0001766478falseQ3202412/31xbrli:sharesiso4217:USDiso4217:USDxbrli:sharesxbrli:pureaomr:loanaomr:contractutr:Q00017664782024-01-012024-09-300001766478us-gaap:CommonStockMember2024-01-012024-09-300001766478aomr:A9.500UnsecuredSeniorNotesDue2029Member2024-01-012024-09-3000017664782024-11-070001766478aomr:LoansReceivableResidentialMember2024-09-300001766478aomr:LoansReceivableResidentialMember2023-12-310001766478aomr:LoansReceivableResidentialSecuritizationTrustMember2024-09-300001766478aomr:LoansReceivableResidentialSecuritizationTrustMember2023-12-310001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2024-09-300001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2023-12-310001766478us-gaap:USTreasurySecuritiesMember2024-09-300001766478us-gaap:USTreasurySecuritiesMember2023-12-3100017664782024-09-3000017664782023-12-310001766478us-gaap:NonrecourseMember2024-09-300001766478us-gaap:NonrecourseMember2023-12-310001766478us-gaap:NonrelatedPartyMember2024-09-300001766478us-gaap:NonrelatedPartyMember2023-12-310001766478srt:AffiliatedEntityMember2024-09-300001766478srt:AffiliatedEntityMember2023-12-3100017664782024-07-012024-09-3000017664782023-07-012023-09-3000017664782023-01-012023-09-300001766478us-gaap:NonrelatedPartyMember2024-07-012024-09-300001766478us-gaap:NonrelatedPartyMember2023-07-012023-09-300001766478us-gaap:NonrelatedPartyMember2024-01-012024-09-300001766478us-gaap:NonrelatedPartyMember2023-01-012023-09-300001766478srt:AffiliatedEntityMember2024-07-012024-09-300001766478srt:AffiliatedEntityMember2023-07-012023-09-300001766478srt:AffiliatedEntityMember2024-01-012024-09-300001766478srt:AffiliatedEntityMember2023-01-012023-09-300001766478us-gaap:CommonStockMember2024-06-300001766478us-gaap:AdditionalPaidInCapitalMember2024-06-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2024-06-300001766478us-gaap:RetainedEarningsMember2024-06-3000017664782024-06-300001766478us-gaap:CommonStockMember2024-07-012024-09-300001766478us-gaap:AdditionalPaidInCapitalMember2024-07-012024-09-300001766478us-gaap:RetainedEarningsMember2024-07-012024-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2024-07-012024-09-300001766478us-gaap:CommonStockMember2024-09-300001766478us-gaap:AdditionalPaidInCapitalMember2024-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2024-09-300001766478us-gaap:RetainedEarningsMember2024-09-300001766478us-gaap:CommonStockMember2023-06-300001766478us-gaap:AdditionalPaidInCapitalMember2023-06-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2023-06-300001766478us-gaap:RetainedEarningsMember2023-06-3000017664782023-06-300001766478us-gaap:RetainedEarningsMember2023-07-012023-09-300001766478us-gaap:AdditionalPaidInCapitalMember2023-07-012023-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2023-07-012023-09-300001766478us-gaap:CommonStockMember2023-09-300001766478us-gaap:AdditionalPaidInCapitalMember2023-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2023-09-300001766478us-gaap:RetainedEarningsMember2023-09-3000017664782023-09-300001766478us-gaap:CommonStockMember2023-12-310001766478us-gaap:AdditionalPaidInCapitalMember2023-12-310001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2023-12-310001766478us-gaap:RetainedEarningsMember2023-12-310001766478us-gaap:CommonStockMember2024-01-012024-09-300001766478us-gaap:AdditionalPaidInCapitalMember2024-01-012024-09-300001766478us-gaap:RetainedEarningsMember2024-01-012024-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2024-01-012024-09-300001766478us-gaap:CommonStockMember2022-12-310001766478us-gaap:AdditionalPaidInCapitalMember2022-12-310001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-12-310001766478us-gaap:RetainedEarningsMember2022-12-3100017664782022-12-310001766478us-gaap:RetainedEarningsMember2023-01-012023-09-300001766478us-gaap:AdditionalPaidInCapitalMember2023-01-012023-09-300001766478us-gaap:AccumulatedOtherComprehensiveIncomeMember2023-01-012023-09-300001766478us-gaap:NonrecourseMember2024-01-012024-09-300001766478us-gaap:NonrecourseMember2023-01-012023-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-12-310001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-12-310001766478aomr:SecuritizationDebtMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-09-300001766478aomr:SecuritizationDebtMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-12-310001766478aomr:RatedAndNonRatedCertificatesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-09-300001766478aomr:RatedAndNonRatedCertificatesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-12-310001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-01-012024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-01-012023-12-310001766478us-gaap:BondsMember2024-09-300001766478us-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2024-09-300001766478us-gaap:AssetBackedSecuritiesSecuritizedLoansAndReceivablesMember2023-12-310001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMember2024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:NonrecourseMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMezzanineMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMezzanineMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustSubordinateMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustSubordinateMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustInterestOnlyExcessMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustInterestOnlyExcessMember2024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFannieMaeMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFannieMaeMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFreddieMacMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFreddieMacMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyMember2024-09-300001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2024-09-300001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMembersrt:ConsolidationEliminationsMember2024-09-300001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMezzanineMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMezzanineMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustSubordinateMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustSubordinateMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustInterestOnlyExcessMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustInterestOnlyExcessMember2023-12-310001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFannieMaeMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFannieMaeMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFreddieMacMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyFreddieMacMember2023-12-310001766478aomr:ResidentialMortgageBackedSecuritiesWholePoolAgencyMember2023-12-310001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2023-12-310001766478us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustRetainedMembersrt:ConsolidationEliminationsMember2023-12-310001766478us-gaap:USTreasurySecuritiesMember2024-01-012024-09-300001766478us-gaap:USTreasurySecuritiesMember2023-01-012023-12-310001766478us-gaap:CollateralPledgedMember2023-12-310001766478us-gaap:CollateralPledgedMember2024-09-300001766478aomr:MultinationalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MinimumMember2024-01-012024-09-300001766478aomr:MultinationalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MaximumMember2024-01-012024-09-300001766478aomr:MultinationalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-09-300001766478aomr:MultinationalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MinimumMember2024-01-012024-09-300001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MaximumMember2024-01-012024-09-300001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-09-300001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MinimumMember2024-01-012024-09-300001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MaximumMember2024-01-012024-09-300001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-09-300001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478aomr:InstitutionalInvestorsAAndBMemberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-01-012024-09-300001766478aomr:InstitutionalInvestorsAAndBMemberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478aomr:RegionalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MinimumMember2024-01-012024-09-300001766478aomr:RegionalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MaximumMember2024-01-012024-09-300001766478aomr:RegionalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478us-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-09-300001766478us-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2023-12-310001766478aomr:MultinationalBank1Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-09-252024-09-250001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMember2024-03-280001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMemberus-gaap:SubsequentEventMembersrt:MinimumMember2024-10-252024-10-250001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMemberus-gaap:SubsequentEventMembersrt:MaximumMember2024-10-252024-10-250001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MinimumMember2024-03-282024-03-280001766478aomr:GlobalInvestmentBank2Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMembersrt:MaximumMember2024-03-282024-03-280001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMemberus-gaap:SubsequentEventMembersrt:MinimumMember2024-11-012024-11-010001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMemberus-gaap:SubsequentEventMembersrt:MaximumMember2024-11-012024-11-010001766478aomr:GlobalInvestmentBank3Memberus-gaap:LineOfCreditMemberus-gaap:NotesPayableToBanksMemberus-gaap:SubsequentEventMember2024-11-012024-11-010001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMember2024-07-250001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMember2024-07-252024-07-250001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMemberus-gaap:DebtInstrumentRedemptionPeriodOneMember2024-07-252024-07-250001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMemberus-gaap:DebtInstrumentRedemptionPeriodTwoMember2024-07-252024-07-250001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMember2024-09-300001766478aomr:A9.500UnsecuredSeniorNotesDue2029Memberus-gaap:SeniorNotesMember2024-01-012024-09-300001766478us-gaap:CashAndCashEquivalentsMember2024-09-300001766478us-gaap:CashAndCashEquivalentsMember2023-12-310001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2024-01-012024-09-300001766478us-gaap:ResidentialMortgageBackedSecuritiesMember2023-01-012023-12-3100017664782023-01-012023-12-310001766478aomr:InterestRateFutureMember2024-09-300001766478aomr:InterestRateFutureMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMember2024-09-300001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:InterestRateFutureMemberus-gaap:LongMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:InterestRateFutureMemberus-gaap:ShortMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:LongMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:ShortMemberus-gaap:NondesignatedMember2024-09-300001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:InterestRateFutureMemberus-gaap:LongMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:InterestRateFutureMemberus-gaap:ShortMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:LongMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:ShortMemberus-gaap:NondesignatedMember2023-12-310001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2024-07-012024-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2024-07-012024-09-300001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2023-07-012023-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2023-07-012023-09-300001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2024-01-012024-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2024-01-012024-09-300001766478aomr:InterestRateFutureMemberus-gaap:NondesignatedMember2023-01-012023-09-300001766478aomr:ToBeAnnouncedTBAsMemberus-gaap:NondesignatedMember2023-01-012023-09-300001766478us-gaap:FairValueInputsLevel1Memberaomr:LoansReceivableResidentialMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberaomr:LoansReceivableResidentialMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMember2024-09-300001766478us-gaap:FairValueInputsLevel1Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2024-09-300001766478aomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2024-09-300001766478us-gaap:FairValueInputsLevel1Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2024-09-300001766478us-gaap:FairValueInputsLevel1Memberaomr:AgencyWholePoolLoanSecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberaomr:AgencyWholePoolLoanSecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:AgencyWholePoolLoanSecuritiesMember2024-09-300001766478aomr:AgencyWholePoolLoanSecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel1Memberus-gaap:USTreasurySecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberus-gaap:USTreasurySecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberus-gaap:USTreasurySecuritiesMember2024-09-300001766478us-gaap:FairValueInputsLevel1Member2024-09-300001766478us-gaap:FairValueInputsLevel2Member2024-09-300001766478us-gaap:FairValueInputsLevel3Member2024-09-300001766478us-gaap:FairValueInputsLevel1Memberus-gaap:FutureMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberus-gaap:FutureMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberus-gaap:FutureMember2024-09-300001766478us-gaap:FutureMember2024-09-300001766478us-gaap:FairValueInputsLevel1Memberaomr:ToBeAnnouncedTBAsMember2024-09-300001766478us-gaap:FairValueInputsLevel2Memberaomr:ToBeAnnouncedTBAsMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:ToBeAnnouncedTBAsMember2024-09-300001766478aomr:ToBeAnnouncedTBAsMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:MinimumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:MaximumMember2024-09-300001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:WeightedAverageMember2024-09-300001766478us-gaap:CarryingReportedAmountFairValueDisclosureMember2024-09-300001766478us-gaap:EstimateOfFairValueFairValueDisclosureMember2024-09-300001766478us-gaap:CarryingReportedAmountFairValueDisclosureMember2023-12-310001766478us-gaap:EstimateOfFairValueFairValueDisclosureMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberaomr:LoansReceivableResidentialMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberaomr:LoansReceivableResidentialMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2023-12-310001766478aomr:LoansReceivableResidentialMortgageLoansInSecuritizationTrustsMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:ResidentialMortgageBackedSecuritiesAngelOakMortgageTrustMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberaomr:AgencyWholePoolLoanSecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberaomr:AgencyWholePoolLoanSecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:AgencyWholePoolLoanSecuritiesMember2023-12-310001766478aomr:AgencyWholePoolLoanSecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberus-gaap:USTreasurySecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberus-gaap:USTreasurySecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberus-gaap:USTreasurySecuritiesMember2023-12-310001766478us-gaap:FairValueInputsLevel1Member2023-12-310001766478us-gaap:FairValueInputsLevel2Member2023-12-310001766478us-gaap:FairValueInputsLevel3Member2023-12-310001766478us-gaap:FairValueInputsLevel1Memberus-gaap:FutureMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberus-gaap:FutureMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberus-gaap:FutureMember2023-12-310001766478us-gaap:FutureMember2023-12-310001766478us-gaap:FairValueInputsLevel1Memberaomr:ToBeAnnouncedTBAsMember2023-12-310001766478us-gaap:FairValueInputsLevel2Memberaomr:ToBeAnnouncedTBAsMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:ToBeAnnouncedTBAsMember2023-12-310001766478aomr:ToBeAnnouncedTBAsMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialMemberus-gaap:MeasurementInputExpectedTermMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputDefaultRateMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputLossSeverityMembersrt:WeightedAverageMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:MinimumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:MaximumMember2023-12-310001766478us-gaap:FairValueInputsLevel3Memberaomr:LoansReceivableResidentialSecuritizationTrustMemberus-gaap:MeasurementInputExpectedTermMembersrt:WeightedAverageMember2023-12-310001766478aomr:LoansReceivableResidentialMembersrt:AffiliatedEntityMemberaomr:LoansPurchasedFromAffiliatesMember2024-01-012024-09-300001766478aomr:LoansReceivableResidentialMembersrt:AffiliatedEntityMemberaomr:LoansPurchasedFromAffiliatesMember2024-09-300001766478aomr:LoansReceivableResidentialMembersrt:AffiliatedEntityMemberaomr:LoansPurchasedFromAffiliatesMember2023-01-012023-12-310001766478aomr:LoansReceivableResidentialMembersrt:AffiliatedEntityMemberaomr:LoansPurchasedFromAffiliatesMember2023-12-310001766478srt:AffiliatedEntityMemberaomr:ManagementAgreementMember2021-06-210001766478srt:AffiliatedEntityMemberaomr:ManagementAgreementMember2021-06-212021-06-210001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2024-06-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2023-06-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2024-07-012024-09-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2023-07-012023-09-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2024-09-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2023-09-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2023-12-310001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2022-12-310001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2024-01-012024-09-300001766478us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2023-01-012023-09-300001766478aomr:LoansReceivableCommercialMember2024-09-300001766478aomr:LoansReceivableCommercialMember2023-12-310001766478us-gaap:CommercialMortgageBackedSecuritiesMember2024-09-300001766478us-gaap:CommercialMortgageBackedSecuritiesMember2023-12-310001766478aomr:AOMT20231Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-03-310001766478aomr:AOMT20231Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2023-12-310001766478aomr:AOMT20231Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-09-300001766478aomr:AOMT20231Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-06-300001766478aomr:AOMT20235Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-03-310001766478aomr:AOMT20235Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2023-12-310001766478aomr:AOMT20235Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-06-300001766478aomr:AOMT20235Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-09-300001766478aomr:AOMT20237Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-06-300001766478aomr:AOMT20237Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-03-310001766478aomr:AOMT20237Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-09-300001766478aomr:AOMT20237Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2023-12-310001766478aomr:AOMT20243Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-06-300001766478aomr:AOMT20243Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-09-300001766478aomr:AOMT20243Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2023-12-310001766478aomr:AOMT20243Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-03-310001766478aomr:AOMT20246Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-06-300001766478aomr:AOMT20246Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-03-310001766478aomr:AOMT20246Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2023-12-310001766478aomr:AOMT20246Memberus-gaap:InvestmentAffiliatedIssuerControlledMember2024-09-300001766478aomr:ATMProgramMember2024-09-300001766478aomr:ATMProgramMember2024-07-012024-09-300001766478aomr:ATMProgramMember2024-01-012024-09-300001766478aomr:XylemFinanceLLCMember2024-07-252024-07-250001766478us-gaap:RestrictedStockMember2024-07-012024-09-300001766478us-gaap:RestrictedStockMember2024-01-012024-09-300001766478us-gaap:PerformanceSharesMember2024-01-012024-09-300001766478us-gaap:PerformanceSharesMember2024-07-012024-09-300001766478us-gaap:PerformanceSharesMember2024-09-300001766478us-gaap:RestrictedStockMember2023-01-012023-09-300001766478us-gaap:RestrictedStockMember2023-07-012023-09-300001766478us-gaap:PerformanceSharesMember2023-01-012023-09-300001766478us-gaap:PerformanceSharesMember2023-07-012023-09-300001766478aomr:LoansReceivableResidentialMemberus-gaap:SubsequentEventMember2024-10-160001766478us-gaap:SubsequentEventMember2024-11-062024-11-06


美國
證券交易委員會
華盛頓特區20549

表格 10-Q

☒ 根據1934年證券交易所法案第13或第15(d)條的季度報告
截至2024年6月30日季度結束 2024年9月30日
☐ 根據1934年證券交易所法案第13或15(d)條的過渡報告

過渡期從__________到__________。
委員會文件編號 001-40495

天使橡樹抵押房地產信託股份有限公司。
（依憑章程所載的完整登記名稱）
馬里蘭州。37-1892154
(成立地或組織其他管轄區)（聯邦稅號）

紐約州亞特蘭大市皮區344號桃花路東北部, 1725室, 喬治亞州亞特蘭大市, 佐治亞州 30326
(主要行政辦公室地址及郵政編碼)

404-953-4900
申請人的電話號碼，包括區域代碼。

根據1973年證券交易法第12(b)條規定註冊的證券：
每種類別的名稱交易標的（s）每個註冊交易所的名稱
普通股，每股0.01美元面值AOMR紐約證券交易所
截至2029年到期的9.500％高級票據
AOMN
紐約證券交易所

請勾選選項，表示以下事項：（1）在過去12個月內（或如此短的時期內，發行者必須提交此類報告的時期），已根據1934年證券交易法第13條或第15(d)條提交了所有所需提交的報告；以及（2）在過去90天內已受到此類提交要求的限制。是  ☒不☐ 

檢查貴公司是否在過去12個月（或貴公司被要求提交此類文件的更短期間）內，根據Regulation S-t第405條規定向電子方式提交了每個互動數據文件。是  ☒否☐

請勾選該申報人是否為大型快速申報人、快速申報人、非快速申報人、小型報告公司或新興成長型公司。有關「大型快速申報人」、「快速申報人」、「小型報告公司」和「新興成長型公司」的定義，請參閱交易所法案第1202條。

大型加速歸檔人☐加速歸檔人☒非加速歸檔人☐
小型報告公司☒新興成長型企業☐

如果申報人是新興成長型企業，在符合交易所法案第13(a)條所提供的任何新修訂財務會計準則時，已選擇不使用延長過渡期遵守。請選擇適用的核對標記。. ☐
                
勾選是表示申報人是殻牌公司（如《交易所法》第1202條所定義）。 是☐ 不☒

截至2024年7月26日，註冊人名下擁有2,177,417,976股普通股。 23,511,272 截至2024年11月7日，普通股股份每股面值0.01美元。


ANGEL OAK MORTGAGE REIT, INC.
第10-Q表格季報告
目 錄

第一部分-財務信息
第二部分。其他資訊


1
第一部分. 財務資訊
項目 1. 基本報表

天使橡樹抵押房地產信託股份有限公司。
縮短的合併財務報表
(未經查核)
（以千為單位，股份數據除外）

截至日期：
2024年9月30日2023年12月31日
資產
按公允價值計算的居住性按揭貸款$428,909 $380,040 
按公允價值計算的證券化信託中的居住性按揭貸款1,452,907 1,221,067 
按公允價值計算的RMBS283,105 472,058 
按公允價值計算的美國國庫券49,971 149,927 
現金及現金等價物42,052 41,625 
限制性現金2,679 2,871 
應收本金及利息6,630 7,501 
可留意的TBA與利率期貨合約未實現升值 - 按公允值計1,651 — 
其他資產35,962 32,922 
資產總額2,303,866 2,308,011 
負債及股東權益
應付票據$333,042 $290,610 
由證券化信託中的住宅抵押貸款抵押的無追索權證券化責任（見附註2）1,353,758 1,169,154 
根據回購協議出售的證券102,876 193,656 
優先無抵押票據47,616 — 
在公平值處於未實現跌價的TBAs和利率期貨合約上— 1,334 
因經紀人而到期194,697 391,964 
應計費用2,000 985 
應付關聯公司的應計費用657 748 
應付利息1,312 820 
應納所得稅款2,785 1,241 
支付給聯屬公司的管理費25 1,393 
總負債2,038,768 2,051,905 
股東權益
0.010.01 面值。截至2024年9月30日： 350,000,000 股份已授權 23,511,272 已發行及流通股數。截至2023年12月31日： 350,000,000 股份已授權 24,965,274 股份已發行並流通。
$234 $249 
資本公積額額外增資461,249 477,068 
其他綜合損益（損失）累積額(441)(4,975)
保留盈余（赤字）(195,944)(216,236)
股東權益總額265,098 256,106 
負債總額及股東權益合計$2,303,866 $2,308,011 


