Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE - Securities Valuation Methodology (Details 5)

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FAIR VALUE - Securities Valuation Methodology (Details 5) (USD $)
In Thousands, unless otherwise specified
Sep. 30, 2013
Dec. 31, 2012
Sep. 30, 2013
CMBS
Sep. 30, 2013
REIT Debt
Sep. 30, 2013
Non-Agency RMBS
Sep. 30, 2013
ABS Franchise
Sep. 30, 2013
FNMA/FHLMC Securities
Jun. 26, 2013
FNMA/FHLMC Securities
Sep. 30, 2013
CDOs
Outstanding Face Amount $ 1,038,815 [1],[2]   $ 343,917 [2] $ 29,200 [2] $ 101,315 [2],[3] $ 8,464 [2] $ 362,484 [2],[4] $ 22,800 $ 193,435 [2],[5]
Amortized Cost Basis 746,373 [1],[6]   228,946 [6] 28,607 [6] 40,950 [3],[6]    [6] 386,640 [4],[6]   61,230 [5],[6]
Multiple Quotes Fair Value (C) 717,324 [7]   241,108 [7] 31,215 [7] 57,393 [7]    [7] 387,608 [7]      [7]
Single Quote Fair Value (D) 100,794 [8]   42,758 [8]    [8]    [8]    [8]    [8]   58,036 [8]
Internal Pricing Models Fair Value (E) 7,381 [9]   2,210 [9]    [9] 113 [9]    [9]    [9]   5,058 [9]
Total Fair Value $ 825,499 [1],[10] $ 1,691,575 $ 286,076 $ 31,215 [10] $ 57,506 [10],[3]    [10] $ 387,608 [10],[4]   $ 63,094 [10],[5]
[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] (C) Management generally obtained pricing service quotations or broker quotations from at least two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of fair value and did not use an average of the quotes. Even if Newcastle receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes Newcastle receives. Management believes using an average of the quotes in these cases would generally not represent the fair value of the asset. Based on Newcastle's own fair value analysis using internal models, management selects one of the quotes which are believed to more accurately reflect fair value. Newcastle never adjusts quotes received.
[8] (D) Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service.
[9] (E) Securities whose fair value was estimated based on internal pricing models are further detailed as follows (See Securities valued based on internal pricing models).
[10] (A) See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities.