Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE - Securities Valuation Methodology (Details 5)

v2.4.0.8
FAIR VALUE - Securities Valuation Methodology (Details 5) (USD $)
In Thousands, unless otherwise specified
Sep. 30, 2014
Dec. 31, 2013
Total Fair Value $ 310,639 $ 984,263
CMBS [Member]
    
Outstanding Face Amount 240,403 [1]  
Amortized Cost Basis 168,387 [2]  
Multiple Quotes Fair Value 144,830 [3]  
Single Quote Fair Value 61,255 [4]  
Total Fair Value 206,085  
REIT Debt [Member]
    
Outstanding Face Amount 29,200 [1]  
Amortized Cost Basis 28,856 [2]  
Multiple Quotes Fair Value 30,293 [3]  
Total Fair Value 30,293 [5]  
Non-Agency RMBS [Member]
    
Outstanding Face Amount 87,113 [1]  
Amortized Cost Basis 37,892 [2]  
Multiple Quotes Fair Value 46,177 [3]  
Single Quote Fair Value 14,054 [4]  
Total Fair Value 60,231 [5]  
ABS Franchise [Member]
    
Outstanding Face Amount 8,464 [1]  
CDO Securities [Member]
    
Outstanding Face Amount 21,377 [1],[6]  
Amortized Cost Basis 6,394 [2],[6]  
Single Quote Fair Value 6,708 [4],[6]  
Internal Pricing Models Fair Value 7,013 [6],[7]  
Total Fair Value 13,721 [5],[6]  
Equity Securities [Member]
    
Single Quote Fair Value 309 [4]  
Total Fair Value 309 [5]  
Real Estate Securities [Member]
    
Outstanding Face Amount 386,557 [1]  
Amortized Cost Basis 241,529 [2]  
Multiple Quotes Fair Value 221,300 [3]  
Single Quote Fair Value 82,326 [4]  
Internal Pricing Models Fair Value 7,013 [7]  
Total Fair Value $ 310,639 [5]  
[1] Net of incurred losses.
[2] Net of discounts (or gross of premiums) and after OTTI.
[3] Management generally obtained pricing service quotations or broker quotations from at least 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 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. Newcastle measures the fair value of REIT debt based on quoted market prices in less active markets or pricing service quotations and models utilizing observable market inputs. For securities that are categorized as a Level 3 fair value hierarchy measurement, 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 are believed to more accurately reflect fair value. Newcastle never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are "indicative" and not "actionable" -meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price.
[4] 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.
[5] See Note 12 regarding the estimation of fair value, which is equal to carrying value for all securities.
[6] Represents non-consolidated CDO securities, excluding eight securities with a zero value, which had an aggregate face amount of $112.5 million.
[7] Securities whose fair value was estimated based on internal pricing models are further detailed as follows (See Schedule of securities valued based on internal pricing models).