| 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 | ☐ | ||||||||||||||||||||
|
For the Three Months Ended
March 31, |
|||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
| NET INTEREST INCOME: | |||||||||||||||||||||||
| Interest income | $ | 50,039 | $ | 210,613 | |||||||||||||||||||
| Interest expense | 19,699 | 163,531 | |||||||||||||||||||||
| Total net interest income | 30,340 | 47,082 | |||||||||||||||||||||
| NON-INTEREST INCOME (LOSS): | |||||||||||||||||||||||
| Realized gains (losses), net | 7,058 | (147,918) | |||||||||||||||||||||
| Realized loss on de-consolidation of Consolidated K-Series | — | (54,118) | |||||||||||||||||||||
|
Unrealized gains (losses), net
|
26,166 | (396,780) | |||||||||||||||||||||
| Income from equity investments | 3,399 | 494 | |||||||||||||||||||||
|
Impairment of goodwill
|
— | (25,222) | |||||||||||||||||||||
|
Other income
|
3,097 | 1,541 | |||||||||||||||||||||
|
Total non-interest income (loss)
|
39,720 | (622,003) | |||||||||||||||||||||
|
GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES:
|
|||||||||||||||||||||||
|
General and administrative expenses
|
11,441 | 10,652 | |||||||||||||||||||||
|
Operating expenses
|
7,754 | 3,233 | |||||||||||||||||||||
|
Total general, administrative and operating expenses
|
19,195 | 13,885 | |||||||||||||||||||||
| INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES | 50,865 | (588,806) | |||||||||||||||||||||
| Income tax expense (benefit) | 66 | (239) | |||||||||||||||||||||
| NET INCOME (LOSS) | 50,799 | (588,567) | |||||||||||||||||||||
| Net loss attributable to non-controlling interest in consolidated variable interest entities | 1,409 | 184 | |||||||||||||||||||||
| NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY | 52,208 | (588,383) | |||||||||||||||||||||
| Preferred stock dividends | (10,297) | (10,297) | |||||||||||||||||||||
|
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$ | 41,911 | $ | (598,680) | |||||||||||||||||||
| Basic earnings (loss) per common share | $ | 0.11 | $ | (1.71) | |||||||||||||||||||
| Diluted earnings (loss) per common share | $ | 0.11 | $ | (1.71) | |||||||||||||||||||
| Weighted average shares outstanding-basic | 378,881 | 350,912 | |||||||||||||||||||||
| Weighted average shares outstanding-diluted | 380,815 | 350,912 | |||||||||||||||||||||
|
For the Three Months Ended
March 31, |
|||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
|
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$ | 41,911 | $ | (598,680) | |||||||||||||||||||
| OTHER COMPREHENSIVE INCOME (LOSS) | |||||||||||||||||||||||
|
Increase (decrease) in fair value of available for sale securities
|
638 | (135,327) | |||||||||||||||||||||
|
Reclassification adjustment for net loss (gain) included in net income (loss)
|
2,242 | (6,837) | |||||||||||||||||||||
|
TOTAL OTHER COMPREHENSIVE INCOME (LOSS)
|
2,880 | (142,164) | |||||||||||||||||||||
|
COMPREHENSIVE INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$ | 44,791 | $ | (740,844) | |||||||||||||||||||
|
Common
Stock |
Preferred
Stock |
Additional
Paid-In Capital |
Accumulated Deficit |
Accumulated
Other Comprehensive Income (Loss) |
Total Company Stockholders' Equity | Non-Controlling Interest in Consolidated VIEs | Total | ||||||||||||||||||||||||||||||||||||||||
| Balance, December 31, 2020 | $ | 3,777 | $ | 504,765 | $ | 2,342,934 | $ | (551,268) | $ | 994 | $ | 2,301,202 | $ | 6,371 | $ | 2,307,573 | |||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | 52,208 | — | 52,208 | (1,409) | 50,799 | |||||||||||||||||||||||||||||||||||||||
|
Common stock issuance, net
|
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
|
Stock based compensation expense, net
|
16 | — | 978 | — | — | 994 | — | 994 | |||||||||||||||||||||||||||||||||||||||
|
Dividends declared on common stock
|
— | — | — | (37,927) | — | (37,927) | — | (37,927) | |||||||||||||||||||||||||||||||||||||||
|
Dividends declared on preferred stock
|
— | — | — | (10,297) | — | (10,297) | — | (10,297) | |||||||||||||||||||||||||||||||||||||||
| Dividends attributable to dividend equivalents | — | — | — | (207) | — | (207) | — | (207) | |||||||||||||||||||||||||||||||||||||||
|
Reclassification adjustment for net loss included in net income
|
— | — | — | — | 2,242 | 2,242 | — | 2,242 | |||||||||||||||||||||||||||||||||||||||
| Increase in fair value of available for sale securities | — | — | — | — | 638 | 638 | — | 638 | |||||||||||||||||||||||||||||||||||||||
| Increase in non-controlling interest related to initial consolidation of VIEs | — | — | — | — | — | — | 539 | 539 | |||||||||||||||||||||||||||||||||||||||
| Decrease in non-controlling interest related to distributions from Consolidated VIEs | — | — | — | — | — | — | (3) | (3) | |||||||||||||||||||||||||||||||||||||||
| Balance, March 31, 2021 | $ | 3,793 | $ | 504,765 | $ | 2,343,912 | $ | (547,491) | $ | 3,874 | $ | 2,308,853 | $ | 5,498 | $ | 2,314,351 | |||||||||||||||||||||||||||||||
|
Common
Stock |
Preferred
Stock |
Additional
Paid-In Capital |
Accumulated Deficit |
Accumulated
Other Comprehensive Income (Loss) |
Total Company Stockholders' Equity | Non-Controlling Interest in Consolidated VIEs | 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
|
851 | — | 511,055 | — | — | 511,906 | — | 511,906 | |||||||||||||||||||||||||||||||||||||||
|
Stock based compensation expense, net
|
10 | — | 1,953 | — | — | 1,963 | — | 1,963 | |||||||||||||||||||||||||||||||||||||||
|
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 | |||||||||||||||||||||||||||||||
|
For the Three Months Ended
March 31, |
|||||||||||
| 2021 | 2020 | ||||||||||
| Cash Flows from Operating Activities: | |||||||||||
| Net income (loss) | $ | 50,799 | $ | (588,567) | |||||||
| Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||||||
| Net amortization (accretion) | 10,530 | (14,500) | |||||||||
| Realized (gains) losses, net | (7,058) | 147,918 | |||||||||
| Realized loss on de-consolidation of Consolidated K-Series | — | 54,118 | |||||||||
| Unrealized (gains) losses, net | (26,166) | 396,780 | |||||||||
| Impairment of goodwill | — | 25,222 | |||||||||
| Impairment of real estate under development in Consolidated VIEs | — | 145 | |||||||||
| Income from preferred equity, mezzanine loan and equity investments | (8,371) | (5,920) | |||||||||
| Distributions of income from preferred equity, mezzanine loan and equity investments | 7,549 | 5,686 | |||||||||
| Stock based compensation expense, net | 994 | 1,963 | |||||||||
| Changes in operating assets and liabilities: | |||||||||||
| Other assets | (6,100) | 68,894 | |||||||||
| Other liabilities | 2,966 | (71,572) | |||||||||
| Net cash provided by operating activities | 25,143 | 20,167 | |||||||||
| Cash Flows from Investing Activities: | |||||||||||
| Proceeds from sales of investment securities | 111,628 | 1,380,980 | |||||||||
| Principal paydowns received on investment securities | 21,682 | 142,808 | |||||||||
| Purchases of investment securities | (5,926) | (448,093) | |||||||||
| Principal repayments received on residential loans | 180,750 | 102,696 | |||||||||
| Proceeds from sales of residential loans | 6,633 | 49,960 | |||||||||
| Purchases of residential loans | (347,283) | (153,821) | |||||||||
| Principal repayments received on preferred equity and mezzanine loan investments | 11,875 | 7,555 | |||||||||
| Return of capital from equity investments | — | 157 | |||||||||
| Funding of preferred equity, mezzanine loan and equity investments | (161) | (30,546) | |||||||||
| Funding of joint venture investment in Consolidated VIE | (10,250) | — | |||||||||
| Proceeds from sales resulting in de-consolidation of Consolidated K-Series | — | 344,044 | |||||||||
| Principal repayments received on multi-family loans held in Consolidated K-Series | — | 239,796 | |||||||||
| Net payments made on derivative instruments settled during the period | — | (28,233) | |||||||||
| Proceeds from sale of real estate owned | 1,637 | 1,151 | |||||||||
| Cash received from initial consolidation of VIEs | 1,751 | — | |||||||||
| Capital expenditures on operating real estate in Consolidated VIEs | (827) | — | |||||||||
| Distributions to non-controlling interest in Consolidated VIEs | (3) | — | |||||||||
| Purchases of other assets | (18) | (36) | |||||||||
| Net cash (used in) provided by investing activities | (28,512) | 1,608,418 | |||||||||
| Cash Flows from Financing Activities: | |||||||||||
| Net proceeds from (payments made on) repurchase agreements | 130,748 | (1,677,506) | |||||||||
| Common stock issuance, net | — | 511,924 | |||||||||
| Dividends paid on common stock and dividend equivalents | (37,808) | (58,274) | |||||||||
| Dividends paid on preferred stock | (10,297) | (10,175) | |||||||||
| Payments made on and extinguishment of collateralized debt obligations | (35,834) | (1,475) | |||||||||
| Payments made on Consolidated K-Series CDOs | — | (147,376) | |||||||||
| Payments made on Consolidated SLST CDOs | (27,299) | (21,208) | |||||||||
| Net cash provided by (used in) financing activities | 19,510 | (1,404,090) | |||||||||
| Net Increase in Cash, Cash Equivalents and Restricted Cash | 16,141 | 224,495 | |||||||||
| Cash, Cash Equivalents and Restricted Cash - Beginning of Period | 304,490 | 121,612 | |||||||||
| Cash, Cash Equivalents and Restricted Cash - End of Period | $ | 320,631 | $ | 346,107 | |||||||
| Supplemental Disclosure: | |||||||||||
| Cash paid for interest | $ | 19,304 | $ | 239,091 | |||||||
| Cash paid for income taxes | $ | 2 | $ | 1 | |||||||
| Non-Cash Investment Activities: | |||||||||||
| Sales of investment securities not yet settled | $ | — | $ | 213,585 | |||||||
| De-consolidation of multi-family loans held in Consolidated K-Series | $ | — | $ | 17,381,483 | |||||||
| De-consolidation of Consolidated K-Series CDOs | $ | — | $ | 16,612,093 | |||||||
| Transfer from residential loans to real estate owned | $ | 1,684 | $ | 3,515 | |||||||
| Non-Cash Financing Activities: | |||||||||||
| Dividends declared on common stock and dividend equivalents to be paid in subsequent period | $ | 38,035 | $ | — | |||||||
| Dividends declared on preferred stock to be paid in subsequent period | $ | 10,297 | $ | — | |||||||
