Maryland
|
47-0934168
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
(I.R.S. Employer
Identification No.)
|
Large Accelerated Filer
|
☒
|
Accelerated Filer
|
☐
|
Non-Accelerated Filer
|
☐
|
Smaller Reporting Company
|
☐
|
Emerging Growth Company
|
☐
|
Title of Each Class
|
|
Trading Symbol(s)
|
|
Name of Each Exchange on Which Registered
|
|
Common Stock, par value $0.01 per share
|
|
NYMT
|
|
NASDAQ
|
Stock Market
|
7.75% Series B Cumulative Redeemable Preferred Stock,
|
|
NYMTP
|
|
NASDAQ
|
Stock Market
|
par value $0.01 per share, $25.00 Liquidation Preference
|
|
|
|||
7.875% Series C Cumulative Redeemable Preferred Stock,
|
|
NYMTO
|
|
NASDAQ
|
Stock Market
|
par value $0.01 per share, $25.00 Liquidation Preference
|
|
|
|||
8.000% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock,
|
|
NYMTN
|
|
NASDAQ
|
Stock Market
|
par value $0.01 per share, $25.00 Liquidation Preference
|
|
|
|
||
|
|
|
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||
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||
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||
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||
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||
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||
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June 30, 2019
|
|
December 31, 2018
|
||||
|
(unaudited)
|
|
|
||||
ASSETS
|
|
|
|
||||
Investment securities, available for sale, at fair value
|
$
|
1,743,869
|
|
|
$
|
1,512,252
|
|
Distressed and other residential mortgage loans, at fair value
|
1,061,954
|
|
|
737,523
|
|
||
Distressed and other residential mortgage loans, net
|
218,094
|
|
|
285,261
|
|
||
Investments in unconsolidated entities
|
166,148
|
|
|
73,466
|
|
||
Preferred equity and mezzanine loan investments
|
191,387
|
|
|
165,555
|
|
||
Multi-family loans held in securitization trusts, at fair value
|
14,573,925
|
|
|
11,679,847
|
|
||
Derivative assets
|
14,047
|
|
|
10,263
|
|
||
Cash and cash equivalents
|
134,993
|
|
|
103,724
|
|
||
Real estate held for sale in consolidated variable interest entities
|
—
|
|
|
29,704
|
|
||
Goodwill
|
25,222
|
|
|
25,222
|
|
||
Receivables and other assets
|
135,845
|
|
|
114,821
|
|
||
Total Assets (1)
|
$
|
18,265,484
|
|
|
$
|
14,737,638
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
2,604,356
|
|
|
$
|
2,131,505
|
|
Residential collateralized debt obligations
|
45,280
|
|
|
53,040
|
|
||
Multi-family collateralized debt obligations, at fair value
|
13,772,726
|
|
|
11,022,248
|
|
||
Convertible notes
|
131,839
|
|
|
130,762
|
|
||
Subordinated debentures
|
45,000
|
|
|
45,000
|
|
||
Mortgages and notes payable in consolidated variable interest entities
|
3,986
|
|
|
31,227
|
|
||
Securitized debt
|
—
|
|
|
42,335
|
|
||
Accrued expenses and other liabilities
|
134,615
|
|
|
101,228
|
|
||
Total liabilities (1)
|
16,737,802
|
|
|
13,557,345
|
|
||
Commitments and Contingencies
|
|
|
|
||||
Stockholders' Equity:
|
|
|
|
||||
Preferred stock, $0.01 par value, 7.75% Series B cumulative redeemable, $25 liquidation preference per share, 6,000,000 shares authorized, 3,101,683 and 3,000,000 shares issued and outstanding as of June 30, 2019 and December 31, 2018, respectively
|
74,854
|
|
|
72,397
|
|
||
Preferred stock, $0.01 par value, 7.875% Series C cumulative redeemable, $25 liquidation preference per share, 6,600,000 and 4,140,000 shares authorized as of June 30, 2019 and December 31, 2018, respectively, 3,993,866 and 3,600,000 shares issued and outstanding as of June 30, 2019 and December 31, 2018, respectively
|
96,486
|
|
|
86,862
|
|
||
Preferred stock, $0.01 par value, 8.00% Series D Fixed-to-Floating Rate cumulative redeemable, $25 liquidation preference per share, 8,400,000 and 5,750,000 shares authorized as of June 30, 2019 and December 31, 2018, respectively, 5,565,738 and 5,400,000 shares issued and outstanding as of June 30, 2019 and December 31, 2018, respectively
|
134,502
|
|
|
130,496
|
|
||
Common stock, $0.01 par value, 400,000,000 shares authorized, 210,872,614 and 155,589,528 shares issued and outstanding as of June 30, 2019 and December 31, 2018, respectively
|
2,109
|
|
|
1,556
|
|
||
Additional paid-in capital
|
1,337,330
|
|
|
1,013,391
|
|
||
Accumulated other comprehensive income (loss)
|
11,004
|
|
|
(22,135
|
)
|
||
Accumulated deficit
|
(128,207
|
)
|
|
(103,178
|
)
|
||
Company's stockholders' equity
|
1,528,078
|
|
|
1,179,389
|
|
||
Non-controlling interest in consolidated variable interest entities
|
(396
|
)
|
|
904
|
|
||
Total equity
|
1,527,682
|
|
|
1,180,293
|
|
||
Total Liabilities and Stockholders' Equity
|
$
|
18,265,484
|
|
|
$
|
14,737,638
|
|
(1)
|
Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of June 30, 2019 and December 31, 2018, assets of consolidated VIEs totaled $14,691,481 and $11,984,374, respectively, and the liabilities of consolidated VIEs totaled $13,870,064 and $11,191,736, respectively. See Note 9 for further discussion.
|
|
For the Three Months Ended
June 30, |
|
For the Six Months Ended
June 30, |
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
16,478
|
|
|
$
|
23,769
|
|
|
$
|
54,692
|
|
|
$
|
47,461
|
|
OTHER COMPREHENSIVE INCOME (LOSS)
|
|
|
|
|
|
|
|
||||||||
Increase (decrease) in fair value of available for sale securities
|
20,092
|
|
|
(6,525
|
)
|
|
46,804
|
|
|
(31,003
|
)
|
||||
Reclassification adjustment for net gain included in net income
|
—
|
|
|
—
|
|
|
(13,665
|
)
|
|
—
|
|
||||
TOTAL OTHER COMPREHENSIVE INCOME (LOSS)
|
20,092
|
|
|
(6,525
|
)
|
|
33,139
|
|
|
(31,003
|
)
|
||||
COMPREHENSIVE INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
36,570
|
|
|
$
|
17,244
|
|
|
$
|
87,831
|
|
|
$
|
16,458
|
|
For the Three Months Ended
|
|||||||||||||||||||||||||||||||
|
Common
Stock
|
|
Preferred
Stock
|
|
Additional
Paid-In
Capital
|
|
Retained Earnings (Accumulated Deficit)
|
|
Accumulated
Other
Comprehensive
(Loss) Income
|
|
Total Company Stockholders' Equity
|
|
Non-Controlling Interest in Consolidated VIE
|
|
Total
|
||||||||||||||||
Balance, March 31, 2019
|
$
|
1,878
|
|
|
$
|
289,755
|
|
|
$
|
1,199,090
|
|
|
$
|
(102,530
|
)
|
|
$
|
(9,088
|
)
|
|
$
|
1,379,105
|
|
|
$
|
347
|
|
|
$
|
1,379,452
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
22,735
|
|
|
—
|
|
|
22,735
|
|
|
(743
|
)
|
|
21,992
|
|
||||||||
Common stock issuance, net
|
231
|
|
|
—
|
|
|
138,240
|
|
|
—
|
|
|
—
|
|
|
138,471
|
|
|
—
|
|
|
138,471
|
|
||||||||
Preferred stock issuance, net
|
—
|
|
|
16,087
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16,087
|
|
|
—
|
|
|
16,087
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(42,155
|
)
|
|
—
|
|
|
(42,155
|
)
|
|
—
|
|
|
(42,155
|
)
|
||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,257
|
)
|
|
—
|
|
|
(6,257
|
)
|
|
—
|
|
|
(6,257
|
)
|
||||||||
Increase in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20,092
|
|
|
20,092
|
|
|
—
|
|
|
20,092
|
|
||||||||
Balance, June 30, 2019
|
$
|
2,109
|
|
|
$
|
305,842
|
|
|
$
|
1,337,330
|
|
|
$
|
(128,207
|
)
|
|
$
|
11,004
|
|
|
$
|
1,528,078
|
|
|
$
|
(396
|
)
|
|
$
|
1,527,682
|
|
Balance, March 31, 2018
|
$
|
1,121
|
|
|
$
|
289,755
|
|
|
$
|
751,542
|
|
|
$
|
(74,447
|
)
|
|
$
|
(18,925
|
)
|
|
$
|
949,046
|
|
|
$
|
1,741
|
|
|
$
|
950,787
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
29,694
|
|
|
—
|
|
|
29,694
|
|
|
(943
|
)
|
|
28,751
|
|
||||||||
Common stock issuance, net
|
122
|
|
|
—
|
|
|
74,418
|
|
|
—
|
|
|
—
|
|
|
74,540
|
|
|
—
|
|
|
74,540
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(24,863
|
)
|
|
—
|
|
|
(24,863
|
)
|
|
|
|
(24,863
|
)
|
|||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
|
|
(5,925
|
)
|
|
—
|
|
|
(5,925
|
)
|
|
—
|
|
|
(5,925
|
)
|
|||||||||
Decrease in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,525
|
)
|
|
(6,525
|
)
|
|
—
|
|
|
(6,525
|
)
|
||||||||
Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(564
|
)
|
|
(564
|
)
|
||||||||
Balance, June 30, 2018
|
$
|
1,243
|
|
|
$
|
289,755
|
|
|
$
|
825,960
|
|
|
$
|
(75,541
|
)
|
|
$
|
(25,450
|
)
|
|
$
|
1,015,967
|
|
|
$
|
234
|
|
|
$
|
1,016,201
|
|
For the Six Months Ended
|
|||||||||||||||||||||||||||||||
|
Common
Stock
|
|
Preferred
Stock
|
|
Additional
Paid-In
Capital
|
|
Retained Earnings (Accumulated Deficit)
|
|
Accumulated
Other
Comprehensive
(Loss) Income
|
|
Total Company Stockholders' Equity
|
|
Non-Controlling Interest in Consolidated VIE
|
|
Total
|
||||||||||||||||
Balance, December 31, 2018
|
$
|
1,556
|
|
|
$
|
289,755
|
|
|
$
|
1,013,391
|
|
|
$
|
(103,178
|
)
|
|
$
|
(22,135
|
)
|
|
$
|
1,179,389
|
|
|
$
|
904
|
|
|
$
|
1,180,293
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
66,874
|
|
|
—
|
|
|
66,874
|
|
|
(532
|
)
|
|
66,342
|
|
||||||||
Common stock issuance, net
|
553
|
|
|
—
|
|
|
323,939
|
|
|
—
|
|
|
—
|
|
|
324,492
|
|
|
—
|
|
|
324,492
|
|
||||||||
Preferred stock issuance, net
|
—
|
|
|
16,087
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16,087
|
|
|
—
|
|
|
16,087
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(79,721
|
)
|
|
—
|
|
|
(79,721
|
)
|
|
—
|
|
|
(79,721
|
)
|
||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(12,182
|
)
|
|
—
|
|
|
(12,182
|
)
|
|
—
|
|
|
(12,182
|
)
|
||||||||
Reclassification adjustment for net gain included in net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,665
|
)
|
|
(13,665
|
)
|
|
—
|
|
|
(13,665
|
)
|
||||||||
Increase in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
46,804
|
|
|
46,804
|
|
|
—
|
|
|
46,804
|
|
||||||||
Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(768
|
)
|
|
(768
|
)
|
||||||||
Balance, June 30, 2019
|
$
|
2,109
|
|
|
$
|
305,842
|
|
|
$
|
1,337,330
|
|
|
$
|
(128,207
|
)
|
|
$
|
11,004
|
|
|
$
|
1,528,078
|
|
|
$
|
(396
|
)
|
|
$
|
1,527,682
|
|
Balance, December 31, 2017
|
$
|
1,119
|
|
|
$
|
289,755
|
|
|
$
|
751,155
|
|
|
$
|
(75,717
|
)
|
|
$
|
5,553
|
|
|
$
|
971,865
|
|
|
$
|
4,136
|
|
|
$
|
976,001
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
59,311
|
|
|
—
|
|
|
59,311
|
|
|
1,526
|
|
|
60,837
|
|
||||||||
Common stock issuance, net
|
124
|
|
|
—
|
|
|
74,805
|
|
|
—
|
|
|
—
|
|
|
74,929
|
|
|
—
|
|
|
74,929
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(47,285
|
)
|
|
—
|
|
|
(47,285
|
)
|
|
—
|
|
|
(47,285
|
)
|
||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,850
|
)
|
|
—
|
|
|
(11,850
|
)
|
|
—
|
|
|
(11,850
|
)
|
||||||||
Decrease in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(31,003
|
)
|
|
(31,003
|
)
|
|
—
|
|
|
(31,003
|
)
|
||||||||
Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,428
|
)
|
|
(5,428
|
)
|
||||||||
Balance, June 30, 2018
|
$
|
1,243
|
|
|
$
|
289,755
|
|
|
$
|
825,960
|
|
|
$
|
(75,541
|
)
|
|
$
|
(25,450
|
)
|
|
$
|
1,015,967
|
|
|
$
|
234
|
|
|
$
|
1,016,201
|
|
|
For the Six Months Ended
June 30, |
||||||
|
2019
|
|
2018
|
||||
Cash Flows from Operating Activities:
|
|
|
|
||||
Net income
|
$
|
66,342
|
|
|
$
|
60,837
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
||||
Net accretion
|
(21,566
|
)
|
|
(11,588
|
)
|
||
Realized (gain) loss on investment securities and related hedges, net
|
(16,801
|
)
|
|
12,270
|
|
||
Net gain on distressed and other residential mortgage
|
(27,414
|
)
|
|
(1,372
|
)
|
||
Unrealized loss (gain) on investment securities and related hedges, net
|
29,593
|
|
|
(24,298
|
)
|
||
Gain on sale of real estate held for sale in consolidated variable interest entities
|
(1,580
|
)
|
|
(2,328
|
)
|
||
Impairment of real estate under development in consolidated variable interest entities
|
1,660
|
|
|
2,091
|
|
||
Loss on extinguishment of debt
|
2,857
|
|
|
—
|
|
||
Unrealized gain on loans and debt held in multi-family securitization trusts, net
|
(14,617
|
)
|
|
(19,564
|
)
|
||
Recovery of loan losses
|
(2,362
|
)
|
|
(395
|
)
|
||
Income from unconsolidated entity, preferred equity and mezzanine loan investments
|
(22,292
|
)
|
|
(13,526
|
)
|
||
Distributions of income from unconsolidated entity, preferred equity and mezzanine loan investments
|
12,706
|
|
|
8,340
|
|
||
Amortization of stock based compensation, net
|
2,792
|
|
|
1,211
|
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
|||
Receivables and other assets
|
(21,763
|
)
|
|
610
|
|
||
Accrued expenses and other liabilities
|
19,410
|
|
|
(1,403
|
)
|
||
Net cash provided by operating activities
|
6,965
|
|
|
10,885
|
|
||
|
|
|
|
||||
Cash Flows from Investing Activities:
|
|
|
|
||||
Net proceeds from sale of real estate held for sale in consolidated variable interest entities
|
3,587
|
|
|
33,192
|
|
||
Proceeds from sales of investment securities
|
56,769
|
|
|
26,899
|
|
||
Purchases of investment securities
|
(321,134
|
)
|
|
(60,321
|
)
|
||
Purchases of other assets
|
(923
|
)
|
|
(35
|
)
|
||
Capital expenditures on real estate held for sale in consolidated variable interest entities
|
(128
|
)
|
|
(255
|
)
|
||
Funding of preferred equity, equity and mezzanine loan investments
|
(130,004
|
)
|
|
(45,532
|
)
|
||
Principal repayments received on preferred equity and mezzanine loan investments
|
20,416
|
|
|
9,122
|
|
||
Return of capital from unconsolidated entity investments
|
639
|
|
|
1,246
|
|
||
(Net payments made on) received from other derivative instruments settled during the period
|
(33,377
|
)
|
|
13,662
|
|
||
Principal repayments and proceeds from sales and refinancing of distressed and other residential mortgage loans
|
144,228
|
|
|
57,903
|
|
||
Principal repayments received on multi-family loans held in securitization trusts
|
106,363
|
|
|
67,880
|
|
||
Principal paydowns on investment securities - available for sale
|
84,418
|
|
|
120,508
|
|
||
Proceeds from sale of real estate owned
|
1,266
|
|
|
2,136
|
|
||
Purchases of residential mortgage loans and distressed residential mortgage loans
|
(380,454
|
)
|
|
(94,075
|
)
|
||
Purchases of investments held in multi-family securitization trusts
|
(101,570
|
)
|
|
—
|
|
||
Net cash (used in) provided by investing activities
|
(549,904
|
)
|
|
132,330
|
|
||
|
|
|
|
||||
Cash Flows from Financing Activities:
|
|
|
|
||||
Net proceeds from (net payments made on) repurchase agreements
|
471,998
|
|
|
(54,120
|
)
|
||
Common stock issuance, net
|
321,655
|
|
|
73,831
|
|
||
Preferred stock issuance, net
|
16,101
|
|
|
—
|
|
||
Dividends paid on common stock
|
(68,684
|
)
|
|
(44,805
|
)
|
||
Dividends paid on preferred stock
|
(11,850
|
)
|
|
(11,910
|
)
|
||
Payments made on mortgages and notes payable in consolidated variable interest entities
|
(36
|
)
|
|
(25,673
|
)
|
||
Proceeds from mortgages and notes payable in consolidated variable interest entities
|
—
|
|
|
1,058
|
|
||
Payments made on residential collateralized debt obligations
|
(7,792
|
)
|
|
(8,142
|
)
|
||
Payments made on multi-family collateralized debt obligations
|
(106,091
|
)
|
|
(67,886
|
)
|
||
Extinguishment of and payments made on securitized debt
|
(45,557
|
)
|
|
(21,351
|
)
|
||
Net cash provided by (used in) financing activities
|
569,744
|
|
|
(158,998
|
)
|
||
|
|
|
|
||||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash
|
26,805
|
|
|
(15,783
|
)
|
||
Cash, Cash Equivalents and Restricted Cash - Beginning of Period
|
109,145
|
|
|
106,195
|
|
||
Cash, Cash Equivalents and Restricted Cash - End of Period
|
$
|
135,950
|
|
|
$
|
90,412
|
|
|
|
|
|
|
|
|
|
||||
Supplemental Disclosure:
|
|
|
|
||||
Cash paid for interest
|
$
|
294,817
|
|
|
$
|
204,174
|
|
Cash paid for income taxes
|
$
|
21
|
|
|
$
|
1,342
|
|
|
|
|
|
||||
Non-Cash Investment Activities:
|
|
|
|
||||
Sales of investment securities not yet settled
|
$
|
—
|
|
|
$
|
—
|
|
Purchase of investment securities not yet settled
|
$
|
3,132
|
|
|
$
|
—
|
|
Consolidation of multi-family loans held in securitization trusts
|
$
|
2,426,210
|
|
|
$
|
—
|
|
Consolidation of multi-family collateralized debt obligations
|
$
|
2,324,639
|
|
|
$
|
—
|
|
Transfer from residential loans to real estate owned
|
$
|
2,368
|
|
|
$
|
3,558
|
|
|
|
|
|
||||
Non-Cash Financing Activities:
|
|
|
|
||||
Dividends declared on common stock to be paid in subsequent period
|
$
|
42,155
|
|
|
$
|
24,863
|
|
Dividends declared on preferred stock to be paid in subsequent period
|
$
|
6,257
|
|
|
$
|
5,925
|
|
Mortgages and notes payable assumed by purchaser of real estate held for sale in consolidated variable entities
|
$
|
27,260
|
|
|
$
|
—
|
|
|
|
|
|
||||
Cash, Cash Equivalents and Restricted Cash Reconciliation:
|
|
|
|
||||
Cash and cash equivalents
|
$
|
134,993
|
|
|
$
|
84,717
|
|
Restricted cash included in receivables and other assets
|
$
|
957
|
|
|
$
|
5,695
|
|
Total cash, cash equivalents, and restricted cash
|
$
|
135,950
|
|
|
$
|
90,412
|
|
1.
