Angel Oak Mortgage REIT : First Quarter 2024 Earnings Supplement

Angel Oak Mortgage REIT, Inc.

First Quarter 2024 Earnings Supplement

Important Notices

References herein to our "Company," "AOMR," "we," "us," or "our" refer to Angel Oak Mortgage REIT, Inc. and its subsidiaries, including Angel Oak Mortgage Operating Partnership, LP (the "Operating Partnership"), unless the context requires otherwise. Unless otherwise indicated, the term "Angel Oak" refers collectively to Angel Oak Capital Advisors, LLC ("Angel Oak Capital") and its affiliates, including Falcons I, LLC, our external manager (our "Manager"), Angel Oak Companies, LP ("Angel Oak Companies"), and the proprietary mortgage lending platform of affiliates, Angel Oak Mortgage Solutions LLC (together with other non-operational affiliated originators, "Angel Oak Mortgage Lending"). References to "AOMT" refer to Angel Oak Mortgage Trust, Angel Oak's securitization platform, including its subsidiaries and affiliates.

This presentation has been prepared by the Company solely for your information and may not be reproduced or redistributed, in whole or in part, to any other person. The information contained in this presentation is provided to you as a summary as of the date of this presentation and is subject to change without notice. The Company does not undertake any obligation to update this presentation to reflect actual events, circumstances or changes in expectations. This presentation was prepared based upon information believed to be reliable. However, the Company does not make any representation or warranty with regard to the accuracy or completeness of the information herein and some of such information was obtained from published sources or other third parties without independent verification.

This presentation contains certain forward-looking statements that are subject to various risks and uncertainties, including, without limitation, statements relating to the performance of our

investments. Forward-looking statements are generally identifiable by use of forward-looking terminology such as "may," "will," "should," "potential," "intend," "expect," "endeavor," "seek,"

"anticipate," "estimate," "believe," "could," "project," "predict," "continue" or by the negative of these words and phrases or other similar words or expressions. Forward-looking statements are based on certain assumptions, discuss future expectations, describe existing or future plans and strategies, contain projections of results of operations, liquidity and/or financial condition or state other forward-looking information. Our ability to predict future events or conditions or their impact or the actual effect of existing or future plans or strategies is inherently uncertain. Although we believe that such forward-looking statements are based on reasonable assumptions, actual results and performance in the future could differ materially from those set forth in or implied by such forward-looking statements. Factors that could have a material adverse effect on future results and performance relative to those set forth in or implied by the related forward-looking statements, as well as on our business, financial condition, liquidity, results of operations and prospects, include, but are not limited to:

(see next page):

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Important Notices

• the effects of adverse conditions or developments in the financial markets and the economy upon our ability to acquire target assets such as non-qualified residential mortgage ("non-QM") loans, particularly those sourced from Angel Oak's proprietary mortgage lending platform, Angel Oak Mortgage Lending;
• the level and volatility of prevailing interest rates and credit spreads;
• changes in our industry, inflation, interest rates, business strategies, the debt or equity markets, the general economy (or in specific regions) or the residential real estate finance and real estate markets specifically;
• general volatility of the markets in which we invest;
• changes in the availability of attractive loans and other investment opportunities, including non-QM loans sourced from Angel Oak Mortgage Lending;
• the ability of our Manager to locate suitable investments for us, manage our portfolio, and implement our strategy;
• our ability to profitably execute securitization transactions;
• our ability to obtain and maintain financing arrangements on favorable terms, or at all;
• the adequacy of collateral securing our investments and a decline in the fair value of our investments;
• the timing of cash flows, if any, from our investments;
• the operating performance, liquidity, and financial condition of borrowers;
• increased rates of default and/or decreased recovery rates on our investments;
• changes in prepayment rates on our investments;
• the departure of any of the members of senior management of the Company, our Manager, or Angel Oak;
• the availability of qualified personnel;
• conflicts with Angel Oak, including our Manager and its personnel, including our officers, and entities managed by Angel Oak;
• events, contemplated or otherwise, such as acts of God, including hurricanes, earthquakes, and other natural disasters, including those resulting from global climate change, pandemics, acts of war or terrorism, the initiation or escalation of military conflicts (such as the Russian invasion of Ukraine), and others that may cause unanticipated and uninsured performance declines, disruptions in markets, and/or losses to us or the owners and operators of the real estate securing our investments;
• impact of and changes in governmental regulations, tax laws and rates, accounting principles and policies and similar matters;
• the level of governmental involvement in the U.S. mortgage market;
• future changes with respect to the Federal National Mortgage Association or Federal Home Loan Mortgage Corporation in the mortgage market and related events, including the lack of certainty as to the future roles of these entities and the U.S. Government in the mortgage market and changes to legislation and regulations affecting these entities;
• effects of hedging instruments on our target assets and our returns, and the degree to which our hedging strategies may or may not protect us from interest rate volatility;
• our ability to make distributions to our stockholders in the future at the level contemplated by our stockholders or the market generally, or at all;
• our ability to continue to qualify as a real estate investment trust for U.S. federal income tax purposes; and
• our ability to maintain our exclusion from regulation as an investment company under the Investment Company Act of 1940, as amended.

