| Schedule of Debt Obligations |
The following table presents certain information regarding Newcastle’s debt obligations and related hedges at March 31, 2013:
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Collateral
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Debt Obligation/Collateral
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Month Issued
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Outstanding
Face
Amount
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Carrying
Value
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Final Stated Maturity
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Unhedged Weighted
Average
Funding Cost (A)
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Weighted Average
Funding
Cost (B)
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Weighted Average Maturity
(Years)
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Face
Amount
of Floating Rate
Debt
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Outstanding Face Amount (C)
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Amortized
Cost Basis (C)
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Carrying
Value (C)
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Weighted Average Maturity
(Years)
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Floating Rate Face Amount (C)
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Aggregate
Notional
Amount of
Current Hedges (D)
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CDO Bonds Payable
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CDO IV (E)
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Mar 2004
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$ |
71,604 |
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$ |
71,537 |
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Mar 2039
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1.93 |
% |
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5.08 |
% |
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1.2 |
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$ |
60,804 |
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$ |
153,780 |
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$ |
141,221 |
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$ |
140,589 |
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1.6 |
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$ |
42,747 |
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$ |
60,804 |
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CDO VI (E)
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Apr 2005
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91,688 |
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91,689 |
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Apr 2040
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0.86 |
% |
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5.35 |
% |
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4.5 |
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88,554 |
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177,513 |
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91,701 |
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119,428 |
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2.8 |
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48,073 |
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88,554 |
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CDO VIII
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Nov 2006
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478,289 |
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477,447 |
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Nov 2052
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0.80 |
% |
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2.36 |
% |
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1.7 |
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470,689 |
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672,349 |
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489,664 |
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522,209 |
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2.3 |
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349,172 |
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154,100 |
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CDO IX
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May 2007
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373,412 |
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374,887 |
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May 2052
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0.60 |
% |
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0.60 |
% |
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1.4 |
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373,412 |
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613,694 |
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491,396 |
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503,618 |
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2.6 |
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299,787 |
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— |
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1,014,993 |
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1,015,560 |
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2.17 |
% |
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1.8 |
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993,459 |
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1,617,336 |
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1,213,982 |
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1,285,844 |
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2.4 |
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739,779 |
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303,458 |
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Other Bonds and Notes Payable
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MH Loans Portfolio I (F)
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Apr 2010
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65,995 |
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62,276 |
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Jul 2035
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6.31 |
% |
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6.31 |
% |
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4.1 |
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— |
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114,355 |
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96,752 |
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96,752 |
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6.3 |
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851 |
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— |
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MH Loans Portfolio II
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May 2011
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112,046 |
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111,447 |
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Dec 2033
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4.47 |
% |
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4.47 |
% |
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3.9 |
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— |
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146,865 |
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144,274 |
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144,274 |
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5.5 |
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24,374 |
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— |
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178,041 |
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173,723 |
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5.13 |
% |
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4.0 |
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— |
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261,220 |
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241,026 |
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241,026 |
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5.9 |
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25,225 |
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— |
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Repurchase Agreements (G)
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Non-Agency RMBS (H)
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Various
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158,029 |
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158,029 |
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Apr 2013
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LIBOR+2.00%
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2.20 |
% |
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0.1 |
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158,029 |
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330,871 |
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208,446 |
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233,813 |
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6.8 |
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330,871 |
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— |
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FNMA/FHLMC securities (I)
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Various
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1,315,557 |
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1,315,557 |
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Apr 2013
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0.44 |
% |
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0.44 |
% |
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0.1 |
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1,315,557 |
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1,309,855 |
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1,396,401 |
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1,400,430 |
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4.1 |
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1,309,855 |
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— |
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1,473,586 |
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1,473,586 |
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0.63 |
% |
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0.1 |
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1,473,586 |
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1,640,726 |
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1,604,847 |
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1,634,243 |
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4.7 |
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1,640,726 |
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— |
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Mortgage Notes Payable
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BPM Senior Living Facilities
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Jul 2012
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88,400 |
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88,400 |
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Aug 2019
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3.44 |
% |
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3.44 |
% |
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6.0 |
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23,400 |
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N/A |
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135,251 |
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135,251 |
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N/A |
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— |
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23,400 |
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Utah Senior Living Facilities
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Nov 2012
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16,000 |
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16,000 |
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Oct 2017
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LIBOR+3.75%
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(J)
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4.75 |
% |
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4.5 |
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16,000 |
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N/A |
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21,706 |
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21,706 |
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N/A |
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— |
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— |
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Courtyards Senior living facilities
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Dec 2012
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16,125 |
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16,125 |
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Oct 2017
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LIBOR+3.75%
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(J)
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4.75 |
% |
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4.5 |
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16,125 |
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N/A |
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21,036 |
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21,036 |
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N/A |
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— |
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— |
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| |
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|
120,525 |
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120,525 |
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3.79 |
% |
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5.6 |
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55,525 |
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N/A |
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177,993 |
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177,993 |
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N/A |
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— |
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23,400 |
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Corporate
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Junior subordinated notes payable
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Mar 2006
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|
51,004 |
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|
51,242 |
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Apr 2035
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|
7.574 |
% (L) |
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7.40 |
% |
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22.1 |
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— |
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— |
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— |
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— |
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— |
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— |
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— |
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51,004 |
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51,242 |
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7.40 |
% |
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22.1 |
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— |
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— |
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— |
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— |
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— |
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— |
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— |
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Subtotal debt obligations
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|
2,838,149 |
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|
2,834,636 |
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1.71 |
% |
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|
1.6 |
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$ |
2,522,570 |
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$ |
3,519,282 |
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$ |
3,237,848 |
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$ |
3,339,106 |
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3.7 |
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$ |
2,405,730 |
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$ |
326,858 |
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Financing on subprime mortgage loans subject to call option
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(K)
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|
406,217 |
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|
406,115 |
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Total debt obligations
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$ |
3,244,366 |
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$ |
3,240,751 |
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(A)
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Weighted average, including floating and fixed rate classes and including the amortization of deferred financing costs.
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(B)
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Including the effect of applicable hedges.
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(C)
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Excluding (i) restricted cash held in CDOs to be used for principal and interest payments of CDO debt, and (ii) operating cash in senior living entities.
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(D)
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Including a $23.4 million notional amount of interest rate cap agreement for the mortgage notes payable and a $60.8 million and $88.6 million notional amount of interest rate swap agreements in CDO IV and CDO VI, respectively, which were economic hedges not designated as hedges for accounting purposes.
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(E)
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These CDOs were not in compliance with its applicable over collateralization tests as of March 31, 2013. Newcastle is not receiving cash flows from these CDOs (other than senior management fees and cash flows on senior classes of bonds that were repurchased), since net interest is being used to repay debt, and expects these CDOs to remain out of compliance for the foreseeable future.
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(F)
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Excluding $20.5 million face amount of other bonds payable relating to MH loans Portfolio I sold to certain Newcastle CDOs, which were eliminated in consolidation.
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(G)
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These repurchase agreements had $0.1 million of associated accrued interest payable at March 31, 2013. $1.5 billion face amount of these repurchase agreements were renewed subsequent to March 31, 2013.
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(H)
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The counterparty of these repurchase agreements is Credit Suisse.
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(I)
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The counterparties on these repurchase agreements are Bank of America ($291.4 million), Barclays ($267.2 million), Citi ($118.8 million), Goldman Sachs ($343.8 million), Morgan Stanley ($56.2 million) and Nomura ($238.2 million). Interest rates on these repurchase agreements are fixed, but will be reset on a short-term basis.
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(J)
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These financings have a LIBOR floor of 1%.
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(K)
|
Issued in April 2006 and July 2007. See Note 4 regarding the securitizations of Subprime Portfolios I and II.
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(L)
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LIBOR + 2.25% after April 2016.
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