Cuộc họp Báo cáo Kết quả Kinh doanh Quý 3/2026 của Arbor Realty Trust (ABR): Tạm dừng Chi trả Cổ tức để Tăng cường Thanh khoản

Arbor Realty Trust (NYSE: ABR) đã báo cáo kết quả kinh doanh quý 3/2026 suy yếu do lãi suất cao hơn làm tăng nợ quá hạn, trì hoãn việc xử lý tài sản và giảm hoạt động phát hành qua đại lý. Hội đồng Quản trị đã tạm dừng trả cổ tức cổ phiếu phổ thông hàng quý để bảo toàn thanh khoản trước các khoản nợ sắp đáo hạn.

Các điểm chính

• Lợi nhuận có thể phân phối quý 3/2026 đạt 14,8 triệu USD, tương đương 0,08 USD trên mỗi cổ phiếu, không bao gồm 21,7 triệu USD khoản lỗ đã thực hiện từ việc xử lý các khoản vay quá hạn và tài sản bất động sản sở hữu (REO).
• Arbor đã tạm dừng chi trả cổ tức cổ phiếu phổ thông hàng quý, giúp tiết kiệm ước tính 31 triệu USD mỗi quý và 125 triệu USD mỗi năm.
• Công ty nắm giữ khoảng 400 triệu USD tiền mặt và dự kiến sẽ tạo ra thêm 300 triệu USD thanh khoản trong vòng 4 đến 5 tháng tới. Ban quản lý đặt mục tiêu đạt khoảng 700 triệu USD tiền mặt vào cuối quý 1/2027.
• Tổng dư nợ quá hạn đạt khoảng 750 triệu USD, trong khi tài sản REO vào khoảng 500 triệu USD, đưa tổng tài sản không sinh lời lên khoảng 1,25 tỷ USD, tăng khoảng 200 triệu USD so với quý trước.
• Arbor đã ghi nhận 34 triệu USD khoản suy giảm giá trị tài sản REO, 27 triệu USD dự phòng cụ thể và thêm 27 triệu USD dự phòng CECL chung trong quý.
• Ban quản lý dự kiến lợi nhuận sẽ chạm đáy trong hai quý tới trước khi bắt đầu phục hồi khi công ty giải quyết các khoản vay tồn đọng và giảm bớt các tài sản không sinh lời từ lãi.

Dữ liệu tài chính cốt lõi

Nợ quá hạn gia tăng đã làm giảm thu nhập lãi hàng quý khoảng 10 triệu USD, bao gồm 4 triệu USD lãi dồn tích bị hoàn nhập và 6 triệu USD giảm thu nhập lãi. Việc xử lý khoảng 250 triệu USD nợ quá hạn trước đó đã bù đắp một phần tác động này khoảng 2 triệu USD.

Arbor cũng phát sinh khoảng 7 triệu USD chi phí lãi vay bổ sung, phản ánh việc phát hành nợ chuyển đổi và đòn bẩy trên bảng cân đối kế toán tăng lên.

Kết quả hoạt động kinh doanh và vận hành

Danh mục tài sản hiện hữu và xử lý tài sản

Danh mục tài sản hiện hữu của Arbor đã giảm xuống còn 4,5 tỷ USD vào ngày 30 tháng 9 sau khi công ty xử lý 1,1 tỷ USD khoản vay trong ba quý trước đó. Trong danh mục còn lại, 1,2 tỷ USD tiếp tục thực hiện đúng theo các điều khoản ban đầu, trong khi 1,3 tỷ USD là nợ quá hạn hoặc được nắm giữ dưới dạng tài sản REO.

Ban lãnh đạo dự kiến xử lý khoảng 400 triệu USD đến 500 triệu USD khoản vay mỗi quý. Công ty dự kiến tổng nợ quá hạn sẽ duy trì tương đối ổn định cho đến khi danh mục tài sản hiện hữu còn lại tiếp tục giảm thêm.

Ban lãnh đạo cho rằng tiến độ xử lý chậm hơn và giá trị tài sản thế chấp giảm là do lợi suất trái phiếu kho bạc kỳ hạn 5 năm và 10 năm tăng mạnh. Công ty ước tính giá trị bất động sản nhiều hộ gia đình đã giảm 5% đến 15% trên toàn bộ danh mục đầu tư của công ty, với mức giảm lớn hơn có thể xảy ra đối với một số bất động sản Hạng A tại các thị trường yếu hơn.

Cho vay và dịch vụ quản lý khoản vay đại lý

Mảng kinh doanh cho vay đại lý đã khởi tạo 900 triệu USD trong quý 3, cộng với 75 triệu USD giao dịch môi giới CMBS, đưa tổng quy mô quý lên 975 triệu USD. Quy mô lũy kế từ đầu năm đạt khoảng 2,8 tỷ USD.

Biên lợi nhuận bán khoản vay đại lý giảm xuống 1,12% từ mức 1,33% trong quý 2, chủ yếu do Arbor ưu tiên các giao dịch quy mô lớn hơn liên quan đến tài sản chất lượng cao hơn và các nhà tài trợ hàng đầu.

