$79 million: Non-Agency RMBS investments

Invested $79 million to purchase $140 million face amount of Non‐Agency RMBS at an average price of 56.6% of par, with an expected unlevered yield of 7%, and a levered return of 17% assuming 65% financing.

$65 million: Senior Living Property investments

Invested $65 million (including working capital and transaction costs) to purchase eight senior housing assets financed with $88 million of non-recourse debt at a weighted average interest rate of 3.45% with a seven-year maturity.

CASH AND RECOURSE FINANCING

As of October 23, 2012, the Company’s cash and recourse financings, excluding junior subordinated notes, were as set forth below:
  • Unrestricted Cash Available to Invest – The Company had $184 million of unrestricted cash available to invest
  • Recourse Financing – The Company had $660 million of financing related to FNMA and FHLMC securities with a value of $695 million and $61 million of financing related to two Non-Agency RMBS bonds with a value of $93 million.

I. RESIDENTIAL SERVICING & SECURITIES

As of September 30, 2012, Newcastle’s residential servicing and securities portfolio consisted of five Excess MSRs investments with a total carrying value of $258 million and 21 Non-Agency RMBS purchased outside of the Company’s CDOs since April 2012 with a total carrying value of $200 million.

This portfolio generated total cash flow of $27 million and increased in value by $10 million.

Excess MSRs

As of September 30, 2012, the total carrying value of the Company’s Excess MSR investment was $258 million, representing a 65% interest in the net MSR cash flows on five loan portfolios with a total unpaid principal balance of $80 billion.

During the quarter, these investments generated $18 million of total cash flow and increased in value by $2 million.
  • The average updated IRR with actual performance was 19%, compared to an initial expected IRR of 18%
  • Received $29 million of life-to-date total cash flow through the end of September, or 11% of the initial investment of $262 million over an average of 4 months
  • Weighted Average Constant Prepayment Rate (“CPR”) for September was 9.5% compared to the Company’s initial CPR projection of 20%

Non-Agency RMBS

As of September 30, 2012, the Company’s Non-Agency RMBS portfolio consisted of $309 million face amount of assets (value of 64.7% of par). During the quarter, these investments generated $9 million of total cash flow and increased in value by $8 million.

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