Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2025 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _______ to ____________ Commission file number 001-32216 NEW YORK MORTGAGE TRUST, INC. (Exact Name of Registrant as Specified in Its Charter) (State or O ...

Financial Performance - Net income attributable to common stockholders for Q1 2025 was $30,285,000, with earnings per share of $0.33[3] - The company reported a net income attributable to common stockholders of $30,285 thousand for the three months ended March 31, 2025, compared to a net loss of $68,340 thousand for the same period in 2024[28] - Net income attributable to the Company was $42.155 million, a significant recovery from a net loss of $31.389 million in the previous quarter[30] - GAAP net income attributable to common stockholders for Q1 2025 was $30.285 million, compared to a loss of $41.828 million in Q4 2024[44] Interest Income and Expenses - Interest income for the quarter was $129,734,000, while interest expense totaled $96,636,000, resulting in net interest income of $33,098,000[3] - Interest income rose to $129,734 thousand for the three months ended March 31, 2025, compared to $83,892 thousand in the prior year, marking an increase of 54.7%[28] - Interest income for the three months ended March 31, 2025, was $129.734 million, an increase from $118.253 million in the previous quarter[30] - The net interest benefit from interest rate swaps was $5,840 in Q4 2024, compared to $8,453 in Q3 2024, indicating a decrease of approximately 30.5%[37] Net Interest Income - Net interest income for the three months ended March 31, 2025, was $33,098 thousand, compared to $17,863 thousand for the same period in 2024, reflecting an increase of 85.1%[28] - Total net interest income rose to $33.098 million, compared to $26.711 million in the prior quarter, reflecting a growth of approximately 24.5%[30] - Adjusted net interest income for the three months ended March 31, 2025, was $36.210 million, up from $33.098 million in the previous quarter[36] - GAAP total net interest income for Q4 2024 was $26,711, a decrease from $20,237 in Q3 2024, reflecting a decline of approximately 19.5%[37] Asset and Liability Management - Total assets increased to $10,004,055 thousand as of March 31, 2025, up from $9,217,282 thousand as of December 31, 2024, representing an increase of approximately 8.5%[26] - Total liabilities increased to $8,585,743 thousand as of March 31, 2025, from $7,806,148 thousand as of December 31, 2024, an increase of approximately 9.9%[26] - The total investment portfolio carrying value was $8,270,581,000 as of March 31, 2025[11] - The company reported a Company Recourse Leverage Ratio of 3.4x and a Portfolio Recourse Leverage Ratio of 3.2x[12] Shareholder Returns and Dividends - The adjusted book value per common share at the end of the period was $10.43, with an economic return on adjusted book value of 2.71%[3] - The company repurchased 231,200 shares of common stock for a total cost of approximately $1.5 million, averaging $6.50 per share[7] - Dividends declared per common share remained stable at $0.20, consistent with the previous quarter[30] - Preferred stock dividends amounted to $11,870 thousand for the three months ended March 31, 2025, compared to $10,439 thousand for the same period in 2024[28] Strategic Initiatives - The company completed the issuance of $82.5 million in Senior Notes due 2030, with net proceeds of approximately $79.3 million[8] - Two securitizations of residential loans generated approximately $326.3 million in net proceeds after expenses[8] - The strategic repositioning included the acquisition of assets such as Agency RMBS and business purpose loans, aimed at expanding interest income levels[40] - The company is repositioning its business by opportunistically disposing of joint venture equity investments in multi-family properties[52] Unrealized Gains and Losses - The company reported unrealized gains of $118,203 thousand for the three months ended March 31, 2025, compared to unrealized losses of $(39,390) thousand in the same period of 2024[28] - The company recorded unrealized gains (losses) of $(118.203) million in Q1 2025, compared to $131.576 million in Q4 2024[44] Other Financial Metrics - The yield on average interest earning assets was 6.47%, with a net interest spread of 1.32%[3] - The yield on average interest-earning assets was 6.47%, slightly down from 6.57% in the previous quarter[30] - The net interest spread decreased to 1.32%, compared to 1.37% in the prior quarter[30] - The cumulative depreciation expense on real estate was $22.989 million for Q1 2025, compared to $20.837 million for Q4 2024[50]

Real Estate Investments - As of December 31, 2024, the company owned 526 single-family rental properties, primarily located in Illinois and Maryland[30]. - The company has reduced exposure in its multi-family investments to $19.5 million over two properties after disposing of investments in 15 multi-family properties, generating net gains of approximately $16.0 million[41]. - The company anticipates allocating less capital to multi-family investments going forward, focusing on preferred equity investments and mezzanine loans[32]. - The company has entered into a joint venture owning 10 multi-family properties, holding approximately 27% common equity interest and $139.4 million in preferred equity interests as of December 31, 2024[40]. - The company may consolidate certain multi-family joint venture equity investments and preferred equity investments into its consolidated financial statements in accordance with GAAP[52]. Financial Performance - As of December 31, 2024, the company had approximately $9.2 billion in total assets, an increase from approximately $7.4 billion as of December 31, 2023[384]. - The company's acquired residential loans totaled $3.84 billion as of December 31, 2024, compared to $3.08 billion as of December 31, 2023, reflecting a growth of 24.6%[385]. - The company reported a weighted average loan-to-value (LTV) of 54% for its re-performing residential loan strategy as of December 31, 2024, compared to 60% in 2023[387]. - The company generated net cash flows from operating activities of $14.1 million for the year ended December 31, 2024, despite a decrease in cash and cash equivalents by $1.6 million[449]. - Net cash flows used in investing activities totaled $2.2 billion, primarily due to purchases of investment securities and residential loans[450]. Leverage and Debt Management - The company's maximum leverage ratios are set at 15:1 for liquid Agency securities, between 4:1 and 6:1 for illiquid assets, and 8:1 for residential loans, with a target total debt leverage ratio not exceeding 4:1[46]. - As of December 31, 2024, the company's recourse leverage ratio was approximately 3.0 to 1, and the portfolio recourse leverage ratio was approximately 2.9 to 1[48]. - The company employs leverage through repurchase agreements, with terms ranging from 30 days to 24 months, linked to the Secured Overnight Funding Rate (SOFR)[49]. - The company maintains a portfolio recourse leverage ratio of 2.9x as of December 31, 2024, with 62% of its debt subject to mark-to-market margin calls[444]. - The company had $3.5 billion outstanding under repurchase agreements, with a weighted average interest rate of 4.84%[406][407]. Equity and Stockholder Information - As of December 31, 2024, the company's stockholders' equity decreased to $1.39 billion from $1.58 billion in 2023, with an accumulated deficit of $1.43 billion[442]. - During the year ended December 31, 2024, the company repurchased 587,347 shares of common stock for approximately $3.5 million, averaging $5.95 per share[468]. - As of December 31, 2024, $97.6 million remained available for the repurchase of shares of preferred stock under the approved program[467]. - The company intends to make distributions to stockholders to maintain REIT status and minimize corporate income tax obligations[471]. Risk Management - The company utilizes interest rate swaps to hedge variable cash flows associated with its variable-rate borrowings[56]. - The company may utilize model-based risk analysis to project asset price and cash flow sensitivities over various interest rates and market scenarios[59]. - The company has obligations to purchase ownership interests from third-party investors in a joint venture, subject to certain conditions[476]. Workforce and Diversity - As of December 31, 2024, the company had 70 full-time employees across its offices in New York, Charlotte, and Woodland Hills[62]. - Women comprised 29% of the total workforce, while 33% of employees self-identified as ethnically diverse as of December 31, 2024[63]. Investment Securities - The investment securities portfolio increased in carrying value as of December 31, 2024, primarily due to purchases of Agency RMBS, non-Agency RMBS, and U.S. Treasury securities[401]. - As of December 31, 2024, the total investment securities amounted to $5.67 billion, with an amortized cost of $4.08 billion, resulting in unrealized losses of $130.1 million[402]. - The total fair value of Agency RMBS was $3.14 billion, with total unrealized losses of $39.08 million[402]. - The total fair value of Non-Agency RMBS was $69.69 million, with total unrealized losses of $2.61 million[402]. Future Outlook - The company plans to continue opportunistically disposing of assets to pursue investments in the residential housing sector, focusing on acquiring assets with less price sensitivity to credit deterioration[445]. - The company expects to roll outstanding amounts under its repurchase agreements into new agreements or repay them prior to or at maturity[406].

Financial Performance - Net loss attributable to common stockholders for Q4 2024 was $41.8 million, or $0.46 per share, and for the full year 2024, it was $103.8 million, or $1.14 per share[3]. - Economic return on book value for the full year 2024 was -10.88%[3]. - Dividends per common share for the full year 2024 were $0.80[3]. - Net interest income for Q4 2024 was $26,711,000, an increase of 59% compared to $16,800,000 in Q4 2023[27]. - Total net loss from real estate for Q4 2024 was $(5,871,000), a slight improvement from $(6,807,000) in Q4 2023[27]. - Total other (loss) income for Q4 2024 was $(31,710,000), compared to a gain of $40,685,000 in Q4 2023[27]. - General, administrative, and operating expenses increased to $20,929,000 in Q4 2024 from $17,813,000 in Q4 2023[27]. - Net loss attributable to common stockholders for Q4 2024 was $(41,828,000), compared to a profit of $31,465,000 in Q4 2023[29]. - Basic and diluted loss per common share for Q4 2024 was $(0.46), down from earnings of $0.35 in Q4 2023[29]. Asset and Liability Growth - Total assets increased to $9,217,282 thousand as of December 31, 2024, up from $7,401,328 thousand in 2023, representing a growth of approximately 24.5%[25]. - Total liabilities grew to $7,806,148 thousand in 2024, up from $5,773,202 thousand in 2023, indicating an increase of around 35.2%[25]. - Repurchase agreements surged to $4,012,225 thousand in 2024, compared to $2,471,113 thousand in 2023, which is an increase of approximately 62.3%[25]. - The company's accumulated deficit increased to $(1,430,675) thousand in 2024 from $(1,253,817) thousand in 2023, reflecting a deterioration of about 14.1%[25]. - Cash and cash equivalents decreased to $167,422 thousand in 2024 from $187,107 thousand in 2023, a decline of approximately 10.5%[25]. Investment Portfolio - The company's portfolio grew by $2.2 billion, or 44%, primarily through acquisitions in liquid agency bond markets and higher-spread bridge loan markets[9]. - Total investment portfolio carrying value at December 31, 2024, was $7.39 billion[10]. - Residential loans at fair value rose to $3,841,738 thousand in 2024, compared to $3,084,303 thousand in 2023, marking an increase of about 24.6%[25]. - Investment securities available for sale at fair value increased significantly to $3,828,544 thousand in 2024 from $2,013,817 thousand in 2023, reflecting an increase of approximately 90%[25]. Stock Repurchase and Dividends - The company repurchased 587,347 shares of common stock for approximately $3.5 million at an average repurchase price of $5.95 per share[8]. - The company has $189.7 million remaining for common stock repurchase and $97.6 million for preferred stock repurchase as of February 2025[8]. - Preferred stock dividends remained consistent at approximately $10,439,000 for both Q4 2024 and Q4 2023[29]. Future Plans and Reporting - The company plans to file its Annual Report on Form 10-K for the year ended December 31, 2024, with the SEC on or about February 21, 2025[16]. - The conference call to discuss financial results is scheduled for February 20, 2025, at 9:00 a.m. Eastern Time[15]. Management and Strategy - The company is internally managed and focuses on acquiring, investing in, financing, and managing primarily mortgage-related residential assets[17]. - The company aims to provide investors with a clearer understanding of its financial performance through non-GAAP measures[34]. - The company has classified certain joint venture equity investments as held for sale as of December 31, 2024, indicating a strategic repositioning of its business[47]. Book Value and Adjustments - As of December 31, 2024, the company's GAAP book value is $840.610 million, down from $1,025.502 million in December 2023, reflecting a decrease of approximately 18%[45]. - The adjusted book value as of December 31, 2024, is $937.361 million, compared to $1,147.533 million in December 2023, indicating a decline of about 18.3%[45]. - The adjusted book value per common share is $10.35 as of December 31, 2024, down from $12.66 in December 2023, reflecting a decrease of approximately 18.3%[45]. - The cumulative adjustment of redeemable non-controlling interest to estimated redemption value is $40.675 million as of December 31, 2024, up from $30.062 million in December 2023[45].

