Annual report pursuant to Section 13 and 15(d)

REAL ESTATE SECURITIES - Real Estate Securities Holdings (Details)

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REAL ESTATE SECURITIES - Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
 12 Months Ended
Dec. 31, 2013
Integer
Dec. 31, 2012
Integer
Jun. 26, 2013
Outstanding Face Amount $ 1,170,905 [1],[2] $ 2,078,101 [1]  
Before Impairment - Amortized Cost Basis 1,069,503 1,811,040  
Other Than Temporary Impairment - Amortized Cost Basis (167,648) (202,253)  
Amortized Cost Basis 901,855 [3] 1,608,787  
Gains - Gross Unrealized 82,699 98,762  
Losses - Gross Unrealized (291) (15,974)  
Carrying Value 984,263 [4] 1,691,575 [4]  
Number of Investments 165 229  
Weighted Average Rating BBB [5] BBB- [5]  
Weighted Average Coupon 3.65% 3.04%  
Weighted Average Yield 5.44% 4.69%  
Weighted Average Maturity (Years) 2 years 10 months 24 days [6] 4 years [6]  
CMBS Conduit
      
Outstanding Face Amount 238,400 340,978  
Before Impairment - Amortized Cost Basis 215,341 315,554  
Other Than Temporary Impairment - Amortized Cost Basis (69,099) (98,481)  
Amortized Cost Basis 146,242 217,073  
Gains - Gross Unrealized 52,900 47,776  
Losses - Gross Unrealized (208) (10,081)  
Carrying Value 198,934 [4] 254,768 [4]  
Number of Investments 34 53  
Weighted Average Rating BB- [5] BB- [5]  
Weighted Average Coupon 5.47% 5.55%  
Weighted Average Yield 17.00% 10.81%  
Weighted Average Maturity (Years) 2 years 7 months 6 days [6] 3 years 3 months 18 days [6]  
Principal Subordination - Weighted Average 10.20% [7] 9.80% [7]  
CMBS Single Borrower
      
Outstanding Face Amount 91,492 125,123  
Before Impairment - Amortized Cost Basis 90,788 123,638  
Other Than Temporary Impairment - Amortized Cost Basis (12,364) (12,364)  
Amortized Cost Basis 78,424 111,274  
Gains - Gross Unrealized 3,964 4,482  
Losses - Gross Unrealized (82) (3,002)  
Carrying Value 82,306 [4] 112,754 [4]  
Number of Investments 15 22  
Weighted Average Rating BB [5] BB [5]  
Weighted Average Coupon 5.71% 4.89%  
Weighted Average Yield 7.16% 5.92%  
Weighted Average Maturity (Years) 2 years 4 months 24 days [6] 2 years 10 months 24 days [6]  
Principal Subordination - Weighted Average 7.80% [7] 9.20% [7]  
CMBS Large Loan
      
Outstanding Face Amount 3,229 8,891  
Before Impairment - Amortized Cost Basis 3,212 8,619  
Other Than Temporary Impairment - Amortized Cost Basis        
Amortized Cost Basis 3,212 8,619  
Gains - Gross Unrealized 17 250  
Losses - Gross Unrealized        
Carrying Value 3,229 [4] 8,869 [4]  
Number of Investments 1 1  
Weighted Average Rating BBB- [5] BBB- [5]  
Weighted Average Coupon 6.63% 6.08%  
Weighted Average Yield 8.87% 12.41%  
Weighted Average Maturity (Years) 0 years 3 months 18 days [6] 0 years 7 months 6 days [6]  
Principal Subordination - Weighted Average 8.10% [7] 4.80% [7]  
REIT Debt
      
Outstanding Face Amount 29,200 [2] 62,700  
Before Impairment - Amortized Cost Basis 28,667 62,069  
Other Than Temporary Impairment - Amortized Cost Basis        
Amortized Cost Basis 28,667 [3] 62,069  
Gains - Gross Unrealized 2,519 4,105  
Losses - Gross Unrealized        
Carrying Value 31,186 [4] 66,174 [4]  
Number of Investments 5 10  
Weighted Average Rating BB+ [5] BBB- [5]  
Weighted Average Coupon 5.89% 5.72%  
Weighted Average Yield 6.86% 5.89%  
Weighted Average Maturity (Years) 1 year 9 months 18 days [6] 1 year 9 months 18 days [6]  
Principal Subordination - Weighted Average N/A [7] N/A [7]  
Non-Agency RMBS
      
