x
|
ANNUAL
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
|
|
|
|
For
the Fiscal Year Ended December 31, 2007
|
|
|
o
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF
1934
|
|
|
|
For
the Transition Period From ____________ to
____________
|
|
|
Maryland
|
|
47-0934168
|
(State
or other jurisdiction of
incorporation
or organization)
|
|
(I.R.S.
Employer
Identification
No.)
|
Title
of Each Class
|
|
Name of Each Exchange on Which Registered
|
None
|
|
N/A
|
Document
|
|
Where
Incorporated
|
1.
Portions of the Registrant's Definitive Proxy
Statement relating to its 2008 Annual Meeting of
Stockholders scheduled
for June 2008 to be filed with the Securities and Exchange Commission
by
no later than April 30, 2008.
|
Part
III, Items 10-14
|
|
|
|
1
|
||
12
|
||
26
|
||
26
|
||
26
|
||
26
|
||
|
|
|
|
|
|
26
|
||
29
|
||
31
|
||
57
|
||
62
|
||
62
|
||
63
|
||
63
|
||
|
|
|
|
|
|
64
|
||
64
|
||
64
|
||
64
|
||
64
|
||
|
|
|
|
|
|
65
|
·
|
invest
in high-credit quality Agency and non-Agency MBS, including ARM
securities, collateralized mortgage obligation floaters, or CMO
Floaters,
and high-credit quality mortgage
loans;
|
·
|
finance
our portfolio by entering into repurchase agreements, or issuing
collateral debt obligations relating to our
securitizations;
|
·
|
generally
operate as a long-term portfolio investor;
and
|
·
|
generate
earnings from the return on our mortgage securities and spread
income from
our securitized mortgage loan
portfolio.
|
·
|
Category
I investments are mortgage-backed securities that are either rated
within
one of the two highest rating categories by at least one of the
Rating
Agencies, or have their repayment guaranteed by Freddie Mac, Fannie
Mae or
Ginnie Mae.
|
·
|
Category
II investments are mortgage-backed securities with an investment
grade
rating of BBB/Baa or better by, at least one of the Rating Agencies.
|
·
|
Category
III investments are mortgage-backed securities that have no rating
from,
or are rated below investment grade by at least one of the Rating
Agencies.
|
·
|
no
investment shall be made which would cause us to fail to qualify
as a
REIT;
|
·
|
no
investment shall be made which would cause us to be regulated as
an
investment company;
|
·
|
at
least 70% of our assets will be Category I investments or loans
that back
or will back such investments; and
|
·
|
no
more than 7.5% of our assets will be Category III
investments.
|
·
|
attempt
to maintain a net duration, or duration gap, of one year or less
on our
ARM portfolio, related borrowings and hedging
instruments;
|
·
|
structure
our liabilities to mitigate potential negative effects of changes
in the
relationship between short- and longer-term interest
rates;
|
·
|
focus
on holding hybrid ARM MBS and hybrid ARM loans in securitized trusts
rather than fixed-rate MBS or loans, as we believe we will be adversely
affected to a lesser extent by early repayments due to falling
interest
rates or a reduction in our net interest income due to rising interest
rates.
|
·
|
the
purchase and sale of Agency and non-Agency MBS, subject to the
limitations
described above;
|
·
|
securitizations
of our mortgage loan portfolio;
|
·
|
the
purchase and sale of agency debt;
|
·
|
the
purchase and sale of U.S. Treasury
securities;
|
·
|
the
purchase and sale of overnight
investments;
|
·
|
the
purchase and sale of money market
funds;
|
·
|
hedging
arrangements using:
|
·
|
the
incurrence of indebtedness using:
|
Type
|
Description
|
|
Base
Advisory Fee
|
A
base advisory fee of 1.50% per annum of the “equity capital” of the
Managed Subsidiaries is payable by us to JMPAM in cash, quarterly
in
arrears.
Equity
capital of the Managed Subsidiaries is defined as, for any fiscal
quarter,
the greater of (i) the net asset value of the investments of the
Managed
Subsidiaries as of the end of the fiscal quarter, excluding any
investments made prior to the date of the advisory agreement and
any
assets contributed by us to the Managed Subsidiaries for the purpose
of
facilitating compliance with our exclusion from regulation under
the
Investment Company Act, or (ii) the sum of $20,000,000 plus 50%
of the net
proceeds to us or our subsidiaries of any offering of common or
preferred
stock completed by us during the term of the advisory agreement.
|
|
Incentive
Compensation
|
The
advisory agreement calls for incentive compensation to be paid
by us to
JMPAM under certain circumstances. If earned, incentive compensation
is
paid quarterly in arrears in cash;
provided, however,
that a portion of the incentive compensation may be paid in shares
of our
common stock.
For
the first three fiscal quarters of each fiscal year, 25% of the
core
earnings of the Managed Subsidiaries attributable to the investments
that
are managed by JMPAM that exceed a hurdle rate equal to the greater
of (i)
2.00% or (ii) 0.50% plus one-fourth of the ten year treasury rate
for such
quarter.
For
the fourth fiscal quarter of each fiscal year, the difference between
(i)
25% of the GAAP (as defined in Item 7 below) net income of the
Managed Subsidiaries attributable to the investments that are managed
by
JMPAM that exceeds a hurdle rate equal to the greater of (a) 8.00%
and (b)
2.00% plus the ten year treasury rate for such fiscal year, and
(ii) the
amount of incentive compensation paid for the first three fiscal
quarters
of such fiscal year.
|
|
Termination
Fee
|
If
we terminate the advisory agreement for cause, no termination fee
is
payable. Otherwise, if we terminate the advisory agreement or elect
not to
renew it, we will pay a cash termination fee equal to the sum of
(i) the
average annual base advisory fee and (ii) the average annual incentive
compensation earned during the 24-month period immediately preceding
the
date of termination.
|
·
|
our
business proposed portfolio
strategy;
|
·
|
future
performance, developments, market forecasts or projected dividends;
and
|
·
|
projected
capital expenditures.
|
·
|
our
proposed portfolio strategy may be changed or modified by our management
without advance notice to stockholders, and that we may suffer
losses as a
result of such modifications or
changes;
|
·
|
market
changes in the terms and availability of repurchase agreements
used to
finance our investment portfolio
activities;
|
·
|
interest
rate mismatches between our mortgage-backed securities and our
borrowings
used to fund such purchases;
|
·
|
our ability to minimize losses associated with delinquent loans in our securitization trusts. |
·
|
changes
in interest rates and mortgage prepayment
rates;
|
·
|
effects
of interest rate caps on our adjustable-rate mortgage-backed
securities;
|
·
|
the
degree to which our hedging strategies may or may not protect us
from
interest rate volatility;
|
·
|
potential
impacts of our leveraging policies on our net income and cash available
for distribution;
|
·
|
changes in the U.S. economy |
·
|
our
board's ability to change our operating policies and strategies
without
notice to you or stockholder
approval;
|
·
|
our
ability to manage, minimize or eliminate liabilities stemming from
the
discontinued operations including, among other things, litigation,
repurchase obligations on the sales of mortgage loans and property
leases;
|
·
|
there
are conflicts of interest in our relationship with JMPAM, which
could
result in decisions that are not in the best interests of our
stockholders;
|
·
|
termination
of the advisory agreement may be difficult and
costly;
|
·
|
we
may be required to pay liquidated damages in the event we fail
to satisfy
certain obligations under the Common Stock Registration Rights
Agreement; and
|
·
|
the
other important factors described in this Annual Report on Form
10-K,
including those under the captions “Item 1A. Risk Factors,” “Management’s
Discussion and Analysis of Financial Condition and Results of Operations,”
and “Quantitative and Qualitative Disclosures about Market
Risk.”
|
·
|
We
have purchased, and may purchase in the future, investment
securities that
have a higher interest rate than the market interest rate at
the time of
purchase. In exchange for this higher interest rate, we are required
to pay a premium over the face amount of the security to acquire
the
security. In accordance with accounting rules, we amortize
this premium
over the anticipated term of the mortgage security. If principal
distributions are received faster than anticipated, we would
be required
to expense the premium faster. We may not be able to reinvest
the
principal distributions received on these investment securities
in similar
new mortgage-related securities and, to the extent that we
can do so, the
effective interest rates on the new mortgage-related securities
will
likely be lower than the yields on the mortgages that were
prepaid.
|
·
|
We
also may acquire investment securities at a discount. If the
actual
prepayment rates on a discount mortgage security are slower than
anticipated at the time of purchase, we would be required to
recognize the
discount as income more slowly than anticipated. This would adversely
affect our profitability. Slower than expected prepayments also
may
adversely affect the market value of a discount mortgage
security.
|
· |
the
movement of interest rates;
|
· |
the
availability of financing in the market;
and
|
· |
the
value and liquidity of our mortgage-related
assets.
|
• |
interest
rate hedging can be expensive, particularly during periods
of rising and
volatile interest rates;
|
• |
available
interest rate hedges may not correspond directly with the interest
rate
risk for which protection is sought;
|
• |
the
duration of the hedge may not match the duration of the related
liability;
|
• |
the
amount of income that a REIT may earn from hedging transactions
(other
than through taxable REIT subsidiaries (or TRSs)) to offset
interest rate
losses is limited by U.S. federal tax provisions governing
REITs;
|
• |
the
credit quality of the party owing money on the hedge may be
downgraded to
such an extent that it impairs our ability to sell or assign
our side of
the hedging transaction; and
|
• |
the
party owing money in the hedging transaction may default on
its obligation
to pay.
|
· |
our
charter provides that, subject to the rights of one or more
classes or
series of preferred stock to elect one or more directors, a
director may
be removed with or without cause only by the affirmative vote
of holders
of at least two-thirds of all votes entitled to be cast by
our
stockholders generally in the election of
directors;
|
· |
our
bylaws provide that only our board of directors shall have
the authority
to amend our bylaws;
|
· |
under
our charter, our board of directors has authority to issue
preferred stock
from time to time, in one or more series and to establish the
terms,
preferences;
|
· |
and
rights of any such series, all without the approval of our
stockholders;
|
· |
the
Maryland Business Combination Act;
and
|
· |
the
Maryland Control Share Acquisition
Act.
|
· |
sell
assets in adverse market
conditions,
|
· |
borrow
on unfavorable terms or
|
· |
distribute
amounts that would otherwise be invested in future acquisitions,
capital
expenditures or repayment of debt in order to comply with the
REIT
distribution requirements.
|
|
Common Stock Prices(1)
|
Cash Dividends
|
|||||||||||||||||
|
High
|
Low
|
Close
|
Declared
|
Paid or
Payable
|
Amount
per Share
|
|||||||||||||
Year
Ended December 31, 2007
|
|||||||||||||||||||
Fourth
quarter
|
$
|
5.00
|
$
|
3.01
|
$
|
4.30
|
omitted
|
||||||||||||
Third
quarter
|
9.63
|
1.55
|
4.20
|
omitted
|
|||||||||||||||
Second
quarter
|
14.80
|
8.85
|
9.55
|
omitted
|
|||||||||||||||
First
quarter
|
16.95
|
11.70
|
12.70
|
3/14/07
|
4/26/07
|
$
|
0.25
|
Common Stock Prices(1)
|
Cash Dividends
|
||||||||||||||||||
High
|
Low
|
Close
|
Declared
|
Paid or
Payable
|
Amount
per Share
|
||||||||||||||
Year Ended December
31, 2006
|
|||||||||||||||||||
Fourth
quarter
|
$
|
20.25
|
$
|
13.00
|
$
|
15.25
|
12/18/06
|
1/26/07
|
$
|
0.25
|
|||||||||
Third
quarter
|
24.25
|
17.95
|
19.30
|
9/18/06
|
10/26/06
|
0.70
|
|||||||||||||
Second
quarter
|
27.80
|
19.00
|
20.00
|
6/15/06
|
7/26/06
|
0.70
|
|||||||||||||
First
quarter
|
34.40
|
20.75
|
27.00
|
3/6/06
|
4/26/06
|
0.70
|
(1) | Commencing September 11, 2007, our common stock was delisted from the New York Stock Exchange and began reporting on the OTCBB. |
Declaration Date
|
Record Date
|
Payment Date
|
Cash Distribution
per share
|
Income
Dividends
|
Short-term
Capital Gain
|
Total Taxable
Ordinary
Dividend
|
Return of
Capital
|
|||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
12/18/06
|
1/5/07
|
1/26/07
|
$
|
0.25
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.25
|
|
|||||||||
3/14/07
|
4/9/07
|
4/26/07
|
$
|
0.25
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.25
|
|
|||||||||
Total
2007 Cash Distributions
|
$
|
0.50
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.00000
|
$
|
0.50
|
|
Plan Category
|
Number of Securities to
be Issued upon Exercise
of Outstanding Options,
Warrants and Rights
|
Weighted Average
Exercise Price of
Outstanding Options,
Warrants and Rights
|
Number of Securities
Remaining Available for
Future Issuance under
Equity
Compensation Plans
|
|||||||
Equity
compensation plans approved by security holders
|
-
|
$
|
-
|
271,887
|
|
As
of and
For the Year Ended December 31,
|
|||||||||||||||
|
2007
|
2006
|
2005
|
2004
|
2003
|
|||||||||||
|
(Dollar amounts in thousands, except per share data)
|
|||||||||||||||
Operating
Data:
|
||||||||||||||||
Net
interest income
|
$
|
477
|
$
|
4,784
|
$
|
12,873
|
$
|
7,924
|
$
|
—
|
||||||
(Loss)
income from continuing operations
|
(20,790
|
)
|
2,166
|
3,322
|
6,899
|
—
|
||||||||||
(Loss)
income from discontinued operation-net of tax
|
(34,478
|
)
|
(17,197
|
)
|
(8,662
|
)
|
(1,952
|
)
|
13,726
|
|||||||
Net
(loss)/income
|
(55,268
|
)
|
(15,031
|
)
|
(5,340
|
)
|
4,947
|
13,726
|
||||||||
Basic
(loss) income per share
|
(15.23
|
)
|
(4.17
|
)
|
(1.49
|
)
|
1.40
|
—
|
||||||||
Balance Sheet Data: | ||||||||||||||||
Total
assets continuing operations
|
800,385
|
1,110,103
|
1,542,422
|
1,413,729
|
—
|
|||||||||||
Total
assets discontinued operation
|
8,876
|
212,805
|
248,871
|
201,034
|
110,081
|
|||||||||||
Total
liabilities continuing operations
|
785,010
|
1,063,631
|
1,458,410
|
1,306,185
|
—
|
|||||||||||
Total
liabilities discontinued operation
|
$
|
5,833
|
$
|
187,705
|
$
|
231,925
|
$
|
189,095
|
$
|
110,555
|
|
As
of and For the Year Ended December 31,
|
|||||||||||||||
|
2007
|
2006
|
2005
|
2004
|
2003
|
|||||||||||
|
(Dollar
amounts in thousands, except per share data)
|
|||||||||||||||
Operating
Data:
|
||||||||||||||||
Revenues:
|
||||||||||||||||
Interest
income
|
$
|
50,564
|
$
|
64,881
|
$
|
62,725
|
$
|
20,394
|
$
|
—
|
||||||
Interest
expense
|
50,087
|
60,097
|
49,852
|
12,470
|
—
|
|||||||||||
Net
Interest Income
|
477
|
4,784
|
12,873
|
7,924
|
—
|
|||||||||||
|
||||||||||||||||
Loan
losses
|
(1,683
|
)
|
(57
|
)
|
—
|
—
|
—
|
|||||||||
(Loss)
gain on sale of securities and related hedges
|
(16,830
|
)
|
(529
|
)
|
2,207
|
167
|
—
|
|||||||||
Impairment
loss on investment securities
|
—
|
—
|
(7,440
|
)
|
—
|
—
|
||||||||||
Total
other income
|
(18,513
|
)
|
(586
|
)
|
(5,233
|
)
|
167
|
—
|
||||||||
Expenses:
|
||||||||||||||||
Salaries
and benefits
|
865
|
714
|
1,934
|
382
|
—
|
|||||||||||
General
and administrative expenses
|
1,889
|
1,318
|
2,384
|
810
|
—
|
|||||||||||
Total
expenses
|
2,754
|
2,032
|
4,318
|
1,192
|
—
|
|||||||||||
(Loss)
income before income tax benefit
|
(20,790
|
)
|
2,166
|
3,322
|
6,899
|
—
|
||||||||||
(Loss)
income discontinued operation – net of tax
|
(34,478
|
)
|
(17,197
|
)
|
(8,662
|
)
|
(1,952
|
)
|
13,726
|
|||||||
Net
(loss) income
|
$
|
(55,268
|
)
|
$
|
(15,031
|
)
|
$
|
(5,340
|
)
|
$
|
4,947
|
$
|
13,726
|
|||
Basic
(loss) income per share
|
$
|
(15.23
|
)
|
$
|
(4.17
|
)
|
$
|
(1.49
|
)
|
$
|
1.40
|
$
|
—
|
|||
Diluted
(loss) income per share
|
$
|
(15.23
|
)
|
$
|
(4.17
|
)
|
$
|
(1.49
|
)
|
$
|
1.35
|
$
|
—
|
|||
Balance
Sheet Data:
|
||||||||||||||||
Cash
and cash equivalents
|
$
|
5,508
|
$
|
969
|
$
|
9,056
|
$
|
7,613
|
$
|
—
|
||||||
Investment
securities available for sale
|
350,484
|
488,962
|
716,482
|
1,204,745
|
—
|
|||||||||||
Mortgage
loans held in securitization trusts or held for investment
|
430,715
|
588,160
|
780,670
|
190,153
|
—
|
|||||||||||
Assets
related to discontinued operation
|
8,876
|
212,805
|
248,871
|
201,034
|
110,081
|
|||||||||||
Total
assets
|
809,261
|
1,322,908
|
1,791,293
|
1,614,762
|
110,081
|
|||||||||||
Financing
arrangements
|
315,714
|
815,313
|
1,166,499
|
1,115,809
|
—
|
|||||||||||
Collateralized
debt obligations
|
417,027
|
197,447
|
228,226
|
—
|
—
|
|||||||||||
Subordinated
debentures
|
45,000
|
45,000
|
45,000
|
—
|
—
|
|||||||||||
Liabilities
related to discontinued operation
|
5,833
|
187,705
|
231,925
|
189,095 |
110,555
|
|||||||||||
Total
liabilities
|
790,843
|
1,251,336
|
1,690,335
|
1,495,280
|
110,555
|
|||||||||||
Equity/(deficit)
|
$
|
18,418
|
$
|
71,572
|
$
|
100,958
|
$
|
119,482
|
$
|
(474
|
)
|
|||||
Investment
Portfolio Data:
|
||||||||||||||||
Average
yield on investment portfolio
|
5.56 |
%
|
5.10
|
%
|
4.05
|
%
|
3.90
|
%
|
—
|
|||||||
Net
duration of interest earning assets to liabilities
|
0.12 | yrs |
0.52
|
yrs |
0.91
|
yrs |
0.42
|
yrs |
—
|
|||||||
Operational/Performance
Data:
|
||||||||||||||||
Number
of employees at period end
|
8
|
616
|
802
|
782
|
335
|
|||||||||||
Dividends
declared per common share
|
$
|
0.25
|
$
|
2.35
|
$
|
4.60
|
$
|
2.00
|
$
|
—
|
·
|
the
overall leverage of our portfolio and the ability to obtain financing
to
leverage our equity;
|
·
|
a
prolonged economic slow down, a recession or declining real estate
values
could cause increased credit losses;
|
·
|
a decline in the market value of our portfolio assets due to changes in interest rates; |
·
|
increasing
or decreasing levels of prepayments on the mortgages underlying our
mortgage-backed securities;
|
·
|
the concentration of our mortgage loans held in securitization trusts in specific geographic regions; |
·
|
the
possibility that our assets are insufficient to meet the collateral
requirements of our lenders forcing us to liquidate those assets
at
inopportune times and at disadvantageous
prices;
|
·
|
if
we are disqualified as a REIT, we will be subject to taxation as
a regular corporation and would face substantial tax liability; and
compliance with REIT requirements might cause us to forgo otherwise
attractive opportunities.
|
·
|
a quick increase or decrease in interest rates due to an unforeseen, or exogenous event. |
·
|
invest
in high-credit quality Agency MBS and non-Agency MBS, including ARM
securities, collateralized mortgage obligation floaters (“CMO Floaters”),
and high-credit quality mortgage loans;
|
·
|
generally
operate as a long-term portfolio
investor;
|
·
|
finance
our portfolio by entering into repurchase agreements or issuing CDOs
relating to our loan securitizations;
and
|
·
|
generate
earnings from the return on our mortgage securities and spread income
from
our mortgage loan portfolio.
|
·
|
creating
securities backed by mortgage loans which we held and financed;
or
|
·
|
securing
long-term collateralized financing for our residential mortgage loan
portfolio and matching the income earned on residential mortgage
loans
with the cost of related liabilities, otherwise referred to as match
funding our balance sheet.
|
Net Interest Income Portfolio: | ||||||||||
|
Amount
|
Average
Outstanding
Balance
|
Effective
Rate
|
|||||||
|
|
(Dollars
in Millions)
|
|
|||||||
Net
Interest Income Components:
|
||||||||||
Interest
Income
|
||||||||||
Investment
securities and loans held in the securitization trusts
|
$
|
52,180
|
$
|
907.0
|
5.74
|
%
|
||||
Amortization
of premium
|
(1,616
|
)
|
2.4
|
(0.18
|
)%
|
|||||
Total
interest income
|
$
|
50,564
|
$
|
909.4
|
5.56
|
%
|
||||
Interest
Expense
|
||||||||||
Repurchase
agreements
|
$
|
48,105
|
$
|
864.7
|
5.49
|
%
|
||||
Interest
rate swaps and caps
|
(1,576
|
)
|
|
(0.18
|
)%
|
|||||
Total
interest expense
|
$
|
46,529
|
$
|
864.7
|
5.31
|
%
|
||||
Net
Interest Income
|
$
|
4,035
|
|
0.25
|
%
|
· |
the
net interest spread on the portfolio;
|
·
|
the
characteristics of the investments and the underlying pool of mortgage
loans including but not limited to credit quality, coupon and prepayment
rates; and
|
· | the return on our mortgage asset investments and the related management of interest rate risk. |
|
Par Value
|
Coupon
|
Carrying Value
|
Yield
|
|||||||||
December
31, 2007
|
$
|
429,629
|
5.74
|
%
|
$
|
430,715
|
5.36
|
%
|
|||||
December
31, 2006
|
$
|
584,358
|
5.56
|
%
|
$
|
588,160
|
5.56
|
%
|
|
# of Loans
|
Par Value
|
Carrying Value
|
|||||||
Loan
Characteristics:
|
||||||||||
Mortgage
loans held in securitization trusts
|
972
|
$
|
429,629
|
$
|
430,715
|
|||||
Retained
interest in securitization (included in Investment securities
available for sale)
|
391
|
209,455
|
3,394
|
|||||||
Total
Loans Held
|
1,363
|
$
|
639,084
|
$
|
434,109
|
|
Average
|
High
|
Low
|
|||||||
General
Loan Characteristics:
|
||||||||||
Original
Loan Balance
|
$
|
490
|
$
|
3,500
|
$
|
48
|
||||
Current
Coupon Rate
|
5.79
|
%
|
9.93
|
%
|
4.00
|
%
|
||||
Gross
Margin
|
2.34
|
%
|
6.50
|
%
|
1.13
|
%
|
||||
Lifetime
Cap
|
11.19
|
%
|
13.75
|
%
|
9.00
|
%
|
||||
Original
Term (Months)
|
360
|
360
|
360
|
|||||||
Remaining
Term (Months)
|
330
|
339
|
295
|
|
# of Loans
|
Par Value
|
Carrying Value
|
|||||||
Loan
Characteristics:
|
||||||||||
Mortgage
loans held in securitization trusts
|
1,259
|
$
|
584,358
|
$
|
588,160
|
|||||
Mortgage
loans held for investment
|
458
|
249,627
|
23,930
|
|||||||
Total
Loans Held
|
1,717
|
$
|
833,985
|
$
|
612,090
|
|
Average
|
High
|
Low
|
|||||||
General
Loan Characteristics:
|
||||||||||
Original
Loan Balance
|
$
|
501
|
$
|
3,500
|
$
|
25
|
||||
Current
Coupon Rate
|
5.67
|
%
|
8.13
|
%
|
3.88
|
%
|
||||
Gross
Margin
|
2.36
|
%
|
6.50
|
%
|
1.13
|
%
|
||||
Lifetime
Cap
|
11.14
|
%
|
13.75
|
%
|
9.00
|
%
|
||||
Original
Term (Months)
|
360
|
360
|
360
|
|||||||
Remaining
Term (Months)
|
341
|
351
|
307
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Arm
Loan Type
|
|||||||
Traditional
ARMs
|
2.3
|
%
|
2.9
|
%
|
|||
2/1
Hybrid ARMs
|
1.6
|
%
|
3.8
|
%
|
|||
3/1
Hybrid ARMs
|
10.2
|
%
|
16.8
|
%
|
|||
5/1
Hybrid ARMs
|
83.4
|
%
|
74.5
|
%
|
|||
7/1
Hybrid ARMs
|
2.5
|
%
|
2.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Percent
of ARM loans that are Interest Only
|
77.3 | % |
75.9
|
%
|
|||
Weighted
average length of interest only period
|
8.3 years |
8.0
years
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Traditional
ARMs - Periodic Caps
|
|||||||
None
|
72.9
|
%
|
61.9
|
%
|
|||
1%
|
1.4
|
%
|
8.8
|
%
|
|||
Over
1%
|
25.7
|
%
|
29.3
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Hybrid
ARMs - Initial Cap
|
|||||||
3.00%
or less
|
8.3
|
%
|
14.8
|
%
|
|||
3.01%-4.00%
|
5.1
|
%
|
7.5
|
%
|
|||
4.01%-5.00%
|
85.6
|
%
|
76.6
|
%
|
|||
5.01%-6.00%
|
1.0
|
%
|
1.1
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
FICO
Scores
|
|||||||
650
or less
|
3.9
|
%
|
3.8
|
%
|
|||
651
to 700
|
17.0
|
%
|
16.9
|
%
|
|||
701
to 750
|
32.4
|
%
|
34.0
|
%
|
|||
751
to 800
|
42.5
|
%
|
41.5
|
%
|
|||
801
and over
|
4.2
|
%
|
3.8
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Average
FICO Score
|
738
|
737
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Loan
to Value (LTV)
|
|||||||
50%
or less
|
9.5
|
%
|
9.8
|
%
|
|||
50.01%-60.00%
|
8.9
|
%
|
8.8
|
%
|
|||
60.01%-70.00%
|
27.3
|
%
|
28.1
|
%
|
|||
70.01%-80.00%
|
52.2
|
%
|
51.1
|
%
|
|||
80.01%
and over
|
2.1
|
%
|
2.2
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Average
LTV
|
69.7
|
%
|
69.4
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Property
Type
|
|||||||
Single
Family
|
51.3
|
%
|
52.3
|
%
|
|||
Condominium
|
22.8
|
%
|
22.9
|
%
|
|||
Cooperative
|
9.8
|
%
|
8.8
|
%
|
|||
Planned
Unit Development
|
13.0
|
%
|
13.0
|
%
|
|||
Two
to Four Family
|
3.1
|
%
|
3.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Occupancy
Status
|
|||||||
Primary
|
84.4
|
%
|
85.3
|
%
|
|||
Secondary
|
12.0
|
%
|
10.7
|
%
|
|||
Investor
|
3.6
|
%
|
4.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Documentation
Type
|
|||||||
Full
Documentation
|
72.0
|
%
|
70.1
|
%
|
|||
Stated
Income
|
19.7
|
%
|
21.3
|
%
|
|||
Stated
Income/ Stated Assets
|
6.8
|
%
|
7.2
|
%
|
|||
No
Documentation
|
1.0
|
%
|
0.9
|
%
|
|||
No
Ratio
|
0.5
|
%
|
0.5
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Loan
Purpose
|
|||||||
Purchase
|
57.8
|
%
|
57.3
|
%
|
|||
Cash
out refinance
|
15.9
|
%
|
26.1
|
%
|
|||
Rate
& term refinance
|
26.3
|
%
|
16.6
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
December 31, 2007
Percentage
|
December 31, 2006
Percentage
|
|||||
Geographic
Distribution: 5% or more in any one state
|
|||||||
NY
|
31.2
|
%
|
29.1
|
%
|
|||
MA
|
17.4
|
%
|
17.5
|
%
|
|||
FL
|
8.3
|
%
|
11.4
|
%
|
|||
CA
|
7.2
|
%
|
7.5
|
%
|
|||
NJ
|
5.7
|
%
|
5.1
|
%
|
|||
Other
(less than 5% individually)
|
30.2
|
%
|
29.4
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|
|
|
|
|
|
|
Principal
Amount of Loans
|
||||||||||||||||||||||||||||||
Subject
to
|
|||||||||||||||||||||||||||||||||||||
Periodic
|
Delinqent
|
||||||||||||||||||||||||||||||||||||
Description
|
Interest
Rate
|
Final
Maturity
|
Payment
|
Original
|
Current
|
Principal
|
|||||||||||||||||||||||||||||||
Property
|
Loan
|
Term
|
Prior
|
Amount
of
|
Amount
of
|
or
|
|
||||||||||||||||||||||||||||||
Type
|
Balance
|
Count
|
Max
|
Min
|
Avg
|
Min
|
Max
|
(months)
|
Liens
|
Principal
|
Principal
|
Interest
|
|||||||||||||||||||||||||
Single
|
<=
$100,000
|
17
|
8.38
|
4.75
|
6.03
|
07/01/33
|
11/01/35
|
360
|
NA
|
$
|
3,502
|
$
|
1,145
|
$
|
-
|
||||||||||||||||||||||
Family
|
<=
$250,000
|
108
|
9.63
|
4.50
|
5.71
|
09/01/32
|
12/01/35
|
360
|
NA
|
20,094
|
19,394
|
246
|
|||||||||||||||||||||||||
|
<=
$500,000
|
174
|
8.00
|
4.25
|
5.72
|
09/01/32
|
01/01/36
|
360
|
NA
|
62,864
|
60,658
|
500
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
80
|
9.93
|
4.38
|
6.01
|
07/01/33
|
01/01/36
|
360
|
NA
|
58,414
|
56,162
|
2,435
|
|||||||||||||||||||||||||
|
>
$1,000,000
|
41
|
7.93
|
5.00
|
5.80
|
06/01/34
|
01/01/36
|
360
|
NA
|
72,278
|
71,600
|
-
|
|||||||||||||||||||||||||
|
Summary
|
420
|
9.93
|
4.25
|
5.79
|
09/01/32
|
01/01/36
|
360
|
NA
|
$
|
217,152
|
$
|
208,959
|
$
|
3,181
|
||||||||||||||||||||||
2-4
|
<=
$100,000
|
1
|
6.63
|
6.63
|
6.63
|
02/01/35
|
02/01/35
|
360
|
NA
|
$
|
80
|
$
|
77
|
$
|
-
|
||||||||||||||||||||||
FAMILY
|
<=
$250,000
|
7
|
6.75
|
4.38
|
5.73
|
12/01/34
|
11/01/35
|
360
|
NA
|
1,365
|
1,291
|
-
|
|||||||||||||||||||||||||
|
<=
$500,000
|
25
|
7.63
|
5.13
|
6.00
|
09/01/34
|
01/01/36
|
360
|
NA
|
9,181
|
9,004
|
662
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
4
|
6.88
|
4.75
|
5.69
|
07/01/35
|
10/01/35
|
360
|
NA
|
3,068
|
3,053
|
517
|
|||||||||||||||||||||||||
|
>$1,000,000
|
2
|
5.63
|
5.50
|
5.56
|
12/01/34
|
08/01/35
|
360
|
NA
|
4,008
|
4,008
|
-
|
|||||||||||||||||||||||||
|
Summary
|
39
|
7.63
|
4.38
|
5.91
|
09/01/34
|
01/01/36
|
360
|
NA
|
$
|
17,702
|
$
|
17,433
|
$
|
1,179
|
||||||||||||||||||||||
Condo
|
<=
$100,000
|
20
|
7.13
|
4.38
|
5.78
|
01/01/35
|
12/01/35
|
360
|
NA
|
$
|
3,528
|
$
|
1,426
|
$
|
-
|
||||||||||||||||||||||
|
<=
$250,000
|
104
|
7.88
|
4.25
|
5.68
|
08/01/32
|
01/01/36
|
360
|
NA
|
19,591
|
18,978
|
230
|
|||||||||||||||||||||||||
|
<=
$500,000
|
118
|
8.13
|
4.00
|
5.53
|
09/01/32
|
01/01/36
|
360
|
NA
|
42,140
|
40,652
|
378
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
47
|
7.88
|
4.50
|
5.56
|
08/01/33
|
11/01/35
|
360
|
NA
|
35,750
|
32,682
|
-
|
|||||||||||||||||||||||||
|
>
$1,000,000
|
16
|
7.75
|
4.63
|
5.63
|
07/01/34
|
09/01/35
|
360
|
NA
|
25,728
|
23,538
|
1,149
|
|||||||||||||||||||||||||
|
Summary
|
305
|
8.13
|
4.00
|
5.61
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
126,737
|
$
|
117,276
|
$
|
1,757
|
||||||||||||||||||||||
CO-OP
|
<=
$100,000
|
7
|
5.50
|
4.75
|
5.09
|
09/01/34
|
06/01/35
|
360
|
NA
|
$
|
986
|
$
|
444
|
$
|
-
|
||||||||||||||||||||||
|
<=
$250,000
|
29
|
7.63
|
4.00
|
5.53
|
10/01/34
|
12/01/35
|
360
|
NA
|
5,409
|
5,105
|
-
|
|||||||||||||||||||||||||
|
<=
$500,000
|
56
|
7.63
|
4.25
|
5.53
|
08/01/34
|
12/01/35
|
360
|
NA
|
21,918
|
20,507
|
-
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
32
|
6.75
|
4.75
|
5.35
|
11/01/34
|
11/01/35
|
360
|
NA
|
23,282
|
22,460
|
-
|
|||||||||||||||||||||||||
|
>
$1,000,000
|
7
|
7.13
|
4.88
|
5.57
|
11/01/34
|
12/01/35
|
360
|
NA
|
9,814
|
9,604
|
-
|
|||||||||||||||||||||||||
|
Summary
|
131
|
7.75
|
4.00
|
5.44
|
08/01/34
|
12/01/35
|
360
|
NA
|
$
|
61,409
|
$
|
58,120
|
$
|
-
|
||||||||||||||||||||||
PUD
|
<=
$100,000
|
1
|
5.63
|
5.63
|
5.63
|
07/01/35
