Quarterly report pursuant to Section 13 or 15(d)

Schedule of Real Estate Securities Holdings (Details)

v2.4.0.6
Schedule of Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
 3 Months Ended
Mar. 31, 2013
Integer
Dec. 31, 2012
Outstanding Face Amount $ 2,946,191 [1],[2]  
Before Impairment - Amortized Cost Basis 2,585,484 [1]  
Other Than Temporary Impairment - Amortized Cost Basis (202,792) [1]  
Amortized Cost Basis 2,382,692 [1],[3]  
Gains - Gross Unrealized 124,795 [1]  
Losses - Gross Unrealized (12,014) [1]  
Carrying Value 2,495,473 [1],[4] 1,691,575
Number of Investments 275 [1]  
Weighted Average Rating BBB- [1],[5]  
Weighted Average Coupon 2.84% [1]  
Weighted Average Yield 3.92% [1]  
Weighted Average Maturity (Years) 4 years 8 months [1],[6]  
CMBS Conduit
    
Outstanding Face Amount 338,056  
Before Impairment - Amortized Cost Basis 314,424  
Other Than Temporary Impairment - Amortized Cost Basis (99,020)  
Amortized Cost Basis 215,404  
Gains - Gross Unrealized 54,263  
Losses - Gross Unrealized (6,752)  
Carrying Value 262,915 [4]  
Number of Investments 52  
Weighted Average Rating B+ [5]  
Weighted Average Coupon 5.54%  
Weighted Average Yield 10.33%  
Weighted Average Maturity (Years) 3 years 3 months [6]  
Principal Subordination - Weighted Average 9.50% [7]  
CMBS Single Borrower
    
Outstanding Face Amount 124,709  
Before Impairment - Amortized Cost Basis 123,409  
Other Than Temporary Impairment - Amortized Cost Basis (12,364)  
Amortized Cost Basis 111,045  
Gains - Gross Unrealized 5,818  
Losses - Gross Unrealized (1,609)  
Carrying Value 115,254 [4]  
Number of Investments 22  
Weighted Average Rating BB [5]  
Weighted Average Coupon 4.89%  
Weighted Average Yield 5.93%  
Weighted Average Maturity (Years) 2 years 6 months [6]  
Principal Subordination - Weighted Average 9.50% [7]  
CMBS Large Loan
    
Outstanding Face Amount 5,819  
Before Impairment - Amortized Cost Basis 5,643  
Other Than Temporary Impairment - Amortized Cost Basis     
Amortized Cost Basis 5,643  
Gains - Gross Unrealized 205  
Losses - Gross Unrealized     
Carrying Value 5,848 [4]  
Number of Investments 1  
Weighted Average Rating BBB- [5]  
Weighted Average Coupon 6.08%  
Weighted Average Yield 12.16%  
Weighted Average Maturity (Years) 0 years 8 months [6]  
Principal Subordination - Weighted Average 2.00% [7]  
REIT Debt
    
Outstanding Face Amount 50,700 [2]  
Before Impairment - Amortized Cost Basis 50,055  
Other Than Temporary Impairment - Amortized Cost Basis     
Amortized Cost Basis 50,055 [3]  
Gains - Gross Unrealized 4,064  
Losses - Gross Unrealized     
Carrying Value 54,119 [4]  
Number of Investments 8  
Weighted Average Rating BBB- [5]  
Weighted Average Coupon 5.75%  
Weighted Average Yield 6.10%  
Weighted Average Maturity (Years) 1 year 10 months [6]  
Principal Subordination - Weighted Average N/A [7]  
Non-Agency RMBS
    
Outstanding Face Amount 904,784 [8]  
Before Impairment - Amortized Cost Basis 604,616 [8]  
Other Than Temporary Impairment - Amortized Cost Basis (68,708) [8]  
Amortized Cost Basis 535,908 [8]  
Gains - Gross Unrealized 49,218 [8]  
Losses - Gross Unrealized (1,226) [8]  
Carrying Value 583,900 [8]  
Number of Investments 93 [8]  
Weighted Average Rating CC [8]  
Weighted Average Coupon 0.75% [8]  
Weighted Average Yield 6.55% [8]  
Weighted Average Maturity (Years) 7 years 4 months [8]  
Principal Subordination - Weighted Average 10.00% [8]  
ABS Franchise
    
Outstanding Face Amount 10,036 [2]  
Before Impairment - Amortized Cost Basis 9,329  
Other Than Temporary Impairment - Amortized Cost Basis (7,839)  
Amortized Cost Basis 1,490 [3]  
Gains - Gross Unrealized 219  
Losses - Gross Unrealized (325)  
Carrying Value 1,384 [4]  
Number of Investments 3  
Weighted Average Rating CCC- [5]  
Weighted Average Coupon 5.95%  
Weighted Average Yield 3.47%  
Weighted Average Maturity (Years) 4 years 8 months [6]  
Principal Subordination - Weighted Average 2.70% [7]  
FNMA/FHLMC Securities
    
Outstanding Face Amount 1,309,855 [2]  
Before Impairment - Amortized Cost Basis 1,396,400  
Other Than Temporary Impairment - Amortized Cost Basis     
Amortized Cost Basis 1,396,400 [3]  
Gains - Gross Unrealized 6,130  
Losses - Gross Unrealized (2,102)  
Carrying Value 1,400,428 [4]  
Number of Investments 83  
Weighted Average Rating AAA [5]  
Weighted Average Coupon 3.23%  
Weighted Average Yield 1.42%  
Weighted Average Maturity (Years) 4 years 1 month [6]  
Principal Subordination - Weighted Average N/A [7]  
CDOs
    
Outstanding Face Amount 202,232 [2],[9]  
Before Impairment - Amortized Cost Basis 81,608 [9]  
Other Than Temporary Impairment - Amortized Cost Basis (14,861) [9]  
Amortized Cost Basis 66,747 [3],[9]  
Gains - Gross Unrealized 4,878 [9]  
Losses - Gross Unrealized    [9]  
Carrying Value $ 71,625 [4],[9]  
Number of Investments 13 [9]  
Weighted Average Rating CCC+ [5],[9]  
Weighted Average Coupon 2.86% [9]  
Weighted Average Yield 8.12% [9]  
Weighted Average Maturity (Years) 1 year 5 months [6],[9]  
Principal Subordination - Weighted Average 21.40% [7],[9]  
[1] (G) The total outstanding face amount of fixed rate securities was $0.5 billion, and of floating rate securities was $2.4 billion.
[2] (A) Net of incurred losses.
[3] (B) Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended March 31, 2013.
[4] (A) See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities.
[5] (B) 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 as of a particular date, may not be current and are subject to change at any time.
[6] (C) The weighted average maturity is based on the timing of expected principal reduction on the assets.
[7] (D) Percentage of the outstanding face amount of securities and residual interests that is subordinate to Newcastle's investments.
[8] (E) Includes (i) the retained bond with a face amount of $4.0 million and a carrying value of $1.4 million from Securitization Trust 2006 (Note 4) and (ii) 53 non-agency RMBS purchased since April 2012 with an aggregate face amount of $784.3 million and a carrying value of $518.6 million as of March 31, 2013, of which an aggregate face amount of $644.7 million and a carrying value of $440.1 million is serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced non-Agency RMBS was approximately $8.3 billion as of March 31, 2013.
[9] (F) Includes two CDO bonds issued by a third party with a carrying value of $62.5 million, four CDO bonds issued by CDO V (which has been deconsolidated) and held as an investments by Newcastle with a carrying value of $5.3 million and seven CDO bonds issued by C-BASS with a carrying value of $3.9 million.