Quarterly report pursuant to Section 13 or 15(d)

Schedule of Securities Valuation Methodology (Details)

v2.4.0.6
Schedule of Securities Valuation Methodology (Details) (USD $)
In Thousands, unless otherwise specified
Mar. 31, 2013
Outstanding Face Amount $ 2,946,191 [1],[2]
Amortized Cost Basis 2,382,692 [1],[3]
Multiple Quotes Fair Value (C) 2,139,523 [4]
Single Quote Fair Value (D) 269,017 [5]
Internal Pricing Models Fair Value (E) 86,933 [6]
Total Fair Value 2,495,473
CMBS
  
Outstanding Face Amount 468,584 [2]
Amortized Cost Basis 332,092 [3]
Multiple Quotes Fair Value (C) 269,126 [4]
Single Quote Fair Value (D) 58,047 [5]
Internal Pricing Models Fair Value (E) 56,844 [6]
Total Fair Value 384,017
REIT Debt
  
Outstanding Face Amount 50,700 [2]
Amortized Cost Basis 50,055 [3]
Multiple Quotes Fair Value (C) 28,321 [4]
Single Quote Fair Value (D) 25,798 [5]
Internal Pricing Models Fair Value (E)    [6]
Total Fair Value 54,119
Non-Agency RMBS
  
Outstanding Face Amount 904,784 [7]
Amortized Cost Basis 535,908 [7]
Multiple Quotes Fair Value (C) 531,929
Single Quote Fair Value (D) 27,774
Internal Pricing Models Fair Value (E) 24,197
Total Fair Value 583,900
ABS Franchise
  
Outstanding Face Amount 10,036 [2]
Amortized Cost Basis 1,490 [3]
Multiple Quotes Fair Value (C)    [4]
Single Quote Fair Value (D) 746 [5]
Internal Pricing Models Fair Value (E) 638 [6]
Total Fair Value 1,384
FNMA/FHLMC Securities
  
Outstanding Face Amount 1,309,855 [2]
Amortized Cost Basis 1,396,400 [3]
Multiple Quotes Fair Value (C) 1,310,147 [4]
Single Quote Fair Value (D) 90,281 [5]
Internal Pricing Models Fair Value (E)    [6]
Total Fair Value 1,400,428
CDOs
  
Outstanding Face Amount 202,232 [2],[8]
Amortized Cost Basis 66,747 [3],[8]
Multiple Quotes Fair Value (C)    [4]
Single Quote Fair Value (D) 66,371 [5]
Internal Pricing Models Fair Value (E) 5,254 [6]
Total Fair Value $ 71,625
[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] (C) Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being the most representative of fair value and did not use an average of the quotes. Even if Newcastle receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes Newcastle receives. Management believes using an average of the quotes in these cases would generally not represent the fair value of the asset. Based on Newcastle's own fair value analysis using internal models, management selects one of the quotes which is believed to more accurately reflect fair value. Newcastle never adjusts quotes received. T
[5] (D) Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service.
[6] (E) Securities whose fair value was estimated based on internal pricing models are further detailed as follows (See table Securities valued based on internal pricing models). All of the significant inputs listed have some degree of market observability, based on Newcastle's knowledge of the market, relationships with market participants, and use of common market data sources. Collateral prepayment, default and loss severity projections are in the form of "curves" or "vectors" that vary for each monthly collateral cash flow projection. Methods used to develop these projections vary by asset class (e.g., CMBS projections are developed differently than Home Equity ABS projections) but conform to industry conventions. Newcastle uses assumptions that generate its best estimate of future cash flows of each respective security. The prepayment vector specifies the percentage of the collateral balance that is expected to voluntarily pay off at each point in the future. The prepayment vector specifies the percentage
[7] (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.
[8] (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.