| Cash, Cash Equivalents and Restricted Cash Reconciliation: | |||||||||||
| Cash and cash equivalents | $ | 290,977 | $ | 172,513 | |||||||
| Restricted cash included in other assets | 29,654 | 173,594 | |||||||||
| Total cash, cash equivalents, and restricted cash | $ | 320,631 | $ | 346,107 | |||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||
|
Residential loans(1)
|
Consolidated SLST (2)
|
Residential loans held in securitization trusts (3)
|
Total |
Residential loans(1)
|
Consolidated SLST (2)
|
Residential loans held in securitization trusts (3)
|
Total | ||||||||||||||||||||||||||||||||||||||||
| Principal | $ | 1,317,342 | $ | 1,203,223 | $ | 669,605 | $ | 3,190,170 | $ | 1,097,528 | $ | 1,231,669 | $ | 696,543 | $ | 3,025,740 | |||||||||||||||||||||||||||||||
| (Discount)/premium | (42,722) | (152) | (40,202) | (83,076) | (42,259) | 1,337 | (41,506) | (82,428) | |||||||||||||||||||||||||||||||||||||||
| Unrealized gains | 42,087 | 8,437 | 48,664 | 99,188 | 35,661 | 33,779 | 36,414 | 105,854 | |||||||||||||||||||||||||||||||||||||||
| Carrying value | $ | 1,316,707 | $ | 1,211,508 | $ | 678,067 | $ | 3,206,282 | $ | 1,090,930 | $ | 1,266,785 | $ | 691,451 | $ | 3,049,166 | |||||||||||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||||||||||||||
| March 31, 2021 | March 31, 2020 | ||||||||||||||||||||||||||||||||||
| Residential loans |
Consolidated SLST (1)
|
Residential loans held in securitization trusts | Residential loans |
Consolidated SLST (1)
|
Residential loans held in securitization trusts | ||||||||||||||||||||||||||||||
| Unrealized gains (losses), net | $ | 6,426 | $ | (25,343) | $ | 12,251 | $ | (81,680) | $ | (88,100) | $ | (1,730) | |||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||
| Residential loans | Consolidated SLST | Residential loans held in securitization trusts | Residential loans | Consolidated SLST | Residential loans held in securitization trusts | ||||||||||||||||||||||||||||||
| California | 24.5 | % | 10.8 | % | 19.6 | % | 23.6 | % | 10.9 | % | 19.8 | % | |||||||||||||||||||||||
| Florida | 12.8 | % | 10.5 | % | 8.1 | % | 13.1 | % | 10.5 | % | 8.1 | % | |||||||||||||||||||||||
| New York | 8.7 | % | 9.3 | % | 9.2 | % | 9.2 | % | 9.3 | % | 8.9 | % | |||||||||||||||||||||||
| New Jersey | 6.2 | % | 7.2 | % | 5.7 | % | 5.6 | % | 7.1 | % | 5.6 | % | |||||||||||||||||||||||
| Texas | 5.4 | % | 4.0 | % | 4.4 | % | 5.6 | % | 4.0 | % | 4.3 | % | |||||||||||||||||||||||
| Maryland | 2.7 | % | 3.8 | % | 6.1 | % | 2.8 | % | 3.8 | % | 6.3 | % | |||||||||||||||||||||||
| Illinois | 2.4 | % | 6.8 | % | 2.5 | % | 2.5 | % | 6.8 | % | 2.7 | % | |||||||||||||||||||||||
| Greater than 90 days past due | Less than 90 days past due | ||||||||||||||||||||||||||||
| Fair Value | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | ||||||||||||||||||||||||||
| March 31, 2021 | $ | 144,992 | $ | 166,159 | $ | 14,828 | $ | 16,142 | |||||||||||||||||||||
| December 31, 2020 | 149,444 | 169,553 | 16,057 | 17,748 | |||||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||
| Investment amount | $ | 151,427 | $ | 163,392 | |||||||
| Deferred loan fees, net | (1,067) | (1,169) | |||||||||
| Unrealized gains, net | 1,476 | 1,370 | |||||||||
| Total | $ | 151,836 | $ | 163,593 | |||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||
| Days Late | Fair Value | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | |||||||||||||||||||||||||
| 90 + | $ | 3,481 | $ | 3,363 | $ | 3,325 | $ | 3,363 | |||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||
| Tennessee | 15.6 | % | 14.3 | % | |||||||
| Texas | 12.5 | % | 11.4 | % | |||||||
| Georgia | 11.1 | % | 10.1 | % | |||||||
| Alabama | 10.6 | % | 9.7 | % | |||||||
| Florida | 9.3 | % | 8.5 | % | |||||||
| South Carolina | 7.8 | % | 7.2 | % | |||||||
| Missouri | 6.2 | % | 5.7 | % | |||||||
| Ohio | 5.6 | % | 5.2 | % | |||||||
| North Carolina | 5.3 | % | 4.9 | % | |||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||
| Amortized Cost | Unrealized | Fair Value | Amortized Cost | Unrealized | Fair Value | ||||||||||||||||||||||||||||||||||||||||||
| Gains | Losses | Gains | Losses | ||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Option | |||||||||||||||||||||||||||||||||||||||||||||||
| Agency RMBS | $ | 136,491 | $ | — | $ | (4,866) | $ | 131,625 | $ | 138,541 | $ | 854 | $ | — | $ | 139,395 | |||||||||||||||||||||||||||||||
|
Non-Agency RMBS (1)
|
81,451 | 425 | (10,043) | 71,833 | 100,465 | 170 | (10,786) | 89,849 | |||||||||||||||||||||||||||||||||||||||
|
CMBS (2)
|
114,177 | 2,124 | (676) | 115,625 | 139,019 | 5,685 | (3,731) | 140,973 | |||||||||||||||||||||||||||||||||||||||
|
ABS
|
32,149 | 12,473 | — | 44,622 | 34,139 | 9,086 | — | 43,225 | |||||||||||||||||||||||||||||||||||||||
|
Total investment securities available for sale - fair value option
|
364,268 | 15,022 | (15,585) | 363,705 | 412,164 | 15,795 | (14,517) | 413,442 | |||||||||||||||||||||||||||||||||||||||
| CECL Securities | |||||||||||||||||||||||||||||||||||||||||||||||
|
Non-Agency RMBS (3)
|
196,933 | 3,708 | (867) | 199,774 | 266,855 | 4,336 | (5,374) | 265,817 | |||||||||||||||||||||||||||||||||||||||
| CMBS | 31,783 | 1,430 | (397) | 32,816 | 43,435 | 2,032 | — | 45,467 | |||||||||||||||||||||||||||||||||||||||
|
Total investment securities available for sale - CECL Securities
|
228,716 | 5,138 | (1,264) | 232,590 | 310,290 | 6,368 | (5,374) | 311,284 | |||||||||||||||||||||||||||||||||||||||
|
Total
|
$ | 592,984 | $ | 20,160 | $ | (16,849) | $ | 596,295 | $ | 722,454 | $ | 22,163 | $ | (19,891) | $ | 724,726 | |||||||||||||||||||||||||||||||
| Three Months Ended March 31, 2021 | |||||||||||||||||||||||
| Sales Proceeds | Realized Gains | Realized Losses | Net Realized Gains (Losses) | ||||||||||||||||||||
| Non-Agency RMBS | $ | 72,083 | $ | 12 | $ | (833) | $ | (821) | |||||||||||||||
| CMBS | 39,545 | 5,196 | — | 5,196 | |||||||||||||||||||
| Total | $ | 111,628 | $ | 5,208 | $ | (833) | $ | 4,375 | |||||||||||||||
| 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) | |||||||||||||||
| Weighted Average Life | March 31, 2021 | December 31, 2020 | |||||||||
| 0 to 5 years | $ | 234,583 | $ | 332,934 | |||||||
| Over 5 to 10 years | 320,979 | 320,361 | |||||||||
| 10+ years | 40,733 | 71,431 | |||||||||
| Total | $ | 596,295 | $ | 724,726 | |||||||
| March 31, 2021 | 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 | $ | — | $ | — | $ | 48,588 | $ | (867) | $ | 48,588 | $ | (867) | |||||||||||||||||||||||||||||||||||
|
CMBS
|
22,472 | (397) | — | — | 22,472 | (397) | |||||||||||||||||||||||||||||||||||||||||
|
Total
|
$ | 22,472 | $ | (397) | $ | 48,588 | $ | (867) | $ | 71,060 | $ | (1,264) | |||||||||||||||||||||||||||||||||||
| December 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 | $ | 159,841 | $ | (4,526) | $ | 8,234 | $ | (848) | $ | 168,075 | $ | (5,374) | |||||||||||||||||||||||
| Total | $ | 159,841 | $ | (4,526) | $ | 8,234 | $ | (848) | $ | 168,075 | $ | (5,374) | |||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
| Investment Name | Ownership Interest | Fair Value | Ownership Interest | Fair Value | ||||||||||||||||||||||
| Multi-Family Preferred Equity Ownership Interests | ||||||||||||||||||||||||||
| BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) | 45% | $ | 11,788 | 45% | $ | 11,441 | ||||||||||||||||||||
| Somerset Deerfield Investor, LLC | 45% | 18,978 | 45% | 18,792 | ||||||||||||||||||||||
| 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% | 5,264 | 43% | 5,140 | ||||||||||||||||||||||
| Audubon Mezzanine Holdings, L.L.C. (Series A) | 57% | 11,771 | 57% | 11,456 | ||||||||||||||||||||||
| EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively) | 46% | 7,300 | 46% | 7,234 | ||||||||||||||||||||||
| Walnut Creek Properties Holdings, L.L.C. | 36% | 8,940 | 36% | 8,803 | ||||||||||||||||||||||
| Towers Property Holdings, LLC | 37% | 12,333 | 37% | 12,119 | ||||||||||||||||||||||
| Mansions Property Holdings, LLC | 34% | 11,885 | 34% | 11,679 | ||||||||||||||||||||||
| Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively) | 43% | 4,385 | 43% | 4,320 | ||||||||||||||||||||||
| Gen1814, LLC - Series A, Highlands - Mtg. Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively) | 37% | 10,117 | 37% | 9,966 | ||||||||||||||||||||||
| 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% | 12,515 | 53% | 12,337 | ||||||||||||||||||||||
| DCP Gold Creek, LLC | 44% | 6,469 | 44% | 6,357 | ||||||||||||||||||||||
| 1122 Chicago DE, LLC | 53% | 7,342 | 53% | 7,222 | ||||||||||||||||||||||
| Rigsbee Ave Holdings, LLC | 56% | 10,398 | 56% | 10,222 | ||||||||||||||||||||||
| Bighaus, LLC | 42% | 14,751 | 42% | 14,525 | ||||||||||||||||||||||
| FF/RMI 20 Midtown, LLC | 51% | 24,243 | 51% | 23,936 | ||||||||||||||||||||||
| Lurin-RMI, LLC | 38% | 7,356 | 38% | 7,216 | ||||||||||||||||||||||
| Total - Multi-Family Preferred Equity Ownership Interests | 185,835 | 182,765 | ||||||||||||||||||||||||
| Single-Family Equity Ownership Interests | ||||||||||||||||||||||||||
| Morrocroft Neighborhood Stabilization Fund II, LP | 11% | 14,228 | 11% | 13,040 | ||||||||||||||||||||||
| Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I) | 49% | 60,002 | 49% | 63,290 | ||||||||||||||||||||||
| Total - Single-Family Equity Ownership Interests | 74,230 | 76,330 | ||||||||||||||||||||||||
| Total | $ | 260,065 | $ | 259,095 | ||||||||||||||||||||||
| Three Months Ended March 31, | ||||||||||||||||||||||||||
| Investment Name | 2021 | 2020 | ||||||||||||||||||||||||
|
BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively)
|
$ | 347 | $ | 245 | ||||||||||||||||||||||
| Somerset Deerfield Investor, LLC | 466 | 159 | ||||||||||||||||||||||||
|
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)
|
124 | (66) | ||||||||||||||||||||||||
| Audubon Mezzanine Holdings, L.L.C. (Series A) | 364 | (109) | ||||||||||||||||||||||||
|
EP 320 Growth Fund, L.L.C. (Series A) and Turnbury Park Apartments - BC, L.L.C. (Series A) (collectively)
|
179 | (101) | ||||||||||||||||||||||||
| Walnut Creek Properties Holdings, L.L.C. | 277 | (94) | ||||||||||||||||||||||||
| Towers Property Holdings, LLC | 379 | (161) | ||||||||||||||||||||||||
| Mansions Property Holdings, LLC | 365 | (155) | ||||||||||||||||||||||||