Investment Portfolio - As of September 30, 2024, the total investment portfolio amounted to $6,862.8 million, reflecting an increase of $1,361.9 million from the previous quarter[246]. - The investment portfolio increased by approximately $3.1 billion from December 31, 2022, to September 30, 2024, with adjusted interest income rising over 70% compared to the same period last year[251]. - The total investment securities available for sale reached $3,385.3 million, with a net increase of $736.0 million during the quarter[246]. - The company continues to expand its investment securities and residential loan portfolios despite prepayments and sales of joint venture equity ownership interests[246]. - The company is focused on acquiring, investing in, financing, and managing primarily mortgage-related single-family and multi-family residential assets[249]. Residential Loans - The residential loans portfolio increased to $2,768.6 million, with acquisitions of $624.2 million and repayments of $267.8 million during the quarter[246]. - As of September 30, 2024, the total residential loans amounted to $3,777,144 thousand, an increase of 22.5% from $3,084,303 thousand on December 31, 2023[334]. - The company acquired $30.2 million and $137.6 million of residential loans during the three and nine months ended September 30, 2024, respectively, compared to $15.3 million and $55.2 million during the same periods in 2023[339]. - The total number of acquired residential loans increased to 10,973 as of September 30, 2024, up from 10,321 as of December 31, 2023, reflecting a growth of 6.3%[336]. - The weighted average FICO score at purchase improved to 769 as of September 30, 2024, compared to 701 on December 31, 2023[342]. Financial Performance - For the three months ended September 30, 2024, the net income attributable to the Company's common stockholders was $32,410,000, compared to a net loss of $61,957,000 for the nine months ended September 30, 2024[271]. - The company reported a net income attributable to common stockholders of $32,410 for the three months ended September 30, 2024, compared to a net loss of $94,819 in the same period of 2023, a change of $127,229[281]. - The economic return on book value for the third quarter of 2024 was 3.51%, while the economic return on adjusted book value was 0.45%[271]. - The company reported a net cash increase of $1.4 million for the nine months ended September 30, 2024[396]. - The company’s accumulated deficit increased to $1,371.1 million as of September 30, 2024, compared to $1,253.8 million at the end of 2023[390]. Interest Rates and Financing - The Federal Reserve cut the target range for the federal funds rate by 50 basis points in September 2024, marking the first cut since March 2020[261]. - The yield on average interest-earning assets for the third quarter of 2024 was 6.69%, an increase from 6.52% for the nine months ended September 30, 2024[271]. - The average financing cost for Q3 2024 was 5.37%, compared to 5.13% in Q3 2023, showing a slight increase in financing expenses[310][311]. - Interest rate changes could significantly impact the company's annualized adjusted net interest income, with a +200 basis points change resulting in a decrease of $72,912 thousand and a -200 basis points change resulting in an increase of $72,808 thousand[428]. - The company utilizes interest rate caps, swaps, and other financial instruments to manage interest rate risk and optimize earnings potential[426]. Asset Management - The company expects to continue opportunistically disposing of assets to pursue investments in the residential housing sector[255]. - The company remains focused on acquiring assets with less price sensitivity to credit deterioration, such as Agency RMBS[251]. - The company actively manages its portfolio and continuously adjusts the size and composition of its asset and derivative hedge portfolios to mitigate interest rate risk[428]. - The company has commitments to purchase redeemable non-controlling interests from third-party investors in a joint venture, subject to certain conditions[420]. - The company reported a net investment in Consolidated SLST and other residential loan securitizations of $158.8 million and $296.2 million, respectively, as of September 30, 2024[347]. Equity and Dividends - The company intends to make distributions to