|
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)
|
6 Months Ended |
|
Jun. 30, 2013
|
| Real Estate Related Loans Residential Mortgage Loans And Subprime Mortgage Loans Tables |
|
| Schedule of Real Estate Related Loans, Residential Mortgage Loans and Subprime Mortgage Loans |
The following is a summary of real estate related and other loans, residential mortgage loans and subprime mortgage loans at June 30, 2013. The loans contain various terms, including fixed and floating rates, self-amortizing and interest only. They are generally subject to prepayment.
| |
|
Outstanding
|
|
|
|
|
|
|
|
|
Weighted
|
|
|
Weighted
|
|
|
|
|
|
Floating Rate Loans as a %
|
|
|
Delinquent
|
|
| |
|
Face |
|
|
Carrying
|
|
|
Loan
|
|
|
Average
|
|
|
Average
|
|
|
Maturity
|
|
|
of Face
|
|
|
Face
|
|
|
Loan Type
|
|
Amount
|
|
|
Value (A)
|
|
|
Count
|
|
|
Yield
|
|
|
Coupon
|
|
|
(Years) (B)
|
|
|
Amount
|
|
|
Amount (C)
|
|
|
Mezzanine Loans
|
|
$ |
430,584 |
|
|
$ |
350,127 |
|
|
|
15 |
|
|
|
9.07 |
% |
|
|
8.74 |
% |
|
|
1.0 |
|
|
|
75.7 |
% |
|
$ |
12,000 |
|
|
Corporate Bank Loans
|
|
|
783,448 |
|
|
|
363,337 |
|
|
|
7 |
|
|
|
14.03 |
% |
|
|
5.72 |
% |
|
|
1.5 |
|
|
|
72.3 |
% |
|
|
— |
|
|
B-Notes
|
|
|
110,944 |
|
|
|
94,040 |
|
|
|
4 |
|
|
|
10.65 |
% |
|
|
5.30 |
% |
|
|
1.1 |
|
|
|
79.3 |
% |
|
|
— |
|
|
Whole Loans
|
|
|
29,923 |
|
|
|
29,923 |
|
|
|
2 |
|
|
|
4.81 |
% |
|
|
3.78 |
% |
|
|
0.7 |
|
|
|
97.3 |
% |
|
|
— |
|
Total Real Estate Related and other Loans Held-for-Sale, Net
|
|
$ |
1,354,899 |
|
|
$ |
837,427 |
|
|
|
28 |
|
|
|
11.25 |
% |
|
|
6.60 |
% |
|
|
1.3 |
|
|
|
74.5 |
% |
|
$ |
12,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Securitized Manufactured Housing Loan Portfolio I
|
|
$ |
565 |
|
|
$ |
146 |
|
|
|
15 |
|
|
|
68.47 |
% |
|
|
7.77 |
% |
|
|
0.9 |
|
|
|
0.0 |
% |
|
$ |
56 |
|
Non-Securitized Manufactured Housing Loan Portfolio II
|
|
|
2,780 |
|
|
|
2,120 |
|
|
|
105 |
|
|
|
15.46 |
% |
|
|
10.04 |
% |
|
|
5.3 |
|
|
|
9.5 |
% |
|
|
35 |
|
Total Residential Mortgage Loans Held-for-Sale, Net (D)
|
|
$ |
3,345 |
|
|
$ |
2,266 |
|
|
|
120 |
|
|
|
18.89 |
% |
|
|
9.66 |
% |
|
|
4.5 |
|
|
|
7.9 |
% |
|
$ |
91 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitized Manufactured Housing Loan Portfolio I (D)(E)
|
|
$ |
110,589 |
|
|
$ |
94,909 |
|
|
|
2,984 |
|
|
|
9.45 |
% |
|
|
8.62 |
% |
|
|
6.3 |
|
|
|
0.7 |
% |
|
$ |
1,059 |
|
Securitized Manufactured Housing Loan Portfolio II (D)(E)
|
|
|
140,828 |
|
|
|
138,895 |
|
|
|
5,027 |
|
|
|
7.70 |
% |
|
|
9.64 |
% |
|
|
5.5 |
|
|
|
16.5 |
% |
|
|
2,285 |
|
|
Residential Loans (D)(E)
|
|
|
51,886 |
|
|
|
39,528 |
|
|
|
185 |
|
|
|
7.66 |
% |
|
|
2.43 |
% |
|
|
5.9 |
|
|
|
100.0 |
% |
|
|
7,455 |
|
Total Residential Mortgage Loans Held-for-Investment, Net
|
|
$ |
303,303 |
|
|
$ |
273,332 |
|
|
|
8,196 |
|
|
|
8.30 |
% |
|
|
8.04 |
% |
|
|
5.8 |
|
|
|
25.0 |
% |
|
$ |
10,799 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subprime Mortgage Loans Subject to Call Option
|
|
$ |
406,217 |
|
|
$ |
406,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(A)
|
Carrying value includes interest receivable of $0.1 million for the residential housing loans and principal and interest receivable of $4.8 million for the manufactured housing loans.
|
|
(B)
|
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
(C)
|
Includes loans that are 60 or more days past due (including loans that are in foreclosure, or borrower’s in bankruptcy) or considered real estate owned (“REO”). As of June 30, 2013, $140.7 million face amount of real estate related and other loans was on non-accrual status.
|
|
(D)
|
Loans acquired at a discount for credit quality.
|
|
(E)
|
The following is an aging analysis of past due residential loans held-for-investment as of June 30, 2013:
|
| |
|
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 Portfolio I
|
|
$ |
337 |
|
|
$ |
170 |
|
|
$ |
452 |
|
|
$ |
437 |
|
|
$ |
1,396 |
|
|
$ |
109,193 |
|
|
$ |
110,589 |
|
Securitized Manufactured Housing Loan Portfolio II
|
|
$ |
1,184 |
|
|
$ |
371 |
|
|
$ |
1,383 |
|
|
$ |
531 |
|
|
$ |
3,469 |
|
|
$ |
137,359 |
|
|
$ |
140,828 |
|
|
Residential Loans
|
|
$ |
875 |
|
|
$ |
405 |
|
|
$ |
6,561 |
|
|
$ |
489 |
|
|
$ |
8,330 |
|
|
$ |
43,556 |
|
|
$ |
51,886 |
|
Newcastle’s management monitors the credit qualities of the Manufactured Housing Loan Portfolios I and II primarily by using aging analyses, current trends in delinquencies and actual loss incurrence rates.
|
| 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 Portfolio I
|
|
$ |
337 |
|
|
$ |
170 |
|
|
$ |
452 |
|
|
$ |
437 |
|
|
$ |
1,396 |
|
|
$ |
109,193 |
|
|
$ |
110,589 |
|
Securitized Manufactured Housing Loan Portfolio II
|
|
$ |
1,184 |
|
|
$ |
371 |
|
|
$ |
1,383 |
|
|
$ |
531 |
|
|
$ |
3,469 |
|
|
$ |
137,359 |
|
|
$ |
140,828 |
|
|
Residential Loans
|
|
$ |
875 |
|
|
$ |
405 |
|
|
$ |
6,561 |
|
|
$ |
489 |
|
|
$ |
8,330 |
|
|
$ |
43,556 |
|
|
$ |
51,886 |
|
|
| Schedule of Real Estate Related Loans By Maturity |
The following is a summary of real estate related and other loans by maturities at June 30, 2013:
| |
|
Outstanding
|
|
|
|
|
|
Number of
|
|
|
Year of Maturity (1)
|
|
Face Amount
|
|
|
Carrying Value
|
|
|
Loans
|
|
|
Delinquent (2)
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
|
1 |
|
|
Period from July 1, 2013 to December 31, 2013
|
|
|
87,151 |
|
|
|
29,272 |
|
|
|
2 |
|
|
2014
|
|
|
814,634 |
|
|
|
414,636 |
|
|
|
11 |
|
|
2015
|
|
|
58,302 |
|
|
|
55,794 |
|
|
|
5 |
|
|
2016
|
|
|
101,134 |
|
|
|
99,511 |
|
|
|
3 |
|
|
2017
|
|
|
95,104 |
|
|
|
82,786 |
|
|
|
4 |
|
|
2018
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Thereafter
|
|
|
186,574 |
|
|
|
155,428 |
|
|
|
2 |
|
|
Total
|
|
$ |
1,354,899 |
|
|
$ |
837,427 |
|
|
|
28 |
|
|
(1)
|
Based on the final extended maturity date of each loan investment as of June 30, 2013.
