New York Mortgage Trust, Inc.

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust First Quarter 2023 Financial 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 1-1 on your touchtone 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, May 4th, 2023. A press release and supplemental financial presentation with New York Mortgage Trust's first quarter 2023 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 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 the 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, Chief Executive Officer. Jason, please take it away.

Thank you, Operator. Good morning, everyone. Thank you for joining our first quarter 2023 earnings call. On the call with me today is Nick Ma, President, and Christine Nario, Chief Financial Officer. I'll begin by providing some market information and briefly touch on the first quarter performance before passing the call to Christine, who will discuss our quarter results in more detail. Nick will then discuss an update to our portfolio and market opportunity. The first quarter was a challenging environment, as you saw the real beginnings of a risk-off mentality after regional banks entered a type of liquidity vortex related to their deposits. Distortions to zero interest rates are on full display here. Left with a material portion of fixed rate assets or at below Fed funds rate, some regional banks are caught in liquidity crunch. Liquidity is locked up in these assets and pushed into the distant future. We recently witnessed three of the four largest banks failures in US history. Total assets of the deposits are approximately 550 billion compared to a total in 2008 of 365 billion. Regional bank deposits issues seem far from over. Provisions taken on CRE loans, particularly office, are still to come. These events have accelerated what we see as an end stage to the growth cycle. There are many market signals that show a recession is near. Last quarter, we showed a graph related to quarter-over-quarter change to lending standards, which are on the rise. And this was noted before the regional bank liquidity issues. On page 7 of our presentation, we highlighted the obvious fact that the entire yield curve is inverted. But the not-so-obvious fact is that the months of inversion are now beyond or very close to when recessions were previously triggered. Whether you look at the trends or M2, money supply growth, which is negative 1.1%, which is the lowest since the Great Depression, or manufacturing ISM index, or a variety of other leading indicators, this is likely the most advertised recession in U.S. history. No two recessions are the same, and we do not see U.S. housing leading the decline in this downturn. In fact, we believe U.S. housing, including multifamily asset class, will outperform in this market. On the right side of the page, then, we discuss how the previous 2000 themes of the great financial crisis are simply not relevant today. Mainly, the U.S. mortgage is predominantly fixed rate and underwritten with higher lending standards than 2007. Mortgage payment shocks are not an issue like it was at that time. after the Fed's aggressive rate hikes. Also, the incentives for homeowners to walk away from their mortgage and rent across the street, which was a common theme in 2007, is an option that is out of the money for today's homeowner. Besides the vast home equity that has been built up, the cheap cost of housing, given the zero interest rate policy offered a few years back, makes this move uncompelling. The supply side of the housing remains stubbornly low. Less than 1 million units are on sale in the United States, or less than three months of supply. This is a comfortable area to keep HGPA range-bound. This is primarily due to its locked market, where sellers do not want to lose their low cost of financing, but also may have issues finding replacement housing. On the other side, new home buyers are delaying purchase plans with borrowing costs above 5.5% and little inventory to choose from. However, we know that the housing market is not insulated from higher loan default risks, Wage loss due to layoffs, as an example, will push delinquencies higher. For the U.S. housing credit market, the loss given default should prove to be a somewhat stable parameter to underrate, much different than 2007. We believe these factors will contribute to a favorable secondary market opportunity for distressed investors in U.S. housing. Given the persistent regional bank liquidity problems and recessionary concerns, we believe the opportunity will open up this year and add to attractive risk-adjusted returns in a dislocated market. With two decades of residential housing investments and loan and property level asset management experience in both single-family and multifamily, we are well-equipped to unlock value in this market. In fact, on page seven, we show that we have been preparing for the economic downturn for over a year. This is a timeline we presented about a year ago, which has correctly illustrated the market transmission mechanism from a performing market with excess liquidity to what we believe will end in dislocation. After the first Fed hike in March 2022, we set plans to sharply reduce our investment pipeline, which was running at $1 billion per quarter. In Q3 2022, asset acquisitions totaled only $118 million and have stayed quite low since. We have remained steadfast in our defensive posture in order to be a meaningful offensive player in a down market. We believe the income potential in this new cycle will exceed earnings or capital over the past year if it was fully redeployed. Simply said, we believe the opportunity cost of holding cash over the past 12 months was an extraordinary low. We are confident the investment opportunity will be highly attractive and sizable to create a significant long-term value for the company. On page nine, we show one of the outcomes as a result of this portfolio management strategy. On the right side, the graph shows our portfolio size over the past five quarters. In late 2020, we targeted bridge loans because we were attracted to high coupon, low LTV, and short duration. In the second quarter of 2022, we reached a peak of business purpose loans. Despite multiple opportunities to continue growing the portfolio to increase our income over the past year, we continued to follow the plan to run off the short-dated portfolio. Consequently, the company's interest income declined from peak in the second quarter of 2022 of $69 million to $57 million in the first quarter of this year, a decline of 17%. As illustrated, the lack of BPL reinvestment accounted for nearly all the interest income decline. Our plan was to create half a billion dollars of drive power to be able to meaningfully participate in a downturn. The diagram on the bottom left illustrates this point. The $552 million of excess liquidity equates to 42% of our market capitalization as of quarter end. We are also prepared with $1.4 billion of borrowing capacity with warehouse facilities that are currently in place. The company is primed to be a liquidity provider in a downturn to grow earnings over a longer time horizon. On page 10, we summarize our quarterly performance and activity. As discussed earlier, we prioritize book value protection, which consequently lowered quarterly interest income due to the lower investment activity. As such, the company generated comprehensive earnings of $0.12 per share in the first quarter. Adjusted book value was negative 3%. quarter over quarter, and after our previously declared $0.40 dividend, the company's quarterly economic return on adjusted book value was negative 0.5%. Part of our strategy to keep competitive advantages was to hold G&A at a low level. We want the flexibility to transition between primary and secondary markets within the sector seamlessly. The lack of compelling risk-adjusted returns offered in today's market, we did use some of the capital to purchase securitization debt, common shares, and for the first time, preferred stock in the first quarter. As discussed in previous quarters, we are in the process of monetizing our common equity, interest, and multifamily properties held on balance sheet. As updated and noted here, we have six properties in the some stage of advanced sale process. Total investments amount related to these properties is $62 million. At this time, I'd like to pass the call to Christine to provide more financial color, and then to Nick to discuss our portfolio update and strategy. Christine?

Thank you, Jason. Good morning. In my comments today, I will focus my commentary on main drivers of first quarter financial results. Our financial snapshot on slide 12 covers key portfolio metrics for the quarter, and slide 23 summarizes the financial results for the quarter. The company had undepreciated earnings per share of 14 cents in the first quarter, as compared to undepreciated loss per share of 50 cents in the fourth quarter. The fair value changes related to our investment portfolio continued to have significant impact on our earnings, and during the quarter, we recognized 31 cents per share of unrealized gain, primarily due to improved pricing on our residential loans and bond portfolio. We had net interest income of $17.8 million, a contribution of 20 cents per share, down from 24 cents per share in the fourth quarter. The decrease can be attributed to a combination of a few factors. First, a decrease in average interest-earning assets due to portfolio runoff in our short-duration BPL bridge loans, as well as our conscious decision to be selective in pursuing investments in our targeted assets, which Jason covered earlier. Second, overall yield on our interest-earning assets decreased, also due to portfolio runoff of higher-yielding BPL bridge loans and an uptick in maturity-related delinquencies, primarily in our BPL bridge portfolios. Additionally, financing costs in our investment portfolio increase primarily due to paydowns and repurchases of our lower-cost securitizations and due to increases in interest rates related to our repurchase agreements. Although we've experienced an increase in these maturity-related delinquencies, we believe that through active management and our ability to work with borrowers to find a reasonable exit plan, we would be able to recoup our delinquent interest on these loans at payoff, which has been our experience historically. In the first quarter, we had non-interest-related income of $66.8 million, or 73 cents per share. As previously discussed, prices in a majority of the assets in our investment portfolio increased during the quarter and contributed 31 cents per share in income. In addition, our consolidated multifamily JV properties contributed 46 cents per share in income, an increase from $0.44 per share in the fourth quarter as properties continue to implement business plans to drive rents and occupancy higher. We are required from an accounting perspective to carry our multifamily real estate assets that are held for sale at lower cost or market value. We perform our valuations for the quarter and determine that two out of the 19 multifamily properties held for sale had lower property valuations as compared to our carrying costs resulting in an impairment loss of $10.3 million during the quarter. Total general administrative and operating expenses amounted to $70.4 million for the quarter, up slightly from $68.2 million in the previous quarter, primarily due to an increase in interest expense and mortgages payable on consolidated real estate due to change in base rates, partially offset by reduced portfolio operating expenses due to residential loan portfolio runoff and minimal purchase activity. As Jason mentioned earlier, adjusted book value per share ended at 15.41, down 3.02% from December, and translated to a negative .50% economic return on adjusted book value during the quarter. As of quarter end, the company's recourse leverage ratio and portfolio recourse leverage ratio increased slightly to .40 times and .32 times, respectively, from .33 times and .25 times, respectively, as of December 31st. While our average financing leverage still remains low, the slight increase in the quarter is primarily due to the financing of newly acquired agency RMBS. We continue with our effort to enhance our debt structure by placing greater emphasis on longer-term and non-mark-to-market financing arrangements. Currently, only 20% of our debt is subject to mark-to-market margin calls, and remaining 80% have no exposure to collateral repricing of our counterparties. In addition, as you can see, On slide 13, we have $100 million of unsecured fixed debt due in 2026 and $45 million of subordinated bonds due in 2035. The maturity profile of our corporate debt allows us to have more flexibility by avoiding cash holdbacks related to near-term bond maturities. In addition, while longer-term and non-mark-to-market financings may incur a greater expense relative to repurchase agreement financing that exposes to mark-to-market risk, we believe that over time, This weighting towards these type of financings better allow us to manage our liquidity and reduce exposure in dislocated markets. We paid a $0.40 per common share dividend, which was unchanged from the prior quarter, and we evaluate our dividend policy each quarter and look at the 12- to 18-month projection of not only our net interest income, but also realize our capital gains that can be generated from our investment portfolio. And with that, I will now turn it over to Nick to go over the market and strategy update. Nick?