Quarterly report pursuant to Section 13 or 15(d)

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

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REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS, SUBPRIME MORTGAGE LOANS (Tables)
3 Months Ended
Mar. 31, 2013
Real Estate Related Loans Residential Mortgage Loans Subprime Mortgage Loans Tables  
Schedule of Real Estate Related Loans, Residential Mortgage Loans and Subprime Mortgage Loans
The following is a summary of real estate related loans, residential mortgage loans and subprime mortgage loans at March 31, 2013.  The loans contain various terms, including fixed and floating rates, self-amortizing and interest only.  They are generally subject to prepayment.
 
                                 
Weighted
   
Floating Rate
       
                     
Wtd.
   
Weighted
   
Average
   
Loans as a %
   
Delinquent
 
   
Outstanding
   
Carrying
   
Loan
   
Avg.
   
Average
   
Maturity
   
of Face
   
Face Amount
 
Loan Type
 
Face Amount
   
Value (A)
   
Count
   
Yield
   
Coupon
   
(Years) (B)
   
Amount
   
(C)
 
Mezzanine Loans
  $ 518,307     $ 432,432       17       9.05 %     8.96 %     1.5       66.6 %   $ 12,000  
Corporate Bank Loans
    582,474       277,831       7       16.65 %     6.70 %     1.8       63.8 %      
B-Notes
    120,872       111,237       5       10.42 %     5.14 %     1.1       81.0 %      
Whole Loans
    30,025       30,025       2       4.82 %     3.80 %     0.9       97.0 %      
Total Real Estate Related Loans Held-for-Sale, Net
  $ 1,251,678     $ 851,525       31       11.56 %     7.42 %     1.6       67.4 %   $ 12,000  
Non-Securitized Manufactured Housing Loan Portfolio I
  $ 569     $ 153       15       68.24 %     7.76 %     0.9       0.0 %   $ 56  
Non-Securitized Manufactured Housing Loan Portfolio II
    2,882       2,227       111       15.47 %     10.04 %     5.4       9.5 %     207  
Total Residential Mortgage Loans Held-for-Sale, Net (D)
  $ 3,451     $ 2,380       126       18.86 %     9.66 %     4.7       7.9 %   $ 263  
                                                                 
Securitized Manufactured Housing Loan Portfolio I (D)(E)
  $ 114,355     $ 96,752       3,073       9.45 %     8.63 %     6.3       0.7 %   $ 1,055  
Securitized Manufactured Housing Loan Portfolio II (D)(E)
    146,865       144,274       5,205       7.54 %     9.64 %     5.5       16.6 %     2,489  
Residential Loans (D)(E)
    54,458       41,198       191       7.40 %     2.44 %     6.0       100.0 %     6,988  
Reverse Mortgage Loans (F)
    58,586       35,484       331       11.81 %     5.15 %     3.9       21.0 %     N/A  
Total Residential Mortgage Loans Held-for-Investment, Net
  $ 374,264     $ 317,708       8,800       8.58 %     7.58 %     5.6       24.6 %   $ 10,532  
Subprime Mortgage Loans Subject to Call Option
  $ 406,217     $ 406,115                                                  
 
(A)
Carrying value includes interest receivable of $0.1 million for the residential housing loans and principal and interest receivable of $5.2 million for the manufactured housing loans.
(B)
The weighted average maturity is based on the timing of expected principal reduction 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 March 31, 2013, $139.2 million face amount of real estate related loans was on non-accrual status.
(D)
Loans acquired at a discount for credit quality.
(E)
The following is an aging analysis of past due residential loans held-for-investment as of March 31, 2013:
 

 

 

   
30-59 Days
   
60-89 Days
   
Over 90 Days
         
Total Past
         
Total Outstanding
 
   
Past Due
   
Past Due
   
Past Due
   
REO
   
Due
   
Current
   
Face Amount
 
Securitized Manufactured Housing Loan Portoflio I
  $ 570     $ 217     $ 344     $ 494     $ 1,625     $ 112,730     $ 114,355  
Securitized Manufactured Housing Loan Portoflio II
  $ 1,070     $ 467     $ 1,544     $ 478     $ 3,559     $ 143,306     $ 146,865  
Residential Loans
  $ 990     $ 1,335     $ 5,420     $ 233     $ 7,978     $ 46,480     $ 54,458  
 
Newcastle’s management monitors the credit qualities of the Manufactured Housing Loan Portfolios I and II primarily by using aging analyses, current trends in delinquencies and actual loss incurrence rates.
 
(F)
Represents a portfolio of reverse mortgage loans acquired in February 2013. 80% of these loans have reached a termination event. As a result, the borrower can no longer make draws on these loans.  The weighted average coupon and floating rate loans percentages are as of December 31, 2012.
Aging Schedule of Past Due Residential Loans Held For Investment
The following is an aging analysis of past due residential loans held-for-investment as of March 31, 2013:
 

 

 

   
30-59 Days
   
60-89 Days
   
Over 90 Days
         
Total Past
         
Total Outstanding
 
   
Past Due
   
Past Due
   
Past Due
   
REO
   
Due
   
Current
   
Face Amount
 
Securitized Manufactured Housing Loan Portfolio I
  $ 570     $ 217     $ 344     $ 494     $ 1,625     $ 112,730     $ 114,355  
Securitized Manufactured Housing Loan Portfolio II
  $ 1,070     $ 467     $ 1,544     $ 478     $ 3,559     $ 143,306     $ 146,865  
Residential Loans
  $ 990     $ 1,335     $ 5,420     $ 233     $ 7,978     $ 46,480     $ 54,458  
 
Schedule of Real Estate Related Loans By Maturity
The following is a summary of real estate related loans by maturities at March 31, 2013:
 
   
Outstanding
         
Number of
 
Year of Maturity (1)
 
Face Amount
   
Carrying Value
   
Loans
 
Delinquent (2)
  $ 12,000     $       1  
Period from April 1, 2013 to December 31, 2013
    98,216       43,571       3  
2014
    629,726       340,270       12  
2015
    58,672       55,793       5  
2016
    177,404       175,779       4  
2017
    95,226       86,851       4  
2018
                 
Thereafter
    180,434       149,261       2  
Total
  $ 1,251,678     $ 851,525       31  
 
(1)
Based on the final extended maturity date of each loan investment as of March 31, 2013.
(2)
Includes loans that are non-performing, in foreclosure, or under bankruptcy.
Schedule of Activity in Carrying Value of Real Estate Loans and Residential Mortgage Loans
Activities relating to the carrying value of our real estate loans and residential mortgage loans are as follows:
 
   
Held-for-Sale
   
Held-for-Investment
 
   
Real Estate Related
Loans
   
Residential Mortgage
Loans
   
Residential Mortgage
Loans
   
Reverse
Mortgage Loans
 
Balance at December 31, 2012
  $ 843,132     $ 2,471     $ 292,461     $  
Purchases / additional fundings
    66,175                   35,138  
Interest accrued to principal balance
    6,181                    
Principal paydowns
    (63,511 )     (148 )     (10,769 )      
Valuation (allowance) reversal on loans
    (1,441 )     6       (799 )      
Accretion of loan discount and other amortization
                961       346  
Other
    989       51       370        
Balance at March 31, 2013
  $ 851,525       2,380     $ 282,224     $ 35,484  
 
Rollforward for loss allowance related to real estate loans
The following is a rollforward of the related loss allowance.
 
   
Held-For-Sale
   
Held-For-Investment
 
   
Real Estate
Related Loans
   
Residential Mortgage
Loans
   
Residential Mortgage
Loans (A)
 
Balance at December 31, 2012
  $ (182,062 )   $ (1,072 )   $ (22,478 )
Charge-offs
          47       1,621  
Valuation (allowance) reversal on loans
    (1,441 )     6       (799 )
Balance at March 31, 2013
  $ (183,503 )   $ (1,019 )   $ (21,656 )
 
(A)
The allowance for credit losses was determined based on the guidance for loans acquired with deteriorated credit quality.
Schedule of Holdings in Subprime Mortgage Loans
The following table presents information on the retained interests in Newcastle’s securitizations of subprime mortgage loans at March 31, 2013:

   
Subprime Portfolio
       
      I    
II
   
Total
 
Total securitized loans (unpaid principal balance) (A)
  $ 412,344     $ 548,890     $ 961,234  
Loans subject to call option (carrying value)
  $ 299,176     $ 106,939     $ 406,115  
Retained interests (fair value) (B)
  $ 1,437     $     $ 1,437  
 
(A)
Average loan seasoning of 92 months and 74 months for Subprime Portfolios I and II, respectively, at March 31, 2013.
(B)
The retained interests include retained bonds of the securitizations. The fair value of which is estimated based on pricing models. Newcastle’s residual interests were written off in 2010. The weighted average yield of the retained bonds was 8.35% as of March 31, 2013.
 
Schedule of details regarding subprime mortgage loans
The following table summarizes certain characteristics of the underlying subprime mortgage loans, and related financing, in the securitizations as of March 31, 2013:

   
Subprime Portfolio
 
      I    
II
 
Loan unpaid principal balance (UPB)
  $ 412,344     $ 548,890  
Weighted average coupon rate of loans
    5.69 %     5.11 %
Delinquencies of 60 or more days (UPB) (A)
  $ 116,551     $ 204,643  
Net credit losses for the three months ended March 31, 2013
  $ 5,947     $ 10,021  
Cumulative net credit losses
  $ 226,364     $ 266,740  
Cumulative net credit losses as a % of original UPB
    15.1 %     24.5 %
Percentage of ARM loans (B)
    50.8 %     64.6 %
Percentage of loans with original loan-to-value ratio >90%
    10.6 %     17.0 %
Percentage of interest-only loans
    20.3 %     4.1 %
Face amount of debt (C)
  $ 407,585     $ 548,890  
Weighted average funding cost of debt (D)
    0.57 %     1.09 %
 
(A)
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or real estate owned.
(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 million of retained notes for Subprime Portfolio I at March 31, 2013.
(D)
Includes the effect of applicable hedges.