|
REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS, AND SUBPRIME MORTGAGE LOANS (Tables)
|
12 Months Ended |
|
Dec. 31, 2013
|
| Real Estate Related And Other 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.
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December 31, 2013 |
|
December 31, 2012 |
|
|
| Loan Type |
|
|
Outstanding
Face Amount
|
|
Carrying
Value (A)
|
|
Loan
Count
|
|
Wtd.
Avg.
Yield
|
|
Weighted
Average
Coupon
|
|
Weighted
Average
Maturity
(Years) (B)
|
|
Floating Rate
Loans as a %
of Face
Amount
|
|
Delinquent
Face Amount
(C)
|
|
Carrying
Value
|
|
Wtd. Avg.
Yield
|
|
|
| Mezzanine Loans |
|
$ |
172,197 |
|
$ |
139,720 |
|
|
9 |
|
|
6.63 |
% |
|
7.00 |
% |
|
1.3 |
|
|
77.5 |
% |
$ |
12,000 |
|
$ |
442,529 |
|
|
10.10 |
% |
|
| Corporate Bank Loans |
|
|
256,594 |
|
|
166,710 |
|
|
5 |
|
|
24.18 |
% |
|
13.39 |
% |
|
0.9 |
|
|
9.9 |
% |
|
|
|
|
208,863 |
|
|
18.85 |
% |
|
| B-Notes |
|
|
109,323 |
|
|
101,385 |
|
|
4 |
|
|
10.12 |
% |
|
5.30 |
% |
|
1.5 |
|
|
79.3 |
% |
|
|
|
|
161,610 |
|
|
10.40 |
% |
|
| Whole Loans |
|
|
29,715 |
|
|
29,715 |
|
|
2 |
|
|
3.65 |
% |
|
3.72 |
% |
|
0.0 |
|
|
98.0 |
% |
|
|
|
|
30,130 |
|
|
5.21 |
% |
|
| Total
Real Estate Related and other Loans Held-for-Sale, Net (D) |
|
$ |
567,829 |
|
$ |
437,530 |
|
|
20 |
|
|
13.92 |
% |
|
9.39 |
% |
|
1.1 |
|
|
48.4 |
% |
$ |
12,000 |
|
$ |
843,132 |
|
|
12.15 |
% |
|
| Non-Securitized Manufactured Housing Loan Portfolio I |
|
$ |
501 |
|
$ |
130 |
|
|
14 |
|
|
81.79 |
% |
|
7.90 |
% |
|
0.9 |
|
|
0.0 |
% |
$ |
|
|
$ |
163 |
|
|
38.84 |
% |
|
| Non-Securitized Manufactured Housing Loan Portfolio II |
|
|
2,628 |
|
|
2,055 |
|
|
97 |
|
|
15.39 |
% |
|
10.05 |
% |
|
5.1 |
|
|
9.5 |
% |
|
216 |
|
|
2,308 |
|
|
15.46 |
% |
|
| Total
Residential Mortgage Loans Held-for-Sale, Net (F) |
|
$ |
3,129 |
|
$ |
2,185 |
|
|
111 |
|
|
19.34 |
% |
|
9.71 |
% |
|
4.4 |
|
|
8.0 |
% |
$ |
216 |
|
$ |
2,471 |
|
|
17.00 |
% |
|
| Securitized Manufactured Housing Loan Portfolio I |
|
$ |
102,681 |
|
$ |
91,924 |
|
|
2,820 |
|
|
9.44 |
% |
|
8.60 |
% |
|
6.1 |
|
|
0.6 |
% |
$ |
976 |
|
$ |
100,124 |
|
|
9.48 |
% |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
|
128,975 |
|
|
128,117 |
|
|
4,653 |
|
|
8.11 |
% |
|
9.62 |
% |
|
4.9 |
|
|
16.5 |
% |
|
1,998 |
|
|
150,123 |
|
|
7.54 |
% |
|
| Residential Loans |
|
|
45,968 |
|
|
35,409 |
|
|
172 |
|
|
7.49 |
% |
|
2.26 |
% |
|
5.2 |
|
|
100.0 |
% |
|
6,756 |
|
|
42,214 |
|
|
7.41 |
% |
|
| Total
Residential Mortgage Loans Held-for-Investment, Net (E) (F) |
|
$ |
277,624 |
|
$ |
255,450 |
|
|
7,645 |
|
|
8.50 |
% |
|
8.02 |
% |
|
5.4 |
|
|
24.4 |
% |
$ |
9,730 |
|
$ |
292,461 |
|
|
8.19 |
% |
|
| Subprime Mortgage Loans Subject to Call Option |
|
$ |
406,217 |
|
$ |
406,217 |
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
405,814 |
|
|
|
|
|
| |
|
| (A) |
The aggregate United States federal income tax basis for such assets at December 31, 2013 was approximately $748.5 million (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 $4.3 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 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, 2013 and December 31, 2012, $76.5 million and $137.7 million face amount of real estate related and other loans, respectively, was on non-accrual status. |
| (D) Loans which are more than 3% of the total current carrying value (or $13.1 million) at December 31, 2013 are as follows: |
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December 31, 2013 |
|
| Loan Type |
|
|
|
Outstanding
Face Amount
|
|
Carrying Value |
|
Prior Liens
(1)
|
|
Loan
Count
|
|
Yield (2) |
|
Coupon (2) |
|
Weighted Average
Maturity (Years)
|
|
| Individual Bank Loan |
|
(3 |
) |
$ |
185,579 |
|
$ |
155,579 |
|
573,000 |
|
1 |
|
24.90 |
% |
15.55 |
% |
0.6 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
52,169 |
|
|
49,236 |
|
2,013,921 |
|
1 |
|
12.00 |
% |
3.04 |
% |
0.8 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
36,016 |
|
|
34,395 |
|
742,473 |
|
1 |
|
7.00 |
% |
7.00 |
% |
1.3 |
|
| Individual Whole Loan |
|
(5 |
) |
|
29,117 |
|
|
29,117 |
|
|
|
1 |
|
3.65 |
% |
3.65 |
% |
0.0 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
28,939 |
|
|
28,939 |
|
169,933 |
|
1 |
|
7.00 |
% |
8.00 |
% |
0.6 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
24,581 |
|
|
24,581 |
|
311,649 |
|
1 |
|
9.00 |
% |
9.00 |
% |
3.3 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
24,500 |
|
|
24,500 |
|
75,000 |
|
1 |
|
6.00 |
% |
8.17 |
% |
0.9 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
21,500 |
|
|
21,500 |
|
36,000 |
|
1 |
|
7.00 |
% |
8.48 |
% |
0.3 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
22,629 |
|
|
18,795 |
|
128,897 |
|
1 |
|
12.00 |
% |
7.32 |
% |
5.0 |
|
| Individual Mezzanine Loan |
|
(6 |
) |
|
14,205 |
|
|
14,205 |
|
|
|
1 |
|
3.42 |
% |
3.31 |
% |
0.0 |
|
| Others |
|
(7 |
) |
|
128,594 |
|
|
36,683 |
|
|
|
10 |
|
7.73 |
% |
6.85 |
% |
1.4 |
|
| |
|
|
|
$ |
567,829 |
|
$ |
437,530 |
|
|
|
20 |
|
13.92 |
% |
9.39 |
% |
1.1 |
|
| |
|
|
| |
(1) |
Represents face amount of third party liens that are senior to Newcastles position. |
| |
(2) |
For others, represents weighted average yield and weighted average coupon. |
| |
(3) |
Interest accrued to principal balance over life to maturity with a discounted payoff option prior to April 2015. Following a public offering by the debt issuer in January 2014, Newcastle received cash of $83.3 million, which reduced the face of the loan to $99.4 million. |
| |
(4) |
Interest only payments over life to maturity and balloon principal payment upon maturity. |
| |
(5) |
Interest only payments over life to maturity with a discounted payoff option prior to April 2014. The borrower repaid the financing and received the discount in January 2014. |
| |
(6) |
The borrower repaid the financing in January 2014. |
| |
(7) |
Various terms of payment. This represents $71.0 million, $44.0 million, $13.0 million and $0.6 million face amounts of bank loans, mezzanine loans, B-notes and whole loans, respectively. Each of the ten loans had a carrying value of less than $13.1 million at December 31, 2013. |
| |
|
|
| |
(E) |
The following is an aging analysis of past due residential loans held-for-investment as of December 31, 2013: |
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| |
|
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 |
|
$ |
655 |
|
$ |
99 |
|
$ |
550 |
|
$ |
327 |
|
$ |
1,631 |
|
$ |
101,050 |
|
$ |
102,681 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
$ |
963 |
|
$ |
390 |
|
$ |
1,208 |
|
$ |
400 |
|
$ |
2,961 |
|
$ |
126,014 |
|
$ |
128,975 |
|
| Residential Loans |
|
$ |
392 |
|
$ |
798 |
|
$ |
4,832 |
|
$ |
1,126 |
|
$ |
7,148 |
|
$ |
38,820 |
|
$ |
45,968 |
|
| |
|
| |
Newcastles management monitors the credit qualities of the Manufactured Housing Loan Portfolios I and II and residential loans 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 |
| Loans which are more than 3% of the total current carrying value (or $13.1 million) at December 31, 2013 are as follows: |
| |
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|
|
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|
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|
| |
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|
|
December 31, 2013 |
|
| Loan Type |
|
|
|
Outstanding
Face Amount
|
|
Carrying Value |
|
Prior Liens
(1)
|
|
Loan
Count
|
|
Yield (2) |
|
Coupon (2) |
|
Weighted Average
Maturity (Years)
|
|
| Individual Bank Loan |
|
(3 |
) |
$ |
185,579 |
|
$ |
155,579 |
|
573,000 |
|
1 |
|
24.90 |
% |
15.55 |
% |
0.6 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
52,169 |
|
|
49,236 |
|
2,013,921 |
|
1 |
|
12.00 |
% |
3.04 |
% |
0.8 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
36,016 |
|
|
34,395 |
|
742,473 |
|
1 |
|
7.00 |
% |
7.00 |
% |
1.3 |
|
| Individual Whole Loan |
|
(5 |
) |
|
29,117 |
|
|
29,117 |
|
|
|
1 |
|
3.65 |
% |
3.65 |
% |
0.0 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
28,939 |
|
|
28,939 |
|
169,933 |
|
1 |
|
7.00 |
% |
8.00 |
% |
0.6 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
24,581 |
|
|
24,581 |
|
311,649 |
|
1 |
|
9.00 |
% |
9.00 |
% |
3.3 |
|
| Individual Mezzanine Loan |
|
(4 |
) |
|
24,500 |
|
|
24,500 |
|
75,000 |
|
1 |
|
6.00 |
% |
8.17 |
% |
0.9 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
21,500 |
|
|
21,500 |
|
36,000 |
|
1 |
|
7.00 |
% |
8.48 |
% |
0.3 |
|
| Individual B-Note Loan |
|
(4 |
) |
|
22,629 |
|
|
18,795 |
|
128,897 |
|
1 |
|
12.00 |
% |
7.32 |
% |
5.0 |
|
| Individual Mezzanine Loan |
|
(6 |
) |
|
14,205 |
|
|
14,205 |
|
|
|
1 |
|
3.42 |
% |
3.31 |
% |
0.0 |
|
| Others |
|
(7 |
) |
|
128,594 |
|
|
36,683 |
|
|
|
10 |
|
7.73 |
% |
6.85 |
% |
1.4 |
|
| |
|
|
|
$ |
567,829 |
|
$ |
437,530 |
|
|
|
20 |
|
13.92 |
% |
9.39 |
% |
1.1 |
|
| |
|
|
| |
(1) |
Represents face amount of third party liens that are senior to Newcastles position. |
| |
(2) |
For others, represents weighted average yield and weighted average coupon. |
| |
(3) |
Interest accrued to principal balance over life to maturity with a discounted payoff option prior to April 2015. Following a public offering by the debt issuer in January 2014, Newcastle received cash of $83.3 million, which reduced the face of the loan to $99.4 million. |
| |
(4) |
Interest only payments over life to maturity and balloon principal payment upon maturity. |
| |
(5) |
Interest only payments over life to maturity with a discounted payoff option prior to April 2014. The borrower repaid the financing and received the discount in January 2014. |
| |
(6) |
The borrower repaid the financing in January 2014. |
| |
(7) |
Various terms of payment. This represents $71.0 million, $44.0 million, $13.0 million and $0.6 million face amounts of bank loans, mezzanine loans, B-notes and whole loans, respectively. Each of the ten loans had a carrying value of less than $13.1 million at December 31, 2013. |
|
| Schedule of aging 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, 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 |
|
$ |
655 |
|
$ |
99 |
|
$ |
550 |
|
$ |
327 |
|
$ |
1,631 |
|
$ |
101,050 |
|
$ |
102,681 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
$ |
963 |
|
$ |
390 |
|
$ |
1,208 |
|
$ |
400 |
|
$ |
2,961 |
|
$ |
126,014 |
|
$ |
128,975 |
|
| Residential Loans |
|
$ |
392 |
|
$ |
798 |
|
$ |
4,832 |
|
$ |
1,126 |
|
$ |
7,148 |
|
$ |
38,820 |
|
$ |
45,968 |
|
|
| Schedule of real estate related loans by maturity |
| The following is a summary of real estate related and other loans by maturity at December 31, 2013: |
| |
|
|
|
|
|
|
|
|
|
|
| Year of Maturity (1)
|
|
Outstanding
Face Amount |
|
Carrying Value |
|
Number of
Loans |
|
| Delinquent (2)
|
|
$ |
12,000 |
|
$ |
|
|
|
1 |
|
| 2014 |
|
|
115,623 |
|
|
49,236 |
|
|
5 |
|
| 2015 |
|
|
57,943 |
|
|
56,271 |
|
|
5 |
|
| 2016 |
|
|
64,955 |
|
|
63,334 |
|
|
2 |
|
| 2017 |
|
|
94,912 |
|
|
81,213 |
|
|
4 |
|
| 2018 |
|
|
22,628 |
|
|
18,796 |
|
|
1 |
|
| Thereafter |
|
|
199,768 |
|
|
168,680 |
|
|
2 |
|
| Total |
|
$ |
567,829 |
|
$ |
437,530 |
|
|
20 |
|
| |
|
|
| |
(1) |
Based on the final extended maturity date of each loan investment as of December 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 real estate related and other loans and residential mortgage loans are as follows: |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Held for Sale |
|
Held for Investment |
|
| |
|
Real Estate
Related Loans |
|
Residential
Mortgage Loans |
|
Residential
Mortgage Loans |
|
NPL Reverse
Mortgage Loans |
|
| 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 |
|
$ |
|
|
| Purchases / additional fundings |
|
|
315,296 |
|
|
|
|
|
|
|
|
35,138 |
|
| Interest accrued to principal balance |
|
|
26,588 |
|
|
|
|
|
|
|
|
|
|
| Principal paydowns |
|
|
(257,335 |
) |
|
(373 |
) |
|
(45,665 |
) |
|
|
|
| Sales |
|
|
(101,338 |
) |
|
|
|
|
|
|
|
|
|
| New Residential spin-off |
|
|
|
|
|
|
|
|
|
|
|
(35,865 |
) |
| Conversion to equity-GateHouse |
|
|
(393,531 |
) |
|
|
|
|
|
|
|
|
|
| Elimination after restructure-Golf |
|
|
(29,412 |
) |
|
|
|
|
|
|
|
|
|
| Valuation (allowance) reversal on loans |
|
|
19,479 |
|
|
105 |
|
|
5,451 |
|
|
|
|
| Gain on repayment of loans held for sale |
|
|
7,216 |
|
|
|
|
|
|
|
|
|
|
| Accretion of loan discount and other amortization |
|
|
6,689 |
|
|
|
|
|
3,684 |
|
|
727 |
|
| Other |
|
|
746 |
|
|
(18 |
) |
|
(481 |
) |
|
|
|
| December 31, 2013 |
|
$ |
437,530 |
|
$ |
2,185 |
|
$ |
255,450 |
|
$ |
|
|
|
| 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 (B) |
|
| 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 |
) |
| Charge-offs (A) |
|
|
68,546 |
|
|
143 |
|
|
4,780 |
|
| Valuation (allowance) reversal on loans |
|
|
19,479 |
|
|
105 |
|
|
5,451 |
|
| Balance at December 31, 2013 |
|
$ |
(94,037 |
) |
$ |
(824 |
) |
$ |
(12,247 |
) |
| |
|
|
| |
(A) |
The charge-offs for real estate related loans represent three and six loans which were written off, sold, restructured, or paid off at a discounted price during 2013 and 2012, respectively.
