growth.

在第二季度，利率和利差繼續擴大，這對我們投資組合的按市價估值產生了負面影響，並降低了收益和賬面價值。然而，與前幾個季度相比，市場波動有所減弱，市場預期美聯儲已處於或接近加息週期的結束。儘管抵押貸款發放和申請受到抑制，但我們正在經歷一些溫和但令人鼓舞的需求復蘇，這支持了我們的觀點，即我們的業務處於有利的資本化和推動增長的地位。

We continue to progress through the year with optimism and a number of key strategic successes under our belt. We have returned our focus towards our execution of our growth strategy. We captured additional value by securing our second securitization of the year during the quarter. AOMT 2023 dashboard enhanced our liquidity position and supported our ability to purchase newly originated, high-yielding loans from our affiliated loan originator, which allows us to tailor the credit quality and the characteristics of the loans we purchase.

我們在這一年中繼續保持樂觀的態度並取得了一些關鍵的戰略成功。我們已將重點轉向執行增長戰略。我們在本季度實現了今年的第二次證券化，從而獲得了額外價值。 AOMT 2023 儀表板增強了我們的流動性狀況，並支持我們從附屬貸款發起人購買新發放的高收益貸款的能力，這使我們能夠定制我們購買的貸款的信貸質量和特徵。

The securitization also strengthened our balance sheet by reducing our warehouse debt and converting it to nonrecourse term structural leverage. Additionally, the loans contributed to AOMT 2023 dashboard and previously carried on our most expensive warehouse facility while the new loan purchases will be placed on lower cost facilities. To that end, our current whole loan portfolio is equivalent to the size of roughly one securitization transaction and although our warehouse debt is expected to increase as we continue purchasing newly originated loans, we don't expect to reach a whole loan position more than 1.5 to 2 times the estimated value of a single securitization.

證券化還通過減少我們的倉庫債務並將其轉換為無追索權期限結構槓桿來加強我們的資產負債表。此外，這些貸款為 AOMT 2023 儀表板做出了貢獻，並且之前在我們最昂貴的倉庫設施上進行，而新的貸款購買將放置在成本較低的設施上。為此，我們目前的整個貸款組合大約相當於一筆證券化交易的規模，儘管隨著我們繼續購買新發放的貸款，我們的倉庫債務預計會增加，但我們預計整個貸款頭寸不會超過 1.5至單筆證券化預估價值的2 倍。

On the debt side, we are proud to have reduced our warehouse debt by over 63% since the beginning of the year, though the positive impact of this reduction was partially offset by the effect of continued interest rate increases that compressed net interest margins. With that said, we are proud to have accelerated purchases of newly originated high coupon loans this quarter. These loans carry significantly higher coupons than our current whole loan portfolio, and we believe we can continue purchasing loans at an attractive mid-8% range. As a result, we expect net interest margin to expand in the coming quarters, especially as we continue to execute securitizations consisting of loans from the legacy portfolio.

在債務方面，我們很自豪自年初以來已將倉庫債務減少了 63% 以上，儘管這種減少的積極影響被持續加息壓縮淨息差的影響部分抵消了。話雖如此，我們很自豪本季度加速購買了新發放的高息貸款。這些貸款的息票比我們目前的整個貸款組合要高得多，我們相信我們可以繼續以有吸引力的 8% 中間範圍購買貸款。因此，我們預計未來幾個季度的淨息差將擴大，特別是當我們繼續執行由遺留投資組合貸款組成的證券化時。

In addition, the immediate impact of net interest income expansion, a higher coupon whole loan portfolio, will improve future securitization execution as well.

此外，淨利息收入擴張、整個貸款組合的票面利率更高的直接影響也將改善未來的證券化執行。

Going into the second half of the year, we expect continued rotation of our portfolio into newly originated higher coupon loans to be increasingly demonstrated in our results. We plan to continue with quarterly securitization which will support both our growth and our liquidity goals. While the risk continues to remain in the market, we are focused on prudently assuming those risks where we feel that we have competitive and competitive advantage. We believe that our ability to tailor the credit characteristics of our loans is and will continue to be a differentiator.