Readers are cautioned not to place undue reliance on any of these forward-looking statements, which reflect our management's views only as of the date of this presentation. Actual results and performance may differ materially from those set forth in or implied by our forward-looking statements. New risks and uncertainties arise over time, and it is not possible for us to predict those events or how they may affect us. Except as required by applicable law, we assume no obligation, and do not intend to, update or otherwise revise any of our forward-looking statements, whether as a result of new information, future events or otherwise.

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Q1 2024 Highlights & Financial Results

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Q1 Financial Results

Continued earnings and book value growth supported by newly originated loan purchases and securitizations

Q1 GAAP / Economic	GAAP BV: $10.55 / common share
Book Value ("BV")1	Economic BV: $13.78 / common share
Q1 GAAP &	GAAP EPS: $0.51 / common share
Distributable
Earnings per Share	Dist. EPS: $0.11 / common share
("EPS")
	Q1 2024 NII of $8.6MM versus
Q1 Net Interest
Q1 2023 NII of $6.8MM, an expansion
Income ("NII")
of 26%

Q1 Annualized
Dividend Yield to	12.1%
GAAP Book Value

KEY COMMENTARY

• GAAP Book Value increased 2.8% and Economic Book Value increased 1.8% versus Q4 2023
• Credit performance of the portfolio remains strong; weighted average delinquency rate across residential whole loans, loans in securitization trust, and RMBS portfolios is currently 1.8%2
• Net Interest Income continues to increase and operating expenses remain at a low level; Net Interest Income expected to grow further in coming quarters
• The Company purchased $43.2MM of loans with a weighted average coupon ("WAC") of 8.14%, weighted average loan-to-value ratio ("LTV") of 68.7%, and a weighted average credit score of 747
• Residential whole loan portfolio coupon was 7.11% as of March 31, 2024; following the AOMT 2024-4 securitization, the WAC of the current whole loan portfolio (incl. proposed & locked purchases and securitizations) is approximately 7.0%; WAC is expected to continue to increase quickly with purchases of current-market coupon loans

Dividend

Declared dividend of $0.32 / common share payable on May 31, 2024

• Participated in the AOMT 2024-3 securitization and were the sole contributor to the AOMT 2024-4 securitization (post quarter-end), contributing loans with a scheduled unpaid principal balance of $348MM and releasing $272MM of warehouse borrowings in aggregate

1. See Appendix for definition and reconciliation to comparable GAAP metrics.
2. Based on % of unpaid principal balance that is 90+ days delinquent across Whole Loans, RMBS, and Residential Loans In Securitization Trust

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Whole Loan Coupon Trend

Whole Loan Coupon growth drives increased Net Interest Margin, reduces valuation risk, and supports future securitization execution.