|
|
(2)
|
Includes loans that are non-performing, in foreclosure, or under bankruptcy.
|
|
| Schedule of Activity in Carrying Value of Real Estate Loans and Residential Mortgage Loans |
Activities relating to the carrying value of Newcastle’s real estate related and other loans and residential mortgage loans are as follows:
| |
|
Held-for-Sale
|
|
|
Held-for-Investment
|
|
| |
|
Real Estate Related
|
|
|
Residential Mortgage
|
|
|
Residential Mortgage
|
|
|
Reverse
|
|
| |
|
and Other Loans
|
|
|
Loans
|
|
|
Loans
|
|
|
Mortgage Loans
|
|
|
Balance at December 31, 2012
|
|
$ |
843,132 |
|
|
$ |
2,471 |
|
|
$ |
292,461 |
|
|
$ |
— |
|
|
Purchases / additional fundings
|
|
|
139,096 |
|
|
|
— |
|
|
|
— |
|
|
|
35,138 |
|
|
Interest accrued to principal balance
|
|
|
12,673 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Principal paydowns
|
|
|
(153,263 |
) |
|
|
(180 |
) |
|
|
(22,125 |
) |
|
|
— |
|
|
Sales
|
|
|
(9,318 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Spin-off of New Residential
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(35,865 |
) |
|
Valuation (allowance) reversal on loans
|
|
|
(2,262 |
) |
|
|
(12 |
) |
|
|
749 |
|
|
|
— |
|
|
Loss on repayment of loans held-for-sale
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accretion of loan discount and other amortization
|
|
|
6,689 |
|
|
|
— |
|
|
|
2,201 |
|
|
|
727 |
|
|
Other
|
|
|
680 |
|
|
|
(13 |
) |
|
|
46 |
|
|
|
— |
|
|
Balance at June 30, 2013
|
|
$ |
837,427 |
|
|
|
2,266 |
|
|
$ |
273,332 |
|
|
$ |
— |
|
|
| 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
|
|
|
Residential Mortgage
|
|
|
Residential Mortgage
|
|
| |
|
and Other Loans
|
|
|
Loans
|
|
|
Loans (A)
|
|
|
Balance at December 31, 2012
|
|
$ |
(182,062 |
) |
|
$ |
(1,072 |
) |
|
$ |
(22,478 |
) |
|
Charge-offs
|
|
|
60 |
|
|
|
121 |
|
|
|
2,641 |
|
|
Valuation (allowance) reversal on loans
|
|
|
(2,262 |
) |
|
|
(12 |
) |
|
|
749 |
|
|
Balance at June 30, 2013
|
|
$ |
(184,264 |
) |
|
$ |
(963 |
) |
|
$ |
(19,088 |
) |
|
(A)
|
The allowance for credit losses was determined based on the guidance for loans acquired with deteriorated credit quality.
|
|
| Schedule of geographic distribution of real estate related and other loans and residential mortgage loans |
The table below summarizes the geographic distribution of real estate related and other loans and residential mortgage loans at June 30, 2013:
| |
|
Real Estate Related and Other Loans
|
|
|
Residential Mortgage Loans
|
|
|
Geographic Location
|
|
Outstanding Face Amount
|
|
|
Percentage
|
|
|
Outstanding Face Amount
|
|
|
Percentage
|
|
|
Western U.S.
|
|
$ |
146,173 |
|
|
|
25.1 |
% |
|
$ |
184,106 |
|
|
|
60.0 |
% |
|
Northeastern U.S.
|
|
|
103,867 |
|
|
|
17.8 |
% |
|
|
9,746 |
|
|
|
3.2 |
% |
|
Southeastern U.S.
