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 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, 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 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 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, Kristine Nario. 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 of a broad of 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 contributed to the Treasury curve inverting. At the end of September, the spread between the two- and 10-year Treasury yield closed at -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. 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 Kristine for further details. Now speaking from page 7, due to the macro factors discussed, we incurred an unrealized loss per share of $0.27 and unrealized 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, given 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 aggregated 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 $18 million in other asset sales. Investment activity was significantly reduced in the quarter, primarily in the origination market. Coupon bonds 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, we found an attractive entry point to a $242 million loan securitization.
This allowed us to reduce our repo mark-to-market exposure and recourse leverage, which now stands at industry-leading low of 0.5x at the company and 0.4x at the portfolio level. With that, I'll pass over to Kristine for more details on our financial results. Kristine?
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 on a quarter-over-quarter comparison. As Jason mentioned earlier, undepreciated book value per share ended at $3.89, down 8.3% from June 30. That translated to a -5.9% economic return on undepreciated book value during the quarter. The company had undepreciated loss per share of $0.27 in the third quarter. The fair value changes related to our investment portfolio continued to have a significant impact on our earnings and book value. We recognized $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 0.5x and 0.4x respectively, from 0.7x and 0.6x 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 GAAP 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 2.18x 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 hit us 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 $0.34 per share of unrealized losses incurred in the third quarter.
Of the $128.1 million of unrealized losses, $67 million or $0.18 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 on 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?
Thank you, Kristine. Talking from page 12, the U.S. housing market underpinned by a multi-decade low of U.S. units available for sale is now slowing. Units of new and existing homes are now trending below 2019 levels due to an average monthly mortgage payment that's 60%-90% below previous year's payment, depending on the market. The raising of interest rates have caused affordability levels today to actually experience the worst that the market's seen in over two decades, with a 60%-90% rise in monthly payment. Now, what we highlighted here last quarter was a transmission mechanism for the market, going from the first quarter of 2022- 2023. We've updated that.
Everything pretty much is going as we outlaid last quarter in that the first half of 2022, we saw a par plus efficient financing market. The securitization market was very robust, and many deals could get done at really the tightest levels that we've seen in this market in quite some time. In the third quarter 2022, after the second quarter falloff of securitization activity, discount and inefficient financing became the norm.
In that time period, throughout the entirety of the third quarter, we have paused our pipelines, where we had about a billion dollar of pipeline that we could have invested into in the third quarter. With that, we were able to forego some mark-to-market and also lower coupon assets on our balance sheet that would be better off if we would've waited to invest in those assets today. The plan has worked. However, in the fourth quarter, as we discussed in last quarter's conversation, we're seeing a dislocated market with wide bid-ask spreads.
That feedback loop I mentioned earlier, where the primary market levels are not adjusting fast enough higher, is causing the secondary market to reference those points and cause a larger bid-ask spread, which is locking the markets. What we expect to happen is capitulation in early 2023, with deep discount assets being available where financing is not required given the underlying returns meeting go forward yield expectations. At that time, we expect to be aggressive and liquid to invest into these markets.
Now, we're able to do that through our first with our operations, where we didn't engage in high fixed cost entanglements, which would've forced us to continue buying assets into the market to support the cost that we have on our balance sheet. With that and the flexibility and nimbleness that we've provided, our portfolio also was managed to preserve book value in high rates or more volatility. In this case, we favored shorter term duration assets, which helped minimize the mark-to-market loss and also reduced the requirement to use repo leverage, mark-to-market repo leverage for our balance sheet. Now, the timing is gonna be everything here on when to start redeployment efforts in a significant manner. We need to exhibit patience.
The bid-ask spreads and market capitulation could take longer than initially discussed in the beginning of 2023, and we will wait until that happens. We are already seeing evidence of this, where there's trades that are in the market that are failing based on a too big of a discount being required by the market. In particular, in the SFR space, single-family rental opportunity. We're seeing a 15%-30% discount to current values being priced into the market and very little trading. Looks like sellers wanna sell at a 15% discount and buyers wanna buy at a 30% discount to current values in the single-family rental markets.
