Maryland
|
81-0559116
|
|
(State
or other jurisdiction of incorporation or organization)
|
(I.R.S.
Employer Identification No.)
|
1251
Avenue of the Americas, New York, NY
|
10020
|
(Address
of principal executive offices)
|
(Zip
Code)
|
PAGE
|
||
PART
I. FINANCIAL INFORMATION
|
||
Item
1.
|
Financial
Statements
|
|
Consolidated
Balance Sheets as of June 30, 2005 (unaudited) and December 31,
2004
|
1
|
|
Consolidated
Statements of Income (unaudited) for the three and six months ended
June
30, 2005 and 2004
|
2
|
|
Consolidated
Statements of Stockholders' Equity (unaudited) for the six months
ended
June 30, 2005 and 2004
|
3
|
|
Consolidated
Statements of Cash Flows (unaudited) for the six months ended June
30,
2005 and 2004
|
4
|
|
Notes
to Consolidated Financial Statements (unaudited)
|
6
|
|
Item
2.
|
Management's
Discussion and Analysis of Financial Condition and Results of
Operations
|
14
|
Item
3.
|
Quantitative
and Qualitative Disclosures About Market Risk
|
28
|
Item
4.
|
Controls
and Procedures
|
33
|
PART
II. OTHER INFORMATION
|
||
Item
1.
|
Legal
Proceedings
|
34
|
|
||
Item
2.
|
Unregistered
Sales of Equity Securities and Use of Proceeds
|
34
|
Item
3.
|
Defaults
upon Senior Securities
|
34
|
Item
4.
|
Submission
of Matters to a Vote of Security Holders
|
34
|
Item
5.
|
Other
Information
|
34
|
Item
6.
|
Exhibits
|
34
|
SIGNATURES
|
35
|
June
30, 2005
|
|||||||
(Unaudited)
|
December
31, 2004
|
||||||
Assets
|
|||||||
Real
estate securities, available for sale
|
$
|
3,973,566
|
$
|
3,369,496
|
|||
Real
estate securities portfolio deposit
|
10,126
|
25,411
|
|||||
Real
estate related loans, net
|
566,913
|
591,890
|
|||||
Investments
in unconsolidated subsidiaries
|
33,691
|
41,230
|
|||||
Operating
real estate, net
|
16,110
|
57,193
|
|||||
Real
estate held for sale
|
-
|
12,376
|
|||||
Residential
mortgage loans, net
|
799,772
|
654,784
|
|||||
Cash
and cash equivalents
|
68,965
|
37,911
|
|||||
Restricted
cash
|
186,085
|
77,974
|
|||||
Derivative
assets
|
22,597
|
27,122
|
|||||
Receivables
and other assets
|
32,217
|
37,333
|
|||||
$
|
5,710,042
|
$
|
4,932,720
|
||||
Liabilities
and Stockholders' Equity
|
|||||||
Liabilities
|
|||||||
CBO
bonds payable
|
$
|
3,093,682
|
$
|
2,656,510
|
|||
Other
bonds payable
|
383,553
|
222,266
|
|||||
Notes
payable
|
474,513
|
652,000
|
|||||
Repurchase
agreements
|
677,303
|
490,620
|
|||||
Derivative
liabilities
|
48,380
|
39,661
|
|||||
Dividends
payable
|
28,384
|
25,928
|
|||||
Due
to affiliates
|
3,963
|
8,963
|
|||||
Accrued
expenses and other liabilities
|
89,015
|
40,057
|
|||||
4,798,793
|
4,136,005
|
||||||
Stockholders'
Equity
|
|||||||
Preferred
stock, $0.01 par value, 100,000,000 shares authorized,
2,500,000
|
|||||||
shares
of Series B Cumulative Redeemable Preferred Stock,
liquidation
|
|||||||
preference
$25.00 per share, issued and outstanding
|
62,500
|
62,500
|
|||||
Common
stock, $0.01 par value, 500,000,000 shares authorized, 43,789,819
and
|
|||||||
39,859,481
shares issued and outstanding at June 30, 2005 and
|
|||||||
December
31, 2004, respectively
|
438
|
399
|
|||||
Additional
paid-in capital
|
782,103
|
676,015
|
|||||
Dividends
in excess of earnings
|
(13,573
|
)
|
(13,969
|
)
|
|||
Accumulated
other comprehensive income
|
79,781
|
71,770
|
|||||
911,249
|
796,715
|
||||||
$
|
5,710,042
|
$
|
4,932,720
|
Three
Months Ended June 30,
|
Six
Months Ended June 30,
|
||||||||||||
2005
|
2004
|
2005
|
2004
|
||||||||||
Revenues
|
|||||||||||||
Interest
income
|
$
|
86,715
|
$
|
56,144
|
$
|
166,426
|
$
|
105,170
|
|||||
Rental
and escalation income
|
1,715
|
1,022
|
2,979
|
2,169
|
|||||||||
Gain
on settlement of investments
|
3,635
|
4,446
|
6,323
|
9,582
|
|||||||||
92,065
|
61,612
|
175,728
|
116,921
|
||||||||||
Expenses
|
|||||||||||||
Interest
expense
|
55,791
|
32,615
|
104,557
|
60,706
|
|||||||||
Property
operating expense
|
540
|
531
|
1,233
|
1,171
|
|||||||||
Loan
and security servicing expense
|
1,580
|
861
|
3,163
|
1,643
|
|||||||||
Provision
for credit losses
|
1,187
|
-
|
1,899
|
-
|
|||||||||
General
and administrative expense
|
1,326
|
1,163
|
2,217
|
2,303
|
|||||||||
Management
fee to affiliate
|
3,316
|
2,563
|
6,579
|
4,960
|
|||||||||
Incentive
compensation to affiliate
|
883
|
1,236
|
2,855
|
3,610
|
|||||||||
Depreciation
and amortization
|
135
|
95
|
271
|
208
|
|||||||||
64,758
|
39,064
|
122,774
|
74,601
|
||||||||||
Income
before equity in earnings of unconsolidated subsidiaries
|
27,307
|
22,548
|
52,954
|
42,320
|
|||||||||
Equity
in earnings of unconsolidated subsidiaries
|
1,438
|
2,218
|
3,524
|
3,441
|
|||||||||
Income
taxes on related taxable subsidiaries
|
(45
|
)
|
-
|
(278
|
)
|
-
|
|||||||
Income
from continuing operations
|
28,700
|
24,766
|
56,200
|
45,761
|
|||||||||
Income
(loss) from discontinued operations
|
781
|
(1,591
|
)
|
1,965
|
(735
|
)
|
|||||||
Net
Income
|
29,481
|
23,175
|
58,165
|
45,026
|
|||||||||
Preferred
dividends
|
(1,524
|
)
|
(1,524
|
)
|
(3,047
|
)
|
(3,047
|
)
|
|||||
Income
Available For Common Stockholders
|
$
|
27,957
|
$
|
21,651
|
$
|
55,118
|
$
|
41,979
|
|||||
Net
Income Per Share of Common Stock
|
|||||||||||||
Basic
|
$
|
0.64
|
$
|
0.60
|
$
|
1.27
|
$
|
1.19
|
|||||
Diluted
|
$
|
0.63
|
$
|
0.59
|
$
|
1.26
|
$
|
1.17
|
|||||
Income
from continuing operations per share of common stock,
after
|
|||||||||||||
preferred
dividends
|
|||||||||||||
Basic
|
$
|
0.62
|
$
|
0.64
|
$
|
1.22
|
$
|
1.21
|
|||||
Diluted
|
$
|
0.61
|
$
|
0.63
|
$
|
1.21
|
$
|
1.19
|
|||||
Income
(loss) from discontinued operations per share of common
stock |
|||||||||||||
Basic
|
$
|
0.02
|
$
|
(0.04
|
)
|
$
|
0.05
|
$
|
(0.02
|
)
|
|||
Diluted
|
$
|
0.02
|
$
|
(0.04
|
)
|
$
|
0.05
|
$
|
(0.02
|
)
|
|||
Weighted
Average Number of Shares of
|
|||||||||||||
Common
Stock Outstanding
|
|||||||||||||
Basic
|
43,768,381
|
36,160,778
|
43,496,597
|
35,281,696
|
|||||||||
Diluted
|
44,127,381
|
36,670,603
|
43,879,606
|
35,828,575
|
|||||||||
Dividends
Declared per Share of Common Stock
|
$
|
0.625
|
$
|
0.600
|
$
|
1.250
|
$
|
1.200
|
Accum.
|
|||||||||||||||||||||||||
Additional
|
Dividends
|
Other
|
Total
Stock-
|
||||||||||||||||||||||
Preferred
Stock
|
Common
Stock
|
Paid-in
|
in
Excess of
|
Comp.
|
holders'
|
||||||||||||||||||||
Shares
|
Amount
|
Shares
|
Amount
|
Capital
|
Earnings
|
Income
|
Equity
|
||||||||||||||||||
Stockholders'
equity - December 31, 2004
|
2,500,000
|
$
|
62,500
|
39,859,481
|
$
|
399
|
$
|
676,015
|
$
|
(13,969
|
)
|
$
|
71,770
|
$
|
796,715
|
||||||||||
Dividends
declared
|
-
|
-
|
-
|
-
|
-
|
(57,769
|
)
|
-
|
(57,769
|
)
|
|||||||||||||||
Issuance
of common stock
|
-
|
-
|
3,300,000
|
33
|
96,537
|
-
|
-
|
96,570
|
|||||||||||||||||
Exercise
of common stock options
|
-
|
-
|
628,330
|
6
|
9,491
|
-
|
-
|
9,497
|
|||||||||||||||||
Issuance
of common stock to directors
|
-
|
-
|
2,008
|
-
|
60
|
-
|
-
|
60
|
|||||||||||||||||
Comprehensive
income:
|
|||||||||||||||||||||||||
Net
income
|
-
|
-
|
-
|
-
|
-
|
58,165
|
-
|
58,165
|
|||||||||||||||||
Unrealized
gain on securities
|
-
|
-
|
-
|
-
|
-
|
-
|
25,302
|
25,302
|
|||||||||||||||||
Reclassification
of realized (gain) on securities into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,936
|
)
|
(1,936
|
)
|
|||||||||||||||
Foreign
currency translation
|
-
|
-
|
-
|
-
|
-
|
-
|
(2,154
|
)
|
(2,154
|
)
|
|||||||||||||||
Reclassification
of realized foreign currency translation into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(626
|
)
|
(626
|
)
|
|||||||||||||||
Unrealized
(loss) on derivatives designated as cash flow hedges
|
-
|
-
|
-
|
-
|
-
|
-
|
(13,849
|
)
|
(13,849
|
)
|
|||||||||||||||
Reclassification
of realized (gain) on derivatives designated as cash flow hedges
into
earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
1,274
|
1,274
|
|||||||||||||||||
Total
comprehensive income
|
66,176
|
||||||||||||||||||||||||
Stockholders'
equity - June 30, 2005
|
2,500,000
|
$
|
62,500
|
43,789,819
|
$
|
438
|
$
|
782,103
|
$
|
(13,573
|
)
|
$
|
79,781
|
$
|
911,249
|
||||||||||
Stockholders'
equity - December 31, 2003
|
2,500,000
|
$
|
62,500
|
31,374,833
|
$
|
314
|
$
|
451,806
|
$
|
(14,670
|
)
|
$
|
39,413
|
$
|
539,363
|
||||||||||
Dividends
declared
|
-
|
-
|
-
|
-
|
-
|
(46,814
|
)
|
-
|
(46,814
|
)
|
|||||||||||||||
Issuance
of common stock
|
-
|
-
|
6,750,000
|
67
|
172,818
|
-
|
-
|
172,885
|
|||||||||||||||||
Exercise
of common stock options
|
-
|
-
|
107,500
|
1
|
1,428
|
-
|
-
|
1,429
|
|||||||||||||||||
Issuance
of common stock to directors
|
-
|
-
|
2,148
|
-
|
60
|
-
|
-
|
60
|
|||||||||||||||||
Comprehensive
income:
|
|||||||||||||||||||||||||
Net
income
|
-
|
-
|
-
|
-
|
-
|
45,026
|
-
|
45,026
|
|||||||||||||||||
Unrealized
(loss) on securities
|
-
|
-
|
-
|
-
|
-
|
-
|
(39,915
|
)
|
(39,915
|
)
|
|||||||||||||||
Reclassification
of realized (gains) on securities into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,967
|
)
|
(8,967
|
)
|
|||||||||||||||
Foreign
currency translation
|
-
|
-
|
-
|
-
|
-
|
-
|
(414
|
)
|
(414
|
)
|
|||||||||||||||
Reclassification
of realized foreign currency translation into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(395
|
)
|
(395
|
)
|
|||||||||||||||
Unrealized
gain on derivatives designated as cash flow hedges
|
-
|
-
|
-
|
-
|
-
|
-
|
39,000
|
39,000
|
|||||||||||||||||
Total
comprehensive income
|
34,335
|
||||||||||||||||||||||||
Stockholders'
equity - June 30, 2004
|
2,500,000
|
$
|
62,500
|
38,234,481
|
$
|
382
|
$
|
626,112
|
$
|
(16,458
|
)
|
$
|
28,722
|
$
|
701,258
|
Six
Months Ended June
30,
|
|||||||
2005
|
2004
|
||||||
Cash
Flows From Operating Activities
|
|||||||
Net
income
|
$
|
58,165
|
$
|
45,026
|
|||
Adjustments
to reconcile net income to net cash provided by operating
activities
|
|||||||
(inclusive
of amounts related to discontinued operations):
|
|||||||
Depreciation
and amortization
|
445
|
1,124
|
|||||
Accretion
of discount and other amortization
|
956
|
(972
|
)
|
||||
Equity
in earnings of unconsolidated subsidiaries
|
(3,524
|
)
|
(3,441
|
)
|
|||
Deferred
rent
|
(1,063
|
)
|
(922
|
)
|
|||
Gain
on settlement of investments
|
(5,073
|
)
|
(8,006
|
)
|
|||
Unrealized
gain on non-hedge derivatives
|
(2,780
|
)
|
(1,281
|
)
|
|||
Non-cash
directors' compensation
|
60
|
60
|
|||||
Change
in:
|
|
||||||
Restricted
cash
|
(6,709
|
)
|
(1,626
|
)
|
|||
Receivables
and other assets
|
3,986
|
440
|
|||||
Due
to affiliates
|
(5,000
|
)
|
2,105
|
||||
Accrued
expenses and other liabilities
|
48,756
|
(6,171
|
)
|
||||
Net
cash provided by operating activities
|
88,219
|
26,336
|
|||||
Cash
Flows From Investing Activities
|
|||||||
Purchase
of real estate securities
|
(687,864
|
)
|
(576,757
|
)
|
|||
Proceeds
from sale of real estate securities
|
56,521
|
96,860
|
|||||
Deposit
on real estate securities (treated as a derivative)
|
(17,692
|
)
|
(33,657
|
)
|
|||
Purchase
of and advances on loans
|
(406,209
|
)
|
(40,913
|
)
|
|||
Proceeds
from settlement of loans
|
401
|
– | |||||
Repayments
of loan and security principal
|
304,401
|
(314,858
|
)
|
||||
Margin
deposit on credit derivative instruments
|
(26,322
|
)
|
148,230
|
||||
Proceeds
from sale of derivative instruments
|
763
|
|
123,595
|
||||
Payments
on settlement of derivative instruments
|
(1,112
|
)
|
–
|
||||
Purchase
and improvement of operating real estate
|
(192
|
)
|
(203
|
)
|
|||
Proceeds
from sale of operating real estate
|
52,329
|
|
27,460
|
||||
Contributions
to unconsolidated subsidiaries
|
–
|
|
(26,788
|
)
|
|||
Distributions
from unconsolidated subsidiaries
|
11,063
|
8,511
|
|||||
Payment
of deferred transaction costs
|
(39
|
)
|
(278
|
)
|
|||
Net
cash used in investing activities
|
(713,952
|
)
|
(588,798
|
)
|
Continued
on Page 5
|
Six
Months Ended June
30,
|
|||||||
2005
|
2004
|
Cash
Flows From Financing Activities
|
|||||||
Issuance
of CBO bonds payable
|
442,034
|
409,612
|
|||||
Repayments
of CBO bonds payable
|
(6,589
|
)
|
(11,320
|
)
|
|||
Issuance
of other bonds payable
|
246,547
|
40,000
|
|||||
Repayments
of other bonds payable
|
(84,072
|
)
|
(29,723
|
)
|
|||
Borrowings
under notes payable
|
-
|
281,819
|
|||||
Repayments
of notes payable
|
(177,487
|
)
|
(191,500
|
)
|
|||
Borrowings
under repurchase agreements
|
316,777
|
-
|
|||||
Repayments
of repurchase agreements
|
(130,094
|
)
|
-
|
||||
Issuance
of common stock
|
97,680
|
175,628
|
|||||
Costs
related to issuance of common stock
|
(1,110
|
)
|
(2,743
|
)
|
|||
Exercise
of common stock options
|
9,497
|
1,429
|
|||||
Dividends
paid
|
(55,313
|
)
|
(39,561
|
)
|
|||
Payment
