XML 52 R38.htm IDEA: XBRL DOCUMENT
v3.23.1

Derivative Instruments and Hedging Activities (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table summarizes the Company's derivative instruments as of March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
|  |  |  | Fair Value
Type of Derivative Instrument |  | Consolidated Balance Sheet Location |  | March 31, 2023 |  | December 31, 2022
Interest rate caps (1) |  | Other assets |  | $ | 2,002 |  |  | $ | 2,473 |
Options |  | Other assets |  | 1,120 |  |  | — |
Total derivative assets |  |  |  | $ | 3,122 |  |  | $ | 2,473 |
Interest rate swaps |  | Other liabilities |  | $ | — |  |  | $ | — |
Total derivative liabilities |  |  |  | $ | — |  |  | $ | — |
(1)See Notes 12 and 14 for information regarding interest rate cap contracts.
Reconciliation of Gross Derivative Assets and Liabilities | The following table presents a reconciliation of gross derivative assets and liabilities to net amounts presented in the accompanying condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| March 31, 2023
| Gross Amount of Recognized Assets (Liabilities) |  | Gross Amounts Offset in Balance Sheets |  | Variation Margin |  | Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets |  |  |  |  |  |  |
Interest rate caps | $ | 2,002 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,002 |
Options | 1,120 |  |  | — |  |  | — |  |  | 1,120 |
Interest rate swaps | 412 |  |  | (412) |  |  | — |  |  | — |
Total derivative assets | $ | 3,534 |  |  | $ | (412) |  |  | $ | — |  |  | $ | 3,122 |
Derivative liabilities |  |  |  |  |  |  |
Interest rate swaps | $ | (2,899) |  |  | $ | 412 |  |  | $ | 2,487 |  |  | $ | — |
Total derivative liabilities | $ | (2,899) |  |  | $ | 412 |  |  | $ | 2,487 |  |  | $ | — |
| December 31, 2022
| Gross Amount of Recognized Assets (Liabilities) |  | Gross Amounts Offset in Balance Sheets |  | Variation Margin |  | Net Amounts of Assets (Liabilities) Presented in Balance Sheets
Derivative assets |  |  |  |  |  |  |
Interest rate caps | $ | 2,473 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,473 |
Total derivative assets | $ | 2,473 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,473 |
Schedule of Activity of Derivative Instruments | The table below summarizes the activity of derivative instruments not designated as hedging instruments for the three months ended March 31, 2022 (dollar amounts in thousands):
|  | Notional Amount For the Three Months Ended March 31, 2023
Type of Derivative Instrument |  | December 31, 2022 |  | Additions |  | Terminations |  | March 31, 2023
Options |  | $ | — |  |  | $ | 500,053 |  |  | $ | — |  |  | $ | 500,053 |
Interest rate swaps |  | — |  |  | 341,300 |  |  | — |  |  | 341,300 |
Schedule of Components of Realized and Unrealized Gains and Losses | The following table presents the components of realized gains (losses), net and unrealized gains (losses), net related to our derivative instruments that were not designated as hedging instruments, which are included in non-interest income (loss) in our condensed consolidated statements of operations for the three months ended March 31, 2023 (dollar amounts in thousands):
|  |  |  |  |  | For the Three Months Ended March 31, 2023
Type of Derivative Instrument |  |  |  |  |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
Options |  |  |  |  |  | $ | — |  |  | $ | (420) |
Interest rate swaps |  |  |  |  |  | — |  |  | (2,487) |
Total |  |  |  |  |  | $ | — |  |  | $ | (2,907) |
Schedule of Interest Rate Derivatives | 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, 2023 (dollar amounts in thousands):
|  | March 31, 2023
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2025 |  | $ | 255,700 |  |  | 4.31 | % |  | 4.71 | %
2028 |  | 28,900 |  |  | 3.87 | % |  | 4.66 | %
2033 |  | 32,700 |  |  | 3.60 | % |  | 4.65 | %
Total |  | $ | 317,300 |  |  | 4.20 | % |  | 4.70 | %
The following table presents information about our interest rate swaps whereby we receive fixed rate payments in exchange for floating rate payments as of March 31, 2023 (dollar amounts in thousands):
|  | March 31, 2023
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2028 |  | $ | 8,000 |  |  | 3.36 | % |  | 4.83 | %
2033 |  | 16,000 |  |  | 3.21 | % |  | 4.83 | %
Total |  | $ | 24,000 |  |  | 3.26 | % |  | 4.83 | %

X
- Definition Table disclosure of components of realized and unrealized gains and losses to derivatives instruments. + References No definition available. + Details
Name: | nymt_ScheduleOfComponentsOfRealizedAndUnrealizedGainsAndLossesToDerivativeInstrumentsTableTextBlock
Namespace Prefix: | nymt_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfInterestRateDerivativesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (e) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4CC -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL109998890-113959 + Details
Name: | us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration