Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust Third Quarter 2020 Results Conference Call. [Operator Instructions] This conference is being recorded on Friday, November 5th, 2020.

A press release and supplemental financial presentation with New York Mortgage Trust third quarter 2020 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 like for 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 the New York Mortgage Trust believes an 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 Steve Mumma, Chairman and CEO. Steve, please go ahead..

Thank you, Operator. Good morning, everyone and thanks for being on the call. Jason Serrano, our President, will be speaking to our investment portfolio strategy today, and Kristine Nario, our CFO will be speaking in more to you in more detail about our third quarter results.

We'll all be speaking to our supplemental financial presentation that was released yesterday after the market closed and is available on our website. Following our presentation, we will open up for questions.

The company has delivered another solid quarter, generating $0.24 for GAAP earnings per share, and $0.30 comprehensive earnings per share for the quarter. Company's book value increased to $4.58, an increase of approximately 5% from the previous quarter and 18% from the quarter ending March 31.

Including our third quarter common stock dividend of 0.075 per common share. The company posted a total economic return of 7% for the period. On the balance sheet side, the company continued to strengthen its financial position during the quarter.

Completing a residential loan securitization in a non-mark-to-market residential loan repurchase agreement with a new counterparty. Further reducing our mark-to-market financing exposure to $626 million at quarter end, a decrease of $338 million from June 30.

In October, the company completed a second secured loan securitization, reducing our mark-to-market financing by an additional $236 million. The company continues to focus on financing solutions that minimize mark-to-market or margin calls on our liquidity.

Company finished the quarter with over $600 million in cash, as we continue to believe that the volatility around the election and the ongoing COVID-19 pandemic will present compelling investment opportunities during the fourth quarter and into the early part of next year. On Slide 6, we recap where the company ended on September 30, 2020.

Our investment portfolio totaled $2.8 million, down approximately $283 million from the previous quarter. Our total market capitalization was $1.4 million, unchanged from the previous quarter. Our GAAP stockholders' equity totaled $2.3 billion currently allocated at 59% in single-family credit and 25% in multifamily credit.

The remaining 16% is largely comprised of available cash for future investments. We continue to be diligent investors in the third quarter focusing more on financial stability then perceive market opportunities. We have 57 professionals, unchanged from the previous quarter and still working from home.

We continue to monitor the COVID-19 situation in determining when and how we will return to our office locations. In the meantime, we continue to run our business effectively from remote locations with minimal disruptions. On Slide 7, we have some more third quarter key developments.

As I said, our book value ended the quarter at $4.58 per share, which was an increase of 5.3% from the previous quarter. We declared a common stock dividend of $0.075 per share, which was an increase of $0.025 per share from the second quarter.

We continue to focus on improving our balance sheet strength ended the quarter was $650 million in cash, paying down all securities repurchase agreements subject to mark-to-market exposure completing a $365 million residential securitization in July and reducing our mark-to-market financing exposure by over $300 million ending the quarter at $626 million.

In October, we completed a second residential securitization for $364 million further reducing our mark-to-market financing exposure to $390 million. Our financial snapshot slide on Page 9 covers key portfolio metrics on the quarter-over-quarter comparison.

Our net interest margin for the quarter was 2.18%, a decrease of 25 basis points from the previous quarter. This decrease was largely due to the increase in financing costs associated with our securitization completed in July. The cost of debt was approximately 4%, but significantly reduces our exposure to margin calls.

It should be noted that our second securitization completed in October was almost a 100 basis points lower in cost, as the market continue to tighten significantly through October. Our total portfolio of $2.8 million decreased by approximately $300 million from the previous quarter.

The portfolio asset yield average for the period was 5.51%, an increase of 26 basis points over the previous quarter. Portfolio is comprised of $2.2 billion of single family credit investments and $550 million in multifamily credit investments.

We had average outstanding portfolio of financings including securitizations of approximately $1 billion at an average cost of 3.33% during the quarter, an increase of 51 basis points from the prior quarter. Our leverage ratios continue to decrease, during the quarter with overall leverage of 0.4 times and portfolio leverage at 0.3 times.

As previously mentioned in October, we completed our second securitization further reducing our mark-to-market financing exposure. As we grow our portfolio in the future, we will focus on financing opportunities that limit mark-to-market risk, by utilizing securitizations are unsecured borrowing opportunities.

Kristine Nario, our CFO, will now go over the quarterly financial results in more detail.

Kristine?.

Thank you, Steve. 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 21 to 28 of the supplemental presentation.

