|
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS, SUBPRIME MORTGAGE LOANS (Tables)
|
12 Months Ended |
|
Dec. 31, 2012
|
| Real Estate Related Loans Residential Mortgage Loans Subprime Mortgage Loans Tables |
|
| Schedule of Real Estate Loans and Other Receivables |
The following is a summary of real estate related loans, residential mortgage loans and subprime mortgage loans. The loans contain various terms, including fixed and floating rates, self-amortizing and interest only. They are generally subject to prepayment.
| |
|
December 31, 2012
|
|
|
December 31, 2011
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted
Average
Coupon
|
|
|
Weighted
Average
Maturity
(Years) (B)
|
|
|
Floating Rate
Loans as a %
of Face
Amount
|
|
|
|
|
|
|
|
|
|
|
| |
|
Outstanding
Face Amount
|
|
|
Carrying
Value (A)
|
|
|
Loan
Count
|
|
|
Wtd.
Avg.
Yield
|
|
|
Delinquent
Face Amount
(C)
|
|
|
Carrying
Value
|
|
|
Wtd. Avg.
Yield
|
|
|
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mezzanine Loans
|
|
$ |
527,793 |
|
|
$ |
442,529 |
|
|
|
17 |
|
|
|
10.10 |
% |
|
|
8.57 |
% |
|
|
2.2 |
|
|
|
67.0 |
% |
|
$ |
12,000 |
|
|
$ |
469,326 |
|
|
|
10.35 |
% |
|
Corporate Bank Loans
|
|
|
391,904 |
|
|
|
208,863 |
|
|
|
7 |
|
|
|
18.85 |
% |
|
|
8.66 |
% |
|
|
3.6 |
|
|
|
47.8 |
% |
|
|
— |
|
|
|
161,153 |
|
|
|
21.79 |
% |
|
B-Notes
|
|
|
171,258 |
|
|
|
161,610 |
|
|
|
6 |
|
|
|
10.40 |
% |
|
|
5.37 |
% |
|
|
2.1 |
|
|
|
86.4 |
% |
|
|
— |
|
|
|
152,535 |
|
|
|
12.25 |
% |
|
Whole Loans
|
|
|
30,130 |
|
|
|
30,130 |
|
|
|
3 |
|
|
|
5.21 |
% |
|
|
3.82 |
% |
|
|
1.1 |
|
|
|
96.6 |
% |
|
|
— |
|
|
|
30,566 |
|
|
|
5.31 |
% |
Total Real Estate Related Loans
Held-for-Sale, Net (D)
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
33 |
|
|
|
12.15 |
% |
|
|
7.98 |
% |
|
|
2.6 |
|
|
|
64.0 |
% |
|
$ |
12,000 |
|
|
$ |
813,580 |
|
|
|
12.78 |
% |
|
Non-Securitized Manufactured Housing
Loan Portfolio I
|
|
$ |
573 |
|
|
$ |
163 |
|
|
|
15 |
|
|
|
38.84 |
% |
|
|
7.75 |
% |
|
|
0.7 |
|
|
|
0.0 |
% |
|
$ |
103 |
|
|
$ |
199 |
|
|
|
39.80 |
% |
|
Non-Securitized Manufactured Housing
Loan Portfolio II
|
|
|
3,072 |
|
|
|
2,308 |
|
|
|
115 |
|
|
|
15.46 |
% |
|
|
10.03 |
% |
|
|
5.5 |
|
|
|
9.1 |
% |
|
|
346 |
|
|
|
2,488 |
|
|
|
15.54 |
% |
Total Residential Mortgage Loans Held-for-Sale, Net (F)
|
|
$ |
3,645 |
|
|
$ |
2,471 |
|
|
|
130 |
|
|
|
17.00 |
% |
|
|
9.67 |
% |
|
|
4.7 |
|
|
|
7.7 |
% |
|
$ |
449 |
|
|
$ |
2,687 |
|
|
|
17.34 |
% |
|
Securitized Manufactured Housing Loan
Portfolio I
|
|
$ |
118,746 |
|
|
$ |
100,124 |
|
|
|
3,172 |
|
|
|
9.48 |
% |
|
|
8.66 |
% |
|
|
6.8 |
|
|
|
0.8 |
% |
|
$ |
1,558 |
|
|
$ |
112,316 |
|
|
|
9.51 |
% |
|
Securitized Manufactured Housing Loan
Portfolio II
|
|
|
153,193 |
|
|
|
150,123 |
|
|
|
5,381 |
|
|
|
7.54 |
% |
|
|
9.63 |
% |
|
|
5.6 |
|
|
|
16.8 |
% |
|
|
2,775 |
|
|
|