|
Organization
|
3.
|
Investment Securities Available For Sale
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||||||||
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
||||||||||||||||||||
|
|
Gains
|
|
Losses
|
|
|
|
Gains
|
|
Losses
|
|
||||||||||||||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Agency ARMs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Freddie Mac
|
$
|
24,618
|
|
|
$
|
—
|
|
|
$
|
(733
|
)
|
|
$
|
23,885
|
|
|
$
|
26,338
|
|
|
$
|
—
|
|
|
$
|
(1,052
|
)
|
|
$
|
25,286
|
|
Fannie Mae
|
36,379
|
|
|
20
|
|
|
(895
|
)
|
|
35,504
|
|
|
43,984
|
|
|
8
|
|
|
(1,384
|
)
|
|
42,608
|
|
||||||||
Ginnie Mae
|
3,233
|
|
|
—
|
|
|
(103
|
)
|
|
3,130
|
|
|
3,627
|
|
|
—
|
|
|
(127
|
)
|
|
3,500
|
|
||||||||
Total Agency ARMs (1)
|
64,230
|
|
|
20
|
|
|
(1,731
|
)
|
|
62,519
|
|
|
73,949
|
|
|
8
|
|
|
(2,563
|
)
|
|
71,394
|
|
||||||||
Agency Fixed- Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Freddie Mac
|
82,165
|
|
|
650
|
|
|
(502
|
)
|
|
82,313
|
|
|
87,018
|
|
|
—
|
|
|
(2,526
|
)
|
|
84,492
|
|
||||||||
Fannie Mae
|
856,313
|
|
|
1,080
|
|
|
(8,025
|
)
|
|
849,368
|
|
|
915,039
|
|
|
—
|
|
|
(33,195
|
)
|
|
881,844
|
|
||||||||
Total Agency Fixed-Rate
|
938,478
|
|
|
1,730
|
|
|
(8,527
|
)
|
|
931,681
|
|
|
1,002,057
|
|
|
—
|
|
|
(35,721
|
)
|
|
966,336
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total Agency RMBS
|
1,002,708
|
|
|
1,750
|
|
|
(10,258
|
)
|
|
994,200
|
|
|
1,076,006
|
|
|
8
|
|
|
(38,284
|
)
|
|
1,037,730
|
|
||||||||
Non-Agency RMBS (1)(2)
|
428,443
|
|
|
4,719
|
|
|
(322
|
)
|
|
432,840
|
|
|
215,337
|
|
|
166
|
|
|
(1,466
|
)
|
|
214,037
|
|
||||||||
CMBS (1) (3)
|
276,947
|
|
|
15,300
|
|
|
(157
|
)
|
|
292,090
|
|
|
243,046
|
|
|
17,815
|
|
|
(376
|
)
|
|
260,485
|
|
||||||||
ABS
|
24,768
|
|
|
—
|
|
|
(29
|
)
|
|
24,739
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total investment securities available for sale
|
$
|
1,732,866
|
|
|
$
|
21,769
|
|
|
$
|
(10,766
|
)
|
|
$
|
1,743,869
|
|
|
$
|
1,534,389
|
|
|
$
|
17,989
|
|
|
$
|
(40,126
|
)
|
|
$
|
1,512,252
|
|
(1)
|
For the Company's Agency ARMs, non-Agency RMBS, and CMBS securities with stated reset periods, the weighted average reset periods are 28 months, five months, and one month, respectively.
|
(2)
|
Includes $3.1 million in non-Agency RMBS purchased not yet settled, which are included in accrued expenses and other liabilities on the Company's condensed consolidated balance sheet.
|
(3)
|
Included in CMBS is $52.7 million of first loss POs and certain IOs held in securitization trusts as of December 31, 2018.
|
Weighted Average Life
|
June 30, 2019
|
|
December 31, 2018
|
||||
0 to 5 years
|
$
|
670,546
|
|
|
$
|
456,947
|
|
Over 5 to 10 years
|
733,319
|
|
|
1,043,369
|
|
||
10+ years
|
340,004
|
|
|
11,936
|
|
||
Total
|
$
|
1,743,869
|
|
|
$
|
1,512,252
|
|
June 30, 2019
|
Less than 12 months
|
|
Greater than 12 months
|
|
Total
|
||||||||||||||||||
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
||||||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
617,454
|
|
|
$
|
(10,258
|
)
|
|
$
|
617,454
|
|
|
$
|
(10,258
|
)
|
Non-Agency RMBS
|
36,903
|
|
|
(309
|
)
|
|
133
|
|
|
(13
|
)
|
|
37,036
|
|
|
(322
|
)
|
||||||
CMBS
|
31,310
|
|
|
(157
|
)
|
|
—
|
|
|
—
|
|
|
31,310
|
|
|
(157
|
)
|
||||||
ABS
|
24,739
|
|
|
(29
|
)
|
|
—
|
|
|
—
|
|
|
24,739
|
|
|
(29
|
)
|
||||||
Total investment securities available for sale
|
$
|
92,952
|
|
|
$
|
(495
|
)
|
|
$
|
617,587
|
|
|
$
|
(10,271
|
)
|
|
$
|
710,539
|
|
|
$
|
(10,766
|
)
|
December 31, 2018
|
Less than 12 months
|
|
Greater than 12 months
|
|
Total
|
||||||||||||||||||
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
||||||||||||
Agency RMBS
|
$
|
310,783
|
|
|
$
|
(8,037
|
)
|
|
$
|
726,028
|
|
|
$
|
(30,247
|
)
|
|
$
|
1,036,811
|
|
|
$
|
(38,284
|
)
|
Non-Agency RMBS
|
187,395
|
|
|
(1,451
|
)
|
|
158
|
|
|
(15
|
)
|
|
187,553
|
|
|
(1,466
|
)
|
||||||
CMBS
|
75,292
|
|
|
(376
|
)
|
|
—
|
|
|
—
|
|
|
75,292
|
|
|
(376
|
)
|
||||||
Total investment securities available for sale
|
$
|
573,470
|
|
|
$
|
(9,864
|
)
|
|
$
|
726,186
|
|
|
$
|
(30,262
|
)
|
|
$
|
1,299,656
|
|
|
$
|
(40,126
|
)
|
4.
|
Distressed and Other Residential Mortgage Loans, At Fair Value
|
|
Principal
|
|
Premium/(Discount)
|
|
Unrealized Gains/(Losses)
|
|
Carrying Value
|
||||||||
June 30, 2019
|
$
|
1,110,163
|
|
|
$
|
(70,026
|
)
|
|
$
|
21,817
|
|
|
$
|
1,061,954
|
|
December 31, 2018
|
788,372
|
|
|
(54,905
|
)
|
|
4,056
|
|
|
737,523
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Net realized gain on payoff and sale of loans
|
$
|
2,394
|
|
|
$
|
330
|
|
|
$
|
5,519
|
|
|
$
|
369
|
|
Net unrealized gains (losses)
|
9,877
|
|
|
(233
|
)
|
|
17,762
|
|
|
(439
|
)
|
|
June 30, 2019
|
|
December 31, 2018
|
||
California
|
23.7
|
%
|
|
27.9
|
%
|
Florida
|
9.8
|
%
|
|
9.0
|
%
|
Texas
|
5.7
|
%
|
|
4.2
|
%
|
New York
|
5.6
|
%
|
|
5.1
|
%
|
|
Fair Value
|
|
Unpaid Principal Balance
|
||||
June 30, 2019
|
$
|
58,628
|
|
|
$
|
73,120
|
|
December 31, 2018
|
60,117
|
|
|
75,167
|
|
5.
|
Distressed and Other Residential Mortgage Loans, Net
|
|
June 30, 2019
|
|
June 30, 2018
|
||||
Balance at beginning of period
|
$
|
195,560
|
|
|
$
|
303,949
|
|
Additions
|
2,369
|
|
|
3,314
|
|
||
Disposals
|
(45,004
|
)
|
|
(37,665
|
)
|
||
Accretion
|
(2,370
|
)
|
|
(8,074
|
)
|
||
Balance at end of period (1)
|
$
|
150,555
|
|
|
$
|
261,524
|
|
(1)
|
Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from nonaccretable yield. Disposals include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield. The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continues to update its estimates regarding the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded in each of the six month periods ended June 30, 2019 and 2018 is not necessarily indicative of future results.
|
|
June 30, 2019
|
|
December 31, 2018
|
||
North Carolina
|
10.1
|
%
|
|
9.0
|
%
|
Florida
|
9.9
|
%
|
|
10.4
|
%
|
Georgia
|
7.0
|
%
|
|
7.2
|
%
|
South Carolina
|
5.6
|
%
|
|
5.6
|
%
|
Virginia
|
5.6
|
%
|
|
5.3
|
%
|
Texas
|
5.5
|
%
|
|
4.9
|
%
|
New York
|
5.4
|
%
|
|
5.4
|
%
|
Ohio
|
5.2
|
%
|
|
5.0
|
%
|
|
June 30, 2019
|
|
December 31, 2018
|
||||
Unpaid principal balance
|
$
|
51,986
|
|
|
$
|
60,171
|
|
Deferred origination costs – net
|
334
|
|
|
383
|
|
||
Reserve for loan losses
|
(3,521
|
)
|
|
(3,759
|
)
|
||
Total
|
$
|
48,799
|
|
|
$
|
56,795
|
|
|
Six Months Ended June 30,
|
||||||
|
2019
|
|
2018
|
||||
Balance at beginning of period
|
$
|
3,759
|
|
|
$
|
4,191
|
|
Provision for (recovery of) loan losses
|
38
|
|
|
(110
|
)
|
||
Transfer to real estate owned
|
(167
|
)
|
|
—
|
|
||
Charge-offs
|
(109
|
)
|
|
(237
|
)
|
||
Balance at the end of period
|
$
|
3,521
|
|
|
$
|
3,844
|
|
Days Late
|
Number of
Delinquent
Loans
|
|
Total
Unpaid
Principal
|
|
% of Loan
Portfolio
|
|||
30-60
|
1
|
|
$
|
264
|
|
|
0.50
|
%
|
90 +
|
18
|
|
$
|
10,384
|
|
|
19.85
|
%
|
Real estate owned through foreclosure
|
1
|
|
$
|
360
|
|
|
0.69
|
%
|
Days Late
|
Number of Delinquent
Loans
|
|
Total
Unpaid Principal
|
|
% of Loan
Portfolio
|
|||
90 +
|
19
|
|
$
|
10,926
|
|
|
18.16
|
%
|
|
June 30, 2019
|
|
December 31, 2018
|
||
New York
|
34.7
|
%
|
|
33.9
|
%
|
Massachusetts
|
17.6
|
%
|
|
20.0
|
%
|
New Jersey
|
15.1
|
%
|
|
14.5
|
%
|
Florida
|
11.2
|
%
|
|
9.9
|
%
|
Maryland
|
5.4
|
%
|
|
5.3
|
%
|
6.
|
Consolidated K-Series
|
Balance Sheets
|
June 30, 2019
|
|
December 31, 2018
|
||||
Assets
|
|
|
|
||||
Multi-family loans held in securitization trusts, at fair value
|
$
|
14,573,925
|
|
|
$
|
11,679,847
|
|
Receivables
|
48,958
|
|
|
41,850
|
|
||
Total Assets
|
$
|
14,622,883
|
|
|
$
|
11,721,697
|
|
Liabilities and Equity
|
|
|
|
||||
Multi-family CDOs, at fair value
|
$
|
13,772,726
|
|
|
$
|
11,022,248
|
|
Accrued expenses
|
47,921
|
|
|
41,102
|
|
||
Total Liabilities
|
13,820,647
|
|
|
11,063,350
|
|
||
Equity
|
802,236
|
|
|
658,347
|
|
||
Total Liabilities and Equity
|
$
|
14,622,883
|
|
|
$
|
11,721,697
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
Statements of Operations
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Interest income
|
$
|
133,157
|
|
|
$
|
85,629
|
|
|
$
|
244,925
|
|
|
$
|
170,721
|
|
Interest expense
|
114,914
|
|
|
74,686
|
|
|
211,711
|
|
|
149,165
|
|
||||
Net interest income
|
18,243
|
|
|
10,943
|
|
|
33,214
|
|
|
21,556
|
|
||||
Unrealized gain on multi-family loans and debt held in securitization trusts, net
|
5,207
|
|
|
12,019
|
|
|
14,617
|
|
|
19,564
|
|
||||
Net income
|
$
|
23,450
|
|
|
$
|
22,962
|
|
|
$
|
47,831
|
|
|
$
|
41,120
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||
California
|
16.1
|
%
|
|
14.8
|
%
|
Texas
|
12.4
|
%
|
|
13.0
|
%
|
Maryland
|
5.8
|
%
|
|
5.0
|
%
|
New York
|
5.1
|
%
|
|
6.4
|
%
|
Florida
|
5.0
|
%
|
|
4.5
|
%
|
7.
