What is New York Mortgage Trust Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, New York Mortgage Trust's Probability of Financial Distress (%) is 0.17%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of New York Mortgage Trust's Probability of Financial Distress (%)
For the REIT - Mortgage subindustry, New York Mortgage Trust's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
New York Mortgage Trust's Probability of Financial Distress (%) Distribution in the REITs Industry
For the REITs industry and Real Estate sector, New York Mortgage Trust's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where New York Mortgage Trust's Probability of Financial Distress (%) falls into.
New York Mortgage Trust Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -6.36 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.17% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For banks, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
New York Mortgage Trust (New York Mortgage Trust) Business Description
Traded in Other Exchanges
Address
90 Park Avenue, New York, NY, USA, 10016
New York Mortgage Trust Inc is a real estate investment trust for federal income tax purposes, in the business of acquiring, investing in, financing and managing mortgage-related and residential housing-related assets. The company's investment portfolio consists of Structured multi-family property investments such as multi-family CMBS an preferred equity in, and mezzanine loans to owners of multi-family properties. Distressed residential assets such as residential mortgage loans sourced from distressed markets and non-Agency RMBS. Second mortgages, Agency RMBS, and certain other mortgage-related and residential housing-related assets.
Executives
| Nicholas Mah |
officer: President |
90 PARK AVENUE, FLOOR 23, NEW YORK NY 10016 |
| Gena Cheng |
director |
401 EAST JACKSON STREET, SUITE 3300, TAMPA FL 33602 |
| Audrey Greenberg |
director |
90 PARK AVENUE, FLOOR 23, NEW YORK NY 10016 |
| Steven G Norcutt |
director |
1301 AVENUE OF THE AMERICAS, 7TH FLOOR, NEW YORK NY 10019 |
| Steven R Mumma |
officer: Chief Operating Officer and VP |
1301 AVENUE OF THE AMERICAS, 7TH FLOOR, NEW YORK NY 10019 |
| Nathan R Reese |
officer: Vice President and Secretary |
C/O NEW YORK MORTGAGE TRUST, INC., 52 VANDERBILT AVENUE, SUITE 403, NEW YORK NY 10017 |
| Kristine Rimando Nario |
officer: Chief Financial Officer |
275 MADISON AVENUE, SUITE 3200, NEW YORK NY 10016 |
| Jason T Serrano |
officer: President |
275 MADISON AVENUE, NEW YORK NY 10016 |
| Alan L Hainey |
director |
1301 AVENUE OF THE AMERICAS, 7TH FLOOR, NEW YORK NY 10019 |
| Lisa A Pendergast |
director |
275 MADISON AVENUE, NEW YORK NY 10016 |
| Michael B. Clement |
director |
275 MADISON AVENUE, NEW YORK NY 10016 |
| Kevin M. Donlon |
officer: President |
227 WEST TRADE STREET, SUITE 900, CHARLOTTE NC 28202 |
| Douglas E Neal |
director |
52 VANDERBILT AVENUE, SUITE 403, NEW YORK NY 10017 |
| Jmp Asset Management Llc |
10 percent owner |
600 MONTGOMERY STREET, SUITE 1100, SAN FRANCISCO CA 94111 |
| Fredric S. Starker |
officer: Chief Financial Officer |
52 VANDERBILT AVENUE, SUITE 403, NEW YORK NY 10017 |
New York Mortgage Trust (New York Mortgage Trust) Headlines
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