8-K
ADAMAS TRUST, INC. (ADAM)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): May 3, 2022
NEW YORK MORTGAGE TRUST, INC.
(Exact name of registrant as specified in its charter)
| Maryland | 001-32216 | 47-0934168 |
|---|---|---|
| (State or other jurisdiction of incorporation) | (Commission File Number) | (IRS Employer Identification No.) |
90 Park Avenue
New York, New York 10016
(Address and zip code of
principal executive offices)
Registrant’s telephone number, including area code: (212) 792-0107
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | |
|---|---|---|---|
| Common Stock, par value $0.01 per share | NYMT | NASDAQ | Stock Market |
| 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 |
| 6.875% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, $25.00 Liquidation Preference | NYMTL | NASDAQ | Stock Market |
| 7.000% Series G Cumulative Redeemable Preferred Stock, par value $0.01 per share, $25.00 Liquidation Preference | NYMTZ | NASDAQ | Stock Market |
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 under the Securities Act (§230.405 of this chapter) or Rule 12b-2 under the Exchange Act (§240.12b-2 of this chapter).
Emerging Growth Company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Item 2.02. Results of Operations and Financial Condition.
On May 3, 2022, New York Mortgage Trust, Inc. (the “Company”) issued a press release announcing its financial results for the three months ended March 31, 2022. A copy of the press release is furnished herewith as Exhibit 99.1 to this Current Report on Form 8-K and is incorporated herein by reference.
In addition, in conjunction with the press release announcing its financial results, the Company posted supplemental financial information on the “Events & Presentations” section of its website (www.nymtrust.com). Such supplemental financial information is furnished herewith as Exhibit 99.2 to this Current Report on Form 8-K and is incorporated herein by reference.
The information included in this Current Report on Form 8-K (including Exhibit 99.1 and Exhibit 99.2 attached hereto), shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liabilities of that section, nor shall it be deemed incorporated by reference into any filing made by the Company under the Exchange Act or Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such a filing.
Item 7.01. Regulation FD Disclosure.
The disclosure contained in Item 2.02 is incorporated herein by reference.
Item 9.01. Financial Statements and Exhibits.
(d) Exhibits.
| Exhibit No. | Description |
|---|---|
| 99.1† | Press release dated as of May 3, 2022. |
| 99.2† | First Quarter 2022 Supplemental Financial Information. |
| 104 | Cover Page Interactive Data File-the cover page XBRL tags are embedded within the Inline XBRL document. |
† Furnished herewith.
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| NEW YORK MORTGAGE TRUST, INC. | ||
|---|---|---|
| (Registrant) | ||
| Date: May 3, 2022 | By: | /s/ Kristine R. Nario-Eng |
| Kristine R. Nario-Eng | ||
| Chief Financial Officer |
Document
New York Mortgage Trust Reports
First Quarter 2022 Results
NEW YORK, NY - May 3, 2022 (GLOBE NEWSWIRE) - New York Mortgage Trust, Inc. (Nasdaq: NYMT) (“NYMT,” the “Company,” “we,” “our” or “us”) today reported results for the three months ended March 31, 2022.
Summary of First Quarter 2022:
(dollar amounts in thousands, except per share data)
| Net loss attributable to Company's common stockholders | $ | (84,343) | |
|---|---|---|---|
| Net loss attributable to Company's common stockholders per share (basic) | $ | (0.22) | |
| Undepreciated loss (1) | $ | (64,205) | |
| Undepreciated loss per common share (1) | $ | (0.17) | |
| Comprehensive loss attributable to Company's common stockholders | $ | (86,531) | |
| Comprehensive loss attributable to Company's common stockholders per share (basic) | $ | (0.23) | |
| Yield on average interest earning assets | 6.80 | % | |
| Net interest income | $ | 29,879 | |
| Portfolio net interest income (2) | $ | 39,536 | |
| Portfolio net interest margin | 3.87 | % | |
| Book value per common share at the end of the period | $ | 4.36 | |
| Undepreciated book value per common share at the end of the period (1) | $ | 4.45 | |
| Economic return on book value (3) | (5.11) | % | |
| Economic return on undepreciated book value (4) | (4.01) | % | |
| Dividends per common share | $ | 0.10 |
(1)Represents a non-GAAP financial measure. A reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure is included below in "Reconciliation of Financial Information."
(2)Excludes interest expense generated by our subordinated debentures, convertible notes, senior unsecured notes and mortgages payable on real estate. Our calculation of portfolio net interest margin may not be comparable to similarly-titled measures of other companies who may use a different calculation.
(3)Economic return on book value is based on the periodic change in GAAP book value per common share plus dividends declared per common share, if any, during the period.
(4)Economic return on undepreciated book value is based on the periodic change in undepreciated book value per common share, a non-GAAP financial measure, plus dividends declared per common share, if any, during the period.
Key Developments:
Investing Activities
•Purchased approximately $782.5 million in residential loans and $45.2 million in single-family rental properties.
•Funded multi-family joint venture investments and mezzanine lending investments for approximately $137.7 million and $19.2 million, respectively, and received approximately $31.8 million in proceeds from redemptions of mezzanine lending investments.
Financing Activities
•Completed a securitization of residential loans, resulting in approximately $286.1 million in net proceeds to the Company after deducting expenses associated with the transaction. The Company utilized the net proceeds to repay approximately $195.6 million on an outstanding repurchase agreement related to residential loans.
•Completed a securitization of business purpose loans, resulting in approximately $223.5 million in net proceeds to the Company after deducting expenses associated with the transaction. The Company utilized the net proceeds to repay approximately $121.1 million on an outstanding repurchase agreement related to business purpose loans.
•Redeemed our convertible notes at maturity for $138.0 million.
•The Company's Board of Directors authorized a share repurchase program for up to $200.0 million of the Company's common stock.
Subsequent Developments:
•Entered into non-mark-to-market, non-recourse repurchase agreement with a new counterparty with a maximum aggregate purchase price of $750 million to fund the purchase of business purpose loans.
Management Overview
Jason Serrano, Chief Executive Officer and President, commented: "In a challenging quarter with the Fed attempting to regain control of inflation, markets experienced heightened volatility, particularly with respect to interest rates. The volatility combined with a rapidly rising interest rate environment caused the fixed income market to underperform, driving the Company’s undepreciated book value down by 6%. Although the value of many mortgage-related assets fell during the quarter, we were able to strengthen our balance sheet by completing multiple loan securitizations, further protecting the Company against abrupt changes in financing availability while lowering the Company’s cost of funds.
During the quarter, we continued to execute on our strategic plan to generate high portfolio turnover by increasing our allocation to high coupon, short duration residential investor loans that we believe are supported by solid underlying fundamentals. Through our strong proprietary pipelines in this sector, we nearly doubled net investment activity with cash raised organically through a combination of maturity paydowns and financing activity of unencumbered loans. These investments helped push our portfolio yield to the highest level in nearly 10 years. We believe our focus on short duration residential loans and our strong cash position will better enable us to rapidly reposition our portfolio in a higher rate environment and patiently seize on superior market opportunities.”
Capital Allocation
The following tables set forth, by investment category, our allocated capital at March 31, 2022, our interest income and interest expense, and the average yield, average portfolio financing cost, and portfolio net interest margin for our average interest earning assets for the three months ended March 31, 2022 (dollar amounts in thousands):
| Single-Family (1) | Multi-<br>Family | Other | Total | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Residential loans | $ | 3,953,427 | $ | — | $ | — | $ | 3,953,427 | |
| Consolidated SLST CDOs | (754,264) | — | — | (754,264) | |||||
| Multi-family loans | — | 110,208 | — | 110,208 | |||||
| Investment securities available for sale | 75,499 | 31,576 | 38,705 | 145,780 | |||||
| Equity investments | — | 193,194 | 32,106 | 225,300 | |||||
| Equity investments in consolidated multi-family properties (2) | — | 367,055 | — | 367,055 | |||||
| Single-family rental properties | 83,780 | — | — | 83,780 | |||||
| Total investment portfolio carrying value | 3,358,442 | 702,033 | 70,811 | 4,131,286 | |||||
| Liabilities: | |||||||||
| Repurchase agreements | (910,097) | (16,952) | — | (927,049) | |||||
| Residential loan securitization CDOs | (1,143,855) | — | — | (1,143,855) | |||||
| Senior unsecured notes | — | — | (96,870) | (96,870) | |||||
| Subordinated debentures | — | — | (45,000) | (45,000) | |||||
| Cash, cash equivalents and restricted cash (3) | 97,321 | — | 271,230 | 368,551 | |||||
| Other | (11,722) | (13,861) | (43,862) | (69,445) | |||||
| Net Company capital allocated | $ | 1,390,089 | $ | 671,220 | $ | 156,309 | $ | 2,217,618 | |
| Company Recourse Leverage Ratio (4) | 0.5 | x | |||||||
| Portfolio Recourse Leverage Ratio (5) | 0.4 | x |
(1)The Company, through its ownership of certain securities, has determined it is the primary beneficiary of Consolidated SLST and has consolidated the assets and liabilities of Consolidated SLST in the Company’s condensed consolidated financial statements. Consolidated SLST is presented on our condensed consolidated balance sheets as residential loans, at fair value and collateralized debt obligations, at fair value. Our investment in Consolidated SLST as of March 31, 2022 was limited to the RMBS comprised of first loss subordinated securities and IOs issued by the securitization with an aggregate net carrying value of $214.1 million.
(2)Represents the Company's equity investments in consolidated multi-family apartment communities. A reconciliation of the Company's equity investments in consolidated multi-family properties to the condensed consolidated financial statements is included below in "Reconciliation of Financial Information."
(3)Excludes cash in the amount of $33.3 million and restricted cash in the amount of $2.1 million held in the Company's equity investments in consolidated multi-family properties. Restricted cash is included in the Company’s accompanying condensed consolidated balance sheets in other assets.
(4)Represents the Company's total outstanding repurchase agreement financing, subordinated debentures and senior unsecured notes divided by the Company's total stockholders' equity. Does not include Consolidated SLST CDOs amounting to $754.3 million, residential loan securitization CDOs amounting to $1.1 billion and mortgages payable on real estate amounting to $1.1 billion as they are non-recourse debt for which the Company has no obligation.
(5)Represents the Company's outstanding repurchase agreement financing divided by the Company’s total stockholders’ equity.
| Net Interest Income - Three Months Ended March 31, 2022: | Single-Family (1) | Multi-<br>Family | Other | Total | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Interest Income (2) | $ | 46,823 | $ | 3,312 | $ | 2,388 | $ | 52,523 | ||||
| Interest Expense | (12,975) | (12) | (9,657) | (22,644) | ||||||||
| Net Interest Income (Expense) | $ | 33,848 | $ | 3,300 | $ | (7,269) | $ | 29,879 | ||||
| Portfolio Net Interest Margin - Three Months Ended March 31, 2022: | ||||||||||||
| Average Interest Earning Assets (3) (4) | $ | 2,926,764 | $ | 142,584 | $ | 22,496 | $ | 3,091,844 | ||||
| Yield on Average Interest Earning Assets (5) | 6.40 | % | 9.29 | % | 42.46 | % | 6.80 | % | ||||
| Average Portfolio Financing Cost (6) | (2.93) | (2.39) | — | (2.93) | % | |||||||
| Portfolio Net Interest Margin (7) | 3.47 | % | 6.90 | % | 42.46 | % | 3.87 | % |
(1)The Company, through its ownership of certain securities, has determined it is the primary beneficiary of Consolidated SLST and has consolidated the assets and liabilities of Consolidated SLST in the Company’s condensed consolidated financial statements. Interest income amounts represent interest income earned by securities that are owned by the Company. A reconciliation of net interest income from the Single-Family portfolio to the condensed consolidated financial statements is included below in "Reconciliation of Financial Information."
(2)Includes interest income earned on cash accounts held by the Company.
(3)Average Interest Earning Assets for the period indicated excludes all Consolidated SLST assets other than those securities owned by the Company.
(4)Average Interest Earning Assets is calculated each quarter based on daily average amortized cost for the respective periods.
(5)Yield on Average Interest Earning Assets was calculated by dividing our annualized interest income relating to our interest earning assets by our Average Interest Earning Assets for the respective periods.
(6)Average Portfolio Financing Cost was calculated by dividing our annualized interest expense relating to our interest earning assets by our average interest bearing liabilities, excluding the interest expense generated by our subordinated debentures, convertible notes, senior unsecured notes and mortgages payable on real estate of approximately $0.5 million, $0.4 million, $1.6 million and $7.2 million, respectively. Average interest bearing liabilities is calculated each quarter based on daily average outstanding balance for the respective periods.
(7)Portfolio Net Interest Margin is the difference between our Yield on Average Interest Earning Assets and our Average Portfolio Financing Cost, excluding the weighted average cost of subordinated debentures, convertible notes, senior unsecured notes and mortgages payable on real estate.
Conference Call
On Wednesday, May 4, 2022 at 11:30 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 months ended March 31, 2022. The conference call dial-in number is (877) 312-8806. The replay will be available until Wednesday, May 11, 2022 and can be accessed by dialing (855) 859-2056 and entering passcode 8651777. 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.
In connection with the release of these financial results, the Company will also post a supplemental financial presentation that will accompany the conference call on its website at http://www.nymtrust.com under the "Investors — Events and Presentations" section. First quarter 2022 financial and operating data can be viewed in the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2022, which is expected to be filed with the Securities and Exchange Commission on or about May 5, 2022. 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 (“REIT”) for federal income tax purposes. NYMT is an internally managed REIT in the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets, including joint venture equity investments in multi-family apartment communities. 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 that may appear in this press release: “RMBS” refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate, or fixed-rate residential loans; “Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of residential loans guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”); “ABS” refers to debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, aircraft, credit cards, equipment, franchises, recreational vehicles and student loans; “non-Agency RMBS” refers to RMBS that are not guaranteed by any agency of the U.S. Government or any GSE; “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; “POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans; “CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans; “multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties; “CDO” refers to collateralized debt obligation and includes debt that permanently finances the residential loans held in Consolidated SLST, and the Company's residential loans held in securitization trusts and non-Agency RMBS re-securitization that we consolidate or consolidated in our financial statements in accordance with GAAP; “Consolidated SLST” refers to a Freddie Mac-sponsored residential loan securitization, comprised of seasoned re-performing and non-performing residential loans, of which we own the first loss subordinated securities and certain IOs, that we consolidate in our financial statements in accordance with GAAP; “Consolidated VIEs” refers to variable interest entities ("VIE") where the Company is the primary beneficiary, as it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE and that we consolidate in our financial statements in accordance with GAAP; “Multi-Family” portfolio includes multi-family CMBS, preferred equity and mezzanine loan investments and certain equity investments that invest in multi-family assets, including joint venture equity investments; “Single-Family” portfolio includes residential loans, Agency RMBS, non-Agency RMBS and single-family rental properties; and “Other” portfolio includes ABS and equity investments in entities that invest in residential assets or originate residential loans.
Cautionary Statement Regarding Forward-Looking Statements
When used in this press release, in future filings with the Securities and Exchange Commission (the “SEC”) or in other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “could,” “would,” “should,” “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 (the “Exchange Act”), and, as such, may involve known and unknown risks, uncertainties and assumptions.
Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results and outcomes could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation: changes in the Company’s business and investment strategy; changes in interest rates and the fair market value of the Company’s assets, including negative changes resulting in margin calls relating to the financing of the Company’s assets; changes in credit spreads; changes in the long-term credit ratings of the U.S., Fannie Mae, Freddie Mac, and Ginnie Mae; general volatility of the markets in which the Company invests; changes in prepayment rates on the loans the Company owns or that underlie the Company’s investment securities; increased rates of default, delinquency or vacancy and/or decreased recovery rates on or at the Company’s assets; the Company’s ability to identify and acquire targeted assets, including assets in its investment pipeline; changes in relationships with the Company’s financing counterparties and the Company’s ability to borrow to finance its assets and the terms thereof; changes in our relationships with and/or the performance of our operating partners; the Company’s ability to predict and control costs; changes in laws, regulations or policies affecting the Company’s business, including actions that may be taken to contain or address the impact of the COVID-19 pandemic; the Company’s ability to make distributions to its stockholders in the future; 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; risks associated with investing in real estate assets, including changes in business conditions and the general economy, the availability of investment opportunities and the conditions in the market for Agency RMBS, non-Agency RMBS, ABS and CMBS securities, residential loans, structured multi-family investments and other mortgage-, residential housing- and credit-related assets; and the impact of COVID-19 on the Company, its operations and its personnel.
These and other risks, uncertainties and factors, including the risk factors described in the Company’s reports filed with the SEC pursuant to the Exchange Act, could cause the Company’s actual results to differ materially from those projected in any forward-looking statements the Company 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.
For Further Information
CONTACT: AT THE COMPANY
Phone: 212-792-0107
Email: InvestorRelations@nymtrust.com
FINANCIAL TABLES FOLLOW
NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Dollar amounts in thousands, except share data)
| March 31, 2022 | December 31, 2021 | |||
|---|---|---|---|---|
| (unaudited) | ||||
| ASSETS | ||||
| Residential loans, at fair value | $ | 3,953,427 | $ | 3,575,601 |
| Multi-family loans, at fair value | 110,208 | 120,021 | ||
| Investment securities available for sale, at fair value | 145,780 | 200,844 | ||
| Equity investments, at fair value | 225,300 | 239,631 | ||
| Cash and cash equivalents | 303,762 | 289,602 | ||
| Real estate, net | 1,534,833 | 1,017,583 | ||
| Other assets | 268,442 | 215,019 | ||
| Total Assets (1) | $ | 6,541,752 | $ | 5,658,301 |
| LIABILITIES AND EQUITY | ||||
| Liabilities: | ||||
| Repurchase agreements | $ | 927,049 | $ | 554,259 |
| Collateralized debt obligations ($754,264 at fair value and $1,143,855 at amortized cost, net as of March 31, 2022 and $839,419 at fair value and $682,802 at amortized cost, net as of December 31, 2021) | 1,898,119 | 1,522,221 | ||
| Convertible notes | — | 137,898 | ||
| Senior unsecured notes | 96,870 | 96,704 | ||
| Subordinated debentures | 45,000 | 45,000 | ||
| Mortgages payable on real estate, net | 1,083,371 | 709,356 | ||
| Other liabilities | 187,981 | 161,081 | ||
| Total liabilities (1) | 4,238,390 | 3,226,519 | ||
| Commitments and Contingencies | ||||
| Redeemable Non-Controlling Interest in Consolidated Variable Interest Entities | 53,361 | 66,392 | ||
| Stockholders' Equity: | ||||
| Preferred stock, par value $0.01 per share, 31,500,000 and 29,500,000 shares authorized as of March 31, 2022 and December 31, 2021, respectively, 22,284,994 shares issued and outstanding ($557,125 aggregate liquidation preference) | 538,221 | 538,221 | ||
| Common stock, par value $0.01 per share, 800,000,000 shares authorized, 381,249,031 and 379,405,240 shares issued and outstanding as of March 31, 2022 and December 31, 2021, respectively | 3,812 | 3,794 | ||
| Additional paid-in capital | 2,357,910 | 2,356,576 | ||
| Accumulated other comprehensive (loss) income | (410) | 1,778 | ||
| Accumulated deficit | (681,915) | (559,338) | ||
| Company's stockholders' equity | 2,217,618 | 2,341,031 | ||
| Non-controlling interest in consolidated variable interest entities | 32,383 | 24,359 | ||
| Total equity | 2,250,001 | 2,365,390 | ||
| Total Liabilities and Equity | $ | 6,541,752 | $ | 5,658,301 |
(1)Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of March 31, 2022 and December 31, 2021, assets of consolidated VIEs totaled $3,872,784 and $2,940,513, respectively, and the liabilities of consolidated VIEs totaled $3,030,539 and $2,235,665, respectively.
NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Amounts in thousands, except per share data)
(unaudited)
| For the Three Months Ended<br>March 31, | ||||
|---|---|---|---|---|
| 2022 | 2021 | |||
| NET INTEREST INCOME: | ||||
| Interest income | $ | 58,501 | $ | 50,039 |
| Interest expense | 28,622 | 19,699 | ||
| Total net interest income | 29,879 | 30,340 | ||
| NON-INTEREST (LOSS) INCOME: | ||||
| Realized gains, net | 3,806 | 7,058 | ||
| Unrealized (losses) gains, net | (83,659) | 26,166 | ||
| Income from equity investments | 6,053 | 3,399 | ||
| Income from real estate | 25,589 | 1,495 | ||
| Other income | 1,427 | 1,602 | ||
| Total non-interest (loss) income | (46,784) | 39,720 | ||
| GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES: | ||||
| General and administrative expenses | 14,358 | 11,441 | ||
| Expenses related to real estate | 47,989 | 2,924 | ||
| Portfolio operating expenses | 9,489 | 4,830 | ||
| Total general, administrative and operating expenses | 71,836 | 19,195 | ||
| (LOSS) INCOME FROM OPERATIONS BEFORE INCOME TAXES | (88,741) | 50,865 | ||
| Income tax (benefit) expense | (22) | 66 | ||
| NET (LOSS) INCOME | (88,719) | 50,799 | ||
| Net loss attributable to non-controlling interest in consolidated variable interest entities | 14,869 | 1,409 | ||
| NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY | (73,850) | 52,208 | ||
| Preferred stock dividends | (10,493) | (10,297) | ||
| NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS | $ | (84,343) | $ | 41,911 |
| Basic (loss) earnings per common share | $ | (0.22) | $ | 0.11 |
| Diluted (loss) earnings per common share | $ | (0.22) | $ | 0.11 |
| Weighted average shares outstanding-basic | 380,795 | 378,881 | ||
| Weighted average shares outstanding-diluted | 380,795 | 380,815 |
NEW YORK MORTGAGE TRUST, INC. AND SUBSIDIARIES
SUMMARY OF QUARTERLY (LOSS) EARNINGS
(Dollar amounts in thousands, except per share data)
(unaudited)
| For the Three Months Ended | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| March 31, 2022 | December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | |||||||||||
| Total net interest income | $ | 29,879 | $ | 30,772 | $ | 31,031 | $ | 31,475 | $ | 30,340 | |||||
| Total non-interest (loss) income | (46,784) | 39,333 | 49,412 | 43,276 | 39,720 | ||||||||||
| Total general, administrative and operating expenses | 71,836 | 34,063 | 28,046 | 23,121 | 19,195 | ||||||||||
| (Loss) income from operations before income taxes | (88,741) | 36,042 | 52,397 | 51,630 | 50,865 | ||||||||||
| Income tax (benefit) expense | (22) | 1,162 | 1,215 | 15 | 66 | ||||||||||
| Net (loss) income | (88,719) | 34,880 | 51,182 | 51,615 | 50,799 | ||||||||||
| Net loss attributable to non-controlling interest in consolidated variable interest entities | 14,869 | 1,296 | 394 | 1,625 | 1,409 | ||||||||||
| Net (loss) income attributable to Company | (73,850) | 36,176 | 51,576 | 53,240 | 52,208 | ||||||||||
| Preferred stock dividends | (10,493) | (10,994) | (11,272) | (10,296) | (10,297) | ||||||||||
| Preferred stock redemption charge | — | (2,722) | (3,443) | — | — | ||||||||||
| Net (loss) income attributable to Company's common stockholders | (84,343) | 22,460 | 36,861 | 42,944 | 41,911 | ||||||||||
| Basic (loss) earnings per common share | $ | (0.22) | $ | 0.06 | $ | 0.10 | $ | 0.11 | $ | 0.11 | |||||
| Diluted (loss) earnings per common share | $ | (0.22) | $ | 0.06 | $ | 0.10 | $ | 0.11 | $ | 0.11 | |||||
| Weighted average shares outstanding - basic | 380,795 | 379,346 | 379,395 | 379,299 | 378,881 | ||||||||||
| Weighted average shares outstanding - diluted | 380,795 | 380,551 | 380,983 | 381,517 | 380,815 | ||||||||||
| Yield on average interest earning assets | 6.80 | % | 6.57 | % | 6.39 | % | 6.31 | % | 6.03 | % | |||||
| Portfolio net interest income | $ | 39,536 | $ | 37,722 | $ | 37,044 | $ | 36,288 | $ | 33,891 | |||||
| Portfolio net interest margin | 3.87 | % | 3.63 | % | 3.25 | % | 2.97 | % | 2.42 | % | |||||
| Undepreciated (loss) earnings (1) | $ | (64,205) | $ | 31,045 | $ | 42,190 | $ | 44,021 | $ | 42,625 | |||||
| Undepreciated (loss) earnings per common share (1) | $ | (0.17) | $ | 0.08 | $ | 0.11 | $ | 0.12 | $ | 0.11 | |||||
| Book value per common share | $ | 4.36 | $ | 4.70 | $ | 4.74 | $ | 4.74 | $ | 4.71 | |||||
| Undepreciated book value per common share (1) | $ | 4.45 | $ | 4.74 | $ | 4.76 | $ | 4.75 | $ | 4.71 | |||||
| Dividends declared per common share | $ | 0.10 | $ | 0.10 | $ | 0.10 | $ | 0.10 | $ | 0.10 | |||||
| Dividends declared per preferred share on Series B Preferred Stock (2) | $ | — | $ | — | $ | 0.48 | $ | 0.48 | $ | 0.48 | |||||
| Dividends declared per preferred share on Series C Preferred Stock (2) | $ | — | $ | — | $ | — | $ | 0.49 | $ | 0.49 | |||||
| Dividends declared per preferred share on Series D Preferred Stock | $ | 0.50 | $ | 0.50 | $ | 0.50 | $ | 0.50 | $ | 0.50 | |||||
| Dividends declared per preferred share on Series E Preferred Stock | $ | 0.49 | $ | 0.49 | $ | 0.49 | $ | 0.49 | $ | 0.49 | |||||
| Dividends declared per preferred share on Series F Preferred Stock (3) | $ | 0.43 | $ | 0.43 | $ | 0.47 | $ | — | $ | — | |||||
| Dividends declared per preferred share on Series G Preferred Stock (4) | $ | 0.44 | $ | 0.25 | $ | — | $ | — | $ | — |
(1)Represents a non-GAAP financial measure. A reconciliation of the Company's non-GAAP financial measures to their most directly comparable GAAP measure is included below in "Reconciliation of Financial Information."
(2)The Company redeemed all outstanding shares of its Series B Preferred Stock and Series C Preferred Stock in December 2021 and July 2021, respectively.
(3)For the three months ended September 30, 2021, dividends declared represents the cash dividend for the long initial dividend period that began on July 7, 2021 and ended on October 14, 2021.
(4)For the three months ended December 31, 2021, dividends declared represent the cash dividend for the short initial dividend period that began on November 24, 2021 and ended on January 14, 2022.
Reconciliation of Financial Information
Non-GAAP Financial Measures
In addition to the results presented in accordance with GAAP, this press release includes certain non-GAAP financial measures, including undepreciated earnings and undepreciated book value per common share. Our management team believes that these non-GAAP financial measures, when considered with our GAAP financial statements, provide supplemental information useful for investors as it enables them to evaluate our current performance using the same metrics that management uses to operate the business. Our presentation of non-GAAP financial measures may not be comparable to similarly-titled measures of other companies, who may use different calculations. Because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations of the non-GAAP financial measures included in this press release to the most directly comparable financial measures prepared in accordance with GAAP should be carefully evaluated.
Undepreciated (Loss) Earnings
Undepreciated (loss) earnings is a supplemental non-GAAP financial measure defined as GAAP net (loss) income attributable to Company's common stockholders excluding the Company's share in depreciation expense and lease intangible amortization expense related to operating real estate, net. By excluding these non-cash adjustments from our operating results, we believe that the presentation of undepreciated (loss) earnings provides a consistent measure of our operating performance and useful information to investors to evaluate the effective net return on our portfolio. In addition, we believe that presenting undepreciated (loss) earnings enables our investors to measure, evaluate, and compare our operating performance to that of our peers.
A reconciliation of net (loss) income attributable to Company's common stockholders to undepreciated (loss) earnings for the respective periods ended is presented below (amounts in thousands, except per share data):
| For the Three Months Ended | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| March 31, 2022 | December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | ||||||
| Net (loss) income attributable to Company's common stockholders | $ | (84,343) | $ | 22,460 | $ | 36,861 | $ | 42,944 | $ | 41,911 |
| Add: | ||||||||||
| Depreciation expense on operating real estate | 6,159 | 2,237 | 1,655 | 296 | 193 | |||||
| Amortization of lease intangibles related to operating real estate | 13,979 | 6,348 | 3,674 | 781 | 521 | |||||
| Undepreciated (loss) earnings | $ | (64,205) | $ | 31,045 | $ | 42,190 | $ | 44,021 | $ | 42,625 |
| Weighted average shares outstanding - basic | 380,795 | 379,346 | 379,395 | 379,299 | 378,881 | |||||
| Undepreciated (loss) earnings per common share | $ | (0.17) | $ | 0.08 | $ | 0.11 | $ | 0.12 | $ | 0.11 |
Undepreciated Book Value Per Common Share
Undepreciated book value per common share is a supplemental non-GAAP financial measure defined as GAAP book value excluding the Company's share of cumulative depreciation and lease intangible amortization expenses related to operating real estate, net held at the end of the period. By excluding these non-cash adjustments, undepreciated book value reflects the value of the Company’s rental property portfolio at its undepreciated basis. The Company's rental property portfolio includes single-family rental homes directly owned by the Company and consolidated multi-family apartment communities. We believe that the presentation of undepreciated book value per common share is useful to investors and us as it allows management to consider our investment portfolio exclusive of non-cash adjustments to operating real estate, net and facilitates the comparison of our financial performance to that of our peers.
A reconciliation of GAAP book value to undepreciated book value and calculation of undepreciated book value per common share as of the dates indicated is presented below (amounts in thousands, except per share data):
| March 31, 2022 | December 31, 2021 | September 30, 2021 | June 30, 2021 | March 31, 2021 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Company's stockholders' equity | $ | 2,217,618 | $ | 2,341,031 | $ | 2,357,793 | $ | 2,321,161 | $ | 2,308,853 |
| Preferred stock liquidation preference | (557,125) | (557,125) | (561,027) | (521,822) | (521,822) | |||||
| GAAP book value | 1,660,493 | 1,783,906 | 1,796,766 | 1,799,339 | 1,787,031 | |||||
| Add: | ||||||||||
| Cumulative depreciation expense on operating real estate | 9,772 | 4,381 | 2,144 | 489 | 193 | |||||
| Cumulative amortization of lease intangibles related to operating real estate | 25,303 | 11,324 | 4,976 | 1,302 | 521 | |||||
| Undepreciated book value | $ | 1,695,568 | $ | 1,799,611 | $ | 1,803,886 | $ | 1,801,130 | $ | 1,787,745 |
| Common shares outstanding | 381,249 | 379,405 | 379,286 | 379,372 | 379,273 | |||||
| GAAP book value per common share (1) | $ | 4.36 | $ | 4.70 | $ | 4.74 | $ | 4.74 | $ | 4.71 |
| Undepreciated book value per common share (2) | $ | 4.45 | $ | 4.74 | $ | 4.76 | $ | 4.75 | $ | 4.71 |
(1)GAAP book value per common share is calculated using the GAAP book value and the common shares outstanding for the periods indicated.
(2)Undepreciated book value per common share is calculated using the undepreciated book value and the common shares outstanding for the periods indicated.
Equity Investments in Consolidated Multi-Family Properties
We invest in joint venture investments that own multi-family apartment communities which the Company determined to be VIEs and for which the Company is the primary beneficiary. As a result, we are required to consolidate these entities' underlying assets, liabilities, income and expenses in our condensed consolidated financial statements with non-controlling interests for the third-party ownership of the joint ventures' membership interests.
A reconciliation of our net equity investments in consolidated multi-family properties to our condensed consolidated financial statements as of March 31, 2022 is shown below (dollar amounts in thousands):
| Cash and cash equivalents | $ | 33,340 |
|---|---|---|
| Real estate, net | 1,451,053 | |
| Lease intangible, net (a) | 41,759 | |
| Other assets | 23,153 | |
| Total assets | $ | 1,549,305 |
| Mortgages payable on real estate, net | $ | 1,083,371 |
| Other liabilities | 13,135 | |
| Total liabilities | $ | 1,096,506 |
| Redeemable non-controlling interest in Consolidated VIEs | $ | 53,361 |
| Non-controlling interest in Consolidated VIEs | $ | 32,383 |
| Net equity investment | $ | 367,055 |
(a)Included in other assets in the accompanying condensed consolidated balance sheets.
Consolidated SLST
We determined that Consolidated SLST is a VIE and that we are the primary beneficiary of Consolidated SLST. As a result, we are required to consolidate Consolidated SLST’s underlying seasoned re-performing and non-performing residential loans including its liabilities, income and expenses in our condensed consolidated financial statements. We have elected the fair value option on the assets and liabilities held within Consolidated SLST, which requires that changes in valuations in the assets and liabilities of Consolidated SLST be reflected in our condensed consolidated statements of operations.
