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$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$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$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$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]