| Schedule of Real Estate Securities Holdings |
The following is a summary of Newcastle’s real estate securities at June 30, 2013, 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.
| |
|
|
|
|
Amortized Cost Basis
|
|
|
Gross Unrealized
|
|
|
|
|
|
|
|
Weighted Average |
|
| |
|
Outstanding Face
|
|
|
Before
|
|
|
|
|
|
After
|
|
|
|
|
|
|
|
|
Carrying Value
|
|
|
|
|
Rating
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
|
Asset Type
|
|
Amount
|
|
|
Impairment
|
|
|
Impairment
|
|
|
Impairment
|
|
|
Gains
|
|
|
Losses
|
|
|
(A)
|
|
|
Securities
|
|
(B)
|
|
Coupon
|
|
|
Yield
|
|
|
(Years) (C)
|
|
|
(D)
|
|
|
CMBS-Conduit
|
|
$ |
255,555 |
|
|
$ |
226,609 |
|
|
$ |
(82,947 |
) |
|
$ |
143,662 |
|
|
$ |
53,142 |
|
|
$ |
(3,342 |
) |
|
$ |
193,462 |
|
|
|
35 |
|
B+ |
|
|
5.52 |
% |
|
|
13.90 |
% |
|
|
3.9 |
|
|
|
9.2 |
% |
|
CMBS- Single Borrower
|
|
|
92,008 |
|
|
|
90,959 |
|
|
|
(12,364 |
) |
|
|
78,595 |
|
|
|
4,297 |
|
|
|
— |
|
|
|
82,892 |
|
|
|
15 |
|
BB
|
|
|
5.68 |
% |
|
|
7.16 |
% |
|
|
3.1 |
|
|
|
6.3 |
% |
|
CMBS-Large Loan
|
|
|
5,114 |
|
|
|
5,024 |
|
|
|
— |
|
|
|
5,024 |
|
|
|
90 |
|
|
|
— |
|
|
|
5,114 |
|
|
|
1 |
|
BBB-
|
|
|
6.07 |
% |
|
|
12.20 |
% |
|
|
0.4 |
|
|
|
5.7 |
% |
|
REIT Debt
|
|
|
29,200 |
|
|
|
28,549 |
|
|
|
— |
|
|
|
28,549 |
|
|
|
2,510 |
|
|
|
— |
|
|
|
31,059 |
|
|
|
5 |
|
BB+
|
|
|
5.89 |
% |
|
|
6.85 |
% |
|
|
2.1 |
|
|
|
N/A |
|
|
Non-Agency RMBS (E)
|
|
|
107,869 |
|
|
|
105,091 |
|
|
|
(62,860 |
) |
|
|
42,231 |
|
|
|
16,892 |
|
|
|
(1 |
) |
|
|
59,122 |
|
|
|
34 |
|
CCC
|
|
|
1.09 |
% |
|
|
12.76 |
% |
|
|
4.8 |
|
|
|
24.8 |
% |
|
ABS-Franchise
|
|
|
8,464 |
|
|
|
7,647 |
|
|
|
(7,647 |
) |
|
|
— |
|
|
|
199 |
|
|
|
— |
|
|
|
199 |
|
|
|
1 |
|
C |
|
|
6.69 |
% |
|
|
0.00 |
% |
|
|
4.4 |
|
|
|
0.0 |
% |
|
FNMA/FHLMC (H)
|
|
|
311,659 |
|
|
|
335,164 |
|
|
|
— |
|
|
|
335,164 |
|
|
|
1,821 |
|
|
|
(1,171 |
) |
|
|
335,814 |
|
|
|
39 |
|
AAA
|
|
|
2.82 |
% |
|
|
1.28 |
% |
|
|
3.7 |
|
|
|
N/A |
|
|
CDO (F)
|
|
|
201,336 |
|
|
|
81,354 |
|
|
|
(14,861 |
) |
|
|
66,493 |
|
|
|
2,947 |
|
|
|
— |
|
|
|
69,440 |
|
|
|
13 |
|
CCC+
|
|
|
2.89 |
% |
|
|
8.01 |
% |
|
|
1.3 |
|
|
|
21.3 |
% |
|
Total / Average (G)
|
|
$ |
1,011,205 |
|
|
$ |
880,397 |
|
|
$ |
(180,679 |
) |
|
$ |
699,718 |
|
|
$ |
81,898 |
|
|
$ |
(4,514 |
) |
|
$ |
777,102 |
|
|
|
143 |
|
BB+
|
|
|
3.73 |
% |
|
|
6.22 |
% |
|
|
3.3 |
|
|
|
|
|
|
(A)
|
See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities.
|
| (B) |
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 used an implied AAA rating for the 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.
|
|
(C)
|
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
(D)
|
Percentage of the outstanding face amount of securities and residual interests that is subordinate to Newcastle’s investments.
|
|
(E)
|
Includes the retained bond with a face amount of $4.0 million and a carrying value of $2.2 million from Securitization Trust 2006 (Note 5).
|
|
(F)
|
Includes two CDO bonds issued by a third party with a carrying value of $60.0 million, four CDO bonds issued by CDO V (which has been deconsolidated) and held as investments by Newcastle with a carrying value of $5.4 million and seven CDO bonds issued by C-BASS with a carrying value of $4.0 million.
|
|
(G)
|
The total outstanding face amount was $0.4 billion for fixed rate securities and $0.6 billion for floating rate securities.
|
|
(H)
|
Amortized cost basis and carrying value include principal receivable of $6.5 million.
|
|
| Schedule of Real Estate Securities Holdings in an Unrealized Loss Position |
The following table summarizes Newcastle’s securities in an unrealized loss position as of June 30, 2013.
| |
|
|
|
|
Amortized Cost Basis |
|
|
Gross Unrealized
|
|
|
|
|
|
|
|
|
Weighted Average
|
|
|
Securities in
|
|
Outstanding
|
|
|
|
|
|
Other-than-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
an Unrealized
|
|
Face
|
|
|
Before
|
|
|
Temporary
|
|
|
After
|
|
|
|
|
|
|
|
|
Carrying
|
|
|
of
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
Loss Position
|
|
Amount
|
|
|
Impairment
|
|
|
Impairment
|
|
|
Impairment
|
|
|
Gains
|
|
|
Losses
|
|
|
Value
|
|
|
Securities
|
|
|
Rating
|
|
|
Coupon
|
|
|
Yield
|
|
|
(Years)
|
|
|
|
|
$ |
178,771 |
|
|
$ |
188,976 |
|
|
$ |
(1 |
) |
|
$ |
188,975 |
|
|
$ |
— |
|
|
$ |
(1,214 |
) |
|
$ |
187,761 |
|
|
|
16 |
|
|
AAA
|
|
|
|
3.00 |
% |
|
|
1.30 |
% |
|
|
3.2 |
|
|
|
|
|
12,000 |
|
|
|
11,785 |
|
|
|
— |
|
|
|
11,785 |
|
|
|
— |
|
|
|
(3,300 |
) |
|
|
8,485 |
|
|
|
2 |
|
|
B- |
|
|
|
5.37 |
% |
|
|
5.72 |
% |
|
|
3.3 |
|
|
Total
|
|
$ |
190,771 |
|
|
$ |
200,761 |
|
|
$ |
(1 |
) |
|
$ |
200,760 |
|
|
$ |
— |
|
|
$ |
(4,514 |
) |
|
$ |
196,246 |
|
|
|
18 |
|
|
AA+
|
|
|
|
3.15 |
% |
|
|
1.56 |
% |
|
|
3.2 |
|
Newcastle performed an assessment of all of its debt securities that are in an unrealized loss position (unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following:
| |
|
June 30, 2013 |
|
| |
|
|
|
|
Amortized
|
|
|
|
|
|
|
|
| |
|
|
|
|
Cost Basis
|
|
|
Unrealized Losses
|
|
| |
|
Fair Value
|
|
|
After Impairment
|
|
|
Credit (B)
|
|
|
Non-Credit (C)
|
|
|
Securities Newcastle intends to sell
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
N/A |
|
Securities Newcastle is more likely than not to be required to sell (A)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
N/A |
|
Securities Newcastle has no intent to sell and is not more likely than not to be required to sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit impaired securities
|
|
|
23 |
|
|
|
24 |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
Non credit impaired securities
|
|
|
196,223 |
|
|
|
200,736 |
|
|
|
— |
|
|
|
(4,513 |
) |
|
Total debt securities in an unrealized loss position
|
|
$ |
196,246 |
|
|
$ |
200,760 |
|
|
$ |
(1 |
) |
|
$ |
(4,514 |
) |
|
| Schedule of Credit Losses on Debt Securities |
The following table summarizes the activity related to credit losses on debt securities for the six months ended June 30, 2013:
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
|
$ |
(4,770 |
) |
|
Additions for credit losses on securities for which an OTTI was not previously recognized
|
|
|
(3,757 |
) |
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income
|
|
|
(89 |
) |
Additions for credit losses on securities for which an OTTI was previously recognized without any portion of OTTI recognized in other comprehensive income
|
|
|
— |
|
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date
|
|
|
120 |
|
|
Reduction for securities sold during the period
|
|
|
4,739 |
|
|
Reduction for securities transferred to New Residential
|
|
|
3,756 |
|
|
Reduction for securities deconsolidated during the period
|
|
|
— |
|
Reduction for increases in cash flows expected to be collected that are recognized over the remaining life of the security
|
|
|
— |
|
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
|
$ |
(1 |
) |
|
| 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 ABS at June 30, 2013:
| |
|
CMBS
|
|
|
ABS
|
|
|
Geographic Location
|
|
Outstanding Face Amount
|
|
|
Percentage
|
|
|
Outstanding Face Amount
|
|
|
Percentage
|
|
|
Western U.S.
|
|
$ |
76,197 |
|
|
|
21.6 |
% |
|
$ |
35,327 |
|
|
|
30.4 |
% |
|
Northeastern U.S.
|
|
|
66,704 |
|
|
|
18.9 |
% |
|
|
24,374 |
|
|
|
21.0 |
% |
|
Southeastern U.S.
|
|
|
69,233 |
|
|
|
19.6 |
% |
|
|
23,275 |
|
|
|
20.0 |
% |
|
Midwestern U.S.
|
|
|
56,056 |
|
|
|
15.9 |
% |
|
|
15,543 |
|
|
|
13.3 |
% |
|
Southwestern U.S.
|
|
|
66,881 |
|
|
|
19.0 |
% |
|
|
11,598 |
|
|
|
10.0 |
% |
|
Other
|
|
|
12,716 |
|
|
|
3.6 |
% |
|
|
6,216 |
|
|
|
5.3 |
% |
|
Foreign
|
|
|
4,890 |
|
|
|
1.4 |
% |
|
|
— |
|
|
|
0.0 |
% |
| |
|
$ |
352,677 |
|
|
|
100.0 |
% |
|
$ |
116,333 |
|
|
|
100.0 |
% |
|