Maryland
|
47-0934168
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
(I.R.S. Employer
Identification No.)
|
Title of Each Class
|
|
Trading Symbols)
|
|
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, par value $0.01 per share, $25.00 Liquidation Preference
|
|
NYMTP
|
|
NASDAQ
|
Stock Market
|
7.875% Series C Cumulative Redeemable Preferred Stock, par value $0.01 per share, $25.00 Liquidation Preference
|
|
NYMTO
|
|
NASDAQ
|
Stock Market
|
8.000% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, $25.00 Liquidation Preference
|
|
NYMTN
|
|
NASDAQ
|
Stock Market
|
7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, $25.00 Liquidation Preference
|
|
NYMTM
|
|
NASDAQ
|
Stock Market
|
Large Accelerated Filer
|
☒
|
Accelerated Filer
|
☐
|
Non-Accelerated Filer
|
☐
|
Smaller Reporting Company
|
☐
|
Emerging Growth Company
|
☐
|
|
||
|
|
|
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
(unaudited)
|
|
|
||||
ASSETS
|
|
|
|
||||
Investment securities available for sale, at fair value
|
$
|
887,308
|
|
|
$
|
2,006,140
|
|
Residential loans, at fair value
|
2,776,630
|
|
|
2,758,640
|
|
||
Residential loans, net
|
—
|
|
|
202,756
|
|
||
Investments in unconsolidated entities
|
211,965
|
|
|
189,965
|
|
||
Preferred equity and mezzanine loan investments
|
179,292
|
|
|
180,045
|
|
||
Multi-family loans held in securitization trusts, at fair value
|
—
|
|
|
17,816,746
|
|
||
Derivative assets
|
—
|
|
|
15,878
|
|
||
Receivable for securities sold
|
213,585
|
|
|
—
|
|
||
Cash and cash equivalents
|
172,513
|
|
|
118,763
|
|
||
Goodwill
|
—
|
|
|
25,222
|
|
||
Receivables and other assets
|
277,008
|
|
|
169,214
|
|
||
Total Assets (1)
|
$
|
4,718,301
|
|
|
$
|
23,483,369
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Repurchase agreements
|
$
|
1,428,124
|
|
|
$
|
3,105,416
|
|
Multi-family collateralized debt obligations, at fair value
|
—
|
|
|
16,724,451
|
|
||
Residential collateralized debt obligations, at fair value
|
1,034,992
|
|
|
1,052,829
|
|
||
Residential collateralized debt obligations
|
38,959
|
|
|
40,429
|
|
||
Convertible notes
|
133,534
|
|
|
132,955
|
|
||
Subordinated debentures
|
45,000
|
|
|
45,000
|
|
||
Accrued expenses and other liabilities
|
37,241
|
|
|
177,260
|
|
||
Total liabilities (1)
|
2,717,850
|
|
|
21,278,340
|
|
||
Commitments and Contingencies
|
|
|
|
||||
Stockholders' Equity:
|
|
|
|
||||
Preferred stock, par value $0.01 per share, 30,900,000 shares authorized, 20,872,888 shares issued and outstanding ($532,118,757 and $521,822,200 aggregate liquidation preference, respectively)
|
504,765
|
|
|
504,765
|
|
||
Common stock, par value $0.01 per share, 800,000,000 shares authorized, 377,465,405 and 291,371,039 shares issued and outstanding, respectively
|
3,775
|
|
|
2,914
|
|
||
Additional paid-in capital
|
2,334,793
|
|
|
1,821,785
|
|
||
Accumulated other comprehensive (loss) income
|
(117,032
|
)
|
|
25,132
|
|
||
Accumulated deficit
|
(724,962
|
)
|
|
(148,863
|
)
|
||
Company's stockholders' equity
|
2,001,339
|
|
|
2,205,733
|
|
||
Non-controlling interest in consolidated variable interest entities
|
(888
|
)
|
|
(704
|
)
|
||
Total equity
|
2,000,451
|
|
|
2,205,029
|
|
||
Total Liabilities and Stockholders' Equity
|
$
|
4,718,301
|
|
|
$
|
23,483,369
|
|
(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 March 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $1,283,255 and $19,270,384, respectively, and the liabilities of consolidated VIEs totaled $1,076,678 and $17,878,314, respectively. See Note 9 for further discussion.
|
|
For the Three Months Ended
March 31, |
||||||
|
2020
|
|
2019
|
||||
INTEREST INCOME:
|
|
|
|
||||
Investment securities and other interest earning assets
|
$
|
19,099
|
|
|
$
|
15,316
|
|
Residential loans
|
34,300
|
|
|
15,891
|
|
||
Preferred equity and mezzanine loan investments
|
5,373
|
|
|
5,007
|
|
||
Multi-family loans held in securitization trusts
|
151,841
|
|
|
111,768
|
|
||
Total interest income
|
210,613
|
|
|
147,982
|
|
||
|
|
|
|
||||
INTEREST EXPENSE:
|
|
|
|
||||
Repurchase agreements and other interest bearing liabilities
|
21,613
|
|
|
20,386
|
|
||
Residential collateralized debt obligations
|
8,772
|
|
|
422
|
|
||
Multi-family collateralized debt obligations
|
129,762
|
|
|
96,797
|
|
||
Convertible notes
|
2,735
|
|
|
2,691
|
|
||
Subordinated debentures
|
649
|
|
|
741
|
|
||
Securitized debt
|
—
|
|
|
742
|
|
||
Total interest expense
|
163,531
|
|
|
121,779
|
|
||
|
|
|
|
||||
NET INTEREST INCOME
|
47,082
|
|
|
26,203
|
|
||
|
|
|
|
||||
NON-INTEREST (LOSS) INCOME:
|
|
|
|
||||
Recovery of loan losses
|
—
|
|
|
1,065
|
|
||
Realized (losses) gains, net
|
(147,918
|
)
|
|
22,006
|
|
||
Realized loss on de-consolidation of multi-family loans held in securitization trusts and multi-family collateralized debt obligations, net
|
(54,118
|
)
|
|
—
|
|
||
Unrealized (losses) gains, net
|
(396,780
|
)
|
|
2,708
|
|
||
Impairment of goodwill
|
(25,222
|
)
|
|
—
|
|
||
Loss on extinguishment of debt
|
—
|
|
|
(2,857
|
)
|
||
Income from real estate held for sale in consolidated variable interest entities
|
—
|
|
|
215
|
|
||
Other income
|
2,035
|
|
|
7,728
|
|
||
Total non-interest (loss) income
|
(622,003
|
)
|
|
30,865
|
|
||
|
|
|
|
||||
GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:
|
|
|
|
||||
General and administrative expenses
|
10,806
|
|
|
8,910
|
|
||
Expenses related to residential loans
|
3,079
|
|
|
3,252
|
|
||
Expenses related to real estate held for sale in consolidated variable interest entities
|
—
|
|
|
482
|
|
||
Total general, administrative and operating expenses
|
13,885
|
|
|
12,644
|
|
||
|
|
|
|
||||
(LOSS) INCOME FROM OPERATIONS BEFORE INCOME TAXES
|
(588,806
|
)
|
|
44,424
|
|
||
Income tax (benefit) expense
|
(239
|
)
|
|
74
|
|
||
|
|
|
|
||||
NET (LOSS) INCOME
|
(588,567
|
)
|
|
44,350
|
|
||
Net loss (income) attributable to non-controlling interest in consolidated variable interest entities
|
184
|
|
|
(211
|
)
|
||
NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY
|
(588,383
|
)
|
|
44,139
|
|
||
Preferred stock dividends
|
(10,297
|
)
|
|
(5,925
|
)
|
||
NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
(598,680
|
)
|
|
$
|
38,214
|
|
|
|
|
|
||||
Basic (loss) earnings per common share
|
$
|
(1.71
|
)
|
|
$
|
0.22
|
|
Diluted (loss) earnings per common share
|
$
|
(1.71
|
)
|
|
$
|
0.21
|
|
Weighted average shares outstanding-basic
|
350,912
|
|
|
174,421
|
|
||
Weighted average shares outstanding-diluted
|
350,912
|
|
|
194,970
|
|
|
For the Three Months Ended
March 31, |
||||||
|
2020
|
|
2019
|
||||
NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
(598,680
|
)
|
|
$
|
38,214
|
|
OTHER COMPREHENSIVE (LOSS) INCOME
|
|
|
|
||||
(Decrease) increase in fair value of available for sale securities
|
(135,327
|
)
|
|
26,712
|
|
||
Reclassification adjustment for net gain included in net (loss) income
|
(6,837
|
)
|
|
(13,665
|
)
|
||
TOTAL OTHER COMPREHENSIVE (LOSS) INCOME
|
(142,164
|
)
|
|
13,047
|
|
||
COMPREHENSIVE (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
(740,844
|
)
|
|
$
|
51,261
|
|
|
Common
Stock
|
|
Preferred
Stock
|
|
Additional
Paid-In
Capital
|
|
Retained Earnings (Accumulated Deficit)
|
|
Accumulated
Other
Comprehensive
Income (Loss)
|
|
Total Company Stockholders' Equity
|
|
Non-Controlling Interest in Consolidated VIE
|
|
Total
|
||||||||||||||||
Balance, December 31, 2019
|
$
|
2,914
|
|
|
$
|
504,765
|
|
|
$
|
1,821,785
|
|
|
$
|
(148,863
|
)
|
|
$
|
25,132
|
|
|
$
|
2,205,733
|
|
|
$
|
(704
|
)
|
|
$
|
2,205,029
|
|
Cumulative-effect adjustment for implementation of fair value option
|
—
|
|
|
—
|
|
|
—
|
|
|
12,284
|
|
|
—
|
|
|
12,284
|
|
|
—
|
|
|
12,284
|
|
||||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(588,383
|
)
|
|
—
|
|
|
(588,383
|
)
|
|
(184
|
)
|
|
(588,567
|
)
|
||||||||
Common stock issuance, net
|
861
|
|
|
—
|
|
|
513,008
|
|
|
—
|
|
|
—
|
|
|
513,869
|
|
|
—
|
|
|
513,869
|
|
||||||||
Preferred stock issuance, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Reclassification adjustment for net gain included in net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,837
|
)
|
|
(6,837
|
)
|
|
—
|
|
|
(6,837
|
)
|
||||||||
Decrease in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(135,327
|
)
|
|
(135,327
|
)
|
|
—
|
|
|
(135,327
|
)
|
||||||||
Balance, March 31, 2020
|
$
|
3,775
|
|
|
$
|
504,765
|
|
|
$
|
2,334,793
|
|
|
$
|
(724,962
|
)
|
|
$
|
(117,032
|
)
|
|
$
|
2,001,339
|
|
|
$
|
(888
|
)
|
|
$
|
2,000,451
|
|
|
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
|
—
|
|
|
—
|
|
|
—
|
|
|
44,139
|
|
|
—
|
|
|
44,139
|
|
|
211
|
|
|
44,350
|
|
||||||||
Common stock issuance, net
|
322
|
|
|
—
|
|
|
185,699
|
|
|
—
|
|
|
—
|
|
|
186,021
|
|
|
—
|
|
|
186,021
|
|
||||||||
Preferred stock issuance, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(37,566
|
)
|
|
—
|
|
|
(37,566
|
)
|
|
—
|
|
|
(37,566
|
)
|
||||||||
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,925
|
)
|
|
—
|
|
|
(5,925
|
)
|
|
—
|
|
|
(5,925
|
)
|
||||||||
Reclassification adjustment for net gain included in net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,665
|
)
|
|
(13,665
|
)
|
|
—
|
|
|
(13,665
|
)
|
||||||||
Increase in fair value of available for sale securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
26,712
|
|
|
26,712
|
|
|
—
|
|
|
26,712
|
|
||||||||
Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(768
|
)
|
|
(768
|
)
|
||||||||
Balance, March 31, 2019
|
$
|
1,878
|
|
|
$
|
289,755
|
|
|
$
|
1,199,090
|
|
|
$
|
(102,530
|
)
|
|
$
|
(9,088
|
)
|
|
$
|
1,379,105
|
|
|
$
|
347
|
|
|
$
|
1,379,452
|
|
|
For the Three Months Ended
March 31, |
||||||
|
2020
|
|
2019
|
||||
Cash Flows from Operating Activities:
|
|
|
|
||||
Net (loss) income
|
$
|
(588,567
|
)
|
|
$
|
44,350
|
|
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
|
|
|
|
||||
Net accretion
|
(14,500
|
)
|
|
(10,463
|
)
|
||
Realized losses (gains), net
|
147,918
|
|
|
(22,006
|
)
|
||
Realized loss on de-consolidation of multi-family loans held in securitization trusts and multi-family collateralized debt obligations, net
|
54,118
|
|
|
—
|
|
||
Unrealized losses (gains), net
|
396,780
|
|
|
(2,708
|
)
|
||
Impairment of goodwill
|
25,222
|
|
|
—
|
|
||
Gain on sale of real estate held for sale in consolidated variable interest entities
|
—
|
|
|
(1,580
|
)
|
||
Impairment of real estate under development in consolidated variable interest entities
|
145
|
|
|
936
|
|
||
Loss on extinguishment of debt
|
—
|
|
|
2,857
|
|
||
Recovery of loan losses
|
—
|
|
|
(1,065
|
)
|
||
Income from unconsolidated entity, preferred equity and mezzanine loan investments
|
(5,920
|
)
|
|
(13,108
|
)
|
||
Distributions of income from unconsolidated entity, preferred equity and mezzanine loan investments
|
5,686
|
|
|
7,010
|
|
||
Amortization of stock based compensation, net
|
1,963
|
|
|
993
|
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
|||
Receivables and other assets
|
68,894
|
|
|
(15,499
|
)
|
||
Accrued expenses and other liabilities
|
(71,572
|
)
|
|
18,476
|
|
||
Net cash provided by operating activities
|
20,167
|
|
|
8,193
|
|
||
|
|
|
|
||||
Cash Flows from Investing Activities:
|
|
|
|
||||
Proceeds from sales of investment securities
|
1,380,980
|
|
|
56,769
|
|
||
Principal paydowns on investment securities available for sale
|
142,808
|
|
|
37,642
|
|
||
Purchases of investment securities
|
(448,093
|
)
|
|
(136,265
|
)
|
||
Principal repayments and refinancing of residential loans
|
102,696
|
|
|
27,052
|
|
||
Proceeds from sales of residential loans
|
49,960
|
|
|
23,244
|
|
||
Purchases of residential loans
|
(153,821
|
)
|
|
(159,658
|
)
|
||
Principal repayments received on preferred equity and mezzanine loan investments
|
7,555
|
|
|
12,316
|
|
||
Return of capital from unconsolidated entity investments
|
157
|
|
|
311
|
|
||
Funding of preferred equity, equity and mezzanine loan investments
|
(30,546
|
)
|
|
(35,021
|
)
|
||
Proceeds from sales resulting in de-consolidation of multi-family loans held in securitization trusts and multi-family collateralized debt obligations, net
|
344,044
|
|
|
—
|
|
||
Principal repayments received on multi-family loans held in securitization trusts
|
239,796
|
|
|
37,485
|
|
||
Purchases of investments held in multi-family securitization trusts
|
—
|
|
|
(101,570
|
)
|
||
Net payments made on other derivative instruments settled during the period
|
(28,233
|
)
|
|
(19,197
|
)
|
||
Proceeds from sale of real estate owned
|
1,151
|
|
|
650
|
|
||
Net proceeds from sale of real estate held for sale in consolidated variable interest entities
|
—
|
|
|
3,587
|
|
||
Capital expenditures on real estate held for sale in consolidated variable interest entities
|
—
|
|
|
(128
|
)
|
||
Purchases of other assets
|
(36
|
)
|
|
(600
|
)
|
||
Net cash provided by (used in) investing activities
|
1,608,418
|
|
|
(253,383
|
)
|
||
|
|
|
|
||||
Cash Flows from Financing Activities:
|
|
|
|
||||
Net (payments made on) proceeds from repurchase agreements
|
(1,677,506
|
)
|
|
141,153
|
|
||
Common stock issuance, net
|
511,924
|
|
|
185,027
|
|
||
Dividends paid on common stock
|
(58,274
|
)
|
|
(31,118
|
)
|
||
Dividends paid on preferred stock
|
(10,175
|
)
|
|
(5,925
|
)
|
||
Payments made on mortgages and notes payable in consolidated variable interest entities
|
—
|
|
|
(36
|
)
|
||
Payments made on residential collateralized debt obligations
|
(22,683
|
)
|
|
(3,808
|
)
|
||
Payments made on multi-family collateralized debt obligations
|
(147,376
|
)
|
|
(37,481
|
)
|
||
Extinguishment of and payments made on securitized debt
|
—
|
|
|
(45,557
|
)
|
||
Net cash (used in) provided by financing activities
|
(1,404,090
|
)
|
|
202,255
|
|
||
|
|
|
|
||||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash
|
224,495
|
|
|
(42,935
|
)
|
||
Cash, Cash Equivalents and Restricted Cash - Beginning of Period
|
121,612
|
|
|
109,145
|
|
||
Cash, Cash Equivalents and Restricted Cash - End of Period
|
$
|
346,107
|
|
|
$
|
66,210
|
|
|
|
|
|
|
|
|
|
||||
Supplemental Disclosure:
|
|
|
|
||||
Cash paid for interest
|
$
|
239,091
|
|
|
$
|
132,888
|
|
Cash paid for income taxes
|
$
|
1
|
|
|
$
|
7
|
|
|
|
|
|
||||
Non-Cash Investment Activities:
|
|
|
|
||||
Sales of investment securities not yet settled
|
$
|
213,585
|
|
|
$
|
—
|
|
De-consolidation of multi-family loans held in securitization trusts
|
$
|
17,381,483
|
|
|
$
|
—
|
|
De-consolidation of multi-family collateralized debt obligations
|
$
|
16,612,093
|
|
|
$
|
—
|
|
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
|
$
|
3,515
|
|
|
$
|
1,841
|
|
|
|
|
|
||||
Non-Cash Financing Activities:
|
|
|
|
||||
Dividends declared on common stock to be paid in subsequent period
|
$
|
—
|
|
|
$
|
37,566
|
|
Dividends declared on preferred stock to be paid in subsequent period
|
$
|
—
|
|
|
$
|
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
|
$
|
172,513
|
|
|
$
|
65,359
|
|
Restricted cash included in receivables and other assets
|
173,594
|
|
|
851
|
|
||
Total cash, cash equivalents, and restricted cash
|
$
|
346,107
|
|
|
$
|
66,210
|
|
1.
|
Organization
|
•
|
The Company sold approximately $2.0 billion of assets, recognizing a total net loss of approximately $301.7 million.
