New York Mortgage Trust, Inc.

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust Second Quarter 2022 Results Conference Call. During today's presentation, all parties will be in a listen-only mode. Following the presentation, the conference will be open for questions. To ask a question during the session, you will need to press star 1-1 on your telephone. You will then hear an automated message advising your hand is raised. If you are using speaker equipment, we do ask that you please lift the handset before making your selection. This conference is being recorded on Wednesday, August 3rd, 2022. A press release and supplemental financial presentation with New York's Mortgage Trust second quarter 2022 results was released yesterday. Both the press release and supplemental financial presentation are available on the company's website at www.nymtrust.com. Additionally, we are hosting a live webcast of today's call, which you can access in the events and presentation section of the company's website. At this time, management would like me to inform you that certain statements made during the conference call, which are not historical, may be deemed forward-looking statements within the meanings of the Private Securities Litigation Reform Act of 1995. Although New York Mortgage Trust believes the expectations reflected in any forward-looking statements are based on reasonable assumptions, it can give no assurance that its expectations will be attained. Factors and risks that could cause actual results to differ materially from expectations and detailed in yesterday's press release and from time to time in companies filing with the Securities and Exchange Commission. Now, at this time, I would like to introduce Jason Serrano, CEO and President. Jason, please go ahead.

Thank you very much. Good morning. Thank you for taking the time to join our earnings call this morning. I'm here joined with Christine Nario, our CFO. We are excited to talk to you this morning about the developments in this market. We have seen the market actually transition to a buyer's market for the first time in quite some time. And we believe the construction of our balance sheet will allow us to take advantage of these latest trends. But before we get into this, let's cover our second quarter highlights. In the quarter, we incurred a loss of $0.22 per share. This was a function largely of unrealized losses that we incurred on our balance sheet resulting in a negative 0.4% loss to our book value in the quarter. Now, due to the increase of allocations to bridge loans over the course of the last 18 months, as well as holding recourse leverage below one times, we were able to limit losses given the extreme volatility that we saw in the interest rate markets. Now, after declaring a $0.10 dividend, our quarterly economic return on unappreciated book value resulted in negative 2.5%. We also, in the quarter, saw an opportunity to repurchase some of our shares, which was the first time we've done that in quite some time. We saw an opportunity to do so where we repurchased 2.8 million shares in the quarter and 0.9 million shares thereafter, slightly after the beginning of the following quarter. We're able to do so at an attractive pricing of 2.69 for the company and $2.73 per share. In the quarter, we acquired $890 million of investments. I'll be talking about how this was a tale of two quarters of activity given the latest moves. The acquisitions was highly dominated in bridge loans and also started seeing an opportunity to look to sell and monetize some of our JV positions in multifamily equity, which I'll talk about in a minute. In the quarter, we also obtained $876 million of financing, 77%, which was non-mark-to-market. This allowed us to continuously increase our mark-to-market financing on our balance sheet and also allowed us to finance some of the acquisitions we made in that quarter. Very low leverage at 0.7 times and a recourse leverage ratio and a portfolio basis at 0.6 times. $383 million of cash was held in the balance sheet, and we're expecting this number to increase over time as we are seeing opportunities to rotate our balance sheet into higher-yielding assets. At this time, I'll pass the call over to Christine to talk more thoroughly about our financials. Christine? Thank you.