Slide 10, summarizes our activity in the third quarter. We purchased residential loans for approximately $93 million and closed on $19 million of multifamily preferred equity investments. Also during the quarter we sold non-Agency RMBS and CMBS for proceeds of $370 million.

We will continue to opportunistically sell non-Agency RMBS and CMBS securities in our portfolio, as we believe loans in either residential or multifamily give us better risk-adjusted returns at this time. We had net income of $91 million and comprehensive income of $114 million, attributable to our common stockholders.

Our book value ended at $458 million a 5% increase from the previous quarter. Slide 11, details our financial results, where we had net interest income of $25.5 million, a $3 million decrease from the previous quarter.

This decrease is due to the reduction in non-Agency RMBS and CMBS securities in our portfolio due to sale activities and higher borrowing costs associated with securitization transactions completed during the second and third quarters. We had non-interest income of $90.5 million mostly from net unrealized gains of $81.2 million.

The credit markets continue to improve in the third quarter, which translated to improved pricing across most of our asset classes. We also generated other income of $10.4 million primarily from income earned by investments in entities that focus on residential properties and loans.

We had total G&A expenses of $10.5 million, a decrease of $1.3 million from the previous quarter. The decrease can be primarily attributed to stock compensation awarded to our directors during the second quarter and fully expense in the second quarter.

We had operating expenses of $2.9 million, an increase of $0.6 million from the second quarter due to increased investing activity. We would expect these expenses to continue to increase in the coming quarters as we ramp up our investing activities and residential loans in direct multifamily lending.

The graph on Slide 11 illustrates the change in our book value from December 31, 2019. Our book value increase 5% during the quarter and 18% from the end of the first quarter. We estimate that over $100 million of unrealized losses are potentially recoverable, as the economy end market stabilize. Jason will now go over the market and strategy update.

Jason?.

Thank you. Good morning, everybody. On Page 13, I'll be starting by talking through our cash position and going through our portfolio.

In a defensive posture we ended the third quarter with a cash balance of $650 million by focusing the monetization of our securitized bond portfolio and monetizing gains after rallying back from the significant markets off in Q1.

We further added $64 million which is historically high cash balance for the company through the first two weeks of October. We are taking a decisive approach in this market environment.

We are aligned to benefit from near-term volatility with our market to move quickly with confidence and without reliance on third-party funding sources such as repurchase agreements. We believe a more attractive entry point for our cash will be available in the near term along us to generate high returns while also protecting book value.

Our portfolio leverage continue to decline in the third quarter and this occurred for two reasons. First, we are allocating capital to strategies where portfolio leverage is not required to meet our return targets. More on this in a minute.

With our proprietary sourcing channels, we are focused on 10% return on asset opportunities, plus that is hard to replicate by the market. Secondly, as an issuer the term securitization market today provides significant value with senior financing borrowing costs at all time lows.

We placed two securitizations after the second quarter and look to expand on this, with new deals in different loan sectors in the beginning of next year with a 7% economic return in third quarter against 0.2 times portfolio leverage. We provided exceptional risk adjusted returns to our shareholders. We are positioned well for future earnings growth.

On Page 14 with $650 million of cash at the end of the third quarter and $574 million of undrawn available loan financing. We have over $1 billion of investments to deploy. While this dry powder significant, so are the opportunities we are seeing in the market.

We reviewed over $6 billion of assets in the third quarter, but advanced on only 6% of these opportunities. In extraordinary low rate environment, part of the market has come back to utilizing short-term repo to bridge target returns.

This fact coupled with deteriorating borrower performance on the balance sheet of smaller bank portfolios, we believe patience with our capital will be rewarded with more options in the near term. By simply putting 50% of our dry powder to work and 10% return investments we can increase our quarterly earnings by $0.05 per share.

We are excited about this opportunity to deliver even stronger earnings in the near term with our single-family and multifamily strategies. On Page 15 starting with single-family where we have 59% of our portfolio positioned, we feel really good about our book, which was optimized over the past few months.

Our RPL strategy launched by rehabilitating distressed loans continues to see stable payment profiles with our underlying borrowers. The combination of low LTVs with elevated coupons, it's hard to replicate in this market.

And in performing loans, we are seeing the most compelling opportunities today with either high coupon residential bridge loans or in newly originated loans on to conforming guidelines sourced at significant discounts to par from loan originators.

