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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland
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81-0559116
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(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
1345 Avenue of the Americas, New York, NY
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10105
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(Address of principal executive offices)
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(Zip Code)
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Title of each class: | Name of exchange on which registered: | |
Common Stock, $0.01 par value per share | New York Stock Exchange (NYSE) | |
9.75% Series B Cumulative Redeemable Preferred | ||
Stock, $0.01 par value per share | New York Stock Exchange (NYSE) | |
8.05% Series C Cumulative Redeemable Preferred | ||
Stock, $0.01 par value per share | New York Stock Exchange (NYSE) | |
8.375% Series D Cumulative Redeemable Preferred | ||
Stock, $0.01 par value per share | New York Stock Exchange (NYSE) |
·
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reductions in cash flows received from our investments;
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·
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our ability to take advantage of opportunities in additional asset classes or types of assets, including, without limitation, senior living facilities, at attractive risk-adjusted prices or at all;
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our ability to take advantage of investment opportunities in interests in excess mortgage servicing rights (“Excess MSRs”);
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our ability to deploy capital accretively;
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the risks that default and recovery rates on our real estate securities and loan portfolios deteriorate compared to our underwriting estimates;
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changes in prepayment rates on the loans underlying certain of our assets, including, but not limited to, our Excess MSRs;
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the risk that projected recapture rates on the portfolios underlying our Excess MSRs are not achieved, or that other assumptions underlying our projected returns prove to be incorrect;
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the relationship between yields on assets which are paid off and yields on assets in which such monies can be reinvested;
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the relative spreads between the yield on the assets we invest in and the cost of financing;
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changes in economic conditions generally and the real estate and debt securities markets specifically;
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adverse changes in the financing markets we access affecting our ability to finance our investments, or in a manner that maintains our historic net spreads;
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changing risk assessments by lenders that potentially lead to increased margin calls, not extending our repurchase agreements or other financings in accordance with their current terms or entering into new financings with us;
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changes in interest rates and/or credit spreads, as well as the success of any hedging strategy we may undertake in relation to such changes;
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the quality and size of the investment pipeline and the rate at which we can invest our cash, including cash inside our collateralized debt obligations (“CDOs”);
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impairments in the value of the collateral underlying our investments and the relation of any such impairments to our judgments as to whether changes in the market value of our securities, loans or real estate are temporary or not and whether circumstances bearing on the value of such assets warrant changes in carrying values;
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legislative/regulatory changes, including but not limited to, any modification of the terms of loans;
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the availability and cost of capital for future investments;
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competition within the finance and real estate industries; and
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other risks detailed from time to time below, particularly under the heading “Risk Factors,” and in our other reports filed with or furnished to the Securities and Exchange Commission (the “SEC”).
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should not in all instances be treated as categorical statements of fact, but rather as a way of allocating the risk to one of the parties if those statements provide to be inaccurate;
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have been qualified by disclosures that were made to the other party in connection with the negotiation of the applicable agreement, which disclosures are not necessarily reflected in the agreement;
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may apply standards of materiality in a way that is different from what may be viewed as material to you or other investors; and
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were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments.
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Non-Recourse CDOs (A)
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Unlevered CDOs (B)
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Unlevered Excess MSRs
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Non-Recourse
Senior Living
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Non-Recourse Other (A)(C)
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Recourse (D)
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Unlevered Other (E)
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Corporate
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Inter-segment Elimination (F)
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Total
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GAAP
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||||||||||||||||||||||||||||||||||||||||
Investments
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$ | 1,411,731 | $ | 5,998 | $ | 245,036 | $ | 181,887 | $ | 755,421 | $ | 1,049,029 | $ | 107,189 | $ | - | $ | (62,336 | ) | $ | 3,693,955 | |||||||||||||||||||
Cash and restricted cash
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2,064 | - | - | 9,720 | - | - | - | 222,178 | - | 233,962 | ||||||||||||||||||||||||||||||
Derivative assets
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- | - | - | 165 | - | - | - | - | - | 165 | ||||||||||||||||||||||||||||||
Other assets
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7,422 | 7 | 33 | 4,946 | 113 | 2,740 | 1,924 | 202 | (157 | ) | 17,230 | |||||||||||||||||||||||||||||
Total assets
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1,421,217 | 6,005 | 245,069 | 196,718 | 755,534 | 1,051,769 | 109,113 | 222,380 | (62,493 | ) | 3,945,312 | |||||||||||||||||||||||||||||
Debt
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(1,095,598 | ) | - | - | (120,525 | ) | (651,540 | ) | (925,191 | ) | - | (51,243 | ) | 62,336 | (2,781,761 | ) | ||||||||||||||||||||||||
Derivative liabilities
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(31,576 | ) | - | - | - | - | - | - | - | - | (31,576 | ) | ||||||||||||||||||||||||||||
Other liabilities
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(5,681 | ) | - | (406 | ) | (5,084 | ) | (2,684 | ) | (171 | ) | (77 | ) | (44,969 | ) | 157 | (58,915 | ) | ||||||||||||||||||||||
Total liabilites
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(1,132,855 | ) | - | (406 | ) | (125,609 | ) | (654,224 | ) | (925,362 | ) | (77 | ) | (96,212 | ) | 62,493 | (2,872,252 | ) | ||||||||||||||||||||||
Preferred stock
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- | - | - | - | - | - | - | (61,583 | ) | - | (61,583 | ) | ||||||||||||||||||||||||||||
GAAP book value
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$ | 288,362 | $ | 6,005 | $ | 244,663 | $ | 71,109 | $ | 101,310 | $ | 126,407 | $ | 109,036 | $ | 64,585 | $ | - | $ | 1,011,477 |
(A)
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Assets held within CDOs and other non-recourse structures are not available to satisfy obligations outside of such financings, except to the extent we receive net cash flow distributions from such structures. Furthermore, creditors or beneficial interest holders of these structures have no recourse to the general credit of Newcastle. Therefore, our exposure to the economic losses from such structures is limited to our invested equity in them and economically their book value cannot be less than zero. Therefore, impairment recorded in excess of our investment, which results in negative GAAP book value for a given non-recourse financing structure, cannot economically be incurred and will eventually be reversed through amortization, sales at gains, or as gains at the deconsolidation or termination of such non-recourse financing structure.
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(B)
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Represents unlevered investments in CDO securities issued by Newcastle. These CDOs have been deconsolidated as we do not have the power to direct the relevant activities of the CDOs.
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(C)
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The following table summarizes the investments and debt in the non-recourse other segment:
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December 31, 2012
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Investments
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Debt
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Outstanding
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Carrying
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Outstanding
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Carrying
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Face Amount
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Value
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Face Amount*
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Value*
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Manufactured housing loan portfolio I
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$ | 118,746 | $ | 100,124 | $ | 90,551 | $ | 81,963 | ||||||||
Manufactured housing loan portfolio II
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153,193 | 150,123 | 117,907 | 117,191 | ||||||||||||
Residential mortgage loans
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52,352 | 38,709 | - | - | ||||||||||||
Subprime mortgage loans subject to call options
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406,217 | 405,814 | 406,217 | 405,814 | ||||||||||||
Real estate securities
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63,505 | 53,979 | 44,585 | 40,572 | ||||||||||||
Operating real estate
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N/A | 6,672 | 6,000 | 6,000 | ||||||||||||
$ | 794,013 | $ | 755,421 | $ | 665,260 | $ | 651,540 |
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* An aggregate face amount of $71.1 million (carrying value of $62.3 million) of debt represents financing provided by the CDO segment (and included as investments in the CDO segment), which is eliminated upon consolidation.
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(D)
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The $925.2 million of recourse debt is comprised of (i) $772.9 million of repurchase agreements secured by $820.5 million carrying amount of FNMA/FHLMC securities, (ii) $1.4 million of repurchase agreements secured by $21.0 million face amount of senior notes issued by Newcastle CDO VI, which was repurchased by Newcastle in December 2010 and eliminated in consolidation, and (iii) a $150.9 million repurchase agreement secured by $228.5 million carrying value of non-agency residential mortgage backed securities (“RMBS”).
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(E)
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The following table summarizes the investments in the unlevered other segment as of December 31, 2012:
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Outstanding Face Amount
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Carrying Value
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Number of Investments
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Real estate securities*
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$ | 229,299 | $ | 68,863 | 38 | |||||||
Real estate related loans
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80,298 | 29,831 | 2 | |||||||||
Residential mortgage loans
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3,645 | 2,471 | 130 | |||||||||
Other investments
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N/A | 6,024 | 1 | |||||||||
$ | 313,242 | $ | 107,189 | 171 |
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* During the year ended December 31, 2012, Newcastle purchased 17 non-agency RMBS with an aggregate face amount of $90.9 million for an aggregate purchase price of approximately $61.7 million, or an average price of 67.9% of par. As of December 31, 2012, these securities had an aggregate face amount of $89.3 million and a carrying value of $61.3 million.
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(F)
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Represents the elimination of investments and financings and their related income and expenses between the CDO segment and the other non-recourse segment as the corresponding inter-segment investments and financings are presented on a gross basis within each of these segments.
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1)
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Real Estate Securities:
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We underwrite, acquire and manage a diversified portfolio of credit sensitive real estate securities, including commercial mortgage backed securities (CMBS), senior unsecured REIT debt issued by REITs, real estate related asset backed securities (ABS), including subprime securities, and FNMA/FHLMC securities. As of December 31, 2012, our real estate securities represented 42.9% of our assets as described below, we intend to spin-off approximately 17.1% of these assets.
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2)
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Real Estate Related Loans:
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We acquire and originate loans to real estate owners, including B-notes, mezzanine loans, corporate bank loans, and whole loans. As of December 31, 2012, our real estate related loans represented 21.4% of our assets.
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3)
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Residential Mortgage Loans:
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We acquire residential mortgage loans, including manufactured housing loans and subprime mortgage loans. As of December 31, 2012, our residential mortgage loans represented 7.5% of our assets.
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4)
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Operating Real Estate:
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We acquire and manage direct and indirect interests in operating real estate, including senior living assets. As of December 31, 2012, our operating real estate represented 5.4% of our assets.
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5)
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Excess Mortgage Servicing Rights:
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Since December 2011, we have made investments in Excess MSRs on five pools of residential mortgage loans with an aggregate unpaid principal balance (“UPB”) as of December 31, 2012 of $76.5 billion. As of December 31, 2012, our investments in Excess MSRs represented 6.2% of our assets. As described below, we intend to spin-off these assets.
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Outstanding Face Amount
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Amortized Cost Basis (1)
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Percentage of Total Amortized Cost Basis
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Carrying Value
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Number of Investments
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Credit (2)
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Weighted Average Life (years) (3)
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Investment (9)
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I. Residential Servicing & Securities
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Excess MSRs Investments
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$ | 245 | $ | 236 | 7.4 | % | $ | 245 | 5 | -- | 5.4 | |||||||||||||||||
Non-Agency RMBS (4)
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434 | 275 | 8.7 | % | 290 | 29 |
