| Schedule of debt obligations and related hedges |
The following table presents certain information regarding Newcastle's debt obligations and related hedges:
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December 31, 2014
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December 31, 2013
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Collateral
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Aggregate
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Weighted
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Weighted
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Face
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Weighted
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Floating
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Notional
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Outstanding
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Final
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Weighted
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Average
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Average
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Amount
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Outstanding
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Amortized
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Average
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Rate
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Amount of
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Outstanding
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Month
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Face
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Carrying
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Stated
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Average
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Funding
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Life
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of Floating
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Face
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Cost
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Carrying
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Life
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Face
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Current
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Face
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Carrying
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Debt Obligation/Collateral
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Issued
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Amount
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Value
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Maturity
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Coupon (A)
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Cost (B)
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(Years)
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Rate Debt
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Amount (C)
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Basis (C)
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Value (C)
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(Years)
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Amount (C)
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Hedges(D)
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Amount
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Value
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CDO Bonds Payable
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CDO VI (E)
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Apr 2005
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$
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92,462
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$
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92,462
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Apr 2040
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0.86%
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5.36
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%
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5.1
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$
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88,949
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$
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98,920
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$
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36,327
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$
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67,809
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5.1
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$
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29,734
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$
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46,528
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$
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92,018
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$
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92,018
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CDO VIII
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Nov 2006
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71,813
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71,717
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Nov 2052
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2.13%
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6.55
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%
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2.0
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64,213
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210,606
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151,760
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162,506
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1.8
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72,252
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58,291
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264,733
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264,277
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CDO IX
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May 2007
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62,578
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63,494
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May 2052
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0.74%
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0.16
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%
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1.1
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62,578
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292,487
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233,420
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242,894
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2.4
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57,295
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—
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186,765
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188,230
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226,853
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227,673
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4.28
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%
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3.0
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215,740
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602,013
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421,507
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473,209
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2.6
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159,281
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104,819
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543,516
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544,525
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Other Bonds & Notes Payable
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NCT 2013-VI IMM-1 (F)
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Nov 2013
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31,060
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27,069
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Apr 2040
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LIBOR+0.25%
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9.31
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%
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2.5
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31,060
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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96,129
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86,319
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MH Loans Portfolio I
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Apr 2010
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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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N/A
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N/A
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N/A
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N/A
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N/A
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—
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53,753
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50,424
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MH Loans Portfolio II
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May 2011
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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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N/A
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N/A
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N/A
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N/A
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N/A
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—
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93,863
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93,536
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31,060
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27,069
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9.31
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%
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2.5
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31,060
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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243,745
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230,279
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Repurchase Agreements (G)
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CDO Securities (F)
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Dec 2013
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55,894
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55,894
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Jan 2015
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LIBOR+1.65%
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1.82
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%
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0.1
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55,894
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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15,094
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15,094
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FNMA/FHLMC securities
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Nov 2014
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385,282
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385,282
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Feb 2015
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0.36%
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0.36
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%
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0.1
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—
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390,771
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403,216
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407,689
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5.6
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—
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—
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516,134
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516,134
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Residential Mortgage Loans
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Nov 2013
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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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—
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—
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—
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—
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—
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—
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25,119
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25,119
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441,176
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441,176
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0.55
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%
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0.1
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55,894
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390,771
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403,216
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407,689
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5.6
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—
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—
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556,347
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556,347
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Golf Credit Facilities (H)
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First Lien Loan
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Dec 2013
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49,923
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49,923
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Dec 2018
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LIBOR+4.00%
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(I)
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4.50
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%
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3.0
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49,923
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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46,922
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46,922
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Second Lien Loan
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Dec 2013
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105,575
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105,575
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Dec 2018
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5.50%
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5.50
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%
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3.0
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—
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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105,576
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105,576
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Vineyard II
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Dec 1993
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200
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200
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Dec 2043
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2.13%
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2.13
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%
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29.0
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200
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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—
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Capital Leases (Equipment)
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May - Dec 2014
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6,159
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6,159
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Jul 2020
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5.25% to 7.15%
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6.91
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%
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5.5
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—
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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—
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161,857
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161,857
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5.24
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%
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3.1
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50,123
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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152,498
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152,498
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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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51,231
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Apr 2035
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7.57%
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(J)
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7.36
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%
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20.3
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—
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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51,004
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51,237
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51,004
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51,231
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7.36
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%
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20.3
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—
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N/A
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N/A
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N/A
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N/A
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N/A
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—
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51,004
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51,237
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Subtotal debt obligation
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911,950
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909,006
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2.96
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%
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2.6
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352,817
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992,784
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824,723
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880,898
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3.8
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159,281
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104,819
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1,547,110
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1,534,886
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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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406,217
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406,217
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406,217
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Total debt obligation
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$
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1,318,167
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$
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1,315,223
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$
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1,953,327
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$
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1,941,103
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(A)
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Weighted average, including floating and fixed rate classes.
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(B)
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Including the effect of applicable hedges and deferred financing cost.
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(C)
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Excluding restricted cash held in CDOs to be used for principal and interest payments of CDO debt.
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(D)
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Including $46.5 million notional amount of interest rate swap in CDO VI, which was an economic hedge not designed as a hedge for accounting purposes.
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(E)
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This CDO was not in compliance with its applicable over collateralization tests as of December 31, 2014. Newcastle is not receiving cash flows from this CDO (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 this CDO to remain out of compliance for the forseeable future.
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(F)
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Represents financings of previously repurchased Newcastle CDO bonds for which the collateral is eliminated in consolidation.
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(G)
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These repurchase agreements had less than $0.1 million accrued interest payable at December 31, 2014. $436.0 million face amount of these repurchase agreements were renewed subsequent to December 31, 2014. The counterparties on these repurchase agreements are Bank of America ($55.9 million) and Nomura ($385.3 million). Newcastle has margin exposure on $441.2 million of repurchase agreements related to the financing of certain Newcastle CDO VIII, CDO IX notes and FNMA/FHLMC securities. To the extent that the value of the collateral underlying these repurchase agreements declines, Newcastle may be required to post margin, which could significantly impact its liquidity.
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(H)
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The golf credit facilities are collateralized by all of the assets of the Golf business.
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(I)
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Interest rate on this is based on 3 month LIBOR with a LIBOR floor of 0.5%.
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(J)
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LIBOR +2.25% after April 2016.
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(K)
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Issued in April 2006 and July 2007. Secured by the general credit of Newcastle. See Note 6 regarding the securitizations of Subprime Portfolio I and II.
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