|
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)
|
9 Months Ended |
|
Sep. 30, 2013
|
| Real Estate Related Loans Residential Mortgage Loans And 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 and other loans, residential mortgage loans and subprime mortgage loans at September 30, 2013.
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) |
|
|
Loan
Count |
|
|
Weighted
Average
Yield |
|
|
Weighted Average Coupon |
|
|
Weighted Average Maturity
(Years) (B) |
|
|
Floating Rate Loans as a % of Face Amount |
|
|
Delinquent Face Amount (C) |
|
| Mezzanine Loans |
|
$ |
338,178 |
|
|
$ |
268,635 |
|
|
|
12 |
|
|
|
10.65 |
% |
|
|
8.78 |
% |
|
|
1.8 |
|
|
|
88.4 |
% |
|
$ |
12,000 |
|
| Corporate Bank Loans |
|
|
875,072 |
|
|
|
402,139 |
|
|
|
7 |
|
|
|
13.73 |
% |
|
|
5.60 |
% |
|
|
1.2 |
|
|
|
74.4 |
% |
|
|
|
|
| B-Notes |
|
|
110,461 |
|
|
|
94,703 |
|
|
|
4 |
|
|
|
10.50 |
% |
|
|
6.30 |
% |
|
|
0.7 |
|
|
|
79.3 |
% |
|
|
|
|
| Whole Loans |
|
|
29,820 |
|
|
|
29,820 |
|
|
|
2 |
|
|
|
4.80 |
% |
|
|
3.75 |
% |
|
|
0.2 |
|
|
|
97.6 |
% |
|
|
|
|
| Total Real Estate Related and
other Loans Held-for-Sale, Net |
|
$ |
1,353,531 |
|
|
$ |
795,297 |
|
|
|
25 |
|
|
|
11.97 |
% |
|
|
6.41 |
% |
|
|
1.3 |
|
|
|
78.8 |
% |
|
$ |
12,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Securitized Manufactured Housing Loan Portfolio
I |
|
$ |
561 |
|
|
$ |
145 |
|
|
|
15 |
|
|
|
81.45 |
% |
|
|
7.78 |
% |
|
|
0.9 |
|
|
|
0.0 |
% |
|
$ |
56 |
|
| Non-Securitized Manufactured
Housing Loan Portfolio II |
|
|
2,677 |
|
|
|
2,091 |
|
|
|
100 |
|
|
|
15.43 |
% |
|
|
10.03 |
% |
|
|
5.2 |
|
|
|
9.6 |
% |
|
|
181 |
|
| Total Residential Mortgage
Loans Held-for-Sale, Net (D) |
|
$ |
3,238 |
|
|
$ |
2,236 |
|
|
|
115 |
|
|
|
19.71 |
% |
|
|
9.64 |
% |
|
|
4.5 |
|
|
|
7.9 |
% |
|
$ |
237 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securitized Manufactured Housing Loan Portfolio I
(D)(E) |
|
$ |
106,304 |
|
|
$ |
91,488 |
|
|
|
2,903 |
|
|
|
9.45 |
% |
|
|
8.62 |
% |
|
|
6.1 |
|
|
|
0.6 |
% |
|
$ |
1,267 |
|
| Securitized Manufactured Housing Loan Portfolio II
(D)(E) |
|
|
134,641 |
|
|
|
132,728 |
|
|
|
4,821 |
|
|
|
7.72 |
% |
|
|
9.64 |
% |
|
|
4.9 |
|
|
|
16.4 |
% |
|
|
2,036 |
|
| Residential Loans (D)(E) |
|
|
47,114 |
|
|
|
36,247 |
|
|
|
175 |
|
|
|
7.75 |
% |
|
|
2.33 |
% |
|
|
5.4 |
|
|
|
100.0 |
% |
|
|
6,683 |
|
| Total Residential Mortgage
Loans Held- for-Investment, Net |
|
$ |
288,059 |
|
|
$ |
260,463 |
|
|
|
7,899 |
|
|
|
8.33 |
% |
|
|
8.07 |
% |
|
|
5.5 |
|
|
|
24.2 |
% |
|
$ |
9,986 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Subprime Mortgage Loans Subject
to Call Option |
|
$ |
406,217 |
|
|
$ |
406,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(A) |
Carrying
value includes interest
receivable of $0.1
million for the residential
housing loans and
principal and interest
receivable of $5.0
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 borrowers
in bankruptcy) or
considered real estate
owned (REO).