|
•
|
The Company terminated interest rate swap positions with an aggregate notional value of $495.5 million, recognizing a total net loss of $44.1 million.
|
•
|
The Company reduced its outstanding repurchase agreements by $1.7 billion from year-end levels, reducing its overall leverage to less than one times.
|
|
December 31, 2019
|
|
Transition Adjustment
|
|
January 1, 2020
|
||||||
Assets
|
|
|
|
|
|
||||||
Residential loans, net
|
$
|
202,756
|
|
|
$
|
5,715
|
|
|
$
|
208,471
|
|
Investments in unconsolidated entities
|
106,083
|
|
|
1,394
|
|
|
107,477
|
|
|||
Preferred equity and mezzanine loan investments
|
180,045
|
|
|
2,420
|
|
|
182,465
|
|
|||
Receivables and other assets
|
865
|
|
|
2,755
|
|
|
3,620
|
|
|||
Total Assets
|
$
|
489,749
|
|
|
$
|
12,284
|
|
|
$
|
502,033
|
|
|
|
|
|
|
|
||||||
Stockholders' Equity
|
|
|
|
|
|
|
|||||
Accumulated deficit
|
$
|
(148,863
|
)
|
|
$
|
12,284
|
|
|
$
|
(136,579
|
)
|
Total Stockholders' Equity
|
$
|
(148,863
|
)
|
|
$
|
12,284
|
|
|
$
|
(136,579
|
)
|
3.
|
Investment Securities Available for Sale, at Fair Value
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
||||||||||||||||||||
|
|
Gains
|
|
Losses
|
|
|
|
Gains
|
|
Losses
|
|
||||||||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Agency Fixed-Rate
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
21,033
|
|
|
$
|
—
|
|
|
$
|
(55
|
)
|
|
$
|
20,978
|
|
Total Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
21,033
|
|
|
—
|
|
|
(55
|
)
|
|
20,978
|
|
||||||||
Agency CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,076
|
|
|
—
|
|
|
(395
|
)
|
|
30,681
|
|
||||||||
Total Agency
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
52,109
|
|
|
—
|
|
|
(450
|
)
|
|
51,659
|
|
||||||||
Non-Agency RMBS
|
252,456
|
|
|
467
|
|
|
(48,278
|
)
|
|
204,645
|
|
|
122,628
|
|
|
2,435
|
|
|
(1,248
|
)
|
|
123,815
|
|
||||||||
CMBS (1)
|
231,031
|
|
|
—
|
|
|
(33,244
|
)
|
|
197,787
|
|
|
20,096
|
|
|
563
|
|
|
(19
|
)
|
|
20,640
|
|
||||||||
ABS
|
49,820
|
|
|
—
|
|
|
(7,476
|
)
|
|
42,344
|
|
|
49,902
|
|
|
—
|
|
|
(688
|
)
|
|
49,214
|
|
||||||||
Total investment securities available for sale - fair value option
|
$
|
533,307
|
|
|
$
|
467
|
|
|
$
|
(88,998
|
)
|
|
$
|
444,776
|
|
|
$
|
244,735
|
|
|
$
|
2,998
|
|
|
$
|
(2,405
|
)
|
|
$
|
245,328
|
|
(1)
|
Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the three months ended March 31, 2020 with a total fair value of $124.2 million as of March 31, 2020.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
|
Amortized Cost
|
|
Unrealized
|
|
Fair Value
|
||||||||||||||||||||
|
|
Gains
|
|
Losses
|
|
|
|
Gains
|
|
Losses
|
|
||||||||||||||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Agency ARMs (1)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
55,740
|
|
|
$
|
13
|
|
|
$
|
(1,347
|
)
|
|
$
|
54,406
|
|
Agency Fixed-Rate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
846,203
|
|
|
7,397
|
|
|
(6,107
|
)
|
|
847,493
|
|
||||||||
Total Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
901,943
|
|
|
7,410
|
|
|
(7,454
|
)
|
|
901,899
|
|
||||||||
Agency CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20,258
|
|
|
19
|
|
|
—
|
|
|
20,277
|
|
||||||||
Total Agency
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
922,201
|
|
|
7,429
|
|
|
(7,454
|
)
|
|
922,176
|
|
||||||||
Non-Agency RMBS
|
474,192
|
|
|
—
|
|
|
(102,729
|
)
|
|
371,463
|
|
|
578,955
|
|
|
12,557
|
|
|
(13
|
)
|
|
591,499
|
|
||||||||
CMBS
|
85,371
|
|
|
—
|
|
|
(14,302
|
)
|
|
71,069
|
|
|
234,524
|
|
|
12,737
|
|
|
(124
|
)
|
|
247,137
|
|
||||||||
Total investment securities available for sale - CECL Securities
|
$
|
559,563
|
|
|
$
|
—
|
|
|
$
|
(117,031
|
)
|
|
$
|
442,532
|
|
|
$
|
1,735,680
|
|
|
$
|
32,723
|
|
|
$
|
(7,591
|
)
|
|
$
|
1,760,812
|
|
(1)
|
For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.
|
|
Three Months Ended March 31, 2020
|
||||||||||||||
|
Sales Proceeds
|
|
Realized Gains
|
|
Realized Losses
|
|
Net Realized Gains/Losses
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
||||||||
Agency ARMs
|
$
|
49,893
|
|
|
$
|
44
|
|
|
$
|
(4,157
|
)
|
|
$
|
(4,113
|
)
|
Agency Fixed-Rate (1)
|
943,100
|
|
|
5,348
|
|
|
(11,713
|
)
|
|
(6,365
|
)
|
||||
Total Agency RMBS
|
992,993
|
|
|
5,392
|
|
|
(15,870
|
)
|
|
(10,478
|
)
|
||||
Agency CMBS (2)
|
145,411
|
|
|
5,666
|
|
|
(209
|
)
|
|
5,457
|
|
||||
Total Agency
|
1,138,404
|
|
|
11,058
|
|
|
(16,079
|
)
|
|
(5,021
|
)
|
||||
Non-Agency RMBS
|
130,948
|
|
|
—
|
|
|
(24,132
|
)
|
|
(24,132
|
)
|
||||
CMBS
|
114,038
|
|
|
—
|
|
|
(29,584
|
)
|
|
(29,584
|
)
|
||||
Total
|
$
|
1,383,390
|
|
|
$
|
11,058
|
|
|
$
|
(69,795
|
)
|
|
$
|
(58,737
|
)
|
(1)
|
Includes Agency RMBS securities issued by Consolidated SLST (see Note 4).
|
(2)
|
Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 6).
|
|
Three Months Ended March 31, 2019
|
||||||||||||||
|
Sales Proceeds
|
|
Realized Gains
|
|
Realized Losses
|
|
Net Realized Gains/Losses
|
||||||||
CMBS
|
$
|
56,769
|
|
|
$
|
16,957
|
|
|
$
|
(156
|
)
|
|
$
|
16,801
|
|
Total
|
$
|
56,769
|
|
|
$
|
16,957
|
|
|
$
|
(156
|
)
|
|
$
|
16,801
|
|
Weighted Average Life
|
March 31, 2020
|
|
December 31, 2019
|
||||
0 to 5 years
|
$
|
248,128
|
|
|
$
|
1,359,894
|
|
Over 5 to 10 years
|
532,661
|
|
|
521,517
|
|
||
10+ years
|
106,519
|
|
|
124,729
|
|
||
Total
|
$
|
887,308
|
|
|
$
|
2,006,140
|
|
March 31, 2020
|
Less than 12 months
|
|
Greater than 12 months
|
|
Total
|
||||||||||||||||||
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
|
Carrying
Value
|
|
Gross
Unrealized
Losses
|
||||||||||||
Non-Agency RMBS
|
$
|
371,378
|
|
|
$
|
(102,709
|
)
|
|
$
|
85
|
|
|
$
|
(20
|
)
|
|
$
|
371,463
|
|
|
$
|
(102,729
|
)
|
CMBS
|
71,069
|
|
|
(14,302
|
)
|
|
—
|
|
|
—
|
|
|
71,069
|
|
|
(14,302
|
)
|
||||||
Total
|
$
|
442,447
|
|
|
$
|
(117,011
|
)
|
|
$
|
85
|
|
|
$
|
(20
|
)
|
|
$
|
442,532
|
|
|
$
|
(117,031
|
)
|
December 31, 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
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
222,286
|
|
|
$
|
(7,454
|
)
|
|
$
|
222,286
|
|
|
$
|
(7,454
|
)
|
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
104
|
|
|
(13
|
)
|
|
104
|
|
|
(13
|
)
|
||||||
CMBS
|
25,507
|
|
|
(124
|
)
|
|
—
|
|
|
—
|
|
|
25,507
|
|
|
(124
|
)
|
||||||
Total
|
$
|
25,507
|
|
|
$
|
(124
|
)
|
|
$
|
222,390
|
|
|
$
|
(7,467
|
)
|
|
$
|
247,897
|
|
|
$
|
(7,591
|
)
|
4.
|
Residential Loans, at Fair Value
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||
|
Residential loans
|
|
Consolidated SLST (1)
|
|
Residential loans held in securitization trusts (2)
|
|
Residential loans
|
|
Consolidated SLST (1)
|
||||||||||
Principal
|
$
|
1,634,920
|
|
|
$
|
1,300,630
|
|
|
$
|
45,388
|
|
|
$
|
1,464,984
|
|
|
$
|
1,322,131
|
|
(Discount)/premium
|
(85,691
|
)
|
|
5,469
|
|
|
292
|
|
|
(81,372
|
)
|
|
6,455
|
|
|||||
Unrealized (losses)/gains
|
(33,882
|
)
|
|
(87,800
|
)
|
|
(2,696
|
)
|
|
46,142
|
|
|
300
|
|
|||||
Carrying value
|
$
|
1,515,347
|
|
|
$
|
1,218,299
|
|
|
$
|
42,984
|
|
|
$
|
1,429,754
|
|
|
$
|
1,328,886
|
|
(1)
|
In 2019, the Company invested in first loss subordinated securities and certain IOs and senior securities issued by a Freddie Mac-sponsored residential loan securitization. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitization and the SLST CDOs issued to permanently finance these residential loans, representing Consolidated SLST. SLST CDOs are included in residential collateralized debt obligations, at fair value on the Company's condensed consolidated balance sheets.
|
(2)
|
Residential loans held in securitization trusts are comprised of ARM loans transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests. These Residential CDOs are accounted for as financings and included in residential collateralized debt obligations on the Company's condensed consolidated balance sheets. Residential loans held in securitization trusts were included in residential loans, net on the Company's condensed consolidated balance sheets as of December 31, 2019 (see Note 5).
|
|
Three Months Ended
|
||||||||||||||
|
March 31, 2020
|
|
March 31, 2019
|
||||||||||||
|
Residential loans
|
|
Consolidated SLST
|
|
Residential loans held in securitization trusts
|
|
Residential loans
|
||||||||
Unrealized (losses) gains, net
|
$
|
(81,680
|
)
|
|
$
|
(88,100
|
)
|
|
$
|
(1,730
|
)
|
|
$
|
7,883
|
|
|
March 31, 2020
|
|
December 31, 2019
|
|||||||||||
|
Residential loans
|
|
Consolidated SLST
|
|
Residential loans held in securitization trusts
|
|
Residential loans
|
|
Consolidated SLST
|
|||||
California
|
21.7
|
%
|
|
11.1
|
%
|
|
1.6
|
%
|
|
23.9
|
%
|
|
11.0
|
%
|
Florida
|
10.2
|
%
|
|
10.6
|
%
|
|
12.4
|
%
|
|
9.4
|
%
|
|
10.6
|
%
|
New York
|
7.5
|
%
|
|
9.1
|
%
|
|
35.8
|
%
|
|
8.0
|
%
|
|
9.1
|
%
|
Texas
|
5.5
|
%
|
|
4.0
|
%
|
|
—
|
|
|
5.4
|
%
|
|
4.0
|
%
|
New Jersey
|
4.9
|
%
|
|
6.9
|
%
|
|
13.1
|
%
|
|
5.1
|
%
|
|
6.9
|
%
|
Maryland
|
4.5
|
%
|
|
3.8
|
%
|
|
5.0
|
%
|
|
4.6
|
%
|
|
3.8
|
%
|
Illinois
|
2.7
|
%
|
|
6.6
|
%
|
|
—
|
|
|
2.8
|
%
|
|
6.6
|
%
|
Massachusetts
|
2.7
|
%
|
|
2.9
|
%
|
|
17.7
|
%
|
|
2.8
|
%
|
|
2.9
|
%
|
|
Greater than 90 days past due
|
|
Less than 90 days past due
|
||||||||||||
|
Fair Value
|
|
Unpaid Principal Balance
|
|
Fair Value
|
|
Unpaid Principal Balance
|
||||||||
March 31, 2020
|
$
|
138,120
|
|
|
$
|
167,957
|
|
|
$
|
13,269
|
|
|
$
|
15,111
|
|
December 31, 2019
|
106,199
|
|
|
122,918
|
|
|
9,291
|
|
|
10,705
|
|
Balance Sheet
|
March 31, 2020
|
|
December 31, 2019
|
||||
Assets
|
|
|
|
||||
Residential loans, at fair value
|
$
|
1,218,299
|
|
|
$
|
1,328,886
|
|
Receivables (1)
|
3,772
|
|
|
5,244
|
|
||
Total Assets
|
$
|
1,222,071
|
|
|
$
|
1,334,130
|
|
Liabilities and Equity
|
|
|
|
||||
Residential collateralized debt obligations, at fair value
|
$
|
1,034,992
|
|
|
$
|
1,052,829
|
|
Accrued expenses
|
2,646
|
|
|
2,643
|
|
||
Total Liabilities
|
1,037,638
|
|
|
1,055,472
|
|
||
Equity
|
184,433
|
|
|
278,658
|
|
||
Total Liabilities and Equity
|
$
|
1,222,071
|
|
|
$
|
1,334,130
|
|
(1)
|
Included in receivables and other assets on the accompanying condensed consolidated balance sheets.
|
Statement of Operations
|
Three Months Ended March 31, 2020
|
||
Interest income (1)
|
$
|
12,123
|
|
Interest expense (2)
|
8,535
|
|
|
Net interest income
|
3,588
|
|
|
Unrealized losses, net (3)
|
(66,134
|
)
|
|
Net loss
|
$
|
(62,546
|
)
|
(1)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest income, residential loans.
|
(2)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest expense, residential collateralized debt obligations.
|
(3)
|
Includes $88.1 million of unrealized losses on residential loans held in Consolidated SLST and $22.0 million of unrealized gains on SLST CDOs presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations.
|
5.
|
Residential Loans, Net
|
|
March 31, 2019
|
||
Balance at beginning of period
|
$
|
195,559
|
|
Additions
|
587
|
|
|
Disposals
|
(15,080
|
)
|
|
Accretion
|
(1,825
|
)
|
|
Balance at end of period (1)
|
$
|
179,241
|
|
(1)
|
Accretable yield is the excess of the distressed residential loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represented the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions included reclassification to accretable yield from nonaccretable yield. Disposals included distressed residential loan dispositions, which included refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential 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 were based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continued to update its estimates regarding the loans and the underlying collateral, the accretable yield was subject to change. Therefore, the amount of accretable income recorded in the three month period ended March 31, 2019 was not necessarily indicative of future results.
|
|
December 31, 2019
|
|
North Carolina
|
10.5
|
%
|
Florida
|
10.1
|
%
|
Georgia
|
7.0
|
%
|
South Carolina
|
5.8
|
%
|
Texas
|
5.6
|
%
|
New York
|
5.5
|
%
|
Ohio
|
5.2
|
%
|
Virginia
|
5.2
|
%
|
|
December 31, 2019
|
||
Unpaid principal balance
|
$
|
47,237
|
|
Deferred origination costs – net
|
301
|
|
|
Allowance for loan losses
|
(3,508
|
)
|
|
Total
|
$
|
44,030
|
|
|
March 31, 2019
|
||
Balance at beginning of period
|
$
|
3,759
|
|
Provision for loan losses
|
38
|
|
|
Transfer to real estate owned
|
(167
|
)
|
|
Charge-offs
|
—
|
|
|
Balance at the end of period
|
$
|
3,630
|
|
Days Late
|
Number of
Delinquent
Loans
|
|
Total
Unpaid
Principal
|
|
% of Loan
Portfolio
|
|||
30 - 60
|
2
|
|
$
|
211
|
|
|
0.44
|
%
|
90 +
|
16
|
|
$
|
10,010
|
|
|
21.05
|
%
|
Real estate owned through foreclosure
|
1
|
|
$
|
360
|
|
|
0.76
|
%
|
|
December 31, 2019
|
|
New York
|
36.1
|
%
|
Massachusetts
|
17.2
|
%
|
New Jersey
|
12.8
|
%
|
Florida
|
12.1
|
%
|
Maryland
|
5.5
|
%
|
6.
|
Consolidated K-Series
|
Balance Sheet
|
December 31, 2019
|
||
Assets
|
|
||
Multi-family loans held in securitization trusts, at fair value
|
$
|
17,816,746
|
|
Receivables (1)
|
59,417
|
|
|
Total Assets
|
$
|
17,876,163
|
|
Liabilities and Equity
|
|
||
Multi-family CDOs, at fair value
|
$
|
16,724,451
|
|
Accrued expenses
|
57,873
|
|
|
Total Liabilities
|
16,782,324
|
|
|
Equity
|
1,093,839
|
|
|
Total Liabilities and Equity
|
$
|
17,876,163
|
|
(1)
|
Included in receivables and other assets on the accompanying condensed consolidated balance sheets.
|
|
Three Months Ended
March 31, |
||||||
Statements of Operations
|
2020
|
|
2019
|
||||
Interest income
|
$
|
151,841
|
|
|
$
|
111,768
|
|
Interest expense
|
129,762
|
|
|
96,797
|
|
||
Net interest income
|
22,079
|
|
|
14,971
|
|
||
Unrealized (losses) gains, net
|
(10,951
|
)
|
|
9,410
|
|
||
Net income
|
$
|
11,128
|
|
|
$
|
24,381
|
|
7.
|
Investments in Unconsolidated Entities
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
Investment Name
|
|
Ownership Interest
|
|
Fair Value
|
|
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%
|
|
$
|
10,491
|
|
|
45%
|
|
$
|
10,108
|
|
Somerset Deerfield Investor, LLC
|
|
45%
|
|
17,385
|
|
|
45%
|
|
17,417
|
|
||
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%
|
|
4,804
|
|
|
43%
|
|
4,878
|
|
||
Audubon Mezzanine Holdings, L.L.C. (Series A)
|
|
57%
|
|
10,764
|
|
|
57%
|
|
10,998
|
|
||
EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively)
|
|
46%
|
|
6,693
|
|
|
46%
|
|
6,847
|
|
||
Walnut Creek Properties Holdings, L.L.C.