stockholders to maintain REIT status and minimize corporate income tax[417]. - Dividends per common share for the third quarter of 2024 were $0.20, with a total of $0.60 for the nine months ended September 30, 2024[271]. - The GAAP book value per common share increased to $9.83 as of September 30, 2024, from $9.69 at the beginning of the period[304]. - The adjusted book value per common share as of September 30, 2024, was $10.87, down from $12.66 as of December 31, 2023, reflecting a decrease of 14.1%[328]. - The company repurchased 587,347 shares of its common stock for a total cost of approximately $3.5 million during the nine months ended September 30, 2024[414]. Market Conditions - The U.S. GDP grew by 2.8% in the third quarter of 2024, marking ten consecutive quarters of growth[259]. - Home prices increased by 5.9% for the 20-City Composite over July 2024, while existing home sales in August 2024 were down 4.2% year-over-year[263]. - Multi-family home starts averaged a seasonally adjusted annual rate of 341,667 for the three months ended September 30, 2024, down from 459,417 for the year ended December 31, 2023[264]. - The average occupancy rate across 15 multi-family properties was 92.6%, with an average rent per unit of $1,428 and a loan-to-value (LTV) ratio of 80.7%[376]. - The company faces liquidity risk primarily from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[431].

Financial Performance - Net income attributable to common stockholders for Q3 2024 was $32,410,000, resulting in earnings per share of $0.36[3] - Net income attributable to the company for the three months ended September 30, 2024, was $42,849,000, a turnaround from a loss of $(84,509,000) in the same period of 2023[26] - The company reported a net loss attributable to common stockholders of $(61,957,000) for the nine months ended September 30, 2024, compared to a loss of $(121,500,000) for the same period in 2023, showing improvement[26] - Basic earnings per common share for the three months ended September 30, 2024, was $0.36, compared to a loss of $(1.04) in the same period of 2023[26] - The net income attributable to the Company's common stockholders for September 30, 2024, was $32,410, a significant recovery from a loss of $26,028 in the previous quarter[38] Income and Expenses - Total Adjusted Net Interest Income increased by 39% year-over-year to $29 million in Q3 2024[8] - For the three months ended September 30, 2024, net interest income increased to $20,237,000 from $16,789,000 in the same period of 2023, representing a growth of 8.6%[26] - Total general, administrative, and operating expenses increased to $22,826,000 for the three months ended September 30, 2024, from $16,987,000 in the same period of 2023[26] - The adjusted interest expense for September 30, 2024, was $72,296, down from $56,689 for June 30, 2024, reflecting a decrease of approximately 27.8%[34] Assets and Liabilities - Total assets increased to $8,905,914 thousand as of September 30, 2024, up from $7,401,328 thousand at December 31, 2023, representing a growth of approximately 20.3%[24] - Total liabilities grew to $7,433,952 thousand as of September 30, 2024, compared to $5,773,202 thousand at December 31, 2023, an increase of around 29%[24] - The company's stockholders' equity decreased to $1,444,147 thousand from $1,579,612 thousand, a decline of approximately 8.5%[24] - The liabilities of consolidated variable interest entities (VIEs) totaled $3,517,298 thousand as of September 30, 2024, compared to $3,076,818 thousand at December 31, 2023, reflecting an increase of about 14.3%[24] Investment and Financing - The company completed a securitization of business purpose loans, generating approximately $235.8 million in net proceeds[7] - The company purchased approximately $372.2 million of Agency RMBS with an average coupon of 5.33%[7] - The company plans to unlock excess liquidity for continued portfolio growth without any corporate debt maturity until 2026[9] - The company continues to focus on enhancing its financing strategy through the use of interest rate swaps to manage variable cash flows[32] Book Value and Returns - Book value per common share at the end of Q3 2024 was $9.83, while adjusted book value was $10.87[3] - Economic return on book value was 3.51% for the period[3] - The adjusted book value per common share was $10.87 as of September 30, 2024, down from $12.93 as of September 30, 2023[28] - The adjusted book value as of September 30, 2024, is $984,363,000, compared to $1,049,676,000 as of March 31, 2024, indicating a decline[44] Other Income and Losses - Total other income for the three months ended September 30, 2024, was $52,875,000, compared to a loss of $(85,943,000) in the same period of 2023, indicating a significant recovery[26] - Total net loss from real estate for the three months ended September 30, 2024, was $(7,495,000), a slight improvement from $(7,788,000) in the same period of 2023[26] Shareholder Information - Dividends declared per common share were $0.20[3] - The company reported a total of 90,579,449 common shares issued and outstanding as of September 30, 2024, slightly down from 90,675,403 shares at the end of 2023[24] - The company maintains a preferred stock liquidation preference of $554,110 thousand, with 22,164,414 shares issued and outstanding[24]

Investment Portfolio - For the three months ended June 30, 2024, the total investment portfolio amounted to $5,911,537, with acquisitions of $934,241 and repayments of $323,456[249]. - The residential loans at fair value increased from $738,126 as of March 31, 2024, to $1,004,944 as of June 30, 2024[252]. - Agency RMBS investments rose to $2,613,842, reflecting an acquisition of $467,496 during the quarter[249]. - Non-Agency RMBS investments totaled $58,237, with acquisitions of $34,500[249]. - The company reported a total of $155,965 in Consolidated SLST investment securities as of June 30, 2024, up from $151,239[252]. - Preferred equity investments and mezzanine loans increased to $235,912, with a return of $6,064 during the quarter[249]. - 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%[255]. - The total investment portfolio carrying value was $5,916,484,000 as of June 30, 2024[281]. - The total investment securities portfolio increased to $4.457 billion as of June 30, 2024, compared to $2.895 billion as of December 31, 2023[354]. Financial Performance - For the three months ended June 30, 2024, the net loss attributable to the company's common stockholders was $26,028,000, resulting in a loss per share of $0.29[275]. - The company reported interest income of $90,775,000 and interest expense of $71,731,000 for the same period, leading to a net interest income of $19,044,000[275]. - Adjusted interest income increased by more than 50% compared to the same period last year, driven by higher business purpose loan acquisition volumes[255]. - The Company’s Recourse Leverage Ratio increased to 2.1x as of June 30, 2024, up from 1.6x as of December 31, 2023, primarily due to financing of Agency RMBS[258]. - The company reported a net cash increase of $37.5 million during the six months ended June 30, 2024[396]. - The company reported a decrease in salaries, benefits, and directors' compensation by $1,489 thousand (15.2%) for the three months ended June 30, 2024, compared to the same period in 2023[303]. - The company recognized $17.5 million in net realized losses during the six months ended June 30, 2024, primarily from foreclosed properties and residential loan sales[291]. - The company recognized impairment losses of $40.3 million on real estate for the six months ended June 30, 2024, due to lower valuations and wider cap rates[298]. - The company reported a total unrealized loss of $55.9 million for the six months ended June 30, 2024, compared to a gain of $5.6 million in the same period of 2023[293]. Debt and Financing - As of June 30, 2024, 58% of the Company’s debt is subject to mark-to-market margin calls, with 48% collateralized by Agency RMBS[258]. - The company had $2.4 billion outstanding under repurchase agreements as of June 30, 2024, with a weighted average interest rate of 5.54%[356][357]. - The quarterly average balance of repurchase agreements increased to $2.20 billion by June 30, 2024, compared to $1.85 billion at the end of December 2023[358]. - The company had commitments to fund up to $190.6 million of additional advances on existing business purpose loans as of June 30, 2024[420]. - The company had $100.0 million aggregate principal amount of 5.75% Senior Notes outstanding, maturing on April 30, 2026[405]. - The company had $60.0 million aggregate principal amount of 9.125% Senior Notes outstanding, maturing on July 1, 2029[406]. Market Conditions - The U.S. GDP grew by 2.8% in the second quarter of 2024, marking eight consecutive quarters of growth[262]. - The unemployment rate was 4.1% at the end of June 2024, slightly up from 3.8% at the end of March 2024[263]. - Home prices increased by 7.2% for the 20-City Composite over April 2023, with the median existing-home sales price reaching $419,300 in May 2024, up 5.8% year-over-year[266]. - Starts on multi-family homes averaged a seasonally adjusted annual rate of 329,667 for the three months ended June 30, 2024, down from 459,417 for the year ended December 31, 2023[267]. Risk Management - The company employs a model-based risk analysis system to project performances of interest rate-sensitive assets and liabilities, with results potentially differing from actual outcomes due to various assumptions[428]. - Liquidity risk arises from financing long-maturity assets with shorter-term financings, necessitating daily management and forecasting of liquidity needs[432]. - The company emphasizes securing longer-term financing arrangements to mitigate exposure to fluctuations in collateral repricing and liquidity reductions[434]. - The company stress-tests its portfolio for prepayment speeds and interest rate risk to adjust hedge balances accordingly[438]. - The company faces margin call risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[433]. Shareholder Returns - The company intends to make distributions to stockholders to comply with REIT requirements and minimize corporate income tax[418]. - The company repurchased 587,347 shares of common stock for approximately $3.5 million at an average repurchase price of $5.95 per share[277]. - The company’s basic loss per common share improved to $(0.29) for the three months ended June 30, 2024, compared to $(0.41) in the same period of 2023, reflecting a positive change of 29.3%[287].

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]

Financial Assets and Investments - As of December 31, 2023, the company owned $181.6 million of non-Agency RMBS, which are collateralized by residential credit assets[29] - The company owned 524 single-family rental properties, primarily located in Illinois and Maryland, as of December 31, 2023[30] - The company has a joint venture that owns 13 multi-family properties in seven states, with an approximate 24% common equity interest as of December 31, 2023[39] - The company has a strategy to participate as a capital partner in multi-family properties, typically providing between 70% and 95% of the total common equity capital[38] - The company’s investment strategy includes a focus on multi-family apartment communities, which are also classified as VIEs[373] - The company’s preferred equity investments to have loan-to-value ratios of 60% to 97% when combined with the first-mortgage loan amount[34] - The company’s investment in Consolidated SLST had a net carrying value of $157.2 million as of December 31, 2023, compared to $191.5 million in 2022[389] - The company had a total investment in Constructive Loans, LLC, amounting to $37.154 million as of December 31, 2023, reflecting a fair value increase from $27.5 million in 2022[421] - The total fair value of the available-for-sale (AFS) investment securities was $2.01 billion as of December 31, 2023, compared to $99.56 million in 2022[399] - The total agency RMBS fair value was $1.99 billion, with a yield of 5.79%[398] - The total non-agency RMBS fair value was $24.49 million, with a yield of 20.27%[398] - The Mezzanine Lending portfolio totaled $212.4 million, a decrease from $242.97 million in 2022, representing a decline of approximately 12.6%[407] Debt and Leverage - The company has a target total debt leverage ratio not greater than 4:1, with a recourse leverage ratio of approximately 1.6 to 1 as of December 31, 2023[47] - The company primarily targets maximum leverage ratios of 10:1 for more liquid Agency securities and between 4:1 and 6:1 for more illiquid assets[46] - The company employs leverage through repurchase agreements to generate risk-adjusted returns, subject to market conditions[28] - The company had repurchase agreements with a maximum aggregate uncommitted principal amount of $2.225 billion as of December 31, 2023, compared to $2.031 billion in 2022[393] - The weighted average