Công ty đã ghi nhận 11 triệu USD thu nhập từ quyền dịch vụ quản lý thế chấp trên 800 triệu USD khoản vay cam kết. Danh mục dịch vụ quản lý thu phí của công ty đạt 36,8 tỷ USD, với thời gian tồn tại còn lại ước tính là 5,6 năm. Ban lãnh đạo cho biết danh mục này dự kiến sẽ tạo ra khoảng 128 triệu USD doanh thu dịch vụ hàng năm trước chi phí.

Cho vay trên bảng cân đối kế toán và thị trường vốn

Tổng giá trị cho vay mới trên bảng cân đối kế toán đạt 600 triệu USD trong 9 tháng đầu năm 2026. Arbor dự kiến tiếp tục duy trì sự chọn lọc cao, chủ yếu khởi tạo các khoản vay để bù đắp phần sụt giảm trong các công cụ chứng khoán hóa hiện có.

Trong quý, Arbor đã hoàn tất một giao dịch CLO trị giá 825 triệu USD với mức chênh lệch 170 điểm cơ bản so với lãi suất tham chiếu, tỷ lệ đòn bẩy 88% và thời gian bổ sung 2,5 năm. Giao dịch này tạo ra khoảng 50 triệu USD thanh khoản bổ sung.

Công ty đã phát hành hơn 3 tỷ USD CLO mới, giúp giảm sự phụ thuộc vào nợ có truy đòi.

Cho vay nhà ở cho thuê một gia đình

Giá trị cho vay mới đối với nhà ở cho thuê một gia đình đạt 250 triệu USD trong quý 3 và khoảng 700 triệu USD lũy kế từ đầu năm. Ban lãnh đạo tiếp tục coi đây là mảng kinh doanh hấp dẫn nhờ các cơ hội cho vay xây dựng, cho vay cầu nối và cho vay dài hạn cùng khả năng tiếp cận các công cụ tài trợ vốn hiệu quả.

Dự báo của ban lãnh đạo

• Arbor dự kiến sẽ tạo ra khoảng 300 triệu USD thanh khoản bổ sung trong 4 đến 5 tháng thông qua thu hồi nợ vay, bán khoản vay, xử lý bất động sản gạt nợ (REO), tối ưu hiệu quả tài chính, các công cụ chứng khoán hóa và việc tạm dừng trả cổ tức cổ phiếu phổ thông.
• Ban lãnh đạo đặt mục tiêu đạt khoảng 700 triệu USD tiền mặt vào cuối quý 1 năm 2027. Sau khi hoàn trả 275 triệu USD nợ không bảo đảm đáo hạn vào tháng 3, Arbor dự kiến sẽ duy trì khoảng 425 triệu USD thanh khoản.
• Công ty nhìn thấy khả năng huy động thêm 150 triệu đến 200 triệu USD vốn trong khoảng thời gian giữa khoản thanh toán nợ tháng 3 và khoản nợ đến hạn bổ sung 250 triệu USD vào tháng 10.
• Ban lãnh đạo đánh giá 350 triệu đến 450 triệu USD là khoảng tiền mặt hoạt động phù hợp trong môi trường hiện tại, không bao gồm các yêu cầu nghĩa vụ trả nợ.
• Arbor dự báo lợi nhuận sẽ chạm đáy trong hai quý tới và sau đó cải thiện dần khi các tài sản quá hạn được xử lý.
• Ban lãnh đạo dự kiến các khoản lỗ thực hiện liên quan đến việc xử lý tài sản nợ xấu sẽ tiếp tục trong bốn đến sáu quý tới. Mức dự phòng và suy giảm giá trị có thể duy trì gần với mức của quý 3 trong vài quý tới.
• Công ty đặt mục tiêu tổng quy mô phát hành khoản vay năm 2026 đạt 3,5 tỷ đến 4,0 tỷ USD, tùy thuộc vào lãi suất và tiến độ hoàn tất giao dịch. Quy mô cho thuê nhà ở gia đình đơn lập dự kiến đạt khoảng 1 tỷ USD.
• Ban lãnh đạo mục tiêu giảm danh mục tài sản cũ xuống còn khoảng 2,7 tỷ USD vào cuối năm 2026 và khoảng 1 tỷ USD vào cuối năm 2027.

Rủi ro và các điểm cần theo dõi

Rủi ro chính là môi trường lãi suất cao. Ban lãnh đạo cho biết đợt tăng lãi suất gần đây nhất đã làm giảm giá trị bất động sản nhiều gia đình, hạn chế hoạt động giao dịch, làm tăng nợ quá hạn và kéo dài thời gian xử lý nợ.

Arbor cũng đề cập đến áp lực về tỷ lệ lấp đầy tại Jacksonville, Orlando, San Antonio, Houston và Atlanta, bao gồm cả những tác động mà ban quản lý mô tả là có liên quan đến ICE tại một số thị trường nhất định. Công ty đang đánh giá tác động lâu dài đối với các tài sản cũ và khoản dự phòng.

