New York Mortgage Trust, Inc. (Nasdaq:NYMT) (“NYMT,” the “Company,”
“we,” “our” or “us”) today reported results for the three and nine
months ended September 30, 2016.
Summary of Third Quarter 2016:
- Net income attributable to common stockholders of $20.0
million, or $0.18 per share.
- Net interest income of $15.5 million.
- Portfolio net interest margin of 282 basis points.
- Book value per common share of $6.34 at September 30,
2016, delivering an economic return of 3.1% for the quarter and
8.0% for the nine months ended September 30, 2016.
- Sold distressed residential mortgage loans with a carrying
value of approximately $30.4 million for aggregate proceeds of
approximately $37.1 million, which resulted in a net realized
gain, before income taxes, of approximately $6.7 million.
- Funded $32.4 million of preferred equity investments in
multi-family properties.
- Purchased approximately $75.7 million of Non-Agency RMBS backed
by re-performing and non-performing loans bringing our total
investment in Non-Agency RMBS to $175.9 million at
September 30, 2016.
- Declared third quarter dividend of $0.24 per common share that
was paid on October 28, 2016.
Subsequent Developments:
On October 26, 2016, the Company repaid $55.9 million of
outstanding notes from its November 2013 collateralized recourse
financing, which was collateralized by multi-family CMBS issued
from three separate Freddie Mac-sponsored multi-family K-Series
securitizations. In connection with the repayment of the
notes, approximately $181.9 million of multi-family CMBS collateral
value was transferred back to the Company.
Management Overview
Steven Mumma, NYMT’s Chairman and Chief
Executive Officer, commented: “The Company’s investment portfolio
generated solid returns and a stable book value during the quarter,
as evidenced by a total economic return of 3.1% and book value of
$6.34 per share. Overall, portfolio performance benefited
primarily from our multi-family and residential credit assets,
including sales of distressed residential mortgage loans producing
$6.7 million of net realized gains for the quarter.
We continued to transition our portfolio during
the quarter to one increasingly focused on multi-family and
residential credit assets, purchasing $75.7 million of Non-Agency
RMBS backed by distressed residential loans and originating $32.4
million in multi-family preferred equity investments, while further
reducing our capital allocation to Agency RMBS by 9% during the
quarter. Subsequent to the end of the quarter, we also repaid $55.9
million of outstanding notes issued by one of our multi-family CMBS
collateral recourse financings. As a result of the repayment of
this financing, we were able to unlock approximately $181.9 million
of multi-family CMBS that served as collateral. We expect to
securitize these assets again in the near future on terms that will
be more favorable than the terms of the prior financing, which was
originated in November 2013.
On a macro-level, interest rates continued their
volatile but range-bound movements, with the 10-year U.S. Treasury
note yield hitting a historic low in July at 1.36%, only to go back
up to 1.60% by quarter end. The markets in which we compete for
investments continue to be challenging, as asset pricing remains
high due in large part to greater competition for assets. Because
of this, we continue to be diligent in our search for investments
consistent with our goal to deliver attractive risk adjusted
spreads.”
Capital Allocation
The following tables set forth our allocated
capital by investment type at September 30, 2016 and the
related interest income, interest expense, weighted average yield,
average cost of funds and portfolio net interest margin for the
three months ended September 30, 2016 (dollar amounts in
thousands):
|
Capital Allocation at September 30, 2016: |
| |
Agency RMBS |
|
Agency IOs |
|
Multi-Family (1) |
|
Distressed Residential (2) |
|
Residential Securitized Loans |
|
Other (3) |
|
Total |
| Carrying Value |
$ |
479,359 |
|
|
$ |
86,343 |
|
|
$ |
561,207 |
|
|
$ |
679,873 |
|
|
$ |
99,426 |
|
|
$ |
27,415 |
|
|
$ |
1,933,623 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Callable |
(428,597 |
) |
|
(59,763 |
) |
|
(61,555 |
) |
|
(303,838 |
) |
|
— |
|
|
— |
|
|
(853,753 |
) |
| Non-Callable |
— |
|
|
— |
|
|
(83,956 |
) |
|
(148,409 |
) |
|
(96,062 |
) |
|
(45,000 |
) |
|
(373,427 |
) |
| Hedges (Net) (4) |
2,445 |
|
|
10,530 |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
12,975 |
|
| Cash (5) |
4,794 |
|
|
45,190 |
|
|
2,252 |
|
|
— |
|
|
— |
|
|
58,842 |
|
|
111,078 |
|
| Goodwill |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
24,982 |
|
|
24,982 |
|
| Other |
1,481 |
|
|
5,545 |
|
|
(4,005 |
) |
|
31,033 |
|
|
828 |
|
|
(27,280 |
) |
|
7,602 |
|
| Net Capital
Allocated |
$ |
59,482 |
|
|
$ |
87,845 |
|
|
$ |
413,943 |
|
|
$ |
258,659 |
|
|
$ |
4,192 |
|
|
$ |
38,959 |
|
|
$ |
863,080 |
|
| % of Capital
Allocated |
6.9 |
% |
|
10.2 |
% |
|
47.9 |
% |
|
30.0 |
% |
|
0.5 |
% |
|
4.5 |
% |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Interest Spread - Three Months Ended September 30,
2016: |
| Interest Income |
$ |
1,904 |
|
|
$ |
1,222 |
|
|
$ |
10,719 |
|
|
$ |
9,398 |
|
|
$ |
712 |
|
|
$ |
211 |
|
|
$ |
24,166 |
|
| Interest Expense |
(652 |
) |
|
(718 |
) |
|
(2,179 |
) |
|
(3,958 |
) |
|
(322 |
) |
|
(819 |
) |
|
(8,648 |
) |
| Net Interest
Income |
$ |
1,252 |
|
|
$ |
504 |
|
|
$ |
8,540 |
|
|
$ |
5,440 |
|
|
$ |
390 |
|
|
$ |
(608 |
) |
|
$ |
15,518 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Interest
Earning Assets (6) |
$ |
491,843 |
|
|
$ |
118,945 |
|
|
$ |
341,637 |
|
|
$ |
686,122 |
|
|
$ |
108,641 |
|
|
$ |
14,184 |
|
|
$ |
1,761,372 |
|
| Weighted Average Yield
on Interest Earning Assets (7) |
1.55 |
% |
|
4.11 |
% |
|
12.55 |
% |
|
5.48 |
% |
|
2.62 |
% |
|
5.95 |
% |
|
5.49 |
% |
| Less: Average Cost of
Funds (8) |
(0.58 |
)% |
|
(3.98 |
)% |
|
(6.55 |
)% |
|
(3.45 |
)% |
|
(1.24 |
)% |
|
— |
|
|
(2.67 |
)% |
| Portfolio Net Interest
Margin (9) |
0.97 |
% |
|
0.13 |
% |
|
6.00 |
% |
|
2.03 |
% |
|
1.38 |
% |
|
5.95 |
% |
|
2.82 |
% |
(1) The Company through its ownership of
certain securities has determined it is the primary beneficiary of
the Consolidated K-Series and has consolidated the Consolidated
K-Series into the Company’s consolidated financial
statements. Average Interest Earning Assets for the
quarter excludes all Consolidated K-Series assets other than those
securities actually owned by the Company. Interest income amounts
represent interest income earned by securities that are actually
owned by the Company. A reconciliation of net capital allocated to
and interest income from multi-family investments is included below
in “Additional Information.”(2) Includes $501.9 million of
distressed residential mortgage loans and $174.6 million of
Non-Agency RMBS backed by re-performing and non-performing
loans.(3) Other includes investments in unconsolidated
entities amounting to $9.6 million and mortgage loans held for sale
and mortgage loans held for investment totaling $16.5 million.
Mortgage loans held for sale and mortgage loans held for investment
are included in the Company’s accompanying condensed consolidated
balance sheet in receivables and other assets. Other non-callable
liabilities consist of $45.0 million in subordinated
debentures.(4) Includes derivative assets, derivative
liabilities, payable for securities purchased and restricted cash
posted as margin.(5) Includes $41.1 million held in overnight
deposits in our Agency IO portfolio to be used for trading
purposes. These deposits are included in the Company’s accompanying
condensed consolidated balance sheet in receivables and other
assets.(6) Our Average Interest Earning Assets is calculated
each quarter based on daily average amortized cost.(7) Our
Weighted Average Yield on Interest Earning Assets was calculated by
dividing our annualized interest income for the quarter by our
Average Interest Earning Assets for the quarter.(8) Our
Average Cost of Funds was calculated by dividing our annualized
interest expense for the quarter by our average interest bearing
liabilities, excluding subordinated debentures, for the quarter.
Our Average Cost of Funds includes interest expense on our interest
rate swaps.(9) Portfolio Net Interest Margin is the
difference between our Weighted Average Yield on Interest Earning
Assets and our Average Cost of Funds, excluding the weighted
average cost of subordinated debentures.
Prepayment History
The following table sets forth the actual
constant prepayment rates (“CPR”) for selected asset classes, by
quarter, for the quarterly periods indicated. The change in
prepayment rates from the first quarter of 2016 through the third
quarter of 2016 primarily negatively impacted the net interest
income from our Agency IOs.
|
Quarter Ended |
|
Agency ARMs |
|
Agency Fixed Rate |
|
Agency IOs |
|
Non-Agency RMBS |
|
Residential Securitizations |
|
Total Weighted Average |
| September 30, 2016 |
|
20.7 |
% |
|
10.0 |
% |
|
18.2 |
% |
|
21.0 |
% |
|
15.9 |
% |
|
16.1 |
% |
| June 30, 2016 |
|
17.6 |
% |
|
10.2 |
% |
|
15.6 |
% |
|
14.4 |
% |
|
17.8 |
% |
|
14.6 |
% |
| March 31, 2016 |
|
13.5 |
% |
|
7.9 |
% |
|
14.7 |
% |
|
12.9 |
% |
|
14.8 |
% |
|
12.7 |
% |
| December 31, 2015 |
|
16.9 |
% |
|
8.5 |
% |
|
14.6 |
% |
|
15.3 |
% |
|
31.2 |
% |
|
14.7 |
% |
| September 30, 2015 |
|
18.6 |
% |
|
10.5 |
% |
|
18.0 |
% |
|
12.5 |
% |
|
8.9 |
% |
|
15.1 |
% |
| June 30, 2015 |
|
9.2 |
% |
|
10.6 |
% |
|
16.3 |
% |
|
12.5 |
% |
|
11.1 |
% |
|
13.3 |
% |
| March 31, 2015 |
|
9.1 |
% |
|
6.5 |
% |
|
14.7 |
% |
|
15.5 |
% |
|
13.7 |
% |
|
11.5 |
% |
| December 31, 2014 |
|
12.3 |
% |
|
6.5 |
% |
|
14.6 |
% |
|
13.7 |
% |
|
5.4 |
% |
|
11.1 |
% |
| September 30, 2014 |
|
20.5 |
% |
|
9.2 |
% |
|
15.2 |
% |
|
18.7 |
% |
|
5.4 |
% |
|
13.1 |
% |
| June 30, 2014 |
|
9.9 |
% |
|
6.7 |
% |
|
12.7 |
% |
|
10.5 |
% |
|
7.0 |
% |
|
10.1 |
% |
Earnings Summary
For the quarter ended September 30, 2016,
we reported net income attributable to common stockholders of $20.0
million, an increase of $8.8 million from the second quarter of
2016.
We generated net interest income of $15.5
million and portfolio net interest margin of 282 basis points, a
decrease of $1.1 million and 39 basis points, respectively, from
the second quarter of 2016. The decrease was primarily driven
by:
- A decrease in net interest income of $1.4 million from our
Agency IO portfolio due to an increase in prepayment rates and
increase in financing costs.
- A decrease in net interest income of approximately $0.3 million
in our distressed residential portfolio due to an
increase in interest expense of $0.6 million resulting
from an increase in average liabilities during the period.
This was partially offset by an increase in interest income of $0.3
million due to investments made in Non-Agency RMBS backed by
re-performing and non-performing loans during the second
quarter.
- An increase in net interest income of $0.6 million from our
multi-family portfolio due to an increase in average interest
earning multi-family assets during the third quarter. The
increase in average interest earning multi-family assets can be
attributed to new multi-family preferred equity investments made
during the third quarter. In addition, yield on the interest
earning assets in our multi-family portfolio increased during the
period and average cost of funds decreased during the quarter.
For the quarter ended September 30, 2016,
we recognized other income of $16.6 million, primarily from the
following:
- Unrealized gains amounting to $0.7 million recognized on our
multi-family loans and debt held in securitization trusts.
- Realized gains of $2.3 million and unrealized gains of $1.6
million on our investment securities and related hedges, primarily
related to our Agency IO portfolio.
- Net realized gains of $6.4 million recognized on our distressed
residential mortgage loans primarily resulting from the sale of
pools of distressed residential mortgage loans.
- Other income of $5.6 million, which primarily included income
from our investments in unconsolidated entities during the
period.
The following table details the general,
administrative and other expenses incurred during the second and
third quarters of 2016:
| |
|
Three Months Ended |
|
General, Administrative and Other Expenses |
|
September 30, 2016 |
June 30, 2016 |
| Salaries, benefits and
directors’ compensation |
|
$ |
2,705 |
|
$ |
2,763 |
|
| Professional fees |
|
1,024 |
|
709 |
|
| Base management and
incentive fees |
|
1,453 |
|
2,979 |
|
| Expenses on distressed
residential mortgage loans |
|
2,398 |
|
2,740 |
|
| Other |
|
1,125 |
|
745 |
|
| Total |
|
$ |
8,705 |
|
$ |
9,936 |
|
Total general, administrative and other expenses
for the third quarter of 2016 were approximately $8.7 million, down
from $9.9 million for the second quarter of 2016. The $1.5 million
decrease in the Company's management and incentive fees is
primarily due to a change in methodology of calculation of
management fees on our distressed residential mortgage loan
portfolio from 1.5% of assets under management to 1.5% of invested
capital beginning in the third quarter of 2016 and the
internalization of RiverBanc into the Company in May 2016.
Analysis of Changes in Book Value
The following table analyzes the changes in book
value of our common stock for the quarter ended September 30,
2016 (amounts in thousands, except per share):
| |
Quarter Ended September 30, 2016 |
| |
Amount |
|
Shares |
|
Per Share(1) |
| Beginning
Balance |
$ |
698,967 |
|
|
109,569 |
|
|
$ |
6.38 |
|
| Common stock issuance,
net |
287 |
|
|
— |
|
|
|
| Balance after share
issuance activity |
699,254 |
|
|
109,569 |
|
|
6.38 |
|
| Dividends declared |
(26,297 |
) |
|
|
|
(0.24 |
) |
| Net change AOCI:
(2) |
|
|
|
|
|
| Hedges |
521 |
|
|
|
|
— |
|
| RMBS |
1,415 |
|
|
|
|
0.02 |
|
| CMBS |
54 |
|
|
|
|
— |
|
| Net income attributable to common
stockholders |
20,043 |
|
|
|
|
0.18 |
|
| Ending
Balance |
$ |
694,990 |
|
|
109,569 |
|
|
$ |
6.34 |
|
(1) Outstanding shares used to calculate book value per
share for the ending balance is based on outstanding shares as of
September 30, 2016 of 109,569,315.(2) Accumulated other
comprehensive income (“AOCI”).
Conference Call
On Wednesday, November 2, 2016 at 9:00 a.m.,
Eastern Time, New York Mortgage Trust's executive management is
scheduled to host a conference call and audio webcast to discuss
the Company’s financial results for the three and nine months ended
September 30, 2016. The conference call dial-in number is
(877) 312-8806. The replay will be available until Wednesday,
November 9, 2016 and can be accessed by dialing (855) 859-2056 and
entering passcode 4766254. A live audio webcast of the conference
call can be accessed via the Internet, on a listen-only basis, at
the Company's website at http://www.nymtrust.com. Please
allow extra time, prior to the call, to visit the site and download
the necessary software to listen to the Internet broadcast.
Third quarter 2016 financial and operating data
can be viewed in the Company’s Quarterly Report on Form 10-Q, which
is expected to be filed with the Securities and Exchange Commission
on or about November 3, 2016. A copy of the Form 10-Q will be
posted at the Company’s website as soon as reasonably practicable
following its filing with the Securities and Exchange
Commission.
About New York Mortgage Trust
New York Mortgage Trust, Inc. is a Maryland
corporation that has elected to be taxed as a real estate
investment trust for federal income tax purposes (“REIT”). NYMT is
an internally managed REIT which invests in mortgage-related and
financial assets and targets residential mortgage loans, including
second mortgages and loans sourced from distressed markets,
multi-family CMBS, direct financing to owners of multi-family
properties through mezzanine loans and preferred equity investments
and other commercial real estate-related investments and Non-Agency
RMBS backed by re-performing and non-performing loans. The
Midway Group, L.P. and Headlands Asset Management, LLC provide
investment management services to the Company with respect to
certain of its asset classes. Prior to the Company's acquisition of
RiverBanc on May 16, 2016, RiverBanc provided investment management
services to the Company with respect to its investments in
multi-family CMBS and certain commercial real estate-related
investments. For a list of defined terms used from time to
time in this press release, see “Defined Terms” below.