175,120 |
|
|
|
7.55 |
% |
|
Residential Loans
|
|
|
56,131 |
|
|
|
42,214 |
|
|
|
198 |
|
|
|
7.41 |
% |
|
|
2.56 |
% |
|
|
6.2 |
|
|
|
100.0 |
% |
|
|
9,852 |
|
|
|
43,800 |
|
|
|
7.92 |
% |
|
Total Residential Mortgage Loans Held-
for-Investment, Net (E) (F)
|
|
$ |
328,070 |
|
|
$ |
292,461 |
|
|
|
8,751 |
|
|
|
8.19 |
% |
|
|
8.07 |
% |
|
|
6.1 |
|
|
|
25.2 |
% |
|
$ |
14,185 |
|
|
$ |
331,236 |
|
|
|
8.26 |
% |
Subprime Mortgage Loans Subject to Call Option
|
|
$ |
406,217 |
|
|
$ |
405,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
404,723 |
|
|
|
|
|
|
(A)
|
The aggregate United States federal income tax basis for such assets at December 31, 2012 was approximately $1.3 billion (unaudited), excluding the securitized subprime mortgage loans, which are fully consolidated for tax purposes. Carrying value includes interest receivable of $0.1 million for the residential housing loans and principal and interest receivable of $4.8 million for the manufactured housing loans.
|
|
|
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
|
Includes loans that are 60 days or more past due (including loans that are in foreclosure and borrowers’ in bankruptcy) or considered real estate owned (“REO”). As of December 31, 2012 and December 31, 2011, $137.7 million and $117.2 million face amount of real estate related loans, respectively, was on non-accrual status.
|
|
(D)
|
Loans which are more than 3% of the total current carrying value (or $25.3 million) at December 31, 2012 are as follows:
|
| |
|
|
|
|
December 31, 2012
|
|
|
|
|
|
|
|
Outstanding
Face Amount
|
|
|
Carrying Value
|
|
|
Prior Liens (1)
|
|
|
Loan
Count
|
|
|
Yield (2)
|
|
|
Coupon (2)
|
|
|
Weighted Average Maturity (Years)
|
|
|
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Individual Bank Loan
|
|
(3 |
) |
|
$ |
158,991 |
|
|
$ |
128,991 |
|
|
|
607,130 |
|
|
|
1 |
|
|
|
24.85 |
% |
|
|
15.55 |
% |
|
|
6.50 |
|
|
Individual Mezzanine Loan
|
|
(5 |
) |
|
|
68,741 |
|
|
|
68,741 |
|
|
|
721,776 |
|
|
|
1 |
|
|
|
8.65 |
% |
|
|
8.65 |
% |
|
|
3.50 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
53,510 |
|
|
|
53,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
10.00 |
% |
|
|
10.46 |
% |
|
|
1.50 |
|
|
Individual B-Note Loan
|
|
(4 |
) |
|
|
50,000 |
|
|
|
50,000 |
|
|
|
225,000 |
|
|
|
1 |
|
|
|
8.54 |
% |
|
|
5.93 |
% |
|
|
3.25 |
|
|
Individual Bank Loan
|
|
(6 |
) |
|
|
128,230 |
|
|
|
47,637 |
|
|
|
— |
|
|
|
1 |
|
|
|
6.28 |
% |
|
|
2.22 |
% |
|
|
1.66 |
|
|
Individual B-Note Loan
|
|
(4 |
) |
|
|
53,574 |
|
|
|
46,672 |
|
|
|
2,065,615 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
3.09 |
% |
|
|
1.75 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
45,000 |
|
|
|
45,000 |
|
|
|
317,000 |
|
|
|
1 |
|
|
|
9.95 |
% |
|
|
9.25 |
% |
|
|
2.00 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
40,000 |
|
|
|
40,000 |
|
|
|
324,940 |
|
|
|
1 |
|
|
|
8.42 |
% |
|
|
8.00 |
% |
|
|
1.17 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
38,510 |
|
|
|
38,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
12.19 |
% |
|
|
1.50 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
36,485 |
|
|
|
36,485 |
|
|
|
214,243 |
|
|
|
1 |
|
|
|
8.67 |
% |
|
|
8.00 |
% |
|
|
1.58 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
36,667 |
|
|
|
35,017 |
|
|
|
745,600 |
|
|
|
1 |
|
|
|
8.00 |
% |
|
|
7.00 |
% |
|
|
3.25 |
|
|
Individual Whole Loan
|
|
(7 |
) |
|
|
29,117 |
|
|
|
29,117 |
|
|
|
— |
|
|
|
1 |
|
|
|
5.15 |
% |
|
|
3.69 |
% |
|
|
1.12 |
|
|
Others
|
|
(8 |
) |
|
|
382,260 |
|
|
|
223,452 |
|
|
|
|
|
|
|
21 |
|
|
|
11.78 |
% |
|
|
7.11 |
% |
|
|
1.86 |
|
| |
|
|
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
|
|
|
|
33 |
|
|
|
12.15 |
% |
|
|
7.98 |
% |
|
|
2.62 |
|
|
|
(1)
|
Represents face amount of third party liens that are senior to Newcastle’s position.
|
| |
|
For others, represents weighted average yield and weighted average coupon.
|
| |
|
Interest accrued to principal balance over life to maturity with a discounted payoff option prior to April 2015.
|
| |
|
Interest only payments over life to maturity and balloon principal payment upon maturity.
|
| |
|
Principal repayment based on a 30-year amortization schedule after July 2013.
|
| |
|
Annual amortization payment equal to 50% of excess cash flow.
|
| |
|
Interest only payment over life to maturity with a discounted pay off option prior to April 2014.
|
| |
|
Various terms of payment. This represents $104.7 million, $208.9 million, $67.7 million and $1.0 million face amounts of bank loans, mezzanine loans, B-notes and whole loans, respectively. Each of the twenty one loans had a carrying value of less than $25.3 million at December 31, 2012.
|
|
|
|
The following is an aging analysis of past due residential loans held-for-investment as of December 31, 2012:
|
| |
|
30-59 Days
Past Due
|
|
|
60-89 Days
Past Due
|
|
|
Over 90 Days
Past Due
|
|
|
REO
|
|
|
Total Past
Due
|
|
|
Current
|
|
|
Total
Outstanding
Face Amount
|
|
|
Securitized Manufactured Housing Loan Portfolio I
|
|
$ |
690 |
|
|
$ |
275 |
|
|
$ |
791 |
|
|
$ |
492 |
|
|
$ |
2,248 |
|
|
$ |
116,498 |
|
|
$ |
118,746 |
|
|
Securitized Manufactured Housing Loan Portfolio II
|
|
$ |
1,158 |
|
|
$ |
501 |
|
|
$ |
1,512 |
|
|
$ |
762 |
|
|
$ |
3,933 |
|
|
$ |
149,260 |
|
|
$ |
153,193 |
|
|
Residential Loans
|
|
$ |
— |
|
|
$ |
488 |
|
|
$ |
9,250 |
|
|
$ |
114 |
|
|
$ |
9,852 |
|
|
$ |
46,279 |
|
|
$ |
56,131 |
|
Newcastle’s management monitors the credit quality of the Manufactured Housing Loan Portfolios I and II primarily by using the aging analysis, current trends in delinquencies and the actual loss incurrence rate.
|
|
(F)
|
Loans acquired at a discount for credit quality.
