NEW YORK MTG(NYMTL) - 2023 Q2 - Quarterly Report

Investment Portfolio - The total investment portfolio increased to approximately $4.6 billion as of June 30, 2022, up from $3.6 billion as of December 31, 2021[218]. - As of June 30, 2023, the total investment portfolio was valued at $4,013,260,000, reflecting an increase of $254,231,000 from March 31, 2023[224]. - The total investment portfolio carrying value as of June 30, 2023, was $4,016,053 thousand[249]. - The total investment portfolio carrying value was $3.80 billion as of December 31, 2022[250]. - The company acquired $663,920,000 in new investments during the second quarter of 2023, while experiencing repayments of $358,286,000[224]. Financial Performance - As of June 30, 2023, the net loss attributable to the company's common stockholders was $37,202 thousand, with a loss per share of $0.41[243]. - The company reported interest income of $57,540 thousand and interest expense of $42,404 thousand for the three months ended June 30, 2023, resulting in a net interest income of $15,136 thousand[243]. - The economic return on book value was (1.62)% for the three months ended June 30, 2023[243]. - Interest income for Q2 2023 decreased to $57.54 million from $68.02 million in Q2 2022, a decline of $10.48 million[252]. - Net interest income fell to $15.14 million in Q2 2023, down from $39.28 million in Q2 2022, a decrease of $24.14 million[252]. Market Conditions - The U.S. GDP grew at an annualized rate of 2.4% in Q2 2023, compared to 2.0% in Q1 2023, marking four consecutive quarters of growth[229]. - The unemployment rate in the U.S. was 3.6% at the end of June 2023, slightly up from 3.5% in March 2023[230]. - The Federal Reserve raised the federal funds rate by 0.25% in July 2023, bringing the target range to 5.25% to 5.50%, the highest level in over 22 years[231]. - Home prices decreased by 1.7% year-over-year for the 20-City Composite as of April 2023, indicating a downward trend in the residential market[233]. - The average 30-year fixed-rate mortgage increased to 6.78% as of July 20, 2023, up 1.24% year-over-year, contributing to downward pressure on home prices[233]. Asset Management Strategy - The company plans to focus on acquiring assets with less price sensitivity to credit deterioration, such as Agency RMBS, while remaining selective in single-family and multi-family residential credit assets[222]. - The company expects to continue opportunistically disposing of assets from its portfolio to generate higher turnover and pursue investments in the residential housing sector[222]. - The strategic repositioning includes reallocating capital from disposed multi-family joint venture properties to targeted assets[219]. - The company remains committed to managing liabilities prudently while navigating expected volatile market conditions[222]. Risk Factors - Credit risk is heightened due to potential increases in delinquencies and defaults amid current inflationary pressures and a possible economic recession[389]. - Fair value risk has significantly increased due to changes in interest rates and market conditions, with minor changes in assumptions potentially leading to material effects on estimated fair values[393]. - The company faces potential negative impacts on net interest income and asset fair value due to interest rate volatility, which has been significant throughout 2022 and the first half of 2023[378]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[379]. Capital Structure - The company reported a stockholders' equity of $1,690.7 million as of June 30, 2023, down from $1,767.2 million on December 31, 2022, reflecting a decrease of approximately 4.3%[339]. - The company's recourse leverage ratio was approximately 0.7 to 1, while the portfolio recourse leverage ratio was approximately 0.6 to 1 as of June 30, 2023[356]. - The carrying value of the company's longer-term debt, including residential loan securitization CDOs, was $1.4 billion as of June 30, 2023[354]. - The Company had repurchase agreements with a maximum principal amount of $1,975,000,000 as of June 30, 2023, with a weighted average interest rate of 7.57%[306]. Real Estate Performance - The average occupancy rate for consolidated multi-family properties not in the disposal group held for sale was 91.8% as of June 30, 2023[322]. - The average rent per unit for consolidated multi-family properties not in the disposal group held for sale was $1,469, with an average LTV of 79.6%[322]. - The company recognized impairment losses of $16,864 thousand on certain multi-family real estate assets during the three months ended June 30, 2023[259]. - Net loss from real estate attributable to the company improved by $14,959 thousand (51.4%) to a loss of $14,155 thousand for the three months ended June 30, 2023, compared to a loss of $29,114 thousand in 2022[264].