| Marketable Securities |
The following is a summary of Newcastle’s real estate securities at September 30, 2016, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized Cost Basis |
|
Gross Unrealized |
|
|
|
|
|
Weighted Average |
Asset Type |
|
Outstanding Face Amount |
|
Before Impairment |
|
Other-Than- Temporary Impairment |
|
After Impairment |
|
Gains |
|
Losses |
|
Carrying
Value (A) |
|
Number of Securities |
|
Rating (B) |
|
Coupon |
|
Yield |
|
Life
(Years) (C) |
|
Principal Subordination (D) |
CMBS |
|
$ |
10,308 |
|
|
$ |
10,308 |
|
|
$ |
(10,308 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
2 |
|
|
C |
|
2.53 |
% |
|
— |
% |
|
0.0 |
|
— |
% |
ABS - Non-Agency RMBS |
|
4,000 |
|
|
2,269 |
|
|
(1,521 |
) |
|
748 |
|
|
2,682 |
|
|
— |
|
|
3,430 |
|
|
1 |
|
|
C |
|
0.92 |
% |
|
24.61 |
% |
|
5.3 |
|
26.5 |
% |
ABS - Small Business Loans |
|
8,464 |
|
|
7,647 |
|
|
(7,647 |
) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
1 |
|
|
C |
|
6.69 |
% |
|
— |
% |
|
0.0 |
|
— |
% |
Debt Security Total / Average (E) |
|
$ |
22,772 |
|
|
$ |
20,224 |
|
|
$ |
(19,476 |
) |
|
$ |
748 |
|
|
$ |
2,682 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
4 |
|
|
C |
|
3.79 |
% |
|
24.61 |
% |
|
0.9 |
|
|
|
Equity Securities |
|
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
Total Securities, Available-for-Sale |
|
|
|
$ |
20,224 |
|
|
$ |
(19,476 |
) |
|
$ |
748 |
|
|
$ |
2,682 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FNMA/FHLMC |
|
632,206 |
|
|
663,456 |
|
|
— |
|
|
663,456 |
|
|
103 |
|
|
— |
|
|
663,559 |
|
|
10 |
|
|
AAA |
|
3.26 |
% |
|
2.87 |
% |
|
6.3 |
|
N/A |
|
Total Securities, Pledged as Collateral (E) |
|
$ |
632,206 |
|
|
$ |
663,456 |
|
|
$ |
— |
|
|
$ |
663,456 |
|
|
$ |
103 |
|
|
$ |
— |
|
|
$ |
663,559 |
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(A) |
See Note 13 regarding the estimation of fair value, which is equal to carrying value for all securities. |
|
|
(B) |
Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the lowest rating is used. Newcastle uses an implied AAA rating for the Fannie Mae/Freddie Mac (“FNMA/FHLMC”) securities. Ratings provided were determined by third-party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current.
|
|
|
(C) |
The weighted average life is based on the timing of expected cash flows on the assets. |
|
|
(D) |
Percentage of the outstanding face amount of securities and interests that is subordinate to Newcastle’s investments. |
|
|
(E) |
The total outstanding face amount was $640.7 million for fixed rate securities and $14.3 million for floating rate securities.
|
|
| Schedule of geographic distribution of collateral securing Newcastle's CMBS and ABS |
The table below summarizes the geographic distribution of the collateral securing Newcastle’s CMBS and asset-backed securities (“ABS”) at September 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBS |
|
ABS (A) |
Geographic Location |
Outstanding Face Amount |
|
Percentage |
|
Outstanding Face Amount |
|
Percentage |
Western U.S. |
$ |
— |
|
|
— |
% |
|
$ |
1,309 |
|
|
10.5 |
% |
Northeastern U.S. |
— |
|
|
— |
% |
|
9,086 |
|
|
72.9 |
% |
Southeastern U.S. |
10,308 |
|
|
100.0 |
% |
|
1,058 |
|
|
8.5 |
% |
Midwestern U.S. |
— |
|
|
— |
% |
|
424 |
|
|
3.4 |
% |
Southwestern U.S. |
— |
|
|
— |
% |
|
587 |
|
|
4.7 |
% |
|
$ |
10,308 |
|
|
100.0 |
% |
|
$ |
12,464 |
|
|
100.0 |
% |
|
|
(A) |
Includes ABS - Non Agency RMBS and ABS - Small Business Loans. |
|