As of September 30,
2013, $142.3
million
face amount of real
estate related and
other 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 September 30,
2013: |
| |
|
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 |
|
$ |
675 |
|
|
$ |
155 |
|
|
$ |
473 |
|
|
$ |
639 |
|
|
$ |
1,942 |
|
|
$ |
104,362 |
|
|
$ |
106,304 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
$ |
929 |
|
|
$ |
221 |
|
|
$ |
1,199 |
|
|
$ |
616 |
|
|
$ |
2,965 |
|
|
$ |
131,676 |
|
|
$ |
134,641 |
|
| Residential Loans |
|
$ |
86 |
|
|
$ |
|
|
|
$ |
6,124 |
|
|
$ |
559 |
|
|
$ |
6,769 |
|
|
$ |
40,345 |
|
|
$ |
47,114 |
|
Newcastles
management monitors the credit qualities of the Manufactured Housing Loan Portfolios I and II and residential loans primarily
by using aging analyses, current trends in delinquencies and actual loss incurrence rates.
|
| 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 September 30,
2013: |
| |
|
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 |
|
$ |
675 |
|
|
$ |
155 |
|
|
$ |
473 |
|
|
$ |
639 |
|
|
$ |
1,942 |
|
|
$ |
104,362 |
|
|
$ |
106,304 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
$ |
929 |
|
|
$ |
221 |
|
|
$ |
1,199 |
|
|
$ |
616 |
|
|
$ |
2,965 |
|
|
$ |
131,676 |
|
|
$ |
134,641 |
|
| Residential Loans |
|
$ |
86 |
|
|
$ |
|
|
|
$ |
6,124 |
|
|
$ |
559 |
|
|
$ |
6,769 |
|
|
$ |
40,345 |
|
|
$ |
47,114 |
|
|
| Schedule of Real Estate Related Loans By Maturity |
The following is a summary
of real estate related and other loans by maturities at September 30, 2013:
| |
|
Outstanding |
|
|
|
|
|
Number of |
|
| Year of Maturity (1) |
|
Face Amount |
|
|
Carrying Value |
|
|
Loans |
|
| Delinquent (2) |
|
$ |
12,000 |
|
|
$ |
|
|
|
|
1 |
|
| Period from October 1, 2013 to December 31, 2013 |
|
|
88,648 |
|
|
|
41,146 |
|
|
|
2 |
|
| 2014 |
|
|
834,131 |
|
|
|
384,189 |
|
|
|
9 |
|
| 2015 |
|
|
58,199 |
|
|
|
56,340 |
|
|
|
5 |
|
| 2016 |
|
|
72,533 |
|
|
|
70,911 |
|
|
|
2 |
|
| 2017 |
|
|
94,981 |
|
|
|
80,790 |
|
|
|
4 |
|
| 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
| Thereafter |
|
|
193,039 |
|
|
|
161,921 |
|
|
|
2 |
|
| Total |
|
$ |
1,353,531 |
|
|
$ |
795,297 |
|
|
|
25 |
|
|
(1) |
Based
on the final extended
maturity date of each
loan investment as
of September 30, 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 Newcastles real estate related and other loans and residential mortgage loans are as follows:
| |
|
Held-for-Sale |
|
|
Held-for-Investment |
|
| |
|
|
Real
Estate Related and Other Loans |
|
|
|
Residential
Mortgage Loans |
|
|
|
Residential
Mortgage Loans |
|
|
|
Reverse
Mortgage Loans |
|
| Balance at December 31, 2012 |
|
$ |
843,132 |
|
|
$ |
2,471 |
|
|
$ |
292,461 |
|
|
$ |
|
|
| Purchases / additional fundings |
|
|
171,987 |
|
|
|
|
|
|
|
|
|
|
|
35,138 |
|
| Interest accrued to principal balance |
|
|
19,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal paydowns |
|
|
(247,930 |
) |
|
|
(263 |
) |
|
|
(36,294 |
) |
|
|
|
|
| Sales |
|
|
(9,318 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| Spin-off of New Residential |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(35,865 |
) |
| Valuation (allowance) reversal on loans |
|
|
10,529 |
|
|
|
42 |
|
|
|
902 |
|
|
|
|
|
| Loss on repayment of loans held-for-sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Accretion of loan discount and other amortization |
|
|
6,689 |
|
|
|
|
|
|
|
3,156 |
|
|
|
727 |
|
| Other |
|
|
713 |
|
|
|
(14 |
) |
|
|
238 |
|
|
|
|
|
| Balance at September 30, 2013 |
|
$ |
795,297 |
|
|
|
2,236 |
|
|
$ |
260,463 |
|
|
$ |
|
|
|
| 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 and Other Loans |