Các rủi ro bổ sung bao gồm suy giảm giá trị tài sản REO tiếp theo, dự phòng CECL ở mức cao, các khoản lỗ thực hiện tiếp diễn, khối lượng phát hành khoản vay đại lý thấp hơn và vốn cần thiết để duy trì hoặc chuẩn bị bán các tài sản REO. Arbor đã chi khoảng 8 triệu đến 9 triệu USD cho chi phí vốn REO trong quý 3.

Điểm nổi bật từ phiên Q&A với chuyên gia phân tích

• Bán tài sản REO: Khoản đóng góp thanh khoản dự kiến 35 triệu USD từ việc thanh lý REO liên quan đến một tài sản dự kiến hoàn tất giao dịch vào tháng 11 hoặc tháng 12. Ban lãnh đạo dự kiến có khoảng 200 triệu đến 225 triệu USD tài sản REO mới bổ sung và một lượng thanh lý tương đương, giữ cho số dư REO cuối năm ổn định về cơ bản.
• Độ nhạy với lãi suất: Ban lãnh đạo cho biết đà giao dịch có thể cải thiện khi lợi suất trái phiếu Kho bạc 10 năm xuống dưới 5%, mặc dù niềm tin của nhà đầu tư rằng lãi suất sẽ duy trì trong phạm vi ổn định cũng rất quan trọng.
• Thanh khoản sau tháng 3: Arbor đang lập kế hoạch cho giai đoạn thực hiện khoảng 12 tháng thay vì chỉ tập trung vào khoản nợ đến hạn tháng 3. Điều này nhằm cho phép bán tài sản một cách trật tự thay vì phải thanh lý cưỡng bức.
• Các phương án vốn thay thế: Ban lãnh đạo cho biết tiếp tục đánh giá vốn tư nhân, bán tài sản và các phương án tài trợ vốn khác. Công ty chưa xem xét việc bán cổ phần trong mảng kinh doanh đại lý GSE, nhưng thừa nhận rằng các tài sản có giá trị có thể mang lại các lựa chọn linh hoạt nếu điều kiện trở nên tồi tệ hơn.
• Cổ tức cổ phiếu ưu đãi: Hội đồng quản trị không thảo luận về việc thay đổi cổ tức cổ phiếu ưu đãi trong cuộc họp gần nhất. Ban lãnh đạo cho biết đây vẫn là một công cụ thanh khoản tiềm năng có thể được xem xét trong các quý tới.
• Các khoản phát hành mới: Arbor có kế hoạch giới hạn hoạt động cho vay trên bảng cân đối kế toán chủ yếu ở các tài sản được lựa chọn kỹ nhằm bù đắp cho khoản sụt giảm CLO. Ban lãnh đạo cho biết nền tảng cho thuê nhà ở gia đình đơn lập vẫn hoạt động tích cực nhờ hồ sơ lợi nhuận và cấu trúc tài trợ vốn sẵn có.

Toàn văn Biên bản Cuộc họp Kết quả Kinh doanh

Toàn văn cuộc gọi công bố kết quả kinh doanh

Phần trình bày của ban lãnh đạo

Operator

Good morning, ladies and gentlemen. Welcome to the Third Quarter 2026 Arbor Realty Trust Earnings Conference Call. [Operator Instructions] Please be advised that today's conference is being recorded. [Operator Instructions]

I would now like to turn the call over to your speaker today, Mr. Paul Elenio, Chief Financial Officer. Please go ahead, sir.

Paul Elenio

Good morning, everyone, and welcome to the quarterly earnings call for Arbor Realty Trust. This morning, we'll discuss the results for the quarter ended September 30, 2026. With me on the call today is Ivan Kaufman, our President and Chief Executive Officer.

Before we begin, I need to inform you that statements made in this earnings call may be deemed forward-looking statements that are subject to risks and uncertainties, including information about possible or assumed future results of our business, financial condition, liquidity, results of operations, plans and objectives. These statements are based on our beliefs, assumptions and expectations of our future performance, taking into account the information currently available to us. Factors that could cause actual results to differ materially from Arbor's expectations in these forward-looking statements are detailed in our SEC reports.

Listeners are cautioned not to place undue reliance on these forward-looking statements, which speak only as of today, Arbor undertakes no obligation to publicly update or revise these forward-looking statements to reflect events or circumstances after today or the occurrences of unanticipated events.

I'll now turn the call over to Arbor's President and CEO, Ivan Kaufman.

Ivan Kaufman

Thank you, Paul, and thanks to everyone for joining on today's call. On our last earnings call, we discussed the effect of the increase in interest rates is having on the timing and resolution of our nonperforming and self-performing loan book. Since that time, we've seen a tremendous increase in interest rates with the 5- and 10-year treasury indexes up another 75 to 85 basis points and 140 to 150 basis points in the last 9 months. This is a very material development, which has resulted in further reduction in values across the multifamily sector of between 5% to 15% and a significantly cocktail transaction volumes from the increased cost of debt and equity. This will result in a temporary increase in our delinquencies and a slightly longer time frame through resolving certain legacy assets as well as an increase in our loan loss reserves due to a change in values.

We have also seen a significant negative impact on some of our legacy assets from ice rates in certain areas of the country, including Jacksonville, Orlando, San Antonio, Houston and Atlanta. These rates have significantly reduced occupancy on some of our assets in these areas, which has contributed to an increase in our delinquencies. This was completely out of our control and not something we could have anticipated. We will continue to evaluate the long-term impact that this may have on our legacy assets and adjust our strategy and reserves accordingly.