A reconciliation of our net interest income generated by our Single-Family portfolio to our condensed consolidated financial statements for the three months ended March 31, 2022 is set forth below (dollar amounts in thousands):
| Interest income, residential loans | $ | 41,467 |
|---|---|---|
| Interest income, investment securities available for sale | 1,954 | |
| Interest income, Consolidated SLST | 9,380 | |
| Interest expense, Consolidated SLST CDOs | (5,978) | |
| Interest income, Single-Family, net | 46,823 | |
| Interest expense, repurchase agreements | (5,519) | |
| Interest expense, residential loan securitizations | (7,456) | |
| Net interest income, Single-Family | $ | 33,848 |
q12022supplementalfinanc
New York Mortgage Trust 2022 First Quarter Financial Summary
2See Glossary and End Notes in the Appendix. This presentation contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. 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 us. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed or implied in our forward-looking statements. The following factors are examples of those that could cause actual results to vary from our forward-looking statements: changes in our business and investment strategy; changes in interest rates and the fair market value of our assets, including negative changes resulting in margin calls relating to the financing of our assets; changes in credit spreads; changes in the long-term credit ratings of the U.S., Fannie Mae, Freddie Mac, and Ginnie Mae; general volatility of the markets in which we invest; changes in prepayment rates on the loans we own or that underlie our investment securities; increased rates of default, delinquency or vacancy and/or decreased recovery rates on or at our assets; our ability to identify and acquire our targeted assets, including assets in our investment pipeline; changes in our relationships with our financing counterparties and our ability to borrow to finance our assets and the terms thereof; changes in our relationships with and/or the performance of our operating partners; our ability to predict and control costs; changes in laws, regulations or policies affecting our business, including actions that may be taken to contain or address the impact of the COVID-19 pandemic; our ability to make distributions to our stockholders in the future; our ability to maintain our qualification as a REIT for federal tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; risks associated with investing in real estate assets, including changes in business conditions and the general economy, the availability of investment opportunities and the conditions in the market for Agency RMBS, non-Agency RMBS, ABS and CMBS securities, residential loans, structured multi- family investments and other mortgage-, residential housing- and credit-related assets; and the impact of COVID-19 on us, our operations and our personnel. These and other risks, uncertainties and factors, including the risk factors described in our most recent Annual Report on Form 10-K, as updated and supplemented from time to time, and our subsequent Quarterly Reports on Form 10-Q and other information that we file from time to time with the U.S. Securities and Exchange Commission (“SEC”) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), could cause our actual results to differ materially from those projected in any forward-looking statements we make. 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 us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. The example analyses included herein are for illustrative purpose only and are intended to illustrate the hypothetical performance of certain of the Company’s investments. They are not and should not be considered a projection of the investment’s future results or performance. The samples provided may be derived from proprietary models developed by the Company and are based upon the hypothetical performance of the investment. Models, however, are inherently imperfect and subject to a number of risks, including that the underlying data used by the models is incorrect, inaccurate, or incomplete, or that the models rely upon assumptions that may prove to be incorrect. The information is designed to illustrate the Company’s current view and expectations and is based on a number of assumptions and limitations. Actual results and events may differ materially from those generated by such models. This presentation may not contain all of the information that is important to you. As a result, the information in this presentation should be read together with the information included in our most recent Annual Report on Form 10-K, as updated and supplemented from time to time, and our subsequent Quarterly Reports on Form 10-Q and other information that we file under the Exchange Act. References to “the Company,” “NYMT,” “we,” “us,” or “our” refer to New York Mortgage Trust, Inc., together with its consolidated subsidiaries, unless we specifically state otherwise or the context indicates otherwise. See glossary of defined terms and detailed end notes for additional important disclosures included at the end of this presentation. First quarter 2022 Financial Tables and related information can be viewed in the Company’s press release dated May 3, 2022 posted on the Company’s website at http://www.nymtrust.com under the “Investors — Events & Presentations” section. Forward Looking Statements
3 To Our Stockholders Management Update “In a challenging quarter with the Fed attempting to regain control of inflation, markets experienced heightened volatility, particularly with respect to interest rates. The volatility combined with a rapidly rising interest rate environment caused the fixed income market to underperform, driving the Company’s undepreciated book value down by 6%. Although the value of many mortgage-related assets fell during the quarter, we were able to strengthen our balance sheet by completing multiple loan securitizations, further protecting the Company against abrupt changes in financing availability while lowering the Company’s cost of funds. During the quarter, we continued to execute on our strategic plan to generate high portfolio turnover by increasing our allocation to high coupon, short duration residential investor loans that we believe are supported by solid underlying fundamentals. Through our strong proprietary pipelines in this sector, we nearly doubled net investment activity with cash raised organically through a combination of maturity paydowns and financing activity of unencumbered loans. These investments helped push our portfolio yield to the highest level in nearly 10 years. We believe our focus on short duration residential loans and our strong cash position will better enable us to rapidly reposition our portfolio in a higher rate environment and patiently seize on superior market opportunities.” — Jason Serrano, Chief Executive Officer and President
Company Overview Financial Summary Market & Strategy Update Quarterly Comparative Financial Information Appendix Non-GAAP Financial Measures Glossary End Notes Capital Allocation Reconciliation of Net Interest Income Reconciliation of Joint Venture Equity Investments Table of Contents
Company Overview
6See Glossary and End Notes in the Appendix. New York Mortgage Trust, Inc. (NASDAQ: NYMT) is a real estate investment trust (“REIT”) for U.S. federal income tax purposes in the business of acquiring, investing in, financing and managing primarily mortgage-related single-family and multi-family residential assets. Our objective is to deliver long-term stable distributions to our stockholders over changing economic conditions through a combination of net interest margin and capital gains from a diversified investment portfolio. Our investment portfolio includes credit sensitive single-family and multi-family assets. Data As of 3/31/2022 70 professionals in New York, Los Angeles, and Charlotte Focus of utilizing Market Leading Technology & Data Committed to Community, Diversity & Inclusion Loan Servicing and Direct Property Management Expertise $4.1B Total Investment Portfolio / $1.9B Market Capitalization NYMT Overview Charlotte New YorkLos Angeles Office Locations Capital Allocation Single-Family Multi-Family Other 63% 30% 7%
7 Key Developments See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Financial Performance ◦ Loss per share of $(0.22), Comprehensive loss per share of $(0.23) ◦ Undepreciated loss per share of $(0.17)* ◦ Book value per share of $4.36 ◦ Undepreciated book value per share of $4.45* (-6% change QoQ) ◦ (5.1)% Quarterly Economic Return ◦ (4.0)% Quarterly Economic Return on Undepreciated Book Value* Stockholder Value ◦ Declared first quarter common stock dividend of $0.10 per share ◦ Common stock dividend yield of 11.0% (share price as of 3/31/2022) ◦ Quarterly Total Rate of Return of 0.8% Liquidity / Financing ◦ Record quarter of $985 million in portfolio investments ▪ $828 million in single-family investments ▪ $157 million in multi-family investments ◦ Nearly doubled net investment activity with $645 million for the quarter ◦ Yield on average interest earning assets of 6.80% (+23bps QoQ) ◦ Issued $288 million rated residential loan securitization with a 2.3% weighted average coupon ◦ Issued $225 million BPL revolver securitization with a 4.1% weighted average coupon ◦ Company Recourse Leverage Ratio of 0.5x ◦ Portfolio Recourse Leverage Ratio of 0.4x ◦ $304 million of unrestricted cash ◦ Redeemed 6.25% convertible notes for $138 million Investing Activity
Financial Summary First Quarter 2022
9See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Financial Snapshot Earnings & Book Value Net Interest MarginLoss Per Share Undepreciated Loss Per Share* $(0.17) Investment Portfolio Yield on Avg. Interest Earning AssetsTotal Portfolio Size Total Investment Portfolio $4.1B Financing Dividend Per Share Economic Return on Undepreciated Book Value* Avg. Portfolio Financing CostPortfolio Recourse Leverage Ratio $0.1B $0.7B $3.4B Investment Allocation SF Credit 59% MF Credit 25% 0.3x 3 Months Ended (4.0)% Q1 Dividend $0.10 Comprehensive $(0.23) Basic $(0.22) SF 81% MF 17% Other 2% Company Recourse Leverage Ratio 1.5x 0.8x 0.5x 0.4x 0.3x SF MF Other 1Q 2021 2Q 2021 3Q 2021 4Q 2021 1Q 20221Q 2021 2Q 2021 3Q 2021 4Q 2021 1Q 2022 1Q 2021 2Q 2021 3Q 2021 4Q 2021 1Q 2022 1Q 2021 2Q 2021 3Q 2021 4Q 2021 1Q 2022 0.2x 0.1x 0.1x 0.2x 0.4x 0.5x 0.3x 1Q 2021 2Q 2021 3Q 2021 4Q 2021 1Q 2022 2.42% 2.97% 3.25% 3.63% 3.87% 0.3x 0.3x 0.4x Undepreciated Book Value* $4.45 6.03% 6.31% 6.39% 6.57% 6.80% 3.61% 3.34% 3.14% 2.93% 2.94%
10See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Financial Results First Quarter Profit & Loss Dollar amounts in millions, except per share data Net Interest Income $ 29.9 Non-Interest Loss (46.8) Total Net Interest Income & Non-Interest Loss (16.9) General & Administrative Expenses (14.4) Expenses Related to Real Estate (48.0) Portfolio Operating Expenses (9.5) Net Loss Attributable to Company (73.8) Preferred Stock Dividends (10.5) Net Loss Attributable to Common Stockholders $ (84.3) Add back: Depreciation expense on operating real estate 6.1 Add back: Amortization of lease intangibles related to operating real estate 14.0 Undepreciated Loss* $ (64.2) $4.58 Included in Non-Interest Loss is $5.7 million of income related to Preferred Return on Mezzanine Lending investments that would be included in net margin and contribute 31 bps had the investments qualified for loan accounting treatment under GAAP. Non-Interest Income (Loss): in millions Realized Gains $ 3.8 Unrealized Losses (83.7) Preferred Return on Mezzanine Lending 5.7 Income from Real Estate 25.6 Other 1.8 Total Non-Interest Loss $ (46.8) $ (0.22) Basic loss per common share 0.02 0.03 $ (0.17) Undepreciated loss per common share* Net Interest Income: in millions Portfolio Net Interest Income $ 39.5 Interest Expense: Corporate Debt (2.5) Interest Expense: Mortgages payable on real estate (7.1) Total Net Interest Income $ 29.9
11See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Quarterly Summary Dollar amounts in millions 1Q 2022 4Q 2021 Investment Activity Acquisitions $ 984.6 $ 851.0 Sales $ (24.7) $ (193.8) Prepayments and Redemptions $ (315.1) $ (332.5) Net Investment Activity $ 644.8 $ 324.7 (Loss) Earnings Net (Loss) Earnings Attributable to Common Stockholders $ (84.3) $ 22.5 Undepreciated (Loss) Earnings* $ (64.2) $ 31.0
Market & Strategy Update