That's just an example of some of the lack of trading that's happening because of a large bid-ask spread. The execution of this particular market environment is gonna be key based on asset management and ability to roll up your sleeves and deal with the underlying discounts that you've been purchasing and being able to unlock value through asset management plans. This is something we're very adept at doing and have various amounts of experience over two decades managing discounted assets in distressed environments and look forward to optimizing our portfolio in that environment. Going over to page 13, the investment strategy. As I mentioned, $119 million was invested in the third quarter. Much of that was actually draws from previous loans that we funded.
When I mentioned we curtailed investment activity, it was significant. We were able to basically hold up over about a billion dollar investment activity, and that was decided due to a portfolio management decision of waiting for a better opportunity given what we saw earlier in the third quarter. The paradigm shift where it significantly curtailed our investment pipelines and all core strategies both in single family BPL rental and fix and flip, as well as within the multifamily sector. Now again, our focus is acquiring assets on unlevered basis. We believe that the market will come around to be able to do that and generate double-digit returns without the use of leverage.
However, we also recognize that the market's definition of liquidity in at some points in 2023 will change to be really unrestricted cash. You know, for our purposes and how we've dealt with our debt management, we believe that our definition of unrestricted cash, which is going to be truly unrestricted cash, we'll be able to put into higher yielding opportunities to grow our earnings per share. To discuss that point, turning to page 14, our portfolio financing strategy to optimize cash was more or less a de-risking mechanism from mark-to-market financing. Portfolio financing exposure from mark to market of repo exposure equals 23%, as of the third quarter. Mark-to-market repo percent of asset portfolio is only 14%.
We currently carry, as Kristine mentioned, 0.4x portfolio recourse leverage. The story goes beyond just the portfolio financing. It also goes within our corporate borrowing strategy. We have three bonds that are outstanding on our balance sheet today. You know, a hundred million dollar in secured fixed, which is due in 2026, and two junior subordinated debt deals that are due in 2035. Company recourse leverage of 0.5x is the result. I mention this because there are no maturity walls that we have to contend with and reserve cash back in case of dislocated markets for corporate activity. When we mention that we have unrestricted cash, we truly believe it. It is unrestricted and can be used in this market environment.
Evidence of that, in the third quarter, we had margin calls about $50.2 million. Now this is very low relative to the $369 million cash we had on our balance sheet at the end of the second quarter. Also low with respect to $4.3 billion of portfolio that we have on our balance sheet. We're able to manage this margin call risk, and we expect it to actually, the exposure to repo leverage, decline in the fourth quarter with an additional securitization that is being priced. Now, going to page 15, balance sheet, you know, balance sheet summary. We left this page in there from last quarter. It puts it all together, and it provides a nice summary of our portfolio assets and debt.
On the left side, you know, bridge loans was the leading opportunity. Again, over 18 months ago, we decided to invest into this space, as a trade, not a business, in that we were focused on utilizing our cash for short-term opportunities that would have fast reinvestment criteria, enable us to invest into higher yielding or more dislocated assets in the future. On the multifamily side, you know, we focused on both JV and mezzanine lending. Both are shorter-dated opportunities, shorter duration opportunities for us to invest in. On the joint venture side, we saw an opportunity in 2001 to buy underlying properties.
We thought that would be a shorter-dated opportunity and that the environment wouldn't last forever to have double-digit rental rate increases per year. We see an opportunity to monetize that portfolio today. On the mezzanine lending, various debt that was issued below the senior debt, which we find incredibly accretive to our portfolio. On the right side, you know, our securitization debt, as Kristine mentioned earlier, we do not mark-to-market our underlying securitization notes that would offset unrealized losses on our portfolio that are underlying those loans. In that case, the majority of our financing is through the securitization debt sector. As I mentioned earlier, you know, we have very little corporate debt on our balance sheet, and no maturity wall to speak of.
Now, turning to page 16, single-family portfolio overview. Our single-family portfolio is stable. Our highest credit risk category in the sector that we have here is within our RPL. As you can see, the FICO scores are quite low, and also the fact that these borrowers had been somewhat delinquent in previous time. Our portfolio 60+ delinquency ratio has declined by 3.15% since the beginning of 2021. When you're aligned with the borrower, you know, 62% LTV, plenty of equity, and able to work with the borrower on sustainable payment plans, you should expect this result. We have securitized 99.5% of this portfolio to date.
In bridge lending and rental and performing loan opportunities, these were the areas that were pretty robust allocations over the last couple of quarters, and areas that we saw an opportunity to pause and reset for a dislocated opportunity. Turning to multifamily. On the multifamily business, rental unit demand continues to be elevated in the short term, particularly in the South and Southeast. The demand for rental units is outpacing the supply due to the high migration, particularly in Florida and Texas. Nationally, rents continue to increase at a slower rate, with the Southeast outperforming. This opportunity here on our senior lending, relating to, well, our mezz loan opportunity, we've seen senior lending advance rates decline.
In other words, banks are not advancing the same proceeds they did on senior loans as they had in the past. The difference is roughly a 10-point decline in advance rate. It's taking a 75 LTV- 65 LTV as an example. In this case, it provides a nice opportunity to fit a second lien or mezzanine financing behind that first lien with larger equity position for us today. We see this opportunity as a core strategy. However, we are also recognizing that the underlying rates which you could lend at aren't moving as fast as we'd like.
We like to see this lending rate around, you know, anywhere north of 13%, closer to 15%, and we think it's a process that is happening to achieve those types of lending rates, but they're not quite there yet in the market. We think we'll be able to see that in 2023 or perhaps even in the later part of this quarter. On the joint venture side, as we discussed, we're in a monetization effort on the portfolio. On the multifamily mezzanine lending, we have two loans that were prepaid and redeemed in the quarter, $19 million total. 17.66% lifetime IRR on these assets, as well as a 1.42x multiple. Now this is exactly what we expected to see in our lending.
Our coupons around 11.9% you can see on average, but because of the minimum payoff multiples, we're able to achieve a higher return. This asset class as in sector has been extremely stable. We have only one loan that is delinquent, and we expect a full payoff at par. Again, we believe this sector has been highly accretive to our balance sheet, and we continue to add value over time. Now on the multifamily joint venture side, we have listed out the 19 properties that remain in our portfolio. As you mentioned earlier, we had one sale of a Houston property last quarter which achieved a 66.3% IRR or 2.18x multiple. Now these are assets that we underwrote to a 13%- 17% IRR.
Obviously, the return here is well beyond our expectation. We had significant rental growth in our portfolio, as you can see labeled on the top left corner here. In 2021, we had a 16% growth in our portfolio. In 2022, we had a 17% growth and we are still seeing rental growth in our portfolio. Again, looking at the cities, mostly in the South, Southeast part of the United States. We feel very, we're fairly confident that we're able to produce further gains in this portfolio and hence the reason why we're looking to monetize these 19 assets. Now, I would like to wrap up my comments here with the following.
The company is focused on opportunities in a market undergoing a landscape change and offering deep discount pricing due to the inefficiencies that we're seeing in the securitization market. Now, we believe the success in the new environment will be achieved through organic creation of liquidity, tactical asset management, and prudent liability management for book value protection. I thank you for your time. At this time, I'll pass it over to the operator to open up the call for Q&A. Thank you.
At this time, we will conduct the question-and-answer session. If you have a question, please press the star followed by one one on your touchtone phone and wait for your name to be announced. 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. Please stand by while we compile the Q&A roster. Our first question comes from Doug Harter with Credit Suisse. Doug, your line is open.
Hi. Thank you. This is John Kilichowski on for Doug. My first question, could you just give us an idea of the pacing of future JV equity transactions?
Yeah. We are currently engaged on a couple of properties. We are looking at individual sales, we're looking at portfolio sales, we're looking at strategic opportunities. The pace is really undetermined. You know, the market, as I mentioned earlier, is in flux, and that includes even property transactions. In flux meaning that, you know, there's more of a wait and see approach to 2023 than a, you know, willing to put more capital to work in 2022, and I think that's across a lot of sectors and credit risk sectors in this market. But we do have a pipeline of sales that we're working on at the moment. You know, the pace is really gonna be dictated by the market.
Really hard to make a firm comment on that.
Thank you. I guess just the return opportunity on those, do you think they're similar to what you saw with the Houston property?
I think they're gonna be some maybe more, some maybe less. It's hard to say. You know, again, this market is with the rate increases, you know, one thing that is in our favor here, despite rate increases, the reason why cap rates are still quite low in this market is that, you know, the market is supported by agency financing on the senior debt side. They have a budget to put to work for senior financing against properties just like this, which has, you know, allowed the cap rate to stay quite low relative to other markets. That has been, you know, a tailwind to this market, you know, for quite some time in that the stability and the financing is there where you don't have that in residential credit.
From that perspective, it's hard to comment on exactly what the returns look like. We know that, you know, from our GAAP perspective, we have these assets marked at depreciated and amortized, lower of the depreciated and amortized costs as well. On depreciated basis, we hold it at, you know, at cost basis, and we feel like given the rental rate increases that we've experienced in these portfolios, that they're more valuable today, and we hope to demonstrate that over the course of the year.
Thank you. Do you have a book value update, quarter to date?
Yeah. We're seeing basically less than 1% decline in our portfolio on a book value basis.
Got it. Thank you.
Please stand by for the next question. The next question comes from Christopher Nolan, Ladenburg Thalmann. Christopher, your line is live.
Hey. Quick question. For these JV exits, is the plan to remain exposed to multifamily through mezz lending?
Yeah, that's right. We saw an opportunity in 2021 to add exposure in the equity space. We did so because of the migration that was experienced, that we were seeing or that was quite obvious, and the lack of supply and demand that was there. Supply was obviously. New construction was held off for quite a bit and is now catching up. We saw an opportunity to put some money to work there. We felt like when we were underwriting the mezzanine loan opportunities, we saw better upside with the same downside protection in the JV space, equity space. Hence, that's why we looked in that space.
Today, we see better opportunity in pref or in mezzanine lending. Now with a larger equity cushion, given I just mentioned earlier that the senior lending has pulled back slightly and therefore, you know, we can fit in with higher equity exposure or equity cushion below us. With our performance in the history of underwriting this market for us, we've never experienced a loss in this asset class. It's been a fantastic strategy. We have great underwriting and sourcing capabilities. We do expect to continue putting money to work in this space. The timing of it is a little more up in the air depending on capitulation for a higher rate kind of loan.
That's something we're looking to continue doing.
Given where we are in the cycle, is this mezz lending sort of a form of hard money lending?
I wouldn't call it hard money lending. I mean, this is traditional second lien mezz lending that you know has been a part of the multifamily market for quite some time. I would say hard money lending comes into play where you shorten the duration or the maturity of the loan to a year, and it could look more like a loan-to-own opportunity where you're providing the sponsor some bridge capital and you're waiting to see if they can you know formulate whatever plan they need to pay you off out of one-year maturity. The market's not there yet. You know, we don't foresee that in the near term.
We do know that there's about $130 billion of, you know, bank loans, senior loans that will be coming due over the course of 2023. That provides an opportunity, given that bank loan senior funding was done at a higher LTV than is available today. There will be needs for, you know, a second component to finance these assets. Given the run-up in rental yields and some appraisal values, we see that the assets could support that debt which is quite frankly equal to the same senior level debt they had from two years ago.
Final question. Is it fair to say, given your comments in terms of preparing the market for an investment opportunity in coming quarters, we should see the leverage, the recourse leverage levels decrease further?
That's right. Yeah. We're looking at moving a portfolio within our BPL rental strategy into securitization in the coming days that will significantly reduce our mark-to-market exposure due to rebuild financing as well as focus on assets that do not require leverage. Now, we do have a revolver, two revolver securities within our BPL short-dated BPL loan strategy that we continue to utilize, and we wanna keep funded so that we should expect to be active there. But for the most part, you know, when we do see some incremental leverage opportunities, our focus is gonna be on the non-mark-to-market side of the equation for financing.
Okay. Thank you.
Please stand by for the next question. The next question is from Bose George with KBW. Your line is live.
Hey, everyone. This is actually Mike Smith on for Bose. So it sounds like you're pretty cautious in terms of capital deployment. Can you just kind of talk through how you're thinking about the balancing act between, you know, buying back more stock and, you know, versus maintaining a strong liquidity position? As a follow-up, can you just remind us how much remaining authorization you have left on the buyback?
Yep. As I'll start with the liquidity situation. The you know, what we've done over 18 months is built over a billion dollar of short duration BPL loans. The goal there was to be able to utilize that market, those assets into a higher yielding market. It was a great cash utilization strategy for us given that the high coupons, short duration aspect of those portfolios. And you know, we see an opportunity to rotate that capital into, you know, we hope to see, you know, as a better buying opportunity in 2023.