附註是簡明合併基本報表的一個重要部分。

2

天使橡樹抵押房地產信託股份有限公司。
綜合損益縮表(未經審計)
(未經查核)
(以千為單位，除股本及每股資料外)
結束於三個月的期間九個月結束了
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
利息收入，凈額
利息收入$27,444 $23,900 $78,558 $71,403 
利息費用18,424 16,490 51,495 50,742 
淨利息收入$9,020 $7,410 $27,063 $20,661 
實現及未實現收益（損失），淨
按貸款、衍生合約、RMBS和CMBS計算的淨實現收益（損失）$(6,335)$(12,044)$(14,527)$(27,056)
按交易證券、按公平值計量的債務部分、按公允價值選擇的資產、和衍生工具計算的淨未實現收益（損失）35,172 17,299 48,514 27,868 
實現及未實現總收益（損失），淨$28,837 $5,255 $33,987 $812 
費用
營業費用$1,287 $1,370 $4,619 $5,788 
與聯屬公司發生的營業費用472 599 1,444 1,672 
盡職調查和交易成本254 115 663 136 
股票報酬604 447 1,864 1,195 
證券化成本— 416 1,583 2,326 
與聯屬公司發生的管理費1,204 1,445 3,810 4,460 
營業費用總計$3,821 $4,392 $13,983 $15,577 
綜合損益前所得稅淨額$34,036 $8,273 $47,067 $5,896 
所得稅支出2,832 — 3,261 781 
可歸屬於普通股股東的凈利潤（損失）$31,204 $8,273 $43,806 $5,115 
其他全面收益（損失）2,706 (1,607)4,534 12,955 
綜合收益（損失）總額$33,910 $6,666 $48,340 $18,070 
每股普通股基本收益（虧損）$1.31 $0.33 $1.79 $0.20 
每股普通股稀釋收益（虧損）$1.29 $0.33 $1.76 $0.20 
流通的普通股加權平均數量：
基礎23,757,03924,768,92124,445,105 24,706,568 
稀釋24,079,24724,957,66824,778,465 24,933,833 







附註是簡明合併基本報表的一個重要部分。

3

天使橡樹抵押貸款房地產投資信託公司。
未經審計的股東權益簡明合併財務報表
（以千為單位）


2024年9月30日結束的三個月
普通股溢價資本公積金累積其他綜合損益保留收益（赤字）股東權益總計
2024年6月30日股東權益$249 $478,328 $(3,147)$(219,624)$255,806 
普通股發行，扣除費用後的金額$2 $2,250 $— $— 2,252 
回購普通股股份$(17)$(19,933)$— $— (19,950)
分紅派息支出
$— $— $— $(7,524)(7,524)
股票報酬$— $604 $— $— 604 
RMBS和CMBS的未實現收益（損失）$— $— $2,706 $— 2,706 
凈利潤（損失）$— $— $— $31,204 31,204 
截至2024年9月30日的股東權益$234 $461,249 $(441)$(195,944)$265,098 

2023年9月30日結束的三個月
普通股股本資本公積金累計其他綜合收益（損失）保留收益（赤字）股東權益總計
2023年6月30日股東權益$249 $476,127 $(6,565)$(237,135)$232,676 
分紅派息支出
$— $— $— $(7,987)$(7,987)
股票報酬$— $447 $— $— $447 
對於RMBS和CMBS的未實現收益（損失）$— $— $(1,607)$— $(1,607)
凈利潤（損失）$— $— $— $8,273 $8,273 
截至2023年9月30日的股東權益$249 $476,574 $(8,172)$(236,849)$231,802 

















附註是簡明合併基本報表的一個重要部分。

4

天使橡樹抵押貸款房地產投資信託公司。
未經審計的股東權益簡明合併財務報表
（以千為單位）

2024年9月30日結束的九個月
普通股股本資本公積金累計其他綜合收益（損失）保留收益（赤字）股東權益總計
2023年12月31日股東權益$249 $477,068 $(4,975)$(216,236)$256,106 
普通股發行，扣除費用後的金額$2 $2,250 $— $— $2,252 
回購普通股股份$(17)$(19,933)$— $— $(19,950)
分紅派息支出
$— $— $— $(23,514)$(23,514)
非現金股本酬勞$— $1,864 $— $— $1,864 
對於RMBS和CMBS的未實現收益（損失）$— $— $4,534 $— $4,534 
凈利潤（損失）$— $— $— $43,806 $43,806 
截至2024年9月30日的股東權益
$234 $461,249 $(441)$(195,944)$265,098 


2023年9月30日結束的九個月
普通股股本資本公積金累計其他綜合收益（損失）保留收益（赤字）股東權益總計
2022年12月31日股東權益$249 $475,379 $(21,127)$(218,022)236,479 
分紅派息支出
— — — (23,942)(23,942)
非現金股本酬勞— 1,195 — — $1,195 
對於RMBS和CMBS的未實現收益（損失）— — 12,955 — 12,955 
凈利潤（損失）— — — $5,115 5,115 
截至2023年9月30日的股東權益$249 $476,574 $(8,172)$(236,849)$231,802 
附註是簡明合併基本報表的一個重要部分。

5

天使橡樹抵押貸款房地產投資信託公司。
簡明合併現金流量量表
(未經查核)
（以千為單位）



九個月結束了
2024年9月30日2023年9月30日
營運活動現金流量
凈利潤（損失）$43,806 $5,115 
調整以調和淨（虧損）收益為經營活動所用現金：
按貸款、衍生合約、RMBS和CMBS計算的淨實現收益（損失）14,527 27,056 
按交易證券、按公平值計量的債務部分、按公允價值選擇的資產、和衍生工具計算的淨未實現收益（損失）(48,514)(27,868)
債務發行成本攤銷246 1,040 
按揭貸款優惠和折扣的淨攤銷1,989 2,199 
非追索證券化負債折價的增值3,455 1,251 
美國國庫券折扣的增值(548)(1,201)
非現金股本酬勞1,864 1,195 
淨變動：
從附屬公司購買住房按揭貸款(182,200)(89,673)
從非附屬公司購買住房按揭貸款(243,634)(5,469)
居住房屋抵押貸款的出售3,118 — 
將居住房屋抵押貸款出售給附屬證券化信託66,107 313,438 
居住房屋抵押貸款的本金支付15,475 30,950 
證券化信託中居住房屋抵押貸款的本金支付122,311 74,179 
來自利率期貨合約和TBAs的利差收入4,618 12,602 
居住房屋抵押貸款的應收本金和利息868 12,806 
其他資產(1,461)(716)
支付給聯屬公司的管理費(1,367)(512)
應計費用1,015 (528)
應付關聯公司的應計費用(91)(1,021)
應付所得稅1,544 781 
應付利息492 (1,880)
經營活動提供的淨現金(196,380)353,744 
附註是簡明合併基本報表的一個重要部分。

6

天使橡樹抵押貸款房地產投資信託公司。
簡明合併現金流量量表
(未經查核)
（以千為單位）

九個月結束了
2024年9月30日2023年9月30日
投資活動現金流量
購買債券投資，供出售(5,733)(1,006,023)
購買債券投資，交易(935,573)(853,934)
出售債券投資，供出售— 1,006,196 
出售債券投資，交易927,047 832,542 
購買美國國庫證券投資(349,595)(848,617)
對多數擁有的聯屬企業進行投資(2,253)(14,657)
RMBS和CMBS證券的本金支付2,122 816 
美國國庫證券到期450,000 700,000 
將商業按揭貸款出售給第三方— 4,326 
商業按揭貸款的本金支付25 26 
投資活動之淨現金流入（流出）86,040 (179,325)
融資活動之現金流量淨額
普通股股東所得之股息支付(23,514)(23,942)
回購普通股(19,950)— 
普通股發行所得款淨額扣除費用2,252 — 
證券化所得款274,793 — 
無追索證券化債務還本(122,070)(74,179)
支付債券發行成本的現金(1,013)— 
無追索證券化債務所得款— 233,319 
（回購）按協議賣出的證券淨收入
(90,780)135,557 
發行優先票據所得淨額48,425 — 
應付票據款項所得淨額42,432 (442,073)
經營活動提供的淨現金流入（流出）110,575 (171,318)
現金、現金等價物和受限現金的變動235 3,101 
現金、現金等價物和受限現金，期初
44,496 39,861 
現金、現金等價物和受限現金，期末
$44,731 $42,962 
現金流資訊的補充性披露
本期支付之利息現金$46,386 $48,862 


附註是簡明合併基本報表的一個重要部分。

7

天使橡樹抵押房地產信託股份有限公司。
簡明合併財務報表注釋
(未經查核)



1.    組織和報告基礎
Angel Oak Mortgage房地產業信託公司（連同其附屬公司“公司”、“我們”或“我們的”）是一家專注於在美國房屋貸款市場中收購和投資首位貸款非合格居住房屋抵押貸款（“non-QM”）和其他與抵押貸款相關資產的房地產金融公司。公司的策略是主要在新發放的首位非合格居住房屋抵押貸款中進行具信用敏感性的投資，這些貸款主要提供給高品質的非合格居住房屋抵押貸款借款人，並主要來自其聯屬公司Angel Oak Mortgage Solutions LLC的專有抵押貸款平台（連同其他非營運的附屬原始債權人“Angel Oak Mortgage Lending”），該平台目前主要透過批發管道運作，並擁有全國性的發放範圍。該公司還可能投資其他居住抵押貸款、居住抵押支持證券（“RMBS”）和其他與抵押貸款相關資產。公司的目標是為股東獲取具吸引力的風險調整回報，透過現金分配和資本升值，跨越利率和信貸周期。
本公司是一家馬里蘭州的公司，成立於2018年3月20日。該公司通過將其部分資產投資於其全資擁有的應課稅REIT附屬公司Angel Oak Mortgage REIT TRS，於2018年3月21日成立，實現其某些投資目標；該附屬公司投資其資產於Angel Oak Mortgage基金TRS，於2018年6月15日成立的一家特許信託。

營運合作夥伴
公司於2020年2月5日成立了安吉爾橡樹抵押貸款業務合夥企業有限合夥（“業務合夥”）。通過該合夥企業，公司實質上持有了其所有資產，並實質上進行了其所有營運，無論是直接還是通過子公司。公司持有業務合夥的所有有限合夥權益，並透過總合夥人控股公司間接持有業務合夥的唯一總合夥人權益，而該總合夥人即為公司的全資附屬公司。

公司經理和REIT狀態

公司由Falcons I, LLC（以下簡稱“管理者”）外部管理和顧問，管理者是一家獲證券交易委員會註冊的投資顧問，為Angel Oak Capital Advisors, LLC（以下簡稱“Angel Oak Capital”）的聯屬公司。公司已選擇按照1986年修訂的《內部稅收法典》（以下簡稱“法典”）選擇以股權房地產投資信托（以下簡稱“REIT”）的身份為其於2019年12月31日結束的課稅年度納稅。

中期基本報表
隨附的未經審核的簡明綜合基本報表已按照擬定的第10-01條款的指引來編製中期基本報表。因此，它們不包含美國通用會計準則（GAAP）所要求的所有資訊和附註，以供完整的基本報表使用。這些未經審核的簡明綜合基本報表及相關附註應當與截至2023年12月31日的年度合併基本報表及相關附註一併閱讀，這些內容已包含在截至2023年12月31日的公司第10-K年度報告（即“第10-K年度報告”）中。

根據管理層意見，隨附的簡明綜合基本報表包含所有調整事項，包括正常遞延調整，以便公正陳述所呈現的中期結果。這樣的營運結果可能不代表其他中期或整個年度的預期結果。簡明綜合基本報表包括公司及其全資附屬公司的帳戶。所有重要的公司內部結餘和交易在合併財務報表中已經被消除。

估計的使用
準備財務報表需要本公司作出一些重要估計。其中包括對某些資產和負債的公平價值的估計、信貸損失的金額和時間、預付率以及影響截至簡明合併財務報表日期之某些資產和負債的報告金額，以及報告期間內部分收入和支出的報告金額的其他估計。這些估計的變化很可能（例如，由於輸入和基礎假設而導致的公平價值變化，如註 9 所述 — 公平價值評估，信貸表現，預付款，利率或其他原因）將在短期內發生。本公司的估計本質上是主觀的，實際結果可能與公司的估計不同，差異可能是重大的。

8

天使橡樹抵押房地產信託股份有限公司。
簡明合併財務報表注釋
(未經查核)



重新分類

為了與當前期間的呈現一致性，已重新歸類了簡明綜合財務報表中某些比較期數額。這些重新分類對已公佈的營運結果沒有影響。具體而言，截至2023年9月30日的九個月總數的簡明綜合現金流量表中先前列為來自營運活動的現金流量的某些現金流已重新歸類為作為對多數子公司的投資購買的投資現金流。
最近會計宣告
公司考慮所有會計準則更新（ASUs）的適用性和影響。最近沒有預期將對公司簡明綜合財務報表產生重大影響的ASUs，當採納時，或者在採納時對公司簡明綜合財務報表產生重大影響。
重要會計政策摘要

公司在其年度10-k表格中列明的重要會計政策摘要保持不變。
2.    變量利益實體
公司自成立以來，已利用變量興趣實體（“VIEs”）來將整個按揭貸款證券化，以獲得長期無追索融資。公司評估其對每個VIE的利益，以判斷是否為主要受益人。

公司是主要受益人的VIEs

公司參與證券化交易，決定公司有權指導對影響VIE經濟績效最為重要的活動。公司是唯一向這些證券化工具貢獻住宅整體按揭貸款的實體。

公司作為主要受益人持有的VIE的有利利益是資產證券化的次級債券，以及對額外的僅利息債券的進一步利益。 以下表格概括了公司作為主要受益人的貸款證券化交易的關鍵細節，截至2024年9月30日和2023年12月31日當前未清償的金額：

截至日期：2024年9月30日2023年12月31日
（以千為單位的美元）
購售的住宅整購未償還本金餘額$1,512,722 $1,334,963 
證券化信託中住宅抵押貸款的公平價值調整
(59,815)(113,896)
以公平價值評估的證券化信託中的住宅抵押貸款
$1,452,907 $1,221,067 
無追訴權證券化債務的未償餘額，按攤銷成本計量$1,376,244 $1,220,067 
對非擔保證券化債務部分進行公允價值調整，選擇公允價值選項(22,486)(50,912)
非擔保證券化債務，以放款信託公司的住宅按揭貸款作為抵押$1,353,758 $1,169,155 
非擔保證券化債務發行的加權平均固定利率3.51 %2.91 %
截至日期：
2024年9月30日2023年12月31日
（以千元為單位）
住宅整批貸款出售的未償還本金餘額，交易日期交易日
$2,010,214 $1,710,381 
可交易日由可變利實體發行並由第三方投資者購買的不可追索證券化義務的面額
1,893,847 1,619,051 
公司在交易日接收的高級支持證明書面額116,367 91,330 
在交易日收到的總現金233,835 194,746 

9

天使橡樹抵押房地產信託股份有限公司。
簡明合併財務報表注釋
(未經查核)




在截至2024年9月30日的三個月內，該公司未就其為主要受益人的任何證券化交易，在我們的綜合資產負債表上發行並保留債券。274.8 在截至2024年9月30日的九個月內，該公司及其附屬機構發行並出售了面值為$的債券，對第三方投資者的收入為$274.8 在扣除發行成本和應計利息之前。出售的債券包括在該公司的簡明綜合資產負債表中的“非追索權證券化義務，由證券化信託中的住宅抵押貸款做擔保”。

截至2024年9月30日和2023年12月31日，由於上述交易，資產負債表中包含了大約$資產的資產證券化貸款。1.5十數億美元1.3億美元的資產分別包含在公司的簡明綜合賬冊的“證券信託中的住宅抵押貸款”中，截至2024年9月30日和2023年12月31日。截至2024年9月30日和2023年12月31日，已被合併VIE發行的出售債券的總攜帶價值分別為$億美元。這些出售債券被披露為公司的簡明綜合賬冊中“以資產證券化信託中的住宅抵押貸款作為抵押品的無追索權資產證券化負債”。1.4十數億美元1.2資產的持有者無權向公司提供一切明確或隱含的壓力位。

公司得出結論，為促進貸款證券化交易而成立的實體屬於可變利益實體（VIEs）。公司對促進證券化交易而成立的每個VIE是否應合併列入公司進行了分析，其考慮了公司在每個VIE中的參與情況，以及其參與是否反映出對每個VIE的控制財務利益，導致公司被視為每個VIE的主要受益人。在決定公司是否被視為主要受益人時，評估了以下因素：

• 　　公司是否具有指引對VIE經濟表現產生最大影響的活動的權力？
•     公司是否有權利接受可以對VIE具有潛在重大影響的實體的利益或承擔損失。

根據對上述因素的評估，包括公司參與實體目的和設計，在必須合併每個為促成貸款證券化交易而建立的可變利實體的情況下，公司確定需合併該等實體。

對於公司而言，非主要受益人的VIEs

本公司與其他透過Angel Oak Capital管理的附屬機構及實體共同贊助或參與成立了被視為VIE的各種實體。這些VIE的成立是為了促進以擔保的住宅全貸及/或小額商業貸款作為資產貢獻的證券化發行，並將其納入證券化信託中。

這些證券是由於未合併證券化而發行，公司保留了由非公司控制的存款人發行的證券化發行的債券。公司確定當時和現在都不是這些證券化實體的主要受益人，因此未合併這些實體的經營結果或財務狀況。自成立以來，公司對公司參與的所有VIE持續進行重新評估，以確定與VIE的相關事實和情況是否會導致公司的合併結論發生變化，並且公司對這些VIE的評估保持不變。

我們無法成為首要受益人的證券證券化交易中收到的證券被歸類為“可供出售”，並包含在2024年9月30日和2023年12月31日的簡明合併資產負債表中的“RMBS - 按公允值計量”和“其他資產”，證券的會計處理和公允價值方法的細節可在附註9中找到。 Fair Value Measurements另見附註4。 投資證券關於公司持有的AOMt證券的公允價值，請參見附註13。 其他資產有關公司保留的多數關聯公司（“MOAs”）投資，作為這些證券化交易的結果，截至2024年9月30日和2023年12月31日。











10

天使橡樹抵押房地產信託股份有限公司。
簡明合併財務報表注釋
(未經查核)




3.    住宅抵押貸款

住宅抵押貸款以公允價值計量。 下表列出了截至2024年9月30日和2023年12月31日，公司住宅抵押貸款投資組合的成本、未償還本金餘額、購買的抵押貸款淨溢價、公允價值、加權平均利率以及加權平均剩餘合約到期年期。
2024年9月30日2023年12月31日
（以千元為單位）
成本$421,944 $393,443 
未償還本金餘額$411,468 $386,872 
購買抵押貸款的溢價10,476 6,571 
公允價值的變化6,965 (13,403)
公允價值$428,909 $380,040 
加權平均利率7.73 %6.78 %
加權平均剩餘合約到期期限（年）
3029

有時候，某些融資機構合作夥伴可能需要各種形式的保證金維護。參見附註 5 — 融資.

以下表格顯示了截至2024年9月30日和2023年12月31日的數據，涉及過去九十（90）天或更久未償還的消費者抵押貸款數量，以及正式處於強制執行程序中的抵押貸款數量，以及這些貸款的記錄投資和未償還本金餘額。

截至日期：2024年9月30日2023年12月31日
（以千元為單位）
逾期90天或以上的抵押貸款數量5 7
逾期90天或以上的抵押貸款的投資記錄$2,174 $5,754 
逾期90天或以上的貸款未償還本金餘額$2,142 $5,681 
處於被執行抵押的抵押貸款數量1 2
已記錄投資於處於強制執行的抵押貸款$569 $1,956 
處於強制執行的貸款未償還本金餘額$551 $1,889 

4.    投資證券
截至2024年9月30日，投資證券主要包括：(i) 非機構RMBS（“AOMt RMBS”）和 (ii) Freddie Mac和Fannie Mae整體組合機關RMBS（“整體組合機關RMBS”，與AOMt RMBS一起為“RMBS”）以及(iii) 美國國庫券。截至2024年9月30日，公司持有的美國國庫券於2024年10月3日到期。
以下表格列出了截至2024年9月30日和2023年12月31日的RMBS成本摘要：
二零二四年九月三十日二零三年十二月三十一日
(以千計)
澳門理財團法人理財$88,998 $84,957 
全池代理 RMBS$194,697 $391,964 


11

天使橡樹抵押房地產信託股份有限公司。
簡明合併財務報表注釋
(未經查核)



以下表格列示了截至2024年9月30日和2023年12月31日公司對RMBS的公允價值投資相關信息：
按公允價值衡量之房地產業證券擔保回購出售之證券已分配資本
2024年9月30日:（以千為單位）
AOMt RMBS (1)
次級債券$13,463 $(5,292)$8,171 
次債62,223 (20,175)42,048 
僅限利息/過剩13,055 — 13,055 
在VIE中保留的RMBS (2)
— (27,697)(27,697)
總AOMt RMBS$88,741 $(53,164)$35,577 
整個池塘機構RMBS (3)
房利美$158,040 $— $158,040 
房地美36,324 — 36,324 
總機構整個池塘RMBS
$194,364 $— $194,364 
總RMBS
$283,105 $(53,164)$229,941 

(1) 截至2024年9月30日，AOMt RMBS持有的資產包括公司參與的AOMt證券化的保留級別及在二級市場交易中購買的附加AOMt證券。
(2)     一部分回購債務包括針對自保留債券的借款，這些債券是從資產負債表上證券化獲得的（即，合併的變利實體）。這些債券的公允價值為$143.5百萬，未在簡明合併資產負債表中反映，因為公司在其合併資產負債表中反映了變利實體的資產（證券化信託中的住宅抵押貸款-按公允價值計量）。
(3)     截至2024年9月30日，整個RMBS資產組合是從一家經紀人處購買的，該公司約欠該經紀人$195百萬，於交易結算日期支付。請參見第6條 - 由於經紀人。截至2024年9月30日，並不需要任何保證金擔保。
2023年12月31日按公允價值衡量之房地產業證券擔保回購出售之證券已分配資本
（以千為單位)
AOMt RMBS (1)
次級債券$10,972 $(844)$10,128 
次債55,665 (19,812)35,853 
僅限利息/過剩13,059 (1,871)11,188 
在VIE中保留的RMBS (2)
— (22,116)(22,116)
總AOMt RMBS$79,696 $(44,643)$35,053 
整個Pool Agency RMBS (3)
房利美$278,510 $— $278,510 
房地美113,852 — 113,852 
總機構整個池塘RMBS
$392,362 $— $392,362 
總RMBS$472,058 $(44,643)$427,415 
(1) 截至2023年12月31日，AOMt RMBS持有包括公司參與的保留層次的AOMt證券化，以及在次級市場交易中購買的額外AOMt證券。
12

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)



(2)    一部分回購債務包括針對自保留債券的借款，這些債券是從資產負債表上證券化獲得的（即，合併的變利實體）。這些債券的公允價值為$124.1 而且，價值4000萬美元的資產未反映在精簡綜合資產負債表上，因為公司在其合併資產負債表上反映VIE的資產（證券化信託中的住房抵押貸款-按公平值）。
(3)     截至2023年12月31日，整個池的RMBS是從一位公司大約欠款$的經紀人手中購買的。392百萬，於交易結算日期支付。請參見第6條 - 由於經紀人.
下表列出了截至2024年9月30日和2023年12月31日該公司在美國國債中的投資相關資訊：
日期面值尚未攤銷的折扣，淨額攤銷成本
未實現的收益/(損失)
公允價值淨有效收益率
（以千美元計）
2024年9月30日$50,000 $16 $49,984 $(13)$49,971 3.89 %
2023年12月31日$150,000 $159 $149,841 $86 $149,927 5.30 %

5.    融資
應付票據
本公司能夠利用各交易對手提供的信貸額（應付票據）來融資住宅和商業全額貸款，如下文進一步說明。未償還貸款的利率依據貸款對手、抵押的抵押品和每個利息期有效利率而定，因為在每個利息期結束時，相同利率可能會不時變動。部分協議包括預付費用、未使用餘額的費用、契約和抵押抵押品類型的集中限額，這些費用因對手而異。有時，貸款人可能會要求將某些保證金抵押品存放在倉庫信用額度上。有 沒有 截至二零二四年九月三十日或二零二三年十二月三十一日所需的保證金抵押
下表列出了截至2024年9月30日和2023年12月31日，公司的應付票據及整體貸款購買的提款金額的詳細信息：
利息
利率定價
漲幅		提款金額
應付票據基準利率2024年9月30日2023年12月31日
（以千美元計）
跨國銀行 1 (1)
每日平均SOFR
1.75% - 2.10%
$292,060 $206,183 
全球貨幣投資銀行 2 (2)
1個月期SOFR
2.10% - 3.45%
— — 
全球貨幣投資銀行 3 (3)
compound SOFR
2.00% - 4.50%
40,982 84,427 
機構投資者A和B (4)
1個月期限SOFR3.50%N/A— 
區域型銀行1 (5)
1個月SOFR
2.50% - 3.50%
N/A— 
總計$333,042 $290,610 
(1)     根據協議的條款，這項融資設施於2024年9月25日延長至2025年3月25日，並預期 六個月 續約。
(2) 在2024年3月28日，修訂及重述的主回購協議被終止，並以新的$250百萬主回購協議取而代之，該協議的終止日期為2026年3月27日。於2024年10月25日，該設施被修訂，將利率定價區間降低至 1.75的某個百分比至 3.35%，根據貸款狀態、居留時間及其他因素。在此次延期之前，利率定價區間為 2.10的某個百分比至 3.35%（見附註16 — 隨後的事件).
(3)     在2024年11月1日，該設施被修訂為(i) 將利率定價區間降低至 1.90的某個百分比至 4.75%，根據貸款狀態、居住時間和其他因素，(ii) 消除 20 個基點的指數區間調整，以及(iii) 將該設施的終止日期延長至2025年11月1日。(見第16條—— 隨後的事件).
(4) 這些主要的回購協議根據其條款於2023年1月4日到期。
(5) 此協議根據條款已於2023年3月16日到期。


13

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)






下表列出了截至2024年9月30日，各個融資項目的總未使用借款額度：
應付票據借款額度餘額未清償可用融資
（以千為單位)
跨國銀行 1
$600,000 $292,060 $307,940 
全球投資銀行 2
250,000 — 250,000 
全球投資銀行 3
200,000 40,982 159,018 
總計$1,050,000 $333,042 $716,958 

雖然這些信貸額度的融資未受限制，但公司未使用的借款額度只要具備符合抵押條件並符合適用協議中設定的其他借款條件，即可使用。

優先無擔保票據

在2024年7月25日，公司完成了一項承銷的公開發售及銷售，並發行了$50 百萬美元的總本金額的 9.500% 總計票據，到期日為2029年（以下簡稱“票據”）。 9.500票據的年利率為%每年，並將於每年1月30日、4月30日、7月30日和10月30日追溯支付，每年的首次支付將於2024年10月30日進行。票據將於2029年7月30日到期，除非公司提前贖回或回購，且以攤銷成本持有。從承銷折扣和其他債務發行成本中扣除後，公司獲得的淨收益約為$47.5 百萬元。

公司可以全部或部分贖回這些票據，時間為2026年7月30日或之後，贖回價格為 100贖回的票據本金的百分比，加上截至贖回日期，但不包括贖回日期的應計及未支付利息。當發生與公司控制權變更有關的某些事件時，公司必須提出回購所有未償還票據的要約，現金價格為 101票據的本金的百分比，加上截至回購日期，但不包括回購日期的應計及未支付利息。.

這些票據在高級無擔保的基礎上，完全且無條件地由營運合夥企業擔保，包括股份的本金、若有的溢價以及票據的利息的到期和按時支付，不論是在約定到期日、加速、贖回要求或其他情況下。

到2024年9月30日為止，這些票據的未償本金金額為$50 百萬美元，票息債款應付款項為$0.9百萬美元。到2024年9月30日，未攤銷的遞延債券發行成本為$1.5 百萬美元，淨利息費用為$1.0 百萬美元。未攤銷的遞延債券發行成本將在到期日之前分期攤銷，最遲不得遲於2029年7月30日。

6.    由於經紀人
截至2024年9月30日及2023年12月31日的壓縮合併資產負債表上的“由經紀商提供”賬戶，金額為$195 百萬美元和$392百萬與在2024年和2023年第三及第四季度的季末購買整個池代理RMBS有關。購買按交易日基礎計算，並且有時在會計期間中，交易日與交易結算日之間可能存在時間差。這些購買的交易日早於適用的季末日期。這些交易分別於2024年10月15日和2024年1月16日結算，屆時這些資產同時被出售。
這些全池代辦RMBS的購買交易在結算前將不列入現金流量彙總財務報表中。
7.    擔保回購出售之證券
根據回購協議出售的證券交易被視為有擔保的金融交易，並按其約定的回購金額記錄。依據回購協議出售的證券所需的保證金代表為確保公司在價格不利變動的情況下對回購證券有足夠的保障而持有的保證金擔保金額。根據回購協議出售的證券的保證金擔保金的限制現金為 $0.3百萬 2024年9月30日和2023年12月31日。

14

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)



以下表格概述了截至2024年9月30日和2023年12月31日的公司回購協議的某些特徵：
2024年9月30日
參見附註12-回購協議，公司已分別於2024年6月30日和2023年12月31日，將持有名義價值為10億美元和20億美元的可供出售金融資產作為回購協議的抵押品。未清償金額加權平均利率加權平均剩餘到期日（天數）
（以千美元計）
美國國庫券$49,712 4.90 %3
AOMt RMBS (1)
53,164 6.35 %18
總計$102,876 5.65 %11
2023年12月31日
參見附註12-回購協議，公司已分別於2024年6月30日和2023年12月31日，將持有名義價值為10億美元和20億美元的可供出售金融資產作為回購協議的抵押品。未清償金額加權平均利率加權平均剩餘到期日（天數）
美國國庫券
$149,013 5.57 %10
AOMt RMBS (1)
44,643 7.04 %16
總計$193,656 5.91 %11

(1) 截至2024年9月30日和2023年12月31日的回購債務中，部分包括從資產負債表證券化（即合併VIEs）所收到的保留債券抵押借款。請參見附註4 - 投資證券。
儘管回購協議下的交易直到到期都代表承諾借款，但貸方保留將擔保品按公平價值標記的權利。擔資產價值下降將要求公司提供額外擔保品或資金補足追加保證金。

8.    衍生金融工具
在正常的業務過程中，公司會進行衍生金融工具的交易，以管理其對市場風險的曝險，包括對於整筆貸款投資的利率風險和提前還款風險。公司投資的衍生工具以及經濟避險所旨在減輕的市場風險在下文中將進一步討論。截至2024年9月30日和2023年12月31日的衍生工具包括待公告（“TBA”）證券和利率期貨合約。與利率期貨的保證金抵押有關的受限制現金，截至2024年9月30日和2023年12月31日均包含$2.3百萬和$2.5百萬美元，分別為。 no 截至2024年9月30日或2023年12月31日，所需的TBA保證金抵押為。對於截至2024年9月30日的三個月和九個月，我們確認了與我們的TBA收入相關的所得稅費用及相應的負債。

公司使用利率期貨作為經濟避險工具，以對其利率風險敞口進行避險。利率風險受許多因素影響，包括政府貨幣和稅收政策、國內和國際經濟及政治考量，以及其他因素。公司關於經濟避險的信用風險是由於借款人或交易對手無法或不願履行合約要求支付所導致的投資違約風險。

公司有時可能持有TBA，以減輕其在某些指定按揭支持證券的利率風險。該公司欠付或應付的金額或義務受到與TBA交易對手的相互抵銷權利的約束。作為執行這些交易的一部分，公司可與其TBA對手簽訂協議，規定了TBA購買或出售交易的事項，包括保證金維持、支付與轉讓、違約事件、結算以及其他相關條款。

用於保護抵押擔保證券公允價值波動的衍生品價值變化，或經濟對沖的收益和損失，反映在下方的表格中。所有衍生合約的實現和未實現的收益和損失都計入收益，在「抵押貸款、衍生合約、房地產抵押貸款支持證券(RMBS)和商業抵押貸款支持證券(CMBS)的淨實現收益（損失）」中對於實現的收益和損失，以及在「交易證券、抵押貸款、公允價值選擇下的部分債務和衍生合約的淨未實現收益（損失）」中對於未實現的收益和損失。

公司認為根據主要基礎風險分類的名目金額代表其衍生品活動的成交量。
15

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)



以下表格列出了2024年9月30日和2023年12月31日的資產負債表上呈報的衍生工具及名義金額：
名義金額
截至日期：非指定為避險工具的衍生工具合約數量資產負債多頭曝險空頭曝險
（以千美元計）
2024年9月30日利率期貨2,404$1,392 $— $— $240,400 
2024年9月30日TBAN/A$259 $— $— $203,400 
2023年12月31日利率期貨1,489$— $840 $— $148,900 
2023年12月31日TBAN/A$— $494 $— $386,700 
這些衍生工具在截至2024年9月30日和2023年9月30日的三個月和九個月綜合損益簡明綜合報表中的收益和損失如下所示：

非指定為避險工具的衍生工具衍生工具的淨實現收益（虧損）衍生工具的未實現升值（折舊）的淨變動
（以千為單位)
截至2024年9月30日的三個月利率期貨$(4,461)$1,184 
截至2024年9月30日的三個月TBA$3,115 $(1,235)
截至2023年9月30日的三個月利率期貨$2,828 $(364)
截至2023年9月30日的三個月TBA$7,421 $4,927 

未指定為對沖工具的衍生工具衍生工具實現收益（虧損）淨額衍生工具未實現增值（折舊）淨變動
(以千計)
截至二零二四年九月三十日止九個月利率期貨$(622)$2,232 
截至二零二四年九月三十日止九個月交易平衡$5,238 $753 
截至二零二三年九月三十日止九個月利率期貨$8,599 $(2,416)
截至二零二三年九月三十日止九個月交易平衡$4,900 $(5,379)


9.    Fair Value Measurements
為了財務報告的目的，我們遵循在GAAP下建立的公允價值層級，該層級用於判斷金融工具的公允價值。此層級優先考慮相關市場輸入，以判斷在計量日的「退出價格」，或者一項資產可以出售或一項負債可以轉移的價格，該過程是有序的，而不是強制清算或困境銷售。第1級輸入是可觀察的輸入，反映出在活躍市場中相同資產或負債的報價。第2級輸入是除了資產或負債的報價外，通過與可觀察市場數據的驗證獲得的可觀察輸入。第3級輸入是不可觀察的輸入（例如，我們自己的數據或假設），當資產或負債所需的相關市場活動幾乎不存在時使用，這些資產或負債需要以公允價值進行衡量。

在某些情況下，用於測量公平價值的輸入將屬於公平價值層次結構的不同級別。在這種情況下，公平價值測量所處級別是基於對於公平價值測量具有重要意義的最低級別輸入來確定的。對於特定資產或負債的重要性的評估需要判斷並考慮與該資產或負債有關的特定因素。

截至2024年9月30日，我們的估值政策和程序與年結日為2023年12月31日的基本報表所述的相同，該報表包含在10-K表格中的年度報告中。附註10中包含了其他金融工具的詳細描述 Fair Value Measurements 在截至2023年12月31日的年度基本報表中包括在10-K表格中的【其他】金融工具以公平價值計量及其重要輸入項，以及根據1級、2級和3級估值層次分類這些工具的一般描述。
16

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)




現金、受限現金、應收本金和利息、其他資產（不包括對MOA的投資）、應付票據、根據回購協議出售的證券、應付經紀人的金額和應計費用（包括應付給關聯方的費用和應付給關聯方的管理費）及應付利息的公允價值由於這些資產和負債的性質，與其賬面價值大致相當。
公司在其他資產（參見附註13）中包括對多數持股聯屬公司的投資。 其他資產部分「由住宅按揭貸款抵押支持的不可追索化資訊債務」以攤銷成本持有。這些資產和負債的公允價值將在下文標題為「以攤銷成本持有的資產和負債-公允價值披露」的部分進一步披露。以攤銷成本持有的資產和負債-公允價值披露”.

下表列出截至2024年9月30日，公司以公允價值計量的財務資產和負債的相關信息：
第1級第2級Level 3總計
（以千為單位)
資產，按公平價值
住宅按揭貸款$— $426,501 $2,408 $428,909 
住房按揭貸款在證券化信託中— 1,425,632 27,275 1,452,907 
證券投資
AOMt RMBS (1)
— 88,741 — 88,741 
整個池塘機構RMBS— 194,364 — 194,364 
美國國債
49,971 — — 49,971 
其他資產，按公平價值 (2)
— 11,178 — 11,178 
期貨合約的未實現增值
1,392 — — 1,392 
TBAs的未實現增值
259 — — 259 
總資產，按公平價值$51,622 $2,146,416 $29,683 $2,227,721 
負債，按公允價值計算
非追索權證券化義務，以住宅按揭貸款作抵押 (3)
$— $1,289,236 $— $1,289,236 
總負債，按公允價值計算$— $1,289,236 $— $1,289,236 
(1) 截至2024年9月30日，AOMt RMBS持有的包括公司參與的AOMt證券化的留存債券、在二級市場交易購買的額外AOMt證券和其他在二級市場交易購買的RMBS。

(2) 包含商業貸款和AOMt商業抵押貸款擔保證券（“CMBS”）資產。截止至2024年9月30日，所有AOMt CMBS均由公司參與的小額商業貸款證券化發行組成。

(3)     僅上述經過公允價值測量調整的部分被呈現。請參見下方獲得公允價值的全額債務披露。

從二級轉移到三級的轉移，是由於房屋貸款逾期超過90天（包括處於強制執行中的貸款）。不同級別之間的轉移被認為發生在轉移已經發生的報告期的第一天。這些轉移不具重要性。

我們使用第三方評估公司，他們運用專有的方法來對我們的住宅和商業貸款進行估值。這些公司通常同時使用市場可比資訊和折現現金流建模技術來判斷我們Level 3資產的公平價值。使用這些技術需要判斷相關的輸入和假設，其中一些代表顯著不可觀察的輸入，例如預期信用損失、預付率、違約率或其他估值假設。因此，這些輸入中任何一個的顯著增加或減少可能導致更低或更高的公平價值衡量。

17

天使橡樹抵押房地產信託股份有限公司。
簡明綜合財務報表附註
(未經審計)



下表列出了截至2024年9月30日公司重要的第3層級投入的相關信息：

輸入值
資產公允價值不可觀察的輸入區間平均值
（以千美元計）
住宅抵押貸款，按公允價值計算$2,408 提前還款率（年CPR）
5.28% - 19.36%
12.27%
違約率
7.62% - 35.41%
19.02%
損失嚴重性
—% - 17.08%
9.46%
預期剩餘壽命
0.67 - 4.28 年
2.44 年
證券化信託中的住宅抵押貸款，按公允價值計算$27,275 提前還款率（年CPR）
4.01% - 15.67%
10.63%
違約率
6.98% - 28.33%
17.42%
損失嚴重性
(22.22)% - 60.81%
1.37%
預期剩餘壽命
1.33 - 5.86 年
2.66 年
以攤銷成本持有的資產和負債 — 公允價值披露

非追索權證券化義務的部分，抵押於住宅按揭貸款——以攤銷成本持有

為了判斷公司的非追索證券化負債的公允價值，抵押品為住宅按揭貸款，扣除持有成本，公司使用與年度10-K表格中描述的評價方法相同的方法，附註10。 公允價值 測量 無論已公佈公允價值的負債部分還是持有成本的負債部分，公司都使用相同的方法進行評估。

截至2024年9月30日，我們的無追索權證券化債務的總攤銷成本基礎和公允價值分別為$1.38十數億美元1.29十億，分別相差約$87.0百萬（其中包括AOMt 2022-1、AOMt 2022-4、AOMt 2023-4和AOMt 2024-4，這些債務已按照公允價值標記; 以及AOMt 2021-4和AOMt 2021-7，這些債務根據攤銷成本記載，因為在創建這些債務時並未選擇公允價值選項）。僅歸因於AOMt 2021-4和2021-7的攤銷成本與公允價值之間的差額約為$64.5百萬。攤銷成本基礎價值和公允價值之間的差異來自於基礎債券期末市場定價和債務攤銷成本之間的差額，如上所述。無追索權證券化債務的公允價值並不能反映我們可能偿还该债务的金额。

截至2023年12月31日，我們非迴圈證券化債務的攤銷成本基礎和公平價值分別為$1.24十數億美元1.09十億美元，相差約$156.4百萬美元（其中包括AOMt 2022-1、AOMt 2022-4和AOMt 2023-4，這些被標記為公平價值；以及AOMt 2021-4和AOMt 2021-7，在創建這些債務時未選擇公平價值選項，因此尚在攤銷成本）。僅歸因於AOMt 2021-4和2021-7的公平價值比攤銷成本少約$81.9百萬美元。攤銷成本基礎價值和公平價值之間的差異來自於基礎債券的期末市場定價與債務的攤銷成本之間的差異，如上所述。非迴圈證券化債務的公平價值並不代表我們可以解決這些債務的金額。

