Represents a non-GAAP financial measure. A reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure is included below in "Reconciliation of Financial Information." (1) Calculated as the quotient of our adjusted interest income and our average interest earning assets and excludes all Consolidated SLST assets other than those securities owned by the Company. (2) Our calculation of net interest spread may not be comparable to similarly-titled measures of other ...

FORM 10-K ___________________ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ___________________ ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Fiscal Year Ended December 31, 2023 ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _______ to ____________ Commission File Number 001-32216 NEW YORK MORTGAGE TRUST, INC. (Exact name of registrant as specified in its char ...

Financial Data and Key Metrics Changes - The company generated earnings per share of $0.35 or $0.37 on an undepreciated basis, with adjusted book value per share ending at $12.66, down 2.09% from the previous quarter [5][21] - Quarterly adjusted economic return was negative 54 basis points after a $0.20 dividend [5] - Adjusted interest income increased by 22% quarter-over-quarter to $72.5 million, driven by a net increase in the investment portfolio [38][42] Business Line Data and Key Metrics Changes - The company experienced solid momentum in portfolio acquisitions, increasing the investment portfolio by approximately $0.4 billion in Q4 and $1.3 billion for the year, ending at $5.1 billion [17] - The agency RMBS portfolio grew by approximately 30% on a market value basis, with the average coupon of specified pools rising from 5.73% to 5.85% [28] - The BPL bridge portfolio continued to grow, with a focus on higher coupon, higher return assets, while maintaining a low delinquency rate of 20% [55] Market Data and Key Metrics Changes - The U.S. budget deficit is expected to total $1.6 trillion in 2024, with interest expenses projected to exceed $1 trillion [11] - The Fed's restrictive policy has moderated inflation, leading to tightening spreads across asset classes [23] - The company noted a spillover effect constraining residential loan markets, with a need for fresh liquidity to recapitalize $2.8 trillion of debt maturing over the next four years [36] Company Strategy and Development Direction - The company aims to enhance liquidity and capitalize on opportunities in the multifamily bridge loan sector while navigating through commercial real estate dislocation [12][15] - A shift in strategy was noted, focusing on growing the balance sheet to achieve more consistent earnings while maintaining liquidity for future opportunities [24] - The company plans to continue investing in agency RMBS and BPL bridge loans, with a patient approach to portfolio growth [15][29] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about the potential for a slowing U.S. economy and increased market credit concerns, emphasizing a cautious approach to capital allocation [9][13] - The company believes that the current market environment presents significant opportunities for growth, particularly in the agency RMBS and BPL bridge sectors [34][64] - Management highlighted the importance of tactical asset management and prudent liability management in the current structural landscape change [64] Other Important Information - The company paid a $0.20 per common share dividend, down from $0.30 in the prior quarter, while evaluating its dividend policy based on projected net interest income and capital gains [47] - The recourse leverage ratio increased to 1.6 times, with expectations for higher leverage as the company expands its holdings of high liquid agency RMBS [46] Q&A Session Summary Question: How does the company view the trade-off in allocating new capital to agency versus BPL bridge? - Management indicated that while BPL bridge offers higher returns, agency investments are more liquid, allowing for quicker capital deployment [74][75] Question: What is the current return on equity for the multifamily JV equity? - Management stated that the remaining JV equity is not materially significant to earnings growth, with returns expected to come primarily from property valuation increases [79] Question: How does the company envision participating in the upcoming CRE debt maturities? - Management sees opportunities in preferred equity lending and mezzanine lending, particularly for dislocated assets from earlier vintages [99] Question: What is the expected economic return from the current portfolio going into 2024? - Management anticipates mid-teens returns from the portfolio, focusing on capital deployment and stabilization of interest earnings [86][97]

$12.93 $12.66 3Q 2023 4Q 2023 9.38% Dividend Yield Q4'23 Economic Return on Adjusted Book Value*: (0.54)% Financial Snapshot 3.60 %3.34 % 2.80 % *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Market Update | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |---------------------------|------------------------------------------|-------|-------------------------------------|-----------------------------------------------------|-------|-------|------ ...

[Financial Highlights](index=1&type=section&id=Financial%20Highlights) The company reported a net income for Q4 2023 but a significant net loss for the full year, with book value at $11.31 per share [Fourth Quarter and Full Year 2023 Performance Summary](index=1&type=section&id=Summary%20of%20Fourth%20Quarter%20and%20Full%20Year%202023) The company reported a net income of $31.5 million, or $0.35 per basic share, for the fourth quarter of 2023. However, for the full year 2023, it recorded a significant net loss of $90.0 million, or ($0.99) per basic share. Book value per common share stood at $11.31 at year-end, with an adjusted book value of $12.66 per share. The company declared a dividend of $0.20 per common share for the fourth quarter Q4 and Full Year 2023 Financial Summary (in thousands) | Metric | For the Three Months Ended Dec 31, 2023 | For the Twelve Months Ended Dec 31, 2023 | | :--- | :--- | :--- | | Net income (loss) attributable to common stockholders | $31,465 | $(90,035) | | Net income (loss) per common share (basic) | $0.35 | $(0.99) | | Undepreciated earnings (loss) per common share (Non-GAAP) | $0.37 | $(0.89) | | Net interest income | $16,800 | $66,526 | | Book value per common share (period end) | $11.31 | $11.31 | | Adjusted book value per common share (period end, Non-GAAP) | $12.66 | $12.66 | | Dividends per common share | $0.20 | $1.20 | [Key Developments](index=2&type=section&id=Key%20Developments) The company actively managed its portfolio, made significant investments, executed financing activities, and addressed multi-family property challenges throughout 2023 and into early 2024 [Fourth Quarter 2023](index=2&type=section&id=Fourth%20Quarter%202023) During the fourth quarter of 2023, the company actively managed its portfolio by purchasing $416.4 million of Agency RMBS and $237.7 million in residential loans. It also renewed and amended key repurchase agreements, increasing capacity to $2.2 billion. A significant event was the suspension of marketing for nine multi-family properties, leading to a reclassification loss of approximately $16.2 million due to unfavorable market conditions - Purchased approximately **$416.4 million** of Agency RMBS and **$237.7 million** in residential loans[7](index=7&type=chunk) - Suspended the marketing of nine multi-family properties, resulting in a reclassification loss of approximately **$16.2 million** due to unfavorable market conditions[7](index=7&type=chunk) - Renewed and amended repurchase agreements for residential loans and single-family rental properties, increasing the maximum aggregate purchase price to **$2.2 billion**[7](index=7&type=chunk) [Full Year 2023 Investing Activities](index=2&type=section&id=Full%20Year%202023%20Investing%20Activities) For the full year 2023, the company's investment activities included purchasing $2.0 billion of Agency RMBS and $620.3 million in residential loans. The company also sold five multi-family properties and recognized significant impairment losses of $89.5 million on other multi-family properties due to wider cap rates and lower net operating income - Purchased approximately **$2.0 billion** of Agency RMBS and **$620.3 million** in residential loans[7](index=7&type=chunk) - Recognized **$89.5 million** of impairment losses on multi-family properties held for sale, driven by wider cap rates and lower net operating income[7](index=7&type=chunk) - Sold five multi-family properties held by joint venture equity investments, representing total net equity investments of **$43.2 million**[7](index=7&type=chunk) [Full Year 2023 Financing Activities](index=2&type=section&id=Full%20Year%202023%20Financing%20Activities) In 2023, the company focused on strengthening its financial position. Key financing activities included obtaining new financing for residential loans and single-family rentals, repurchasing $59.9 million of its residential loan securitization CDOs, and executing a one-for-four reverse stock split. The company also upsized its common stock repurchase program and initiated a preferred stock repurchase program, buying back shares under both - Obtained approximately **$84.9 million** of financing for residential loans with a new counterparty and **$74.3 million** for single-family rentals with an existing counterparty[7](index=7&type=chunk) - Effected a one-for-four reverse stock split of its common stock[7](index=7&type=chunk) - Repurchased **937,850 common shares** for ~**$8.6 million** and **120,580 preferred shares** for ~**$2.4 million**[7](index=7&type=chunk) [Subsequent Developments](index=3&type=section&id=Subsequent%20Developments) After the year-end, the company completed a securitization of business purpose loans, generating approximately $223.2 million in net proceeds, which were used to pay down $136.6 million in repurchase agreements. Additionally, the Board of Directors extended both the common and preferred stock repurchase programs to March 31, 2025, with significant capacity remaining under both programs - Completed a securitization of business purpose loans, resulting in approximately **$223.2 million** in net proceeds, used to repay **$136.6 million** on outstanding repurchase agreements[8](index=8&type=chunk) - The Board of Directors extended the common and preferred stock repurchase programs to March 31, 2025. Available repurchase capacity is **$193.2 million** for common stock and **$97.6 million** for preferred stock[8](index=8&type=chunk) [Management Overview](index=4&type=section&id=Management%20Overview) Management discussed macroeconomic volatility, challenges in commercial real estate, and the strategic decision to reduce portfolio risk for future opportunities [CEO Commentary](index=4&type=section&id=CEO%20Commentary) CEO Jason Serrano highlighted the macroeconomic volatility typical of the end of an economic cycle, noting renewed inflation concerns in early 2024. He pointed to challenges from U.S. government deficit spending and a dislocated commercial real estate market with $2.8 trillion in loans maturing. While acknowledging that the company's 2023 decision to reduce risk was premature and lowered earnings, he believes this defensive posture will yield improved results as attractive entry points emerge from market strain - Management noted heightened macroeconomic volatility, with a Fed pivot at the end of 2023 followed by renewed inflation concerns in early 2024[9](index=9&type=chunk) - Significant challenges are anticipated from the commercial real estate market, with approximately **$2.8 trillion** of loans maturing over the next four years, which could strain credit market liquidity[10](index=10&type=chunk) - The company's past decision to reduce portfolio risk and increase liquidity was deemed premature, lowering 2023 earnings, but is expected to enhance future results as market dislocations provide better investment opportunities[11](index=11&type=chunk) [Portfolio and Capital Structure](index=5&type=section&id=Portfolio%20and%20Capital%20Structure) The company's investment portfolio totaled $5.15 billion, primarily in single-family assets, with a net interest spread of 1.02% for Q4 2023 [Capital Allocation as of December 31, 2023](index=5&type=section&id=Capital%20Allocation%20as%20of%20December%2031%2C%202023) As of December 31, 2023, the company's total investment portfolio had a carrying value of approximately $5.15 billion, with the majority allocated to the Single-Family segment ($4.66 