13See Glossary and End Notes in the Appendix. Strategy Update A Selective Approach to Growth Market Themes Opportunity Execution U.S. Housing Supply Deficit * 1 million units of single-family homes for sale (30-year low) at end of Q1 * 2.3 months of supply available for sale Originator Liquidity Strain * Originator profitability per $100 loan produced declined 21% YoY and 61% from peak (2020) * Q1 Mortgage origination volume declined 46% YoY U.S. Domestic Migration Trends * Smaller, southern MSAs are benefiting from migration trends due to lower cost of living and remote work capabilities that provide families with the option to move to these areas Residential Investor Lending * Focus on short-term, bridge lending to take advantage of expected increase in net coupons from YE 2021 S&D Market * Originators are now selling loan pools with older origination ages, which is typical in periods of originator liquidity strain. Multi-Family Originations * Continued focus in mezzanine lending and JV opportunities in multi-family markets where housing shortage is most acute * 73% LTV (at cost) * 66% LTV (after repair) BPL-Bridge $1.4B 33% of Total * 67% LTV * 6% W/A purchase price discount S&D $558MM 14% of Total * 85% of portfolio located in S/SE * Majority of properties are low/mid rise * Majority located in secondary markets Mezzanine Lending/JV $671MM 16% of Total
14See Glossary and End Notes in the Appendix. Strategy For Sustainable Earnings Growth NYMT Investment Strategy Focus NYMT seeks investment opportunities in markets where the Company finds a competitive advantage due to operational barriers to entry. Safety NYMT focuses on markets where compelling risk- adjusted asset returns are available through an unlevered holding strategy or through sustainable non-mark-to- market financing arrangements. Execution NYMT executes a low-levered credit strategy within the multi-family and single-family sectors by building portfolios through proprietary flow and bulk purchases where mid-teens returns are achievable on capital deployed. Portfolio Acquisitions (Dollar amounts in millions) Performing LoansBPL - Bridge/ Rental MF Loans/JV $292 $165 $273 $473 $715 $55 $93 $98 $133 $68 $96 $189 $157 $38 $56 $45 Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022 Securities, SFR & Other $6 $11 $19 $13 $364 $290 $505 $985 +16% $851
15See Glossary and End Notes in the Appendix. Strategy for Sustainable Financing NYMT Continues to Enhance Debt Structure Strategy Continue to primarily focus on investments away from CUSIP securities that do not rely on short-term callable mark-to-market leverage to generate attractive returns. Growth NYMT pursues a proprietary asset sourcing approach to lock-in investment pipelines with trusted counterparties within the multi-family and single-family credit sectors. Alongside the unencumbered portfolio and unrestricted cash, NYMT has the ability to organically grow the balance sheet. Leverage Increased utilization of non-MTM financing by issuing $513MM of debt under two securitizations at WAC of 3.07% to support portfolio of Performing Loans (mainly S&D, RPLs) and Bridge Loans. Quarterly Portfolio Financing Exposure (Dollar amounts in millions) MTM Repo Securitization FinancingNon-MTM Repo Unencumbered Cash 3/31/2021 6/30/2021 9/30/2021 12/31/2021 3/31/2022 Portfolio Recourse Leverage Ratio 0.1x 0.1x 0.4x0.2x0.2x $229 $209 $17 $846 $304 $1,390 $1,566 $1,405 $152 $1,512 $291 $325 $409 $686 $537 $688 $714 $539 $330 $297 $319 $698 $16 $1,150 $45
16See Glossary and End Notes in the Appendix. Strategy Update Evolution of Strategy Shift Cash Utilization Asset Rotation Deploy cash generated from 2020 loan strategy acceleration 2 3 Shift to higher yielding residential and multi-family loans Earnings-driven by cash redeployment at elevated coupons under sustainable financing Unrestricted Cash (in millions) % Cash of Total Investment Portfolio Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022 $0 $200 $400 $600 $800 $1,000 $1,200 0% 5% 10% 15% 20% 25% Investment Securities (in millions) Yield on Avg. Interest Earnings Assets Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022 $0 $300 $600 $900 $1,200 2% 4% 6% 8% Portfolio Re-Lever Increase utilization of non-mark-to market structures Non-MTM Utilized (in millions) Avg Portfolio Financing Cost Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 Q1 2022 $0 $300 $600 $900 $1,200 $1,500 $1,800 0% 1% 2% 3% 4% 1 (L-axis) (R-axis) (L-axis) (R-axis) (L-axis) (R-axis)
17See Glossary and End Notes in the Appendix. Single-Family Portfolio Overview Core Strategy Sub-Sector Asset Value Net Capital Portfolio Recourse Leverage Ratio Total Portfolio Leverage Ratio Loan Key Characteristics Current Environment % $ % $ Avg. FICO Avg. LTV Avg. Coupon BPL - Bridge • Bridge loans • Bridge w/Rehab loans 41% $1,380 57% $790 0.3x 0.8x • NYMT Bridge loan investment activity continues to be a primary focus as quality of pipeline continues to improve. • Short duration bridge loans are less susceptible to recent rate moves as loan spread is high and duration is short. BPL - Rental • DSCR 7% $242 5% $72 2.4x 2.4x • Securitization execution for DSCR financing worsened QoQ with wider spreads and higher rates. • NYMT expansion into DSCR at end of 2021 allows portfolio WAC to rapidly increase. • In an environment where rental provides superior housing affordability options versus homeownership, growth potential is large. Performing Loan • S&D • Other 18% $611 12% $163 2.3x 2.8x • Originator gain-on-sale is challenged in suddenly higher rate regime, creating pressure for originators to sell S&D loans faster. • More opportunities arising in S&D with lower coupons sold at a larger discount to par given wider yields. RPL • Seasoned re- performing mortgage loans • Non-performing mortgage loans 22% $750 8% $112 0.2x 6.0x • Q1 securitization allows for double digit return as housing fundamentals support stable equity cash flows. • Unattractive landscape for new investment activity due to elevated financing costs at tight asset yields. Securities • Non-Agency (includes Consolidated SLST - $214MM) 9% $290 12% $169 0.8x 0.8x • After torrid pace of securitization issuance in Q1 (+35% QoQ), investors are looking for higher returns to avoid MTM losses. Dollar amounts in millions Total Investment Portfolio 81% Total Capital 63% 1/5 Underlying Collateral Allocation Dollar amounts in millions 8 5 0 6 6 % 2 . 8 9 % 7 6 6 730 850 746 850 723 850 65% 69% 66% 3.92% 4.81% 8.53% 64% 4.83% 629 850 Target ROE 12-15%
18See Glossary and End Notes in the Appendix. Single-Family Business Purpose Loan-Bridge Strategy NYMT Expertise Expertise & Background ◦ Deep experience managing different whole loan strategies across the credit spectrum. ◦ Managed rehabilitation and sale of real estate-owned assets for over 10 years. NYMT Differentiation ◦ Source business purpose loans through flow and bulk trades with multiple originator, asset manager and broker-dealer relationships. ◦ We seek to compete on process, not price, to gain market share in the BPL sector by leveraging technology to expedite loan funding timelines. ◦ We contribute to partner sourcing by uncovering new borrower relationships for our originator partners. Strategy & Initiatives ◦ Focus: – Markets with acute housing shortages – Borrowers with proven business plans – Low LTV – Low rehab requirements Loan Key Characteristics Avg. FICO Avg. Coupon Avg. LTARV Avg. LTC Loan Count: 2,593 UPB ($MM): $1,375 Borrower Experience DQ 60+ Maturity (months) 9.1 projects 5.0% 14.5 730 850 8.53% % o f B PL P or tf ol io Distribution of Project Rehab Costs 24% 22% 17% 10% 6% 5% 17% —% >0%-15% 16%-30% 31%-45% 46%-60% 61%-75% >75% 73%66% % of Initial Cost
19See Glossary and End Notes in the Appendix. Multi-Family Portfolio Overview Core Strategy Sub-Sector Asset Value Net Capital Loan Key Characteristics Current Environment % $ % $ Avg. DSCR Avg. LTV Avg. Coupon/ Target IRR Mezzanine Lending Preferred equity and mezzanine direct originations 42% $293 42% $279 • Sentiment shifted from 2-3 year asset bridge financing to longer, fixed 7 and 10 year financing. • With increased sponsor utilization of senior fixed rate loans, mezzanine lending opportunities are expected to increase. Joint Venture Equity Equity ownership of an individual multi- family property alongside an operating partner 54% $378 56% $378 • Buyer and seller pricing discovery is becoming challenging as funding cost increased for 2022 against little change in QoQ underlying asset cap rates. • Despite credit market financing turbulence, we forecast ample availability of senior fixed rate financing, as Agency lending is far from reaching multi-family origination caps. Dollar amounts in millions Total Investment Portfolio 17% Total Capital 30% 2.31x 1.47x 83% 78% 13-17% 11.82% Target ROE 12-17%
20See Glossary and End Notes in the Appendix. Market Competition Style Unit Interiors Common Areas to Multi-Family Target Strategy Asset Summary Asset Information ◦ Secondary and Tertiary Markets, primarily South / Southeast ◦ Class B- through A- ◦ Garden and Mid-rise product ◦ 200 - 400 units ◦ $1,200 - $1,350 average unit rent ◦ Value add opportunities Business Plan ◦ Acquisition – Underwrite investment – Scope capital improvement plan – Complete diligence process ◦ Renovation – Unit interiors – Common area – Deferred maintenance ◦ Asset management – Monthly review of operating results – Quarterly site visits – Annual budget reviews ◦ Disposition – Actively involved in sales conversations with sponsor Target Improvement N/A Target Product
21See Glossary and End Notes in the Appendix. The example analyses included above are for illustrative purpose only and are intended to illustrate the hypothetical performance of certain of the Company’s investments. Multi-Family Target Strategy - Mezzanine Lending Typical Terms Loan Amount $10 - $20 million Initial LTV 90% - 95% After-Transition LTV 80% - 85% Coupon Accrual 11.0% - 12.0% Minimum Return Multiple 1.3 - 1.5x Loan Amount Expected Term 3 to 6 years Major Rights • Capital and operating budget approval • Construction process approval • Major decision approval • Sale/Changeover rights Senior (70%) NYMT Mezzanine (20%) Sponsor (10%) Hypothetical Mezzanine Lending Investment Dollar Amounts in Thousands Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Loan Amount $ (10,000) $ — $ — $ — $ — $ — Origination and underwriting fees 115 — — — — — Coupon Accrual (11.5%) 1,202 1,284 1,379 1,478 1,701 Loan Payoff — — — — 10,000 Total Proceeds at Loan Payoff — — — — 14,294 Annualized Return 12% 12% 12% 12% 12% Total Investment Capital Stack IRR 12.6% Realized Multiple 1.7x
22See Glossary and End Notes in the Appendix. The example analyses included above are for illustrative purpose only and are intended to illustrate the hypothetical performance of certain of the Company’s investments. Multi-Family Target Strategy - Joint Venture Equity Typical Terms Investment Amount $15 - $30 million Capital Stack 75% - 100% Common Equity Share 75% - 95% Target IRR 13% - 17% NYMT Asset Management Fee 0.5% - 1.0% Promote Split (NYMT/Operating Partner) 30% - 40% / 70% - 60% Horizon 3 to 5 years Major Rights • Capital and operating budget approval • Construction process approval • Major decision approval • Changeover rights • Buy/Sell after a 2-year lockout • Right to market the propertySenior (80%) NYMT Common (18%) Sp on so r (2 % ) Statement of Operations Impact from Hypothetical Investment Dollar Amounts in Thousands Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Investment amount $ (20,500) Net operating income from real estate: Property revenue $ 6,100 $ 6,800 $ 7,200 $ 7,600 $ 7,800 Property expenses (3,100) (3,300) (3,400) (3,600) (3,700) NYMT Asset Management Fee (61) (68) (72) (76) (78) Net operating income from real estate 2,939 3,432 3,728 3,924 4,022 Debt expense (1,800) (2,200) (2,500) (2,800) (2,800) Depreciation expense (2,500) (2,500) (2,500) (2,500) (2,500) Amortization of lease intangibles (3,000) — — — — Gain on sale of real estate — — — — 37,200 Gross (loss) income from real estate $ (4,361) $ (1,268) $ (1,272) $ (1,376) $ 35,922 Less: Loss (income) to JV Partner (5% ownership interest) 200 100 100 100 (5,400) Net (loss) income from real estate $ (4,161) $ (1,168) $ (1,172) $ (1,276) $ 30,522 Total Investment Capital Stack IRR 17%
23 Current Focus New York Mortgage Trust 90 Park Avenue New York, New York 10016 Utilize a Strong Balance Sheet to Capture Superior Market Opportunities ◦ Selective investment across residential housing sector to capture superior market opportunities ◦ Continue to pursue targeted assets from existing relationships under a flexible, low operating cost structure ◦ Continue to generate attractive returns with minimal Portfolio Recourse Leverage to protect book value The Company continues to pursue targeted assets through proprietary channels and prudent liability management to increase profitability and protect book value.