|
Investments in Unconsolidated Entities
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||
Investment Name
|
|
Ownership Interest
|
|
Carrying Amount
|
|
Ownership Interest
|
|
Carrying Amount
|
||||
BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively)
|
|
45%
|
|
$
|
9,503
|
|
|
45%
|
|
$
|
8,948
|
|
Somerset Deerfield Investor, LLC
|
|
45%
|
|
16,796
|
|
|
45%
|
|
16,266
|
|
||
RS SWD Owner, LLC, RS SWD Mitchell Owner, LLC, RS SWD IF Owner, LLC, RS SWD Mullis Owner, LLC, RS SWD JH Mullis Owner, LLC and RS SWD Saltzman Owner, LLC (collectively)
|
|
43%
|
|
4,792
|
|
|
43%
|
|
4,714
|
|
||
Audubon Mezzanine Holdings, L.L.C. (Series A)
|
|
57%
|
|
10,795
|
|
|
57%
|
|
10,544
|
|
||
EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively)
|
|
46%
|
|
6,687
|
|
|
—
|
|
—
|
|
||
Walnut Creek Properties Holdings, L.L.C.
|
|
36%
|
|
8,093
|
|
|
—
|
|
—
|
|
||
Towers Property Holdings, LLC
|
|
37%
|
|
10,885
|
|
|
—
|
|
—
|
|
||
Mansions Property Holdings, LLC
|
|
34%
|
|
10,489
|
|
|
—
|
|
—
|
|
||
Total - Equity Method
|
|
|
|
$
|
78,040
|
|
|
|
|
$
|
40,472
|
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||
Investment Name
|
|
Ownership Interest
|
|
Carrying Amount
|
|
Ownership Interest
|
|
Carrying Amount
|
||||
Joint venture equity investments in multi-family properties
|
|
|
|
|
|
|
|
|
||||
Evergreens JV Holdings, LLC
|
|
85%
|
|
$
|
12,500
|
|
|
85%
|
|
$
|
8,200
|
|
The Preserve at Port Royal Venture, LLC
|
|
77%
|
|
14,260
|
|
|
77%
|
|
13,840
|
|
||
Equity investments in entities that invest in residential properties and loans
|
|
|
|
|
|
|
|
|
||||
Morrocroft Neighborhood Stabilization Fund II, LP
|
|
11%
|
|
11,348
|
|
|
11%
|
|
10,954
|
|
||
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
|
49%
|
|
50,000
|
|
|
—
|
|
—
|
|
||
Total - Fair Value Option
|
|
|
|
$
|
88,108
|
|
|
|
|
$
|
32,994
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
Investment Name
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively)
|
|
$
|
287
|
|
|
$
|
259
|
|
|
$
|
562
|
|
|
$
|
512
|
|
Somerset Deerfield Investor, LLC
|
|
492
|
|
|
—
|
|
|
970
|
|
|
—
|
|
||||
RS SWD Owner, LLC, RS SWD Mitchell Owner, LLC, RS SWD IF Owner, LLC, RS SWD Mullis Owner, LLC, RS SWD JH Mullis Owner, LLC and RS SWD Saltzman Owner, LLC (collectively)
|
|
134
|
|
|
—
|
|
|
265
|
|
|
—
|
|
||||
Audubon Mezzanine Holdings, L.L.C. (Series A)
|
|
304
|
|
|
—
|
|
|
601
|
|
|
—
|
|
||||
EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively)
|
|
188
|
|
|
—
|
|
|
353
|
|
|
—
|
|
||||
Walnut Creek Properties Holdings, L.L.C.
|
|
231
|
|
|
—
|
|
|
328
|
|
|
—
|
|
||||
Towers Property Holdings, LLC
|
|
10
|
|
|
—
|
|
|
10
|
|
|
—
|
|
||||
Mansions Property Holdings, LLC
|
|
10
|
|
|
—
|
|
|
10
|
|
|
—
|
|
||||
Evergreens JV Holdings, LLC
|
|
1,289
|
|
|
171
|
|
|
4,513
|
|
|
365
|
|
||||
The Preserve at Port Royal Venture, LLC
|
|
409
|
|
|
419
|
|
|
847
|
|
|
902
|
|
||||
WR Savannah Holdings, LLC
|
|
—
|
|
|
1,269
|
|
|
—
|
|
|
1,629
|
|
||||
Morrocroft Neighborhood Stabilization Fund II, LP
|
|
163
|
|
|
398
|
|
|
395
|
|
|
680
|
|
8.
|
Preferred Equity and Mezzanine Loan Investments
|
|
June 30, 2019
|
|
December 31, 2018
|
||||
Investment amount
|
$
|
192,814
|
|
|
$
|
166,789
|
|
Deferred loan fees, net
|
(1,427
|
)
|
|
(1,234
|
)
|
||
Total
|
$
|
191,387
|
|
|
$
|
165,555
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||
Texas
|
17.0
|
%
|
|
16.6
|
%
|
Tennessee
|
11.3
|
%
|
|
6.8
|
%
|
Georgia
|
10.8
|
%
|
|
15.3
|
%
|
Alabama
|
10.3
|
%
|
|
8.6
|
%
|
Florida
|
10.0
|
%
|
|
11.3
|
%
|
South Carolina
|
8.4
|
%
|
|
9.5
|
%
|
Virginia
|
7.9
|
%
|
|
9.1
|
%
|
9.
|
Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE)
|
•
|
whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and
|
•
|
whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.
|
|
Financing VIE
|
|
Other VIEs
|
|
|
||||||||||
|
Residential
Mortgage
Loan Securitization
|
|
Consolidated K-Series
|
|
Other
|
|
Total
|
||||||||
Cash and cash equivalents
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,513
|
|
|
$
|
1,513
|
|
Residential mortgage loans held in securitization trusts, net
|
48,799
|
|
|
—
|
|
|
—
|
|
|
48,799
|
|
||||
Multi-family loans held in securitization trusts, at fair value
|
—
|
|
|
14,573,925
|
|
|
—
|
|
|
14,573,925
|
|
||||
Receivables and other assets
|
1,302
|
|
|
48,958
|
|
|
16,984
|
|
|
67,244
|
|
||||
Total assets
|
$
|
50,101
|
|
|
$
|
14,622,883
|
|
|
$
|
18,497
|
|
|
$
|
14,691,481
|
|
|
|
|
|
|
|
|
|
||||||||
Residential collateralized debt obligations
|
$
|
45,280
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
45,280
|
|
Multi-family collateralized debt obligations, at fair value
|
—
|
|
|
13,772,726
|
|
|
—
|
|
|
13,772,726
|
|
||||
Mortgages and notes payable in consolidated variable interest entities
|
—
|
|
|
—
|
|
|
3,986
|
|
|
3,986
|
|
||||
Accrued expenses and other liabilities
|
40
|
|
|
47,921
|
|
|
111
|
|
|
48,072
|
|
||||
Total liabilities
|
$
|
45,320
|
|
|
$
|
13,820,647
|
|
|
$
|
4,097
|
|
|
$
|
13,870,064
|
|
|
Financing VIEs
|
|
Other VIEs
|
|
|
||||||||||||||||||
|
Multi-family
CMBS Re-
securitization (1)
|
|
Distressed
Residential
Mortgage
Loan
Securitization (2)
|
|
Residential
Mortgage
Loan Securitization
|
|
Consolidated K-Series(3)
|
|
Other
|
|
Total
|
||||||||||||
Cash and cash equivalents
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
708
|
|
|
$
|
708
|
|
Investment securities available for sale, at fair value held in securitization trusts
|
52,700
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
52,700
|
|
||||||
Residential mortgage loans held in securitization trusts, net
|
—
|
|
|
—
|
|
|
56,795
|
|
|
—
|
|
|
—
|
|
|
56,795
|
|
||||||
Distressed residential mortgage loans held in securitization trusts, net
|
—
|
|
|
88,096
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
88,096
|
|
||||||
Multi-family loans held in securitization trusts, at fair value
|
1,107,071
|
|
|
—
|
|
|
—
|
|
|
10,572,776
|
|
|
—
|
|
|
11,679,847
|
|
||||||
Real estate held for sale in consolidated variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,704
|
|
|
29,704
|
|
||||||
Receivables and other assets
|
4,243
|
|
|
10,287
|
|
|
1,061
|
|
|
37,679
|
|
|
23,254
|
|
|
76,524
|
|
||||||
Total assets
|
$
|
1,164,014
|
|
|
$
|
98,383
|
|
|
$
|
57,856
|
|
|
$
|
10,610,455
|
|
|
$
|
53,666
|
|
|
$
|
11,984,374
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential collateralized debt obligations
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
53,040
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
53,040
|
|
Multi-family collateralized debt obligations, at fair value
|
1,036,604
|
|
|
—
|
|
|
—
|
|
|
9,985,644
|
|
|
—
|
|
|
11,022,248
|
|
||||||
Securitized debt
|
30,121
|
|
|
12,214
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
42,335
|
|
||||||
Mortgages and notes payable in consolidated variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,227
|
|
|
31,227
|
|
||||||
Accrued expenses and other liabilities
|
4,228
|
|
|
444
|
|
|
26
|
|
|
37,022
|
|
|
1,166
|
|
|
42,886
|
|
||||||
Total liabilities
|
$
|
1,070,953
|
|
|
$
|
12,658
|
|
|
$
|
53,066
|
|
|
$
|
10,022,666
|
|
|
$
|
32,393
|
|
|
$
|
11,191,736
|
|
(1)
|
The Company classified the multi-family CMBS issued by two securitizations and held by this Financing VIE as available for sale securities. The Financing VIE consolidated one securitization included in the Consolidated K-Series that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization (see Note 6).
|
(2)
|
The Company engaged in this transaction for the purpose of financing certain distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of re-performing and, to a lesser extent, non-performing and other delinquent mortgage loans secured by first liens on one- to four- family properties. Balances as of December 31, 2018 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company held 5% of the Class A Notes issued as part of the securitization transaction, which were eliminated in consolidation.
|
(3)
|
Eight of the securitizations included in the Consolidated K-Series were not held in a Financing VIE as of December 31, 2018.
|
|
Multi-family CMBS
Re-securitization (1)
|
|
Distressed
Residential Mortgage
Loan Securitization
|
||||
Principal Amount at December 31, 2018
|
$
|
33,177
|
|
|
$
|
12,381
|
|
Carrying Value at December 31, 2018 (2)
|
$
|
30,121
|
|
|
$
|
12,214
|
|
Pass-through rate of notes issued
|
5.35
|
%
|
|
4.00
|
%
|
(1)
|
The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio. As a result of engaging in this transaction, the Company remained economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE.
|
(2)
|
Presented net of unamortized deferred costs of $0.2 million related to the issuance of the securitized debt, which included underwriting, rating agency, legal, accounting and other fees.
|
Scheduled Maturity (principal amount)
|
December 31, 2018
|
||
Within 24 months
|
$
|
12,381
|
|
Over 24 months to 36 months
|
—
|
|
|
Over 36 months
|
33,177
|
|
|
Total
|
45,558
|
|
|
Discount
|
(2,983
|
)
|
|
Debt issuance cost
|
(240
|
)
|
|
Carrying value
|
$
|
42,335
|
|
|
June 30, 2019
|
||||||||||||||
|
Investment
securities,
available for
sale, at fair value
|
|
Preferred equity and mezzanine loan investments
|
|
Investments in unconsolidated entities
|
|
Total
|
||||||||
ABS
|
$
|
24,739
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
24,739
|
|
Preferred equity investments in multi-family properties
|
—
|
|
|
184,727
|
|
|
78,040
|
|
|
262,767
|
|
||||
Mezzanine loans on multi-family properties
|
—
|
|
|
6,660
|
|
|
—
|
|
|
6,660
|
|
||||
Equity investments in entities that invest in residential properties and loans
|
—
|
|
|
—
|
|
|
61,348
|
|
|
61,348
|
|
||||
Total assets
|
$
|
24,739
|
|
|
$
|
191,387
|
|
|
$
|
139,388
|
|
|
$
|
355,514
|
|
|
December 31, 2018
|
||||||||||||||||||
|
Investment
securities,
available for
sale, at fair
value, held in securitization trusts
|
|
Receivables and other assets
|
|
Preferred equity and mezzanine loan investments
|
|
Investments in unconsolidated entities
|
|
Total
|
||||||||||
Multi-family CMBS
|
$
|
52,700
|
|
|
$
|
72
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
52,772
|
|
Preferred equity investments in multi-family properties
|
—
|
|
|
—
|
|
|
154,629
|
|
|
40,472
|
|
|
195,101
|
|
|||||
Mezzanine loans on multi-family properties
|
—
|
|
|
—
|
|
|
10,926
|
|
|
—
|
|
|
10,926
|
|
|||||
Equity investments in entities that invest in residential properties
|
—
|
|
|
—
|
|
|
—
|
|
|
10,954
|
|
|
10,954
|
|
|||||
Total assets
|
$
|
52,700
|
|
|
$
|
72
|
|
|
$
|
165,555
|
|
|
$
|
51,426
|
|
|
$
|
269,753
|
|
10.
|
Real Estate Held for Sale in Consolidated VIEs
|
|
December 31, 2018
|
||
Land
|
$
|
2,650
|
|
Building and improvements
|
26,032
|
|
|
Furniture, fixtures and equipment
|
974
|
|
|
Lease intangible
|
2,802
|
|
|
Real estate held for sale before accumulated depreciation and amortization
|
32,458
|
|
|
Accumulated depreciation (1)
|
(418
|
)
|
|
Accumulated amortization of lease intangible (1)
|
(2,336
|
)
|
|
Real estate held for sale in consolidated variable interest entities
|
$
|
29,704
|
|
(1)
|
There were no depreciation and amortization expenses for the three and six months ended June 30, 2019 and 2018.
|
11.
|
Derivative Instruments and Hedging Activities
|
Type of Derivative Instrument
|
|
Balance Sheet Location
|
|
June 30, 2019
|
|
December 31, 2018
|
||||
Interest rate swaps (1)
|
|
Derivative assets
|
|
$
|
14,047
|
|
|
$
|
10,263
|
|
(1)
|
All of the Company's interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is treated as a legal settlement of the exposure under the swap contract. Previously such payments were treated as cash collateral pledged against the exposure under the swap contract. Accordingly, the Company accounted for the receipt or payment of variation margin as a direct reduction to or increase of the carrying value of the interest rate swap asset or liability on the Company's condensed consolidated balance sheets. Includes $27.8 million of derivative liabilities netted against a variation margin of $41.9 million at June 30, 2019. Includes $1.8 million of derivative assets and variation margin of $8.5 million at December 31, 2018.
|
|
|
Notional Amount For the Six Months Ended June 30, 2019
|
||||||||||||||
Type of Derivative Instrument
|
|
December 31, 2018
|
|
Additions
|
|
Settlement,
Expiration
or Exercise
|
|
June 30, 2019
|
||||||||
Interest rate swaps
|
|
$
|
495,500
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
495,500
|
|
|
|
Notional Amount For the Six Months Ended June 30, 2018
|
||||||||||||||
Type of Derivative Instrument
|
|
December 31, 2017
|
|
Additions
|
|
Settlement,
Expiration
or Exercise
|
|
June 30, 2018
|
||||||||
Interest rate swaps
|
|
$
|
345,500
|
|
|
$
|
50,000
|
|
|
$
|
—
|
|
|
$
|
395,500
|
|
|
Three Months Ended June 30,
|
||||||||||||||
|
2019
|
|
2018
|
||||||||||||
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
||||||||
Interest rate swaps
|
$
|
—
|
|
|
$
|
(15,007
|
)
|
|
$
|
—
|
|
|
$
|
5,135
|
|
Total
|
$
|
—
|
|
|
$
|
(15,007
|
)
|
|
$
|
—
|
|
|
$
|
5,135
|
|
|
|
|
|
|
|
|
|
||||||||
|
Six Months Ended June 30,
|
||||||||||||||
|
2019
|
|
2018
|
||||||||||||
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
||||||||
Interest rate swaps
|
$
|
—
|
|
|
$
|
(29,593
|
)
|
|
$
|
—
|
|
|
$
|
14,103
|
|
Total
|
$
|
—
|
|
|
$
|
(29,593
|
)
|
|
$
|
—
|
|
|
$
|
14,103
|
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
Swap Maturities
|
|
Notional
Amount
|
|
Weighted Average
Fixed Interest Rate
|
|
Weighted Average
Variable Interest Rate |
|
Notional
Amount
|
|
Weighted Average
Fixed
Interest Rate
|
|
Weighted Average
Variable Interest Rate |
||||||||
2024
|
|
$
|
98,000
|
|
|
2.18
|
%
|
|
2.59
|
%
|
|
$
|
98,000
|
|
|
2.18
|
%
|
|
2.45
|
%
|
2027
|
|
247,500
|
|
|
2.39
|
%
|
|
2.57
|
%
|
|
247,500
|
|
|
2.39
|
%
|
|
2.53
|
%
|
||
2028
|
|
150,000
|
|
|
3.23
|
%
|
|
2.57
|
%
|
|
150,000
|
|
|
3.23
|
%
|
|
2.53
|
%
|
||
Total
|
|
$
|
495,500
|
|
|
2.60
|
%
|
|
2.57
|
%
|
|
$
|
495,500
|
|
|
2.60
|
%
|
|
2.52
|
%
|
12.
|
Repurchase Agreements
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||
|
Outstanding
Repurchase Agreements
|
|
Fair Value of
Collateral
Pledged
|
|
Amortized
Cost
of Collateral
Pledged
|
|
Outstanding
Repurchase Agreements
|
|
Fair Value of
Collateral
Pledged
|
|
Amortized
Cost
of Collateral
Pledged
|
||||||||||||
Agency ARMs RMBS
|
$
|
58,802
|
|
|
$
|
62,295
|
|
|
$
|
64,004
|
|
|
$
|
67,648
|
|
|
$
|
70,747
|
|
|
$
|
73,290
|
|
Agency Fixed-rate RMBS
|
812,811
|
|
|
858,359
|
|
|
863,160
|
|
|
857,582
|
|
|
907,610
|
|
|
940,994
|
|
||||||
Non-Agency RMBS
|
172,108
|
|
|
234,583
|
|
|
232,657
|
|
|
88,730
|
|
|
117,958
|
|
|
118,414
|
|
||||||
CMBS (1)
|
800,094
|
|
|
1,001,725
|
|
|
769,395
|
|
|
529,617
|
|
|
687,876
|
|
|
539,788
|
|
||||||
Balance at end of the period
|
$
|
1,843,815
|
|
|
$
|
2,156,962
|
|
|
$
|
1,929,216
|
|
|
$
|
1,543,577
|
|
|
$
|
1,784,191
|
|
|
$
|
1,672,486
|
|
(1)
|
Includes first loss PO, IO and mezzanine CMBS securities with a fair value amounting to $755.3 million and $543.0 million included in the Consolidated K-Series as of June 30, 2019 and December 31, 2018, respectively.
|
Contractual Maturity
|
June 30, 2019
|
|
December 31, 2018
|
||||
Within 30 days
|
$
|
240,210
|
|
|
$
|
732,051
|
|
Over 30 days to 90 days
|
1,188,847
|
|
|
677,906
|
|
||
Over 90 days
|
414,758
|
|
|
133,620
|
|
||
Total
|
$
|
1,843,815
|
|
|
$
|
1,543,577
|
|
|
Maximum Aggregate Uncommitted Principal Amount
|
|
Outstanding
Repurchase Agreements
|
|
Carrying Value of Loans Pledged (1)
|
|
Weighted Average Rate
|
|
Weighted Average Months to Maturity
|
|||||||
June 30, 2019
|
$
|
950,000
|
|
|
$
|
761,361
|
|
|
$
|
891,664
|
|
|
4.43
|
%
|
|
7.01
|
December 31, 2018
|
$
|
950,000
|
|
|
$
|
589,148
|
|
|
$
|
754,352
|
|
|
4.67
|
%
|
|
9.24
|
(1)
|
Includes distressed and other residential mortgage loans at fair value of $806.6 million and $626.2 million and distressed and other residential mortgage loans, net of $85.1 million and $128.1 million at June 30, 2019 and December 31, 2018, respectively.
|
13.
|
Residential Collateralized Debt Obligations
|
14.
|
Debt
|
|
NYM Preferred Trust I
|
|
NYM Preferred Trust II
|
||||
Principal value of trust preferred securities
|
$
|
25,000
|
|
|
$
|
20,000
|
|
Interest rate
|
Three month LIBOR plus 3.75%, resetting quarterly
|
|
|
Three month LIBOR plus 3.95%, resetting quarterly
|
|
||
Scheduled maturity
|
March 30, 2035
|
|
|
October 30, 2035
|
|
|
|
|
|
Mortgage Note Amount as of
|
|
|
|
|
|
|
|||||
|
|
Assumption/Origination Date
|
|
June 30, 2019
|
|
Maturity Date
|
|
Interest Rate
|
|
Net Deferred Finance Costs
|
|||||
KRVI
|
|
12/16/2016
|
|
$
|
3,986
|
|
|
12/16/2019
|
|
7.00
|
%
|
|
$
|
—
|
|
Year Ending December 31,
|
Total
|
||
2019
|
$
|
3,986
|
|
2020
|
—
|
|
|
2021
|
—
|
|
|
2022
|
138,000
|
|
|
2023
|
—
|
|
|
Thereafter
|
45,000
|
|
|
|
$
|
186,986
|
|
15.
|
Commitments and Contingencies
|
16.
|
Fair Value of Financial Instruments
|
a.
|
Investment Securities Available for Sale – The Company determines the fair value of the investment securities in our portfolio, except the CMBS held in securitization trusts, using a third-party pricing service or quoted prices provided by dealers who make markets in similar financial instruments. Dealer valuations typically incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security. If quoted prices for a security are not reasonably available from a dealer, the security will be classified as a Level 3 security and, as a result, management will determine fair value by modeling the security based on its specific characteristics and available market information. Management reviews all prices used in determining fair value to ensure they represent current market conditions. This review includes surveying similar market transactions, comparisons to interest pricing models as well as offerings of like securities by dealers. The Company's investment securities, except the CMBS held in securitization trusts, are valued based upon readily observable market parameters and are classified as Level 2 fair values.
|
b.
|
Multi-Family Loans Held in Securitization Trusts – Multi-family loans held in securitization trusts are carried at fair value as a result of a fair value election and classified as Level 3 fair values. The Company determines the fair value of multi-family loans held in securitization trusts based on the fair value of its Multi-Family CDOs and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable.
|
c.
|
Derivative Instruments – The fair value of interest rate swaps are based on dealer quotes and are presented net of variation margin payments pledged or received. The Company’s derivatives are classified as Level 2 fair values.
|
d.
|
Multi-Family CDOs – Multi-Family CDOs are recorded at fair value and classified as Level 3 fair values. The fair value of Multi-Family CDOs is determined using a third party pricing service or are based on quoted prices provided by dealers who make markets in similar financial instruments. The dealers will consider contractual cash payments and yields expected by market participants. Dealers also incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security.
|
e.
|
Investments in Unconsolidated Entities – Fair value for investments in unconsolidated entities is determined based on a valuation model using assumptions for the timing and amount of expected future cash flow for income and realization events for the underlying assets in the unconsolidated entities and a discount rate. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy.
|
f.
|
Residential Mortgage Loans – Certain of the Company’s acquired distressed and other residential mortgage loans are recorded at fair value and classified as Level 3 in the fair value hierarchy. The fair value for distressed and other residential mortgage loans is determined using valuations obtained from a third party that specializes in providing valuations of residential mortgage loans. The valuation approach depends on whether the residential mortgage loan is considered performing, re-performing or non-performing at the date the valuation is performed.
|
|
Measured at Fair Value on a Recurring Basis at
|
||||||||||||||||||||||||||||||
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||||||
Assets carried at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Investment securities available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
994,200
|
|
|
$
|
—
|
|
|
$
|
994,200
|
|
|
$
|
—
|
|
|
$
|
1,037,730
|
|
|
$
|
—
|
|
|
$
|
1,037,730
|
|
Non-Agency RMBS
|
—
|
|
|
432,840
|
|
|
—
|
|
|
432,840
|
|
|
—
|
|
|
214,037
|
|
|
—
|
|
|
214,037
|
|
||||||||
CMBS
|
—
|
|
|
292,090
|
|
|
—
|
|
|
292,090
|
|
|
—
|
|
|
207,785
|
|
|
52,700
|
|
|
260,485
|
|
||||||||
ABS
|
—
|
|
|
24,739
|
|
|
—
|
|
|
24,739
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Multi-family loans held in securitization trusts
|
—
|
|
|
—
|
|
|
14,573,925
|
|
|
14,573,925
|
|
|
—
|
|
|
—
|
|
|
11,679,847
|
|
|
11,679,847
|
|
||||||||
Distressed and other residential mortgage loans, at fair value
|
—
|
|
|
—
|
|
|
1,061,954
|
|
|
1,061,954
|
|
|
—
|
|
|
—
|
|
|
737,523
|
|
|
737,523
|
|
||||||||
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps (1)
|
—
|
|
|
14,047
|
|
|
—
|
|
|
14,047
|
|
|
—
|
|
|
10,263
|
|
|
—
|
|
|
10,263
|
|
||||||||
Investments in unconsolidated entities
|
—
|
|
|
—
|
|
|
88,108
|
|
|
88,108
|
|
|
—
|
|
|
—
|
|
|
32,994
|
|
|
32,994
|
|
||||||||
Total
|
$
|
—
|
|
|
$
|
1,757,916
|
|
|
$
|
15,723,987
|
|
|
$
|
17,481,903
|
|
|
$
|
—
|
|
|
$
|
1,469,815
|
|
|
$
|
12,503,064
|
|
|
$
|
13,972,879
|
|
Liabilities carried at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Multi-family collateralized debt obligations
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13,772,726
|
|
|
$
|
13,772,726
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,022,248
|
|
|
$
|
11,022,248
|
|
Total
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13,772,726
|
|
|
$
|
13,772,726
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,022,248
|
|
|
$
|
11,022,248
|
|
(1)
|
All of the Company's interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. Includes derivative liabilities of $27.8 million netted against a variation margin of $41.9 million at June 30, 2019. Includes derivative assets of $1.8 million and variation margin of $8.5 million at December 31, 2018.
|
|
Six Months Ended June 30, 2019
|
|||||||||||||||
|
Multi-family loans held in securitization trusts
|
Distressed and other residential mortgage loans
|
Investments in unconsolidated entities
|
CMBS held in securitization trusts
|
|
Total
|
||||||||||
Balance at beginning of period
|
$
|
11,679,847
|
|
$
|
737,523
|
|
$
|
32,994
|
|
$
|
52,700
|
|
|
$
|
12,503,064
|
|
Total gains/(losses) (realized/unrealized)
|
|
|
|
|
|
|
||||||||||
Included in earnings
|
574,231
|
|
25,359
|
|
5,753
|
|
17,734
|
|
|
623,077
|
|
|||||
Included in other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
(13,665
|
)
|
|
(13,665
|
)
|
|||||
Transfers in
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
|||||
Transfers out
|
—
|
|
(182
|
)
|
—
|
|
—
|
|
|
(182
|
)
|
|||||
Contributions
|
—
|
|
—
|
|
50,000
|
|
—
|
|
|
50,000
|
|
|||||
Paydowns/Distributions
|
(106,363
|
)
|
(61,275
|
)
|
(639
|
)
|
—
|
|
|
(168,277
|
)
|
|||||
Sales
|
—
|
|
(19,814
|
)
|
—
|
|
(56,769
|
)
|
|
(76,583
|
)
|
|||||
Purchases (1)
|
2,426,210
|
|
380,343
|
|
—
|
|
—
|
|
|
2,806,553
|
|
|||||
Balance at the end of period
|
$
|
14,573,925
|
|
$
|
1,061,954
|
|
$
|
88,108
|
|
$
|
—
|
|
|
$
|
15,723,987
|
|
(1)
|
During the six months ended June 30, 2019, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated assets of these securitizations in the amount of $2.4 billion during the six months ended June 30, 2019 (see Notes 2 and 6).
|
|
Six Months Ended June 30, 2018
|
|||||||||||||||
|
Multi-family loans held in securitization trusts
|
Distressed and other residential mortgage loans
|
Investments in unconsolidated entities
|
CMBS held in securitization trusts
|
|
Total
|
||||||||||
Balance at beginning of period
|
$
|
9,657,421
|
|
$
|
87,153
|
|
$
|
42,823
|
|
$
|
47,922
|
|
|
$
|
9,835,319
|
|
Total (losses)/gains (realized/unrealized)
|
|
|
|
|
|
|
||||||||||
Included in earnings
|
(244,181
|
)
|
(475
|
)
|
3,575
|
|
1,915
|
|
|
(239,166
|
)
|
|||||
Included in other comprehensive income (loss)
|
—
|
|
—
|
|
—
|
|
297
|
|
|
297
|
|
|||||
Transfers in
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
|||||
Transfers out
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
|||||
Contributions
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
|||||
Paydowns/Distributions
|
(67,880
|
)
|
(9,371
|
)
|
(1,246
|
)
|
—
|
|
|
(78,497
|
)
|
|||||
Sales
|
—
|
|
(2,185
|
)
|
—
|
|
—
|
|
|
(2,185
|
)
|
|||||
Purchases
|
—
|
|
94,075
|
|
—
|
|
—
|
|
|
94,075
|
|
|||||
Balance at the end of period
|
$
|
9,345,360
|
|
$
|
169,197
|
|
$
|
45,152
|
|
$
|
50,134
|
|
|
$
|
9,609,843
|
|
|
Six Months Ended June 30,
|
||||||
|
2019
|
|
2018
|
||||
Balance at beginning of period
|
$
|
11,022,248
|
|
|
$
|
9,189,459
|
|
Total losses (gains) (realized/unrealized)
|
|
|
|
||||
Included in earnings (1)
|
531,930
|
|
|
(282,738
|
)
|
||
Purchases (2)
|
2,324,639
|
|
|
—
|
|
||
Paydowns
|
(106,091
|
)
|
|
(67,880
|
)
|
||
Balance at the end of period
|
$
|
13,772,726
|
|
|
$
|
8,838,841
|
|
(1)
|
Amounts included in interest expense on Multi-Family CDOs and unrealized gain on multi-family loans and debt held in securitization trusts.
|
(2)
|
During the six months ended June 30, 2019, the Company purchased PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and include in the Consolidated K-Series. As a result, the Company consolidated liabilities of these securitizations in the amount of $2.3 billion (see Notes 2 and 6).
