Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES - Real Estate Securities Holdings (Details)

v2.4.0.8
REAL ESTATE SECURITIES - Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended 9 Months Ended 9 Months Ended
Sep. 30, 2013
Integer
Dec. 31, 2012
Sep. 30, 2013
CMBS Conduit
Integer
Sep. 30, 2013
CMBS Single Borrower
Integer
Sep. 30, 2013
CMBS Large Loan
Integer
Sep. 30, 2013
REIT Debt
Integer
Sep. 30, 2013
Non-Agency RMBS
Integer
Sep. 30, 2013
ABS Franchise
Integer
Sep. 30, 2013
FNMA/FHLMC Securities
Integer
Jun. 26, 2013
FNMA/FHLMC Securities
Sep. 30, 2013
CDOs
Integer
Outstanding Face Amount $ 1,038,815 [1],[2]   $ 247,582 $ 91,877 $ 4,458 $ 29,200 [2] $ 101,315 [2],[3] $ 8,464 [2] $ 362,484 [2],[4] $ 22,800 $ 193,435 [2],[5]
Before Impairment - Amortized Cost Basis 927,052 [1]   228,850 90,996 4,411 28,607 103,810 [3] 7,647 386,640 [4]   76,091 [5]
Other Than Temporary Impairment - Amortized Cost Basis (180,679) [1]   (82,947) (12,364)       (62,860) [3] (7,647)    [4]   (14,861) [5]
Amortized Cost Basis 746,373 [1],[6]   145,903 78,632 4,411 28,607 [6] 40,950 [3],[6]    [6] 386,640 [4],[6]   61,230 [5],[6]
Gains - Gross Unrealized 80,643 [1]   52,338 4,946 47 2,608 16,576 [3]    2,151 [4]   1,977 [5]
Losses - Gross Unrealized (1,517) [1]   (201)          (20) [3]    (1,183) [4]   (113) [5]
Carrying Value $ 825,499 [1],[7] $ 1,691,575 $ 198,040 [7] $ 83,578 [7] $ 4,458 [7] $ 31,215 [7] $ 57,506 [3],[7]    [7] $ 387,608 [4],[7]   $ 63,094 [5],[7]
Number of Investments 149 [1]   35 15 1 5 34 [3] 1 46 [4]   12 [5]
Weighted Average Rating BBB- [1],[8]   B+ [8] BB [8] BBB- [8] BB+ [8] CCC [3],[8] C [8] AAA [4],[8]   CCC+ [5],[8]
Weighted Average Coupon 3.71% [1]   5.51% 5.67% 6.06% 5.89% 1.10% [3] 6.69% 2.82% [4]   2.99% [5]
Weighted Average Yield 5.64% [1]   14.17% 4.75% 11.92% 6.86% 13.14% [3] 0.00% 1.27% [4]   7.70% [5]
Weighted Average Maturity (Years) 3 years 1 month 6 days [1],[9]   3 years 2 months 12 days [9] 2 years 8 months 12 days [9] 0 years 4 months 24 days [9] 1 year 9 months 18 days [9] 5 years [3],[9]   3 years 8 months 12 days [4],[9]   1 year 2 months 12 days [5],[9]
Principal Subordination - Weighted Average     9.50% [10] 6.30% [10] 6.20% [10]   28.00% [10],[3] 0.00% [10]     19.80% [10],[5]
Principal Subordination - Weighted Average           N/A [10]     N/A [10],[4]    
[1] (G) The total outstanding face amount was $0.4 billion for fixed rate securities and $0.6 billion for floating rate securities.
[2] (A) Net of incurred losses
[3] (E) Includes the retained bond with a face amount of $4.0 million and a carrying value of $1.9 million from Securitization Trust 2006 (Note 6).
[4] (H) Amortized cost basis and carrying value include principal receivable of $4.2 million.
[5] (F) Includes two CDO bonds issued by a third party with a carrying value of $58.0 million, four CDO bonds issued by CDO V (which has been de-consolidated) and held as investments by Newcastle with a carrying value of $5.1 million and six CDO bonds issued by C-BASS Investment Management LLC ("C-BASS") with zero carrying value.
[6] (B) Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended September 30, 2013.
[7] (A) See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities.
[8] (B) 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, represent the most recent credit ratings available as of the reporting date and may not be current.
[9] (C) The weighted average maturity is based on the timing of expected principal reduction on the assets.
[10] (D) Percentage of the outstanding face amount of securities and residual interests that is subordinate to Newcastle's investments.