Ladies and gentlemen, thank you for standing by. My name is Brent, and I will be your conference operator today. At this time, I would like to welcome everyone to the Great Ajax Corp fourth quarter and year-end financial results conference call. All lines have been placed on mute to prevent any background noise. After the speaker's remarks, there will be a question and answer session. If you'd like to ask a question at that time, simply press star followed by the number one on your telephone keypad. If you would like to withdraw your question, again, press star one. Thank you. It is now my pleasure to turn today's call over to Mr. Larry Mendelsohn, Chief Executive Officer. Please go ahead. Thank you, Brent. Thank you everyone for joining us for Great Ajax's fourth quarter and year-end 2022 conference call. Before we get started, I'd like to point out page 2 on the presentation and the safe harbor disclosure. With me here is Mary Doyle, our CFO, and also on the line is Russell Schaub, our President. A quick introduction before we get in. There's a couple of things to note before we get into the details. In Q4 2022, loan performance continued to increase and loan cash flow velocity from sales of homes by certain delinquent borrowers continued and has also continued into the first quarter of 2023. Prepayments from borrowers refinancing continued to be slower, as you would probably expect. The regular payment performance of our mortgage loans and our mortgage loan JV structures in excess of our modeled expectations at the time of acquisition for loans purchased at a discount to UPB has increased previous GAAP income by accelerating purchase discount accretion because of the required application of CECL. This then reduces forward GAAP interest income and ROE thereafter, but not taxable income. At September 30, we had approximately $47 million of cash as well as a significant amount of unencumbered securities and loans. I will go through that in more detail later on this call. We jump to page 3 for the business overview. Our manager's data science guides the analysis of loan characteristics and geographic market metrics for performance and resolution pathway probabilities, its ability to source these mortgage loans through long-standing relationships enables us to acquire loans that we believe have a material probability of prepayment and/or long-term continuing lease performance. We've acquired loans in 375 different transactions since 2014 and three transactions, and one larger one in Q4 of 2022. We own 19.8% of the equity of our manager at a zero basis, we do not mark to market our ownership interest on our balance sheet. As a result, our book value does not reflect the market value of our 19.8% interest in our manager. Should we ever internalize the management of Great Ajax, Great Ajax would record a material GAAP capital gain from their 19.8% interest. Our affiliated servicer at Gregory Funding provides a strategic advantage in non-performing and non-regular paying loan resolution processes and timelines and a data feedback loop for our manager's analytics. From today's volatile environment, having our portfolio teams and the analytics group at the manager working closely with the servicer is quite essential. We've certainly seen the benefit of this with the significant increases in loan performance, our consistent prepayment from property sales, especially for delinquent loans, and with our 2022-A and 2022-B securitization structures and now our 2023-A securitization AAA-rated structures that permit up to 40% of loans to be greater than 60 days or more delinquent at the time of securitization. Like our 20% equity interest in our manager, we now have a 21.6% economic interest in our servicer at a very low basis as well. We don't mark to market our equity interest in the servicer on our balance sheet either. Our servicer currently is evaluating a private equity round as part of rolling out some new data and technology-driven programs through strategic joint ventures. The data analytics and sourcing relationships of our manager and the effectiveness of our related servicer also enables us to broaden our investment reach through joint ventures with third-party institutional investors and thereby invest in larger transactions as well. The servicer's loan expertise is definitely appreciated by our JV partners as several of our JV partners pay our servicer for providing third-party due diligence services for other transactions they may be working on and have hired our servicer to solve problems they may have with other servicers. We still have low leverage. At December 31, our year-end corporate leverage ratio was 3.3 times. Our Q4 average asset-based leverage was 2.7 times, and our mark-to-market leverage is primarily secured by Class A1 senior bonds in our joint ventures. We own a 22% equity interest in Gaea Real Estate Corp. Gaea is currently a private equity REIT that primarily invests in repositioning multi-family properties in specific markets and in triple net lease freestanding veterinary clinic properties in conjunction with large national veterinary practice owners. We carry our Gaea interest on our balance sheet at the lower of cost or market. Gaea completed an additional round of equity about a year ago at a premium to our carrying value. Our balance sheet and income statement do not reflect any markup. We currently expect Gaea to raise additional private equity and ultimately become a public company in 2023. We move to