進入今年下半年，我們預計我們的投資組合將繼續轉向新發放的高息貸款，這將在我們的業績中得到越來越多的體現。我們計劃繼續進行季度證券化，這將支持我們的增長和流動性目標。儘管市場中的風險仍然存在，但我們專注於謹慎承擔我們認為具有競爭優勢和競爭優勢的風險。我們相信，我們定制貸款信貸特徵的能力現在並將繼續成為我們的優勢所在。

We are proud of the flexibility we have achieved with our capital structure, and we are confident in our ability to adapt and capitalize on opportunities in the second half of the year.

我們對資本結構所實現的靈活性感到自豪，並且對下半年適應和利用機遇的能力充滿信心。

I will now turn the call over to Brandon.

我現在將把電話轉給布蘭登。

Thank you, Sreeni.

謝謝你，斯雷妮。

We are pleased with our results in the second quarter. In particular, we are proud of the current position of the portfolio, both from a growth and risk management perspective. I'll go through the details of our financial results and will provide some additional color and context as we look to the second half of the year.

我們對第二季度的業績感到滿意。尤其是，從增長和風險管理的角度來看，我們對投資組合目前的狀況感到自豪。我將詳細介紹我們的財務業績，並在我們展望下半年時提供一些額外的色彩和背景。

For the second quarter of 2023, we had a GAAP net loss of $3.7 million or $0.15 per diluted common share. Distributable earnings were negative $3.9 million or a loss of $0.16 per common share. The key driver of our GAAP net loss was $4.8 million unrealized loss on loans, securitization trust, and the corresponding liability due to mark-to-market valuations. Note that although these assets are marked at a discount, principal payments are received apart.

2023 年第二季度，我們的 GAAP 淨虧損為 370 萬美元，即每股稀釋普通股虧損 0.15 美元。可分配收益為負 390 萬美元，即每股普通股虧損 0.16 美元。我們 GAAP 淨虧損的主要驅動因素是 480 萬美元的未實現貸款損失、證券化信託以及按市值計價的相應負債。請注意，儘管這些資產標有折扣，但本金付款是分開收取的。

Interest income for the quarter was $23.8 million, and net interest margin was $6.5 million, which will remain compressed due to higher variable rate interest expense. As Sreeni mentioned, we expect net interest margin to expand in coming quarters as the AOMT 2023 dashboard securitization and subsequent securitizations reduced financing costs and interest income grows in line with new loan purchases.

本季度利息收入為 2380 萬美元，淨息差為 650 萬美元，由於浮動利率利息支出較高，淨息差仍將受到壓縮。正如 Sreeni 提到的，我們預計未來幾個季度的淨息差將擴大，因為 AOMT 2023 儀表板證券化和後續證券化降低了融資成本，並且利息收入隨著新貸款購買而增長。

Total operating expenses were $5.6 million or $4.5 million excluding securitization costs. This represents a savings of $2.8 million versus Q2 of 2022, and a year-to-date savings of $6.2 million versus the first half of 2022. We are pleased with our sustained operating expense reductions and are actively working to achieve additional savings in the coming quarters.

總運營費用為 560 萬美元，不包括證券化成本為 450 萬美元。這意味著與2022 年第二季度相比節省了280 萬美元，與2022 年上半年相比，年初至今節省了620 萬美元。我們對運營費用的持續減少感到滿意，並正在積極努力在未來實現更多節省宿舍。

Turning to the balance sheet. As of June 30, 2023, we had $59.1 million in cash, representing an increase of $30 million from Q4 of 2022. Our strong cash position in the trailing six months showcases our focus on maintaining healthy liquidity level. This additional liquidity provides us with the dry powder for sustained loan purchases that will grow net interest income, improve cash flows, and support securitization execution.

轉向資產負債表。截至 2023 年 6 月 30 日，我們擁有 5,910 萬美元現金，較 2022 年第四季度增加 3,000 萬美元。過去六個月強勁的現金狀況表明我們致力於保持健康的流動性水平。這種額外的流動性為我們提供了持續購買貸款的干粉，這將增加淨利息收入、改善現金流並支持證券化執行。

Our recourse debt to equity ratio as of June 30 was 2.5 times. As of today's date, our recourse debt to equity ratio is 1.2 times which reflects the maturity of repurchase obligation from short-term trade that matured in early July. This is a decrease of 0.8 times versus the comparable recourse debt equity ratio as of the last earnings call of 2 times. We have residential whole loans at fair value of $296 million, financed with $234 million of warehouse debt, 1.2 billion of residential loans and securitization trust, and $71.9 million of RMBS from retained AOMT securities from off-balance sheet securitizations.

截至6月30日，我們的追索權債務與股本比率為2.5倍。截至今日，我們的追索權債務與股本比率為1.2倍，反映了7月初到期的短期交易回購義務的到期情況。與上次財報電話會議上可比較追索權債務股本比率的 2 倍相比，這一數字下降了 0.8 倍。我們擁有公允價值 2.96 億美元的住宅整體貸款，由 2.34 億美元的倉庫債務、12 億美元的住宅貸款和證券化信託以及來自表外證券化保留的 AOMT 證券的 7190 萬美元的 RMBS 融資。

Additionally, we held $388 million of [multiple] RMBS as of quarter end. We finished the quarter with undrawn warehouse financing capacity of approximately $695 million. As of today, we have a total of approximately $230 million of warehouse debt, representing a decrease of approximately 48% over the previous quarter.

此外，截至季度末，我們持有 3.88 億美元的[多種]人民幣支持證券。本季度結束時，我們的未動用倉庫融資能力約為 6.95 億美元。截至今天，我們的倉庫債務總計約 2.3 億美元，比上一季度減少約 48%。

We were pleased with the AOMT 2023 dashboard securitization which had a weighted average loan coupon of 4.5%. This lower coupon deal helped improve the weighted average coupon rate of our remaining whole loan portfolio which subsequently improves our future securitization pipeline. We have executed our goal of one securitization per quarter, and we expect it to continue to do so heading into the second half of the year.

我們對 AOMT 2023 儀表板證券化感到滿意，其加權平均貸款息票率為 4.5%。這項較低息票交易有助於提高我們剩餘整個貸款組合的加權平均票面利率，從而改善我們未來的證券化渠道。我們已經實現了每季度一次證券化的目標，我們預計下半年將繼續這樣做。

GAAP book value per share decreased to $9.34 as of June 30, 2023, from $9.80 as of March 31, 2023. The previously mentioned mark-to-market impact of our loans and securitization trust and corresponding liability, which are the loans underlying securitizations for which the cost of funding has been fixed, drove $0.19 of the total $0.46 decrease in GAAP book value.

截至2023 年6 月30 日，每股GAAP 賬面價值從截至2023 年3 月31 日的9.80 美元下降至9.34 美元。前面提到的我們的貸款和證券化信託及相應負債的按市值計算的影響，這些貸款是證券化的基礎貸款融資成本已固定，導致 GAAP 賬面價值減少 0.46 美元，其中 0.19 美元。

Economic book value, which fair values all nonrecourse securitization obligations, was $13.16 per share as of June 30, 2023, down $0.23 from Q1, driven by our $0.32 quarterly dividend. As with last quarter, we expect valuation changes resulting from interest rate and spread movements to cause GAAP and economic book value to fluctuate in the near term. The weighted average coupon rate of our whole loan portfolio was 4.63% as of the end of the first quarter and increased 21 basis points to 4.84% as of the end of second quarter.

截至2023 年6 月30 日，經濟賬面價值（對所有無追索權證券化義務進行公允價值評估）為每股13.16 美元，較第一季度下降0.23 美元，這主要得益於我們0.32 美元的季度股息。與上季度一樣，我們預計利率和利差變動導致的估值變化將導致 GAAP 和經濟賬面價值在短期內出現波動。截至一季度末，我們整個貸款組合的加權平均票面利率為4.63%，截至二季度末，加權平均票面利率上升21個基點至4.84%。

Since the end of the second quarter, we have purchased and locked for purchase approximately $40 million of additional loans. Our loan purchases this year carry a weighted average coupon rate of 8.4%, weighted average LTV of 72%, and a weighted average FICO score of 754. With these new loans, the weighted average coupon of our residential whole loan portfolio is approximately 5.17%, representing an increase of over 50 basis points since the end of the first quarter. The increase in the weighted average coupons will continue as additional loans are purchased.