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Multi-family loans held in securitization trusts (1)
|
$
|
330,105
|
|
|
$
|
(47,200
|
)
|
|
$
|
604,788
|
|
|
$
|
(219,746
|
)
|
Investments in unconsolidated entities (2)
|
1,698
|
|
|
1,858
|
|
|
5,359
|
|
|
2,896
|
|
||||
Distressed and other residential mortgage loans, at fair value (3)
|
10,329
|
|
|
(34
|
)
|
|
19,666
|
|
|
(126
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Multi-family debt held in securitization trusts (1)
|
(324,898
|
)
|
|
59,219
|
|
|
(590,171
|
)
|
|
239,310
|
|
(1)
|
Presented in unrealized gain on multi-family loans and debt held in securitization trusts, net on the Company's condensed consolidated statements of operations.
|
(2)
|
Presented in other income on the Company's condensed consolidated statements of operations.
|
(3)
|
Presented in net gain (loss) on distressed and other residential mortgage loans at fair value on the Company's condensed consolidated statements of operations.
|
|
Assets Measured at Fair Value on a Non-Recurring Basis at
|
||||||||||||||||||||||||||
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||
Residential mortgage loans held in securitization trusts – impaired loans, net
|
—
|
|
|
—
|
|
|
$
|
5,590
|
|
|
$
|
5,590
|
|
|
—
|
|
|
—
|
|
|
$
|
5,921
|
|
|
$
|
5,921
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||
Residential mortgage loans held in securitization trusts – impaired loans, net
|
—
|
|
|
—
|
|
|
$
|
(38
|
)
|
|
$
|
110
|
|
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||
|
Fair Value
Hierarchy Level
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||||||
Financial Assets:
|
|
|
|
|
|
|
|
|
|
||||||||
Cash and cash equivalents
|
Level 1
|
|
$
|
134,993
|
|
|
$
|
134,993
|
|
|
$
|
103,724
|
|
|
$
|
103,724
|
|
Investment securities available for sale
|
Level 2 or 3
|
|
1,743,869
|
|
|
1,743,869
|
|
|
1,512,252
|
|
|
1,512,252
|
|
||||
Distressed and other residential mortgage loans, at fair value
|
Level 3
|
|
1,061,954
|
|
|
1,061,954
|
|
|
737,523
|
|
|
737,523
|
|
||||
Distressed and other residential mortgage loans, net
|
Level 3
|
|
218,094
|
|
|
221,615
|
|
|
285,261
|
|
|
289,376
|
|
||||
Investments in unconsolidated entities
|
Level 3
|
|
166,148
|
|
|
166,983
|
|
|
73,466
|
|
|
73,833
|
|
||||
Preferred equity and mezzanine loan investments
|
Level 3
|
|
191,387
|
|
|
193,875
|
|
|
165,555
|
|
|
167,739
|
|
||||
Multi-family loans held in securitization trusts
|
Level 3
|
|
14,573,925
|
|
|
14,573,925
|
|
|
11,679,847
|
|
|
11,679,847
|
|
||||
Derivative assets
|
Level 2
|
|
14,047
|
|
|
14,047
|
|
|
10,263
|
|
|
10,263
|
|
||||
Mortgage loans held for sale, net (1)
|
Level 3
|
|
2,460
|
|
|
2,621
|
|
|
3,414
|
|
|
3,584
|
|
||||
Mortgage loans held for investment (1)
|
Level 3
|
|
1,580
|
|
|
1,580
|
|
|
1,580
|
|
|
1,580
|
|
||||
Financial Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
Level 2
|
|
2,604,356
|
|
|
2,604,356
|
|
|
2,131,505
|
|
|
2,131,505
|
|
||||
Residential collateralized debt obligations
|
Level 3
|
|
45,280
|
|
|
43,468
|
|
|
53,040
|
|
|
50,031
|
|
||||
Multi-family collateralized debt obligations
|
Level 3
|
|
13,772,726
|
|
|
13,772,726
|
|
|
11,022,248
|
|
|
11,022,248
|
|
||||
Securitized debt
|
Level 3
|
|
—
|
|
|
—
|
|
|
42,335
|
|
|
45,030
|
|
||||
Subordinated debentures
|
Level 3
|
|
45,000
|
|
|
45,044
|
|
|
45,000
|
|
|
44,897
|
|
||||
Convertible notes
|
Level 2
|
|
131,839
|
|
|
138,773
|
|
|
130,762
|
|
|
135,689
|
|
(1)
|
Included in receivables and other assets in the accompanying condensed consolidated balance sheets.
|
a.
|
Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets.
|
b.
|
Distressed and other residential mortgage loans held in securitization trusts, net – Residential mortgage loans held in the securitization trusts are recorded at amortized cost, net of allowance for loan losses. Fair value is based on an internal valuation model that considers the aggregated characteristics of groups of loans such as, but not limited to, collateral type, index, interest rate, margin, length of fixed-rate period, life cap, periodic cap, underwriting standards, age and credit estimated using the estimated market prices for similar types of loans.
|
c.
|
Distressed and other residential mortgage loans, net – Fair value is estimated using pricing models taking into consideration current interest rates, loan amount, payment status and property type, and forecasts of future interest rates, home prices and property values, prepayment speeds, default, loss severities, and actual purchases and sales of similar loans.
|
d.
|
Mortgage loans held for sale, net – The fair value of mortgage loans held for sale, net are estimated by the Company based on the price that would be received if the loans were sold as whole loans taking into consideration the aggregated characteristics of the loans such as, but not limited to, collateral type, index, interest rate, margin, length of fixed interest rate period, life time cap, periodic cap, underwriting standards, age and credit.
|
e.
|
Preferred equity and mezzanine loan investments – Estimated fair value is determined by both market comparable pricing and discounted cash flows. The discounted cash flows are based on the underlying contractual cash flows and estimated changes in market yields. The fair value also reflects consideration of changes in credit risk since the origination or time of initial investment.
|
f.
|
Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature.
|
g.
|
Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.
|
h.
|
Securitized debt – The fair value of securitized debt is based on discounted cash flows using management’s estimate for market yields.
|
i.
|
Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields.
|
j.
|
Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.
|
17.
|
Stockholders' Equity
|
(a)
|
Dividends on Preferred Stock
|
|
|
|
|
|
|
Cash Dividend Per Share
|
||||||||||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Series B Preferred Stock
|
|
Series C Preferred Stock
|
|
Series D Preferred Stock
|
||||||
June 14, 2019
|
|
July 1, 2019
|
|
July 15, 2019
|
|
$
|
0.484375
|
|
|
$
|
0.4921875
|
|
|
$
|
0.50
|
|
March 19, 2019
|
|
April 1, 2019
|
|
April 15, 2019
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
|||
December 4, 2018
|
|
January 1, 2019
|
|
January 15, 2019
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
|||
September 17, 2018
|
|
October 1, 2018
|
|
October 15, 2018
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
|||
June 18, 2018
|
|
July 1, 2018
|
|
July 15, 2018
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
|||
March 19, 2018
|
|
April 1, 2018
|
|
April 15, 2018
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
(b)
|
Dividends on Common Stock
|
Period
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
Second Quarter 2019
|
|
June 14, 2019
|
|
June 24, 2019
|
|
July 25, 2019
|
|
$
|
0.20
|
|
First Quarter 2019
|
|
March 19, 2019
|
|
March 29, 2019
|
|
April 25, 2019
|
|
0.20
|
|
|
Fourth Quarter 2018
|
|
December 4, 2018
|
|
December 14, 2018
|
|
January 25, 2019
|
|
0.20
|
|
|
Third Quarter 2018
|
|
September 17, 2018
|
|
September 27, 2018
|
|
October 26, 2018
|
|
0.20
|
|
|
Second Quarter 2018
|
|
June 18, 2018
|
|
June 28, 2018
|
|
July 26, 2018
|
|
0.20
|
|
|
First Quarter 2018
|
|
March 19, 2018
|
|
March 29, 2018
|
|
April 26, 2018
|
|
0.20
|
|
(c)
|
Public Offering of Common Stock
|
Share Issue Month
|
|
Shares Issued
|
|
Net Proceeds (1)
|
|||
January 2019
|
|
14,490,000
|
|
|
$
|
83,772
|
|
March 2019
|
|
17,250,000
|
|
|
101,160
|
|
|
May 2019
|
|
20,700,000
|
|
|
123,102
|
|
(1)
|
Proceeds are net of underwriting discounts and commissions and offering expenses
|
(d)
|
Equity Distribution Agreements
|
18.
|
Earnings Per Share
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018 (1)
|
||||||||
Basic Earnings per Common Share
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Company
|
|
$
|
22,735
|
|
|
$
|
29,694
|
|
|
$
|
66,874
|
|
|
$
|
59,311
|
|
Less: Preferred stock dividends
|
|
(6,257
|
)
|
|
(5,925
|
)
|
|
(12,182
|
)
|
|
(11,850
|
)
|
||||
Net income attributable to Company's common stockholders
|
|
$
|
16,478
|
|
|
$
|
23,769
|
|
|
$
|
54,692
|
|
|
$
|
47,461
|
|
Basic weighted average common shares outstanding
|
|
200,691
|
|
|
115,211
|
|
|
187,628
|
|
|
113,623
|
|
||||
Basic Earnings per Common Share
|
|
$
|
0.08
|
|
|
$
|
0.21
|
|
|
$
|
0.29
|
|
|
$
|
0.42
|
|
|
|
|
|
|
|
|
|
|
||||||||
Diluted Earnings per Common Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Company
|
|
$
|
22,735
|
|
|
$
|
29,694
|
|
|
$
|
66,874
|
|
|
$
|
59,311
|
|
Less: Preferred stock dividends
|
|
(6,257
|
)
|
|
(5,925
|
)
|
|
(12,182
|
)
|
|
(11,850
|
)
|
||||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
—
|
|
|
2,633
|
|
|
5,307
|
|
|
5,267
|
|
||||
Net income attributable to Company's common stockholders
|
|
$
|
16,478
|
|
|
$
|
26,402
|
|
|
$
|
59,999
|
|
|
$
|
52,728
|
|
Weighted average common shares outstanding
|
|
200,691
|
|
|
115,211
|
|
|
187,628
|
|
|
113,623
|
|
||||
Net effect of assumed convertible notes conversion to common shares
|
|
—
|
|
|
19,695
|
|
|
19,695
|
|
|
19,695
|
|
||||
Net effect of assumed PSUs vested
|
|
1,707
|
|
|
258
|
|
|
1,688
|
|
|
152
|
|
||||
Diluted weighted average common shares outstanding
|
|
202,398
|
|
|
135,164
|
|
|
209,011
|
|
|
133,470
|
|
||||
Diluted Earnings per Common Share
|
|
$
|
0.08
|
|
|
$
|
0.20
|
|
|
$
|
0.29
|
|
|
$
|
0.40
|
|
19.
|
Stock Based Compensation
|
(a)
|
Restricted Common Stock Awards
|
|
2019
|
|
2018
|
||||||||||
|
Number of
Non-vested
Restricted
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
|
Number of
Non-vested
Restricted
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
||||||
Non-vested shares at January 1
|
507,536
|
|
|
$
|
5.91
|
|
|
422,928
|
|
|
$
|
6.36
|
|
Granted
|
536,242
|
|
|
6.30
|
|
|
206,597
|
|
|
5.57
|
|
||
Vested
|
(205,080
|
)
|
|
5.85
|
|
|
(200,064
|
)
|
|
6.55
|
|
||
Forfeited
|
—
|
|
|
—
|
|
|
(5,120
|
)
|
|
6.25
|
|
||
Non-vested shares as of June 30
|
838,698
|
|
|
$
|
6.18
|
|
|
424,341
|
|
|
$
|
5.90
|
|
Restricted stock granted during the period
|
536,242
|
|
|
$
|
6.30
|
|
|
206,597
|
|
|
$
|
5.57
|
|
(1)
|
The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.
|
(b)
|
Performance Stock Units
|
•
|
If three-year TSR performance relative to the Company's identified performance peer group (the "Relative TSR") is less than the 30th percentile, then 0% of the target PSUs will vest;
|
•
|
If three-year Relative TSR performance is equal to the 30th percentile, then the Threshold % (as defined in the individual PSU Agreements) of the target PSUs will vest;
|
•
|
If three-year Relative TSR performance is equal to the 50th percentile, then 100% of the target PSUs will vest; and
|
•
|
If three-year Relative TSR performance is greater than or equal to the 80th percentile, then the Maximum % (as defined in the individual PSU Agreements) of the target PSUs will vest.
|
|
2019
|
|
2018
|
||||||||||
|
Number of
Non-vested
Target
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value
|
|
Number of
Non-vested
Target
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value
|
||||||
Non-vested target PSUs at January 1
|
842,792
|
|
|
$
|
4.20
|
|
|
—
|
|
|
$
|
—
|
|
Granted
|
1,175,726
|
|
|
4.01
|
|
|
653,365
|
|
|
4.08
|
|
||
Vested
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Non-vested target PSUs as of June 30
|
2,018,518
|
|
|
$
|
4.09
|
|
|
653,365
|
|
|
$
|
4.08
|
|
20.
|
Income Taxes
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Current income tax expense
|
$
|
15
|
|
|
$
|
7
|
|
|
$
|
8
|
|
|
$
|
7
|
|
Deferred income tax benefit
|
(149
|
)
|
|
(20
|
)
|
|
(68
|
)
|
|
(99
|
)
|
||||
Total benefit
|
$
|
(134
|
)
|
|
$
|
(13
|
)
|
|
$
|
(60
|
)
|
|
$
|
(92
|
)
|
|
June 30, 2019
|
|
December 31, 2018
|
||||
Deferred tax assets
|
|
|
|
||||
Net operating loss carryforward
|
$
|
3,213
|
|
|
$
|
2,416
|
|
Capital loss carryover
|
1,173
|
|
|
739
|
|
||
GAAP/Tax basis differences
|
4,073
|
|
|
3,903
|
|
||
Total deferred tax assets (1)
|
8,459
|
|
|
7,058
|
|
||
Deferred tax liabilities
|
|
|
|
||||
Deferred tax liabilities
|
5
|
|
|
6
|
|
||
Total deferred tax liabilities (2)
|
5
|
|
|
6
|
|
||
Valuation allowance (1)
|
(7,403
|
)
|
|
(6,069
|
)
|
||
Total net deferred tax asset
|
$
|
1,051
|
|
|
$
|
983
|
|
(1)
|
Included in receivables and other assets in the accompanying condensed consolidated balance sheets.
|
(2)
|
Included in accrued expenses and other liabilities in the accompanying condensed consolidated balance sheets.
|
21.
|
Subsequent Events
|
•
|
“ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans;
|
•
|
“Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS;
|
•
|
"Agency fixed-rate" refers to Agency RMBS comprised of fixed-rate RMBS;
|
•
|
“Agency IOs” refers to Agency RMBS comprised of IO RMBS;
|
•
|
“Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”);
|
•
|
“ARMs” refers to adjustable-rate residential mortgage loans;
|
•
|
“CDO” refers to collateralized debt obligation;
|
•
|
“CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans;
|
•
|
“Consolidated K-Series” refers to Freddie Mac-sponsored multi-family loan K-Series securitizations, of which we, or one of our “special purpose entities,” or “SPEs,” own the first loss POs and certain IOs and mezzanine securities that we consolidate in our financial statements in accordance with GAAP;
|
•
|
“Consolidated VIEs” refers to VIEs where the Company is the primary beneficiary, as it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE;
|
•
|
“distressed residential mortgage loans” refers to pools of seasoned re-performing, non-performing and other delinquent mortgage loans secured by first liens on one- to four-family properties;
|
•
|
“excess mortgage servicing spread” refers to the difference between the contractual servicing fee with Fannie Mae, Freddie Mac or Ginnie Mae and the base servicing fee that is retained as compensation for servicing or subservicing the related mortgage loans pursuant to the applicable servicing contract;
|
•
|
"GAAP" refers to generally accepted accounting principles within the United States;
|
•
|
“IOs” refers collectively to interest only and inverse interest only mortgage-backed securities that represent the right to the interest component of the cash flow from a pool of mortgage loans;
|
•
|
"IO RMBS" refers to RMBS comprised of IOs;
|
•
|
“multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties;
|
•
|
“non-Agency RMBS” refers to RMBS that are not guaranteed by any agency of the U.S. Government or GSE;
|
•
|
“non-QM loans” refers to residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau;
|
•
|
“POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans;
|
•
|
“prime ARM loans” and “residential securitized loans” each refer to prime credit quality residential ARM loans held in our securitization trusts;
|
•
|
“RMBS” refers to residential mortgage-backed securities comprised of adjustable-rate, hybrid adjustable-rate, fixed-rate, interest only and inverse interest only, and principal only securities;
|
•
|
“second mortgages” refers to liens on residential properties that are subordinate to more senior mortgages or loans; and
|
•
|
“Variable Interest Entity” or “VIE” refers to an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.
|
|
Agency
RMBS
|
|
Residential Credit (1)
|
|
Multi-
Family Credit (2)
|
|
Other
|
|
Total
|
||||||||||
Carrying value
|
$
|
994,200
|
|
|
$
|
1,778,276
|
|
|
$
|
1,402,217
|
|
|
$
|
24,739
|
|
|
$
|
4,199,432
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Callable (3)
|
(871,613
|
)
|
|
(932,649
|
)
|
|
(800,094
|
)
|
|
—
|
|
|
(2,604,356
|
)
|
|||||
Non-callable
|
—
|
|
|
(45,280
|
)
|
|
—
|
|
|
(45,000
|
)
|
|
(90,280
|
)
|
|||||
Convertible
|
—
|
|
|
—
|
|
|
—
|
|
|
(131,839
|
)
|
|
(131,839
|
)
|
|||||
Hedges (Net) (4)
|
14,047
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,047
|
|
|||||
Cash and Restricted Cash (5)
|
9,942
|
|
|
64,741
|
|
|
21,117
|
|
|
40,150
|
|
|
135,950
|
|
|||||
Goodwill
|
—
|
|
|
—
|
|
|
—
|
|
|
25,222
|
|
|
25,222
|
|
|||||
Other
|
3,738
|
|
|
35,511
|
|
|
(7,965
|
)
|
|
(51,778
|
)
|
|
(20,494
|
)
|
|||||
Net capital allocated
|
$
|
150,314
|
|
|
$
|
900,599
|
|
|
$
|
615,275
|
|
|
$
|
(138,506
|
)
|
|
$
|
1,527,682
|
|
(1)
|
Includes $1.1 billion of distressed and other residential mortgage loans at fair value, $218.1 million of distressed and other residential mortgage loans at carrying value, $432.8 million of non-Agency RMBS and $61.3 million of investments in unconsolidated entities.