|
Sabina Montgomery Holdings, LLC - Series B and Oakley Shoals Apartments, LLC - Series A (collectively)
|
135 | (54) | ||||||||||||||||||||||||
|
Gen1814, LLC - Series A, Highlands - Mtg. Holdings, LLC - Series A, and Polos at Hudson Investments, LLC - Series A (collectively)
|
314 | (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)
|
388 | (169) | ||||||||||||||||||||||||
|
DCP Gold Creek, LLC
|
202 | (120) | ||||||||||||||||||||||||
|
1122 Chicago DE, LLC
|
221 | (60) | ||||||||||||||||||||||||
| Rigsbee Ave Holdings, LLC | 320 | (147) | ||||||||||||||||||||||||
| Bighaus, LLC | 436 | — | ||||||||||||||||||||||||
| FF/RMI 20 Midtown, LLC | 746 | — | ||||||||||||||||||||||||
| Lurin-RMI, LLC | 236 | — | ||||||||||||||||||||||||
| Total Income (Loss) - Multi-Family Preferred Equity Ownership Interests | $ | 5,499 | $ | (963) | ||||||||||||||||||||||
| Three Months Ended March 31, | ||||||||||||||||||||||||||
| Investment Name | 2021 | 2020 | ||||||||||||||||||||||||
| Single-Family Equity Ownership Interests | ||||||||||||||||||||||||||
|
Morrocroft Neighborhood Stabilization Fund II, LP
|
$ | 1,188 | $ | 218 | ||||||||||||||||||||||
|
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
(3,288) | 1,000 | ||||||||||||||||||||||||
| Total (Loss) Income - Single-Family Equity Ownership Interests | $ | (2,100) | $ | 1,218 | ||||||||||||||||||||||
|
Joint Venture Equity Investments in Multi-Family Properties (1)
|
||||||||||||||||||||||||||
|
The Preserve at Port Royal Venture, LLC (2)
|
$ | — | $ | 239 | ||||||||||||||||||||||
| Total Income - Joint Venture Equity Investments in Multi-Family Properties | $ | — | $ | 239 | ||||||||||||||||||||||
| Financing VIEs | Other VIEs | ||||||||||||||||||||||||||||
|
Residential
Loan Securitizations |
Consolidated SLST | Other | Total | ||||||||||||||||||||||||||
|
Cash and cash equivalents
|
$ | — | $ | — | $ | 2,852 | $ | 2,852 | |||||||||||||||||||||
|
Residential loans, at fair value
|
678,067 | 1,211,508 | — | 1,889,575 | |||||||||||||||||||||||||
|
Operating real estate, net held in Consolidated VIEs (1)
|
— | — | 82,141 | 82,141 | |||||||||||||||||||||||||
| Other assets | 28,900 | 3,981 | 4,145 | 37,026 | |||||||||||||||||||||||||
| Total assets | $ | 706,967 | $ | 1,215,489 | $ | 89,138 | $ | 2,011,594 | |||||||||||||||||||||
|
Collateralized debt obligations ($533,822 at amortized cost, net and $992,288 at fair value)
|
$ | 533,822 | $ | 992,288 | $ | — | $ | 1,526,110 | |||||||||||||||||||||
|
Mortgages payable, net in Consolidated VIEs (2)
|
— | — | 62,537 | 62,537 | |||||||||||||||||||||||||
| Other liabilities | 1,908 | 1,791 | 1,073 | 4,772 | |||||||||||||||||||||||||
| Total liabilities | $ | 535,730 | $ | 994,079 | $ | 63,610 | $ | 1,593,419 | |||||||||||||||||||||
|
Non-controlling interest in Consolidated VIEs (3)
|
$ | — | $ | — | $ | 5,498 | $ | 5,498 | |||||||||||||||||||||
|
Net investment (4)
|
$ | 171,237 | $ | 221,410 | $ | 20,030 | $ | 412,677 | |||||||||||||||||||||
| Financing VIE | Other VIEs | |||||||||||||||||||||||||||||||
|
Residential
Loan Securitizations |
Non-Agency RMBS Re-Securitization | Consolidated SLST | Other | Total | ||||||||||||||||||||||||||||
|
Cash and cash equivalents
|
$ | — | $ | — | $ | — | $ | 462 | $ | 462 | ||||||||||||||||||||||
| Residential loans, at fair value | 691,451 | — | 1,266,785 | — | 1,958,236 | |||||||||||||||||||||||||||
| Investment securities available for sale, at fair value | — | 109,140 | — | — | 109,140 | |||||||||||||||||||||||||||
|
Operating real estate, net held in Consolidated VIEs (1)
|
— | — | — | 50,532 | 50,532 | |||||||||||||||||||||||||||
| Other assets | 24,959 | 535 | 4,075 | 3,045 | 32,614 | |||||||||||||||||||||||||||
|
Total assets
|
$ | 716,410 | $ | 109,675 | $ | 1,270,860 | $ | 54,039 | $ | 2,150,984 | ||||||||||||||||||||||
|
Collateralized debt obligations ($569,323 at amortized cost, net and $1,054,335 at fair value)
|
$ | 554,067 | $ | 15,256 | $ | 1,054,335 | $ | — | $ | 1,623,658 | ||||||||||||||||||||||
|
Mortgages payable, net in Consolidated VIEs (2)
|
— | — | — | 36,752 | 36,752 | |||||||||||||||||||||||||||
| Other liabilities | 2,610 | 70 | 2,781 | 1,435 | 6,896 | |||||||||||||||||||||||||||
|
Total liabilities
|
$ | 556,677 | $ | 15,326 | $ | 1,057,116 | $ | 38,187 | $ | 1,667,306 | ||||||||||||||||||||||
|
Non-controlling interest in Consolidated VIEs (3)
|
$ | — | $ | — | $ | — | $ | 6,371 | $ | 6,371 | ||||||||||||||||||||||
|
Net investment (4)
|
$ | 159,733 | $ | 94,349 | $ | 213,744 | $ | 9,481 | $ | 477,307 | ||||||||||||||||||||||
| Consolidated SLST | Other | Total | ||||||||||||||||||
| Interest income | $ | 10,318 | $ | — | $ | 10,318 | ||||||||||||||
| Interest expense | 7,104 | 310 | 7,414 | |||||||||||||||||
| Total net interest income (expense) | 3,214 | (310) | 2,904 | |||||||||||||||||
| Unrealized gains, net | 9,225 | — | 9,225 | |||||||||||||||||
| Other income | — | 1,495 | 1,495 | |||||||||||||||||
| Total non-interest income | 9,225 | 1,495 | 10,720 | |||||||||||||||||
| Total general, administrative and operating expenses | — | 2,924 | 2,924 | |||||||||||||||||
| Net income (loss) | 12,439 | (1,739) | 10,700 | |||||||||||||||||
| Net loss attributable to non-controlling interest in Consolidated VIEs | — | 1,409 | 1,409 | |||||||||||||||||
| Net income (loss) attributable to Company | $ | 12,439 | $ | (330) | $ | 12,109 | ||||||||||||||
| Consolidated K-Series | Consolidated SLST | Other | Total | |||||||||||||||||||||||
| Interest income | $ | 151,841 | $ | 12,123 | $ | — | $ | 163,964 | ||||||||||||||||||
| Interest expense | 129,762 | 8,535 | — | 138,297 | ||||||||||||||||||||||
| Total net interest income | 22,079 | 3,588 | — | 25,667 | ||||||||||||||||||||||
| Unrealized losses, net | (10,951) | (66,134) | — | (77,085) | ||||||||||||||||||||||
| Other income (loss) | — | — | (342) | (342) | ||||||||||||||||||||||
| Total non-interest income (loss) | (10,951) | (66,134) | (342) | (77,427) | ||||||||||||||||||||||
| Total general, administrative and operating expenses | — | — | 26 | 26 | ||||||||||||||||||||||
| Net income (loss) | 11,128 | (62,546) | (368) | (51,786) | ||||||||||||||||||||||
| Net loss attributable to non-controlling interest in Consolidated VIEs | — | — | 184 | 184 | ||||||||||||||||||||||
| Net income (loss) attributable to Company | $ | 11,128 | $ | (62,546) | $ | (184) | $ | (51,602) | ||||||||||||||||||
| March 31, 2021 | |||||||||||||||||||||||
| Multi-family loans |
Investment
securities available for sale, at fair value |
Equity investments | Total | ||||||||||||||||||||
|
ABS
|
$ | — | $ | 44,622 | $ | — | $ | 44,622 | |||||||||||||||
| Non-Agency RMBS | — | 3,920 | — | 3,920 | |||||||||||||||||||
|
Preferred equity investments in multi-family properties
|
146,693 | — | 185,835 | 332,528 | |||||||||||||||||||
|
Mezzanine loans on multi-family properties
|
5,143 | — | — | 5,143 | |||||||||||||||||||
|
Equity investments in entities that invest in residential properties and loans
|
— | — | 74,230 | 74,230 | |||||||||||||||||||
| Maximum exposure | $ | 151,836 | $ | 48,542 | $ | 260,065 | $ | 460,443 | |||||||||||||||
| December 31, 2020 | ||||||||||||||||||||||||||||||||||||||
| Multi-family loans |
Investment
securities available for sale, at fair value |
Equity investments | Total | |||||||||||||||||||||||||||||||||||
| ABS | $ | — | $ | 43,225 | $ | — | $ | 43,225 | ||||||||||||||||||||||||||||||
|
Preferred equity investments in multi-family properties
|
158,501 | — | 182,765 | 341,266 | ||||||||||||||||||||||||||||||||||
|
Mezzanine loans on multi-family properties
|
5,092 | — | — | 5,092 | ||||||||||||||||||||||||||||||||||
|
Equity investments in entities that invest in residential properties and loans
|
— | — | 76,330 | 76,330 | ||||||||||||||||||||||||||||||||||
| Maximum exposure | $ | 163,593 | $ | 43,225 | $ | 259,095 | $ | 465,913 | ||||||||||||||||||||||||||||||
| 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) | $ | — | ||||||||||||||||||
| For the Three Months Ended March 31, 2020 | ||||||||||||||
| Realized Gains (Losses) | Unrealized Gains (Losses) | |||||||||||||
| Interest rate swaps | $ | (73,078) | $ | 28,967 | ||||||||||
| Total | $ | (73,078) | $ | 28,967 | ||||||||||
| March 31, 2021 | December 31, 2020 | |||||||||||||
| Land | $ | 9,319 | $ | 5,400 | ||||||||||
| Building and improvements | 69,977 | 43,764 | ||||||||||||
| Furniture, fixture and equipment | 3,680 | 1,522 | ||||||||||||
| Real estate | $ | 82,976 | $ | 50,686 | ||||||||||
|
Accumulated depreciation (1)
|
(835) | (154) | ||||||||||||
|
Real estate, net (2)
|
$ | 82,141 | $ | 50,532 | ||||||||||
| Maximum Aggregate Uncommitted Principal Amount |
Outstanding
Repurchase Agreements (1)
|
Net Deferred Finance Costs (2)
|
Carrying Value of Repurchase Agreements | Fair Value of Loans Pledged | Weighted Average Rate |
Weighted Average Months to Maturity (3)
|
|||||||||||||||||||||||||||||||||||
| March 31, 2021 | $ | 1,456,691 | $ | 538,632 | $ | (1,583) | $ | 537,049 | $ | 742,429 | 2.92 | % | 10.02 | ||||||||||||||||||||||||||||
| December 31, 2020 | $ | 1,301,389 | $ | 407,213 | $ | (1,682) | $ | 405,531 | $ | 575,380 | 2.92 | % | 11.92 | ||||||||||||||||||||||||||||
| March 31, 2021 | |||||||||||||||||||||||||||||
| Outstanding Face Amount | Carrying Value |
Weighted Average Interest Rate (1)
|
Weighted Average Rate of Notes Issued (2)
|
Stated Maturity (3)
|
|||||||||||||||||||||||||
|
Consolidated SLST (4)
|
$ | 947,719 | $ | 992,288 | 2.75 | % | 3.53 | % | 2059 | ||||||||||||||||||||
| Residential loan securitizations | 537,112 | 533,822 | 3.36 | % | 4.84 | % | 2025 - 2060 | ||||||||||||||||||||||
| Total collateralized debt obligations | $ | 1,484,831 | $ | 1,526,110 | |||||||||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||
| Outstanding Face Amount | Carrying Value |
Weighted Average Interest Rate (1)
|
Weighted Average Rate of Notes Issued (2)
|
Stated Maturity (3)
|
|||||||||||||||||||||||||
|
Consolidated SLST (4)
|
$ | 975,017 | $ | 1,054,335 | 2.75 | % | 3.53 | % | 2059 | ||||||||||||||||||||
| Residential loan securitizations | 557,497 | 554,067 | 3.36 | % | 4.83 | % | 2025 - 2060 | ||||||||||||||||||||||
| Non-Agency RMBS Re-Securitization | 15,449 | 15,256 |
