Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)

v2.4.1.9
REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)
3 Months Ended
Mar. 31, 2015
Receivables [Abstract]  
Schedule of real estate and other 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 March 31, 2015. 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 Life
(Years) (B)
 
Floating Rate Loans as a % of Face Amount
 
Delinquent Face Amount (C)
Mezzanine Loans
$
92,668

 
$
65,862

 
6

 
8.56
%
 
7.26
%
 
1.2

 
60.6
%
 
$
12,000

Corporate Bank Loans
179,464

 
112,459

 
5

 
22.02
%
 
13.25
%
 
1.5

 
0.5
%
 

B-Notes
21,621

 
18,891

 
1

 
12.00
%
 
7.32
%
 
3.4

 
0.0
%
 

Whole Loans
39

 
39

 
1

 
7.48
%
 
7.48
%
 
0.1

 
0.0
%
 

Total Real Estate Related and other Loans Held-for-Sale, Net
$
293,792

 
$
197,251

 
13

 
16.56
%
 
10.92
%
 
1.5

 
19.4
%
 
$
12,000

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Loans (D)
4,259

 
3,735

 
6

 
12.98
%
 
1.91
%
 
1.1

 
100.0
%
 
766

Total Residential Mortgage Loans Held-for-Sale, Net
$
4,259

 
$
3,735

 
6

 
12.98
%
 
1.91
%
 
1.1

 
100.0
%
 
$
766

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Subprime Mortgage Loans Subject to Call Option
$
406,217

 
$
406,217

 
 

 
 

 
 

 
 

 
 

 
 

 
(A)
Carrying value includes negligible interest receivable for the residential housing loans.
(B)
The weighted average life 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 borrower’s in bankruptcy) or considered real estate owned (“REO”). As of March 31, 2015, $76.4 million face amount of real estate related and other loans was on non-accrual status.
(D)
Loans acquired at a discount for credit quality.
Schedule of real estate related loans by maturity
The following is a summary of real estate related and other loans by maturities at March 31, 2015:
 
Outstanding
 
 
 
Number of
Year of Maturity (1)
Face Amount
 
Carrying Value
 
Loans
Delinquent (2)
$
12,000

 
$

 
1

Period from April 1, 2015 to December 31, 2015
90,859

 
30,700

 
7

2016

 

 

2017
24,211

 
24,211

 
1

2018
21,621

 
18,891

 
1

2019
132,799

 
112,092

 
2

2020

 

 

Thereafter
12,302

 
11,357

 
1

Total
$
293,792

 
$
197,251

 
13


(1)
Based on the final extended maturity date of each loan investment as of March 31, 2015.
(2)
Includes loans that are non-performing, in foreclosure, or under bankruptcy.

Schedule of activity in carrying value of real estate related and other loans and residential mortgage loans
Activities relating to the carrying value of Newcastle’s real estate related and other loans and residential mortgage loans are as follows:
 
Held-for-Sale
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans
Balance at December 31, 2014
$
230,200

 
$
3,854

Interest accrued to principal balance
4,954

 

Principal paydowns
(39,263
)
 
(50
)
Valuation (allowance) reversal on loans
(289
)
 
(68
)
Accretion of loan discount and other amortization
1,649

 

Other

 
(1
)
Balance at March 31, 2015
$
197,251

 
3,735

 
Rollforward of loss allowance for real estate related and other loans and residential mortgage loans
The following is a rollforward of the related loss allowance.
 
Held-For-Sale
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans
Balance at December 31, 2014
$
(75,926
)
 
$
(154
)
Charge-offs

 

Valuation (allowance) reversal on loans
(289
)
 
(68
)
Balance at March 31, 2015
$
(76,215
)
 
$
(222
)
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 March 31, 2015:
 
Real Estate Related
and Other Loans
 
Residential Mortgage Loans
Geographic Location
Outstanding Face Amount
 
Percentage
 
Outstanding Face Amount
 
Percentage
Western U.S.
$
24,314

 
20.3
%
 
$
957

 
22.5
%
Northeastern U.S.
11,352

 
9.5
%
 
523

 
12.3
%
Southeastern U.S.
39,073

 
32.6
%
 
2,640

 
62.0
%
Midwestern U.S.
1,702

 
1.4
%
 
139

 
3.2
%
Southwestern U.S.
4,547

 
3.8
%
 

 
%
Foreign
38,757

 
32.4
%
 

 
%
 
$
119,745

 
100.0
%
 
$
4,259

 
100.0
%
Other
174,047

 
(A)
 
 

 
 

 
$
293,792

 
 

 
 

 
 

 (A)    Primarily 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 Newcastle’s securitizations of subprime mortgage loans at March 31, 2015:
 
Subprime Portfolio
 
 
 
I
 
II
 
Total
Total securitized loans (unpaid principal balance) (A)
$
311,133

 
$
437,380

 
$
748,513

Loans subject to call option (carrying value)
$
299,176

 
$
107,041

 
$
406,217

Retained interests (fair value) (B)
$
2,960

 
$

 
$
2,960

 
(A)
Average loan seasoning of 116 months and 98 months for Subprime Portfolios I and II, respectively, at March 31, 2015.
(B)
The retained interests include retained bonds of the securitizations with negligible monthly interest cash flows until principal payment is available. The fair value of which is estimated based on pricing service quotation. Newcastle’s retained interests were written off in 2010. The weighted average yield of the retained bonds was 21.25% as of March 31, 2015.
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 March 31, 2015:
 
Subprime Portfolio
 
I
 
II
Loan unpaid principal balance (UPB)
$
311,133

 
$
437,380

Weighted average coupon rate of loans
5.71
%
 
4.63
%
Delinquencies of 60 or more days (UPB) (A)
$
73,706

 
$
150,239

Net credit losses for the three months ended March 31, 2015
$
6,070

 
$
5,147

Cumulative net credit losses
$
278,100

 
$
342,243

Cumulative net credit losses as a % of original UPB
18.5
%
 
31.5
%
Percentage of ARM loans (B)
50.5
%
 
63.8
%
Percentage of loans with original loan-to-value ratio >90%
10.6
%
 
17.1
%
Percentage of interest-only loans
2.0
%
 
4.5
%
Face amount of debt (C)
$
307,133

 
$
437,380

Weighted average funding cost of debt (D)
0.53
%
 
0.44
%
 
(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 March 31, 2015.
(D)
Includes the effect of applicable hedges.