NEW YORK MORTGAG(NYMTZ) - 2023 Q3 - Quarterly Report

Investment Portfolio - As of September 30, 2023, the total investment portfolio amounted to $4,700,071,000, reflecting an increase of $1,146,642,000 in acquisitions during the quarter[226] - The company reported a total of $1,602,215,000 in investment securities available for sale as of September 30, 2023, after accounting for various changes and sales[226] - The consolidated SLST investment securities owned by the company decreased from $170,008,000 to $154,428,000, a decline of approximately 9.2%[226] - The investment securities portfolio increased to $3.424 billion as of September 30, 2023, from $1.032 billion at the end of 2022, primarily due to purchases of Agency RMBS[346][347] - The company reported a total of $2.486 billion in Agency RMBS, with a fair value of $1.535 billion as of September 30, 2023[346] Financial Performance - For the three months ended September 30, 2023, the net loss attributable to the company's common stockholders was $94,819,000, resulting in a loss per share of $1.04[253] - The company reported interest income of $65,195,000 and interest expense of $48,406,000 for the same period, leading to a net interest income of $16,789,000[253] - The economic return on book value for the nine months ended September 30, 2023, was reported at (7.61)%[253] - The Company reported a basic loss per common share of $1.04 for the three months ended September 30, 2023, an improvement of $0.29 from $1.33 in 2022, and for the nine months, it was $1.33, up $1.75 from $3.08[263] - The Company’s net interest income for the three months ended September 30, 2023, was $16,789, a decrease of $13,568 from $30,357 in 2022, and for the nine months, it was $49,726, down $56,948 from $106,674[263] Asset Management - The company aims to deliver long-term stable distributions to stockholders through a combination of net interest spread and capital gains from a diversified investment portfolio[228] - The company expects to continue to dispose of assets opportunistically and focus on acquiring less price-sensitive assets like Agency RMBS[235] - The company announced a strategic repositioning in September 2022, focusing on the opportunistic disposition of joint venture equity investments in multi-family properties[227] - The Company plans to opportunistically dispose of its joint venture equity investments in multi-family properties to reallocate capital to targeted assets[336] Market Conditions - The U.S. GDP grew at a 4.9% annualized rate in the third quarter of 2023, marking five consecutive quarters of growth[239] - The U.S. unemployment rate was 3.8% at the end of September 2023, slightly up from 3.6% at the end of June 2023[240] - The Federal Reserve raised the target range for the federal funds rate a total of 5.25% from March 2022 through November 1, 2023, reaching the highest level in over 22 years[241] - The average 30-year fixed-rate mortgage rose to 7.63% as of October 19, 2023, up 0.94% year-over-year[243] Risk Management - The company utilizes interest rate caps and swaps to manage interest rate risk, aiming to optimize earnings while maintaining stable portfolio values[393] - The company faces "margin call" risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[399] - Credit risk is heightened due to potential economic recession, which may lead to increased delinquencies and defaults on credit-sensitive assets[408] - The company actively manages its portfolio to mitigate prepayment risk, which can impact the yield on residential mortgage assets[405] Shareholder Equity - The Company’s stockholders' equity as of September 30, 2023, was $1,575,228 thousand, a decrease from $1,767,216 thousand as of December 31, 2022[358] - The Company declared dividends totaling $27.6 million for the three months ended September 30, 2023, equating to $0.30 per share[285] - The company repurchased common stock worth $5.0 million during the three months ended September 30, 2023[285] Loan Performance - The company's total residential loans amounted to $2.99 billion as of September 30, 2023, a decrease of 15.0% from $3.53 billion as of December 31, 2022[315] - The delinquency status showed that 87.0% of loans were current as of September 30, 2023, a decrease from 90.6% at the end of 2022, while loans 90+ days delinquent increased to 9.8% from 5.4%[322] - The weighted average FICO score for the re-performing residential loan strategy was 634 as of September 30, 2023, compared to 631 as of December 31, 2022, indicating a slight improvement[316] Cash Flow - During the nine months ended September 30, 2023, net cash flows from operating activities totaled $16.9 million[365] - The net cash flows used in investing activities during the same period were $822.5 million, primarily due to purchases of investment securities and residential loans[366] - The net cash flows from financing activities for the nine months ended September 30, 2023, were $780.2 million, mainly from proceeds of repurchase agreements[369] Debt Management - The Company had $221.2 million of available cash and cash equivalents as of September 30, 2023[361] - The Company’s Senior Unsecured Notes outstanding as of September 30, 2023, totaled $100 million with a total cost of approximately 6.64%[356] - The company had longer-term debt, including residential loan securitization CDOs, with a carrying value of $1.3 billion as of September 30, 2023[373]