Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)

v3.5.0.2
REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)
9 Months Ended
Sep. 30, 2016
Receivables [Abstract]  
Schedule of real estate and other related loans, residential mortgage loans and subprime mortgage loans
The following is a summary of real estate related and other loans, residential mortgage loans and subprime mortgage loans at September 30, 2016. The loans contain various terms, including fixed and floating rates, self-amortizing and interest only. They are generally subject to prepayment.
Loan Type
Outstanding
Face Amount
 
Carrying
Value (A)
 
Valuation Allowance
 
Loan
Count
 
Weighted
 Average
 Yield
 
Weighted Average Coupon
 
Weighted Average Life
(Years) (B)
 
Floating Rate Loans as % of Face Amount
 
Delinquent Face Amount (C)
Mezzanine Loans
$
17,767

 
$

 
$

 
2

 
%
 
8.39
%
 
0.0
 
100.0
%
 
$
17,767

Corporate Loans
117,065

 
52,874

 
3,247

 
4

 
22.47
%
 
14.99
%
 
0.5
 
%
 
59,384

Total Real Estate Related and other Loans Held-for-Sale, Net
$
134,832

 
$
52,874

 
$
3,247

 
6

 
22.47
%
 
14.12
%
 
0.4
 
13.2
%
 
$
77,151

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage Loans Held-for-Sale, Net (D)
$
774

 
$
240

 
$
207

 
3

 
3.34
%
 
2.98
%
 
1.8
 
100.0
%
 
$
628

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Subprime Mortgage Loans Subject to Call Option
$
353,347

 
$
353,347

 
 
 
 

 
 

 
 

 
 
 
 

 
 

 
(A)
Carrying value includes negligible interest receivable for the residential housing loans.
(B)
The weighted average life is based on the timing of expected cash flows on the assets.
(C)
Includes loans that are 60 or more days past due (including loans that are in foreclosure, or borrower’s in bankruptcy) or considered real estate owned (“REO”). As of September 30, 2016, $77.2 million face amount of real estate related and other loans was on non-accrual status.
(D)
Loans acquired at a discount for credit quality. Residential mortgage loans held-for-sale, net is recorded in receivables and other assets on the Consolidated Balance Sheets.
Schedule of real estate related and other loans by maturity
The following is a summary of real estate related and other loans by maturities at September 30, 2016:
Year of Maturity
Outstanding Face Amount
 
Carrying Value
 
Number of Loans
Delinquent (A)
$
77,151

 
$
725

 
5

Period from October 1, 2016 to December 31, 2016

 

 

2017

 

 

2018

 

 

2019
57,681

 
52,149

 
1

2020

 

 

2021

 

 

Thereafter

 

 

Total
$
134,832

 
$
52,874

 
6


(A)
Includes loans that are non-performing, in foreclosure, or under bankruptcy
Schedule of activity in carrying value of real estate related and other loans and residential mortgage loans
Activities relating to the carrying value of Newcastle’s real estate related and other loans and residential mortgage loans are as follows:
 
Held-for-Sale
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans (A)
Balance at December 31, 2015
$
149,198

 
$
532

Purchases / additional fundings

 

Interest accrued to principal balance
25,708

 

Principal paydowns
(109,892
)
 
(38
)
Sales
(19,433
)
 

Valuation allowance on loans
(3,247
)
 
(207
)
Accretion of loan discount, other amortization and other income
10,540

 

Loss on settlement of loans

 
(47
)
Balance at September 30, 2016
$
52,874

 
$
240


(A)
Recorded in receivables and other assets on the Consolidated Balance Sheets.
Rollforward of loss allowance for real estate related and other loans and residential mortgage loans
The following is a rollforward of the related loss allowance.
 
Held-For-Sale
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans
Balance at December 31, 2015
$
(70,865
)
 
$
(251
)
Charge-offs

 

Valuation allowance on loans
(3,247
)
 
(207
)
Balance at September 30, 2016
$
(74,112
)
 
$
(458
)

Schedule of geographic distribution of real estate related and other loans and residential mortgage loans
The table below summarizes the geographic distribution of real estate related and other loans and residential mortgage loans at September 30, 2016:
 
Real Estate Related
and Other Loans
 
Residential Mortgage Loans
Geographic Location
Outstanding Face Amount
 
Percentage
 
Outstanding Face Amount
 
Percentage
Northeastern U.S.
$

 
%
 
$
523

 
67.6
%
Southeastern U.S.

 
%
 
251

 
32.4
%
Foreign
63,454

 
100.0
%
 

 
%
 
$
63,454

 
100.0
%
 
$
774

 
100.0
%
Other (A)
71,378

 

 
 

 
 

 
$
134,832

 
 

 
 

 
 

(A)
 Includes corporate loans which are not directly secured by real estate assets.
Schedule of retained interests in securitizations of subprime mortgage loans
The following table presents information on the retained interests in Newcastle’s securitizations of subprime mortgage loans at September 30, 2016:
 
Subprime Portfolio
 
 
 
I
 
II
 
Total
Total securitized loans (unpaid principal balance) (A)
$
247,163

 
$
360,388

 
$
607,551

Loans subject to call option (carrying value)
$
246,306

 
$
107,041

 
$
353,347

Retained bonds (fair value) (B)
$
3,430

 
$

 
$
3,430

 
(A)
Average loan seasoning of 134 months and 116 months for Subprime Portfolios I and II, respectively, at September 30, 2016.
(B)
The retained interests include retained bonds of the securitizations. Their fair value is estimated based on pricing models. The weighted average yield of the retained bonds was 24.6% as of September 30, 2016. Newcastles residual interests were written off in 2010.
Schedule of details regarding subprime mortgage loans and related financing in the securitizations
The following table summarizes certain characteristics of the underlying subprime mortgage loans, and related financing, in the securitizations as of September 30, 2016:
 
Subprime Portfolio
 
I
 
II
Loan unpaid principal balance (“UPB”)
$
247,163

 
$
360,388

Weighted average coupon rate of loans
5.45
%
 
4.37
%
Delinquencies of 60 or more days (UPB) (A)
$
38,390

 
$
84,480

Net credit losses for the nine months ended September 30, 2016
$
6,452

 
$
13,036

Cumulative net credit losses
$
291,776

 
$
376,653

Cumulative net credit losses as a % of original UPB
19.4
%
 
34.6
%
Percentage of ARM loans (B)
51.7
%
 
64.1
%
Percentage of loans with original loan-to-value ratio >90%
10.6
%
 
15.5
%
Percentage of interest-only loans
0.8
%
 
1.9
%
Face amount of debt (C)
$
242,306

 
$
360,388

Weighted average funding cost of debt (D)
0.91
%
 
0.79
%
 
(A)
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or REO.
(B)
ARM loans are adjustable-rate mortgage loans. An option ARM is an adjustable-rate mortgage that provides the borrower with an option to choose from several payment amounts each month for a specified period of the loan term. None of the loans in the subprime portfolios are option ARMs.
(C)
Excludes face amount of $4.0 million of retained notes for Subprime Portfolio I and over-collateralization of $0.9 million on Subprime Portfolio I at September 30, 2016.
(D)
Includes the effect of applicable hedges, if any.