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Newcastle Announces Third Quarter 2012 Results

(2) Represents the excess or deficiency under the applicable interest coverage or over-collateralization test to the first threshold at which cash flow would be redirected. The Company generally does not receive material interest cash flow from a CDO until a deficiency is corrected. The information regarding coverage tests is based on data from the most recent remittance date on or before September 30, 2012 or June 30, 2012, as applicable. The CDO IV test is conducted only on a quarterly basis (December, March, June and September).

(3) As of the September 2012 remittance, the face amount of assets on negative watch for possible downgrade by at least one rating agency (Moody’s, S&P, or Fitch) for CDOs IV, VIII and IX were $1.7 million, $53.8 million and zero, respectively

Other Real Estate Related Investments

As of September 30, 2012, other real estate related investments consisted of $988 million face amount of assets (value of 89.6% of par) financed with $741 million of debt. During the quarter, these investments generated $11 million of total cash flow which included:

  • $8 million of excess interest and interest on retained debt
  • $3 million of principal repayments

Senior Living Property Investments

As of September 30, 2012, the Company owned eight senior living properties consisting of $144 million of assets financed with $88 million of debt.

During the quarter, the investments generated $1.6 million of total cash flow, $0.4 million more than projected.

  • Average occupancy rate was 88%, equal to the Company’s underwriting projection
  • Average monthly revenue per occupied unit was $4,213, compared to $4,132 in the underwriting projection

INVESTMENT PORTFOLIO

The following table describes the investment portfolio as of September 30, 2012 ($ in millions):

 
                                  Weighted
Face Basis % of Carry Value Number of Average
Amount $     Amount $ (6)     Basis       Amount $     Investments     Credit (7)     Life (years) (8)
I. Residential Servicing & Securities
Excess MSRs Investments 258 244 8.6 % 258 5 -- 5.5
Non-Agency RMBS (1)   309       193     6.7 %   200 21 CC 4.8
Total Residential Servicing & Securities Assets 567 437 15.3 % 458 5.1
 
II. Commercial Real Estate Debt & Other Assets
Commercial Assets
CMBS $ 485 $ 347 12.1 % $ 378 78 BB- 3.4
Mezzanine Loans 530 443 15.5 % 443 17 77% 2.3
B-Notes 207 189 6.6 % 189 7 65% 2.4
Whole Loans 30 30 1.1 % 30 3 48% 1.3
Third-Party CDO Securities (2) 97 68 2.4 % 70 5 BB 3.7
Other Investments (3)   25       25     0.8 %   25 1 -- --
Total Commercial Assets 1,374 1,102 38.5 % 1,135 2.8
 
Residential Assets
MH and Residential Loans 342 299 10.5 % 299 9,137 704 6.2
Subprime Securities 129 49 1.7 % 61 42 CCC+ 4.9
Real Estate ABS   10       2     0.1 %   2 3 CCC- 4.9
481 350 12.3 % 362 5.8
 
FNMA/FHLMC Securities   535       563     19.7 %   568 45 AAA 4.3

Total Residential Assets

1,016 913 32.0 % 930 5.0
 
Corporate Assets
REIT Debt 88 86 3.0 % 93 11 BBB- 2.1
Corporate Bank Loans   335       180     6.3 %   180 7 CC 1.9
Total Corporate Assets 423 266 9.3 % 273 1.9
 
Senior Living Property Investments (4) 144 142 4.9 % 142 8 -- --
                 
Total Commercial Real Estate Debt & Other Assets   2,957       2,423     84.7 %   2,480 3.5
                 
Total/Weighted Average (5) $ 3,524     $ 2,860     100.0 % $ 2,938 3.8
 

(1) Represents Non-Agency RMBS purchased outside of the Company’s CDOs since April 2012.

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