|
|
36%
|
|
8,200
|
|
|
36%
|
|
8,288
|
|
||
Towers Property Holdings, LLC
|
|
37%
|
|
11,174
|
|
|
37%
|
|
11,278
|
|
||
Mansions Property Holdings, LLC
|
|
34%
|
|
10,767
|
|
|
34%
|
|
10,867
|
|
||
Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively)
|
|
43%
|
|
4,023
|
|
|
43%
|
|
4,062
|
|
||
Gen1814, LLC - Series A, Highlands - Mtg. Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively)
|
|
37%
|
|
9,278
|
|
|
37%
|
|
9,396
|
|
||
Axis Apartments Holdings, LLC, Arbor-Stratford Holdings II, LLC - Series B, Highlands - Mtg. Holdings, LLC - Series B, Oakley Shoals Apartments, LLC - Series C, and Woodland Park Apartments II, LLC (collectively)
|
|
53%
|
|
11,505
|
|
|
53%
|
|
11,944
|
|
||
DCP Gold Creek, LLC
|
|
44%
|
|
5,806
|
|
|
—
|
|
—
|
|
||
1122 Chicago DE, LLC
|
|
53%
|
|
6,633
|
|
|
—
|
|
—
|
|
||
Rigsbee Ave Holdings, LLC
|
|
56%
|
|
9,342
|
|
|
—
|
|
—
|
|
||
Total - Preferred Equity Ownership Interests
|
|
|
|
$
|
126,865
|
|
|
|
|
$
|
106,083
|
|
|
|
Three Months Ended March 31,
|
||||||
Investment Name
|
|
2020
|
|
2019
|
||||
BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively)
|
|
$
|
245
|
|
|
$
|
275
|
|
Somerset Deerfield Investor, LLC
|
|
159
|
|
|
478
|
|
||
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)
|
|
(66
|
)
|
|
131
|
|
||
Audubon Mezzanine Holdings, L.L.C. (Series A)
|
|
(109
|
)
|
|
297
|
|
||
EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively)
|
|
(101
|
)
|
|
165
|
|
||
Walnut Creek Properties Holdings, L.L.C.
|
|
(94
|
)
|
|
98
|
|
||
Towers Property Holdings, LLC
|
|
(161
|
)
|
|
—
|
|
||
Mansions Property Holdings, LLC
|
|
(155
|
)
|
|
—
|
|
||
Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively)
|
|
(54
|
)
|
|
—
|
|
||
Gen1814, LLC - Series A, Highlands - Mtg. Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively)
|
|
(131
|
)
|
|
—
|
|
||
Axis Apartments Holdings, LLC, Arbor-Stratford Holdings II, LLC - Series B, Highlands - Mtg. Holdings, LLC - Series B, Oakley Shoals Apartments, LLC - Series C, and Woodland Park Apartments II, LLC (collectively)
|
|
(169
|
)
|
|
—
|
|
||
DCP Gold Creek, LLC
|
|
(120
|
)
|
|
—
|
|
||
1122 Chicago DE, LLC
|
|
(60
|
)
|
|
—
|
|
||
Rigsbee Ave Holdings, LLC
|
|
(147
|
)
|
|
—
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
Investment Name
|
|
Ownership Interest
|
|
Fair Value
|
|
Ownership Interest
|
|
Fair Value
|
||||
Joint venture equity investments in multi-family properties
|
|
|
|
|
|
|
|
|
||||
The Preserve at Port Royal Venture, LLC
|
|
77%
|
|
18,310
|
|
|
77%
|
|
18,310
|
|
||
Equity investments in entities that invest in residential properties and loans
|
|
|
|
|
|
|
|
|
||||
Morrocroft Neighborhood Stabilization Fund II, LP
|
|
11%
|
|
12,014
|
|
|
11%
|
|
11,796
|
|
||
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
|
49%
|
|
54,776
|
|
|
49%
|
|
53,776
|
|
||
Total - Equity Ownership Interests
|
|
|
|
$
|
85,100
|
|
|
|
|
$
|
83,882
|
|
|
|
Three Months Ended March 31,
|
||||||
Investment Name
|
|
2020
|
|
2019
|
||||
Joint venture equity investments in multi-family properties
|
|
|
|
|
||||
Evergreens JV Holdings, LLC (1)
|
|
$
|
—
|
|
|
$
|
3,224
|
|
The Preserve at Port Royal Venture, LLC
|
|
239
|
|
|
438
|
|
||
Equity investments in entities that invest in residential properties and loans
|
|
|
|
|
||||
Morrocroft Neighborhood Stabilization Fund II, LP
|
|
218
|
|
|
232
|
|
||
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
|
1,000
|
|
|
—
|
|
(1)
|
The Company's equity investment was redeemed during the year ended December 31, 2019.
|
8.
|
Preferred Equity and Mezzanine Loan Investments
|
|
March 31, 2020
|
|
December 31, 2019 (1)
|
||||
Investment amount
|
$
|
183,808
|
|
|
$
|
181,409
|
|
Deferred loan fees, net
|
(1,300
|
)
|
|
(1,364
|
)
|
||
Unrealized losses, net
|
(3,216
|
)
|
|
—
|
|
||
Total
|
$
|
179,292
|
|
|
$
|
180,045
|
|
(1)
|
As of December 31, 2019, preferred equity and mezzanine loan investments were reported at amortized cost.
|
|
March 31, 2020
|
|
December 31, 2019
|
||
Tennessee
|
12.3
|
%
|
|
12.3
|
%
|
Florida
|
12.0
|
%
|
|
12.0
|
%
|
Georgia
|
11.8
|
%
|
|
11.8
|
%
|
Texas
|
10.3
|
%
|
|
10.6
|
%
|
Alabama
|
10.0
|
%
|
|
10.0
|
%
|
South Carolina
|
6.3
|
%
|
|
6.3
|
%
|
New Jersey
|
5.0
|
%
|
|
5.0
|
%
|
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
Loan Securitizations
|
|
Consolidated SLST
|
|
Other
|
|
Total
|
||||||||
Cash and cash equivalents
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4
|
|
|
$
|
4
|
|
Residential loans, at fair value
|
42,984
|
|
|
1,218,299
|
|
|
—
|
|
|
1,261,283
|
|
||||
Receivables and other assets
|
3,337
|
|
|
3,772
|
|
|
14,859
|
|
|
21,968
|
|
||||
Total assets
|
$
|
46,321
|
|
|
$
|
1,222,071
|
|
|
$
|
14,863
|
|
|
$
|
1,283,255
|
|
|
|
|
|
|
|
|
|
||||||||
Residential collateralized debt obligations
|
$
|
38,959
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
38,959
|
|
Residential collateralized debt obligations, at fair value
|
—
|
|
|
1,034,992
|
|
|
—
|
|
|
1,034,992
|
|
||||
Accrued expenses and other liabilities
|
6
|
|
|
2,646
|
|
|
75
|
|
|
2,727
|
|
||||
Total liabilities
|
$
|
38,965
|
|
|
$
|
1,037,638
|
|
|
$
|
75
|
|
|
$
|
1,076,678
|
|
|
|
Financing VIE
|
|
Other VIEs
|
|
|
||||||||||||||
|
|
Residential
Loan Securitizations
|
|
Consolidated K-Series
|
|
Consolidated SLST
|
|
Other
|
|
Total
|
||||||||||
Cash and cash equivalents
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
107
|
|
|
$
|
107
|
|
Residential loans held in securitization trusts, net
|
|
44,030
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44,030
|
|
|||||
Residential loans, at fair value
|
|
—
|
|
|
—
|
|
|
1,328,886
|
|
|
—
|
|
|
1,328,886
|
|
|||||
Multi-family loans held in securitization trusts, at fair value
|
|
—
|
|
|
17,816,746
|
|
|
—
|
|
|
—
|
|
|
17,816,746
|
|
|||||
Receivables and other assets
|
|
1,328
|
|
|
59,417
|
|
|
5,244
|
|
|
14,626
|
|
|
80,615
|
|
|||||
Total assets
|
|
$
|
45,358
|
|
|
$
|
17,876,163
|
|
|
$
|
1,334,130
|
|
|
$
|
14,733
|
|
|
$
|
19,270,384
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential collateralized debt obligations
|
|
$
|
40,429
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40,429
|
|
Residential collateralized debt obligations, at fair value
|
|
—
|
|
|
—
|
|
|
1,052,829
|
|
|
—
|
|
|
1,052,829
|
|
|||||
Multi-family collateralized debt obligations, at fair value
|
|
—
|
|
|
16,724,451
|
|
|
—
|
|
|
—
|
|
|
16,724,451
|
|
|||||
Accrued expenses and other liabilities
|
|
14
|
|
|
57,873
|
|
|
2,643
|
|
|
75
|
|
|
60,605
|
|
|||||
Total liabilities
|
|
$
|
40,443
|
|
|
$
|
16,782,324
|
|
|
$
|
1,055,472
|
|
|
$
|
75
|
|
|
$
|
17,878,314
|
|
|
March 31, 2020
|
||||||||||||||
|
Investment
securities
available for
sale, at fair value
|
|
Preferred equity and mezzanine loan investments
|
|
Investments in unconsolidated entities
|
|
Total
|
||||||||
ABS
|
$
|
42,344
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
42,344
|
|
Preferred equity investments in multi-family properties
|
—
|
|
|
173,863
|
|
|
126,865
|
|
|
300,728
|
|
||||
Mezzanine loans on multi-family properties
|
—
|
|
|
5,429
|
|
|
—
|
|
|
5,429
|
|
||||
Equity investments in entities that invest in residential properties and loans
|
—
|
|
|
—
|
|
|
66,790
|
|
|
66,790
|
|
||||
Total assets
|
$
|
42,344
|
|
|
$
|
179,292
|
|
|
$
|
193,655
|
|
|
$
|
415,291
|
|
|
December 31, 2019
|
||||||||||||||
|
Investment
securities
available for
sale, at fair value
|
|
Preferred equity and mezzanine loan investments
|
|
Investments in unconsolidated entities
|
|
Total
|
||||||||
ABS
|
$
|
49,214
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
49,214
|
|
Preferred equity investments in multi-family properties
|
—
|
|
|
173,825
|
|
|
106,083
|
|
|
279,908
|
|
||||
Mezzanine loans on multi-family properties
|
—
|
|
|
6,220
|
|
|
—
|
|
|
6,220
|
|
||||
Equity investments in entities that invest in residential properties and loans
|
—
|
|
|
—
|
|
|
65,572
|
|
|
65,572
|
|
||||
Total assets
|
$
|
49,214
|
|
|
$
|
180,045
|
|
|
$
|
171,655
|
|
|
$
|
400,914
|
|
10.
|
Derivative Instruments and Hedging Activities
|
Type of Derivative Instrument
|
|
Balance Sheet Location
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Interest rate swaps (1)
|
|
Derivative assets
|
|
$
|
—
|
|
|
$
|
15,878
|
|
(1)
|
All of the Company's interest rate swaps were cleared through a central clearing house. The Company exchanged 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 $29.0 million of derivative liabilities netted against a variation margin of $44.8 million at December 31, 2019.
|
|
|
Notional Amount for the Three Months Ended March 31, 2020
|
||||||||||||||
Type of Derivative Instrument
|
|
December 31, 2019
|
|
Additions
|
|
Terminations
|
|
March 31, 2020
|
||||||||
Interest rate swaps
|
|
$
|
495,500
|
|
|
$
|
—
|
|
|
$
|
(495,500
|
)
|
|
$
|
—
|
|
|
|
Notional Amount for the Three Months Ended March 31, 2019
|
||||||||||||||
Type of Derivative Instrument
|
|
December 31, 2018
|
|
Additions
|
|
Terminations
|
|
March 31, 2019
|
||||||||
Interest rate swaps
|
|
$
|
495,500
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
495,500
|
|
|
|
Three Months Ended March 31,
|
||||||||||||||
|
|
2020
|
|
2019
|
||||||||||||
|
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
|
Realized Gains (Losses)
|
|
Unrealized Gains (Losses)
|
||||||||
Interest rate swaps
|
|
$
|
(73,078
|
)
|
|
$
|
28,967
|
|
|
$
|
—
|
|
|
$
|
(14,586
|
)
|
Total
|
|
$
|
(73,078
|
)
|
|
$
|
28,967
|
|
|
$
|
—
|
|
|
$
|
(14,586
|
)
|
|
|
December 31, 2019
|
||||||||
Swap Maturities
|
|
Notional
Amount
|
|
Weighted Average
Fixed
Interest Rate
|
|
Weighted Average
Variable Interest Rate |
||||
2024
|
|
$
|
98,000
|
|
|
2.18
|
%
|
|
1.98
|
%
|
2027
|
|
247,500
|
|
|
2.39
|
%
|
|
1.94
|
%
|
|
2028
|
|
150,000
|
|
|
3.23
|
%
|
|
1.92
|
%
|
|
Total
|
|
$
|
495,500
|
|
|
2.60
|
%
|
|
1.95
|
%
|
11.
|
Repurchase Agreements
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||
|
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 RMBS (1)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
812,742
|
|
|
$
|
865,765
|
|
|
$
|
864,428
|
|
Agency CMBS (2)
|
—
|
|
|
—
|
|
|
—
|
|
|
133,184
|
|
|
139,317
|
|
|
140,118
|
|
||||||
Non-Agency RMBS (3) (4)
|
333,227
|
|
|
414,605
|
|
|
550,719
|
|
|
594,286
|
|
|
797,784
|
|
|
785,952
|
|
||||||
CMBS (4) (5) (6)
|
380,137
|
|
|
508,826
|
|
|
507,890
|
|
|
811,890
|
|
|
1,036,513
|
|
|
853,043
|
|
||||||
Balance at end of the period
|
$
|
713,364
|
|
|
$
|
923,431
|
|
|
$
|
1,058,609
|
|
|
$
|
2,352,102
|
|
|
$
|
2,839,379
|
|
|
$
|
2,643,541
|
|
(1)
|
Includes Agency RMBS securities with a fair value amounting to $26.2 million included in Consolidated SLST as of December 31, 2019.
|
(2)
|
Includes Agency CMBS securities with a fair value amounting to $88.4 million included in the Consolidated K-Series as of December 31, 2019.
|
(3)
|
Includes first loss subordinated RMBS securities with a fair value amounting to $155.4 million and $214.8 million included in Consolidated SLST as of March 31, 2020 and December 31, 2019, respectively.
|
(4)
|
Collateral pledged amounts include restricted cash posted as margin in the amount of $58.3 million related to non-Agency RMBS securities and $111.2 million related to CMBS securities included in receivables and other assets on the Company's condensed consolidated balance sheets as of March 31, 2020.
|
(5)
|
Includes first loss POs, IOs and mezzanine CMBS securities with a fair value amounting to $848.2 million included in the Consolidated K-Series as of December 31, 2019.
|
(6)
|
Includes first loss POs sold and pending settlement as of March 31, 2020 with outstanding repurchase agreement financing of $199.2 million. Proceeds from the sale in the amount of $211.2 million were subsequently used to repay the repurchase price under the repurchase agreements for these securities.
|
Contractual Maturity
|
March 31, 2020
|
|
December 31, 2019
|
||||
Within 30 days (1)
|
$
|
562,919
|
|
|
$
|
449,474
|
|
Over 30 days to 90 days
|
150,445
|
|
|
1,647,683
|
|
||
Over 90 days
|
—
|
|
|
254,945
|
|
||
Total
|
$
|
713,364
|
|
|
$
|
2,352,102
|
|
(1)
|
Includes outstanding repurchase agreement financing of $199.2 million related to first loss POs sold and pending settlement as of March 31, 2020.
|
Unencumbered Securities
|
March 31, 2020
|
|
December 31, 2019
|
||||
Agency RMBS
|
$
|
—
|
|
|
$
|
83,351
|
|
CMBS
|
82,406
|
|
|
235,199
|
|
||
Non-Agency RMBS
|
402,564
|
|
|
168,063
|
|
||
ABS
|
42,344
|
|
|
49,214
|
|
||
Total
|
$
|
527,314
|
|
|
$
|
535,827
|
|
|
Maximum Aggregate Uncommitted Principal Amount
|
|
Outstanding
Repurchase Agreements
|
|
Carrying Value of Loans Pledged (1)
|
|
Weighted Average Rate
|
|
Weighted Average Months to Maturity
|
|||||||
March 31, 2020
|
$
|
1,200,000
|
|
|
$
|
715,436
|
|
|
$
|
918,350
|
|
|
2.87
|
%
|
|
8.28
|
December 31, 2019
|
$
|
1,200,000
|
|
|
$
|
754,132
|
|
|
$
|
961,749
|
|
|
3.67
|
%
|
|
11.20
|
(1)
|
Includes residential loans, at fair value of $918.4 million and $881.2 million at March 31, 2020 and December 31, 2019, respectively, and residential loans, net of $80.6 million at December 31, 2019.
|
12.
|
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
|
|
Year Ending December 31,
|
Total
|
||
2020
|
$
|
—
|
|
2021
|
—
|
|
|
2022
|
138,000
|
|
|
2023
|
—
|
|
|
2024
|
—
|
|
|
2025
|
—
|
|
|
Thereafter
|
45,000
|
|
|
|
$
|
183,000
|
|
13.
|
Commitments and Contingencies
|
14.
|
Fair Value of Financial Instruments
|
a.
|
Investment Securities Available for Sale – The Company determines the fair value of the investment securities available for sale in our portfolio 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. The Company’s investment securities available for sale are valued based upon readily observable market parameters and are classified as Level 2 fair values.
|
b.
|
Multi-Family Loans Held in Securitization Trusts and Residential Loans Held in Consolidated SLST – Multi-family loans held in securitization trusts and residential loans held in Consolidated SLST are carried at fair value and classified as Level 3 fair values. In accordance with the practical expedient in ASC 810, the Company determines the fair value of multi-family loans held in securitization trusts and residential loans held in Consolidated SLST based on the fair value of its Multi-Family CDOs and SLST 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.
|
Residential Loans and Residential Loans Held in Securitization Trusts – The Company’s acquired residential loans are recorded at fair value and classified as Level 3 in the fair value hierarchy. The fair value for residential loans is determined using valuations obtained from a third party that specializes in providing valuations of residential loans. The valuation approach depends on whether the residential loan is considered performing, re-performing or non-performing at the date the valuation is performed.
|
d.
|
Derivative Instruments – The Company’s derivative instruments as of December 31, 2019 were classified as Level 2 fair values and were measured using valuations reported by the clearing house, CME Clearing, through which these instruments were cleared. The derivatives were presented net of variation margin payments pledged or received.
|
e.