|
|
| Schedule of Large Loans |
|
(D)
|
Loans which are more than 3% of the total current carrying value (or $25.3 million) at December 31, 2012 are as follows:
|
| |
|
|
|
|
December 31, 2012
|
|
|
|
|
|
|
|
Outstanding
Face Amount
|
|
|
Carrying Value
|
|
|
Prior Liens (1)
|
|
|
Loan
Count
|
|
|
Yield (2)
|
|
|
Coupon (2)
|
|
|
Weighted Average Maturity (Years)
|
|
|
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Individual Bank Loan
|
|
(3 |
) |
|
$ |
158,991 |
|
|
$ |
128,991 |
|
|
|
607,130 |
|
|
|
1 |
|
|
|
24.85 |
% |
|
|
15.55 |
% |
|
|
6.50 |
|
|
Individual Mezzanine Loan
|
|
(5 |
) |
|
|
68,741 |
|
|
|
68,741 |
|
|
|
721,776 |
|
|
|
1 |
|
|
|
8.65 |
% |
|
|
8.65 |
% |
|
|
3.50 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
53,510 |
|
|
|
53,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
10.00 |
% |
|
|
10.46 |
% |
|
|
1.50 |
|
|
Individual B-Note Loan
|
|
(4 |
) |
|
|
50,000 |
|
|
|
50,000 |
|
|
|
225,000 |
|
|
|
1 |
|
|
|
8.54 |
% |
|
|
5.93 |
% |
|
|
3.25 |
|
|
Individual Bank Loan
|
|
(6 |
) |
|
|
128,230 |
|
|
|
47,637 |
|
|
|
— |
|
|
|
1 |
|
|
|
6.28 |
% |
|
|
2.22 |
% |
|
|
1.66 |
|
|
Individual B-Note Loan
|
|
(4 |
) |
|
|
53,574 |
|
|
|
46,672 |
|
|
|
2,065,615 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
3.09 |
% |
|
|
1.75 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
45,000 |
|
|
|
45,000 |
|
|
|
317,000 |
|
|
|
1 |
|
|
|
9.95 |
% |
|
|
9.25 |
% |
|
|
2.00 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
40,000 |
|
|
|
40,000 |
|
|
|
324,940 |
|
|
|
1 |
|
|
|
8.42 |
% |
|
|
8.00 |
% |
|
|
1.17 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
38,510 |
|
|
|
38,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
12.19 |
% |
|
|
1.50 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
36,485 |
|
|
|
36,485 |
|
|
|
214,243 |
|
|
|
1 |
|
|
|
8.67 |
% |
|
|
8.00 |
% |
|
|
1.58 |
|
|
Individual Mezzanine Loan
|
|
(4 |
) |
|
|
36,667 |
|
|
|
35,017 |
|
|
|
745,600 |
|
|
|
1 |
|
|
|
8.00 |
% |
|
|
7.00 |
% |
|
|
3.25 |
|
|
Individual Whole Loan
|
|
(7 |
) |
|
|
29,117 |
|
|
|
29,117 |
|
|
|
— |
|
|
|
1 |
|
|
|
5.15 |
% |
|
|
3.69 |
% |
|
|
1.12 |
|
|
Others
|
|
(8 |
) |
|
|
382,260 |
|
|
|
223,452 |
|
|
|
|
|
|
|
21 |
|
|
|
11.78 |
% |
|
|
7.11 |
% |
|
|
1.86 |
|
| |
|
|
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
|
|
|
|
33 |
|
|
|
12.15 |
% |
|
|
7.98 |
% |
|
|
2.62 |
|
|
|
(1)
|
Represents face amount of third party liens that are senior to Newcastle’s position.
|
| |
|
For others, represents weighted average yield and weighted average coupon.
|
| |
|
Interest accrued to principal balance over life to maturity with a discounted payoff option prior to April 2015.
|
| |
|
Interest only payments over life to maturity and balloon principal payment upon maturity.
|
| |
|
Principal repayment based on a 30-year amortization schedule after July 2013.
|
| |
|
Annual amortization payment equal to 50% of excess cash flow.
|
| |
|
Interest only payment over life to maturity with a discounted pay off option prior to April 2014.
|
| |
|
Various terms of payment. This represents $104.7 million, $208.9 million, $67.7 million and $1.0 million face amounts of bank loans, mezzanine loans, B-notes and whole loans, respectively. Each of the twenty one loans had a carrying value of less than $25.3 million at 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 December 31, 2012:
|
| |
|
30-59 Days
Past Due
|
|
|
60-89 Days
Past Due
|
|
|
Over 90 Days
Past Due
|
|
|
REO
|
|
|
Total Past
Due
|
|
|
Current
|
|
|
Total
Outstanding
Face Amount
|
|
|
Securitized Manufactured Housing Loan Portfolio I
|
|
$ |
690 |
|
|
$ |
275 |
|
|
$ |
791 |
|
|
$ |
492 |
|
|
$ |
2,248 |
|
|
$ |
116,498 |
|
|
$ |
118,746 |
|
|
Securitized Manufactured Housing Loan Portfolio II
|
|
$ |
1,158 |
|
|
$ |
501 |
|
|
$ |
1,512 |
|
|
$ |
762 |
|
|
$ |
3,933 |
|
|
$ |
149,260 |
|
|
$ |
153,193 |
|
|
Residential Loans
|
|
$ |
— |
|
|
$ |
488 |
|
|
$ |
9,250 |
|
|
$ |
114 |
|
|
$ |
9,852 |
|
|
$ |
46,279 |
|
|
$ |
56,131 |
|
Newcastle’s management monitors the credit quality of the Manufactured Housing Loan Portfolios I and II primarily by using the aging analysis, current trends in delinquencies and the actual loss incurrence rate.
|
| Schedule of Real Estate Related Loans By Maturity |
The following is a summary of real estate related loans by maturity at December 31, 2012:
| |
|
Outstanding
|
|
|
|
|
|
Number of
|
|
|
Year of Maturity (1)
|
|
Face Amount
|
|
|
Carrying Value
|
|
|
Loans
|
|
|
Delinquent (2)
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
|
1 |
|
|
2013
|
|
|
96,942 |
|
|
|
44,850 |
|
|
|
4 |
|
|
2014
|
|
|
445,380 |
|
|
|
273,288 |
|
|
|
12 |
|
|
2015
|
|
|
59,907 |
|
|
|
56,185 |
|
|
|
5 |
|
|
2016
|
|
|
236,892 |
|
|
|
235,242 |
|
|
|
5 |
|
|
2017
|
|
|
95,359 |
|
|
|
90,161 |
|
|
|
4 |
|
|
Thereafter
|
|
|
174,605 |
|
|
|
143,406 |
|
|
|
2 |
|
|
Total
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
33 |
|
|
|
(1)
|
Based on the final extended maturity date of each loan investment as of December 31, 2012.
|
|
|
(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
|
|
|
December 31, 2009
|
|
$ |
573,862 |
|
|
$ |
383,647 |
|
|
$ |
— |
|
|
Purchases / additional fundings
|
|
|
113,733 |
|
|
|
— |
|
|
|
— |
|
|
Interest accrued to principal balance
|
|
|
12,535 |
|
|
|
— |
|
|
|
— |
|
|
Principal paydowns
|
|
|
(136,078 |
) |
|
|
(34,781 |
) |
|
|
(10,916 |
) |
|
Sales
|
|
|
(51,225 |
) |
|
|
— |
|
|
|
— |
|
|
Transfer to held for investment
|
|
|
— |
|
|
|
(135,942 |
) |
|
|
135,942 |
|
|
Transfer to other investments
|
|
|
(24,907 |
) |
|
|
— |
|
|
|
— |
|
|
Valuation (allowance) reversal on loans
|
|
|
299,620 |
|
|
|
41,227 |
|
|
|
(960 |
) |
|
Accretion of loan discount and other amortization
|
|
|
— |
|
|
|
— |
|
|
|
1,035 |
|
|
Deconsolidation of CDO VII
|
|
|
(5,453 |
) |
|
|
— |
|
|
|
— |
|
|
Other
|
|
|
518 |
|
|
|
(938 |
) |
|
|
(127 |
) |
|
December 31, 2010
|
|
$ |
782,605 |
|
|
$ |
253,213 |
|
|
$ |
124,974 |
|
|
Purchases / additional fundings
|
|
|
384,850 |
|
|
|
— |
|
|
|
— |
|
|
Interest accrued to principal balance
|
|
|
19,507 |
|
|
|
— |
|
|
|
— |
|
|
Principal paydowns
|
|
|
(270,767 |
) |
|
|
(8,818 |
) |
|
|
(30,514 |
) |
|
Sales
|
|
|
(125,141 |
) |
|
|
— |
|
|
|
— |
|
|
Transfer to held for investment
|
|
|
— |
|
|
|
(238,721 |
) |
|
|
238,721 |
|
|
Valuation (allowance) reversal on loans
|
|
|
21,629 |
|
|
|
(2,864 |
) |
|
|
(3,602 |
) |
|
Accretion of loan discount and other amortization
|
|
|
(7 |
