Maryland
|
81-0559116
|
|
(State
or other jurisdiction of incorporation or
organization)
|
(I.R.S.
Employer Identification No.)
|
|
1345
Avenue of the Americas, New York, NY
|
10105
|
|
(Address
of principal executive offices)
|
(Zip
Code)
|
(212)
798-6100
|
||
(Registrant's
telephone number, including area code)
|
||
(Former
name, former address and former fiscal year, if changed since last
report)
|
||
PAGE
|
|||
PART
I
|
FINANCIAL
INFORMATION
|
||
Item
1
|
Financial
Statements
|
||
Consolidated
Balance Sheets as of March 31, 2006 (unaudited) and December 31,
2005
|
1
|
||
Consolidated
Statements of Income (unaudited) for the three ended March 31,
2006 and
2005
|
2
|
||
Consolidated
Statements of Stockholders' Equity (unaudited) for the three months
ended
March 31, 2006 and 2005
|
3
|
||
Consolidated
Statements of Cash Flows (unaudited) for the three months ended
March 31,
2006 and 2005
|
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
|
31
|
|
Item
4
|
Controls
and Procedures
|
36
|
|
PART
II.
|
OTHER
INFORMATION
|
||
Item
1
|
Legal
Proceedings
|
37
|
|
Item
1A
|
Risk
Factors
|
37
|
|
Item
2
|
Unregistered
Sales of Equity Securities and Use of Proceeds
|
38
|
|
Item
3
|
Defaults
upon Senior Securities
|
38
|
|
Item
4
|
Submission
of Matters to a Vote of Security Holders
|
38
|
|
Item
5
|
Other
Information
|
38
|
|
Item
6
|
Exhibits
|
39
|
|
SIGNATURES
|
|
40
|
March
31, 2006 (Unaudited)
|
December
31, 2005
|
||||||
Assets
|
|||||||
Real
estate securities, available for sale
|
$
|
4,732,563
|
$
|
4,554,519
|
|||
Real
estate related loans, net
|
670,938
|
615,551
|
|||||
Residential
mortgage loans, net
|
540,231
|
600,682
|
|||||
Subprime
mortgage loans, held for sale - Note 5
|
1,510,022
|
-
|
|||||
Investments
in unconsolidated subsidiaries
|
28,946
|
29,953
|
|||||
Operating
real estate, net
|
28,821
|
16,673
|
|||||
Cash
and cash equivalents
|
38,475
|
21,275
|
|||||
Restricted
cash
|
190,259
|
268,910
|
|||||
Derivative
assets
|
109,944
|
63,834
|
|||||
Receivables
and other assets
|
35,575
|
38,302
|
|||||
$
|
7,885,774
|
$
|
6,209,699
|
||||
Liabilities
and Stockholders' Equity
|
|||||||
Liabilities
|
|||||||
CBO
bonds payable
|
$
|
3,521,395
|
$
|
3,530,384
|
|||
Other
bonds payable
|
352,050
|
353,330
|
|||||
Notes
payable
|
220,825
|
260,441
|
|||||
Repurchase
agreements
|
2,674,127
|
1,048,203
|
|||||
Credit
facility
|
-
|
20,000
|
|||||
Junior
subordinated notes payable (security for trust preferred)
|
100,100
|
-
|
|||||
Derivative
liabilities
|
9,108
|
18,392
|
|||||
Dividends
payable
|
29,032
|
29,052
|
|||||
Due
to affiliates
|
4,011
|
8,783
|
|||||
Accrued
expenses and other liabilities
|
35,849
|
23,111
|
|||||
6,946,497
|
5,291,696
|
||||||
Stockholders'
Equity
|
|||||||
Preferred
stock, $0.01 par value, 100,000,000 shares authorized, 2,500,000
shares
of
9.75% Series B Cumulative Redeemable Preferred Stock and 1,600,000
shares
of 8.05% Series C Cumulative Redeemable Preferred Stock, liquidation
preference $25.00 per share, issued and
outstanding
|
102,500
|
102,500
|
|||||
Common
stock, $0.01 par value, 500,000,000 shares authorized, 43,967,409
and
43,913,409
shares issued and outstanding at March 31, 2006 and December