對主要附屬公司的投資

為了判斷公司對多數持有聯屬公司的投資的公允價值，這些投資以攤銷成本持有且列入“其他資產”，公司使用投資中底層債券的價格來確定公平價值。公司利用美國銀行獨立的固收定價服務PriceServe 作為這些債券的主要估值來源。PriceServe 從實際銷售或相同或類似證券銷售的報價中獲取其價格報價，並提供從最近市場活動中衍生的輸入，包括違約率、有條件預付率、損失嚴重性、預期到期收益率、基準折讓率/收益率、回收假設、壓級類型、抵押券息票、齡期和貸款規模，以及其他針對每個證券的特定輸入。我們相信這些報價最符合當權利證於簡明合併財務報表日期賣給獨立第三方時所達成的價格。
截至2024年9月30日，這項投資的攤銷成本和公允價值約為$18.7百萬和$17.0百萬美元，分別為。這些投資截至2023年12月31日的攤銷成本和公允價值約為$16.2百萬和$16.7分別為。
18

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)



下表提供了截至2023年12月31日公司按公允價值計量的金融資產和負債的信息：
一級二級三級總計
(以千爲單位)
資產，按公允價值計算
住房抵押貸款$— $374,004 $6,036 $380,040 
證券化信託中的住宅抵押貸款— 1,207,804 13,263 1,221,067 
證券投資
AOMt RMBS (1)
— 79,696 — 79,696 
整體池代理RMBS— 392,362 — 392,362 
美國國債證券。
149,927 — — 149,927 
其他資產，按公允價值計 (2)
— 32,923 — 32,923 
總資產，按公允價值計$149,927 $2,086,789 $19,299 $2,256,015 
負債，按公允價值計
無追索權證券化義務，以住宅抵押貸款爲擔保 (3)
$— $743,189 $— $743,189 
期貨合約的未實現貶值
(840)— — (840)
待結算協議的未實現貶值
(494)— — (494)
總負債，按公允價值計量$(1,334)$743,189 $— $741,855 
(1) 截至2023年12月31日，AOMt持有的RMBS包括公司參與的AOMt證券化的保留級別、在二級市場交易購買的額外AOMt證券，以及在二級市場交易購買的其他RMBS。
(2) 包括商業貸款和AOMt CMBS資產。截至2023年12月31日，所有AOMt CMBS均由公司參與的小額商業貸款證券化發行組成。
(3) 只有經過公允價值調整的公允價值計量部分，如上所示。
所有板塊未實現的收益和損失來自於住宅和商業抵押貸款、轉讓協議（TBA）以及期貨合約的估值變動，這些都會在所呈報的期間內計入淨利潤。

從第二級到第三級的轉移包括逾期超過90天的住宅貸款（包括那些已進入止贖程序的貸款）以及在特殊服務中或被公司的第三方估值提供商視爲「非表現」的商業抵押貸款。級別之間的轉移被視爲在轉移發生的報告期的第一天進行。對於截至2023年12月31日的年度，第二級和第三級之間的轉移不重要。


19

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)



我們使用第三方估值公司，他們採用專有方法來對我們的住宅和商業貸款進行估值。這些公司通常同時使用市場可比信息和折現現金流模型技術來判斷我們三級資產的公允價值。使用這些技術需要判斷相關輸入和假設，其中一些代表重要的不可觀測的輸入，例如預期信貸損失、提前償還率、違約率或其他估值假設。因此，這些輸入中任何一個的顯著增加或減少可能導致顯著較低或較高的公允價值衡量。

下表列出了截至2023年12月31日公司重大三級輸入的相關信息：

輸入數值
資產公允價值不可觀察的輸入範圍平均
以公允價值計量的住宅抵押貸款$6,036 提前還款率（年CPR）
6.86% - 19.93%
13.40%
默認利率
12.69% - 13.64%
13.16%
損失嚴重性
(25.00)% - 40.13%
4.12%
預期剩餘壽命
0.67 - 4.09 年
2.22 年
證券化信託中的住宅按公允價值計量的抵押貸款$13,263 預付款率（年度CPR）
5.97% - 20.71%
12.32%
默認利率
4.38% - 28.66%
16.92%
損失嚴重性
(13.99)% - 19.60%
4.14%
預期剩餘壽命
0.67 - 5.67 年
2.72 年

10.    關聯方交易
住房抵押貸款購買
公司與其各個關聯公司簽訂了住宅貸款購買協議。貸款的購買價格通常等於抵押貸款的未償本金，根據市場情況調整溢價或折扣。公司在釋放服務基礎上購買抵押貸款。
以下表格列出了有關在2024年9月30日和2023年12月31日期間購買的來自關聯公司的整體貸款活動的特定財務信息：
截至本日/截至期末：
截至本日/截至期末從關聯方購買的貸款金額（以千爲單位）
截至本日/截至期末從關聯方購買的貸款數量
截至本日/截至期末從關聯方購買的貸款數量，持有和持有 (1):
2024年9月30日$182,200 405 380 
2023年12月31日$199,793 475 589 
(1) 不包括在合併證券化中持有的貸款。
證券化交易和控股關聯公司
公司不時與Angel Oak Capital的其他關聯公司參與證券化交易。請參見注釋2 — 可變利益實體, “非公司主要受益人的VIEs 和註釋13 — 其他資產.
管理費
公司的管理協議自2021年6月21日起生效，並於2024年5月1日進行修訂和重新制定，由公司、運營合夥企業和經理簽署（經修訂和重新制定的「管理協議」）規定，公司將按季度支付經理滯後的固定管理費， 1.5相當於公司股本的每年百分之



20

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)



激勵費用
根據管理協議，管理者還有權獲得激勵費用，該費用按照現金方式計算並在每個日曆季度（或管理協議有效的部分期間）支付，以不低於以下金額： 零，等於（1） （a） 的乘積與（b） 的差額， 15， 我們與客戶有安排，其中我們的履行義務隨時間滿足，主要涉及延保和我們的GameStop Pro®獎勵計劃（以前稱爲PowerUp Rewards）。我們的GameStop Pro®獎勵計劃包括訂閱Game Informer®雜誌。 ，上一個 我們與客戶有安排，其中我們的履行義務隨時間滿足，主要涉及延保和我們的GameStop Pro®獎勵計劃（以前稱爲PowerUp Rewards）。我們的GameStop Pro®獎勵計劃包括訂閱Game Informer®雜誌。 期間，超出（ii） （A） 公司在上一個 8% 年利，超過（2）經理就前一 三 個日曆季度的總和。 我們與客戶有安排，其中我們的履行義務隨時間滿足，主要涉及延保和我們的GameStop Pro®獎勵計劃（以前稱爲PowerUp Rewards）。我們的GameStop Pro®獎勵計劃包括訂閱Game Informer®雜誌。 截至目前，激勵費用尚未產生，且在公司的基本報表中沒有確認任何費用。
運營費用報銷
根據管理協議，公司還需要向經理支付某些一般和行政費用的報銷。應付給關聯公司的應計費用和與關聯公司發生的營業費用主要是包含向經理的關聯公司的薪資報銷。
11.    承諾和事後約定
公司可能不時涉及與正常業務過程中產生的索賠相關的訴訟。截止到2024年9月30日，公司未意識到任何可能對其財務控件產生重大影響的法律索賠。截止到2024年9月30日，公司沒有未融資的承諾。

公司已與交易對手達成遠期購買承諾，即公司承諾以特定價格購買住房抵押貸款，前提是這些住房抵押貸款與交易對手成交。截至2024年9月30日，公司總共承諾購買$93.3百萬美元，涉及Angel Oak Mortgage Lending和第三方。這些承諾代表資產負債表之外的風險，公司可能需要提供信貸支持。

12.    累計其他綜合收益/(虧損)

下表列出了截至2024年和2023年9月30日的三個和九個月期間可供出售（「AFS」）證券的淨未實現收益/(損失)，這是公司截至2024年和2023年9月30日的累計其他綜合收入/(損失)（「AOCI」）變化的唯一組成部分：

截至2024年9月30日的三個月截至2023年9月30日的三個月
(以千爲單位)
期初其他綜合收益餘額$(3,147)$(6,565)
可供出售證券的未實現淨收益/(損失)2,706 (1,607)
期末其他綜合收益餘額$(441)$(8,172)

截至2024年9月30日的九個月截至2023年9月30日的九個月
(以千爲單位)
期初未實現利潤餘額$(4,975)$(21,127)
可供出售證券淨未實現收益/(損失)4,534 12,955 
期末未實現利潤餘額$(441)$(8,172)
21

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)



13.    其他資產

以下表格列出了截至2024年9月30日和2023年12月31日合併資產負債表中包含的其他資產的詳細信息：
2024年9月30日2023年12月31日
（單位：千美元）
對控股附屬公司的投資
$18,720 $16,232 
商業抵押貸款，按公允價值
5,242 5,219 
CMBS，按公允價值
5,936 6,592 
遞延所得稅資產3,457 3,457 
預付費用1,570 1,137 
防護性預付款和其他資產1,037285
其他資產總計$35,962 $32,922 

對控股子公司的投資（「MOA」）

在2023年及2024年前三個季度，公司參與了證券化交易AOMt 2023-1、AOMt 2023-5、AOMt 2023-7、AOMt 2024-3和AOMt 2024-6，這些交易涉及公司收到投資的MOA， 41.21%, 34.42%, 10.35%, 10.98%，以及 4.51各自佔其所貢獻的未償還本金餘額的比例。MOA的目的是保留並持有由證券化信託發行的風險保留債券。每個MOA都是有限責任公司，並按照權益法投資進行覈算，按攤銷成本持有。投資將在每年至少利用基礎債券的未折現現金流進行減值測試。見第9注 — 公允價值衡量.

商業抵押貸款

商業按揭貸款按照公允價值計量。截至2024年9月30日和2023年12月31日，資產的成本和未償還本金餘額爲$5.6百萬美元和$5.6百萬，公允價值爲$5.2百萬美元和$5.2百萬，美國的利率加權平均爲 6.24%，加權平均到期日爲 11 年，截至2024年9月30日。 截至2024年9月30日和2023年12月31日，沒有商業按揭貸款逾期超過九十（90）天或處於止贖狀態。
商業抵押證券

商業抵押貸款支持證券以公允價值持有。截至2024年9月30日和2023年12月31日，這些資產的成本分別爲$6.1百萬美元和$6.3百萬，公允價值爲$5.9百萬美元和$6.6百萬美元。在2024年9月30日或2023年12月31日，這些資產都沒有回購債務。

14.     股權

截至2024年9月30日，我們擁有 6,973,959 根據我們的市場公平發行計劃（「ATm計劃」），我們能隨時出售的普通股股份。 這些股份已在我們的貨架註冊聲明下向SEC註冊。

截至2024年9月30日止三個月及九個月，公司發行並出售了 188,456 股普通股通過ATM計劃，募集資金$2.3淨髮行成本爲 $貨幣45千美元的佣金和費用。

2024年7月25日，公司回購了 1,707,922 由賽萊默金融有限責任公司（大衛森·肯普納資本管理公司LP的關聯公司）擁有的普通股股份，回購總價格約爲$20.0 百萬，在發行了$50 百萬的票據的本金總額之後。

15.     每股收益（「EPS」）

在2024年和2023年截至9月30日的三個月和九個月基本和稀釋每股普通股收益的計算中，公司包括參與證券，即具有不可放棄分紅參與權的某些股權獎勵。根據基本和稀釋每股收益計算分配給參與證券的股息和未分配收益需要特定的股份，可能在某些情況下有所不同。

截至2024年9月30日的三個和九個月，大約有 120,000 具有稀釋效應的未解禁限制性股票獎勵約 200,000 未解禁限制性股票單位獎勵的相關支出已達到了700萬美元0.7百萬，基於當前市場環境。
22

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)





截至2023年9月30日的三個月和九個月期間，有 186,645 反稀釋未行使的限制性股票獎勵和 95,832 績效股，儘管績效股單位的市場爲「股東總回報率」條件尚未實現，因此這些單位未計入稀釋加權平均普通股待流通量。


以下表格列出了截至2024年9月30日和2023年的三個月的基本和稀釋每股收益計算。
2024年9月30日2023年9月30日
(以千計，除分享和每分享數據外)
每股普通股基本收益（虧損）：
普通股東的淨利潤（虧損）$31,204 $8,273 
分配給參與證券的分紅派息(38)(60)
普通股東的淨利潤（虧損） - 基本$31,166 $8,213 
基本加權平均每股普通股股數23,757,039 24,768,921 
每股普通股基本盈利（虧損）$1.31 $0.33 
每股稀釋收益（虧損）：
普通股東的淨利潤（虧損）- 基本$31,204 $8,273 
分配給參與證券的分紅派息(38)(60)
普通股東的淨利潤（虧損）- 稀釋$31,166 $8,213 
基本加權平均每股普通股股數23,757,039 24,768,921 
稀釋性權益獎勵的淨影響322,208 188,747 
稀釋後加權平均每股普通股股數24,079,247 24,957,668 
每股普通股攤薄盈利（虧損）$1.29 $0.33 

下表列出了截至2024年9月30日和2023年9月30日的基本和稀釋每股收益的計算：
2024年9月30日2023年9月30日
(以千計，除分享和每分享數據外)
每股普通股基本收益（虧損）：
普通股東的淨利潤（虧損）$43,806 $5,115 
分配給參與證券的分紅派息(115)(123)
普通股東的淨利潤（虧損） - 基本$43,691 $4,992 
基本加權平均每股普通股股數24,445,105 24,706,568 
每股普通股基本盈利（虧損）$1.79 $0.20 
每股稀釋收益（虧損）：
普通股東的淨利潤（虧損） - 基本$43,806 $5,115 
分配給參與證券的分紅派息(115)(123)
普通股東的淨利潤（虧損）- 稀釋$43,691 $4,992 
基本加權平均每股普通股股數24,445,105 24,706,568 
稀釋性權益獎勵的淨影響333,360 227,265 
稀釋後加權平均每股普通股股數24,778,465 24,933,833 
每股普通股攤薄盈利（虧損）$1.76 $0.20 





23

Angel Oak Mortgage投資信託公司。
基本財務報表附註
(未經審計)



16.    後續事件

在2024年10月16日，公司對未償本金餘額約爲$的住宅抵押貸款進行了證券化，金額爲百萬。316.8與某些以前的證券化交易類似，公司將合併用於促進此次交易的VIE。請參閱註釋2 — 可變利益實體 有關在融資交易中對VIE及金融資產轉移的合併會計政策的討論。

在2024年10月25日，公司修訂了與全球貨幣投資銀行2的貸款融資協議，除了其他變更外，將利率定價差距降低到一個區間，從 1.75% 到 3.35%，根據抵押品類型、貸款狀態、居住時間和其他因素。請見註釋5 — 融資 有關該融資設施的進一步討論。

2024年11月1日，公司修訂了與全球貨幣投資銀行3的貸款融資安排，其中包括其他更改，（i）將終止日期延長到2025年11月1日；（ii）將利率定價差縮減到區間從 1.90% 到 4.75%，基於抵押品類型、貸款狀態、佔用時間和其他因素；（iii）消除 20 點子指數差調整。請參閱註釋5 — 融資 有關此融資安排的進一步討論。

在2024年11月6日，公司宣佈每股普通股派發$的股息，0.32 將於2024年11月27日支付給截至2024年11月19日的普通股東。













24

項目2. 管理討論與分析財務狀況和業績
管理層對財務狀況和運營結果的討論與分析旨在幫助讀者理解Angel Oak Mortgage REIt, Inc.的運營結果和財務狀況。以下內容應與未經審計的簡明合併基本報表及其附註一起閱讀。文中提到的我們「公司」、「我們」、「我們」、「我們的」是指Angel Oak Mortgage REIt, Inc.及其子公司，包括Angel Oak Mortgage Operating Partnership, LP（「運營合夥企業」），通過該合夥企業我們持有幾乎所有資產並進行運營。除非另有說明，術語「Angel Oak」統稱爲Angel Oak Capital Advisors, LLC（「Angel Oak Capital」）及其附屬機構，包括我們的外部管理人Falcons I, LLC（「我們的管理人」）、Angel Oak Companies, LP（「Angel Oak Companies」）以及附屬機構Angel Oak Mortgage Solutions LLC的專有抵押貸款平台（連同其他非運營附屬起源者，「Angel Oak Mortgage Lending」）。

關於前瞻性聲明的警告
本季度10-Q表格中包含根據1995年《私人證券訴訟改革法》安全港條款的前瞻性陳述。前瞻性陳述涉及衆多風險和不確定性。我們的實際結果可能會與我們的信仰、期望、估計和展望不符，因此您不應依賴這些前瞻性陳述作爲未來事件的預測。前瞻性陳述不具有歷史性質，可通過諸如「預測」、「估計」、「將」、「應當」、「期望」、「相信」、「打算」、「尋求」、「計劃」等詞語或其否定形式，或通過對策略、計劃或意圖的提及來識別。這些前瞻性陳述受到風險和不確定性的影響，包括但不限於在我們2023年12月31日年度10-K表格中描述的「風險因素」條款下所述的內容。可能導致實際結果與預期有重大不同的其他風險、不確定性和因素可能會不時在我們向美國證券交易委員會（「SEC」）提交的其他報告中描述。我們不承擔更新或修訂任何前瞻性陳述的義務，無論是基於新信息、未來事件或其他原因。

可能對未來業績和表現產生重大不利影響的因素，包括但不限於與相關前瞻性陳述中所列或暗示的內容、以及對我們的業務、財務狀況、流動性、經營結果和前景的影響：

•不利條件或金融市場和經濟發展對我們獲取目標資產（例如非合格住宅抵押貸款「非QM」）的影響，特別是那些來自Angel Oak專有抵押貸款平台Angel Oak Mortgage Lending的貸款。

•現行利率期貨水平和波動性，以及信貸利差；

•我們行業的變化、通貨膨脹、利率期貨、業務策略、目標資產、債務或股權市場、整體經濟（或特定地區）以及住宅房地產業融資和房地產業市場等方面；

•我們投資的市場普遍波動。

•有吸引力貸款和其他投資機會的可用性發生了變化，包括來自安傑橡樹抵押貸款的非Qm貸款。

•我們經理能夠爲我們找到合適的投資、管理我們的投資組合並實施我們的策略的能力;

•我們能夠有利地執行證券化交易;

•我們獲得和維持有利條件下融資安排的能力，或者根本的能力；

•我們投資擔保品的充分性以及投資公允價值的下降；

•我們投資的現金流的時機（如果有的話）；

•借款人的運營表現、流動性和財務控件;

•投資違約率上升和/或回收率下降；

•我們投資的預付款率變化;

•公司高級管理層、我們的經理或天使橡樹的任何成員的離職；

•合格人員的可用性;

•與Angel Oak的衝突，包括我們的經理及其人員，包括我們的高級職員，以及由Angel Oak管理的實體;
25


•包括自然災害的事件，例如天災，包括颶風、地震和其他自然災害，包括全球氣候變化、流行病、戰爭或恐怖主義行爲，以及軍事衝突的開始或升級（例如俄羅斯對烏克蘭的入侵），以及可能導致意外和未投保的業績下滑、市場中斷，以及/或給我們或擔保我們投資的房地產業所有者和運營商造成損失的其他事件；

•對政府法規、稅法及稅率、會計原則和政策以及類似事項的影響和變化；

•美國抵押貸款市場中政府參與的程度；

•關於聯邦國民抵押貸款協會（「房利美」）或聯邦住房抵押貸款公司（「房地美」和與房利美一起，稱爲「政府支持企業」）在抵押貸款市場上的未來變化及相關事件，包括這些實體未來角色以及美國政府在抵押貸款市場上的不確定性，以及影響這些實體的立法和監管條例的變化；

•對沖工具對我們目標資產和收益的影響，以及我們的對沖策略可能或可能無法保護我們免受利率波動的程度;

•我們在未來向股東按股東或市場普遍預計的水平，或根本上進行分配的能力；

•我們繼續符合美國聯邦所得稅法規定的股權房地產投資信託（REIT）身份的能力；和

•我們有能力保持根據《1940年投資公司法》（經修訂）（「投資公司法」）的規定，不受投資公司監管。

在考慮前瞻性陳述時，您應牢記本報告及10-K表格年度報告中的風險因素和其他警示性陳述。警告讀者不要對這些前瞻性陳述過於依賴，這些陳述僅反映我們管理層在作出這些陳述時的觀點。年度報告中第1A項「風險因素」下總結的風險可能導致實際結果和表現與我們前瞻性陳述中所列或暗示的內容大相徑庭。新的風險和不確定性會隨着時間的推移而出現，我們無法預測這些事件或它們如何影響我們。