Thank you, Jason. Good morning, everyone, and thank you again for being on the call. In discussing the financial results for the quarter, I will be using some of the information from the quarterly comparative financial information section included in slides 24 to 35 of the supplemental presentation. Our financial snapshot on slide 9 covers key portfolio metrics on a quarter-over-quarter comparison. The company had GAAP loss per share of 22 cents and undepreciated loss per share of 13 cents. We paid a 10 cent per common share dividend, which was unchanged from the previous quarter. GAAP book value per share was 4.06, and undepreciated book value per share ended at 4.24, down 4.7 from March 31st, and translated to a negative 2.5% economic return on undepreciated book value during the quarter. Our undepreciated book value decline during the quarter included 18 cents per share of unrealized losses primarily due to credit spread widening and increase in interest rates that resulted in a decline in the fair values of our residential loans and first-law securities we own in consolidated SLSC. Our portfolio net interest margin for the quarter was 3.48%, a decrease of 39 basis points from the previous quarter. Rising interest rates in the second quarter impacted our portfolio financing costs, resulting in an increase of 28 basis points from the prior quarter. We also experienced an 11 basis point decrease in our portfolio yield on average interest earning assets driven by a lower yield on our investment in consolidated SLSC and to a lesser extent as a result of the overall composition of our BPL bridge loan portfolio with a quarter end weighted average coupon of 8.41% down from 8.53 at March 31st. The company's recourse leverage ratio and portfolio leverage portfolio recourse leverage ratio remained low at 0.7 times and 0.6 times respectively. Slide 10 details our financial results, and slide 25 details the components of net interest income. Our portfolio net interest income increased by $1.9 million during the quarter, primarily due to the following. First, we had portfolio interest income of $61.8 million, an increase of $9.3 million as compared to the previous quarter. which is due to our continued investment in higher yielding BPL bridge loans. This increase was partially offset by an increase in portfolio interest expense of $7.4 million, primarily due to increased utilization of our warehouse facilities to fund purchases of single family investments during the quarter. Total net interest income, which includes interest expense related to our corporate debt and mortgage payable on real estate, decreased to $26.1 million as compared to the previous quarter. As you can see on slide 25, the increase in non-portfolio related interest expenses is due to an increase in interest expense related to mortgages payable on real estate of $6.6 million from the previous quarter. This increase is due to the full quarter impact of multifamily joint venture investments consolidated in the previous quarter. Additional multifamily joint venture investments entered into and consolidated in the current quarter and an increase in interest rates affecting 70% of the mortgage payable balance related to real estate, or approximately $884 million of unpaid principal balance that is floating rate debt. We had non-interest related losses of $20.2 million, mostly from net unrealized losses of $67.7 million as a result of increases in interest rates and credit spread widening during the quarter. This loss was partially offset by a $2.4 million 2.4 million of net realized gains from residential loan prepayment activity, 5.7 of preferred returns generated by our mezzanine lending investments accounted for as equity, and 3.5 million of other income. The other income is primarily comprised of redemption premiums recognized from early repayment of mezzanine lending investments during the quarter and unrealized gains recorded on an investment in an entity that originates residential loans. We also generated $35.9 million of income from real estate, which includes income related to consolidated multifamily apartment properties in which the company has equity investments in, in the form of preferred equity or common equity, and our single-family rental portfolio. As discussed earlier, our real estate properties incurred interest expense of $13.2 million and also incurred other expense of $70.8 million. The other expenses incurred by these properties during the quarter are primarily related to depreciation expense and amortization of lease intangibles, totaling $52.4 million. After reflecting the share of the losses to the minority partners of $18.9 million in total, our investments in real estate properties incurred a gap net loss of $29.1 million for the quarter. Excluding the company's share in depreciation and lease and tangible amortization expenses, these properties generated $4.1 million and $9.6 million of undepreciated earnings during the quarter and year-to-date, respectively. It is important to note that we pursue these investments for the potential participation and value appreciation of the underlying real estate, which is realized only upon sale of the multifamily assets in the future. As Jason mentioned earlier, we are continuing to consider opportunities to monetize the appreciated value in this portfolio. As detailed on slide 28, you'll see that both income from and expenses related to real estate increase in the second quarter. These changes consistent with our expectation are primarily related to the full quarter impact of multifamily joint venture investments made in the previous quarter, as well as additional multifamily joint venture investments made in the made during the current quarter, which required consolidation in our financial statements. We had total G&A expenses of $3.2 million, which decreased compared to the previous quarter due to a decrease in commission expenses. We had portfolio operating expenses of $12.7 million, which increased primarily due to the growth of our investment portfolio. I will now turn it over to Jason to go over the market and strategy update. Jason?