As of yesterday's close we saw the 30 year fixed-rate coupon at 2.78%, well below our current residential mortgage coupons on our balance sheet while performance continues to improve we are excited about the opportunity to monetize the price discount of these loans held on our balance sheet by existing borrowers to lower mortgage rate refinances.

Lastly on our call I discussed how we exited in most of our non-QM securitization bond holdings. I thought it would be helpful to discuss our current position today. While we've been active in our last two quarters, a buyer of securitized bonds, we have not been active. Excuse me.

Our remaining holdings mostly acquired in 2018 and 2019 have significant downside protection contain wider spreads in today's market issuance. At today's tight spreads we are better issuer than a buyer of securitized debt and we will look to continue for opportunities to sell and reinvest the cash into loan portfolios, including multifamily debt.

More on this in a minute. On Page 16. Performance of our portfolio has absolutely outperformed our expectations. At the end of the 9/30, we had just 2% of our entire residential loan portfolio under a COVID-19 assistance plan, that level for our distressed loans noted as the RPL sector in table to the right is shopping, ALL.

The significant equity are sitting on our portfolio have created very strong alignment to stay current. This can be further witnessed in our distressed loan transition rates shown in the bottom right graph. Today, we have nearly two times more performing loans than delinquencies from our purchase date.

That's after a 7% of our portfolio has prepaid off at par, since purchase date. Our loan prices have rallied back from the lows experienced at the end of Q1 as borrowers continue to stay current. As discussed earlier, we recently securitized $729 million principal balance of loans in our RPL strategy.

And our last year we placed senior debt and a market low of 2.875%, on the fixed senior rate bond. After locking in this execution we see over a 12% return on our equity cash flows. We also structured a non-mark-to-market warehouse line for new loan investments. This is intended to bridge our performing loan strategies to read securitization take out.

Our redeployment efforts is focused on new investments in single-family bridge sector more fractionally named fix and flip loans. The underlying - the underwriting this space, that show market improvement from 2019 under reduced competition in this space. We have onboarded three originators in the quarter.

We have 5 plus originators in our pipelines and we're watching the loan pipelines grow into the fourth quarter into next year. We also expect to be more active in multifamily, which I'd like to switch our focus to. Turning to Page 17. Much like single-family, we transitioned away from the security markets.

In this case, Freddie Mac K-Series bonds and equity, instead focused on our proprietary loan origination channels to grow on our balance sheet. These assets have demonstrated stability. Our portfolio equity to multifamily strategy is now 25% as you can see in the top right corner.

Opportunities to directly lend to multifamily sponsors fitting our middle market property characteristics is a valuable revenue source for our company.

Multifamily loan originations noted as pressed equity and mezzanine loan sub sector in this table has an excellent track record with the zero losses incurred since the strategy was rolled out over eight years ago with consistent double-digit unlevered returns we are well positioned to further expand our effort in this market with property sponsor relationships built over 10 years.

Lastly, on the securitization side we further look to monetize our holdings at the K-Series, which are currently valued about a six-point discount to par on our balance sheet. We see additional tightening with these very stable bond cash flows in near-term.

On Page 18, as an update to our performance we currently enjoy at 1.43 times DSCR multiple on our multi - our mezz and pref positions as you could see in the table below.

We have built out technology to monitor the underlying property cash flows and also have built in low LTV protection, which is why 99% of our portfolio is currently is current as of 9/30. As seen in the bottom right table our state by state distribution is mostly located in the South and Southeast part of the United States.

We are seeing strong demand with rental rate increases in most of our markets. Currently undergoing seismic demographic changes mostly from Northeast regions of the United States. Population migration is truly remarkable to observe where we continue to see rental shortage in many of our markets that we lend to.

With an 11.5% average coupon in upfront origination fees earned the risk adjusted return is excellent, especially in this low rate environment. This exposure further differentiates us from our peers, providing a niche strategy that is very hard to replicate.

We absolutely focused on adding this exposure and have increased our pipelines in Q4 expect to experience strong growth in 2021. On Page 19, we focus on generating total risk-adjust returns by investing assets of low relative risk metrics.

We have with a high cash balance, we are well positioned to exploit that any volatility in this market with a low leverage, we have a efficient and flexible capability to entering this market and going through both - just not just single-family but multifamily markets that have provided excellent value to our shareholders.

In the fourth quarter, we continue to monetize unrealized gains and our securities we're targeting short duration investments with anywhere from one to kind of four-year durations.

And we are focused on our asset management strategies and proactively being able to keep our borrowers current also looking to refinance loans and the performing loan strategy in residential as well as monitoring and asset managing our mezzanine loan book and multifamily. With that I'll pass back to Steve. Thank you..

