Current report filing

Schedule of Real Estate Securities Holdings (Details)

v2.4.0.8
Schedule of Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
Dec. 31, 2012
Dec. 31, 2011
Outstanding Face Amount $ 2,078,101 [1] $ 2,421,136 [1]
Before Impairment - Amortized Cost Basis 1,811,040 [1] 2,062,439 [1]
Other Than Temporary Investment - Amortized Cost Basis (202,253) [1],[2] (328,110) [1],[2]
After Impairment - Amortized Cost Basis 1,608,787 [1] 1,734,329 [1]
Gains - Gross Unrealized 98,762 [1] 118,090 [1]
Losses - Gross Unrealized (15,974) [1] (120,675) [1]
Carrying Value 1,691,575 [1],[3] 1,731,744 [1],[3]
Number of Securities 229 [1] 345 [1]
Rating - Weighted Average BBB- [1],[4] BB+ [1],[4]
Coupon - Weighted Average 3.04% [1] 4.60% [1]
Yield - Weighted Average 4.69% [1] 8.54% [1]
Maturity (Years) - Weighted Average 4.0 [1],[5] 4.2 [1],[5]
CDOs
    
Outstanding Face Amount 203,477 [6],[7]  
Before Impairment - Amortized Cost Basis 82,399 [6]  
Other Than Temporary Investment - Amortized Cost Basis (14,861) [2],[6]  
After Impairment - Amortized Cost Basis 67,538 [6],[8]  
Gains - Gross Unrealized 3,487 [6]  
Losses - Gross Unrealized    [6]  
Carrying Value 71,025 [3],[6]  
Number of Securities 13 [6]  
Rating - Weighted Average BB [4],[6]  
Coupon - Weighted Average 2.83% [6]  
Yield - Weighted Average 7.07% [6]  
Maturity (Years) - Weighted Average 1.6 [5],[6]  
Principal Subordination - Weighted Average 20.90% [6],[9]  
CDOs | Restated
    
Outstanding Face Amount   206,150
Before Impairment - Amortized Cost Basis   82,486
Other Than Temporary Investment - Amortized Cost Basis   (14,861) [2]
After Impairment - Amortized Cost Basis   67,625
Gains - Gross Unrealized   149
Losses - Gross Unrealized   (11,788)
Carrying Value   55,986 [3]
Number of Securities   13
Rating - Weighted Average   CCC+ [4]
Coupon - Weighted Average   3.03%
Yield - Weighted Average   8.05%
Maturity (Years) - Weighted Average   1.5 [5]
Principal Subordination - Weighted Average   21.40% [9]
FNMA/FHLMC Securities
    
Outstanding Face Amount 768,619 [7] 232,355
Before Impairment - Amortized Cost Basis 818,866 243,385
Other Than Temporary Investment - Amortized Cost Basis    [2]    [2]
After Impairment - Amortized Cost Basis 818,866 [8] 243,385
Gains - Gross Unrealized 3,860 1,715
Losses - Gross Unrealized (2,191) (185)
Carrying Value 820,535 [3] 244,915 [3]
Number of Securities 58 31
Rating - Weighted Average AAA [4] AAA [4]
Coupon - Weighted Average 3.05% 2.37%
Yield - Weighted Average 1.40% 1.63%
Maturity (Years) - Weighted Average 3.5 [5] 4.6 [5]
Principal Subordination - Weighted Average N/A [9] N/A [9]
CMBS Conduit
    
Outstanding Face Amount 340,978 1,344,819
Before Impairment - Amortized Cost Basis 315,554 1,143,910
Other Than Temporary Investment - Amortized Cost Basis (98,481) [2] (202,164) [2]
After Impairment - Amortized Cost Basis 217,073 941,746
Gains - Gross Unrealized 47,776 91,583
Losses - Gross Unrealized (10,081) (76,424)
Carrying Value 254,768 [3] 956,905 [3]
Number of Securities 53 169
Rating - Weighted Average BB- [4] BB+ [4]
Coupon - Weighted Average 5.55% 5.61%
Yield - Weighted Average 10.81% 11.03%
Maturity (Years) - Weighted Average 3.3 [5] 4.2 [5]
Principal Subordination - Weighted Average 9.80% [9] 10.80% [9]
CMBS Single Borrower
    
Outstanding Face Amount 125,123 186,088
Before Impairment - Amortized Cost Basis 123,638 180,874
Other Than Temporary Investment - Amortized Cost Basis (12,364) [2] (12,364) [2]
After Impairment - Amortized Cost Basis 111,274 168,510
Gains - Gross Unrealized 4,482 3,121
Losses - Gross Unrealized (3,002) (14,366)
Carrying Value 112,754 [3] 157,265 [3]
Number of Securities 22 33
Rating - Weighted Average BB [4] BB [4]
Coupon - Weighted Average 4.89% 5.05%
Yield - Weighted Average 5.92% 6.25%
Maturity (Years) - Weighted Average 2.9 [5] 3.6 [5]
Principal Subordination - Weighted Average 9.20% [9] 6.70% [9]
CMBS Large Loan/Single Borrower
    