page four. Net interest income from loans and securities, including $1.1 million of interest income from the application of CECL, was approximately $5.1 million in Q4. Our gross interest income, excluding the $1.1 million from the application of CECL, was $18.4 million, which is approximately $1.6 million lower than Q3 2022. There are three reasons why GAAP gross interest income is lower. First, we had approximately $35 million lower average interest-earning assets on balance sheet in Q4 versus Q3 of 2022. Second, we're continuing to have significantly more delinquent loans than expected become performing. As delinquent loans become performing, they provide more cash flow but over a longer period. Since we buy loans at a discount, this increase in performance can extend expected duration, which lowers yield. However, in a recession and in declining housing price environment, low LTVs provide material hedge as increased delinquency shortens duration and corresponding yields will increase materially. The third reason for lower interest income is the design of CECL. CECL was primarily designed for loans with a par basis so that accelerating reserve recapture came after a write-down. We buy loans at a discount, requiring the acceleration of reserve capture under CECL decreases the remaining purchase discount to be treated over the life of the loan, which lowers forward GAAP yield under CECL for the required reserve recapture. A GAAP item to keep in mind is that interest income from our portion of joint ventures shows up in income from securities and not interest income from loans. For these joint venture interests, servicing fees for securities are paid out as a securities waterfall, our interest income from joint ventures securities is net of servicing fees, unlike interest income from loans, which is gross of servicing fees. As a result, since our joint venture investments have been growing faster than our direct loan investments, GAAP interest income will be lower than if we directly purchased the loans outside of joint ventures by the amount of the servicing fees, and GAAP servicing fee expense will decrease by the corresponding offsetting amount. An important part of discussing interest income is the payment performance of our loan portfolio. At December 31, 79.6% of our loan portfolio by UPB made at least 12 of the last 12 payments for 74% at June 30 and compared to a small fraction of this at the time we purchased the loans. Our NPL purchases over the last 12 months increased materially relative to RPL purchases. Previous increases in housing prices helps maintain these payment and prepayment patterns and leads to decreases in the present value of expected reserves and the related income recognition of $1.1 million of unallocated loan purchase discount reserves under CECL in Q4, and the additional reserve recaptures in each of the previous seven quarters as well. Approximately 60% of our full loan payoffs in Q4, and so far in Q1 as well, were from loans that were materially delinquent at the time of payoff. While loans that become regularly paying produce higher total cash flows over the life of the loans, they can extend duration and because we purchase loans at discounts, this can reduce percentage yield on a loan portfolio and therefore interest income. Loans that do not migrate to regular monthly pay status typically have materially shorter durations. We are seeing that prepayments from property sales for both regularly paying and non-regularly paying loans is continuing. Prepayment from rate term refinancing remained slow in Q4 for refinance-eligible loans. Our weighted average cost of funds in Q4 was higher than Q3 by approximately 100 basis points. Some of this comes from the issuance of our fixed-rate unsecured notes in late August 2022 and having this on balance sheet for a full quarter. Fed rate increases and related increase in SOFR increased the cost of our floating-rate repurchase agreement financing. Net income attributable to common stockholders was negative $6.8 million or $0.30 per share. There are several items of note that had an impact on earnings in Q4. To make it a little easier to follow, we have a table that ties GAAP income to operating income on page 17 in this presentation as well as in our 10-K. Operating earnings was negative $1.3 million or $0.05 per share. Taxable income, net of preferred dividends, was $0.21 per share. Taxable income is very instructive of the current cash economics of the portfolio. Taxable income was primarily driven by continued prepayment and the related loan purchase discount capture from non-performing loans and increasing monthly payment reperformance from non-performing loans and regularly performing loans, offset by higher interest expense and lesser amount of loans and securities on our balance sheet. When we actually receive cash payments from borrowers and capture purchase discount, it creates taxable income. As a result, forward taxable yields, which is effectively cash loan yields, is higher than GAAP yields because of CECL. We recorded a loss on investments in affiliates of $300,000 or approximately $0.02 per share as a result of the flow-through of the mark-to-market decline in the price of our common shares owned by our manager and servicer in Q4. Our manager receives a significant portion of their management fee in shares and changes in market value of those shares flows through to us based on our 20% ownership interest percentage. Other income declined by