CC
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6.8 | ||||||||||||||||||||
Total Residential Servicing & Securities Assets
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679 | 511 | 16.1 | % | 535 | 6.3 | ||||||||||||||||||||||
II. Commercial Real Estate Debt & Other Assets
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Commercial Assets
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CMBS
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475 | 337 | 10.6 | % | 376 | 76 |
BB-
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3.2 | ||||||||||||||||||||
Mezzanine Loans
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528 | 443 | 13.9 | % | 443 | 17 | 77% | 2.2 | ||||||||||||||||||||
B-Notes
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171 | 162 | 5.1 | % | 162 | 6 | 68% | 2.1 | ||||||||||||||||||||
Whole Loans
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30 | 30 | 0.9 | % | 30 | 3 | 48% | 1.1 | ||||||||||||||||||||
CDO Securities (5)
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96 | 67 | 2.1 | % | 71 | 5 |
BB
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3.3 | ||||||||||||||||||||
Other Investments (6)
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25 | 25 | 0.8 | % | 25 | 1 | -- | -- | ||||||||||||||||||||
Total Commercial Assets
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1,325 | 1,064 | 33.4 | % | 1,107 | 2.6 | ||||||||||||||||||||||
Residential Assets
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MH and Residential Loans
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332 | 290 | 9.1 | % | 290 | 8,881 | 705 | 6.1 | ||||||||||||||||||||
Subprime Securities
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124 | 47 | 1.5 | % | 66 | 40 |
CCC
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5.0 | ||||||||||||||||||||
Real Estate ABS
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10 | 2 | 0.1 | % | 1 | 3 |
CCC-
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4.7 | |||||||||||||||||||
466 | 339 | 10.7 | % | 357 | 5.8 | |||||||||||||||||||||||
FNMA/FHLMC securities
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769 | 811 | 25.5 | % | 813 | 58 |
AAA
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3.5 | ||||||||||||||||||||
Total Residential Assets
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1,235 | 1,150 | 36.2 | % | 1,170 | 4.4 | ||||||||||||||||||||||
Corporate Assets
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REIT Debt
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63 | 62 | 2.0 | % | 66 | 10 |
BBB-
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1.8 | ||||||||||||||||||||
Corporate Bank Loans
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392 | 209 | 6.6 | % | 209 | 7 |
CC
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3.6 | ||||||||||||||||||||
Total Corporate Assets
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455 | 271 | 8.6 | % | 275 | 3.3 | ||||||||||||||||||||||
Senior Living Properties Investments(7)
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188 | 182 | 5.7 | % | 182 | 12 | -- | -- | ||||||||||||||||||||
Total Commercial Real Estate Debt & Other Assets
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3,203 | 2,667 | 83.9 | % | 2,734 | 3.4 | ||||||||||||||||||||||
TOTAL / WA
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$ | 3,882 | $ | 3,178 | 100.0 | % | $ | 3,269 | 4.0 | |||||||||||||||||||
Reconciliation to GAAP total assets:
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Subprime mortgage loans subject to call option (8)
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405 | |||||||||||||||||||||||||||
Real estate held-for-use
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7 | |||||||||||||||||||||||||||
Cash and restricted cash
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234 | |||||||||||||||||||||||||||
Other
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30 | |||||||||||||||||||||||||||
GAAP total assets
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$ | 3,945 |
WA – Weighted average, in all tables.
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(1)
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Net of impairment.
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(2)
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Credit represents the weighted average of minimum rating for rated assets, the loan-to-value ratio (based on the appraised value at the time of purchase or refinancing) for non-rated commercial assets, or the FICO score for non-rated residential assets and an implied AAA rating for FNMA/FHLMC securities. Ratings provided above were determined by third party rating agencies as of a particular date, may not be current and are subject to change at any time.
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(3)
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Weighted average life is based on the timing of expected principal reduction on the asset.
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(4)
