```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 ...

New York Mortgage Trust, Inc. (NASDAQ:NYMT) Q1 2023 Earnings Conference Call May 4, 2023 9:00 AM ET Company Participants Jason Serrano - Chief Executive Officer Kristine Nario - Chief Financial Officer Nick Mah - President Conference Call Participants Doug Harter - Credit Suisse Eric Hagen - BTIG Operator Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust First Quarter 2023 Financial Results Conference Call. During today's presentation, all parties will ...

Multi-Family Portfolio Overview 19 Property Operating Update • In 2022, 32% of Mezzanine Lending investments prepaid. 1. Excludes properties that are under construction. 2. Not Applicable as the underlying property is under construction. See Glossary and End Notes in the Appendix. | --- | --- | --- | --- | |-------|--------------------------------------------------------------------------|-------|-------| | | | | | | | Utilize a Strong Balance Sheet to Capture Opportunity: | | | | • | Maximize liquidity wit ...

Investment Portfolio - As of December 31, 2022, the company owned $260.1 million in non-Agency RMBS, which are collateralized by residential credit assets[31]. - The company owned 491 single-family rental properties, primarily located in Illinois and Maryland, as of December 31, 2022[33]. - The company held approximately $137.7 million of preferred equity interests in a joint venture owning 13 multi-family properties across seven states as of December 31, 2022[43]. - The company’s investments in multi-family CMBS included first loss PO securities, which represented 7.5% of the overall securitization totaling approximately $1.0 billion in multi-family residential loans[45]. - Approximately 17.4% of the total investment portfolio represented direct or indirect investments in multi-family properties as of December 31, 2022[111]. - As of December 31, 2022, approximately 78.0% of the total investment portfolio was comprised of residential loans and non-Agency RMBS[112]. - As of December 31, 2022, 100% of the total investment portfolio was comprised of "credit assets"[101]. - The company holds $388.8 million in joint venture equity interests in multi-family properties, representing approximately 10.2% of its total investment portfolio as of December 31, 2022[146]. Leverage and Financing - The company has historically employed leverage through repurchase agreements in managing its Agency RMBS portfolio[32]. - The company’s recourse leverage ratio was approximately 0.3 to 1, indicating a conservative use of debt relative to equity[53]. - The company targets maximum leverage ratios of 8:1 for liquid Agency securities and between 4:1 and 6:1 for illiquid assets, with a total debt leverage ratio not exceeding 3:1[52]. - The company completed nine non-recourse securitizations and three non-mark-to-market repurchase agreement financings since Q1 2020, enhancing its financing strategy[51]. - The company has entered into three repurchase agreements with an aggregate outstanding balance of $446.8 million as of December 31, 2022, which are not subject to margin calls[57]. - The company utilizes leverage through various forms of debt, which can exacerbate losses and reduce cash available for distribution to stockholders[172]. - The company has historically used leverage to enhance returns, but current market volatility may limit its ability to leverage assets, potentially diminishing returns and distributions to stockholders[174]. - The company utilizes non-recourse securitizations and structured financings, which expose it to risks that could result in losses and affect its ability to finance assets[175]. Risk Factors - The company faces risks from changes in interest rates, credit spreads, and market volatility, which could impact asset values and financial performance[88]. - The company may experience increased volatility in GAAP results due to the fair value option elected for most investments[92]. - Risks include potential losses from inaccurate estimates of loss-adjusted yields and the impact of economic downturns on asset performance[92]. - The company is subject to extensive regulation, and failure to comply with REIT requirements could adversely affect operations and liquidity[94]. - Changes in government policies and economic conditions, including the impact of COVID-19, may affect the company's business and market conditions[94]. - The planned discontinuation of LIBOR and transition to alternative reference rates may adversely impact the company's borrowings and assets[94]. - The company faces risks related to credit-sensitive assets, including potential inaccuracies in loss-adjusted yield estimates[104]. - Residential loans are subject to increased risks of loss, particularly as they are not guaranteed by the federal government or any GSE[113]. - Business purpose loans are directly exposed to losses from default and foreclosure, with potential liquidation proceeds insufficient to recover the cost basis in the loan[117]. - Economic disruptions may lead to increased delinquencies and defaults, adversely affecting net interest income and earnings[190]. Compliance and Regulation - The company is structured as a REIT and is generally not subject to U.S. federal income tax on distributed taxable income, but failure to qualify as a REIT could adversely impact operations and distributions[78]. - Subsidiaries investing in residential mortgage loans rely on an exemption under the Investment Company Act, requiring at least 55% of assets to be qualifying real estate assets[80]. - The company must maintain compliance with the Investment Company Act to avoid significant operational changes or asset sales that could negatively affect stock value and business sustainability[79]. - The company is required to distribute at least 90% of its REIT taxable income to avoid corporate income tax, which could impact liquidity[215]. - If the company fails to qualify as a REIT, it would be subject to U.S. federal income tax at regular corporate rates, potentially requiring asset liquidation or borrowing[213]. - The company’s investments in repurchase agreements may be challenged by the IRS, potentially affecting REIT qualification[223]. - The company’s mezzanine loans may not meet IRS requirements for qualifying real estate assets, posing a risk to REIT status[224]. Workforce and Diversity - The company has a fully flexible workplace policy adopted in 2022, allowing employees to choose their work environment[70]. - As of December 31, 2022, women comprised 24% of the workforce, and 30% identified as ethnically diverse, reflecting the company's commitment to diversity[68]. - The company has not laid off or furloughed any employees due to the COVID-19 pandemic, maintaining workforce stability[71]. Market Conditions and Economic Impact - The company anticipates that increases in interest rates will generally decrease net income and the market value of the investment portfolio[98]. - Rising interest rates may reduce the availability of targeted assets and increase interest expenses, adversely affecting earnings and distributions[105]. - The company’s portfolio may be concentrated in certain asset types, increasing exposure to economic downturns and risks associated with the real estate and lending industries[110]. - Competition in the market for investment opportunities has increased, leading to reduced levels of investment and negatively impacting net earnings during periods of high demand[156]. - Government actions in response to the COVID-19 pandemic and inflation may create volatility and uncertainty in financial markets, impacting the company's operations[191]. - The uncertainty surrounding U.S. government policies and regulations has increased macroeconomic and political risks, potentially impacting the company's financial condition and operations[192]. Asset Management and Valuation - The company’s valuation models may be based on incomplete information, exposing it to risks if assumptions prove inaccurate[151]. - The company’s fair value determinations of assets may differ from market realizations, potentially affecting its financial condition and results of operations[152]. - The company's investments in residential loans are challenging to value, particularly for re-performing loans (RPLs) and non-performing loans (NPLs), which could adversely affect liquidity and operational results[153]. - The ability to sell RPLs for profit is contingent on borrowers continuing to make payments; a shift to NPLs could reduce earnings[153]. - Changes in prepayment rates can adversely affect the performance of the company's assets, impacting income and cash flows[124]. Cybersecurity and Operational Risks - Cybersecurity and data security are critical, as breaches could harm reputation and materially impact financial results; the company has implemented measures to protect sensitive information[157]. - The company is highly dependent on information systems, and any operational disruptions could adversely affect business and financial condition[163]. - Access to financing sources may be limited, particularly during market volatility, which could adversely affect operations and ability to distribute to stockholders[165].

Financial Data and Key Metrics Changes - The company reported an undepreciated loss per share of $0.12 in Q4 2022, an improvement of over 50% compared to a loss of $0.27 in Q3 2022 [11] - Adjusted book value per share ended at $3.97, down 4.8% from September 30, translating to a negative 2.4% economic return on adjusted book value during the quarter [59][28] - Net interest income was $22.2 million, contributing $0.06 per share, down from $0.08 per share in the previous quarter [30] Business Line Data and Key Metrics Changes - The company significantly reduced its investment activity, with Q4 2022 acquisitions at $106 million, 89% lower than the peak in Q2 2022 [66] - The bridge loan portfolio experienced an increase in delinquencies from 8% to 13.5%, attributed to the late-stage cycle of the portfolio [72] - The multifamily portfolio saw rental growth of 11% in 2022, with stable occupancy at 93% [78] Market Data and Key Metrics Changes - U.S. mortgage rates more than doubled from the mid-3% range to above 7% in 2022, leading to a significant increase in housing expense to income, now approximately 35% higher than last year [7] - The company noted that housing affordability is at a critical level, impacting new home buyers and leading to potential home price declines of 20% to 25% in certain markets [7] Company Strategy and Development Direction - The company is focusing on a low-cost platform and aims to obtain additional savings in 2023, with a deliberate approach to managing costs [2] - The strategy includes avoiding significant losses by not tying up capital in long-term losing propositions and instead waiting for better entry points in the market [6] - The company plans to utilize its strong liquidity and low-cost structure to remain selective in the residential housing sector, anticipating a buyer's market [81] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about