NEW YORK MORTGAGE TRUST INC - 10-K filing on 2014-03-10

Note 13 - Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2013

	Measured at Fair Value on a Recurring Basis at
	December 31, 2013								December 31, 2012
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets carried at fair value
Investment securities available for sale:
Agency RMBS	$	—	$	876,874	$	—	$	876,874	$	—	$	1,001,239	$	—	$	1,001,239
Non-Agency RMBS		—		2,361		—		2,361		—		2,687		—		2,687
CLOs		—		33,208		—		33,208		—		30,785		—		30,785
Investment securities available for sale held in securitization trusts:
CMBS		—		—		92,578		92,578		—		—		71,159		71,159
Multi-family loans held in securitization trusts		—		—		8,111,022		8,111,022		—		—		5,442,906		5,442,906
Derivative Assets:										—		—		—		—
TBA Securities		—		190,742		—		190,742		—		244,789		—		244,789
Options on U.S. Treasury futures		7		—		—		7		—		59		—		59
U.S. Treasury futures		3,257		—		—		3,257		676		—		—		676
Interest rate swap futures		238		—		—		238		8		—		—		8
Interest rate swaps		—		2,041		—		2,041		—		—		—		—
Swaptions		—		1,305		—		1,305		—		597		—		597
Total	$	3,502	$	1,106,531	$	8,203,600	$	9,313,633	$	684	$	1,280,156	$	5,514,065	$	6,794,905
Liabilities carried at fair value
Multi-family collateralized debt obligations	$	—	$	—	$	7,871,020	$	7,871,020	$	—	$	—	$	5,319,573	$	5,319,573
Derivative liabilities:
Interest rate swaps		—		—		—		—		—		1,744		—		1,744
Eurodollar futures		1,432		—		—		1,432		3,798		—		—		3,798
Total	$	1,432	$	—	$	7,871,020	$	7,872,452	$	3,798	$	1,744	$	5,319,573	$	5,325,115

	Years Ended December 31,
	2013			2012			2011
Balance at beginning of period	$	5,514,065		$	41,185		$	—
Total gains (realized/unrealized)
Included in earnings ⁽¹⁾		(470,467	)		167,094			—
Included in other comprehensive income		15,532			3,768			(1,036	)
Purchases		3,218,301			4,212,009			42,221
Paydowns		(73,831	)		(28,034	)		—
Transfers ⁽²⁾		—			1,118,043			—
Balance at the end of period	$	8,203,600		$	5,514,065		$	41,185

	Years Ended December 31,
	2013			2012			2011
Balance at beginning of period	$	5,319,573		$	—		$	—
Total gains (realized/unrealized)
Included in earnings ⁽¹⁾		(521,416	)		152,440			—
Included in other comprehensive income		—			—			—
Purchases		3,146,676			4,077,276			—
Paydowns		(73,813	)		(28,034	)		—
Transfers ⁽²⁾		—			1,117,891			—
Balance at the end of period	$	7,871,020		$	5,319,573		$	—

	Years Ended December 31,
	2013			2012			2011
Change in unrealized gains (losses) – assets	$	(423,949	)	$	194,363		$	—
Change in unrealized gains (losses) – liabilities		455,444			(187,701	)		—
Net change in unrealized gains included in earnings for assets and liabilities	$	31,495		$	6,662		$	—

	Assets Measured at Fair Value on a Non-Recurring Basis at
	December 31, 2013						December 31, 2012
	Level 1	Level 2	Level 3		Total		Level 1		Level 2		Level 3		Total
Residential Mortgage loans held in securitization trusts – impaired loans (net)	$	$	$	6,591	$	6,591	$	—	$	—	$	5,059	$	5,059
Real estate owned held in residential securitization trusts				1,108		1,108		—		—		732		732

	Years Ended December 31,
	2013		2012		2011

Residential mortgage loans held in securitization trusts – impaired loans (net)	$	701	$	707	$	1,380
Real estate owned held in residential securitization trusts		433		45		87

		December 31, 2013				December 31, 2012
	Fair Value Hierarchy Level	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1	$	31,798	$	31,798	$	31,777	$	31,777
Investment securities available for sale	Level 2		912,443		912,443		1,034,711		1,034,711
Investment securities available for sale, at fair value held in securitization trusts	Level 3		92,578		92,578		71,159		71,159
Residential mortgage loans held in securitization trusts (net)	Level 3		163,237		152,104		187,229		165,919
Distressed residential mortgage loans (net) ⁽¹⁾	Level 3		264,434		254,543		60,459		60,459
Multi-family loans held in securitization trusts	Level 3		8,111,022		8,111,022		5,442,906		5,442,906
Derivative assets	Level 1 or 2		197,590		197,590		246,129		246,129
Mortgage loans held for sale (net) ⁽²⁾	Level 3		2,496		2,595		2,837		2,837
First mortgage loans ⁽²⁾	Level 3		8,249		8,318		1,755		1,775
Mezzanine loan and equity investments ⁽²⁾	Level 3		21,568		21,812		3,522		3,522

Financial Liabilities:
Financing arrangements, portfolio investments	Level 2	$	791,125	$	791,125	$	889,134	$	889,134
Residential collateralized debt obligations	Level 3		158,410		151,910		180,979		160,506
Multi-family collateralized debt obligations	Level 3		7,871,020		7,871,020		5,319,573		5,319,573
Securitized debt	Level 3		304,964		311,535		117,591		118,402
Derivative liabilities	Level 1 or 2		1,432		1,432		5,542		5,542
Payable for securities purchased	Level 1		191,592		191,592		245,931		245,931
Subordinated debentures	Level 3		45,000		39,310		45,000		34,108