XML 50 R40.htm IDEA: XBRL DOCUMENT
v3.8.0.1

Derivative Instruments and Hedging Activities (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of Activity of Derivative Instruments Not Designated as Hedges | The tables below summarize the activity of derivative instruments not designated as hedges for the three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):
|  | Notional Amount For the Three Months Ended March 31, 2018
Derivatives Not Designated as Hedging Instruments |  | December 31, 2017 |  | Additions |  | Settlement, Expiration or Exercise |  | March 31, 2018
Interest rate swaps |  | $ | 345,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 345,500 |
|  | Notional Amount For the Three Months Ended March 31, 2017
Derivatives Not Designated as Hedging Instruments |  | December 31, 2016 |  | Additions |  | Settlement, Expiration or Exercise |  | March 31, 2017
TBA securities (1) |  | $ | 149,000 |  |  | $ | 548,000 |  |  | $ | (588,000 | ) |  | $ | 109,000 |
U.S. Treasury futures |  | 17,100 |  |  | 70,300 |  |  | (58,700 | ) |  | 28,700 |
Interest rate swap futures |  | (151,700 | ) |  | 182,200 |  |  | (146,000 | ) |  | (115,500 | )
Eurodollar futures |  | (2,575,000 | ) |  | 2,627,000 |  |  | (1,890,000 | ) |  | (1,838,000 | )
Swaptions |  | 154,000 |  |  | — |  |  | — |  |  | 154,000 |
Interest rate swaps |  | 15,000 |  |  | — |  |  | — |  |  | 15,000 |
(1) | Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis.
Schedule of Components of Realized and Unrealized Gains and Losses of Derivative Not Designated as Hedging Instruments | The following table presents the components of realized and unrealized gains and losses related to our derivative instruments that were not designated as hedging instruments included in other income category in our condensed consolidated statements of operations for the three months ended March 31, 2018 and 2017 (dollar amounts in thousands):
| Three Months Ended March 31,
| 2018 |  | 2017
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | — |  |  | $ | — |  |  | $ | (215 | ) |  | $ | 200 |
Eurodollar futures | — |  |  | — |  |  | 555 |  |  | (380 | )
Interest rate swaps | — |  |  | 8,969 |  |  | — |  |  | 26 |
Swaptions | — |  |  | — |  |  | — |  |  | (87 | )
U.S. Treasury and interest rate swap futures and options | — |  |  | — |  |  | 158 |  |  | 107 |
Total | $ | — |  |  | $ | 8,969 |  |  | $ | 498 |  |  | $ | (134 | )
Schedule of Derivative Instruments, Effect on Accumulated Other Comprehensive Income | The following table presents the impact of the Company’s interest rate swaps designated as hedging instruments on the Company’s accumulated other comprehensive income (loss) for the three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):
|  | Three Months Ended March 31,
Derivatives Designated as Hedging Instruments |  | 2018 |  | 2017
Accumulated other comprehensive income for derivative instruments: |  |  |  |
Balance at beginning of the period |  | $ | — |  |  | $ | 102 |
Unrealized loss on interest rate swaps |  | — |  |  | 164 |
Balance at end of the period |  | $ | — |  |  | $ | 266 |
Schedule of Interest Rate Swaps Designated as Hedging Instruments | The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest expense for the three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):
| Three Months Ended March 31,
| 2018 |  | 2017
Net Interest Expense | $ | — |  |  | $ | (27 | )
Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates | The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of March 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
|  | March 31, 2018 |  | December 31, 2017
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2024 |  | $ | 98,000 |  |  | 2.18 | % |  | 1.73 | % |  | $ | 98,000 |  |  | 2.18 | % |  | 1.36 | %
2027 |  | 247,500 |  |  | 2.39 | % |  | 1.79 | % |  | 247,500 |  |  | 2.39 | % |  | 1.39 | %
Total |  | $ | 345,500 |  |  | 2.33 | % |  | 1.77 | % |  | $ | 345,500 |  |  | 2.33 | % |  | 1.38 | %
Not Designated as Hedging Instrument |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of Fair Value of Derivative Instruments Not Designated as Hedging Instruments | The following table presents the fair value of derivative instruments that were not designated as hedging instruments and their location in our condensed consolidated balance sheets at March 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
Derivatives Not Designated as Hedging Instruments |  | Balance Sheet Location |  | March 31, 2018 |  | December 31, 2017
Interest rate swaps (1) |  | Derivative assets |  | $ | 9,815 |  |  | $ | 846 |
(1) | There was no netting of interest rate swaps at March 31, 2018 and December 31, 2017.

X
- Definition Table disclosure of components of realized and unrealized gains and losses to derivative not designated as hedging instruments. + References No definition available. + Details
Name: | nymt_ScheduleOfComponentsOfRealizedAndUnrealizedGainsAndLossesToDerivativeNotDesignatedAsHedgingInstrumentsTableTextBlock
Namespace Prefix: | nymt_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosuresLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the effective portion of the gains and losses on derivative instruments designated (and non-derivative instruments) designated and qualifying in cash flow hedges and net investment hedges that was recognized in other comprehensive income (loss) during the current period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsEffectOnOtherComprehensiveIncomeLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41620-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfInterestRateDerivativesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for other derivative instruments not designated as hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (e) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_HedgingDesignationAxis=us-gaap_NondesignatedMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |