|
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS, SUBPRIME MORTGAGE LOANS (Tables)
|
12 Months Ended |
|
Dec. 31, 2012
|
| Real Estate Related Loans Residential Mortgage Loans Subprime Mortgage Loans Tables |
|
| Schedule of Real Estate Loans and Other Receivables |
| |
|
December 31, 2012
|
|
|
December 31, 2011
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average Coupon
|
|
|
Weighted Average Maturity
(Years) (B)
|
|
|
Floating Rate Loans as a % of Face Amount
|
|
|
|
|
|
|
|
|
|
|
|
Loan Type
|
|
Outstanding
Face Amount
|
|
|
Carrying
Value (A)
|
|
|
Loan
Count
|
|
|
Wtd. Avg. Yield
|
|
|
Delinquent Face Amount (C)
|
|
|
Carrying
Value
|
|
|
Wtd. Avg. Yield
|
|
|
Mezzanine Loans
|
|
$ |
527,793 |
|
|
$ |
442,529 |
|
|
|
17 |
|
|
|
10.10 |
% |
|
|
8.57 |
% |
|
|
2.2 |
|
|
|
67.0 |
% |
|
$ |
12,000 |
|
|
$ |
469,326 |
|
|
|
10.35 |
% |
|
Corporate Bank Loans
|
|
|
391,904 |
|
|
|
208,863 |
|
|
|
7 |
|
|
|
18.85 |
% |
|
|
8.66 |
% |
|
|
3.6 |
|
|
|
47.8 |
% |
|
|
- |
|
|
|
161,153 |
|
|
|
21.79 |
% |
|
B-Notes
|
|
|
171,258 |
|
|
|
161,610 |
|
|
|
6 |
|
|
|
10.40 |
% |
|
|
5.37 |
% |
|
|
2.1 |
|
|
|
86.4 |
% |
|
|
- |
|
|
|
152,535 |
|
|
|
12.25 |
% |
|
Whole Loans
|
|
|
30,130 |
|
|
|
30,130 |
|
|
|
3 |
|
|
|
5.21 |
% |
|
|
3.82 |
% |
|
|
1.1 |
|
|
|
96.6 |
% |
|
|
- |
|
|
|
30,566 |
|
|
|
5.31 |
% |
Total Real Estate Related Loans Held-for-Sale, Net (D)
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
33 |
|
|
|
12.15 |
% |
|
|
7.98 |
% |
|
|
2.6 |
|
|
|
64.0 |
% |
|
$ |
12,000 |
|
|
$ |
813,580 |
|
|
|
12.78 |
% |
|
Non-Securitized Manufactured Housing Loan Portfolio I
|
|
$ |
573 |
|
|
$ |
163 |
|
|
|
15 |
|
|
|
38.84 |
% |
|
|
7.75 |
% |
|
|
0.7 |
|
|
|
0.0 |
% |
|
$ |
103 |
|
|
$ |
199 |
|
|
|
39.80 |
% |
|
Non-Securitized Manufactured Housing Loan Portfolio II
|
|
|
3,072 |
|
|
|
2,308 |
|
|
|
115 |
|
|
|
15.46 |
% |
|
|
10.03 |
% |
|
|
5.5 |
|
|
|
9.1 |
% |
|
|
346 |
|
|
|
2,488 |
|
|
|
15.54 |
% |
Total Residential Mortgage Loans Held-for-Sale, Net (F)
|
|
$ |
3,645 |
|
|
$ |
2,471 |
|
|
|
130 |
|
|
|
17.00 |
% |
|
|
9.67 |
% |
|
|
4.7 |
|
|
|
7.7 |
% |
|
$ |
449 |
|
|
$ |
2,687 |
|
|
|
17.34 |
% |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitized Manufactured Housing Loan Portfolio I
|
|
$ |
118,746 |
|
|
$ |
100,124 |
|
|
|
3,172 |
|
|
|
9.48 |
% |
|
|
8.66 |
% |
|
|
6.8 |
|
|
|
0.8 |
% |
|
$ |
1,558 |
|
|
$ |
112,316 |
|
|
|
9.51 |
% |
|
Securitized Manufactured Housing Loan Portfolio II
|
|
|
153,193 |
|
|
|
150,123 |
|
|
|
5,381 |
|
|
|
7.54 |
% |
|
|
9.63 |
% |
|
|
5.6 |
|
|
|
16.8 |
% |
|
|
2,775 |
|
|
|
175,120 |
|
|
|
7.55 |
% |
|
Residential Loans
|
|
|
56,131 |
|
|
|
42,214 |
|
|
|
198 |
|
|
|
7.41 |
% |
|
|
2.56 |
% |
|
|
6.2 |
|
|
|
100.0 |
% |
|
|
9,852 |
|
|
|
43,800 |
|
|
|
7.92 |
% |
|
Total Residential Mortgage Loans Held-for-Investment, Net (E) (F)
|
|
$ |
328,070 |
|
|
$ |
292,461 |
|
|
|
8,751 |
|
|
|
8.19 |
% |
|
|
8.07 |
% |
|
|
6.1 |
|
|
|
25.2 |
% |
|
$ |
14,185 |
|
|
$ |
331,236 |
|
|
|
8.26 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subprime Mortgage Loans Subject to Call Option
|
|
$ |
406,217 |
|
|
$ |
405,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
404,723 |
|
|
|
|
|
|
| Schedule of Large Loans |
| |
|
|
|
|
December 31, 2012
|
|
|
Loan Type
|
|
|
|
|
Outstanding
Face Amount
|
|
|
Carrying Value
|
|
|
Prior Liens (1)
|
|
|
Loan
Count
|
|
|
Yield (2)
|
|
|
Coupon (2)
|
|
|
Weighted Average Maturity (Years)
|
|
|
Individual Bank Loan
|
|
|
(3) |
|
|
$ |
158,991 |
|
|
$ |
128,991 |
|
|
|
607,130 |
|
|
|
1 |
|
|
|
24.85 |
% |
|
|
15.55 |
% |
|
|
6.50 |
|
|
Individual Mezzanine Loan
|
|
|
(5) |
|
|
|
68,741 |
|
|
|
68,741 |
|
|
|
721,776 |
|
|
|
1 |
|
|
|
8.65 |
% |
|
|
8.65 |
% |
|
|
3.50 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
53,510 |
|
|
|
53,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
10.00 |
% |
|
|
10.46 |
% |
|
|
1.50 |
|
|
Individual B-Note Loan
|
|
|
(4) |
|
|
|
50,000 |
|
|
|
50,000 |
|
|
|
225,000 |
|
|
|
1 |
|
|
|
8.54 |
% |
|
|
5.93 |
% |
|
|
3.25 |
|
|
Individual Bank Loan
|
|
|
(6) |
|
|
|
128,230 |
|
|
|
47,637 |
|
|
|
- |
|
|
|
1 |
|
|
|
6.28 |
% |
|
|
2.22 |
% |
|
|
1.66 |
|
|
Individual B-Note Loan
|
|
|
(4) |
|
|
|
53,574 |
|
|
|
46,672 |
|
|
|
2,065,615 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
3.09 |
% |
|
|
1.75 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
45,000 |
|
|
|
45,000 |
|
|
|
317,000 |
|
|
|
1 |
|
|
|
9.95 |
% |
|
|
9.25 |
% |
|
|
2.00 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
40,000 |
|
|
|
40,000 |
|
|
|
324,940 |
|
|
|
1 |
|
|
|
8.42 |
% |
|
|
8.00 |
% |
|
|
1.17 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
38,510 |
|
|
|
38,510 |
|
|
|
815,728 |
|
|
|
1 |
|
|
|
12.00 |
% |
|
|
12.19 |
% |
|
|
1.50 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
36,485 |
|
|
|
36,485 |
|
|
|
214,243 |
|
|
|
1 |
|
|
|
8.67 |
% |
|
|
8.00 |
% |
|
|
1.58 |
|
|
Individual Mezzanine Loan
|
|
|
(4) |
|
|
|
36,667 |
|
|
|
35,017 |
|
|
|
745,600 |
|
|
|
1 |
|
|
|
8.00 |
% |
|
|
7.00 |
% |
|
|
3.25 |
|
|
Individual Whole Loan
|
|
|
(7) |
|
|
|
29,117 |
|
|
|
29,117 |
|
|
|
- |
|
|
|
1 |
|
|
|
5.15 |
% |
|
|
3.69 |
% |
|
|
1.12 |
|
|
Others
|
|
|
(8) |
|
|
|
382,260 |
|
|
|
223,452 |
|
|
|
|
|
|
|
21 |
|
|
|
11.78 |
