Annual report pursuant to Section 13 and 15(d)

REAL ESTATE SECURITIES - Holdings in an Unrealized Loss Position (Details 1)

v2.4.0.8
REAL ESTATE SECURITIES - Holdings in an Unrealized Loss Position (Details 1) (USD $)
In Thousands, unless otherwise specified
12 Months Ended
Dec. 31, 2013
Integer
Dec. 31, 2012
Integer
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]
Securities in an Unrealized Loss Position Less than Twelve Months
   
Outstanding Face Amount 14,456  
Before Impairment - Amortized Cost Basis 17,024  
Other Than Temporary Impairment - Amortized Cost Basis (2,874)  
Amortized Cost Basis 14,150  
Gains - Gross Unrealized     
Losses - Gross Unrealized (115)  
Carrying Value 14,035  
Number of Investments 6  
Weighted Average Rating BBB+  
Weighted Average Coupon 5.58%  
Weighted Average Yield 6.34%  
Weighted Average Maturity (Years) 0 years 10 months 24 days  
Securities in an Unrealized Loss Position Greater than Twelve Months
   
Outstanding Face Amount 11,157  
Before Impairment - Amortized Cost Basis 10,963  
Other Than Temporary Impairment - Amortized Cost Basis     
Amortized Cost Basis 10,963  
Gains - Gross Unrealized     
Losses - Gross Unrealized (176)  
Carrying Value 10,787  
Number of Investments 2  
Weighted Average Rating B  
Weighted Average Coupon 5.58%  
Weighted Average Yield 5.74%  
Weighted Average Maturity (Years) 3 years 2 months 12 days  
Securities in an Unrealized Loss Position
   
Outstanding Face Amount 25,613  
Before Impairment - Amortized Cost Basis 27,987  
Other Than Temporary Impairment - Amortized Cost Basis (2,874)  
Amortized Cost Basis 25,113  
Gains - Gross Unrealized     
Losses - Gross Unrealized (291)  
Carrying Value $ 24,822  
Number of Investments 8  
Weighted Average Rating BB+  
Weighted Average Coupon 5.49%  
Weighted Average Yield 6.08%  
Weighted Average Maturity (Years) 1 year 10 months 24 days  
[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.