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Represents non-Agency RMBS purchased outside of our CDOs since April 2012.
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(5)
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Represents non-consolidated CDO securities, excluding eight securities with a zero value, which had an aggregate face amount of $107 million.
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(6)
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Represents an equity investment in a real estate owned property.
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(7)
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Face amount of senior living property investments represents the gross carrying amount, which excludes accumulated depreciation and amortization.
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(8)
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Our subprime mortgage loans subject to call option are excluded from the statistics because they result from an option, not an obligation, to repurchase such loans, are noneconomic until such option is exercised, and are offset by an equal liability on the consolidated balance sheet.
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(9)
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The following tables summarize certain supplemental data relating to our investments (dollars in tables in thousands):
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Collateral Characteristics
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Current Carrying Amount
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Original
Principal
Balance
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Current
Principal
Balance
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Number
of Loans
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WA
FICO
Score
(A)
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WA Coupon
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WA Maturity (months)
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Average Loan
Age (months)
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Adjustable
Rate
Mortgage %
(B)
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1 Month
CPR (C)
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1 Month
CRR (D)
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1 Month CDR (E)
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1 Month
Recapture
Rate
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Pool 1
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Original Pool
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$ | 33,977 | $ | 9,940,385 | $ | 7,927,465 | 53,477 | 685 | 6.0 | % | 277 | 73 | 19.5 | % | 23.2 | % | 19.5 | % | 4.5 | % | 40.8 | % | ||||||||||||||||||||||||||||||
Recaptured Loans
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1,997 | - | 475,746 | 2,305 | 753 | 4.3 | % | 324 | 5 | 0.2 | % | 2.8 | % | 2.8 | % | 0.0 | % | 0.0 | % | |||||||||||||||||||||||||||||||||
Recapture Agreements
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4,936 | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||
40,910 | 9,940,385 | 8,403,211 | 55,782 | 689 | 5.9 | % | 280 | 69 | 18.4 | % | 22.2 | % | 18.7 | % | 4.2 | % | 40.6 | % | ||||||||||||||||||||||||||||||||||
Pool 2
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Original Pool
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33,187 | 10,383,891 | 9,239,244 | 47,285 | 680 | 5.3 | % | 319 | 61 | 11.0 | % | 19.6 | % | 16.4 | % | 3.7 | % | 43.2 | % | |||||||||||||||||||||||||||||||||
Recaptured Loans
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748 | - | 157,876 | 721 | 747 | 4.2 | % | 327 | 1 | 0.0 | % | 0.2 | % | 0.2 | % | 0.0 | % | 0.0 | % | |||||||||||||||||||||||||||||||||
Recapture Agreements
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5,387 | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||
39,322 | 10,383,891 | 9,397,120 | 48,006 | 681 | 5.2 | % | 319 | 60 | 10.8 | % | 19.3 | % | 16.1 | % | 3.6 | % | 43.2 | % | ||||||||||||||||||||||||||||||||||
Pool 3
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||||||||||||||||||||||||||||||||||||||||||||||||||||
Original Pool
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30,272 | 9,844,114 | 9,030,073 | 55,496 | 668 | 4.7 | % | 290 | 73 | 37.2 | % | 15.1 | % | 10.7 | % | 4.9 | % | 22.9 | % | |||||||||||||||||||||||||||||||||
Recaptured Loans
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202 | - | 39,653 | 232 | 728 | 4.0 | % | 323 | 1 | 0.0 | % | 0.7 | % | 0.7 | % | 0.0 | % | 0.0 | % | |||||||||||||||||||||||||||||||||
Recapture Agreements
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4,960 | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||
35,434 | 9,844,114 | 9,069,726 | 55,728 | 668 | 4.7 | % | 290 | 73 | 37.0 | % | 15.0 | % | 10.7 | % | 4.9 | % | 22.9 | % | ||||||||||||||||||||||||||||||||||
Pool 4
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||||||||||||||||||||||||||||||||||||||||||||||||||||
Original Pool
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12,076 | 6,250,549 | 5,768,822 | 28,523 | 671 | 3.8 | % | 316 | 61 | 58.3 | % | 14.2 | % | 5.4 | % | 9.3 | % | 22.4 | % | |||||||||||||||||||||||||||||||||
Recaptured Loans
|
73 | - | 19,311 | 93 | 750 | 4.1 | % | 341 | 2 | 0.0 | % | 0.3 | % | 0.3 | % | 0.0 | % | 0.0 | % | |||||||||||||||||||||||||||||||||
Recapture Agreements
|
2,887 | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||
15,036 | 6,250,549 | 5,788,133 | 28,616 | 671 | 3.8 | % | 316 | 61 | 58.1 | % | 14.2 | % | 5.4 | % | 9.3 | % | 22.4 | % | ||||||||||||||||||||||||||||||||||
Pool 5
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
Original Pool
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109,652 | 47,572,905 | 43,895,651 | 185,761 | 650 | 4.8 | % | 300 | 65 | 57.1 | % | 16.5 | % | 5.2 | % | 11.9 | % | 1.7 | % | |||||||||||||||||||||||||||||||||
Recapture Loans
|
30 | - | 6,910 | 29 | 739 | 3.6 | % | 343 | 1 | 6.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | |||||||||||||||||||||||||||||||||
Recapture Agreements
|
4,652 | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||
114,334 | 47,572,905 | 43,902,561 | 185,790 | 650 | 4.8 | % | 300 | 65 | 57.1 | % | 16.5 | % | 5.2 | % | 11.9 | % | 1.7 | % | ||||||||||||||||||||||||||||||||||
Total/WA
|
$ | 245,036 | $ | 83,991,844 | $ | 76,560,751 | 373,922 | 662 | 4.9 | % | 300 | 65 | 44.9 | % | 17.1 | % | 8.7 | % | 9.0 | % | 25.3 | % |
Collateral Characteristics
|
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Uncollected Payments (F)
|
Delinquency 30 Days (F)
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Delinquency 60 Days (F)
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Delinquency 90+ Days (F)
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Loans in Foreclosure
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Real Estate Owned
|
Loans in Bankruptcy
|
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Pool 1
|
||||||||||||||||||||||||||||
Original Pool
|
9.9 | % | 5.8 | % | 2.1 | % | 1.2 | % | 3.9 | % | 0.9 | % | 2.6 | % | ||||||||||||||
Recaptured Loans
|
0.3 | % | 0.4 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.1 | % | ||||||||||||||
Recapture Agreements
|
- | - | - | - | - | - | - | |||||||||||||||||||||
9.3 | % | 5.5 | % | 1.9 | % | 1.1 | % | 3.7 | % | 0.8 | % | 2.5 | % | |||||||||||||||
Pool 2
|
||||||||||||||||||||||||||||
Original Pool
|
14.1 | % | 5.1 | % | 1.9 | % | 1.5 | % | 7.4 | % | 0.2 | % | 5.1 | % | ||||||||||||||
Recaptured Loans
|
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||||||||
Recapture Agreements
|
- | - | - | - | - | - | - | |||||||||||||||||||||
13.9 | % | 5.0 | % | 1.9 | % | 1.4 | % | 7.3 | % | 0.2 | % | 5.0 | % | |||||||||||||||
Pool 3
|
||||||||||||||||||||||||||||
Original Pool
|
14.4 | % | 4.4 | % | 1.6 | % | 1.4 | % | 7.5 | % | 2.2 | % | 3.5 | % | ||||||||||||||
Recaptured Loans
|
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||||||||
Recapture Agreements
|
- | - | - | - | - | - | - | |||||||||||||||||||||
14.4 | % | 4.3 | % | 1.6 | % | 1.4 | % | 7.5 | % | 2.2 | % | 3.5 | % | |||||||||||||||
Pool 4
|
||||||||||||||||||||||||||||
Original Pool
|
19.1 | % | 3.8 | % | 1.6 | % | 1.3 | % | 12.1 | % | 2.1 | % | 4.7 | % | ||||||||||||||
Recaptured Loans
|
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||||||||
Recapture Agreements
|
- | - | - | - | - | - | - | |||||||||||||||||||||
19.0 | % | 3.7 | % | 1.6 | % | 1.3 | % | 12.1 | % | 2.1 | % | 4.7 | % | |||||||||||||||
Pool 5
|
||||||||||||||||||||||||||||
Original Pool
|
28.8 | % | 9.5 | % | 2.3 | % | 4.5 | % | 17.4 | % | 3.0 | % | 5.1 | % | ||||||||||||||
Recapture Loans
|
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||||||||
Recapture Agreements
|
- | - | - | - | - | - | - | |||||||||||||||||||||
28.8 | % | 9.5 | % | 2.3 | % | 4.5 | % | 17.4 | % | 3.0 | % | 5.1 | % | |||||||||||||||
Total/WA
|
22.4 | % | 7.4 | % | 2.1 | % | 3.2 | % | 13.1 | % | 2.2 | % | 4.6 | % |
(A)
|
Weighted average FICO scores are reported based on information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score on a monthly basis.
|
(B)
|
Adjustable Rate Mortgage % represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
|
(C)
|
Constant prepayment rate represents the annualized rate of the prepayments during the month as a percentage of the total principal balance of the pool.
|
(D)
|
1 Month CRR, or the voluntary prepayment rate, represents the annualized rate of the voluntary prepayments during the month as a percentage of the total principal balance of the pool.
|
(E)
|
1 Month CDR, or the involuntary prepayment rate, represents the annualized rate of the involuntary prepayments (defaults) during the month as a percentage of the total principal balance of the pool.
|
(F)
|
Uncollected Payments represents the percentage of the total principal balance of the pool that corresponds to loans for which the most recent payment was not made. Delinquency 30 Days, Delinquency 60 Days and Delinquency 90+ Days represent the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 30-59 days, 60-89 days or more than 90 days, respectively.
