NEW YORK MTG(NYMTL) - 2024 Q2 - Quarterly Report

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 Agency RMBS investments increased to$2,613,842, reflecting acquisitions of $467,496 and repayments of$55,537[249]. - Residential loans at fair value rose to $2,498,247, with acquisitions of$420,668 and repayments of $261,305[249]. - Non-Agency RMBS investments totaled$58,237, with acquisitions of $34,500 and minimal repayments of$131[249]. - The consolidated SLST investment securities owned by the company increased to $155,965 from$151,239[252]. - 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]. - As of June 30, 2024, the total investment portfolio carrying value was $5,916,484,000[281]. - The total investment securities portfolio as of June 30, 2024, was$4.457 billion, with an amortized cost of $2.896 billion and unrealized losses of$84.264 million[354]. - The carrying value of Agency RMBS increased to $3.669 billion as of June 30, 2024, from$2.634 billion as of December 31, 2023[354]. - The total carrying value of non-Agency RMBS was $401.446 million, with unrealized gains of$6.246 million as of June 30, 2024[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$13,106 for the three months ended June 30, 2024, compared to a loss of $7,755 in the same period of 2023, indicating a deterioration of 68.9$19,044, an increase from $15,136 in the same period of 2023, marking a growth of 19.1$(0.29), an improvement from $(0.41) in the same period of 2023[287]. - 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 reported a net interest benefit of $16,622 thousand from interest rate swaps for the six months ended June 30, 2024[328]. Debt and Financing - 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]. - As of June 30, 2024, 58$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 issued$60.0 million of 9.125% Senior Notes due 2029, resulting in approximately $57.5 million in net proceeds[278]. - The company issued 9.125$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$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]. - The Federal Reserve raised the federal funds target rate by a total of 525 bps from March 2022 through July 2023, the fastest pace of increases in history[255]. Risk Management - Significant margin calls could have a material adverse effect on the company's results of operations, financial condition, and liquidity[403]. - The company holds residential loans and RMBS, with interest rate adjustments that may not synchronize with repurchase agreements, potentially impacting net returns[426]. - Interest rate changes could lead to significant fluctuations in adjusted net interest income, with a +200 basis points change resulting in a decrease of $59,025,000 and a -200 basis points change resulting in an increase of$57,865,000[429]. - The company utilizes a model-based risk analysis system to project performances of interest rate-sensitive assets and liabilities, with results potentially varying significantly from projections due to changing 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 procuring longer-term financing arrangements to mitigate exposure to fluctuations in collateral repricing and liquidity reductions[434]. - Prepayment risk is present when borrowers repay loans faster than expected, which can reduce yields on residential mortgage assets purchased at a premium[435]. - The company stress-tests its portfolio for prepayment speeds and interest rate risk to adjust hedge balances accordingly[438]. - Changes in interest rates may impact GAAP book value and adjusted book value, with the value of mortgage-related assets generally decreasing as interest rates increase[430]. - The company faces margin call risk on repurchase agreements, which could adversely affect liquidity if asset values decrease[433]. - Volatility in interest rates has negatively affected net interest income and fair value of assets throughout 2022, 2023, and the first half of 2024[431]. Shareholder Actions - 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 intends to make distributions to stockholders to comply with REIT status requirements, which may require selling assets or borrowing funds on a short-term basis[418]. - The ending GAAP book value per common share remained at $9.69 for the six months ended June 30, 2024, unchanged from the previous period[308]. - Adjusted book value per common share decreased to$11.02 as of June 30, 2024, from $12.66 as of December 31, 2023[330]. - The company’s stockholders' equity was$1,431,910,000, a decrease from $1,579,612,000 as of December 31, 2023, primarily due to an accumulated deficit of$1,385,105,000[390].