|
07/01/35
|
360
|
NA
|
$
|
100
|
$
|
97
|
$
|
-
|
||||||||||||||||||||||
|
<=
$250,000
|
33
|
7.75
|
4.00
|
5.68
|
07/01/33
|
12/01/35
|
360
|
NA
|
6,576
|
5,975
|
-
|
|||||||||||||||||||||||||
|
<=
$500,000
|
30
|
8.88
|
4.63
|
6.50
|
08/01/32
|
12/01/35
|
360
|
NA
|
11,017
|
10,427
|
455
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
9
|
7.50
|
4.75
|
5.84
|
09/01/33
|
12/01/35
|
360
|
NA
|
6,196
|
6,120
|
854
|
|||||||||||||||||||||||||
|
>
$1,000,000
|
4
|
7.22
|
5.63
|
6.21
|
04/01/34
|
12/01/35
|
360
|
NA
|
5,233
|
5,222
|
1,343
|
|||||||||||||||||||||||||
|
Summary
|
|
77
|
8.88
|
4.00
|
6.04
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
29,122
|
$
|
27,841
|
$
|
2,652
|
|||||||||||||||||||||
Summary
|
<=
$100,000
|
46
|
8.38
|
4.38
|
5.78
|
07/01/33
|
12/01/35
|
360
|
NA
|
$
|
8,196
|
$
|
3,189
|
$
|
-
|
||||||||||||||||||||||
|
<=
$250,000
|
281
|
9.63
|
4.00
|
5.68
|
08/01/32
|
01/01/36
|
360
|
NA
|
53,035
|
50,743
|
476
|
|||||||||||||||||||||||||
|
<=
$500,000
|
403
|
8.88
|
4.00
|
5.72
|
08/01/32
|
01/01/36
|
360
|
NA
|
147,120
|
141,248
|
1,995
|
|||||||||||||||||||||||||
|
<=$1,000,000
|
172
|
9.93
|
4.38
|
5.75
|
07/01/33
|
01/01/36
|
360
|
NA
|
126,710
|
120,477
|
3,806
|
|||||||||||||||||||||||||
|
>
$1,000,000
|
70
|
7.93
|
4.63
|
5.76
|
04/01/34
|
01/01/36
|
360
|
NA
|
117,061
|
113,972
|
2,492
|
|||||||||||||||||||||||||
|
Grand
Total
|
972
|
9.93
|
4.00
|
5.71
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
452,122
|
$
|
429,629
|
$
|
8,769
|
|
Principal
|
Premium
|
Loan
Reserve
|
Net
Carrying Value
|
|||||||||
Balance,
January 1, 2007
|
$
|
584,358
|
$
|
3,802
|
$
|
0
|
$
|
588,160
|
|||||
Additions
|
-
|
-
|
-
|
-
|
|||||||||
Principal
repayments
|
(154,729
|
)
|
-
|
-
|
(154,729
|
)
|
|||||||
Reserve
for loan loss
|
-
|
-
|
(1,647
|
)
|
(1,647
|
)
|
|||||||
Amortization
for premium
|
-
|
(1,069
|
)
|
-
|
(1,069
|
)
|
|||||||
Balance,
December 31, 2007
|
$
|
429,629
|
$
|
2,733
|
$
|
(1,647
|
)
|
$
|
430,715
|
Days
Late
|
Number
of Delinquent Loans
|
Total
Dollar
Amount
|
%
of
Loan
Portfolio
|
|||||||
30-60
|
-
|
$
|
-
|
-
|
||||||
61-90
|
2
|
1,859
|
0.43
|
%
|
||||||
90+
|
12
|
$
|
6,910
|
1.61
|
%
|
Days
Late
|
Number
of Delinquent Loans
|
Total
Dollar
Amount
|
%
of
Loan
Portfolio
|
|||||||
30-60
|
1
|
$
|
166
|
0.03
|
%
|
|||||
61-90
|
1
|
193
|
0.03
|
%
|
||||||
90+
|
4
|
$
|
5,819
|
0.99
|
%
|
December
31, 2007
|
|
|
Sponsor
or
Rating
|
|
Par
Value
|
|
Carrying
Value
|
|
%
of Portfolio
|
|
Coupon
|
|
Yield
|
|
||||
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
REMIC CMO Floating Rate
|
|
|
FNMA/FHLMC/GNMA
|
|
$
|
324,676 |
$
|
318,689 | 91 | % | 5.98 | % | 5.55 |
%
|
||||
Private
Label Floating Rate
|
|
|
AAA
|
|
|
29,764 | 28,401 | 8 | % | 5.66 | % | 5.50 |
%
|
|||||
NYMT
Retained Securities
|
|
|
AAA-BBB
|
|
|
2,169 | 2,165 | 1 | % | 6.31 | % | 6.28 |
%
|
|||||
NYMT
Retained Securities
|
|
|
Below
Investment Grade
|
|
|
2,756 | 1,229 | 0 | % | 5.68 | % | 12.99 |
%
|
|||||
Total/Weighted
Average
|
|
|
|
|
$
|
359,365 |
$
|
350,484 | 100 | % | 5.95 | % | 5.61 |
%
|
December
31, 2006
|
Sponsor
or
Rating
|
Par
Value
|
Carrying
Value
|
%
of
Portfolio
|
Coupon
|
Yield
|
|||||||||||||
Credit
|
|||||||||||||||||||
Agency
REMIC CMO Floating Rate
|
FNMA/FHLMC/GNMA
|
$
|
163,121
|
$
|
163,898
|
34
|
%
|
6.72
|
%
|
6.40
|
%
|
||||||||
Private
Label Floating Rate
|
AAA
|
22,392
|
22,284
|
5
|
%
|
6.12
|
%
|
6.46
|
%
|
||||||||||
Private
Label ARMs
|
AAA
|
287,018
|
284,874
|
58
|
%
|
4.82
|
%
|
5.71
|
%
|
||||||||||
NYMT
Retained Securities
|
AAA-BBB
|
15,996
|
15,894
|
3
|
%
|
5.67
|
%
|
6.02
|
%
|
||||||||||
NYMT
Retained Securities
|
Below
Investment Grade
|
2,767
|
2,012
|
0
|
%
|
5.67
|
%
|
18.35
|
%
|
||||||||||
Total/Weighted Average | $ | 491,294 | $ | 488,962 | 100 | % | 5.54 | % | 6.06 | % |
Less
than
6
Months
|
More than 6 Months
To 24 Months
|
More than 24 Months
To 60 Months
|
Total
|
||||||||||||||||||||||
December
31, 2007
|
Carrying
Value
|
Weighted
Average
Yield
|
Carrying
Value
|
Weighted
Average
Yield
|
Carrying
Value
|
Weighted
Average
Yield
|
Carrying
Value
|
Weighted
Average
Yield
|
|||||||||||||||||
Agency
REMIC CMO Floating Rate
|
$
|
318,689
|
5.55
|
%
|
$
|
—
|
—
|
%
|
$
|
—
|
—
|
%
|
$
|
318,689
|
5.55
|
%
|
|||||||||
Private
Label Floating Rate
|
28,401
|
5.50
|
%
|
—
|
—
|
%
|
—
|
—
|
%
|
28,401
|
5.50
|
%
|
|||||||||||||
NYMT
Retained Securities
|
2,165
|
6.28
|
%
|
—
|
—
|
%
|
1,229
|
12.99
|
%
|
3,394
|
10.03
|
%
|
|||||||||||||
Total/Weighted
Average
|
$
|
349,255
|
5.55
|
%
|
$
|
—
|
—
|
%
|
$
|
1,229
|
12.99
|
%
|
$
|
350,484
|
5.61
|
%
|
|
Less
than
6
Months
|
More than 6 Months
To
24 Months
|
More than 24 Months
To
60 Months
|
Total
|
|||||||||||||||||||||
December
31, 2006
|
Carrying
Value
|
Weighted
Average Yield
|
Carrying
Value
|
Weighted
Average Yield
|
Carrying
Value
|
Weighted
Average Yield
|
Carrying
Value
|
Weighted
Average Yield
|
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Agency
REMIC CMO Floating Rate
|
$
|
163,898
|
6.40
|
%
|
$
|
—
|
—
|
$
|
—
|
—
|
$
|
163,898
|
6.40
|
%
|
|||||||||||
Private
Label Floating Rate
|
22,284
|
6.46
|
%
|
—
|
—
|
—
|
—
|
22,284
|
6.46
|
%
|
|||||||||||||||
Private
Label ARMs
|
16,673
|
5.60
|
%
|
78,565
|
5.80
|
%
|
183,612
|
5.64
|
%
|
278,850
|
5.68
|
%
|
|||||||||||||
NYMT
Retained Securities
|
6,024
|
7.12
|
%
|
—
|
—
|
17,906
|
7.83
|
%
|
23,930
|
7.66
|
%
|
||||||||||||||
Total/Weighted
Average
|
$
|
208,879
|
6.37
|
%
|
$
|
78,565
|
5.80
|
%
|
$
|
201,518
|
5.84
|
%
|
$
|
488,962
|
6.06
|
%
|
|
|
December
31,
2007
|
|
December
31,
2006
|
|
||
Derivative
Assets:
|
|||||||
Interest
rate caps
|
$
|
416 |
$
|
2,011
|
|||
Interest
rate swaps
|
—
|
621
|
|||||
Total
derivative assets
|
$
|
416 | $ |
2,632
|
|||
|
|||||||
Derivative
liabilities:
|
|||||||
Interest
rate swaps
|
$
|
3,517 |
$
|
—
|
|||
Total
derivative liabilities
|
$
|
3,517 |
$
|
—
|
|
(dollar
amounts in thousands)
|
For
the Years Ended December 31,
|
|||||||||||||||
2007
|
2006
|
%
Change
|
2005
|
%
Change
|
||||||||||||
Net
interest income
|
$
|
477
|
$
|
4,784
|
(90.0
|
)%
|
$
|
12,873
|
(62.8
|
)%
|
||||||
Total
expenses
|
$
|
2,754
|
$
|
2,032
|
35.5
|
%
|
$
|
4,318
|
(52.9
|
)%
|
||||||
(Loss)
income for continuing operations
|
$
|
(20,790
|
)
|
$
|
2,166
|
(1,059.8
|
)%
|
$
|
3,322
|
(34.8
|
)%
|
|||||
Loss
from discontinued operations
|
$
|
(34,478
|
)
|
$
|
(17,197
|
)
|
(100.5
|
)%
|
$
|
(8,662
|
)
|
98.5
|
%
|
|||
Net
loss
|
$
|
(55,268
|
)
|
$
|
(15,031
|
)
|
(267.7
|
)%
|
$
|
(5,340
|
)
|
181.5
|
%
|
|||
Basic
and diluted loss per share
|
$
|
(15.23
|
)
|
$
|
(4.17
|
)
|
(265.2
|
)%
|
$
|
(1.49
|
)
|
179.9
|
%
|
For
the years ended December 31,
|
||||||||||||||||||||||||||||
(dollar
amounts in thousands)
|
2007
|
2006
|
2005
|
|||||||||||||||||||||||||
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
|
||||||||||
|
|
($ Millions)
|
|
|
|
|
|
($ Millions)
|
|
|
|
|
|
($ Millions)
|
|
|
|
|
|
|||||||||
Interest
Income:
|
||||||||||||||||||||||||||||
Investment
securities and loans held in the securitization trusts
|
$
|
907.0
|
52,180
|
|
5.74
|
%
|
$
|
1,266.4
|
$
|
66,973
|
5.29
|
%
|
$
|
1,347.4
|
$
|
60,988
|
4.53
|
%
|
||||||||||
Loans
held for investment
|
—
|
—
|
—
|
% |
—
|
—
|
—
|
%
|
145.7
|
7,778
|
5.34
|
%
|
||||||||||||||||
Amortization
of net premium
|
2.4
|
(1,616
|
) |
(0.18
|
)% |
5.9
|
|
(2,092
|
)
|
(0.16
|
)%
|
14.7
|
$
|
(6,041
|
)
|
(0.42
|
)%
|
|||||||||||
Interest
income
|
$ |
909.4
|
50,564
|
|
5.56
|
%
|
$
|
1,272.3
|
$
|
64,881
|
5.13
|
%
|
$
|
1,507.8
|
$
|
62,725
|
4.16
|
%
|
||||||||||
|
||||||||||||||||||||||||||||
Interest
Expense:
|
||||||||||||||||||||||||||||
Investment
securities and loans held in the securitization trusts
|
$ |
864.7
|
46,529
|
|
5.31
|
%
|
$
|
1,201.2
|
$
|
56,553
|
4.64
|
%
|
$
|
1,283.3
|
$
|
42,001
|
3.23
|
%
|
||||||||||
Loans
held for investment
|
—
|
—
|
—
|
—
|
—
|
—
|
%
|
142.7
|
5,847
|
4.04
|
%
|
|||||||||||||||||
Subordinated
debentures
|
45.0
|
3,558
|
7.80
|
% |
45.0
|
3,544
|
7.77
|
%
|
26.6
|
2,004
|
7.54
|
%
|
||||||||||||||||
Interest
expense
|
$ |
909.7
|
50,087
|
|
5.43
|
%
|
$
|
1,246.2
|
$
|
60,097
|
4.76
|
%
|
$
|
1,452.6
|
$
|
49,852
|
3.39
|
%
|
||||||||||
Net
interest income
|
$ |
(0.3
|
) |
477
|
|
0.13
|
%
|
$
|
26.1
|
$
|
4,784
|
0.37
|
%
|
$
|
55.2
|
$
|
12,873
|
0.77
|
%
|
As
of the Quarter Ended
|
Average Interest
Earning Assets ($ millions)
|
|
Weighted
Average
Coupon
|
|
Weighted
Average Yield
on
Interest
Earning
Assets
|
|
Cost
of
Funds
|
|
Net Interest
Spread
|
|
||||||
December
31, 2007
|
$ |
799.2
|
5.90
|
%
|
5.79
|
%
|
5.33
|
%
|
0.46
|
%
|
||||||
September
30, 2007
|
$ |
865.7
|
5.93
|
%
|
5.72
|
%
|
5.38
|
%
|
0.34
|
%
|
||||||
June
30, 2007
|
$ |
948.6
|
5.66
|
%
|
5.55
|
%
|
5.43
|
%
|
0.12
|
%
|
||||||
March
31, 2007
|
$ |
1,022.7
|
5.59
|
%
|
5.36
|
%
|
5.34
|
%
|
0.02
|
%
|
||||||
December
31, 2006
|
$
|
1,111.0
|
5.53
|
%
|
5.35
|
%
|
5.26
|
%
|
0.09
|
%
|
||||||
September
30, 2006
|
$
|
1,287.6
|
5.50
|
%
|
5.28
|
%
|
5.12
|
%
|
0.16
|
%
|
||||||
June
30, 2006
|
$
|
1,217.9
|
5.29
|
%
|
5.08
|
%
|
4.30
|
%
|
0.78
|
%
|
||||||
March
31, 2006
|
$
|
1,478.6
|
4.85
|
%
|
4.75
|
%
|
4.04
|
%
|
0.71
|
%
|
||||||
December
31, 2005
|
$
|
1,499.0
|
4.84
|
%
|
4.43
|
%
|
3.81
|
%
|
0.62
|
%
|
||||||
September
30, 2005
|
$
|
1,494.0
|
4.69
|
%
|
4.08
|
%
|
3.38
|
%
|
0.70
|
%
|
||||||
June
30, 2005
|
$
|
1,590.0
|
4.50
|
%
|
4.06
|
%
|
3.06
|
%
|
1.00
|
%
|
||||||
March
31, 2005
|
$
|
1,447.9
|
4.39
|
%
|
4.01
|
%
|
2.86
|
%
|
1.15
|
%
|
||||||
December
31, 2004
|
$
|
1,325.7
|
4.29
|
%
|
3.84
|
%
|
2.58
|
%
|
1.26
|
%
|
||||||
September
30, 2004
|
$
|
776.5
|
4.04
|
%
|
3.86
|
%
|
2.45
|
%
|
1.41
|
%
|
Comparative
Expenses
|
||||||||||||||||
(dollar
amounts in thousands)
|
For
the Year Ended December 31,
|
|||||||||||||||
2007
|
2006
|
%
Change
|
2005
|
%
Change
|
||||||||||||
Salaries
and benefits
|
$
|
865
|
$
|
714
|
21.1
|
%
|
$
|
1,934
|
(63.1
|
)%
|
||||||
Marketing
and promotion
|
145
|
78
|
85.9
|
%
|
124
|
(37.1
|
)%
|
|||||||||
Data
processing and communications
|
194
|
230
|
(15.7
|
)%
|
149
|
54.4
|
%
|
|||||||||
Professional
fees
|
612
|
598
|
2.3
|
%
|
853
|
(29.9
|
)%
|
|||||||||
Depreciation
and amortization
|
325
|
276
|
17.8
|
%
|
171
|
61.4
|
%
|
|||||||||
Other
|
613
|
136
|
350.7
|
%
|
1,087
