Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES (Tables)

v2.4.0.6
REAL ESTATE SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2012
Notes to Financial Statements  
Schedule of Real Estate Securities Holdings

 

          Amortized Cost Basis                       Weighted Average  
    Outstanding            Other- Than- Temporary                   Number                   Maturity     Principal  
    Face     Before     Impairment     After     Gross Unrealized      Carrying     of      Rating               (Years)     Subordination  
Asset Type   Amount     Impairment     (A)     Impairment     Gains     Losses     Value (B)     Securities     (C)   Coupon     Yield     (D)     (E)  
CMBS-Conduit   $ 1,279,728     $ 1,098,922     $ (168,256 )   $ 930,666     $ 112,293     $ (46,483 )   $ 996,476       159     BB+     5.55 %     10.71 %     3.9       11.7 %
CMBS- Single Borrower     175,346       170,879       (12,364 )     158,515       3,869       (10,426 )     151,958       31     BB     5.24 %     6.54 %     3.2       6.8 %
CMBS-Large Loan     14,938       14,404       —       14,404       434       (50 )     14,788       2     BBB+     5.06 %     8.89 %     0.7       10.1 %
REIT Debt     120,288       119,542       —       119,542       5,685       (2,130 )     123,097       18     BB+     5.72 %     5.72 %     2.2       N/A  
ABS-Subprime (F)     421,669       321,385       (76,547 )     244,838       13,935       (6,033 )     252,740       70     CCC     0.89 %     8.91 %     5.5       24.7 %
ABS-Manufactured Housing     27,722       26,890       —       26,890       2,138       (74 )     28,954       7     BBB+     6.59 %     7.38 %     3.7       42.9 %
ABS-Franchise     11,121       10,835       (8,451 )     2,384       34       (391 )     2,027       4     CCC-     5.56 %     5.45 %     4.9       3.2 %
FNMA/FHLMC     377,220       400,531       —       400,531       3,127       (266 )     403,392       37     AAA     2.48 %     1.39 %     4.7       N/A  
CDO (G)     206,124       83,374       (14,861 )     68,513       25       (3,570 )     64,968       13     CCC+     3.03 %     7.76 %     1.2       21.0 %
Total / Average (H)   $ 2,634,156       2,246,762     $ (280,479 )   $ 1,966,283     $ 141,540     $ (69,423 )   $ 2,038,400       341      BB+     4.16 %     7.79 %     3.9          

  
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position

 

          Amortized Cost Basis                     Weighted Average  
Securities in an Unrealized   Outstanding           Other- than-           Gross           Number                          
Loss   Face     Before     Temporary     After     Unrealized     Carrying     of                       Maturity  
Position   Amount     Impairment     Impairment     Impairment     Gains     Losses     Value     Securities     Rating     Coupon     Yield     (Years)  
Less Than Twelve Months   $ 283,224     $ 274,738     $ (11,209 )   $ 263,529     $ —     $ (4,980 )     258,549       27        A       3.14 %     3.66 %     5.1  
Twelve or More Months     704,267       644,904       (16,707 )     628,197       —       (64,443 )     563,754       96        BB       4.43 %     6.90 %     3.1  
Total   $ 987,491     $ 919,642     $ (27,916 )   $ 891,726     $ —     $ (69,423 )   $ 822,303       123        BBB-       4.06 %     5.94 %     3.7  

 
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position and the Associated Intent to Sell

 

    June 30, 2012  
          Amortized Cost Basis     Unrealized Losses  
    Fair Value     After Impairment     Credit (B)     Non-Credit (C)  
Securities Newcastle intends to sell   $ 4,456     $ 4,456     $ (11,502 )     N/A  
Securities Newcastle is more likely than not to be required to sell (A)     —       —       —       N/A  
Securities Newcastle has no intent to sell and is not more likely than not to be required to sell:                                
Credit impaired securities     48,274       52,063       (26,752 )     (3,789 )
Non credit impaired securities     774,029       839,663       —       (65,634 )
Total debt securities in an unrealized loss position   $ 826,759     $ 896,182     $ (38,254 )   $ (69,423 )

 
Schedule of Credit Losses on Debt Securities

 

Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income   $ (20,207 )
         
Additions for credit losses on securities for which an OTTI was not previously recognized     (6,800 )
         
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income     (242 )
         
Additions for credit losses on securities for which an OTTI was previously recognized without any portion of OTTI recognized in other comprehensive income     (8,669 )
         
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date     7,188  
         
Reduction for securities sold during the period     1,498  
         
Reduction for increases in cash flows expected to be collected that are recognized over the remaining life of the security     480  
         
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income   $ (26,752 )

 
Schedule of Geographic Distribution of Collateral Securing Newcastle's CMBS and ABS

 

    CMBS     ABS  
Geographic Location   Outstanding Face Amount     Percentage     Outstanding Face Amount     Percentage  
Western U.S.   $ 574,813       39.1 %   $ 125,608       27.3 %
Northeastern U.S.     253,261       17.2 %     94,256       20.4 %
Southeastern U.S.     293,247       20.0 %     116,819       25.4 %
Midwestern U.S.     156,504       10.7 %     61,673       13.4 %
Southwestern U.S.     122,175       8.3 %     53,022       11.5 %
Other     16,823       1.1 %     9,134       2.0 %
Foreign     53,189       3.6 %     —       0.0 %
    $ 1,470,012       100.0 %   $ 460,512       100.0 %