Angel Oak Mortgage REIT, Inc.

Greetings and welcome to the Angel Oak Mortgage, Inc. first quarter 2022 earnings call. At this time, all participants are in a listen-only mode. A question and answer session will follow the formal presentation. If anyone should require operator assistance during the conference, please press star zero on your telephone keypad. Please note that this conference is being recorded. I will now turn the conference over to our host, Randy Chrisman. Chief Marketing Officer with Angel Oak. Thank you. You may begin.

Good afternoon. Thank you for joining us today for Angel Oak Mortgage REIT's first quarter 2022 earnings conference call. This afternoon, we filed our press release detailing our first quarter 2022 results, which is available in the investor section on our website at www.angeloakereit.com. As a reminder, Remarks made on today's conference call may include forward looking statements. Forward looking statements are subject to risks and uncertainties that may cause actual results to differ materially from those discussed today. We do not undertake any obligation to update our forward looking statements in light of new information or future events. For a more detailed discussion of the factors that may affect the company's results, please refer to our earnings release for this quarter into our most recent SEC filings. During this call, we will be discussing certain non-GAAP financial measures. More information about these non-GAAP financial measures and reconciliations to the most directly comparable GAAP financial measures are contained in our earnings release and SEC filings. This afternoon's conference call is hosted by Angel Oak Mortgage REIT's Chief Executive Officer, Robert Williams, Chief Financial Officer, Brandon Filson, and Angel Oak Capital's co-CIO, Namit Sinha. Management will make some prepared comments, after which we will open up the call to your questions. Additionally, we recommend reviewing our earnings supplement posted on our website at www.angeloakreat.com. Now, I will turn the call over to Robert.

Thank you, Randy, and thank you everyone for joining us today. In the first quarter of 2022, AMR demonstrated the strength of its core business model against the backdrop of a historically volatile rate and yield environment. As we near the one-year anniversary of our IPO this June, we are proud of the 113% growth of our target asset base and the continued execution of our loan acquisition, securitization, and reinvestment strategy. From our IPO through the end of the quarter, we have purchased over $2 billion of high-quality non-QM loans, including $676 million in the first quarter of 2022, closed three securitizations, and as of today, have increased our loan financing capacity by close to $1 billion. The Angel Oak ecosystem continues to demonstrate its strategic advantages, and as our strategy remains consistent, we quickly deploy our capital in targeted high-quality non-QM mortgage loans, programmatically securitize those loans to secure a fixed cost of funding and lock in term structural leverage and reinvest capital in our targeted assets. As I mentioned, we observed an extremely volatile and uncertain fixed income market in Q1. As the Fed took action in March to attempt to mitigate higher inflation by increasing target interest rates. Over the course of the quarter, two and five year treasury swap rates which we use as part of our interest rate hedging strategy, more than tripled and nearly doubled, respectively. This, of course, was accompanied by a downward pricing pressure on our mark-to-market assets in the first quarter, and we expect this headwind will continue to some degree in the near future as the Fed makes further rate increases. With that said, we believe our non-agency asset portfolio and methodical growth strategy positions us well to withstand market volatility. The Angel Oak ecosystem enables AOMR to effectively customize our desired loan characteristics as markets evolve, including adapting to higher interest and mortgage rates, which Brandon will discuss in more detail later. The non-QM market has remained strong and steady so far in 2022. We continue to see growing non-QM volumes through our proprietary origination channels. Home price appreciation, while appearing to flatten slightly, has continued. and the delinquency rates remain near historic lows. Angel Loan growth continues to be driven by, and not in spite of, quality origination. As our recently originated loans have higher average FICO scores and lower average LTVs and DTIs than in prior years. We believe the first quarter of 2022 reinforced the strength of AOMR, and I'd like to highlight a few of the accomplishments we realized so far this year. In the first quarter of 2022, we purchased $676 million of high quality non-QM mortgages. At March 31st, our total assets were $3.2 billion, a 24% increase over the prior quarter. Our target assets, which include our residential and commercial whole loans and securities and loans and securitization trust were $2.7 billion, a 20% increase over the prior quarter. In February, we completed our third post IPO securitization for $537.6 million. Additionally, we added 50 million to our committed available financing capacity in the first quarter, plus an additional 340 million in April of 2022, bringing our total capacity to $1.64 billion as of today. Looking forward, we believe we continue to capitalize on our key differentiators, which I'd like to highlight. First, the origination of non-QM loans on a large scale requires unique capabilities, and that takes years to develop and refine. Extensive application research and verification must be conducted for a non-QM loan, which creates a high barrier to entry. Angel Oak has invested substantial time and capital of 11 plus years to develop thorough and efficient systems of underwriting and origination, providing enormous amounts of data which we alone can utilize. Second, Angel Oak Mortgage Lending, as the mortgage loan originator, has the ability to adjust their underwriting standards and origination characteristics as circumstances evolve. As mentioned previously, this includes the ability to increase or decrease interest rates in a volatile rate environment. Due to our proprietary access to the Angel Oak ecosystem, we can similarly purchase loans with our desired characteristics. Importantly, members of the mortgage and portfolio management teams meet daily to discuss credit and current pricing metrics, enabling AOMR to quickly adjust to changing market conditions. Third, Angel Oak has unmatched experience and marketplace brand recognition in aggregating non-QM loans and executing own securitizations. Over the years, Angel Oak has completed over 30 securitizations, including three for AOMR, and 2021 and 2022. These securitizations lock in long-term financing and net interest margin while reducing our liquidity risk. As stated, because non-QM loans typically carry a meaningful spread to conventional mortgage rates, we can often achieve superior returns with lower leverage than many of our peers. We remain confident we can achieve strong portfolio growth over time, supporting a robust and durable distributable earnings cash flow, and dividends. As such, we are pleased to declare a first quarter 2022 dividend of 45 cents per common share payable on May 31st, 2022 to shareholders of record as of May 23rd, 2022. With that, I'm pleased to turn it over to Brandon.