|
Security Characteristics
|
|||||||||||||||||||||||||||||||
Vintage (B)
|
Average
Minimum
Rating (C)
|
Number of
Securities
|
Outstanding
Face Amount
|
Amortized
Cost Basis
|
Percentage of
Total
Amortized Cost
Basis
|
Carrying
Value
|
Principal
Subordination
(D)
|
Excess
Spread (E)
|
|||||||||||||||||||||||
Pre 2004
|
CC
|
12 | $ | 28,738 | $ | 22,280 | 8.2 | % | $ | 22,909 | 18.8 | % | 3.7 | % | |||||||||||||||||
2004
|
B- | 4 | 41,434 | 21,202 | 7.7 | % | 24,722 | 16.6 | % | 3.8 | % | ||||||||||||||||||||
2005
|
D | 1 | 2,529 | 1,413 | 0.5 | % | 1,603 | 0.0 | % | 0.0 | % | ||||||||||||||||||||
2006
|
CC
|
5 | 220,749 | 133,993 | 48.8 | % | 139,678 | 5.8 | % | 2.7 | % | ||||||||||||||||||||
2007 and later
|
CCC-
|
7 | 140,060 | 95,598 | 34.8 | % | 100,844 | 13.1 | % | 3.3 | % | ||||||||||||||||||||
Total/WA
|
CC
|
29 | $ | 433,510 | $ | 274,486 | 100.0 | % | $ | 289,756 | 10.0 | % | 3.0 | % |
Collateral Characteristics
|
||||||||||||||||||||
Vintage (B)
|
Average Loan Age (years)
|
Collateral Factor (F)
|
3 month CPR (G)
|
Delinquency (H)
|
Cumulative Losses to Date
|
|||||||||||||||
Pre 2004
|
9.7 | 0.07 | 10.2 | % | 16.3 | % | 3.3 | % | ||||||||||||
2004
|
8.3 | 0.08 | 11.0 | % | 20.5 | % | 3.7 | % | ||||||||||||
2005
|
7.1 | 0.22 | 10.1 | % | 22.0 | % | 14.3 | % | ||||||||||||
2006
|
6.5 | 0.28 | 7.2 | % | 28.6 | % | 22.1 | % | ||||||||||||
2007 and later
|
6.0 | 0.46 | 10.6 | % | 29.8 | % | 26.5 | % | ||||||||||||
Total / WA
|
6.7 | 0.31 | 8.9 | % | 27.4 | % | 20.5 | % |
(A)
|
Represents non-agency RMBS purchased outside of our CDOs since April 2012.
|
(B)
|
The year in which the securities were issued.
|
(C)
|
Ratings provided above were determined by third party rating agencies as of a particular date, may not be current and are subject to change at any time. We had approximately $1.5 million of non-agency RMBS assets that were on negative watch for possible downgrade by at least one rating agency as of December 31, 2012.
|
(D)
|
The percentage of the outstanding face amount of securities and residual interests that is subordinate to our investments.
|
(E)
|
The annualized amount of interest received on the underlying loans in excess of the interest paid on the securities, as a percentage of the outstanding collateral balance.
|
(F)
|
The ratio of original unpaid principal balance of loans still outstanding.
|
(G)
|
Three month average constant prepayment rate.
|
(H)
|
The percentage of underlying loans that are 90+ days delinquent, or in foreclosure or considered real estate owned (REO).
|
Average Minimum Rating (B)
|
Number
|
Outstanding Face Amount
|
Amortized Cost Basis
|
Percentage of Total Amortized Cost Basis
|
Carrying Value
|
Delinquency 60+
/FC/REO (C)
|
Principal Subordination (D)
|
Weighted Average Life (years) (E)
|
|||||||||||||||||||||||||||
Pre 2004
|
B | 17 | $ | 60,384 | $ | 55,223 | 16.4 | % | $ | 52,017 | 12.1 | % | 19.2 | % | 1.0 | ||||||||||||||||||||
2004
|
BB+
|
17 | 79,600 | 69,408 | 20.6 | % | 70,535 | 1.7 | % | 7.1 | % | 2.0 | |||||||||||||||||||||||
2005
|
BB-
|
9 | 80,133 | 29,709 | 8.8 | % | 49,009 | 5.8 | % | 6.8 | % | 2.7 | |||||||||||||||||||||||
2006
|
B+ | 21 | 148,646 | 94,999 | 28.2 | % | 105,401 | 7.0 | % | 12.6 | % | 3.3 | |||||||||||||||||||||||
2007
|
CCC+
|
4 | 15,237 | 2,521 | 0.7 | % | 4,539 | 5.5 | % | 7.0 | % | 1.5 | |||||||||||||||||||||||
2010
|
BB
|
3 | 35,000 | 32,990 | 9.8 | % | 37,499 | 0.0 | % | 2.0 | % | 7.9 | |||||||||||||||||||||||
2011
|