of deferred financing costs
|
(1,083
|
)
|
(147
|
)
|
|||
Net
cash provided by financing activities
|
656,787
|
633,494
|
|||||
Net
Decrease in Cash and Cash Equivalents
|
31,054
|
71,032
|
|||||
Cash
and Cash Equivalents, Beginning of Period
|
37,911
|
60,403
|
|||||
Cash
and Cash Equivalents, End of Period
|
$
|
68,965
|
$
|
131,435
|
|||
Supplemental
Disclosure of Cash Flow Information
|
|||||||
Cash
paid during the period for interest expense
|
$
|
99,903
|
$
|
61,122
|
|||
Cash
paid during the period for income taxes
|
$
|
434
|
$
|
- | |||
Supplemental
Schedule of Non-Cash Investing and Financing
Activities
|
|||||||
Common
stock dividends declared but not paid
|
$
|
27,369
|
$
|
22,940
|
|||
Preferred
stock dividends declared but not paid
|
$
|
1,016
|
$
|
1,016
|
|||
Deposits
used in acquisition of real estate securities (treated as
derivatives)
|
$
|
44,504
|
$
|
35,457
|
Net
Proceeds
|
||||||
Year
|
Shares
Issued
|
Range
of Issue Prices (1)
|
(millions)
|
|||
Formation
|
16,488,517
|
N/A
|
N/A
|
|||
2002
|
7,000,000
|
$13.00
|
|
$80.0
|
||
2003
|
7,886,316
|
$20.35-$22.85
|
|
$163.4
|
||
2004
|
8,484,648
|
$26.30-$31.40
|
|
$224.3
|
||
1st
Half 2005
|
3,930,338
|
$29.60
|
|
$106.1
|
||
June
30, 2005
|
43,789,819
|
Real
Estate Securities
|
Residential
|
|||||||||||||||
and
Real Estate
|
Operating
Real
|
Mortgage
|
||||||||||||||
Related
Loans
|
Estate
|
Loans
|
Unallocated
|
Total
|
||||||||||||
June
30, 2005 and the Six Months then Ended
|
||||||||||||||||
Gross
revenues
|
$
|
147,061
|
$
|
3,003
|
$
|
25,338
|
$
|
326
|
$
|
175,728
|
||||||
Operating
expenses
|
(776
|
)
|
(1,260
|
)
|
(4,328
|
)
|
(11,582
|
)
|
(17,946
|
)
|
||||||
Operating
income (loss)
|
146,285
|
1,743
|
21,010
|
(11,256
|
)
|
157,782
|
||||||||||
Interest
expense
|
(89,248
|
)
|
(251
|
)
|
(15,058
|
)
|
-
|
(104,557
|
)
|
|||||||
Depreciation
and amortization
|
-
|
(231
|
)
|
-
|
(40
|
)
|
(271
|
)
|
||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
1,843
|
1,403
|
-
|
-
|
3,246
|
|||||||||||
Income
(loss) from continuing operations
|
58,880
|
2,664
|
5,952
|
(11,296
|
)
|
56,200
|
||||||||||
Income
(loss) from discontinued operations
|
-
|
1,965
|
-
|
-
|
1,965
|
|||||||||||
Net
Income (Loss)
|
$
|
58,880
|
$
|
4,629
|
$
|
5,952
|
$
|
(11,296
|
)
|
$
|
58,165
|
|||||
Revenue
derived from non-U.S. sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
8,352
|
$
|
-
|
$
|
-
|
$
|
8,352
|
||||||
Belgium
|
$
|
-
|
$
|
62
|
$
|
-
|
$
|
-
|
$
|
62
|
||||||
Total
assets
|
$
|
4,803,803
|
$
|
35,749
|
$
|
802,945
|
$
|
67,545
|
$
|
5,710,042
|
||||||
Long-lived
assets outside the U.S.:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
16,110
|
$
|
-
|
$
|
-
|
$
|
16,110
|
||||||
December
31, 2004
|
||||||||||||||||
Total
assets
|
$
|
4,136,203
|
$
|
108,322
|
$
|
658,643
|
$
|
29,552
|
$
|
4,932,720
|
||||||
Long-lived
assets outside the U.S.:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
57,193
|
$
|
-
|
$
|
-
|
$
|
57,193
|
||||||
Belgium
|
$
|
-
|
$
|
12,376
|
$
|
-
|
$
|
-
|
$
|
12,376
|
||||||
Three
Months Ended June 30, 2005
|
||||||||||||||||
Gross
revenues
|
$
|
77,515
|
$
|
1,727
|
$
|
12,644
|
$
|
179
|
$
|
92,065
|
||||||
Operating
expenses
|
(453
|
)
|
(559
|
)
|
(2,325
|
)
|
(5,495
|
)
|
(8,832
|
)
|
||||||
Operating
income (loss)
|
77,062
|
1,168
|
10,319
|
(5,316
|
)
|
83,233
|
||||||||||
Interest
expense
|
(47,918
|
)
|
(93
|
)
|
(7,780
|
)
|
-
|
(55,791
|
)
|
|||||||
Depreciation
and amortization
|
-
|
(115
|
)
|
-
|
(20
|
)
|
(135
|
)
|
||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
997
|
396
|
-
|
-
|
1,393
|
|||||||||||
Income
(loss) from continuing operations
|
30,141
|
1,356
|
2,539
|
(5,336
|
)
|
28,700
|
||||||||||
Income
(loss) from discontinued operations
|
-
|
781
|
-
|
-
|
781
|
|||||||||||
Net
Income (Loss)
|
$
|
30,141
|
$
|
2,137
|
$
|
2,539
|
$
|
(5,336
|
)
|
$
|
29,481
|
|||||
Revenue
derived from non-U.S. sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
4,281
|
$
|
-
|
$
|
-
|
$
|
4,281
|
||||||
Belgium
|
$
|
-
|
$
|
(470
|
)
|
$
|
-
|
$
|
-
|
$
|
(470
|
)
|
Real
Estate Securities
Related
Loansand
Real Estate
|
Operating
Real
Estate
|
Residential
Mortgage
Loans
|
Unallocated
|
Total
|
||||||||||||
Six
Months Ended June 30, 2004
|
||||||||||||||||
Gross
revenues
|
$
|
106,096
|
$
|
2,181
|
$
|
8,443
|
$
|
201
|
$
|
116,921
|
||||||
Operating
expenses
|
(587
|
)
|
(1,236
|
)
|
(1,091
|
)
|
(10,773
|
)
|
(13,687
|
)
|
||||||
Operating
income (loss)
|
105,509
|
945
|
7,352
|
(10,572
|
)
|
103,234
|
||||||||||
Interest
expense
|
(56,071
|
)
|
(260
|
)
|
(4,375
|
)
|
-
|
(60,706
|
)
|
|||||||
Depreciation
and amortization
|
-
|
(208
|
)
|
-
|
-
|
(208
|
)
|
|||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
1,978
|
1,463
|
-
|
-
|
3,441
|
|||||||||||
Income
(loss) from continuing operations
|
51,416
|
1,940
|
2,977
|
(10,572
|
)
|
45,761
|
||||||||||
Income
from discontinued operations
|
-
|
(735
|
)
|
-
|
-
|
(735
|
)
|
|||||||||
Net
Income (Loss)
|
$
|
51,416
|
$
|
1,205
|
$
|
2,977
|
$
|
(10,572
|
)
|
$
|
45,026
|
|||||
Revenue
derived from non-US sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
7,443
|
$
|
-
|
$
|
-
|
$
|
7,443
|
||||||
Belgium
|
$
|
-
|
$
|
2,305
|
$
|
-
|
$
|
-
|
$
|
2,305
|
||||||
Three
Months Ended June 30, 2004
|
||||||||||||||||
Gross
revenues
|
$
|
56,255
|
$
|
1,025
|
$
|
4,241
|
$
|
91
|
$
|
61,612
|
||||||
Operating
expenses
|
(325
|
)
|
(558
|
)
|
(555
|
)
|
(4,916
|
)
|
(6,354
|
)
|
||||||
Operating
income (loss)
|
55,930
|
467
|
3,686
|
(4,825
|
)
|
55,258
|
||||||||||
Interest
expense
|
(30,252
|
)
|
(121
|
)
|
(2,242
|
)
|
-
|
(32,615
|
)
|
|||||||
Depreciation
and amortization
|
-
|
(95
|
)
|
-
|
-
|
(95
|
)
|
|||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
909
|
1,309
|
-
|
-
|
2,218
|
|||||||||||
Income
(loss) from continuing operations
|
26,587
|
1,560
|
1,444
|
(4,825
|
)
|
24,766
|
||||||||||
Income
from discontinued operations
|
-
|
(1,591
|
)
|
-
|
-
|
(1,591
|
)
|
|||||||||
Net
Income (Loss)
|
$
|
26,587
|
$
|
(31
|
)
|
$
|
1,444
|
$
|
(4,825
|
)
|
$
|
23,175
|
||||
Revenue
derived from non-US sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
2,739
|
$
|
-
|
$
|
-
|
$
|
2,739
|
||||||
Belgium
|
$
|
-
|
$
|
331
|
$
|
-
|
$
|
-
|
$
|
331
|
Operating
Real Estate
|
Real
Estate Loan
|
||||||
Subsidiary
|
Subsidiary
|
||||||
Balance