Thanks Jason. As you can see, we spend a lot of time focusing on structuring and strengthening the balance sheet of the company and we believe there is going to be tremendous opportunity as we go forward into the fourth quarter and early next year. And so we look forward to getting to that.

So, operator, if you'd like to open up questions now for the people on the call. Thank you.

Operator?.

[Operator Instructions] Your first question comes from Doug Harter at Credit Suisse..

Can you talk about how you're balancing kind of the patience for the investment returns that you think will be coming versus kind of using some of that excess capital liquidity today to buy back stock given the discount to book that you've said?.

Yes, sure. I mean, we look at this all the time, Doug. And as a REIT it's so expensive to raise capital, and so difficult to raise capital in many cycles that you go through. We've been very successful, a tremendous amount of capital in '18, in '19 and the first part of '20.

And when we look at the alternative of buying back stock which clearly helps the book value at a one-time hit in the period when you buy it back. But the earnings give up that we believe is out there for the future is not - there is not a place where we think it makes sense to go out and buy back stock at this point. We do look at it.

We think of our pipeline is building. We wanted to get through the election, we're about through the election. We want to get a sense of where the policies are going to be as it relates to the stuff that we invest in.

And the impacts that will have, but we do think that we're still dealing with a very large percentage of unemployed people in this country and unknown and where stimulus is going to be and when it's going to occur, and we want to be prepared in the event if there is another downturn in the economy like we saw in March.

And so we will continue to be very conservative and we're comfortable and being diligent in timing and getting our investments. We still believe that we have significant unrealized losses to recover which will continue to build the earnings.

We believe our core earnings are around $0.07 to $0.10 right now and we believe that we can continue as Jason mentioned in part of his presentation that as we to reinvest that capital that will grow anywhere from $0.025 to $0.10 over the next couple of quarters. So we're very comfortable where we sit today..

And your next question comes from the line of Christopher Nolan of Ladenburg and Thalmann..

Congratulations on the nice quarter.

I guess the dry powder, am I correct, that's five deploying half that would be $0.05 added per quarter?.

That's right..

And what is the - I mean is it thinking is this is going to be a deployment in the first half of 2021? I know it's opportunistic and there are lot of balls in the air, but where is your thinking in terms of when this could be deployed?.

No, I think when you see the first half, we would right now as we see our opportunities starting to build.

I would anticipate our investment pipeline growing substantially towards the end of the fourth quarter into the first quarter and we would again this is based on what happens in the economy and what - how the election unfolds, but our anticipation would be - we would be getting close towards fully invested as we get to the end of the first quarter into the second..

And then the $100 million in potentially recoverable unrealized losses, given the tightening credit spreads, and so forth, what do you think of timing for something like that could be?.

We did a securitization in October that was a 100 basis points tighter than our securitization in July, and certainly had very tight levels, much tighter than where our bonds and loans remarks at 9/30.

So again given where the market is and given the supply demand imbalance, it would appear that spreads would continue to tighten in those particular asset classes..

And then just a follow-up on the dividend question from Doug.

You're at least on the GAAP basis, on a comprehensive basis you're well out earning the dividend, I mean comfortably but does it make sense to increase the dividend when your stock is trading at such a discount? What are your thoughts about the dividend? I mean should we sort of think about incremental small step increases as the performance of the company returns or…?.

Yes. Look, we've certainly have enough cash and liquidity to support a higher dividend. We always are looking at what we need to distribute from a taxable standpoint, what we think makes sense to distribute from a shareholder standpoint. We reinstated $0.05 grew to $0.075.

And to your point we want to get back to a level that our shareholders have been used to, and so over time, we'll continue to look to grow the dividend, but at this point, I don't think we're really in a position to specifically state at what rates or level, but I would anticipate going upwards in the future..

And your next question comes from the line of Stephen Laws from Raymond James..

I hate to ask a third question on the dividend, but can you give us an update on where REIT taxable income stands? As I understand is losses on securities are four to zero and can offset ordinary income.

So, I mean are you guys satisfying the distribution requirement, or there considerations that we'll need to go into that about future dividends, or spillover income? Or where do you stand through nine months on a REIT taxable income basis?.

No, I mean we're fine where we stand on re-taxable basis and clearly we focus, we certainly don't want to pay any type of excise tax from that - distribution, minimum distribution requirements.

So that is that there is a consideration when we're looking at setting our dividend policy but we - and we do have some realized losses and you are correct, you can offset that against ordinary income, but some of our business takes place in TRS which is taxable.

So there is that to do with the distribution requirement there that allows us to retain some income.

So there is a combination of factors that occur in the company and that we're comfortable with and we are in compliance in our - or not in concerned about not being able to meet something you're doing some kind of special dividend in the fourth quarter at this point..

Switching to securitizations, as couple of minutes late, so apologize if this was covered, but you did one in Q3, one subsequent to quarter end.

Can you talk about, is it possible to compare the deals of the assets are somewhat similar? How is demand improving? How is pricing improving? Do you see those trends continuing, or do you think the securitization market is kind of back to a level where it's going to plateau for a bit? Can you give us some color on what you're seeing on that side of the market?.

Yes, the market has obviously taken up quite a bit, even approaching pre-COVID level securitization spreads. So we were able to take advantage of that in the middle of October, at the 2.875% coupon that I mentioned. But since then the senior bonds have plenty of demand in the market.

There is also a dearth of new supply, the non-QM channels have dried up quite a bit. So you're not seeing a lot of issuance there and in other similar markets. So supply and demand balances back to being at about technical positive where pre-COVID it was actually becoming more negative, there was more issuance than roll-off of senior paper.

So that's obviously helped, also spreads in the space of stayed a little bit wider than even comparable corporates. So I think you're seeing some crossover buyers in the space that have come in and looking at the bonds.

But since that issuance that is senior bonds pretty stable, fixed rate senior bond space, especially with the latest rallying treasuries. In the more of the mezzanine sector, I think you're seeing more people take a slightly more risk off stance come into election.

We've seen spreads widen out, and mezzanine type of bond offerings in the market about 25 basis points to 30 basis points. But I think right now given the supply side of the equation, there is enough demand that's meeting it. Now you are seeing deals continues to be oversubscribed, which is a good trend and showing strength, and you saw the equation.

And so I see kind of plateauing here. Senior bonds about staying flat and with the recent widening of the mezzanine bonds, I think it pretty much stays at this level into the year end, outside of some kind of technicals or volatility in the equity markets..

And lastly on the security side, you've taken leverage. There is no financing in place there as of the end of the quarter.

Can you talk about what you're seeing on unlevered returns there as you look to, I don't know if it's the K-deal thesis, you're looking at? What type of return on assets you're seeing there? And what's the outlook longer term? Will you go back to putting some leverage on the securities portfolio? Or how do you view that as we move into 6 and 12 months from now?.

So the current - we took out new repo warehouse line in the quarter.

This was a non-mark-to-market warehouse line for performing loan opportunities and to get your question on securitization, our goal is to take performing loans that we're buying in both fixed and flip strategies, striking at in our pillar strategies and use that as a bridge to a securitization take out where there is the financing there is very, very efficient.

As it relates to our security portfolios, we are not in the market and don't foresee in the near term buying security positions and looking to use repo or other financing, somewhere financing to bridge target returns. We do see some - doing that, again, coming back from end of Q1 where that kind of dissipated.

And there was log, while the technical distressed came from, we don't like the risk metrics there. We don't like the - I'll call it is excess liquidity in that market. We have plenty of financing, not a lot of bonds and that can quickly turnover with a volatility in the equity markets as a whole. So we're not looking there.

We're also not focused on K-Series bonds down the capital stack. On the senior bond side of the equation, it's too tight and a lot of leverage is needed to earn a decent return, a double-digit return. In the mezz part of the capital structure, we have sold a lot of our bonds at premiums.

We saw bonds that are left that we will be looking to sell opportunistically over time, and down in the cap structure and the equity, that's a strategy where it's at a 79% type of coupon or accretion return leverages required to get to a double-digit solidly in the double-digit area.

And we do not want our bridge short-term financing with long-term, longer duration asset exposure. So from that equation, we're not going to be involved in that market.

Where we see better opportunities is to create our own equity in our loan channels to buying loans, creating an equity with term financing that's match funding against it as well on the mezzanine loans based in press in multifamily.

We don't need financing to earn their target returns in that space, given the coupons and total return in the 11.5% range. So we would not be utilizing financing in that space..

Yes, Steve, on the assets that we're holding is really coming from the recovery of the prices.

We could put financing on them but you know with $650 million in cash there's no need to, and we're comfortable with our - as our position goes down to just selling these into the marketplace, and as Jason said focus on our loan business because we just think there is a better risk adjusted return there..