As a result, one of our main objectives is to preserve capital to have the appropriate level of liquidity to pay off our upcoming debt maturities and operate our platform to resolve our legacy issues and preserve our book value. We are currently sitting on approximately $400 million of cash and believe we can organically create another $300 million of liquidity over the next 4 to 5 months through loan payoffs, loan sales, [Indiscernible] dispositions, increased efficiencies in our financing facilities and securitization vehicles and by reducing our dividend.

With that in mind, our Board has decided to spend the quarterly common dividend effective immediately, which will preserve $31 million a quarter or $125 million in annual cash flow. We anticipate that this will put our cash position at around $700 million by the end of the first quarter, which will allow us to repay the $275 million of unsecured debt that is maturing in March and still maintain $425 million of liquidity to work through this cycle and resolve our legacy loan book.

We will also continue to look for other areas to bolster our liquidity position further. As a largest shareholder with the highest inside ownership of any REIT, we are completely aligned with our shareholders and believe this strategy to be the most appropriate at this point in the cycle. Despite this extremely challenging environment, we continue to make progress in resolving our loan book and are working very aggressively to liquidate this collateral as quickly as possible. As a result of the material change in interest rates, delinquencies have increased and the [Indiscernible] dispositions have slowed, which is pushing out the timing and on resolutions another quarter or 2.

We are still dealing with the same universe of legacy loans that we have ring-fenced and remain confident in our ability to continue to make progress and reduces exposure significantly over the next 4 to 6 quarters. We ended the third quarter with approximately $750 million of delinquencies and around $500 million of [Indiscernible] assets for total nonperforming assets of roughly $1.25 billion, which is up around $200 million from last quarter's numbers as a result of the significant increase in rates, which again has accelerated delinquencies and delay the timing of the resolution of certain assets.

As we have discussed in detail on our last few calls, we continue to focus heavily on our legacy portfolio which is down to $4.5 billion at September 30 from successfully resolving $1.1 billion of these loans in the last 3 quarters. $1.2 billion of this of this book continues to perform in accordance with their original terms and $1.3 billion is either delinquent or an [Indiscernible] that we expect to be able to resolve over the next several quarters. We have a $2 billion of this book, we have been aggressively working through with the goal of restructuring and resolving approximately $400 million to $500 million of loans a quarter. This will reduce our legacy book, including our delinquent scenario assets down to around $2.7 billion by year-end at around $1 billion by the end of 2027.

As these legacy assets work through the system, we expect our total delinquencies to stay relatively flat until the remaining legacy book is reduced further, and then we should see a meaningful move down in total delinquencies as we continue on our pace of resolving approximately $400 million to $500 million a quarter. This will go a long way towards significantly reducing the drag on earnings and increase our run rate of income in the future. We also continue to have a tremendous success in capital markets issuing notes loan in the third quarter with exceptional terms. The new CLO was an $825 million vehicle with pricing of 170 over and 88% leverage with a 2.5-year replenishment period. This has allowed us to continue to drive higher returns on our capital and generate an additional $50 million of liquidity to enhance leverage.

We have now issued over $3 billion in new CLOs, which has reduced the position of our recourse debt outstanding and to driving higher returns on our capital. This success, combined with the unwind of approximately $8 billion of legacy CLOs and $1.3 billion of new unsecured debt issuance means we have successfully completed in excess of billion of capital market transactions over the last 36 months.

As Paul will discuss in more detail, we have produced distributable earnings of $0.08 a share in the third quarter. Clearly, our earnings are being greatly affected by the significant recent rise in rates, which has increased our delinquencies, extended at the timing of resolving our noninterest-earning assets and temporarily affected our agency volumes. We expect this trend to likely continue for a little longer, which could continue to affect our earnings in the short term. Our goals are always long term in nature with our sight set on capital preservation and working through our legacy book as quickly as possible which will reduce the earnings break and allow us to start to build back up our run rate of interest income and drive higher earnings in the future.

This, again, we estimate will take us 4 to 6 quarters from now to accomplish and we have taken a very methodical approach for resolving these loans each quarter and bringing down the remaining legacy book to a more normalized level relative to our total loan book. Turning now to our production numbers for the third quarter. In our agency business, we originated $900 million in volume. In addition to $75 million in CMBS brokerage transactions for third quarter volume of $975 million. This brings our year-to-date volume to around $2.8 billion.

Clearly, the elevated rate environment is greatly affecting our origination executions. We originated $450 million in August and had good momentum with a large pipeline until a significant rate spike, which curtail originations and pushed out our pipeline. We originated less than $200 million in September and around $300 million in October. As a result, we are targeting between $3.5 billion and $4 billion of total volume this year, which could obviously move up or down depending on rates and timing of closes, which is hard to predict in this environment.

In our balance sheet lending business, we originated $600 million of volume through the first 9 months of this year. We have been relatively inactive in screening new business given the current landscape, except for very selectively originating yields that fit into our current securitization vehicles to replenish runoff and reduce any inefficiencies. We expect this to be our ongoing strategy over the next few quarters. as again, we focused our attention on continuing to bolster our liquidity position to work through this cycle.