|
(2)
|
The Company, through its ownership of certain securities, has determined it is the primary beneficiary of the Consolidated K-Series and has consolidated the Consolidated K-Series into the Company’s condensed consolidated financial statements. A reconciliation to our financial statements as of June 30, 2019 follows:
|
Multi-family loans held in securitization trusts, at fair value
|
$
|
14,573,925
|
|
Multi-family CDOs, at fair value
|
(13,772,726
|
)
|
|
Net carrying value
|
801,199
|
|
|
Investment securities available for sale, at fair value
|
292,090
|
|
|
Total CMBS, at fair value
|
1,093,289
|
|
|
Preferred equity investments, mezzanine loans and investments in unconsolidated entities
|
296,187
|
|
|
Real estate under development
|
16,727
|
|
|
Mortgages and notes payable in consolidated variable interest entities
|
(3,986
|
)
|
|
Repurchase agreements, investment securities
|
(800,094
|
)
|
|
Cash and other
|
13,152
|
|
|
Net Capital in Multi-Family Credit
|
$
|
615,275
|
|
(3)
|
Includes repurchase agreements.
|
(4)
|
Includes derivative liabilities of $27.8 million netted against a $41.9 million variation margin.
|
(5)
|
Restricted cash is included in the Company’s accompanying condensed consolidated balance sheets in receivables and other assets.
|
|
Agency
RMBS
|
|
Residential Credit (1)
|
|
Multi-
Family Credit (2)
|
|
Other
|
|
Total
|
||||||||||
Carrying value
|
$
|
1,037,730
|
|
|
$
|
1,252,770
|
|
|
$
|
1,166,628
|
|
|
$
|
—
|
|
|
$
|
3,457,128
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Callable (3)
|
(925,230
|
)
|
|
(676,658
|
)
|
|
(529,617
|
)
|
|
—
|
|
|
(2,131,505
|
)
|
|||||
Non-callable
|
—
|
|
|
(65,253
|
)
|
|
(30,121
|
)
|
|
(45,000
|
)
|
|
(140,374
|
)
|
|||||
Convertible
|
—
|
|
|
—
|
|
|
—
|
|
|
(130,762
|
)
|
|
(130,762
|
)
|
|||||
Hedges (Net) (4)
|
10,263
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,263
|
|
|||||
Cash and Restricted Cash (5)
|
10,377
|
|
|
20,859
|
|
|
17,291
|
|
|
60,618
|
|
|
109,145
|
|
|||||
Goodwill
|
—
|
|
|
—
|
|
|
—
|
|
|
25,222
|
|
|
25,222
|
|
|||||
Other
|
2,374
|
|
|
24,182
|
|
|
(4,929
|
)
|
|
(40,451
|
)
|
|
(18,824
|
)
|
|||||
Net capital allocated
|
$
|
135,514
|
|
|
$
|
555,900
|
|
|
$
|
619,252
|
|
|
$
|
(130,373
|
)
|
|
$
|
1,180,293
|
|
(1)
|
Includes $737.5 million of distressed and other residential mortgage loans at fair value, $285.3 million of distressed and other residential mortgage loans at carrying value, $214.0 million of non-agency RMBS and $11.0 million of investments in unconsolidated entities.
|
(2)
|
The Company, through its ownership of certain securities, has determined it is the primary beneficiary of the Consolidated K-Series and has consolidated the Consolidated K-Series into the Company’s condensed consolidated financial statements. A reconciliation to our financial statements as of December 31, 2018 follows:
|
Multi-family loans held in securitization trusts, at fair value
|
$
|
11,679,847
|
|
Multi-family CDOs, at fair value
|
(11,022,248
|
)
|
|
Net carrying value
|
657,599
|
|
|
Investment securities available for sale, at fair value
|
260,485
|
|
|
Total CMBS, at fair value
|
918,084
|
|
|
Preferred equity investments, mezzanine loans and investments in unconsolidated entities
|
228,067
|
|
|
Real estate under development
|
22,000
|
|
|
Real estate held for sale in consolidated variable interest entities
|
29,704
|
|
|
Mortgages and notes payable in consolidated variable interest entities
|
(31,227
|
)
|
|
Repurchase agreements, investment securities
|
(529,617
|
)
|
|
Securitized debt
|
(30,121
|
)
|
|
Cash and other
|
12,362
|
|
|
Net Capital in Multi-Family Credit
|
$
|
619,252
|
|
(3)
|
Includes repurchase agreements.
|
(4)
|
Includes derivative assets of $1.8 million and an $8.5 million variation margin.
|
(5)
|
Restricted cash is included in the Company’s accompanying condensed consolidated balance sheets in receivables and other assets.
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||||||||||
|
2019
|
|
2018
|
|
$ Change
|
|
2019
|
|
2018
|
|
$ Change
|
||||||||||||
Net interest income
|
$
|
25,691
|
|
|
$
|
17,500
|
|
|
$
|
8,191
|
|
|
$
|
51,896
|
|
|
$
|
37,251
|
|
|
$
|
14,645
|
|
Total other income
|
$
|
8,561
|
|
|
$
|
20,007
|
|
|
$
|
(11,446
|
)
|
|
$
|
39,424
|
|
|
$
|
40,961
|
|
|
$
|
(1,537
|
)
|
Total general, administrative and operating expenses
|
$
|
12,394
|
|
|
$
|
8,769
|
|
|
$
|
3,625
|
|
|
$
|
25,038
|
|
|
$
|
17,467
|
|
|
$
|
7,571
|
|
Income from operations before income taxes
|
$
|
21,858
|
|
|
$
|
28,738
|
|
|
$
|
(6,880
|
)
|
|
$
|
66,282
|
|
|
$
|
60,745
|
|
|
$
|
5,537
|
|
Income tax benefit
|
$
|
(134
|
)
|
|
$
|
(13
|
)
|
|
$
|
(121
|
)
|
|
$
|
(60
|
)
|
|
$
|
(92
|
)
|
|
$
|
32
|
|
Net income attributable to Company
|
$
|
22,735
|
|
|
$
|
29,694
|
|
|
$
|
(6,959
|
)
|
|
$
|
66,874
|
|
|
$
|
59,311
|
|
|
$
|
7,563
|
|
Preferred stock dividends
|
$
|
6,257
|
|
|
$
|
5,925
|
|
|
$
|
332
|
|
|
$
|
12,182
|
|
|
$
|
11,850
|
|
|
$
|
332
|
|
Net income attributable to Company's common stockholders
|
$
|
16,478
|
|
|
$
|
23,769
|
|
|
$
|
(7,291
|
)
|
|
$
|
54,692
|
|
|
$
|
47,461
|
|
|
$
|
7,231
|
|
Basic earnings per common share
|
$
|
0.08
|
|
|
$
|
0.21
|
|
|
$
|
(0.13
|
)
|
|
$
|
0.29
|
|
|
$
|
0.42
|
|
|
$
|
(0.13
|
)
|
Diluted earnings per common share
|
$
|
0.08
|
|
|
$
|
0.20
|
|
|
$
|
(0.12
|
)
|
|
$
|
0.29
|
|
|
$
|
0.40
|
|
|
$
|
(0.11
|
)
|
•
|
A decrease in net realized loss on investment securities and related hedges of $8.8 million primarily related to the liquidation of the Agency IO portfolio in 2018.
|
•
|
An increase in net gain on distressed and other residential mortgage loans at fair value of $12.2 million primarily due to an increase in residential mortgage loans accounted for at fair value from purchases since June 30, 2018 and unrealized gains recognized during the current period.
|
•
|
A decrease in net unrealized gains on multi-family loans and debt held in securitization trusts of $6.8 million for the three months ended June 30, 2019 as compared to the corresponding period in 2018, primarily due to a deceleration in tightening of credit spreads as compared to the corresponding period in the prior year offset by an increase in multi-family CMBS owned by us.
|
•
|
An increase in net unrealized loss on investment securities and related hedges of $27.6 million primarily due to unrealized losses on our interest rate swaps accounted for as trading instruments during the three months
|
•
|
An increase in other income of $2.5 million for the three months ended June 30, 2019 as compared to the corresponding period in 2018, primarily due to an increase in preferred equity investments accounted for as equity and unrealized gains on our investments in unconsolidated entities.
|
•
|
An increase in net realized gain on investment securities and related hedges of $29.1 million primarily related to the sale of certain multi-family CMBS, where the Company recognized a realized gain of $16.8 million in the first quarter of 2019. Also, in 2018, the Company recognized $12.4 million in realized losses related to the liquidation of the Agency IO portfolio.
|
•
|
An increase in net gain on distressed and other residential mortgage loans at fair value of $23.4 million primarily due to an increase in residential mortgage loans accounted for at fair value from purchases since June 30, 2018 and unrealized gains recognized during the current period.
|
•
|
An increase in realized gain on distressed and other residential mortgage loans at carrying value of $2.7 million primarily due to increased sale activity during the six months ended June 30, 2019.
|
•
|
A decrease in net unrealized gains on multi-family loans and debt held in securitization trusts of $4.9 million for the six months ended June 30, 2019 as compared to the corresponding period in 2018, primarily due to a deceleration in tightening of credit spreads as compared to the corresponding period in the prior year.
|
•
|
An increase in net unrealized loss on investment securities and related hedges of $53.9 million primarily due to unrealized losses on our interest rate swaps accounted for as trading instruments during the six months ended June 30, 2019. In addition, during the six months ended June 30, 2018, the Company reversed unrealized losses due to the liquidation of the Agency IO portfolio.
|
•
|
An increase in other income of $6.2 million for the six months ended June 30, 2019 as compared to the corresponding period in 2018, primarily due to an increase in preferred equity investments accounted for as equity and an increase in realized gains on redemption of preferred equity investments.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||
General, Administrative and Operating Expenses
|
|
2019
|
|
2018
|
|
$ Change
|
|
2019
|
|
2018
|
|
$ Change
|
||||||||||||
General and Administrative Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Salaries, benefits and directors’ compensation
|
|
$
|
6,492
|
|
|
$
|
3,173
|
|
|
$
|
3,319
|
|
|
$
|
12,163
|
|
|
$
|
5,729
|
|
|
$
|
6,434
|
|
Professional fees
|
|
1,142
|
|
|
1,068
|
|
|
74
|
|
|
2,280
|
|
|
2,206
|
|
|
74
|
|
||||||
Base management and incentive fees
|
|
543
|
|
|
809
|
|
|
(266
|
)
|
|
1,266
|
|
|
1,642
|
|
|
(376
|
)
|
||||||
Other
|
|
1,638
|
|
|
1,035
|
|
|
603
|
|
|
3,016
|
|
|
1,997
|
|
|
1,019
|
|
||||||
Operating Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Expenses related to distressed and other residential mortgage loans
|
|
2,579
|
|
|
1,811
|
|
|
768
|
|
|
5,831
|
|
|
3,414
|
|
|
2,417
|
|
||||||
Expenses related to real estate held for sale in consolidated variable interest entities
|
|
—
|
|
|
873
|
|
|
(873
|
)
|
|
482
|
|
|
2,479
|
|
|
(1,997
|
)
|
||||||
Total
|
|
$
|
12,394
|
|
|
$
|
8,769
|
|
|
$
|
3,625
|
|
|
$
|
25,038
|
|
|
$
|
17,467
|
|
|
$
|
7,571
|
|
|
Agency
RMBS (1)
|
|
Residential Credit
|
|
Multi-
Family Credit (2) (3)
|
|
Other
|
|
Total
|
||||||||||
Interest Income
|
$
|
6,758
|
|
|
$
|
18,725
|
|
|
$
|
26,834
|
|
|
$
|
29
|
|
|
$
|
52,346
|
|
Interest Expense
|
(5,887
|
)
|
|
(10,092
|
)
|
|
(7,246
|
)
|
|
(3,430
|
)
|
|
(26,655
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
871
|
|
|
$
|
8,633
|
|
|
$
|
19,588
|
|
|
$
|
(3,401
|
)
|
|
$
|
25,691
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (3) (4)
|
$
|
1,017,409
|
|
|
$
|
1,506,973
|
|
|
$
|
1,018,847
|
|
|
$
|
1,098
|
|
|
$
|
3,544,327
|
|
Weighted Average Yield on Interest Earning Assets (5)
|
2.66
|
%
|
|
4.97
|
%
|
|
10.54
|
%
|
|
10.44
|
%
|
|
5.91
|
%
|
|||||
Average Cost of Funds (6)
|
(2.62
|
)%
|
|
(4.54
|
)%
|
|
(4.20
|
)%
|
|
—
|
|
|
(3.75
|
)%
|
|||||
Portfolio Net Interest Margin (7)
|
0.04
|
%
|
|
0.43
|
%
|
|
6.34
|
%
|
|
10.44
|
%
|
|
2.16
|
%
|
|
Agency
RMBS (1)
|
|
Residential Credit
|
|
Multi-
Family Credit (2) (3)
|
|
Other
|
|
Total
|
||||||||||
Interest Income
|
$
|
14,326
|
|
|
$
|
38,107
|
|
|
$
|
51,067
|
|
|
$
|
29
|
|
|
$
|
103,529
|
|
Interest Expense
|
(12,246
|
)
|
|
(18,925
|
)
|
|
(13,603
|
)
|
|
(6,859
|
)
|
|
(51,633
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
2,080
|
|
|
$
|
19,182
|
|
|
$
|
37,464
|
|
|
$
|
(6,830
|
)
|
|
$
|
51,896
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (3) (4)
|
$
|
1,035,469
|
|
|
1,409,618
|
|
|
$
|
972,774
|
|
|
$
|
549
|
|
|
$
|
3,418,410
|
|
|
Weighted Average Yield on Interest Earning Assets (5)
|
2.77
|
%
|
|
5.41
|
%
|
|
10.50
|
%
|
|
10.44
|
%
|
|
6.06
|
%
|
|||||
Average Cost of Funds (6)
|
(2.69
|
)%
|
|
(4.62
|
)%
|
|
(4.28
|
)%
|
|
—
|
|
|
(3.79
|
)%
|
|||||
Portfolio Net Interest Margin (7)
|
0.08
|
%
|
|
0.79
|
%
|
|
6.22
|
%
|
|
10.44
|
%
|
|
2.27
|
%
|
|
Agency
RMBS (1)
|
|
Residential Credit
|
|
Multi-
Family Credit (2) (3)
|
|
Other
|
|
Total
|
||||||||||
Interest Income
|
$
|
7,851
|
|
|
$
|
6,906
|
|
|
$
|
18,280
|
|
|
$
|
—
|
|
|
$
|
33,037
|
|
Interest Expense
|
(4,644
|
)
|
|
(3,461
|
)
|
|
(4,090
|
)
|
|
(3,342
|
)
|
|
(15,537
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
3,207
|
|
|
$
|
3,445
|
|
|
$
|
14,190
|
|
|
$
|
(3,342
|
)
|
|
$
|
17,500
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (3) (4)
|
$
|
1,167,278
|
|
|
$
|
596,382
|
|
|
$
|
639,637
|
|
|
$
|
—
|
|
|
$
|
2,403,297
|
|
Weighted Average Yield on Interest Earning Assets (5)
|
2.69
|
%
|
|
4.63
|
%
|
|
11.43
|
%
|
|
—
|
|
|
5.50
|
%
|
|||||
Average Cost of Funds (6)
|
(2.02
|
)%
|
|
(4.58
|
)%
|
|
(4.69
|
)%
|
|
—
|
|
|
(3.11
|
)%
|
|||||
Portfolio Net Interest Margin (7)
|
0.67
|
%
|
|
0.05
|
%
|
|
6.74
|
%
|
|
—
|
|
|
2.39
|
%
|
|
Agency
RMBS (1)
|
|
Residential Credit
|
|
Multi-
Family Credit (2) (3)
|
|
Other
|
|
Total
|
||||||||||
Interest Income
|
$
|
15,822
|
|
|
$
|
15,856
|
|
|
$
|
35,771
|
|
|
$
|
—
|
|
|
$
|
67,449
|
|
Interest Expense
|
(9,051
|
)
|
|
(6,557
|
)
|
|
(7,979
|
)
|
|
(6,611
|
)
|
|
(30,198
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
6,771
|
|
|
$
|
9,299
|
|
|
$
|
27,792
|
|
|
$
|
(6,611
|
)
|
|
$
|
37,251
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (3) (4)
|
$
|
1,188,089
|
|
|
$
|
600,208
|
|
|
$
|
630,579
|
|
|
$
|
—
|
|
|
$
|
2,418,876
|
|
Weighted Average Yield on Interest Earning Assets (5)
|
2.66
|
%
|
|
5.28
|
%
|
|
11.35
|
%
|
|
—
|
|
|
5.58
|
%
|
|||||
Average Cost of Funds (6)
|
(1.92
|
)%
|
|
(4.32
|
)%
|
|
(4.60
|
)%
|
|
—
|
|
|
(2.96
|
)%
|
|||||
Portfolio Net Interest Margin (7)
|
0.74
|
%
|
|
0.96
|
%
|
|
6.75
|
%
|
|
—
|
|
|
2.62
|
%
|
(1)
|
Includes Agency fixed-rate RMBS, Agency ARMs and, solely with respect to the three and six months ended June 30, 2018, Agency IOs.