|
Investments in Unconsolidated Entities – Fair value for investments in unconsolidated entities is determined by (i) the valuation process for residential loans as described in c. above, (ii) the valuation process for preferred equity and mezzanine loan investments as described in f. below or (iii) provided by the general partner of the equity investment entity. These fair value measurements are generally based on unobservable inputs and, as such, are classified as Level 3 in the fair value hierarchy.
|
f.
|
Preferred Equity and Mezzanine Loan Investments – Fair value for preferred equity and mezzanine loan investments 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. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy.
|
g.
|
Multi-Family and Residential Collateral Debt Obligations, at fair value – Multi-Family CDOs and SLST CDOs are classified as Level 3 fair values. The fair value of Multi-Family CDOs and SLST 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.
|
|
Measured at Fair Value on a Recurring Basis at
|
||||||||||||||||||||||||||||||
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||||||
Assets carried at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Investment securities available for sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Agency RMBS
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
922,877
|
|
|
$
|
—
|
|
|
$
|
922,877
|
|
Agency CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
50,958
|
|
|
—
|
|
|
50,958
|
|
||||||||
Non-Agency RMBS
|
—
|
|
|
576,108
|
|
|
—
|
|
|
576,108
|
|
|
—
|
|
|
715,314
|
|
|
—
|
|
|
715,314
|
|
||||||||
CMBS
|
—
|
|
|
268,856
|
|
|
—
|
|
|
268,856
|
|
|
—
|
|
|
267,777
|
|
|
—
|
|
|
267,777
|
|
||||||||
ABS
|
—
|
|
|
42,344
|
|
|
—
|
|
|
42,344
|
|
|
—
|
|
|
49,214
|
|
|
—
|
|
|
49,214
|
|
||||||||
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Residential loans
|
—
|
|
|
—
|
|
|
1,515,347
|
|
|
1,515,347
|
|
|
—
|
|
|
—
|
|
|
1,429,754
|
|
|
1,429,754
|
|
||||||||
Consolidated SLST
|
—
|
|
|
—
|
|
|
1,218,299
|
|
|
1,218,299
|
|
|
—
|
|
|
—
|
|
|
1,328,886
|
|
|
1,328,886
|
|
||||||||
Residential loans held in securitization trusts
|
—
|
|
|
—
|
|
|
42,984
|
|
|
42,984
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in unconsolidated entities
|
—
|
|
|
—
|
|
|
211,965
|
|
|
211,965
|
|
|
—
|
|
|
—
|
|
|
83,882
|
|
|
83,882
|
|
||||||||
Preferred equity and mezzanine loan investments
|
—
|
|
|
—
|
|
|
179,292
|
|
|
179,292
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Multi-family loans held in securitization trusts, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,816,746
|
|
|
17,816,746
|
|
||||||||
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest rate swaps (1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,878
|
|
|
—
|
|
|
15,878
|
|
||||||||
Total
|
$
|
—
|
|
|
$
|
887,308
|
|
|
$
|
3,167,887
|
|
|
$
|
4,055,195
|
|
|
$
|
—
|
|
|
$
|
2,022,018
|
|
|
$
|
20,659,268
|
|
|
$
|
22,681,286
|
|
Liabilities carried at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Multi-family collateralized debt obligations, at fair value
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
16,724,451
|
|
|
$
|
16,724,451
|
|
Residential collateralized debt obligations, at fair value
|
—
|
|
|
—
|
|
|
1,034,992
|
|
|
1,034,992
|
|
|
—
|
|
|
—
|
|
|
1,052,829
|
|
|
1,052,829
|
|
||||||||
Total
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,034,992
|
|
|
$
|
1,034,992
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
17,777,280
|
|
|
$
|
17,777,280
|
|
(1)
|
All of the Company's interest rate swaps were cleared through a central clearing house. The Company exchanged variation margin for swaps based upon daily changes in fair value. Included derivative liabilities of $29.0 million netted against a variation margin of $44.8 million at December 31, 2019.
|
|
Three Months Ended March 31, 2020
|
||||||||||||||||||||||||||
|
Residential loans
|
|
Consolidated SLST
|
|
Residential loans held in securitization trusts
|
|
Investments in unconsolidated entities
|
|
Preferred equity and mezzanine loan investments
|
|
Multi-family loans held in securitization trusts
|
|
Total
|
||||||||||||||
Balance at beginning of period
|
$
|
1,429,754
|
|
|
$
|
1,328,886
|
|
|
$
|
—
|
|
|
$
|
83,882
|
|
|
$
|
—
|
|
|
$
|
17,816,746
|
|
|
$
|
20,659,268
|
|
Total (losses)/gains (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Included in earnings
|
(94,418
|
)
|
|
(89,087
|
)
|
|
(1,739
|
)
|
|
494
|
|
|
(209
|
)
|
|
41,795
|
|
|
(143,164
|
)
|
|||||||
Transfers in (1)
|
164,035
|
|
|
—
|
|
|
46,572
|
|
|
107,477
|
|
|
182,465
|
|
|
—
|
|
|
500,549
|
|
|||||||
Transfers out (2) (3)
|
(3,166
|
)
|
|
—
|
|
|
(349
|
)
|
|
—
|
|
|
—
|
|
|
(237,297
|
)
|
|
(240,812
|
)
|
|||||||
Contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
22,106
|
|
|
8,440
|
|
|
—
|
|
|
30,546
|
|
|||||||
Paydowns/Distributions
|
(84,719
|
)
|
|
(21,500
|
)
|
|
(1,500
|
)
|
|
(1,994
|
)
|
|
(11,404
|
)
|
|
(239,796
|
)
|
|
(360,913
|
)
|
|||||||
Recovery of charge-off
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35
|
|
|
35
|
|
|||||||
Sales (3)
|
(49,960
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,381,483
|
)
|
|
(17,431,443
|
)
|
|||||||
Purchases
|
153,821
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
153,821
|
|
|||||||
Balance at the end of period
|
$
|
1,515,347
|
|
|
$
|
1,218,299
|
|
|
$
|
42,984
|
|
|
$
|
211,965
|
|
|
$
|
179,292
|
|
|
$
|
—
|
|
|
$
|
3,167,887
|
|
(1)
|
As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, investments in unconsolidated entities and preferred equity and mezzanine loan investments using the fair value option (see Note 2).
|
(2)
|
Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.
|
(3)
|
During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated multi-family loans held in securitization trusts and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 6).
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||
|
Residential loans
|
|
Investments in unconsolidated entities
|
|
Multi-family loans held in securitization trusts
|
|
CMBS held in securitization trusts
|
|
Total
|
||||||||||
Balance at beginning of period
|
$
|
737,523
|
|
|
$
|
32,994
|
|
|
$
|
11,679,847
|
|
|
$
|
52,700
|
|
|
$
|
12,503,064
|
|
Total gains/(losses) (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
||||||||||
Included in earnings
|
9,945
|
|
|
3,892
|
|
|
259,764
|
|
|
17,734
|
|
|
291,335
|
|
|||||
Included in other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,665
|
)
|
|
(13,665
|
)
|
|||||
Transfers in
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out
|
(182
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(182
|
)
|
|||||
Contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Paydowns/Distributions
|
(24,930
|
)
|
|
(311
|
)
|
|
(37,485
|
)
|
|
—
|
|
|
(62,726
|
)
|
|||||
Sales
|
(6,448
|
)
|
|
—
|
|
|
—
|
|
|
(56,769
|
)
|
|
(63,217
|
)
|
|||||
Purchases (1)
|
159,658
|
|
|
—
|
|
|
2,426,210
|
|
|
—
|
|
|
2,585,868
|
|
|||||
Balance at the end of period
|
$
|
875,566
|
|
|
$
|
36,575
|
|
|
$
|
14,328,336
|
|
|
$
|
—
|
|
|
$
|
15,240,477
|
|
(1)
|
During the three months ended March 31, 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 three months ended March 31, 2019 (see Notes 2 and 6).
|
|
Three Months Ended March 31, 2020
|
||||||||||
|
Multi-Family CDOs
|
|
SLST CDOs
|
|
Total
|
||||||
Balance at beginning of period
|
$
|
16,724,451
|
|
|
$
|
1,052,829
|
|
|
$
|
17,777,280
|
|
Total losses/(gains) (realized/unrealized)
|
|
|
|
|
|
||||||
Included in earnings
|
35,018
|
|
|
(18,855
|
)
|
|
16,163
|
|
|||
Paydowns
|
(147,376
|
)
|
|
(21,208
|
)
|
|
(168,584
|
)
|
|||
Sales (1)
|
(16,612,093
|
)
|
|
22,226
|
|
|
(16,589,867
|
)
|
|||
Transfers out
|
—
|
|
|
—
|
|
|
—
|
|
|||
Balance at the end of period
|
$
|
—
|
|
|
$
|
1,034,992
|
|
|
$
|
1,034,992
|
|
(1)
|
During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the Multi-Family CDOs (see Notes 2 and 6). Also includes the Company's net sales of senior securities issued by Consolidated SLST during the three months ended March 31, 2020 (see Note 4).
|
|
Three Months Ended March 31, 2019
|
||
|
Multi-Family CDOs
|
||
Balance at beginning of period
|
$
|
11,022,248
|
|
Total losses (realized/unrealized)
|
|
||
Included in earnings
|
237,789
|
|
|
Purchases (1)
|
2,324,639
|
|
|
Paydowns
|
(37,481
|
)
|
|
Balance at the end of period
|
$
|
13,547,195
|
|
(1)
|
During the three months ended March 31, 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 liabilities of these securitizations in the amount of $2.3 billion during the three months ended March 31, 2019 (see Notes 2 and 6).
|
March 31, 2020
|
|
Fair Value
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Weighted Average
|
|
Range
|
||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential loans and residential loans held in securitization trusts
|
|
$1,390,197
|
|
Discounted cash flow
|
|
Lifetime CPR
|
|
9.6%
|
|
—
|
-
|
55.3%
|
|
|
|
|
|
|
Lifetime CDR
|
|
1.5%
|
|
—
|
-
|
23.0%
|
|
|
|
|
|
|
Loss severity
|
|
16.4%
|
|
—
|
-
|
100.0%
|
|
|
|
|
|
|
Yield
|
|
6.1%
|
|
2.8%
|
-
|
17.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$168,134
|
|
Liquidation model
|
|
Annual home price appreciation
|
|
0.2%
|
|
—
|
-
|
5.6%
|
|
|
|
|
|
|
Liquidation timeline (months)
|
|
28
|
|
1
|
-
|
57
|
|
|
|
|
|
|
Property value
|
|
$482,658
|
|
$2,500
|
-
|
$3,400,000
|
|
|
|
|
|
|
Yield
|
|
7.5%
|
|
7.5%
|
-
|
15.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential loans held in Consolidated SLST (1)
|
|
$1,218,299
|
|
|
|
Liability price
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$2,776,630
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in unconsolidated entities
|
|
$126,865
|
|
Discounted cash flow
|
|
Discount rate
|
|
12.4%
|
|
12.0%
|
-
|
13.5%
|
|
|
|
|
|
|
Months to assumed redemption
|
|
46
|
|
21
|
-
|
59
|
|
|
|
|
|
|
Loss severity
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred equity and mezzanine loan investments
|
|
$179,292
|
|
Discounted cash flow
|
|
Discount rate
|
|
12.2%
|
|
11.5%
|
-
|
13.5%
|
|
|
|
|
|
|
Months to assumed redemption
|
|
48
|
|
10
|
-
|
189
|
|
|
|
|
|
|
Loss severity
|
|
—
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential collateralized debt obligations, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
SLST CDOs (1)
|
|
$1,034,992
|
|
Discounted cash flow
|
|
Yield
|
|
4.0%
|
|
2.7%
|
-
|
14.9%
|
|
|
|
|
|
|
Collateral prepayment rate
|
|
5.7%
|
|
3.8%
|
-
|
6.2%
|
|
|
|
|
|
|
Collateral default rate
|
|
2.0%
|
|
—
|
-
|
2.7%
|
|
|
|
|
|
|
Loss severity
|
|
22.2%
|
|
0.1%
|
-
|
24.4%
|
(1)
|
In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of SLST CDOs, including securities we own, as the fair value of these instruments is more observable. At March 31, 2020, the fair value of securities we owned in Consolidated SLST was $182.8 million.
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Assets
|
|
|
|
||||
Residential loans, at fair value
|
|
|
|
||||
Residential loans (1)
|
$
|
(76,295
|
)
|
|
$
|
9,337
|
|
Consolidated SLST (1)
|
(88,100
|
)
|
|
—
|
|
||
Residential loans held in securitization trusts (1)
|
(1,700
|
)
|
|
—
|
|
||
Investments in unconsolidated entities (2)
|
(4,023
|
)
|
|
3,661
|
|
||
Preferred equity and mezzanine loan investments (1)
|
(5,559
|
)
|
|
—
|
|
||
Multi-family loans held in securitization trusts, at fair value (1)
|
—
|
|
|
274,683
|
|
||
Liabilities
|
|
|
|
||||
Multi-family collateralized debt obligations, at fair value (1)
|
—
|
|
|
(265,273
|
)
|
||
Residential collateralized debt obligations, at fair value (1)
|
21,966
|
|
|
—
|
|
(1)
|
Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.
|
(2)
|
Presented in other income on the Company's condensed consolidated statements of operations.
|
|
|
December 31, 2019
|
||||||||||||
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||
Residential loans held in securitization trusts – impaired loans, net
|
|
—
|
|
|
—
|
|
|
$
|
5,256
|
|
|
$
|
5,256
|
|
|
Three Months Ended March 31, 2019
|
||
Residential loans held in securitization trusts – impaired loans, net
|
$
|
(38
|
)
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||
|
Fair Value
Hierarchy Level
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||||||
Financial Assets:
|
|
|
|
|
|
|
|
|
|
||||||||
Cash and cash equivalents
|
Level 1
|
|
$
|
172,513
|
|
|
$
|
172,513
|
|
|
$
|
118,763
|
|
|
$
|
118,763
|
|
Cash margin (1)
|
Level 1
|
|
169,484
|
|
|
169,484
|
|
|
—
|
|
|
—
|
|
||||
Receivable for securities sold
|
Level 1
|
|
213,585
|
|
|
213,585
|
|
|
—
|
|
|
—
|
|
||||
Investment securities available for sale, at fair value
|
Level 2
|
|
887,308
|
|
|
887,308
|
|
|
2,006,140
|
|
|
2,006,140
|
|
||||
Residential loans, at fair value
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
Level 3
|
|
1,515,347
|
|
|
1,515,347
|
|
|
1,429,754
|
|
|
1,429,754
|
|
||||
Consolidated SLST
|
Level 3
|
|
1,218,299
|
|
|
1,218,299
|
|
|
1,328,886
|
|
|
1,328,886
|
|
||||
Residential loans held in securitization trusts
|
Level 3
|
|
42,984
|
|
|
42,984
|
|
|
—
|
|
|
—
|
|
||||
Residential loans, net
|
Level 3
|
|
—
|
|
|
—
|
|
|
202,756
|
|
|
208,471
|
|
||||
Investments in unconsolidated entities
|
Level 3
|
|
211,965
|
|
|
211,965
|
|
|
189,965
|
|
|
191,359
|
|
||||
Preferred equity and mezzanine loan investments
|
Level 3
|
|
179,292
|
|
|
179,292
|
|
|
180,045
|
|
|
182,465
|
|
||||
Multi-family loans held in securitization trusts, at fair value
|
Level 3
|
|
—
|
|
|
—
|
|
|
17,816,746
|
|
|
17,816,746
|
|
||||
Derivative assets
|
Level 2
|
|
—
|
|
|
—
|
|
|
15,878
|
|
|
15,878
|
|
||||
Loans held for sale, net (1)
|
Level 3
|
|
—
|
|
|
—
|
|
|
2,406
|
|
|
2,482
|
|
||||
Financial Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
Level 2
|
|
1,428,124
|
|
|
1,428,124
|
|
|
3,105,416
|
|
|
3,105,416
|
|
||||
Residential collateralized debt obligations
|
Level 3
|
|
38,959
|
|
|
35,029
|
|
|
40,429
|
|
|
38,888
|
|
||||
Multi-family collateralized debt obligations, at fair value
|
Level 3
|
|
—
|
|
|
—
|
|
|
16,724,451
|
|
|
16,724,451
|
|
||||
Residential collateralized debt obligations, at fair value
|
Level 3
|
|
1,034,992
|
|
|
1,034,992
|
|
|
1,052,829
|
|
|
1,052,829
|
|
||||
Subordinated debentures
|
Level 3
|
|
45,000
|
|
|
12,451
|
|
|
45,000
|
|
|
41,592
|
|
||||
Convertible notes
|
Level 2
|
|
133,534
|
|
|
76,794
|
|
|
132,955
|
|
|
140,865
|
|
(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.
|
Cash margin – Estimated fair value approximates the carrying value of such assets.
|
c.
|
Receivable for securities sold – Estimated fair value approximates the carrying value of such assets.
|
d.
|
Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature.
|
e.
|
Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.
|
f.
|
Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields.
|
g.
|
Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.
|
15.
|
Stockholders' Equity
|
Class of Preferred Stock
|
|
Shares Authorized
|
|
Shares Issued and Outstanding
|
|
Carrying Value
|
|
Liquidation Preference (1)
|
|
Contractual Rate (2)
|
|
Redemption Date (3)
|
|
Fixed-to-Floating Rate Conversion Date (2)(4)
|
|
Floating Annual Rate (5)
|
|||||||
Fixed Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Series B
|
|
6,000,000
|
|
|
3,156,087
|
|
|
$
|
76,180
|
|
|
$
|
80,431
|
|
|
7.750
|
%
|
|
June 4, 2018
|
|
|
|
|
Series C
|
|
6,600,000
|
|
|
4,181,807
|
|
|
101,102
|
|
|
106,603
|
|
|
7.875
|
%
|
|
April 22, 2020
|
|
|
|
|
||
Fixed-to-Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Series D
|
|
8,400,000
|
|
|
6,123,495
|
|
|
148,134
|
|
|
156,149
|
|
|
8.000
|
%
|
|
October 15, 2027
|
|
October 15, 2027
|
|
3M LIBOR + 5.695%
|
||
Series E
|
|
9,900,000
|
|
|
7,411,499
|
|
|
179,349
|
|
|
188,936
|
|
|
7.875
|
%
|
|
January 15, 2025
|
|
January 15, 2025
|
|
3M LIBOR + 6.429%
|
||
Total
|
|
30,900,000
|
|
|
20,872,888
|
|
|
$
|
504,765
|
|
|
$
|
532,119
|
|
|
|
|
|
|
|
|
|
Class of Preferred Stock
|
|
Shares Authorized
|
|
Shares Issued and Outstanding
|
|
Carrying Value
|
|
Liquidation Preference
|
|
Contractual Rate (2)
|
|
Redemption Date (3)
|
|
Fixed-to-Floating Rate Conversion Date (2)(4)
|
|
Floating Annual Rate (5)
|
|||||||
Fixed Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Series B
|
|
6,000,000
|
|
|
3,156,087
|
|
|
$
|
76,180
|
|
|
$
|
78,902
|
|
|
7.750
|
%
|
|
June 4, 2018
|
|
|
|
|
Series C
|
|
6,600,000
|
|
|
4,181,807
|
|
|
101,102
|
|
|
104,545
|
|
|
7.875
|
%
|
|
April 22, 2020
|
|
|
|
|
||
Fixed-to-Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Series D
|
|
8,400,000
|
|
|
6,123,495
|
|
|
148,134
|
|
|
153,087
|
|
|
8.000
|
%
|
|
October 15, 2027
|
|
October 15, 2027
|
|
3M LIBOR + 5.695%
|
||
Series E
|
|
9,900,000
|
|
|
7,411,499
|
|
|
179,349
|
|
|
185,288
|
|
|
7.875
|
%
|
|
January 15, 2025
|
|
January 15, 2025
|
|
3M LIBOR + 6.429%
|
||
Total
|
|
30,900,000
|
|
|
20,872,888
|
|
|
$
|
504,765
|
|
|
$
|
521,822
|
|
|
|
|
|
|
|
|
|
(1)
|
The Company did not declare or accrue quarterly dividends on the Preferred Stock for the period January 15, 2020 to April 14, 2020. The liquidation preference shown as of March 31, 2020 includes such accumulated dividends.