Outstanding Face Amount 8,891 14,970
Before Impairment - Amortized Cost Basis 8,619 14,190
Other Than Temporary Investment - Amortized Cost Basis    [2]    [2]
After Impairment - Amortized Cost Basis 8,619 14,190
Gains - Gross Unrealized 250 519
Losses - Gross Unrealized    (61)
Carrying Value 8,869 [3] 14,648 [3]
Number of Securities 1 2
Rating - Weighted Average BBB- [4] BBB+ [4]
Coupon - Weighted Average 6.08% 5.15%
Yield - Weighted Average 12.41% 8.89%
Maturity (Years) - Weighted Average 0.6 [5] 1.2 [5]
Principal Subordination - Weighted Average 4.80% [9] 7.50% [9]
REIT Debt
    
Outstanding Face Amount 62,700 137,393
Before Impairment - Amortized Cost Basis 62,069 136,704
Other Than Temporary Investment - Amortized Cost Basis    [2] (773) [2]
After Impairment - Amortized Cost Basis 62,069 135,931
Gains - Gross Unrealized 4,105 5,060
Losses - Gross Unrealized    (5,695)
Carrying Value 66,174 [3] 135,296 [3]
Number of Securities 10 20
Rating - Weighted Average BBB- [4] BB+ [4]
Coupon - Weighted Average 5.72% 5.83%
Yield - Weighted Average 5.89% 5.72%
Maturity (Years) - Weighted Average 1.8 [5] 2.4 [5]
Principal Subordination - Weighted Average N/A [9] N/A [9]
ABS Subprime
    
Outstanding Face Amount 558,215 [10] 246,014
Before Impairment - Amortized Cost Basis 390,509 [10] 209,838
Other Than Temporary Investment - Amortized Cost Basis (68,708) [10],[2] (86,815) [2]
After Impairment - Amortized Cost Basis 321,801 [10] 123,023
Gains - Gross Unrealized 34,565 [10] 14,481
Losses - Gross Unrealized (391) [10] (8,882)
Carrying Value 355,975 [10],[3] 128,622 [3]
Number of Securities 69 [10] 63
Rating - Weighted Average CC [10],[4] B [4]
Coupon - Weighted Average 0.76% [10] 1.22%
Yield - Weighted Average 7.50% [10] 10.16%
Maturity (Years) - Weighted Average 6.4 [10],[5] 6.9 [5]
Principal Subordination - Weighted Average 13.30% [10],[9] 32.50% [9]
ABS Franchise
    
Outstanding Face Amount 10,098 23,115
Before Impairment - Amortized Cost Basis 9,386 21,598
Other Than Temporary Investment - Amortized Cost Basis (7,839) [2] (11,133) [2]
After Impairment - Amortized Cost Basis 1,547 10,465
Gains - Gross Unrealized 237 215
Losses - Gross Unrealized (309) (3,120)
Carrying Value 1,475 [3] 7,560 [3]
Number of Securities 3 7
Rating - Weighted Average CCC- [4] BB+ [4]
Coupon - Weighted Average 5.93% 3.58%
Yield - Weighted Average 3.40% 4.56%
Maturity (Years) - Weighted Average 4.7 [5] 11.0 [5]
Principal Subordination - Weighted Average 3.00% [9] 21.90% [9]
ABS Manufactured Housing
    
Outstanding Face Amount   30,232
Before Impairment - Amortized Cost Basis   29,454
Other Than Temporary Investment - Amortized Cost Basis      [2]
After Impairment - Amortized Cost Basis   29,454
Gains - Gross Unrealized   1,247
Losses - Gross Unrealized   (154)
Carrying Value   $ 30,547 [3]
Number of Securities   7
Rating - Weighted Average   BBB+ [4]
Coupon - Weighted Average   6.61%
Yield - Weighted Average   7.54%
Maturity (Years) - Weighted Average   4.2 [5]
Principal Subordination - Weighted Average   41.60% [9]
[1] (H) As of December 31, 2012 and 2011, the total outstanding face amount of fixed rate securities was $0.5 billion and $1.7 billion, respectively, and of floating rate securities was $1.5 billion and $0.7 billion, respectively.
[2] (A) Represents the cumulative impairment against amortized cost basis recorded through earnings, net of the effect of the cumulative adjustment as a result of the adoption of new accounting guidance on impairment in 2009.
[3] (B) See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities.
[4] (C) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the lowest rating is used. Newcastle used an implied AAA rating for the FNMA/FHLMC securities. Ratings provided were determined by third party rating agencies as of a particular date, may not be current and are subject to change at any time.
[5] (D) The weighted average maturity is based on the timing of expected principal reduction on the assets.
[6] (G) Includes two CDO bonds issued by a third party with a carrying value of $61.2 million, four CDO bonds issued by CDO V (which has been deconsolidated and held as an investment by Newcastle) with a carrying value of $6.0 million and seven CDO bonds issued by C-BASS with a carrying value of $3.9 million.
[7] (A) Net of incurred losses.
[8] (B) Net of discounts (or gross premiums) and after OTTI, including impairment taken during the period ended December 31, 2012.
[9] (E) Percentage of the outstanding face amount of securities and residual interests that is subordinate to Newcastle?s investments.
[10] (F) Includes (i) the retained bonds with a face amount of $4.0 million and a carrying value of $1.3 million from Securitization Trust 2006 (Note 5) and (ii) $456.0 million non-agency RMBS purchased during the year ended December 31, 2012 with an aggregate face amount of $433.5 million and a carrying value of $289.8 million as of December 31, 2012.