Quarterly Comparative Financial Information
25See Glossary and End Notes in the Appendix. Portfolio Yields by Strategy Quarter over Quarter Comparison Portfolio Net Interest Margin (1Q’22 vs 4Q’21) Portfolio net interest margin for the first quarter was 3.87%, an increase of 24 bps from the prior quarter primarily due to continued investment in higher-yielding business purpose loans during the quarter. Multi-family net interest margin decrease can be primarily attributed to financing of $17.0 million on certain CMBS during the quarter. Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Single-Family Avg. Interest Earning Assets $ 2,926,764 $ 2,590,388 $ 2,608,604 $ 2,535,085 $ 2,504,777 Yield on Avg. Interest Earning Assets 6.40 % 6.19 % 6.00 % 5.91 % 5.63 % Average Financing Cost (2.93) % (2.94) % (3.14) % (3.34) % (3.61) % Single-Family Net Interest Margin 3.47 % 3.25 % 2.86 % 2.57 % 2.02 % Multi-Family Avg. Interest Earning Assets $ 142,584 $ 158,424 $ 195,431 $ 288,889 $ 310,347 Yield on Avg. Interest Earning Assets 9.29 % 9.51 % 8.69 % 7.94 % 7.93 % Average Financing Cost (2.39) % — % — % — % — % Multi-Family Net Interest Margin 6.90 % 9.51 % 8.69 % 7.94 % 7.93 % Portfolio Total Avg. Interest Earning Assets $ 3,091,844 $ 2,772,140 $ 2,830,503 $ 2,854,627 $ 2,846,776 Yield on Avg. Interest Earning Assets 6.80 % 6.57 % 6.39 % 6.31 % 6.03 % Average Financing Cost (2.93) % (2.94) % (3.14) % (3.34) % (3.61) % Portfolio Net Interest Margin 3.87 % 3.63 % 3.25 % 2.97 % 2.42 %
26See Glossary and End Notes in the Appendix. Net Interest Income (1Q’22 vs 4Q’21) Portfolio net interest income increased in the current quarter as compared to the previous quarter, primarily due to our continued investment in higher- yielding business purpose loans. The increase in single-family net interest income was partially offset by a decrease in multi-family interest income due to redemptions related to our preferred equity investments accounted for as loans. Total net interest income includes interest expense related to our subordinated debentures, convertible notes, senior unsecured notes and mortgages payable on real estate. Interest expense related to mortgages payable on real estate increased by $5.1 million from the previous quarter as a result of the full quarter impact of multi-family joint venture investments consolidated in the previous quarter as well as additional multi-family joint venture investments entered into and consolidated in the current quarter. The total increase in interest expense was partially offset by a decrease of $2.4 million in expense related to the Company's convertible notes, which were fully redeemed at the beginning of the quarter. Interest Income & Interest Expense Breakout by Investment Category Net Interest Income Quarter over Quarter Comparison Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Single-Family Interest Income $ 46,823 $ 40,073 $ 39,144 $ 37,455 $ 35,259 Interest Expense (12,975) (7,832) (8,163) (8,748) (9,043) Single-Family Net Interest Income $ 33,848 $ 32,241 $ 30,981 $ 28,707 $ 26,216 Multi-Family Interest Income $ 3,312 $ 3,767 $ 4,247 $ 5,734 $ 6,152 Interest Expense (12) — — — — Multi-Family Net Interest Income $ 3,300 $ 3,767 $ 4,247 $ 5,734 $ 6,152 Total Portfolio Interest Income $ 52,523 $ 45,554 $ 45,207 $ 45,036 $ 42,934 Interest Expense (12,987) (7,832) (8,163) (8,748) (9,043) Total Portfolio Net Interest Income $ 39,536 $ 37,722 $ 37,044 $ 36,288 $ 33,891 Non-Portfolio Interest Expense Corporate Debt $ (2,500) $ (4,872) $ (4,866) $ (4,383) $ (3,241) Mortgages payable on real estate (7,157) (2,078) (1,147) (430) (310) Total Net Interest Income $ 29,879 $ 30,772 $ 31,031 $ 31,475 $ 30,340
27See Glossary and End Notes in the Appendix. Non-Interest (Loss) Income Quarter over Quarter Comparison Realized Gains (Losses), net (1Q’22 vs 4Q’21) Net realized gains on residential loans are primarily a result of loan prepayment activity that generated $3.9 million in net realized gains during the quarter. Net realized gains of $0.4 million on investment securities is related to the sale of non-Agency RMBS during the quarter. Unrealized (Losses) Gains, net (1Q’22 vs 4Q’21) Unrealized losses during the quarter can be attributed to credit spread widening, which translated to decreases in the fair value of our residential loans, investment securities and securities we own in Consolidated SLST. Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Residential loans $ 3,432 $ 5,224 $ 3,219 $ 4,597 $ 2,683 Investment securities 374 (4,134) 5,095 392 4,375 Total Realized Gains, net $ 3,806 $ 1,090 $ 8,314 $ 4,989 $ 7,058 Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Residential loans $ (63,299) $ 10,684 $ 20,074 $ 5,902 $ 18,677 Consolidated SLST (15,279) 513 4,302 9,793 9,225 Preferred equity and mezzanine loan investments (455) 326 392 190 105 Investment securities (4,626) 3,968 5,370 7,969 (1,841) Total Unrealized (Losses) Gains, net $ (83,659) $ 15,491 $ 30,138 $ 23,854 $ 26,166
28See Glossary and End Notes in the Appendix. Non-Interest (Loss) Income Quarter over Quarter Comparison Income from Equity Investments (1Q’22 vs 4Q’21) Preferred return on preferred equity investments accounted for as equity decreased to $5.7 million as a result of redemptions received in the latter portion of the prior quarter and in the current quarter. An investment in an entity that invests in residential properties was also partially redeemed during the quarter, resulting in a decrease in income. Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Preferred return on preferred equity investments accounted for as equity $ 5,662 $ 7,177 $ 6,172 $ 5,531 $ 5,376 Unrealized gains (losses), net on preferred equity investments accounted for as equity 113 (256) (294) 805 123 Income from unconsolidated joint venture equity investments in multi- family properties 250 150 — — — Income (loss) from entities that invest in or originate residential properties and loans 28 4,804 2,137 4,271 (2,100) Total Income from Equity Investments $ 6,053 $ 11,875 $ 8,015 $ 10,607 $ 3,399 Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Preferred equity and mezzanine loan premiums resulting from early redemption $ 1,503 $ 3,147 $ 117 $ 1,459 $ 571 Gain on sale of real estate held for sale 370 — — — — Loss on extinguishment of debt (603) — (1,583) — — Miscellaneous income 157 125 431 217 1,031 Total Other Income (Loss) $ 1,427 $ 3,272 $ (1,035) $ 1,676 $ 1,602 Other Income (Loss) (1Q’22 vs 4Q’21) The decrease in other income in the first quarter is primarily related to a decrease in redemption premium recognized from early repayment of preferred equity investments during the quarter as compared to the previous quarter. The Company also recognized loss on the extinguishment of a mortgage payable in connection with the sale of a real estate investment during the quarter, which was partially offset by a realized gain on sale of the related assets.
29See Glossary and End Notes in the Appendix. Net Loss from Real Estate Quarter over Quarter Comparison Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Income from real estate $ 25,589 $ 7,605 $ 3,980 $ 2,150 $ 1,495 Interest expense, mortgages payable on real estate (1) (7,157) (2,077) (1,147) (430) (310) Expenses related to real estate: Depreciation expense on operating real estate (2) (10,111) (2,394) (1,749) (838) (681) Amortization of lease intangibles related to operating real estate (2) (25,475) (6,837) (3,993) (1,516) (1,242) Other expenses (12,403) (4,232) (2,807) (1,559) (1,001) Total expenses related to real estate (47,989) (13,463) (8,549) (3,913) (2,924) Net Loss from Real Estate $ (29,557) $ (7,935) $ (5,716) $ (2,193) $ (1,739) Net loss attributable to non-controlling interest 14,869 1,296 394 1,625 1,409 Net (Loss) Income from Real Estate Attributable to the Company $ (14,688) $ (6,639) $ (5,322) $ (568) $ (330) Net Loss from Real Estate (1Q’22 vs 4Q’21) The increase in both income from and expenses related to real estate in the first quarter is primarily related to the full quarter impact of multi-family joint venture investments made in the previous quarter as well as additional multi-family joint venture investments made during the current quarter. These multi-family joint venture investments are consolidated in the Company's financial statements in accordance with GAAP and a significant portion of the net loss is attributable to the $35.6 million of depreciation expense and amortization of lease intangibles related to the operating real estate. (1) Included in interest expense in the Company's condensed consolidated statements of operations. (2) See Slide 35 for amounts of depreciation expense and amortization of lease intangibles related to operating real estate attributable to the Company.
30See Glossary and End Notes in the Appendix. Expense Analysis Quarter over Quarter Comparison General and Administrative Expenses (1Q’22 vs 4Q’21) Increase in general and administrative expenses is largely related to increase in commission expense due to record funding of multi-family investments, an increase in salary and stock-based compensation expenses, due in part to an increase in employee headcount, and additional state capital tax expense. Portfolio Operating Expenses (1Q’22 vs 4Q’21) Portfolio operating expenses increased by $1.4 million primarily due to the continued growth of the business purpose loan portfolio. Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Portfolio Operating Expenses $ 9,489 $ 8,111 $ 7,039 $ 6,688 $ 4,830 Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Salaries, benefits and directors' compensation $ 10,798 $ 9,765 $ 8,612 $ 9,797 $ 8,796 Other general and administrative expenses 3,560 2,724 3,846 2,723 2,645 Total General and Administrative Expenses $ 14,358 $ 12,489 $ 12,458 $ 12,520 $ 11,441
31See Glossary and End Notes in the Appendix. Other Comprehensive (Loss) Income Other Comprehensive (Loss) Income (1Q’22 vs 4Q’21) The change in other comprehensive income is primarily due to unrealized losses on investment securities as a result of interest rate increases and spread widening during the first quarter. Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 NET (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ (84,343) $ 22,460 $ 36,861 $ 42,944 $ 41,911 OTHER COMPREHENSIVE (LOSS) INCOME (Decrease) increase in fair value of investment securities available for sale (2,188) (314) 637 3,788 638 Reclassification adjustment for net loss (gain) included in net income — 51 (6,045) (213) 2,242 TOTAL OTHER COMPREHENSIVE (LOSS) INCOME (2,188) (263) (5,408) 3,575 2,880 COMPREHENSIVE (LOSS) INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS $ (86,531) $ 22,197 $ 31,453 $ 46,519 $ 44,791
32See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Book Value Changes in Book Value The following table analyzes the changes in book value and undepreciated book value* of our common stock for the quarter ended March 31, 2022. Amounts in Thousands, except per share Amount Shares Per Share Beginning Balance, Book Value $ 1,783,906 379,405 $ 4.70 Common stock issuance, net 1,352 1,844 Balance after share activity 1,785,258 381,249 4.69 Dividends and dividend equivalents declared (38,234) (0.10) Net change in accumulated other comprehensive income (loss): Investment securities available for sale (2,188) (0.01) Net loss attributable to Company's common stockholders (84,343) (0.22) Ending Balance, Book Value $ 1,660,493 381,249 $ 4.36 Add: Cumulative depreciation expense on operating real estate (1) 9,772 0.02 Cumulative amortization of lease intangibles related to operating real estate (1) 25,303 0.07 Ending Balance, Undepreciated Book Value* $ 1,695,568 381,249 $ 4.45 Quarter Ended March 31, 2022 (1) Represents life to date adjustments for depreciation expense and amortization of lease intangibles related to operating real estate attributable to the Company for the quarterly period presented.