|
(2)
|
The Company, through its ownership of certain securities, has determined it is the primary beneficiary of the Consolidated K-Series and has consolidated the Consolidated K-Series into the Company’s condensed consolidated financial statements. Interest income amounts represent interest income earned by securities that are actually owned by the Company. A reconciliation of our net interest income generated by our multi-family credit portfolio to our condensed consolidated financial statements for the three and six months ended June 30, 2019 and 2018, respectively, is set forth below (dollar amounts in thousands):
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Interest income, multi-family loans held in securitization trusts
|
$
|
133,157
|
|
|
$
|
85,629
|
|
|
$
|
244,925
|
|
|
$
|
170,721
|
|
Interest income, investment securities, available for sale (a)
|
3,443
|
|
|
2,475
|
|
|
7,698
|
|
|
4,907
|
|
||||
Interest income, preferred equity and mezzanine loan investments
|
5,148
|
|
|
4,862
|
|
|
10,155
|
|
|
9,308
|
|
||||
Interest expense, multi-family collateralized debt obligations
|
(114,914
|
)
|
|
(74,686
|
)
|
|
(211,711
|
)
|
|
(149,165
|
)
|
||||
Interest income, Multi-Family Credit, net
|
26,834
|
|
|
18,280
|
|
|
51,067
|
|
|
35,771
|
|
||||
Interest expense, repurchase agreements
|
(7,246
|
)
|
|
(3,366
|
)
|
|
(13,109
|
)
|
|
(6,536
|
)
|
||||
Interest expense, securitized debt
|
—
|
|
|
(724
|
)
|
|
(494
|
)
|
|
(1,443
|
)
|
||||
Net interest income, Multi-Family Credit
|
$
|
19,588
|
|
|
$
|
14,190
|
|
|
$
|
37,464
|
|
|
$
|
27,792
|
|
(a)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest income, investment securities and other interest earning assets.
|
(3)
|
Average Interest Earning Assets for the periods indicated exclude all Consolidated K-Series assets other than those securities actually owned by the Company.
|
(4)
|
Our Average Interest Earning Assets is calculated each quarter based on daily average amortized cost for the respective periods.
|
(5)
|
Our Weighted Average Yield on Interest Earning Assets was calculated by dividing our annualized interest income by our Average Interest Earning Assets for the respective periods.
|
(6)
|
Our Average Cost of Funds was calculated by dividing our annualized interest expense by our average interest bearing liabilities, excluding our subordinated debentures and convertible notes, for the respective periods. For the three months ended June 30, 2019, our subordinated debentures and convertible notes generated interest expense of approximately $0.7 million and $2.7 million, respectively. For the six months ended June 30, 2019, our subordinated debentures and convertible notes generated interest expense of approximately $1.5 million and $5.4 million, respectively. For the three months ended June 30, 2018, our subordinated debentures and convertible notes generated interest expense of approximately $0.7 million and $2.7 million, respectively. For the six months ended June 30, 2018, our subordinated debentures and convertible notes generated interest expense of approximately $1.3 million and $5.3 million, respectively. Our Average Cost of Funds includes interest expense on our interest rate swaps.
|
(7)
|
Portfolio Net Interest Margin is the difference between our Weighted Average Yield on Interest Earning Assets and our Average Cost of Funds, excluding the weighted average cost of subordinated debentures and convertible notes.
|
Quarter Ended
|
|
Weighted Average
|
|
Agency Fixed-Rate RMBS
|
|
Agency ARMs
|
|||
June 30, 2019
|
|
10.3
|
%
|
|
9.6
|
%
|
|
20.0
|
%
|
March 31, 2019
|
|
6.6
|
%
|
|
6.5
|
%
|
|
8.2
|
%
|
December 31, 2018
|
|
7.2
|
%
|
|
6.8
|
%
|
|
12.9
|
%
|
September 30, 2018
|
|
7.8
|
%
|
|
7.3
|
%
|
|
14.6
|
%
|
June 30, 2018
|
|
6.6
|
%
|
|
5.9
|
%
|
|
16.3
|
%
|
March 31, 2018
|
|
5.8
|
%
|
|
5.4
|
%
|
|
10.2
|
%
|
December 31, 2017
|
|
7.0
|
%
|
|
6.3
|
%
|
|
12.9
|
%
|
September 30, 2017
|
|
11.9
|
%
|
|
12.8
|
%
|
|
9.4
|
%
|
June 30, 2017
|
|
11.4
|
%
|
|
9.6
|
%
|
|
16.5
|
%
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||
|
Par Value
|
|
Carrying Value
|
|
Par Value
|
|
Carrying Value
|
||||||||
Agency RMBS
|
|
|
|
|
|
|
|
||||||||
ARMs
|
|
|
|
|
|
|
|
||||||||
Prior to 2012
|
$
|
10,149
|
|
|
$
|
10,570
|
|
|
$
|
11,813
|
|
|
$
|
12,257
|
|
2012
|
50,962
|
|
|
51,949
|
|
|
58,547
|
|
|
59,137
|
|
||||
Total ARMs
|
61,111
|
|
|
62,519
|
|
|
70,360
|
|
|
71,394
|
|
||||
Fixed-Rate
|
|
|
|
|
|
|
|
|
|
|
|
||||
Prior to 2012
|
260
|
|
|
266
|
|
|
357
|
|
|
358
|
|
||||
2012
|
187,715
|
|
|
191,732
|
|
|
207,667
|
|
|
207,572
|
|
||||
2015
|
2,349
|
|
|
2,426
|
|
|
2,386
|
|
|
2,392
|
|
||||
2017
|
696,024
|
|
|
718,592
|
|
|
735,959
|
|
|
736,851
|
|
||||
2018
|
18,115
|
|
|
18,665
|
|
|
19,132
|
|
|
19,163
|
|
||||
Total Fixed-Rate
|
904,463
|
|
|
931,681
|
|
|
965,501
|
|
|
966,336
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Total Agency RMBS
|
965,574
|
|
|
994,200
|
|
|
1,035,861
|
|
|
1,037,730
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
||||
2006
|
146
|
|
|
133
|
|
|
173
|
|
|
156
|
|
||||
2017
|
13,000
|
|
|
12,968
|
|
|
19,000
|
|
|
18,691
|
|
||||
2018
|
511,971
|
|
|
219,202
|
|
|
196,919
|
|
|
195,190
|
|
||||
2019
|
572,275
|
|
|
200,537
|
|
|
—
|
|
|
—
|
|
||||
Total Non-Agency RMBS
|
1,097,392
|
|
|
432,840
|
|
|
216,092
|
|
|
214,037
|
|
||||
|
|
|
|
|
|
|
|
||||||||
CMBS
|
|
|
|
|
|
|
|
||||||||
Prior to 2013 (1)
|
—
|
|
|
—
|
|
|
807,319
|
|
|
52,700
|
|
||||
2016
|
14,474
|
|
|
15,471
|
|
|
20,228
|
|
|
21,444
|
|
||||
2017
|
48,563
|
|
|
49,130
|
|
|
50,243
|
|
|
48,840
|
|
||||
2018
|
143,118
|
|
|
145,073
|
|
|
143,680
|
|
|
137,501
|
|
||||
2019
|
81,509
|
|
|
82,416
|
|
|
—
|
|
|
—
|
|
||||
Total CMBS
|
287,664
|
|
|
292,090
|
|
|
1,021,470
|
|
|
260,485
|
|
||||
|
|
|
|
|
|
|
|
||||||||
ABS
|
|
|
|
|
|
|
|
||||||||
2019
|
65
|
|
|
24,739
|
|
|
—
|
|
|
—
|
|
||||
Total ABS
|
65
|
|
|
24,739
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Total
|
$
|
2,350,695
|
|
|
$
|
1,743,869
|
|
|
$
|
2,273,423
|
|
|
$
|
1,512,252
|
|
(1)
|
These amounts represent first loss POs and certain IOs held in securitization trusts at December 31, 2018. These securities were sold in March 2019.
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||
|
Number of Loans
|
|
Unpaid Principal
|
|
Fair Value
|
|
Number of Loans
|
|
Unpaid Principal
|
|
Fair Value
|
||||||||||
Distressed Residential Mortgage Loans
|
4,670
|
|
|
$
|
800,634
|
|
|
$
|
758,765
|
|
|
3,352
|
|
|
$
|
627,092
|
|
|
$
|
576,816
|
|
Other Residential Mortgage Loans (1)
|
1,972
|
|
|
$
|
309,529
|
|
|
$
|
303,189
|
|
|
1,539
|
|
|
$
|
161,280
|
|
|
$
|
160,707
|
|
(1)
|
Includes second mortgages with a fair value $58.9 million and $67.4 million at June 30, 2019 and December 31, 2018, respectively.
|
Loan to Value at Purchase (1)
|
June 30, 2019
|
|
December 31, 2018
|
||
50.00% or less
|
17.8
|
%
|
|
18.5
|
%
|
50.01% - 60.00%
|
13.0
|
%
|
|
13.6
|
%
|
60.01% - 70.00%
|
16.5
|
%
|
|
14.5
|
%
|
70.01% - 80.00%
|
17.6
|
%
|
|
15.9
|
%
|
80.01% - 90.00%
|
16.0
|
%
|
|
15.4
|
%
|
90.01% - 100.00%
|
9.7
|
%
|
|
9.3
|
%
|
100.01% and over
|
9.4
|
%
|
|
12.8
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
For second mortgages, the Company calculates the combined loan to value.
|
FICO Scores at Purchase
|
June 30, 2019
|
|
December 31, 2018
|
||
550 or less
|
23.2
|
%
|
|
26.0
|
%
|
551 to 600
|
21.2
|
%
|
|
21.9
|
%
|
601 to 650
|
16.8
|
%
|
|
17.3
|
%
|
651 to 700
|
14.2
|
%
|
|
12.7
|
%
|
701 to 750
|
11.2
|
%
|
|
10.3
|
%
|
751 to 800
|
8.9
|
%
|
|
7.8
|
%
|
801 and over
|
4.5
|
%
|
|
4.0
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Current Coupon
|
June 30, 2019
|
|
December 31, 2018
|
||
3.00% or less
|
5.7
|
%
|
|
8.6
|
%
|
3.01% - 4.00%
|
17.9
|
%
|
|
16.1
|
%
|
4.01% - 5.00%
|
36.6
|
%
|
|
35.2
|
%
|
5.01% – 6.00%
|
22.3
|
%
|
|
19.0
|
%
|
6.01% and over
|
17.5
|
%
|
|
21.1
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Delinquency Status
|
June 30, 2019
|
|
December 31, 2018
|
||
Current
|
83.2
|
%
|
|
71.8
|
%
|
31 – 60 days
|
7.9
|
%
|
|
6.4
|
%
|
61 – 90 days
|
2.3
|
%
|
|
12.3
|
%
|
90+ days
|
6.6
|
%
|
|
9.5
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Origination Year
|
June 30, 2019
|
|
December 31, 2018
|
||
2005 or earlier
|
21.7
|
%
|
|
23.8
|
%
|
2006
|
14.9
|
%
|
|
16.0
|
%
|
2007
|
25.1
|
%
|
|
27.4
|
%
|
2008 or later
|
38.3
|
%
|
|
32.8
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Loan to Value at Purchase
|
June 30, 2019
|
|
December 31, 2018
|
||
50.00% or less
|
4.6
|
%
|
|
3.9
|
%
|
50.01% - 60.00%
|
4.9
|
%
|
|
4.8
|
%
|
60.01% - 70.00%
|
6.8
|
%
|
|
7.6
|
%
|
70.01% - 80.00%
|
14.1
|
%
|
|
12.4
|
%
|
80.01% - 90.00%
|
14.4
|
%
|
|
13.7
|
%
|
90.01% - 100.00%
|
16.0
|
%
|
|
15.0
|
%
|
100.01% and over
|
39.2
|
%
|
|
42.6
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
FICO Scores at Purchase
|
June 30, 2019
|
|
December 31, 2018
|
||
550 or less
|
21.8
|
%
|
|
20.3
|
%
|
551 to 600
|
31.1
|
%
|
|
30.5
|
%
|
601 to 650
|
29.8
|
%
|
|
29.3
|
%
|
651 to 700
|
11.3
|
%
|
|
12.3
|
%
|
701 to 750
|
4.2
|
%
|
|
5.3
|
%
|
751 to 800
|
1.6
|
%
|
|
1.9
|
%
|
801 and over
|
0.2
|
%
|
|
0.4
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Current Coupon
|
June 30, 2019
|
|
December 31, 2018
|
||
3.00% or less
|
6.4
|
%
|
|
7.9
|
%
|
3.01% - 4.00%
|
6.6
|
%
|
|
8.5
|
%
|
4.01% - 5.00%
|
21.9
|
%
|
|
21.2
|
%
|
5.01% – 6.00%
|
13.2
|
%
|
|
13.6
|
%
|
6.01% and over
|
51.9
|
%
|
|
48.8
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Delinquency Status
|
June 30, 2019
|
|
December 31, 2018
|
||
Current
|
67.8
|
%
|
|
65.7
|
%
|
31 – 60 days
|
8.8
|
%
|
|
10.6
|
%
|
61 – 90 days
|
3.1
|
%
|
|
4.5
|
%
|
90+ days
|
20.3
|
%
|
|
19.2
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Origination Year
|
June 30, 2019
|
|
December 31, 2018
|
||
2005 or earlier
|
30.5
|
%
|
|
29.2
|
%
|
2006
|
17.6
|
%
|
|
17.9
|
%
|
2007
|
30.7
|
%
|
|
32.1
|
%
|
2008 or later
|
21.2
|
%
|
|
20.8
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
|
Number of Loans
|
|
Unpaid
Principal
|
|
Carrying Value
|
|||||
June 30, 2019
|
177
|
|
|
$
|
51,986
|
|
|
$
|
48,799
|
|
December 31, 2018
|
196
|
|
|
60,171
|
|
|
56,795
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||
|
Average
|
|
High
|
|
Low
|
|
Average
|
|
High
|
|
Low
|
||||||||||||
General Loan Characteristics:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Original Loan Balance
|
$
|
422
|
|
|
$
|
2,850
|
|
|
$
|
48
|
|
|
$
|
425
|
|
|
$
|
2,850
|
|
|
$
|
48
|
|
Current Coupon Rate
|
5.00
|
%
|
|
6.88
|
%
|
|
3.00
|
%
|
|
4.75
|
%
|
|
6.63
|
%
|
|
3.00
|
%
|
||||||
Gross Margin
|
2.36
|
%
|
|
4.13
|
%
|
|
1.13
|
%
|
|
2.36
|
%
|
|
4.13
|
%
|
|
1.13
|
%
|
||||||
Lifetime Cap
|
11.32
|
%
|
|
12.63
|
%
|
|
9.38
|
%
|
|
11.32
|
%
|
|
12.63
|
%
|
|
9.38
|
%
|
||||||
Original Term (Months)
|
360
|
|
|
360
|
|
|
360
|
|
|
360
|
|
|
360
|
|
|
360
|
|
||||||
Remaining Term (Months)
|
190
|
|
|
198
|
|
|
157
|
|
|
197
|
|
|
204
|
|
|
163
|
|
||||||
Average Months to Reset
|
5
|
|
|
11
|
|
|
1
|
|
|
5
|
|
|
11
|
|
|
1
|
|
||||||
Original FICO Score
|
727
|
|
|
818
|
|
|
603
|
|
|
725
|
|
|
818
|
|
|
603
|
|
||||||
Original LTV
|
70.59
|
%
|
|
95.00
|
%
|
|
16.28
|
%
|
|
70.54
|
%
|
|
95.00
|
%
|
|
16.28
|
%
|
|
June 30, 2019
|
|||||||||||||||
|
Count
|
|
Carrying Amount (1)
|
|
Investment Amount (1)
|
|
Weighted Average Interest or Preferred Return Rate (2)
|
|
Weighted Average Remaining Life (Years)
|
|||||||
Preferred equity investments
|
31
|
|
|
$
|
184,727
|
|
|
$
|
186,139
|
|
|
11.48
|
%
|
|
7.2
|
|
Mezzanine loans
|
3
|
|
|
6,660
|
|
|
6,675
|
|
|
12.08
|
%
|
|
24.5
|
|
||
Total
|
34
|
|
|
$
|
191,387
|
|
|
$
|
192,814
|
|
|
11.50
|
%
|
|
7.8
|
|
|
December 31, 2018
|
|||||||||||||||
|
Count
|
|
Carrying Amount (1)
|
|
Investment Amount (1)
|
|
Weighted Average Interest or Preferred Return Rate (2)
|
|
Weighted Average Remaining Life (Years)
|
|||||||
Preferred equity investments
|
24
|
|
|
$
|
154,629
|
|
|
$
|
155,819
|
|
|
11.59
|
%
|
|
7.2
|
|
Mezzanine loans
|
4
|
|
|
10,926
|
|
|
10,970
|
|
|
12.29
|
%
|
|
17.5
|
|
||
Total
|
28
|
|
|
$
|
165,555
|
|
|
$
|
166,789
|
|
|
11.63
|
%
|
|
7.8
|
|
(1)
|
The difference between the carrying amount and the investment amount consists of any unamortized premium or discount, deferred fees, or deferred expenses.