自第二季度末以來，我們已購買並鎖定購買約 4000 萬美元的額外貸款。我們今年購買的貸款的加權平均票面利率為 8.4%，加權平均 LTV 為 72%，加權平均 FICO 評分為 754。憑藉這些新貸款，我們住宅整體貸款組合的加權平均票面利率約為 5.17%較一季度末增長超過50個基點。隨著購買更多貸款，加權平均息票將繼續增加。

Finally, the company has declared a $0.32 per share common dividend payable on August 31, 2023, to shareholders of record as of August 22, 2023. This implies an annualized dividend of $1.28 per share or a yield of approximately 14% as of the closing price on August 7, 2023.

最後，公司宣布將於2023 年8 月31 日向截至2023 年8 月22 日登記在冊的股東派發每股0.32 美元的普通股息。這意味著截至收盤時的年化股息為每股1.28 美元，收益率約為14% 2023 年 8 月 7 日的價格。

For additional color on our financial results, please review the earnings supplement available on our website.

有關我們財務業績的更多信息，請查看我們網站上提供的收入補充資料。

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.

謝謝你，布蘭登。

Before turning the call over to the operator for Q&A, I do like to conclude with some brief remarks. We are excited to have done our focus to growth as we head into the second half of the year. While the market and [recovery] is likely, not completely in the rearview mirror, the current composition of our portfolio has a strong foundation with flexibility to respond as market conditions evolve. Credit risk remains on the radar for the industry.

在將電話轉接給接線員進行問答之前，我想以一些簡短的評論作為結束。我們很高興在進入下半年時將重點放在增長上。雖然市場和[復甦]有可能，但並不完全在後視鏡中，但我們目前的投資組合構成具有堅實的基礎，可以隨著市場狀況的變化靈活地做出反應。信用風險仍然是該行業關注的焦點。

However, we feel that credit risk management is one of our key competitive strengths. By leveraging the engine of ecosystem, we have the ability to adjust credit offerings based on certain characteristics. Credit selection is a risk we like to own, and we have the ability to select profitable loans with sound credit. Credit performance of the portfolio has been strong, and we expect it to continue to perform comparably well.

然而，我們認為信用風險管理是我們的主要競爭優勢之一。通過利用生態系統的引擎，我們有能力根據某些特徵調整信貸產品。信貸選擇是我們願意承擔的風險，我們有能力選擇信用良好、有利可圖的貸款。該投資組合的信貸表現一直強勁，我們預計其將繼續表現良好。

We believe our results in the first half of the year have demonstrated the strength and the resilience of our business model, and we look forward to demonstrating our good potential in the second half of the year.

我們相信，上半年的業績證明了我們業務模式的實力和彈性，我們期待在下半年展示我們的良好潛力。

As always, I would like to thank the entire Angel Oak team for their hard work and contribution, as we seek to build long-term value for our shareholders.

一如既往，我要感謝整個 Angel Oak 團隊的辛勤工作和貢獻，因為我們致力於為股東創造長期價值。

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？

Thank you. (Operator Instructions) Don Fandetti with Wells Fargo.

謝謝。 （操作員說明）Don Fandetti 與富國銀行。

Please go ahead.+

請繼續。+

Yes. It sounds like NII is heading higher due to the -- for the higher coupons on loans and more efficient funding. And then there's some expense saves. Do you think you can grow into the dividend over time, or do you feel like maybe at some point it makes sense to trend that?

是的。聽起來 NII 正在走高，因為貸款息票更高，融資效率更高。然後還可以節省一些費用。您認為隨著時間的推移，您可以獲得紅利嗎？還是您覺得在某個時候進行趨勢分析是有意義的？

Yeah, no, net interest margin should start to increase next quarter. I mean, one of the things that we did with the securitization is we went off of our most expensive warehouse financing over a 9% cash paying rate to securitization debt, which was a significantly lower amount and then with the new loan purchases. We also should see, like you mentioned, the additional cost savings. So we believe over the next few quarters, we're going to grow into that dividend to the point where we're adequately covering, not just from a cash-flow basis, but from a true net earnings perspective.

是的，不，淨息差應該在下個季度開始增加。我的意思是，我們在證券化方面所做的一件事是，我們將最昂貴的倉庫融資（超過9% 的現金支付率）轉為證券化債務，這是一個明顯較低的金額，然後是新的貸款購買。正如您提到的，我們還應該看到額外的成本節省。因此，我們相信在接下來的幾個季度中，我們將把股息增長到我們能夠充分覆蓋的程度，不僅從現金流的角度來看，而且從真正的淨利潤的角度來看。

Okay, great. That's all I have. Thanks.