at December 31, 2004
|
$
|
17,778
|
$
|
23,452
|
|||
Contributions
to unconsolidated subsidiaries
|
-
|
-
|
|||||
Distributions
from unconsolidated
|
|||||||
subsidiaries
|
(6,611
|
)
|
(4,452
|
)
|
|||
Equity
in earnings of unconsolidated
|
|||||||
subsidiaries
|
1,681
|
1,843
|
|||||
Balance
at June 30, 2005
|
$
|
12,848
|
$
|
20,843
|
Operating
Real Estate Subsidiary (A) (B) |
Real
Estate Loan Subsidiary (A) (C)
|
||||||||||||
June
30,
2005 |
December
31,
2004 |
June
30,
2005 |
December
31,
2004 |
||||||||||
Assets
|
$
|
79,178
|
$
|
89,222
|
$
|
41,923
|
$
|
47,170
|
|||||
Liabilities
|
(53,000
|
)
|
(53,000
|
)
|
-
|
-
|
|||||||
Minority
interest
|
(482
|
)
|
(666
|
)
|
(237
|
)
|
(266
|
)
|
|||||
Equity
|
$
|
25,696
|
$
|
35,556
|
$
|
41,686
|
$
|
46,904
|
|||||
Equity
held by Newcastle
|
$
|
12,848
|
$
|
17,778
|
$
|
20,843
|
$
|
23,452
|
Six
Months Ended June 30,
|
Six
Months Ended June 30,
|
||||||||||||
2005
|
2004
|
2005
|
2004
|
||||||||||
Revenues
|
$
|
6,563
|
$
|
4,237
|
$
|
3,729
|
$
|
4,063
|
|||||
Expenses
|
(3,138
|
)
|
(1,257
|
)
|
(22
|
)
|
(85
|
)
|
|||||
Minority
interest
|
(63
|
)
|
(54
|
)
|
(21
|
)
|
(23
|
)
|
|||||
Net
income (loss)
|
$
|
3,362
|
$
|
2,926
|
$
|
3,686
|
$
|
3,955
|
|||||
Newcastle's
equity in net income (loss)
|
$
|
1,681
|
$
|
1,463
|
$
|
1,843
|
$
|
1,978
|
(A) |
The unconsolidated subsidiaries’ summary financial information is
presented on a fair value basis, consistent with their internal
basis of
accounting.
|
(B) | Included in the operating real estate segment. |
(C) | Included in the real estate securities and real estate related loans segment. |
Gross
Unrealized
|
Weighted
Average
|
||||||||||||||||||||||||||||||
Asset
Type
|
Current
Face
Amount |
Amortized
Cost
Basis |
Gains
|
Losses
|
Carrying
Value
|
Number
of
Securities |
S&P
Equivalent Rating |
Coupon
|
Yield
|
Maturity
(Years) |
|||||||||||||||||||||
CMBS-Conduit
|
$
|
1,225,893
|
$
|
1,187,276
|
$
|
62,490
|
$
|
(4,147)
|
|
$
|
1,245,619
|
184
|
BBB-
|
6.12%
|
|
6.72%
|
|
7.61
|
|||||||||||||
CMBS-Large
Loan
|
569,122
|
566,209
|
10,270
|
(291)
|
|
576,188
|
68
|
BBB
|
5.86%
|
|
6.07%
|
|
2.01
|
||||||||||||||||||
CMBS-
B-Note
|
191,586
|
187,775
|
9,234
|
(158)
|
|
196,851
|
34
|
BB+
|
6.52%
|
|
6.85%
|
|
6.27
|
||||||||||||||||||
Unsecured
REIT Debt
|
802,979
|
816,791
|
36,381
|
(2,242)
|
|
850,930
|
92
|
BBB-
|
6.37%
|
|
6.05%
|
|
7.31
|
||||||||||||||||||
ABS-Manufactured
Housing
|
180,665
|
163,729
|
5,851
|
(721)
|
|
168,859
|
9
|
B
|
7.11%
|
|
8.63%
|
|
6.55
|
||||||||||||||||||
ABS-Home
Equity
|
405,842
|
403,907
|
5,539
|
(301)
|
|
409,145
|
63
|
A-
|
5.07%
|
|
5.17%
|
|
3.59
|
||||||||||||||||||
ABS-Franchise
|
69,376
|
67,545
|
1,797
|
(473)
|
|
68,869
|
16
|
BBB+
|
7.28%
|
|
8.21%
|
|
5.34
|
||||||||||||||||||
Agency
RMBS
|
454,962
|
457,908
|
960
|
(1,763)
|
|
457,105
|
11
|
AAA
|
4.66%
|
|
4.46%
|
|
5.42
|
||||||||||||||||||
Total/Average (A)
|
$
|
3,900,425
|
$
|
3,851,140
|
$
|
132,522
|
$
|
(10,096)
|
|
$
|
3,973,566
|
477
|
BBB
|
5.94%
|
|
6.16%
|
|
5.90
|
(A)
The total current face amount of fixed rate securities was $2,985.9
million, and of floating rate securities was $914.5
million.
|
Securities
in an Unrealized Loss Position
|
Less
Than Twelve Months
|
$
|
865,468
|
$
|
873,618
|
$
|
-
|
$
|
(4,797)
|
|
$
|
868,821
|
88
|
A+
|
5.34%
|
|
5.12%
|
|
5.27
|
|||||||||||||
Twelve
or More Months
|
240,307
|
243,511
|
-
|
(5,299)
|
|
238,212
|
35
|
BBB-
|
5.71%
|
|
5.48%
|
|
7.41
|
||||||||||||||||||
Total
|
$
|
1,105,775
|
$
|
1,117,129
|
$
|
-
|
$
|
(10,096)
|
|
$
|
1,107,033
|
123
|
A
|
5.42%
|
|
5.19%
|
|
5.73
|
Weighted
|
|||||||||||||||||||
Average
|
|||||||||||||||||||
Current
|
Carrying
|
Loan
|
Wtd.
Avg.
|
Maturity
|
|
Delinquent
Carrying
|
|||||||||||||
Loan
Type
|
Face
Amount
|
Value
|
Count
|
Yield
|
(Years)
(C)
|
Amount
|
|||||||||||||
B-Notes
|
$
|
137,356
|
$
|
137,658
|
26
|
6.93
|
%
|
2.31
|
$
|
-
|
|||||||||
Mezzanine
Loans (A)
|
104,342
|
104,310
|
5
|
7.77
|
%
|
2.03
|
-
|
||||||||||||
Bank
Loans
|
135,482
|
135,819
|
3
|
6.91
|
%
|
2.03
|
-
|
||||||||||||
Real
Estate Loans
|
14,726
|
14,339
|
1
|
20.02
|
%
|
2.50
|
-
|
||||||||||||
ICH
CMO Loans (B)
|
176,462
|
174,787
|
106
|
7.89
|
%
|
1.81
|
26,826
|
||||||||||||
Total
Real Estate
|
|||||||||||||||||||
Related
Loans
|
$
|
568,368
|
$
|
566,913
|
141
|
7.71
|
%
|
2.04
|
$
|
26,826
|
|||||||||
Residential
Loans
|
$
|
498,625
|
$
|
506,580
|
1,323
|
4.33
|
%
|
3.65
|
$
|
11,110
|
|||||||||
Manufactured
Housing
|
|||||||||||||||||||
Loans
|
310,526
|
293,192
|
8,021
|
7.85
|
%
|
4.71
|
4,347
|
||||||||||||
Total
Residential
|
|||||||||||||||||||
Mortgage
Loans
|
$
|
809,151
|
$
|
799,772
|
9,344
|
5.62
|
%
|
4.06
|
$
|
15,457
|
(A)
|
One
of these loans has a contractual exit fee which Newcastle will
begin to
accrue if and when management believes it is probable that such
exit fee
will be received.
|
(B)
|
In
October 2003, pursuant to FIN No. 46, Newcastle consolidated an
entity
which holds a portfolio of commercial mortgage loans which has
been
securitized. This investment, which is referred to as the ICH CMO,
was
previously treated as a non-consolidated residual interest in such
securitization. Newcastle exercises no control over the management
or
resolution of these assets. The primary effect of the consolidation
is the
requirement that Newcastle reflect the gross loan assets and gross
bonds
payable of this entity in its financial statements.
|
(C)
|
The
weighted average maturity for the residential mortgage loan portfolio
was
calculated based on a constant prepayment rate (CPR) of approximately
20%.
|
Reference
|
Notional
|
Margin
|
Receive
|
Pay
|
Fair
|
||||||||||||||
Month
Executed
|
Asset
|
Amount
|
Amount
|
Interest
Rate
|
Interest
Rate
|
Value
|
|||||||||||||
November
2004
|
Term loan to a retail mall REIT |
$
|
106,493
|
$
|
18,149
|
LIBOR
+ 2.00%
|
|
LIBOR
+ 0.500%
|
|
$
|
936
|
||||||||
February
2005
|
Term
loan to a diversified real estate and finance company |
$
|
97,997
|
$
|