33See Glossary and End Notes in the Appendix. *Represents a non-GAAP financial measure. See Non-GAAP Financial Measures in the Appendix. Economic Return: Change in Book Value for the period + Dividends declared for the period, divided by the beginning period Book Value. Economic Return on Undepreciated Book Value:* Change in Undepreciated Book Value for the period + Dividends declared for the period, divided by the beginning period Undepreciated Book Value. Total Rate of Return: Change in Stock Price for the period + Dividends declared for the period, divided by the beginning period Stock Price. Annual and Quarterly Returns Economic/Total Rate 1Q'22 2021 2020 2019 Book Value Beginning $ 4.70 $ 4.71 $ 5.78 $ 5.65 Ending $ 4.36 $ 4.70 $ 4.71 $ 5.78 Change in Book Value $ (0.34) $ (0.01) $ (1.07) $ 0.13 Dividends Q1 $ 0.10 $ 0.10 $ — $ 0.20 Q2 0.10 0.05 0.20 Q3 0.10 0.075 0.20 Q4 0.10 0.10 0.20 Total $ 0.10 $ 0.40 $ 0.225 $ 0.80 Economic Return (5.1)% 8.3 % (14.6) % 16.5 % Undepreciated Book Value* Beginning $ 4.74 $ 4.71 $ 5.78 $ 5.65 Ending $ 4.45 $ 4.74 $ 4.71 $ 5.78 Change in Undepreciated Book Value $ (0.29) $ 0.03 $ (1.07) $ 0.13 Economic Return on Undepreciated Book Value* (4.0) % 9.1 % (14.6) % 16.5 % 1Q'22 2021 2020 2019 Stock Price Beginning $ 3.72 $ 3.69 $ 6.23 $ 5.89 Ending $ 3.65 $ 3.72 $ 3.69 $ 6.23 Change in Stock Price $ (0.07) $ 0.03 $ (2.54) $ 0.34 Total Rate of Return 0.8% 11.7 % (37.2) % 19.4 %
Appendix
35See Glossary and End Notes in the Appendix. Non-GAAP Financial Measures Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Net (loss) income attributable to Company's common stockholders $ (84,343) $ 22,460 $ 36,861 $ 42,944 $ 41,911 Add: Depreciation expense on operating real estate 6,159 2,237 1,655 296 193 Amortization of lease intangibles related to operating real estate 13,979 6,348 3,674 781 521 Undepreciated (loss) earnings $ (64,205) $ 31,045 $ 42,190 $ 44,021 $ 42,625 Weighted average shares outstanding - basic 380,795 379,346 379,395 379,299 378,881 Undepreciated (loss) earnings per common share $ (0.17) $ 0.08 $ 0.11 $ 0.12 $ 0.11 Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Company's stockholders' equity $ 2,217,618 $ 2,341,031 $ 2,357,793 $ 2,321,161 $ 2,308,853 Preferred stock liquidation preference (557,125) (557,125) (561,027) (521,822) (521,822) GAAP Book Value 1,660,493 1,783,906 1,796,766 1,799,339 1,787,031 Add: Cumulative depreciation expense on operating real estate 9,772 4,381 2,144 489 193 Cumulative amortization of lease intangibles related to operating real estate 25,303 11,324 4,976 1,302 521 Undepreciated book value $ 1,695,568 $ 1,799,611 $ 1,803,886 $ 1,801,130 $ 1,787,745 Common shares outstanding - basic 381,249 379,405 379,286 379,372 379,273 GAAP book value per common share $ 4.36 $ 4.70 $ 4.74 $ 4.74 $ 4.71 Undepreciated book value per common share $ 4.45 $ 4.74 $ 4.76 $ 4.75 $ 4.71 Undepreciated (Loss) Earnings Undepreciated Book Value Per Common Share In addition to the results presented in accordance with GAAP, this supplemental presentation includes certain non-GAAP financial measures, including undepreciated earnings and undepreciated book value per common share. Our management team believes that these non-GAAP financial measures, when considered with our GAAP financial statements, provide supplemental information useful for investors as it enables them to evaluate our current performance using the same metrics that management uses to operate the business. Our presentation of non-GAAP financial measures may not be comparable to similarly-titled measures of other companies, who may use different calculations. Because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations of the non-GAAP financial measures included in this supplemental presentation to the most directly comparable financial measures prepared in accordance with GAAP should be carefully evaluated.
36See Glossary and End Notes in the Appendix. The following defines certain of the commonly used terms in this presentation: "Agency" refers to CMBS or RMBS representing interests in or obligations backed by pools of mortgage loans issued and guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”); "Average Interest Earning Assets" is calculated each quarter for the interest earning assets in our investment portfolio based on daily average amortized cost for the respective periods and excludes cash and cash equivalents and all Consolidated SLST assets other than those securities owned by the Company; "Average Interest Bearing Liabilities" is calculated each quarter for our interest bearing liabilities based on daily average outstanding balance for the respective periods; "Average Financing Cost" is calculated by dividing annualized interest expense relating to our interest earning assets by average interest bearing liabilities, excluding our subordinated debentures, convertible notes, senior unsecured notes and mortgages payable on real estate; "BPL" refers to business purpose loans; "BPL-Bridge" refers to short-term business purpose loans collateralized by residential properties made to investors who intend to rehabilitate and sell the residential property for a profit; "BPL-Rental" refers to business purpose loans which finance (or refinance) non-owner occupied residential properties that are rented to one or more tenants; "Capital Allocation" refers to the net capital allocated (see Appendix - "Capital Allocation"); "CDO" or "collateralized debt obligation" includes debt that permanently finances the residential loans held in Consolidated SLST and the Company's residential loans held in securitization trusts and non-Agency RMBS re-securitization that we consolidate or consolidated in our financial statements in accordance with GAAP; "CMBS" refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities issued by a GSE, as well as PO, IO or mezzanine securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans; "Company Recourse Leverage Ratio" represents total outstanding repurchase agreement financing plus subordinated debentures, convertible notes and senior unsecured notes divided by the Company's total stockholders' equity. Does not include collateralized debt obligations and mortgages payable on real estate as they are non-recourse debt to the Company; "Consolidated SLST" refers to a Freddie Mac-sponsored residential mortgage loan securitization, comprised of seasoned re-performing and non-performing residential mortgage loans, of which we own the first loss subordinated securities and certain IOs, that we consolidate in our financial statements in accordance with GAAP; "Consolidated SLST CDOs" refers to the debt that permanently finances the residential mortgage loans held in Consolidated SLST that we consolidate in our financial statements in accordance with GAAP; "Consolidated VIEs" refers to variable interest entities (“VIEs”) where the Company is the primary beneficiary, as it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE and that the Company consolidates in its consolidated financial statements in accordance with GAAP; "Corporate Debt" refers to subordinated debentures, convertible notes and senior unsecured notes, collectively; "DSCR" refers to debt service coverage ratio; "Economic Return" is calculated based on the periodic change in GAAP book value per share plus dividends declared per common share during the respective period; "Economic Return on Undepreciated Book Value" is calculated based on the periodic change in undepreciated book value per common share, a non-GAAP measure, plus dividends declared per common share during the respective periods. "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; Glossary
37See Glossary and End Notes in the Appendix. "JV" refers to joint venture; "LTARV" refers to loan-to-after repair value ratio; "LTC" refers to loan-to-cost ratio; "LTV" refers to loan-to-value ratio; "Market Capitalization" is the outstanding shares of common stock and preferred stock multiplied by closing common stock and preferred stock market price as of the date indicated; "Mezzanine Lending" refers to the Company's preferred equity in, and mezzanine loans to, entities that have multi-family real estate assets; "MF" refers to multi-family; "MTM" refers to mark-to-market; "Net Interest Margin" is the difference between the Yield on Average Interest Earning Assets and the Average Financing Cost; "non-Agency RMBS" refers to RMBS that are not guaranteed by any agency of the U.S. Government or GSE; "POs" refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans; "Portfolio Net Interest Income" represents net interest income excluding interest expense generated by Corporate Debt and mortgages payable on real estate; "Portfolio Recourse Leverage Ratio" represents outstanding repurchase agreement financing divided by the Company's total stockholders' equity; "RMBS" refers to residential mortgage-backed securities backed by adjustable-rate, hybrid adjustable-rate, or fixed-rate residential loans; "ROE" refers to return on equity; "RPL" refers to pools of seasoned re-performing, non-performing and other delinquent mortgage loans secured by first liens on one- to four-family properties; "S&D" refers to scratch and dent mortgage loans secured by a mortgage lien on a one- to four- family residential property intended by the originator to conform with Fannie Mae, Freddie Mac or other conduit standards but did not meet the originally intended origination guidelines due to errors in relevant documentation, credit underwriting of the borrower, consumer disclosures or other applicable requirements; "SF" refers to single-family; "SFR" refers to single-family rental properties; "Total Investment Portfolio" refers to the carrying value of investments actually owned by the Company (see Appendix – “Capital Allocation”); "Total Portfolio Leverage Ratio" represents outstanding repurchase agreement financing plus residential CDOs issued by the Company related to the strategy divided by the net capital allocated to the strategy; "Total Rate of Return" is calculated based on the change in price of the Company's common stock plus dividends declared per common share during the respective period; "Undepreciated Book Value" is a non-GAAP financial measure that represents the Company's GAAP book value excluding the Company's share of cumulative depreciation and lease intangible amortization expenses related to operating real estate held at the end of the period; "Undepreciated Earnings" is a non-GAAP financial measure that represents GAAP net income (loss) attributable to Company's common stockholders excluding the Company's share in depreciation and lease intangible amortization expenses related to operating real estate; "W/A" refers to weighted average; and "Yield on Average Interest Earning Assets" is calculated by dividing annualized interest income relating to interest earning assets by Average Interest Earning Assets for the respective periods. Glossary
38See Glossary and End Notes in the Appendix. End Notes Slide 1 • Image(s) used under license from Shutterstock.com. Slide 3 • Image(s) used under license from Shutterstock.com. Slide 6 • Refer to Appendix - "Capital Allocation" for a detailed breakout of Capital Allocation and Total Investment Portfolio. Slide 7 • Image(s) used under license from Shutterstock.com. Slide 9 • Total Portfolio Size and Investment Allocation of the investment portfolio represent balances as of March 31, 2022 (see Appendix – “Capital Allocation”). Slide 11 • Acquisitions, Prepayments and Redemptions for the 4Q 2021 period presented exclude previously held mezzanine lending investments that were recapitalized as joint venture equity investments in the fourth quarter of 2021. Slide 13 • Units of single-family homes for sale sourced from the National Association of Realtors. • Months of supply available for sale sourced from Bloomberg. • Originator profitability and origination decline sourced from "Housing Finance at a Glance - A Monthly Chartbook" published by the Urban Institute in April 2022. • BPL-Bridge, S&D and Mezzanine Lending amounts represent the fair value of the assets as of March 31, 2022. • JV amounts represent the net equity investment in consolidated and unconsolidated multi-family apartment properties. • BPL-Bridge, S&D and Mezzanine Lending/JV percentages represent the percentage of the Total Investment Portfolio as of March 31, 2022 (see Appendix - "Capital Allocation"). • LTV (at cost) represents the weighted average loan-to-cost calculated using the initial loan amount at origination (exclusive of any debt service, rehab escrows and other escrows or other amounts not funded to the borrower at closing) and initial cost basis. Initial cost basis is calculated as the purchase cost for non-re-financed loans or the as-is-value for re-financed loans. • LTV (after repair) represents the weighted average loan-to-value calculated using the maximum loan amount and original after-repair value per the appraisal or broker price opinion obtained for the mortgage loan (only applicable for loans with rehab component). Slide 14 • Portfolio acquisitions represent the cost of assets acquired by the Company during the periods presented. Slide 15 • MTM Repo includes MTM repurchase agreement financing. • Non-MTM Repo includes non-MTM repurchase agreement financing. • Securitization Financing includes residential loan securitizations. • Unencumbered represents investment securities and residential loans. • Cash represents cash and cash equivalents at quarter-end for each of the periods indicated less cash required to redeem corporate debt maturing within the next 30 days. Slide 16 • Non-MTM Utilized represents the non-MTM repurchase agreement financing, residential loan securitizations and non-Agency RMBS re- securitization outstanding at quarter-end for each of the periods indicated. • Unrestricted Cash represents cash and cash equivalents at quarter-end for each of the periods indicated less cash required to redeem corporate debt maturing within the next 30 days. • % Cash of Total Investment Portfolio represents Unrestricted Cash divided by the Total Investment Portfolio at quarter-end for each of the periods indicated.
39See Glossary and End Notes in the Appendix. End Notes • Investment Securities represents the fair value of investment securities, available for sale held at quarter-end for each of the periods indicated. Investment securities, available for sale does not include Consolidated SLST securities owned by the Company. Slide 17 • As of March 31, 2022. Refer to Appendix - "Capital Allocation" for a detailed breakout of Total Investment Portfolio, Total Capital, and Net Capital. • Asset Value represents the fair value of the assets as of March 31, 2022. • Asset Value and Net Capital for Securities include Consolidated SLST securities owned by the Company with a fair value of $214 million and other non-Agency RMBS with a fair value of $76 million. • Portfolio Recourse Leverage Ratio represents outstanding repurchase agreement financing related to the strategy divided by the net capital allocated to the strategy. • Total Portfolio Leverage Ratio represents outstanding repurchase agreement financing plus residential CDOs issued by the Company related to the strategy divided by the net capital allocated to the strategy. • Average FICO and Average Coupon for RPL Strategy, BPL-Bridge Strategy , BPL-Rental Strategy and Performing Loan Strategy represent the weighted average borrower FICO score and weighted average gross coupon rate for residential loans held as of March 31, 2022. • Average LTV for RPL Strategy, BPL-Rental Strategy and Performing Loan Strategy represents the weighted average loan-to-value for residential loans held as of March 31, 2022. • Average LTV for BPL-Bridge Strategy represents the weighted average loan-to-after repair value for residential loans, calculated using the maximum loan amount and original after-repair value per the appraisal or broker price opinion obtained for the mortgage loan (only applicable for loans with rehab component). Slide 18 • UPB represents the interest bearing balance of the BPL-Bridge strategy portfolio as of March 31, 2022. Average FICO and Average Coupon represent the weighted average borrower FICO score and weighted average gross coupon rate for loans within the BPL-Bridge strategy that were held as of March 31, 2022. • Average LTARV represents the weighted average loan-to-after repair value calculated using the maximum loan amount and original after- repair value per the appraisal or broker price opinion obtained for the mortgage loan (only applicable for loans with rehab component). • Average LTC represents the weighted average loan-to-cost calculated using the initial loan amount at origination (exclusive of any debt service, rehab escrows and other escrows or other amounts not funded to the borrower at closing) and initial cost basis. Initial cost basis is calculated as the purchase cost for non-re-financed loans or the as-is- value for re-financed loans. • Borrower Experience represents the weighted average historical number of investments or rehabilitation projects attributed to BPL- Bridge strategy borrowers that is used by the originator or asset manager in the underwriting or acquisition of the loan, as determined by that originator’s or asset manager’s underwriting criteria. • DQ 60+ refers to loans greater than 60 days delinquent. • Maturity represents the weighted average months to maturity for loans held within the BPL-Bridge strategy as of March 31, 2022. • Amounts underlying the Distribution of Project Rehab Costs table were calculated using the initial cost basis, construction estimate and the outstanding UPB as of March 31, 2022. Initial cost basis is calculated as the purchase cost for non-re-financed loans and the as- is-value for re-financed loans.
40See Glossary and End Notes in the Appendix. End Notes Slide 19 • As of March 31, 2022. Refer to Appendix - "Capital Allocation" for a detailed breakout of Total Investment Portfolio, Total Capital, and Net Capital. • Asset Value for Mezzanine Lending investments represents the fair value of the investments. • Asset Value for Joint Venture Equity investments represents the Company's net equity investment in consolidated and unconsolidated multi-family apartment properties. Refer to Appendix - "Reconciliation of Joint Venture Equity Investments" for a detailed breakout. • Average DSCR and Average LTV of Mezzanine Lending investments represent the weighted average debt service coverage ratio and weighted average combined loan-to-value of the underlying properties, respectively, as of March 31, 2022. • Average coupon rate of Mezzanine Lending investments is a weighted average rate based upon the unpaid principal amount and contractual interest or preferred return rate as of March 31, 2022. • Average DSCR and Average LTV for Joint Venture Equity investments represent the debt service coverage ratio and loan-to-value of the underlying property, respectively, as of March 31, 2022. • Target IRR for Joint Venture Equity investments represents the range of estimated internal rates of return for the investments. Slide 22 • The following are certain of the terms and assumptions made related to the hypothetical investment: 1) Initial Equity Investment - $ 20.5 million; 2) NYMT Common Equity Share – 95%; 3) Initial Purchase Price - $73.8 million; 4) LTV – 73%; 5) Promote Split (NYMT/Operating Partner) – 40%/60%; 6) Exit Cap Rate – 5% and 7) Exit Value – 135% of Initial Purchase Price. The performance of the hypothetical investments illustrated in the slide is derived from proprietary models developed by the Company and includes certain growth assumptions in revenue and expenses. Slide 23 • Image(s) used under license from Shutterstock.com. Slide 25 • Portfolio Total Avg. Interest Earning Assets, Portfolio Total Yield on Average Interest Earning Assets and Portfolio Net Interest Margin include amounts related to our “Other” portfolio not shown separately within the table. Slide 26 • Refer to Appendix - “Reconciliation of Net Interest Income" for reconciliation of net interest income for Single-Family. • Total Portfolio Interest Income, Total Portfolio Net Interest Income and Total Net Interest Income include amounts related to our “Other” portfolio not shown separately within the table. Slide 27 • Unrealized gains on Consolidated SLST includes unrealized gains/losses on the residential loans held in Consolidated SLST and unrealized gains/ losses on the CDOs issued by Consolidated SLST. Slide 32 • Outstanding shares used to calculate book value per common share for the quarter ended March 31, 2022 are 381,249,031. • Common stock issuance, net includes amortization of stock based compensation. • Net change in accumulated other comprehensive income (loss) may relate to the reclassification of previously recognized unrealized gains/losses reported in other comprehensive income to net realized gains/losses in relation to the sale of investment securities and net unrealized gains/losses on our investment securities. Slide 44 • Image(s) used under license from Shutterstock.com.
41See Glossary and End Notes in the Appendix. (1) The Company, through its ownership of certain securities, has determined it is the primary beneficiary of Consolidated SLST and has consolidated the assets and liabilities of Consolidated SLST in the Company’s condensed consolidated financial statements. Consolidated SLST is presented on our condensed consolidated balance sheets as residential loans, at fair value and collateralized debt obligations, at fair value. Our investment in Consolidated SLST as of March 31, 2022 was limited to the RMBS comprised of first loss subordinated securities and IOs issued by the securitization with an aggregate net carrying value of $214.1 million. (2) Represents the Company's equity investments in consolidated multi-family apartment communities. A reconciliation of the Company's equity investments in consolidated multi-family properties to the condensed consolidated financial statements is included below in "Reconciliation of Joint Venture Equity Investments." (3) Excludes cash in the amount of $33.3 million and restricted cash in the amount of $2.1 million held in the Company's equity investments in consolidated multi-family apartment properties. Restricted cash is included in the Company’s condensed consolidated balance sheets in other assets. (4) Represents total outstanding repurchase agreement financing, subordinated debentures and senior unsecured notes divided by the Company's total stockholders' equity. Does not include Consolidated SLST CDOs amounting to $754.3 million, residential loan securitization CDOs amounting to $1.1 billion and mortgages payable on real estate amounting to $1.1 billion as they are non-recourse debt for which the Company has no obligation. (5) Represents outstanding repurchase agreement financing divided by the Company's total stockholders' equity. Capital Allocation At March 31, 2022 (Dollar Amounts in Thousands) Single-Family (1) Multi-Family Other Total Residential loans $ 3,953,427 $ — $ — $ 3,953,427 Consolidated SLST CDOs (754,264) — — (754,264) Multi-family loans — 110,208 — 110,208 Investment securities available for sale 75,499 31,576 38,705 145,780 Equity investments — 193,194 32,106 225,300 Equity investments in consolidated multi-family properties (2) — 367,055 — 367,055 Single-family rental properties 83,780 — — 83,780 Total investment portfolio carrying value $ 3,358,442 $ 702,033 $ 70,811 $ 4,131,286 Repurchase agreements $ (910,097) $ (16,952) $ — $ (927,049) Residential loan securitization CDOs (1,143,855) — — (1,143,855) Senior unsecured notes — — (96,870) (96,870) Subordinated debentures — — (45,000) (45,000) Cash, cash equivalents and restricted cash (3) 97,321 — 271,230 368,551 Other (11,722) (13,861) (43,862) (69,445) Net Company capital allocated $ 1,390,089 $ 671,220 $ 156,309 $ 2,217,618 Company Recourse Leverage Ratio (4) 0.5x Portfolio Recourse Leverage Ratio (5) 0.4x
42See Glossary and End Notes in the Appendix. Reconciliation of Net Interest Income Dollar Amounts in Thousands 1Q'22 4Q'21 3Q'21 2Q'21 1Q'21 Single-Family Interest income, residential loans $ 41,467 $ 33,587 $ 31,488 $ 30,088 $ 27,630 Interest income, investment securities available for sale 1,954 3,348 4,527 4,039 4,415 Interest income, Consolidated SLST 9,380 9,902 10,245 10,479 10,318 Interest expense, Consolidated SLST CDOs (5,978) (6,764) (7,116) (7,151) (7,104) Interest income, Single-Family, net 46,823 40,073 39,144 37,455 35,259 Interest expense, repurchase agreements (5,519) (2,961) (3,110) (3,733) (4,040) Interest expense, residential loan securitizations (7,456) (4,871) (5,053) (5,015) (4,720) Interest expense, non-Agency RMBS re-securitization — — — — (283) Net Interest Income, Single-Family $ 33,848 $ 32,241 $ 30,981 $ 28,707 $ 26,216
43See Glossary and End Notes in the Appendix. Reconciliation of Joint Venture Equity Investments Dollar Amounts in Thousands At March 31, 2022 Cash and cash equivalents $ 33,340 Real estate, net 1,451,053 Lease intangible, net (a) 41,759 Other assets 23,153 Total assets $ 1,549,305 Mortgages payable on real estate, net $ 1,083,371 Other liabilities 13,135 Total liabilities $ 1,096,506 Redeemable non-controlling interest in Consolidated VIEs $ 53,361 Non-controlling interest in Consolidated VIEs 32,383 Company's Net Equity Investment in Consolidated Joint Ventures (b) $ 367,055 Equity investments (c) $ 10,690 Company's Total Net Equity in Joint Ventures $ 377,745 (a) Included in other assets in the Company's condensed consolidated balance sheets. (b) Represents the Company's net equity investment in consolidated multi-family apartment properties. (c) Represents the Company's equity investments in unconsolidated multi-family apartment properties.
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