好的，太好了。這就是我的全部。謝謝。

Thank you. Matthew Howlett, B. Riley.

謝謝。馬修·豪利特，B.萊利。

My question is just on you're in the market in this position, I'd like to hear an update on which AAA spreads are on '23 forward and where the -- I think they've been tightening, where they are now up to date? And then just give us a -- these coupons are tremendous going into the securitization trust now. When you look at what you're retaining off the securitization, what type of IRR should we be thinking about? And are you still selling down to the rated bonds?

我的問題是你在市場上處於這個位置，我想听聽關於 23 年遠期 AAA 利差的最新情況，以及 - 我認為它們一直在收緊，現在在哪裡迄今為止？然後給我們一個——這些優惠券現在進入證券化信託是巨大的。當您查看從證券化中保留的內容時，我們應該考慮哪種類型的 IRR？您還在拋售評級債券嗎？

Just give us a little update on the securitization market today, and how you foresee the next few deals go?

請給我們介紹一下今天證券化市場的一些最新情況，以及您預計接下來的幾筆交易將如何進行？

Sure. This is Namit. So from a securitization spreads standpoint, you're right like from second quarter end to today, we have seen meaningful tightening in spreads, not just for non-QM but across-the-board tightening and the risk overall in the market. And so we have seen the benefits of that as well, which is likely going to show up if it doesn't reverse itself over the rest of the quarter, potentially in the next quarter.

當然。這是納米特。因此，從證券化利差的角度來看，從第二季度末到今天，我們看到利差大幅收緊，不僅針對非量化管理，而且針對全面收緊以及市場整體風險。因此，我們也看到了這樣做的好處，如果這種情況在本季度剩餘時間內（可能在下個季度）不發生逆轉，那麼這種好處很可能會顯現出來。

We have seen meaningful spread tightening for current coupon deals that have been securitized in the market over the last month unchanged. And the rates market have generally been sort of unchanged in a little bit of a volatile manner. So overall, we see a benefit to that spread tightening to our portfolio.

我們發現，上個月市場上已證券化的當前息票交易利差大幅收緊，未發生變化。利率市場總體上保持不變，但略有波動。因此，總體而言，我們認為利差收緊對我們的投資組合有利。

And then to your question around the new coupons, so when we create these loans at 8.25, 8.5 coupon, generally speaking the gross returns for securitization on the retained portfolio is high teens. And so that is what we generally penciled in for the marginal loans that come in at these higher coupons. Obviously, they get mixed up with the lower coupons and bring the coupons higher. So that is an element of securitization that comes with a blended pool of these higher coupons versus the lower coupon loans.

然後關於你關於新息票的問題，所以當我們以 8.25、8.5 息票發行這些貸款時，一般來說，保留投資組合的證券化總回報率很高。因此，這就是我們通常為這些較高息票的邊際貸款所考慮的內容。顯然，他們與較低的優惠券混合在一起，從而提高了優惠券的價格。因此，這是證券化的一個要素，它伴隨著這些較高息票與較低息票貸款的混合池。

But on the margin, these loans are accretive to the portfolio, and post securitizations carry high-teens IRR.

但在邊際上，這些貸款會增加投資組合，並且證券化後的內部收益率高達十幾歲。

When you talk about high-teens, I think equity investors get really excited. And these are -- that incorporates like a loss adjusted and (inaudible)

當你談論高青少年時，我認為股票投資者會非常興奮。這些是——包括調整後的損失和（聽不清）

It incorporates -- yeah, it incorporates the cost of funds as we see in the market today. And it incorporates reasonable assumptions around prepayments, delinquencies, and defaults down the line. Obviously, those are to the base case scenario, and there's obviously stressors you can run that bring the returns down. But to the base case, high teens is what we usually see at these higher coupons. And if you think of these coupons as maybe a slightly elevated speed assumption down the line, it probably brings it down to mid-teens.

