Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES (Tables)

v3.5.0.2
REAL ESTATE SECURITIES (Tables)
9 Months Ended
Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
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 activity related to credit losses on debt securities
The following table summarizes the activity related to credit losses on debt securities for the nine months ended September 30, 2016
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
$
(3,010
)
 
 

Additions for credit losses on securities for which an OTTI was not previously recognized

 
 

Additions to credit losses on securities for which OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income
(110
)
 
 
Reduction for securities deconsolidated during the period
3,120

 
 
Reduction for securities sold/written off during the period

 
 
Reduction for increases in cash flows expected to be collected that are recognized over the remaining life of the security

 
 

Ending balance of credit losses on debt securities for which a portion of OTTI was recognized in other comprehensive income
$

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.