• Current-marketloan purchases drove the whole loan portfolio weighted average coupon to 7.11% as of the end of Q1 2024
• AOMT 2024-4 securitized $300MM of scheduled unpaid principal balance from the whole loan portfolio with a weighted average coupon of 7.4%; we expect the remaining portfolio coupon to increase quickly with continued current-market loan purchases

Whole Loan Portfolio Weighted

Average Coupon Rate1

7.11% 7.0 0 %

6.78%

5.83%

4.74%4.68%4.72%4.80 %4.63%4.84%

4.49%4.52%

1 "Current" is an estimate as of April 30, 2024 and includes committed purchases. All other data is presented as of the applicable period-end date.

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AOMR 2024-4 Securitization

In April, AOMR was the sole participant in the AOMT 2024-4 securitization for $299.8MM with a 7.4% Weighted Average Coupon

2024-4 Securitization Details as of Deal Date

Class	Total Balance	Balance Sold	Initial Coupon	Fair Market Value
A1	$219,777,000	$219,777,000	6.20%	$219,774,538
A2	$15,591,000	$15,591,000	6.40%	$15,590,807
A3	$25,486,000	$25,486,000	6.50%	$25,485,997
M1	$13,942,000	$13,942,000	6.81%	$13,941,798
B1	$4,648,000			$4,103,288
B2	$10,644,000			$9,077,568
B3	$9,744,670			$7,660,663
XS	$299,832,670			$3,643,627
A-IO-S	$299,832,670			$2,705,090
Total	$299,832,670	$274,796,000		$301,983,377

KEY COMMENTARY

• $299.8MM Securitization; Face Value of securities sold $274.8MM
• Weighted average coupon of loans underlying portfolio of 7.36%
• The A1 through M1 tranches were sold, with the Company retaining the economics of the unsold tranches
• Weighted average credit score: 748; weighted average LTV: 69.8%

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Target Asset Composition

Target Asset Composition1,2

($ millions)

Key Commentary

2,869

1,055

1,027

771

2,112

523

1,029

544

2,026

471

1,242

297

2,085

595

1,194

284

2,101

488

1,221

380

2,033

445

1,201

368

• Decrease in Whole Pool RMBS holdings at month-end offset by bonds retained from AOMT 2024-3 comingled securitization and principal paydowns and valuation changes
• Movement of loans underlying AOMT 2024-3 from Residential Whole Loans to RMBS & Investment in MOA are the key drivers of change, offset by loan purchases and increased valuations
• We do not expect the Residential Whole Loan portfolio balance to grow above what we believe we can securitize in approximately two securitizations

Q4 2022	Q1 2023	Q2 2023		Q3 2023	Q4 2023	Q1 2024
		Residential Whole Loans			Residential Loans in Securitization Trust

RMBS & Investment in MOA

1. Reflects Target Asset Balances as of quarter end, which includes Residential Loans, Residential Loans in Securitization Trust, RMBS, Investment in majority-owned affiliate ("MOA"), Commercial Loans, and CMBS
2. The balance of Commercial Loans and CMBS represents the difference between displayed totals and the sum of Residential Loans, Residential Loans in Securitization Trust, RMBS, and Investment in MOA

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GAAP Book Value

6.1%

(3.1%)

12/31/2023 BV	Q1 2024	Q1 2024 BV	3/31/2024 BV
	Dividend	Growth1

1 Excluding quarterly dividend impact

GAAP Book Value Growth Drivers & Highlights

• GAAP Book Value grew $0.29/share, or 2.8%, from Q4 2023 to Q1 2024 supported by profitable earnings growth and valuation tailwinds.
• GAAP Book Value has increased by $1.21/share net of dividends paid, or 7.6% growth, since Q1 2023.

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Economic Book Value

4.2%

(2.4%)

12/31/2023 EBV Q1 2024 Dividend	Q1 2024 EBV	3/31/2024 EBV
	Growth 1,2

1. Excluding quarterly dividend impact
2. See Appendix for definition and reconciliation to comparable GAAP metrics

Economic Book Value Growth Drivers & Highlights

• Economic Book Value1 grew by $0.24/share, or 1.8%, in Q1 2024 versus the prior quarter
• • Economic Book Value reflects the impact of fair value changes for our legally held retained bonds associated with loans in securitization trusts
• Economic Book Value has increased by $0.39/share net of dividends paid, or 2.9% growth, since Q1 2023.

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