almost $4 million as we recorded a $3.8 million loss from the sale of Class A1 senior debt securities in one of our joint venture transactions. $2.9 million of this was already reflected in book value at September 30th. This $2.9 million plus the additional $900,000 loss were recognized through income as a result of selling the Class A securities in Q4. In our joint venture structures, we and our partners buy loans into multi-tranche securitization structures, and we each retain a pro rata vertical slice of each tranche of securities, including the equity tranche. The Class A senior is usually the lowest coupon and is priced at market coupon and yield at the time. This Class A senior bond thereby had a low coupon and had negative carry versus repurchase funding, and it made sense to sell the Class A senior security and redeploy the capital for higher returns. Book value per share was $13 at December 31 versus $13.75 at September 30. Book value decreased primarily by our GAAP loss, dividends paid, and mark-to-market adjustment of our joint venture debt securities. There is a table on page 19 that details the change in book value. We do not mark to market our ownerships in our manager and servicer and have posted zero basis on our balance sheet. Their market values are significantly above zero. At year-end, we had approximately $48 million of cash, and for the fourth quarter, we had an average daily cash and cash equivalent balance of approximately $47 million. We had approximately $44 million of cash collections in Q4. At December 31, we also have a significant amount of unencumbered securities from our securitizations and joint ventures and unencumbered mortgage loans. In late October, we co-invested with three third-party institutional investors in a joint venture to purchase approximately $293 million UPB of low LTV, sloppier-paying loans. The purchase price, including all joint venture formation expenses, was 86.7% of UPB and 39% of the underlying property values of $653 million. We own approximately 17.5% of the joint venture. Our affiliate loan servicer, Gregory Funding, is the loan servicer for the joint venture and was the due diligence provider. Approximately 79.6% of our portfolio by UPB made at least 12 of their last 12 payments compared to a small fraction of this at the time of loan acquisition. This increased from 73% at March 31 and 74.2% at June 30, despite buying significantly more NPLs than RPLs since the third quarter of 2021. This increases life-of-loan cash flow, but the duration extension reduces yield and interest income in the current quarter. We go to page 5, purchased RPLs represent approximately 89% of our loan portfolio at December 31. Purchased RPLs represented 96% a year earlier. We primarily purchase RPLs that have made less than seven consecutive payments and NPLs that have certain loan level and underlying property specifications that our analytics suggest lead to positive payment migration, property sales, and related prepayment on average. We typically buy well-seasoned, lower LTV loans. Since November 2022, we have seen residential loan prices increase materially, especially for regular paying loans, but also for non-performing residential loans. Commercial real estate loans have not fared as well, and we're beginning to see opportunities. We believe there will be significant opportunities in sub-performing and non-performing commercial real estate loans in many markets as we get later into this calendar year. For residential loans, we continue to see stronger performance than expected. However, given the increase in interest rates and the potential for material economic slowing, we would expect an increase in delinquency and default and thereafter an increase in availability of sub-performing and non-performing loans. One thing we have seen is that significant home price appreciation and the resulting material increase in absolute dollars of equity made borrowers more engaged and attached to their properties and more determined to maintain regular payments. On page 6, we continue to buy and own lower LTV loans. Our overall RPL purchase price is approximately 42% of current property value and 90% of UPB. We have always been focused on loans with lower LTVs with certain threshold levels of absolute dollars of equity and in target geographic locations. This has become even more important for RPLs and NPLs as well in a potential recessionary environment. On page seven, since Q3 and Q4 of 2021, we significantly increased our NPL purchases. NPL purchases on average have shorter duration than RPLs. For NPLs on our balance sheet, our overall purchase price is 89% of UPB, 84% of total owing balance including arrearage, and 47% of property value. As a result of the low loan-to-value and higher absolute dollars of equity on average for our NPL portfolio, we have seen accelerated prepayment on NPLs as borrowers can turn significant equity into cash when they sell their property. We've also seen a significant increase in NPL reperformance. As I mentioned earlier, for both RPLs and NPLs, purchasing aged low LTV loans at more than 50% discounts to property values provides a natural hedge to housing price declines and recession as resulting increases in delinquencies shortens duration and increases corresponding yields. On page 8, our target markets. At December 31, approximately 78% of our loans were in our target markets. California continues to represent the largest segment of our loan portfolio at approximately 22%. California has been nearly 40% of all prepayments in 2021 and 2022. Our California mortgage loans are primarily in Los Angeles, Orange, and San Diego counties. Florida represents approximately 17% of our portfolio, and Miami-Dade, Broward, and Palm Beach counties are approximately 75% of that. Significant prepayment from property sales by borrowers with delinquent loans has continued in Florida. We also continue to see demand for homes in our price ranges in our target markets, both from potential homeowners and rental buyers. On page 9, at December 31, approximately 79.6% of our loan portfolio made at least 12 of the last payments as compared to 74.2% at June 30. Approximately 70% of our loan portfolio made at least 24 of the last 24 payments. 