關於我們向投資者披露的重要信息

我們可能會使用我們的網站（www.angeloakreit.com）與投資者溝通並披露公司信息。通過我們的網站披露的信息可能被視爲重要信息，因此投資者應該在關注新聞稿、證券監管委員會（SEC）文件和公開電話會議及網絡廣播的同時，監控我們的網站。此處引用的網站內容未被納入本報告的引用中。

一般

Angel Oak Mortgage REIt, Inc. 是一家房地產金融公司，專注於收購和投資美國抵押市場中的第一留置權非合格抵押貸款和其他抵押相關資產。我們的策略是主要在新發放的第一留置權非合格抵押貸款中進行信用敏感投資，這些貸款主要面向高質量的非合格貸款借款人，主要通過Angel Oak的專有抵押貸款平台——Angel Oak Mortgage Lending獲得，該平台目前主要通過批發渠道運營，並具有全國性的發放能力。我們還可以投資其他住宅抵押貸款、住宅抵押貸款支持證券（「RMBS」）和其他抵押相關資產，這些資產與非合格貸款一起構成我們的目標資產。此外，當市場條件和資產價格適合進行有吸引力的購買時，我們也可能通過二級市場識別並收購我們的目標資產。我們的目標是通過現金分配和資本增值，在利率和信用週期中爲我們的股東產生有吸引力的風險調整回報。
我們由外部管理和提供建議的經理Falcons I, LLC管理，該公司是1940年投資顧問法案下注冊的投資顧問，並且是Angel Oak Capital的關聯公司，Angel Oak Capital是一家領先的替代信用管理公司，在抵押貸款信用市場中佔據領導地位，涉及資產管理、貸款和資本市場。Angel Oak Mortgage Lending，作爲Angel Oak的一個關聯抵押貸款發起平台，是非Qm貸款生產的市場領導者。

通過與我們的管理者的關係，我們受益於Angel Oak的垂直整合平台和內部專業知識，這爲我們提供了我們認爲對我們的股東產生有吸引力的風險調整回報所必需的資源。Angel Oak抵押貸款讓我們能夠專有訪問非QM貸款，同時提供對承銷過程的透明度，並能夠獲取符合我們理想信用和回報特徵的貸款。我們相信，通過Angel Oak在抵押貸款行業的經驗和結構性信貸投資的專業知識，我們識別和獲取目標資產的能力在二級市場上得到了增強。此外，我們相信，由於Angel Oak的分析投資工具、在金融社區的廣泛關係、融資和資本結構技能、投資監控能力以及運營專業知識，我們擁有顯著的競爭優勢。
26


我們選擇以REIt的身份在美國聯邦所得稅方面納稅，從2019年12月31日結束的我們的納稅年度開始。自2019年12月31日結束的我們的納稅年度開始，我們相信我們已經組織並運營，並打算繼續按照1986年修訂版《內部收入法典》（以下簡稱「法典」）的資格和稅收要求運營。我們作爲REIt的資格和維持這種資格取決於我們在持續基礎上滿足法典下與我們的毛收入來源、資產組成和價值、我們的分配水平以及我們股票的所有權集中等各種複雜要求的能力。我們也打算以一種方式經營我們的業務，以使我們能夠保持在《投資公司法》下免受監管的地位。我們的普通股於2021年6月17日開始在紐約證券交易所上市。

我們預計主要從我們投資的貸款所賺取的利息與我們的資本成本之間的差額，以及證券化基礎貸款抵押品後保留的債券，包括風險保留證券所獲得的收益中獲得回報。

趨勢與近期發展

整體宏觀經濟環境及其對我們的影響

在第三季度，第二季度出現的通貨膨脹緩解跡象和穩定的就業板塊持續存在，這給美國聯邦儲備銀行（"聯儲局"）提供了信心，使其在9月份的會議上首次自2020年3月以來降低利率。在那次會議上，聯儲局選擇將利率降低被認爲是激進的50個點子（"bps"）。在減息後，隨着減息週期的開始，分析師對未來減息的時間和幅度意見不一。截至2024年9月底，市場預計年內將進一步降低1.5次利率。截至2024年9月底，通貨膨脹率爲2.4%，低於6月底的2.9%，但仍高於聯儲局的2.0%目標。

30年期固定住宅符合貸款利率也對聯儲局的減息作出了反應，平均利率下降了78個點子，從2024年6月底的6.86%降至2024年9月底的6.08%。根據美國住房和城市發展部的數據，2024年8月的抵押貸款發放活動在經過季節性調整後環比增長了9.6%，這得益於單戶住宅開工量增加了15.8%。預計減息將推動未來房屋購買和抵押貸款發放活動的增加，但這種活動的程度仍然不確定。
在通脹數據和聯邦利率下調之際，2024年第三季度，與2024年6月底相比，兩年期和五年期國債收益率分別下降了112個點子和82個點子。剔除新貸款購買和證券化，自2024年第二季度末以來，我們的住宅整體貸款投資組合的加權平均價格大約增加了261個點子。截至2024年第三季度末，與2024年第二季度末的7.71%相比，我們的住宅整體貸款組合的加權平均票面利率保持相對穩定，爲7.73%。在2024年第三季度結束後的10月，我們執行了AOMt 2024-10的證券化，作爲貸款的唯一貢獻者，向住宅抵押貸款的計劃未償本金帶來了約31680萬美元。在2024年第三季度，我們購買了約26480萬美元的新起息、當前市場票面利率非Qm住宅抵押貸款，加權平均票面利率爲7.74%，加權平均貸款價值比（「LTV」）爲70.0%，加權平均信用評分爲754。

發行說明

2024年7月25日，我們完成了一項承銷的公開發行和銷售，發行了總額爲5000萬美元的9.500%到期於2029年的優先票據（「票據」）。票據的年利率爲9.500%，每年1月30日、4月30日、7月30日和10月30日按季度支付利息，自2024年10月30日起開始。票據將在2029年7月30日到期，除非由我們提前贖回或回購。我們已將票據發行的大部分淨收入用於一般公司用途，其中包括收購非Qm貸款和其他目標資產，主要來源於我們關聯的專有抵押貸款平台和其他二級市場的目標資產，以符合我們的策略和投資指南。此外，我們還將來自票據發行的淨收入的一部分用於回購Xylem Finance LLC持有的Davidson Kempner Capital Management LP附屬公司擁有的1707922股我們普通股，回購價約爲2000萬美元。

我們的投資績效

淨利息收益率（「NIM」）。 與2023年第三季度相比，2024年第三季度我們目標資產的餘額和收益都增加，帶來了更大的利息收入。利息收入的增長超過了利息支出的增長，使得2024年第三季度的淨利息收益率高於2023年第三季度。

已實現的淨損失截至2024年9月30日的季度，我們的淨實現損失主要是由於與利率對沖合同相關的實現損失，以及我們住宅貸款和證券化信託投資組合中貸款的償還。

淨未實現收益. 截至2024年9月30日的季度，我們的淨未實現收益主要是由於我們住宅整體貸款的估值增加，以及證券化信託和非追索證券化義務投資組合中貸款的淨估值增加。

27

整體貸款和證券化活動

在截至2024年9月30日的季度中，我們購買了26480萬美元的新發放、當前市場利率的非合格住房抵押貸款，平均利率爲7.74%，平均貸款價值比爲70.0%，平均信用評分爲754。

在2024年3月，我們參與了AOMt 2024-3，這是一項約爲43960萬美元的定期未償本金餘額證券化，背後由一組居民抵押貸款支持，我們貢獻了約4870萬美元的貸款。我們與其他Angel Oak實體共同參與了此次證券化，並可能在未來戰略性地進入類似的證券化項目。

2024年4月，我們發行了AOMt 2024-4，這是一筆約29980萬美元的計劃未償本金餘額證券化，其抵押品是一筆住房抵押貸款池。我們作爲證券化的唯一參與方發行了AOMt 2024-4。作爲主要受益人，我們合併了AOMt 2024-4的證券化，將持有的住房抵押貸款和相關融資義務保留在適用資產負債表日期的簡明合併資產負債表上。

在2024年6月，我們參與了AOMt 2024-6，這是一個約47960萬美元的計劃未償還本金餘額證券化，由一組住宅抵押貸款支持，我們貢獻了約2290萬美元的貸款。我們與其他Angel Oak實體共同參與了這次證券化，並可能在未來戰略性地參與類似的證券化。

在季度結束後的2024年10月，我們發行了AOMt 2024-10，這是一項大約31680萬美元的未償還本金餘額證券化，背後是一個住宅抵押貸款池。我們作爲證券化的唯一參與者發行了AOMt 2024-10。作爲主要受益方，我們將合併AOMt 2024-10證券化，將證券化信託中持有的住宅抵押貸款及相關融資義務列入我們截至相關資產負債表日的綜合資產負債表中。

整體貸款融資設施活動

我們不斷評估我們的貸方基礎，並可能在我們認爲合理的情況下籤訂新協議和/或終止協議，這符合我們核心的財務策略，即購買整體貸款並在證券化之前進行融資。有關我們的融資安排的完整描述，請參見下面的「流動性和資本資源」。截至2024年9月30日，我們的總借款能力爲11億美元。2024年第三季度整體貸款融資設施活動的亮點如下：

•2024年9月30日結束的季度內，我們與2023年12月31日相同，保持了相同的整體貸款融資機構基礎。

•截至2024年9月30日的季度，我們(i)根據六個月續簽期的機制，與跨國銀行1續簽了我們的貸款融資設施。

•在季度結束後，我們(i) 在2024年10月，與全球貨幣投資銀行2修訂了我們的貸款融資設施，修改了多個條款，其中包括將利率定價區間降低至1.75%至3.35%；(ii) 在2024年11月，與全球貨幣投資銀行3修訂了我們的貸款融資設施，修改了多個條款，其中包括：(a) 將終止日期延長至2025年11月1日；(b) 根據抵押物類型、貸款狀態、停留時間和其他因素，將利率定價區間降低至1.90%至4.75%；以及(c) 消除20個點子的指數區間調整。

關鍵財務指標：利潤表的關鍵財務指標包括淨收益爲3,100萬美元和攤薄後每股收益爲0.55美元。資產負債表顯示淨債務爲1,665.5億美元，淨債務對調整後EBITDA比率略有降低。現金流量表凸顯出年同比增加4200萬美元的應收現金流量，表明公司的現金生成能力強勁。

作爲一家房地產業金融公司，我們認爲關鍵的財務指標和因子是可分配收益、可分配收益對平均股本的回報、普通股的每股賬面價值，以及每股經濟賬面價值。

可分配收益

可分配收益是一個非公認會計原則（非GAAP）衡量標準，定義爲可根據美國通用會計原則（「GAAP」）分配給普通股東的淨收入（或損失），不包括（1）我們整體投資組合的未實現的盈利和虧損，（2）減值損失，（3）債務解除，（4）非現金股票補償費用，（5）管理人所賺取的激勵費用，（6）掉期終止的已實現的盈利或虧損，以及（7）某些其他非經常性盈利或虧損。我們認爲，可分配收益的展示爲投資者提供了一個有用的衡量標準，以便於與我們的房地產投資信託（REIT）同行之間進行財務業績比較，但其也存在重要的侷限性。我們相信，如上所述的可分配收益有助於評估我們的財務表現，而不受某些交易影響，但作爲分析工具的效用有限。作爲一個REIT，我們通常要求分配至少90%的年度REIT應稅收入，並在每年分配少於100%該應稅收入的情況下，按常規企業稅率繳納美國聯邦所得稅。鑑於這些要求，以及我們認爲分紅派息通常是股東投資於我們普通股的主要原因之一，我們通常計劃在董事會授權的情況下，向股東支付等於我們的REIT應稅收入的分紅派息金額。可分配收益是其中之一。
28

我們董事會在宣佈分紅派息時考慮的因素數量，並且雖然這不是REIT應稅收入的直接衡量，但隨着時間的推移，這一指標可以被視爲我們分紅派息的有用指標。可分配收益不應孤立看待，也不能替代根據GAAP計算的淨利潤。我們計算可分配收益的方法可能與其他信託計算相同或類似的補充績效指標的方法不同，因此，我們的可分配收益可能無法與其他信託提供的類似指標進行比較。

我們還使用可分配收益來判斷我們根據與經理簽訂的管理協議應支付給經理的激勵費用（如有），該管理協議是在我們於2021年6月21日完成的首次公開募股（「IPO」）時與運營合夥關係的經理簽訂，並於2024年5月1日經過修訂和重述（根據修訂和重述後的內容，稱爲「管理協議」）。有關根據管理協議應支付給經理的費用的信息，請參見“註釋10 - 相關方交易 在本報告中包含的未經審計的簡明合併基本報表中。
可分配收益在截至2024年9月30日和2023年9月30日的三個月內分別爲虧損340萬和860萬。與GAAP淨利潤相比，本季度可分配收益的主要驅動因素是對移除與我們住宅貸款及其證券化信託和無追索權證券化義務投資組合相關的未實現收益的調整。

下表列出了根據公認會計原則（GAAP）計算的可分配給普通股股東的淨利潤（或虧損）與2024年和2023年截至9月30日的可分配收益的調節。

截至三個月截至九個月
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
(以千爲單位)
可分配給普通股股東的淨利潤（損失）$31,204 $8,273 $43,806 $5,115 
調整項:
交易證券的未實現淨（收益）損失(984)4,857 829 7,134 
衍生品的未實現淨（收益）損失51 (4,563)(2,985)7,794 
證券化信託和非追索證券化義務上住房貸款的未實現淨（收益）損失(26,304)(5,319)(28,871)5,784 
住房貸款的未實現淨（收益）損失(7,935)(12,338)(17,438)(48,497)
商業貸款的未實現淨（收益）損失— 64 (49)(83)
非現金權益報酬支出604 447 1,864 1,195 
可分配收益$(3,364)$(8,579)$(2,844)$(21,558)

平均權益的可分配收益

可分配收入回報率是一項非GAAP度量標準，定義爲年度或年度分配收入除以平均總股東權益。我們認爲，可分配收入回報率的呈現爲投資者提供了一個有用的度量標準，促進了我們與其他REIT同行的財務表現比較，但存在重要限制。此外，我們認爲，可分配收入回報率爲投資者提供了有關我們投資的股本所產生的可分配收入的額外細節。我們認爲，上述的可分配收入回報率有助於評估我們的財務表現，沒有受到某些交易的影響，但作爲分析工具的有限用途。因此，可分配收入回報率不應孤立地看待，也不能代替按照GAAP計算的淨利潤。我們計算可分配收入回報率的方法可能與其他REIT用於計算相同或類似補充績效指標的方法不同，因此，我們的可分配收入回報率可能與其他REIT呈現的類似度量標準不可比。以下是我們計算截至2024年和2023年9月30日三個和九個月的可分配收入回報率的計算:

截至三個月截至九個月
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
（單位：千美元）
年化可分配收益$(13,460)$(34,315)$(3,793)$(28,747)
平均所有者權益總額$260,452$232,575260,083$236,629
可分配收益平均權益回報率(5.2)%(14.8)%(1.5)%(12.1)%


29


每股普通股賬面價值

下表列出了截至2024年9月30日和2023年12月31日我們每股普通股的賬面價值計算：

2024年9月30日2023年12月31日
(以千爲單位，除分享和每股數據外)
股東權益總額$265,098 $256,106 
期末流通普通股股份數量23,511,272 24,965,274 
每股普通股的賬面價值$11.28 $10.26 

Economic Book Value per Share of Common Stock

“Economic book value” is a non-GAAP financial measure of our financial position. To calculate our economic book value, the portions of our non-recourse financing obligation held at amortized cost are adjusted to fair value. These adjustments are also reflected in the table below in our end of period total stockholders’ equity. Management considers economic book value to provide investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for our legally held retained bonds, irrespective of the accounting model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for book value per share of common stock or stockholders’ equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies.

The following table sets forth a reconciliation from GAAP total stockholders’ equity and book value per share of common stock to economic book value and economic book value per share of common stock as of September 30, 2024 and December 31, 2023:

September 30, 2024December 31, 2023
(in thousands except for share and per share data)
GAAP total stockholders’ equity$265,098 $256,106 
Adjustments:
Fair value adjustment for securitized debt held at amortized cost64,522 81,942 
Stockholders’ equity including economic book value adjustments$329,620 $338,048 
Number of shares of common stock outstanding at period end23,511,272 24,965,274 
Book value per share of common stock$11.28 $10.26 
Economic book value per share of common stock$14.02 $13.54 


30

Results of Operations

Three Months Ended September 30, 2024 and 2023

The following table sets forth a summary of our results of operations for the three months ended September 30, 2024 and 2023:

Three Months Ended
September 30, 2024September 30, 2023
(in thousands)
INTEREST INCOME, NET
Interest income$27,444 $23,900 
Interest expense18,424 16,490 
NET INTEREST INCOME$9,020 $7,410 
REALIZED AND UNREALIZED GAINS (LOSSES), NET
Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS$(6,335)$(12,044)
Net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts
35,172 17,299 
TOTAL REALIZED AND UNREALIZED GAINS (LOSSES), NET$28,837 $5,255 
EXPENSES
Operating expenses$1,287 $1,370 
Operating expenses incurred with affiliate472 599 
Due diligence and transaction costs254 115 
Stock compensation604 447 
Securitization costs— 416 
Management fee incurred with affiliate1,204 1,445 
Total operating expenses$3,821 $4,392 
INCOME (LOSS) BEFORE INCOME TAXES$34,036 $8,273 
Income tax expense2,832 — 
NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS$31,204 $8,273 
Other comprehensive income (loss)2,706 (1,607)
TOTAL COMPREHENSIVE INCOME (LOSS)$33,910 $6,666 

31

Net Interest Income

The following table sets forth the components of net interest income for the three months ended September 30, 2024 and 2023:

Three Months Ended
September 30, 2024September 30, 2023
(in thousands)
Interest incomeInterest income / expenseAverage balanceInterest income / expenseAverage balance
Residential mortgage loans$4,659 $263,095 $4,272 $289,916 
Residential mortgage loans in securitization trusts18,580 1,454,736 15,208 1,228,074 
Commercial mortgage loans81 5,246 58 6,329 
RMBS and Majority-Owned Affiliate3,251 117,965 3,067 171,128 
CMBS417 6,239 147 6,453 
U.S. Treasury securities65 6,000 541 46,607 
Other interest income391 40,919 607 42,669 
Total interest income27,444 23,900 
Interest expense
Notes payable2,830 176,159 4,117 205,915 
Non-recourse securitization obligation, collateralized by residential mortgage loans13,731 1,362,039 10,956 1,191,406 
Repurchase facilities900 57,842 1,417 87,279 
Senior unsecured notes
963 40,538 — — 
Total interest expense18,424 16,490 
Net interest income$9,020 $7,410 

Net interest income for the three months ended September 30, 2024 and 2023 was $9.0 million and $7.4 million, respectively. Net interest income increased in the three months ended September 30, 2024 as compared to the same period in 2023, primarily due to higher net interest income from our residential mortgage loans portfolio (residential mortgage loan interest income less notes payable interest expense) during the three months ended September 30, 2024 . We observed net interest income associated with our residential mortgage loan portfolio of $1.8 million in the three months ended September 30, 2024 compared to $0.1 million in the comparable period of 2023. This was primarily driven by an increase in the weighted average coupon rate of our residential mortgage loans portfolio versus the comparative period, as well as holding more unlevered loans, resulting in a proportionally lower notes payable balance.

























32

Total Realized and Unrealized Gains (Losses)

The components of total realized and unrealized gains (losses), net for the three months ended September 30, 2024 and 2023 are set forth as follows:

Three Months Ended
September 30, 2024September 30, 2023
(in thousands)
Realized and unrealized gain (loss) on securitization, net of unrealized gain (loss) on non-recourse securitization obligation$25,228 $4,352 
Realized gain (loss) on RMBS(565)(598)
Unrealized gain (loss) on Whole Pool Agency RMBS(2,138)(12,367)
Realized gain (loss) on CMBS(67)(101)
Realized gain (loss) on interest rate futures(4,461)2,828 
Realized and unrealized gain (loss) on TBAs1,880 12,349 
Realized and unrealized gain (loss) on residential mortgage loans7,789 (856)
Realized and unrealized gain (loss) on commercial mortgage loans— (35)
Realized and unrealized loss on U.S. Treasury securities(13)47 
Unrealized appreciation (depreciation) on interest rate futures1,184 (364)
Total realized and unrealized gains (losses), net$28,837 $5,255 

For the three months ended September 30, 2024 and 2023, total realized and unrealized gains (losses), net resulted in gains of $28.8 million and $5.3 million, respectively. During the three months ended September 30, 2024, gains on securitization, net of unrealized gain (loss) on non-recourse securitization obligation drove the majority of the overall gain to our portfolio as valuations increased during the quarter. Similarly, during the three months ended September 30, 2023 gains on securitization, net of unrealized gain (loss) on non-recourse securitization obligation drove the majority of the overall gain to our portfolio as well.