increasing delinquencies across various asset classes, particularly for loans originated over the past 18 months to low FICO score borrowers [19] - The company anticipates that consumption challenges will significantly weigh on GDP in 2023, with a tight relationship between existing home supply and home price appreciation [19] - Management remains optimistic about the potential for portfolio growth and higher earnings through strategic asset management and investment in distressed opportunities [10][26] Other Important Information - The company reduced its leverage ratio to 0.3 times and ended the quarter with $224 million in cash [9] - The company has a clear path to drive EPS higher without diluting shareholders through equity raises, focusing on asset-based financing [22] Q&A Session Summary Question: Update on monetizing JV multifamily assets - Management is actively exploring various options for monetizing 19 assets, with traction noted despite a quiet market in December and January [87] Question: Thoughts on dividend policy and earnings outlook - The company evaluates its dividend policy quarterly, considering a 12 to 18-month forecast based on interest income and realized capital gains [91] Question: Rationale behind debt repurchases - Management sees opportunities to repurchase debt at discounts, which is accretive and provides greater flexibility for future transactions [96]

New York Mortgage Trust 2022 Fourth Quarter Financial Summary This presentation contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations are subject to risks and uncertainties and can change as a result of many ...

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, 2022 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 ...

Financial Data and Key Metrics Changes - The company reported an undepreciated loss per share of $0.27 and an undepreciated book value decline of 8.3%, ending the third quarter at $3.89 [8][15] - The fair value changes related to the investment portfolio resulted in $128.1 million or $0.34 per share of unrealized losses due to increased interest rates and credit spread widening [21] - The company paid a $0.10 per common share dividend, unchanged from the prior quarter, with adjusted net interest income contributing $0.08 per share [18][19] Business Line Data and Key Metrics Changes - The company recognized $14 million of realized gains from property sales and $20.6 million from investment securities during the quarter [20] - Investment activity was significantly reduced, with only $119 million invested in the third quarter, primarily from previous loans [35] - The company completed a securitization of residential loans, reducing recourse leverage ratios to 0.5x and 0.4x [16][39] Market Data and Key Metrics Changes - The U.S. housing market is experiencing a slowdown, with new and existing home sales trailing below 2019 levels due to rising mortgage payments [24] - The yield on the two-year treasury increased to 4.22%, a rise of 349 basis points from the previous year, contributing to market volatility [6] - The company noted a significant discount in the single-family rental market, with prices reflecting a 15% to 30% discount to current values [33] Company Strategy and Development Direction - The company is focused on monetizing the value from multifamily property acquisitions and is actively considering opportunities to sell consolidated joint venture investments [11][23] - The strategy includes maintaining a nimble and liquid portfolio to navigate market volatility while seeking attractive investment opportunities [7][30] - The company plans to remain exposed to multifamily through mezzanine lending, recognizing better opportunities in this space [65] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns over rising interest rates and potential recession risks impacting the economic environment [5] - The company anticipates continued market volatility through year-end and into 2023, with a focus on capitalizing on dislocated market opportunities [29][100] - Management emphasized the importance of patience in capital deployment, waiting for favorable market conditions before making significant investments [32][104] Other Important Information - The company has $178 million remaining in its buyback authorization, which may be utilized if share prices remain low [79] - The company has a strong liquidity position with $369 million in cash, allowing it to manage margin call risks effectively [40][112] Q&A Session Summary Question: What is the pacing of future JV equity transactions? - The company is engaged in several property sales, but the pace is uncertain due to market conditions [57] Question: What are the expected returns on JV exits? - Returns may vary, but the market's stability due to agency financing supports low cap rates [59] Question: Is the plan to remain exposed to multifamily through mezz-lending? - Yes, the company sees better opportunities in mezzanine lending due to lower senior lending advance rates [65] Question: How is the company balancing stock buybacks and liquidity? - The company is currently prioritizing share buybacks due to attractive pricing while maintaining liquidity for future investments [74][78] Question: What is the dividend outlook? - The company believes it can support the current dividend based on net interest income and potential liquidations [81] Question: What is the quarterly operating expense run rate post-asset sales? - Operating expenses will decrease significantly due to reduced depreciation and amortization on sold assets [88]