|
(87.5
|
)%
|
|||||||||
$
|
2,754
|
$
|
2,032
|
35.5
|
%
|
$
|
4,318
|
(52.9
|
)%
|
Discontinued
Operations
|
||||||||||||||||
For
the Year Ended December 31,
|
||||||||||||||||
2007
|
|
2006
|
|
%
Change
|
|
2005
|
|
%
Change
|
|
|||||||
Revenues:
|
||||||||||||||||
Net
interest income
|
$
|
1,070
|
$
|
3,524
|
(69.6
|
)%
|
$
|
4,499
|
(21.7
|
)%
|
||||||
Gain
on sale of mortgage loans
|
2,561
|
17,987
|
(85.8
|
)%
|
26,783
|
(32.8
|
)%
|
|||||||||
Loan
losses
|
(8,874
|
)
|
(8,228
|
)
|
7.9
|
%
|
—
|
(100
|
)%
|
|||||||
Brokered
loan fees
|
2,318
|
10,937
|
(78.8
|
)%
|
9,991
|
9.5
|
%
|
|||||||||
Gain
on sale of retail lending segment
|
4,368
|
—
|
—
|
—
|
—
|
|||||||||||
Other
income (expense)
|
(67
|
)
|
(294
|
)
|
(77.2
|
)%
|
231
|
(227.3
|
)%
|
|||||||
Total
net revenues
|
1,376
|
23,926
|
(94.2
|
)%
|
41,504
|
(42.4
|
)%
|
|||||||||
Expenses:
|
||||||||||||||||
Salaries,
commissions and benefits
|
7,209
|
21,711
|
(66.8
|
)%
|
29,045
|
(25.3
|
)%
|
|||||||||
Brokered
loan expenses
|
1,731
|
8,277
|
(79.1
|
)%
|
7,543
|
9.7
|
%
|
|||||||||
Occupancy
and equipment
|
1,819
|
5,077
|
(64.2
|
)%
|
6,076
|
(16.4
|
)%
|
|||||||||
General
and administrative
|
6,743
|
14,552
|
(53.7
|
)%
|
16,051
|
(9.3
|
)%
|
|||||||||
Total
expenses
|
17,502
|
49,617
|
(64.7
|
)%
|
58,715
|
(15.5
|
)%
|
|||||||||
Loss
before inomce tax benefit
|
(16,126
|
)
|
(25,691
|
)
|
(37.2
|
)%
|
(17,211
|
)
|
49.3
|
%
|
||||||
Income
tax (provision) benefit
|
(18,352
|
)
|
8,494
|
(316.1
|
)%
|
8,549
|
(0.6
|
)%
|
||||||||
Loss
from discontinued operations –
net of
tax
|
$
|
(34,478
|
)
|
$
|
(17,197
|
)
|
(100.5
|
)%
|
$
|
(8,662
|
)
|
98.5
|
%
|
·
|
sell
assets in adverse market
conditions;
|
·
|
borrow
on unfavorable terms;
|
·
|
distribute
amounts that would otherwise be invested in assets or repayment of
debt,
in order to comply with the REIT distribution
requirements.
|
Total
|
Less
than 1 year
|
1
to 3 years
|
4
to 5 years
|
after
5 years
|
||||||||||||
($
in thousands)
|
||||||||||||||||
Operating
leases
|
$
|
7,328
|
$
|
2,522
|
$
|
4,805
|
$
|
1
|
$
|
-
|
||||||
Repurchase
agreements
|
317,033
|
317,033
|
-
|
-
|
-
|
|||||||||||
Collateralized
debt oblidgations (1)(2)
|
488,280
|
94,662
|
167,242
|
123,647
|
102,729
|
|||||||||||
Subordinated
debentures (1)
|
151,553
|
3,604
|
7,395
|
7,803
|
132,751
|
|||||||||||
Interest
rate swaps
|
2,060
|
726
|
1,134
|
200
|
-
|
|||||||||||
Employment
agreements (3)
|
2,459
|
868
|
1,591
|
-
|
-
|
|||||||||||
$
|
968,713
|
$
|
419,415
|
$
|
182,167
|
$
|
131,651
|
$
|
235,480
|
(1)
|
Amounts
include interest paid during the period. Interest based on interest
rates
in effect on December 31, 2007.
|
(2)
|
Maturities
of our CDOs are dependent upon cash flows received from the underlying
loans receivable. Our estimate of their repayment is based on scheduled
principal payments on the underlying loans receivable. This estimate
will
differ from actual amounts to the extent prepayments and/or loan
losses
are experienced.
|
(3)
|
Represents
base cash compensation of the Company’s
Co-Chief Executive Officers, David A. Akre and Steven R.
Mumma.
|
·
|
base
advisory fee equal to 1.50% per annum of the “equity capital” (as defined
in Item 1 of this Annual Report) of the Managed Subsidiaries is
payable by
us to JMPAM in cash, quarterly in arrears;
and
|
·
|
incentive
compensation equal to 25% of the GAAP net income of the Managed
Subsidiaries attributable to the investments that are managed by
JMPAM
that exceed a hurdle rate equal to the greater of (a) 8.00% and
(b) 2.00%
plus the ten year treasury rate for such fiscal year will be payable
by us
to JMPAM in cash, quarterly in arrears; provided,
however,
that a portion of the incentive compensation may be paid in shares
of our
common stock.
|
|
·
|
Interest
rate risk
|
||
|
·
|
Liquidity
risk
|
||
|
·
|
Prepayment
risk
|
||
|
·
|
Credit
risk
|
||
|
·
|
Market
(fair value) risk
|
||
Changes
in Net Interest Income
|
|||||||||||
Changes
in Interest Rates
|
|
Changes
in Net Interest Income
|
|||||||||
+200
|
$ |
3,195
|
|||||||||
+100
|
$ |
603
|
|||||||||
-100
|
$ |
336
|
Market
Value Changes
|
||||||
(Amount
in thousands)
|
||||||
Changes
in
Interest
Rates
|
Changes
in
Market
Value
|
Net
Duration
|
||||
|
+200
|
|
(1,789)
|
|
0.66
years
|
|
|
+100
|
|
(515)
|
|
0.36
years
|
|
Base
|
—
|
0.12
years
|
||||
|
-100
|
|
(478)
|
|
(0.03)
years
|
|
(a)
|
Financial
Statements and Schedules. The following financial statements and
schedules
are included in this report:
|
|
|
Page
|
|
FINANCIAL
STATEMENTS:
|
|
|
|
|
|
F-2
|
|
|
|
|
|
F-3
|
|
|
|
|
|
F-4
|
|
|
|
|
|
F-5
|
|
|
|
|
|
F-6
|
|
|
|
|
|
F-7
|
|
|
|
|
|
F-8
|
|
(b)
|
Exhibits.
|
|
NEW
YORK MORTGAGE TRUST, INC.
|
|
|
|
|
Date: March
31, 2008
|
By:
|
/s/ DAVID
A. AKRE
|
|
Name: David
A. Akre
|
|
|
Title: Co-Chief
Executive Officer
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
/s/
David A. Akre
|
|
Co-Chief
Executive Officer
|
|
March
31, 2008
|
David
A. Akre
|
|
and
Director
|
|
|
|
|
(Principal
Executive Officer)
|
|
|
|
|
|
|
|
/s/
Steven R. Mumma
|
|
President, Co-Chief Executive Officer and
|
|
March 31, 2008
|
Steven
R. Mumma
|
|
Chief
Financial Officer
|
|
|
|
|
(Principal
Financial Officer)
|
|
|
|
|
|
|
|
/s/
James J. Fowler
|
|
Chairman
of the Board
|
|
March
31, 2008
|
James
J. Fowler
|
|
|
|
|
|
|
|
|
|
/s/
David R. Bock
|
|
Director
|
|
March
31, 2008
|
David
R. Bock
|
|
|
|
|
|
|
|
|
|
/s/
Alan L. Hainey
|
|
Director
|
|
March
31, 2008
|
Alan
L. Hainey
|
|
|
|
|
|
|
|
|
|
/s/
Steven G. Norcutt
|
|
Director
|
|
March
31, 2008
|
Steven
G. Norcutt
|
|
|
|
|
|
|
|
|
|
/s/
Steven M. Abreu
|
|
Director
|
|
March
31, 2008
|
Steven
M. Abreu
|
|
|
|
|
|
Page
|
|||
FINANCIAL
STATEMENTS:
|
||||
|
||||
F-2
|
||||
|
||||
F-3
|
||||
|
||||
F-4
|
||||
|
||||
F-5
|
||||
|
||||
F-6
|
||||
|
||||
F-7
|
||||
|
||||
F-8
|
|
December 31,
2007
|
December 31,
2006
|
|||||
ASSETS
|
|
|
|||||
Cash
and cash equivalents
|
$
|
5,508
|
$
|
969
|
|||
Restricted
cash
|
7,515
|
3,151
|
|||||
Investment
securities available for sale
|
350,484
|
488,962
|
|||||
Accounts
and accrued interest receivable
|
3,485
|
5,189
|
|||||
Mortgage
loans held in securitization trusts - net of reserves
|
430,715
|
588,160
|
|||||
Prepaid
and other assets
|
2,200
|
20,951
|
|||||
Derivative
assets
|
416
|
2,632
|
|||||
Property
and equipment (net)
|
62
|
89
|
|||||
Assets
related to discontinued operation
|
8,876
|
212,805
|
|||||
Total
Assets
|
$
|
809,261
|
$
|
1,322,908
|
|||
LIABILITIES
AND STOCKHOLDERS’ EQUITY
|
|||||||
Liabilities:
|
|||||||
Financing
arrangements, portfolio investments
|
$
|
315,714
|
$
|
815,313
|
|||
Collateralized
debt obligations
|
417,027
|
197,447
|
|||||
Derivative
liabilities
|
3,517
|
—
|
|||||
Accounts
payable and accrued expenses
|
3,752
|
5,871
|
|||||
Subordinated
debentures
|
45,000
|
45,000
|
|||||
Liabilities
related to discontinued operation
|
5,833
|
187,705
|
|||||
Total
liabilities
|
790,843
|
1,251,336
|
|||||
Commitments
and Contingencies
|
|||||||
Stockholders’
Equity:
|
|||||||
Common
stock, $0.01 par value, 400,000,000 shares authorized 3,635,854 shares
issued and outstanding at December 31, 2007 and 3,665,037 shares
issued and 3,615,576 outstanding at December 31, 2006
|
36
|
37
|
|||||
Additional
paid-in capital
|
99,339
|
99,655
|
|||||
Accumulated
other comprehensive loss
|
(1,950
|
)
|
(4,381
|
)
|
|||
Accumulated
deficit
|
(79,007
|
)
|
(23,739
|
)
|
|||
Total
stockholders’ equity
|
18,418
|
71,572
|
|||||
Total
Liabilities and Stockholders’ Equity
|
$
|
809,261
|
$
|
1,322,908
|
|
For
the Year Ended December 31,
|
|||||||||
|
2007
|
2006
|
2005
|
|||||||
REVENUES:
|
||||||||||
Interest
income:
|
||||||||||
Investment
securities and loans held in securitization trusts
|
$
|
50,564
|
$
|
64,881
|
$
|
55,050
|
||||
Loans
held for investment
|
—
|
—
|
7,675
|
|||||||
Total
interest income
|
50,564
|
64,881
|
62,725
|
|||||||
Interest
expense:
|
||||||||||
Investment
securities and loans held in securitization trusts
|
46,529
|
56,553
|
42,001
|
|||||||
Loans
held for investment
|
—
|
—
|
5,847
|
|||||||
Subordinated
debentures
|
3,558
|
3,544
|
2,004
|
|||||||
Total
interest expense
|
50,087
|
60,097
|
49,852
|
|||||||
Net
interest income
|
477
|
4,784
|
12,873
|
|||||||
Other
(expense) income:
|
||||||||||
Loan
losses
|
(1,683
|
)
|
(57
|
)
|
—
|
|||||
(Loss)
gain on securities and related hedges
|
(8,350
|
)
|
(529
|
)
|
2,207
|
|||||
Impairment
loss on investment securities
|
(8,480
|
)
|
—
|
(7,440
|
)
|
|||||
Total
other expense
|
(18,513
|
)
|
(586
|
)
|
(5,233
|
)
|
||||
EXPENSES:
|
||||||||||
Salaries
and benefits
|
865
|
714
|
1,934
|
|||||||
Marketing
and promotion
|
145
|
78
|
124
|
|||||||
Data
processing and communications
|
194
|
230
|
149
|
|||||||
Professional
fees
|
612
|
598
|
853
|
|||||||
Depreciation
and amortization
|
325
|
276
|
171
|
|||||||
Other
|
613
|
136
|
1,087
|
|||||||
Total
expenses
|
2,754
|
2,032
|
4,318
|
|||||||
(Loss)
Income from continuing operations
|
(20,790
|
)
|
2,166
|
3,322
|
||||||
Loss
from discontinued operation - net of tax
|
(34,478
|
)
|
(17,197
|
)
|
(8,662
|
)
|
||||
NET
LOSS
|
$
|
(55,268
|
)
|
$
|
(15,031
|
)
|
$
|
(5,340
|
)
|
|
Basic
and diluted loss per share
|
$
|
(15.23
|
)
|
$
|
(4.17
|
)
|
$
|
(1.49
|
)
|
|
Weighted
average shares outstanding-basic and diluted
|
3,628
|
3,608
|
3,575
|
Common
Stock
|
Additional
Paid-In
Capital
|
Accumulated
Deficit
|
Accumulated
Other
Comprehensive
Income (Loss)
|
Comprehensive
Income (Loss)
|
Total
|
||||||||||||||
BALANCE,
JANUARY 1, 2005
|
$
|
36
|
$
|
119,190
|
$
|
—
|
$
|
256
|
$
|
—
|
$
|
119,482
|
|||||||
Net
loss
|
—
|
—
|
(5,340
|
)
|
—
|
(5,340
|
)
|
(5,340
|
)
|
||||||||||
Dividends
declared
|
—
|
(13,375
|
)
|
(3,368
|
)
|
—
|
—
|
(16,743
|
)
|
||||||||||
Restricted
stock
|
1
|
1,311
|
—
|
—
|
—
|
1,312
|
|||||||||||||
Performance
shares
|
—
|
549
|
—
|
—
|
—
|
549
|
|||||||||||||
Stock
options
|
—
|
44
|
—
|
—
|
—
|
44
|
|||||||||||||
Decrease
in net unrealized gain on available for sale securities
|
—
|
—
|
—
|
(1,130
|
)
|
(1,130
|
)
|
(1,130
|
)
|
||||||||||
Increase
derivative instruments
|
—
|
—
|
—
|
2,784
|
2,784
|
2,784
|
|||||||||||||
Comprehensive
loss
|
—
|
—
|
—
|
—
|
$
|
(3,686
|
)
|
—
|
|||||||||||
BALANCE,
DECEMBER 31, 2005
|
37
|
107,719
|
(8,708
|
)
|
1,910
|
100,958
|
|||||||||||||
Net
loss
|
—
|
—
|
(15,031
|
)
|
—
|
$
|
(15,031
|
)
|
(15,031
|
)
|
|||||||||
Dividends
declared
|
—
|
(8,595
|
)
|
—
|
—
|
—
|
(8,595
|
)
|
|||||||||||
Repurchase
of common stock
|
(1
|
)
|
(299
|
)
|
—
|
—
|
—
|
(300
|
)
|
||||||||||
Restricted
stock
|
1
|
819
|
—
|
—
|
—
|
820
|
|||||||||||||
Performance
shares
|
—
|
8
|
—
|
—
|
—
|
8
|
|||||||||||||
Stock
options
|
—
|
3
|
—
|
—
|
—
|
3
|
|||||||||||||
Decrease
in net unrealized gain on available for sale securities
|
—
|
—
|
—
|
(879
|
)
|
(879
|
)
|
(879
|
)
|
||||||||||
Decrease
in derivative instruments
|
—
|
—
|
—
|
(5,412
|
)
|
(5,412
|
)
|
(5,412
|
)
|
||||||||||
Comprehensive
loss
|
—
|
—
|
—
|
—
|
$
|
(21,322
|
)
|
—
|
|||||||||||
BALANCE,
DECEMBER 31, 2006
|
|
37
|
|
99,655
|
|
(23,739
|
)
|
|
(4,381
|
)
|
71,572
|
||||||||
Net
loss
|
—
|
—
|
(55,268
|
)
|
—
|
$
|
(55,268
|
)
|
(55,268
|
)
|
|||||||||
Dividends
declared
|
—
|
(909
|
)
|
—
|
—
|
—
|
(909
|
)
|
|||||||||||
Restricted
stock
|
(1
|
)
|
593
|
—
|
—
|
—
|
592
|
||||||||||||
Decrease
in net unrealized loss on available for sale securities
|
—
|
—
|
—
|
3,815
|
|
3,815
|
|
3,815
|
|
||||||||||
Decrease
in derivative instruments
|
—
|
—
|
—
|
(1,384
|
)
|
(1,384
|
)
|
(1,384
|
)
|
||||||||||
Comprehensive
loss
|
—
|
—
|
—
|
—
|
$
|
(52,837
|
)
|
—
|
|||||||||||
BALANCE,
DECEMBER 31, 2007
|
$
|
36
|
$
|
99,339
|
$
|
(79,007
|
)
|
$
|
(1,950
|
)
|
$
|
18,418
|
|
For
the Years Ended December 31,
|
|||||||||
|
2007
|
2006
|
2005
|
|||||||
CASH
FLOWS FROM OPERATING ACTIVITIES:
|
||||||||||
Net
loss
|
$
|
(55,268
|
)
|
$
|
(15,031
|
)
|
$
|
(5,340
|
)
|
|
Adjustments
to reconcile net loss to net cash provided by (used in) operating
activities:
|
||||||||||
Depreciation
and amortization
|
765
|
2,106
|
1,716
|
|||||||
Amortization
of premium on investment securities and mortgage loans
|
1,616
|
2,483
|
6,269
|
|||||||
Loss
(gain) on sale of securities, loans and related hedges
|
8,350
|
1,276
|
(2,207
|
)
|
||||||
Impairment
loss on investment securities
|
8,480
|
—
|
7,440
|
|||||||
Purchase
of mortgage loans held for investment
|
—
|
(222,907
|
)
|
—
|
||||||
Origination
of mortgage loans held for sale
|
(300,863
|
)
|
(1,841,011
|
)
|
(2,316,734
|
)
|
||||
Proceeds
from sales of mortgage loans
|
398,678
|
2,059,981
|
2,293,848
|
|||||||
Allowance
for deferred tax asset / tax (benefit)
|
18,352
|
(8,494
|
)
|
(8,549
|
)
|
|||||
Gain
on sale of retail lending platform
|
(4,368
|
)
|
—
|
—
|
||||||
Change
in value of derivatives
|
785
|
289
|
(3,155
|
)
|
||||||
Loan
losses
|
2,546
|
6,800
|
—
|
|||||||
Other
|
1,111
|
806
|
1,932
|
|||||||
Changes
in operating assets and liabilities:
|
||||||||||
Due
from loan purchasers
|
88,351
|
33,462
|
(41,909
|
)
|
||||||
Escrow
deposits-pending loan closings
|
3,814
|
(2,380
|
)
|
14,802
|
||||||
Accounts
and accrued interest receivable
|
4,141
|
7,188
|
714
|
|||||||
Prepaid
and other assets
|
2,903
|
(1,586
|
)
|
(3,987
|
)
|
|||||
Due
to loan purchasers
|
(7,115
|
)
|
4,209
|
1,301
|
||||||
Accounts
payable and accrued expenses
|
(5,009
|
)
|
(7,957
|
)
|
3,990
|
|||||
Other
liabilities
|
(131
|
)
|
(453
|
)
|
(4,100
|
)
|
||||
Net
cash provided by (used in) operating activities
|
167,138
|
18,781
|
(53,969
|
)
|
||||||
CASH
FLOWS FROM INVESTING ACTIVITIES:
|
||||||||||
Restricted
cash
|
(4,364
|
)
|
2,317
|
(3,126
|
)
|
|||||
Purchases
of investment securities
|
(231,932
|
) |
(292,513
|
) |
(92,658
|
) | ||||
Proceeds from sale of investment securities | 246,874 | 356,895 | 169,834 | |||||||
Purchase
of mortgage loans held in securitization trusts
|
—
|
—
|
(167,097
|
)
|
||||||
Principal
repayments received on loans held in securitization trust
|
154,729
|
191,673
|
120,835
|
|||||||
Proceeds
from sale of retail lending platform
|
12,936
|
—
|
—
|
|||||||
Origination
of mortgage loans held for investment
|
—
|
(558,554
|
)
|
|||||||
Principal
paydown on investment securities
|
113,490
|
162,185
|
399,694
|
|||||||
Payments
received on loans held for investment
|
—
|
—
|
13,279
|
|||||||
Purchases
of property and equipment
|
(396
|
)
|
(1,464
|
)
|
(3,929
|
)
|
||||
Sale
of fixed asset and real estate owned property
|
880
|
—
|
75
|
|||||||
Net
cash provided by (used in) investing activities
|
292,217
|
419,093
|
(121,647
|
)
|
||||||
CASH
FLOWS FROM FINANCING ACTIVITIES:
|
||||||||||
Repurchase
of common stock
|
—
|
(300
|
)
|
—
|
||||||
Decrease
in financing arrangements, net
|
(672,570
|
)
|
(403,400
|
)
|
(78,911
|
) | ||||
Collateralized
debt obligation borrowings
|
337,431 |
—
|
228,226
|
|||||||
Collateralized
debt obligation paydowns
|
(117,851 | ) | (30,779) | — | ||||||
Dividends
paid
|
(1,826
|
)
|
(11,524
|
)
|
(17,256
|
)
|
||||
Capital
contributions from minority interest member
|
—
|
42 |
—
|
|||||||
Issuance
of subordinated debentures
|
—
|
—
|
45,000
|
|||||||
Net
cash (used in) provided by financing activities
|
(454,816
|
)
|
(445,961
|
)
|
177,059
|
|||||
NET
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
4,539
|
(8,087
|
)
|
1,443
|
||||||
CASH
AND CASH EQUIVALENTS — Beginning
|
969
|
9,056
|
7,613
|
|||||||
CASH
AND CASH EQUIVALENTS — End
|
$
|
5,508
|
$
|
969
|
$
|
9,056
|
||||
SUPPLEMENTAL
DISCLOSURE
|
||||||||||
Cash
paid for interest
|
$
|
41,338
|
$
|
76,905
|
$
|
57,871
|
||||
NON
CASH INVESTING ACTIVITIES
|
||||||||||
Non-cash
purchase of fixed assets
|
$
|
—
|
$
|
—
|
$
|
168
|
||||
NON
CASH FINANCING ACTIVITIES
|
||||||||||
Dividends
declared to be paid in subsequent period
|
$
|
—
|
$
|
905
|
$
|
3,834
|
||||
Grant
of restricted stock
|
$
|
—
|
$
|
—
|
$
|
277
|
1.
|
Summary
of Significant Accounting
Policies
|
|
·
|
the
items to be hedged expose the Company to interest rate risk;
and
|
|
·
|
the
interest rate swaps or caps are expected to be and continue to be
highly
effective in reducing the Company's exposure to interest rate
risk.
|
2.
|
Investment
Securities Available For
Sale
|
|
December
31,
2007
|
December
31,
2006
|
|||||
Amortized
cost
|
$
|
350,484
|
$
|
492,777
|
|||
Gross
unrealized gains
|
—
|
623
|
|||||
Gross
unrealized losses
|
—
|
|
(4,438
|
)
|
|||
Fair
value
|
$
|
350,484
|
$
|
488,962
|
|
|
Less than 6 Months
|
|
More than 6 Months
to 24 Months
|
|
More than 24 Months
to 60 Months
|
|
Total
|
|
||||||||||||||||
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Agency
REMIC CMO Floating Rate
|
|
$
|
318,689
|
|
|
5.55%
|
|
$
|
—
|
|
|
—
|
|
$
|
—
|
|
|
—
|
|
$
|
318,689
|
|
|
5.55%
|
|
Private
Label Floaters
|
|
|
28,401
|
|
|
5.50%
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
28,401
|
|
|
5.50%
|
|
NYMT
Retained Securities
|
|
|
2,165
|
|
|
6.28%
|
|
|
—
|
|
|
—
|
|
1,229
|
|
|
12.99%
|
|
|
3,394
|
|
|
10.03%
|
|
|
Total/Weighted
Average
|
|
$
|
349,255
|
|
|
5.55%
|
|
$
|
—
|
|
|
—
|
|
$
|
1,229
|
|
|
12.99%
|
|
$
|
350,484
|
|
|
5.61%
|
|
|
|
Less
than
6
Months
|
|
More than 6 Months
To 24 Months
|
|
More than 24 Months
To
60 Months
|
|
Total
|
|
||||||||||||||||
|
|
Carrying
Value
|
|
Weighted
Average
Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
Carrying
Value
|
|
Weighted
Average Yield
|
|
||||||||
Agency
REMIC CMO Floating Rate
|
|
$
|
163,898
|
|
|
6.40%
|
|
$
|
—
|
|
|
—
|
|
$
|
—
|
|
|
—
|
|
$
|
163,898
|
|
|
6.40%
|
|
Private
Label Floaters
|
|
|
22,284
|
|
|
6.46%
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,284
|
|
|
6.46%
|
|
Private
Label ARMs
|
|
|
16,673
|
|
|
5.60%
|
|
|
78,565
|
|
|
5.80%
|
|
|
183,612
|
|
|
5.64%
|
|
|
278,850
|
|
|
5.68%
|
|
NYMT
Retained Securities
|
|
|
6,024
|
|
|
7.12%
|
|
|
—
|
|
|
—
|
|
|
17,906
|
|
|
7.83%
|
|
|
23,930
|
|
|
7.66%
|
|
Total/Weighted
Average
|
|
$
|
208,879
|
|
|
6.37%
|
|
$
|
78,565
|
|
|
5.80%
|
|
$
|
201,518
|
|
|
5.84%
|
|
$
|
488,962
|
|
|
6.06%
|
|
|
|
December
31, 2006
|
|
||||||||||||||||
|
|
Less
than 12 Months
|
|
12
Months or More
|
|
Total
|
|
||||||||||||
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized Losses
|
|
||||||
Agency
REMIC CMO Floating Rate
|
$
|
966
|
$
|
2
|
$
|
1,841
|
$
|
4
|
$
|
2,807
|
$
|
6
|
|||||||
Private
Label Floaters
|
22,284
|
80
|
—
|
—
|
22,284
|
80
|
|||||||||||||
Private
Label ARMs
|
30,385
|
38
|
248,465
|
4,227
|
278,850
|
4,265
|
|||||||||||||
NYMT
Retained Securities
|
7,499
|
87
|
—
|
—
|
7,499
|
87
|
|||||||||||||
Total
|
$
|
61,134
|
$
|
207
|
$
|
250,306
|
$
|
4,231
|
$
|
311,440
|
$
|
4,438
|
3.
|
Mortgage
Loans Held in Securitization
Trusts
|
|
December 31,
2007
|
December
31,
2006
|
|||||
Mortgage
loans principal amount
|
$
|
429,629
|
$
|
584,358
|
|||
Deferred
origination costs –
net
|
2,733
|
3,802
|
|||||
Reserve
for loan losses
|
(1,647
|
)
|
—
|
||||
Total
mortgage loans held in securitization trusts
|
$
|
430,715
|
$
|
588,160
|
Days
Late
|
Number of Delinquent
Loans
|
Total
Dollar Amount
|
% of Loan
Portfolio
|
|||||||
30-60
|
—
|
$
|
—
|
—
|
%
|
|||||
61-90
|
2
|
1,859
|
0.43
|
%
|
||||||
90+
|
12
|
6,910
|
1.61
|
%
|
||||||
REO
|
4
|
$
|
4,145
|
0.96
|
%
|
Days
Late
|
|
Number of Delinquent
Loans
|
|
Total
Dollar Amount
|
|
% of Loan
Portfolio
|
|
|||
30-60
|
1
|
$
|
166
|
0.03
|
%
|
|||||
61-90
|
1
|
193
|
0.03
|
%
|
||||||
90+
|
4
|
5,819
|
0.99
|
%
|
||||||
REO
|
1
|
$
|
625
|
0.11
|
%
|
4.
|
Property
and Equipment — Net
|
|
December
31,
2007
|
December
31,
2006
|
|||||
Office
and computer equipment
|
$
|
175
|
$
|
156
|
|||
Furniture
and fixtures
|
152
|
147
|
|||||
Total
equipment, furniture and fixtures
|
327
|
303
|
|||||
Less:
accumulated depreciation
|
(265
|
)
|
(214
|
)
|
|||
Property
and equipment - net
|
$
|
62
|
$
|
89
|
5.
|
Derivative
Instruments and Hedging
Activities
|
|
December
31,
2007
|
December
31,
2006
|
|||||
Derivative
Assets:
|
|||||||
Interest
rate caps
|
$
|
416
|
$
|
2,011
|
|||
Interest
rate swaps
|
—
|
621
|
|||||
Total
derivative assets
|
$
|
416
|
$
|
2,632
|
|||
|
|||||||
Derivative
liabilities:
|
|||||||
Interest
rate swaps
|
$
|
3,517
|
$
|
—
|
|||
Total
derivative liabilities
|
$
|
3,517
|
$
|
—
|
6.
|
Financing
Arrangements, Portfolio Investments
|
Repurchase
Agreements by Counterparty
|
|||||||
|
|
|
|||||
Counterparty
Name
|
December 31,
2007
|
December 31,
2006
|
|||||
Barclays
Securities
|
$
|
101,297
|
$
|
—
|
|||
Countrywide
Securities Corporation
|
—
|
168,217
|
|||||
Credit
Suisse First Boston LLC
|
97,388
|
—
|
|||||
Goldman,
Sachs & Co.
|
66,432
|
121,824
|
|||||
HSBC
|
50,597
|
—
|
|||||
J.P.
