Newcastle Investment Corp., a real estate investment and finance company, is planning its debut in the ABCP arena with an extendible note asset-backed commercial paper program that will execute repurchase agreements (repos) for its high quality portfolio of agency mortgages, ARMs and hybrid mortgage securities. Furthermore, it introduces a credit enhancement technique that differs distinctly from existing SLN programs.
The conduit, Windsor Funding Trust, will issue secured liquidity notes and use the proceeds to enter in repos backed by agency and triple-A rated adjustable-rate and hybrid adjustable-rate residential MBS owned by New York City-based Newcastle Investment Corp. Those assets will take the form of trust certificates that represent beneficial interests in the underlying securities. SLNs issued from Windsor Funding will have maturities of up to 250 days. If the conduit does not have sufficient funds to repay maturing SLNs, Windsor can extend the notes up to an additional 95 days, at a stepped up maturity rate of Libor plus 25 basis points.