New York Mortgage Trust Inc. New (NYMT) filed Quarterly Report for the period ended 2009-09-30.
New York Mortgage Trust is a real estate investment trust focused on owning and managing a leveraged portfolio of residential mortgage securities and a mortgage origination business. The mortgage portfolio is comprised largely of prime adjustable-rate and hybrid mortgage loans and securities much of which over time will be originated by NYMT's wholly owned mortgage origination business The New York Mortgage Company a taxable real estate investment trust subsidiary. New York Mortgage Trust Inc. New has a market cap of $65.4 million; its shares were traded at around $6.95 with a P/E ratio of 11.2 and P/S ratio of 1.5. The dividend yield of New York Mortgage Trust Inc. New stocks is 14.4%.
Highlight of Business Operations:
In addition, during the 2009 second quarter and continuing through the third quarter, the Company deployed capital under its alternative investment strategy by investing approximately $27.1 million in non-Agency RMBS which were previously rated in the highest rating categories by one or more of the rating agencies. The Company purchased these securities for an average purchase price equal to 60.2% of current par value. As of September 30, 2009, the Company had $24.1 million invested in non-Agency RMBS with an average price equal to of 60.4% of current par value and an estimated a risk adjusted average yield of approximately 15.8%.
Financing costs and interest rates. As of September 30, 2009, 30-day LIBOR was 0.25 % while the Fed Funds effective rate was 0.07% as compared to 30-day LIBOR of 0.44% and a Fed Funds effective rate of 0.14% at December 31, 2008. Because of continued uncertainty in the credit markets and difficult U.S. economic conditions, we expect that interest rates are likely to remain at these historically low levels until such time as the economic data begin to confirm an improvement in the overall economy.
Prepayment rates. As a result of various government initiatives, including HASP and the reduction in intermediate and longer-term treasury yields, rates on conforming mortgages have declined, nearing historical lows during the first nine months of 2009. Hybrid and adjustable-rate mortgage originations have declined substantially, as rates on these types of mortgages are comparable with rates available on 30-year fixed-rate mortgages. We experienced similar prepayment rates on both our Agency RMBS and prime ARM loans during the quarter ended September 30, 2009 as compared to the quarter ended June 30, 2009. We expect that the constant prepayment rate, or CPR, will remain in a range of between 17%-22% CPR during the fourth quarter of 2009 based on current market interest rates, however, future CPRs may be affected by current and future government initiatives, if any, and the resulting impact on borrowers ability to refinance, mortgage interest rates in the market and home values.
Financing. During the quarter ended September 30, 2009, we continued to employ a balanced and diverse funding mix to finance our assets. At September 30, 2009, our Agency RMBS portfolio was funded with approximately $194.7 million of repurchase agreement borrowing, or approximately 35.4% of our total liabilities, at a weighted average interest rate of 0.39%. The Company s average haircut on its repurchase borrowings was approximately 6.4% at September 30, 2009. As of September 30, 2009, the loans held in securitization trusts were permanently financed with approximately $280.2 million of CDOs, or approximately 51.0% of our total liabilities, at an average interest rate of 0.63%. The Company has a net equity investment of $10.7 million in the securitization trusts.
Prepayment Experience. The cumulative prepayment rate (“CPR”) on our overall mortgage portfolio averaged approximately 22.5% during the three months ended September 30, 2009, as compared to 21.4% for the three months ended June 30, 2009. CPRs on our purchased portfolio of RMBS averaged approximately 20.4% for the three months ended September 30, 2009, as compared to 20.2% for the three months ended June 30, 2009. The CPRs on our mortgage loans held in our securitization trusts averaged approximately 24.7% during the three months ended September 30, 2009, as compared to 22.3% for the three months ended June 30, 2009. When prepayment expectations over the remaining life of assets increase, we have to amortize premiums over a shorter time period resulting in a reduced yield to maturity on our investment assets. Conversely, if prepayment expectations decrease, the premium would be amortized over a longer period resulting in a higher yield to maturity. We monitor our prepayment experience on a monthly basis and adjust the amortization of our net premiums accordingly.
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