interest rate for repurchase agreements increased to 7.87% as of December 31, 2023, from 6.65% in 2022[393] - The company’s recourse leverage ratio was approximately 1.6 to 1 as of December 31, 2023, indicating the level of debt relative to stockholders' equity[450] - The company had longer-term debt, including Company-sponsored residential loan securitization CDOs with a carrying value of $1.3 billion as of December 31, 2023[448] Financial Performance - As of December 31, 2023, the company reported total assets of approximately $7.4 billion, an increase from $6.2 billion in 2022[381] - The company's acquired residential loans totaled $2,329.4 million as of December 31, 2023, down from $2,697.5 million in 2022, reflecting a decrease of approximately 13.7%[382] - The total number of acquired residential loans decreased from 11,065 in 2022 to 10,321 in 2023, indicating a reduction of about 6.7%[384] - The company reported a decrease in stockholders' equity from $1.767 billion in 2022 to $1.580 billion in 2023, primarily due to an accumulated deficit of $1.254 billion[430] - During the year ended December 31, 2023, the company generated net cash flows from operating activities of $30 million[438] - The company used $1.2 billion in net cash flows for investing activities, mainly for purchasing investment securities and residential loans[439] - As of December 31, 2023, the net cash flows provided by financing activities were $1.1 billion, primarily from repurchase agreements related to investment securities, residential loans, and single-family rental properties[442] Risk Management - The company utilizes interest rate swaps to hedge variable cash flows associated with its variable-rate borrowings, which helps offset repricing characteristics and cash flows of financing arrangements[55] - The company utilizes model-based risk analysis to project asset price and cash flow sensitivities under various market scenarios[58] - The company has obligations to purchase ownership interests from third-party investors in a joint venture under certain conditions[462] Regulatory and Compliance - The company is subject to various regulatory requirements, including those under the Dodd-Frank Act, which may impact its operations and compliance costs[64] - The company has adopted a Code of Business Conduct and Ethics applicable to its executive officers and other employees, ensuring compliance with ethical standards[74] - The company must distribute at least 90% of its ordinary taxable income each year to qualify as a REIT, which is contingent on the performance of its investment portfolio[67] - The company’s ability to maintain its qualification as a REIT for federal tax purposes is a critical factor for future distributions to stockholders[77] Workforce and Diversity - As of December 31, 2023, the company had 79 full-time employees across its offices in New York, Charlotte, and Woodland Hills, with no temporary or seasonal employees expected in the future[61] - The company is committed to maintaining a diverse workforce, with women comprising 30% and 32% of employees identifying as ethnically diverse as of December 31, 2023[62] Joint Ventures and Equity Investments - The company has joint venture equity investments in multi-family properties with a total equity ownership interest exceeding 5% in states like Florida (33.4%) and Texas (29.4%) as of December 31, 2023[416] - The company repositioned its business in September 2022 to opportunistically dispose of joint venture equity investments in multi-family properties[411] - As of December 31, 2023, the company’s investment in unconsolidated multi-family joint venture equity investments was $5.72 million[415] - The total assets of the consolidated joint venture equity investments amounted to $1.46 billion as of December 31, 2023, down from $1.73 billion in 2022, indicating a decrease of about 15.7%[414] - The net equity investment in consolidated joint ventures and disposal group held for sale was $236.3 million as of December 31, 2023, compared to $388.8 million in 2022, reflecting a reduction of approximately 39%[414] Occupancy and Rental Performance - As of December 31, 2023, the company reported an average occupancy rate of 89.8% across 22 properties, with an average rent per unit of $1,364[419]

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]