Morgan Securities Inc.
|
—
|
33,631
|
|||||
Nomura
Securities International, Inc.
|
—
|
156,352
|
|||||
SocGen/SG
Americas Securities
|
—
|
87,995
|
|||||
West
LB
|
—
|
247,294
|
|||||
Total
Financing Arrangements, Portfolio Investments
|
$
|
315,714
|
$
|
815,313
|
7.
|
Collateralized
Debt Obligations
|
8.
|
Subordinated
Debentures
|
9.
|
Discontinued
Operation
|
|
December 31,
|
||||||
2007
|
2006
|
||||||
Due
from loan purchasers
|
$
|
—
|
$
|
88,351
|
|||
Escrow
deposits-pending loan closings
|
—
|
3,814
|
|||||
Accounts
and accrued interest receivable
|
51
|
2,488
|
|||||
Mortgage
loans held for sale
|
8,077
|
106,900
|
|||||
Prepaid
and other assets
|
737
|
4,654
|
|||||
Derivative
assets
|
—
|
171
|
|||||
Property
and equipment, net
|
11
|
6,427
|
|||||
Total
assets
|
$
|
8,876
|
$
|
212,805
|
|
December 31,
|
||||||
2007
|
2006
|
||||||
Financing
arrangements, loans held for sale
|
$
|
—
|
$
|
172,972
|
|||
Due
to loan purchasers
|
894
|
8,334
|
|||||
Accounts
payable and accrued expenses
|
4,939
|
6,066
|
|||||
Derivative
liabilities
|
—
|
216
|
|||||
Other
liabilities
|
—
|
117
|
|||||
Total
liabilities
|
$
|
5,833
|
$
|
187,705
|
December 31,
|
|||||||
|
2007
|
2006
|
|||||
Mortgage
loans principal amount
|
$
|
9,636
|
$
|
110,804
|
|||
Deferred
origination costs – net
|
(43
|
)
|
138
|
||||
Reserve for
loan losses
|
(1,516
|
)
|
(4,042
|
)
|
|||
Total mortgage loans
held for sale (net)
|
$
|
8,077
|
$
|
106,900
|
|
December
31,
|
||||||
|
2007
|
2006
|
|||||
Balance at
beginning of year
|
$
|
4,042
|
$
|
-
|
|||
Provisions
for loan losses
|
974
|
5,040
|
|||||
Charge-offs
|
(3,500
|
)
|
(998
|
)
|
|||
Balance
of the end of year
|
$
|
1,516
|
$
|
4,042
|
|
December 31,
2006
|
|||
|
|
|||
$120
million master repurchase agreement as of March 31, 2007 with CSFB
expiring on June 29, 2007 and $200 million as of December 31, 2006,
bearing interest at daily LIBOR plus spreads from 0.75% to 2.000%
depending on collateral (6.36% at December 31, 2006). Principal
repayments are required 90 days from the funding date. Management
did not
seek renewal of this facility.
|
$
|
106,801
|
||
$300
million master repurchase agreement with Deutsche Bank Structured
Products, Inc. expiring on March 26, 2007 bearing interest at 1 month
LIBOR plus spreads from 0.625% to 1.25% depending on collateral (6.0%
at
December 31, 2006). Principal payments are due 120 days from the
repurchase date. Management did not seek renewal of this
facility.
|
66,171
|
|||
Total
Financing Arrangements
|
$
|
172,972
|
For
the Year Ended December 31,
|
||||||||||
2007
|
2006
|
2005
|
||||||||
Revenues:
|
||||||||||
Net
interest income
|
$
|
1,070
|
$
|
3,524
|
$
|
4,499
|
||||
Gain
on sale of mortgage loans
|
2,561
|
17,987
|
26,783
|
|||||||
Loan
losses
|
(8,874
|
)
|
(8,228
|
)
|
—
|
|||||
Brokered
loan fees
|
2,318
|
10,937
|
9,991
|
|||||||
Gain
on retail lending segment
|
4,368
|
— | — | |||||||
Other
(expense) income
|
(67
|
)
|
(294
|
)
|
231
|
|||||
Total
net revenues
|
1,376
|
23,926
|
41,504
|
|||||||
Expenses:
|
||||||||||
Salaries,
commissions and benefits
|
7,209
|
21,711
|
29,045
|
|||||||
Brokered
loan expenses
|
1,731
|
8,277
|
7,543
|
|||||||
Occupancy
and equipment
|
1,819
|
5,077
|
6,076
|
|||||||
General
and administrative
|
6,743
|
14,552
|
16,051
|
|||||||
Total
expenses
|
17,502
|
49,617
|
58,715
|
|||||||
Loss
before income tax benefit
|
(16,126
|
)
|
(25,691
|
)
|
(17,211
|
)
|
||||
Income
tax (provision) benefit
|
(18,352
|
) |
8,494
|
8,549
|
||||||
Loss
from discontinued operations – net of tax
|
$
|
(34,478
|
)
|
$
|
(17,197
|
)
|
$
|
(8,662
|
)
|
10.
|
Commitments
and Contingencies
|
Year
Ending December 31,
|
Total
|
|||
2008
|
$
|
2,522
|
||
2009
|
2,425
|
|||
2010
|
2,380
|
|||
2011
|
1
|
|||
2012
|
—
|
|||
Thereafter
|
—
|
|||
|
$
|
7,328
|
11.
|
Concentrations
of Credit Risk
|
|
December 31,
|
||||||
|
2007
|
2006
|
|||||
New
York
|
31.2
|
%
|
29.1
|
%
|
|||
Massachusetts
|
17.4
|
%
|
17.5
|
%
|
|||
Florida
|
8.3
|
%
|
11.4
|
%
|
|||
California
|
7.2
|
%
|
7.5
|
%
|
|||
New
Jersey
|
5.7
|
%
|
5.1
|
%
|
12.
|
Fair
Value of Financial Instruments
|
|
December
31, 2007
|
|||||||||
|
Notional
Amount
|
Carrying
Amount
|
Estimated
Fair Value
|
|||||||
|
|
|
||||||||
Investment
securities available for sale
|
$
|
359,365
|
$
|
350,484
|
$
|
350,484
|
||||
Mortgage
loans held in securitization trusts
|
429,629
|
430,715
|
421,275
|
|||||||
Subordinated debentures | 45,000 | 45,000 | 45,000 | |||||||
Interest
rate swaps
|
220,000
|
(3,517
|
)
|
(3,517
|
)
|
|||||
Interest
rate caps
|
$
|
749,598
|
$
|
416
|
$
|
416
|
||||
|
|
December
31, 2006
|
|||||||||
|
Notional
Amount
|
Carrying
Amount
|
Estimated
Fair Value
|
|||||||
|
|
|
||||||||
Investment
securities available for sale
|
$
|
491,293
|
$
|
488,962
|
$
|
488,962
|
||||
Mortgage
loans held in securitization trusts
|
584,358
|
588,160
|
582,504
|
|||||||
Subordinated debentures | 45,000 | 45,000 | 45,000 | |||||||
Interest
rate swaps
|
285,000
|
621
|
621
|
|||||||
Interest
rate caps
|
$
|
1,540,518
|
$
|
2,011
|
$
|
2,011
|
13.
|
Income
taxes
|
|
December
31,
|
||||||||||||||||||||
|
2007
|
2006
|
2005
|
||||||||||||||||||
Benefit
at statutory rate
|
$ |
(9,830
|
) |
|
(35.0
|
)%
|
$
|
(8.234
|
)
|
(35.0
|
)%
|
$ |
(4,861
|
) |
(35.0
|
)% | |||||
Non-taxable
REIT income (loss)
|
3,008
|
|
10.7 |
%
|
(1,891
|
)
|
(8.0
|
)%
|
(2,037
|
) |
(14.7
|
)% | |||||||||
Transfer
pricing of loans sold to nontaxable parent
|
-
|
-
|
11
|
0.0
|
% |
554
|
4.0
|
% | |||||||||||||
State
and local tax benefit
|
(1,797
|
)
|
6.4
|
%
|
(2,663
|
)
|
(11.3
|
)% |
(1,731
|
)
|
(12.5
|
)% | |||||||||
Valuation
allowance
|
26,962
|
|
96.0
|
%
|
4,269
|
18.1
|
% |
-
|
-
|
||||||||||||
Miscellaneous
|
9
|
|
0.0
|
%
|
14
|
0.1
|
% |
(474
|
) |
(3.5
|
)% | ||||||||||
Total
provision (benefit)
|
$
|
18,352
|
|
65.3
|
%
|
$
|
(8,494
|
)
|
(36.1
|
)% | $ |
(8,549
|
) |
(61.7
|
)% |
|
Deferred
|
|||
Regular
tax provision
|
||||
Federal
|
$
|
14,522 |
|
|
State
|
3,830 | |||
Total
tax provision
|
$
|
18,352 |
|
|
Deferred
|
|||
Regular
tax benefit
|
||||
Federal
|
$
|
(6,721
|
)
|
|
State
|
(1,773
|
)
|
||
Total
tax benefit
|
$
|
(8,494
|
)
|
|
Deferred
|
|||
Regular
tax benefit
|
||||
Federal
|
$
|
(6,818
|
)
|
|
State
|
(1,731
|
)
|
||
Total
tax benefit
|
$
|
(8,549
|
)
|
Deferred
tax assets:
|
||||
Net
operating loss carryover
|
$ | 27,434 | ||
Restricted
stock, performance shares and stock option expense
|
489 | |||
Mark
to market adjustment
|
86 | |||
Sec.
267 disallowance
|
268 | |||
Charitable
contribution carryforward
|
1 | |||
GAAP
reserves
|
994 | |||
Rent
expense
|
252 | |||
Loss
on sublease
|
50 | |||
Gross
deferred tax asset
|
29,574 | |||
Valuation
allowance
|
(29,509 | ) | ||
Net
deferred tax asset
|
$ | 65 | ||
|
||||
Deferred
tax liabilities:
|
||||
Depreciation
|
$ | 65 | ||
Total
deferred tax liability
|
$ | 65 |
Deferred
tax assets:
|
||||
Net
operating loss carryover
|
$
|
19,949
|
||
Restricted
stock, performance shares and stock option expense
|
410
|
|||
Mark
to market adjustment
|
2
|
|||
Sec.
267 disallowance
|
268
|
|||
Charitable
contribution carryforward
|
35
|
|||
GAAP
reserves
|
1,399
|
|||
Rent
expense
|
518
|
|||
Loss
on sublease
|
121
|
|||
Gross
deferred tax asset
|
22,702
|
|||
Valuation
allowance
|
(4,269
|
)
|
||
Net
deferred tax asset
|
$
|
18,433
|
||
|
||||
Deferred
tax liabilities:
|
||||
Management
compensation
|
$
|
16
|
||
Depreciation
|
65
|
|||
Total
deferred tax liability
|
$
|
81
|
14.
|
Segment
Reporting
|
15.
|
Capital
Stock and Earnings per
Share
|
|
For
the Year Ended December
31,
|
|||||||||
2007
|
2006
|
2005
|
||||||||
Numerator:
|
||||||||||
Net
Loss
|
$
|
(55,268
|
)
|
$
|
(15,031
|
)
|
$
|
(5,340
|
)
|
|
Denominator:
|
||||||||||
Weighted
average number of common shares outstanding — basic and
diluted
|
3,628
|
3,608
|
3,575
|
|||||||
Net
loss per share — basic and diluted
|
$
|
(15.23
|
)
|
$
|
(4.17
|
)
|
$
|
(1.49
|
)
|
Upon
the closing of the Company’s IPO, of the 550,000 shares exchanged for the
equity interests of HC, 20,000 shares were held in escrow through
December
31, 2004 and were available to satisfy any indemnification claims
the
Company may have had against the contributors of HC for losses incurred
as
a result of defaults on any residential mortgage loans originated
by HC
and closed prior to the completion of the IPO. As of December 31,
2004,
the amount of escrowed shares was reduced by 9,536 shares, representing
$492,536 for estimated losses on loans closed prior to the Company’s IPO.
Furthermore, the contributors of HC entered into a new escrow agreement,
which extended the escrow period to December 31, 2006 for the remaining
10,464 shares. In September 2006, the Company concluded all
indemnification claims related to the escrowed shares were finally
determined and no additional losses would be incurred. Accordingly
the
remaining 10,464 escrowed shares were released from escrow on October
27,
2006.
|
The
Company has granted 118,300 stock options under its stock
incentive plans in the past. As of December 31, 2007 there were no
options
outstanding.
|
16.
