Current report filing

Schedule of Loan Valuation (Details)

v2.4.0.8
Schedule of Loan Valuation (Details) (USD $)
In Thousands, unless otherwise specified
 12 Months Ended
Dec. 31, 2012
Dec. 31, 2011
Outstanding Face Amount $ 1,121,085 [1]  
Carrying Value 843,132 [1]  
Mezzanine Loans
    
Outstanding Face Amount 527,793  
Carrying Value 442,529 [2] 469,326 [2]
Fair Value 451,812  
Valuation Allowance/(Reversal) In Current Year 4,049  
Discount Rate Input Range 6.5%-25.0%  
Loss Severity Input Range 0.0%-100.0%  
Discount Rate Weighted Average 10.10%  
Loss Severity Weighted Average 10.60%  
Corporate Bank Loans
    
Outstanding Face Amount 391,904  
Carrying Value 208,863 [2] 161,153 [2]
Fair Value 208,863  
Valuation Allowance/(Reversal) In Current Year (19,123)  
Discount Rate Input Range 6.3%-36.3%  
Loss Severity Input Range 0.0%-100.0%  
Discount Rate Weighted Average 18.90%  
Loss Severity Weighted Average 37.60%  
B-Notes
    
Outstanding Face Amount 171,258  
Carrying Value 161,610 [2] 152,535 [2]
Fair Value 162,285  
Valuation Allowance/(Reversal) In Current Year (13,139)  
Discount Rate Input Range 8.0%-15.0%  
Loss Severity Input Range 0.0%  
Discount Rate Weighted Average 10.40%  
Loss Severity Weighted Average 0.00%  
Whole Loans
    
Outstanding Face Amount 30,130  
Carrying Value 30,130 [2] 30,566 [2]
Fair Value 30,142  
Valuation Allowance/(Reversal) In Current Year     
Discount Rate Input Range 5.1%-7.1%  
Loss Severity Input Range 0.0%-15.0%  
Discount Rate Weighted Average 5.20%  
Loss Severity Weighted Average 14.50%  
Total Real Estate Related Loans Held for Sale
    
Outstanding Face Amount 1,121,085 [3]  
Carrying Value 843,132 [2],[3] 813,580 [2]
Fair Value 853,102  
Valuation Allowance/(Reversal) In Current Year (28,213)  
Non-Securitized Manufacturing Housing Loan Portfolio I
    
Outstanding Face Amount 573  
Carrying Value 163 [2] 199 [2]
Fair Value 163  
Valuation Allowance/(Reversal) In Current Year 3  
Discount Rate Weighted Average 38.80%  
Prepayment Speed Weighted Average 0.00%  
Cumulative Default Rate Weighted Average 52.90%  
Loss Severity Weighted Average 75.00%  
Non-Securitized Manufacturing Housing Loan Portfolio II
    
Outstanding Face Amount 3,072  
Carrying Value 2,308 [2] 2,488 [2]
Fair Value 2,308  
Valuation Allowance/(Reversal) In Current Year (496)  
Discount Rate Weighted Average 15.50%  
Prepayment Speed Weighted Average 5.00%  
Cumulative Default Rate Weighted Average 3.50%  
Loss Severity Weighted Average 80.00%  
Total Residential Mortgage Loans Held For Sale
    
Outstanding Face Amount 3,645 [4]  
Carrying Value 2,471 [2],[4] 2,687 [2]
Fair Value 2,471  
Valuation Allowance/(Reversal) In Current Year (493)  
Securitized Manufacturing Housing Loan Portfolio I
    
Outstanding Face Amount 118,746  
Carrying Value 100,124 [2] 112,316 [2]
Fair Value 99,964  
Valuation Allowance/(Reversal) In Current Year (49)  
Discount Rate Weighted Average 9.50%  
Prepayment Speed Weighted Average 4.00%  
Cumulative Default Rate Weighted Average 4.00%  
Loss Severity Weighted Average 75.00%  
Securitized Manufacturing Housing Loan Portfolio II
    
Outstanding Face Amount 153,193  
Carrying Value 150,123 [2] 175,120 [2]
Fair Value 148,441  
Valuation Allowance/(Reversal) In Current Year 3,926  
Discount Rate Weighted Average 7.50%  
Prepayment Speed Weighted Average 5.00%  
Cumulative Default Rate Weighted Average 3.50%  
Loss Severity Weighted Average 80.00%  
Residential Mortgage Loans
    
Outstanding Face Amount 56,131  
Carrying Value 42,214 [2] 43,800 [2]
Fair Value 48,625  
Valuation Allowance/(Reversal) In Current Year 242  
Discount Rate Weighted Average 7.40%  
Prepayment Speed Weighted Average 4.70%  
Cumulative Default Rate Weighted Average 2.80%  
Loss Severity Weighted Average 46.60%  
Total Residential Mortgage Loans Held For Investment
    
Outstanding Face Amount 328,070 [4],[5]  
Carrying Value 292,461 [2],[4],[5] 331,236 [2]
Fair Value 297,030  
Valuation Allowance/(Reversal) In Current Year $ 4,119  
[1] (1) Based on the final extended maturity date of each loan investment as of December 31, 2012.
[2] (A) The aggregate United States federal income tax basis for such assets at December 31, 2012 was approximately $1.3 billion (unaudited), excluding the securitized subprime mortgage loans, which are fully consolidated for tax purposes. Carrying value includes interest receivable of $0.1 million for the residential housing loans and principal and interest receivable of $4.8 million for the manufactured housing loans.
[3] (D) Loans which are more than 3% of the total current carrying value (or $25.3 million) at December 31, 2012 are as follows (See Table Schedule of Large Loans for details).
[4] (F) Loans acquired at a discount for credit quality.
[5] (E) The following is an aging analysis of past due residential loans held-for-investment as of December 31, 2012 (See Table Aging Schedule of Past Due Residential Loans Held For Investment). Newcastle's management monitors the credit quality of the Manufactured Housing Loan Portfolios I and II primarily by using the aging analysis, current trends in delinquencies and the actual loss incurrence rate.