New York Mortgage Trust, Inc.

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust third 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. If you have a question, please press the star followed by one, one on your touch-tone phone. If you would like to withdraw your question, please press the pound key. 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 Thursday, November 3rd, 2022. A press release and supplemental financial presentation with New York Mortgage Trust third 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 presentations section of the company's website. At this time, management would likely inform you that certain statements made during the conference call, which are not historical, may be deemed forward-looking statements within the meaning 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 are detailed in yesterday's press release. and from time to time in the company's filings 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. Welcome to New York Mortgage Trust 2022 Third Quarter Earnings Call. I'm joined this morning by our CFO, Christine Ario. I'll be referring to the supplemental, which is posted on our website, for additional details. The U.S. economy activity was pressured in the third quarter by rising interest rates, concerns over tightening monetary policy, near double-digit inflation, and geopolitical instability. Thus far in 2022, equity markets have been challenged with the Fed's decision to raise interest rates by 75 basis points in four consecutive meetings. Taking the federal funds rate to its highest point since 2008, with expected additional rate hikes in the upcoming months, alongside growing concerns of a potential near-term recession. Accordingly, fixed income markets have been impacted. The yield on the two-year Treasury increased to 4.22% at the end of the quarter, an increase of 349 basis points from last year. Rate hikes by the Fed contribute to the Treasury curve inverting. At the end of September, the spread between the two- and ten-year Treasury yield closed at negative 39 basis points compared to 79 basis points positive at 2021 year end. As was the case for credit sensitive assets across markets, pricing for many assets within our investment portfolio during the third quarter declined, particularly so in the final weeks of the quarter. Due to these factors, we anticipate markets and the pricing will continue to experience volatility through the year end and into 2023. So the question is, how do we navigate this risk while keeping a proactive stance to seek opportunities? I hope to demonstrate that our portfolio management decisions and financing plans over the last 18 months were designed to stay short, nimble, and liquid. Before I dive into these points, I'll start with a brief review of the third quarter financial results and then pass over Christine for further details. Now, speaking from page 7, due to the macro factors discussed, we incurred an undepreciated loss per share of 27 cents and undepreciated book value decline of 8.3%, ending the third quarter at $3.89. This decline was related to mark-to-market changes of our portfolio against higher rates, which we believe is recoverable over time. We saw a tremendous opportunity to buy back our shares in the quarter, giving a sharp sell-off in the market. In all, we repurchased 5.5 million shares at an average price of $2.62 during the third quarter. We added 2.1 million shares to this amount in the first days of October at a price of $2.23. At these levels, we believe repurchases are highly accretive. particularly in light of our short-duration portfolio and ability to generate cash. Thus, we expect to continue with share repurchase in Q4 should our common stock continue to trade at a significant discount to our undepreciated book value. As we announced in late September, we are focused on monetizing the value created against our timely multifamily property acquisitions, mostly aggregate in 2021. We were able to recognize $14 million of realized gains from our first property sale More on that in a minute, alongside of AT&M and other asset sales. Investment activity was significantly reduced in the quarter. Primary or in the origination market, coupons were frankly not repriced fast enough. Unfortunately, second-market sellers referred to primary market activity for their pricing levels in a feedback loop that locked the market in the third quarter. In fact, we are still very much there today, and I will have further details about that. Shortly after the Jackson Hole and Powell Pivot head fake, If you will, we found an attractive entry point to a $242 million loan securitization. This allowed us to reduce our repo market-to-market exposure and recourse leverage, which now stands at industry-leading low of 0.5 times at the company and 0.4 times at the portfolio level. With that, I'll pass over to Christine for more details on our financial results. Christine?

Thank you, Jason. Good morning, everyone, and thank you again for being on the call. Our financial snapshot on slide 9 covers key portfolio metrics in a quarter-over-quarter comparison. As Jason mentioned earlier, undepreciated book value per share ended at 3.89, down 8.3% from June 30th, and translated to a negative 5.9% economic return on undepreciated book value during the quarter. The company had undepreciated loss per share of 27 cents in the third quarter. The fair value changes related to our investment portfolio continue to have a significant impact on our earnings and book value. We recognize $0.34 per share of unrealized losses, primarily due to an increase in interest rates and credit spread widening that resulted in a decline in the fair values of a majority of the assets in our investment portfolio. More on this point in a minute. Consistent with our efforts to further strengthen our balance sheet, we completed a securitization of residential loans, as Jason mentioned. With the completion of this securitization, as of September 30, the company's recourse leverage ratio and portfolio recourse leverage ratio decreased to .5 times and .4 times, respectively, from .7 times and .6 times, respectively, as of June 30. In addition, it is worth mentioning that only 23% of our total financing arrangements including CDOs or securitization structures, is subject to mark-to-market margin call risk, down from 33% at June 30. We paid a $0.10 per common share dividend, which was unchanged from the prior quarter. While our financing costs were higher in the third quarter due to rising interest rates, the contribution of adjusted net interest income to EPS during the quarter was at the same level as a year ago, at $0.08 per share as a result of our low utilization of leverage. Moving on to slide 10, I will focus my commentary on the main drivers of third quarter financial results. We had gap net interest income of $14.2 million or $0.04 per share for the quarter, excluding the $16 million or $0.04 per share of interest expense on mortgages payable related to our consolidated real estate Our adjusted net interest income, as mentioned earlier, contributed $0.08 per share in earnings. During the quarter, we opportunistically disposed of investment securities in our portfolio, generating in total realized gains of $20.6 million, or $0.05 per share. Also, as Jason mentioned, during the quarter, we successfully disposed of a property in one of our consolidated joint venture structures. at a 2.18 times multiple, earning NYMT a net gain of $14 million, which is included net of losses incurred from other investments and other income of $4 million. Also, as previously discussed, historic rate volatility witnessed in the third quarter caused prices in a majority of the assets in our investment portfolio to significantly decline. This resulted in 128.1 million, or 34 cents per share, of unrealized losses incurred in the third quarter. Of the 128.1 million of unrealized losses, 67 million, or 18 cents per share, are attributed to residential loans held in securitization vehicles. Unlike some of our peers, we do not mark our liabilities to fair value. Therefore, there is no corresponding unrealized gain recognized on our securitization liabilities to offset unrealized losses on the assets held in the securitization. In correlation to our decision to significantly curtail our investment activity in the quarter in light of extreme volatility, our G&A and portfolio operating expenses were down $4.1 million in the quarter as compared to the second quarter. The final point to highlight is our adjustments to add back depreciation expense in operating real estate, and amortization of lease intangibles to calculate undepreciated earnings. As previously announced, we are actively considering opportunities to monetize the appreciated value of our consolidated JV investments, therefore meeting the held-for-sale criteria for GAAP purposes. On a go-forward basis, we would expect depreciation and amortization to reduce significantly as the majority of these assets are held-for-sale and capital gains to be the main driver of earnings related to this portfolio. I will now turn it over to Jason to go over the market and strategy update. Jason?