| Marketable Securities |
The following is a summary of Newcastle’s real estate securities at March 31, 2016, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired.
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Amortized Cost Basis |
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Gross Unrealized |
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Weighted Average |
Asset Type |
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Outstanding Face Amount |
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Before Impairment |
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Other-Than- Temporary Impairment |
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After Impairment |
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Gains |
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Losses |
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Carrying
Value (A) |
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Number of Securities |
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Rating (B) |
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Coupon |
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Yield |
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Life
(Years) (C) |
|
Principal Subordination (D) |
CMBS |
|
$ |
10,308 |
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$ |
10,308 |
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$ |
(10,308 |
) |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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2 |
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C |
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2.45 |
% |
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— |
% |
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0.0 |
|
— |
% |
Non-Agency RMBS |
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4,000 |
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|
2,207 |
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(1,521 |
) |
|
686 |
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2,161 |
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— |
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2,847 |
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1 |
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C |
|
0.82 |
% |
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24.47 |
% |
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10.6 |
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24.0 |
% |
ABS - Small Business Loans |
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8,464 |
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7,647 |
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(7,647 |
) |
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— |
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— |
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— |
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— |
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1 |
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C |
|
6.69 |
% |
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— |
% |
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0.0 |
|
— |
% |
CDO (E) |
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14,699 |
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— |
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— |
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— |
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9,791 |
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— |
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9,791 |
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2 |
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C |
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1.84 |
% |
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— |
% |
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4.0 |
|
26.6 |
% |
Debt Security Total / Average (F) |
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$ |
37,471 |
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$ |
20,162 |
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$ |
(19,476 |
) |
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$ |
686 |
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$ |
11,952 |
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$ |
— |
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$ |
12,638 |
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6 |
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C |
|
2.99 |
% |
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24.47 |
% |
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2.7 |
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Equity Securities |
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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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1 |
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Total Securities, Available-for-Sale |
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$ |
20,162 |
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$ |
(19,476 |
) |
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$ |
686 |
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$ |
11,952 |
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$ |
— |
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$ |
12,638 |
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7 |
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FNMA/FHLMC |
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363,080 |
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381,124 |
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— |
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381,124 |
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82 |
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— |
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381,206 |
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4 |
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AAA |
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3.50 |
% |
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2.99 |
% |
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6.3 |
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N/A |
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Total Securities, Pledged as Collateral (F) |
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$ |
363,080 |
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$ |
381,124 |
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$ |
— |
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$ |
381,124 |
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$ |
82 |
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$ |
— |
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$ |
381,206 |
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4 |
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(A)
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See Note 13 regarding the estimation of fair value, which is equal to carrying value for all securities. |
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(B)
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Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the lowest rating is used. Newcastle uses an implied AAA rating for the Fannie Mae/Freddie Mac (“FNMA/FHLMC”) securities. Ratings provided were determined by third party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current.
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(C)
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The weighted average life is based on the timing of expected principal reduction on the assets. |
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(D)
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Percentage of the outstanding face amount of securities and interests that is subordinate to Newcastle’s investments. |
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(E) |
Represents non-consolidated CDO securities, excluding 13 securities with zero value, which had an aggregate face amount of $192.0 million.
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(F) |
The total outstanding face amount was $371.6 million for fixed rate securities and $29.0 million for floating rate securities.
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| Schedule of geographic distribution of collateral securing Newcastle's CMBS and ABS |
The table below summarizes the geographic distribution of the collateral securing Newcastle’s CMBS and asset backed securities (“ABS”) at March 31, 2016:
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CMBS |
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ABS |
Geographic Location |
Outstanding Face Amount |
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Percentage |
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Outstanding Face Amount |
|
Percentage |
Western U.S. |
$ |
— |
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|
— |
% |
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$ |
1,335 |
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|
10.7 |
% |
Northeastern U.S. |
— |
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— |
% |
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3,797 |
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30.5 |
% |
Southeastern U.S. |
10,308 |
|
|
100.0 |
% |
|
1,039 |
|
|
8.3 |
% |
Midwestern U.S. |
— |
|
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— |
% |
|
5,713 |
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|
45.8 |
% |
Southwestern U.S. |
— |
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— |
% |
|
580 |
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4.7 |
% |
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$ |
10,308 |
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|
100.0 |
% |
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$ |
12,464 |
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|
100.0 |
% |
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