NEW YORK MORTGAG(NYMTZ) - 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] - Residential loans increased to $2,364,979, up from $2,329,443, marking a growth of about 1.5%[234] - The company acquired $608,174 in new investments during the three months ended March 31, 2024[234] - Total repayments and distributions amounted to $262,231 during the same period[234] - The fair value changes and other adjustments resulted in a decrease of $111,154 in the investment portfolio[234] - Consolidated SLST investment securities owned by the company decreased to $151,239 from $157,154, a decline of approximately 3.5%[235] - 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 27.8%[238] - The Company experienced a net increase in its investment portfolio of approximately $1.3 billion during 2023 and $205.1 million in the first quarter of 2024[238] Financial Performance - For the three months ended March 31, 2024, interest income increased to $83,892, up from $57,136 in 2023, reflecting a change of $26,756[270] - The net loss attributable to the Company for the three months ended March 31, 2024, was $57,901, compared to a net income of $20,863 in 2023, representing a decrease of $78,764[270] - 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, an increase of $7,418[272] - Unrealized losses on derivative instruments amounted to $39,390 for the three months ended March 31, 2024, compared to unrealized gains of $32,851 in 2023, a change of $72,241[274] - The Company recognized $10,533 in total realized losses for the three months ended March 31, 2024, compared to realized gains of $1,081 in 2023, a change of $11,614[273] - The Company’s net interest income for the three months ended March 31, 2024, was $17,863, slightly up from $17,801 in 2023, an increase of $62[270] - The Company’s portfolio operating expenses increased to $11,287 for the three months ended March 31, 2024, compared to $7,070 in 2023, an increase of $4,217[270] - The Company’s basic loss per common share for the three months ended March 31, 2024, was $(0.75), down from $0.12 in 2023, a decrease of $0.87[270] Economic Indicators - The U.S. GDP grew by 1.6% in the first quarter of 2024, marking seven consecutive quarters of growth, although lower than the 3.4% growth in the fourth quarter of 2023[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] - Starts on multi-family homes averaged a seasonally adjusted annual rate of 331,667 for the three months ended March 31, 2024, down from 458,583 for the year ended December 31, 2023[251] Interest Rate and Financing - The Federal Reserve raised the target range for the federal funds rate by a total of 5.25% from March 2022 through July 2023, reaching its highest level in over 22 years[248] - The Company’s recourse leverage ratio was approximately 1.7 to 1 as of March 31, 2024, indicating the level of debt relative to stockholders' equity[378] - The average financing cost decreased to 5.07% in Q1 2024 from 5.83% in Q1 2023, indicating a reduction of 0.76 percentage points[296] - The company had $2.1 billion outstanding under repurchase agreements as of March 31, 2024, with a weighted average interest rate of 5.55%[329][330] Risk Management - The company actively manages interest rate risk through various financial instruments, including interest rate caps and swaps, to optimize earnings potential[395] - The company has observed increased credit risk due to current inflationary pressures and potential economic recession, which may lead to higher delinquencies and defaults[409] - The company mitigates prepayment risk by evaluating residential mortgage assets relative to observed prepayment speeds and conducting stress tests on the portfolio[406] - The company manages credit risk by conducting thorough due diligence on credit-sensitive assets and utilizing credit default swaps for protection against defaults[408] Asset Management and 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 and multi-family properties[234] - The company plans to continue disposing of assets from its portfolio to pursue investments in the residential housing sector, focusing on acquiring less price-sensitive assets[363] - The company has entered into interest rate swaps to hedge variable cash flows associated with its borrowings, managing its liabilities effectively[354] Cash Flow and Liquidity - Net cash flows used in operating activities totaled $13.1 million, primarily due to differences in income recognition and unrealized gains and losses on investments[367] - Net cash flows used in investing activities were $254.0 million, mainly from purchases of investment securities and residential loans[368] - Net cash flows provided by financing activities were $327.2 million, driven by proceeds from the issuance of CDOs and repurchase agreements[371] - As of March 31, 2024, the Company had $212.6 million in cash and cash equivalents and $151.1 million in unencumbered investment securities available for margin requirements[374]