NEW YORK MORTGAG(US:NYMTZ)2023-08-04 20:39Investment 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 increased to $4,013,260, up from $3,759,029 as of March 31, 2023, reflecting a growth of approximately 6.7%[224]. - The total investment portfolio carrying value as of June 30, 2023, was $4,016,053 thousand, with residential loans comprising $3,136,812 thousand[249]. - The company purchased approximately $545.6 million of Agency RMBS and $106.3 million in residential loans during the second quarter of 2023[246]. - The company has curtailed investment activity due to extreme interest rate volatility and credit spread widening, resulting from the Federal Reserve's actions[218]. 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]. - 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]. - The economic return on book value for the six months ended June 30, 2023, was -0.98%[243]. Leverage and Liquidity - As of June 30, 2023, the Recourse Leverage Ratio and Portfolio Recourse Leverage Ratio increased to 0.70x and 0.60x, respectively, from 0.40x and 0.30x as of March 31, 2023[221]. - The company aims to enhance liquidity and strengthen its balance sheet amid increased market volatility and potential recession risks[218]. - The company anticipates modestly higher leverage as it expands its holdings of Agency RMBS while emphasizing longer-term financing arrangements[221]. - The company reported a recourse leverage ratio of approximately 0.7 to 1 and a portfolio recourse leverage ratio of approximately 0.6 to 1 as of June 30, 2023[356]. - The company plans to maintain a solid position in unrestricted cash and prudently manage its liabilities while pursuing investments in the residential housing sector[342]. Market Conditions - The U.S. GDP grew at an annualized rate of 2.4% in Q2 2023, marking four consecutive quarters of growth, compared to a contraction of 0.6% in Q2 2022[229]. - The unemployment rate was 3.6% at the end of June 2023, slightly up from 3.5% in March 2023, with 9.8 million job openings available[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, with existing home sales down 18.9% year-over-year in June 2023[233]. - The average 30-year fixed-rate mortgage rose to 6.78% as of July 20, 2023, up 1.24% year-over-year, contributing to downward pressure on home prices[233]. Asset Management - The company is repositioning its business by disposing of joint venture equity investments in multi-family properties to focus on targeted assets[225]. - The company expects to continue to opportunistically dispose of assets, including joint venture equity investments, to pursue less price-sensitive investments like Agency RMBS[222]. - The company has reallocated capital away from multi-family properties, classifying certain joint venture equity investments as held for sale[317]. - The company is committed to managing liabilities prudently while remaining selective in acquiring residential credit assets[222]. - 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]. Risks - Credit risk is heightened due to current inflationary pressures and potential economic recession, which may lead to increased delinquencies and defaults on credit-sensitive assets[389]. - Fair value risk has significantly increased due to changes in interest rates, market liquidity, and credit quality, with minor changes in assumptions potentially having a material effect on fair value estimates[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]. - Prepayment risk is present as borrowers may repay loans faster than scheduled, affecting yield on residential mortgage assets purchased at a premium[383]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[379]. Stockholder Information - The company repurchased 37,863 shares of preferred stock at an average price of $18.88 per share[246]. - The company repurchased 377,508 shares of common stock for a total cost of approximately $3.6 million during the six months ended June 30, 2023, with an average repurchase price of $9.56 per common share[363]. - Dividends declared for the three months ended June 30, 2023, amounted to $27,842 thousand, resulting in a per share impact of $(0.30)[269]. - The company's stockholders' equity decreased from $1,767.2 million on December 31, 2022, to $1,690.7 million on June 30, 2023[339]. - GAAP book value for common stock decreased to $1,135,013 thousand with a per share value of $12.44 as of June 30, 2023, down from $1,180,861 thousand and $12.95 per share at the beginning of the quarter[269].