NEW YORK MTG(NYMTL) - 2024 Q1 - Quarterly Report

Investment Portfolio Performance - The total investment portfolio increased to $5,348,306, up from $5,143,236 as of December 31, 2023, reflecting an increase of approximately 4%[234] - Agency RMBS holdings rose to $2,217,485, a growth of 11.5% from $1,989,324 at the end of 2023[234] - The company acquired $608,174 in new investments during the three months ended March 31, 2024[234] - Prepayments and redemptions totaled $262,231, indicating active portfolio management[234] - 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, reflecting a growth of about 28%[238] - The Company experienced a net investment portfolio increase of approximately $1.3 billion during 2023 and $205.1 million in the first quarter of 2024[238] - As of March 31, 2024, the total investment portfolio carrying value was $5,352,566, with residential loans accounting for $3,103,105 and investment securities available for sale at $2,241,340[263] - The total acquired residential loans increased to $3,103,105 as of March 31, 2024, from $3,084,303 as of December 31, 2023, marking a growth of approximately 0.6%[311] Financial Performance - For the three months ended March 31, 2024, the net loss attributable to the company's common stockholders was $68,340, or $0.75 per share[259] - The yield on average interest-earning assets was 6.38%, with interest income of $83,892 and interest expense of $66,029, resulting in a net interest income of $17,863[259] - Adjusted interest income increased by more than 50% compared to the same period last year, indicating strong momentum in portfolio acquisition activities[238] - The economic return on book value for the period was -7.96%, while the economic return on adjusted book value was -7.50%[259] - The Company reported a net loss from real estate of $16,369 for the three months ended March 31, 2024, compared to a loss of $8,951 in 2023, indicating an increase of $7,418[272] - The Company recognized $49,211 in total gains on derivative instruments for the three months ended March 31, 2024, compared to a loss of $4,362 in 2023, marking an increase of $53,573[275] - The total other (loss) income for the three months ended March 31, 2024, was a loss of $57,323, compared to an income of $25,081 in 2023, indicating a change of $82,404[270] - The Company’s basic loss per common share for the three months ended March 31, 2024, was $(0.75), down from a profit of $0.12 in 2023, reflecting a change of $(0.87)[270] Market Conditions and Economic Indicators - The U.S. GDP grew at an annualized rate of 1.6% in the first quarter of 2024, marking seven consecutive quarters of growth[246] - The unemployment rate was 3.8% at the end of March 2024, slightly up from 3.7% at the end of December 2023, with average hourly earnings rising 4.1% year-over-year[247] - Home prices increased by 6.6% for the 20-City Composite over January 2023, while existing home sales in March 2024 were down 4.3% month-over-month[250] - The Federal Reserve raised the target range for the federal funds rate by a total of 5.25% from March 2022 through July 2023, the highest level in over 22 years[248] Risk Management - The company continues to face risks related to market volatility, interest rates, and credit spreads, which could impact future performance[229] - The company is exposed to risks from derivative financial instruments, including interest rate swaps and credit default swaps, to manage its financial risks[352] - Credit risk is heightened due to current inflationary pressures, potentially leading to increased delinquencies and defaults[409] - The company conducts thorough due diligence on credit-sensitive assets to mitigate credit risk and assess potential defaults[408] Liquidity and Capital Management - The company has maintained its REIT status, which allows it to avoid federal income tax on distributed taxable income[237] - The company emphasizes the importance of non-GAAP financial measures to evaluate performance and trends, which may not be comparable to other companies[287] - Liquidity management is critical, with the company emphasizing the need for long-term financing arrangements to avoid unplanned asset sales[400] - The company faces margin call risks on repurchase agreements, which could adversely affect its liquidity position if asset values decline[401] Investment Strategy - The company aims to deliver long-term stable distributions through a diversified investment portfolio, focusing on mortgage-related assets[236] - The investment strategy includes a repositioning towards targeted assets, particularly in single-family residential loans[234] - The company plans to continue disposing of assets from its portfolio to pursue investments in the residential housing sector, focusing on acquiring assets with less price sensitivity to credit deterioration[363] Joint Ventures and Equity Investments - Joint venture entities sold five multi-family properties in 2023, representing total net equity investments of $43.2 million, with a net gain of $1.7 million attributable to the Company[239] - The Company's net equity in consolidated joint venture equity investments totaled $197.7 million as of March 31, 2024, compared to $236.3 million as of December 31, 2023[341] - The Company's net equity investment in consolidated multi-family properties was $189.5 million as of March 31, 2024, down from $211.2 million as of December 31, 2023[345] Asset Management - The company has repurchase agreements with a maximum outstanding balance of $456,038 as of March 31, 2024, down from $611,055 at the end of 2023[320] - The company purchased approximately $297.6 million of Agency RMBS with an average coupon of 5.8% and approximately $305.7 million in residential loans with an average gross coupon of 10.7%[261] - The company’s mezzanine lending strategy includes preferred equity and mezzanine loans secured by multi-family real estate assets[332] - The weighted average loan-to-value (LTV) ratio for multi-family properties not in the disposal group is 78.8%, with the highest LTV in Collierville, TN at 87.5%[349]