| Schedule of debt obligations |
The following table presents certain information regarding Newcastle’s debt obligations and related hedges at September 30, 2014:
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September 30, 2014
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Collateral
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Aggregate
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Debt Obligation/Collateral
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Month Issued
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Outstanding
Face
Amount
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Carrying
Value
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Final Stated Maturity
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Weighted
Average
Coupon (A)
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Weighted Average
Funding
Cost (B)
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Weighted Average Life(Years)
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Face Amount of
Floating Rate Debt
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Outstanding Face Amount (C)
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Amortized
Cost Basis (C)
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Carrying
Value (C)
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Weighted Average Life
(Years)
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Floating Rate Face Amount (C)
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Notional
Amount of Current Hedges (D)
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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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92,349
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$
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92,349
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Apr 2040
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0.84%
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5.36
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%
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5.2
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$
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88,894
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$
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156,016
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$
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89,826
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$
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123,941
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2.6
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$
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34,221
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$
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130,342
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CDO VIII
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Nov 2006
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71,813
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71,770
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Nov 2052
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2.12%
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6.55
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%
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2.3
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64,213
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226,441
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160,931
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175,216
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2.2
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89,874
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83,673
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CDO IX
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May 2007
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65,671
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66,739
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May 2052
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0.72%
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0.18
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%
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1.6
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65,671
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297,120
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238,374
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248,189
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2.5
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64,489
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—
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229,833
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230,858
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4.23
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%
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3.3
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218,778
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679,577
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489,131
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547,346
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2.4
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188,584
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214,015
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Other Bonds and Notes Payable
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NCT 2013-VI IMM-1 (F)
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Nov 2013
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88,223
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82,063
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Apr 2040
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LIBOR+0.25%
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5.86
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%
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1.7
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88,223
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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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88,223
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82,063
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5.86
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%
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1.7
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88,223
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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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Repurchase Agreements (G)
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CDO securities (F)
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Dec 2013
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63,804
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63,804
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Oct 2014
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LIBOR+1.65%
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1.81
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%
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0.1
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63,804
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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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63,804
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63,804
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1.81
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%
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0.1
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63,804
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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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Mortgage Notes Payable
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Fixed Rate - Managed Properties
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157,393
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158,037
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Aug 2018 to
Mar 2020
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1.66% to 4.93%
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(H) (I)
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4.84
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%
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4.6
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N/A
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N/A
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180,655
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180,655
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N/A
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N/A
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—
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Floating Rate - Managed Properties
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278,549
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278,549
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Aug 2016 to
Sept 2019
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LIBOR +2.75% to LIBOR+3.75%
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(J)
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4.55
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%
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3.6
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278,549
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N/A
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366,598
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366,598
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N/A
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N/A
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—
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Fixed Rate - Triple Net Lease Properties
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711,422
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711,422
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Jan 2021 to Jan 2024
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3.83% to 8.00%
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(K)
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5.10
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%
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7.3
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N/A
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N/A
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962,489
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962,489
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N/A
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N/A
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—
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1,147,364
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1,148,008
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4.93
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%
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6.0
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278,549
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N/A
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1,509,742
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1,509,742
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N/A
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N/A
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—
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Golf Credit Facilities (L)
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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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(M)
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4.50
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%
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3.3
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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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—
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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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3.3
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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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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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29.2
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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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—
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Capital Leases (Equipment)
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May-Sep 2014
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4,994
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4,994
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Mar 2020
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5.25%
to 7.15%
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6.96
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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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—
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160,692
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160,692
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5.25
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%
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3.4
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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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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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51,233
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Apr 2035
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7.57%
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(N)
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7.36
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%
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20.6
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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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51,233
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7.36
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%
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20.6
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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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Subtotal debt obligations
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1,740,920
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1,736,658
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4.87
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%
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5.4
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$
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699,477
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$
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679,577
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$
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1,998,873
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$
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2,057,088
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2.4
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$
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188,584
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$
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214,015
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Financing on subprime mortgage loans subject to call option (O)
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406,217
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406,217
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Total debt obligations
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$
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2,147,137
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$
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2,142,875
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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. For fixed rate mortgage notes payable, the weighted average funding cost is calculated based on the average rate during the nine months ended September 30, 2014.
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(C)
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Excluding (i) restricted cash held in CDOs to be used for principal and interest payments of CDO debt, and (ii) operating cash from the senior housing business.
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(D)
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Including the $130.3 million portion of the notional amount of interest rate swap in CDO VI, which acted as an economic hedge that was not designated 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 September 30, 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 foreseeable 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 of accrued interest payable at September 30, 2014. $63.8 million face amount of these repurchase agreements were renewed subsequent to September 30, 2014. The counterparty on these repurchase agreements is Bank of America ($63.8 million). Newcastle has margin exposure on a $63.8 million repurchase agreement related to the financing of certain Newcastle CDO VIII and CDO IX notes. 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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For loans totaling $40.7 million issued in August 2013, Newcastle bought down the interest rate to 4% for the first two years. Thereafter, the interest rate will range from 5.99% to 6.76%.
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(I)
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For a loan with a total balance of $11.4 million, the interest rate for the first two years is based on the applicable US Treasury Security rates. The interest rate for years 3 through 5 is 4.5%, 4.75% and 5.0%, respectively.
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(J)
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$165.0 million of the floating rate mortgages have a LIBOR floor of 1.0%.
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(K)
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For loans with a total balance $358.4 million and $313.5 million, Newcastle bought down the interest rate to 4.00% and 3.83%, respectively, until January 2019. Thereafter, the interest rates will increase to 4.99% and 4.56%, respectively.
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(L)
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The golf credit facilities are collateralized by all of the assets of the golf business.
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(M)
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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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(N)
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LIBOR +2.25% after April 2016.
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(O)
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Issued in April 2006 and July 2007 and secured by the general credit of Newcastle. See Note 6 regarding the securitizations of Subprime Portfolio I and II.
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