Good day, ladies and gentlemen. And welcome to the Q1 2020 Exantas Capital Corp. Earnings Conference Call. At this time, all participants are in a listen-only mode. Later, we will conduct a question-and-answer session and instructions will follow at that time [Operator Instructions]. As a reminder, this conference is being recorded. I would now like to introduce your host for today's conference, Steve Landgraber, Senior Vice President of Corporate Finance. Sir, you may begin.

Thank you, operator. Good morning. And thank you for joining our call. Before we begin, I would like to remind everyone that certain statements made in the course of this call are not based on historical information and may constitute forward-looking statements. When used in this conference call, the words believes, anticipates, expects and similar expressions, are intended to identify forward-looking statements. While the company believes that these forward-looking statements are based on reasonable assumptions, such statements are based on management's current expectations and beliefs. They are subject to a number of trends, risks and uncertainties that could cause actual results to differ materially from those contained in the forward-looking statements. These risks and uncertainties are discussed in the company's reports filed with the SEC, including its reports on Forms 8-K, 10-Q and 10-K and in particular, the Risk Factors section of our Form 10-K. Listeners are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof. The company undertakes no obligation to update any of these forward-looking statements. Furthermore, certain non-GAAP financial measures will be discussed on this conference call. Our presentation of this information is not intended to be considered in isolation or as a substitute to financial information presented in accordance with GAAP. Reconciliations of these non-GAAP financial measures to the most comparable measures prepared in accordance with generally accepted accounting principles are contained in our earnings release for the past quarter. I will now turn over to Chairman of the Exantas Capital Corp, Andrew Farkas, for opening remarks.

Thanks Steve. Good morning, everybody. Thank you for calling in. With me today are Bob Lieber, our CEO; Matt Stern, our President of Exantas; Dave Bryant, our CFO; Paul Hughson, Head of Commercial Real Estate Lending; and as you heard from Steve Landgraber, who is our Senior Vice President. Let me begin please by expressing our hope that all of you and your families are healthy and safe. All of us Exantas Capital Corp and C3 Capital Partners which is Exantas Capital manager salute our healthcare and other essential workers who are doing and risking so much at this remarkable time. As an organization C3 Capital Partners made a concerted effort to provide charitable financial support to both healthcare workers on the frontlines and assistance to those in need. The unprecedented fallout from the Covid-19 virus embroiled financial markets around the world. It has had an acute impact on commercial real estate. Like many of our peers, these events have had a material impact on our company. We transitioned our entire operations for a remote setting in the second week of March. There hasn't and continues to be no disruption in our ability to operate and all of our employees are safe. It's been approximately 12 years since our industry experienced a shock of this magnitude. We are rigorously monitoring what is a fluctuating environment to ensure that we remain responsive and adaptable. While this period has been and will continue to be difficult, this particular management team has been through several real estate cycles. I'm confident we will find opportunities when the economy and financial markets stabilize. With the uncertainty in our financial markets and in our economy today, our first and foremost goal is to protect the franchise and retain sufficient excess liquidity. We therefore, did not pay…

Thank you, Andrew, and good morning, everybody. As Andrew mentioned that we're going to talk through some of the timeline and the significant events that have occurred since March 4th. And starting on March 4th on our last earnings call, we provided guidance about deployment for 2020. And at the time we noted that such guidance presumed normalized market conditions, but the recent market activity had not been normal. We clearly weren't aware of how unfortunately prescient that caveat turned out to be. The week after the earnings call, members of senior management and the Board were very excited about the addition of the fixed-rate loan origination capabilities to our product offerings at Exantas and we demonstrated this confidence in our business plan through the purchase of equity securities in the company. The threat of Covid-19 was not fully known at this time and even while we shut down our New York City office, we were confident our loan and CMBS portfolios, as well as the direction of the company. On the loan side, as you know, we focus on borrowers with like transitional business plans, substantially all of which generates sufficient cash flow during the transition. We have no construction loans in our portfolio. We have minimal exposure to New York City. Over 98% of our portfolios and senior secured loans and our portfolios geographically diverse with almost 60% of our loans in multifamily assets. Our CMBS portfolio was a mix of agency FASB and conduits CMBS position selected based on their strong credit profile as a result of their sponsorship, the asset class and subordination levels. For example, at February 29, 2020, about one third of our portfolio was comprised of the Class B bonds from Freddie Mac's floating rate K series securitizations. These are pools of loans…