81.1% have now made at least seven consecutive payments. This compares to a small fraction of this at the time of purchase. The significant increase in monthly performance is more notable given that since Q3 of 2021, we have primarily purchased NPLs rather than RPLs. Much of this is likely due to Gregory Funding working with delinquent borrowers on a personal basis and to home price appreciation as our target markets are determined by data analytics that predict forward HPA selection bias. Historically, we have seen that when our purchase loans reach seven consecutive payments, they typically get to 12 consecutive payments more than 92% of the time. seven consecutive payments have been the statistical turning point versus 6% consecutive payments. The significant outperformance, particularly for purchased NPLs at discounts to UPB, requires us to accelerate reserves capture under CECL. This decreases forward GAAP interest yields and GAAP interest income. Taxable income, however, is based on the actual cash flow as opposed to CECL, and significant reperformance generates more taxable income over time as a result of more total cash to be collected. On page 10, in January, we increased our ownership in the parent of our servicer from 8%- 9.6%. We also own warrants for an additional 12%. In late February, we refinanced three of our 2019 NPL and sloppy pay RPL joint venture securitization structures with the issuance of AAA-rated bonds through Ajax Mortgage Loan Trust 2023-A. The AAA bonds are approximately 76% of UPB of the underlying loans. We retained a 5% required percentage of the AAAs and 20% of the AA through equity certificate tranches. Our joint venture partner retained an 80% vertical percentage of AAA through equity. In February, we sold the Class A senior bond in one of our joint ventures to recognize the GAAP loss of $3 million. $2.2 million of this was already in book value, so the marginal change is $800,000. Given the coupon in that Class A senior bond versus repurchase agreement funding cost, it made sense to sell the bond, eliminate the negative interest carry, and reinvest the proceeds in higher-yielding and higher ROE assets. We declared a cash dividend of $0.25 per share to be paid on March 31, 2023 to holders of record on March 17, 2023. We expect the taxable income will likely exceed GAAP income as a result of CECL as cash yields on loans exceed CECL-impacted GAAP yields on loans. To the extent the Fed continues significantly raising rates, the impact on remaining floating rate financing will have some offsetting effect on taxable income. On page 11, average loan yields and average yields on beneficial equity interest in our joint ventures declined primarily due to significant loan reperformance, which extends duration and the acceleration of GAAP purchase discount recapture as a result of CECL requirements. For debt securities and beneficial interests, remember that yield is net of servicing fees and yield on loans is gross of servicing fees. Debt securities and beneficial interest is how our interest in our JVs are presented under GAAP. As our JVs increase as they did in 2020, 2021, and 2022 relative to loans, the GAAP reporting shows lower average asset yields by the amount of the servicing fees. Since we purchased loans at a discount, the increased reperformance of delinquent loans materially in excess of expectations can extend duration and reduce yield. The significant absolute dollars of equity for our loans, both from the types of loans we buy and the HPA in our target markets on average, both accelerated prepayment from home sales on delinquent loans and led to material reperformance in excess of expectations. The sale of underlying properties for delinquent loans with certain minimum absolute dollar amounts of equity and underlying geography demographics has been steady to slightly increasing as a result of rapidly rising interest rates and borrower nervousness regarding the potential of future equity declines. Leverage continues to be low, especially for companies in our sector. We ended Q4 2022 with asset level debt of 2.7 times, and average asset level debt for the quarter was 2.7 times. Our total average debt cost was higher in Q4. This is primarily the result of rising base rates for repurchase agreement funding and the issuance of our unsecured notes in August of 2022 that were outstanding for the full fourth quarter of 2022. Fixed-rate debt currently at December 31 is approximately 60% of our total debt. We expect fixed-rate debt to continue increasing as a percentage of our total debt. Far in Q1 of 2023, we've seen a significant recovery in securitized bond credit spreads relative to Q4 of 2022. On page 12, our total repurchase agreement