One-month LIBOR plus 5.25%
|
(5)
|
One-month LIBOR plus 5.25%
|
(5)
|
2025 | ||||||||||||||||||||||
| Total collateralized debt obligations | $ | 1,547,963 | $ | 1,623,658 | |||||||||||||||||||||||||
| Year ending December 31, | March 31, 2021 | |||||||
| 2021 | $ | — | ||||||
| 2022 | — | |||||||
| 2023 | — | |||||||
| 2024 | — | |||||||
| 2025 | 220,648 | |||||||
| 2026 | — | |||||||
| Thereafter | 1,264,183 | |||||||
| Total | $ | 1,484,831 | ||||||
| NYM Preferred Trust I | NYM Preferred Trust II | ||||||||||
| Principal value of trust preferred securities | $ | 25,000 | $ | 20,000 | |||||||
| Interest rate |
Three month LIBOR plus 3.75%, resetting quarterly
|
Three month LIBOR plus 3.95%, resetting quarterly
|
|||||||||
| Scheduled maturity | March 30, 2035 | October 30, 2035 | |||||||||
| Mortgage Note Amount | Net Deferred Finance Cost | Mortgage Payable, Net | Origination Date | Maturity Date | Interest Rate | ||||||||||||||||||||||||||||||
| Joint venture investment | $ | 26,040 | $ | (262) | $ | 25,778 | January 27, 2021 | February 1, 2031 |
SOFR plus 2.62%
|
||||||||||||||||||||||||||
| Preferred equity investment | 37,030 | (271) | 36,759 | February 14, 2018 | March 1, 2028 |
One-month LIBOR plus 2.40%
|
|||||||||||||||||||||||||||||
| Total | $ | 63,070 | $ | (533) | $ | 62,537 | |||||||||||||||||||||||||||||
| Year Ending December 31, | Total | ||||
| 2021 | $ | — | |||
| 2022 | 138,000 | ||||
| 2023 | — | ||||
| 2024 | — | ||||
| 2025 | — | ||||
| 2026 | — | ||||
| Thereafter | 108,070 | ||||
| $ | 246,070 | ||||
| Measured at Fair Value on a Recurring Basis at | |||||||||||||||||||||||||||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||
|
Assets carried at fair value
|
|||||||||||||||||||||||||||||||||||||||||||||||
| Residential loans: | |||||||||||||||||||||||||||||||||||||||||||||||
|
Residential loans
|
$ | — | $ | — | $ | 1,316,707 | $ | 1,316,707 | $ | — | $ | — | $ | 1,090,930 | $ | 1,090,930 | |||||||||||||||||||||||||||||||
|
Consolidated SLST
|
— | — | 1,211,508 | 1,211,508 | — | — | 1,266,785 | 1,266,785 | |||||||||||||||||||||||||||||||||||||||
|
Residential loans held in securitization trusts
|
— | — | 678,067 | 678,067 | — | — | 691,451 | 691,451 | |||||||||||||||||||||||||||||||||||||||
| Multi-family loans | — | — | 151,836 | 151,836 | — | — | 163,593 | 163,593 | |||||||||||||||||||||||||||||||||||||||
| Investment securities available for sale: | |||||||||||||||||||||||||||||||||||||||||||||||
|
Agency RMBS
|
— | 131,625 | — | 131,625 | — | 139,395 | — | 139,395 | |||||||||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
— | 271,607 | — | 271,607 | — | 355,666 | — | 355,666 | |||||||||||||||||||||||||||||||||||||||
|
CMBS
|
— | 148,441 | — | 148,441 | — | 186,440 | — | 186,440 | |||||||||||||||||||||||||||||||||||||||
|
ABS
|
— | 44,622 | — | 44,622 | — | 43,225 | — | 43,225 | |||||||||||||||||||||||||||||||||||||||
| Equity investments | — | — | 260,065 | 260,065 | — | — | 259,095 | 259,095 | |||||||||||||||||||||||||||||||||||||||
|
Total
|
$ | — | $ | 596,295 | $ | 3,618,183 | $ | 4,214,478 | $ | — | $ | 724,726 | $ | 3,471,854 | $ | 4,196,580 | |||||||||||||||||||||||||||||||
|
Liabilities carried at fair value
|
|||||||||||||||||||||||||||||||||||||||||||||||
| Consolidated SLST CDOs | $ | — | $ | — | $ | 992,288 | $ | 992,288 | $ | — | $ | — | $ | 1,054,335 | $ | 1,054,335 | |||||||||||||||||||||||||||||||
|
Total
|
$ | — | $ | — | $ | 992,288 | $ | 992,288 | $ | — | $ | — | $ | 1,054,335 | $ | 1,054,335 | |||||||||||||||||||||||||||||||
| Three Months Ended March 31, 2021 | |||||||||||||||||||||||||||||||||||
| Residential loans | |||||||||||||||||||||||||||||||||||
| Residential loans | Consolidated SLST | Residential loans held in securitization trusts | Multi-family loans | Equity investments | Total | ||||||||||||||||||||||||||||||
| Balance at beginning of period | $ | 1,090,930 | $ | 1,266,785 | $ | 691,451 | $ | 163,593 | $ | 259,095 | $ | 3,471,854 | |||||||||||||||||||||||
| Total gains/(losses) (realized/unrealized) | |||||||||||||||||||||||||||||||||||
| Included in earnings | 9,386 | (27,057) | 14,123 | 5,077 | 3,400 | 4,929 | |||||||||||||||||||||||||||||
|
Transfers out (1)
|
(989) | — | (695) | — | — | (1,684) | |||||||||||||||||||||||||||||
| Contributions | — | — | — | — | 161 | 161 | |||||||||||||||||||||||||||||
| Paydowns/Distributions | (125,646) | (28,220) | (24,436) | (16,834) | (2,591) | (197,727) | |||||||||||||||||||||||||||||
| Sales | (4,257) | — | (2,376) | — | — | (6,633) | |||||||||||||||||||||||||||||
| Purchases | 347,283 | — | — | — | — | 347,283 | |||||||||||||||||||||||||||||
| Balance at the end of period | $ | 1,316,707 | $ | 1,211,508 | $ | 678,067 | $ | 151,836 | $ | 260,065 | $ | 3,618,183 | |||||||||||||||||||||||
| Three Months Ended March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
| Residential loans | Multi-family loans | ||||||||||||||||||||||||||||||||||||||||
| Residential loans | Consolidated SLST | Residential loans held in securitization trusts | Preferred equity and mezzanine loan investments | Consolidated K-Series | Equity investments | Total | |||||||||||||||||||||||||||||||||||
| Balance at beginning of period | $ | 1,429,754 | $ | 1,328,886 | $ | — | $ | — | $ | 17,816,746 | $ | 83,882 | $ | 20,659,268 | |||||||||||||||||||||||||||
| Total (losses)/gains (realized/unrealized) | |||||||||||||||||||||||||||||||||||||||||
| Included in earnings | (94,418) | (89,087) | (1,739) | (209) | 41,795 | 494 | (143,164) | ||||||||||||||||||||||||||||||||||
|
Transfers in (1)
|
164,035 | — | 46,572 | 182,465 | — | 107,477 | 500,549 | ||||||||||||||||||||||||||||||||||
|
Transfers out (2) (3)
|
(3,166) | — | (349) | — | (237,297) | — | (240,812) | ||||||||||||||||||||||||||||||||||
| Contributions | — | — | — | 8,440 | — | 22,106 | 30,546 | ||||||||||||||||||||||||||||||||||
| Paydowns/Distributions | (84,719) | (21,500) | (1,500) | (11,404) | (239,796) | (1,994) | (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 | $ | 179,292 | $ | — | $ | 211,965 | $ | 3,167,887 | |||||||||||||||||||||||||||
| Three Months Ended March 31, 2021 | |||||
| Consolidated SLST CDOs | |||||
| Balance at beginning of period | $ | 1,054,335 | |||
| Total gains (realized/unrealized) | |||||
| Included in earnings | (34,748) | ||||
| Paydowns | (27,299) | ||||
| Balance at the end of period | $ | 992,288 | |||
| Three Months Ended March 31, 2020 | |||||||||||||||||||||||
| Collateralized debt obligations | |||||||||||||||||||||||
| Consolidated K-Series | Consolidated SLST | 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) | ||||||||||||||||||||
| Balance at the end of period | $ | — | $ | 1,034,992 | $ | 1,034,992 | |||||||||||||||||
| March 31, 2021 | Fair Value | Valuation Technique | Unobservable Input | Weighted Average | Range | |||||||||||||||||||||||||||||||||
| Assets | ||||||||||||||||||||||||||||||||||||||
| Residential loans: | ||||||||||||||||||||||||||||||||||||||
|
Residential loans and residential loans held in securitization trusts (1)
|
$1,857,540 | Discounted cash flow | Lifetime CPR | 5.7% | — | - | 60.3% | |||||||||||||||||||||||||||||||
| Lifetime CDR | 0.8% | — | - | 21.1% | ||||||||||||||||||||||||||||||||||
| Loss severity | 11.9% | — | - | 100.0% | ||||||||||||||||||||||||||||||||||
| Yield | 5.2% | 2.5% | - | 48.4% | ||||||||||||||||||||||||||||||||||
| $137,234 | Liquidation model | Annual home price appreciation | 0.9% | — | - | 12.4% | ||||||||||||||||||||||||||||||||
| Liquidation timeline (months) | 29 | 9 | - | 57 | ||||||||||||||||||||||||||||||||||
| Property value | $550,830 | $13,000 | - | $4,000,000 | ||||||||||||||||||||||||||||||||||
| Yield | 7.2% | 7.0% | - | 29.2% | ||||||||||||||||||||||||||||||||||
|
Consolidated SLST (3)
|
$1,211,508 | Liability price | N/A | |||||||||||||||||||||||||||||||||||
| Total | $3,206,282 | |||||||||||||||||||||||||||||||||||||
|
Multi-family loans (1)
|
$151,836 | Discounted cash flow | Discount rate | 11.5% | 11.0% | - | 19.5% | |||||||||||||||||||||||||||||||
| Months to assumed redemption | 43 | 4 | - | 183 | ||||||||||||||||||||||||||||||||||
| Loss severity | — | |||||||||||||||||||||||||||||||||||||
|
Equity investments (1) (2)
|
$185,835 | Discounted cash flow | Discount rate | 11.7% | 11.0% | - | 18.3% | |||||||||||||||||||||||||||||||
| Months to assumed redemption | 38 | 6 | - | 58 | ||||||||||||||||||||||||||||||||||
| Loss severity | — | |||||||||||||||||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||||||||||||||||
|
Consolidated SLST CDOs (3) (4)
|
$992,288 | Discounted cash flow | Yield | 2.5% | 1.5% | - | 11.1% | |||||||||||||||||||||||||||||||
| Collateral prepayment rate | 5.3% | 2.4% | - | 6.0% | ||||||||||||||||||||||||||||||||||
| Collateral default rate | 2.1% | — | - | 14.2% | ||||||||||||||||||||||||||||||||||
| Loss severity | 20.4% | — | - | 23.3% | ||||||||||||||||||||||||||||||||||
| Three Months Ended March 31, | |||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Residential loans: | |||||||||||||||||||||||
|
Residential loans (1)
|
$ | 7,354 | $ | (76,295) | |||||||||||||||||||
|
Consolidated SLST (1)
|
(25,343) | (88,100) | |||||||||||||||||||||
|
Residential loans held in securitization trusts (1)
|
15,605 | (1,700) | |||||||||||||||||||||
|
Multi-family loans (1)
|
177 | (5,559) | |||||||||||||||||||||
|
Equity investments (2)
|
123 | (4,023) | |||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||
|
Consolidated SLST CDOs (1)
|
34,568 | 21,966 | |||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||
|
Fair Value
Hierarchy Level |
Carrying
Value |
Estimated
Fair Value |
Carrying
Value |
Estimated
Fair Value |
|||||||||||||||||||||||||
| Financial Assets: | |||||||||||||||||||||||||||||
| Cash and cash equivalents | Level 1 | $ | 290,977 | $ | 290,977 | $ | 293,183 | $ | 293,183 | ||||||||||||||||||||
| Residential loans | Level 3 | 3,206,282 | 3,206,282 | 3,049,166 | 3,049,166 | ||||||||||||||||||||||||
| Multi-family loans | Level 3 | 151,836 | 151,836 | 163,593 | 163,593 | ||||||||||||||||||||||||
| Investment securities available for sale | Level 2 | 596,295 | 596,295 | 724,726 | 724,726 | ||||||||||||||||||||||||