|
|
|
Residential
Mortgage Loans |
|
|
|
Residential
Mortgage
Loans (A)
|
|
| Balance at December 31, 2012 |
|
$ |
(182,062 |
) |
|
$ |
(1,072 |
) |
|
$ |
(22,478 |
) |
| Charge-offs |
|
|
60 |
|
|
|
144 |
|
|
|
3,716 |
|
| Valuation (allowance) reversal
on loans |
|
|
10,529 |
|
|
|
42 |
|
|
|
902 |
|
| Balance at September 30, 2013 |
|
$ |
(171,473 |
) |
|
$ |
(886 |
) |
|
$ |
(17,860 |
) |
|
(A) |
The
allowance for credit
losses was determined
based on the guidance
for loans acquired
with deteriorated
credit quality. |
|
| 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, 2013:
| |
|
|
Real
Estate Related
and Other Loans
|
|
|
Residential Mortgage
Loans |
|
| Geographic Location |
|
Outstanding Face
Amount |
|
|
Percentage |
|
|
Outstanding Face
Amount |
|
|
Percentage |
|
| Western U.S. |
|
$ |
131,422 |
|
|
|
26.9 |
% |
|
$ |
176,513 |
|
|
|
60.6 |
% |
| Northeastern U.S. |
|
|
68,404 |
|
|
|
14.0 |
% |
|
|
8,955 |
|
|
|
3.1 |
% |
| Southeastern U.S. |
|
|
85,011 |
|
|
|
17.4 |
% |
|
|
63,000 |
|
|
|
21.6 |
% |
| Midwestern U.S. |
|
|
31,633 |
|
|
|
6.5 |
% |
|
|
10,486 |
|
|
|
3.6 |
% |
| Southwestern U.S. |
|
|
67,768 |
|
|
|
13.9 |
% |
|
|
32,343 |
|
|
|
11.1 |
% |
| Foreign |
|
|
104,860 |
|
|
|
21.3 |
% |
|
|
|
|
|
|
0.0 |
% |
| |
|
$ |
489,098 |
|
|
|
100.0 |
% |
|
$ |
291,297 |
|
|
|
100.0 |
% |
| Other |
|
|
864,433 |
|
|
(A) |
|
|
|
|
|
|
|
|
|
|
| |
|
$ |
1,353,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(A) |
Includes corporate bank loans which are not directly
secured by real estate assets. |
|
| Schedule of Holdings in Subprime Mortgage Loans |
The following table presents information on the retained interests
in Newcastles securitizations of subprime mortgage loans at September 30, 2013:
| |
|
Subprime Portfolio |
|
|
|
|
|
| |
|
I |
|
|
II |
|
|
Total |
|
| Total securitized loans (unpaid principal
balance) (A) |
|
$ |
387,199 |
|
|
$ |
521,009 |
|
|
$ |
908,208 |
|
| Loans subject to call option (carrying value) |
|
$ |
299,176 |
|
|
$ |
107,041 |
|
|
$ |
406,217 |
|
| Retained interests (fair value) (B) |
|
$ |
1,848 |
|
|
$ |
|
|
|
$ |
1,848 |
|
|
(A) |
Average loan seasoning of
98 months and 80 months for Subprime Portfolios I and II, respectively,
at September 30, 2013. |
|
(B) |
The retained interests include
retained bonds of the securitizations. The fair value of which
is estimated based on pricing models. Newcastles residual
interests were written off in 2010. The weighted average yield
of the retained bonds was 23.04% as of September 30, 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 September 30, 2013:
| |
|
Subprime Portfolio |
|
| |
|
I |
|
|
II |
|
| Loan unpaid principal balance (UPB) |
|
$ |
387,199 |
|
|
$ |
521,009 |
|
| Weighted average coupon rate of loans |
|
|
5.89 |
% |
|
|
5.20 |
% |
| Delinquencies of 60 or more days (UPB) (A) |
|
$ |
113,349 |
|
|
$ |
205,941 |
|
| Net credit losses for the nine months ended September 30, 2013 |
|
$ |
18,759 |
|
|
$ |
32,448 |
|
| Cumulative net credit losses |
|
$ |
239,176 |
|
|
$ |
289,167 |
|
| Cumulative net credit losses as a % of original UPB |
|
|
15.9 |
% |
|
|
26.6 |
% |
| Percentage of ARM loans (B) |
|
|
51.2 |
% |
|
|
56.9 |
% |
| Percentage of loans with original loan-to-value ratio
>90% |
|
|
10.6 |
% |
|
|
16.8 |
% |
| Percentage of interest-only loans |
|
|
27.6 |
% |
|
|
3.3 |
% |
| Face amount of debt (C) |
|
$ |
383,199 |
|
|
$ |
521,009 |
|
| Weighted average funding cost of debt (D) |
|
|
0.55 |
% |
|
|
0.48 |
% |
|
(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 at
September 30, 2013. |
|
(D) |
Includes the effect of applicable
hedges. |
|