Defined Terms
The following defines certain of the commonly
used terms in this press release: “RMBS” refers to residential
mortgage-backed securities comprised of adjustable-rate, hybrid
adjustable-rate, fixed-rate, interest only and inverse interest
only, and principal only securities; “Agency RMBS” refers to RMBS
representing interests in or obligations backed by pools of
residential mortgage loans issued or guaranteed by a federally
chartered corporation ("GSE"), such as the Federal National
Mortgage Association (“Fannie Mae”) or the Federal Home Loan
Mortgage Corporation (“Freddie Mac”), or an agency of the U.S.
government, such as the Government National Mortgage Association
(“Ginnie Mae”); "Non-Agency RMBS" refers to RMBS backed by prime
jumbo mortgage loans including re-performing and non-performing
loans; “Agency ARMs” refers to Agency RMBS comprised of
adjustable-rate and hybrid adjustable-rate RMBS; "Agency fixed-rate
RMBS" refers to Agency RMBS comprised of fixed-rate RMBS; “IOs”
refers collectively to interest only and inverse interest only
mortgage-backed securities that represent the right to the interest
component of the cash flow from a pool of mortgage loans; “Agency
IOs” refers to an IO that represents the right to the interest
component of cash flow from a pool of residential mortgage loans
issued or guaranteed by a GSE, or an agency of the U.S. government;
“POs” refers to mortgage-backed securities that represent the right
to the principal component of the cash flow from a pool of mortgage
loans; “ARMs” refers to adjustable-rate residential mortgage loans;
“residential securitized loans” refers to prime credit quality
residential ARM loans held in securitization trusts; “distressed
residential mortgage loans” refers to pools of performing,
re-performing and to a lesser extent non-performing, fixed-rate and
adjustable-rate, fully amortizing, interest-only and balloon,
seasoned mortgage loans secured by first liens on one- to
four-family properties; “CMBS” refers to commercial mortgage-backed
securities comprised of commercial mortgage pass-through
securities, as well as IO or PO securities that represent the right
to a specific component of the cash flow from a pool of commercial
mortgage loans; “multi-family CMBS” refers to CMBS backed by
commercial mortgage loans on multi-family properties; “multi-family
securitized loans” refers to the commercial mortgage loans included
in the Consolidated K-Series; “CDO” refers to collateralized debt
obligation; “CLO” refers to collateralized loan obligation; and
"Consolidated K-Series” refers to five separate Freddie Mac-
sponsored multi-family loan K-Series securitizations.
Additional Information
We determined that the Consolidated K-Series
were variable interest entities and that we are the primary
beneficiary of the Consolidated K-Series. As a result, we are
required to consolidate the Consolidated K-Series’ underlying
multi-family loans including their liabilities, income and expenses
in our condensed consolidated financial statements. We have elected
the fair value option on the assets and liabilities held within the
Consolidated K-Series, which requires that changes in valuations in
the assets and liabilities of the Consolidated K-Series be
reflected in our condensed consolidated statements of
operations.
A reconciliation of our net capital allocated to
multi-family investments to our condensed consolidated financial
statements as of September 30, 2016 is set forth below (dollar
amounts in thousands):
| Multi-family loans held
in securitization trusts, at fair value |
$ |
7,221,402 |
|
| Multi-family CDOs, at
fair value |
(6,913,855 |
) |
| Net carrying value |
307,547 |
|
| Investment securities
available for sale, at fair value |
66,141 |
|
| Total CMBS, at fair
value |
373,688 |
|
| Mezzanine loan,
preferred equity investments and investments in unconsolidated
entities |
171,138 |
|
| Real estate under
development |
16,381 |
|
| Financing
arrangements |
(61,555 |
) |
| Securitized debt |
(83,956 |
) |
| Cash and other |
(1,753 |
) |
| Net Capital in
Multi-Family |
$ |
413,943 |
|
A reconciliation of our interest income in
multi-family investments to our condensed consolidated financial
statements for the three months ended September 30, 2016 is
set forth below (dollar amounts in thousands):
|
|
Three Months Ended September 30, 2016 |
| Interest income,
multi-family loans held in securitization trusts |
$ |
62,126 |
|
| Interest income,
investment securities, available for sale (1) |
1,281 |
|
| Interest income,
mezzanine loan and preferred equity investments (1) |
2,671 |
|
| Interest expense,
multi-family collateralized obligation |
55,359 |
|
| Interest income,
Multi-Family, net |
10,719 |
|
| Interest expense,
investment securities, available for sale |
609 |
|
| Interest expense,
securitized debt |
1,570 |
|
| Net interest income,
Multi-Family |
$ |
8,540 |
|
(1) Included in the Company’s accompanying
condensed consolidated statements of operations in interest income,
investment securities and other.
Cautionary Statement Regarding
Forward-Looking Statements
When used in this press release, in future
filings with the Securities and Exchange Commission (“SEC”) or in
other written or oral communications, statements which are not
historical in nature, including those containing words such as
“believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,”
“intend,” “should,” “would,” “could,” “goal,” “objective,” “will,”
“may” or similar expressions, are intended to identify
“forward-looking statements” within the meaning of Section 27A of
the Securities Act of 1933, as amended, and Section 21E of the
Securities Exchange Act of 1934, as amended, and, as such, may
involve known and unknown risks, uncertainties and assumptions.
Forward-looking statements are based on the
Company’s beliefs, assumptions and expectations of its future
performance, taking into account all information currently
available to it. These beliefs, assumptions and expectations are
subject to risks and uncertainties and can change as a result of
many possible events or factors, not all of which are known to the
Company. If a change occurs, the Company’s business, financial
condition, liquidity and results of operations may vary materially
from those expressed in its forward-looking statements. The
following factors are examples of those that could cause actual
results to vary from the Company’s forward-looking statements:
changes in interest rates and the market value of the Company’s
securities; changes in credit spreads; the impact of the downgrade
of the long-term credit ratings of the U.S., Fannie Mae, Freddie
Mac, and Ginnie Mae; market volatility; changes in the prepayment
rates on the mortgage loans underlying the Company’s investment
securities; increased rates of default and/or decreased recovery
rates on the Company's assets; increased rates of default and/or
decreased recovery rates on the Company’s assets; the Company’s
ability to borrow to finance its assets and the terms thereof;
changes in governmental laws, regulations or policies affecting the
Company’s business; changes in the Company's relationships with its
external managers; the Company’s ability to maintain its
qualification as a REIT for federal tax purposes; the Company’s
ability to maintain its exemption from registration under the
Investment Company Act of 1940, as amended; and risks associated
with investing in real estate assets, including changes in business
conditions and the general economy. These and other risks,
uncertainties and factors, including the risk factors described in
the Company’s periodic reports filed with the SEC, could cause the
Company’s actual results to differ materially from those projected
in any forward-looking statements it makes. All forward-looking
statements speak only as of the date on which they are made. New
risks and uncertainties arise over time and it is not possible to
predict those events or how they may affect the Company. Except as
required by law, the Company is not obligated to, and does not
intend to, update or revise any forward-looking statements, whether
as a result of new information, future events or otherwise.
FINANCIAL TABLES FOLLOW
NEW YORK MORTGAGE TRUST, INC. AND
SUBSIDIARIESCONDENSED CONSOLIDATED BALANCE
SHEETS(Dollar amounts in thousands, except share
data)
| |
September 30, 2016 |
|
December 31, 2015 |
| |
(unaudited) |
|
|
|
ASSETS |
|
|
|
| Investment securities,
available for sale, at fair value (including $43,074 and $40,734
held in securitization trusts as of September 30, 2016 and December
31, 2015, respectively and pledged securities of $712,064 and
$639,683, as of September 30, 2016 and December 31, 2015,
respectively) |
$ |
807,702 |
|
|
$ |
765,454 |
|
| Residential mortgage
loans held in securitization trusts, net |
99,426 |
|
|
119,921 |
|
| Distressed residential
mortgage loans, net (including $204,275 and $114,214 held in
securitization trusts) |
501,881 |
|
|
558,989 |
|
| Multi-family loans held
in securitization trusts, at fair value |
7,221,402 |
|
|
7,105,336 |
|
| Derivative assets |
291,318 |
|
|
228,775 |
|
| Cash and cash
equivalents |
65,282 |
|
|
61,959 |
|
| Investment in
unconsolidated entities |
81,284 |
|
|
87,662 |
|
| Mezzanine loan and
preferred equity investments |
99,477 |
|
|
44,151 |
|
| Goodwill |
24,982 |
|
|
— |
|
| Receivables and other
assets |
168,572 |
|
|
83,995 |
|
| Total Assets
(1) |
$ |
9,361,326 |
|
|
$ |
9,056,242 |
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
Liabilities: |
|
|
|
| Financing arrangements,
portfolio investments |
$ |
671,774 |
|
|
$ |
577,413 |
|
| Financing arrangements,
residential mortgage loans |
181,979 |
|
|
212,155 |
|
| Residential
collateralized debt obligations |
96,062 |
|
|
116,710 |
|
| Multi-family
collateralized debt obligations, at fair value |
6,913,855 |
|
|
6,818,901 |
|
| Securitized debt |
232,365 |
|
|
116,541 |
|
| Derivative
liabilities |
1,788 |
|
|
1,500 |
|
| Payable for securities
purchased |
290,833 |
|
|
227,969 |
|
| Accrued expenses and
other liabilities |
64,590 |
|
|
59,527 |
|
| Subordinated
debentures |
45,000 |
|
|
45,000 |
|
| Total
liabilities (1) |
$ |
8,498,246 |
|
|
$ |
8,175,716 |
|
| Commitments and
Contingencies |
|
|
|
| Stockholders'
Equity: |
|
|
|
| Preferred stock, $0.01
par value, 7.75% Series B cumulative redeemable, $25 liquidation
preference per share, 6,000,000 shares authorized, 3,000,000 shares
issued and outstanding |
$ |
72,397 |
|
|
$ |
72,397 |
|
| Preferred stock, $0.01
par value, 7.875% Series C cumulative redeemable, $25 liquidation
preference per share, 4,140,000 shares authorized, 3,600,000 shares
issued and outstanding |
86,862 |
|
|
86,862 |
|
| Common stock, $0.01 par
value, 400,000,000 shares authorized, 109,569,315 and 109,401,721
shares issued and outstanding as of September 30, 2016 and December
31, 2015, respectively |
1,096 |
|
|
1,094 |
|
| Additional paid-in
capital |
735,507 |
|
|
734,610 |
|
| Accumulated other
comprehensive income (loss) |
9,584 |
|
|
(2,854 |
) |
| Accumulated
deficit |
(45,456 |
) |
|
(11,583 |
) |
| Company's stockholders'
equity |
$ |
859,990 |
|
|
$ |
880,526 |
|
| Non-controlling
interest |
$ |
3,090 |
|
|
$ |
— |
|
| Total equity |
$ |
863,080 |
|
|
$ |
880,526 |
|
| Total
Liabilities and Stockholders' Equity |
$ |
9,361,326 |
|
|
$ |
9,056,242 |
|
(1) Our condensed consolidated
balance sheets include assets and liabilities of consolidated
variable interest entities ("VIEs") as the Company is the primary
beneficiary of these VIEs. As of September 30, 2016 and
December 31, 2015, assets of consolidated VIEs totaled
$7,631,478 and $7,413,082, respectively, and the liabilities of
consolidated VIEs totaled $7,267,689 and $7,077,175,
respectively.
NEW YORK MORTGAGE TRUST, INC. AND
SUBSIDIARIESCONDENSED CONSOLIDATED STATEMENTS OF
OPERATIONS(Dollar amounts in thousands, except per
share data)(unaudited)
| |
For the Three Months Ended September
30, |
|
For the Nine Months Ended September
30, |
| |
2016 |
|
2015 |
|
2016 |
|
2015 |
| INTEREST INCOME: |
|
|
|
|
|
|
|
| Investment securities and
other |
$ |
8,587 |
|
|
$ |
6,792 |
|
|
$ |
25,612 |
|
|
$ |
28,332 |
|
| Multi-family loans held in
securitization trusts |
62,126 |
|
|
63,431 |
|
|
187,427 |
|
|
192,715 |
|
| Residential mortgage loans held in
securitization trusts |
947 |
|
|
875 |
|
|
2,705 |
|
|
2,950 |
|
| Distressed residential mortgage
loans |
7,865 |
|
|
11,489 |
|
|
25,173 |
|
|
31,975 |
|
| Total interest income |
|
79,525 |
|
|
|
82,587 |
|
|
|
240,917 |
|
|
|
255,972 |
|
| |
|
|
|
|
|
|
|
| INTEREST EXPENSE: |
|
|
|
|
|
|
|
| Investment securities and
other |
|
4,598 |
|
|
|
3,432 |
|
|
|
12,409 |
|
|
|
10,337 |
|
| Multi-family collateralized debt
obligations |
55,359 |
|
|
57,388 |
|
|
167,783 |
|
|
174,475 |
|
| Residential collateralized debt
obligations |
322 |
|
|
219 |
|
|
937 |
|
|
679 |
|
| Securitized debt |
3,209 |
|
|
2,782 |
|
|
8,436 |
|
|
8,883 |
|
| Subordinated debentures |
519 |
|
|
474 |
|
|
1,528 |
|
|
1,402 |
|
| Total interest expense |
64,007 |
|
|
64,295 |
|
|
191,093 |
|
|
195,776 |
|
| |
|
|
|
|
|
|
|
| NET INTEREST
INCOME |
15,518 |
|
|
18,292 |
|
|
49,824 |
|
|
60,196 |
|
| |
|
|
|
|
|
|
|
| OTHER INCOME
(LOSS): |
|
|
|
|
|
|
|
| (Provision) recovery for loan
losses |
(26 |
) |
|
(1,117 |
) |
|
661 |
|
|
(1,664 |
) |
| Realized gain (loss) on investment
securities and related hedges, net |
2,306 |
|
|
(2,895 |
) |
|
5,333 |
|
|
(3,062 |
) |
| Gain on de-consolidation of
multi-family loans held in securitization trust and multi-family
collateralized debt obligations |
— |
|
|
— |
|
|
— |
|
|
1,483 |
|
| Realized gain on distressed
residential mortgage loans |
6,416 |
|
|
27,224 |
|
|
11,990 |
|
|
31,514 |
|
| Unrealized gain (loss) on
investment securities and related hedges, net |
1,563 |
|
|
(2,631 |
) |
|
(1,594 |
) |
|
(3,643 |
) |
| Unrealized gain on multi-family
loans and debt held in securitization trusts, net |
738 |
|
|
(2,170 |
) |
|
2,340 |
|
|
16,876 |
|
| Other income |
5,635 |
|
|
1,807 |
|
|
16,833 |
|
|
6,393 |
|
| Total other income |
16,632 |
|
|
20,218 |
|
|
35,563 |
|
|
47,897 |
|
| |
|
|
|
|
|
|
|
| Base management and incentive
fees |
1,453 |
|
|
3,676 |
|
|
7,958 |
|
|
14,687 |
|
| Expenses related to distressed
residential mortgage loans |
2,398 |
|
|
3,261 |
|
|
8,332 |
|
|
7,827 |
|
| Other general and administrative
expenses |
4,854 |
|
|
2,893 |
|
|
11,711 |
|
|
7,302 |
|
| Total general, administrative and
other expenses |
8,705 |
|
|
9,830 |
|
|
28,001 |
|
|
29,816 |
|
| |
|
|
|
|
|
|
|
| INCOME FROM OPERATIONS
BEFORE INCOME TAXES |
23,445 |
|
|
28,680 |
|
|
57,386 |
|
|
78,277 |
|
| Income tax expense |
163 |
|
|
3,048 |
|
|
2,720 |
|
|
4,471 |
|
| NET INCOME |
|
23,282 |
|
|
|
25,632 |
|
|
|
54,666 |
|
|
|
73,806 |
|
| Net income attributable
to non-controlling interest |
(14 |
) |
|
— |
|
|
(12 |
) |
|
— |
|
| NET INCOME ATTRIBUTABLE
TO COMPANY |
|
23,268 |
|
|
|
25,632 |
|
|
|
54,654 |
|
|
|
73,806 |
|
| Preferred stock
dividends |
(3,225 |
) |
|
(3,225 |
) |
|
(9,675 |
) |
|
(7,765 |
) |
| NET INCOME ATTRIBUTABLE
TO COMPANY'S COMMON STOCKHOLDERS |
$ |
20,043 |
|
|
$ |
22,407 |
|
|
$ |
44,979 |
|
|
$ |
66,041 |
|
| |
|
|
|
|
|
|
|
| Basic income per common
share |
$ |
0.18 |
|
|
$ |
0.20 |
|
|
$ |
0.41 |
|
|
$ |
0.61 |
|
| Diluted income per
common share |
$ |
0.18 |
|
|
$ |
0.20 |
|
|
$ |
0.41 |
|
|
$ |
0.61 |
|
| Weighted average shares
outstanding-basic |
109,569 |
|
|
109,402 |
|
|
109,487 |
|
|
108,061 |
|
| Weighted average shares
outstanding-diluted |
109,569 |
|
|
109,402 |
|
|
109,487 |
|
|
108,061 |
|
NEW YORK MORTGAGE TRUST, INC. AND
SUBSIDIARIESSUMMARY OF QUARTERLY
EARNINGS(Dollar amounts in thousands, except per
share data)(unaudited)
| |
For the Three Months Ended |
| |
September 30, 2016 |
June 30, 2016 |
|
March 31, 2016 |
|
December 31, 2015 |
|
September 30, 2015 |
| Net interest
income |
$ |
15,518 |
|
$ |
16,664 |
|
|
$ |
17,642 |
|
|
$ |
15,991 |
|
|
$ |
18,292 |
|
| Total other income
(loss) |
16,632 |
|
10,071 |
|
|
8,860 |
|
|
(2,055 |
) |
|
20,218 |
|
| Total general,
administrative and other expenses |
8,705 |
|
9,936 |
|
|
9,360 |
|
|
9,665 |
|
|
9,830 |
|
| Income from operations
before income taxes |
23,445 |
|
16,799 |
|
|
17,142 |
|
|
4,271 |
|
|
28,680 |
|
| Income tax expense |
163 |
|
2,366 |
|
|
191 |
|
|
64 |
|
|
3,048 |
|
| Net income |
23,282 |
|
14,433 |
|
|
16,951 |
|
|
4,207 |
|
|
25,632 |
|
| Net (income) loss
attributable to non-controlling interest |
(14 |
) |
2 |
|
|
— |
|
|
— |
|
|
— |
|
| Net income attributable
to Company |
23,268 |
|
14,435 |
|
|
16,951 |
|
|
4,207 |
|
|
25,632 |
|
| Preferred stock
dividends |
(3,225 |
) |
(3,225 |
) |
|
(3,225 |
) |
|
(3,225 |
) |
|
(3,225 |
) |
| Net income attributable
to Company's common stockholders |
20,043 |
|
11,210 |
|
|
13,726 |
|
|
982 |
|
|
22,407 |
|
| Basic income per common
share |
$ |
0.18 |
|
$ |
0.10 |
|
|
$ |
0.13 |
|
|
$ |
0.01 |
|
|
$ |
0.20 |
|
| Diluted income per
common share |
$ |
0.18 |
|
$ |
0.10 |
|
|
$ |
0.13 |
|
|
$ |
0.01 |
|
|
$ |
0.20 |
|
| Weighted average shares
outstanding - basic |
109,569 |
|
109,489 |
|
|
109,402 |
|
|
109,402 |
|
|
109,402 |
|
| Weighted average shares
outstanding - diluted |
109,569 |
|
109,489 |
|
|
109,402 |
|
|
109,402 |
|
|
109,402 |
|
| |
|
|
|
|
|
|
|
|
| Book value per common
share |
$ |
6.34 |
|
$ |
6.38 |
|
|
$ |
6.49 |
|
|
$ |
6.54 |
|
|
$ |
6.82 |
|
| Dividends declared per
common share |
$ |
0.24 |
|
$ |
0.24 |
|
|
$ |
0.24 |
|
|
$ |
0.24 |
|
|
$ |
0.24 |
|
| Dividends declared per
preferred share on Series B Preferred Stock |
$ |
0.484375 |
|
$ |
0.484375 |
|
|
$ |
0.484375 |
|
|
$ |
0.484375 |
|
|
$ |
0.484375 |
|
| Dividends declared per
preferred share on Series C Preferred Stock |
$ |
0.4921875 |
|
$ |
0.4921875 |
|
|
$ |
0.4921875 |
|
|
$ |
0.4921875 |
|
|
$ |
0.4921875 |
|
Capital Allocation Summary
The following tables set forth our allocated
capital by investment type and the related weighted average yield
on interest earning assets, average cost of funds and portfolio net
interest margin for the periods indicated (dollar amounts in
thousands):
| |
Agency RMBS |
|
Agency IOs |
|
Multi-Family |
|
Distressed Residential |
|
Residential Securitized
Loans |
|
Other |
|
Total |
| At September
30, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrying value |
$ |
479,359 |
|
|
$ |
86,343 |
|
|
$ |
561,207 |
|
|
$ |
679,873 |
|
|
$ |
99,426 |
|
|
$ |
27,415 |
|
|
$ |
1,933,623 |
|
| Net capital allocated |
$ |
59,482 |
|
|
$ |
87,845 |
|
|
$ |
413,943 |
|
|
$ |
258,659 |
|
|
$ |
4,192 |
|
|
$ |
38,959 |
|
|
$ |
863,080 |
|
| Three Months
Ended September 30, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average interest earning
assets |
$ |
491,843 |
|
|
$ |
118,945 |
|
|
$ |
341,637 |
|
|
$ |
686,122 |
|
|
$ |
108,641 |
|
|
$ |
14,184 |
|
|
$ |
1,761,372 |
|
| Weighted average yield on interest
earning assets |
1.55 |
% |
|
4.11 |
% |
|
12.55 |
% |
|
5.48 |
% |
|
2.62 |
% |
|
5.95 |
% |
|
5.49 |
% |
| Less: Average cost of funds |
(0.58 |
)% |
|
(3.98 |
)% |
|
(6.55 |
)% |
|
(3.45 |
)% |
|
(1.24 |
)% |
|
— |
|
|
(2.67 |
)% |
| Portfolio net interest margin |
0.97 |
% |
|
0.13 |
% |
|
6.00 |
% |
|
2.03 |
% |
|
1.38 |
% |
|
5.95 |
% |
|
2.82 |
% |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| At June 30,
2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrying value |
$ |
507,294 |
|
|
$ |
114,007 |
|
|
$ |
519,341 |
|
|
$ |
655,968 |
|
|
$ |
106,173 |
|
|
$ |
24,015 |
|
|
$ |
1,926,798 |
|
| Net capital allocated |
$ |
69,961 |
|
|
$ |
92,471 |
|
|
$ |
431,084 |
|
|
$ |
256,619 |
|
|
$ |
4,320 |
|
|
$ |
12,588 |
|
|
$ |
867,043 |
|
| Three Months
Ended June 30, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average interest earning
assets |
$ |
522,651 |
|
|
$ |
132,453 |
|
|
$ |
315,531 |
|
|
$ |
595,455 |
|
|
$ |
116,258 |
|
|
$ |
9,196 |
|
|
$ |
1,691,544 |
|
| Weighted average yield on interest
earning assets |
1.62 |
% |
|
8.18 |
% |
|
12.35 |
% |
|
6.11 |
% |
|
2.58 |
% |
|
5.39 |
% |
|
5.80 |
% |
| Less: Average cost of funds |
(0.71 |
)% |
|
(2.51 |
)% |
|
(6.73 |
)% |
|
(3.90 |
)% |
|
(1.13 |
)% |
|
— |
|
|
(2.59 |
)% |
| Portfolio net interest margin |
0.91 |
% |
|
5.67 |
% |
|
5.62 |
% |
|
2.21 |
% |
|
1.45 |
% |
|
5.39 |
% |
|
3.21 |
% |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| At March 31,
2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrying value |
$ |
531,572 |
|
|
$ |
188,251 |
|
|
$ |
473,745 |
|
|
$ |
555,233 |
|
|
$ |
113,186 |
|
|
$ |
18,899 |
|
|
$ |
1,880,886 |
|
| Net capital allocated |
$ |
78,387 |
|
|
$ |
101,895 |
|
|
$ |
383,733 |
|
|
$ |
350,150 |
|
|
$ |
4,295 |
|
|
$ |
(43,452 |
) |
|
$ |
875,008 |
|
| Three Months
Ended March 31, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average interest earning
assets |
$ |
573,605 |
|
|
$ |
137,546 |
|
|
$ |
286,051 |
|
|
$ |
563,001 |
|
|
$ |
121,152 |
|
|
$ |
5,420 |
|
|
$ |
1,686,775 |
|
| Weighted average yield on interest
earning assets |
1.71 |
% |
|
10.58 |
% |
|
12.09 |
% |
|
6.30 |
% |
|
2.46 |
% |
|
5.83 |
% |
|
5.79 |
% |
| Less: Average cost of funds |
(0.95 |
)% |
|
(2.48 |
)% |
|
(7.29 |
)% |
|
(4.18 |
)% |
|
(1.05 |
)% |
|
— |
|
|
(2.46 |
)% |
| Portfolio net interest margin |
0.76 |
% |
|
8.10 |
% |
|
4.80 |
% |
|
2.12 |
% |
|
1.41 |
% |
|
5.83 |
% |
|
3.33 |
% |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| At December 31,
2015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrying value |
$ |
547,745 |
|
|
$ |
175,408 |
|
|
$ |
450,228 |
|
|
$ |
562,303 |
|
|
$ |
119,921 |
|
|
$ |
15,184 |
|
|
$ |
1,870,789 |
|
| Net capital allocated |
$ |
76,277 |
|
|
$ |
108,333 |
|
|
$ |
364,697 |
|
|
$ |
328,037 |
|
|
$ |
4,398 |
|
|
$ |
(1,216 |
) |
|
$ |
880,526 |
|
| Three Months
Ended December 31, 2015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average interest earning
assets |
$ |
593,905 |
|
|
$ |
135,430 |
|
|
$ |
281,334 |
|
|
$ |
545,504 |
|
|
$ |
133,721 |
|
|
$ |
2,788 |
|
|
$ |
1,692,682 |
|
| Weighted average yield on interest
earning assets |
1.67 |
% |
|
9.40 |
% |
|
12.19 |
% |
|
5.41 |
% |
|
2.17 |
% |
|
4.02 |
% |
|
5.29 |
% |
| Less: Average cost of funds |
(0.90 |
)% |
|
(1.30 |
)% |
|
(7.12 |
)% |
|
(4.22 |
)% |
|
(0.80 |
)% |
|
— |
|
|
(2.25 |
)% |
| Portfolio net interest margin |
0.77 |
% |
|
8.10 |
% |
|
5.07 |
% |
|
1.19 |
% |
|
1.37 |
% |
|
4.02 |
% |
|
3.04 |
% |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| At September
30, 2015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrying value |
$ |
596,238 |
|
|
$ |
135,373 |
|
|
$ |
446,659 |
|
|
$ |
512,760 |
|
|
$ |
132,882 |
|
|
$ |
5,842 |
|
|
$ |
1,829,754 |
|
| Net capital allocated |
$ |
106,668 |
|
|
$ |
107,812 |
|
|
$ |
362,959 |
|
|
$ |
296,406 |
|
|
$ |
4,800 |
|
|
$ |
32,003 |
|
|
$ |
910,648 |
|
| Three Months
Ended September 30, 2015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average interest earning
assets |
$ |
610,301 |
|
|
$ |
134,765 |
|
|
$ |
264,935 |
|
|
$ |
591,792 |
|
|
$ |
141,400 |
|
|
$ |
2,488 |
|
|
$ |
1,745,681 |
|
| Weighted average yield on interest
earning assets |
1.58 |
% |
|
6.89 |
% |
|
12.18 |
% |
|
7.80 |
% |
|
2.33 |
% |
|
4.82 |
% |
|
5.77 |
% |
| Less: Average cost of funds |
(0.88 |
)% |
|
(1.29 |
)% |
|
(7.06 |
)% |
|
(3.94 |
)% |
|
(0.64 |
)% |
|
— |
|
|
(2.23 |
)% |
| Portfolio net interest margin |
0.70 |
% |
|
5.60 |
% |
|
5.12 |
% |
|
3.86 |
% |
|
1.69 |
% |
|
4.82 |
% |
|
3.54 |
% |
AT THE COMPANY
Kristine R. Nario
Chief Financial Officer
Phone: (646) 216-2363
Email: knario@nymtrust.com
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