Thank you, Bob and good morning, everyone. As disclosed in our earnings released last night, we sold our entire CMBS portfolio other than the BP's tranches we held unlevered, which resulted in a $180.3 million loss on sale or $5.69 per common share. Volatility in the CMBS markets starting in mid-March led to the company funding $59.7 million of CMBS margin calls and following additional sizable CMBS margin call requests. We eventually received notices of default on repurchase facilities as disclosed in our two 8-K filings in late March. While we certainly felt comfortable with the CMBS portfolio we had acquired, the lack of liquidity in the CMBS market during this time led to pricing that was not reflective of underlying value and led to margin calls inconsistent with the fair value of our assets. Despite this dynamic, as Bob discussed, we concluded it was necessary to divest our bond portfolio and protect our balance sheet. The company's CMBS repo liabilities were not fully settled until April 2020. So you will note that we have liabilities that remain on the March 31st balance sheet of $175.9 million which are offset by the fair value of CMBS margin cash posted and retained field notes. As of April 20th, we no longer have any liabilities associated with our CMBS portfolio and all losses associated with the disposition of the CMBS portfolio have been recognized as of March 31st. As disclosed in our April 22nd, 8-K, all notices of default have been rescinded or withdrawn. The $180.3 million loss on disposition of the CMBS portfolio has the following components. The size of our CMBS portfolio and retained investment grade CLO notes prior to the disposition was $548.8 million at cost financed with $436 million of short-term repurchase agreements, yielding a net investment of…

Thank you, Matt and good morning. Our GAAP net loss allocable to common shares for the three months ended March 31st, 2020 was $199.1 million or $6.30 per share. The core earnings loss was $172. 9 million or $5.40 per share for Q1 2020 and adjusted core earnings after adjusting for the $180.3 million loss with CMBS dispositions was $7.4 million or $0.23 per share. In terms of significant items impacting Q1 GAAP earnings, we incurred $185.4 million or $5.86 per share of losses. When the combined impact from the sale of our CMBS portfolio that was financed by repurchase agreements and mark-to-market changes on our remaining BP's investment, which of course was not financed. We saw our CECL reserve increased by $16.1 million or $0.51 per share at March 31st, 2020 due to the macroeconomic shocks caused by the Covid-19 pandemics effect on business conditions. This adjustment is over and above the $4.5 million of CECL reserves already on the company's books at the time of CECL implementation on January 1st, 2020 and we reported $3.8 million or $0.12 per share of fair value adjustments to our held for sale strategic plan asset. The net negative impact from these items in Q1 2020 was approximately $205.3 million or $6.49 per share. When our year-end 2019 call held in early March, we reported available liquidity of $139 million as of February 2019. Given that we are now reporting $102 million less at May 7, I wanted to provide a high-level summary of the items that impacted liquidity. We had three major uses of liquidity. First, we had significant mark-to-market margin calls of $59.7 million. Second, we reduced the balance of our CRE loan warehouse financing facilities by $46.9 million which breaks down as $23.7 million from loan payoffs and $23.2…

And I will turn it to Andrew. Andrew?

Thank you, Bob. Thanks everybody. So basically about 2.5 months ago or so this company was on a trajectory that was entirely consistent with our stated objective. Over the course of the last five years, we took Exantas from an organization that was a series of disparate businesses and we converted it into a pure mortgage REIT which was the original intention. And earnings from that mortgage REIT continued to increase as the dividends over the course of the last five years or so. And even as recently as 10 weeks ago we had no reason to believe that that would not continue. But took place 10 weeks ago as the lockdown commenced and the economic crisis commenced in this country, guys at least in the history my tenure and my career in the industry which spans about three decades, unprecedented. And the impact on our company has been profound. Our primary objective has been to ensure the company has the ability to continue as a going operation and that we are able to continue to aggregate liquidity and to get loans paid off so that the company can return to a normal standard of operation. I think it is occurred, has impacted everybody in the industry in which we operate. Not that that is any consolation to any of us, but the management of this particular organization has been through crisis like these over and over again. And we do have the skill set to help and navigate through this as best as humanly possible. We continue to appreciate the support. We obviously wish that these things had not come to pass and we have worked tirelessly to try managing through them. With that I welcome your questions.

[Operator Instructions] : :

At this time, there are no questions. I'd like to turn the call back to management.

And with no further questions at this point, we thank you for calling in. obviously, we are available to you with you any questions you may have privately on the phone. And we hope that everybody continues to stay healthy and safe. Thank you.

Thank you. Ladies and gentlemen, for participating in today's conference call. We ask that you now disconnect your line.