| Schedule of Excess Mortgage Servicing Rights (MSRs) |
The following is a summary of Newcastle’s Excess MSRs:
| |
|
December 31, 2012
|
|
|
Year Ended
December 31, 2012
|
|
| |
|
Unpaid Principal
Balance
|
|
|
Amortized Cost
Basis (A)
|
|
|
Carrying
Value (B)
|
|
|
Weighted
Average
Yield
|
|
|
Average
Maturity
(Years) (C)
|
|
|
Changes in Fair Value
Recorded in Other
Income (Loss) (D)
|
|
|
MSR Pool 1
|
|
$ |
8,403,211 |
|
|
$ |
30,237 |
|
|
$ |
35,974 |
|
|
|
18.0 |
% |
|
|
4.8 |
|
|
$ |
5,569 |
|
|
MSR Pool 1 - Recapture Agreement
|
|
|
— |
|
|
|
4,430 |
|
|
|
4,936 |
|
|
|
18.0 |
% |
|
|
10.8 |
|
|
|
307 |
|
|
MSR Pool 2
|
|
|
9,397,120 |
|
|
|
32,890 |
|
|
|
33,935 |
|
|
|
17.3 |
% |
|
|
5.0 |
|
|
|
1,045 |
|
|
MSR Pool 2 - Recapture Agreement
|
|
|
— |
|
|
|
5,206 |
|
|
|
5,387 |
|
|
|
17.3 |
% |
|
|
11.8 |
|
|
|
181 |
|
|
MSR Pool 3
|
|
|
9,069,726 |
|
|
|
27,618 |
|
|
|
30,474 |
|
|
|
17.6 |
% |
|
|
4.7 |
|
|
|
2,856 |
|
|
MSR Pool 3 - Recapture Agreement
|
|
|
— |
|
|
|
5,036 |
|
|
|
4,960 |
|
|
|
17.6 |
% |
|
|
11.3 |
|
|
|
(76 |
) |
|
MSR Pool 4
|
|
|
5,788,133 |
|
|
|
11,130 |
|
|
|
12,149 |
|
|
|
17.9 |
% |
|
|
4.6 |
|
|
|
1,019 |
|
|
MSR Pool 4 - Recapture Agreement
|
|
|
— |
|
|
|
2,902 |
|
|
|
2,887 |
|
|
|
17.9 |
% |
|
|
11.1 |
|
|
|
(15 |
) |
|
MSR Pool 5
|
|
|
43,902,561 |
|
|
|
107,704 |
|
|
|
109,682 |
|
|
|
17.5 |
% |
|
|
4.8 |
|
|
|
1,978 |
|
|
MSR Pool 5 - Recapture Agreement
|
|
|
|
|
|
|
8,493 |
|
|
|
4,652 |
|
|
|
17.5 |
% |
|
|
11.7 |
|
|
|
(3,841 |
) |
| |
|
$ |
76,560,751 |
|
|
$ |
235,646 |
|
|
$ |
245,036 |
|
|
|
17.6 |
% |
|
|
5.4 |
|
|
$ |
9,023 |
|
| |
|
December 31, 2011
|
|
|
Year Ended
December 31, 2011
|
|
| |
|
Unpaid Principal
Balance
|
|
|
Amortized Cost
Basis (A)
|
|
|
Carrying
Value (B)
|
|
|
Weighted
Average
Yield
|
|
|
Average
Maturity
(Years)
(C)
|
|
|
Changes in Fair Value
Recorded in Other
Income (Loss) (D)
|
|
|
MSR Pool 1
|
|
$ |
9,705,512 |
|
|
$ |
37,469 |
|
|
$ |
37,637 |
|
|
|
20.0 |
% |
|
|
4.5 |
|
|
$ |
168 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MSR Pool 1 - Recapture Agreement
|
|
|
— |
|
|
|
6,135 |
|
|
|
6,334 |
|
|
|
20.0 |
% |
|
|
10.3 |
|
|
|
199 |
|
| |
|
$ |
9,705,512 |
|
|
$ |
43,604 |
|
|
$ |
43,971 |
|
|
|
20.0 |
% |
|
|
6.0 |
|
|
$ |
367 |
|
|
(A)
|
The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired.
|
|
|
Carrying value represents the fair value of the pools or Recapture Agreements, as applicable.
|
|
|
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
|
|
|
The portion of the change in fair value of the
Recapture Agreement relating to loans recaptured to date is reflected in the respective pool.
|
|