Outstanding Face Amount 96,762 [2] 558,215  
Before Impairment - Amortized Cost Basis 103,535 390,509  
Other Than Temporary Impairment - Amortized Cost Basis (62,860) (68,708)  
Amortized Cost Basis 40,675 [3] 321,801  
Gains - Gross Unrealized 16,907 34,565  
Losses - Gross Unrealized (1) (391)  
Carrying Value 57,581 [4] 355,975 [4]  
Number of Investments 34 69  
Weighted Average Rating CCC+ [5] CC [5]  
Weighted Average Coupon 1.07% 0.76%  
Weighted Average Yield 12.20% 7.50%  
Weighted Average Maturity (Years) 4 years 4 months 24 days [6] 6 years 4 months 24 days [6]  
Principal Subordination - Weighted Average 25.90% [7] 13.30% [7]  
ABS Franchise
      
Outstanding Face Amount 8,464 [2] 10,098  
Before Impairment - Amortized Cost Basis 7,647 9,386  
Other Than Temporary Impairment - Amortized Cost Basis (7,647) (7,839)  
Amortized Cost Basis    [3] 1,547  
Gains - Gross Unrealized    237  
Losses - Gross Unrealized    (309)  
Carrying Value    [4] 1,475 [4]  
Number of Investments 1 3  
Weighted Average Rating C [5] CCC- [5]  
Weighted Average Coupon 6.69% 5.93%  
Weighted Average Yield 0.00% 3.40%  
Weighted Average Maturity (Years)   4 years 8 months 12 days [6]  
Principal Subordination - Weighted Average 0.00% [7] 3.00% [7]  
FNMA/FHLMC Securities
      
Outstanding Face Amount 514,994 [2] 768,619 22,800
Before Impairment - Amortized Cost Basis 548,456 [8] 818,866 [8]  
Other Than Temporary Impairment - Amortized Cost Basis (817) [8]    [8]  
Amortized Cost Basis 547,639 [3],[8] 818,866 [8]  
Gains - Gross Unrealized 3,631 3,860  
Losses - Gross Unrealized    (2,191)  
Carrying Value 551,270 [4],[8] 820,535 [4],[8]  
Number of Investments 64 58  
Weighted Average Rating AAA [5] AAA [5]  
Weighted Average Coupon 2.90% 3.05%  
Weighted Average Yield 1.25% 1.40%  
Weighted Average Maturity (Years) 3 years 7 months 6 days [6] 3 years 6 months [6]  
Principal Subordination - Weighted Average N/A [7] N/A [7]  
CDOs
      
Outstanding Face Amount 188,364 [2],[9] 203,477 [9]  
Before Impairment - Amortized Cost Basis 71,857 [9] 82,399 [9]  
Other Than Temporary Impairment - Amortized Cost Basis (14,861) [9] (14,861) [9]  
Amortized Cost Basis 56,996 [3],[9] 67,538 [9]  
Gains - Gross Unrealized 2,761 [9] 3,487 [9]  
Losses - Gross Unrealized    [9]    [9]  
Carrying Value $ 59,757 [4],[9] $ 71,025 [4],[9]  
Number of Investments 11 [9] 13 [9]  
Weighted Average Rating CCC- [5],[9] BB [5],[9]  
Weighted Average Coupon 3.21% [9] 2.83% [9]  
Weighted Average Yield 7.56% [9] 7.07% [9]  
Weighted Average Maturity (Years) 1 year 2 months 12 days [6],[9] 1 year 7 months 6 days [6],[9]  
Principal Subordination - Weighted Average 19.10% [7],[9] 20.90% [7],[9]  
[1] As of December 31, 2013 and 2012, the total outstanding face amount of fixed rate securities was $0.4 billion and $0.5 billion, respectively, and of floating rate securities were $0.8 billion and $1.5 billion, respectively.
[2] Net of incurred losses.
[3] Net of discounts (or gross premiums) and after OTTI, including impairment taken during the period ended December 31, 2013.
[4] See Note 13 regarding the estimation of fair value, which is equal to carrying value for all securities.
[5] 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 resent credit ratings available as of the reporting date and may not be current.
[6] The weighted average maturity is based on the timing of expected principal reduction on the assets.
[7] Percentage of the outstanding face amount of securities and residual interests that is subordinate to Newcastle's investments.
[8] Amortized cost basis and carrying value include principal receivable of $4.8 million and $7.4 million as of December 31, 2013 and 2012, respectively.
[9] Includes two CDO bonds issued by a third party with a carrying value of $57.8 million, three CDO bonds issued by CDO V (which has been deconsolidated) and held as an investment by Newcastle with a carrying value of $2.0 million and six CDO bonds issued by C-BASS with no carrying value.