|
(2)
|
Each series of fixed rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $25 liquidation preference. Each series of fixed-to-floating rate preferred stock is entitled to receive a dividend at the contractual rate shown, respectively, per year on its $25 liquidation preference up to, but excluding, the fixed-to-floating rate conversion date.
|
(3)
|
Each series of Preferred Stock is not redeemable by the Company prior to the respective redemption date disclosed except under circumstances intended to preserve the Company’s qualification as a REIT and except upon occurrence of a Change in Control (as defined in the Articles Supplementary designating the Series B Preferred Stock, Series C Preferred Stock, Series D Preferred Stock and Series E Preferred Stock, respectively).
|
(4)
|
Beginning on the respective fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock is entitled to receive a dividend on a floating rate basis according to the terms disclosed in footnote (5) below.
|
(5)
|
On and after the fixed-to-floating rate conversion date, each of the Series D Preferred Stock and Series E Preferred Stock is entitled to receive a dividend at a floating rate equal to three-month LIBOR plus the respective spread disclosed above per year on its $25 liquidation preference.
|
Class of Preferred Stock
|
|
Accumulated Dividends Per Share
|
|
Total Accumulated Dividends
|
||||
Fixed Rate
|
|
|
|
|
||||
Series B
|
|
$
|
0.4843750
|
|
|
$
|
1,529
|
|
Series C
|
|
0.4921875
|
|
|
2,058
|
|
||
Fixed-to-Floating Rate
|
|
|
|
|
||||
Series D
|
|
0.5000000
|
|
|
3,062
|
|
||
Series E
|
|
0.4921875
|
|
|
3,648
|
|
||
Total
|
|
|
|
$
|
10,297
|
|
|
|
|
|
|
|
Cash Dividend Per Share
|
||||||||||||||||
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Series B Preferred Stock
|
|
Series C Preferred Stock
|
|
Series D Preferred Stock
|
|
Series E Preferred Stock
|
|
|||||||||
December 10, 2019
|
|
January 1, 2020
|
|
January 15, 2020
|
|
$
|
0.484375
|
|
|
$
|
0.4921875
|
|
|
$
|
0.50
|
|
|
$
|
0.47578
|
|
(1
|
)
|
September 9, 2019
|
|
October 1, 2019
|
|
October 15, 2019
|
|
0.484375
|
|
|
0.4921875
|
|
|
0.50
|
|
|
—
|
|
|
|||||
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
|
|
|
—
|
|
|
(1)
|
Cash dividend for the partial quarterly period that began on October 18, 2019 and ended on January 14, 2020.
|
Period
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Cash Dividend Per Share
|
||
Fourth Quarter 2019
|
|
December 10, 2019
|
|
December 20, 2019
|
|
January 27, 2020
|
|
$
|
0.20
|
|
Third Quarter 2019
|
|
September 9, 2019
|
|
September 19, 2019
|
|
October 25, 2019
|
|
0.20
|
|
|
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
|
|
Share Issue Month
|
|
Shares Issued
|
|
Net Proceeds (1)
|
||
February 2020
|
|
50,600,000
|
|
|
305,274
|
|
January 2020
|
|
34,500,000
|
|
|
206,650
|
|
(1)
|
Proceeds are net of underwriting discounts and commissions and offering expenses
|
16.
|
(Loss) Earnings Per Common Share
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Basic (Loss) Earnings per Common Share:
|
|
|
|
|
||||
Net (loss) income attributable to Company
|
|
$
|
(588,383
|
)
|
|
$
|
44,139
|
|
Less: Preferred stock dividends (1)
|
|
(10,297
|
)
|
|
(5,925
|
)
|
||
Net (loss) income attributable to Company's common stockholders
|
|
$
|
(598,680
|
)
|
|
$
|
38,214
|
|
Basic weighted average common shares outstanding
|
|
350,912
|
|
|
174,421
|
|
||
Basic (Loss) Earnings per Common Share
|
|
$
|
(1.71
|
)
|
|
$
|
0.22
|
|
|
|
|
|
|
||||
Diluted (Loss) Earnings per Common Share:
|
|
|
|
|
||||
Net (loss) income attributable to Company
|
|
$
|
(588,383
|
)
|
|
$
|
44,139
|
|
Less: Preferred stock dividends (1)
|
|
(10,297
|
)
|
|
(5,925
|
)
|
||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
—
|
|
|
2,626
|
|
||
Net (loss) income attributable to Company's common stockholders
|
|
$
|
(598,680
|
)
|
|
$
|
40,840
|
|
Weighted average common shares outstanding
|
|
350,912
|
|
|
174,421
|
|
||
Net effect of assumed convertible notes conversion to common shares
|
|
—
|
|
|
19,694
|
|
||
Net effect of assumed PSUs vested
|
|
—
|
|
|
855
|
|
||
Diluted weighted average common shares outstanding
|
|
350,912
|
|
|
194,970
|
|
||
Diluted (Loss) Earnings per Common Share
|
|
$
|
(1.71
|
)
|
|
$
|
0.21
|
|
17.
|
Stock Based Compensation
|
(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.
|
•
|
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.
|
|
2020
|
|
2019
|
||||||||||
|
Number of
Non-vested
Target
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
|
Number of
Non-vested
Target
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
||||||
Non-vested target PSUs at January 1
|
2,018,518
|
|
|
$
|
4.09
|
|
|
842,792
|
|
|
$
|
4.20
|
|
Granted
|
883,496
|
|
|
7.03
|
|
|
1,137,525
|
|
|
4.00
|
|
||
Vested
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Non-vested target PSUs as of March 31
|
2,902,014
|
|
|
$
|
4.98
|
|
|
1,980,317
|
|
|
$
|
4.08
|
|
(1)
|
The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years.
|
|
2020
|
|||||
|
Number of
Non-vested
Shares
|
|
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
|||
Non-vested RSUs at January 1
|
—
|
|
|
$
|
—
|
|
Granted
|
441,746
|
|
|
6.23
|
|
|
Vested
|
—
|
|
|
—
|
|
|
Non-vested RSUs as of March 31
|
441,746
|
|
|
$
|
6.23
|
|
(1)
|
The grant date fair value of RSUs is based on the closing market price of the Company’s common stock at the grant date.
|
18.
|
Income Taxes
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Current income tax expense (benefit)
|
$
|
11
|
|
|
$
|
(7
|
)
|
Deferred income tax (benefit) expense
|
(250
|
)
|
|
81
|
|
||
Total (benefit) provision
|
$
|
(239
|
)
|
|
$
|
74
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Deferred tax assets
|
|
|
|
||||
Net operating loss carryforward
|
$
|
6,238
|
|
|
$
|
3,975
|
|
Capital loss carryover
|
1,727
|
|
|
739
|
|
||
GAAP/Tax basis differences
|
3,948
|
|
|
3,699
|
|
||
Total deferred tax assets (1)
|
11,913
|
|
|
8,413
|
|
||
Deferred tax liabilities
|
|
|
|
||||
Deferred tax liabilities
|
3
|
|
|
5
|
|
||
Total deferred tax liabilities (2)
|
3
|
|
|
5
|
|
||
Valuation allowance (1)
|
(10,281
|
)
|
|
(7,029
|
)
|
||
Total net deferred tax asset
|
$
|
1,629
|
|
|
$
|
1,379
|
|
(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.
|
19.
|
Subsequent Events
|
•
|
The Company settled its outstanding receivable for securities sold as of March 31, 2020 in the amount of $213.6 million.
|
•
|
The Company obtained proceeds from additional financing for residential loans pledged under a repurchase agreement in the amount of $248.8 million.
|
•
|
Using the proceeds described above, combined with $137.2 million in cash margin outstanding as of March 31, 2020, the Company terminated repurchase agreements to finance investment securities, repaying $562.9 million. As of May 26, 2020, the Company had an outstanding repurchase agreement related to investment securities with one counterparty.
|
•
|
changes in our business and investment strategy;
|
•
|
changes in interest rates and the fair market value of our assets, including negative changes resulting in margin calls relating to the financing of our assets;
|
•
|
changes in credit spreads;
|
•
|
changes in the long-term credit ratings of the U.S., Fannie Mae, Freddie Mac, and Ginnie Mae;
|
•
|
general volatility of the markets in which we invest;
|
•
|
changes in prepayment rates on the loans we own or that underlie our investment securities;
|
•
|
increased rates of default or delinquencies and/or decreased recovery rates on our assets;
|
•
|
our ability to identify and acquire our targeted assets, including assets in our investment pipeline;
|
•
|
changes in our relationships with our financing counterparties and our ability to borrow to finance our assets and the terms thereof;
|
•
|
our ability to predict and control costs;
|
•
|
changes in governmental laws, regulations or policies affecting our business, including in response to COVID-19;
|
•
|
our ability to make distributions to our stockholders in the future;
|
•
|
our ability to maintain our qualification as a REIT for federal tax purposes;
|
•
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended;
|
•
|
risks associated with investing in real estate assets, including changes in business conditions and the general economy, the availability of investment opportunities and the conditions in the market for Agency RMBS, non-Agency RMBS, ABS and CMBS securities, residential loans, structured multi-family investments and other mortgage-, residential housing- and credit-related assets, including changes resulting from the ongoing spread and economic effects of COVID-19; and
|
•
|
the impact of COVID-19 on us, our operations and our personnel.
|
•
|
“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 CMBS” refers to CMBS representing interests in or obligations backed by pools of multi-family mortgage loans 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”);
|
•
|
“Agency fixed-rate RMBS” refers to Agency RMBS comprised of fixed-rate RMBS;
|
•
|
“Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by Fannie Mae or 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 loans;
|
•
|
“CDO” refers to collateralized debt obligation;
|
•
|
“CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, 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,” owned the first loss POs and certain IOs and certain senior or mezzanine securities that we consolidated in our financial statements in accordance with GAAP;
|
•
|
“Consolidated SLST” refers to a Freddie Mac-sponsored residential loan securitization, comprised of seasoned re-performing and non-performing residential loans, of which we own or owned the first loss subordinated securities and certain IOs and senior 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 and that we consolidate in our financial statements in accordance with GAAP;
|
•
|
“distressed residential loans” refers to pools of seasoned re-performing, non-performing and other delinquent 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;
|
•
|
“MBS” refers to mortgage-backed securities;
|
•
|
“Multi-family CDOs” refers to the debt that permanently finances the multi-family mortgage loans held by the Consolidated K-Series that we consolidated in our financial statements in accordance with GAAP;
|
•
|
“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 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;
|
•
|
“residential bridge loans” refers to short-term business purpose loans collateralized by residential properties made to investors who intend to rehabilitate and sell the residential property for a profit;
|
•
|
“Residential CDOs” refers to the debt that permanently finances the residential ARM loans held in the Company's residential loan securitization trusts and that we consolidate in our financial statements in accordance with GAAP;
|
•
|
“RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate or fixed-rate residential loans;
|
•
|
“second mortgages” refers to liens on residential properties that are subordinate to more senior mortgages or loans;
|
•
|
“SLST CDOs” refers to the debt that permanently finances the residential loans held in Consolidated SLST that we consolidate in our financial statements in accordance with GAAP; 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.
|
•
|
Sold approximately $2.0 billion of assets, recognizing a total net loss of approximately $301.7 million.
|
•
|
Terminated interest rate swap positions with an aggregate notional value of $495.5 million, recognizing a total net loss of $44.1 million.
|
•
|
Reduced our outstanding repurchase agreements by $1.7 billion from year-end levels, reducing our overall leverage to less than one times as of March 31, 2020.
|
•
|
Settled outstanding receivable for securities sold as of March 31, 2020 in the amount of $213.6 million and obtained additional financing in the amount of $248.8 million for residential loans pledged under a repurchase agreement.
|
•
|
Used the proceeds from the transactions immediately described above, combined with $137.2 million in cash margin outstanding as of March 31, 2020, to terminate repurchase agreements to finance investment securities, repaying $562.9 million and further reducing overall leverage to 0.7 times as of April 7, 2020.
|
•
|
Announced that as of April 7, 2020, we have total outstanding repurchase agreement financing of $1.1 billion, comprised of $150.4 million of outstanding repurchase agreement financing with one counterparty collateralized by non-Agency RMBS and $962.2 million of outstanding repurchase agreement financing secured by residential loans.
|
•
|
Announced that we are current on all of our repurchase agreement payment obligations and no longer needed to enter into forbearance agreements with our financing counterparties.
|
|
December 31, 2019
|
|
Acquisitions
|
|
Repayments (1)
|
|
Sales
|
|
Fair Value Changes and Other (2)
|
|
March 31, 2020
|
||||||||||||
Investment securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency RMBS (3)
|
$
|
922,877
|
|
|
$
|
60,925
|
|
|
$
|
(43,783
|
)
|
|
$
|
(930,391
|
)
|
|
$
|
(9,628
|
)
|
|
$
|
—
|
|
Agency CMBS (3) (4)
|
50,958
|
|
|
—
|
|
|
(77
|
)
|
|
(145,411
|
)
|
|
94,530
|
|
|
—
|
|
||||||
Total agency securities
|
973,835
|
|
|
60,925
|
|
|
(43,860
|
)
|
|
(1,075,802
|
)
|
|
84,902
|
|
|
—
|
|
||||||
Non-Agency RMBS
|
715,314
|
|
|
273,897
|
|
|
(93,281
|
)
|
|
(130,948
|
)
|
|
(188,874
|
)
|
|
576,108
|
|
||||||
CMBS (5)
|
267,777
|
|
|
72,896
|
|
|
(5,667
|
)
|
|
(114,038
|
)
|
|
47,888
|
|
|
268,856
|
|
||||||
ABS
|
49,214
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,870
|
)
|
|
42,344
|
|
||||||
Total investment securities available for sale
|
2,006,140
|
|
|
407,718
|
|
|
(142,808
|
)
|
|
(1,320,788
|
)
|
|
(62,954
|
)
|
|
887,308
|
|
||||||
Consolidated SLST (6)
|
276,770
|
|
|
39,984
|
|
|
(1,152
|
)
|
|
(62,602
|
)
|
|
(70,221
|
)
|
|
182,779
|
|
||||||
Consolidated K-Series (7)
|
1,092,295
|
|
|
—
|
|
|
(92,425
|
)
|
|
(555,218
|
)
|
|
(444,652
|
)
|
|
—
|
|
||||||
Total investment securities
|
3,375,205
|
|
|
447,702
|
|
|
(236,385
|
)
|
|
(1,938,608
|
)
|
|
(577,827
|
)
|
|
1,070,087
|
|
||||||
Residential loans
|
1,632,510
|
|
|
153,821
|
|
|
(86,220
|
)
|
|
(49,960
|
)
|
|
(91,820
|
)
|
|
1,558,331
|
|
||||||
Preferred equity investments, mezzanine loans and investments in unconsolidated entities
|
370,010
|
|
|
30,546
|
|
|
(7,711
|
)
|
|
—
|
|
|
(1,588
|
)
|
|
391,257
|
|
||||||
Other investments (8)
|
16,870
|
|
|
763
|
|
|
(105
|
)
|
|
(313
|
)
|
|
(2,204
|
)
|
|
15,011
|
|
||||||
Totals
|
$
|
5,394,595
|
|
|
$
|
632,832
|
|
|
$
|
(330,421
|
)
|
|
$
|
(1,988,881
|
)
|
|
$
|
(673,439
|
)
|
|
$
|
3,034,686
|
|
(1)
|
Primarily includes principal repayments and preferred equity redemptions.
|
(2)
|
Primarily includes net realized gains or losses, changes in net unrealized gains or losses (including reversals of previously recognized net unrealized gains or losses on sales), net amortization/accretion and transfers within investment categories.
|
(3)
|
Agency RMBS issued by Consolidated SLST is included in footnote (6) below. Agency CMBS issued by the Consolidated K-Series as of December 31, 2019 is included in footnote (7) below.
|
(4)
|
Includes transfers of Agency CMBS issued by the Consolidated K-Series as a result of de-consolidation of the Consolidated K-Series and the subsequent sale of these Agency CMBS during the quarter.
|
(5)
|
Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation with a total fair value of $124.2 million as of March 31, 2020.
|
(6)
|
Consolidated SLST is presented on our condensed consolidated balance sheets as of December 31, 2019 and March 31, 2020, respectively, as residential loans, at fair value and residential collateralized debt obligations, at fair value. A reconciliation to our condensed consolidated financial statements follows (dollar amounts in thousands):
|
|
December 31, 2019
|
|
March 31, 2020
|
||||
Residential loans, at fair value
|
$
|
1,328,886
|
|
|
$
|
1,218,299
|
|
Deferred interest (a)
|
713
|
|
|
(528
|
)
|
||
Less: Residential collateralized debt obligations, at fair value
|
(1,052,829
|
)
|
|
(1,034,992
|
)
|
||
Consolidated SLST investment securities owned by NYMT
|
$
|
276,770
|
|
|
$
|
182,779
|
|
(a)
|
Included in receivables and other assets on our condensed consolidated balance sheets.
|
(7)
|
The Consolidated K-Series are presented on our condensed consolidated balance sheets as multi-family loans held in securitization trusts, at fair value and multi-family collateralized debt obligations, at fair value. A reconciliation to our condensed consolidated financial statements as of December 31, 2019 follows (dollar amounts in thousands):
|
|
December 31, 2019
|
||
Multi-family loans held in securitization trusts, at fair value
|
$
|
17,816,746
|
|
Less: Multi-family collateralized debt obligations, at fair value
|
(16,724,451
|
)
|
|
Consolidated K-Series investment securities owned by NYMT
|
$
|
1,092,295
|
|
(8)
|
Includes real estate under development in Consolidated VIEs in the amounts of $14.8 million and $14.5 million as of March 31, 2020 and December 31, 2019, respectively, and other loan investments in the amounts of $0.2 million and $2.4 million as of March 31, 2020 and December 31, 2019, respectively.
|
|
Three Months Ended March 31, 2020
|
||
Net interest income
|
$
|
47,082
|
|
Net loss attributable to Company's common stockholders
|
$
|
(598,680
|
)
|
Net loss attributable to Company's common stockholders per share (basic)
|
$
|
(1.71
|
)
|
Comprehensive loss attributable to Company's common stockholders
|
$
|
(740,844
|
)
|
Comprehensive loss attributable to Company's common stockholders per share (basic)
|
$
|
(2.11
|
)
|
Book value per common share
|
$
|
3.89
|
|
Economic return on book value for the quarter (1)
|
(32.7
|
)%
|
(1)
|
Economic return on book value is based on the change in GAAP book value per common share plus dividends declared per common share, if any, during the period.
|
•
|
We experienced unprecedented market conditions resulting from the COVID-19 pandemic. In response, we took the following actions to manage our portfolio through the disruption and improve liquidity:
|
•
|
Sold all of our first loss POs and certain mezzanine CMBS securities issued by the Consolidated K-Series for total sales proceeds of $555.2 million, recognized a net realized loss of $54.1 million and reversed previously recognized net unrealized gains of $168.5 million. As a result of the sales, we de-consolidated $17.4 billion in multi-family loans held in securitization trusts and $16.6 billion in multi-family collateralized debt obligations. We consolidated the Consolidated K-Series in accordance with U.S. GAAP, but had no claims to the assets or obligations for the liabilities of the Consolidated K-Series (other than those securities represented by the first loss POs, IOs and certain senior and mezzanine securities that we owned).
|
•
|
Sold $1.4 billion of investment securities, including $993.0 million of Agency RMBS, $145.4 million of Agency CMBS, $130.9 million of non-Agency RMBS and $114.0 million of CMBS investment securities and recognized a net realized loss of $58.7 million.
|
•
|
Sold residential loans for approximately $50.0 million in proceeds, recognized a realized loss of $16.2 million and reversed previously recognized unrealized gains of $4.5 million.
|
•
|
Terminated interest rate swaps resulting in a net realized loss of $73.1 million, which was partially offset by the reversal of previously recognized unrealized losses of $29.0 million for a total net loss of $44.1 million.
|
•
|
Reduced outstanding repurchase agreements for investment securities by $1.6 billion from year-end levels, resulting in a portfolio leverage ratio of 0.7 times as of March 31, 2020.
|
•
|
Prior to the market disruption, we acquired residential and multi-family credit assets totaling $531.2 million.
|
•
|
During the first half of the quarter, we issued 85.1 million shares of common stock collectively through two underwritten public offerings, resulting in total net proceeds of $511.9 million.
|
|
Single- Family Credit
|
|
Multi-
Family Credit |
|
Other
|
|
Total
|
||||||||
Investment securities available for sale, at fair value
|
$
|
576,108
|
|
|
$
|
268,856
|
|
|
$
|
42,344
|
|
|
$
|
887,308
|
|
Residential loans, at fair value
|
2,776,630
|
|
|
—
|
|
|
—
|
|
|
2,776,630
|
|
||||
Residential collateralized debt obligations, at fair value
|
(1,034,992
|
)
|
|
—
|
|
|
—
|
|
|
(1,034,992
|
)
|
||||
Residential collateralized debt obligations
|
(38,959
|
)
|
|
—
|
|
|
—
|
|
|
(38,959
|
)
|
||||
Investments in unconsolidated entities
|
66,790
|
|
|
145,175
|
|
|
—
|
|
|
211,965
|
|
||||
Preferred equity and mezzanine loan investments
|
—
|
|
|
179,292
|
|
|
—
|
|
|
179,292
|
|
||||
Other investments (1)
|
242
|
|
|
14,769
|
|
|
—
|
|
|
15,011
|
|
||||
Carrying value
|
2,345,819
|
|
|
608,092
|
|
|
42,344
|
|
|
2,996,255
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
(1,047,987
|
)
|
|
(380,137
|
)
|
|
—
|
|
|
(1,428,124
|
)
|
||||
Subordinated debentures
|
—
|
|
|
—
|
|
|
(45,000
|
)
|
|
(45,000
|
)
|
||||
Convertible notes
|
—
|
|
|
—
|
|
|
(133,534
|
)
|
|
(133,534
|
)
|
||||
Cash and restricted cash (2)
|
65,695
|
|
|
112,899
|
|
|
167,513
|
|
|
346,107
|
|
||||
Other
|
57,001
|
|
|
202,767
|
|
|
4,979
|
|
|
264,747
|
|
||||
Net capital allocated
|
$
|
1,420,528
|
|
|
$
|
543,621
|
|
|
$
|
36,302
|
|
|
$
|
2,000,451
|
|
|
|
|
|
|
|
|
|
||||||||
Total Leverage Ratio (3)
|
|
|
|
|
|
|
0.8
|
|
|||||||
Portfolio Leverage Ratio (4)
|
|
|
|
|
|
|
0.7
|
|
(1)
|
Includes real estate under development in the amount of $14.8 million and other loan investments in the amount of $0.2 million, both of which are included in the Company's accompanying condensed consolidated balance sheets in receivables and other assets.
|
(2)
|
Restricted cash is included in the Company's accompanying condensed consolidated balance sheets in receivables and other assets.
|
(3)
|
Represents total outstanding repurchase agreement financing, subordinated debentures and Convertible Notes divided by the Company's total stockholders' equity. Does not include SLST CDOs amounting to $1.0 billion and Residential CDOs amounting to $39.0 million that are consolidated in the Company's financial statements as they are non-recourse debt for which the Company has no obligation.
|
(4)
|
Represents outstanding repurchase agreement financing divided by the Company's total stockholders' equity.
|
|
Agency
|
|
Single-Family Credit
|
|
Multi-
Family Credit
|
|
Other
|
|
Total
|
||||||||||
Investment securities available for sale, at fair value
|
$
|
973,835
|
|
|
$
|
715,314
|
|
|
$
|
267,777
|
|
|
$
|
49,214
|
|
|
$
|
2,006,140
|
|
Residential loans, at fair value
|
26,239
|
|
|
2,732,401
|
|
|
—
|
|
|
—
|
|
|
2,758,640
|
|
|||||
Residential collateralized debt obligations, at fair value
|
—
|
|
|
(1,052,829
|
)
|
|
—
|
|
|
—
|
|
|
(1,052,829
|
)
|
|||||
Residential loans, net
|
—
|
|
|
202,756
|
|
|
—
|
|
|
—
|
|
|
202,756
|
|
|||||
Residential collateralized debt obligations
|
—
|
|
|
(40,429
|
)
|
|
—
|
|
|
—
|
|
|
(40,429
|
)
|
|||||
Investments in unconsolidated entities
|
—
|
|
|
65,573
|
|
|
124,392
|
|
|
—
|
|
|
189,965
|
|
|||||
Preferred equity and mezzanine loan investments
|
—
|
|
|
—
|
|
|
180,045
|
|
|
—
|
|
|
180,045
|
|
|||||
Multi-family loans held in securitization trusts, at fair value
|
88,359
|
|
|
—
|
|
|
17,728,387
|
|
|
—
|
|
|
17,816,746
|
|
|||||
Multi-family collateralized debt obligations, at fair value
|
—
|
|
|
—
|
|
|
(16,724,451
|
)
|
|
—
|
|
|
(16,724,451
|
)
|
|||||
Other investments (1)
|
—
|
|
|
3,119
|
|
|
14,464
|
|
|
—
|
|
|
17,583
|
|
|||||
Carrying value
|
1,088,433
|
|
|
2,625,905
|
|
|
1,590,614
|
|
|
49,214
|
|
|
5,354,166
|
|
|||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
(945,926
|
)
|
|
(1,347,600
|
)
|
|
(811,890
|
)
|
|
—
|
|
|
(3,105,416
|
)
|
|||||
Subordinated debentures
|
—
|
|
|
—
|
|
|
—
|
|
|
(45,000
|
)
|
|
(45,000
|
)
|
|||||
Convertible notes
|
—
|
|
|
—
|
|
|
—
|
|
|
(132,955
|
)
|
|
(132,955
|
)
|
|||||
Hedges (net) (2)
|
15,878
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,878
|
|
|||||
Cash and restricted cash (3)
|
9,738
|
|
|
44,604
|
|
|
4,152
|
|
|
63,118
|
|
|
121,612
|
|
|||||
Goodwill
|
—
|
|
|
—
|
|
|
—
|
|
|
25,222
|
|
|
25,222
|
|
|||||
Other
|
(1,449
|
)
|
|
54,895
|
|
|
(10,123
|
)
|
|
(71,801
|
)
|
|
(28,478
|
)
|
|||||
Net capital allocated
|
$
|
166,674
|
|
|
$
|
1,377,804
|
|
|
$
|
772,753
|
|
|
$
|
(112,202
|
)
|
|
$
|
2,205,029
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Leverage Ratio (4)
|
|
|
|
|
|
|
|
|
1.5
|
|
|||||||||
Portfolio Leverage Ratio (5)
|
|
|
|
|
|
|
|
|
1.4
|
|
(1)
|
Includes real estate under development in the amount of $14.5 million, other loan investments in the amount of $2.4 million and deferred interest related to residential loans, at fair value held in Consolidated SLST of $0.7 million, all of which are included in the Company's accompanying condensed consolidated balance sheets in receivables and other assets.
|
(2)
|
Includes derivative liabilities of $29.0 million netted against a $44.8 million variation margin.
|
(3)
|
Restricted cash is included in the Company's accompanying condensed consolidated balance sheets in receivables and other assets.
|
(4)
|
Represents total outstanding repurchase agreement financing, subordinated debentures and Convertible Notes divided by the Company's total stockholders' equity. Does not include Multi-family CDOs amounting to $16.7 billion, SLST CDOs amounting to $1.1 billion and Residential CDOs amounting to $40.4 million that are consolidated in the Company's financial statements as they are non-recourse debt for which the Company has no obligation.
|
(5)
|
Represents outstanding repurchase agreement financing divided by the Company's total stockholders' equity.
|
|
Three Months Ended March 31, 2020
|
|||||||||
|
Amount
|
|
Shares
|
|
Per Share (1)
|
|||||
Beginning Balance
|
$
|
1,683,911
|
|
|
291,371
|
|
|
$
|
5.78
|
|
Cumulative-effect adjustment for implementation of fair value option (2)
|
12,284
|
|
|
|
|
|
|
|||
Common stock issuance, net (3)
|
513,869
|
|
|
86,094
|
|
|
|
|
||
Balance after cumulative-effect adjustment and share issuance activity
|
2,210,064
|
|
|
377,465
|
|
|
5.86
|
|
||
Dividends declared
|
—
|
|
|
|
|
|
—
|
|
||
Net change in accumulated other comprehensive income (loss):
|
|
|
|
|
|
|||||
Investment securities available for sale (4)
|
(142,164
|
)
|
|
|
|
|
(0.38
|
)
|
||
Net loss attributable to Company's common stockholders
|
(598,680
|
)
|
|
|
|
|
(1.59
|
)
|
||
Ending Balance
|
$
|
1,469,220
|
|
|
377,465
|
|
|
$
|
3.89
|
|
(1)
|
Outstanding shares used to calculate book value per common share for the three months ended March 31, 2020 are 377,465,405.
|
(2)
|
On January 1, 2020, the Company adopted Accounting Standards Update ("ASU") 2016-13, Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments and elected to apply the fair value option provided by ASU 2019-05, Financial Instruments — Credit Losses (Topic 326): Targeted Transition Relief to our residential loans, net, preferred equity and mezzanine loan investments that are accounted for as loans and preferred equity investments that are accounted for under the equity method, resulting in a cumulative-effect adjustment to beginning book value of our common stock and book value per common share.
|
(3)
|
Includes amortization of stock based compensation.
|
(4)
|
The decreases primarily relate to unrealized losses in our investment securities due to reductions in pricing.
|
|
Three Months Ended
March 31, |
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
Net interest income
|
$
|
47,082
|
|
|
$
|
26,203
|
|
|
$
|
20,879
|
|
Total non-interest (loss) income
|
(622,003
|
)
|
|
30,865
|
|
|
(652,868
|
)
|
|||
Total general, administrative and operating expenses
|
13,885
|
|
|
12,644
|
|
|
1,241
|
|
|||
(Loss) income from operations before income taxes
|
(588,806
|
)
|
|
44,424
|
|
|
(633,230
|
)
|
|||
Income tax (benefit) expense
|
(239
|
)
|
|
74
|
|
|
(313
|
)
|
|||
Net (loss) income attributable to Company
|
(588,383
|
)
|
|
44,139
|
|
|
(632,522
|
)
|
|||
Preferred stock dividends (1)
|
10,297
|
|
|
5,925
|
|
|
4,372
|
|
|||
Net (loss) income attributable to Company's common stockholders
|
(598,680
|
)
|
|
38,214
|
|
|
(636,894
|
)
|
|||
Basic (loss) earnings per common share
|
$
|
(1.71
|
)
|
|
$
|
0.22
|
|
|
$
|
(1.93
|
)
|
Diluted (loss) earnings per common share
|
$
|
(1.71
|
)
|
|
$
|
0.21
|
|
|
$
|
(1.92
|
)
|
(1)
|
Includes accumulated dividends for the three months ended March 31, 2020.
|
|
Agency (1)
|
|
Single-Family Credit (2) (4)
|
|
Multi-
Family Credit (3) (4)
|
|
Other (8)
|
|
Total
|
||||||||||
Interest Income (5)
|
$
|
6,402
|
|
|
$
|
34,321
|
|
|
$
|
30,214
|
|
|
$
|
1,379
|
|
|
$
|
72,316
|
|
Interest Expense
|
(4,930
|
)
|
|
(10,205
|
)
|
|
(6,715
|
)
|
|
(3,384
|
)
|
|
(25,234
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
1,472
|
|
|
$
|
24,116
|
|
|
$
|
23,499
|
|
|
$
|
(2,005
|
)
|
|
$
|
47,082
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (4) (6)
|
$
|
1,074,013
|
|
|
$
|
2,591,264
|
|
|
$
|
1,116,461
|
|
|
$
|
50,333
|
|
|
$
|
4,832,071
|
|
Average Yield on Interest Earning Assets (7)
|
2.38
|
%
|
|
5.30
|
%
|
|
10.82
|
%
|
|
10.96
|
%
|
|
5.99
|
%
|
|||||
Average Portfolio Financing Cost (8)
|
(2.28
|
)%
|
|
(3.16
|
)%
|
|
(3.90
|
)%
|
|
—
|
|
|
(3.07
|
)%
|
|||||
Portfolio Net Interest Margin (9)
|
0.10
|
%
|
|
2.14
|
%
|
|
6.92
|
%
|
|
10.96
|
%
|
|
2.92
|
%
|
|
Agency (1)
|
|
Single-Family Credit
|
|
Multi-
Family Credit (3) (4)
|
|
Other (8)
|
|
Total
|
||||||||||
Interest Income (5)
|
$
|
7,568
|
|
|
$
|
19,384
|
|
|
$
|
24,233
|
|
|
$
|
—
|
|
|
$
|
51,185
|
|
Interest Expense
|
(6,360
|
)
|
|
(8,832
|
)
|
|
(6,357
|
)
|
|
(3,433
|
)
|
|
(24,982
|
)
|
|||||
Net Interest Income (Expense)
|
$
|
1,208
|
|
|
$
|
10,552
|
|
|
$
|
17,876
|
|
|
$
|
(3,433
|
)
|
|
$
|
26,203
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average Interest Earning Assets (4) (6)
|
$
|
1,053,529
|
|
|
$
|
1,312,263
|
|
|
$
|
927,201
|
|
|
$
|
—
|
|
|
$
|
3,292,993
|
|
Average Yield on Interest Earning Assets (7)
|
2.87
|
%
|
|
5.91
|
%
|
|
10.45
|
%
|
|
—
|
|
|
6.22
|
%
|
|||||
Average Portfolio Financing Cost (8)
|
(2.76
|
)%
|
|
(4.71
|
)%
|
|
(4.37
|
)%
|
|
—
|
|
|
(3.82
|
)%
|
|||||
Portfolio Net Interest Margin (9)
|
0.11
|
%
|
|
1.20
|
%
|
|
6.08
|
%
|
|
—
|
|
|
2.40
|
%
|
(1)
|
Includes Agency RMBS and Agency CMBS.
|
(2)
|
The Company, through its ownership of certain securities during the three months ended March 31, 2020, has determined it is the primary beneficiary of Consolidated SLST and has consolidated Consolidated SLST into the Company's condensed consolidated financial statements. Interest income amounts represent interest income earned by securities that are owned by the Company. A reconciliation of net interest income generated by our single-family credit portfolio to our condensed consolidated financial statements for the three months ended March 31, 2020 is set forth below (dollar amounts in thousands):
|
|
Three Months Ended March 31, 2020
|
||
Interest income, residential loans
|
$
|
34,300
|
|
Interest income, investment securities available for sale (a)
|
8,556
|
|
|
Interest expense, SLST CDOs (b)
|
(8,535
|
)
|
|
Interest income, Single-Family Credit, net
|
34,321
|
|
|
Interest expense, repurchase agreements
|
(9,968
|
)
|
|
Interest expense, Residential CDOs (b)
|
(237
|
)
|
|
Net interest income, Single-Family Credit
|
$
|
24,116
|
|
(a)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest income, investment securities and other interest earning assets.
|
(b)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest expense, residential collateralized debt obligations.
|
(3)
|
Prior to the sale of first loss POs in 2020, the Company had determined it was the primary beneficiary of the Consolidated K-Series and had consolidated the Consolidated K-Series into the Company’s condensed consolidated financial statements. Interest income amounts represent interest income earned by securities that were owned by the Company. A reconciliation of net interest income generated by our multi-family credit portfolio to our condensed consolidated financial statements for the three months ended March 31, 2020 and 2019, respectively, is set forth below (dollar amounts in thousands):
|
|
Three Months Ended
March 31, |
||||||
|
2020
|
|
2019
|
||||
Interest income, multi-family loans held in securitization trusts
|
$
|
151,841
|
|
|
$
|
111,768
|
|
Interest income, investment securities available for sale (a)
|
2,762
|
|
|
4,255
|
|
||
Interest income, preferred equity and mezzanine loan investments
|
5,373
|
|
|
5,007
|
|
||
Interest expense, multi-family collateralized debt obligations
|
(129,762
|
)
|
|
(96,797
|
)
|
||
Interest income, Multi-Family Credit, net
|
30,214
|
|
|
24,233
|
|
||
Interest expense, repurchase agreements
|
(6,715
|
)
|
|
(5,863
|
)
|
||
Interest expense, securitized debt
|
—
|
|
|
(494
|
)
|
||
Net interest income, Multi-Family Credit
|
$
|
23,499
|
|
|
$
|
17,876
|
|
(a)
|
Included in the Company’s accompanying condensed consolidated statements of operations in interest income, investment securities and other interest earning assets.
|
(4)
|
Average Interest Earning Assets for the periods indicated exclude all Consolidated SLST (for the three months ended March 31, 2020) and Consolidated K-Series assets other than those securities owned by the Company.
|
(5)
|
Includes interest income earned on cash accounts held by the Company.
|
(6)
|
Average Interest Earning Assets is calculated based on daily average amortized cost for the respective periods.
|
(7)
|
Average Yield on Interest Earning Assets was calculated by dividing our annualized interest income by our Average Interest Earning Assets for the respective periods.
|
(8)
|
Average Portfolio Financing Cost was calculated by dividing our annualized interest expense relating to our interest earning assets by our average interest bearing liabilities, excluding our subordinated debentures and convertible notes, for the respective periods. For the three months ended March 31, 2020 and 2019, respectively, interest expense generated by our subordinated debentures and convertible notes is set forth below (dollar amounts in thousands):
|
|
Three Months Ended
March 31, |
||||||
|
2020
|
|
2019
|
||||
Subordinated debentures
|
$
|
649
|
|
|
$
|
741
|
|
Convertible notes
|
2,735
|
|
|
2,691
|
|
||
Total
|
$
|
3,384
|
|
|
$
|
3,432
|
|
(9)
|
Portfolio Net Interest Margin is the difference between our Average Yield on Interest Earning Assets and our Average Portfolio Financing Cost, excluding the weighted average cost of subordinated debentures and convertible notes.
|
|
Three Months Ended
March 31, |
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
Investment securities and related hedges
|
$
|
(131,835
|
)
|
|
$
|
16,801
|
|
|
$
|
(148,636
|
)
|
Residential loans
|
(16,083
|
)
|
|
5,205
|
|
|
(21,288
|
)
|
|||
Total realized (losses) gains, net
|
$
|
(147,918
|
)
|
|
$
|
22,006
|
|
|
$
|
(169,924
|
)
|
|
Three Months Ended
March 31, |
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
Investment securities and related hedges
|
$
|
(70,590
|
)
|
|
$
|
(14,586
|
)
|
|
$
|
(56,004
|
)
|
Residential loans
|
(83,409
|
)
|
|
7,884
|
|
|
(91,293
|
)
|
|||
Consolidated SLST
|
(66,134
|
)
|
|
—
|
|
|
(66,134
|
)
|
|||
Consolidated K-Series
|
(171,011
|
)
|
|
9,410
|
|
|
(180,421
|
)
|
|||
Preferred equity and mezzanine loan investments
|
(5,636
|
)
|
|
—
|
|
|
(5,636
|
)
|
|||
Total unrealized (losses) gains, net
|
$
|
(396,780
|
)
|
|
$
|
2,708
|
|
|
$
|
(399,488
|
)
|
|
Three Months Ended
March 31, |
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
Income from preferred equity investments accounted for as equity (1)
|
$
|
(963
|
)
|
|
$
|
1,445
|
|
|
$
|
(2,408
|
)
|
Income from joint venture equity investments in multi-family properties
|
239
|
|
|
3,648
|
|
|
(3,409
|
)
|
|||
Income from entities that invest in residential properties and loans
|
1,218
|
|
|
232
|
|
|
986
|
|
|||
Preferred equity and mezzanine loan premiums resulting from early redemption (2)
|
54
|
|
|
2,842
|
|
|
(2,788
|
)
|
|||
Losses in Consolidated VIEs (3)
|
(342
|
)
|
|
(514
|
)
|
|
172
|
|
|||
Miscellaneous income
|
1,829
|
|
|
75
|
|
|
1,754
|
|
|||
Total other income
|
$
|
2,035
|
|
|
$
|
7,728
|
|
|
$
|
(5,693
|
)
|
(1)
|
Includes income earned from preferred equity ownership interests in entities that invest in multi-family properties accounted for under the equity method of accounting.
|
(2)
|
Includes premiums resulting from early redemptions of preferred equity and mezzanine loan investments accounted for as loans.
|
(3)
|
Losses in Consolidated VIEs exclude income or loss from the Consolidated K-Series and Consolidated SLST and are offset by allocations of losses or increased by allocations of income to non-controlling interests in the respective Consolidated VIEs, resulting in net losses to the Company of $0.2 million and $1.0 million for the three months ended March 31, 2020 and 2019, respectively.
|
|
Three Months Ended March 31,
|
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
General and Administrative Expenses
|
|
|
|
|
|
||||||
Salaries, benefits and directors’ compensation
|
$
|
7,185
|
|
|
$
|
5,671
|
|
|
$
|
1,514
|
|
Professional fees
|
1,773
|
|
|
1,138
|
|
|
635
|
|
|||
Base management and incentive fees
|
—
|
|
|
723
|
|
|
(723
|
)
|
|||
Other
|
1,848
|
|
|
1,378
|
|
|
470
|
|
|||
Total general and administrative expenses
|
$
|
10,806
|
|
|
$
|
8,910
|
|
|
$
|
1,896
|
|
|
Three Months Ended March 31,
|
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
Operating Expenses
|
|
|
|
|
|
||||||
Expenses related to residential loans
|
$
|
3,079
|
|
|
$
|
3,252
|
|
|
$
|
(173
|
)
|
Expenses related to real estate held for sale in Consolidated VIEs
|
—
|
|
|
482
|
|
|
(482
|
)
|
|||
Total
|
$
|
3,079
|
|
|
$
|
3,734
|
|
|
$
|
(655
|
)
|
|
Three Months Ended March 31,
|
||||||||||
|
2020
|
|
2019
|
|
$ Change
|
||||||
NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
(598,680
|
)
|
|
$
|
38,214
|
|
|
$
|
(636,894
|
)
|
OTHER COMPREHENSIVE (LOSS) INCOME
|
|
|
|
|
|
||||||
(Decrease) increase in fair value of available for sale securities
|
|
|
|
|
|
||||||
Agency RMBS
|
—
|
|
|
16,796
|
|
|
(16,796
|
)
|
|||
Non-Agency RMBS
|
(115,139
|
)
|
|
4,622
|
|
|
(119,761
|
)
|
|||
CMBS
|
(20,188
|
)
|
|
5,294
|
|
|
(25,482
|
)
|
|||
Total
|
(135,327
|
)
|
|
26,712
|
|
|
(162,039
|
)
|
|||
Reclassification adjustment for net gain included in net (loss) income
|
(6,837
|
)
|
|
(13,665
|
)
|
|
6,828
|
|
|||
TOTAL OTHER COMPREHENSIVE (LOSS) INCOME
|
(142,164
|
)
|
|
13,047
|
|
|
(155,211
|
)
|
|||
COMPREHENSIVE (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$
|
(740,844
|
)
|
|
$
|
51,261
|
|
|
$
|
(792,105
|
)
|
|
March 31, 2020
|
||||||||||||||||||||||||||||
|
|
|
|
|
Unrealized
|
|
|
|
Weighted Average
|
|
|
||||||||||||||||||
Investment Securities
|
Current Par Value
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (1)
|
|
Yield (2)
|
|
Outstanding Repurchase Agreements
|
||||||||||||||
Available for Sale (“AFS”)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
236,602
|
|
|
$
|
236,785
|
|
|
$
|
—
|
|
|
$
|
(37,886
|
)
|
|
$
|
198,899
|
|
|
4.43
|
%
|
|
4.46
|
%
|
|
$
|
3,124
|
|
Mezzanine
|
257,275
|
|
|
253,610
|
|
|
—
|
|
|
(44,523
|
)
|
|
209,087
|
|
|
4.81
|
%
|
|
5.06
|
%
|
|
72,659
|
|
||||||
Subordinated
|
238,748
|
|
|
228,180
|
|
|
153
|
|
|
(66,478
|
)
|
|
161,855
|
|
|
5.24
|
%
|
|
5.33
|
%
|
|
106,999
|
|
||||||
IO
|
770,502
|
|
|
8,073
|
|
|
314
|
|
|
(2,120
|
)
|
|
6,267
|
|
|
0.45
|
%
|
|
5.94
|
%
|
|
—
|
|
||||||
Total Non-Agency RMBS
|
1,503,127
|
|
|
726,648
|
|
|
467
|
|
|
(151,007
|
)
|
|
576,108
|
|
|
2.32
|
%
|
|
4.95
|
%
|
|
182,782
|
|
||||||
CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Mezzanine
|
236,924
|
|
|
228,559
|
|
|
—
|
|
|
(35,719
|
)
|
|
192,840
|
|
|
4.62
|
%
|
|
5.32
|
%
|
|
139,993
|
|
||||||
Subordinated
|
6,000
|
|
|
6,000
|
|
|
—
|
|
|
(2,087
|
)
|
|
3,913
|
|
|
2.91
|
%
|
|
8.74
|
%
|
|
—
|
|
||||||
IO
|
12,351,933
|
|
|
81,843
|
|
|
—
|
|
|
(9,740
|
)
|
|
72,103
|
|
|
0.10
|
%
|
|
4.71
|
%
|
|
40,939
|
|
||||||
Total CMBS
|
12,594,857
|
|
|
316,402
|
|
|
—
|
|
|
(47,546
|
)
|
|
268,856
|
|
|
0.17
|
%
|
|
5.15
|
%
|
|
180,932
|
|
||||||
ABS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Residuals
|
113
|
|
|
49,820
|
|
|
—
|
|
|
(7,476
|
)
|
|
42,344
|
|
|
—
|
|
|
10.99
|
%
|
|
—
|
|
||||||
Total ABS
|
113
|
|
|
49,820
|
|
|
—
|
|
|
(7,476
|
)
|
|
42,344
|
|
|
—
|
|
|
10.99
|
%
|
|
—
|
|
||||||
Total - AFS
|
$
|
14,098,097
|
|
|
$
|
1,092,870
|
|
|
$
|
467
|
|
|
$
|
(206,029
|
)
|
|
$
|
887,308
|
|
|
0.88
|
%
|
|
5.35
|
%
|
|
$
|
363,714
|
|
Consolidated SLST
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Subordinated
|
$
|
256,807
|
|
|
$
|
214,647
|
|
|
$
|
—
|
|
|
$
|
(59,238
|
)
|
|
$
|
155,409
|
|
|
4.69
|
%
|
|
4.88
|
%
|
|
$
|
150,445
|
|
IO
|
223,563
|
|
|
34,349
|
|
|
—
|
|
|
(6,979
|
)
|
|
27,370
|
|
|
3.50
|
%
|
|
8.39
|
%
|
|
—
|
|
||||||
Total Non-Agency RMBS
|
480,370
|
|
|
248,996
|
|
|
—
|
|
|
(66,217
|
)
|
|
182,779
|
|
|
4.13
|
%
|
|
5.37
|
%
|
|
150,445
|
|
||||||
Total - Consolidated SLST
|
$
|
480,370
|
|
|
$
|
248,996
|
|
|
$
|
—
|
|
|
$
|
(66,217
|
)
|
|
182,779
|
|
|
4.13
|
%
|
|
5.37
|
%
|
|
$
|
150,445
|
|
|
Total Investment Securities
|
$
|
14,578,467
|
|
|
$
|
1,341,866
|
|
|
$
|
467
|
|
|
$
|
(272,246
|
)
|
|
$
|
1,070,087
|
|
|
0.55
|
%
|
|
5.34
|
%
|
|
$
|
514,159
|
|
Receivable for Consolidated K-Series POs sold
|
$
|
—
|
|
|
$
|
211,174
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
211,174
|
|
|
—
|
|
|
—
|
|
|
$
|
199,205
|
|
Total
|
$
|
14,578,467
|
|
|
$
|
1,553,040
|
|
|
$
|
467
|
|
|
$
|
(272,246
|
)
|
|
$
|
1,281,261
|
|
|
0.55
|
%
|
|
5.34
|
%
|
|
$
|
713,364
|
|
(1)
|
Our weighted average coupon was calculated by dividing our annualized coupon income by our weighted average current par value for the respective periods.
|
(2)
|
Our weighted average yield was calculated by dividing our annualized interest income by our weighted average amortized cost for the respective periods.
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
|
|
|
|
Unrealized
|
|
|
|
Weighted Average
|
|
|
||||||||||||||||||
Investment Securities
|
Current Par Value
|
|
Amortized Cost
|
|
Gains
|
|
Losses
|
|
Fair Value
|
|
Coupon (1)
|
|
Yield (2)
|
|
Outstanding Repurchase Agreements
|
||||||||||||||
Available for Sale (“AFS”)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency Fixed-Rate
|
$
|
836,223
|
|
|
$
|
867,236
|
|
|
$
|
7,397
|
|
|
$
|
(6,162
|
)
|
|
$
|
868,471
|
|
|
3.38
|
%
|
|
2.61
|
%
|
|
$
|
746,834
|
|
Agency ARMs
|
53,038
|
|
|
55,740
|
|
|
13
|
|
|
(1,347
|
)
|
|
54,406
|
|
|
3.21
|
%
|
|
1.68
|
%
|
|
41,765
|
|
||||||
Total Agency RMBS
|
889,261
|
|
|
922,976
|
|
|
7,410
|
|
|
(7,509
|
)
|
|
922,877
|
|
|
3.37
|
%
|
|
2.55
|
%
|
|
788,599
|
|
||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
51,184
|
|
|
51,334
|
|
|
19
|
|
|
(395
|
)
|
|
50,958
|
|
|
2.45
|
%
|
|
2.41
|
%
|
|
48,640
|
|
||||||
Total Agency CMBS
|
51,184
|
|
|
51,334
|
|
|
19
|
|
|
(395
|
)
|
|
50,958
|
|
|
2.45
|
%
|
|
2.41
|
%
|
|
48,640
|
|
||||||
Total Agency
|
940,445
|
|
|
974,310
|
|
|
7,429
|
|
|
(7,904
|
)
|
|
973,835
|
|
|
3.36
|
%
|
|
2.55
|
%
|
|
837,239
|
|
||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
260,604
|
|
|
260,741
|
|
|
1,971
|
|
|
(13
|
)
|
|
262,699
|
|
|
4.65
|
%
|
|
4.66
|
%
|
|
194,024
|
|
||||||
Mezzanine
|
285,760
|
|
|
281,743
|
|
|
8,713
|
|
|
—
|
|
|
290,456
|
|
|
5.24
|
%
|
|
5.59
|
%
|
|
179,424
|
|
||||||
Subordinated
|
150,961
|
|
|
150,888
|
|
|
2,518
|
|
|
(2
|
)
|
|
153,404
|
|
|
5.64
|
%
|
|
5.66
|
%
|
|
70,390
|
|
||||||
IO
|
842,577
|
|
|
8,211
|
|
|
1,790
|
|
|
(1,246
|
)
|
|
8,755
|
|
|
0.42
|
%
|
|
5.93
|
%
|
|
—
|
|
||||||
Total Non-Agency RMBS
|
1,539,902
|
|
|
701,583
|
|
|
14,992
|
|
|
(1,261
|
)
|
|
715,314
|
|
|
2.68
|
%
|
|
5.26
|
%
|
|
443,838
|
|
||||||
CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Mezzanine
|
261,287
|
|
|
254,620
|
|
|
13,300
|
|
|
(143
|
)
|
|
267,777
|
|
|
5.00
|
%
|
|
5.37
|
%
|
|
142,230
|
|
||||||
Total CMBS
|
261,287
|
|
|
254,620
|
|
|
13,300
|
|
|
(143
|
)
|
|
267,777
|
|
|
5.00
|
%
|
|
5.37
|
%
|
|
142,230
|
|
||||||
ABS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Residuals
|
113
|
|
|
49,902
|
|
|
—
|
|
|
(688
|
)
|
|
49,214
|
|
|
—
|
|
|
10.70
|
%
|
|
—
|
|
||||||
Total ABS
|
113
|
|
|
49,902
|
|
|
—
|
|
|
(688
|
)
|
|
49,214
|
|
|
—
|
|
|
10.70
|
%
|
|
—
|
|
||||||
Total - AFS
|
$
|
2,741,747
|
|
|
$
|
1,980,415
|
|
|
$
|
35,721
|
|
|
$
|
(9,996
|
)
|
|
$
|
2,006,140
|
|
|
3.25
|
%
|
|
3.71
|
%
|
|
$
|
1,423,307
|
|
Consolidated K-Series
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
86,355
|
|
|
$
|
88,784
|
|
|
$
|
—
|
|
|
$
|
(425
|
)
|
|
$
|
88,359
|
|
|
2.74
|
%
|
|
2.34
|
%
|
|
$
|
84,544
|
|
Total Agency CMBS
|
86,355
|
|
|
88,784
|
|
|
—
|
|
|
(425
|
)
|
|
88,359
|
|
|
2.74
|
%
|
|
2.34
|
%
|
|
84,544
|
|
||||||
CMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Mezzanine
|
92,926
|
|
|
83,264
|
|
|
12,271
|
|
|
—
|
|
|
95,535
|
|
|
4.21
|
%
|
|
5.70
|
%
|
|
59,579
|
|
||||||
PO
|
1,375,874
|
|
|
654,849
|
|
|
169,678
|
|
|
—
|
|
|
824,527
|
|
|
—
|
|
|
13.98
|
%
|
|
571,403
|
|
||||||
IO
|
12,364,412
|
|
|
83,960
|
|
|
138
|
|
|
(224
|
)
|
|
83,874
|
|
|
0.10
|
%
|
|
4.66
|
%
|
|
38,678
|
|
||||||
Total CMBS
|
13,833,212
|
|
|
822,073
|
|
|
182,087
|
|
|
(224
|
)
|
|
1,003,936
|
|
|
0.13
|
%
|
|
12.10
|
%
|
|
669,660
|
|
||||||
Total - Consolidated K-Series
|
$
|
13,919,567
|
|
|
$
|
910,857
|
|
|
$
|
182,087
|
|
|
$
|
(649
|
)
|
|
$
|
1,092,295
|
|
|
0.13
|
%
|
|
11.92
|
%
|
|
$
|
754,204
|
|
Consolidated SLST
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Senior
|
$
|
25,902
|
|
|
$
|
26,227
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
26,238
|
|
|
2.83
|
%
|
|
2.53
|
%
|
|
$
|
24,143
|
|
Total Agency RMBS
|
25,902
|
|
|
26,227
|
|
|
11
|
|
|
—
|
|
|
26,238
|
|
|
2.83
|
%
|
|
2.53
|
%
|
|
24,143
|
|
||||||
Non-Agency RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Subordinated
|
256,093
|
|
|
215,034
|
|
|
—
|
|
|
(275
|
)
|
|
214,759
|
|
|
5.62
|
%
|
|
7.23
|
%
|
|
150,448
|
|
||||||
IO
|
228,437
|
|
|
35,592
|
|
|
181
|
|
|
—
|
|
|
35,773
|
|
|
3.60
|
%
|
|
8.58
|
%
|
|
—
|
|
||||||
Total Non-Agency RMBS
|
484,530
|
|
|
250,626
|
|
|
181
|
|
|
(275
|
)
|
|
250,532
|
|
|
4.67
|
%
|
|
7.42
|
%
|
|
150,448
|
|
||||||
Total - Consolidated SLST
|
$
|
510,432
|
|
|
$
|
276,853
|
|
|
$
|
192
|
|
|
$
|
(275
|
)
|
|
$
|
276,770
|
|
|
4.58
|
%
|
|
6.96
|
%
|
|
$
|
174,591
|
|
Total Investment Securities
|
$
|
17,171,746
|
|
|
$
|
3,168,125
|
|
|
$
|
218,000
|
|
|
$
|
(10,920
|
)
|
|
$
|
3,375,205
|
|
|
0.69
|
%
|
|
6.02
|
%
|
|
$
|
2,352,102
|
|
(1)
|
Our weighted average coupon was calculated by dividing our annualized coupon income by our weighted average current par value for the respective periods.