billion). Net company capital allocated totaled approximately $1.58 billion. The Company Recourse Leverage Ratio was 1.6x, and the Portfolio Recourse Leverage Ratio was 1.5x Capital Allocation by Investment Category (December 31, 2023, in thousands) | Category | Single-Family | Multi-Family | Corporate/Other | Total | | :--- | :--- | :--- | :--- | :--- | | Total investment portfolio carrying value | $4,656,268 | $453,783 | $37,154 | $5,147,205 | | Net Company capital allocated | $1,122,653 | $422,369 | $34,590 | $1,579,612 | - The Company Recourse Leverage Ratio was **1.6x**, and the Portfolio Recourse Leverage Ratio was **1.5x** as of year-end[12](index=12&type=chunk) [Interest Earning Assets Analysis (Q4 2023)](index=6&type=section&id=Interest%20Earning%20Assets%20Analysis%20%28Q4%202023%29) For the fourth quarter of 2023, the company's total average interest-earning assets were approximately $4.67 billion, generating a yield of 6.21%. The average financing cost was 5.19%, resulting in a net interest spread of 1.02%. The Single-Family segment was the primary driver of both interest income and expense Q4 2023 Interest Earning Assets Performance (Non-GAAP, in thousands) | Metric | Single-Family | Multi-Family | Corporate/Other | Total | | :--- | :--- | :--- | :--- | :--- | | Adjusted Net Interest Income | $24,333 | $2,670 | $(3,512) | $23,491 | | Average Interest Earning Assets | $4,569,863 | $99,509 | $1,000 | $4,670,372 | | Yield on Average Interest Earning Assets | 6.11% | 10.65% | — | 6.21% | | Average Financing Cost | (5.12)% | — | (6.34)% | (5.19)% | | Net Interest Spread | 0.99% | 10.65% | (6.34)% | 1.02% | [Financial Statements](index=11&type=section&id=Financial%20Statements) The company's total assets increased to $7.40 billion, while stockholders' equity decreased, resulting in a full-year net loss despite a profitable Q4 [Consolidated Balance Sheets](index=11&type=section&id=Consolidated%20Balance%20Sheets) As of December 31, 2023, the company's total assets increased to $7.40 billion from $6.24 billion at the end of 2022. This was primarily driven by a significant increase in investment securities available for sale. Total liabilities also grew to $5.77 billion from $4.38 billion, largely due to a substantial rise in repurchase agreements. Consequently, total stockholders' equity decreased from $1.77 billion to $1.58 billion over the year Consolidated Balance Sheet Summary (in thousands) | Account | December 31, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Total Assets | $7,401,328 | $6,240,745 | | Total Liabilities | $5,773,202 | $4,376,634 | | Company's stockholders' equity | $1,579,612 | $1,767,216 | - Assets of consolidated variable interest entities (VIEs) totaled **$3.82 billion** as of December 31, 2023, with corresponding liabilities of **$3.08 billion**[26](index=26&type=chunk) [Consolidated Statements of Operations](index=12&type=section&id=Consolidated%20Statements%20of%20Operations) For the full year 2023, the company reported a net loss attributable to common stockholders of $90.0 million, a significant shift from the $340.6 million loss in 2022. The result was heavily influenced by a $39.4 million total other loss, which included impairment of real estate and losses on reclassification, compared to a $262.2 million other loss in the prior year. Net interest income decreased to $66.5 million in 2023 from $129.0 million in 2022 Full Year Statement of Operations Summary (in thousands) | Account | Twelve Months Ended Dec 31, 2023 | Twelve Months Ended Dec 31, 2022 | | :--- | :--- | :--- | | Total net interest income | $66,526 | $128,969 | | Total net loss from real estate | $(31,302) | $(113,579) | | Total other income (loss) | $(39,431) | $(262,169) | | Net income (loss) attributable to Company | $(48,665) | $(298,605) | | Net income (loss) attributable to common stockholders | $(90,035) | $(340,577) | | Basic earnings (loss) per common share | $(0.99) | $(3.61) | [Summary of Quarterly Earnings (Loss)](index=13&type=section&id=Summary%20of%20Quarterly%20Earnings%20%28Loss%29) The company's performance fluctuated significantly throughout 2023, culminating in a profitable fourth quarter with a basic EPS of $0.35. This followed two consecutive quarters of losses, with Q3 experiencing a substantial loss of ($1.04) per share. Book value per common share declined steadily from $13.27 at the end of 2022 to $11.31 at the end of 2023. Dividends per common share were also reduced during the year, from $0.40 in Q1 to $0.20 in Q4 Quarterly Performance Trend 2023 | Metric | Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | | :--- | :--- | :--- | :--- | :--- | | Basic earnings (loss) per common share | $0.35 | $(1.04) | $(0.41) | $0.12 | | Book value per common share | $11.31 | $11.26 | $12.44 | $12.95 | | Adjusted book value per common share | $12.66 | $12.93 | $14.32 | $15.41 | | Dividends declared per common share | $0.20 | $0.30 | $0.30 | $0.40 | [Reconciliation of Non-GAAP Financial Measures](index=14&type=section&id=Reconciliation%20of%20Non-GAAP%20Financial%20Measures) The company uses non-GAAP measures like adjusted net interest income, undepreciated earnings, and adjusted book value to provide supplemental performance insights [Overview of Non-GAAP Measures](index=14&type=section&id=Overview%20of%20Non-GAAP%20Measures) The company utilizes several non-GAAP financial measures to provide supplemental information for investors to evaluate performance and trends. These measures include adjusted interest income/expense, adjusted net interest income, net interest spread, undepreciated earnings, and adjusted book value per common share. Management believes these metrics align with how they operate the business and are not a substitute for GAAP measures - The company uses non-GAAP measures such as **adjusted net interest income**, **net interest spread**, **undepreciated earnings**, and **adjusted book value per common share**[31](index=31&type=chunk) - Management believes these non-GAAP measures provide useful supplemental information for investors to evaluate current performance and trends[31](index=31&type=chunk) [Adjusted Net Interest Income and Net Interest Spread](index=14&type=section&id=Adjusted%20Net%20Interest%20Income%20and%20Net%20Interest%20Spread) The company adjusts GAAP net interest income to remove the impact of its consolidated SLST securitization and to include the net interest component of its interest rate swaps. This provides a clearer view of the performance of assets the company directly owns and the true cost of its financing strategy. For Q4 2023, GAAP net interest income was $16.8 million, while adjusted net interest income was $23.5 million Reconciliation of GAAP Net Interest Income to Adjusted (Q4 2023, in thousands) | Description | Amount | | :--- | :--- | | GAAP total net interest income | $16,800 | | **Adjustments to Income:** | | | Consolidated SLST CDO interest expense | $(6,268) | | **Adjusted interest income** | **$72,521** | | **Adjustments to Expense:** | | | Consolidated SLST CDO interest expense | $6,268 | | Net interest benefit of interest rate swaps | $6,691 | | **Adjusted interest expense** | **$(49,030)** | | **Adjusted net interest income** | **$23,491** | [Undepreciated Earnings (Loss)](index=17&type=section&id=Undepreciated%20Earnings%20%28Loss%29) Undepreciated earnings is a non-GAAP measure calculated by excluding the company's share of non-cash depreciation and lease amortization expenses from GAAP net income. This metric is intended to provide a more consistent measure of operating performance. For Q4 2023, GAAP net income attributable to common stockholders was $31.5 million, while undepreciated earnings were $33.7 million, or $0.37 per share Reconciliation to Undepreciated Earnings (Q4 2023, in thousands) | Description | Amount | | :--- | :--- | | Net income attributable to Company's common stockholders | $31,465 | | Add: Depreciation expense on operating real estate | $2,232 | | **Undepreciated earnings (loss)** | **$33,697** | | Undepreciated earnings (loss) per common share | $0.37 | [Adjusted Book Value Per Common Share](index=18&type=section&id=Adjusted%20Book%20Value%20Per%20Common%20Share) Adjusted book value is a non-GAAP measure that modifies GAAP book value by excluding cumulative depreciation on unimpaired real estate, excluding adjustments for redeemable non-controlling interests, and adjusting certain liabilities to fair value. This provides a measure that management believes better reflects the company's value. As of December 31, 2023, GAAP book value per share was $11.31, while adjusted book value per share was $12.66 Reconciliation to Adjusted Book Value (Dec 31, 2023, in thousands) | Description | Amount | | :--- | :--- | | GAAP book value | $1,025,502 | | Add: Cumulative depreciation expense on real estate | $21,801 | | Add: Cumulative amortization of lease intangibles | $14,897 | | Add: Cumulative adjustment of redeemable non-controlling interest | $30,062 | | Add: Adjustment of amortized cost liabilities to fair value | $55,271 | | **Adjusted book value** | **$1,147,533** | | GAAP book value per common share | $11.31 | | Adjusted book value per common share | $12.66 | [Equity Investments in Multi-Family Entities](index=20&type=section&id=Equity%20Investments%20in%20Multi-Family%20Entities) The company consolidates most of its joint venture equity investments in multi-family properties as it is deemed the primary beneficiary of these Variable Interest Entities (VIEs). As of December 31, 2023, the company's net equity investment in these consolidated entities totaled $248.0 million, split between $211.2 million in consolidated multi-family properties and $36.8 million in properties classified as held for sale - The company consolidates VIEs where it is the primary beneficiary, including their assets, liabilities, income, and expenses in its financial statements[49](index=49&type=chunk) Net Equity Investment in Consolidated Multi-Family Properties (Dec 31, 2023, in thousands) | Description | Amount (in thousands) | | :--- | :--- | | Total assets | $1,458,598 | | Total liabilities | $1,192,242 | | Redeemable & Non-controlling interests | $17,150 | | **Net equity investment** | **$248,029** | [Company Information and Disclosures](index=7&type=section&id=Company%20Information%20and%20Disclosures) New York Mortgage Trust operates as an internally-managed REIT, providing financial results via conference calls and issuing forward-looking statements with inherent risks [About New York Mortgage Trust](index=7&type=section&id=About%20New%20York%20Mortgage%20Trust) New York Mortgage Trust, Inc. is an internally-managed Maryland corporation that has elected to be taxed as a real estate investment trust (REIT). The company's business focuses on acquiring, investing in, financing, and managing primarily mortgage-related single-family and multi-family residential assets - NYMT is an internally-managed REIT focused on acquiring, investing in, financing, and managing mortgage-related single-family and multi-family residential assets[18](index=18&type=chunk) [Conference Call Information](index=7&type=section&id=Conference%20Call%20Information) The company scheduled a conference call and audio webcast for February 22, 2024, at 9:00 a.m. Eastern Time to discuss its fourth quarter and full-year 2023 financial results. A supplemental financial presentation and a replay of the webcast were made available on the company's website - A conference call to discuss financial results was scheduled for February 22, 2024[16](index=16&type=chunk) - Supplemental financial presentations and the full Annual Report on Form 10-K are available on the company's website[17](index=17&type=chunk) [Forward-Looking Statements](index=9&type=section&id=Forward-Looking%20Statements) This press release contains forward-looking statements that involve known and unknown risks and uncertainties. These statements are not guarantees of future performance, and actual results could differ materially due to various factors, including changes in interest rates, credit spreads, market volatility, and other risks detailed in the company's SEC filings - The report includes forward-looking statements subject to risks and uncertainties[20](index=20&type=chunk) - Key risk factors include changes in interest rates, credit spreads, market volatility, prepayment rates, and the company's ability to finance its assets[21](index=21&type=chunk)

Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _______ to ____________ Commission file number 001-32216 NEW YORK MORTGAGE TRUST, INC. (Exact Name of Registrant as Specified in Its Charter) (State ...