related debt at December 31 was approximately $445 million, down from $463 million September 30 and $509 million at June 30. It is down again in Q1 so far. $212 million was non-mark-to-market, non-recourse mortgage loan financing, and $222 million was financing primarily on Class A1 senior bonds in our joint ventures. We also have significant unencumbered assets. We expect the amount of our floating rate debt to continue declining relative to fixed rate debt now that securitization markets are more functional. With that, I'd like to turn it over to the operator. We're happy to take any questions that people might have. At this time, if you would like to ask a question, press star followed by one on your telephone keypad. Your first question comes from the line of Kevin Barker with Piper Sandler. Your line is open. Hi. Hi, this is Brad Capuzzi on for Kevin Barker. Larry, considering the relative discount in the stock, do you have the flexibility to potentially buy in more stock, or could you explore some other strategic options? The answer is we do. We wanna be a little bit patient, though. We actually repurchased a little in the first in the quarter and so far in this quarter as well. We wanna be patient, though, because we can smell an opportunity set of investments coming probably in sequentially commercial first and residential second. We make sure that we're always kind of ready to go for that. We wouldn't want to repurchase stock to the extent it didn't permit us to then take a jump for an opportunity set. We can both from a covenant perspective and from a capital perspective, do that. Awesome. Thank you. Just one follow-up. I know you talked about this a little bit, but, you know, home prices have declined in some key areas of the country. Do you see any risk within your portfolio in those metro areas? Do you see any potential opportunities as banks or other entities pull back in certain metro areas? Yes, we've definitely seen community banks pull back. We've seen them being under some regulatory pressure, more so in commercial area than in the residential area. We from our markets, we've seen some home price decline, but not necessarily in places where we have significant assets. For example, our California portfolio is primarily L.A., Orange, and San Diego counties, which have been significantly less affected than up near San Francisco. That being said, because we own our loans at such huge discounts to property value, you know, on the, you know, for example, the portfolio we bought in October, the large joint venture, we bought at 39% of property value, and we bought at a 15-point discount. In a way, it's basically a hedge against recession causing increased delinquency because it shortens duration, and we recapture the discount faster. We actually on purpose have tried to buy very low LTV loans in markets where we think delinquency might increase. It's as a what I'll call a portfolio hedge, a duration hedge for our portfolio. We actually have seen, you know, modeled out that if you were to have a really, really hard landing that caused a 20% across-the-board decline in home prices and a 100% portfolio default, it would increase unlevered yields by about 350 basis points. Awesome. Thanks for taking the question. Sure. Your next question is from the line of Eric Hagen with BTIG. Your line is open. Hey, you got Ethan on for Eric tonight. Sure. Thanks for taking my questions. Sure. Are you seeing any opportunities in special servicing, either organically or by acquiring some smaller servicers? So the answer is more complicated than you probably wanna know. We're seeing two things. We're seeing more opportunities of being have our servicer asked to do special servicing and to bring in as a problem solver for other servicing. We've also been reached out to by a number of private equity firms about seeing if we'd be willing to sell the servicer. Or could they make strategic investments to grow it because they want to go out and buy things, or they have other things they could have the servicer do as well and grow it. It's kind of both fronts right now. Got it. Thank you. Sure. I got one more. What's the lower bound for the amount of cash you feel comfortable carrying over the near term? Just on top of that, what would you need to materialize for you to raise your cash balance? We probably don't wanna be under the low 40s in cash. We have a significant number of Class A senior bonds in our joint ventures that we could sell if we wanted, which would effectively raise cash, be the equivalent of raising capital at a 6% cost. You know, it's, it's cheaper than equity, as you can imagine. But we always wanna have kind of enough cash available to play defense, so we probably wanna be at a minimum in the low 40s. Got it. Okay. Just what's the most you've carried historically, if you don't mind me asking? There's been a time that we've had, $130 million, $140 million. Got it. Okay. That's all from me. Yeah. Thanks, guys. Sure. If there are no further questions at this time, I will now turn the call back over to the CEO, Mr. Larry Mendelsohn. Thank you, everyone, for joining us on our Q4 and year-end 2022 conference call. Feel free to reach out with questions to the extent you have additional questions that we haven't discussed on the call. Again, thank you for attending. We look forward to talking further about Great Ajax. Ladies and gentlemen, thank you for participating. This concludes today's conference call. You may now disconnect.