Today, you know, we see better opportunity as it relates to our share price and buybacks versus the, you know, the investable market today, simply because of the discount we currently trade at. We do have to weigh that with liquidity and expected capitalization efforts in 2023. As I said earlier, we do expect to continue engaging and buying back shares in the market if levels stay around levels we've been purchasing at and that is something that we're going to continually monitor and look at. You know, previous calls we weren't as forthcoming simply because we were still debating the value proposition there versus assets that we saw in the market.
Once the third quarter, you know, securitization market started being very much less liquid and inefficient, you know, the meter turned towards our buyback as a, you know, literally as a primary strategy in the third quarter. We spent more money there than we did in new investment activity, given majority of what we invested in in the third quarter was related to a draw down from previous loans that we actually funded. We will continue looking at our shares and our share price and the discount to book value as an opportunity.
We think it's highly accretive, and that could change depending on share price as well as you know the market opportunity offering you know from a large bid-ask spread to shorten that up and becoming more of a buyer's market. It's something we're balancing and we'll continue to follow.
To answer your question with-
How much-
To answer your question with how much is left over, so as of 9:30, it's, that's about $178 million with the trades that we settled early in October, that'll be taking you down to $176 million.
Great. That's helpful color. Maybe just one on the dividend. You know, can you just talk through how you're thinking about the dividend? It looks like, you know, especially given the context of, you know, the comments you made on remaining defensive, it looks like the, you know, ROE on the existing book implies like a break even, you know, ROE of, you know, 10%-11%. Is that something you know, you think you can generate, you know, just given your defensive posture or any other color on the dividend would be helpful.
Yeah. As we said earlier in previous calls, our dividend policy is kind of an 18-month forecast on not only, you know, our interest income, but also some realized activity we see on our balance sheet. Today, we believe we can support the $0.10 based on, Kristine mentioned earlier, our net interest income generated about $0.08 of EPS on top of potential liquidations in the future for additional realized gains. A component to our dividend policy for quite some time now has been the principal component on sales or realized activity to meet our dividend obligation. That still continues today.
You know, we have over the past, you know, five years really have not been a story of NIM that is the full focus of what we are looking to and how to cover a leverage play on assets with short-term liabilities to pay dividend. It's always been a component of you know, looking at not only the interest income on assets we're generating, but also on principal activity through discounted purchases or, you know, realized activity. You know, the fact that we've already announced the $0.10 dividend, and then looking at the 18-month forecast, we feel that we can support that dividend over time.
Now, the market, you know, obviously the key component here is whether or not we can reinvest our BPL short-term duration loans into the market to higher yielding opportunities. That's something we expect to do. You know, the goal there, you know, just in today's market where coupons in that space are generally 150-200 basis points higher than it was, you know, a month and a half ago or two months ago. You know, at a minimum, we could reinvest into the BPL space to earn a higher return than we had earlier. We think there may be better opportunities in 2023. You know, for us, we wanted to stay liquid.
We wanted to be able to be active in a dislocated market and be able to put money to work at compelling risk-adjusted returns. With that, we think that, you know, the bridge from the BPL book to the opportunity or just even higher coupon BPLs will continue to allow us to support our dividend.
Great. That's helpful. Thanks for taking the questions.
Please stand by for the next question. The next question is from Jason Stewart at JonesTrading. Your line is live.
Hey, this is Matthew on for Jason. What is the quarterly operating expense run rate that you guys have for operating real estate going to look like after the next chunk of asset sales? Then how should we model that to get to zero once the sales are complete?
Well, in terms of operating expenses, there will still be operating expenses left in the property. If you take a look at what's really driving that operating expense on real estate, it's depreciation and amortization. With GAAP accounting being held for sale, depreciation and amortization on majority of those properties will be essentially zero. What's gonna be left over is, you know, multifamily property on a consolidated JV structure that we have, where we own less than 20% of common equity. There will still be depreciation, but to a lesser extent as it compares to prior quarters.
Got you. Thank you. With that cash, is the plan to pay off the repo debt outstanding or continue to invest it?
The cash is gonna be to invest. The repo debt payoff will occur through a securitization that we're looking to complete. If we're successful in that deal, which is out at the moment, we will be able to pay down debt through transference of our term securitization leverage. The cash will be utilized for investment opportunities.
Got you. One quick follow-up. What is the cap rate that you guys are looking to get or have got on some of these sales for the assets?
Yeah, I mean, cap rate, if you spend time in the multifamily space, there's probably three or four definitions of what cap rate means. Cap rate, you know, traditionally is obviously your rental income versus your cost basis and minus the expenses there. Because of rental rate increases that you're seeing across the market, there's catch-up that needs to be applied into some of the formula that you're looking to sell. If you have leases that are rolling in the next six months that are up 10%, that's part of your cash flow. Therefore, the cap rate number really becomes very difficult to understand because it doesn't incorporate that, you know, given current cash flow.
I mean, if I did simply answer your question, caveating those points, you're around, you know, 5.25%-5.5%[5 or 5.5%]. You know, the loss to lease is a significant component of your cash flow on a pro forma basis that has to be modeled in as well. You know, that is our opportunity.
Awesome. Thank you.
Yep.
Please stand by for the next question. The next question comes from Matthew Howlett with B. Riley. Your line is open.
Good morning. Thanks for taking my question, Jason. My question is, you know, you got the company as well positioned as really anyone out there, you know, with the leverage and the excess cash and potentially some more capital coming in the door. When you look at the pace of capital deployment in 2022, I know you don't have a crystal ball, but, you know, you could get obviously deployed overnight given, you know, all the different asset classes you look at. I mean, what are some of the, you know, the things as asset prices decline? You know, we saw during the last recession was, you know, things went down, and they went down further and further.
What can you tell us in terms of when you feel like it's time to start really getting aggressive?
Right. The first point that you mentioned, you know, if you found value in today's markets, particularly in BPL rental or fix and flip or short-dated loans, you could really own the market today. There are various originators that would love somebody to show up with, you know, $250 million of cash to invest in this market. The problem is that the loans that they're producing just aren't attractive relative to the, you know, term rates that we see in the market today. You know, there is much different than a year ago, you know, anybody with capital can step in and take a big market share that exists in this market.
We're also looking at the fact that we're, you know, quite possibly could call peak housing, you know, third quarter of 2022. That's evident obviously in the affordability measures that are, you know, at one of the worst levels in 20 years. I think there is a lot you know there will be some significant buyer's remorse that it may experience from Q3 activity. You know, I think that is part of our opportunity for 2023, in that if you've not efficiently financed those assets in 2022, we believe that the 2023 financing environment could be even more difficult and more and even less efficient than it is today.
Your question on timing is really a function of when we can generate, you know, our double-digit kind of equity type of returns without the use of leverage. That's, you know, in a much broader and much deeper stress scenario. That's what basically helped the housing market cure, is when rental yields became 13%-14%, and you could earn that just by buying a home and not utilizing any leverage. While similar kind of outcomes that we would expect in some of these loan products where financing is not available or very inefficient, where you know, there were maybe a shopping of portfolios not getting done in 2022, and in 2023 is a capitulation on the sale.
You know, what causes some of those capitulations is financing and warehouse lines that are typically structured 364 days. You know, the roll on that financing facilities for loans we expect obviously could be pressured in that you have less financing dollars that will be provided. Advance rates will be lower, likely if it's an aged portfolio. If you're overlevered there and do not have enough liquidity to take those assets off your warehouse line, that becomes a distressed opportunity. That is something that we expect to see in some parts of this market, particularly within the origination channels, you know, in the market today.
For those reasons, you know, we're kind of a hold until we see that capitulation. We see loans and houses being shopped and trades failing or not being consummated because, you know, the discount required by the market is larger than their pain points of the seller. Over time, we believe that, you know, some of those sellers will run out of time, and we'll provide an opportunity for us to invest in this market.
I think I hear what you're saying. You're gonna buy this stuff unlevered, double digits, you know, potentially maybe over time, watch them go up, maybe put financing them over time. In the meantime, NYMT's could operate with effectively very limited recourse leverage debt, but you get the securitization closed.
That's right. You know, we purposely designed. I mean, there were various opportunities to issue corporate debt in 2021 at you know, pretty attractive levels. You know, we weighed that on you know, a five-year timeline, which comes pretty quickly, especially when you're investing in three- to five-year assets. You know, we didn't want to have maturity wall structured. We'd rather have the financing on a secure basis with respect to our assets and matched to our assets, which is why we utilize mark-to-market repo leverage, one-year facilities on our BPLs, fix and flip loans because of the short duration. Again, as mentioned earlier, we have two securitizations are outstanding there.
We can recycle some of those assets, but we also have, you know, those assets on repo currently. We think that is a good use of leverage there and ties well with the asset. You know, the goal is to stay very liquid, stay nimble, and look for these opportunities. Now, that's what we currently see today. However, various things have come into this market landscape and some of the discount opportunities may not be realized. What we can do and will do in that timeframe if, you know, for example, the expectation of the Fed pushing inflation interest rates higher to curb inflation, which really the only way you do that is through higher unemployment rates.
If that doesn't come to fruition and we have a paragon of inflation, well then some of our expectations of these dislocated opportunities will not come into play. As I said earlier, you know, the market, given the liquidity situation of various market players, the market is for anybody's taking. You can come in and you can be one of the largest buyers of these markets today, with the capital and with the understanding of what you're, you know, on how to asset manage these assets. You know, we can step into the market with the same type of asset classes that we're in today at higher rates or, you know, or wait for this dislocation to occur. We believe that our capital is better spent waiting for dislocation at this moment.
I would agree. You guys are in a really good position with all the expertise in the various, you know, business classes. I appreciate it. Thank you.
Please stand by for the next question. The next question is from Eric Hagen of BTIG. Your line is live.
Hey, good morning. Hope you guys are doing all right. You know, how are you guys thinking about the warehouse funding for whole loans, your ability to source additional warehousing going forward, just the fungibility of those assets in general? Do you also have a breakdown of the type of collateral which is on warehouse right now? If I can just tack on another question, just what's the unfunded commitment in the BPL portfolio right now? Thank you, guys.
Yeah. Warehouse funding-wise, we have proposals in front of us to upsize our warehouse lines. I think it's not something that we're concerned with at all given the availability to take the upsized requests or proposals. We have significant amount of capacity in our current warehouse line today. You know, given the securitization to the repo loans to securitizations and reducing our repo balances there, the commitments we have from our warehouse lenders were kept the same. We have not reduced those. You know, we can re-lever those assets, those warehouse lines up if we felt like that was an opportunity to do so. Again, our plan is not to do that. We see opportunity to do otherwise. You know, there's really no.
We don't see any issues on buying large portfolios and utilizing warehouse leverage for that. You know, as it relates to our BPL activity, you know, we are generally funding around about $73 million a quarter. We expect that to occur for the next few quarters, but obviously, we expect it to also taper off given the, you know. For purposes of BPL distress or BPL bridge loans, we're, you know, we have a seasoned portfolio, in that we, you know, a lot of our ramp, if you look at our investment activity, the ramping of our portfolio really occurred in the fourth quarter of 2021 into the first quarter of 2022.
You know, these are 18-month loans on average. We've already kind of moved forward in time, you know, about six months. We also have focused on a strategy of buying loans that had very low utilization or low construction requirements. You know, our goal was to buy loans that would have very easy concepts to move forward in a plan for the operator. We have a chart in our supplemental that shows that activity where, you know, we have many assets where there was no requirement for repairs. We, you know, limited the kind of ground-up construction and high repair situations, which then, you know, correlates to low go-forward draws for our portfolio.
To answer your question in terms of what's in the warehouse lines, it's predominantly our BPL bridge loans. There's some obviously rental loans that's in there. That's a DSCR, but we are looking to move them into a securitization that's being priced. There's also a performing loan book or scratch and dent that's there. Our RPL portfolio are predominantly all securitized. It's about 99.5% of that portfolio is in securitization structures.
Got it. Yep. Thanks for following up on that. Appreciate you guys.
Thank you.
At this time, I would like to turn it back to Mr. Serrano for closing remarks.
Well, thank you everybody so much for taking the time today to be on our earnings call for 2023. Thank you very much and have a great day.
Thank you for your participation in today's conference. This does conclude the program. You may now disconnect.