2023 Third Quarter Financial Summary These and other risks, uncertainties and factors, including the risk factors described in our most recent Annual Report on Form 10-K, as updated and supplemented from time to time, and our subsequent Quarterly Reports on Form 10-Q and other information that we file from time to time with the U.S. Securities and Exchange Commission ("SEC") under the Securities Exchange Act of 1934, as amended (the "Exchange Act"), could cause our actual results to differ materially from t ...

```markdown [PART I. Financial Information](index=3&type=section&id=PART%20I.%20Financial%20Information) This section presents the unaudited condensed consolidated financial statements and management's discussion and analysis [Item 1. Condensed Consolidated Financial Statements](index=3&type=section&id=Item%201.%20Condensed%20Consolidated%20Financial%20Statements) This section presents unaudited condensed consolidated financial statements, including balance sheets, operations, cash flows, and detailed notes [Condensed Consolidated Balance Sheets](index=5&type=section&id=Condensed%20Consolidated%20Balance%20Sheets%20as%20of%20June%2030,%202023%20(Unaudited)%20and%20December%2031,%202022) The balance sheets provide a snapshot of the company's assets, liabilities, and equity at specific reporting dates | ASSETS (in thousands) | June 30, 2023 | December 31, 2022 | | :-------------------------------------- | :------------ | :---------------- | | Residential loans, at fair value | $3,136,812 | $3,525,080 | | Multi-family loans, at fair value | $97,422 | $87,534 | | Investment securities available for sale, at fair value | $734,272 | $99,559 | | Cash and cash equivalents | $232,497 | $244,718 | | Real estate, net | $706,066 | $692,968 | | Assets of disposal group held for sale | $965,599 | $1,151,784 | | Other assets | $237,624 | $259,356 | | **Total Assets** | **$6,279,047** | **$6,240,745** | | LIABILITIES AND EQUITY (in thousands) | June 30, 2023 | December 31, 2022 | | :-------------------------------------- | :------------ | :---------------- | | Repurchase agreements | $1,145,108 | $737,023 | | Collateralized debt obligations | $1,986,800 | $2,102,717 | | Senior unsecured notes | $97,742 | $97,384 | | Subordinated debentures | $45,000 | $45,000 | | Mortgages payable on real estate, net | $397,075 | $394,707 | | Liabilities of disposal group held for sale | $755,840 | $883,812 | | Other liabilities | $97,794 | $115,991 | | **Total liabilities** | **$4,525,359** | **$4,376,634** | | Redeemable Non-Controlling Interest in Consolidated Variable Interest Entities | $34,571 | $63,803 | | Company's stockholders' equity | $1,690,712 | $1,767,216 | | Non-controlling interests | $28,405 | $33,092 | | **Total equity** | **$1,719,117** | **$1,800,308** | | **Total Liabilities and Equity** | **$6,279,047** | **$6,240,745** | - **Total Assets** increased slightly to **$6.28 billion** as of June 30, 2023, from **$6.24 billion** as of December 31, 2022 This was primarily driven by an increase in investment securities available for sale, partially offset by a decrease in residential loans and assets of disposal group held for sale[11](index=11&type=chunk) - **Total Liabilities** increased to **$4.53 billion** as of June 30, 2023, from **$4.38 billion** as of December 31, 2022, mainly due to a significant increase in repurchase agreements[11](index=11&type=chunk) - **Total Equity** decreased to **$1.72 billion** as of June 30, 2023, from **$1.80 billion** as of December 31, 2022[11](index=11&type=chunk) [Condensed Consolidated Statements of Operations](index=6&type=section&id=Unaudited%20Condensed%20Consolidated%20Statements%20of%20Operations%20for%20the%20Three%20and%20Six%20Months%20Ended%20June%2030,%202023%20and%202022) These statements detail the company's revenues, expenses, and net loss over specific reporting periods | (Amounts in thousands, except per share data) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :-------------------------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Net Interest Income | $15,136 | $39,280 | $32,937 | $76,316 | | Total non-interest income (loss) | $25,522 | $(20,233) | $92,351 | $(67,019) | | Total general, administrative and operating expenses | $71,496 | $109,775 | $141,949 | $188,768 | | Loss from operations before income taxes | $(30,838) | $(90,728) | $(16,661) | $(179,471) | | Net Loss attributable to Company's Common Stockholders | $(37,202) | $(82,389) | $(26,681) | $(166,732) | | Basic loss per common share | $(0.41) | $(0.86) | $(0.29) | $(1.75) | | Diluted loss per common share | $(0.41) | $(0.86) | $(0.29) | $(1.75) | - **Net interest income** decreased significantly for both the three-month period (from **$39.28 million** to **$15.14 million**) and six-month period (from **$76.32 million** to **$32.94 million**) year-over-year[13](index=13&type=chunk) - **Total non-interest income (loss)** improved from a loss of **($20.23 million)** to an income of **$25.52 million** for the three months ended June 30, 2023, and from a loss of **($67.02 million)** to an income of **$92.35 million** for the six months ended June 30, 2023[13](index=13&type=chunk) - **Net loss attributable to common stockholders** decreased for both periods, from **($82.39 million)** to **($37.20 million)** for the three-month period and from **($166.73 million)** to **($26.68 million)** for the six-month period[13](index=13&type=chunk) [Condensed Consolidated Statements of Comprehensive (Loss) Income](index=7&type=section&id=Unaudited%20Condensed%20Consolidated%20Statements%20of%20Comprehensive%20(Loss)%20Income%20for%20the%20Three%20and%20Six%20Months%20Ended%20June%2030,%202023%20and%202022) These statements present the net loss and other comprehensive income components, reflecting total comprehensive loss | (Dollar amounts in thousands) | For the Three Months Ended June 30, 2023 | For the Three Months Ended June 30, 2022 | For the Six Months Ended June 30, 2023 | For the Six Months Ended June 30, 2022 | | :-------------------------------------------- | :--------------------------------------- | :--------------------------------------- | :------------------------------------- | :------------------------------------- | | Net Loss Attributable to Company's Common Stockholders | $(37,202) | $(82,389) | $(26,681) | $(166,732) | | Other Comprehensive (Loss) Income | $(383) | $(535) | $208 | $(2,723) | | Comprehensive Loss Attributable to Company's Common Stockholders | $(37,585) | $(82,924) | $(26,473) | $(169,455) | - **Comprehensive loss attributable to common stockholders** decreased significantly year-over-year, from **($82.92 million)** to **($37.59 million)** for the three-month period and from **($169.46 million)** to **($26.47 million)** for the six-month period[15](index=15&type=chunk) - **Other comprehensive (loss) income** improved from a loss of **($535 thousand)** to a loss of **($383 thousand)** for the three months ended June 30, 2023, and from a loss of **($2.72 million)** to an income of **$208 thousand** for the six months ended June 30, 2023[15](index=15&type=chunk) [Condensed Consolidated Statements of Changes in Stockholders' Equity](index=8&type=section&id=Unaudited%20Condensed%20Consolidated%20Statements%20of%20Changes%20in%20Stockholders'%20Equity%20for%20the%20Three%20and%20Six%20Months%20Ended%20June%2030,%202023%20and%202022) This statement outlines changes in equity components, including net loss, stock repurchases, and dividend declarations | (Dollar amounts in thousands) | Balance, December 31, 2022 | Net Loss Attributable to Company | Common Stock Repurchases | Preferred Stock Repurchases | Dividends Declared on Common Stock | Dividends Declared on Preferred Stock | Balance, June 30, 2023 | | :------------------------------------ | :------------------------- | :------------------------------- | :----------------------- | :-------------------------- | :--------------------------------- | :------------------------------------ | :--------------------- | | Common Stock | $912 | — | $(4) | — | — | — | $913 | | Preferred Stock | $538,351 | — | — | $(1,368) | — | — | $536,983 | | Additional Paid-In Capital | $2,282,691 | — | $(3,606) | — | — | — | $2,298,669 | | Accumulated Deficit | $(1,052,768) | $(6,065) | — | $342 | $(63,937) | $(20,958) | $(1,144,091) | | Accumulated Other Comprehensive Loss | $(1,970) | — | — | — | — | — | $(1,762) | | **Company's Stockholders' Equity** | **$1,767,216** | **$(6,065)** | **$(3,610)** | **$(1,026)** | **$(63,937)** | **$(20,958)** | **$1,690,712** | - **Company's stockholders' equity** decreased from **$1.77 billion** at December 31, 2022, to **$1.69 billion** at June 30, 2023, primarily due to **net loss**, **common and preferred stock repurchases**, and **dividend payments**[20](index=20&type=chunk) - **Common stock repurchases** totaled **$3.61 million** for the six months ended June 30, 2023, and **preferred stock repurchases** totaled **$1.03 million**[20](index=20&type=chunk) - **Dividends declared on common stock** and **preferred stock** amounted to **$63.94 million** and **$20.96 million**, respectively, for the six months ended June 30, 2023[20](index=20&type=chunk) [Condensed Consolidated Statements of Cash Flows](index=11&type=section&id=Unaudited%20Condensed%20Consolidated%20Statements%20of%20Cash%20Flows%20for%20the%20Six%20Months%20Ended%20June%2030,%202023%20and%202022) The cash flow statements categorize cash movements from operating, investing, and financing activities | (Dollar amounts in thousands) | For the Six Months Ended June 30, 2023 | For the Six Months Ended June 30, 2022 | | :------------------------------------ | :------------------------------------- | :------------------------------------- | | Net cash (used in) provided by operating activities | $(11,505) | $78,199 | | Net cash used in investing activities | $(64,194) | $(1,111,434) | | Net cash provided by financing activities | $40,228 | $1,247,092 | | Net (Decrease) Increase in Cash, Cash Equivalents and Restricted Cash | $(35,471) | $213,857 | | Cash, Cash Equivalents and Restricted Cash - End of Period | $345,467 | $551,718 | - **Net cash used in operating activities** was **($11.51 million)** for the six months ended June 30, 2023, a decrease from **$78.20 million** provided in the prior year[23](index=23&type=chunk) - **Net cash used in investing activities** significantly decreased from **($1.11 billion)** in 2022 to **($64.19 million)** in 2023[23](index=23&type=chunk) - **Net cash provided by financing activities** decreased substantially from **$1.25 billion** in 2022 to **$40.23 million** in 2023[23](index=23&type=chunk) [Notes to Condensed Consolidated Financial Statements](index=14&type=section&id=Unaudited%20Notes%20to%20the%20Condensed%20Consolidated%20Financial%20Statements) These notes provide detailed explanations of the company's accounting policies, financial instruments, and other significant financial information [Note 1. Organization](index=14&type=section&id=Note%201.