New York Mortgage Trust, Inc.

At this time, management would like to inform you that certain statements made during the conference call, which are not historical, maybe 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 SEC.

Now at this time, for opening remarks, I would like to introduce Steve Mumma, Chief Executive Officer and President. Steve, please go ahead.

Good morning, everyone, and thank you for being on the call. Fred Starker, our CFO, will also be present and will be available for questions at the end of this call.

The company earned $5.8 million or $0.42 per common share for the quarter ended March 31, 2012, as compared to $2.5 million or $0.27 per common share for the quarter ended March 31, 2011. We had net income per share of $0.33, after excluding $0.9 million of net unrealized losses related to our Agency IOs investment strategy and $2 million in unrealized gains related to the fair value adjustment for the company’s multi-family loans held in securitization trust.

Net interest income for the three months ended March 31, 2012, was $6.2 million, up from $2.5 million for the same period the previous year, and an increase of $800,000 from the previous quarter

The company had weighted average portfolio margin of 658 basis points for the first quarter of 2012, an increase of 38 basis points from the fourth quarter of 2011. The company ended the quarter with a book value of $6.49 per share, as compared to $6.12 per common share at December 31, 2011.

Included in our press release is a detailed analysis of the book value transition from December 31, 2011, to March 31, 2012.

The company declared and paid a first quarter dividend of $0.25 per common share.

As part of the portfolio detail activity, now I will go through the review. The company funded approximately $22 million in a Freddie Mac K series security in the early part of the first quarter of 2012, which represented a 100% of the privately placed first loss tranche of a multi-family mortgage loan securitization.

Based on a number of factors, the company determined the K-03 Series was a variable interest entity, or VIE and that, as of January 4, 2012, it was a primary beneficiary of the K-03 Series. As a result, the company is required to consolidate the K-03 Series with its underlying multi-family loans, its related debt, interest income and interest expense in our financial statements.

The company also elected the fair value option for the K-03 Series, which requires a change in valuations in the assets and liabilities will be reflected in the company's statement of operations, instead of as an adjustment to the stockholders’ equity similar to other investment securities.

As a result of this consolidation of the K-03 Series, the balance sheet includes $1.2 billion in multi-family mortgage loans held in securitization trusts, $1.1 million in multi-family collateralized debt obligations. In addition, the statement of operations includes the $11 million of interest income and $10.4 million in interest expense.

The company also recognized a $2 million unrealized gain in the statement of operations as a result of the fair value accounting method election.

While the accounting requirements will create additional disclosures as well as increased balances in our financial statements, the net economic exposure to company will be driven by the actual securities that the company owns, which the actual security at the end of March 31, 2012, had an approximate market value of $24.3 million, which was an increase of $2 million from the beginning of the period when we purchased the security, and the security also contributed approximately $600,000 to the net interest margin during the period.

Both our Agency ARM and Agency IO portfolios remained relatively flat in terms of portfolio size during the period. Our Agency portfolios experienced CPR speeds that were flat to the fourth quarter with the ARMs paying an approximately 18% CPR for the period and the Agency IO portfolio paying approximately 20% during the period.

We do anticipate a marginal increase in CPRs going into the second quarter, based on two factors; seasonality, which typically peaks during the late spring and early summer months, as well as the continued impact from the implementation of the HARP II program. However, we have mentioned in this press release as well as the fourth quarter press release that we do not expect significant exposure to the HARP II program.

As I previously mentioned, we funded approximately $22 million in additional purchase of a Freddie Mac K series credit piece, bringing our total exposure to $45 million in the K series, which includes $35 million in credit securities of principal-only nature and $6 million in interest-only strips off the same deals that we own the credit security piece.

The CMBS portfolio not only contributed to an increase in net margin, but also contributed approximately $0.20 in book value recovery during the period as credit spreads tightened from the beginning of the year. We had approximately $201 million in residential mortgage loans held in securitization trusts for on-balance-sheet residential securitizations, financed with approximately $195 million of collateralized debt obligations, for a net investment of approximately $6 million.

These loans had an average yield of 2.68% for the first quarter, with a corresponding financing cost of 62 basis points or net interest spread of 206 basis points. The company added approximately $230,000 during the quarter for loan loss reserves, bringing the reserve total to $3 million or approximately 147 basis points on the outstanding loans or 16% of the loans for greater than 60-day category delinquency.

The majority of the increase to our loan reserves during the period were related to updated broker price opinions or BPO appraisals that we conduct on a quarterly basis when evaluating the reserves on the delinquent loans in our portfolio.

Our CLO securities continued to contribute nicely to our net interest margin as well as adding approximately $0.20 per book value recovery, benefiting from the same credit tightening that we experienced in our credit CMBS securities. The CLO manager actively manages the securitization by continue to diversify the collateral and upgrading the credit quality in the deals.

The company has approximately $5 million investment rating in our distressed residential loan portfolio, down from $8.5 million at the end of last year. The majority of these loans are out for sale or are in the process of being sold, and we anticipate exiting this strategy in the near future.

We continue to focus on residential and multi-family credit investments that rely more on credit decisions and less on leverage that we believe will deliver high risk-adjusted returns. The company expects to purchase another Freddie Mac K series first loss security, along with its related interest-only strip, in the second quarter of 2012 for approximately $24 million.

We continue to analyze several structured financing transactions that we believe will enhance returns on its credit portfolio, while not exposing the company to additional callable leverage risk to the company. Our focus remains on the residential market, where we seek to deliver risk-adjusted returns in the mid-to-high teens.

The company recently announced a new Chairman, Doug Neal. He spent the last 20 years working as an investment banker, raising capital and advising on strategic transactions for the residential and the commercial REIT companies.

The company looks forward to capitalizing on Doug’s experience and his contributions to the company in the future. I also would like to thank Jim Fowler, who stepped down as Chairman in April of 2012, for his last four years in working with the company through arguably one of the most difficult financial periods in the history.

Our 10-Q will be filed on or about May 4 with the SEC and will be available on our website thereafter.

Fred and I would now like to take any questions you may have. Operator, please open up for the first question.

First, I’d like to know, what was the interest rates on the K-03 for the liabilities? Because I think you’re indicating the 4.3% for the assets yield, but for the liability yield, though, I guess for the $1.1 billion?

Sure. Well, the liability yield is approximately -- I don’t have the number right in front of me, Boris, because I don’t.

It’s for the overall securitization. But it’s approximately 23 basis points lower than the assets.

The actual cash flows of the deal are matched and the yields are being driven by the fair market values. It’s unfortunate that it increases our balance sheet dramatically, but what’s really driving the return is the yield on the credit security that we bought.

And as we've said in the past, that the approximate yield when we buy these credit pieces is in the 14% to high 15s risk-adjusted, loss-adjusted returns. And that's absolutely how you should think about the returns for that part, yes.

Exactly. And my understanding is the non-equity piece of the securitization deal are guaranteed by Freddie Mac.

Am I correct?

The way these K securities have worked to date is Freddie Mac wraps the top 92.5% of these deals and we invest in the 7.5% bottom piece that is not guaranteed by Freddie Mac. We represent the first piece.

And those pieces typically are purchased at significant discounts, at approximately $0.28 on $1. So you’re buying a credit piece on cents on $1 and then you’re going to receive a PO return over time and be paid at the maturity.

But what you’re doing is, you’re incorporating assumptions in losses over time. So it’s our intent to manage that as being the credit owner.

We would participate in a special servicing of these deals and oversight that allows us to help minimize or mitigate losses to the deal potentially.

Okay. And also, I mean how do you monitor what’s going on in the multi-family business?

Because my understanding is there's a lot of constructions and a lot of deliveries in term of multi-family in certain areas like Seattle? Do you look at loans by geography or how do you actually try to segment your investment process?

That’s a great question. And before we get into any of these K series investments, Kevin Donlon and RiverBanc, who is responsible for going in and analyzing these credits, will go out and do a full due diligence on every single loan that’s going to be in the deal.

So we own several bonds. And many of these bonds that we own, we’re buying them directly as a private placement from Freddie Mac.

So prior to purchasing the security, as well as the one that’s going to settle this quarter or that we’re possibly going to purchase this quarter, we would have gone out and done a complete due diligence on the loans prior to the securitization. Done a complete credit score of each individual property at the property level and then we’re going to submit our bid for those securities based on that analysis.

So it’s a very detailed analysis. It’s not a matter of going into a model and making some assumptions across a broad class.

It’s specific on each individual property. So we’re very sensitive to the locations of the property.

They’re visiting approximately 50% of those properties in person, from a dollar-value standpoint, and then having consultants going out, visiting the remaining properties. We're doing a full underwriting of the financials.

So it’s a very detailed analysis. And that analysis would continue throughout the ownership of those securities on a quarterly basis with updates.

And to the extent that we see economic numbers changing on a particular property, we would start to increase the oversight and make sure that we understand what’s going on with the property.

Okay. And then, also last question.

I mean I understand that you may not reinvest more in K-03 Series because you would have to bring that on balance sheet. So would you actually focus on K-05?

And second is I guess you’re looking to lever the returns. What type of haircut would you get for these type of investments?

Sure. As it relates to the K series bonds, what’s really triggering, it’s the percent ownership we have of those securities and the rights that go along with that ownership.

So there's several hurdles that you have to go through from an accounting standpoint to see if you have to consolidate. But to the extent that we’re buying 100% of the bottom credit piece or have the majority of that credit piece, which goes along with the majority -- if you have the majority of oversight of the special servicer, at the end of the day, you’re probably going to be forced to consolidate it on your balance sheet.

I mean, we try to identify transactions that are economically advantageous to the company, and then we’ll look at the accounting impacts. We want to make sure that we’re getting the right securities that deliver consistent returns.

It’s cumbersome in some of the accounting disclosures and we will strive to increase those disclosures to make sure that the reader and the investor understands what our real true investment economic risk is. So that’s how we look at that security and that’s what will drive whether we consolidate any future purchases or not, is the percent of that particular security that we own.

And then, the second question. From a structured financing standpoint, so there's two things.

We can go out and get short-term leverage on these securities. Typical haircut is approximately 20% to 30% depending on dealer.

But what we would look to do on a permanent basis, if we were going to put permanent leverage on, is some kind of structured financing, where you’re getting an advanced rate against the collateral that you’re going to either put in some form of trust, where there is no look-back to the company. So you’re in a permanent defeasance of that debt.

So you’re going to lock in a yield and, in essence, create a new security, and/or we may do some kind of extended term funding that you'd probably get an advanced rate of between 55% and 60%. The intent here on these particular assets is not to do a leverage ratio that’s a multiple of the balance, but a subset of the balance.

What we’re trying to do is increase or put some form of structured leverage on the transaction that takes it from a mid-teens return up into a high-teens or low-20s return, without taking additional, what we would consider, unusually large increase in credit exposure.

And just to finish, you mentioned that you had -- in Q2 you already had like $24 million in new CMBS, am I correct?

It’s a transaction that we’re in the process of trying to close. Yes.

Thank you, operator, and thank you, everyone, for being on the call at this point. We will talk to you after the second quarter.

We will be presenting at the JMP Conference in May, in a couple weeks, and thank you very much.