|
(2)
|
Based upon investment amount and contractual interest or preferred return rate.
|
Combined Loan to Value at Investment
|
June 30, 2019
|
|
December 31, 2018
|
||
70.01% - 80.00%
|
9.7
|
%
|
|
10.4
|
%
|
80.01% - 90.00%
|
90.3
|
%
|
|
89.6
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
|
|
June 30, 2019
|
|
December 31, 2018
|
||||
Current balance of loans
|
$
|
13,726,641
|
|
|
$
|
13,593,818
|
|
|
Number of loans
|
710
|
|
|
773
|
|
|||
Weighted average original LTV
|
68
|
%
|
|
68.8
|
%
|
|||
Weighted average underwritten debt service coverage ratio
|
1.48
|
|
|
1.45x
|
|
|||
Current average loan size
|
$
|
19,333
|
|
|
$
|
19,364
|
|
|
Weighted average original loan term (in months)
|
125
|
|
|
123
|
|
|||
Weighted average current remaining term (in months)
|
77
|
|
|
64
|
|
|||
Weighted average loan rate
|
4.28
|
%
|
|
4.34
|
%
|
|||
First mortgages
|
100
|
%
|
|
100
|
%
|
|||
Geographic state concentration (greater than 5.0%):
|
|
|
|
|||||
|
California
|
16.1
|
%
|
|
14.8
|
%
|
||
|
Texas
|
12.4
|
%
|
|
13.0
|
%
|
||
|
Maryland
|
5.8
|
%
|
|
5.0
|
%
|
||
|
New York
|
5.1
|
%
|
|
6.4
|
%
|
||
|
Florida
|
5.0
|
%
|
|
4.5
|
%
|
Quarter Ended
|
|
Quarterly Average
Balance
|
|
End of Quarter
Balance
|
|
Maximum Balance
at any Month-End
|
||||||
June 30, 2019
|
|
$
|
1,749,293
|
|
|
$
|
1,843,815
|
|
|
$
|
1,843,815
|
|
March 31, 2019
|
|
$
|
1,604,421
|
|
|
$
|
1,654,439
|
|
|
$
|
1,654,439
|
|
|
|
|
|
|
|
|
||||||
December 31, 2018
|
|
$
|
1,372,459
|
|
|
$
|
1,543,577
|
|
|
$
|
1,543,577
|
|
September 30, 2018
|
|
$
|
1,144,080
|
|
|
$
|
1,130,659
|
|
|
$
|
1,163,683
|
|
June 30, 2018
|
|
$
|
1,230,648
|
|
|
$
|
1,179,961
|
|
|
$
|
1,279,121
|
|
March 31, 2018
|
|
$
|
1,287,939
|
|
|
$
|
1,287,314
|
|
|
$
|
1,297,949
|
|
|
|
|
|
|
|
|
||||||
December 31, 2017
|
|
$
|
1,224,771
|
|
|
$
|
1,276,918
|
|
|
$
|
1,276,918
|
|
September 30, 2017
|
|
$
|
624,398
|
|
|
$
|
608,304
|
|
|
$
|
645,457
|
|
June 30, 2017
|
|
$
|
688,853
|
|
|
$
|
656,350
|
|
|
$
|
719,222
|
|
March 31, 2017
|
|
$
|
702,675
|
|
|
$
|
702,309
|
|
|
$
|
762,382
|
|
|
Maximum Aggregate Uncommitted Principal Amount
|
|
Outstanding
Repurchase Agreements
|
|
Carrying Value of Loans Pledged
|
|
Weighted Average Rate
|
|
Weighted Average Months to Maturity
|
|||||||
June 30, 2019
|
$
|
950,000
|
|
|
$
|
761,361
|
|
|
$
|
891,664
|
|
|
4.43
|
%
|
|
7.01
|
December 31, 2018
|
$
|
950,000
|
|
|
$
|
589,148
|
|
|
$
|
754,352
|
|
|
4.67
|
%
|
|
9.24
|
|
Three Months Ended June 30, 2019
|
|
Six Months Ended June 30, 2019
|
||||||||||||||||||
|
Amount
|
|
Shares
|
|
Per Share (1)
|
|
Amount
|
|
Shares
|
|
Per Share (1)
|
||||||||||
Beginning Balance
|
$
|
1,079,105
|
|
|
187,831
|
|
|
$
|
5.75
|
|
|
$
|
879,389
|
|
|
155,590
|
|
|
$
|
5.65
|
|
Common stock issuance, net (2)
|
138,471
|
|
|
23,042
|
|
|
|
|
|
324,492
|
|
|
55,283
|
|
|
|
|||||
Preferred stock issuance, net
|
16,087
|
|
|
|
|
|
|
|
16,087
|
|
|
|
|
|
|||||||
Preferred stock liquidation preference
|
(16,532
|
)
|
|
|
|
|
|
(16,532
|
)
|
|
|
|
|
||||||||
Balance after share issuance activity
|
1,217,131
|
|
|
210,873
|
|
|
5.77
|
|
|
1,203,436
|
|
|
210,873
|
|
|
5.71
|
|
||||
Dividends declared
|
(42,155
|
)
|
|
|
|
|
(0.20
|
)
|
|
(79,721
|
)
|
|
|
|
(0.38
|
)
|
|||||
Net change in accumulated other comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Investment securities, available for sale (3)
|
20,092
|
|
|
|
|
|
0.10
|
|
|
33,139
|
|
|
|
|
0.16
|
|
|||||
Net income attributable to Company's common stockholders
|
16,478
|
|
|
|
|
|
0.08
|
|
|
54,692
|
|
|
|
|
0.26
|
|
|||||
Ending Balance
|
$
|
1,211,546
|
|
|
210,873
|
|
|
$
|
5.75
|
|
|
$
|
1,211,546
|
|
|
210,873
|
|
|
$
|
5.75
|
|
(1)
|
Outstanding shares used to calculate book value per share for the three and six months ended June 30, 2019 are 210,872,614.
|
(2)
|
Includes amortization of stock based compensation.
|
(3)
|
The increases relate to unrealized gains in our investment securities due to improved pricing.
|
Fair Value Changes
|
||||
Changes in Interest Rates
|
|
Changes in Fair Value
|
|
Net Duration
|
(basis points)
|
|
(dollar amounts in thousands)
|
|
|
+200
|
|
$(222,972)
|
|
3.7
|
+100
|
|
$(71,996)
|
|
3.3
|
Base
|
|
|
|
3.0
|
-100
|
|
$71,891
|
|
2.8
|
Exhibit
|
|
Description
|
|
|
|
|
Membership Purchase Agreement, by and among Donlon Family LLC, JMP Investment Holdings LLC, Hypotheca Capital, LLC, RiverBanc LLC and the Company, dated May 3, 2016 (Incorporated by reference to Exhibit 2.1 to the Company's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 5, 2016).
|
|
|
|
|
|
Articles of Amendment and Restatement of the Company, as amended (Incorporated by reference to Exhibit 3.1 to the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 10, 2014).
|
|
|
|
|
|
Amended and Restated Bylaws of the Company (Incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed with the Securities and Exchange Commission on July 1, 2019).
|
|
|
|
|
|
Articles Supplementary designating the Company’s 7.75% Series B Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”) (Incorporated by reference to Exhibit 3.3 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,550,000 additional shares of the Series B Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 20, 2015).
|
|
|
|
|
|
Articles Supplementary classifying and designating the Company's 7.875% Series C Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) (Incorporated by reference to Exhibit 3.5 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).
|
|
|
|
|
|
Articles Supplementary classifying and designating the Company's 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock”) (Incorporated by reference to Exhibit 3.6 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,460,000 additional shares of the Series C Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,650,000 additional shares of the Series D Preferred Stock (Incorporated by reference to Exhibit 3.3 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).
|
|
|
|
|
|
Form of Common Stock Certificate (Incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-11 (Registration No. 333-111668) filed with the Securities and Exchange Commission on June 18, 2004).
|
|
|
|
|
|
Form of Certificate representing the Series B Preferred Stock Certificate (Incorporated by reference to Exhibit 3.4 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).
|
|
|
|
|
|
Form of Certificate representing the Series C Preferred Stock (Incorporated by reference to Exhibit 3.6 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).
|
|
|
|
|
|
Form of Certificate representing the Series D Preferred Stock (Incorporated by reference to Exhibit 3.7 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).
|
|
|
|
|
|
Indenture, dated April 15, 2016, by and between NYMT Residential 2016-RP1, LLC and U.S. Bank National Association (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 19, 2016).
|
|
|
|
|
|
Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).).
|
|
|
|
|
|
First Supplemental Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).
|
|
|
|
|
|
Form of 6.25% Senior Convertible Note Due 2022 of the Company (Incorporated by reference to Exhibit 4.3 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).
|
|
|
|
|
|
|
Certain instruments defining the rights of holders of long-term debt securities of the Company and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K. The Company hereby undertakes to furnish to the Securities and Exchange Commission, upon request, copies of any such instruments.
|
|
|
|
|
Amendment No. 1 to the New York Mortgage Trust, Inc. 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2019).
|
|
|
|
|
Certification of the Chief Executive Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Financial Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. *
|
|
|
|
|
101.INS
|
|
XBRL Instance Document **
|
|
|
|
101.SCH
|
|
Taxonomy Extension Schema Document **
|
|
|
|
101.CAL
|
|
Taxonomy Extension Calculation Linkbase Document **
|
|
|
|
101.DEF XBRL
|
|
Taxonomy Extension Definition Linkbase Document **
|
|
|
|
101.LAB
|
|
Taxonomy Extension Label Linkbase Document **
|
|
|
|
101.PRE
|
|
Taxonomy Extension Presentation Linkbase Document **
|
*
|
Furnished herewith. Such certification shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended.
|
**
|
Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Condensed Consolidated Balance Sheets at June 30, 2019 and December 31, 2018; (ii) Condensed Consolidated Statements of Operations for the three and six months ended June 30, 2019 and 2018; (iii) Condensed Consolidated Statements of Comprehensive Income for the three and six months ended June 30, 2019 and 2018; (iv) Condensed Consolidated Statements of Changes in Stockholders’ Equity for the three and six months ended June 30, 2019 and 2018; (v) Condensed Consolidated Statements of Cash Flows for the six months ended June 30, 2019 and 2018; and (vi) Notes to Condensed Consolidated Financial Statements.
|
|
|
NEW YORK MORTGAGE TRUST, INC.
|
|
|
|
|
|
Date:
|
August 6, 2019
|
By:
|
/s/ Steven R. Mumma
|
|
Steven R. Mumma
|
||
|
Chairman of the Board and Chief Executive Officer
|
||
|
(Principal Executive Officer)
|
||
|
|
|
|
Date:
|
August 6, 2019
|
By:
|
/s/ Kristine R. Nario-Eng
|
|
Kristine R. Nario-Eng
|
||
|
Chief Financial Officer
|
||
|
(Principal Financial and Accounting Officer)
|
Exhibit
|
|
Description
|
|
|
|
|
Membership Purchase Agreement, by and among Donlon Family LLC, JMP Investment Holdings LLC, Hypotheca Capital, LLC, RiverBanc LLC and the Company, dated May 3, 2016 (Incorporated by reference to Exhibit 2.1 to the Company's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 5, 2016).
|
|
|
|
|
|
Articles of Amendment and Restatement of the Company, as amended (Incorporated by reference to Exhibit 3.1 to the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 10, 2014).
|
|
|
|
|
|
Amended and Restated Bylaws of the Company (Incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed with the Securities and Exchange Commission on July 1, 2019).
|
|
|
|
|
|
Articles Supplementary designating the Company’s 7.75% Series B Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”) (Incorporated by reference to Exhibit 3.3 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,550,000 additional shares of the Series B Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 20, 2015).
|
|
|
|
|
|
Articles Supplementary classifying and designating the Company's 7.875% Series C Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) (Incorporated by reference to Exhibit 3.5 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).
|
|
|
|
|
|
Articles Supplementary classifying and designating the Company's 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock”) (Incorporated by reference to Exhibit 3.6 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,460,000 additional shares of the Series C Preferred Stock (Incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).
|
|
|
|
|
|
Articles Supplementary classifying and designating 2,650,000 additional shares of the Series D Preferred Stock (Incorporated by reference to Exhibit 3.3 of the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on March 29, 2019).
|
|
|
|
|
|
Form of Common Stock Certificate (Incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-11 (Registration No. 333-111668) filed with the Securities and Exchange Commission on June 18, 2004).
|
|
|
|
|
|
Form of Certificate representing the Series B Preferred Stock Certificate (Incorporated by reference to Exhibit 3.4 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on May 31, 2013).
|
|
|
|
|
|
Form of Certificate representing the Series C Preferred Stock (Incorporated by reference to Exhibit 3.6 of the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on April 21, 2015).
|
|
|
|
|
|
Form of Certificate representing the Series D Preferred Stock (Incorporated by reference to Exhibit 3.7 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 10, 2017).
|
|
|
|
|
|
Indenture, dated April 15, 2016, by and between NYMT Residential 2016-RP1, LLC and U.S. Bank National Association (Incorporated by reference to Exhibit 4.1 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on April 19, 2016).
|
|
|
|
|
|
Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).
|
|
|
|
|
|
First Supplemental Indenture, dated January 23, 2017, between the Company and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).
|
|
|
|
|
|
Form of 6.25% Senior Convertible Note Due 2022 of the Company (Incorporated by reference to Exhibit 4.3 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on January 23, 2017).
|
|
|
|
|
|
|
Certain instruments defining the rights of holders of long-term debt securities of the Company and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K. The Company hereby undertakes to furnish to the Securities Exchange Commission, upon request, copies of any such instruments.
|
|
|
|
|
|
|
|
Amendment No. 1 to the New York Mortgage Trust, Inc. 2017 Equity Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2019).
|
|
Certification of the Chief Executive Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Financial Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. *
|
|
|
|
|
101.INS
|
|
XBRL Instance Document **
|
|
|
|
101.SCH
|
|
Taxonomy Extension Schema Document **
|
|
|
|
101.CAL
|
|
Taxonomy Extension Calculation Linkbase Document **
|
|
|
|
101.DEF XBRL
|
|
Taxonomy Extension Definition Linkbase Document **
|
|
|
|
101.LAB
|
|
Taxonomy Extension Label Linkbase Document **
|
|
|
|
101.PRE
|
|
Taxonomy Extension Presentation Linkbase Document **
|
*
|
Furnished herewith. Such certification shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended.
|
**
|
Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Condensed Consolidated Balance Sheets at June 30, 2019 and December 31, 2018; (ii) Condensed Consolidated Statements of Operations for the three and six months ended June 30, 2019 and 2018; (iii) Condensed Consolidated Statements of Comprehensive Income for the three and six months ended June 30, 2019 and 2018; (iv) Condensed Consolidated Statements of Changes in Stockholders’ Equity for the three and six months ended June 30, 2019 and 2018; (v) Condensed Consolidated Statements of Cash Flows for the six months ended June 30, 2019 and 2018; and (vi) Notes to Condensed Consolidated Financial Statements.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 of New York Mortgage Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: August 6, 2019
|
|
|
/s/ Steven R. Mumma
|
|
Steven R. Mumma
|
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer)
|
1.
|
I have reviewed this quarterly report on Form 10-Q for the quarter ended June 30, 2019 of New York Mortgage Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: August 6, 2019
|
|
|
/s/ Kristine R. Nario-Eng
|
|
Kristine R. Nario-Eng
|
|
Chief Financial Officer
(Principal Financial and Accounting Officer)
|
Date: August 6, 2019
|
|
|
/s/ Steven R. Mumma
|
|
Steven R. Mumma
|
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer)
|
Date: August 6, 2019
|
|
|
/s/ Kristine R. Nario-Eng
|
|
Kristine R. Nario-Eng
|
|
Chief Financial Officer
(Principal Financial and Accounting Officer)
|