%20Organization) This note describes New York Mortgage Trust, Inc.'s structure as a REIT and its investment objectives - **New York Mortgage Trust, Inc. (NYMT)** is a **REIT** focused on acquiring, investing in, financing, and managing mortgage-related single-family and multi-family residential assets[28](index=28&type=chunk) - The company's objective is to deliver **long-term stable distributions to stockholders** through net interest spread and capital gains from a diversified investment portfolio, including credit-sensitive single-family and multi-family assets[28](index=28&type=chunk) - **NYMT** operates through a parent company and several subsidiaries (TRSs, QRSs, SPEs) and consolidates all subsidiaries under GAAP It aims to qualify as a **REIT** for U.S. federal income tax purposes, generally avoiding federal income taxes on distributed income[29](index=29&type=chunk)[30](index=30&type=chunk) [Note 2. Summary of Significant Accounting Policies](index=15&type=section&id=Note%202.%20Summary%20of%20Significant%20Accounting%20Policies) This note outlines the key accounting principles and estimation methods used in preparing the financial statements - The Company effected a **one-for-four reverse stock split** of its common stock on March 9, 2023, retroactively adjusting all common share and per common share data[32](index=32&type=chunk) - The financial statements are prepared on an accrual basis in accordance with GAAP, requiring **significant estimates**, particularly for fair valuation of residential loans, multi-family loans, equity investments, CDOs, real estate, and redeemable non-controlling interests[34](index=34&type=chunk) - The Company consolidates all majority-owned or controlled subsidiaries, including Variable Interest Entities (VIEs) where it is the primary beneficiary, and accounts for derivative financial instruments at fair value with changes reported in unrealized gains (losses), net[36](index=36&type=chunk)[37](index=37&type=chunk)[39](index=39&type=chunk) [Note 3. Residential Loans, at Fair Value](index=18&type=section&id=Note%203.%20Residential%20Loans,%20at%20Fair%20Value) This note details the fair value of residential loans, including their composition, unrealized gains/losses, and credit risk | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Residential loans held by the Company | $757,264 | $1,081,384 | | Residential loans held in Consolidated SLST | $789,969 | $827,582 | | Residential loans held in securitization trusts | $1,589,579 | $1,616,114 | | **Total Carrying Value** | **$3,136,812** | **$3,525,080** | - The **total carrying value of residential loans at fair value** decreased from **$3.53 billion** at December 31, 2022, to **$3.14 billion** at June 30, 2023[44](index=44&type=chunk) | Unrealized (Losses) Gains, Net (in thousands) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :-------------------------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Residential loans | $(7,275) | $(30,078) | $23,279 | $(55,602) | | Consolidated SLST | $305 | $(10,798) | $(1,002) | $(77,443) | | Securitization trusts | $(23,332) | $(34,883) | $(7,525) | $(72,657) | - **Net realized gains on residential loan payoffs** decreased from **$3.2 million** (Q2 2022) to **$0.9 million** (Q2 2023) and from **$7.1 million** (H1 2022) to **$2.9 million** (H1 2023)[45](index=45&type=chunk) - **Geographic concentrations of credit risk** exceeding **5%** include California (**21.4%**), Florida (**13.5%**), New York (**9.0%**), New Jersey (**7.0%**), and Texas (**6.6%**) as of June 30, 2023[46](index=46&type=chunk) - **Residential loans in non-accrual status** (greater than **90 days past due**) had a fair value of **$225.8 million** and an unpaid principal balance of **$253.4 million** as of June 30, 2023[46](index=46&type=chunk) [Note 4. Multi-family Loans, at Fair Value](index=20&type=section&id=Note%204.%20Multi-family%20Loans,%20at%20Fair%20Value) This note provides information on the fair value of multi-family loans, including changes in value and credit risk concentrations | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Investment amount | $97,228 | $88,249 | | Deferred loan fees, net | $(485) | $(428) | | Unrealized gains (losses), net | $679 | $(287) | | **Total, at Fair Value** | **$97,422** | **$87,534** | - **Multi-family loans** increased from **$87.53 million** at December 31, 2022, to **$97.42 million** at June 30, 2023, with a shift from net unrealized losses to gains[48](index=48&type=chunk) - The Company recognized **$0.5 million** and **$1.0 million** in **net unrealized gains on multi-family loans** for the three and six months ended June 30, 2023, respectively[48](index=48&type=chunk) - **Premiums from early redemption of multi-family loans** decreased from **$0.2 million** (Q2 2022) to **$0.2 million** (Q2 2023) and from **$1.0 million** (H1 2022) to **$0.2 million** (H1 2023)[49](index=49&type=chunk) - One multi-family loan with a fair value of **$4.75 million** and unpaid principal balance of **$3.36 million** was in **non-accrual status** (**90+ days late**) as of June 30, 2023[50](index=50&type=chunk) - **Geographic concentrations of credit risk** exceeding **5%** include Texas (**34.9%**), Tennessee (**14.5%**), Florida (**10.1%**), Arkansas (**9.4%**), Louisiana (**7.0%**), Alabama (**6.6%**), North Carolina (**5.7%**), and Indiana (**5.2%**) as of June 30, 2023[50](index=50&type=chunk) [Note 5. Investment Securities Available For Sale, at Fair Value](index=21&type=section&id=Note%205.%20Investment%20Securities%20Available%20For%20Sale,%20at%20Fair%20Value) This note details the fair value of investment securities available for sale, including their composition and unrealized gains/losses | (Dollar amounts in thousands) | June 30, 2023 Fair Value | December 31, 2022 Fair Value | | :---------------------------- | :----------------------- | :--------------------------- | | Agency RMBS | $640,133 | $0 | | Non-Agency RMBS | $63,742 | $68,570 | | CMBS | $30,397 | $30,133 | | ABS | $0 | $856 | | **Total Fair Value Option** | **$710,321** | **$75,914** | | CECL Securities (Non-Agency RMBS) | $23,951 | $23,645 | | **Total Investment Securities Available For Sale** | **$734,272** | **$99,559** | - **Total investment securities available for sale** increased significantly from **$99.56 million** at December 31, 2022, to **$734.27 million** at June 30, 2023, primarily due to **new Agency RMBS purchases**[51](index=51&type=chunk) - The Company recognized **$8.5 million** and **$7.7 million** in **net unrealized losses** on fair value option investment securities for the three and six months ended June 30, 2023, respectively[52](index=52&type=chunk) - The **weighted average life** of the investment securities available for sale portfolio decreased from approximately **7.6 years** at December 31, 2022, to **6.2 years** at June 30, 2023[55](index=55&type=chunk) - As of June 30, 2023, all **CECL Securities** in an **unrealized loss position** (Non-Agency RMBS, **$23.95 million** fair value, **($1.76 million)** gross unrealized losses) had been in that position for greater than **12 months**, but **no credit losses were deemed necessary**[59](index=59&type=chunk) [Note 6. Equity Investments, at Fair Value](index=24&type=section&id=Note%206.%20Equity%20Investments,%20at%20Fair%20Value) This note describes the fair value of equity investments, including multi-family preferred equity and single-family equity ownership interests | (Dollar amounts in thousands) | June 30, 2023 Fair Value | December 31, 2022 Fair Value | | :---------------------------- | :----------------------- | :--------------------------- | | Multi-Family Preferred Equity Ownership Interests | $143,755 | $152,246 | | Single-Family Equity Ownership Interests (Constructive Loans, LLC) | $25,000 | $27,500 | | **Total Equity Investments** | **$168,755** | **$179,746** | - **Total equity investments** decreased from **$179.75 million** at December 31, 2022, to **$168.76 million** at June 30, 2023[62](index=62&type=chunk) - **Income from multi-family preferred equity ownership interests** decreased from **$6.03 million** (Q2 2022) to **$5.03 million** (Q2 2023) and from **$11.80 million** (H1 2022) to **$10.98 million** (H1 2023)[65](index=65&type=chunk) - **Income from single-family equity ownership interests** shifted from an income of **$1.77 million** (Q2 2022) to **$0 thousand** (Q2 2023) and from an income of **$1.80 million** (H1 2022) to a **loss of ($2.50 million)** (H1 2023), primarily due to **unrealized losses**[66](index=66&type=chunk) - **Joint venture equity investments in multi-family properties generated a loss** of **($2.38 million)** (Q2 2023) compared to an income of **$0.30 million** (Q2 2022), and a **loss of ($1.32 million)** (H1 2023) compared to an income of **$0.55 million** (H1 2022)[66](index=66&type=chunk) [Note 7. Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE)](index=27&type=section&id=Note%207.%20Use%20of%20Special%20Purpose%20Entities%20(SPE)%20and%20Variable%20Interest%20Entities%20(VIE)) This note explains the company's use of SPEs and VIEs, their consolidation, and associated financial impacts - The Company uses **SPEs for securitization** and has consolidated **Financing VIEs, Consolidated SLST, and Consolidated Real Estate VIEs** where it is the **primary beneficiary**[67](index=67&type=chunk)[69](index=69&type=chunk)[70](index=70&type=chunk)[72](index=72&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 Total VIE Assets | December 31, 2022 Total VIE Assets | | :---------------------------- | :----------------------------- | :----------------------------- | | Total assets of consolidated VIEs | $4,005,742 | $4,261,097 | | Total liabilities of consolidated VIEs | $3,163,136 | $3,403,257 | | Net investment in consolidated VIEs | $779,755 | $761,070 | - **Net loss attributable to the Company from non-Company-sponsored VIEs was ($24.24 million)** for Q2 2023, an improvement from **($29.38 million)** for Q2 2022 For H1 2023, the **loss was ($33.37 million)**, an improvement from **($56.03 million)** for H1 2022[83](index=83&type=chunk)[84](index=84&type=chunk) - **Redeemable non-controlling interest in Consolidated VIEs** decreased from **$63.80 million** at December 31, 2022, to **$34.57 million** at June 30, 2023, primarily due to an **adjustment to estimated redemption value**[86](index=86&type=chunk) - The **Company's maximum exposure to unconsolidated VIEs was $276.04 million** as of June 30, 2023, primarily from **preferred equity investments in multi-family properties**[87](index=87&type=chunk) [Note 8. Real Estate, Net](index=34&type=section&id=Note%208.%20Real%20Estate,%20Net) This note presents the net value of real estate assets, including land, buildings, and accumulated depreciation | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Land | $89,550 | $89,550 | | Building and improvements | $634,197 | $611,102 | | Furniture, fixture and equipment | $15,710 | $13,540 | | Real estate | $739,457 | $714,192 | | Accumulated depreciation | $(33,391) | $(21,224) | | **Real estate, net** | **$706,066** | **$692,968** | - **Real estate, net** increased from **$692.97 million** at December 31, 2022, to **$706.07 million** at June 30, 2023[88](index=88&type=chunk) - **Depreciation and amortization expense** decreased significantly from **$52.39 million** (Q2 2022) to **$6.13 million** (Q2 2023) and from **$87.98 million** (H1 2022) to **$12.17 million** (H1 2023), primarily due to **reclassification of certain multi-family properties to assets held for sale** and **full amortization of lease intangibles**[95](index=95&type=chunk) [Note 9. Assets and Liabilities of Disposal Group Held for Sale](index=36&type=section&id=Note%209.%20Assets%20and%20Liabilities%20of%20Disposal%20Group%20Held%20for%20Sale) This note details assets and liabilities classified as held for sale, reflecting the company's strategic repositioning efforts - In September 2022, the **Company initiated a strategic repositioning** to **dispose of joint venture equity investments in multi-family properties**, classifying related assets and liabilities as held for sale[97](index=97&type=chunk) - During Q2 2023, **four joint ventures sold multi-family apartment communities** for approximately **$187.7 million**, generating **net gains of $3.1 million** and **losses on extinguishment of debt of $1.9 million**[98](index=98&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Total assets of disposal group held for sale | $965,599 | $1,151,784 | | Total liabilities of disposal group held for sale | $755,840 | $883,812 | - The **Company recognized net impairments of $16.9 million** (Q2 2023) and **$27.1 million** (H1 2023) on multi-family properties held for sale, as their **fair value was less than net carrying values**[100](index=100&type=chunk) | (Dollar amounts in thousands) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :---------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Pretax loss of disposal group held for sale | $(20,717) | $(31,324) | $(37,085) | $(47,973) | | Pretax loss attributable to Company's common stockholders | $(19,975) | $(28,045) | $(35,129) | $(42,909) | [Note 10. Derivative Instruments and Hedging Activities](index=38&type=section&id=Note%2010.%20Derivative%20Instruments%20and%20Hedging%20Activities) This note describes the company's use of derivative instruments for risk management and their fair value accounting - The Company uses **derivative financial instruments** (interest rate swaps, caps, options) for **risk management** but **does not apply hedge accounting**, reporting all fair value changes as **unrealized gains (losses), net**[104](index=104&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 Fair Value | December 31, 2022 Fair Value | | :---------------------------- | :----------------------- | :--------------------------- | | Interest rate caps | $2,454 | $2,473 | | Options | $156 | $0 | | Interest rate swaps | $0 | $0 | | **Total derivative assets** | **$2,610** | **$2,473** | - The Company had **$17.0 million** in **initial margin** and **$2.4 million** in **excess margin** for **interest rate swaps** as of June 30, 2023[110](index=110&type=chunk) | (Dollar amounts in thousands) | Realized Gains (Losses) H1 2023 | Unrealized Gains (Losses) H1 2023 | | :---------------------------- | :------------------------------ | :-------------------------------- | | Options | $(1,608) | $(974) | | Interest rate swaps | $0 | $13,959 | | **Total** | **$(1,608)** | **$12,985** | - As of June 30, 2023, the Company had **interest rate swaps** with a **total notional amount of $876.93 million** (**receive floating, pay fixed**) and **$24.00 million** (**receive fixed, pay floating**)[113](index=113&type=chunk) [Note 11. Other Assets and Other Liabilities](index=42&type=section&id=Note%2011.%20Other%20Assets%20and%20Other%20Liabilities) This note provides a breakdown of various other assets and liabilities not categorized elsewhere in the balance sheet | Other Assets (in thousands) | June 30, 2023 | December 31, 2022 | | :-------------------------- | :------------ | :---------------- | | Restricted cash | $112,970 | $136,220 | | Accrued interest receivable | $30,828 | $34,067 | | Collections receivable from residential loan servicers | $27,519 | $15,374 | | Recoverable advances on residential loans | $15,597 | $13,979 | | Other receivables | $14,157 | $11,357 | | Other assets in consolidated multi-family properties | $12,756 | $13,681 | | Operating lease right-of-use assets | $7,222 | $7,831 | | Real estate owned | $5,789 | $18,588 | | Deferred tax assets | $2,816 | $2,671 | | Derivative assets | $2,610 | $2,473 | | Other | $5,360 | $3,115 | | **Total** | **$237,624** | **$259,356** | | Other Liabilities (in thousands) | June 30, 2023 | December 31, 2022 | | :------------------------------- | :------------ | :---------------- | | Dividends and dividend equivalents payable | $40,391 | $49,996 | | Accrued interest payable | $12,977 | $10,629 | | Accrued expenses and other liabilities in consolidated multi-family properties | $10,479 | $10,511 | | Accrued expenses | $9,632 | $15,576 | | Operating lease liabilities | $7,753 | $8,383 | | Deferred revenue | $5,648 | $7,131 | | Advanced remittances from residential loan servicers | $5,269 | $9,098 | | Unfunded commitments for residential loans | $2,432 | $2,950 | | Deferred tax liabilities | $279 | $394 | | Other | $2,934 | $1,323 | | **Total** | **$97,794** | **$115,991** | - **Total other assets** decreased from **$259.36 million** to **$237.62 million**, mainly due to a decrease in **restricted cash and real estate owned**[115](index=115&type=chunk) - **Total other liabilities** decreased from **$115.99 million** to **$97.79 million**, primarily due to a decrease in **dividends and dividend equivalents payable and accrued expenses**[116](index=116&type=chunk) [Note 12. Repurchase Agreements](index=43&type=section&id=Note%2012.%20Repurchase%20Agreements) This note details the company's repurchase agreements, including collateral types, outstanding balances, and interest rates | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Repurchase Agreements Secured By: | | | | Investment securities | $664,459 | $50,077 | | Residential loans | $404,370 | $686,946 | | Single-family rental properties | $76,279 | $0 | | **Total carrying value** | **$1,145,108** | **$737,023** | - **Total repurchase agreements** increased significantly from **$737.02 million** at December 31, 2022, to **$1.15 billion** at June 30, 2023, driven by a **substantial increase in agreements secured by investment securities**[118](index=118&type=chunk) - As of June 30, 2023, the Company had **$223.1 million** in **cash and cash equivalents** and **$205.4 million** in **unencumbered investment securities available to meet margin calls**[119](index=119&type=chunk) - **Repurchase agreements for residential loans and single-family rental properties had an outstanding balance of $480.65 million** at June 30, 2023, with a **weighted average rate of 7.57%** and **11.79 months to maturity**[122](index=122&type=chunk) - **Repurchase agreements for investment securities had an outstanding balance of $664.46 million** at June 30, 2023, with an **average days to maturity of 52 days** and a **weighted average interest rate of 5.48%**[130](index=130&type=chunk)[131](index=131&type=chunk) [Note 13. Collateralized Debt Obligations](index=46&type=section&id=Note%2013.%20Collateralized%20Debt%20Obligations) This note describes the company's collateralized debt obligations, including their composition, interest rates, and maturities | (Dollar amounts in thousands) | June 30, 2023 Carrying Value | December 31, 2022 Carrying Value | | :---------------------------- | :--------------------------- | :------------------------------- | | Consolidated SLST | $617,168 | $634,495 | | Residential loan securitizations | $1,369,632 | $1,468,222 | | **Total collateralized debt obligations** | **$1,986,800** | **$2,102,717** | - **Total collateralized debt obligations** decreased from **$2.10 billion** at December 31, 2022, to **$1.99 billion** at June 30, 2023[133](index=133&type=chunk) - **Consolidated SLST CDOs had a weighted average interest rate of 2.75%** and a **stated maturity of 2059** **Residential loan securitization CDOs had a weighted average interest rate of 3.59%** and **stated maturities ranging from 2026 to 2062**[133](index=133&type=chunk) - The **majority of CDO maturities are beyond 2027**, with **$1.73 billion** maturing thereafter[134](index=134&type=chunk) [Note 14. Debt](index=47&type=section&id=Note%2014.%20Debt) This note outlines the company's various debt instruments, including senior unsecured notes, subordinated debentures, and mortgages payable - The **Company had $100.0 million aggregate principal amount of 5.75% Senior Unsecured Notes outstanding** as of June 30, 2023, **maturing on April 30, 2026**, with a **total cost of approximately 6.64%** including deferred charges[137](index=137&type=chunk) - The **Senior Unsecured Notes are subject to interest rate adjustments** based on credit ratings and contain **various covenants, including minimum net asset value and leverage limits**, with which the Company was **in compliance** as of June 30, 2023[138](index=138&type=chunk)[140](index=140&type=chunk) - **Subordinated debentures totaled $45.0 million** as of June 30, 2023, with interest rates based on three-month LIBOR plus a spread, **maturing in 2035**[141](index=141&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 Outstanding Mortgage Balance | December 31, 2022 Outstanding Mortgage Balance | | :---------------------------- | :----------------------------------------- | :--------------------------------------------- | | Mortgages payable on real estate | $399,743 | $397,453 | - **Mortgages payable on real estate for consolidated multi-family apartment communities totaled $397.08 million** (net) at June 30, 2023, with a **weighted average interest rate of 4.32%** and **maturities from 2025 to 2032**[146](index=146&type=chunk) [Note 15. Commitments and Contingencies](index=50&type=section&id=Note%2015.%20Commitments%20and%20Contingencies) This note discloses the company's legal proceedings, investment commitments, and other potential future obligations - The **Company does not believe any current legal proceedings will have a material adverse effect** on its operations, financial condition, or cash flows[148](index=148&type=chunk) - An **investment commitment of $40.0 million for joint venture equity investments in multi-family properties**, entered into on December 7, 2021, remains **unfunded** as of August 4, 2023, and **expires on December 7, 2023**[149](index=149&type=chunk) [Note 16. Fair Value of Financial Instruments](index=51&type=section&id=Note%2016.%20Fair%20Value%20of%20Financial%20Instruments) This note explains the valuation hierarchy and methods used to determine the fair value of financial instruments - The **Company categorizes financial instruments into a three-level valuation hierarchy** based on **input observability**: **Level 1 (quoted prices in active markets)**, **Level 2 (observable inputs for similar assets/liabilities)**, and **Level 3 (unobservable and significant inputs)**[152](index=152&type=chunk)[153](index=153&type=chunk)[154](index=154&type=chunk) - **Residential loans** (including those in Consolidated SLST and securitization trusts), **multi-family loans**, and **equity investments are primarily classified as Level 3 fair values**, relying on **discounted cash flow models** and **third-party valuations with unobservable inputs** like projected losses, discount rates, and home price appreciation[154](index=154&type=chunk)[155](index=155&type=chunk)[157](index=157&type=chunk)[158](index=158&type=chunk) - **Investment securities available for sale and derivative instruments (interest rate caps, options, interest rate swaps) are generally classified as Level 2 fair values**, using **observable market parameters and third-party pricing services**[157](index=157&type=chunk)[158](index=158&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 Total Fair Value | December 31, 2022 Total Fair Value | | :---------------------------- | :----------------------------- | :------------------------------- | | Level 2 Assets | $757,661 | $131,450 | | Level 3 Assets | $3,410,684 | $3,801,370 | | **Total Assets carried at fair value** | **$4,168,345** | **$3,932,820** | | Level 3 Liabilities | $617,168 | $634,495 | | **Total Liabilities carried at fair value** | **$617,168** | **$634,495** | - **Total Level 3 assets decreased** from **$3.80 billion** to **$3.41 billion**, while **Level 2 assets significantly increased** from **$131.45 million** to **$757.66 million**, reflecting **shifts in the investment portfolio**[161](index=161&type=chunk) - **Unrealized gains/losses included in earnings for Level 3 assets and liabilities showed a net loss of ($22.42 million)** for Q2 2023 and a **net gain of $32.54 million** for H1 2023[162](index=162&type=chunk)[163](index=163&type=chunk)[165](index=165&type=chunk)[166](index=166&type=chunk) [Note 17. Stockholders' Equity](index=62&type=section&id=Note%2017.%20Stockholders'%20Equity) This note details the components of stockholders' equity, including common and preferred stock, repurchases, and dividends - As of June 30, 2023, the **Company had 22,227,954 shares of preferred stock outstanding across four series (D, E, F, G)**, **senior to common stock in dividends and liquidation**[173](index=173&type=chunk)[174](index=174&type=chunk)[177](index=177&type=chunk) - The **Board approved a $100.0 million preferred stock repurchase program in March 2023**, under which **$0.7 million of preferred stock was repurchased** in Q2 2023, resulting in a **$0.2 million gain for common stockholders**[175](index=175&type=chunk) - A **one-for-four reverse stock split was effected on March 9, 2023**, retroactively adjusting common share data[185](index=185&type=chunk) - The **$200.0 million common stock repurchase program (upsized to $246.0 million in March 2023) saw $3.6 million in repurchases (377,508 shares)** during H1 2023[186](index=186&type=chunk) | Common Stock Dividends | Q2 2023 | Q1 2023 | Q4 2022 | Q3 2022 | Q2 2022 | Q1 2022 | | :--------------------- | :------ | :------ | :------ | :------ | :------ | :------ | | Cash Dividend Per Share | $0.30 | $0.40 | $0.40 | $0.40 | $0.40 | $0.40 | - **No shares of common or preferred stock were issued under equity distribution agreements** during H1 2023, with **$100.0 million remaining available for each program**[189](index=189&type=chunk)[191](index=191&type=chunk) [Note 18. Loss Per Common Share](index=66&type=section&id=Note%2018.%20Loss%20Per%20Common%20Share) This note presents the calculation of basic and diluted loss per common share for the reporting periods | (Dollar and share amounts in thousands, except per share amounts) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :---------------------------------------------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Net loss attributable to Company's common stockholders | $(37,202) | $(82,389) | $(26,681) | $(166,732) | | Basic weighted average common shares outstanding | 91,193 | 95,300 | 91,254 | 95,250 | | **Basic Loss per Common Share** | **$(0.41)** | **$(0.86)** | **$(0.29)** | **$(1.75)** | | **Diluted Loss per Common Share** | **$(0.41)** | **$(0.86)** | **$(0.29)** | **$(1.75)** | - **Basic and diluted loss per common share improved significantly** year-over-year, from **($0.86)** to **($0.41)** for the three-month period and from **($1.75)** to **($0.29)** for the six-month period[195](index=195&type=chunk) - **Weighted average shares outstanding decreased** from **95,300 thousand** to **91,193 thousand** for the three-month period and from **95,250 thousand** to **91,254 thousand** for the six-month period[195](index=195&type=chunk) [Note 19. Stock Based Compensation](index=67&type=section&id=Note%2019.%20Stock%20Based%20Compensation) This note describes the company's stock-based compensation plans and the associated non-cash compensation expense - The **2017 Plan authorizes up to 10,792,500 shares for equity awards**, with **6,235,268 shares remaining available** as of June 30, 2023[196](index=196&type=chunk)[197](index=197&type=chunk) - **Non-cash compensation expense for restricted common stock awards was $0.9 million** (Q2 2023) and **$1.9 million** (H1 2023), a **decrease from $1.1 million** (Q2 2022) and **$2.3 million** (H1 2022)[199](index=199&type=chunk) - **Unrecognized compensation expense for non-vested restricted stock was $5.9 million** at June 30, 2023, **expected to be recognized over 2.0 years**[200](index=200&type=chunk) - **Compensation expense for Performance Share Units (PSUs) was $0.8 million** (Q2 2023) and **$1.8 million** (H1 2023), **down from $1.5 million** (Q2 2022) and **$3.0 million** (H1 2022)[205](index=205&type=chunk) - **Compensation expense for Restricted Stock Units (RSUs) was $0.5 million** (Q2 2023) and **$0.9 million** (H1 2023), **down from $0.6 million** (Q2 2022) and **$1.1 million** (H1 2022)[209](index=209&type=chunk) [Note 20. Income Taxes](index=70&type=section&id=Note%2020.%20Income%20Taxes) This note provides information on the company's REIT status, income tax provisions, and deferred tax assets/liabilities - The **Company qualified as a REIT for U.S. federal income tax purposes** for the periods ended June 30, 2023 and 2022, generally avoiding federal income taxes on distributed taxable income[211](index=211&type=chunk) | (Dollar amounts in thousands) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :---------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Current income tax expense | $70 | $166 | $256 | $231 | | Deferred income tax benefit | $(88) | $(76) | $(259) | $(164) | | **Total income tax (benefit)/provision** | **$(18)** | **$90** | **$(3)** | **$67** | - The **Company recorded an income tax benefit of ($18 thousand)** for Q2 2023, **compared to a provision of $90 thousand** for Q2 2022 For H1 2023, a **benefit of ($3 thousand)** was recorded, **compared to a provision of $67 thousand** for H1 2022[212](index=212&type=chunk) - As of June 30, 2023, the Company had **$16.1 million** in **net operating loss carryforwards (indefinite)** and **$48.9 million** in **capital losses (expiring 2025-2028)**[213](index=213&type=chunk) - A **valuation allowance of $25.85 million was recorded** against certain deferred tax assets at June 30, 2023, an **increase of $7.1 million** for the current year[214](index=214&type=chunk) [Note 21. Net Interest Income](index=72&type=section&id=Note%2021.%20Net%20Interest%20Income) This note details the components of interest income and expense, leading to the calculation of net interest income | (Dollar amounts in thousands) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :---------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Total interest income | $57,540 | $68,020 | $114,676 | $126,521 | | Total interest expense | $42,404 | $28,740 | $81,739 | $50,205 | | **Net interest income** | **$15,136** | **$39,280** | **$32,937** | **$76,316** | - **Net interest income decreased by $24.14 million** (QoQ) and **$43.38 million** (YoY) for the three and six months ended June 30, 2023, respectively[218](index=218&type=chunk) - **Interest income decreased primarily due to paydowns of higher-yielding business purpose loans**, partially offset by increases in the Agency RMBS portfolio[218](index=218&type=chunk) - **Interest expense increased due to higher financing costs from rising interest rates and additional securitization financings**[218](index=218&type=chunk) [Note 22. Other (Loss) Income](index=73&type=section&id=Note%2022.