| Equity investments | Level 3 | 260,065 | 260,065 | 259,095 | 259,095 | ||||||||||||||||||||||||
| Financial Liabilities: | |||||||||||||||||||||||||||||
| Repurchase agreements | Level 2 | 537,049 | 537,049 | 405,531 | 405,531 | ||||||||||||||||||||||||
| Collateralized debt obligations: | |||||||||||||||||||||||||||||
| Residential loan securitizations at amortized cost, net | Level 3 | 533,822 | 539,272 | 554,067 | 561,329 | ||||||||||||||||||||||||
| Consolidated SLST | Level 3 | 992,288 | 992,288 | 1,054,335 | 1,054,335 | ||||||||||||||||||||||||
| Non-Agency RMBS re-securitization | Level 2 | — | — | 15,256 | 15,472 | ||||||||||||||||||||||||
| Subordinated debentures | Level 3 | 45,000 | 43,058 | 45,000 | 36,871 | ||||||||||||||||||||||||
| Convertible notes | Level 2 | 135,954 | 140,552 | 135,327 | 137,716 | ||||||||||||||||||||||||
| Class of Preferred Stock | Shares Authorized | Shares Issued and Outstanding | Carrying Value | Liquidation Preference |
Contractual Rate (1)
|
Optional Redemption Date (2)
|
Fixed-to-Floating Rate Conversion Date (1)(3)
|
Floating Annual Rate (4)
|
||||||||||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||
| March 15, 2021 | April 1, 2021 | April 15, 2021 | $ | 0.484375 | $ | 0.4921875 | $ | 0.50 | $ | 0.4921875 | |||||||||||||||||||||||||||||||
| December 7, 2020 | January 1, 2021 | January 15, 2021 | 0.484375 | 0.4921875 | 0.50 | 0.4921875 | |||||||||||||||||||||||||||||||||||
| September 14, 2020 | October 1, 2020 | October 15, 2020 | 0.484375 | 0.4921875 | 0.50 | 0.4921875 | |||||||||||||||||||||||||||||||||||
| June 15, 2020 | July 1, 2020 | July 15, 2020 | 0.968750 |
(1)
|
0.9843750 |
(1)
|
1.00 |
(1)
|
0.9843750 |
(1)
|
|||||||||||||||||||||||||||||||
| Period | Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | ||||||||||||||||||||||
| First Quarter 2021 | March 15, 2021 | March 25, 2021 | April 26, 2021 | $ | 0.100 | |||||||||||||||||||||
| Fourth Quarter 2020 | December 7, 2020 | December 17, 2020 | January 25, 2021 | 0.100 | ||||||||||||||||||||||
| Third Quarter 2020 | September 14, 2020 | September 24, 2020 | October 26, 2020 | 0.075 | ||||||||||||||||||||||
| Second Quarter 2020 | June 15, 2020 | July 1, 2020 | July 27, 2020 | 0.050 | ||||||||||||||||||||||
| Three Months Ended March 31, | ||||||||||||||||||||||||||
| 2021 | 2020 | |||||||||||||||||||||||||
| Basic Earnings (Loss) per Common Share: | ||||||||||||||||||||||||||
| Net income (loss) attributable to Company | $ | 52,208 | $ | (588,383) | ||||||||||||||||||||||
|
Less: Preferred Stock dividends (1)
|
(10,297) | (10,297) | ||||||||||||||||||||||||
| Net income (loss) attributable to Company's common stockholders | $ | 41,911 | $ | (598,680) | ||||||||||||||||||||||
|
Basic weighted average common shares outstanding
|
378,881 | 350,912 | ||||||||||||||||||||||||
|
Basic Earnings (Loss) per Common Share
|
$ | 0.11 | $ | (1.71) | ||||||||||||||||||||||
| Diluted Earnings (Loss) per Common Share: | ||||||||||||||||||||||||||
|
Net income (loss) attributable to Company
|
$ | 52,208 | $ | (588,383) | ||||||||||||||||||||||
|
Less: Preferred Stock dividends (1)
|
(10,297) | (10,297) | ||||||||||||||||||||||||
|
Net income (loss) attributable to Company's common stockholders
|
$ | 41,911 | $ | (598,680) | ||||||||||||||||||||||
|
Weighted average common shares outstanding
|
378,881 | 350,912 | ||||||||||||||||||||||||
| Net effect of assumed PSUs vested | 1,859 | — | ||||||||||||||||||||||||
|
Net effect of assumed RSUs vested
|
75 | — | ||||||||||||||||||||||||
|
Diluted weighted average common shares outstanding
|
380,815 | 350,912 | ||||||||||||||||||||||||
|
Diluted Earnings (Loss) per Common Share
|
$ | 0.11 | $ | (1.71) | ||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
|
Number of
Non-vested Restricted Shares |
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
Number of
Non-vested Restricted Shares |
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
||||||||||||||||||||
| Non-vested shares as of January 1 | 1,603,766 | $ | 6.27 | 837,123 | $ | 6.18 | |||||||||||||||||
| Granted | 939,446 | 3.82 | 1,054,254 | 6.33 | |||||||||||||||||||
| Vested | (538,243) | 6.24 | (287,611) | 6.22 | |||||||||||||||||||
| Forfeited | (9,997) | 6.33 | — | — | |||||||||||||||||||
|
Non-vested shares as of March 31
|
1,994,972 | $ | 5.12 | 1,603,766 | $ | 6.27 | |||||||||||||||||
|
Restricted stock granted during the period
|
939,446 | $ | 3.82 | 1,054,254 | $ | 6.33 | |||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
|
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 as of January 1 | 2,902,014 | $ | 4.98 | 2,018,518 | $ | 4.09 | |||||||||||||||||
| Granted | 1,563,910 | 5.49 | 883,496 | 7.03 | |||||||||||||||||||
| Vested | (842,792) | 4.20 | — | — | |||||||||||||||||||
|
Non-vested target PSUs as of March 31
|
3,623,132 | $ | 5.38 | 2,902,014 | $ | 4.98 | |||||||||||||||||
| 2021 | 2020 | |||||||||||||||||||||||||||||||||||||
|
Number of
Non-vested Shares |
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
Number of
Non-vested Shares |
Weighted
Average Per Share
Grant Date
Fair Value (1)
|
|||||||||||||||||||||||||||||||||||
| Non-vested RSUs as of January 1 | 441,746 | $ | 6.23 | — | $ | — | ||||||||||||||||||||||||||||||||
| Granted | 781,955 | 3.69 | 441,746 | 6.23 | ||||||||||||||||||||||||||||||||||
| Vested | (147,254) | 6.23 | — | — | ||||||||||||||||||||||||||||||||||
|
Non-vested RSUs as of March 31
|
1,076,447 | $ | 4.38 | 441,746 | $ | 6.23 | ||||||||||||||||||||||||||||||||
| Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||||||||||||||
| Current income tax expense | $ | 213 | $ | 11 | |||||||||||||||||||||||||||||||
| Deferred income tax benefit | (147) | (250) | |||||||||||||||||||||||||||||||||
| Total provision (benefit) | $ | 66 | $ | (239) | |||||||||||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||
| Deferred tax assets | |||||||||||
| Net operating loss carryforward | $ | 5,813 | $ | 6,024 | |||||||
| Capital loss carryover | 4,880 | 4,442 | |||||||||
| GAAP/Tax basis differences | 712 | 814 | |||||||||
|
Total deferred tax assets (1)
|
11,405 | 11,280 | |||||||||
| Deferred tax liabilities | |||||||||||
| Deferred tax liabilities | 4 | 2 | |||||||||
|
Total deferred tax liabilities (2)
|
4 | 2 | |||||||||
|
Valuation allowance (1)
|
(9,480) | (9,503) | |||||||||
|
Total net deferred tax asset
|
$ | 1,921 | $ | 1,775 | |||||||
| For the Three Months Ended March 31, | |||||||||||||||||
| 2021 | 2020 | ||||||||||||||||
| Interest income | |||||||||||||||||
| Residential loans | |||||||||||||||||
| Residential loans | $ | 19,662 | $ | 21,682 | |||||||||||||
| Consolidated SLST | 10,318 | 12,123 | |||||||||||||||
| Residential loans held in securitization trusts | 7,968 | 495 | |||||||||||||||
| Total residential loans | 37,948 | 34,300 | |||||||||||||||
| Multi-family loans | |||||||||||||||||
| Preferred equity and mezzanine loan investments | 4,401 | 5,373 | |||||||||||||||
| Consolidated K-Series | — | 151,841 | |||||||||||||||
| Total multi-family loans | 4,401 | 157,214 | |||||||||||||||
| Investment securities available for sale | 7,675 | 18,756 | |||||||||||||||
| Other | 15 | 343 | |||||||||||||||
| Total interest income | 50,039 | 210,613 | |||||||||||||||
| Interest expense | |||||||||||||||||
| Repurchase agreements | 4,040 | 20,745 | |||||||||||||||
| Collateralized debt obligations | |||||||||||||||||
| Consolidated SLST | 7,104 | 8,535 | |||||||||||||||
| Consolidated K-Series | — | 129,762 | |||||||||||||||
| Residential loan securitizations | 4,720 | 237 | |||||||||||||||
| Non-Agency RMBS re-securitization | 283 | — | |||||||||||||||
| Total collateralized debt obligations | 12,107 | 138,534 | |||||||||||||||
| Convertible debt | 2,784 | 2,735 | |||||||||||||||
| Subordinated debentures | 457 | 649 | |||||||||||||||
| Derivatives | — | 868 | |||||||||||||||
| Other | 311 | — | |||||||||||||||
| Total interest expense | 19,699 | 163,531 | |||||||||||||||
| Net interest income | $ | 30,340 | $ | 47,082 | |||||||||||||
| December 31, 2020 | Acquisitions |
Repayments (1)
|
Sales |
Fair Value Changes and Other (2)
|
March 31, 2021 | ||||||||||||||||||||||||||||||
|
Residential loans
|
$ | 1,782,381 | $ | 347,283 | $ | (150,082) | $ | (6,633) | $ | 21,825 | $ | 1,994,774 | |||||||||||||||||||||||
| Preferred equity investments, mezzanine loans and equity investments | 422,688 | 161 | (11,875) | — | 927 | 411,901 | |||||||||||||||||||||||||||||
| Investment securities | |||||||||||||||||||||||||||||||||||
| Agency RMBS | 139,395 | — | (1,866) | — | (5,904) | 131,625 | |||||||||||||||||||||||||||||
| CMBS | 186,440 | — | — | (39,545) | 1,546 | 148,441 | |||||||||||||||||||||||||||||
| Non-Agency RMBS | 355,666 | 3,920 | (19,816) | (72,083) | 3,920 | 271,607 | |||||||||||||||||||||||||||||
| ABS | 43,225 | 2,006 | — | — | (609) | 44,622 | |||||||||||||||||||||||||||||
| Total investment securities available for sale | 724,726 | 5,926 | (21,682) | (111,628) | (1,047) | 596,295 | |||||||||||||||||||||||||||||
|
Consolidated SLST (3)
|
212,144 | — | — | — | 7,692 | 219,836 | |||||||||||||||||||||||||||||
| Total investment securities | 936,870 | 5,926 | (21,682) | (111,628) | 6,645 | 816,131 | |||||||||||||||||||||||||||||
|
Other investments (4)
|
9,434 | 10,986 | (57) | — | (333) | 20,030 | |||||||||||||||||||||||||||||
| Total investment portfolio | $ | 3,151,373 | $ | 364,356 | $ | (183,696) | $ | (118,261) | $ | 29,064 | $ | 3,242,836 | |||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||
| Residential loans, at fair value | $ | 1,211,508 | $ | 1,266,785 | |||||||
|
Deferred interest (a)
|
616 | (306) | |||||||||
| Less: Collateralized debt obligations, at fair value | (992,288) | (1,054,335) | |||||||||
| Consolidated SLST investment securities owned by NYMT | $ | 219,836 | $ | 212,144 | |||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||
| Preferred equity investment in Consolidated VIE | $ | 10,479 | $ | 9,434 | |||||||||||||
| Joint venture equity investment in Consolidated VIE | 9,551 | — | |||||||||||||||
| Total other investments | $ | 20,030 | $ | 9,434 | |||||||||||||
| Three Months Ended March 31, 2021 | |||||||||||
| Net interest income | $ | 30,340 | |||||||||
| Net income attributable to Company's common stockholders | $ | 41,911 | |||||||||
| Net income attributable to Company's common stockholders per share (basic) | $ | 0.11 | |||||||||
| Comprehensive income attributable to Company's common stockholders | $ | 44,791 | |||||||||
| Comprehensive income attributable to Company's common stockholders per share (basic) | $ | 0.12 | |||||||||
| Book value per common share | $ | 4.71 | |||||||||
|
Economic return on book value (1)
|
2.1 | % | |||||||||
| Dividends per common share | $ | 0.10 | |||||||||
| Single-Family |
Multi-
Family |
Other | Total | ||||||||||||||||||||||||||
| Residential loans | $ | 3,206,282 | $ | — | $ | — | $ | 3,206,282 | |||||||||||||||||||||
| Consolidated SLST CDOs | (992,288) | — | — | (992,288) | |||||||||||||||||||||||||
| Multi-family loans | — | 151,836 | — | 151,836 | |||||||||||||||||||||||||
|
Investment securities available for sale (1)
|
403,232 | 148,441 | 44,622 | 596,295 | |||||||||||||||||||||||||
| Equity investments | — | 185,835 | 74,230 | 260,065 | |||||||||||||||||||||||||
|
Other investments (2)
|
— | 20,030 | — | 20,030 | |||||||||||||||||||||||||
| Total investment portfolio carrying value | 2,617,226 | 506,142 | 118,852 | 3,242,220 | |||||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||
| Repurchase agreements | (537,049) | — | — | (537,049) | |||||||||||||||||||||||||
| Residential loan securitization CDOs | (533,822) | — | — | (533,822) | |||||||||||||||||||||||||
| Convertible notes | — | — | (135,954) | (135,954) | |||||||||||||||||||||||||
| Subordinated debentures | — | — | (45,000) | (45,000) | |||||||||||||||||||||||||
|
Cash, cash equivalents and restricted cash (3)
|
146,879 | 52,481 | 118,419 | 317,779 | |||||||||||||||||||||||||
| Other | 52,941 | (4,602) | (47,660) | 679 | |||||||||||||||||||||||||
| Net Company capital allocated | $ | 1,746,175 | $ | 554,021 | $ | 8,657 | $ | 2,308,853 | |||||||||||||||||||||
|
Total Leverage Ratio (4)
|
0.3 | ||||||||||||||||||||||||||||
|
Portfolio Leverage Ratio (5)
|
0.2 | ||||||||||||||||||||||||||||
| Single-Family |
Multi-
Family |
Other | Total | ||||||||||||||||||||
| Residential loans | $ | 3,049,166 | $ | — | $ | — | $ | 3,049,166 | |||||||||||||||
| Consolidated SLST CDOs | (1,054,335) | — | — | (1,054,335) | |||||||||||||||||||
| Multi-family loans | — | 163,593 | — | 163,593 | |||||||||||||||||||
|
Investment securities available for sale (1)
|
495,061 | 186,440 | 43,225 | 724,726 | |||||||||||||||||||
| Equity investments | — | 182,765 | 76,330 | 259,095 | |||||||||||||||||||
|
Other investments (2)
|
— | 9,434 | — | 9,434 | |||||||||||||||||||
| Total investment portfolio carrying value | 2,489,892 | 542,232 | 119,555 | 3,151,679 | |||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||
| Repurchase agreements | (405,531) | — | — | (405,531) | |||||||||||||||||||
| Collateralized debt obligations | |||||||||||||||||||||||
| Residential loan securitizations | (554,067) | — | — | (554,067) | |||||||||||||||||||
| Non-Agency RMBS re-securitization | (15,256) | — | — | (15,256) | |||||||||||||||||||
| Convertible notes | — | — | (135,327) | (135,327) | |||||||||||||||||||
|
Subordinated debentures
|
— | — | (45,000) | (45,000) | |||||||||||||||||||
|
Cash, cash equivalents and restricted cash (3)
|
50,687 | 45,563 | 207,789 | 304,039 | |||||||||||||||||||
| Other | 59,516 | (6,078) | (52,773) | 665 | |||||||||||||||||||
| Net Company capital allocated | $ | 1,625,241 | $ | 581,717 | $ | 94,244 | $ | 2,301,202 | |||||||||||||||
|
Total Leverage Ratio (4)
|
0.3 | ||||||||||||||||||||||
|
Portfolio Leverage Ratio (5)
|
0.2 | ||||||||||||||||||||||
| Three Months Ended March 31, 2021 | |||||||||||||||||||||||||||||||||||
| Amount | Shares |
Per Share (1)
|
|||||||||||||||||||||||||||||||||
| Beginning Balance | $ | 1,779,380 | 377,744 | $ | 4.71 | ||||||||||||||||||||||||||||||
|
Common stock issuance, net (2)
|
994 | 1,529 | |||||||||||||||||||||||||||||||||
| Balance after share issuance activity | 1,780,374 | 379,273 | 4.69 | ||||||||||||||||||||||||||||||||
| Dividends and dividend equivalents declared | (38,134) | (0.10) | |||||||||||||||||||||||||||||||||
| Net change in accumulated other comprehensive income: | |||||||||||||||||||||||||||||||||||
|
Investment securities available for sale (3)
|
2,880 | 0.01 | |||||||||||||||||||||||||||||||||
| Net income attributable to Company's common stockholders | 41,911 | 0.11 | |||||||||||||||||||||||||||||||||
| Ending Balance | $ | 1,787,031 | 379,273 | $ | 4.71 | ||||||||||||||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
| Net interest income | $ | 30,340 | $ | 47,082 | $ | (16,742) | |||||||||||||||||||||||||||||
| Total non-interest income (loss) | 39,720 | (622,003) | 661,723 | ||||||||||||||||||||||||||||||||
|
Total general, administrative and operating expenses
|
19,195 | 13,885 | 5,310 | ||||||||||||||||||||||||||||||||
| Income (loss) from operations before income taxes | 50,865 | (588,806) | 639,671 | ||||||||||||||||||||||||||||||||
| Income tax expense (benefit) | 66 | (239) | 305 | ||||||||||||||||||||||||||||||||
| Net income (loss) attributable to Company | 52,208 | (588,383) | 640,591 | ||||||||||||||||||||||||||||||||
|
Preferred stock dividends
|
10,297 | 10,297 | — | ||||||||||||||||||||||||||||||||
|
Net income (loss) attributable to Company's common stockholders
|
41,911 | (598,680) | 640,591 | ||||||||||||||||||||||||||||||||
| Basic earnings (loss) per common share | $ | 0.11 | $ | (1.71) | $ | 1.82 | |||||||||||||||||||||||||||||
| Diluted earnings (loss) per common share | $ | 0.11 | $ | (1.71) | $ | 1.82 | |||||||||||||||||||||||||||||
|
Single-Family (1) (3)
|
Multi-
Family (2) (3)
|
Other (7)
|
Total | ||||||||||||||||||||||||||
|
Interest Income (4)
|
$ | 35,259 | $ | 6,152 | $ | 1,523 | $ | 42,934 | |||||||||||||||||||||
| Interest Expense | (9,043) | — | (3,551) | (12,594) | |||||||||||||||||||||||||
| Net Interest Income (Expense) | $ | 26,216 | $ | 6,152 | $ | (2,028) | $ | 30,340 | |||||||||||||||||||||
|
Average Interest Earning Assets (3) (5)
|
$ | 2,504,777 | $ | 310,347 | $ | 31,652 | $ | 2,846,776 | |||||||||||||||||||||
|
Average Yield on Interest Earning Assets (6)
|
5.63 | % | 7.93 | % | 19.25 | % | 6.03 | % | |||||||||||||||||||||
|
Average Portfolio Financing Cost (7)
|
(3.61) | % | — | — | (3.61) | % | |||||||||||||||||||||||
|
Portfolio Net Interest Margin (8)
|
2.02 | % | 7.93 | % | 19.25 | % | 2.42 | % | |||||||||||||||||||||
|
Single-Family (1) (3)
|
Multi-
Family (2) (3)
|
Other (7)
|
Total | ||||||||||||||||||||||||||
|
Interest Income (4)
|
$ | 39,974 | $ | 30,976 | $ | 1,366 | $ | 72,316 | |||||||||||||||||||||
| Interest Expense | (14,557) | (7,293) | (3,384) | (25,234) | |||||||||||||||||||||||||
| Net Interest Income (Expense) | $ | 25,417 | $ | 23,683 | $ | (2,018) | $ | 47,082 | |||||||||||||||||||||
|
Average Interest Earning Assets (3) (5)
|
$ | 3,529,922 | $ | 1,251,816 | $ | 50,333 | $ | 4,832,071 | |||||||||||||||||||||
|
Average Yield on Interest Earning Assets (6)
|
4.53 | % | 9.90 | % | 10.86 | % | 5.99 | % | |||||||||||||||||||||
|
Average Portfolio Financing Cost (7)
|
(2.88) | % | (3.57) | % | — | (3.07) | % | ||||||||||||||||||||||
|
Portfolio Net Interest Margin (8)
|
1.65 | % | 6.33 | % | 10.86 | % | 2.92 | % | |||||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||
| 2021 | 2020 | ||||||||||
| Interest income, residential loans | $ | 27,630 | $ | 22,177 | |||||||
| Interest income, Consolidated SLST | 10,318 | 12,123 | |||||||||
| Interest income, investment securities available for sale | 4,415 | 14,209 | |||||||||
| Interest expense, Consolidated SLST CDOs | (7,104) | (8,535) | |||||||||
| Interest income, Single-Family, net | 35,259 | 39,974 | |||||||||
| Interest expense, repurchase agreements and derivatives | (4,040) | (14,320) | |||||||||
| Interest expense, residential loan securitizations | (4,720) | (237) | |||||||||
| Interest expense, non-Agency RMBS re-securitization | (283) | — | |||||||||
| Net interest income, Single-Family | $ | 26,216 | $ | 25,417 | |||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
| Interest income, multi-family loans held in Consolidated K-Series | $ | — | $ | 151,841 | |||||||||||||||||||
| Interest income, investment securities available for sale | 1,751 | 3,524 | |||||||||||||||||||||
|
Interest income, preferred equity and mezzanine loan investments
|
4,401 | 5,373 | |||||||||||||||||||||
| Interest expense, Consolidated K-Series CDOs | — | (129,762) | |||||||||||||||||||||
| Interest income, Multi-Family, net | 6,152 | 30,976 | |||||||||||||||||||||
| Interest expense, repurchase agreements | — | (7,293) | |||||||||||||||||||||
| Net interest income, Multi-Family | $ | 6,152 | $ | 23,683 | |||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||
| 2021 | 2020 | ||||||||||||||||||||||
| Subordinated debentures | $ | 457 | $ | 649 | |||||||||||||||||||
| Convertible notes | 2,784 | 2,735 | |||||||||||||||||||||
| Mortgages payable in Consolidated VIEs | 310 | — | |||||||||||||||||||||
| Total | $ | 3,551 | $ | 3,384 | |||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
| Residential loans | $ | 2,683 | $ | (16,083) | $ | 18,766 | |||||||||||||||||||||||||||||
| Investment securities and related hedges | 4,375 | (131,835) | 136,210 | ||||||||||||||||||||||||||||||||
| Total realized gains (losses), net | $ | 7,058 | $ | (147,918) | $ | 154,976 | |||||||||||||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
| Residential loans | $ | 18,677 | $ | (83,409) | $ | 102,086 | |||||||||||||||||||||||||||||
| Consolidated SLST | 9,225 | (66,134) | 75,359 | ||||||||||||||||||||||||||||||||
| Consolidated K-Series | — | (171,011) | 171,011 | ||||||||||||||||||||||||||||||||
| Preferred equity and mezzanine loan investments | 105 | (5,636) | 5,741 | ||||||||||||||||||||||||||||||||
| Investment securities and related hedges | (1,841) | (70,590) | 68,749 | ||||||||||||||||||||||||||||||||
| Total unrealized gains (losses), net | $ | 26,166 | $ | (396,780) | $ | 422,946 | |||||||||||||||||||||||||||||
|
Three Months Ended
March 31, |
||||||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | ||||||||||||||||||||||||||||||||||||
|
Income (loss) from preferred equity investments accounted for as equity (1)
|
$ | 5,499 | $ | (963) | $ | 6,462 | ||||||||||||||||||||||||||||||||
| Income from unconsolidated joint venture equity investments in multi-family properties | — | 239 | (239) | |||||||||||||||||||||||||||||||||||
| (Loss) income from entities that invest in residential properties and loans | (2,100) | 1,218 | (3,318) | |||||||||||||||||||||||||||||||||||
| Total income from equity investments | $ | 3,399 | $ | 494 | $ | 2,905 | ||||||||||||||||||||||||||||||||
|
Three Months Ended
March 31, |
|||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
|
Preferred equity and mezzanine loan premiums resulting from early redemption (1)
|
$ | 571 | $ | 54 | $ | 517 | |||||||||||||||||||||||||||||
|
Operating income (loss) in Consolidated VIEs (2)
|
1,495 | (342) | 1,837 | ||||||||||||||||||||||||||||||||
| Miscellaneous income | 1,031 | 1,829 | (798) | ||||||||||||||||||||||||||||||||
| Total other income | $ | 3,097 | $ | 1,541 | $ | 1,556 | |||||||||||||||||||||||||||||
| Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
|
General and Administrative Expenses
|
|||||||||||||||||||||||||||||||||||
|
Salaries, benefits and directors’ compensation
|
$ | 8,796 | $ | 7,185 | $ | 1,611 | |||||||||||||||||||||||||||||
| Professional fees | 847 | 1,773 | (926) | ||||||||||||||||||||||||||||||||
| Other | 1,798 | 1,694 | 104 | ||||||||||||||||||||||||||||||||
| Total general and administrative expenses | $ | 11,441 | $ | 10,652 | $ | 789 | |||||||||||||||||||||||||||||
| Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
|
Operating Expenses
|
|||||||||||||||||||||||||||||||||||
| Operating expenses related to portfolio investments | $ | 4,830 | $ | 3,233 | $ | 1,597 | |||||||||||||||||||||||||||||
| Operating expenses in Consolidated VIEs | 2,924 | — | 2,924 | ||||||||||||||||||||||||||||||||
| Total operating expenses | $ | 7,754 | $ | 3,233 | $ | 4,521 | |||||||||||||||||||||||||||||
| Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
| 2021 | 2020 | $ Change | |||||||||||||||||||||||||||||||||
|
NET INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$ | 41,911 | $ | (598,680) | $ | 640,591 | |||||||||||||||||||||||||||||
| OTHER COMPREHENSIVE INCOME (LOSS) | |||||||||||||||||||||||||||||||||||
|
Increase (decrease) in fair value of available for sale securities
|
|||||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
1,465 | (115,139) | 116,604 | ||||||||||||||||||||||||||||||||
|
CMBS
|
(827) | (20,188) | 19,361 | ||||||||||||||||||||||||||||||||
|
Total
|
638 | (135,327) | 135,965 | ||||||||||||||||||||||||||||||||
|
Reclassification adjustment for net loss (gain) included in net income (loss)
|
2,242 | (6,837) | 9,079 | ||||||||||||||||||||||||||||||||
|
TOTAL OTHER COMPREHENSIVE INCOME (LOSS)
|
2,880 | (142,164) | 145,044 | ||||||||||||||||||||||||||||||||
|
COMPREHENSIVE INCOME (LOSS) ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS
|
$ | 44,791 | $ | (740,844) | $ | 785,635 | |||||||||||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||
| Number of Loans | Unpaid Principal | Fair Value | Number of Loans | Unpaid Principal | Fair Value | ||||||||||||||||||||||||||||||
| Re-performing residential loan strategy | 6,265 | $ | 909,050 | $ | 926,550 | 6,453 | $ | 945,625 | $ | 945,038 | |||||||||||||||||||||||||
| Business purpose loan strategy | 1,420 | 586,942 | 586,340 | 980 | 371,562 | 371,360 | |||||||||||||||||||||||||||||
| Performing residential loan strategy | 2,515 | 490,955 | 481,884 | 2,472 | 476,884 | 465,983 | |||||||||||||||||||||||||||||
| Total | 10,200 | $ | 1,986,947 | $ | 1,994,774 | 9,905 | $ | 1,794,071 | $ | 1,782,381 | |||||||||||||||||||||||||
|
Loan to Value at Purchase (1)
|
March 31, 2021 | December 31, 2020 | |||||||||
| 50.00% or less | 12.6 | % | 13.9 | % | |||||||
| 50.01% - 60.00% | 12.1 | % | 12.2 | % | |||||||
| 60.01% - 70.00% | 25.5 | % | 23.4 | % | |||||||
| 70.01% - 80.00% | 23.5 | % | 21.0 | % | |||||||
| 80.01% - 90.00% | 10.5 | % | 11.9 | % | |||||||
| 90.01% - 100.00% | 8.1 | % | 8.7 | % | |||||||
| 100.01% and over | 7.7 | % | 8.9 | % | |||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| FICO Scores at Purchase | March 31, 2021 | December 31, 2020 | |||||||||
| 550 or less | 16.6 | % | 18.9 | % | |||||||
| 551 to 600 | 14.8 | % | 16.7 | % | |||||||
| 601 to 650 | 14.6 | % | 15.4 | % | |||||||
| 651 to 700 | 16.6 | % | 16.0 | % | |||||||
| 701 to 750 | 17.5 | % | 15.9 | % | |||||||
| 751 to 800 | 15.6 | % | 13.0 | % | |||||||
| 801 and over | 4.3 | % | 4.1 | % | |||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| Current Coupon | March 31, 2021 | December 31, 2020 | |||||||||
| 3.00% or less | 7.1 | % | 6.2 | % | |||||||
| 3.01% - 4.00% | 16.3 | % | 18.8 | % | |||||||
| 4.01% - 5.00% | 25.9 | % | 29.6 | % | |||||||
| 5.01% - 6.00% | 10.1 | % | 11.7 | % | |||||||
| 6.01% and over | 40.6 | % | 33.7 | % | |||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| Delinquency Status | March 31, 2021 | December 31, 2020 | |||||||||
| Current | 87.5 | % | 85.0 | % | |||||||
| 31 – 60 days | 2.9 | % | 3.6 | % | |||||||
| 61 – 90 days | 1.2 | % | 1.9 | % | |||||||
| 90+ days | 8.4 | % | 9.5 | % | |||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| Origination Year | March 31, 2021 | December 31, 2020 | |||||||||
| 2007 or earlier | 41.0 | % | 47.1 | % | |||||||
| 2008 - 2016 | 8.1 | % | 9.3 | % | |||||||
| 2017 | 3.1 | % | 3.8 | % | |||||||
| 2018 | 6.4 | % | 8.0 | % | |||||||
| 2019 | 11.0 | % | 13.4 | % | |||||||
| 2020 | 25.6 | % | 18.4 | % | |||||||
| 2021 | 4.8 | % | — | ||||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| March 31, 2021 | December 31, 2020 | ||||||||||
| Current fair value | $ | 1,211,508 | $ | 1,266,785 | |||||||
| Current unpaid principal balance | $ | 1,203,223 | $ | 1,231,669 | |||||||
| Number of loans | 7,502 | 7,645 | |||||||||
| Current average loan size | $ | 195,705 | $ | 188,532 | |||||||
| Weighted average original loan term (in months) | 351 | 351 | |||||||||
| Weighted average LTV at purchase | 67.0 | % | 67.0 | % | |||||||
| Weighted average credit score at purchase | 705 | 705 | |||||||||
| Current Coupon: | |||||||||||
| 3.00% or less | 2.9 | % | 2.9 | % | |||||||
| 3.01% – 4.00% | 36.4 | % | 36.4 | % | |||||||
| 4.01% – 5.00% | 40.4 | % | 40.2 | % | |||||||
| 5.01% – 6.00% | 12.2 | % | 12.3 | % | |||||||
| 6.01% and over | 8.1 | % | 8.2 | % | |||||||
| Delinquency Status: | |||||||||||
| Current | 62.3 | % | 63.3 | % | |||||||
| 31 - 60 | 12.4 | % | 12.4 | % | |||||||
| 61 - 90 | 4.8 | % | 5.1 | % | |||||||
| 90+ | 20.5 | % | 19.2 | % | |||||||
| Origination Year: | |||||||||||
| 2005 or earlier | 30.9 | % | 30.9 | % | |||||||
| 2006 | 15.4 | % | 15.4 | % | |||||||
| 2007 | 21.0 | % | 20.8 | % | |||||||
| 2008 or later | 32.7 | % | 32.9 | % | |||||||
| Geographic state concentration (greater than 5.0%): | |||||||||||
| California | 10.8 | % | 10.9 | % | |||||||
| Florida | 10.5 | % | 10.5 | % | |||||||
| New York | 9.3 | % | 9.3 | % | |||||||
| New Jersey | 7.2 | % | 7.1 | % | |||||||
| Illinois | 6.8 | % | 6.8 | % | |||||||
| Maximum Aggregate Uncommitted Principal Amount |
Outstanding
Repurchase Agreements (1)
|
Net Deferred Finance Costs (2)
|
Carrying Value of Repurchase Agreements | Fair Value of Loans Pledged | Weighted Average Rate |
Weighted Average Months to Maturity (3)
|
|||||||||||||||||||||||||||||||||||
| March 31, 2021 | $ | 1,456,691 | $ | 538,632 | $ | (1,583) | $ | 537,049 | $ | 742,429 | 2.92 | % | 10.02 | ||||||||||||||||||||||||||||
| December 31, 2020 | $ | 1,301,389 | $ | 407,213 | $ | (1,682) | $ | 405,531 | $ | 575,380 | 2.92 | % | 11.92 | ||||||||||||||||||||||||||||
| Quarter Ended |
Quarterly Average
Balance |
End of Quarter
Balance |
Maximum Balance
at any Month-End |
|||||||||||||||||
| March 31, 2021 | $ | 441,006 | $ | 538,632 | $ | 538,632 | ||||||||||||||
| December 31, 2020 | 415,625 | 407,213 | 425,903 | |||||||||||||||||
| September 30, 2020 | 651,384 | 673,787 | 673,787 | |||||||||||||||||
| June 30, 2020 | 892,422 | 876,923 | 905,776 | |||||||||||||||||
| 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 | |||||||||||||||||
| Outstanding Face Amount | Carrying Value |
Weighted Average Interest Rate (1)
|
Stated Maturity (2)
|
|||||||||||||||||||||||
|
Consolidated SLST (3)
|
$ | 947,719 | $ | 992,288 | 2.75 | % | 2059 | |||||||||||||||||||
| Residential loan securitizations | $ | 537,112 | $ | 533,822 | 3.36 | % | 2025 - 2060 | |||||||||||||||||||
| March 31, 2021 | |||||||||||||||||||||||||||||
| Count |
Fair Value (1) (2)
|
Investment Amount (2)
|
Weighted Average Interest or Preferred Return Rate (3)
|
Weighted Average Remaining Life (Years) | |||||||||||||||||||||||||
| Preferred equity investments | 42 | $ | 332,528 | $ | 331,753 | 11.52 | % | 6.2 | |||||||||||||||||||||
| Mezzanine loans | 1 | 5,143 | 5,084 | 11.50 | % | 31.0 | |||||||||||||||||||||||
|
Preferred equity investment in Consolidated VIE (4)
|
1 | 10,480 | 10,985 | 12.20 | % | 6.9 | |||||||||||||||||||||||
| Total | 44 | $ | 348,151 | $ | 347,822 | 11.54 | % | 6.6 | |||||||||||||||||||||
| December 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 | 45 | $ | 341,266 | $ | 340,871 | 11.53 | % | 6.4 | |||||||||||||||||||||
| Mezzanine loans | 1 | 5,092 | 5,031 | 11.50 | % | 31.3 | |||||||||||||||||||||||
|
Preferred equity investment in Consolidated VIE (4)
|
1 | 9,434 | 9,939 | 11.77 | % | 7.2 | |||||||||||||||||||||||
| Total | 47 | $ | 355,792 | $ | 355,841 | 11.54 | % | 6.7 | |||||||||||||||||||||
| March 31, 2021 | December 31, 2020 | |||||||||||||
| Cash | $ | 895 | $ | 452 | ||||||||||
|
Operating real estate, net (a)
|
50,826 | 50,532 | ||||||||||||
|
Lease intangible, net (a)
|
694 | 1,388 | ||||||||||||
| Other assets | 433 | 1,611 | ||||||||||||
| Total assets | 52,848 | 53,983 | ||||||||||||
|
Mortgage payable, net (b)
|
36,759 | 36,752 | ||||||||||||
| Other liabilities | 614 | 1,426 | ||||||||||||
| Total liabilities | 37,373 | 38,178 | ||||||||||||
| Non-controlling interest in Consolidated VIE | 4,995 | 6,371 | ||||||||||||
| Preferred equity investment in Consolidated VIE | $ | 10,480 | $ | 9,434 | ||||||||||
| Combined Loan to Value at Investment | March 31, 2021 | December 31, 2020 | |||||||||
| 60.01% - 70.00% | 17.1 | % | 16.5 | % | |||||||
| 70.01% - 80.00% | 19.7 | % | 19.0 | % | |||||||
| 80.01% - 90.00% | 61.5 | % | 62.9 | % | |||||||
| 90.01% - 100.00% | 1.7 | % | 1.6 | % | |||||||
| Total | 100.0 | % | 100.0 | % | |||||||
| March 31, 2021 | |||||||||||||||||||||||||||||||||||||||||
| Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||||||
| Investment Securities | Current Par Value | Amortized Cost | Gains | Losses | Fair Value |
Coupon (1)
|
Yield (2)
|
||||||||||||||||||||||||||||||||||
|
Available for Sale (“AFS”)
|
|||||||||||||||||||||||||||||||||||||||||
|
Agency RMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Agency Fixed-Rate
|
$ | 131,365 | $ | 136,491 | $ | — | $ | (4,866) | $ | 131,625 | 2.00 | % | 1.39 | % | |||||||||||||||||||||||||||
|
Total Agency RMBS
|
131,365 | 136,491 | — | (4,866) | 131,625 | 2.00 | % | 1.39 | % | ||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Senior
|
43,411 | 43,457 | 4 | (269) | 43,192 | 4.77 | % | 4.81 | % | ||||||||||||||||||||||||||||||||
|
Mezzanine
|
159,710 | 157,037 | 3,664 | (609) | 160,092 | 4.75 | % | 5.03 | % | ||||||||||||||||||||||||||||||||
|
Subordinated
|
50,648 | 52,216 | 465 | (108) | 52,573 | 4.35 | % | 5.65 | % | ||||||||||||||||||||||||||||||||
|
IO
|
374,911 | 25,674 | — | (9,924) | 15,750 | 0.45 | % | 5.77 | % | ||||||||||||||||||||||||||||||||
|
Total Non-Agency RMBS
|
628,680 | 278,384 | 4,133 | (10,910) | 271,607 | 2.25 | % | 5.17 | % | ||||||||||||||||||||||||||||||||
|
CMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Mezzanine
|
68,719 | 66,913 | 1,889 | (578) | 68,224 | 3.82 | % | 4.09 | % | ||||||||||||||||||||||||||||||||
| Subordinated | 6,000 | 6,000 | 220 | — | 6,220 | 7.37 | % | 7.37 | % | ||||||||||||||||||||||||||||||||
| IO | 12,182,583 | 73,047 | 1,445 | (495) | 73,997 | 0.10 | % | 4.67 | % | ||||||||||||||||||||||||||||||||
|
Total CMBS
|
12,257,302 | 145,960 | 3,554 | (1,073) | 148,441 | 0.12 | % | 4.52 | % | ||||||||||||||||||||||||||||||||
|
ABS
|
|||||||||||||||||||||||||||||||||||||||||
|
Residuals
|
117 | 32,149 | 12,473 | — | 44,622 | — | 19.20 | % | |||||||||||||||||||||||||||||||||
|
Total ABS
|
117 | 32,149 | 12,473 | — | 44,622 | — | 19.20 | % | |||||||||||||||||||||||||||||||||
|
Total - AFS
|
$ | 13,017,464 | $ | 592,984 | $ | 20,160 | $ | (16,849) | $ | 596,295 | 0.42 | % | 4.88 | % | |||||||||||||||||||||||||||
|
Consolidated SLST
|
|||||||||||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Subordinated
|
$ | 255,504 | $ | 213,192 | $ | — | $ | (20,530) | $ | 192,662 | 4.62 | % | 4.79 | % | |||||||||||||||||||||||||||
|
IO
|
203,083 | 29,576 | — | (2,402) | 27,174 | 3.50 | % | 8.83 | % | ||||||||||||||||||||||||||||||||
|
Total Non-Agency RMBS
|
458,587 | 242,768 | — | (22,932) | 219,836 | 4.12 | % | 5.28 | % | ||||||||||||||||||||||||||||||||
|
Total - Consolidated SLST
|
$ | 458,587 | $ | 242,768 | $ | — | $ | (22,932) | $ | 219,836 | 4.12 | % | 5.28 | % | |||||||||||||||||||||||||||
| Total Investment Securities | $ | 13,476,051 | $ | 835,752 | $ | 20,160 | $ | (39,781) | $ | 816,131 | 0.55 | % | 5.00 | % | |||||||||||||||||||||||||||
| December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
| Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||||||
| Investment Securities | Current Par Value | Amortized Cost | Gains | Losses | Fair Value |
Coupon (1)
|
Yield (2)
|
||||||||||||||||||||||||||||||||||
|
Available for Sale (“AFS”)
|
|||||||||||||||||||||||||||||||||||||||||
| Agency RMBS | |||||||||||||||||||||||||||||||||||||||||
| Agency Fixed-Rate | $ | 133,231 | $ | 138,541 | $ | 854 | $ | — | $ | 139,395 | 2.00 | % | 1.38 | % | |||||||||||||||||||||||||||
| Total Agency RMBS | 133,231 | 138,541 | 854 | — | 139,395 | 2.00 | % | 1.38 | % | ||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Senior
|
104,192 | 104,457 | 4 | (1,822) | 102,639 | 4.13 | % | 4.27 | % | ||||||||||||||||||||||||||||||||
|
Mezzanine
|
191,389 | 188,691 | 4,332 | (5,049) | 187,974 | 4.19 | % | 4.80 | % | ||||||||||||||||||||||||||||||||
|
Subordinated
|
48,198 | 48,196 | 170 | — | 48,366 | 4.63 | % | 5.33 | % | ||||||||||||||||||||||||||||||||
|
IO
|
472,049 | 25,976 | — | (9,289) | 16,687 | 0.44 | % | 5.91 | % | ||||||||||||||||||||||||||||||||
|
Total Non-Agency RMBS
|
815,828 | 367,320 | 4,506 | (16,160) | 355,666 | 1.83 | % | 4.74 | % | ||||||||||||||||||||||||||||||||
|
CMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Mezzanine
|
106,153 | 101,221 | 5,440 | (2,276) | 104,385 | 4.24 | % | 4.73 | % | ||||||||||||||||||||||||||||||||
|
Subordinated
|
6,000 | 6,000 | — | (1,080) | 4,920 | 8.00 | % | 8.00 | % | ||||||||||||||||||||||||||||||||
|
IO
|
12,245,039 | 75,233 | 2,277 | (375) | 77,135 | 0.10 | % | 4.53 | % | ||||||||||||||||||||||||||||||||
|
Total CMBS
|
12,357,192 | 182,454 | 7,717 | (3,731) | 186,440 | 0.14 | % | 4.73 | % | ||||||||||||||||||||||||||||||||
|
ABS
|
|||||||||||||||||||||||||||||||||||||||||
|
Residuals
|
113 | 34,139 | 9,086 | — | 43,225 | — | 12.93 | % | |||||||||||||||||||||||||||||||||
|
Total ABS
|
113 | 34,139 | 9,086 | — | 43,225 | — | 12.93 | % | |||||||||||||||||||||||||||||||||
|
Total - AFS
|
$ | 13,306,364 | $ | 722,454 | $ | 22,163 | $ | (19,891) | $ | 724,726 | 0.48 | % | 5.35 | % | |||||||||||||||||||||||||||
|
Consolidated SLST
|
|||||||||||||||||||||||||||||||||||||||||
|
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||||||||||
|
Subordinated
|
$ | 256,651 | $ | 213,593 | $ | — | $ | (29,556) | $ | 184,037 | 4.66 | % | 4.92 | % | |||||||||||||||||||||||||||
|
IO
|
208,932 | 30,708 | — | (2,601) | 28,107 | 3.50 | % | 8.38 | % | ||||||||||||||||||||||||||||||||
|
Total Non-Agency RMBS
|
465,583 | 244,301 | — | (32,157) | 212,144 | 4.13 | % | 5.38 | % | ||||||||||||||||||||||||||||||||
|
Total - Consolidated SLST
|
$ | 465,583 | $ | 244,301 | $ | — | $ | (32,157) | $ | 212,144 | 4.13 | % | 5.38 | % | |||||||||||||||||||||||||||
| Total Investment Securities | $ | 13,771,947 | $ | 966,755 | $ | 22,163 | $ | (52,048) | $ | 936,870 | 0.55 | % | 5.35 | % | |||||||||||||||||||||||||||
| Quarter Ended |
Quarterly Average
Balance |
End of Quarter
Balance |
Maximum Balance
at any Month-End |
|||||||||||||||||
| March 31, 2021 | $ | — | $ | — | $ | — | ||||||||||||||
| December 31, 2020 | — | — | — | |||||||||||||||||
| September 30, 2020 | 29,190 | — | 87,571 | |||||||||||||||||
| June 30, 2020 | 108,529 | 87,571 | 150,445 | |||||||||||||||||
| 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 | |||||||||||||||||
| March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||
| Strategy | Ownership Interest | Fair Value | Ownership Interest | Fair Value | |||||||||||||||||||||||||
|
Morrocroft Neighborhood Stabilization Fund II, LP
|
Single-Family Rental Properties
|
11% | $ | 14,228 | 11% | $ | 13,040 | ||||||||||||||||||||||
|
Headlands Asset Management Fund III (Cayman), LP (Headlands Flagship Opportunity Fund Series I)
|
Residential Loans
|
49% | 60,002 | 49% | 63,290 | ||||||||||||||||||||||||
| Total | $ | 74,230 | $ | 76,330 | |||||||||||||||||||||||||
| Changes in Net Interest Income | ||||||||
| Changes in Interest Rates (basis points) | Changes in Net Interest Income | |||||||
| +200 | $ | (17,681) | ||||||
| +100 | $ | (4,603) | ||||||
| -100 | $ | (319) | ||||||
| Fair Value Changes | ||||||||||||||
| Changes in Interest Rates | Changes in Fair Value | Net Duration | ||||||||||||
| (basis points) | (dollar amounts in thousands) | |||||||||||||
| +200 | $(166,636) | 2.8 | ||||||||||||
| +100 | $(87,860) | 2.9 | ||||||||||||
| Base | 3.0 | |||||||||||||
| -100 | $91,648 | 3.1 | ||||||||||||
|
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.
|
||||||||
| Form of 2021 Performance Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.14 to the Company’s Annual Report on 10-K filed with the Securities and Exchange Commission on February 26, 2021). | ||||||||
| Form of 2021 Restricted Stock Unit Award Agreement (Incorporated by reference to Exhibit 10.15 to the Company’s Annual Report on 10-K filed with the Securities and Exchange Commission on February 26, 2021). | ||||||||
| The Company’s 2021 Annual Incentive Plan. | ||||||||
| Certification of the Chief Executive Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||||||||
| Certification of the Chief Financial Officer Pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||||||||
| Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||||||||
| 101.INS** | XBRL Instance Document - 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, 2021 (formatted in Inline XBRL and contained in Exhibit 101).
|
|||||||
| NEW YORK MORTGAGE TRUST, INC. | |||||||||||
| Date: | May 7, 2021 | By: | /s/ Steven R. Mumma | ||||||||
| Steven R. Mumma | |||||||||||
| Chairman of the Board and Chief Executive Officer | |||||||||||
| (Principal Executive Officer) | |||||||||||
| Date: | May 7, 2021 | By: | /s/ Kristine R. Nario-Eng | ||||||||
| Kristine R. Nario-Eng | |||||||||||
| Chief Financial Officer | |||||||||||
| (Principal Financial and Accounting Officer) | |||||||||||
| Name | Quantitative Component | Qualitative Component | ||||||||||||
|
Steven Mumma
|
75% | 25% | ||||||||||||
|
Jason Serrano
|
75% | 25% | ||||||||||||
|
Nathan Reese
|
75% | 25% | ||||||||||||
|
Kristine Nario-Eng
|
75% | 25% | ||||||||||||
|
All other employees
|
See Appendix | |||||||||||||
| Annual Bonus Award Payout Calculation |
Percentage of Bonus Award Payable as Restricted Stock(1)
|
|||||||
|
Bonus Award Amounts up to 1X of Base Salary
|
10% | |||||||
|
Bonus Award Amounts Exceeding 1X Base Salary
|
65% | |||||||
| Date: | May 7, 2021 | |||||||
| /s/ Steven R. Mumma | ||||||||
| Steven R. Mumma | ||||||||
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer) |
||||||||
| Date: | May 7, 2021 | |||||||
| /s/ Kristine R. Nario-Eng | ||||||||
| Kristine R. Nario-Eng | ||||||||
|
Chief Financial Officer
(Principal Financial and Accounting Officer) |
||||||||
| Date: | May 7, 2021 | |||||||
| /s/ Steven R. Mumma | ||||||||
| Steven R. Mumma | ||||||||
|
Chairman of the Board and Chief Executive Officer
(Principal Executive Officer) |
||||||||
| Date: | May 7, 2021 | |||||||
| /s/ Kristine R. Nario-Eng | ||||||||
| Kristine R. Nario-Eng | ||||||||
|
Chief Financial Officer
(Principal Financial and Accounting Officer) |
||||||||