The one area we've remained active is in our single-family rental business. We believe this is a great business that offers us returns on our capital through construction. -- bridge and permanent lending opportunities and generate strong levered returns on our capital through very efficient financing vehicles. We had a solid third quarter, originating $250 million of new deals for total volume year-to-date of approximately $700 million. We continue to have an active pipeline and believe we will close out the year with approximately $1 billion of volume which is a strong year, especially considering the current interest rate environment and the fact that we had a very light first quarter from all the noise surrounding the housing bill that we resolved in the second quarter.

In summary, we continue to make significant progress in the capital markets and working through our legacy book despite the extremely challenging environment. We are optimistic that we can continue to reduce this book significantly over the next 4 to 6 quarters and then start to build back our earnings rate as we resolve our delinquency scenario assets. And again, our primary focus is to preserve and create the appropriate level of liquidity to repay our short-term debt maturities and execute our business plan. This will afford us the necessary time needed to work through the teeth of this downturn and realize the true value of our franchise for our shareholders.

I will now turn the call over to Paul to take you through the financial results.

Paul Elenio

Okay. Thank you, Ivan. In the third quarter, we produced distributable earnings of $14.8 million or $0.08 a share, excluding realized losses of $21.7 million from a resolution of certain delinquent and REO assets that we had previously reserved for. These realized losses were in the range that we guided to last quarter of $20 million to $30 million, and it's something we expect to continue for the next 4 to 6 quarters as we work through resolving our nonperforming loan book.

As Ivan touched on earlier, our third quarter numbers were significantly impacted by the rise in interest rates. This rate move was a very material change with accelerated delinquencies and slowed down the pace of resolutions during the quarter. We also experienced a decline in our agency business origination volumes as a result of the drastic rate move, which affected our gain on sale numbers as well this quarter. We had approximately $450 million of new delinquencies which resulted in around a $4 million of back accrued interest being reversed and a reduction of around $6 million in interest income for a $10 million impact to interest income this quarter from these assets.

This was slightly offset by around a $2 million increase in interest income from the resolution of roughly $250 million of prior delinquencies during the quarter. We also incurred approximately $7 million of additional interest expense from issuing our convertible debt offering and leveraging our balance sheet to create the appropriate level of liquidity to operate through this current environment. And given the drastic recent change in the interest rate environment, we anticipate our earnings to likely bottom out over the next 2 quarters and then start to build back up each quarter on a consistent basis as we continue to make more progress in resolving our delinquencies and working through our legacy book.

In the third quarter, we recorded an additional $34 million of impairment on our REO book to properly mark these assets to where we think we can effectually to sell in the current environment, which has clearly been affected by the recent rate hike. We also booked another $27 million of specific reserves in our balance sheet loan book. the total REO impairment and specific reserves of $61 million in the third quarter, which is up approximately $25 million from the second quarter. General CECL was also elevated this quarter from a change in the outlook for real estate values resulted in an additional $27 million in reserves in our balance sheet loan book, which is an increase of $11 million from the second quarter.

And given the current environment, we expect that we could experience similar levels of reserves and impairments over the next few quarters, which is up from our last quarter's guidance due to the significant change in interest rates that have occurred.

As Ivan mentioned, as we work through our remaining legacy book, we expect it will funnel through our delinquencies and REO assets, which will likely keep our total noninterest earning assets at a similar level until we reduce the remaining legacy book down to a relatively small number. Once this occurs, we will start to see our total delinquencies decline, which will greatly reduce the drag these assets are having on our core earnings. Our book value per share came in at $10.92 at September 30 as a result of the increased reserves and impairments we booked in the third quarter due to the change in values we are seeing from a rising rates.

And even if we continue to book similar levels of reserves over the next 4 to 6 quarters, we still have substantial embedded equity value above where the stock is trading in addition to the significant value of our origination platforms and our franchise. In our GSE agency business, we originated $900 million of volume and had $1 billion in loan sales in the third quarter. The margins on these loans came in at 1.12% this quarter compared to 1.33% last quarter, mainly due to our continued commitment to originate larger transactions on higher-quality assets to top-tier sponsors, which contain lower margins.

We also recorded $11 million of mortgage servicing rights income related to $800 million of committed loans in the third quarter, representing an average MSR rate of around 1.35% and compared to 1.1% last quarter due to a shift in product mix. Our fee-based servicing portfolio was $36.8 billion at September 30, with a weighted average servicing fee of 34.7 basis points at an estimated remaining life of 5.6 years and will continue to generate a predictable annuity of income going forward of around $128 million gross annually.

In our balance sheet lending operation, our investment portfolio was $12 billion at September 30, with an all-in yield in this portfolio of 6.97% compared to 6.95% at June 30. This was mainly due to an increase in sulfur for the quarter, which was offset by the effect of increased delinquencies in the third quarter. The average balance in our core investments was $12.1 billion for both the second and third quarters. The average yield on these assets decreased to 6.84% from 7.21% last quarter, mainly due to the impact from our third quarter defaults, which was slightly offset by a nominal increase in SOFR on our performing loan book.