31, 2005, respectively
|
440
|
439
|
|||||
Additional
paid-in capital
|
783,784
|
782,735
|
|||||
Dividends
in excess of earnings
|
(12,124
|
)
|
(13,235
|
)
|
|||
Accumulated
other comprehensive income
|
64,677
|
45,564
|
|||||
939,277
|
918,003
|
||||||
$
|
7,885,774
|
$
|
6,209,699
|
Three
Months Ended
March
31,
|
|||||||
2006
|
2005
|
||||||
Revenues
|
|||||||
Interest
income
|
$
|
113,907
|
$
|
79,036
|
|||
Rental
and escalation income
|
2,008
|
1,264
|
|||||
Gain
on sale of investments, net
|
1,928
|
1,714
|
|||||
Other
income
|
5,705
|
1,649
|
|||||
123,548
|
83,663
|
||||||
Expenses
|
|||||||
Interest
expense
|
76,965
|
48,766
|
|||||
Property
operating expense
|
818
|
693
|
|||||
Loan
and security servicing expense
|
2,006
|
1,583
|
|||||
Provision
for credit losses
|
2,007
|
712
|
|||||
Provision
for losses, loans held for sale - Note 5
|
4,127
|
-
|
|||||
General
and administrative expense
|
1,630
|
891
|
|||||
Management
fee to affiliate
|
3,471
|
3,263
|
|||||
Incentive
compensation to affiliate
|
2,852
|
1,972
|
|||||
Depreciation
and amortization
|
199
|
136
|
|||||
|
94,075
|
58,016
|
|||||
Income
before equity in earnings of unconsolidated subsidiaries
|
29,473
|
25,647
|
|||||
Equity
in earnings of unconsolidated subsidiaries
|
1,195
|
2,086
|
|||||
Income
taxes on related taxable subsidiaries
|
-
|
(233
|
)
|
||||
Income
from continuing operations
|
30,668
|
27,500
|
|||||
Income
from discontinued operations
|
251
|
1,184
|
|||||
Net
Income
|
30,919
|
28,684
|
|||||
Preferred
dividends
|
(2,328
|
)
|
(1,523
|
)
|
|||
Income
Available For Common Stockholders
|
$
|
28,591
|
$
|
27,161
|
|||
Net
Income Per Share of Common Stock
|
|||||||
Basic
|
$
|
0.65
|
$
|
0.63
|
|||
Diluted
|
$
|
0.65
|
$
|
0.62
|
|||
Income
from continuing operations per share of common stock, after preferred
dividends
|
|||||||
Basic
|
$
|
0.64
|
$
|
0.60
|
|||
Diluted
|
$
|
0.64
|
$
|
0.59
|
|||
Income
from discontinued operations per share of common stock
|
|||||||
Basic
|
$
|
0.01
|
$
|
0.03
|
|||
Diluted
|
$
|
0.01
|
$
|
0.03
|
|||
Weighted
Average Number of Shares of Common
Stock Outstanding
|
|||||||
Basic
|
43,944,820
|
43,221,792
|
|||||
Diluted
|
44,063,940
|
43,629,078
|
|||||
Dividends
Declared per Share of Common Stock
|
$
|
0.625
|
$
|
0.625
|
|
Preferred
Stock
|
Common
Stock
|
Additional
Paid-in
Capital
|
Dividends
in Excess of
Earnings
|
Accum.
Other Comp.
Income
|
Total
Stock-holders'
Equity
|
|||||||||||||||||||
|
Shares
|
Amount
|
Shares
|
Amount
|
|||||||||||||||||||||
Stockholders'
equity - December 31, 2005
|
4,100,000
|
$
|
102,500
|
43,913,409
|
$
|
439
|
$
|
782,735
|
$
|
(13,235
|
)
|
$
|
45,564
|
$
|
918,003
|
||||||||||
Dividends
declared
|
-
|
-
|
-
|
-
|
-
|
(29,808
|
)
|
-
|
(29,808
|
)
|
|||||||||||||||
Exercise
of common stock options
|
-
|
-
|
54,000
|
1
|
1,049
|
-
|
-
|
1,050
|
|||||||||||||||||
Comprehensive
income:
|
|||||||||||||||||||||||||
Net
income
|
-
|
-
|
-
|
-
|
-
|
30,919
|
-
|
30,919
|
|||||||||||||||||
Net
unrealized (loss) on securities
|
-
|
-
|
-
|
-
|
-
|
-
|
(36,554
|
)
|
(36,554
|
)
|
|||||||||||||||
Reclassification
of net realized (gain) on securities into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(29
|
)
|
(29
|
)
|
|||||||||||||||
Foreign
currency translation
|
-
|
-
|
-
|
-
|
-
|
-
|
(34
|
)
|
(34
|
)
|
|||||||||||||||
Net
unrealized gain on derivatives designated as cash flow
hedges
|
-
|
-
|
-
|
-
|
-
|
-
|
56,145
|
56,145
|
|||||||||||||||||
Reclassification
of net realized (gain) on derivatives designated as cash flow
hedges
into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(415
|
)
|
(415
|
)
|
|||||||||||||||
Total
comprehensive income
|
50,032
|
||||||||||||||||||||||||
Stockholders'
equity - March 31, 2006
|
4,100,000
|
$
|
102,500
|
43,967,409
|
$
|
440
|
$
|
783,784
|
$
|
(12,124
|
)
|
$
|
64,677
|
$
|
939,277
|
||||||||||
Stockholders'
equity - December 31, 2004
|
2,500,000
|
$
|
62,500
|
39,859,481
|
$
|
399
|
$
|
676,015
|
$
|
(13,969
|
)
|
$
|
71,770
|
$
|
796,715
|
||||||||||
Dividends
declared
|
-
|
-
|
-
|
-
|
-
|
(28,873
|
)
|
-
|
(28,873
|
)
|
|||||||||||||||
Issuance
of common stock
|
-
|
-
|
3,300,000
|
33
|
96,567
|
-
|
-
|
96,600
|
|||||||||||||||||
Exercise
of common stock options
|
-
|
-
|
599,430
|
6
|
9,077
|
-
|
-
|
9,083
|
|||||||||||||||||
Comprehensive
income:
|
|||||||||||||||||||||||||
Net
income
|
-
|
-
|
-
|
-
|
-
|
28,684
|
-
|
28,684
|
|||||||||||||||||
Net
unrealized (loss) on securities
|
-
|
-
|
-
|
-
|
-
|
-
|
(42,353
|
)
|
(42,353
|
)
|
|||||||||||||||
Reclassification
of net realized (gain) on securities into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,409
|
)
|
(1,409
|
)
|
|||||||||||||||
Foreign
currency translation
|
-
|
-
|
-
|
-
|
-
|
-
|
(719
|
)
|
(719
|
)
|
|||||||||||||||
Reclassification
of net realized foreign currency translation into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(542
|
)
|
(542
|
)
|
|||||||||||||||
Net
unrealized gain on derivatives designated as cash flow
hedges
|
-
|
-
|
-
|
-
|
-
|
-
|
44,637
|
44,637
|
|||||||||||||||||
Reclassification
of net realized (gain) on derivatives designated as cash flow
hedges
into earnings
|
-
|
-
|
-
|
-
|
-
|
-
|
(342
|
)
|
(342
|
)
|
|||||||||||||||
Total
comprehensive income
|
27,956
|
||||||||||||||||||||||||
Stockholders'
equity - March 31, 2005
|
2,500,000
|
$
|
62,500
|
43,758,911
|
$
|
438
|
$
|
781,659
|
$
|
(14,158
|
)
|
$
|
71,042
|
$
|
901,481
|
Three
Months Ended March 31,
|
|||||||
2006
|
2005
|
||||||
Cash
Flows From Operating Activities
|
|||||||
Net
income
|
$
|
30,919
|
$
|
28,684
|
|||
Adjustments
to reconcile net income to net cash provided by (used in) operating
activities
|
|||||||
(inclusive
of amounts related to discontinued operations):
|
|||||||
Depreciation
and amortization
|
199
|
312
|
|||||
Accretion
of discount and other amortization
|
(9,732
|
)
|
386
|
||||
Equity
in earnings of unconsolidated subsidiaries
|
(1,195
|
)
|
(2,086
|
)
|
|||
Distributions
of earnings from unconsolidated subsidiaries
|
1,195
|
2,086
|
|||||
Deferred
rent
|
(837
|
)
|
(258
|
)
|
|||
Gain
on sale of investments
|
(2,291
|
)
|
(2,456
|
)
|
|||
Unrealized
gain on non-hedge derivatives and hedge ineffectiveness
|
(5,673
|
)
|
(2,687
|
)
|
|||
Provision
for credit losses
|
2,007
|
-
|
|||||
Provision
for losses, loans held for sale
|
4,127
|
-
|
|||||
Purchase
of loans held for sale - Note 5
|
(1,511,086
|
)
|
-
|
||||
Change
in:
|
|||||||
Restricted
cash
|
8,570
|
(696
|
)
|
||||
Receivables
and other assets
|
5,929
|
(1,539
|
)
|
||||
Due
to affiliates
|
(4,772
|
)
|
(5,883
|
)
|
|||
Accrued
expenses and other liabilities
|
12,239
|
327
|
|||||
Net
cash provided by (used in) operating activities
|
(1,470,401
|
)
|
16,190
|
||||
Cash
Flows From Investing Activities
|
|||||||
Purchase
of real estate securities
|
(168,480
|
)
|
(122,254
|
)
|
|||
Proceeds
from sale of real estate securities
|
54,225
|
6,574
|
|||||
Deposit
on real estate securities (treated as a derivative)
|
-
|
(15,539
|
)
|
||||
Purchase
of and advances on loans
|
(221,173
|
)
|
(342,878
|
)
|
|||
Repayments
of loan and security principal
|
187,188
|
120,136
|
|||||
Margin
deposit on derivative instruments
|
(15,517
|
)
|
(20,000
|
)
|
|||
Return
of margin deposit on derivative instruments
|
19,866
|
-
|
|||||
Proceeds
from sale of derivative instruments
|
7,356
|
342
|
|||||
Purchase
and improvement of operating real estate
|
(179
|
)
|
(199
|
)
|
|||
Proceeds
from sale of operating real estate
|
-
|
10,693
|
|||||
Contributions
to unconsolidated subsidiaries
|
(100
|
)
|
-
|
||||
Distributions
of capital from unconsolidated subsidiaries
|
1,107
|
3,966
|
|||||
Payment
of deferred transaction costs
|
-
|
(24
|
)
|
||||
Net
cash used in investing activities
|
(135,707
|
)
|
(359,183
|
)
|
Three
Months Ended March 31,
|
|||||||
2006
|
2005
|
||||||
Cash
Flows From Financing Activities
|
|||||||
Repayments
of CBO bonds payable
|
(10,129
|
)
|
(891
|
)
|
|||
Issuance
of other bonds payable
|
237,111
|
246,547
|
|||||
Repayments
of other bonds payable
|
(236,372
|
)
|
(31,473
|
)
|
|||
Repayments
of notes payable
|
(39,616
|
)
|
(65,320
|
)
|
|||
Borrowings
under repurchase agreements
|
1,817,109
|
129,430
|
|||||
Repayments
of repurchase agreements
|
(191,185
|
)
|
(22,780
|
)
|
|||
Draws
under credit facility
|
90,000
|
-
|
|||||
Repayments
of credit facility
|
(110,000
|
)
|
-
|
||||
Issuance
of junior subordinated notes payable
|
100,100
|
-
|
|||||
Issuance
of common stock
|
-
|
97,680
|
|||||
Costs
related to issuance of common stock
|
-
|
(1,036
|
)
|
||||
Exercise
of common stock options
|
1,050
|
9,083
|
|||||
Dividends
paid
|
(29,828
|
)
|
(26,436
|
)
|
|||
Payment
of deferred financing costs
|
(4,932
|
)
|
(933
|
)
|
|||
Net
cash provided by financing activities
|
1,623,308
|
333,871
|
|||||
Net
Increase (Decrease) in Cash and Cash Equivalents
|
17,200
|
(9,122
|
)
|
||||
Cash
and Cash Equivalents, Beginning of Period
|
21,275
|
37,911
|
|||||
Cash
and Cash Equivalents, End of Period
|
$
|
38,475
|
$
|
28,789
|
|||
Supplemental
Disclosure of Cash Flow Information
|
|||||||
Cash
paid during the period for interest expense
|
$
|
67,648
|
$
|
46,232
|
|||
Cash
paid during the period for income taxes
|
$
|
244
|
$
|
355
|
|||
Supplemental
Schedule of Non-Cash Investing and Financing
Activities
|
|||||||
Common
stock dividends declared but not paid
|
$
|
27,480
|
$
|
27,349
|
|||
Preferred
stock dividends declared but not paid
|
$
|
1,552
|
$
|
1,016
|
|||
Foreclosure
of loans
|
$
|
12,200
|
$
|
-
|
Year
|
Shares
Issued
|
Range
of Issue Prices (1)
|
Net
Proceeds (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
|
|||||
2005
|
4,053,928
|
|
$29.60
|
$
|
108.2
|
|||||
Three
Months 2006
|
54,000
|
N/A
|
$
|
1.1
|
||||||
March
31, 2006
|
43,967,409
|
Real
Estate Securities
and
Real Estate Related Loans
|
Residential
Mortgage Loans
|
Operating
Real Estate
|
Unallocated
|
Total
|
||||||||||||
March
31, 2006 and the Three Months then Ended
|
||||||||||||||||
Gross
revenues
|
$
|
95,193
|
$
|
26,029
|
$
|
2,184
|
$
|
142
|
$
|
123,548
|
||||||
Operating
expenses
|
(817
|
)
|
(7,463
|
)
|
(877
|
)
|
(7,754
|
)
|
(16,911
|
)
|
||||||
Operating
income (loss)
|
94,376
|
18,566
|
1,307
|
(7,612
|
)
|
106,637
|
||||||||||
Interest
expense
|
(62,198
|
)
|
(13,928
|
)
|
-
|
(839
|
)
|
(76,965
|
)
|
|||||||
Depreciation
and amortization
|
-
|
-
|
(131
|
)
|
(68
|
)
|
(199
|
)
|
||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
701
|
-
|
494
|
-
|
1,195
|
|||||||||||
Income
(loss) from continuing operations
|
32,879
|
4,638
|
1,670
|
(8,519
|
)
|
30,668
|
||||||||||
Income
from discontinued operations
|
-
|
-
|
251
|
-
|
251
|
|||||||||||
Net
Income (loss)
|
$
|
32,879
|
$
|
4,638
|
$
|
1,921
|
$
|
(8,519
|
)
|
$
|
30,919
|
|||||
Revenue
derived from non-U.S. sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
-
|
$
|
2,380
|
$
|
-
|
$
|
2,380
|
||||||
Total
assets
|
$
|
5,739,539
|
$
|
2,060,487
|
$
|
44,059
|
$
|
41,689
|
$
|
7,885,774
|
||||||
Long-lived
assets outside the U.S.:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
-
|
$
|
16,632
|
$
|
-
|
$
|
16,632
|
||||||
December
31, 2005
|
||||||||||||||||
Total
assets
|
$
|
5,544,818
|
$
|
606,320
|
$
|
36,306
|
$
|
22,255
|
$
|
6,209,699
|
||||||
Long-lived
assets outside the U.S.:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
-
|
$
|
16,673
|
$
|
-
|
$
|
16,673
|
||||||
Three
Months Ended March 31, 2005
|
||||||||||||||||
Gross
revenues
|
$
|
69,546
|
$
|
12,694
|
$
|
1,276
|
$
|
147
|
$
|
83,663
|
||||||
Operating
expenses
|
(323
|
)
|
(2,003
|
)
|
(701
|
)
|
(6,087
|
)
|
(9,114
|
)
|
||||||
Operating
income (loss)
|
69,223
|
10,691
|
575
|
(5,940
|
)
|
74,549
|
||||||||||
Interest
expense
|
(41,330
|
)
|
(7,278
|
)
|
(158
|
)
|
-
|
(48,766
|
)
|
|||||||
Depreciation
and amortization
|
-
|
-
|
(116
|
)
|
(20
|
)
|
(136
|
)
|
||||||||
Equity
in earnings of unconsolidated subsidiaries (A)
|
846
|
-
|
1,007
|
-
|
1,853
|
|||||||||||
Income
(loss) from continuing operations
|
28,739
|
3,413
|
1,308
|
(5,960
|
)
|
27,500
|
||||||||||
Income
from discontinued operations
|
-
|
-
|
1,184
|
-
|
1,184
|
|||||||||||
Net
Income (loss)
|
$
|
28,739
|
$
|
3,413
|
$
|
2,492
|
$
|
(5,960
|
)
|
$
|
28,684
|
|||||
Revenue
derived from non-U.S. sources:
|
||||||||||||||||
Canada
|
$
|
-
|
$
|
-
|
$
|
4,071
|
$
|
-
|
$
|
4,071
|
||||||
Belgium
|
$
|
-
|
$
|
-
|
$
|
532
|
$
|
-
|
$
|
532
|
Operating
Real Estate Subsidiary
|
Real
Estate Loan Subsidiary
|
Trust
Preferred Subsidiary
|
||||||||
Balance
at December 31, 2005
|
$
|
12,151
|
$
|
17,802
|
$
|
-
|
||||
Contributions
to unconsolidated subsidiaries
|
-
|
-
|
100
|
|||||||
Distributions
from unconsolidated subsidiaries
|
(456