Expenses

Operating Expenses

For the three months ended September 30, 2024 and 2023, our operating expenses were $1.3 million and $1.4 million, respectively. Our operating expenses decreased slightly compared to the comparative period due to continued cost savings actions such as in-sourcing of key accounting functions, vendor contract negotiations, and a decrease in servicing fees associated with servicing our whole loan portfolio.

Operating Expenses Incurred with Affiliate

For the three months ended September 30, 2024 and 2023, our operating expenses incurred with affiliate were $0.5 million and $0.6 million, respectively. These expenses, which are substantially comprised of payroll reimbursements to our Manager, decreased slightly in the third quarter of 2024 compared to the same period of 2023 as a result of additional cost savings actions.

Due Diligence and Transaction Costs

For the three months ended September 30, 2024 and 2023, our due diligence and transaction costs were $254 thousand and $115 thousand, respectively. Our due diligence and transaction expenses increased over the comparative period due to increased purchases of whole loans during the three months ended September 30, 2024 as compared to the three months ended September 30, 2023.

Stock Compensation

For the three months ended September 30, 2024 and 2023, our stock compensation expense was $0.6 million and $0.4 million, respectively. Our stock compensation expense increased for the three months ended September 30, 2024 due to an increase in the estimated impact for outstanding performance-based restricted stock unit awards.

Securitization Costs

For the three months ended September 30, 2024 and 2023, we incurred $0.0 million and $0.4 million of securitization costs, respectively. There was no securitization activity in the third quarter of 2024, and the securitization costs in the comparative period in 2023 were driven by our participation in the AOMT 2023-5 securitization.

33

Management Fee Incurred with Affiliate

For the three months ended September 30, 2024 and 2023, our management fee incurred with affiliate was $1.2 million and $1.4 million, respectively. The decrease is due to the decrease in our average Equity as defined in the Management Agreement for the three months ended September 30, 2024 as compared to the same period in 2023. A key driver of the decrease in the three months ended September 30, 2024 versus the comparative period of 2023 is the repurchase of 1,707,922 million shares of our common stock owned by Xylem Finance, LLC, an affiliate of Davidson Kempner Capital Management, LP, for an aggregate repurchase price of approximately $20 million. The calculation of Equity for the purposes of the Management Agreement includes the addition of Distributable Earnings, which is the primary departure from the calculation of equity in accordance with GAAP.

Nine Months Ended September 30, 2024 and 2023

The following table sets forth a summary of our results of operations for the nine months ended September 30, 2024 and 2023:

Nine Months Ended
September 30, 2024September 30, 2023
(in thousands)
INTEREST INCOME, NET
Interest income$78,558 $71,403 
Interest expense51,495 50,742 
NET INTEREST INCOME$27,063 $20,661 
REALIZED AND UNREALIZED GAINS (LOSSES), NET
Net realized gain (loss) on mortgage loans, derivative contracts, RMBS, and CMBS$(14,527)$(27,056)
Net unrealized gain (loss) on trading securities, mortgage loans, portion of debt at fair value option, and derivative contracts48,514 27,868 
TOTAL REALIZED AND UNREALIZED GAINS (LOSSES), NET$33,987 $812 
EXPENSES
Operating expenses$4,619 $5,788 
Operating expenses incurred with affiliate1,444 1,672 
Due diligence and transaction costs663 136 
Stock compensation1,864 1,195 
Securitization costs1,583 2,326 
Management fee incurred with affiliate3,810 4,460 
Total operating expenses$13,983 $15,577 
INCOME (LOSS) BEFORE INCOME TAXES$47,067 $5,896 
     Income tax expense (benefit)3,261 781 
NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS$43,806 $5,115 
Other comprehensive income (loss)4,534 12,955 
TOTAL COMPREHENSIVE INCOME (LOSS)$48,340 $18,070 

34

Net Interest Income

The following table sets forth the components of net interest income for the nine months ended September 30, 2024 and 2023:

Nine Months Ended
September 30, 2024September 30, 2023
(in thousands)
Interest incomeInterest income / expenseAverage balanceInterest income / expenseAverage balance
Residential mortgage loans$13,925 $284,211 $18,457 $467,538 
Residential mortgage loans in securitization trusts51,851 1,357,840 39,753 1,106,621 
Commercial mortgage loans258 5,231 458 8,215 
RMBS and Majority Owned Affiliate
9,613 148,677 9,225 164,244 
CMBS1,097 6,428 790 6,394 
U.S. Treasury securities548 14,528 1,201 32,981 
Other interest income1,266 39,239 1,519 37,482 
Total interest income78,558 71,403 
Interest expense
Notes payable9,928 199,644 21,222 366,032 
Non-recourse securitization obligation, collateralized by residential mortgage loans37,624 1,285,118 26,121 1,080,156 
Repurchase facilities2,980 64,431 3,399 89,726 
Senior unsecured notes
963 35,681 — — 
Total interest expense51,495 50,742 
Net interest income$27,063 $20,661 

Net interest income for the nine months ended September 30, 2024 and 2023 was $27.1 million and $20.7 million, respectively. Net interest income increased in the nine months ended September 30, 2024 as compared to the same period in 2023, primarily due to higher net interest income from our residential mortgage loans portfolio (residential mortgage loan interest income less notes payable interest expense) during the nine months ended September 30, 2024. We observed net interest income associated with our residential mortgage loan portfolio of $4 million in the nine months ended September 30, 2024 compared to a loss of $(2.8) million in the comparable period of 2023. This was primarily driven by an increase in the weighted average coupon rate of our residential mortgage loans portfolio versus the comparative period, as well as holding more unlevered loans, resulting in a proportionally lower notes payable balance.

























35



Total Realized and Unrealized Gains (Losses)

The components of total realized and unrealized gains (losses), net for the nine months ended September 30, 2024 and 2023 are set forth as follows:
Nine Months Ended
September 30, 2024September 30, 2023
(in thousands)
Realized and unrealized gain (loss) on securitization, net of unrealized gain (loss) on non-recourse securitization obligation
$25,607 $(7,948)
Realized loss on RMBS
(2,469)(1,545)
Realized and unrealized gain (loss) on Whole Pool Agency RMBS
(6,355)(12,627)
Realized gain (loss) on CMBS(186)(241)
Realized gain (loss) on interest rate futures(622)8,599 
Realized and unrealized gain (loss) on TBAs5,992 (479)
Realized and unrealized (loss) gain on residential mortgage loans9,839 17,268 
Realized and unrealized (loss) gain on commercial mortgage loans48 113 
Realized and unrealized loss on U.S. Treasury securities(99)88 
Unrealized appreciation on interest rate futures2,232 (2,416)
Total realized and unrealized gains (losses), net$33,987 $812 

For the nine months ended September 30, 2024 and 2023, total realized and unrealized gains (losses), net resulted in a net gain of $34 million and a loss of $0.8 million, respectively. During the nine months ended September 30, 2024, gains on residential mortgage loans in securitization trust, net of unrealized gain (loss) on non-recourse securitization obligation, residential mortgage loans, TBAs, and interest rate futures were offset by losses on RMBS and whole pool agency RMBS. In the nine months ended September 30, 2023, market volatility caused the valuation of our residential mortgage loans in securitization trust and whole pool agency RMBS to decrease, which was offset by gains in our residential mortgage loans portfolio and interest rate futures.

Expenses

Operating Expenses

For the nine months ended September 30, 2024 and 2023, our operating expenses were $4.6 million and $5.8 million, respectively. Our operating expenses decreased during the comparative period due to continued cost savings actions such as in-sourcing of key accounting functions, vendor contract negotiations, and a decrease in servicing fees associated with servicing our whole loan portfolio.

Operating Expenses Incurred with Affiliate

For the nine months ended September 30, 2024 and 2023, our operating expenses incurred with affiliate were $1.44 million and $1.7 million, respectively. These expenses, which are substantially comprised of payroll reimbursements to our Manager, decreased versus the comparative period as a result of additional cost savings actions.

Due Diligence and Transaction Costs

For the nine months ended September 30, 2024 and 2023, our due diligence and transaction costs were $663 thousand and $136 thousand, respectively. Our due diligence and transaction expenses increased versus the comparative period as we purchased more whole loans during the nine months ended September 30, 2024 than the nine months ended September 30, 2023.

Stock Compensation

For the nine months ended September 30, 2024 and 2023 our stock compensation expense was $1.9 million and $1.2 million, respectively. Stock compensation expense increased for the nine months ended September 30, 2024 due to an increase in the estimated impact for outstanding performance-based restricted stock unit awards.




36

Securitization Costs

Securitization costs of $1.6 million were incurred for the nine months ended September 30, 2024 in connection with the AOMT 2024-3, AOMT 2024-4, and AOMT 2024-6 securitization transactions. There were $2.3 million of securitization costs incurred for the comparable period in 2023, representing costs incurred in connection with the AOMT 2023-1, AOMT 2023-4, and AOMT 2023-5 securitizations.

Management Fee Incurred with Affiliate

For the nine months ended September 30, 2024 and 2023, our management fee incurred with affiliate was $3.8 million and $4.5 million, respectively. The decrease is due to the decrease in our average Equity as defined in the Management Agreement for the nine months ended September 30, 2024 as compared to the same period in 2023. A key driver of the decrease in the nine months ended September 30, 2024 versus the comparative period of 2023 is the repurchase of 1,707,922 million shares of our common stock owned by Xylem Finance, LLC, an affiliate of Davidson Kempner Capital Management, LP, for an aggregate repurchase price of approximately $20 million. The calculation of Equity for the purposes of the Management Agreement includes the addition of Distributable Earnings, which is the primary departure from the calculation of equity in accordance with GAAP.
37

Our Portfolio

As of September 30, 2024, our portfolio consisted of approximately $2.2 billion of residential mortgage loans, RMBS, and other target assets. Certain of these portfolio assets are located in states such as Florida and California where natural disasters such as hurricanes and earthquakes may occasionally occur. We require all of our collateral to be adequately insured. The graphs in the subsequent detail of residential mortgage loans, residential mortgage loans held in securitization trusts, and residential mortgage loans underlying RMBS issuances show the percentage of residential mortgage loans held in each state where there is a concentration of loans.
The following table sets forth additional information regarding our portfolio, including the manner in which our equity capital was allocated among investment types, as of September 30, 2024:
Fair ValueCollateralized DebtAllocated Capital% of Total Capital
Portfolio:($ in thousands)
Residential mortgage loans$428,909 $333,042 $95,867 36.2 %
Residential mortgage loans in securitization trust1,452,907 1,353,758 $99,149 37.4 %
Total whole loan portfolio$1,881,816 $1,686,800 $195,016 73.6 %
Investment securities
RMBS$283,105 $53,164 $229,941 86.7 %
U.S. Treasury securities49,971 49,712 259 0.1 %
Total investment securities$333,076 $102,876 $230,200 86.8 %
Investment in Majority-Owned Affiliate$18,720 $— $18,720 7.1 %
Total investment portfolio$2,233,612 $1,789,676 $443,936 167.5 %
Target assets (1)
$2,183,641 $1,739,964 $443,677 167.4 %
Cash$42,052 $— $42,052 15.8 %
Other assets and liabilities (2)
(220,889)— (220,889)(83.3)%
Total$2,054,775 $1,789,676 $265,099 100.0 %

(1)     “Target assets” as defined by us excludes U.S. Treasury securities, and includes our investment in a Majority-Owned Affiliates.
(2)     Other assets and liabilities presented is calculated as a net liability substantially comprised of $194.7 million due to broker for our     quarter-end purchase of certain Freddie Mac and Fannie Mae-issued whole pool agency residential mortgage-backed securities (“Whole Pool Agency RMBS”), and excluding the portion of “other assets” which includes our investment in a Majority-Owned Affiliate, which is considered a target asset.
38

As of December 31, 2023, our portfolio consisted of approximately $2.1 billion of residential mortgage loans, RMBS, and other target assets. The following table sets forth additional information regarding our portfolio including the manner in which our equity capital was allocated among investment types, as of December 31, 2023:

Fair ValueCollateralized DebtAllocated Capital% of Total Capital
Portfolio:($ in thousands)
Residential mortgage loans$380,040 $290,610 $89,430 34.9 %
Residential mortgage loans in securitization trust1,221,067 1,169,154 51,913 20.3 %
Total whole loan portfolio$1,601,107 $1,459,764 $141,343 55.2 %
Investment securities
RMBS$472,058 44,643 $427,415 166.9 %
Investment in Majority-Owned Affiliates 16,232 — 16,232 6.3 %
U.S. Treasury Securities149,927 149,013 914 0.4 %
Total investment securities$638,217 $193,656 $444,561 173.6 %
Total investment portfolio$2,239,324 $1,653,420 $585,904 228.8 %
Target assets (1)
$2,089,397 $1,504,407 $585,904 228.8 %
Cash$41,625 $— $41,625 16.2 %
Other assets and liabilities (2)
(371,423)— (371,423)(145.0)%
Total$1,909,526 $1,653,420 $256,106 100.0 %

(1)     “Target assets” as defined by us excludes U.S. Treasury securities, and includes our investment in a Majority-Owned Affiliates.
(2)     Other assets and liabilities presented is calculated as a net liability substantially comprised of $392.0 million due to broker for our     quarter-end purchase of certain Freddie Mac and Fannie Mae-issued Whole Pool Agency RMBS, and excluding the portion of “other assets” which includes our investment in a Majority-Owned Affiliates, which is considered a target asset. Additionally, other assets includes $5.2 million of commercial loans and $6.6 million of CMBS.
Residential Mortgage Loans
The following table sets forth additional information on the residential mortgage loans in our portfolio as of September 30, 2024:
Portfolio RangePortfolio Weighted Average
($ in thousands)
Unpaid principal balance (“UPB”)
$75 - $3,403
$481
Interest rate
3.63% - 11.88%
7.73%
Maturity date
6/27/2044 - 8/15/2064
July 2054
FICO score at loan origination
628 - 823
754
LTV at loan origination
7.1% - 90.0%
70.6%
DTI at loan origination
1.94% - 52.0%
31.6%
Percentage of first lien loansN/A98.9%
Percentage of loans 90+ days delinquent (based on UPB)N/A0.7%
39

The following table sets forth additional information on the residential mortgage loans in our portfolio as of December 31, 2023:
Portfolio RangePortfolio Weighted Average
($ in thousands)
Unpaid principal balance (“UPB”)$18 - $3,410$492
Interest rate2.99% - 12.50%6.8%
Maturity date9/27/2048 - 11/27/2063 December 2053
FICO score at loan origination624 - 825748
LTV at loan origination9.00% - 90.00%69.4%
DTI at loan origination1.90% - 59.10%30.9%
Percentage of first lien loansN/A100%
Percentage of loans 90+ days delinquent (based on UPB)N/A0.9%


The following charts illustrate the distribution of the credit scores and coupon rates by the number of loans in our residential mortgage loan portfolio as of September 30, 2024:


Resi Loans Credit Score.jpg


Resi Loans Coupon.jpg
40



The following charts illustrate the distribution of the credit scores and coupon rates by the number of loans in our residential mortgage loan portfolio as of December 31, 2023:
Resi Loans Credit Score Distribution.jpg

Resi Loans Coupon Distribution.jpg
41


The following charts illustrate additional characteristics of our residential mortgage loans in our portfolio that we owned directly as of September 30, 2024, based on the product profile, borrower profile, and geographic location (percentages are based on the aggregate unpaid principal balance of such loans):

Characteristics of Our Residential Mortgage Loans as of September 30, 2024:

Resi Loans Product Type.jpg

Resi Loans Borrower Type.jpg
Resi Loans Geography.jpg




Note: No state in “Other” represents more than a 3% concentration of the residential mortgage loans in our portfolio that we owned directly as of September 30, 2024. Numbers presented may add to more than 100% due to rounding.
42


The following charts illustrate additional characteristics of the residential mortgage loans in our portfolio that we owned directly as of December 31, 2023, based on the product profile, borrower profile, and geographic location (percentages are based on the aggregate unpaid principal balance of such loans):

Characteristics of Our Residential Mortgage Loans as of December 31, 2023:

2023 Resi Loan Product Type 2.13.jpg

2023 Resi Loan Borrower Type 2.13.jpg

Resi Loans Geography.jpg



Note: No state in “Other” represents more than a 3% concentration of the residential mortgage loans in our portfolio that we owned directly as of December 31, 2023. Numbers presented may add to more than 100% due to rounding.





43


Residential Mortgage Loans Held in Securitization Trusts
The following table sets forth the information regarding the underlying collateral of our residential mortgage loans held in securitization trusts as of September 30, 2024:

($ in thousands)
UPB$1,512,722
Fair Value
$1,452,907
Number of loans3,594
Weighted average loan coupon5.12%
Average loan amount$422
Weighted average LTV at loan origination and deal date67.0%
Weighted average credit score at loan origination and deal date741
Current 3-month constant prepayment rate (“CPR”) (1)
7.8%
Percentage of loans 90+ days delinquent (based on UPB)1.9%

(1)     CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year.



The following chart illustrates the geographic distribution of the underlying collateral of our residential mortgage loans held in securitization trusts as of September 30, 2024 (percentages are based on the aggregate unpaid principal balance of such loans):




Loans in Trust Geography.jpg

Note: No state in “Other” represents more than a 3% concentration of the underlying collateral of our residential mortgage loans held in securitization trusts as of September 30, 2024. Numbers presented may add to more than 100% due to rounding.
44


The following table sets forth the information regarding the underlying collateral of our residential mortgage loans held in securitization trusts as of December 31, 2023:

($ in thousands)
UPB$1,334,963
Fair Value
$1,221,067
Number of loans3,112
Weighted average loan coupon4.7%
Average loan amount$429
Weighted average LTV at loan origination and deal date68.0%
Weighted average credit score at loan origination and deal date742
Current 3-month CPR5.6%
Percentage of loans 90+ days delinquent (based on UPB)1.0%

The following chart illustrates the geographic distribution of the underlying collateral of our residential mortgage loans held in securitization trusts as of December 31, 2023 (percentages are based on the aggregate unpaid principal balance of such loans):

Loans in Trust Geography.jpg

Note: No state in “Other” represents more than a 3% concentration of the underlying collateral of our residential mortgage loans held in securitization trusts as of December 31, 2023. Numbers presented may add to more than 100% due to rounding.
45

RMBS
We have participated in numerous securitization transactions pursuant to which we contributed to a securitization trust under the purview of AOMT I, LLC, non‑QM loans that we had accumulated and held on our balance sheet. These loans were purchased from affiliated and unaffiliated entities. In return, we received bonds from these securitization trusts, and cash. At times, we were allocated certain risk retention securities as part of these transactions. Risk retention securities represent at least 5% of a horizontal or vertical slice of the bonds issued as part of the transaction.
Certain information regarding the mortgage loans underlying our portfolio of RMBS issued in such securitization transactions is set forth below as of September 30, 2024:

AOMT 2019 Securitizations
AOMT 2020 Securitizations
AOMT 2023 Securitizations
AOMT 2024 Securitizations
($ in thousands)
UPB of loans$295,926$154,043$1,119,064$882,348
Number of loans1,081 477 2,165 2,032 
Weighted average loan coupon7.21 %5.81 %5.25 %5.28 %
Average loan amount$274$323$517$434
Weighted average LTV at loan origination and deal date69.0 %74.1 %68.7 %68.4 %
Weighted average credit score at loan origination and deal date707719731731
Current 3-month CPR (1)
13.4 %8.7 %7.0 %8.3 %
90+ day delinquency (as a % of UPB)8.1 %2.9 %1.4 %1.2 %
Weighted Average 90+ Delinquency (as a % of Original Balance)1.2 %1.0 %1.3 %1.1 %
Weighted Average LTV of 90+ Delinquent Loans (FHFA HPI Estimate) (2)
49.5 %— %68.8 %68.0 %
Fair value of first loss piece (3,4)
19,38323,67611,5003,109
Investment thickness (5)
21.45 20.14 7.60 10.05 
(1)     CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year.
(2)     AOMT 2020-3 does not have LTV or Federal Housing Finance Agency Home Price Index Estimates (“FHFA HPI Estimates”); accordingly, original LTV is used.
(3)     Represents the fair value of the securities we hold in the first loss tranche in each securitization.
(4)     The fair value of the first loss pieces presented for AOMT 2023-1, AOMT 2023-5, AOMT 2023-7, AOMT 2024-3, and AOMT 2024-6 is the total at risk for the Majority-Owned Affiliates.
(5)     Represents the average size of the subordinate securities we own as investments in each securitization relative to the average overall size of the securitization.
46

Certain information regarding the mortgage loans underlying our portfolio of RMBS issued in AOMT securitization transactions is set forth below as of December 31, 2023, unless otherwise stated:
AOMT 2019 Securitizations
AOMT 2020 Securitizations
AOMT 2023 Securitizations
($ in thousands)
UPB of loans$331,376$167,028$1,192,450
Number of loans11975122288
Weighted average loan coupon6.90 %5.80 %5.30 %
Average loan amount$277$326$521
Weighted average LTV at loan origination and deal date70 %74 %70 %
Weighted average credit score at loan origination and deal date707720733
Current 3-month CPR (1, 6)
14.3 %5.4 %4.3 %
90+ day delinquency (as a % of UPB)9.0 %3.0 %1.6 %
Weighted Average 90+ Delinquency (as a % of Original Balance)1.5 %1.1 %1.3 %
Weighted Average LTV of 90+ Delinquent Loans (FHFA HPI Estimate) (2)
50.8 %74.1 %72.8 %
Fair value of first loss piece (3,5)
$18,057$21,389$13,003
Investment thickness (4)
19.15 %18.57 %3.78 %

(1) CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year.
(2) AOMT 2020-3 does not have LTV or Federal Housing Finance Agency Home Price Index Estimates (“FHFA HPI Estimates”); accordingly, original LTV is used.
(3) Represents the fair value of the securities we hold in the first loss tranche in each securitization.