% |
|
|
7.11 |
% |
|
|
1.86 |
|
| |
|
|
|
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
|
|
|
|
33 |
|
|
|
12.15 |
% |
|
|
7.98 |
% |
|
|
2.62 |
|
|
| Aging Schedule of Past Due Residential Loans Held For Investment |
| |
|
30-59 Days
|
|
|
60-89 Days
|
|
|
Over 90 Days
|
|
|
|
|
|
Total Past
|
|
|
|
|
|
Total Outstanding
|
|
| |
|
Past Due
|
|
|
Past Due
|
|
|
Past Due
|
|
|
REO
|
|
|
Due
|
|
|
Current
|
|
|
Face Amount
|
|
|
Securitized Manufactured
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Housing Loan Portoflio I
|
|
$ |
690 |
|
|
$ |
275 |
|
|
$ |
791 |
|
|
$ |
492 |
|
|
$ |
2,248 |
|
|
$ |
116,498 |
|
|
$ |
118,746 |
|
|
Securitized Manufactured
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Housing Loan Portoflio II
|
|
$ |
1,158 |
|
|
$ |
501 |
|
|
$ |
1,512 |
|
|
$ |
762 |
|
|
$ |
3,933 |
|
|
$ |
149,260 |
|
|
$ |
153,193 |
|
|
Residential Loans
|
|
$ |
- |
|
|
$ |
488 |
|
|
$ |
9,250 |
|
|
$ |
114 |
|
|
$ |
9,852 |
|
|
$ |
46,279 |
|
|
$ |
56,131 |
|
|
| Schedule of Real Estate Related Loans By Maturity |
| |
|
Outstanding
|
|
|
|
|
|
Number of
|
|
|
Year of Maturity (1)
|
|
Face Amount
|
|
|
Carrying Value
|
|
|
Loans
|
|
|
Delinquent (2)
|
|
$ |
12,000 |
|
|
$ |
- |
|
|
|
1 |
|
|
2013
|
|
|
96,942 |
|
|
|
44,850 |
|
|
|
4 |
|
|
2014
|
|
|
445,380 |
|
|
|
273,288 |
|
|
|
12 |
|
|
2015
|
|
|
59,907 |
|
|
|
56,185 |
|
|
|
5 |
|
|
2016
|
|
|
236,892 |
|
|
|
235,242 |
|
|
|
5 |
|
|
2017
|
|
|
95,359 |
|
|
|
90,161 |
|
|
|
4 |
|
|
Thereafter
|
|
|
174,605 |
|
|
|
143,406 |
|
|
|
2 |
|
|
Total
|
|
$ |
1,121,085 |
|
|
$ |
843,132 |
|
|
|
33 |
|
|
| Schedule of Activity in Carrying Value of Real Estate Loans and Residential Mortgage Loans |
| |
|
Held for Sale
|
|
|
Held for Investment
|
|
| |
|
Real Estate Related Loans
|
|
|
Residential Mortgage Loans
|
|
|
Residential Mortgage Loans
|
|
|
December 31, 2009
|
|
$ |
573,862 |
|
|
$ |
383,647 |
|
|
$ |
- |
|
|
Purchases / additional fundings
|
|
|
113,733 |
|
|
|
- |
|
|
|
- |
|
|
Interest accrued to principal balance
|
|
|
12,535 |
|
|
|
- |
|
|
|
- |
|
|
Principal paydowns
|
|
|
(136,078 |
) |
|
|
(34,781 |
) |
|
|
(10,916 |
) |
|
Sales
|
|
|
(51,225 |
) |
|
|
- |
|
|
|
- |
|
|
Transfer to held for investment
|
|
|
- |
|
|
|
(135,942 |
) |
|
|
135,942 |
|
|
Transfer to other investments
|
|
|
(24,907 |
) |
|
|
- |
|
|
|
- |
|
|
Valuation (allowance) reversal on loans
|
|
|
299,620 |
|
|
|
41,227 |
|
|
|
(960 |
) |
|
Accretion of loan discount and other amortization
|
|
|
- |
|
|
|
- |
|
|
|
1,035 |
|
|
Deconsolidation of CDO VII
|
|
|
(5,453 |
) |
|
|
- |
|
|
|
- |
|
|
Other
|
|
|
518 |
|
|
|
(938 |
) |
|
|