|
)
|
(1,846
|
)
|
-
|
|||||
Equity
in earnings of unconsolidated subsidiaries
|
494
|
701
|
-
|
|||||||
Balance
at March 31, 2006
|
$
|
12,189
|
$
|
16,657
|
$
|
100
|
Operating
Real
Estate
Subsidiary
(A) (B)
|
Real
Estate Loan Subsidiary (A) (C)
|
||||||||||||
March
31,
|
December
31,
|
March
31,
|
December
31,
|
||||||||||
2006
|
2005
|
2006
|
2005
|
||||||||||
Assets
|
$
|
77,835
|
$
|
77,758
|
$
|
33,503
|
$
|
35,806
|
|||||
Liabilities
|
(53,000
|
)
|
(53,000
|
)
|
-
|
-
|
|||||||
Minority
interest
|
(457
|
)
|
(455
|
)
|
(189
|
)
|
(202
|
)
|
|||||
Equity
|
$
|
24,378
|
$
|
24,303
|
$
|
33,314
|
$
|
35,604
|
|||||
Equity
held by Newcastle
|
$
|
12,189
|
$
|
12,151
|
$
|
16,657
|
$
|
17,802
|
|||||
|
Three
Months Ended March 31,
|
Three
Months Ended March 31,
|
|||||||||||
2006
|
2005
|
2006
|
2005
|
||||||||||
Revenues
|
$
|
1,835
|
$
|
4,347
|
$
|
1,418
|
$
|
1,713
|
|||||
Expenses
|
(828
|
)
|
(1,822
|
)
|
(8
|
)
|
(12
|
)
|
|||||
Minority
interest
|
(19
|
)
|
(47
|
)
|
(8
|
)
|
(9
|
)
|
|||||
Net
income
|
$
|
988
|
$
|
2,478
|
$
|
1,402
|
$
|
1,692
|
|||||
Newcastle's
equity in net income
|
$
|
494
|
$
|
1,240
|
$
|
701
|
$
|
846
|
(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
|
$
|
1,439,923
|
$
|
1,386,083
|
$
|
22,437
|
$
|
(33,864
|
)
|
$
|
1,374,656
|
197
|
BBB-
|
5.84
|
%
|
6.55
|
%
|
7.61
|
|||||||||||||
CMBS-Large
Loan
|
651,043
|
647,783
|
7,707
|
(712
|
)
|
654,778
|
61
|
BBB-
|
6.77
|
%
|
6.99
|
%
|
2.39
|
||||||||||||||||||
CMBS-
B-Note
|
219,200
|
213,295
|
3,340
|
(1,286
|
)
|
215,349
|
33
|
BBB-
|
6.55
|
%
|
7.15
|
%
|
6.34
|
||||||||||||||||||
Unsecured
REIT Debt
|
931,208
|
946,833
|
14,286
|
(19,877
|
)
|
941,242
|
99
|
BBB-
|
6.35
|
%
|
5.98
|
%
|
6.70
|
||||||||||||||||||
ABS-Manufactured
Housing
|
175,912
|
159,727
|
1,503
|
(3,744
|
)
|
157,486
|
10
|
B
|
7.12
|
%
|
8.64
|
%
|
6.13
|
||||||||||||||||||
ABS-Home
Equity
|
549,937
|
547,563
|
5,873
|
(210
|
)
|
553,226
|
97
|
A-
|
6.47
|
%
|
6.65
|
%
|
3.00
|
||||||||||||||||||
ABS-Franchise
|
70,523
|
69,666
|
1,081
|
(1,557
|
)
|
69,190
|
20
|
BBB+
|
6.86
|
%
|
8.09
|
%
|
5.17
|
||||||||||||||||||
Agency
RMBS
|
776,725
|
781,505
|
-
|
(14,869
|
)
|
766,636
|
23
|
AAA
|
4.84
|
%
|
4.79
|
%
|
4.74
|
||||||||||||||||||
Total/Average
(A)
|
$
|
4,814,471
|
$
|
4,752,455
|
$
|
56,227
|
$
|
(76,119
|
)
|
$
|
4,732,563
|
540
|
BBB+
|
6.07
|
%
|
6.34
|
%
|
5.59
|
|
|
|
|
|
|
Gross
Unrealized
|
|
|
|
|
|
Weighted
Average
|
|
||||||||||||||||||
Securities
in an Unrealized Loss Position
|
|
Current
Face Amount
|
|
Amortized
Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value
|
|
Number
of
Securities
|
|
S&P
Equivalent
Rating
|
|
Coupon
|
|
Yield
|
|
Maturity
(Years)
|
|||||||||||
Less
Than Twelve Months
|
$
|
2,157,334
|
$
|
2,131,028
|
$
|
-
|
$
|
(41,780
|
)
|
$
|
2,089,248
|
249
|
A-
|
5.80
|
%
|
5.96
|
%
|
6.63
|
|||||||||||||
Twelve
or More Months
|
851,130
|
861,347
|
-
|
(34,339
|
)
|
827,008
|
91
|
A
|
5.58
|
%
|
5.37
|
%
|
5.64
|
||||||||||||||||||
Total
|
$
|
3,008,464
|
$
|
2,992,375
|
$
|
-
|
$
|
(76,119
|
)
|
$
|
2,916,256
|
340
|
A-
|
5.74
|
%
|
5.79
|
%
|
6.35
|
Loan
Type
|
Current
Face
Amount
|
Carrying
Value
|
Loan
Count
|
Wtd.
Avg. Yield
|
Weighted
Average Maturity
(Years)
(D)
|
Delinquent
Carrying Amount (E)
|
|||||||||||||
B-Notes
|
$
|
38,568
|
$
|
38,964
|
6
|
7.84
|
%
|
3.14
|
$
|
-
|
|||||||||
Mezzanine
Loans (A)
|
445,200
|
444,904
|
7
|
8.79
|
%
|
2.30
|
-
|
||||||||||||
Bank
Loans
|
21,977
|
21,993
|
2
|
7.13
|
%
|
1.86
|
-
|
||||||||||||
Real
Estate Loans
|
20,917
|
20,140
|
1
|
20.02
|
%
|
1.75
|
-
|
||||||||||||
ICH
Loans (B)
|
145,360
|
144,937
|
85
|
8.64
|
%
|
1.54
|
6,104
|
||||||||||||
Total
Real Estate Related
Loans
|
$
|
672,022
|
$
|
670,938
|
101
|
8.99
|
%
|
2.15
|
$
|
6,104
|
|||||||||
Residential
Loans
|
$
|
276,381
|
$
|
282,755
|
785
|
5.40
|
%
|
2.80
|
$
|
3,192
|
|||||||||
Manufactured
Housing Loans
|
271,420
|
257,476
|
6,752
|
7.84
|
%
|
5.77
|
1,512
|
||||||||||||
Total
Residential Mortgage
Loans
|
547,801
|
540,231
|
7,537
|
6.56
|
%
|
4.27
|
4,704
|
||||||||||||
Subprime
Mortgage Loans (C)
|
1,502,181
|
1,510,022
|
11,272
|
7.18
|
%
|
2.49
|
-
|
||||||||||||
Total
Residential Mortgage and
Subprime Mortgage Loan
|
$
|
2,049,982
|
$
|
2,050,253
|
18,809
|
7.02
|
%
|
2.97
|
$
|
4,704
|
(A) |
One
of these loans has a contractual exit fee which Newcastle will begin
to
accrue if and when management believes
|
(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. 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) |
See
Note 5 regarding the securitization of this portfolio in April
2006.
|
(D) |
The
weighted average maturities
for the residential loan portfolio, the manufactured housing loan
portfolio and the subprime mortgage loan portfolio were calculated
based
on constant prepayment rates (CPR) of approximately 30%, 10% and
28%,
respectively.
|
(E) |
This
face amount of loans is 60 or more days
delinquent.
|
Real
Estate Related Loans
|
Residential
Mortgage Loans
|
||||||
Balance
at December 31, 2005
|
$
|
4,226
|
$
|
3,207
|
|||
Provision
for credit losses
|
291
|
1,716
|
|||||
Realized
losses
|
(2,930
|
)
|
(1,514
|
)
|
|||
Balance
at March 31, 2006
|
$
|
1,587
|
$
|
3,409
|
Reference
Asset
|
|
Notional
Amount
|
|
Margin
Amount
|
|
Receive
Interest
Rate
|
|
Pay
Interest
Rate
|
|
Maturity
Date
|
|
Fair
Value
|
|||||||
Term
loan to a diversified real estate and
finance company
|
$
|
90,544
|
$
|
18,109
|
LIBOR
+ 3.000%
|
|
LIBOR
+ 0.625%
|
|
Feb
2008
|
$
|
1,092
|
||||||||
Mezzanine
loan to a real estate company
|
15,000
|
5,224
|
LIBOR
+ 4.985%
|
|
LIBOR
+ 1.350%
|
|
Jun
2007
|
101
|
|||||||||||
Term
loan to a diversified real estate
company
|
92,847
|
9,270
|
LIBOR
+ 1.750%
|
|
LIBOR
+ 0.500%
|
|
Aug
2007
|
970
|
|||||||||||
Term
loan to a retail company
|
100,000
|
19,960
|
LIBOR
+ 3.000%
|
|
LIBOR
+ 0.500%
|
|
Dec
2008
|
416
|
|||||||||||
Term
loan and revolver to an appliance
manufacturer (A)
|
37,168
|
15,517
|
LIBOR
+ 6.000% (B)
|
|
LIBOR
+ 1.000%
|
|
Feb
2007
|
(809
|
)
|
||||||||||
$
|
335,559
|
$
|
68,080
|
$
|
1,770
|
Weighted
average life (years)
|
2.5
|
|||
Expected
credit losses
|
5.3
|
%
|
||
Weighted
average constant prepayment rate
|
28.0
|
%
|
||
Discount
rate
|
18.7
|
%
|
Notional
Amount
|
|
Fair
Value
|
|
Longest
Maturity
|
||||||
Interest
rate swaps, treated as hedges (A)
|
$
|
3,077,308
|
$
|
91,123
|
November
2018
|
|||||
Interest
rate caps, treated as hedges (A)
|
342,351
|
2,127
|
October
2015
|
|||||||
Non-hedge
derivative obligations (A) (B)
|
1,573,061
|
5,932
|
July
2038
|
(A) |
Included
in Derivative Assets or Derivative Liabilities, as applicable. Derivative
Liabilities also include accrued interest.
|
(B) |
Represents
two essentially offsetting interest rate caps and two essentially
offsetting interest rate swaps, each with notional amounts
of $32.5 million, an interest rate cap with a notional amount of
$17.5
million, four interest rate swaps with an aggregate notional amount
of $24.8 million, and the swap related to the financing of our Subprime
Portfolio (Note 5) with a notional of $1,400.8
million.
|
Three
Months Ended March 31,
|
|||||||
2006
|
2005
|
||||||
|
|||||||
Weighted
average number of shares of common stock
outstanding, basic
|
43,944,820
|
43,221,792
|
|||||
Dilutive
effect of stock options, based on
the treasury stock method
|
119,120
|
407,286
|
|||||
Weighted
average number of shares of common stock
outstanding, diluted
|
44,063,940
|
43,629,078
|
Held
by the Manager
|
1,193,439
|
||
Issued
to the Manager and subsequently transferred to
certain of the Manager's Employees
|
550,368
|
||
Held
by the directors
|
14,000
|
||
Total
|
1,757,807
|
Year
|
|
Shares
Issued
|
|
Range
of Issue Prices (1)
|
|
Net
Proceeds (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
|
|||||
2005
|
4,053,928
|
|
$29.60
|
$
|
108.2
|
|||||
Three
Months 2006
|
54,000
|
N/A
|
$
|
1.1
|
||||||
March
31, 2006
|
43,967,409
|
For
the Three Months Ended March 31,
|
|
Real
Estate Securities and Real Estate Related Loans
|
|
Residential
Mortgage Loans |
|
Operating
Real Estate |
|
Unallocated
|
|
Total
|
||||||
2006
|
$
|
95,193
|
$
|
26,029
|
$
|
2,184
|
$
|
142
|
$
|
123,548
|
||||||
2005
|
$
|
69,546
|
$
|
12,694
|
$
|
1,276
|
$
|
147
|
$
|
83,663
|
Three
Months Ended March 31, 2006/2005
|
||||||||||
Period
to Period
Change
|
Period
to Period
Percent
Change
|
Explanation
|
||||||||
Interest
income
|
$
|
34,871
|
44.1
|
%
|
(1)
|
|
||||
Rental
and escalation income
|
744
|
58.9
|
%
|
(2)
|
|
|||||
Gain
on sale of investments
|
214
|
12.5
|
%
|
(3)
|
|
|||||
Other
income
|
4,056
|
246.0
|
%
|
(4)
|
|
|||||
Interest
expense
|
28,199
|
57.8
|
%
|
(1)
|
|
|||||
Property
operating expense
|
125
|
18.0
|
%
|
(2)
|
|
|||||
Loan
and security servicing expense
|
423
|
26.7
|
%
|
(1)
|
|
|||||
Provision
for credit losses
|
1,295
|
181.9
|
%
|
(5)
|
|
|||||
Provision
for losses, loans held for sale
|
4,127
|
N/A
|
(6)
|
|
||||||
General
and administrative expense
|
739
|
82.9
|
%
|
(7)
|
|
|||||
Management
fee to affiliate
|
208
|
6.4
|
%
|
(8)
|
|
|||||
Incentive
compensation to affiliate
|
880
|
44.6
|
%
|
(8)
|
|
|||||
Depreciation
and amortization
|
63
|
46.3
|
%
|
(9)
|
|
|||||
Equity
in earnings of unconsolidated subsidiaries
|
(658
|
)
|
(35.5
|
%)
|
(10)
|
|
||||
Income
from continuing operations
|
$
|
3,168
|
11.5
|
%
|
(1)
|
Changes
in interest income and expense are primarily related to our acquisition
and disposition during the periods of interest bearing assets and
related
financings, as follows:
|
Three
Months Ended March 31, 2006/2005
|
|||||||
Period
to Period Increase (Decrease)
|
|||||||
Interest
Income
|
Interest
Expense
|
||||||
Real
estate security and loan portfolios (A)
|
$
|
14,745
|
$
|
12,424
|
|||
Agency
RMBS
|
5,995
|
5,672
|
|||||
Subprime
mortgage loan portfolio
|
9,588
|
7,093
|
|||||
Other
real estate related loans
|
7,280
|
2,221
|
|||||
Other
(B)
|
1,513
|
2,636
|
|||||
Other
real estate related loans (C)
|