Total debt on our core assets was approximately $10.8 billion at September 30 compared to $10.5 billion at June 30. This increase was mainly due to the issuance of our convertible debt offering in July, as well as from additional leverage on existing collateral and from our new CLO execution. The all-in cost of debt was approximately 6.69% at 9/30 and versus 6.38% at 6/30, mainly due to an increase in SOFR. The average balance in our debt facilities was approximately $10.7 billion for the third quarter compared to $10.5 billion in the second quarter again, mainly due to the convertible debt issuance and enhanced leverage on our loan book. The average cost of funds in our debt facilities was 6.49% in the third quarter compared to 6.4% for the second quarter, excluding interest expense from leveraging our REO assets the debt balance of which is separately stated on our balance sheet and therefore, not included in our total debt on core assets.

This increase is mostly due to an increase in SOFR and additional leverage on certain assets during the quarter. That completes our prepared remarks for this morning, and I'll now turn it back to the operator to take any questions you may have at this time. Operator?

Operator

[Operator Instructions] We'll go first this morning to Chris Muller with Citizens Capital Markets.

Phần hỏi đáp

Christopher Muller

I guess looking at Slide 13 in the deck on the liquidity bridge, repaying the March maturity. The $35 million of REO disposition stands out a little bit given $500 million or so of REO. So I guess the question is, is that $35 million on that slide, just kind of a plug for the remaining shortfall there? And is there additional REO that you guys could sell if you guys needed the capital?

Paul Elenio

Sure, Chris, it's Paul. Thanks for the question. So it's related to one specific asset. There will be other REO dispositions during the fourth quarter. But this one is in our sights and likely to be disposed of. We have a contract signed, had money up -- they were waiting for approval from the city on a permit. They've gotten that approval. So it should close, we hope, in November or December, and where our leverage point is on our asset in our bank lines, we'd be taking up $35 million of recovered equity that we have tied up with that asset, specifically related to one asset.

The bigger question you asked, I think the way you look at the math is we're sitting with around $500 million of REOs on our books as of 9/30. We are expecting to take some more back obviously as our delinquencies work through the system. I think actually, in October, we took a loan back already at $70 million. I think I'm targeting to take back about $200 million to $225 million of new REOs that are built in our delinquencies today and probably dispose of including that asset another 2 to 2.25. So I think where we're at and maybe we can do better than this. We think our REOs will probably remain flat by year-end in total, new REOs coming in, older ones being disposed of. And yes, we'll pick up some equity on the other ones we'll dispose of. We lose a little equity on the new ones that are coming on. But that $35 million is specifically related to one asset that we have in our sites to close over the next 30 days.

Christopher Muller

Got it. That makes a lot of sense. And that's a good dovetail and then my follow-up here. I guess just given the focus on liquidity, should we expect foreclosure activity to slow? And it sounds like based on what you just said, maybe not a ton. Maybe we'll see kind of turnaround on the other side of flipping the REO accelerate. Just curious how that all plays into the liquidity focus here.

Ivan Kaufman

So it's Ian speaking. So there's no question about the fact that with that jump in interest rates a little last 60 days. A lot of the REOs that we were in contract under terms or not come under terms when employs market got adjusted, and it's for process in my estimation between 30 and 90 days. which is causing us to reevaluate what we're doing. What we're seeing it start to reach another level and get back on track. So you'll see levels come in a little bit lower. As I indicated in my comments, you'll see a type of drop in potential valuation because that's where the market dropped, but the rise in interest rates.

But I think people are now settling in where we are. So we think we'll get back on track. We think guidance will be affected a little bit, but we're still very ambitious to stick to that plan and resolving these all those over the next 4 to 6 quarters.

Christopher Muller

Got it. And if I could just squeeze one last quick one in, 10 years down back below 5% now. I'm looking at 493 on my screen right now. I guess kind of what level on the 10-year do you guys think would kind of unlock activity and accelerate things versus slowing things down when we were at 5.4 type percent rates?

Paul Elenio

So let me do it in reverse when we spoke a few quarters ago, the tenure was around 4% in the 5 years, around 350. Those are very, very attractive levels, that's when we geared our plan to when the 10-year jumped to 450 very quickly, it definitely had an impact, so things down going from 4.5 to 5.30 was [Indiscernible], but I call material adverse change, clearly go to 5. 30 now below 5%, you'll start to see momentum come back, and as moment comes back, if people feel we're not at risk, I think you'll see a lot of people step back and be a little bit more aggressive.

So I think it happens in increments, and I think it also happens whether people feel that things are going to pop that up or not. So it has to do with investor sentiment, whether they feel this is the appropriate rate range. that we're going to be in. But if there's concerns or rate is going to jump up a little bit. I think you'll see a little bit of a slowdown.

Operator

We'll go next now to Rick Shane with JPMorgan.

Richard Shane

This morning. One of your relative peer companies reported earlier this week, and they talked about pricing in multifamily down 5% to 10% based on elevated cap rates, but they also indicated that, that was sort of Class A and their perception was that Class B C was down more sharply. I am curious what your thoughts on that are as we think about resolutions of these -- of the portfolio as well.