%20Other%20(Loss)%20Income) This note breaks down other non-interest income and losses, including gains/losses on asset sales and impairments | (Dollar amounts in thousands) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :---------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Preferred equity and mezzanine loan premiums resulting from early redemption | $186 | $980 | $186 | $2,483 | | Gain on sale of real estate | $1,879 | $4 | $1,879 | $373 | | Impairment of real estate | $(16,864) | $0 | $(27,139) | $0 | | Loss on extinguishment of collateralized debt obligations and mortgages payable on real estate | $(1,863) | $0 | $(693) | $(603) | | Miscellaneous | $95 | $121 | $202 | $278 | | **Total other (loss) income** | **$(16,567)** | **$1,105** | **$(25,565)** | **$2,531** | - **Total other (loss) income shifted from an income of $1.11 million** (Q2 2022) to a **loss of ($16.57 million)** (Q2 2023) and from an income of **$2.53 million** (H1 2022) to a **loss of ($25.57 million)** (H1 2023)[219](index=219&type=chunk) - The **decrease was primarily due to impairment losses of $16.86 million** (Q2 2023) and **$27.14 million** (H1 2023) on **multi-family real estate assets held for sale**, and **reduced premiums from early redemptions**[219](index=219&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=74&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses financial condition, operating results, and strategic repositioning to core residential assets and Agency RMBS [Executive Summary](index=77&type=section&id=Executive%20Summary) This summary outlines the company's strategic repositioning, investment focus, and capital deployment in the current market - The **Company is repositioning its business to opportunistically dispose of joint venture equity interests in multi-family properties** and **reallocate capital to targeted assets, including residential loans, structured multi-family property investments, non-Agency RMBS, Agency RMBS, and CMBS**[231](index=231&type=chunk)[232](index=232&type=chunk) - **Investment activity was significantly curtailed in late Q2 2022 due to extreme interest rate volatility and credit spread widening**, with a focus on enhancing liquidity, strengthening the balance sheet, and protecting book value[230](index=230&type=chunk) - In H1 2023, the **Company began deploying capital into Agency RMBS**, viewing it as a **compelling asset class due to historically wide spread levels**[232](index=232&type=chunk) - The **Company's Recourse Leverage Ratio increased to 0.70x** and **Portfolio Recourse Leverage Ratio to 0.60x** as of June 30, 2023, from **0.40x** and **0.30x**, respectively, as of March 31, 2023, primarily due to **financing newly-acquired, highly liquid Agency RMBS**[233](index=233&type=chunk) [Portfolio Update](index=79&type=section&id=Portfolio%20Update) This section provides an overview of changes in the company's investment portfolio, including acquisitions, repayments, and sales - In Q2 2023, the **Company selectively pursued new single-family residential loans and multi-family investments**, and **purchased additional Agency RMBS due to favorable market conditions**[236](index=236&type=chunk) | (Dollar amounts in thousands) | March 31, 2023 | Acquisitions | Repayments | Sales | Changes and Other | June 30, 2023 | | :---------------------------- | :------------- | :----------- | :--------- | :---- | :---------------- | :------------ | | Residential loans | $2,545,703 | $106,266 | $(296,150) | $(441) | $(8,535) | $2,346,843 | | Preferred equity investments, mezzanine loans and equity investments | $286,457 | $8,985 | $(29,235) | $0 | $(30) | $266,177 | | Investment securities available for sale | $202,571 | $545,638 | $(3,686) | $(595) | $(9,656) | $734,272 | | Consolidated SLST | $188,518 | $0 | $(4,621) | $0 | $(13,889) | $170,008 | | Equity investments in consolidated multi-family properties | $142,931 | $0 | $(1,864) | $0 | $3,068 | $144,135 | | Equity investments in disposal group held for sale | $230,414 | $2,110 | $(22,730) | $0 | $(20,202) | $189,592 | | Single-family rental properties | $162,435 | $921 | $0 | $0 | $(1,123) | $162,233 | | **Total investment portfolio** | **$3,759,029** | **$663,920** | **$(358,286)** | **$(1,036)** | **$(50,367)** | **$4,013,260** | - **Total investment portfolio** increased from **$3.76 billion** at March 31, 2023, to **$4.01 billion** at June 30, 2023, driven by **$663.92 million in acquisitions, primarily Agency RMBS**[236](index=236&type=chunk) [Current Market Conditions and Commentary](index=81&type=section&id=Current%20Market%20Conditions%20and%20Commentary) This section discusses prevailing financial and mortgage market conditions, including interest rates, inflation, and housing trends - **U.S. financial and mortgage-related asset markets generally improved in Q2 2023, with U.S. stocks rising**, but **interest rate uncertainty, monetary policy tightening, inflation, and geopolitical instability continue to create volatility**[239](index=239&type=chunk)[240](index=240&type=chunk) - **U.S. GDP grew at a 2.4% annualized rate in Q2 2023**, marking **four consecutive quarters of growth**, and the **labor market remained tight with a 3.6% unemployment rate**[241](index=241&type=chunk)[242](index=242&type=chunk) - The **Federal Reserve paused interest rate hikes in June 2023 but raised the federal funds rate by 0.25% in July 2023**, bringing the **target range to 5.25%-5.50%**, the **highest in over 22 years**, in response to decelerating but persistent inflation[243](index=243&type=chunk) - **Fears of a U.S. economic recession have softened but remain**, with a **54% chance estimated by economists** for the next twelve months[244](index=244&type=chunk) - **Single-family home prices decreased 1.7% year-over-year** in April 2023, and **existing home sales were down 18.9% year-over-year** in June 2023, with the **median price declining 0.9%** from June 2022[245](index=245&type=chunk) - **Multi-family housing starts averaged 505,333 units (annualized) in Q2 2023**, with **rents growing slower than in 2022**, and **over 1 million apartment units under construction nationally**[246](index=246&type=chunk) - The **Treasury curve remained inverted in Q2 2023**, with the **2-Year/10-Year spread closing at negative 106 basis points**, indicating potential near-term recession[249](index=249&type=chunk) - The **Federal Reserve continued shrinking its balance sheet**, reducing holdings of U.S. Treasuries and Agency RMBS by **$95 billion monthly**, which could drive prices lower and interest rates higher in the Agency RMBS market[250](index=250&type=chunk) - The **transition from LIBOR to SOFR has been strong**, with **LIBOR publication ceasing for most tenors on June 30, 2023**, and the **Company continues to monitor and integrate the new rate**[253](index=253&type=chunk) [Second Quarter 2023 Summary](index=84&type=section&id=Second%20Quarter%202023%20Summary) This summary highlights key financial results and significant investing and financing activities for the second quarter of 2023 | (Dollar amounts in thousands, except per share data) | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | | :--------------------------------------------------- | :------------------------------- | :----------------------------- | | Net loss attributable to Company's common stockholders | $(37,202) | $(26,681) | | Net loss attributable to Company's common stockholders per share (basic) | $(0.41) | $(0.29) | | Undepreciated loss | $(35,022) | $(22,381) | | Undepreciated loss per common share | $(0.38) | $(0.25) | | Comprehensive loss attributable to Company's common stockholders | $(37,585) | $(26,473) | | Comprehensive loss attributable to Company's common stockholders per share (basic) | $(0.41) | $(0.29) | | Yield on average interest earning assets | 6.07 % | 6.15 % | | Net interest income | $15,136 | $32,937 | | Net interest spread | 0.48 % | 0.45 % | | Book value per common share at the end of the period | $12.44 | $12.44 | | Adjusted book value per common share at the end of the period | $14.32 | $14.32 | | Economic return on book value | (1.62)% | (0.98)% | | Economic return on adjusted book value | (5.13)% | (5.48)% | | Dividends per common share | $0.30 | $0.70 | - **Key investing activities in Q2 2023 included purchasing $545.6 million of Agency RMBS** and **$106.3 million in residential loans**, receiving **$33.7 million from Mezzanine Lending redemptions**, and **selling four multi-family properties for $38 million net equity**[257](index=257&type=chunk) - **Key financing activities in Q2 2023 included repurchasing 37,863 shares of preferred stock for $18.88/share** and **obtaining $76.5 million in financing for single-family rental properties**[257](index=257&type=chunk) [Capital Allocation](index=85&type=section&id=Capital%20Allocation) This section details how the company allocates its capital across various investment assets and manages its leverage ratios | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Total investment portfolio carrying value | $4,016,053 | $3,795,428 | | Net Company capital allocated | $1,690,712 | $1,767,216 | | Company Recourse Leverage Ratio | 0.7x | 0.3x | | Portfolio Recourse Leverage Ratio | 0.6x | 0.3x | - The **Company's Recourse Leverage Ratio increased from 0.3x** at December 31, 2022, to **0.7x** at June 30, 2023, and the **Portfolio Recourse Leverage Ratio increased from 0.3x to 0.6x**[260](index=260&type=chunk)[261](index=261&type=chunk) - As of June 30, 2023, **single-family assets comprised $3.39 billion** of the investment portfolio, **multi-family assets $605.30 million**, and **corporate/other $25.00 million**[260](index=260&type=chunk) [Results of Operations](index=87&type=section&id=Results%20of%20Operations) This section provides a detailed analysis of the company's net interest income, non-interest income, expenses, and net loss | (Dollar amounts in thousands, except per share data) | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--------------------------------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Net interest income | $15,136 | $39,280 | $32,937 | $76,316 | | Total non-interest income (loss) | $25,522 | $(20,233) | $92,351 | $(67,019) | | Total general, administrative and operating expenses | $71,496 | $109,775 | $141,949 | $188,768 | | Net loss attributable to Company's common stockholders | $(37,202) | $(82,389) | $(26,681) | $(166,732) | | Basic loss per common share | $(0.41) | $(0.86) | $(0.29) | $(1.75) | - **Net interest income decreased by $24.14 million** (QoQ) and **$43.38 million** (YoY) due to lower interest income from business purpose loan paydowns and higher interest expense from increased financing costs[265](index=265&type=chunk) - **Total non-interest income (loss) improved significantly, shifting from a loss of ($20.23 million)** to an **income of $25.52 million** (QoQ) and from a loss of **($67.02 million)** to an **income of $92.35 million** (YoY)[264](index=264&type=chunk) - **Net loss attributable to common stockholders decreased by $45.19 million** (QoQ) and **$140.05 