Maryland
|
47-0934168
|
(State
or Other Jurisdiction of
Incorporation
or Organization)
|
(I.R.S.
Employer
Identification
No.)
|
Large
Accelerated Filer
o
|
Accelerated
Filer
x
|
Non-Accelerated
Filer
o
|
|
Page
|
|||
|
|
|||
Part
I. Financial Information
|
3 | |||
Item
1. Consolidated Financial Statements (unaudited):
|
3 | |||
Consolidated
Balance Sheets
|
3 | |||
Consolidated
Statements of Operations
|
4 | |||
Consolidated
Statements of Stockholders' Equity
|
5 | |||
Consolidated
Statements of Cash Flows
|
6 | |||
Notes
to Consolidated Financial Statements
|
8 | |||
Item
2. Management's Discussion and Analysis of Financial Condition and
Results
of Operations
|
29 | |||
Forward
Looking Statement Effects
|
29 | |||
General
|
30 | |||
Presentation
Format
|
31 | |||
Strategic
Overview
|
31 | |||
Financial Overview
|
32 | |||
Description
of Business
|
33 | |||
Known
Material Trends and Commentary
|
33 | |||
Significance
of Estimates and Critical Accounting Policies
|
34 | |||
Overview
of Performance
|
37 | |||
Summary
of Operations and Key Performance Measurements
|
37 | |||
Financial
Condition
|
37 | |||
Balance
Sheet Analysis - Asset Quality
|
38 | |||
Balance
Sheet Analysis - Financing Arrangements
|
44 | |||
Balance
Sheet Analysis - Stockholders' Equity
|
45 | |||
Securitizations
|
45 | |||
Prepayment
Experience
|
46 | |||
Results
of Operations
|
46 | |||
Results
of Operations - Comparison of nine months ended September 30, 2007
and
September 30, 2006
|
47 | |||
Off-
Balance Sheet Arrangements
|
50 | |||
Liquidity
and Capital Resources
|
50 | |||
51 | ||||
Item
3. Quantitative and Qualitative Disclosures about Market
Risk
|
52 | |||
Interest
Rate Risk
|
52 | |||
Market
(Fair Value) Risk
|
54 | |||
Credit
Spread Risk
|
56 | |||
Liquidity
and Funding Risk
|
56 | |||
Prepayment
Risk
|
57 | |||
Credit
Risk
|
57 | |||
57 | ||||
58 | ||||
Item
1. Legal Proceedings
|
58 | |||
Item
1A. Risk Factors
|
58 | |||
60 | ||||
61 |
|
September 30,
2007 |
December 31,
2006
|
|||||
|
(unaudited)
|
|
|||||
ASSETS
|
|||||||
Cash
and cash equivalents
|
$
|
11,144
|
$
|
969
|
|||
Restricted
cash
|
6,030
|
3,151
|
|||||
Investment
securities - available for sale
|
359,872
|
488,962
|
|||||
Accounts
and accrued interest receivable
|
4,915
|
5,189
|
|||||
Mortgage
loans held in securitization trusts
|
458,968
|
588,160
|
|||||
Prepaid
and other assets
|
2,411
|
20,951
|
|||||
Derivative
assets
|
977
|
2,632
|
|||||
Property
and equipment (net)
|
76
|
89
|
|||||
Assets
related to discontinued operation
|
9,883
|
212,805
|
|||||
Total
Assets
|
$
|
854,276
|
$
|
1,322,908
|
|||
|
|||||||
LIABILITIES
AND STOCKHOLDERS' EQUITY
|
|||||||
Liabilities:
|
|||||||
Financing
arrangements, portfolio investments
|
$
|
327,877
|
$
|
815,313
|
|||
Collateralized
debt obligations
|
444,204
|
197,447
|
|||||
Derivative
liabilities
|
1,601
|
-
|
|||||
Accounts
payable and accrued expenses
|
5,003
|
5,871
|
|||||
Subordinated
debentures
|
45,000
|
45,000
|
|||||
Liabilities
related to discontinued operation
|
5,600
|
187,705
|
|||||
Total
liabilities
|
829,285
|
1,251,336
|
|||||
Commitments
and Contingencies
(note 9)
|
|||||||
Stockholders'
Equity:
|
|||||||
Common
stock, $0.01 par value, 400,000,000 shares authorized, 3,635,854
shares
issued
and outstanding at September 30, 2007 and 3,665,037 shares issued
and 3,615,576 outstanding at December 31, 2006
|
36
|
37
|
|||||
Additional
paid-in capital
|
99,277
|
99,655
|
|||||
Accumulated
other comprehensive loss
|
(10,930
|
)
|
(4,381
|
)
|
|||
Accumulated
deficit
|
(63,392
|
)
|
(23,739
|
)
|
|||
Total
stockholders' equity
|
24,991
|
71,572
|
|||||
Total
Liabilities and Stockholders' Equity
|
$
|
854,276
|
$
|
1,322,908
|
|
September 30,
|
For the Nine Months Ended
September
30,
|
|||||||||||
|
2006
|
2007
|
2006
|
||||||||||
REVENUE:
|
|||||||||||||
Interest
income investment securities and loans held in securitization
trusts
|
$
|
12,376
|
$
|
16,998
|
$
|
38,987
|
$
|
50,050
|
|||||
Interest
expense investment securities and loans held in securitization
trusts
|
11,212
|
15,882
|
36,188
|
42,320
|
|||||||||
Net
interest income from investment securities and loans held in
securitization trusts
|
1,164
|
1,116
|
2,799
|
7,730
|
|||||||||
Interest
expense - subordinated debentures
|
895
|
877
|
2,671
|
2,656
|
|||||||||
Net
interest income
|
269
|
239
|
128
|
5,074
|
|||||||||
OTHER
EXPENSE:
|
|||||||||||||
Realized
(loss)/gain on sale of investment securities
|
(1,013
|
)
|
440
|
(4,834
|
)
|
(529
|
)
|
||||||
Loan
loss reserve on loans held in securitization trusts
|
(99
|
)
|
-
|
(1,039
|
)
|
||||||||
Total
other (expense) income
|
(1,112
|
)
|
440
|
(5,873
|
)
|
(529
|
)
|
||||||
EXPENSES:
|
|||||||||||||
Salaries
and benefits
|
178
|
166
|
674
|
618
|
|||||||||
Marketing
and promotion
|
37
|
20
|
99
|
54
|
|||||||||
Data
processing and communications
|
50
|
58
|
143
|
177
|
|||||||||
Professional
fees
|
266
|
82
|
471
|
447
|
|||||||||
Depreciation
and amortization
|
93
|
131
|
242
|
398
|
|||||||||
Allowance
for deferred tax asset
|
18,352
|
-
|
18,352
|
-
|
|||||||||
Other
|
222
|
(46
|
)
|
393
|
177
|
||||||||
Total
expenses
|
19,198
|
411
|
20,374
|
1,871
|
|||||||||
(LOSS)
INCOME FROM CONTINUING OPERATIONS
|
(20,041
|
)
|
268
|
(26,119
|
)
|
2,674
|
|||||||
Loss
from discontinued operation - net of tax
|
(675
|
)
|
(4,136
|
)
|
(13,534
|
)
|
(8,160
|
)
|
|||||
NET
LOSS
|
$
|
(20,716
|
)
|
$
|
(3,868
|
)
|
$
|
(39,653
|
)
|
$
|
(5,486
|
)
|
|
Basic
and diluted loss per share
|
$
|
(5.70
|
)
|
$
|
(1.07
|
)
|
$
|
(10.94
|
)
|
$
|
(1.53
|
)
|
|
Weighted
average shares outstanding-basic and diluted
|
3,636
|
3,605
|
3,625
|
3,595
|
For
the Nine Months Ended September 30, 2007
|
|||||||||||||||||||
|
Common
Stock
|
Additional
Paid-In Capital
|
Stockholders'
Deficit
|
Accumulated
Other Comprehensive Loss
|
Comprehensive
Loss
|
Total
|
|||||||||||||
|
(dollar
amounts in thousands)
|
||||||||||||||||||
|
(unaudited)
|
||||||||||||||||||
Balance, January
1, 2007 - Stockholders'
Equity
|
$
|
37
|
$
|
99,655
|
$
|
(23,739
|
)
|
$
|
(4,381
|
)
|
$
|
71,572
|
|||||||
Net
loss
|
|
|
(39,653
|
)
|
$
|
(39,653
|
)
|
(39,653
|
)
|
||||||||||
Dividends
declared
|
(909
|
)
|
(909
|
)
|
|||||||||||||||
Vested
restricted stock
|
(1
|
)
|
531
|
530
|
|||||||||||||||
Increase
in net unrealized loss on available
for sale securities
|
(3,891
|
)
|
(3,891
|
)
|
(3,891
|
)
|
|||||||||||||
Increase in
net unrealized gain on derivative instruments
|
(2,658
|
)
|
(2,658
|
)
|
(2,658
|
)
|
|||||||||||||
Comprehensive
loss
|
$
|
(46,202
|
)
|
||||||||||||||||
Balance,
September 30, 2007 - Stockholders'
Equity
|
$
|
36
|
$
|
99,277
|
$
|
(63,392
|
)
|
$
|
(10,930
|
)
|
$
|
24,991
|
|
For
the Nine Months Ended
September
30,
|
||||||
|
2007
|
2006
|
|||||
|
(dollar
amounts in thousands)
(unaudited)
|
||||||
Cash
Flows from Operating Activities:
|
|||||||
Net
loss
|
$
|
(39,653
|
)
|
$
|
(5,486
|
)
|
|
Adjustments
to reconcile net loss to net cash provided by (used
in) operating activities:
|
|||||||
Depreciation
and amortization
|
683
|
1,625
|
|||||
Amortization
of premium on investment securities and mortgage loans
|
1,602
|
1,962
|
|||||
Purchase
of mortgage loans held for sale
|
-
|
(222,907
|
)
|
||||
Origination
of mortgage loans held for sale
|
(300,863
|
)
|
(1,402,457
|
)
|
|||
Proceeds
from sales of mortgage loans
|
398,807
|
1,621,438
|
|||||
Restricted
stock compensation expense
|
529
|
734
|
|||||
Loss
on sale of securities and related hedges
|
4,834
|
529
|
|||||
Loss
on sale of securitized loans
|
-
|
747
|
|||||
Gain
on sale of retail lending segment
|
(4,525
|
)
|
-
|
||||
Allowance
for deferred tax asset / tax (benefit)
|
18,352
|
(8,494
|
)
|
||||
Change
in value of derivatives
|
550
|
110
|
|||||
Minority
interest expense
|
12
|
(30
|
)
|
||||
Loan
losses
|
6,648
|
3,289
|
|||||
Loss
on disposal of fixed assets
|
505
|
-
|
|||||
Changes
in operating assets and liabilities:
|
|||||||
Due
from loan purchasers
|
88,351
|
(11,137
|
)
|
||||
Escrow
deposits - pending loan closings
|
3,814
|
(188
|
)
|
||||
Accounts
and accrued interest receivable
|
2,183
|
5,610
|
|||||
Prepaid
and other assets
|
2,526
|
(3,036
|
)
|
||||
Due
to loan purchasers
|
(11,721
|
)
|
8,875
|
||||
Accounts
payable and accrued expenses
|
(4,116
|
)
|
(6,802
|
)
|
|||
Other
liabilities
|
(131
|
)
|
(385
|
)
|
|||
Net
cash provided by (used in) operating activities:
|
168,387
|
(16,003
|
)
|
||||
|
|||||||
Cash
Flows from Investing Activities:
|
|||||||
Restricted
cash
|
(2,879
|
)
|
3,489
|
||||
Net
purchase of investment securities
|
14,942
|
(388,398
|
)
|
||||
Proceeds
from sale of retail lending platform
|
12,936
|
452,780
|
|||||
Principal
repayments received on mortgage loans held in securitization
trusts
|
127,301
|
151,450
|
|||||
Principal
paydown on investment securities
|
104,875
|
126,203
|
|||||
Purchases
of property and equipment
|
(396
|
)
|
(1,373
|
)
|
|||
Disposal
of fixed assets
|
485
|
-
|
|||||
Net
cash provided by investing activities
|
257,264
|
344,151
|
|||||
Cash
Flows from Financing Activities:
|
|||||||
Repurchase
of common stock
|
-
|
(300
|
)
|
||||
Change
in financing arrangements
|
(413,650
|
)
|
(321,120
|
)
|
|||
Dividends
paid
|
(1,826
|
)
|
(8,947
|
)
|
|||
Capital
Contributions from minority interest member
|
-
|
42
|
|||||
Net
cash used in financing activities
|
(415,476
|
)
|
(330,325
|
)
|
|
For
the Nine Months Ended September 30,
|
||||||
|
2007
|
2006
|
|||||
|
(dollar
amounts in thousands)
|
||||||
|
(unaudited)
|
||||||
Net
Increase (Decrease) in Cash and Cash
Equivalents
|
10,175
|
(2,177
|
)
|
||||
Cash
and Cash Equivalents - Beginning of Period
|
969
|
9,056
|
|||||
Cash
and Cash Equivalents - End of Period
|
$
|
11,144
|
$
|
6,879
|
|||
|
|||||||
Supplemental
Disclosure
|
|||||||
Cash
paid for interest
|
$
|
41,338
|
$
|
68,398
|
|||
Non
Cash Financing Activities
|
|||||||
Dividends
declared to be paid in subsequent period
|
$
|
-
|
$
|
2,566
|
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.
|
|
September 30,
2007
|
December 31,
2006
|
|||||
|
|
|
|||||
Amortized
cost
|
$
|
367,578
|
$
|
492,777
|
|||
Gross
unrealized gains
|
47
|
623
|
|||||
Gross
unrealized losses
|
(7,753
|
)
|
(4,438
|
)
|
|||
Fair
value
|
$
|
359,872
|
$
|
488,962
|
September 30, 2007
|
|||||||||||||||||||||||||
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 floaters
|
$
|
326,422
|
6.53
|
%
|
$
|
-
|
-
|
$
|
-
|
-
|
$
|
326,422
|
6.53
|
%
|
|||||||||||
Non-Agency
floaters
|
29,813
|
6.01
|
%
|
-
|
-
|
-
|
-
|
29,813
|
6.01
|
%
|
|||||||||||||||
NYMT
retained securities
|
2,175
|
6.37
|
%
|
-
|
-
|
1,462
|
14.32
|
%
|
3,637
|
10.82
|
%
|
||||||||||||||
Total/Weighted
average
|
$
|
358,410
|
6.48
|
%
|
$
|
-
|
-
|
$
|
1,462
|
14.32
|
%
|
$
|
359,872
|
6.54
|
%
|
|
December 31, 2006
|
|
|||||||||||||||||||||||
|
|
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 floaters
|
$
|
163,898
|
6.40
|
%
|
$
|
-
|
-
|
$
|
-
|
-
|
$
|
163,898
|
6.40
|
%
|
|||||||||||
Non-Agency floaters
|
22,284
|
6.46
|
%
|
-
|
-
|
-
|
-
|
22,284
|
6.46
|
%
|
|||||||||||||||
Non-Agency
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
|
%
|
September
30, 2007
|
|||||||||||||||||||
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 floaters
|
$
|
262,161,
|
$
|
5,064
|
$
|
57,925
|
$
|
1,533
|
$
|
320,086
|
$
|
6,597
|
|||||||
Non-Agency
floaters
|
26,231
|
514
|
3,582
|
56
|
29,813
|
570
|
|||||||||||||
Non-Agency
ARMs
|
-
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||
-
|
-
|
3,637
|
586
|
3,637
|
586
|
||||||||||||||
Total
|
$
|
288,392
|
$
|
5,578
|
$
|
65,144
|
$
|
2,175
|
$
|
353,536
|
$
|
7,753
|
|
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 floaters
|
$
|
966
|
$
|
2
|
$
|
1,841
|
$
|
4
|
$
|
2,807
|
$
|
6
|
|||||||
Non-Agency
floaters
|
22,284
|
80
|
-
|
-
|
22,284
|
80
|
|||||||||||||
Non-Agency
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
|
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
Mortgage
loans principal amount
|
$
|
457,057
|
$
|
584,358
|
|||
Deferred
origination costs – net
|
2,922
|
3,802
|
|||||
Reserve
for loan
losses
|
(1,011
|
)
|
-
|
||||
Total
mortgage loans held in securitization
trusts
|
$
|
458,968
|
$
|
588,160
|
September
30, 2007
|
||||||||||
Days
Late
|
Number
of
Delinquent
Loans
|
Total
Dollar
Amount
|
%
of Loan
Portfolio
|
|||||||
30-60
|
1
|
$
|
246
|
0.05
|
%
|
|||||
61-90
|
2
|
1,131
|
0.25
|
%
|
||||||
90+
|
10
|
$
|
7,604
|
1.66
|
%
|
December
31, 2006
|
||||||||||
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
|
%
|
|
September 30,
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
|
(251
|
)
|
(214
|
)
|
|||
Property
and equipment - net
|
$
|
76
|
$
|
89
|
|
September 30,
2007
|
December
31,
2006
|
|||||
Derivative
Assets:
|
|
|
|||||
Interest
rate caps
|
$
|
977
|
$
|
2,011
|
|||
Interest
rate swaps
|
-
|
621
|
|||||
Total
derivative assets
|
$
|
977
|
$
|
2,632
|
|||
Derivative
Liabilities:
|
|||||||
Interest
rate swaps
|
$
|
1,601
|
$
|
-
|
|||
Total
derivative assets
|
$
|
1,601
|
$
|
-
|
Counterparty
Name
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
Barclays
|
$
|
105,489
|
$
|
-
|
|||
Countrywide
Securities Corporation
|
-
|
168,217
|
|||||
Credit
Suisse
|
102,242
|
-
|
|||||
Goldman,
Sachs & Co.
|
68,601
|
121,824
|
|||||
HSBC
|
51,545
|
-
|
|||||
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
|
$
|
327,877
|
$
|
815,313
|
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
Due
from loan purchasers
|
$
|
-
|
$
|
88,351
|
|||
Escrow
deposits-pending loan closings
|
-
|
3,814
|
|||||
Accounts
and accrued interest receivable
|
579
|
2,488
|
|||||
Mortgage
loans held for sale (net)
|
7,999
|
106,900
|
|||||
Prepaid
and other assets
|
1,294
|
4,654
|
|||||
Derivative
assets
|
-
|
171
|
|||||
Property
and equipment, net
|
11
|
6,427
|
|||||
Total assets
|
$
|
9,883
|
$
|
212,805
|
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
Financing
arrangements, mortgage loans held for sale
|
$
|
-
|
$
|
172,972
|
|||
Due
to loan purchasers
|
1,180
|
8,334
|
|||||
Accounts
payable and accrued expenses
|
4,420
|
6,066
|
|||||
Derivative
liabilities
|
-
|
216
|
|||||
Other
liabilities
|
-
|
117
|
|||||
Total liabilities
|
$
|
5,600
|
$
|
187,705
|
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
Mortgage
loans principal amount
|
$
|
9,598
|
$
|
110,804
|
|||
Deferred
origination costs - net
|
(45
|
)
|
138
|
||||
Reserve for
loan losses
|
(1,554
|
)
|
(4,042
|
)
|
|||
Total mortgage loans
held for sale (net)
|
$
|
7,999
|
$
|
106,900
|
|
September
30,
|
||||||
|
2007
|
2006
|
|||||
|
|
|
|||||
Balance at
beginning of period
|
$
|
4,042
|
$
|
-
|
|||
Provisions
for loan losses
|
957
|
-
|
|||||
Charge-offs
|
(3,445
|
)
|
-
|
||||
Balance
of the end of period
|
$
|
1,554
|
$
|
-
|
|
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 Three Months Ended
|
For
the Nine Months Ended
|
|||||||||||
|
September
30,
|
September
30,
|
|||||||||||
|
2007
|
2006
|
2007
|
2006
|
|||||||||
Revenues:
|
|
|
|
|
|||||||||
Net
interest income
|
$
|
179
|
$
|
543
|
$
|
931
|
$
|
2,871
|
|||||
Gain
on sale of mortgage loans
|
(10
|
)
|
4,311
|
2,540
|
14,362
|
||||||||
Loan
losses
|
(172
|
)
|
(4,077
|
)
|
(8,414
|
)
|
(4,077
|
)
|
|||||
Brokered
loan fees
|
3
|
2,402
|
2,319
|
8,672
|
|||||||||
Gain
on sale of retail lending segment
|
-
|
-
|
4,525
|
-
|
|||||||||
Other
income (expense)
|
(39
|
)
|
43
|
(24
|
)
|
(437
|
)
|
||||||
Total
net revenues
|
(39
|
)
|
3,222
|
1,877
|
21,391
|
||||||||
Expenses:
|
|||||||||||||
Salaries,
commissions and benefits
|
424
|
5,212
|
6,508
|
17,102
|
|||||||||
Brokered
loan expenses
|
-
|
1,674
|
1,731
|
6,609
|
|||||||||
Occupancy
and equipment
|
(86
|
)
|
1,255
|
2,124
|
3,870
|
||||||||
General
and administrative
|
298
|
3,132
|
5,048
|
10,464
|
|||||||||
Total
expenses
|
636
|
11,273
|
15,411
|
38,045
|
|||||||||
Loss
before income tax benefit
|
(675
|
)
|
(8,051
|
)
|
(13,534
|
)
|
(16,654
|
)
|
|||||
Income
tax (provision) benefit
|
-
|
|
3,915
|
-
|
|
8,494
|
|||||||
Loss
from discontinued operations - net of tax
|
$
|
(675
|
)
|
$
|
(4,136
|
)
|
$
|
(13,534
|
)
|
$
|
(8,160
|
)
|
|
September 30,
2007
|
December
31,
2006
|
|||||
|
|
|
|||||
New
York
|
31.2
|
%
|
29.1
|
%
|
|||
Massachusetts
|
17.5
|
%
|
17.5
|
%
|
|||
Florida
|
8.0
|
%
|
11.4
|
%
|
|||
California
|
7.9
|
%
|
7.5
|
%
|
|||
New
Jersey
|
5.7
|
%
|
5.1
|
%
|
|
September
30, 2007
|
|||||||||
|
Notional
Amount
|
Carrying
Amount
|
Estimated
Fair
Value
|
|||||||
Investment
securities available for sale
|
$
|
367,980
|
$
|
359,872
|
$
|
359,872
|
||||
Mortgage
loans held in the securitization trusts
|
457,057
|
458,968
|
453,067
|
|||||||
Commitments
and contingencies:
|
||||||||||
Interest
rate swaps
|
220,000
|
(1,601
|
)
|
(1,601
|
)
|
|||||
Interest
rate caps
|
$
|
783,334
|
$
|
977
|
$
|
977
|
|
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 the securitization trusts
|
584,358
|
588,160
|
582,504
|
|||||||
Commitments
and contingencies:
|
||||||||||
Interest
rate swaps
|
285,000
|
621
|
621
|
|||||||
Interest
rate caps
|
$
|
1,540,518
|
$
|
2,011
|
$
|
2,011
|
September
30.
|
|||||||||||||
2007
|
2006
|
||||||||||||
Benefit
at statutory rate
|
$
|
(7,434
|
)
|
(35.0
|
)%
|
$
|
(4.893
|
)
|
(35.0
|
)%
|
|||
Non-taxable
REIT income (loss)
|
1,813
|
8.5
|
%
|
(1,825
|
)
|
(13.1
|
)%
|
||||||
Transfer
pricing of loans sold to nontaxable parent
|
-
|
-
|
11
|
0.1
|
%
|
||||||||
State
and local tax benefit
|
(1,480
|
)
|
(7.0
|
)%
|
(1,773
|
)
|
(12.7
|
)%
|
|||||
Valuation
allowance
|
25,438
|
119.8
|
%
|
-
|
-
|
||||||||
Miscellaneous
|
15
|
0.1
|
%
|
(14
|
)
|
(0.1
|
)%
|
||||||
Total
provision (benefit)
|
$
|
18,352
|
86.4
|
%
|
$
|
(8,494
|
)
|
(60.8
|
)%
|
|
Deferred
|
|||
Federal
|
$
|
(6,721
|
)
|
|
State
|
(1,773
|
)
|
||
Total
tax benefit
|
$
|
(8,494
|
)
|
Deferred
tax assets:
|
|
|||
Net
operating loss carryover
|
$
|
27,407
|
||
Restricted
stock, performance shares and stock option expense
|
418
|
|||
Marked
to market adjustment
|
56
|
|||
Sec.
267 disallowance
|
268
|
|||
Charitable
contribution carryforward
|
35
|
|||
GAAP
reserves
|
1,202
|
|||
Rent
expense
|
319
|
|||
Loss
on sublease
|
67
|
|||
Gross
deferred tax asset
|
29,772
|
|||
Valuation
allowance
|
(29,707
|
)
|
||
Net
deferred tax asset
|
$
|
65
|
||
Deferred
tax liabilities:
|
||||
Depreciation
|
$
|
65
|
||
Total
deferred tax liability
|
$
|
65
|
||
Net
deferred tax asset
|
$
|
-
|
Deferred
tax assets:
|
|
|||
Net
operating loss carryover
|
$
|
19,949
|
||
Restricted
stock, performance shares and stock option expense
|
410
|
|||
Marked
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
|
||
Net
deferred tax asset
|
$
|
18,352
|
|
Number
of
Options
|
Weighted
Average
Exercise
Price
|
|||||
|
|
|
|||||
Outstanding
at January 1, 2007
|
93,300
|
$
|
47.60
|
||||
Granted
|
-
|
-
|
|||||
Cancelled
|
(93,300
|
)
|
47.60
|
||||
Exercised
|
-
|
-
|
|||||
Outstanding
at September 30, 2007
|
-
|
$
|
-
|
||||
Options
exercisable at September 30, 2007
|
-
|
$
|
-
|
|
Number
of
Options
|
Weighted
Average
Exercise
Price
|
|||||
|
|
|
|||||
Outstanding
at January 1, 2006
|
108,300
|
$
|
47.80
|
||||
Granted
|
-
|
-
|
|||||
Cancelled
|
(15,000
|
)
|
49.15
|
||||
Exercised
|
-
|
-
|
|||||
Outstanding
at December 31, 2006
|
93,300
|
$
|
47.60
|
||||
Options
exercisable at December 31, 2006
|
93,300
|
$
|
47.60
|
|
|
|
|
|
|
Options
Outstanding
Weighted
Average
Remaining
|
|
|
|
Options
Exercisable
|
|
Fair
Value
|
|
||||||||||
Range
of Exercise Prices
|
|
Date
of
Grants
|
|
Number
Outstanding
|
|
Contractual
Life
(Years)
|
|
Exercise
Price
|
|
Number
Exercisable
|
|
Exercise
Price
|
|
of
Options
Granted
|
|
||||||||
$9.00
|
|
|
6/24/04
|
|
|
35,300
|
|
|
7.5
|
|
$
|
45.00
|
|
|
35,300
|
|
$
|
45.00
|
|
$
|
0.39
|
|
|
$9.83
|
|
|
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
|
)
|
27.90
|
||||
Vested
|
(11,523
|
)
|
43.15
|
||||
Non-vested
shares as of September 30, 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
|
44,211
|
$
|
44.25
|
||||
Granted
|
25,831
|
21.80
|
|||||
Forfeited
|
(4,341
|
)
|
46.00
|
||||
Vested
|
(23,000
|
)
|
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
|
112,509
|
$
|
21.80
|
For Nine
Months
Ended
September 30,
|
|||||||
|
2007
|
2006
|
|||||
Numerator:
|
|
|
|||||
Net
loss
|
$
|
(39,653
|
)
|
$
|
(5,486
|
)
|
|
Denominator:
|
-
|
-
|
|||||
Weighted
average number of common shares outstanding - basic
|
3,625
|
3,595
|
|||||
Net
effect of unvested restricted stock
|
-
|
-
|
|||||
Performance
shares
|
-
|
-
|
|||||
Net
effect of stock options
|
-
|
-
|
|||||
Weighted
average number of common shares outstanding - dilutive
|
3,625
|
3,595
|
|||||
Net
loss per share - basic and diluted
|
$
|
(10.94
|
)
|
$
|
(1.53
|
)
|
|
·
|
our
business strategy;
|
|
·
|
future
performance, developments, market forecasts or projected
dividends;
|
|
·
|
projected
acquisitions or joint ventures; and
|
|
·
|
projected
capital expenditures.
|
|
·
|
our
proposed portfolio strategy may be changed or modified by our management
without advance notice to stockholders and 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;
|
|
|
|
·
|
reduced demand for our securities in the mortgage securitization and secondary markets; | |
|
·
|
interest
rate mismatches between our mortgage-backed securities and our
borrowings
used to fund such purchases;
|
|
·
|
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;
|
|
·
|
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;
and
|
|
·
|
the
other important factors identified, or incorporated by reference
into this
report, including, but not limited to those under the captions
“Management's Discussion and Analysis of Financial Condition and
Results
of Operations” and “Quantitative and Qualitative Disclosures about Market
Risk”, and those described under the caption “Part I. Item 1A. Risk
Factors” in our Annual Report on Form 10-K filed with the Securities and
Exchange Commission on April 2,
2007.
|
· invest
in high-credit quality Agency and non-Agency MBS including ARM
securities, collateralized mortgage obligation floaters (“CMO Floaters”)
and high-credit quality mortgage loans;
|
· finance
our portfolio by entering into repurchase agreements, or issue
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 mortgage loan portfolio.
|
·
|
a
decline in the market value of our assets due to rising interest
rates;
|
·
|
increasing
or decreasing levels of prepayments on the mortgages underlying
our
mortgage-backed securities;
|
·
|
our
ability to dispose of the remaining loans held for sale at levels
for
which we have currently reserved;
|
·
|
the
overall leverage of our portfolio and the ability to obtain financing
to
leverage our equity, including the availability of repurchase
agreements
to finance our investment portfolio
activities;
|
·
|
the
concentration of our mortgage loans in specific geographic
regions;
|
·
|
our
ability to use hedging instruments to mitigate our interest rate
and
prepayment risks;
|
·
|
declining
real estate values;
|
·
|
reduced
demand in the secondary markets for our securities created by
our
securitizations,
|
·
|
if
our assets are insufficient to meet the collateral requirements
of our
lenders, we might be compelled to liquidate particular assets
at
inopportune times and at disadvantageous prices;
|
·
|
if
we are disqualified as a REIT, we will be subject to tax as a
regular
corporation and face substantial tax liability;
and
|
·
|
compliance
with REIT requirements might cause us to forgo otherwise attractive
opportunities.
|
|
·
|
creating
securities backed by mortgage loans which we will continue to hold
and
finance that will be more liquid than holding whole loan assets;
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 a match
funding our balance sheet.
|
Detailed
Components of increase in loss
|
for
the three months ended September 30,
|
|
for
the nine months ended September 30,
|
||||||||||||||||
2007
|
|
2006
|
|
Difference
|
|
2007
|
|
2006
|
|
Difference
|
|||||||||
Net
interest income on investment portfolio
|
$
|
1,164
|
$
|
1,116
|
$
|
48
|
$
|
2,799
|
$
|
7,730
|
$
|
(4,931
|
) | ||||||
Loss
on other-than temporary impaired/ Realized loss on investment
securities
|
(1,013
|
) |
|
440
|
(1,453
|
) |
(4,834
|
) |
|
(529
|
)
|
(4,305
|
) | ||||||
Loan
loss reserve on loans held in securitization trust
|
(99
|
) |
|
-
|
(99
|
) |
(1,039
|
) |
|
-
|
(1,039
|
) | |||||||
Allowance
for deferred tax asset
|
(18,352
|
) |
-
|
(18,352
|
) |
(18,352
|
) |
-
|
(18,352
|
) | |||||||||
Loss
from discontinued operations - net of tax
|
$
|
(675
|
)
|
$
|
(4,136
|
)
|
$
|
3,461
|
$
|
(13,534
|
)
|
$
|
(8,160
|
)
|
$
|
(5,374
|
) |
|
·
|
net
interest spread on the portfolio;
|
|
·
|
characteristics
of the investments and the underlying pool of mortgage loans including
but
not limited to credit quality, coupon and prepayment rates;
and
|
|
·
|
return
on our mortgage asset investments and the related management of interest
rate risk.
|
|
September
30, 2007
|
||||||||||||||||||
|
Sponsor
or Rating
|
|
Par
Value
|
|
Carrying
Value
|
|
%
of
Portfolio
|
|
Coupon
|
|
Yield
|
||||||||
|
|
|
|
|
|
||||||||||||||
Agency
REMIC CMO floaters
|
FNMA/FHLMC
|
$
|
332,649
|
$
|
326,422
|
90.7
|
%
|
6.47
|
%
|
6.53
|
%
|
||||||||
Non-Agency
floaters
|
AAA
|
30,403
|
29,813
|
8.3
|
%
|
6.00
|
%
|
6.01
|
%
|
||||||||||
Non-Agency
ARMs
|
AAA
|
-
|
-
|
0.0
|
%
|
-
|
-
|
||||||||||||
NYMT
retained securities
|
AAA-BBB
|
2,169
|
2,175
|
0.6
|
%
|
6.29
|
%
|
6.37
|
%
|
||||||||||
NYMT
retained securities
|
Below
Investment Grade
|
2,759
|
1,462
|
0.4
|
%
|
5.68
|
%
|
14.32
|
%
|
||||||||||
Total/Weighted
average
|
$
|
367,980
|
$
|
359,872
|
100.0
|
%
|
6.42
|
%
|
6.54
|
%
|
|
December
31, 2006
|
||||||||||||||||||
|
Sponsor
or Rating
|
|
Par
Value
|
|
Carrying
Value
|
|
%
of
Portfolio
|
|
Coupon
|
|
Yield
|
|
|||||||
|
|
|
|
|
|
|
|||||||||||||
Agency
REMIC CMO floaters
|
FNMA/FHLMC
|
$
|
163,121
|
$
|
163,898
|
33.5
|
%
|
6.72
|
%
|
6.40
|
%
|
||||||||
Non-Agency
floaters
|
AAA
|
22,392
|
22,284
|
4.6
|
%
|
6.12
|
%
|
6.46
|
%
|
||||||||||
Non-Agency
Arms
|
AAA
|
280,992
|
278,850
|
57.0
|
%
|
4.80
|
%
|
5.68
|
%
|
||||||||||
NYMT
retained securities
|
AAA-BBB
|
22,022
|
21,918
|
4.5
|
%
|
5.64
|
%
|
6.15
|
%
|
||||||||||
NYMT
retained securities
|
Below
Inv Grade
|
2,767
|
2,012
|
0.4
|
%
|
5.67
|
%
|
21.00
|
%
|
||||||||||
Total/Weighted
average
|
|
$
|
491,294
|
$
|
488,962
|
100.0
|
%
|
5.54
|
%
|
6.06
|
%
|
|
September
30, 2007
|
||||||||||||||||||||||||
|
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 floaters
|
$
|
326,422
|
6.53
|
%
|
$
|
-
|
-
|
$
|
-
|
-
|
$
|
326,422
|
6.53
|
%
|
|||||||||||
Non-Agency
floaters
|
29,813
|
6.01
|
%
|
-
|
-
|
-
|
-
|
29,813
|
6.01
|
%
|
|||||||||||||||
Non-Agency
ARMs
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||||
NYMT
retained securities
|
2,175
|
6.37
|
%
|
-
|
-
|
1,462
|
14.32
|
%
|
3,637
|
10.82
|
%
|
||||||||||||||
Total/Weighted
average
|
$
|
358,410
|
6.48
|
%
|
$
|
-
|
-
|
$
|
1,462
|
14.32
|
%
|
$
|
359,872
|
6.54
|
%
|
|
December
31, 2006
|
||||||||||||||||||||||||
|
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 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
|
%
|
|
#
of Loans
|
|
Par
Value
|
|
Carrying
Value
|
|||||
Loan Characteristics: | ||||||||||
Mortgage
loans held in securitization trusts
|
1,035
|
$
|
457,057
|
$
|
458,968
|
|||||
Retained
interest in securitization (included in Investment securities
available for sale)
|
397
|
212,574
|
3,637
|
|||||||
Total
Loans Held
|
1,432
|
$
|
669,631
|
$
|
462,605
|
|
Average
|
|
High
|
|
Low
|
|
||||
General Loan Characteristics: | ||||||||||
Original
Loan Balance
|
$
|
488
|
$
|
3,500
|
$
|
48
|
||||
Coupon
Rate
|
5.78
|
%
|
9.50
|
%
|
4.00
|
%
|
||||
Gross
Margin
|
2.34
|
%
|
6.50
|
%
|
1.13
|
%
|
||||
Lifetime
Cap
|
11.17
|
%
|
13.75
|
%
|
9.00
|
%
|
||||
Original
Term (Months)
|
360
|
360
|
360
|
|||||||
Remaining
Term (Months)
|
333
|
342
|
298
|
|
#
of Loans
|
|
Par
Value
|
|
Carrying
Value
|
|
||||
Loan Characteristics: | ||||||||||
Mortgage
loans held in securitization trusts
|
1,259
|
$
|
584,358
|
$
|
588,160
|
|||||
Retained
interest in securitization (included in Investment securities
available for sale)
|
458
|
249,627
|
23,930
|
|||||||
Total
Loans Held
|
1,717
|
$
|
833,985
|
$
|
612,090
|
General
Loan Characteristics:
|
Average
|
High
|
Low
|
|||||||
Original
Loan Balance
|
$
|
501
|
$
|
3,500
|
$
|
48
|
||||
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)
|
340
|
351
|
307
|
Arm
Loan Type:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
Traditional
ARMs
|
2.3
|
%
|
2.9
|
%
|
|||
2/1
Hybrid ARMs
|
2.1
|
%
|
3.8
|
%
|
|||
3/1
Hybrid ARMs
|
11.8
|
%
|
16.8
|
%
|
|||
5/1
Hybrid ARMs
|
81.4
|
%
|
74.5
|
%
|
|||
7/1
Hybrid ARMs
|
2.4
|
%
|
2.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Percent
of ARM loans that are Interest Only
|
76.7
|
%
|
75.9
|
%
|
|||
Weighted
average length of interest only period
|
8.2
years
|
8.0
years
|
Traditional
ARMs - Periodic Cap(1):
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
None
|
69.9
|
%
|
61.9
|
%
|
|||
1%
|
5.4
|
%
|
8.8
|
%
|
|||
Over
1%
|
24.7
|
%
|
29.3
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
(1) |
Periodic
caps refer to the maximum amount by which the mortgage rate on any
mortgage loan may increase or decrease on an adjustment
date.
|
Hybrid
ARMs - Initial Cap(2):
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
3.00%
or less
|
9.7
|
%
|
14.8
|
%
|
|||
3.01%-4.00%
|
5.9
|
%
|
7.5
|
%
|
|||
4.01%-5.00%
|
83.5
|
%
|
76.6
|
%
|
|||
5.01%-6.00%
|
.9
|
%
|
1.1
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
(2) |
Initial
caps refer to a fixed percentage specified in the related mortgage
note by
which the related mortgage rate generally will not increase or decrease
on
the first adjustment date more than such fixed
percentage.
|
FICO
Scores:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
650
or less
|
3.9
|
%
|
3.8
|
%
|
|||
651
to 700
|
17.1
|
%
|
16.9
|
%
|
|||
701
to 750
|
32.6
|
%
|
34.0
|
%
|
|||
751
to 800
|
42.2
|
%
|
41.5
|
%
|
|||
801
and over
|
4.2
|
%
|
3.8
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Average
FICO Score
|
738
|
737
|
Loan
to Value (LTV):
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
50%
or less
|
9.7
|
%
|
9.8
|
%
|
|||
50.01%
- 60.00%
|
8.8
|
%
|
8.8
|
%
|
|||
60.01%
- 70.00%
|
27.6
|
%
|
28.1
|
%
|
|||
70.01%
- 80.00%
|
51.7
|
%
|
51.1
|
%
|
|||
80.01%
and over
|
2.2
|
%
|
2.2
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
|||
Average
LTV
|
69.6
|
%
|
69.4
|
%
|
Property
Type:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
Single
Family
|
51.1
|
%
|
52.3
|
%
|
|||
Condominium
|
23.0
|
%
|
22.9
|
%
|
|||
Cooperative
|
9.9
|
%
|
8.8
|
%
|
|||
Planned
Unit Development
|
12.8
|
%
|
13.0
|
%
|
|||
Two
to Four Family
|
3.2
|
%
|
3.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
Occupancy
Status:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
Primary
|
84.4
|
%
|
85.3
|
%
|
|||
Secondary
|
11.9
|
%
|
10.7
|
%
|
|||
Investor
|
3.7
|
%
|
4.0
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
Documentation
Type:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
Full
Documentation
|
72.1
|
%
|
70.1
|
%
|
|||
Stated
Income
|
19.7
|
%
|
21.3
|
%
|
|||
Stated
Income/ Stated Assets
|
6.8
|
%
|
7.2
|
%
|
|||
No
Documentation
|
0.9
|
%
|
0.9
|
%
|
|||
No
Ratio
|
0.5
|
%
|
0.5
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
Loan
Purpose:
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
Purchase
|
58.0
|
%
|
57.3
|
%
|
|||
Cash
out refinance
|
16.1
|
%
|
26.1
|
%
|
|||
Rate
and term refinance
|
25.9
|
%
|
16.6
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
Geographic
Distribution: (5% or more in any one state)
|
September 30,
2007
Percentage
|
December 31,
2006
Percentage
|
|||||
NY
|
31.2
|
%
|
29.1
|
%
|
|||
MA
|
17.5
|
%
|
17.5
|
%
|
|||
FL
|
8.0
|
%
|
11.4
|
%
|
|||
CA
|
7.9
|
%
|
7.5
|
%
|
|||
NJ
|
5.7
|
%
|
5.1
|
%
|
|||
Other
(less than 5% individually)
|
29.7
|
%
|
29.4
|
%
|
|||
Total
|
100.0
|
%
|
100.0
|
%
|
September
30, 2007
|
||||||||||
Days
Late:
|
Number of
Delinquent
Loans
|
Total
Dollar
Amount
|
%
of
Loan
Portfolio
|
|||||||
30-60
|
1
|
$
|
246
|
0.05
|
%
|
|||||
61-90
|
2
|
1,131
|
0.25
|
%
|
||||||
90+
|
10
|
$
|
7,604
|
1.66
|
%
|
|||||
As
of September 30, 2007, we had no REO.
|
|
|
|
|
December
31, 2006
|
||||||||||
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
|
%
|
Principal
amount of loans
|
|||||||||||||||||||||||||||||||||||||
Periodic
|
subject
to
|
||||||||||||||||||||||||||||||||||||
Description
|
Interest
Rate %
|
Final
Maturity
|
Payment
|
Face
|
Carrying
|
delinquent
|
|||||||||||||||||||||||||||||||
Property
|
|
Loan
|
Term
|
Prior
|
Amount
of
|
Amount
of
|
principal
or
|
||||||||||||||||||||||||||||||
Type
|
Balance
|
Count
|
Max
|
Min
|
Avg
|
Min
|
Max
|
(months)
|
Liens
|
Mortgage
|
Mortgage
|
interest
|
|||||||||||||||||||||||||
Single
|
<=
$100
|
17
|
8.38
|
4.75
|
6.04
|
07/01/33
|
11/01/35
|
360
|
NA
|
$
|
3,502
|
$
|
1,181
|
$
|
-
|
||||||||||||||||||||||
Family
|
<=$250
|
115
|
9.50
|
4.50
|
5.73
|
09/01/32
|
12/01/35
|
360
|
NA
|
21,483
|
20,777
|
435
|
|||||||||||||||||||||||||
|
<=$500
|
187
|
7.93
|
4.25
|
5.68
|
09/01/32
|
01/01/36
|
360
|
NA
|
67,320
|
65,178
|
500
|
|||||||||||||||||||||||||
|
<=$1,000
|
83
|
8.50
|
4.38
|
5.89
|
07/01/33
|
01/01/36
|
360
|
NA
|
60,723
|
58,513
|
816
|
|||||||||||||||||||||||||
|
|
>$1,000
|
44
|
8.13
|
4.88
|
5.89
|
06/01/33
|
01/01/36
|
360
|
NA
|
75,698
|
74,983
|
3,250
|
||||||||||||||||||||||||
|
Summary
|
446
|
9.50
|
4.25
|
5.77
|
09/01/32
|
01/01/36
|
360
|
NA
|
$
|
228,726
|
$
|
220,632
|
$
|
5,001
|
||||||||||||||||||||||
2-4
|
<=
$100
|
1
|
6.63
|
6.63
|
6.63
|
02/01/35
|
02/01/35
|
360
|
NA
|
$
|
80
|
$
|
78
|
$
|
-
|
||||||||||||||||||||||
FAMILY
|
<=$250
|
8
|
6.75
|
4.38
|
5.81
|
12/01/34
|
11/01/35
|
360
|
NA
|
1,529
|
1,455
|
-
|
|||||||||||||||||||||||||
|
<=$500
|
29
|
7.63
|
5.13
|
6.02
|
07/01/33
|
01/01/36
|
360
|
NA
|
10,650
|
10,445
|
1,368
|
|||||||||||||||||||||||||
|
<=$1,000
|
4
|
6.88
|
4.75
|
5.69
|
07/01/35
|
10/01/35
|
360
|
NA
|
3,068
|
3,055
|
-
|
|||||||||||||||||||||||||
|
|
>$1,000
|
2
|
5.63
|
5.50
|
5.56
|
12/01/34
|
08/01/35
|
360
|
NA
|
4,008
|
4,008
|
-
|
||||||||||||||||||||||||
|
Summary
|
44
|
7.63
|
4.38
|
5.95
|
07/01/33
|
01/01/36
|
360
|
NA
|
$
|
19,335
|
$
|
19,041
|
$
|
1,368
|
||||||||||||||||||||||
Condo
|
<=
$100
|
20
|
7.38
|
4.38
|
5.80
|
01/01/35
|
12/01/35
|
360
|
NA
|
$
|
3,528
|
$
|
1,479
|
$
|
-
|
||||||||||||||||||||||
|
<=$250
|
108
|
9.00
|
4.25
|
5.69
|
08/01/32
|
01/01/36
|
360
|
NA
|
20,345
|
19,748
|
230
|
|||||||||||||||||||||||||
|
<=$500
|
124
|
8.13
|
4.00
|
5.52
|
08/01/32
|
01/01/36
|
360
|
NA
|
44,225
|
42,885
|
378
|
|||||||||||||||||||||||||
|
<=$1,000
|
51
|
7.75
|
4.50
|
5.49
|
08/01/33
|
11/01/35
|
360
|
NA
|
38,981
|
35,953
|
-
|
|||||||||||||||||||||||||
|
|
>$1,000
|
17
|
8.00
|
4.63
|
5.76
|
07/01/34
|
09/01/35
|
360
|
NA
|
27,513
|
25,325
|
1,149
|
||||||||||||||||||||||||
|
Summary
|
320
|
9.00
|
4.00
|
5.60
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
134,592
|
$
|
125,390
|
$
|
1,757
|
||||||||||||||||||||||
CO-OP
|
<=
$100
|
7
|
5.50
|
4.75
|
5.07
|
10/01/34
|
06/01/35
|
360
|
NA
|
$
|
1,099
|
$
|
365
|
$
|
-
|
||||||||||||||||||||||
|
<=$250
|
32
|
7.63
|
4.00
|
5.52
|
09/01/34
|
12/01/35
|
360
|
NA
|
5,913
|
5,611
|
-
|
|||||||||||||||||||||||||
|
<=$500
|
61
|
7.63
|
4.25
|
5.52
|
08/01/34
|
12/01/35
|
360
|
NA
|
23,640
|
22,280
|
-
|
|||||||||||||||||||||||||
|
<=$1,000
|
34
|
6.75
|
4.50
|
5.30
|
10/01/34
|
11/01/35
|
360
|
NA
|
24,832
|
23,879
|
-
|
|||||||||||||||||||||||||
|
|
>$1,000
|
7
|
7.38
|
4.88
|
5.61
|
11/01/34
|
12/01/35
|
360
|
NA
|
9,814
|
9,612
|
-
|
||||||||||||||||||||||||
|
Summary
|
141
|
7.75
|
4.00
|
5.40
|
08/01/34
|
12/01/35
|
360
|
NA
|
$
|
65,298
|
$
|
61,747
|
$
|
-
|
||||||||||||||||||||||
PUD
|
<=
$100
|
1
|
5.63
|
5.63
|
5.63
|
07/01/35
|
07/01/35
|
360
|
NA
|
$
|
100
|
$
|
97
|
$
|
-
|
||||||||||||||||||||||
|
<=$250
|
35
|
7.76
|
4.00
|
5.75
|
07/01/33
|
12/01/35
|
360
|
NA
|
6,816
|
6,257
|
-
|
|||||||||||||||||||||||||
|
<=$500
|
34
|
8.88
|
4.63
|
6.19
|
08/01/32
|
12/01/35
|
360
|
NA
|
12,592
|
11,937
|
-
|
|||||||||||||||||||||||||
|
<=$1,000
|
10
|
7.92
|
4.75
|
5.93
|
08/01/33
|
12/01/35
|
360
|
NA
|
6,827
|
6,730
|
855
|
|||||||||||||||||||||||||
|
|
>$1,000
|
4
|
7.80
|
5.63
|
6.36
|
04/01/34
|
12/01/35
|
360
|
NA
|
5,233
|
5,226
|
-
|
||||||||||||||||||||||||
|
Summary
|
84
|
8.88
|
4.00
|
5.98
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
31,568
|
$
|
30,247
|
$
|
855
|
||||||||||||||||||||||
Summary
|
<=
$100
|
46
|
8.38
|
4.38
|
5.79
|
07/01/33
|
12/01/35
|
360
|
NA
|
$
|
8,309
|
$
|
3,200
|
$
|
-
|
||||||||||||||||||||||
|
<=$250
|
298
|
9.50
|
4.00
|
5.70
|
08/01/32
|
01/01/36
|
360
|
NA
|
56,086
|
53,848
|
665
|
|||||||||||||||||||||||||
|
<=$500
|
435
|
8.88
|
4.00
|
5.68
|
08/01/32
|
01/01/36
|
360
|
NA
|
114,202
|
152,725
|
2,246
|
|||||||||||||||||||||||||
|
<=$1,000
|
182
|
8.50
|
4.38
|
5.67
|
07/01/33
|
01/01/36
|
360
|
NA
|
134,431
|
128,130
|
1,671
|
|||||||||||||||||||||||||
|
|
>$1,000
|
74
|
8.13
|
4.63
|
5.85
|
06/01/33
|
01/01/36
|
360
|
NA
|
122,266
|
119,154
|
4,399
|
||||||||||||||||||||||||
|
Grand
Total
|
1,035
|
9.50
|
4.00
|
5.69
|
08/01/32
|
01/01/36
|
360
|
NA
|
$
|
479,519
|
$
|
457,057
|
$
|
8,981
|
|
Principal
|
Premium
|
Loan
Reserve
|
Net
Carrying Value
|
|||||||||
Balance,
January 1, 2007
|
$
|
584,358
|
$
|
3,802
|
$
|
0
|
$
|
588,160
|
|||||
Additions
|
-
|
-
|
-
|
-
|
|||||||||
principal
repayments
|
(127,301
|
)
|
-
|
-
|
(127,301
|
)
|
|||||||
Reserve
for loan loss
|
-
|
-
|
(1,011
|
)
|
(1,011
|
)
|
|||||||
Amortization
for premium
|
-
|
(880
|
)
|
-
|
(880
|
)
|
|||||||
Balance,
September 30, 2007
|
$
|
457,057
|
$
|
2,922
|
($1,011
|
)
|
$
|
458,968
|
|
September 30,
2007
|
|
December 31,
2006
|
|
|||
|
|
|
|||||
Derivative
Assets:
|
|
|
|||||
Interest
rate caps
|
$
|
977
|
$
|
2,011
|
|||
Interest
rate swaps
|
-
|
621
|
|||||
Total
derivative assets
|
$
|
977
|
$
|
2,632
|
|||
Derivative
Liabilities:
|
|||||||
Interest
rate caps
|
$
|
-
|
$
|
-
|
|||
Interest
rate swaps
|
1,601
|
-
|
|||||
Total
derivative Liabilities
|
$
|
1,601
|
$
|
-
|
|
September
30,
|
|||||||||
|
2007
(1)
|
2006
|
%
change
|
|||||||
Loan
officers
|
-
|
378
|
(100.0
|
)%
|
||||||
Other
employees
|
9
|
307
|
(97.1
|
)%
|
||||||
Total
employees
|
9
|
685
|
(98.7
|
)%
|
||||||
Number
of sales locations
|
-
|
50
|
(100.0
|
)%
|
(1) |
In
connection with the sale of our mortgage lending platform assets
at the
end of the first quarter of 2007, the Company exited the mortgage
lending
business and significantly reduced its staffing needs. As of March
31,
2007, the Company did not employ any loan officers and did not maintain
any sales locations.
|
for the Three Months Ended
September 30,
|
for the Nine Months Ended
September 30,
|
||||||||||||||||||
2007
|
2006
|
%
Change
|
2007
|
2006
|
%
Change
|
||||||||||||||
Net
interest income
|
$
|
269
|
$
|
239
|
12.6
|
%
|
$
|
128
|
$
|
5,074
|
(97.5
|
)%
|
|||||||
Total
other (expenses) income
|
|
(1,112
|
)
|
|
440
|
(352.7
|
)%
|
|
(5,873
|
)
|
|
(529
|
)
|
(1010.2
|
)%
|
||||
Total
expenses
|
|
846
|
|
411
|
105.8
|
%
|
|
2,022
|
|
1,871
|
8.1
|
%
|
|||||||
(Loss)
income for continuing operations
|
|
(20,041
|
)
|
|
268
|
(7,578.0
|
)%
|
|
(26,119
|
)
|
|
2,674
|
(1,076.8
|
)%
|
|||||
Loss
from discontinued operations
|
|
(675
|
)
|
|
(4,136
|
)
|
116.3
|
%
|
|
(13,534
|
)
|
|
(8,160
|
)
|
(65.9
|
)%
|
|||
Net
loss
|
|
(20,716
|
)
|
|
(3,868
|
)
|
(336.3
|
)%
|
|
(39,653
|
)
|
|
(5,486
|
)
|
(622.0
|
)%
|
|||
EPS
Basic and Diluted
|
$
|
(5.70
|
)
|
$
|
(1.07
|
)
|
(442.9
|
)%
|
$
|
(10.94
|
)
|
$
|
(1.53
|
)
|
(605.8
|
)%
|
|
for the Three Months Ended
September 30,
|
for the Nine Months Ended
September 30,
|
|||||||||||||||||
|
2007
|
2006
|
%
Change
|
2007
|
2006
|
%
Change
|
|||||||||||||
Net
interest income on investment portfolio
|
$
|
1,164
|
$
|
1,116
|
4.3
|
%
|
$
|
2,799
|
$
|
7,730
|
(63.8
|
)%
|
|||||||
Realized
(loss) gain on sale of investment securities
|
(1,013
|
)
|
440
|
(330.2
|
)%
|
(4,834
|
)
|
(529
|
)
|
(813.8
|
)%
|
||||||||
Loan
loss reserve on loans held in securitization trust
|
(99
|
)
|
-
|
(100.0
|
)%
|
(1,039
|
)
|
-
|
(100.0
|
)%
|
|||||||||
Allowance
for deferred tax asset
|
(18,352
|
)
|
-
|
(100.0
|
)%
|
(18,352
|
)
|
-
|
(100.0
|
)%
|
|||||||||
Loss
from discontinued operations - net of tax
|
$
|
(675
|
)
|
$
|
(4,136
|
)
|
83.7
|
%
|
$
|
(13,534
|
)
|
$
|
(8,160
|
)
|
(65.9
|
)%
|
|
For the Three Months Ended September 30,
|
||||||||||||||||||
|
2007
|
|
2006
|
|
|||||||||||||||
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
||||||||
|
($
Millions)
|
($
Millions)
|
|||||||||||||||||
Interest
income:
|
|
|
|
|
|
|
|||||||||||||
Investment
securities and loans held in the securitization
trusts
|
$
|
863.7
|
$
|
12,813
|
5.93
|
%
|
$
|
1,281.3
|
$
|
17,632
|
5.50
|
%
|
|||||||
Amortization
of net premium
|
1.5
|
(437
|
)
|
(0.21
|
)%
|
6.4
|
(634
|
)
|
(0.22
|
)%
|
|||||||||
Interest
income/weighted average
|
$
|
865.2
|
$
|
12,376
|
5.72
|
%
|
$
|
1,287.7
|
$
|
16,998
|
5.28
|
%
|
|||||||
|
|||||||||||||||||||
Interest
expense:
|
|||||||||||||||||||
Investment
securities and loans held in the securitization trusts
|
$
|
817.6
|
$
|
11,212
|
5.49
|
%
|
$
|
1,214.4
|
$
|
15,882
|
5.12
|
%
|
|||||||
Subordinated
debentures
|
45.0
|
895
|
7.96
|
%
|
45.0
|
877
|
7.80
|
%
|
|||||||||||
Interest
expense/weighted average
|
$
|
862.6
|
$
|
12,107
|
5.61
|
%
|
$
|
1,259.4
|
$
|
16,759
|
5.21
|
%
|
|||||||
Net
interest income/weighted average
|
$
|
269
|
0.11
|
%
|
$
|
239
|
0.07
|
%
|
For
the Nine Months Ended September 30,
|
|||||||||||||||||||
|
2007
|
2006
|
|||||||||||||||||
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
|
Average
Balance
|
|
Amount
|
|
Yield/
Rate
|
||||||||
|
($
Millions)
|
($
Millions)
|
|||||||||||||||||
Interest
income:
|
|
|
|
|
|
|
|||||||||||||
Investment
securities and loans held in the securitization
trusts
|
$
|
942.3
|
$
|
40,415
|
5.72
|
%
|
$
|
1,322.6
|
$
|
51,682
|
5.21
|
%
|
|||||||
Amortization
of net premium
|
3.2
|
(1,428
|
)
|
(0.22
|
)%
|
6.1
|
(1,632
|
)
|
(0.18
|
)%
|
|||||||||
Interest
income/weighted average
|
$
|
945.5
|
$
|
38,987
|
5.50
|
%
|
$
|
1,328.7
|
$
|
50,050
|
5.03
|
%
|
|||||||
|
|||||||||||||||||||
Interest
expense:
|
|||||||||||||||||||
Investment
securities and loans held in the securitization
trusts
|
$
|
891.4
|
$
|
36,188
|
5.41
|
%
|
$
|
1,248.7
|
$
|
42,320
|
4.47
|
%
|
|||||||
Subordinated
debentures
|
45.0
|
2,671
|
7.83
|
%
|
45.0
|
2,656
|
7.87
|
%
|
|||||||||||
Interest
expense/weighted average
|
$
|
936.4
|
$
|
38,859
|
5.47
|
%
|
$
|
1,293.7
|
$
|
44,976
|
4.59
|
%
|
|||||||
Net
interest income/weighted average
|
$
|
128
|
0.03
|
%
|
|
$
|
5,074
|
0.44
|
%
|
As
of the Quarter Ended
|
Average
Interest
Earning
Assets
($ millions)
|
Weighted
Average
Coupon
|
Weighted
Average
Cash Yield on
Interest
Earning
Assets
|
Cost
of
Funds
|
Net Interest
Spread
|
|||||||||||
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
|
%
|
|
for the Three Months Ended
September 30, |
for the Nine Months Ended
September
30,
|
|||||||||||||||||
|
2007
|
2006
|
% Change
|
2007
|
2006
|
% Change
|
|||||||||||||
Salaries
and benefits
|
$
|
178
|
$
|
166
|
7.2
|
%
|
$
|
674
|
$
|
618
|
9.1
|
%
|
|||||||
Marketing
and promotion
|
37
|
20
|
85.0
|
%
|
99
|
54
|
83.3
|
%
|
|||||||||||
Data
processing and communications
|
50
|
58
|
(13.8
|
)%
|
143
|
177
|
(19.2
|
)%
|
|||||||||||
Professional
fees
|
266
|
82
|
224.4
|
%
|
471
|
447
|
5.4
|
%
|
|||||||||||
Depreciation
and amortization
|
93
|
131
|
29.0
|
%
|
242
|
398
|
(39.2
|
)%
|
|||||||||||
Other
|
222
|
(46
|
)
|
(582.6
|
)%
|
393
|
177
|
(122.0
|
)%
|
||||||||||
|
$
|
846
|
$
|
411
|
105.8
|
%
|
$
|
2,022
|
$
|
1,871
|
8.1
|
%
|
|
for the Three Months Ended
September
30,
|
for the Nine Months Ended
September
30,
|
|||||||||||||||||
|
2007
|
2006
|
%
Change
|
2007
|
2006
|
%
Change
|
|||||||||||||
|
|
|
|
|
|
|
|||||||||||||
Revenues:
|
|||||||||||||||||||
Net
interest income
|
$
|
179
|
$
|
543
|
(67.0
|
)%
|
$
|
931
|
$
|
2,871
|
(67.6
|
)%
|
|||||||
(Loss)
gain on sale of mortgage loans
|
(10
|
)
|
4,311
|
(100.2
|
)%
|
2,540
|
14,362
|
(82.3
|
)%
|
||||||||||
Loan
(losses)
|
(172
|
)
|
(4,077
|
)
|
(95.8
|
)%
|
(8,414
|
)
|
(4,077
|
)
|
(106.4
|
)%
|
|||||||
Brokered
loan fees
|
3
|
2,402
|
(99.9
|
)%
|
2,319
|
8,672
|
(73.3
|
)%
|
|||||||||||
Gain
on sale of retail lending segment
|
-
|
-
|
-
|
%
|
4,525
|
-
|
100.0
|
%
|
|||||||||||
Other (expense)
income
|
(39
|
)
|
43
|
(190.7
|
)%
|
(24
|
)
|
(437
|
)
|
94.5
|
%
|
||||||||
Total
net revenues
|
$
|
(39
|
)
|
$
|
3,222
|
(101.2
|
)%
|
$
|
1,877
|
$
|
21,391
|
(91.2
|
)%
|
||||||
|
|||||||||||||||||||
Expenses:
|
|||||||||||||||||||
Salaries,
commissions and benefits
|
$
|
424
|
$
|
5,212
|
(91.9
|
)%
|
$
|
6,508
|
$
|
17,102
|
(61.9
|
)%
|
|||||||
Brokered
loan expenses
|
-
|
1,674
|
(100.0
|
)%
|
1,731
|
6,609
|
(73.8
|
)%
|
|||||||||||
Occupancy
and equipment
|
(86
|
)
|
1,255
|
(106.9
|
)%
|
2,124
|
3,870
|
(45.1
|
)%
|
||||||||||
General
and administrative
|
298
|
3,132
|
(90.5
|
)%
|
5,048
|
10,464
|
(51.8
|
)%
|
|||||||||||
Total
expenses
|
636
|
11,273
|
(94.4
|
)%
|
15,411
|
38,045
|
(59.5
|
)%
|
|||||||||||
Loss
before income tax benefit
|
(675
|
)
|
(8,051
|
)
|
(91.6
|
)%
|
(13,534
|
)
|
(16,654
|
)
|
(18.7
|
)%
|
|||||||
Income
tax (provision) benefit
|
-
|
|
3,915
|
(100.0
|
)%
|
-
|
|
8,494
|
(100.0
|
)%
|
|||||||||
Loss
from discontinued operations - net of tax
|
$
|
(675
|
)
|
$
|
(4,136
|
)
|
83.7
|
%
|
$
|
(13,534
|
)
|
$
|
(8,160
|
)
|
(65.9
|
)%
|
|
·
|
sell
assets in adverse market
conditions;
|
|
·
|
borrow
on unfavorable terms; or
|
|
·
|
distribute
amounts that would otherwise be invested in assets or repayment
of debt,
in order to comply with the REIT distribution
requirements.
|
|
·
|
Interest
rate risk
|
|
·
|
Market
(fair value) risk
|
|
·
|
Credit
spread risk
|
|
·
|
Liquidity
and funding risk
|
|
·
|
Prepayment
risk
|
|
·
|
Credit
risk
|
|
September
30, 2007
|
|||||||||
|
Notional
Amount
|
Carrying
Amount
|
Estimated
Fair Value
|
|||||||
|
|
|
|
|||||||
Investment
securities available for sale
|
$
|
367,980
|
$
|
359,872
|
$
|
359,872
|
||||
Mortgage
loans held in the securitization trusts
|
457,057
|
458,968
|
453,067
|
|||||||
Commitments
and contingencies:
|
||||||||||
Interest
rate swaps
|
220,000
|
(1,601
|
)
|
(1,601
|
)
|
|||||
Interest
rate caps
|
$
|
783,334
|
$
|
977
|
$
|
977
|
|
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 the securitization trusts
|
584,358
|
588,160
|
582,504
|
|||||||
Commitments
and contingencies:
|
||||||||||
Interest
rate swaps
|
285,000
|
621
|
621
|
|||||||
Interest
rate caps
|
$
|
1,540,518
|
$
|
2,011
|
$
|
2,011
|
|
|
Basis point increase
|
|||||||||
|
-100
|
Base
|
+100
|
+200
|
|||||||
Mortgage
Portfolio
|
0.27
|
0.36
years
|
0.60 years
|
0.90 years
|
|||||||
Borrowings
(including hedges)
|
0.34
|
0.34
years
|
0.34
years
|
0.34
years
|
|||||||
Net
|
(0.07)
|
0.02
years
|
0.26
years
|
0.56
years
|
|
·
|
the
movement of interest rates;
|
|
·
|
the
availability of financing in the market;
and
|
|
·
|
the
value and liquidity of our mortgage-related
assets.
|
|
NEW
YORK MORTGAGE TRUST, INC.
|
|
|
|
|
Date:
November 14, 2007
|
By:
|
/s/ David
A. Akre
|
|
David
A. Akre
Co-Chief
Executive Officer
|
|
|
|
Date:
November 14, 2007
|
By:
|
/s/
Steven R. Mumma
|
|
Steven
R. Mumma
Chief
Financial Officer
|
No.
|
|
Description
|
|
|
|
3.1(a)
|
|
Articles
of Amendment and Restatement of the Registrant (incorporated by
reference
to Exhibit 3.01 to our Registration Statement on Form S-11/A filed
on
June 18, 2004 (Registration No. 333-111668)).
|
|
|
|
3.1(b)
|
Articles
of Amendment of the Registrant (incorporated by reference to
Exhibit 3.1
to our 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 our Current Report on Form 8-K filed on October 4,
2007.)
|
|
3.2(a)
|
|
Bylaws
of the Registrant (incorporated by reference to Exhibit 3.02 to
our
Registration Statement on Form S-11/ A filed on June 18, 2004
(Registration No. 333-111668)).
|
|
|
|
3.2(b)
|
|
Amendment
No. 1 to Bylaws of Registrant (incorporated by reference to Exhibit
3.2(b)
to Registrant's Annual Report on Form 10-K filed on March 16,
2006)
|
|
|
|
4.1
|
|
Form
of Common Stock Certificate (incorporated by reference to Exhibit
4.01 to
our Registration Statement on Form S-11/ A filed on June 18, 2004
(Registration No. 333-111668)).
|
|
|
|
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 our
Current Report on Form 8-K filed 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 our
Current Report on Form 8-K filed on September 6,
2005).
|
|
|
|
10.1
|
|
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.*
|
|
|
|
31.1
|
|
Certification
of Co-Chief Executive Officer pursuant to Rule 13a-14(a)/15d-14(a)
of the
Securities Exchange Act of 1934, as adopted pursuant to Section
302 of the
Sarbanes-Oxley Act of 2002.*
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31.2
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Certification
of Chief Financial Officer pursuant to Rule 13a-14(a)/15d-14(a)
of the
Securities Exchange Act of 1934, as adopted pursuant to Section
302 of the
Sarbanes-Oxley Act of 2002.*
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32.1
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Certification
of Co-Chief Executive Officer pursuant to 18 U.S.C. Section 1350,
as
adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002.*
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32.2
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Certification
of Chief Financial Officer pursuant to 18 U.S.C. Section 1350,
as adopted
pursuant to Section 906 of the Sarbanes-Oxley Act of
2002.*
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*
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Filed
herewith
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