Current report filing

FAIR VALUE OF FINANCIAL INSTRUMENTS - Recurring Basis (Details 2)

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FAIR VALUE OF FINANCIAL INSTRUMENTS - Recurring Basis (Details 2) (USD $)
In Thousands, unless otherwise specified
Dec. 31, 2013
Dec. 31, 2012
Assets:    
Real estate securities, available-for-sale $ 984,263 [1] $ 1,691,575 [1]
Derivative assets:    
Derivative assets 43,662 165
Principal Balance
    
Assets:    
Real estate securities, available-for-sale 1,170,905 [2]  
Derivative assets:    
Derivative assets 116,806 [2],[3],[4]  
Derivative Liabilities:    
Interest rate swaps, treated as hedges 105,031 [2],[4],[5]  
Interest rate swaps, not treated as hedges 185,871 [2],[3],[4]  
Carrying Amount
    
Assets:    
Real estate securities, available-for-sale 984,263 [2] 1,691,575 [2]
Derivative assets:    
Derivative assets 43,662 [2],[3],[4] 165 [2],[3],[4]
Derivative Liabilities:    
Interest rate swaps, treated as hedges 6,203 [2],[4],[5] 12,175 [2],[4],[5]
Interest rate swaps, not treated as hedges 7,592 [2],[3],[4] 19,401 [2],[3],[4]
Estimated Fair Value
    
Assets:    
Real estate securities, available-for-sale 984,263 [2] 1,691,575 [2]
Derivative assets:    
Derivative assets 43,662 [2],[3],[4] 165 [2],[3],[4]
Derivative Liabilities:    
Interest rate swaps, treated as hedges 6,203 [2],[4],[5] 12,175 [2],[4],[5]
Interest rate swaps, not treated as hedges 7,592 [2],[3],[4] 19,401 [2],[3],[4]
Measured on a Recurring Basis | Level 2 Inputs
    
Assets:    
Real estate securities, available-for-sale 582,456  
Derivative assets:    
Linked transactions at fair value     
Derivative assets     
Derivative Liabilities:    
Interest rate swaps, treated as hedges 6,203  
Interest rate swaps, not treated as hedges 7,592  
Derivative liabilities 13,795  
Measured on a Recurring Basis | Level 2 Inputs | CMBS
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 2 Inputs | REIT Debt
    
Assets:    
Real estate securities, available-for-sale 31,186  
Measured on a Recurring Basis | Level 2 Inputs | Non-Agency RMBS
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 2 Inputs | ABS Franchise
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 2 Inputs | FNMA/FHLMC Securities
    
Assets:    
Real estate securities, available-for-sale 551,270  
Measured on a Recurring Basis | Level 2 Inputs | CDOs
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 3 Inputs
    
Assets:    
Real estate securities, available-for-sale 401,807  
Derivative assets:    
Linked transactions at fair value 43,662  
Derivative assets 43,662  
Derivative Liabilities:    
Interest rate swaps, treated as hedges     
Interest rate swaps, not treated as hedges     
Derivative liabilities     
Measured on a Recurring Basis | Level 3 Inputs | CMBS
    
Assets:    
Real estate securities, available-for-sale 284,469  
Measured on a Recurring Basis | Level 3 Inputs | REIT Debt
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 3 Inputs | Non-Agency RMBS
    
Assets:    
Real estate securities, available-for-sale 57,581  
Measured on a Recurring Basis | Level 3 Inputs | ABS Franchise
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 3 Inputs | FNMA/FHLMC Securities
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Level 3 Inputs | CDOs
    
Assets:    
Real estate securities, available-for-sale 59,757  
Measured on a Recurring Basis | Principal Balance
    
Assets:    
Real estate securities, available-for-sale 1,170,905  
Derivative assets:    
Linked transactions at fair value 116,806  
Derivative assets 116,806  
Derivative Liabilities:    
Interest rate swaps, treated as hedges 105,031  
Interest rate swaps, not treated as hedges 185,871  
Derivative liabilities 290,902  
Measured on a Recurring Basis | Principal Balance | CMBS
    
Assets:    
Real estate securities, available-for-sale 333,121  
Measured on a Recurring Basis | Principal Balance | REIT Debt
    
Assets:    
Real estate securities, available-for-sale 29,200  
Measured on a Recurring Basis | Principal Balance | Non-Agency RMBS
    
Assets:    
Real estate securities, available-for-sale 96,762  
Measured on a Recurring Basis | Principal Balance | ABS Franchise
    
Assets:    
Real estate securities, available-for-sale 8,464  
Measured on a Recurring Basis | Principal Balance | FNMA/FHLMC Securities
    
Assets:    
Real estate securities, available-for-sale 514,994  
Measured on a Recurring Basis | Principal Balance | CDOs
    
Assets:    
Real estate securities, available-for-sale 188,364  
Measured on a Recurring Basis | Carrying Amount
    
Assets:    
Real estate securities, available-for-sale 984,263  
Derivative assets:    
Linked transactions at fair value 43,662  
Derivative assets 43,662  
Derivative Liabilities:    
Interest rate swaps, treated as hedges 6,203  
Interest rate swaps, not treated as hedges 7,592  
Derivative liabilities 13,795  
Measured on a Recurring Basis | Carrying Amount | CMBS
    
Assets:    
Real estate securities, available-for-sale 284,469  
Measured on a Recurring Basis | Carrying Amount | REIT Debt
    
Assets:    
Real estate securities, available-for-sale 31,186  
Measured on a Recurring Basis | Carrying Amount | Non-Agency RMBS
    
Assets:    
Real estate securities, available-for-sale 57,581  
Measured on a Recurring Basis | Carrying Amount | ABS Franchise
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Carrying Amount | FNMA/FHLMC Securities
    
Assets:    
Real estate securities, available-for-sale 551,270  
Measured on a Recurring Basis | Carrying Amount | CDOs
    
Assets:    
Real estate securities, available-for-sale 59,757  
Measured on a Recurring Basis | Estimated Fair Value
    
Assets:    
Real estate securities, available-for-sale 984,263  
Derivative assets:    
Linked transactions at fair value 43,662  
Derivative assets 43,662  
Derivative Liabilities:    
Interest rate swaps, treated as hedges 6,203  
Interest rate swaps, not treated as hedges 7,592  
Derivative liabilities 13,795  
Measured on a Recurring Basis | Estimated Fair Value | CMBS
    
Assets:    
Real estate securities, available-for-sale 284,469  
Measured on a Recurring Basis | Estimated Fair Value | REIT Debt
    
Assets:    
Real estate securities, available-for-sale 31,186  
Measured on a Recurring Basis | Estimated Fair Value | Non-Agency RMBS
    
Assets:    
Real estate securities, available-for-sale 57,581  
Measured on a Recurring Basis | Estimated Fair Value | ABS Franchise
    
Assets:    
Real estate securities, available-for-sale     
Measured on a Recurring Basis | Estimated Fair Value | FNMA/FHLMC Securities
    
Assets:    
Real estate securities, available-for-sale 551,270  
Measured on a Recurring Basis | Estimated Fair Value | CDOs
    
Assets:    
Real estate securities, available-for-sale $ 59,757  
[1] See Note 13 regarding the estimation of fair value, which is equal to carrying value for all securities.
[2] Measured at fair value on a recurring basis.
[3] This represents a linked transaction entered into in June 2013 with $116.8 million face amount of underlying financial securities. This derivative agreement was not designated as a hedge for accounting purposes as of December 31, 2013.
[4] Newcastle's derivatives fall into two categories. As of December 31, 2013, all derivatives liabilities, which represent three interest rate swaps, were held within Newcastle's nonrecourse structures. An aggregate notional balance of $290.9 million, is only subject to the credit risks of the respective CDO structures. As they are senior to all the debt obligations of the respective CDOs and the fair value of each of the CDOs' total investments exceeded the fair value of each of the CDOs' derivative liabilities, no credit valuation adjustments were recorded. A derivative asset with an aggregate notional balance of $116.8 million, represents linked transactions with $116.8 million face amount of underlying financed securities. Newcastle's interest rate swap counterparties include Bank of America and Bank of New York Mellon. Newcastle's derivatives are included in other assets or other liabilities in the consolidated balance sheets, as applicable.
[5] Represents derivative agreements as follows: (See Schedule of fair value of derivative assets)