| Schedule of Excess Mortgage Servicing Rights (MSRs) |
The following is a summary of Newcastle’s direct investments in Excess MSRs:
| |
|
|
|
|
March 31, 2013
|
|
|
Three Months Ended
March 31, 2013
|
|
| |
|
Unpaid Principal
Balance
|
|
|
Amortized Cost
Basis (A)
|
|
|
Carrying
Value (B)
|
|
|
Weighted Average
Yield
|
|
|
Average
Maturity
(Years)
(C)
|
|
|
Changes in Fair Value
Recorded in Other
Income (Loss) (D)
|
|
|
MSR Pool 1
|
|
$ |
8,021,789 |
|
|
$ |
29,329 |
|
|
$ |
35,333 |
|
|
|
18.0 |
% |
|
|
4.8 |
|
|
$ |
266 |
|
|
MSR Pool 1 - Recapture Agreement
|
|
|
— |
|
|
|
3,676 |
|
|
|
4,355 |
|
|
|
18.0 |
% |
|
|
11.0 |
|
|
|
174 |
|
|
MSR Pool 2
|
|
|
9,038,057 |
|
|
|
32,345 |
|
|
|
33,695 |
|
|
|
17.3 |
% |
|
|
5.0 |
|
|
|
306 |
|
|
MSR Pool 2 - Recapture Agreement
|
|
|
— |
|
|
|
4,108 |
|
|
|
4,880 |
|
|
|
17.3 |
% |
|
|
12.0 |
|
|
|
591 |
|
|
MSR Pool 3
|
|
|
8,758,689 |
|
|
|
26,502 |
|
|
|
30,126 |
|
|
|
17.6 |
% |
|
|
4.7 |
|
|
|
768 |
|
|
MSR Pool 3 - Recapture Agreement
|
|
|
— |
|
|
|
4,598 |
|
|
|
4,552 |
|
|
|
17.6 |
% |
|
|
11.4 |
|
|
|
30 |
|
|
MSR Pool 4
|
|
|
5,586,851 |
|
|
|
10,809 |
|
|
|
11,969 |
|
|
|
17.9 |
% |
|
|
4.6 |
|
|
|
141 |
|
|
MSR Pool 4 - Recapture Agreement
|
|
|
— |
|
|
|
2,763 |
|
|
|
2,705 |
|
|
|
17.9 |
% |
|
|
11.1 |
|
|
|
(43 |
) |
|
MSR Pool 5
|
|
|
41,917,506 |
|
|
|
102,718 |
|
|
|
104,507 |
|
|
|
17.5 |
% |
|
|
4.7 |
|
|
|
(190 |
) |
|
MSR Pool 5 - Recapture Agreement
|
|
|
— |
|
|
|
8,460 |
|
|
|
4,433 |
|
|
|
17.5 |
% |
|
|
11.7 |
|
|
|
(185 |
) |
| |
|
$ |
73,322,892 |
|
|
$ |
225,308 |
|
|
$ |
236,555 |
|
|
|
17.6 |
% |
|
|
5.4 |
|
|
$ |
1,858 |
|
|
(A)
|
The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired.
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|
(B)
|
Carrying value represents the fair value of the pools or Recapture Agreements, as applicable.
|
|
(C)
|
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
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|
(D)
|
The portion of the change in fair value of the Recapture Agreement relating to loans recaptured to date is reflected in the respective pool.
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|