Annual report pursuant to Section 13 and 15(d)

REAL ESTATE SECURITIES (Tables)

v2.4.0.6
REAL ESTATE SECURITIES (Tables)
 12 Months Ended
Dec. 31, 2012
Real Estate Securities Tables  
Schedule of Real Estate Securities Holdings
         
Amortized Cost Basis
    
Gross Unrealized
                
Weighted Average
  
Asset Type
  
Outstanding Face Amount
    
Before Impairment
    
Other-Than-Temporary-Impairment (A)
    
After Impairment
    
Gains
    
Losses
    
Carrying Value (B)
    
Number of
Securities
    
 
Rating (C)
    
Coupon
    
Yield
    
Maturity (Years) (D)
    
Principal Subordination (E)
  
December 31, 2012
                                                                              
CMBS-Conduit
   $ 340,978     $ 315,554     $ (98,481 )   $ 217,073     $ 47,776     $ (10,081 )   $ 254,768       53    
BB-
       5.55 %     10.81 %     3.3       9.8 %
CMBS- Single Borrower
     125,123       123,638       (12,364 )     111,274       4,482       (3,002 )     112,754       22    
BB
       4.89 %     5.92 %     2.9       9.2 %
CMBS-Large Loan
     8,891       8,619       -       8,619       250       -       8,869       1    
BBB-
       6.08 %     12.41 %     0.6       4.8 %
REIT Debt
     62,700       62,069       -       62,069       4,105       -       66,174       10    
BBB-
       5.72 %     5.89 %     1.8       N/A  
ABS-Subprime (F)
     558,215       390,509       (68,708 )     321,801       34,565       (391 )     355,975       69    
CC
       0.76 %     7.50 %     6.4       13.3 %
ABS-Franchise
     10,098       9,386       (7,839 )     1,547       237       (309 )     1,475       3    
CCC-
       5.93 %     3.40 %     4.7       3.0 %
FNMA/FHLMC
     768,619       818,866       -       818,866       3,860       (2,191 )     820,535       58    
AAA
       3.05 %     1.40 %     3.5       N/A  
CDO (G)
     203,477       82,399       (14,861 )     67,538       3,487       -       71,025       13    
BB
       2.83 %     7.07 %     1.6       20.9 %
Total/Average (H)
   $ 2,078,101     $ 1,811,040     $ (202,253 )   $ 1,608,787     $ 98,762     $ (15,974 )   $ 1,691,575       229    
BBB-
       3.04 %     4.69 %     4.0          
                                                                                                       
December 31, 2011
                                                                                                      
CMBS-Conduit
   $ 1,344,819     $ 1,143,910     $ (202,164 )   $ 941,746     $ 91,583     $ (76,424 )   $ 956,905       169    
BB+
       5.61 %     11.03 %     4.2       10.8 %
CMBS- Single Borrower
     186,088       180,874       (12,364 )     168,510       3,121       (14,366 )     157,265       33    
BB
       5.05 %     6.25 %     3.6       6.7 %
CMBS-Large Loan
     14,970       14,190       -       14,190       519       (61 )     14,648       2    
BBB+
       5.15 %     8.89 %     1.2       7.5 %
REIT Debt
     137,393       136,704       (773 )     135,931       5,060       (5,695 )     135,296       20    
BB+
       5.83 %     5.72 %     2.4       N/A  
ABS-Subprime
     246,014       209,838       (86,815 )     123,023       14,481       (8,882 )     128,622       63       B       1.22 %     10.16 %     6.9       32.5 %
ABS-Manufactured Housing
     30,232       29,454       -       29,454       1,247       (154 )     30,547       7    
BBB+
       6.61 %     7.54 %     4.2       41.6 %
ABS-Franchise
     23,115       21,598       (11,133 )     10,465       215       (3,120 )     7,560       7    
BB+
       3.58 %     4.56 %     11.0       21.9 %
FNMA/FHLMC
     232,355       243,385       -       243,385       1,715       (185 )     244,915       31    
AAA
       2.37 %     1.63 %     4.6       N/A  
CDO
     206,150       82,486       (14,861 )     67,625       149       (11,788 )     55,986       13    
CCC+
       3.03 %     8.05 %     1.5       21.4 %
Total/Average (H)
   $ 2,421,136       2,062,439       (328,110 )     1,734,329       118,090       (120,675 )     1,731,744       345    
BB+
       4.60 %     8.54 %     4.2          
 
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position
         
Amortized Cost Basis
    
Gross Unrealized
                
Weighted Average
  
Securities in
  
Outstanding
          
Other-than-
                            
Number
                          
an Unrealized
  
Face
    
Before
    
Temporary
    
After
                
Carrying
    
of
                      
Maturity
  
Loss Position
  
Amount
    
Impairment
    
Impairment
    
Impairment
    
Gains
    
Losses
    
Value
    
Securities
    
Rating
    
Coupon
    
Yield
    
(Years)
  
Less Than
                                                                        
Twelve Months
   $ 424,370     $ 443,457     $ (4,698 )   $ 438,759     $ -     $ (2,761 )   $ 435,998       28    
AA+
       3.21 %     1.58 %     3.2  
Twelve or
                                                                                              
More Months
     149,668       143,985       (236 )     143,749       -       (13,213 )     130,536       26       B+       4.84 %     6.28 %     2.0  
Total
   $ 574,038     $ 587,442     $ (4,934 )   $ 582,508     $ -     $ (15,974 )   $ 566,534       54       A+       3.63 %     2.74 %     2.9  
 
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position and the Associated Intent to Sell
   
December 31, 2012
  
         
Amortized Cost Basis
    
Unrealized Losses
  
   
Fair Value
    
After Impairment
    
Credit (B)
    
Non-Credit (C)
  
Securities Newcastle intends to sell
   $ -     $ -     $ -       N/A  
Securities Newcastle is more likely than not to be required to sell (A)
     -       -       -       N/A  
Securities Newcastle has no intent to sell and is not more likely than not to be required to sell:
                               
Credit impaired securities
     1,607       1,849       (4,770 )     (242 )
Non credit impaired securities
     564,927       580,659       -       (15,732 )
Total debt securities in an unrealized loss position
   $ 566,534     $ 582,508     $ (4,770 )   $ (15,974 )
 
Schedule of Credit Losses on Debt Securities
The following table summarizes the activity related to credit losses on debt securities:
 
   
2012
    
2011
  
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
   $ (20,207 )   $ (60,688 )
                 
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income
     (4,581 )     (574 )
                 
Additions for credit losses on securities for which an OTTI was previously recognized without any portion of OTTI recognized in other comprehensive income
     -       (16,269 )
                 
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date
     14,771       12,998  
                 
Reduction for securities sold during the period
     1,498       37,833  
                 
Reduction for securities deconsolidated during the period
     3,736       6,254  
                 
Reduction for increases in cash flows expected to be collected that are recognized over the remaining life of the security
     13       239  
                 
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
   $ (4,770 )   $ (20,207 )
 
Schedule of Geographic Distribution of Collateral Securing Newcastle's CMBS and ABS
The table below summarizes the geographic distribution of the collateral securing our CMBS and ABS at December 31, 2012:
 
   
CMBS
    
ABS
  
Geographic Location
  
Outstanding Face Amount
    
Percentage
    
Outstanding Face Amount
    
Percentage
  
Western U.S.
   $ 114,027       24.0 %   $ 191,778       33.7 %
Northeastern U.S.
     99,579       21.0 %     124,322       21.9 %
Southeastern U.S.
     88,675       18.6 %     127,642       22.5 %
Midwestern U.S.
     63,553       13.4 %     61,569       10.8 %
Southwestern U.S.
     74,830       15.8 %     56,728       10.0 %
Other
     14,678       3.1 %     6,274       1.1 %
Foreign
     19,650       4.1 %     -       0.0 %
    $ 474,992       100.0 %   $ 568,313       100.0 %