(4) Represents the average size of the subordinate securities we own as investments in each securitization relative to the average overall size of the securitization.

(5) The fair value of the first loss pieces presented for AOMT 2023-1, AOMT 2023-5, and AOMT 2023-7 is the total at risk for the Majority-Owned Affiliates.

(6) AOMT 2023-5 reflects one-month CPR.




















47


The following table provides certain information with respect to our RMBS portfolio both received in AOMT securitization transactions and acquired from other third parties as of September 30, 2024:
RMBS
Repurchase Debt (1)
Allocated Capital
AOMTThird Party RMBSTotalAOMTThird Party RMBSTotalAOMTThird Party RMBSTotal
(in thousands)
Mezzanine$13,463 $— $13,463 $5,292 $— $5,292 $8,171 $— $8,171 
Subordinate62,223 — $62,223 20,175 — $20,175 $42,048 $— $42,048 
Interest only / excess13,055 — $13,055 — — $— $13,055 $— $13,055 
Whole pool (2)
— 194,364 $194,364 — — $— $— $194,364 $194,364 
Retained RMBS in VIEs (3)
— — $— 27,697 — $27,697 $(27,697)$— $(27,697)
Subtotal
$88,741 $194,364 $283,105 $53,164 $— $53,164 $35,577 $194,364 $229,941 
Investment in Majority Owned Affiliates
$18,720 $— $18,720 $— $— $— $18,720 $— $18,720 
Total$107,461 $194,364 $301,825 $53,164 $— $53,164 $54,297 $194,364 $248,661 

(1)     Repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).
(2)     The whole pool RMBS presented as of September 30, 2024 were purchased from a broker to whom the Company owes approximately $194.7 million, payable upon the settlement date of the trade. See Note 6 — Due to Broker in our unaudited condensed consolidated financial statements included in this report.
(3)     A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $143.5 million, are not reflected in the condensed consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its condensed consolidated balance sheets.





























48




The following table provides certain information with respect to our RMBS portfolio both received in AOMT securitization transactions and acquired from other third parties as of December 31, 2023:

RMBS
Repurchase Debt (1,3)
Allocated Capital
AOMTThird Party RMBSTotalAOMTThird Party RMBSTotalAOMTThird Party RMBSTotal
(in thousands)
Mezzanine$10,972 $— $10,972 $844 $— $844 $10,128 $— $10,128 
Subordinate55,665 — 55,665 19,812 — 19,812 35,853 — $35,853 
Interest only / excess13,059 — 13,059 1,871 — 1,871 11,188 — $11,188 
Whole pool (2)
— 392,362 392,362 — — — — 392,362 $392,362 
Retained RMBS in VIEs (3)
— — — 22,116 — 22,116 (22,116)— (22,116)
Subtotal
$79,696 $392,362 $472,058 $44,643 $— $44,643 $35,053 $392,362 $427,415 
Investment in Majority Owned Affiliates
$16,232 $— 16,232 $— $— — $16,232 $— 16,232 
Total$95,928 $392,362 $488,290 $44,643 $— $44,643 $51,285 $392,362 $443,647 


(1)     Repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).

(2)     The whole pool RMBS presented as of December 31, 2023 were purchased from a broker to whom the Company owes approximately $392.0 million, payable upon the settlement date of the trade. See Note 6 — Due to Broker in our unaudited condensed consolidated financial statements included in this report.

(3)     A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $124.1 million, are not reflected in the condensed consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its condensed consolidated balance sheets.

49


The following table sets forth information with respect to our RMBS ending balances, at fair value, for the period ended September 30, 2024:

SeniorMezzanineSubordinateInterest OnlyWhole PoolTotal
(in thousands)
Beginning fair value as of June 30, 2024
$— $13,100 $60,107 $13,027 $180,518 $266,752 
Acquisitions:
Retained bonds received in securitizations— — — — — $— 
Third party securities— — — — 194,697 $194,697 
Effect of principal payments / sales
— (280)— (178,702)$(178,982)
IO and excess servicing prepayments— — — (565)— $(565)
Changes in fair value, net— 644 2,115 593 (2,149)$1,203 
Ending fair value as of September 30, 2024
$— $13,464 $62,222 $13,055 $194,364 $283,105 

The following table sets forth information with respect to our RMBS ending balances, at fair value, for the year ended December 31, 2023:

SeniorMezzanineSubordinateInterest OnlyWhole PoolTotal
(in thousands)
Beginning fair value as of December 31, 2022
$— $1,958 $49,578 $10,424 $993,378 $1,055,338 
Acquisitions:
Retained bonds received in securitizations— 9,831 4,880 3,530 — 18,241 
Third party securities— — — — 1,741,864 1,741,864 
Effect of principal payments / sales— (869)— — (2,339,028)(2,339,897)
IO and excess servicing prepayments— — — (1,396)— (1,396)
Changes in fair value, net— 52 1,207 501 (3,852)(2,092)
Ending fair value as of December 31, 2023
$— $10,972 $55,665 $13,059 $392,362 $472,058 

50

The following chart illustrates the geographic diversification of the loans underlying our portfolio of RMBS issued in AOMT securitization transactions as of September 30, 2024 (percentages are based on the aggregate unpaid principal balance of such loans):

Geographic Diversification of Loans Underlying Our Portfolio
of RMBS Issued in AOMT Securitization Transactions
(as of September 30, 2024)

RMBS Geography.jpg



Note: No state in “Other” represents more than a 4% concentration of the loans underlying our portfolio of RMBS issued in AOMT securitization transactions as of September 30, 2024. Numbers presented may add to more than 100% due to rounding.


The following chart illustrates the geographic diversification of the loans underlying our portfolio of RMBS issued in AOMT securitization transactions as of December 31, 2023 (percentages are based on the aggregate unpaid principal balance of such loans):

Geographic Diversification of Loans Underlying Our Portfolio
of RMBS Issued in AOMT Securitization Transactions
(as of December 31, 2023)

RMBS Geography.jpg



Note: No state in “Other” represents more than a 4% concentration of the loans underlying our portfolio of RMBS issued in AOMT securitization transactions as of December 31, 2023. Numbers presented may add to more than 100% due to rounding.


51

CMBS

Certain information regarding the commercial mortgage loans underlying our portfolio of CMBS issued in the AOMT 2020-SBC1 securitization transaction is shown below as of September 30, 2024 and December 31, 2023:

September 30, 2024December 31, 2023
($ in thousands)
UPB of loans$104,138$112,302
Number of loans134145
Weighted average loan coupon7.9 %7.5 %
Average loan amount$777$774
Weighted average LTV at loan origination and deal date56.2 %56.2 %

The following table provides certain information with respect to the CMBS we received in connection with the AOMT 2020-SBC1 securitization transactions as of September 30, 2024 and December 31, 2023:

September 30, 2024December 31, 2023
CMBSRepurchase DebtAllocated CapitalCMBSRepurchase DebtAllocated Capital
(in thousands)
Subordinate2,674 — 2,674 2,706 — 2,706 
Interest only / excess3,262 — 3,262 3,886 — 3,886 
Total$5,936 $— $5,936 $6,592 $— $6,592 


Liquidity and Capital Resources

Overview

Liquidity is a measurement of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund our investments and operating costs, make distributions to our stockholders, and satisfy other general business needs. Our financing sources currently include payments of principal and interest we receive on our investment portfolio, unused borrowing capacity under our in‑place loan financing lines and repurchase facilities, securitizations of our whole loans, and our ATM Program (as defined below). Additionally, on July 25, 2024, we closed an underwritten public offering and sale of, and issued, $50 million in aggregate principal amount of our 9.500% Senior Notes due 2029. We have deployed the majority of the net proceeds from the offering of the Notes for general corporate purposes, which included the acquisition of non-QM loans and other target assets primarily sourced from our affiliated proprietary mortgage lending platform and other target assets through the secondary market in a manner consistent with our strategy and investment guidelines. Additionally, we used the net proceeds from the offering of the Notes to repurchase 1,707,922 shares of our common stock owned by Xylem Finance LLC, an affiliate of Davidson Kempner Capital Management LP, for an aggregate repurchase price of approximately $20.0 million. See “—Trends and Recent Developments—Notes offering” in this report. Our financing sources historically have included the foregoing, as well as capital contributions from our investors prior to our IPO, and the proceeds from our IPO and concurrent private placement (which capital has all been deployed). Going forward, we may also utilize other types of borrowings, including bank credit facilities and warehouse lines of credit, among others. We may also seek to raise additional capital through public or private offerings of equity, equity-related, or debt securities, depending upon market conditions. The use of any particular source of capital and funds will depend on market conditions, availability of these sources, and the investment opportunities available to us.
We have used and expect to continue to use loan financing lines to finance the acquisition and accumulation of mortgage loans or other mortgage‑related assets pending their eventual securitization. Upon accumulating an appropriate amount of assets, we have financed and expect to continue to finance a substantial portion of our mortgage loans utilizing fixed-rate term securitization funding that provides long‑term financing for our mortgage loans and locks in our cost of funding, regardless of future interest rate movements.

Securitizations may either take the form of the issuance of securitized bonds or the sale of “real estate mortgage investment conduit” securities backed by mortgage loans or other assets, with the securitization proceeds being used in part to repay pre-existing loan financing lines and repurchase facilities. We have sponsored and participated in securitization transactions with other entities that are managed by Angel Oak, and may continue to do so in the future, along with sponsoring sole securitization transactions.

We believe these identified sources of financing will be adequate for purposes of meeting our short‑term (within one year) and our longer‑term liquidity needs. We cannot predict with certainty the specific transactions we will undertake to generate sufficient liquidity to meet our obligations as they come due. We will adjust our plans as appropriate in response to changes in our expectations and any potential changes in market conditions.
52


Description of Existing Financing Arrangements
As of September 30, 2024, we were a party to three warehouse loan financing lines, which permitted borrowings in an aggregate amount of up to $1.1 billion. During the quarter ended September 30, 2024, we renewed our loan financing facility with Multinational Bank 1 in accordance with the mechanism for six-month renewal periods. Subsequent to the end of the quarter, we (i) amended our loan financing facility with Global Investment Bank 2 to, among other changes, reduce the interest rate pricing spread to a range from 1.75% to 3.35% and (ii) amended our loan financing facility with Global Investment Bank 3 to, among other changes, extend the termination date to (a) November 1, 2025; (b) reduce the interest rate pricing spread to a range from 1.90% to 4.75% based on collateral type, loan status, dwell time and other factors; and (c) eliminate the 20 basis point index spread adjustment. Borrowings under warehouse loan financing lines (in general, each a “loan financing facility”) may be used to purchase whole loans for securitization or loans purchased for long‑term investment purposes.
Our financing facilities are generally subject to limits on borrowings related to specific asset pools (“advance rates”) and other restrictive covenants, as is usual and customary. As of September 30, 2024, the advance rates (when required) of our three active lenders ranged from 65% to 92%, depending on the asset type and loan delinquency status. Our most restrictive covenants (when covenants are required by any of our three active lenders) included (1) our minimum tangible net worth must not (i) decline 20% or more in the previous 30 days, 25% or more in the previous 90 days, or 35% or more in the previous year, or (ii) fall below $200.0 million of tangible net worth as of September 30, 2022 plus 50% of any capital contribution made or raised after September 30, 2022; (2) our minimum liquidity must not fall below the greatest of (i) the product of 5% and the aggregate repurchase price for a specific loan financing facility as of such date of determination, (ii) $10.0 million and (iii) any other amount of liquidity that we have covenanted to maintain in any other note, indenture, loan agreement, guaranty, swap agreement or any other contract, agreement or transaction (including, without limitation, any repurchase agreement, loan and security agreement, or similar credit facility or agreement for borrowed funds); and (3) the maximum ratio of our and our subsidiaries’ total indebtedness to tangible net worth must not be greater than 5:1. Our minimum liquidity requirement as of September 30, 2024 was $10.0 million.
A description of each loan financing facility in place during the quarter ended September 30, 2024 is set forth as follows:
Multinational Bank 1 Loan Financing Facility. On April 13, 2022, we and two of our subsidiaries entered into a master repurchase agreement with a multinational bank (“Multinational Bank 1”). Our subsidiaries are each considered a “Seller” under this agreement. From time to time and pursuant to the agreement, either of our subsidiaries may sell to Multinational Bank 1, and later repurchase, up to $600.0 million aggregate borrowings on mortgage loans.
Pursuant to the terms of the master repurchase agreement, the agreement may be renewed every three months for a maximum six-month term. As of September 30, 2024, the termination date of the master repurchase agreement was March 25, 2025.
The amount expected to be paid by Multinational Bank 1 for each eligible mortgage loan is based on an advance rate as a percentage of either the outstanding principal balance of the mortgage loan or the market value of the mortgage loan, whichever is less. Pursuant to the agreement, Multinational Bank 1 retains the right to determine the market value of the mortgage loans in its sole commercially reasonable discretion. The loan financing line is marked‑to‑market. Additionally, Multinational Bank 1 is under no obligation to purchase the eligible mortgage loans we offer to sell to them. The interest rate on any outstanding balance under the master repurchase agreement that the applicable subsidiary is required to pay Multinational Bank 1 is generally in line with other similar agreements that the Company or one or more of its subsidiaries has entered into, where the interest rate is equal to the sum of (1) a pricing spread generally ranging from 1.75% to 2.10% and (2) the average SOFR for each U.S. Government Securities Business Day (as defined in the master repurchase agreement) until two U.S. Government Securities Business Days prior to the date the applicable loan is repurchased by the applicable subsidiary.
The obligations of the subsidiaries under the master repurchase agreement are guaranteed by the Company pursuant to a guaranty executed contemporaneously with the master repurchase agreement. In addition, and similar to other repurchase agreements that the Company has entered into, the Company is subject to various financial and other covenants, including those relating to (1) maintenance of a minimum tangible net worth; (2) a maximum ratio of indebtedness to tangible net worth; and (3) minimum liquidity.
The agreement contains margin call provisions that provide Multinational Bank 1 with certain rights in the event of a decline in the market value of the purchased mortgage loans. Under these provisions, Multinational Bank 1 may require us or our subsidiaries to transfer cash sufficient to eliminate any margin deficit resulting from such a decline.
In addition, the agreement contains events of default (subject to certain materiality thresholds and grace periods), including payment defaults, breaches of covenants and/or certain representations and warranties, cross‑defaults, bankruptcy or insolvency proceedings and other events of default customary for this type of transaction. The remedies for such events of default are also customary for this type of transaction and include the acceleration of the principal amount outstanding under the agreement and Multinational Bank 1’s right to liquidate the mortgage loans then subject to the agreement.
We and our subsidiaries are also required to pay certain customary fees to Multinational Bank 1 and to reimburse Multinational Bank 1 for certain costs and expenses incurred in connection with its structuring, management, and ongoing administration of the master repurchase agreement.
Global Investment Bank 2 Loan Financing Facility. On March 28, 2024, two of our subsidiaries entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 2”), replacing the existing master repurchase agreement with Global
53

Investment Bank 2 entered into on February 13, 2020. Our two subsidiaries are each considered a “Seller” under this agreement. Pursuant to the agreement, one of our subsidiaries may sell to Global Investment Bank 2, and later repurchase, up to $250.0 million aggregate borrowings on mortgage loans. The agreement is set to terminate on March 27, 2026, unless terminated earlier pursuant to the terms of the agreement.
The principal amount paid by Global Investment Bank 2 for each mortgage loan is based on a percentage of the market value, cost‑basis value, or unpaid principal balance of the mortgage loan (depending on the type of loan and certain other factors and subject to certain other adjustments). Pursuant to the agreement, Global Investment Bank 2 retains the right to determine the market value of the mortgage loan collateral in its sole good faith discretion. Additionally, Global Investment Bank 2 is under no obligation to purchase the eligible mortgage loans we offer to sell to them. Upon our or our subsidiary’s repurchase of the mortgage loan, our subsidiaries are required to repay Global Investment Bank 2 the principal amount related to such mortgage loan plus accrued and unpaid interest at a rate based on the sum of (1) the greater of (A) the greater of (i) 0.00% and (ii) Term SOFR (which is defined as the forward-looking term rate based on the Secured Overnight Financing Rate for a corresponding tenor of one month) and (B) a pricing spread generally ranging from, as of October 25, 2024, 1.75% to 3.35%.
The obligations of the subsidiaries under the master repurchase agreement are guaranteed by the Company pursuant to a guaranty executed contemporaneously with the master repurchase agreement. In addition, and similar to other repurchase agreements that the Company has entered into, the Company is subject to various financial and other covenants, including those relating to (1) maintenance of a minimum tangible net worth; (2) a maximum ratio of indebtedness to tangible net worth; and (3) minimum liquidity.
The agreement contains margin call provisions that provide Global Investment Bank 2 with certain rights in the event of a decline in the market value or cost‑basis value of the purchased mortgage loans. Under these provisions, Global Investment Bank 2 may require us or our subsidiary to transfer cash sufficient to eliminate any margin deficit resulting from such a decline.
In addition, the agreement contains events of default (subject to certain materiality thresholds and grace periods), including payment defaults, breaches of covenants and/or certain representations and warranties, cross‑defaults, bankruptcy or insolvency proceedings and other events of default customary for this type of transaction. The remedies for such events of default are also customary for this type of transaction and include the acceleration of the principal amount outstanding under the agreement and Global Investment Bank 2’s right to liquidate the mortgage loans then subject to the agreement.
We and our subsidiary are also required to pay certain customary fees to Global Investment Bank 2 and to reimburse Global Investment Bank 2 for certain costs and expenses incurred in connection with its structuring, management and ongoing administration of the agreement.
Global Investment Bank 3 Loan Financing Facility. On October 24, 2018, two of our subsidiaries entered into a master repurchase agreement with a global investment bank (“Global Investment Bank 3”) for which we serve as guarantor of our subsidiaries’ obligations. Our subsidiaries are each considered a “Seller” under this agreement. Pursuant to the initial agreement, our subsidiaries could sell to Global Investment Bank 3, and later repurchase, up to $200.0 million aggregate borrowings on mortgage loans, although Global Investment Bank 3 was under no obligation to purchase the loans our subsidiaries offered to sell to them.
On January 1, 2022, the facility was amended to transition the reference rate from a LIBOR-based index to Compound SOFR. Compound SOFR is determined on a one-month basis and is defined as a daily rate as determined by Global Investment Bank 3 to be the “USD-SOFR-Compound” rate as defined in the International Swaps and Derivatives Association, Inc. definitions.
On November 7, 2023, the facility’s termination date was extended to November 7, 2024. In addition, the base interest rate spread was reduced to 1.80% plus a 0.20% index spread adjustment. The advance rate for performing non-seasoned loans was increased to 85%.
On November 1, 2024, the facility’s termination date was extended to November 1, 2025. In addition, the base interest rate spread was reduced to a range from 1.90% to 4.75% and the index spread adjustment of 0.20% was eliminated.
The loan financing line is marked-to-market at fair value, where Global Investment Bank 3 retains the right to determine the market value of the mortgage loan collateral in its sole and good faith discretion and in a commercially reasonable manner and is under no obligation to purchase the eligible mortgage loans we offered to sell to them. Further, the principal amount paid by Global Investment Bank 3 for each eligible mortgage loan is based on a percentage of the outstanding principal balance of the mortgage loan or the market value of the mortgage loan, whichever is less.
The Agreement contains margin call provisions that provide Global Investment Bank 3 with certain rights in the event of a decline in the market value of the purchased mortgage loans. Under those provisions, Global Investment Bank 3 could require us or our subsidiaries to transfer cash sufficient to eliminate any margin deficit resulting from such a decline.
The agreement requires us to maintain various financial and other customary covenants. The agreement also sets forth events of default (subject to certain materiality thresholds and grace periods), including payment defaults, breaches of covenants and/or certain representations and warranties, cross‑defaults, bankruptcy or insolvency proceedings and other events of default customary for this type of transaction. The remedies for such events of default are also customary for this type of transaction and include the acceleration of the principal amount outstanding under the agreement and Global Investment Bank 3’s right to liquidate the mortgage loans then subject to the agreement.
54