它包含了——是的，它包含了我們今天在市場上看到的資金成本。它還包含了有關預付款、拖欠和違約的合理假設。顯然，這些都是基本情況，而且顯然你可以承受一些壓力，從而降低迴報。但就基本情況而言，我們通常在這些較高的優惠券中看到高青少年。如果您認為這些優惠券可能是稍微提高的速度假設，那麼它可能會將速度降低到十幾歲左右。

Okay. And the next question most people would ask would like, how much can you add -- how much can you grow that -- your loan portfolio, securitization portfolio today with the existing capital base of the company in the ups you paid down your REPO lines, you freed up a lot of capital. Given where advanced rates are on securitization market, I don't if they've changed or not, how much can we grow? How much can you grow here into full capacity?

好的。大多數人會問的下一個問題是，您可以增加多少 - 您可以增加多少 - 您的貸款組合，今天的證券化投資組合，以及您支付回購額度的公司現有資本基礎，你釋放了大量的資金。考慮到證券化市場上的先進利率，我不知道它們是否改變了，我們能增長多少？你能在這裡滿負荷發展到什麼程度？

We have probably enough capacity for three to four good-sized securitizations with new coupon loans before we either have to wait and get principal payments back in to keep growing or look to the capital markets at that time to grow.

我們可能有足夠的能力進行三到四筆新的息票貸款的大型證券化，然後我們要么必須等待並收回本金以保持增長，要么期待當時的資本市場增長。

Will you perform securitization by around -- around $300 million, $400 million, something like that?

你們會進行大約 3 億美元、4 億美元之類的證券化嗎？

Yeah, exactly. Somewhere, call it, maybe $1.5 billion for the loans that goes through the system a few times, a few cycles.

是的，完全正確。在某個地方，可以說，可能有 15 億美元用於通過系統幾次、幾個週期的貸款。

Great. We'll look forward to that. Congrats on getting back to growth.

偉大的。我們對此充滿期待。恭喜您恢復增長。

(Operator Instructions) Derek Hewett with Bank of America.

（操作員指令）Derek Hewett 與美國銀行。

Could you provide an update in terms of where spreads have trended quarter to date and then how that impacts the book value per share?

您能否提供最新的利差趨勢，以及這對每股賬面價值的影響？

Yeah. So on quarter to date since the end of second quarter, we have seen senior AAA spreads come in somewhere between 15 and 25 basis points. It is very -- because historically in the non-QM space, pretty much all securitizations would happen at the same coupon which would be the current coupon. One shell versus the other was easily transportable. But when you look at the landscape today, there are 8.5 deals, 8.5 coupon deals, 7.5 coupon deals, 6.5 coupon deals, and so and so forth. So there's a little bit of a basis there.

是的。因此，自第二季度末以來，我們看到高級 AAA 利差在 15 到 25 個基點之間。這是非常——因為從歷史上看，在非 QM 領域，幾乎所有證券化都會以相同的息票進行，即當前的息票。一種砲彈相對於另一種砲彈來說更容易運輸。但當你看看今天的情況時，你會發現有 8.5 次優惠、8.5 次優惠券優惠、7.5 次優惠券優惠、6.5 次優惠券優惠等等。所以這裡有一點基礎。

But generally speaking, we have seen about 15 to 25 basis points of spread tightening in the new-issue space for AAAs and come in directly down at the capital structure.

但總體而言，我們看到 AAA 的新發行空間利差收緊約 15 至 25 個基點，並直接影響資本結構。

Okay. And then do you have an update in terms of quarter-to-date book value either as of the end of July or through early August?

好的。那麼截至 7 月底或到 8 月初，您是否有季度至今賬面價值的更新？

No, nothing right now, Derek.

不，現在什麼都沒有，德里克。

Okay, all right. Thank you.

好吧，好吧。謝謝。

Ladies and gentlemen, and with that, we have finished our question-and-answer session. I would like to turn it over to Mr. Brandon Filson, CFO of the company. Please go ahead.

女士們、先生們，我們的問答環節就這樣結束了。我想把它交給公司首席財務官布蘭登·菲爾森先生。請繼續。

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

感謝大家花時間關注 Angel Oak Mortgage REIT。我們期待盡快與您聯繫。同時，如果您有任何疑問，請隨時與我們聯繫，祝您有美好的一天。

This conference has now concluded. Thank you for attending today's presentation. You may now disconnect. Have a good day.

本次會議現已結束。感謝您參加今天的演講。您現在可以斷開連接。祝你有美好的一天。