Paul Elenio

First, I'll say I disagree with their [Indiscernible] but Class A maybe down 5% to 10% in good markets, but in weaker markets, I think it's down substantially more. And that's something that we have been very concerned about in terms of originations.

Class A, you're seeing in markets like FedEx or is like Dallas and Austin, Charlotte, in other markets, you're looking at 3 to 4 of concessions. And I would say values are down more than price and on Class A, I would say, could be 15% to 25%. So having a discrete that proposition.

With respect to loans, be it less P&C, we're seeing certain markets firm, but the big issues that I said on my comments were dealing with the impact of the ice rates and a change in occupancy overnight and also a change with the population that's going out that is going in. So I can't answer that yet in some of those markets where [Indiscernible] to be a very negative factor in those markets. But I will tell you that there are certain markets that we're starting to see for our model. And in my comments, I said 5% to 15% in range in terms of how we think this affected our portfolio. Some are a little deeper, we saw a little bit less, but that's definitely been a change that we've seen with the recent change in rates.

Richard Shane

Got it. Okay. And then, look, you guys cite about $400 million in available liquidity post sort of net of the maturity in March. I believe you have another $250 million in maturities in the second half of the year. And I realize that some of the sources of liquidity that are available to you before March in terms of repayments will be there the benefit of the impact, I should say, is calling the dividend as well. But I am curious, as you look forward, what is the sort of working cash that you need? And then what is the ability to sort of continue to move forward to that second half maturity as well.

Paul Elenio

Sure. So Rick, it's Paul. Let me answer a little bit [Indiscernible] chime in. I think a couple of things you mentioned are exactly right, suspending the dividend not only pass up $62 million, $31 million a quarter in total March distribute the March payoff, but when you go to October, we picked up another [Indiscernible]. So that's 62% right there that we're picking up between March and October. To address what you were talking about prior to the $250 million maturity.

In addition, we have on the dock at certain loans that we think will repay in certain loans, we think will sell some of those loans have forward funding commitments associated with them, and we think we could pick up some capital there by now and having to continue to fund forward commitments on those laws. And then lastly, as Ivan said, we continue to look to other sources to pick up liquidity, obviously, continuing to look at what assets we can dispose of, what assets we can push for and look at our leverage and see where our capital is tied up in those loans, which could accelerate. I think we see a path that if it's early, but we see a path that after the March payoff, that we can generate $150 million to $200 million of additional capital before October. And to your last point is what is the optimum cash level we'd like to operate. I think we would probably say it's between 350 and 450 we'd like to have right, to be able to operate through this environment, absent those debt and serve.

Ivan Kaufman

That's correct. I think that we have also the comment that any originations that we do will be the service to replenishment in our CLOs. And I think you'll see the non-CLO side of our book, come down and maintain the CLO side of the book at a very maximum level and that should also generate a considerable amount of cash equity as well.

Operator

We'll go next now to Jade Rahmani with KBW.

Jade Rahmani

I wanted to ask about the single-family rental strategy. That business did show a notable increase in special mention loans, what drove that? And what do you expect to happen to those loans?

Paul Elenio

I think we saw a little bit of a jump as maybe you put out in your morning note today, Jade, in substandard and doubtful and that was obviously driven by the elevated delinquencies we had this quarter. Now special mention is a bucket that we look at like we've always said, when we originate loans from the get-go, how they can be passed [Indiscernible] special mention just because of the nature of the transitional nature of those loans and avoidance, but special mention is probably up a little bit because of the values are down.

We're looking at where these loans are maturing. But we don't look at special mention. It's a category that is fully concerning. We look at obviously substandard doubtful as a category that is a prelude to filing to sees foreclosure and potential deterioration.

Jade Rahmani

Okay. Yes, because it did increase quite a bit and comp my attention, although I realize special mention is less worrisome than substandard and doubtful. During the financial crisis, companies like Arbor and other commercial mortgage REITs issued warrants in connection with standstill agreements with retail lenders to buy themselves flexibility to work through issues, and even in recent periods, others have issued -- raised capital from private credit as well as to optimize asset workouts deal confidently with upcoming maturities and also have more capital available to repurchase some of their own debt securities and even stock. So what are your thoughts around that, if the company would look to doing such actions.

Paul Elenio

So we'll evaluate all options [Indiscernible]. It's certainly everything you mentioned is something that we're consistently discussing. I think there are a lot of arbitrage opportunities in the market. and we have taken advantage of them in the past. I did it in the GFC, and we did it very well. So we have a lot of tools that we can utilize and a lot has to do with which direction rates go in and whether the market recover or the market is under distress. But we are constantly evaluating that internally and with our bankers.

Jade Rahmani

Okay. And on a related note, the interest in the GSE agency business, you saw a few -- you noted the strong cash flows, it was generating as well as the very high MSR gain in the quarter, 135 basis points. So that business generates resilient cash flows and has about a 5-, 6-year remaining duration. Would you consider selling an interest in that business to free up capital?

Ivan Kaufman

We haven't considered selling interest, but we definitely have a very, very valuable franchise. We produce a lot of cash flow. It's really been [Indiscernible] of our business. And we're very pleased with it. Is that part of the potential capital solution 1 day down the road, if things got worse, there's always options when you have good assets.