) |
|
|
— |
|
|
|
2,371 |
|
|
Other
|
|
|
904 |
|
|
|
(123 |
) |
|
|
(714 |
) |
|
December 31, 2011
|
|
$ |
813,580 |
|
|
$ |
2,687 |
|
|
$ |
331,236 |
|
|
Purchases / additional fundings
|
|
|
109,491 |
|
|
|
— |
|
|
|
— |
|
|
Interest accrued to principal balance
|
|
|
22,835 |
|
|
|
— |
|
|
|
— |
|
|
Principal paydowns
|
|
|
(129,950 |
) |
|
|
(686 |
) |
|
|
(38,182 |
) |
|
Valuation (allowance) reversal on loans
|
|
|
28,213 |
|
|
|
493 |
|
|
|
(4,119 |
) |
|
Loss on repayment of loans held for sale
|
|
|
(1,614 |
) |
|
|
— |
|
|
|
— |
|
|
Accretion of loan discount and other amortization
|
|
|
— |
|
|
|
— |
|
|
|
4,002 |
|
|
Other
|
|
|
577 |
|
|
|
(23 |
) |
|
|
(476 |
) |
|
December 31, 2012
|
|
$ |
843,132 |
|
|
$ |
2,471 |
|
|
$ |
292,461 |
|
|
| 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 (C)
|
|
|
Balance at December 31, 2010
|
|
$ |
(321,591 |
) |
|
$ |
(25,193 |
) |
|
$ |
(21,350 |
) |
|
Charge-offs (A)
|
|
|
71,945 |
|
|
|
4,232 |
|
|
|
5,802 |
|
|
Reclassified as accretable discount (B)
|
|
|
— |
|
|
|
— |
|
|
|
14,439 |
|
|
Transfer to held-for-investment
|
|
|
— |
|
|
|
21,364 |
|
|
|
(21,364 |
) |
|
Valuation (allowance) reversal on loans
|
|
|
21,629 |
|
|
|
(2,864 |
) |
|
|
(3,602 |
) |
|
Balance at December 31, 2011
|
|
$ |
(228,017 |
) |
|
$ |
(2,461 |
) |
|
$ |
(26,075 |
) |
|
Charge-offs (A)
|
|
|
17,742 |
|
|
|
896 |
|
|
|
7,716 |
|
|
Valuation (allowance) reversal on loans
|
|
|
28,213 |
|
|
|
493 |
|
|
|
(4,119 |
) |
|
Balance at December 31, 2012
|
|
$ |
(182,062 |
) |
|
$ |
(1,072 |
) |
|
$ |
(22,478 |
) |
|
(A)
|
The charge-offs for real estate related loans represent two and six loans which were written off, sold, restructured, or paid off at a discounted price during 2012 and 2011, respectively.
|
|
(B)
|
Represents the accretable discount of the residential loans upon the reclassification from held-for-sale to held-for-investment, which will be recognized prospectively as an adjustment of the loans’ yield over the expected life of the loans.
|
|
(C)
|
The allowance for credit losses was determined based on the guidance for loans acquired with deteriorated credit quality.
|
|
| Schedule of details subprime mortgage loans |
|
|
|
Subprime Portfolio
|
| |
|
I
|
|
II
|
|
Date of acquisition
|
|
March 2006
|
|
March 2007
|
|
Original number of loans (approximate)
|
|
11,300
|
|
7,300
|
|
Predominant origination date of loans
|
|
2005
|
|
2006
|
|
Original face amount of purchase
|
|
$1.5 billion
|
|
$1.3 billion
|
| |
|
|
|
|
|
Pre-securitization loan write-down
|
|
($4.1 million)
|
|
($5.8 million)
|
|
Gain on pre-securitization hedge
|
|
$5.5 million
|
|
$5.8 million
|
|
Gain on sale
|
|
Less than $0.1 million
|
|
$0.1 million
|
| |
|
|
|
|
|
Securitization date
|
|
April 2006
|
|
July 2007
|
|
Face amount of loans at securitization
|
|
$1.5 billion
|
|
$1.1 billion
|
|
Face amount of notes sold by trust
|
|
$1.4 billion
|
|
$1.0 billion
|
|
Stated maturity of notes
|
|
March 2036
|
|
April 2037
|
|
Face amount of notes retained by Newcastle
|
|
$37.6 million
|
|
$38.8 million
|
|
Fair value of equity retained by Newcastle
|
|
$62.4 million (A)
|
|
$46.7 million (A)
|
|
Key assumptions in measuring such fair value (A):
|
|
|
|
|
|
Weighted average life (years)
|
|
3.1
|
|
3.8
|
|
Expected credit losses
|
|
5.3%
|
|
8.0%
|
|
Weighted average constant prepayment rate
|
|
28.0%
|
|
30.1%
|
|
Discount rate
|
|
18.8%
|
|
22.5%
|
|
(A)
|
As of the date of transfer.