|
|
|
86,867 |
|
|
|
14.9 |
% |
|
|
67,706 |
|
|
|
22.1 |
% |
|
Midwestern U.S.
|
|
|
62,707 |
|
|
|
10.8 |
% |
|
|
11,677 |
|
|
|
3.8 |
% |
|
Southwestern U.S.
|
|
|
77,187 |
|
|
|
13.3 |
% |
|
|
33,363 |
|
|
|
10.9 |
% |
|
Foreign
|
|
|
105,227 |
|
|
|
18.1 |
% |
|
|
50 |
|
|
|
0.0 |
% |
| |
|
$ |
582,028 |
|
|
|
100.0 |
% |
|
$ |
306,648 |
|
|
|
100.0 |
% |
|
Other
|
|
|
772,871 |
|
|
(A)
|
|
|
|
|
|
|
|
|
|
| |
|
$ |
1,354,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Includes corporate bank loans which are not directly secured by real estate assets.
|
|
| Schedule of Holdings in Subprime Mortgage Loans |
The following table presents information on the retained interests in Newcastle’s securitizations of subprime mortgage loans at June 30, 2013:
| |
|
Subprime Portfolio
|
|
|
|
|
| |
|
|
I |
|
|
II
|
|
|
Total
|
|
|
Total securitized loans (unpaid principal balance) (A)
|
|
$ |
401,031 |
|
|
$ |
536,893 |
|
|
$ |
937,924 |
|
|
Loans subject to call option (carrying value)
|
|
$ |
299,176 |
|
|
$ |
107,041 |
|
|
$ |
406,217 |
|
|
Retained interests (fair value) (B)
|
|
$ |
2,152 |
|
|
$ |
— |
|
|
$ |
2,152 |
|
|
(A)
|
Average loan seasoning of 95 months and 77 months for Subprime Portfolios I and II, respectively, at June 30, 2013.
|
|
(B)
|
The retained interests include retained bonds of the securitizations. The fair value of which is estimated based on pricing models. Newcastle’s residual interests were written off in 2010. The weighted average yield of the retained bonds was 24.34% as of June 30, 2013.
|
|
| Schedule of details regarding subprime mortgage loans |
The following table summarizes certain characteristics of the underlying subprime mortgage loans, and related financing, in the securitizations as of June 30, 2013:
| |
|
Subprime Portfolio
|
|
| |
|
|
I |
|
|
II
|
|
|
Loan unpaid principal balance (UPB)
|
|
$ |
401,031 |
|
|
$ |
536,893 |
|
|
Weighted average coupon rate of loans
|
|
|
5.80 |
% |
|
|
4.93 |
% |
|
Delinquencies of 60 or more days (UPB) (A)
|
|
$ |
111,458 |
|
|
$ |
212,516 |
|
|
Net credit losses for the six months ended June 30, 2013
|
|
$ |
12,669 |
|
|
$ |
18,678 |
|
|
Cumulative net credit losses
|
|
$ |
233,086 |
|
|
$ |
275,397 |
|
|
Cumulative net credit losses as a % of original UPB
|
|
|
15.5 |
% |
|
|
25.3 |
% |
|
Percentage of ARM loans (B)
|
|
|
50.8 |
% |
|
|
64.3 |
% |
|
Percentage of loans with original loan-to-value ratio >90%
|
|
|
10.5 |
% |
|
|
17.1 |
% |
|
Percentage of interest-only loans
|
|
|
27.4 |
% |
|
|
3.7 |
% |
|
Face amount of debt (C)
|
|
$ |
397,031 |
|
|
$ |
536,893 |
|
|
Weighted average funding cost of debt (D)
|
|
|
0.56 |
% |
|
|
0.51 |
% |
|
(A)
|
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or real estate owned.
|
|
(B)
|
ARM loans are adjustable-rate mortgage loans. An option ARM is an adjustable-rate mortgage that provides the borrower with an option to choose from several payment amounts each month for a specified period of the loan term. None of the loans in the subprime portfolios are option ARMs.
|
|
(C)
|
Excludes face amount of $4.0 million of retained notes for Subprime Portfolio I at June 30, 2013.
|
|
(D)
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Includes the effect of applicable hedges.
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