Jade Rahmani

Great. And then lastly, on the REO balance. So just round numbers, close to $500 million. How much CapEx do you expect to spend on those assets in order to get them positioned to be able to monetize?

Paul Elenio

It's different for each asset. Obviously, we have a group of assets that we're pretty far along with agreements to be signed and moving off our balance sheet. We have others that are in the pre-marketing stage of marketing those assets for sale. And there have others that we're looking to hold a little bit longer until we can season them more. I think during the quarter, we maybe put $8 million, $9 million of CapEx in some of those assets. I think that number probably comes down on the older assets as we move them off and maybe some newer assets come on.

It's a hard thing to answer, but it will just be based on where we think the exit value is whether it's long term or short term. And I don't think it's a big number over a yearly basis, but we just have to see how quickly we can disclose some and then which ones we want to hold on to for values outside of where this stressed market is.

Operator

Next now to Gabe Poggi with Raymond James.

Unknown Analyst

Kind of piggybacks on what Jay was just asking. Obviously, the world's changed a whole heck of a lot in the last 60 days and the world could change a whole heck of a lot in either direction in the next 60 or 90 days. But if we stay around this today, kind of benchmark rate environment in and around 5%, high 4s, et cetera. How are you guys thinking about liquidity, obviously, you've put a road map out for March, but beyond March for later liquidity needs and really kind of what is the clearing price for existing REO NPLs today? If you just have to go put those in the market, take what you can get so that you can maximize liquidity. Any color there would be helpful.

Ivan Kaufman

I think we're just not looking towards March, that's short term in nature, and we believe that we have a strategies in place to get through March, and that's kind of what we've guided to. We're really looking for a 12-month execution, which gives us time to do an orderly disposition of our REOs without having to fly or scale in and try and get a maximum return.

And it also gives us the opportunity to ourselves and models and we prove some equity and do it on an orderly basis. We can do that as well. So 12 months is a way to do it in a very quarterly way. If rates come down, you got wind at your back, it gets done a little easier if rates go up more meaningfully than what we've seen over the last 60 days, and it becomes much tougher. But the guidance we're giving you is what we think we can accomplish quarterly between now and March, and then between March and our next short-term piece of [Indiscernible] working on it.

Unknown Analyst

I've got one more quick follow-up. Can you guys provide an average occupancy number for REO, what you're holding on real with the occupancies of those assets?

Paul Elenio

We do actually -- it's in our filings, and I don't have an upfront on the [Indiscernible].

Unknown Analyst

I just didn't see it yet. I'll try to [Indiscernible].

Ivan Kaufman

[Indiscernible] list out the occupancy. Some of those assets may be making, right? Obviously taking them offline, but we give you what's vein, give you what the occupancy is.

Operator

We'll go next now to Chris Love with Piper Sandler.

Crispin Love

Looking at your origination activity in the structured business in the quarter, you did nearly $370 million in the FFR business. Just given the liquidity constraints today, why does it make sense to do origination at that type of level rather than kind of cutting that down and preserving liquidity further?

Paul Elenio

I think I'll let [Indiscernible] answer the question on the business strategy, but I think is what I'll point out is of that $360 million, $194 million or almost $200 million was fundings of prior committed loans. So you've originated those loans. There's a construction element to it as you fund up, and that's what those were. The rest were new originations, which was really that $250 million number we gave you, but I think Ivan could do a better job of talking about our strategy on that platform.

Ivan Kaufman

First of all, it's the most attractive part of our business and we have a CLO that we have in existence, and we do that to anticipate what the payoff is on those loans versus what we originate to file. So we'll always be the pipeline business that we have to fill that COO. And those, we think, are most high-quality loans. We can also stick some of those loans to our existing CLOs as well. So it's an attractive part of the asset class on like. The construction gets funded up over time. It turns into the bridge loan, and we put in our CLOs and very quickly, we get those at take out as they've stabilized. But we'll be very selective in terms of what we're putting on our balance sheet using our cash versus, as I said earlier in my comments, first using something that we could just fill any pay also anticipate anticipated payoffs in our sales.

Crispin Love

That makes sense. I appreciate the color there. And then I definitely understand the suspension of the common event reserve and build liquidity for the upcoming debt maturities. But do you aboard have any update or plan for the preferred dividend and could actions be necessary there over time?

Ivan Kaufman

Yes. We evaluate everything relative to liquidity. It's not something we discussed at this Board meeting. But clearly, that's always a tool that's out there that we'll have the opportunity to evaluate as we go deeper into the next couple of quarters.

Operator

Ladies and gentlemen, it appears we have no further questions today. Mr. Kaufman, I'd like to turn things back to you, sir, for any closing comments.

Ivan Kaufman

I appreciate everybody's time. I know these are difficult times with a significant material adverse change in the market. The company has adopted its operating policies and the way it's going to be business to adjust to [Indiscernible]. Thank you for your participation. Have a great day.

Operator

Thank you very much, sir. Again, ladies and gentlemen, this will conclude today's conference call. We'd like to thank you all so much for joining us and wish you all a great day. Goodbye.