We and our subsidiaries are also required to pay certain customary fees to Global Investment Bank 3 and to reimburse Global Investment Bank 3 for certain costs and expenses incurred in connection with its structuring, management, and ongoing administration of the agreement.
Institutional Investors A and B Static Loan Pool Financing. On October 4, 2022, the Company and a subsidiary entered into two separate master repurchase facilities with two affiliates of an institutional investor (“Institutional Investors A and B”) regarding a specific pool of whole loans with financing of approximately $168.7 million on approximately $239.3 million of unpaid principal balance. The Company repaid these financing facilities in full on January 4, 2023, at which time the facilities were terminated pursuant to their terms.
Regional Bank 1 Loan Financing Facility. On December 21, 2018, we and one of our subsidiaries entered into a master repurchase agreement with a regional bank (“Regional Bank 1”). This financing facility was substantially unused, and expired by its terms on March 16, 2023.
The following table sets forth the details of our loan financing facilities as of each of September 30, 2024 and December 31, 2023:
Interest
Rate Pricing
Spread		Drawn Amount
Note PayableBase Interest RateSeptember 30, 2024December 31, 2023
($ in thousands)
Multinational Bank 1 (1)
Average Daily SOFR
1.75% - 2.10%
$292,060 $206,183 
Global Investment Bank 2 (2)
1 month Term SOFR2.10% - 3.45%— — 
Global Investment Bank 3 (3)
Compound SOFR
2.00% - 4.50%
40,982 84,427 
Institutional Investors A and B (4)
1 month Term SOFR3.50%N/A— 
Regional Bank 1 (5)
1 month SOFR
2.50% - 3.50%
N/A— 
Total$333,042 $290,610 
(1)     On September 25, 2024, this financing facility was extended through March 25, 2025 in accordance with the terms of the agreement, which contemplates six-month renewals.
(2)     On March 28, 2024 the amended and restated Master Repurchase Agreement was terminated and replaced with a new $250 million Master Repurchase Agreement which has a termination date of March 27, 2026. On October 25, 2024, this facility was amended, reducing the interest rate pricing spread to a range from 1.75% to 3.35%, based on loan status, dwell time and other factors. Prior to this extension the interest rate pricing spread ranged from 2.10% to 3.35%.
(3)     On November 1, 2024, this facility was amended to (i) reduce the interest rate pricing spread to a range from 1.90% to 4.75%, based on loan status, dwell time and other factors, (ii) eliminate the 20 basis point index spread adjustment, and (iii) extend the facility’s termination date to November 1, 2025.
(4)     These agreements expired by their terms on January 4, 2023.
(5)     This agreement expired by its terms on March 16, 2023.
The following table sets forth the total unused borrowing capacity of each loan financing facility as of September 30, 2024:
Note PayableBorrowing CapacityBalance OutstandingAvailable Financing
(in thousands)
Multinational Bank 1
$600,000 $292,060 $307,940 
Global Investment Bank 2
250,000 — 250,000 
Global Investment Bank 3
200,000 40,982 159,018 
Total$1,050,000 $333,042 $716,958 

Although available financing is uncommitted for each of our financing facilities, the Company’s unused borrowing capacity is available if it has eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements.
Short‑Term Repurchase Facilities. In addition to our existing loan financing lines, we employ short‑term repurchase facilities to borrow against U.S. Treasury securities, securities issued by AOMT, Angel Oak’s securitization platform, and other securities we may acquire in accordance with our investment guidelines. The following table sets forth certain characteristics of our short-term repurchase facilities as of September 30, 2024 and December 31, 2023:
55

September 30, 2024
Repurchase AgreementsAmount OutstandingWeighted Average Interest RateWeighted Average Remaining Maturity (Days)
($ in thousands)
U.S. Treasury securities$49,712 4.90 %3
RMBS (1)
$53,164 6.35 %18
Total$102,876 5.65 %11
December 31, 2023
Repurchase AgreementsAmount OutstandingWeighted Average Interest RateWeighted Average Remaining Maturity (Days)
($ in thousands)
U.S. Treasury securities$149,013 5.57 %10
RMBS (1)
44,643 7.04 %16
Total$193,656 5.91 %11
(1) A portion of repurchase debt outstanding as of both September 30, 2024 and December 31, 2023 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs).
The repurchase debt against the U.S. Treasury securities was repaid in full upon the maturity of the U.S. Treasury securities.
The following table presents the amount of collateralized borrowings outstanding under repurchase facilities as of the end of each quarter, the average amount of collateralized borrowings outstanding under repurchase facilities during the quarter and the highest balance of any month end during the quarter:
Quarter EndQuarter End BalanceAverage Balance in QuarterHighest Month-End Balance in Quarter
(in thousands)
Q4 202252,544 56,426 63,357 
Q1 2023442,214 180,165 442,214 
Q2 2023340,701 101,731 340,701 
Q3 2023
188,101 87,279 188,101 
Q4 2023
193,656 62,536 193,656 
Q1 2024
193,493 69,254 193,493 
Q2 2024
201,051 66,804 201,051 
Q3 2024
102,876 57,842 102,876 

We utilize short‑term repurchase facilities on our RMBS portfolio and to finance assets for REIT asset test purposes. Over time, the need to purchase securities for REIT asset test purposes will be reduced as we obtain and participate in additional securitizations and acquire assets directly for investment purposes. We will continue to use repurchase facilities on our RMBS portfolio to add additional leverage which increases the yield on those assets. Our use of repurchase facilities is generally highest at the end of any particular quarter, as shown in the table above, where the quarter-end balance and the highest month-end balance in each quarter are generally equivalent.
Securitization Transactions
Subsequent to the end of the quarter, in October 2024, we were the sole participant in a securitization transaction of a pool of residential mortgage loans, secured exclusively by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2024-10 issued approximately $316.8 million in face value of bonds. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $260.4 million and retained cash of $39.4 million, which was used for new loan purchases and operational purposes.
We are the sole member of the Depositor and also own and hold the call rights on the XS tranche of bonds, which is the “controlling class” of the bonds. We will consolidate the AOMT 2024-10 securitization on our consolidated balance sheet, maintaining the residential mortgage loans held in the securitization trust and the related financing obligation thereto on our consolidated balance sheets in future reporting periods.
56

In June 2024, we and other affiliated entities participated in a securitization transaction of a pool of residential mortgage loans, secured primarily by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2024-6 issued approximately $479.6 million in face value of bonds. Our proportionate share of 4.51% of the retained bonds and investments in MOAs was approximately $2.5 million, including a retained discount on issuance of approximately $0.8 million. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $15.8 million and retained cash of $1.8 million, which was used for operational purposes.
We derecognized the mortgage loans sold in AOMT 2024-6 and recorded an investment in majority-owned affiliates located within “other assets” on our consolidated balance sheet as of September 30, 2024.
In April 2024, we were the sole participant in a securitization transaction of a pool of residential mortgage loans, secured exclusively by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2024-4 issued approximately $299.8 million in face value of bonds. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $235.9 million and retained cash of $39.1 million, which was used for new loan purchases and operational purposes.
We are the sole member of the Depositor and also own and hold the call rights on the XS tranche of bonds, which is the “controlling class” of the bonds. We have consolidated the AOMT 2024-4 securitization on our consolidated balance sheet, maintaining the residential mortgage loans held in the securitization trust and the related financing obligation thereto on our consolidated balance sheets as of September 30, 2024.
In March 2024, we and other affiliated entities participated in a securitization transaction of a pool of residential mortgage loans, secured primarily by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2024-3 issued approximately $439.6 million in face value of bonds. Our proportionate share of 10.98% of the retained bonds and investments in MOAs was approximately $4.8 million, including a retained discount on issuance of approximately $1.6 million. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $35.9 million and retained cash of $4.6 million, which was used for operational purposes.
We derecognized the mortgage loans sold in AOMT 2024-3 and recorded an investment in majority-owned affiliates located within “other assets” on our consolidated balance sheet as of September 30, 2024.
In December 2023, we and other affiliated entities participated in a securitization transaction of a pool of residential mortgage loans, secured primarily by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2023-7 issued approximately $397.2 million in face value of bonds. Our proportionate share of 10.36% of the retained bonds and investments in MOAs was approximately $3.5 million, including a retained discount on issuance of approximately $1.4 million. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $30.9 million and retained cash of $3.6 million, which was used for operational purposes.
We derecognized the mortgage loans sold in AOMT 2023-7 and recorded an investment in majority-owned affiliates located within “other assets” on our consolidated balance sheet as of September 30, 2024.
In August 2023, we and other affiliated entities participated in a securitization transaction of a pool of residential mortgage loans, secured primarily by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2023-5 issued approximately $260.6 million in face value of bonds. Our proportionate share of 34.42% of the retained bonds and investments in MOAs was approximately $7.7 million, including a retained discount on issuance of approximately $2.7 million. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $63.4 million and retained cash of $10.7 million, which was used for operational purposes.
We derecognized the mortgage loans sold in AOMT 2023-5 and recorded an investment in majority-owned affiliates located within “other assets” on our consolidated balance sheet as of September 30, 2024.
In June 2023, we were the sole participant in a securitization transaction of a pool of residential mortgage loans, secured exclusively by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2023-4 issued approximately $259.4 million in face value of bonds. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $197.3 million and retained cash of $35.7 million, which was used for new loan purchases and operational purposes.
We are the sole member of the Depositor and also own and hold the call rights on the XS tranche of bonds, which is the “controlling class” of the bonds. We have consolidated the AOMT 2023-4 securitization on our consolidated balance sheet, maintaining the residential mortgage loans held in the securitization trust and the related financing obligation thereto on our consolidated balance sheets as of September 30, 2024.
In January 2023, we and other affiliated entities participated in a securitization transaction of a pool of residential mortgage loans, secured primarily by first liens on one‑to‑four family residential properties. In the transaction, AOMT 2023-1 issued approximately $552.9 million in face value of bonds. Our proportionate share of 41.21% of the retained bonds and investments in MOAs was approximately $19.8 million, including a retained discount on issuance of approximately $6.8 million. We used the proceeds of the securitization transaction to repay outstanding debt of approximately $190.1 million and retained cash of $15.9 million, which was used for operational purposes.
We derecognized the mortgage loans sold in this transaction and recorded an investment in majority-owned affiliate located within “other assets” on our consolidated balance sheet as of September 30, 2024.
57


We finance our assets with what we believe to be a prudent amount of leverage, which will vary from time to time based upon the particular characteristics of our portfolio, availability of financing, and market conditions.
Subject to maintaining our qualification as a REIT and maintaining our exclusion from regulation as an investment company under the Investment Company Act, we expect to utilize various derivative instruments and other hedging instruments to mitigate interest rate risk, credit risk and other risks. For example, we may enter into hedging transactions with respect to interest rate exposure on one or more of our assets or liabilities. Any such hedging transactions could take a variety of forms, including the use of derivative instruments such as interest rate swap contracts, index swap contracts, interest rate cap or floor contracts, futures or forward contracts, and options.
Notes Offering

On July 25, 2024, we closed an underwritten public offering and sale of, and issued, $50 million in aggregate principal amount of our 9.500% Senior Notes due 2029. The Notes bear interest at a rate of 9.500% per annum, payable quarterly in arrears on January 30, April 30, July 30 and October 30 of each year, commencing on October 30, 2024. The Notes will mature on July 30, 2029, unless earlier redeemed or repurchased by us. The Notes are fully and unconditionally guaranteed on a senior unsecured basis by the Operating Partnership, including the due and punctual payment of principal of premium, if any, and interest on the Notes, whether at the stated maturity, upon, acceleration, call for redemption or otherwise. We may redeem the Notes in whole or in part at any time or from time to time at our option on or after July 30, 2026 at a redemption price equal to 100% of the principal amount of the Notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date. Upon the occurrence of certain events relating to a change of control of us, we must make an offer to repurchase all outstanding Notes at a price in cash equal to 101% of the principal amount of the Notes, plus accrued and unpaid interest to, but excluding, the repurchase date.

ATM Program

On August 8, 2024, the Company entered into an At Market Issuance Sales Agreement (the “Sales Agreement”) to sell shares of the Company’s common stock (“common stock”) from time to time having an aggregate gross sales price of up to $75 million, through an “at the market” equity offering program (the “ATM Program”). The Company issued and sold 188,456 shares of common stock through the ATM Program during the three-months and nine-months ended September 30, 2024 for net proceeds of $2.3 million. As of September 30, 2024, the Company had approximately $73 million of shares of common stock available for issuance under the ATM Program and Sales Agreement.

Cash Availability
Cash and cash equivalents

Our cash balance as of September 30, 2024 was sufficient to meet our liquidity covenants under our financing facilities. We believe that we maintain sufficient cash to fund margin calls on our mark to market financing facilities or our economic hedge agreements, should such margin calls occur.

We may also participate in upcoming securitizations either solely or with other Angel Oak entities. We also have the ability to leverage currently unleveraged securities or whole loan assets, if we deem those actions advisable.

Restricted Cash

Restricted cash of approximately $2.7 million as of September 30, 2024 was comprised of: no margin collateral held in support of our whole pool assets; $2.3 million in interest rate futures margin collateral for the interest rate futures under our sole control; and margin collateral for securities sold under agreements to repurchase of $0.3 million.

Restricted cash of approximately $2.9 million as of December 31, 2023 was comprised of: $2.5 million in interest rate futures margin collateral; and margin collateral for securities sold under agreements to repurchase of $0.3 million. Our counterparties did not require any margin collateral for TBAs as of December 31, 2023.


58

Cash Flows

Nine Months Ended
September 30, 2024September 30, 2023
(in thousands)
Cash flows provided by (used in) operating activities$(196,380)$353,744 
Cash flows provided by (used in) investing activities$86,040 $(179,325)
Cash flows provided by (used in) financing activities
$110,575 $(171,318)
Net increase (decrease) in cash and restricted cash
$235 $3,101 

The cash used in operating activities of $196.4 million for the nine months ended September 30, 2024 as compared to the cash provided by operating activities of $353.7 million for the nine months ended September 30, 2023 was primarily due to the volume of residential mortgage loans sold into an affiliate’s securitization trust during the first nine months of 2023, as compared to the first nine months of 2024.

The cash provided by investing activities of $86.0 million for the nine months ended September 30, 2024 as compared to cash used in investing activities of $179.3 million for the nine months ended September 30, 2023 were primarily due to the timing of purchases and maturities of U.S. Treasury securities in the comparative period of 2023.

Financing cash flows provided $110.6 million for the nine months ended September 30, 2024 as compared to cash used of $171.3 million for the nine months ended September 30, 2023 were primarily due to the activity within net borrowings under repurchase agreements and notes payable for the comparative periods.

Cash Flows - Residential and Commercial Loan Classification

Residential loan activity is recognized in the statement of cash flows as an operating activity, as our residential mortgage loans are generally held for a short period of time with the intent to securitize these loans. Commercial mortgage loan activity is recognized in the statement of cash flows as an investing activity, as our commercial mortgage loan portfolio is generally deemed to be held for investing purposes.

Critical Accounting Policies and Estimates

The preparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reported periods. Actual results could differ from those estimates. A discussion of critical accounting policies and estimates is included in the “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies and Estimates” section in the Annual Report on Form 10-K. Our critical accounting policies and estimates have not materially changed since December 31, 2023. Management discusses the ongoing development and selection of these critical accounting policies and estimates with the Audit Committee of our Board of Directors.

We expect quarter-to-quarter GAAP earnings volatility from our business activities. This volatility can occur for a variety of reasons, particularly changes in the fair values of consolidated assets and liabilities. In addition, the amount or timing of our reported earnings may be impacted by technical accounting issues and estimates.

Recent Accounting Pronouncements
Refer to the notes to our condensed consolidated financial statements included in this report for a discussion of recent accounting pronouncements and any expected impact on the Company.


ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
As a smaller reporting company, we are not required to provide this information.
59

ITEM 4. CONTROLS AND PROCEDURES
Disclosure Controls and Procedures
The Company’s management, with the participation of the Company’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the Company’s disclosure controls and procedures (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) as of the end of the period covered by this report. The Company’s disclosure controls and procedures are designed to provide reasonable assurance that information is recorded, processed, summarized, and reported accurately and on a timely basis. Based on such evaluation, the Company’s Chief Executive Officer and Chief Financial Officer have concluded that, as of the end of such period, the Company’s disclosure controls and procedures were effective.

Changes in Internal Control Over Financial Reporting

There have not been any changes in the Company’s internal control over financial reporting (as such term is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) during the fiscal quarter to which this report relates that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.


60

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS
None.

ITEM 1A. RISK FACTORS

For a discussion of our potential risks and uncertainties, see the information under Item 1A. “Risk Factors” in the Annual Report on Form 10-K. There have been no material changes to our principal risks that we believe are material to our business, results of operations, and financial condition from the risk factors previously disclosed in the Annual Report on Form 10-K. The risks described in the Annual Report on Form 10-K are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition, or future results.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Issuer Purchases of Equity Securities

The following table sets forth information with respect to shares of our common stock that we repurchased during the quarter ended September 30, 2024:


Period
Total Number of Shares Purchased (1)
Average Price Paid per Share (1)
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plans or Programs
July 1, 2024 - July 31, 20241,707,922$11.68 -$— 
August 1, 2024 - August 31, 2024-$— -$— 
September 1, 2024 - September 30, 2024-$— -$— 
Total1,707,922$11.68 -$— 

(1)On July 18, 2024, we entered into a stock repurchase agreement(the “stock repurchase agreement”)with Xylem Finance LLC, an affiliate of Davidson Kempner Capital Management LP. Pursuant to the stock repurchase agreement, on July 25, 2024,we repurchased 1,707,922 shares of common stock owned by Xylem Finance LLC for an aggregate repurchase price of approximately $20.0 million.

Unregistered Sales of Equity Securities

There were no unregistered sales of equity securities during the quarter ended September 30, 2024.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

ITEM 5. OTHER INFORMATION

(c) Trading Plans

During the quarter ended September 30, 2024, none of our directors or officers (as defined in Rule 16a-1(f) of the Exchange Act) adopted, terminated or modified a Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement (as such terms are defined in Item 408 of Regulation S-K).
61

ITEM 6. EXHIBITS

Exhibit NumberDescription
3.1
3.2
3.3
4.1
4.2
4.3
10.1+
10.2+
10.3+

22.1
31.1†
31.2†
32.1*
32.2*
101.DefDefinition Linkbase Document
101.PrePresentation Linkbase Document
101.LabLabels Linkbase Document
101.CalCalculation Linkbase Document
101.SchSchema Document
101.InsInstance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
104
The cover page from this Quarterly Report on Form 10-Q for the quarter ended September 30, 2024, formatted in Inline XBRL

+     Portions of this exhibit are redacted pursuant to Item 601(b)(10)(iv) of Regulation S-K.
†    Filed herewith.
*    Exhibit is being furnished and shall not be deemed to be “filed” for purposes of Section 18 of the Exchange Act or otherwise subject to the liabilities of that Section, nor shall it be deemed incorporated by reference into any filing under the Securities Act of 1933, as amended.
62

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized:
ANGEL OAK MORTGAGE REIT, INC.            
Date: November 7, 2024By:/s/ Sreeniwas Prabhu
Sreeniwas Prabhu
Chief Executive Officer and President
(Principal Executive Officer)
Date: November 7, 2024By:
/s/ Brandon R. Filson
Brandon R. Filson
Chief Financial Officer and Treasurer
(Principal Financial and Accounting Officer)



63