|
| |
(B) |
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 loans at December 31, 2013:
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Real Estate Related and Other Loans |
|
Residential Mortgage Loans |
|
| Geographic Location |
|
Outstanding Face Amount |
|
Percentage |
|
Outstanding Face Amount |
|
Percentage |
|
| Western U.S. |
|
$ |
94,204 |
|
|
29.9 |
% |
$ |
168,132 |
|
|
59.9 |
% |
| Northeastern U.S. |
|
|
34,847 |
|
|
11.0 |
% |
|
9,014 |
|
|
3.2 |
% |
| Southeastern U.S. |
|
|
52,178 |
|
|
16.5 |
% |
|
61,646 |
|
|
22.0 |
% |
| Midwestern U.S. |
|
|
11,296 |
|
|
3.6 |
% |
|
10,490 |
|
|
3.7 |
% |
| Southwestern U.S. |
|
|
32,005 |
|
|
10.1 |
% |
|
31,424 |
|
|
11.2 |
% |
| Foreign |
|
|
91,129 |
|
|
28.9 |
% |
|
47 |
|
|
0.0 |
% |
| |
|
$ |
315,659 |
|
|
100.0 |
% |
$ |
280,753 |
|
|
100.0 |
% |
| Other |
|
|
252,170 |
|
(A) |
|
|
|
|
|
|
|
| |
|
$ |
567,829 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
| |
(A) |
Includes corporate bank loans which are not directly secured by real estate assets. |
|
| Schedule of holdings in 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. |
The following table presents information on the retained interests
in the securitizations of Subprime Portfolios I and II at December 31, 2013:
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Subprime Portfolio |
|
| |
|
I |
|
II |
|
Total |
|
| Total securitized loans (unpaid principal balance) (A)
|
|
$ |
372,661 |
|
$ |
506,620 |
|
$ |
879,281 |
|
| Loans subject to call option (carrying value) |
|
$ |
299,176 |
|
$ |
107,041 |
|
$ |
406,217 |
|
| Retained interests (fair value) (B)
|
|
$ |
2,485 |
|
$ |
|
|
$ |
2,485 |
|
| |
(A) |
Average loan seasoning of 101 months and 83 months for Subprime Portfolios I and II, respectively, at December 31, 2013. |
| |
(B) |
The retained interests include retained bonds of the securitizations. Their fair value is estimated based on pricing models. Newcastles residual interests were written off in 2010. The weighted average yield of the retained note was 24.53% as of December 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 December 31, 2013 (unaudited, except
stated otherwise):
| |
|
|
|
|
|
|
|
| |
|
Subprime Portfolio |
|
| |
|
I |
|
II |
|
| Loan unpaid principal balance (UPB) (A)
|
|
$ |
372,661 |
|
$ |
506,620 |
|
| Weighted average coupon rate of loans |
|
|
5.88 |
% |
|
5.19 |
% |
| Delinquencies of 60 or more days (UPB) (B)
|
|
$ |
110,539 |
|
$ |
204,653 |
|
| Net credit losses for year ended |
|
|
|
|
|
|
|
| December 31, 2013 |
|
$ |
26,388 |
|
$ |
44,855 |
|
| December 31, 2012 |
|
$ |
27,548 |
|
$ |
34,866 |
|
| Cumulative net credit losses |
|
$ |
246,805 |
|
$ |
301,574 |
|
| Cumulative net credit losses as a % of original UPB |
|
|
16.4 |
% |
|
27.7 |
% |
| Percentage of ARM loans (C)
|
|
|
51.5 |
% |
|
57.0 |
% |
| Percentage of loans with loan-to-value ratio >90% |
|
|
9.4 |
% |
|
7.7 |
% |
| Percentage of interest-only loans |
|
|
11.4 |
% |
|
14.2 |
% |
| Face amount of debt (A) (D)
|
|
$ |
368,661 |
|
$ |
506,620 |
|
| Weighted average funding cost of debt (E)
|
|
|
0.53 |
% |
|
0.45 |
% |
| |
|
|
| |
(A) |
Audited. |
| |
(B) |
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or real estate owned. |
| |
(C) |
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. |
| |
(D) |
Excludes face amount of $4.0 million of retained notes for Subprime Portfolio I at December 31, 2013. |
| |
(E) |
Includes the effect of applicable hedges. |
|