Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)

v3.2.0.727
REAL ESTATE RELATED AND OTHER LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS (Tables)
6 Months Ended
Jun. 30, 2015
Receivables [Abstract]  
Schedule of real estate and other 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, 2015. The loans contain various terms, including fixed and floating rates, self-amortizing and interest only. They are generally subject to prepayment.
Loan Type
Outstanding
Face Amount
 
Carrying
Value (A)
 
Loan
Count
 
Weighted
 Average
 Yield
 
Weighted Average Coupon
 
Weighted Average Life
(Years) (B)
 
Floating Rate Loans as a % of Face Amount
 
Delinquent Face Amount (C)
Mezzanine Loans
$
40,995

 
$
23,228

 
3

 
8.00
%
 
8.24
%
 
0.6

 
100.0
%
 
$

Corporate Bank Loans
185,248

 
118,598

 
4

 
22.01
%
 
18.16
%
 
1.3

 
%
 

Total Real Estate Related and other Loans Held-for-Sale, Net
$
226,243

 
$
141,826

 
7

 
19.71
%
 
16.37
%
 
1.2

 
18.1
%
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage Loans Held-for-Sale, Net (D)
$
4,206

 
$
3,527

 
6

 
13.06
%
 
1.92
%
 
1.8

 
100.0
%
 
$
766

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Subprime Mortgage Loans Subject to Call Option
$
404,149

 
$
404,149

 
 

 
 

 
 

 
 

 
 

 
 

 
(A)
Carrying value includes negligible interest receivable for the residential housing loans.
(B)
The weighted average life 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, 2015, $63.5 million face amount of real estate related and other loans was on non-accrual status.
(D)
Loans acquired at a discount for credit quality.
Schedule of real estate related and other loans by maturity
The following is a summary of real estate related and other loans by maturities at June 30, 2015:
 
Outstanding
 
 
 
Number of
Year of Maturity (1)
Face Amount
 
Carrying Value
 
Loans
Period from July 1, 2015 to December 31, 2015
$
63,454

 
$

 
4

2016
23,228

 
23,228

 
1

2017

 

 

2018

 

 

2019
139,561

 
118,598

 
2

2020

 

 

Thereafter

 

 

Total
$
226,243

 
$
141,826

 
7


(1)
Based on the final extended maturity date of each loan investment as of June 30, 2015.
Schedule of activity in carrying value of real estate related and other 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
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans
Balance at December 31, 2014
$
230,200

 
$
3,854

Purchases / additional fundings

 

Interest accrued to principal balance
11,716

 

Principal paydowns
(42,901
)
 
(103
)
Sales
(55,574
)
 

Valuation (allowance) reversal on loans
(4,451
)
 
(223
)
Accretion of loan discount, other amortization and other income
3,203

 

Other
(367
)
 
(1
)
Balance at June 30, 2015
$
141,826

 
$
3,527

Rollforward of loss allowance for real estate related and other loans and residential mortgage loans
The following is a rollforward of the related loss allowance.
 
Held-For-Sale
 
Real Estate Related and Other Loans
 
Residential Mortgage Loans
Balance at December 31, 2014
$
(75,926
)
 
$
(154
)
Charge-offs (A)
14,454

 

Valuation (allowance) reversal on loans
(4,451
)
 
(223
)
Balance at June 30, 2015
$
(65,923
)
 
$
(377
)

(A)
The charge-offs for real estate related loans represent four loans. Two loans were sold, one loan was restructured, and one loan was written off.

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, 2015:
 
Real Estate Related
and Other Loans
 
Residential Mortgage Loans
Geographic Location
Outstanding Face Amount
 
Percentage
 
Outstanding Face Amount
 
Percentage
Western U.S.
$

 
%
 
$
932

 
22.2
%
Northeastern U.S.
8,432

 
9.7
%
 
523

 
12.5
%
Southeastern U.S.
13,217

 
15.3
%
 
2,612

 
62.1
%
Midwestern U.S.

 
%
 
139

 
3.2
%
Southwestern U.S.
1,579

 
1.8
%
 

 
%
Foreign
63,454

 
73.2
%
 

 
%
 
$
86,682

 
100.0
%
 
$
4,206

 
100.0
%
Other
139,561

 
(A)
 
 

 
 

 
$
226,243

 
 

 
 

 
 

 (A)    Primarily includes corporate bank loans which are not directly secured by real estate assets.
Schedule of retained interests in securitizations of subprime mortgage loans
The following table presents information on the retained interests in Newcastle’s securitizations of subprime mortgage loans at June 30, 2015:
 
Subprime Portfolio
 
 
 
I
 
II
 
Total
Total securitized loans (unpaid principal balance) (A)
$
297,108

 
$
422,490

 
$
719,598

Loans subject to call option (carrying value)
$
297,108

 
$
107,041

 
$
404,149

Retained bonds (fair value) (B)
$
2,977

 
$

 
$
2,977

 
(A)
Average loan seasoning of 119 months and 101 months for Subprime Portfolios I and II, respectively, at June 30, 2015.
(B)
The retained interests include retained bonds of the securitizations with negligible monthly interest cash flows until principal payment is available. The fair value of which is estimated based on pricing service quotation. The weighted average yield of the retained bonds was 21.25% as of June 30, 2015.
Schedule of details regarding subprime mortgage loans and related financing in the securitizations

The following table summarizes certain characteristics of the underlying subprime mortgage loans, and related financing, in the securitizations as of June 30, 2015:
 
Subprime Portfolio
 
I
 
II
Loan unpaid principal balance (UPB)
$
297,108

 
$
422,490

Weighted average coupon rate of loans
5.65
%
 
4.51
%
Delinquencies of 60 or more days (UPB) (A)
$
64,834

 
$
131,780

Net credit losses for the six months ended June 30, 2015
$
10,348

 
$
12,629

Cumulative net credit losses
$
282,378

 
$
349,725

Cumulative net credit losses as a % of original UPB
18.8
%
 
32.2
%
Percentage of ARM loans (B)
50.9
%
 
63.6
%
Percentage of loans with original loan-to-value ratio >90%
10.7
%
 
17.1
%
Percentage of interest-only loans
1.9
%
 
4.1
%
Face amount of debt (C)
$
293,108

 
$
422,490

Weighted average funding cost of debt (D)
0.55
%
 
0.34
%
 
(A)
Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or REO.
(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, 2015.
(D)
Includes the effect of applicable hedges.