(127 |
) |
|
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 |
|
|
| 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 Loans
|
|
|
Residential Mortgage Loans
|
|
|
Residential Mortgage Loans (C)
|
|
|
Balance at December 31, 2010
|
|
$ |
(321,591 |
) |
|
$ |
(25,193 |
) |
|
$ |
(21,350 |
) |
|
Charge-offs (A)
|
|
|
71,945 |
|
|
|
4,232 |
|
|
|
5,802 |
|
|
Reclassified as accretable discount (B)
|
|
|
- |
|
|
|
- |
|
|
|
14,439 |
|
|
Transfer to held-for-investment
|
|
|
- |
|
|
|
21,364 |
|
|
|
(21,364 |
) |
|
Valuation (allowance) reversal on loans
|
|
|
21,629 |
|
|
|
(2,864 |
) |
|
|
(3,602 |
) |
|
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 |
) |
|
| Schedule of details 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 |
% |
|
| Schedule of Holdings in Subprime Mortgage Loans |
| |
|
Subprime Portfolio
|
|
|
|
|
| |
|
|
I |
|
|
II
|
|
|
Total
|
|
|
Total securitized loans (unpaid principal balance) (A)
|
|
$ |
423,872 |
|
|
$ |
564,569 |
|
|
$ |
988,441 |
|
|
Loans subject to call option (carrying value)
|
|
$ |
299,176 |
|
|
$ |
106,638 |
|
|
$ |
405,814 |
|
|
Retained interests (fair value) (B)
|
|
$ |
1,344 |
|
|
$ |
- |
|
|
$ |
1,344 |
|
|
| Schedule of details regarding subprime mortgage loans |
|
|
Subprime Portfolio
|
|
| |
|
|
I |
|
|
II
|
|
|
Loan unpaid principal balance (UPB) (A)
|
|
$ |
423,872 |
|
|
$ |
564,569 |
|
|
Weighted average coupon rate of loans
|
|
|
5.59 |
% |
|
|
4.71 |
% |
|
Delinquencies of 60 or more days (UPB) (B)
|
|
$ |
109,213 |
|
|
$ |
200,253 |
|
|
Net credit losses for year ended
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
$ |
27,548 |
|
|
$ |
34,866 |
|
|
December 31, 2011
|
|
$ |
29,460 |
|
|
$ |
54,217 |
|
|
Cumulative net credit losses
|
|
$ |
220,417 |
|
|
$ |
256,719 |
|
|
Cumulative net credit losses as a % of original UPB
|
|
|
14.7 |
% |
|
|
23.6 |
% |
|
Percentage of ARM loans (C)
|
|
|
51.0 |
% |
|
|
64.4 |
% |
|
Percentage of loans with loan-to-value ratio >90%
|
|
|
10.4 |
% |
|
|
17.2 |
% |
|
Percentage of interest-only loans
|
|
|
20.8 |
% |
|
|
4.1 |
% |
|
Face amount of debt (A) (D)
|
|
$ |
418,906 |
|
|
$ |
564,569 |
|
|
Weighted average funding cost of debt (E)
|
|
|
0.57 |
% |
|
|
1.11 |
% |
|
| Schedule of Cash Flows of Subprime Mortgage Holdings |
|
|
Suprime Portfolio
|
|
| |
|
|
I |
|
|
II
|
|
|
Net cash inflows from retained interests
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2012
|
|
$ |
- |
|
|
$ |
- |
|
| |
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2011
|
|
$ |
29 |
|
|
$ |
77 |
|
| |
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2010
|
|
$ |
315 |
|
|
$ |
629 |
|
|