According to a recent article, NYMT has a relationship with the Midway Group -- touted as "best-in-class" with residential mortgages and IO's (interest-only strips) with risk adjusted returns in the low 20% range. Another relationship is with Riverbanc LLC engaged in commercial real estate mezzanine loans and private equity, sporting returns in the mid-to-high teens. (Mezzanine loans are similar to second mortgages, except a mezzanine loan is secured by the stock of the company that owns the property, as opposed to the real estate). Additionally, as loans mature, new investments are made in senior tranches. (A senior tranche is the highest tranche of a security, i.e. the one deemed least risky. Any losses on the value of the security are only experienced in the senior tranche once all other tranches have lost all their value. For this safety, the senior tranche pays the lowest rate of interest). So what is the take home? It is said that with interest rate risk hedged on many investments, performance will actually improve as interest rates raise.
In uncertain and low rate environments there is a flight to Mreit yield and safety . Agency is backed and can be leveraged higher and a stock price premium generated. non-agency is attractive when agency MBS demand strips supply or can not fund sufficient taxable income to cover the divy.
That said, NYMT is 90% agency and their stated focus.