|
|
| Schedule of Holdings in Subprime Mortgage Loans |
The following table presents information on the retained interests in the securitizations of Subprime Portfolios I and II at December 31, 2012:
| |
|
Subprime Portfolio
|
|
|
|
|
| |
|
|
I |
|
|
II
|
|
|
Total
|
|
|
Total securitized loans (unpaid principal balance) (A)
|
|
$ |
423,872 |
|
|
$ |
564,569 |
|
|
$ |
988,441 |
|
|
Loans subject to call option (carrying value)
|
|
$ |
299,176 |
|
|
$ |
106,638 |
|
|
$ |
405,814 |
|
|
Retained interests (fair value) (B)
|
|
$ |
1,344 |
|
|
$ |
— |
|
|
$ |
1,344 |
|
|
(A)
|
Average loan seasoning of 89 months and 71 months for Subprime Portfolios I and II, respectively, at December 31, 2012.
|
|
|
The retained interests include retained bonds of the securitizations. Their fair value is estimated based on pricing models. Newcastle’s residual interests were written off in 2010. The yield of the retained note was 8.36% as of December 31, 2012.
|
|
| 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 December 31, 2012 (unaudited, except stated otherwise):
| |
|
Subprime Portfolio
|
|
| |
|
I
|
|
|
II
|
|
|
Loan unpaid principal balance (UPB) (A)
|
|
$ |
423,872 |
|
|
$ |
564,569 |
|
|
Weighted average coupon rate of loans
|
|
|
5.59 |
% |
|
|
4.71 |
% |
|
Delinquencies of 60 or more days (UPB) (B)
|
|
$ |
109,213 |
|
|
$ |
200,253 |
|
|
Net credit losses for year ended
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
$ |
27,548 |
|
|
$ |
34,866 |
|
|
December 31, 2011
|
|
$ |
29,460 |
|
|
$ |
54,217 |
|
|
Cumulative net credit losses
|
|
$ |
220,417 |
|
|
$ |
256,719 |
|
|
Cumulative net credit losses as a % of original UPB
|
|
|
14.7 |
% |
|
|
23.6 |
% |
|
Percentage of ARM loans (C)
|
|
|
51.0 |
% |
|
|
64.4 |
% |
|
Percentage of loans with loan-to-value ratio >90%
|
|
|
10.4 |
% |
|
|
17.2 |
% |
|
Percentage of interest-only loans
|
|
|
20.8 |
% |
|
|
4.1 |
% |
|
Face amount of debt (A) (D)
|
|
$ |
418,906 |
|
|
$ |
564,569 |
|
|
Weighted average funding cost of debt (E)
|
|
|
0.57 |
% |
|
|
1.11 |
% |
|
|
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or real estate owned.
|
|
|
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.
|
|
|
Excludes face amount of $4.0 million of retained
notes for Subprime Portfolio I at December 31, 2012.
|
|
|
Includes the effect of applicable hedges.
|
|
| Schedule of Cash Flows of Subprime Mortgage Holdings |
Cash flows related to the two securitizations were as follows:
| |
|
Subprime Portfolio
|
|
| |
|
|
I |
|
|
II
|
|
|
Net cash inflows from retained interests
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2012
|
|
$ |
— |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2011
|
|
$ |
29 |
|
|
$ |
77 |
|
| |
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2010
|
|
$ |
315 |
|
|
$ |
629 |
|
|