|
Stock
Incentive Plans
|
|
Number of
Options
|
Weighted
Average
Exercise
Price
|
|||||
Outstanding
at beginning of year, January 1, 2007
|
93,800
|
$
|
47.60
|
||||
Granted
|
—
|
—
|
|||||
Canceled
|
(93,800
|
)
|
47.60
|
||||
Exercised
|
—
|
—
|
|||||
Outstanding
at end of year, December 31, 2007
|
—
|
$
|
—
|
||||
Options
exercisable at year-end
|
—
|
$
|
—
|
|
Number of
Options
|
Weighted
Average
Exercise
Price
|
|||||
Outstanding
at beginning of year, January 1, 2006
|
108,300
|
$
|
47.80
|
||||
Granted
|
—
|
—
|
|||||
Canceled
|
(15,000
|
)
|
49.15
|
||||
Exercised
|
—
|
—
|
|||||
Outstanding
at end of year, December 31, 2006
|
93,300
|
$
|
47.60
|
||||
Options
exercisable at year-end
|
93,300
|
$
|
47.60
|
Options
Outstanding
Weighted
Average
Remaining
Contractual
|
Options Exercisable
|
Fair Value of
|
||||||||||||||||||||
Range of Exercise Prices
|
Date of Grants
|
Number
Outstanding
|
Life
(Years)
|
Exercise
Price
|
Number
Exercisable
|
Exercise
Price
|
Options
Granted
|
|||||||||||||||
$45.00
|
6/24/04
|
35,300
|
7.5
|
$
|
45.00
|
35,300
|
$
|
45.00
|
$
|
0.39
|
||||||||||||
$49.15
|
12/2/04
|
58,000
|
7.9
|
49.15
|
58,000
|
49.15
|
0.29
|
|||||||||||||||
Total
|
93,300
|
7.8
|
$
|
47.60
|
93,300
|
$
|
47.60
|
$
|
0.33
|
Risk
free interest rate
|
4.5
|
%
|
||
Expected
volatility
|
10
|
%
|
||
Expected
life
|
10
years
|
|||
Expected
dividend yield
|
10.48
|
%
|
|
Number
of
Non-vested
Restricted
Shares
|
Weighted
Average
Grant
Date
Fair
Value
|
|||||
|
|
|
|||||
Non-vested
shares at beginning of year, January 1, 2007
|
42,701
|
$
|
31.80
|
||||
Granted
|
-
|
-
|
|||||
Forfeited
|
(31,178
|
)
|
27.89
|
||||
Vested
|
(11,523
|
)
|
43.15
|
||||
Non-vested
shares as of December 31, 2007
|
-
|
$
|
-
|
||||
Weighted-average
fair value of restricted stock granted during the period
|
$
|
-
|
$
|
-
|
|
Number
of
Non-vested
Restricted
Shares
|
Weighted
Average
Grant
Date
Fair
Value
|
|||||
|
|
|
|||||
Non-vested
shares at beginning of year, January 1, 2006
|
44,212
|
$
|
44.25
|
||||
Granted
|
25,831
|
21.80
|
|||||
Forfeited
|
(4,341
|
)
|
46.00
|
||||
Vested
|
(23,001
|
)
|
41.85
|
||||
Non-vested
shares as of December 31, 2006
|
42,701
|
$
|
31.80
|
||||
Weighted-average
fair value of restricted stock granted during the period
|
$
|
562,549
|
$
|
21.80
|
|
Number
of
Non-vested
Restricted
Shares
|
Weighted
Average
Grant
Date
Fair
Value
|
|||||
|
|
|
|||||
Non-vested
shares at beginning of year, January 1, 2007
|
5,110
|
$
|
49.15
|
||||
Granted
|
-
|
-
|
|||||
Forfeited
|
(5,110
|
)
|
49.15
|
||||
Vested
|
-
|
-
|
|||||
Non-vested
shares as of December 31, 2007
|
-
|
$
|
-
|
|
|
Number
of
Non-vested
Restricted
Shares
|
|
Weighted
Average
Grant
Date
Fair
Value
|
|
||
|
|
|
|
|
|
||
Non-vested
shares at beginning of year, January 1, 2006
|
|
|
12,215
|
|
$
|
49.15
|
|
Granted
|
|
|
-
|
|
|
-
|
|
Forfeited
|
|
|
(5,254
|
)
|
|
49.15
|
|
Vested
|
|
|
(1,851
|
)
|
|
49.15
|
|
Non-vested
shares as of December 31, 2006
|
|
|
5,110
|
|
$
|
49.15
|
|
17.
|
Quarterly
Financial Data (unaudited)
|
Three
Months Ended
|
|||||||||||||
Mar.
31,
2007
|
Jun.
30,
2007
|
Sep.
30,
2007
|
Dec.
31,
2007
|
||||||||||
Revenues:
|
|||||||||||||
Interest
income
|
$
|
13,713
|
$
|
12,898
|
$
|
12,376
|
$
|
11,577
|
|||||
Interest
expense
|
13,966
|
12,786
|
12,107
|
11,228
|
|||||||||
Net
interest income
|
(253
|
)
|
112
|
269
|
349
|
||||||||
Other
income (expense):
|
|||||||||||||
Loan
losses
|
—
|
(940
|
)
|
(99
|
)
|
(644
|
)
|
||||||
Loss
on sale of securities and related hedges
|
—
|
(3,821
|
) |
(1,013
|
)
|
(11,996
|
) | ||||||
Total
other expense
|
—
|
(4,761
|
)
|
(1,112
|
)
|
(12,640
|
)
|
||||||
Expenses:
|
|||||||||||||
Salaries
and benefits
|
345
|
151
|
178
|
191
|
|||||||||
General
and administrative expenses
|
302
|
378
|
668
|
541
|
|||||||||
Total
expenses
|
647
|
529
|
846
|
732
|
|||||||||
Loss from
continuing operations
|
(900
|
)
|
(5,178
|
)
|
(1,689
|
)
|
(13,023
|
)
|
|||||
Loss
from discontinued operation - net of tax
|
(3,841
|
)
|
(9,018
|
)
|
(19,027
|
)
|
(2,592
|
)
|
|||||
Net
loss
|
$
|
(4,741
|
)
|
$
|
(14,196
|
)
|
$
|
(20,716
|
)
|
$
|
(15,615
|
)
|
|
Per
share basic and diluted loss
|
$
|
(1.31
|
)
|
$
|
(3.92
|
)
|
$
|
(5.70
|
)
|
$
|
(4.30
|
)
|
|
Three
Months Ended
|
||||||||||||
|
Mar.
31,
2006
|
Jun.
30,
2006
|
Sep.
30,
2006
|
Dec.
31,
2006
|
|||||||||
Revenues:
|
|||||||||||||
Interest
income
|
$
|
17,584
|
$
|
15,468
|
$
|
16,998
|
$
|
14,831
|
|||||
Interest
expense
|
14,964
|
13,253
|
16,759
|
15,121
|
|||||||||
Net
interest income
|
2,620
|
2,215
|
239
|
(290
|
)
|
||||||||
Other
income (expense):
|
|||||||||||||
Loan
losses
|
—
|
—
|
—
|
(57
|
)
|
||||||||
(Loss)
gain on sale of securities and related hedges
|
(969
|
)
|
—
|
440
|
—
|
||||||||
Total
other income (expense)
|
(969
|
)
|
—
|
440
|
(57
|
)
|
|||||||
Expenses:
|
|||||||||||||
Salaries,
commissions and related expenses
|
250
|
202
|
166
|
96
|
|||||||||
Brokered
loan expenses
|
—
|
—
|
—
|
—
|
|||||||||
General
and administrative expenses
|
379
|
629
|
245
|
309
|
|||||||||
Total
expenses
|
629
|
831
|
411
|
405
|
|||||||||
Income
(loss) from continuing operations
|
1,022
|
1,384
|
268
|
(752
|
)
|
||||||||
Loss
from discontinued operations - net of tax
|
(2,818
|
)
|
(1,206
|
)
|
(4,136
|
)
|
(8,793
|
)
|
|||||
Net
income (loss)
|
$
|
(1,796
|
)
|
$
|
178
|
$
|
(3,868
|
)
|
$
|
(9,545
|
)
|
||
Per
share basic income (loss)
|
$
|
(0.50
|
)
|
$
|
0.05
|
$
|
(1.07
|
)
|
$
|
(2.64
|
)
|
Exhibit
|
|
Description
|
|
3.1
|
|
Articles
of Amendment and Restatement of New York Mortgage Trust, Inc.
(Incorporated by reference to Exhibit 3.1 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
|
3.1(b)
|
Articles
of Amendment of the Registrant (Incorporated by reference to Exhibit
3.1
to the Company’s Current Report on Form 8-K filed on October 4,
2007).
|
3.1(c)
|
Articles
of Amendment of the Registrant (Incorporated by reference to Exhibit
3.2
to the Company’s Current Report on Form 8-K filed on October 4,
2007).
|
3.2(a)
|
|
Bylaws
of New York Mortgage Trust, Inc. (Incorporated by reference to Exhibit
3.2
to the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
|
3.2(b)
|
|
Amendment
No. 1 to Bylaws of New York Mortgage Trust, Inc.
|
|
4.1
|
|
Form
of Common Stock Certificate. (Incorporated by reference to Exhibit
4.1 to
the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
|
4.2(a)
|
|
Junior
Subordinated Indenture between The New York Mortgage Company, LLC
and
JPMorgan Chase Bank, National Association, as trustee, dated
September 1, 2005. (Incorporated by reference to Exhibit 4.1 to the
Company’s Current Report on Form 8-K as filed with the Securities and
Exchange Commission on September 6, 2005).
|
|
4.2(b)
|
|
Amended
and Restated Trust Agreement among The New York Mortgage Company,
LLC, JPMorgan Chase Bank, National Association, Chase Bank USA, National
Association and the Administrative Trustees named therein, dated
September 1, 2005. (Incorporated by reference to Exhibit 4.2 to the
Company’s Current Report on Form 8-K as filed with the Securities and
Exchange Commission on September 6, 2005).
|
|
4.3(a)
|
Articles
Supplementary Establishing and Fixing the Rights and Preferences
of
Series A Cumulative Redeemable Convertible Preferred Stock of the
Company (Incorporated
by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K
filed on January 25, 2008).
|
4.3(b)
|
Form
of Series A Cumulative Redeemable Convertible Preferred Stock Certificate
(Incorporated by reference to Exhibit 4.2 to the Company’s Current Report
on Form 8-K filed on January 25,
2008).
|
Exhibit
|
|
Description
|
10.1
|
|
Warehousing
Credit Agreement, among The New York Mortgage Company LLC, Steven
B.
Schnall, Joseph V. Fierro and National City Bank of Kentucky, dated
January 25, 2002. (Incorporated by reference to Exhibit 10.39 to
the
Company’s Registration Statement on Form S-11 as filed with the Securities
and Exchange Commission (Registration No. 333-111668), effective
June 23,
2004).
|
10.2
|
|
First
Amendment, dated April 2002, to Warehousing Credit Agreement, among
The
New York Mortgage Company LLC, Steven B. Schnall, Joseph V. Fierro
and
National City Bank of Kentucky, dated January 25, 2002. (Incorporated
by
reference to Exhibit 10.40 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23, 2004).
|
10.3
|
|
Second
Amendment, dated June 3, 2002, to Warehousing Credit Agreement, among
The
New York Mortgage Company LLC, Steven B. Schnall, Joseph V. Fierro
and
National City Bank of Kentucky, dated January 25, 2002. (Incorporated
by
reference to Exhibit 10.41 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23, 2004).
|
10.4
|
|
Third
Amendment, dated November , 2002, to Warehousing Credit Agreement,
among
The New York Mortgage Company LLC, Steven B. Schnall, Joseph V. Fierro
and
National City Bank of Kentucky, dated January 25, 2002. (Incorporated
by
reference to Exhibit 10.42 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23, 2004).
|
10.5
|
|
Fourth
Amendment, dated June 15, 2003, to Warehousing Credit Agreement,
among The
New York Mortgage Company LLC, Steven B. Schnall, Joseph V. Fierro
and
National City Bank of Kentucky, dated January 25, 2002. (Incorporated
by
reference to Exhibit 10.43 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23, 2004).
|
10.6
|
|
Warehouse
Promissory Note, between The New York Mortgage Company, LLC and National
City Bank of Kentucky, dated January 25, 2002. (Incorporated by reference
to Exhibit 10.44 to the Company’s Registration Statement on Form S-11 as
filed with the Securities and Exchange Commission (Registration No.
333-111668), effective June 23,
2004).
|
Exhibit
|
|
Description
|
10.7
|
|
Amended
and Restated Warehouse Promissory Note, between The New York Mortgage
Company, LLC and National City Bank of Kentucky, dated June 3, 2002.
(Incorporated by reference to Exhibit 10.45 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.8
|
|
Warehousing
Credit Agreement, between New York Mortgage Company, LLC, Steven
B.
Schnall, Joseph V. Fierro and National City Bank of Kentucky, dated
as of
January 25, 2002. (Incorporated by reference to Exhibit 10.46 to
the
Company’s Registration Statement on Form S-11 as filed with the Securities
and Exchange Commission (Registration No. 333-111668), effective
June 23,
2004).
|
10.9
|
|
Pledge
and Security Agreement, between The New York Mortgage Company, LLC
and
National City Bank of Kentucky, dated as of January 25, 2002.
(Incorporated by reference to Exhibit 10.47 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.10
|
|
Unconditional
and Continuing Guaranty of Payment by Steven B. Schnall to National
City
Bank of Kentucky, dated January 25, 2002. (Incorporated by reference
to
Exhibit 10.48 to the Company’s Registration Statement on Form S-11 as
filed with the Securities and Exchange Commission (Registration No.
333-111668), effective June 23, 2004).
|
10.11
|
|
Unconditional
and Continuing Guaranty of Payment by Joseph V. Fierro to National
City
Bank of Kentucky, dated January 25, 2002. (Incorporated by reference
to
Exhibit 10.49 to the Company’s Registration Statement on Form S-11 as
filed with the Securities and Exchange Commission (Registration No.
333-111668), effective June 23, 2004).
|
10.12
|
|
Amended
and Restated Unconditional and Continuing Guaranty of Payment by
Steven B.
Schnall to National City Bank of Kentucky, dated June 15, 2003.
(Incorporated by reference to Exhibit 10.50 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.13
|
|
Amended
and Restated Unconditional and Continuing Guaranty of Payment by
Joseph V.
Fierro to National City Bank of Kentucky, dated June 15, 2003.
(Incorporated by reference to Exhibit 10.51 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.14
|
|
Whole
Loan Purchase and Sale Agreement/Mortgage Loan Purchase and Sale
Agreement
between The New York Mortgage Company, LLC and Greenwich Capital
Financial
Products, Inc., dated as of September 1, 2003. (Incorporated by reference
to Exhibit 10.53 to the Company’s Registration Statement on Form S-11 as
filed with the Securities and Exchange Commission (Registration No.
333-111668), effective June 23, 2004).
|
10.15
|
|
Whole
Loan Custodial Agreement/Custodial Agreement between Greenwich Capital
Financial Products, Inc., The New York Mortgage Company, LLC and
LaSalle
Bank National Association, dated as of September 1, 2003. (Incorporated
by
reference to Exhibit 10.54 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23,
2004).
|
Exhibit
|
|
Description
|
10.16
|
|
[Itentionally
omitted.]
|
Exhibit
|
|
Description
|
10.17
|
|
Guaranty
between HSBC Bank USA, National City Bank of Kentucky, The New York
Mortgage Company LLC and Steven B. Schnall, dated as of December
15, 2003.
(Incorporated by reference to Exhibit 10.71 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.18
|
|
Guaranty
between HSBC Bank USA, National City Bank of Kentucky, The New York
Mortgage Company LLC and Joseph V. Fierro, dated as of December 15,
2003.
(Incorporated by reference to Exhibit 10.72 to the Company’s Registration
Statement on Form S-11 as filed with the Securities and Exchange
Commission (Registration No. 333-111668), effective June 23,
2004).
|
10.19
|
|
Credit
Note by and between HSBC Bank USA and The New York Mortgage Company
LLC,
dated as of December 15, 2003. (Incorporated by reference to Exhibit
10.73
to the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
10.20
|
|
Credit
Note by and between National City Bank of Kentucky and The New York
Mortgage Company LLC, dated as of December 15, 2003. (Incorporated
by
reference to Exhibit 10.74 to the Company’s Registration Statement on Form
S-11 as filed with the Securities and Exchange Commission (Registration
No. 333-111668), effective June 23, 2004).
|
10.21
|
|
Swingline
Note by and between HSBC Bank USA and The New York Mortgage Company
LLC,
dated as of December 15, 2003. (Incorporated by reference to Exhibit
10.75
to the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
10.22
|
|
Custodial
Agreement by and among Greenwich Capital Financial Products, Inc.,
The New
York Mortgage Corporation LLC and Deutsche Bank Trust Company Americas,
dated as of August 1, 2003. (Incorporated by reference to Exhibit
10.76 to
the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
Exhibit
|
|
Description
|
10.23
|
|
Master
Mortgage Loan Purchase and Interim Servicing Agreement by and between
The
New York Mortgage Company L.L.C. and Greenwich Capital Financial
Products,
Inc., dated as of August 1, 2003. (Incorporated by reference to Exhibit
10.77 to the Company’s Registration Statement on Form S-11 as filed with
the Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
10.24
|
|
Promissory
Note, issued by New York Mortgage Funding, LLC on January 9, 2004
in the
principal amount of $100,000,000.00, payable to Greenwich Capital
Financial Products, Inc. (Incorporated by reference to Exhibit 10.82
to
the Company’s Registration Statement on Form S-11 as filed with the
Securities and Exchange Commission (Registration No. 333-111668),
effective June 23, 2004).
|
10.25
|
|
Guaranty
between the New York Mortgage Company, LLC and Greenwich Capital
Financial
Products, Inc., dated as of January 9, 2004. (Incorporated by reference
to
Exhibit 10.83 to the Company’s Registration Statement on Form S-11 as
filed with the Securities and Exchange Commission (Registration No.