|
(2)
|
Our weighted average yield was calculated by dividing our annualized interest income by our weighted average amortized cost for the respective periods.
|
|
March 31, 2020
|
December 31, 2019
|
||||
Current balance of loans
|
$
|
1,300,630
|
|
$
|
1,322,131
|
|
Number of loans
|
8,013
|
|
8,103
|
|
||
Current average loan size
|
$
|
160,156
|
|
$
|
162,804
|
|
Weighted average original loan term (in months)
|
351
|
|
351
|
|
||
Weighted average LTV at purchase
|
66.4
|
%
|
66.2
|
%
|
||
Weighted average credit score at purchase
|
711
|
|
711
|
|
||
|
|
|
||||
Current Coupon:
|
|
|
||||
3.00% or less
|
3.4
|
%
|
3.8
|
%
|
||
3.01% – 4.00%
|
35.7
|
%
|
35.2
|
%
|
||
4.01% – 5.00%
|
40.2
|
%
|
40.2
|
%
|
||
5.01% – 6.00%
|
12.3
|
%
|
12.4
|
%
|
||
6.01% and over
|
8.4
|
%
|
8.4
|
%
|
||
|
|
|
||||
Delinquency Status:
|
|
|
||||
Current
|
61.1
|
%
|
47.6
|
%
|
||
31 - 60
|
21.4
|
%
|
35.5
|
%
|
||
61 - 90
|
9.8
|
%
|
13.1
|
%
|
||
90+
|
7.7
|
%
|
3.8
|
%
|
||
|
|
|
||||
Origination Year:
|
|
|
||||
2005 or earlier
|
30.9
|
%
|
30.9
|
%
|
||
2006
|
15.4
|
%
|
15.4
|
%
|
||
2007
|
20.7
|
%
|
20.7
|
%
|
||
2008 or later
|
33.0
|
%
|
33.0
|
%
|
||
|
|
|
||||
Geographic state concentration (greater than 5.0%):
|
|
|
||||
California
|
11.1
|
%
|
11.0
|
%
|
||
Florida
|
10.6
|
%
|
10.6
|
%
|
||
New York
|
9.1
|
%
|
9.1
|
%
|
||
New Jersey
|
6.9
|
%
|
6.9
|
%
|
||
Illinois
|
6.6
|
%
|
6.6
|
%
|
|
December 31, 2019
|
||
Current balance of loans
|
$
|
16,759,382
|
|
Number of loans
|
828
|
|
|
Weighted average original LTV
|
68.2
|
%
|
|
Weighted average underwritten debt service coverage ratio
|
1.48x
|
|
|
Current average loan size
|
$
|
20,241
|
|
Weighted average original loan term (in months)
|
125
|
|
|
Weighted average current remaining term (in months)
|
84
|
|
|
Weighted average loan rate
|
4.12
|
%
|
|
First mortgages
|
100
|
%
|
|
Geographic state concentration (greater than 5.0%):
|
|
||
California
|
15.9
|
%
|
|
Texas
|
12.4
|
%
|
|
Florida
|
6.2
|
%
|
|
Maryland
|
5.8
|
%
|
Quarter Ended
|
|
Quarterly Average
Balance
|
|
End of Quarter
Balance
|
|
Maximum Balance
at any Month-End
|
||||||
March 31, 2020
|
|
$
|
1,694,933
|
|
|
$
|
713,364
|
|
|
$
|
2,237,399
|
|
|
|
|
|
|
|
|
||||||
December 31, 2019
|
|
2,212,335
|
|
|
2,352,102
|
|
|
2,352,102
|
|
|||
September 30, 2019
|
|
1,776,741
|
|
|
1,823,910
|
|
|
1,823,910
|
|
|||
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
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||
|
Number of Loans
|
|
Unpaid Principal
|
|
Carrying Value
|
|
Number of Loans
|
|
Unpaid Principal
|
|
Carrying Value
|
||||||||||
Distressed Residential Loans (1)
|
6,900
|
|
|
$
|
1,030,294
|
|
|
$
|
950,831
|
|
|
7,713
|
|
|
$
|
1,131,855
|
|
|
$
|
1,098,867
|
|
Other Residential Loans (2)
|
3,153
|
|
|
$
|
650,014
|
|
|
$
|
607,500
|
|
|
2,700
|
|
|
$
|
547,379
|
|
|
$
|
533,643
|
|
(1)
|
As of December 31, 2019, the Company had 5,696 distressed residential loans with aggregate unpaid principal of $964.8 million and an aggregate carrying value of $940.1 million accounted for at fair value. The Company also had 2,017 distressed residential loans with aggregate unpaid principal of $167.0 million and an aggregate carrying value of $158.7 million accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality.
|
(2)
|
As of December 31, 2019, the Company had 2,534 other residential loans with an aggregate unpaid principal balance of $500.1 million and an aggregate carrying value of $489.6 million accounted for at fair value. The Company also had 166 residential ARM loans held in securitization trusts with an aggregate unpaid principal balance of $47.2 million and an aggregate carrying value of $44.0 million accounted for at amortized cost.
|
Loan to Value at Purchase (1)
|
March 31, 2020
|
|
December 31, 2019
|
||
50.00% or less
|
15.6
|
%
|
|
15.4
|
%
|
50.01% - 60.00%
|
12.9
|
%
|
|
12.6
|
%
|
60.01% - 70.00%
|
17.7
|
%
|
|
17.9
|
%
|
70.01% - 80.00%
|
19.9
|
%
|
|
18.5
|
%
|
80.01% - 90.00%
|
14.0
|
%
|
|
14.5
|
%
|
90.01% - 100.00%
|
9.8
|
%
|
|
10.0
|
%
|
100.01% and over
|
10.1
|
%
|
|
11.1
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
For second mortgages, the Company calculates the combined loan to value. For residential bridge loans, the Company calculates as the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan.
|
FICO Scores at Purchase
|
March 31, 2020
|
|
December 31, 2019
|
||
550 or less
|
21.4
|
%
|
|
22.1
|
%
|
551 to 600
|
19.1
|
%
|
|
20.4
|
%
|
601 to 650
|
16.6
|
%
|
|
17.1
|
%
|
651 to 700
|
14.6
|
%
|
|
14.2
|
%
|
701 to 750
|
12.5
|
%
|
|
12.1
|
%
|
751 to 800
|
10.9
|
%
|
|
10.4
|
%
|
801 and over
|
4.9
|
%
|
|
3.7
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Current Coupon
|
March 31, 2020
|
|
December 31, 2019
|
||
3.00% or less
|
4.8
|
%
|
|
5.1
|
%
|
3.01% - 4.00%
|
17.7
|
%
|
|
17.1
|
%
|
4.01% - 5.00%
|
38.9
|
%
|
|
38.4
|
%
|
5.01% – 6.00%
|
16.7
|
%
|
|
18.1
|
%
|
6.01% and over
|
21.9
|
%
|
|
21.3
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Delinquency Status
|
March 31, 2020
|
|
December 31, 2019
|
||
Current
|
82.5
|
%
|
|
80.8
|
%
|
31 – 60 days
|
5.8
|
%
|
|
6.4
|
%
|
61 – 90 days
|
1.7
|
%
|
|
2.6
|
%
|
90+ days
|
10.0
|
%
|
|
10.2
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
Origination Year
|
March 31, 2020
|
|
December 31, 2019
|
||
2007 or earlier
|
55.0
|
%
|
|
59.3
|
%
|
2008 - 2016
|
12.5
|
%
|
|
13.8
|
%
|
2017
|
5.6
|
%
|
|
6.1
|
%
|
2018
|
10.9
|
%
|
|
11.0
|
%
|
2019
|
15.8
|
%
|
|
9.8
|
%
|
2020
|
0.2
|
%
|
|
—
|
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
|
Maximum Aggregate Uncommitted Principal Amount
|
|
Outstanding
Repurchase Agreements
|
|
Carrying Value of Loans Pledged (1)
|
|
Weighted Average Rate
|
|
Weighted Average Months to Maturity
|
|||||||
March 31, 2020
|
$
|
1,200,000
|
|
|
$
|
715,436
|
|
|
$
|
918,350
|
|
|
2.87
|
%
|
|
8.28
|
December 31, 2019
|
$
|
1,200,000
|
|
|
$
|
754,132
|
|
|
$
|
961,749
|
|
|
3.67
|
%
|
|
11.20
|
(1)
|
Includes residential loans, at fair value of $918.4 million and $881.2 million at March 31, 2020 and December 31, 2019, respectively, and residential loans, net of $80.6 million at December 31, 2019.
|
Quarter Ended
|
|
Quarterly Average
Balance
|
|
End of Quarter
Balance
|
|
Maximum Balance
at any Month-End
|
||||||
March 31, 2020
|
|
$
|
731,245
|
|
|
$
|
715,436
|
|
|
$
|
744,522
|
|
|
|
|
|
|
|
|
||||||
December 31, 2019
|
|
764,511
|
|
|
754,132
|
|
|
774,666
|
|
|||
September 30, 2019
|
|
745,972
|
|
|
736,348
|
|
|
755,299
|
|
|||
June 30, 2019
|
|
705,817
|
|
|
761,361
|
|
|
761,361
|
|
|||
March 31, 2019
|
|
595,897
|
|
|
619,605
|
|
|
619,605
|
|
|||
|
|
|
|
|
|
|
||||||
December 31, 2018
|
|
301,956
|
|
|
589,148
|
|
|
589,148
|
|
|||
September 30, 2018
|
|
179,241
|
|
|
177,378
|
|
|
181,574
|
|
|||
June 30, 2018
|
|
176,951
|
|
|
192,553
|
|
|
197,263
|
|
|||
March 31, 2018
|
|
150,537
|
|
|
149,535
|
|
|
153,236
|
|
|
March 31, 2020
|
|||||||||||||||
|
Count
|
|
Fair Value (1) (2)
|
|
Investment Amount (2)
|
|
Weighted Average Interest or Preferred Return Rate (3)
|
|
Weighted Average Remaining Life (Years)
|
|||||||
Preferred equity investments
|
46
|
|
|
$
|
300,728
|
|
|
$
|
308,872
|
|
|
11.42
|
%
|
|
7.4
|
|
Mezzanine loans
|
3
|
|
|
5,429
|
|
|
5,735
|
|
|
11.80
|
%
|
|
27.8
|
|
||
Total
|
49
|
|
|
$
|
306,157
|
|
|
$
|
314,607
|
|
|
11.43
|
%
|
|
7.8
|
|
|
December 31, 2019
|
|||||||||||||||
|
Count
|
|
Carrying Amount (1) (2)
|
|
Investment Amount (2)
|
|
Weighted Average Interest or Preferred Return Rate (3)
|
|
Weighted Average Remaining Life (Years)
|
|||||||
Preferred equity investments
|
42
|
|
|
$
|
279,908
|
|
|
$
|
282,064
|
|
|
11.39
|
%
|
|
7.8
|
|
Mezzanine loans
|
3
|
|
|
6,220
|
|
|
6,235
|
|
|
11.95
|
%
|
|
25.8
|
|
||
Total
|
45
|
|
|
$
|
286,128
|
|
|
$
|
288,299
|
|
|
11.40
|
%
|
|
8.2
|
|
(1)
|
Preferred equity and mezzanine loan investments in the amounts of $179.3 million and $180.0 million are included in preferred equity and mezzanine loan investments on the accompanying condensed consolidated balance sheets as of March 31, 2020 and December 31, 2019, respectively. Preferred equity investments in the amounts of $126.9 million and $106.1 million are included in investments in unconsolidated entities on the accompanying condensed consolidated balance sheets as of March 31, 2020 and December 31, 2019, respectively.
|
(2)
|
The difference between the fair value and investment amount as of March 31, 2020 consists of any unamortized premium or discount, deferred fees or deferred expenses, and any unrealized gain or loss. The difference between the carrying amount and the investment amount as of December 31, 2019 consists of any unamortized premium or discount, deferred fees or deferred expenses.
|
(3)
|
Based upon investment amount and contractual interest or preferred return rate.
|
Combined Loan to Value at Investment
|
March 31, 2020
|
|
December 31, 2019
|
||
60.01% - 70.00%
|
5.4
|
%
|
|
—
|
|
70.01% - 80.00%
|
21.5
|
%
|
|
23.4
|
%
|
80.01% - 90.00%
|
73.1
|
%
|
|
76.6
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
|
Property Location
|
|
Ownership Interest
|
|
Fair Value
|
|
Ownership Interest
|
|
Fair Value
|
||||
The Preserve at Port Royal Venture, LLC
|
Port Royal, SC
|
|
77%
|
|
$
|
18,310
|
|
|
77%
|
|
$
|
18,310
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
|
Strategy
|
Ownership Interest
|
|
Fair Value
|
|
Ownership Interest
|
|
Fair Value
|
||||
Morrocroft Neighborhood Stabilization Fund II, LP
|
Single-Family Rental Properties
|
11%
|
|
$
|
12,014
|
|
|
11%
|
|
$
|
11,796
|
|
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
Residential Loans
|
49%
|
|
54,776
|
|
|
49%
|
|
53,776
|
|
||
Total
|
|
|
|
$
|
66,790
|
|
|
|
|
$
|
65,572
|
|
Offering Type
|
|
Shares Issued
|
|
Net Proceeds (1)
|
|||
Public offerings of common stock
|
|
85,100,000
|
|
|
$
|
511,924
|
|
(1)
|
Proceeds are net of underwriting discounts and commissions and offering expenses, as applicable.
|
Class of Preferred Stock
|
|
Accumulated Dividends Per Share
|
|
Total Accumulated Dividends
|
||||
Fixed Rate
|
|
|
|
|
||||
7.75% Series B Cumulative Redeemable Preferred Stock
|
|
$
|
0.4843750
|
|
|
$
|
1,529
|
|
7.875% Series C Cumulative Redeemable Preferred Stock
|
|
0.4921875
|
|
|
2,058
|
|
||
Fixed-to-Floating Rate
|
|
|
|
|
||||
8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
|
0.5000000
|
|
|
3,062
|
|
||
7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
|
0.4921875
|
|
|
3,648
|
|
||
Total
|
|
|
|
$
|
10,297
|
|
Fair Value Changes
|
||||
Changes in Interest Rates
|
|
Changes in Fair Value
|
|
Net Duration
|
(basis points)
|
|
(dollar amounts in thousands)
|
|
|
+200
|
|
$(291,320)
|
|
5.8
|
+100
|
|
$(137,375)
|
|
5.7
|
Base
|
|
|
|
4.2
|
-100
|
|
$84,520
|
|
2.3
|
Exhibit
|
|
Description
|
|
|
|
|
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 February 28, 2020).
|
|
|
|
|
|
Second Amended and Restated Bylaws of the Company (Incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 23, 2020).
|
|
|
|
|
|
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).
|
|
|
|
|
|
Articles Supplementary classifying and designating the Company's 7.875% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series E Preferred Stock”) (Incorporated by reference to Exhibit 3.9 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 15, 2019).
|
|
|
|
|
|
Articles Supplementary classifying and designating 3,000,000 additional shares of the Series E 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 November 27, 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).
|
|
|
|
|
|
Form of Certificate representing the Series E Preferred Stock (Incorporated by reference to Exhibit 3.10 to the Company’s Registration Statement on Form 8-A filed with the Securities and Exchange Commission on October 15, 2019).
|
|
|
|
|
|
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.
|
|
|
|
|
Certification 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 - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL 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
|
|
|
|
104
|
|
The cover page for the Registrant’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2020 (formatted in Inline XBRL and contained in Exhibit 101).
|
*
|
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 Inline XBRL (Extensible Business Reporting Language): (i) Condensed Consolidated Balance Sheets at March 31, 2020 and December 31, 2019; (ii) Condensed Consolidated Statements of Operations for the three months ended March 31, 2020 and 2019; (iii) Condensed Consolidated Statements of Comprehensive Income for the three months ended March 31, 2020 and 2019; (iv) Condensed Consolidated Statements of Changes in Stockholders’ Equity for the three months ended March 31, 2020 and 2019; (v) Condensed Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019; and (vi) Notes to Condensed Consolidated Financial Statements.
|
|
|
NEW YORK MORTGAGE TRUST, INC.
|
|
|
|
|
|
Date:
|
May 26, 2020
|
By:
|
/s/ Steven R. Mumma
|
|
Steven R. Mumma
|
||
|
Chairman of the Board and Chief Executive Officer
|
||
|
(Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer)
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended March 31, 2020 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.
|
As the principal executive officer and principal financial officer, I am 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.
|
As the principal executive officer and principal financial officer, 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:
|
May 26, 2020
|
|
|
|
/s/ Steven R. Mumma
|
|
|
Steven R. Mumma
|
|
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer)
|
Date:
|
May 26, 2020
|
|
|
|
/s/ Steven R. Mumma
|
|
|
Steven R. Mumma
|
|
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer)
|