million** (YoY)[264](index=264&type=chunk) [Non-GAAP Financial Measures](index=94&type=section&id=Non-GAAP%20Financial%20Measures) This section presents and reconciles non-GAAP financial measures used by management to assess performance and provide supplemental investor information - The **Company uses non-GAAP financial measures** (adjusted interest income, adjusted interest expense, adjusted net interest income, yield on average interest earning assets, average financing cost, net interest spread, undepreciated loss, and adjusted book value per common share) to provide supplemental information for investors and management[284](index=284&type=chunk)[287](index=287&type=chunk) | (Dollar amounts in thousands) | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | | :---------------------------- | :------------------------------- | :----------------------------- | | Adjusted Net Interest Income | $16,600 | $34,467 | | Yield on Average Interest Earning Assets | 6.07 % | 6.15 % | | Average Financing Cost | (5.59)% | (5.70)% | | Net Interest Spread | 0.48 % | 0.45 % | - **Adjusted net interest income decreased by $22.68 million** (QoQ) and **$41.85 million** (YoY) for the three and six months ended June 30, 2023, respectively, primarily due to **decreased yield on average interest earning assets** and **increased financing costs**[295](index=295&type=chunk) | (Amounts in thousands, except per share data) | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | | :-------------------------------------------- | :------------------------------- | :----------------------------- | | Undepreciated loss | $(35,022) | $(22,381) | | Undepreciated loss per common share | $(0.38) | $(0.25) | - **Adjusted book value per common share is calculated by adjusting GAAP book value to exclude cumulative depreciation and lease intangible amortization, cumulative adjustment of redeemable non-controlling interests, and to adjust certain liabilities to fair value**[301](index=301&type=chunk)[302](index=302&type=chunk)[303](index=303&type=chunk) | (Amounts in thousands, except per share data) | June 30, 2023 | December 31, 2022 | | :-------------------------------------------- | :------------ | :---------------- | | GAAP book value per common share | $12.44 | $13.27 | | Adjusted book value per common share | $14.32 | $15.89 | [Balance Sheet Analysis](index=102&type=section&id=Balance%20Sheet%20Analysis) This section analyzes the company's balance sheet components, including assets, liabilities, and equity, and their changes over time - **Total assets were approximately $6.3 billion** as of June 30, 2023, including **$793.0 million in Consolidated SLST assets** and **$1.5 billion in consolidated multi-family equity investments**[312](index=312&type=chunk) | (Dollar amounts in thousands) | June 30, 2023 | December 31, 2022 | | :---------------------------- | :------------ | :---------------- | | Acquired residential loans | $2,346,843 | $2,697,498 | | Consolidated SLST | $789,969 | $827,582 | | **Total Residential Loans** | **$3,136,812** | **$3,525,080** | - **Acquired residential loans decreased from $2.70 billion** to **$2.35 billion**, with **business purpose bridge loans showing the largest decline**[316](index=316&type=chunk) - The **delinquency status of acquired residential loans showed 9.9% were 90+ days delinquent** as of June 30, 2023, up from **5.4%** at December 31, 2022[317](index=317&type=chunk) - The **Mezzanine Lending portfolio totaled $241.18 million** (fair value) at June 30, 2023, with a **weighted average preferred return rate of 12.22%** and **remaining life of 4.0 years**[331](index=331&type=chunk) - **Net equity investments in consolidated multi-family properties and disposal group held for sale totaled $333.73 million** at June 30, 2023, down from **$388.77 million** at December 31, 2022[335](index=335&type=chunk)[337](index=337&type=chunk) - The **investment securities portfolio increased to $904.28 million** at June 30, 2023, from **$291.09 million** at December 31, 2022, primarily due to **Agency RMBS purchases**[345](index=345&type=chunk)[346](index=346&type=chunk)[347](index=347&type=chunk) - **Repurchase agreements for investment securities increased to $664.46 million** at June 30, 2023, from **$50.08 million** at December 31, 2022[350](index=350&type=chunk) - The **Company's debt included $100.0 million in Senior Unsecured Notes** and **$45.0 million in Subordinated Debentures** as of June 30, 2023[357](index=357&type=chunk)[358](index=358&type=chunk) [Liquidity and Capital Resources](index=121&type=section&id=Liquidity%20and%20Capital%20Resources) This section discusses the company's ability to meet its short-term and long-term financial obligations and fund its operations - The Company's **short-term and long-term liquidity needs are met by existing cash, investment cash flows, asset sales, securities offerings, and collateralized financing**[361](index=361&type=chunk) - The **Company reduced financings subject to mark-to-market margin calls by 69%** from December 31, 2019, resulting in a **portfolio recourse leverage ratio of 0.6 times** at June 30, 2023[362](index=362&type=chunk) - As of June 30, 2023, the Company had **$232.5 million in cash and cash equivalents**, **$205.4 million in unencumbered investment securities**, **$245.9 million in unencumbered residential loans**, and **$241.2 million in unencumbered preferred equity investments**[363](index=363&type=chunk) - **Net cash, cash equivalents, and restricted cash decreased by $35.5 million** during H1 2023[366](index=366&type=chunk) - **Net cash used in operating activities was $11.5 million**, **net cash used in investing activities was $64.2 million**, and **net cash provided by financing activities was $40.2 million** for H1 2023[367](index=367&type=chunk)[368](index=368&type=chunk)[371](index=371&type=chunk) [Item 3. Quantitative and Qualitative Disclosures about Market Risk](index=126&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section details the company's exposure to market risks: interest rate, liquidity, prepayment, credit, fair value, and capital market [Interest Rate Risk](index=126&type=section&id=Interest%20Rate%20Risk) This section describes how changes in interest rates impact the value of assets, borrowings, and hedging instruments, affecting net interest income - **Changes in interest rates affect the value of assets, variable-rate borrowings, and hedging instruments, directly impacting net interest income**[395](index=395&type=chunk) - The **re-pricing of repurchase agreements generally occurs faster than that of residential loans or RMBS, creating interest rate sensitivity**[396](index=396&type=chunk) | Changes in Interest Rates (basis points) | Changes in Adjusted Net Interest Income (in thousands) | | :--------------------------------------- | :------------------------------------- | | +200 | $(24,175) | | +100 | $(12,230) | | -100 | $9,553 | | -200 | $19,978 | - The **Company manages interest rate risk using interest rate caps, swaps, swaptions, futures, options on futures, and U.S. Treasury securities**[397](index=397&type=chunk) - The **transition from LIBOR to SOFR is being closely monitored**, with most USD LIBOR tenors ceasing publication on June 30, 2023[400](index=400&type=chunk) [Liquidity Risk](index=127&type=section&id=Liquidity%20Risk) This section addresses the risk of financing long-maturity assets with shorter-term funding and the potential for margin calls - **Primary liquidity risk arises from financing long-maturity assets with shorter-term financings**, managed by daily forecasting of liquidity needs and sources[402](index=402&type=chunk) - The Company is exposed to **'margin call' risk on repurchase agreements and derivative financial instruments**, which could adversely affect liquidity[403](index=403&type=chunk)[405](index=405&type=chunk) - Following unprecedented illiquidity in March 2020, the Company emphasizes **longer-termed and/or more committed financing arrangements** to mitigate rapid liquidity reductions[404](index=404&type=chunk) [Prepayment Risk](index=128&type=section&id=Prepayment%20Risk) This section explains the risk associated with borrowers repaying loans faster or slower than expected, impacting asset yields - **Prepayment risk arises when borrowers repay residential loans faster than expected, shortening interest earning periods and potentially reducing yields on premium-purchased assets or increasing yields on discount-purchased assets**[406](index=406&type=chunk) - **Increased prepayments in a declining interest rate environment can accelerate capital redeployment to lower-yielding investments**, while **decreased prepayments in rising rates can slow redeployment to higher-yielding investments**[406](index=406&type=chunk) - The **Company mitigates prepayment risk by continuously evaluating residential mortgage assets, stress-testing the portfolio, and adjusting hedge balances**[409](index=409&type=chunk) [Credit Risk](index=128&type=section&id=Credit%20Risk) This section discusses the risk of principal loss on credit-sensitive assets due to borrower defaults and how it is managed - **Credit risk is the risk of not fully collecting principal on credit-sensitive assets due to borrower or operating partner defaults**[410](index=410&type=chunk) - Current inflationary pressures and a possible economic recession may **increase credit risk**, leading to **higher delinquencies, defaults, and requests for forbearance**[412](index=412&type=chunk) - The **Company manages credit risk through pre-acquisition due diligence, factoring projected losses into purchase prices, and ongoing monitoring of underlying collateral and operating partner performance**[411](index=411&type=chunk)[413](index=413&type=chunk)[414](index=414&type=chunk) [Fair Value Risk](index=130&type=section&id=Fair%20Value%20Risk) This

16 Single-Family Outstanding Loan Count: 1,472 | --- | --- | --- | --- | |-----------|----------------------------------------|------------|----------| | Avg. FICO | Loan Key Characteristics \nAvg. Coupon | Avg. LTARV | Avg. LTC | | 731 | 8.75% | 65% | 70% | | --- | --- | --- | |--------|-------------------------|---------------| | DQ 60+ | Original Term (months) | WALA (months) | | 22% | 16.0 | 15.4 | Performing DQ 60+ *Does not include principal repayments. Single-Family Loan Count: 1,472 UPB ($MM): $933 ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _______ to ____________ Commission file number 001-32216 NEW YORK MORTGAGE TRUST, INC. (Exact Name of Registrant as Specified in Its Charter) Table of Contents (State or O ...