And your next question comes from the line of Jason Stewart from Jones Trading..

If you pull up and think about liquidity and leverage over - for the medium-to-long term, given what you've described on the asset side, where do you think that trends to as you take it out a little bit more than, say two or three quarters?.

Yes, certainly. Look, to Jason's point in the previous question, the goal is to generate equity returns on term funded securitizations where there is really no call respect for the company in mark-to-market risk.

So to the extent that we have a larger portion of that type of risk on the balance sheet, you can run a much tighter liquidity book that probably represents closer to between 8% and 10% of the equity of the company. The mezz business and multifamily is unlevered business. So it doesn't really require excess liquidity to manage that business.

So that's why that we're very comfortable looking forward towards our earnings. There's a lot of earnings growth potential in our balance sheet right now in the ways that we're putting new investments on the book.

So I think as a guide, probably 8% to 10%, and it could be lower depending on the mix of residential securitizations relative to a direct line to multifamily..

And then on the cost of fund side, I mean you've done a lot of work on the liability side of the balance sheet.

If you could give a sense of where you think that trends to over the next couple of quarters given the securitization activities 3Q going to represent a low point, or is going to dip again in 4Q? Any color there given the amount of work that you've done would be incredibly helpful..

Yes, look one thing that's changing rapidly and we're in the process of closing. We have two warehouse lines that role in the fourth quarter. So we're in the process negotiating spreads there. But if you look at our securitization that was done in July at about 4% on the A1 bond, [indiscernible] to Jason's point our A1 bond on October was 2.

875%, financing costs have come down substantially. So I would anticipate and LIBOR has gone down. I would anticipate the 333 average for the third quarter. We have a chance of lowering that because we're going to a bigger base with a lower cost being added to it.

I think we would see that plateauing and hopefully going down slightly, if the market continues to go the way it's going..

I'll also add that the mix of securitizations that we're going to bail ourselves to in 2021 will be quite different than in 2020.

We are looking at a two different types of securitizations for the first quarter of next year in the rated securitization space with respect to RPO loans as our portfolio seasons, and we have more current pay borrowers that are more seasoned payers 12-month plus.

We can avail ourselves to the rate of securitization market, which will definitely drive our funding costs on our loan book lower as well as looking at bridge loan securitization opportunities as well. So the expectation is that the mix of funding will change from non-rated deals to rated deals, which should drive down our funding costs in 2021..

[Operator Instructions] And your next question comes from the line of Bose George from KBW..

Can you just repeat what you said about the current core earnings run rate? And then just a commentary about the benefit from the deployment of cash in which you about the timing of deployment, I think you said into early next, I think the first quarter?.

Sure. Look, we look at our core earnings right now between $0.07 and $0.10. And it's hard to calculate when you're looking at our financials because we have a lot of different accounting methodologies going on. But when you look at our net margin and components of the other earnings categories we think it's around $0.07 to $0.10 right now.

And as we look at deploying the capital in one of the graphs that we put out there that had Jason talked to at about a 50% deployment at a 10% average asset return, which is lower than what we're actually experiencing today on some of the investments that we have done that generates about an additional $0.05 per share per quarter in earnings growth.

And so obviously that's a low bar that we're trying to put out there as a representation, but and our goal is to do better than that as we go forward in time. And as we add more securitizations, residential securitizations, I think you'll start seeing a transition of our core earnings is more definable for you guys as analysts.

It's been very difficult historically for us because we've had a lot of different components of earnings, but I think as we go forward and look at some of the strategies we are focusing on today, you'll see more core like earnings being developed..

I mean dollar amount you said in terms of unrealized losses that could reverse over time.

What was that again?.

I'm sorry, repeat that, Bose. You're breaking up a little bit.

What was that?.

When you talked about unrealized losses that could reverse over time. Did you give a dollar amount that was some sort of that….

Sure. Yeah, we said we had - we have over $100 million still on securities and loans that we hold on our balance sheet that are still below where they were at March 31, essentially, that's how we look at that.

And we've seen significant recovery and as we said in our securitization, we did in October at new lows in terms of cost that would infer that prices continue to strengthen into the fourth quarter today..

And at this time there are no further questions. You may continue with any closing remarks, Mr. Steve Mumma..

Thank you, Operator. Thank you, everyone for being on the call. We look forward to recapping our 2020 year in the early part of 2021. Be safe and healthy, and have a happy Thanksgiving. Thanks, everyone..

Ladies and gentlemen, this does conclude today's conference call. Thank you for participating. You may now disconnect..