Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES (Tables)

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REAL ESTATE SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2012
Real Estate Securities Tables  
Schedule of Real Estate Securities Holdings

          Amortized Cost Basis                       Weighted Average
    Outstanding
Face		     Before     Other-Than-
Temporary
Impairment		     After     Gross Unrealized     Carrying     Number
of		     Rating               Maturity
(Years)		     Principal
Subordination		  
Asset Type   Amount     Impairment     (A)     Impairment     Gains     Losses     Value (B)     Securities     (C)   Coupon     Yield     (D)     (E)  
CMBS-Conduit   $ 345,236     $ 315,954     $ (94,271 )   $ 221,683     $ 44,782     $ (13,556 )   $ 252,909       54     BB-     5.56 %     11.47 %     3.7       10.3 %
CMBS- Single Borrower     125,545       123,876       (12,364 )     111,512       2,941       (3,454 )     110,999       22     BB     4.89 %     5.91 %     2.9       7.2 %
CMBS-Large Loan     13,903       13,541       —       13,541       341       (38 )     13,844       2     A-     4.40 %     8.60 %     0.6       10.7 %
REIT Debt     87,700       86,916       —       86,916       6,373       (229 )     93,060       11     BBB-     5.55 %     5.74 %     2.1       N/A  
ABS-Subprime (F)     438,269       310,401       (68,708 )     241,693       19,104       (358 )     260,439       63     CCC-     0.87 %     7.82 %     4.9       14.2 %
ABS-Franchise     10,208       9,754       (7,839 )     1,915       —       (339 )     1,576       3     CCC-     5.89 %     4.13 %     4.9       3.0 %
FNMA/FHLMC     534,801       572,356       —       572,356       5,043       (267 )     577,132       45     AAA     2.80 %     1.33 %     4.3       N/A  
CDO (G)     203,707       82,051       (14,861 )     67,190       3,230       (19 )     70,401       13     CCC+     3.04 %     7.81 %     1.8       21.6 %
Total / Average (H)   $ 1,759,369     $ 1,514,849     $ (198,043 )   $ 1,316,806     $ 81,814     $ (18,260 )   $ 1,380,360       213     BB+     3.21 %     5.34 %     3.8          

 
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position

 

          Amortized Cost Basis     Gross Unrealized                 Weighted Average  
Securities in an Unrealized Loss Position   Outstanding
Face
Amount		     Before
Impairment		    
Other-than-
Temporary
Impairment		     After
Impairment		     Gains     Losses     Carrying
Value		     Number
of
Securities		     Rating     Coupon     Yield     Maturity
(Years)		  
                                                                         
Less Than Twelve Months   $ 183,385     $ 161,087     $ (3,988 )   $ 157,099     $ —     $ (574 )   $ 156,525       16        BBB-       2.21 %     2.69 %     4.6  
Twelve or More Months     187,554       179,773       (7,883 )     171,890       —       (17,686 )     154,204       33        BB-       4.82 %     6.21 %     3.0  
Total   $ 370,939     $ 340,860     $ (11,871 )   $ 328,989     $ —     $ (18,260 )   $ 310,729       49        BB       3.53 %     4.53 %     3.8  
Schedule of Real Estate Securities Holdings in an Unrealized Loss Position and the Associated Intent to Sell
    September 30, 2012  
              Amortized
Cost Basis
After		       Unrealized Losses  
      Fair Value       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     1,433       1,602       (11,735 )     (169 )
Non credit impaired securities     309,296       327,387       —       (18,091 )
Total debt securities in an unrealized loss position   $ 310,729     $ 328,989     $ (11,735 )   $ (18,260 )

 
Schedule of Credit Losses on Debt Securities
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income   $ (20,207 )
         
Additions for credit losses on securities for which an OTTI was not previously recognized     —  
         
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     (259 )
         
Additions for credit losses on securities for which an OTTI was previously recognized without any portion of OTTI recognized in other comprehensive income     (3,988 )
         
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income  at the current measurement date     7,467  
         
Reduction for securities sold during the period     1,498  
         
Reduction for securities deconsolidated during the period     3,736  
         
Reduction for increases in cash flows expected to be collected that are recognized over the remaining life of the security     18  
         
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income   $ (11,735 )

 
Schedule of Geographic Distribution of Collateral Securing Newcastle's CMBS and ABS
  CMBS     ABS  
Geographic Location   Outstanding Face Amount     Percentage     Outstanding Face Amount     Percentage  
Western U.S.   $ 122,673       25.3 %   $ 147,667       32.9 %
Northeastern U.S.     93,720       19.3 %     94,327       21.1 %
Southeastern U.S.     99,564       20.5 %     104,441       23.3 %
Midwestern U.S.     78,015       16.2 %     47,103       10.5 %
Southwestern U.S.     64,379       13.3 %     48,561       10.8 %
Other     11,183       2.3 %     6,378       1.4 %
Foreign     15,150       3.1 %     —       0.0 %
    $ 484,684       100.0 %   $ 448,477       100.0 %