333-111668), effective June 23, 2004).
|
10.26
|
|
Custodial
Agreement between New York Mortgage Funding, LLC, Deutche Bank Trust
Company Americas and Greenwich Capital Financial Products, Inc.,
dated as
of January 9, 2004. (Incorporated by reference to Exhibit 10.85 to
the
Company’s Registration Statement on Form S-11 as filed with the Securities
and Exchange Commission (Registration No. 333-111668), effective
June 23,
2004).
|
10.27
|
|
Amendment
Number One, dated November 24, 2003, to the Master Mortgage Loan
Purchase
and Interim Servicing Agreement, dated as of August 1, 2003. (Incorporated
by reference to Exhibit 10.86 to the Company’s Registration Statement on
Form S-11 as filed with the Securities and Exchange Commission
(Registration No. 333-111668), effective June 23,
2004).
|
Exhibit
|
|
Description
|
10.28
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
Steven
B. Schnall. (Incorporated by reference to Exhibit 10.92 to the Company’s
Registration Statement on Form S-11 as filed with the Securities
and
Exchange Commission (Registration No. 333-111668), effective June
23,
2004).
|
10.29
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
David A.
Akre. (Incorporated by reference to Exhibit 10.93 to the Company’s
Registration Statement on Form S-11 as filed with the Securities
and
Exchange Commission (Registration No. 333-111668), effective June
23,
2004).
|
10.30
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
Raymond
A. Redlingshafer, Jr. (Incorporated by reference to Exhibit 10.94
to the
Company’s Registration Statement on Form S-11 as filed with the Securities
and Exchange Commission (Registration No. 333-111668), effective
June 23,
2004).
|
10.31
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
Michael
I. Wirth. (Incorporated by reference to Exhibit 10.95 to the Company’s
Registration Statement on Form S-11 as filed with the Securities
and
Exchange Commission (Registration No. 333-111668), effective June
23,
2004).
|
10.32
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
Joseph
V. Fierro. (Incorporated by reference to Exhibit 10.96 to the Company’s
Registration Statement on Form S-11 as filed with the Securities
and
Exchange Commission (Registration No. 333-111668), effective June
23,
2004).
|
Exhibit
|
|
Description
|
10.33
|
|
Form
of Employment Agreement between New York Mortgage Trust, Inc. and
Steven
R. Mumma. (Incorporated by reference to Exhibit 10.97 to the Company’s
Registration Statement on Form S-11 as filed with the Securities
and
Exchange Commission (Registration No. 333-111668), effective June
23,
2004).
|
10.34
|
|
Amendment
No. 1 to Employment Agreement between New York Mortgage Trust, Inc.
and
Steven R. Mumma, dated December 2, 2004. (Incorporated by reference
to
Exhibit 10.98 to the Company’s Annual Report on Form 10-K as filed with
the Securities and Exchange Commission on March 31,
2005).
|
10.35
|
|
Amended
and Restated Credit and Security Agreement between HSBC Bank USA,
National
Association, National City Bank of Kentucky, JP Morgan Chase Bank,
N.A.
and The New York Mortgage Company LLC, dated as of February 1, 2005.
(Incorporated by reference to Exhibit 10.99 to the Company’s Annual Report
on Form 10-K as filed with the Securities and Exchange Commission
on March
31, 2005).
|
10.36
|
|
Amended
and Restated Master Loan and Security Agreement between New York
Mortgage
Funding, LLC, The New York Mortgage Company, LLC and New York Mortgage
Trust, Inc. and Greenwich Capital Financial Products, Inc., dated
as of
December 6, 2004. (Incorporated by reference to Exhibit 10.100 to the
Company’s Annual Report on Form 10-K as filed with the Securities and
Exchange Commission on March 31, 2005).
|
10.37
|
|
Amended
and Restated Master Repurchase Agreement Between New York Mortgage
Trust,
Inc., The New York Mortgage Company, LLC, New York Mortgage Funding,
LLC
and Credit Suisse First Boston Mortgage Capital LLC, dated as of
March 30,
2005. (Incorporated by reference to Exhibit 10.1 to the Company’s Current
Report on Form 8-K as filed with the Securities and Exchange Commission
on
April 5, 2005).
|
10.38
|
|
Separation
and Release Agreement, dated June 30, 2005, by and between the Company
and
Raymond A. Redlingshafer, Jr. (Incorporated by reference to Exhibit
10.1
to the Company’s Current Report on Form 8-K as filed with the Securities
and Exchange Commission on July 5, 2005).
|
10.39
|
|
Parent
Guarantee Agreement between New York Mortgage Trust, Inc. and JPMorgan
Chase Bank, National Association, as guarantee trustee, dated
September 1, 2005. (Incorporated by reference to Exhibit 10.1 to the
Company’s Current Report on Form 8-K as filed with the Securities and
Exchange Commission on September 6, 2005).
|
10.40
|
|
Purchase
Agreement among The New York Mortgage Company, LLC, New York Mortgage
Trust, Inc., NYM Preferred Trust II and Taberna Preferred
Funding II, Ltd., dated September 1, 2005. (Incorporated by
reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K as
filed with the Securities and Exchange Commission on September 6,
2005).
|
10.41
|
|
New
York Mortgage Trust, Inc. 2005 Stock Incentive Plan. (Incorporated
by
reference to Exhibit 10.1 to the Company’s Registration Statement on Form
S-3/A (File No. 333-127400) as filed with the Securities and Exchange
Commission on September 9, 2005).
|
10.42
|
|
Master
Repurchase Agreement among DB Structured Products, Inc., Aspen Funding
Corp. and Newport Funding Corp, New York Mortgage Trust, Inc.
and NYMC Loan Corporation, dated as of December 13,
2005.*
|
10.43
|
|
Custodial
Agreement among DB Structured Products, Inc., Aspen Funding Corp.,
and
Newport Funding Corp., NYMC Loan Corporation, New York Mortgage
Trust, Inc. and LaSalle Bank National Association, dated as of December
13, 2005.*
|
10.44
|
|
Master
Repurchase Agreement among New York Mortgage Funding, LLC, The New
York
Mortgage Company, LLC, New York Mortgage Trust Inc. and Greenwich
Capital
Financial Products, Inc. dated as of January 5,
2006.*
|
Exhibit
|
|
Description
|
10.45
|
|
Amended
and Restated Custodial Agreement by and among The New York Mortgage
Company, LLC, New York Mortgage Funding, LLC, New York Mortgage Trust,
Inc., LaSalle Bank National Association and Greenwich Capital Financial
Products, Inc. dated as of January 5, 2006.
|
10.46
|
|
Summary
of 2005 Cash Bonuses Paid to Executive Officers (incorporated by
reference
to Exhibit 10.1 to the Company’s Quarterly Report on Form 10-Q filed on
May 10, 2006).
|
10.47
|
|
Amendment
No. 1 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of April 29, 2005 (incorporated by reference to Exhibit
10.110 to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.48
|
|
Amendment
No. 2 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of May 10, 2005 (incorporated by reference to Exhibit 10.111
to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.49
|
|
Amendment
No. 3 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of July 18, 2005 (incorporated by reference to Exhibit 10.112
to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.50
|
|
Amendment
No. 4 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of August 5, 2005 (incorporated by reference to Exhibit
10.113 to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.51
|
|
Amendment
No. 5 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of September 6, 2005 (incorporated by reference to Exhibit
10.114
to the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.52
|
|
Amendment
No. 6 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of November 14, 2005 (incorporated by reference to Exhibit
10.115
to the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.53
|
|
Amendment
No. 7 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of March 14, 2006 (incorporated by reference to Exhibit
10.116 to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.54
|
|
Amendment
No. 8 to Amended and Restated Master Repurchase Agreement among Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of March 24, 2006 (incorporated by reference to Exhibit
10.117 to
the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.55
|
|
Amendment
No. 9 to Amended and Restated Master Repurchase Agreement among
Credit Suisse First Boston Mortgage Capital LLC, The New York Mortgage
Company, LLC, New York Mortgage Funding, LLC and New York Mortgage
Trust,
Inc. dated as of May 10, 2006 (incorporated by reference to Exhibit
10.118
to the Company’s Quarterly Report on Form 10-Q filed on May 10,
2006).
|
10.56
|
|
Amendment
No. 10 to Amended and Restated Master Repurchase Agreement Among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of August 4, 2006 (incorporated by reference to Exhibit
10.119 to
the Company’s Quarterly Report on Form 10-Q filed on August 9,
2006).
|
10.57
|
|
Amendment
No. 11 to Amended and Restated Master Repurchase Agreement Among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of October 16, 2006 (incorporated by reference to Exhibit
10.120
to the Company’s Quarterly Report on Form 10-Q filed on November 9,
2006).
|
10.58
|
|
Amendment
No. 12 to Amended and Restated Master Repurchase Agreement Among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage Company
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of November 9, 2006 (incorporated by reference to Exhibit
10.121
to the Company’s Quarterly Report on Form 10-Q filed on November 9,
2006).
|
10.59
|
|
Amendment
Number One to the Master Repurchase Agreement dated as of December
13,
2005, by and among DB Structured Products, Inc., Aspen Funding Corp.,
Newport Funding Corp., the Company and HC Loan Corporation, dated
as of
December 12, 2006 (incorporated by reference to Exhibit 10.1 to the
Company’s Current Report on Form 8-K filed on December 15,
2006).
|
10.60
|
|
Separation
Agreement and General Release, by and between the Company and Steven
B.
Schnall, dated as of February 6, 2007 (incorporated by reference
to
Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on February
14, 2007).
|
10.61
|
|
Separation
Agreement and General Release, by and between the Company and Joseph
V.
Fierro, dated as of February 6, 2007 (incorporated by reference to
Exhibit
10.2 to the Company’s Current Report on Form 8-K filed on February 14,
2007).
|
10.62
|
|
Asset
Purchase Agreement, by and among IndyMac Bank, F.S.B., The New York
Mortgage Company, LLC and the New York Mortgage Trust, Inc., dated
as of
February 6, 2007.*
|
10.63
|
|
Assignment
and Assumption of Sublease, by and between Lehman Brothers Holdings
Inc.
and The New York Mortgage Company, LLC, dated as of November 14,
2006.*
|
10.64
|
|
First
Amendment to Assignment and Assumption of Sublease, dated as of January
5,
2007, by and between The New York Mortgage Company, LLC and Lehman
Brothers Holdings, Inc.*
|
10.65
|
|
Second
Amendment to Assignment and Assumption of Sublease, dated as of February
8, 2007, by and between The New York Mortgage Company, LLC and Lehman
Brothers Holdings, Inc.*
|
10.66
|
Employment
Offer Agreement by and between the Company and A. Bradley Howe,
dated as
of September 12, 2005 (Incorporated by reference to Exhibit 10.66
to the
Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.67
|
First
Amendment to Employment Offer Agreement by and between New York
Mortgage
Trust, Inc. and A. Bradley Howe, dated as of June 23, 2006 (Incorporated
by reference to Exhibit 10.67 to the Company’s Quarterly Report on Form
10-Q filed on May 15, 2007).
|
10.68
|
Amendment
No. 2 to Employment Agreement between New York Mortgage Trust,
Inc. and
Steven R. Mumma dated as of March 31, 2007 (Incorporated by reference
to
Exhibit 10.68 to the Company’s Quarterly Report on Form 10-Q filed on May
15, 2007).
|
10.69
|
Termination
Agreement, dated as of March 22, 2007, among NYMC Loan Corporation,
New
York Mortgage Trust, Inc., DB Structured Products, Inc., Aspen
Funding
Corp. and Newport Funding Corp. (Incorporated
by reference to Exhibit 10.69 to the Company’s Quarterly Report on Form
10-Q filed on May 15, 2007).
|
10.70
|
Amendment
No. 13 to Amended and Restated Master Repurchase Agreement among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage
Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of December 12, 2006 (Incorporated by reference to Exhibit
10.70
to the Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.71
|
Amendment
No. 14 to Amended and Restated Master Repurchase Agreement among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage
Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of January 24, 2007 (Incorporated by reference to Exhibit
10.71
to the Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.72
|
Amendment
No. 15 to Amended and Restated Master Repurchase Agreement among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage
Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of March 23, 2007 (Incorporated by reference to Exhibit
10.72 to
the Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.73
|
Amendment
No. 16 to Amended and Restated Master Repurchase Agreement among
Credit
Suisse First Boston Mortgage Capital LLC, The New York Mortgage
Company,
LLC, New York Mortgage Funding, LLC and New York Mortgage Trust,
Inc.
dated as of May 11, 2007 (Incorporated by reference to Exhibit
10.73 to
the Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.74
|
Third
Amendment to Assignment and Assumption of Sublease, dated as of
March 31,
2007, by and between The New York Mortgage Company, LLC and Lehman
Brothers Holdings, Inc. (Incorporated by reference to Exhibit 10.74
to the
Company’s Quarterly Report on Form 10-Q filed on May 15,
2007).
|
10.75
|
Fourth
Amendment to Assignment and Assumption of Sublease, dated as of
August 30,
2007, by and between The New York Mortgage Company, LLC and Lehman
Brothers Holdings, Inc. (Incorporated by reference to Exhibit 10.1
to the
Company’s Quarterly Report on Form 10-Q filed on November 14,
2007).
|
10.76
|
Stock
Purchase Agreement, by and among New York Mortgage Trust, Inc.
and the
Investors listed on Schedule I thereto, dated as of November 30,
2007
(Incorporated by reference to Exhibit 10.1(a) to the Company’s Current
Report on Form 8-K filed on January 25, 2008).
|
10.77
|
Amendment
No. 5 to Stock Purchase Agreement, by and among New York Mortgage
Trust,
Inc. and the Investors listed on Schedule I to the Stock Purchase
Agreement, dated as of January 18, 2008 (Incorporated by reference
to
Exhibit 10.1(b) to the Company’s Current Report on Form 8-K filed on
January 25, 2008).
|
10.78
|
Registration
Rights Agreement, by and among New York Mortgage Trust, Inc. and
the
Investors listed on Schedule I to the Stock Purchase Agreement,
dated as
of January 18, 2008 (Incorporated by reference to Exhibit 10.2
to the
Company’s Current Report on Form 8-K filed on January 25,
2008).
|
10.79
|
Advisory
Agreement, by and among New York Mortgage Trust, Inc., Hypotheca
Capital,
LLC, New York Mortgage Funding, LLC and JMP Asset Management LLC,
dated as
of January 18, 2008 (Incorporated by reference to Exhibit 10.3
to the
Company’s Current Report on Form 8-K filed on January 25,
2008).
|
10.80
|
Employment
Agreement, by and between New York Mortgage Trust, Inc. and David
A. Akre,
dated as of January 18, 2008 (Incorporated by reference to Exhibit
10.4 to
the Company’s Current Report on Form 8-K filed on January 25,
2008).
|
10.81
|
Employment
Agreement, by and between New York Mortgage Trust, Inc. and Steven
R.
Mumma, dated as of January 18, 2008 (Incorporated by reference
to Exhibit
10.5 to the Company’s Current Report on Form 8-K filed on January 25,
2008).
|
10.82
|
Form
of Purchase Agreement, by and among New York Mortgage Trust, Inc.
and the
Investors listed on Schedule A thereto, dated as of February 14, 2008
(Incorporated by reference to Exhibit 10.1 to the Company’s Current Report
on Form 8-K filed on February 19, 2008).
|
10.83
|
Form
of Registration Rights Agreement, by and among New York Mortgage
Trust,
Inc. and the Investors listed on Schedule A thereto, dated as of
February 14, 2008 (Incorporated by reference to Exhibit 10.2 to
the
Company’s Current Report on Form 8-K filed on February 19,
2008).
|
|
Computation
of Ratios *
|
|
|
List
of Subsidiaries of the Registrant.*
|
|
|
Consent
of Independent Registered Public Accounting Firm (Deloitte & Touche
LLP).*
|
|
|
Section
302 Certification of Co-Chief Executive Officer.*
|
|
|
Section
302 Certification of Chief Financial Officer.*
|
|
|
Section
906 Certification of Co-Chief Executive Officer.*
|
|
|
Section
906 Certification of Chief Financial
Officer.*
|