INVESTMENTS IN REAL ESTATE SECURITIES (Tables)
 12 Months Ended
Dec. 31, 2013
Dec. 31, 2012
Investments In Real Estate Securities Tables    
Schedule of Real Estate Securities

The following is a summary of New Residential’s real estate securities as of December 31, 2013 and 2012, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired.

 

                                                                                     
                Gross Unrealized                 Weighted Average  
Asset Type   Outstanding
Face Amount		     Amortized
Cost Basis		     Gains     Losses     Carrying
Value (A)		     Number
of
Securities		     Rating
(B)		   Coupon     Yield     Life
(Years)
(C)		     Principal
Subordination
(D)		  
December 31, 2013                                                                                    
Agency ARM RMBS (E)(F)   $ 1,314,130     $ 1,403,215     $ 3,434     $ (3,885 )    $ 1,402,764       114     AAA     3.18 %      1.33 %      4.1       N/A  
Non-Agency RMBS     872,866       566,760       7,618       (3,953 )      570,425       100     CCC-     0.94 %      4.68 %      8.0       7.4 % 
                                                                                     
Total/Weighted Average (G)   $ 2,186,996     $ 1,969,975     $ 11,052     $ (7,838 )    $ 1,973,189       214     BBB+     2.28 %      2.66 %      5.7          
                                                                                     
                       
December 31, 2012                                                                                    
Non-Agency RMBS   $ 433,510     $ 274,230     $ 15,856     $ (330 )    $ 289,756       29     CC     0.63 %      6.55 %      6.8       10.0 % 
                                                                                     

 

(A) Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value.
(B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of two non-agency bonds with a face amount of $6.3 million for which New Residential was unable to obtain rating information. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency ARM RMBS. Ratings provided were determined by third party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current.
(C) The weighted average life is based on the timing of expected principal reduction on the assets.
(D) Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential’s investments.
(E) Includes securities issued or guaranteed by U.S. Government agencies such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”).
(F) Amortized cost basis and carrying value include principal receivable of $10.6 million.
(G) The total outstanding face amount was $6.6 million for fixed rate securities and $2.2 billion for floating rate securities.

The following is a summary of New Residential’s real estate securities at December 31, 2012, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income.

 

                                                                                         
                Gross Unrealized                 Weighted Average  
Asset Type   Outstanding
Face Amount		     Amortized
Cost Basis		     Gains     Losses     Carrying
Value
(A)		     Number of
Securities		     Rating
(B)		     Coupon     Yield     Maturity
(Years)
(C)		     Principal
Subordination
(D)		  
ABS-Subprime (E)   $ 433,510     $ 274,230     $ 15,856     $ (330 )    $ 289,756       29       CC       0.63 %      6.55 %      6.8       10.0 % 

 

(A) Fair value, which is equal to carrying value for all securities. See Note 7 regarding the estimation of fair value.

(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. 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.
(C) The weighted average maturity is based on the timing of expected principal reduction on the assets.
(D) Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential’s investments.
(E) The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $432.4 million.
Schedule of Real Estate Securities in an Unrealized Loss Position

The following table summarizes New Residential’s securities in an unrealized loss position as of December 31, 2013.

 

                                                                                     
          Amortized Cost Basis                       Weighted Average  
Securities in an
Unrealized Loss Position		   Outstanding
Face
Amount		     Before
Impairment		     Other-
Than-
Temporary
Impairment
(A)		     After
Impairment		     Gross
Unrealized
Losses		     Carrying
Value		     Number
of
Securities		     Rating
(B)		   Coupon     Yield     Life
(Years)		  
                       
Less than Twelve Months   $ 878,993     $ 827,517     $ (1,470 )    $ 826,047     $ (7,542 )    $ 818,505       78     A-     2.54 %      2.07 %      5.5  
                       
Twelve or More Months     48,078       51,930       (601 )      51,329       (296 )      51,033       7     AAA     3.36 %      1.28 %      3.3  
                                                                                     
Total/Weighted Average   $ 927,071     $ 879,447     $ (2,071 )    $ 877,376     $ (7,838 )    $ 869,538       85     A-     2.58 %      2.03 %      5.4  
                                                                                     

 

(A) This amount represents other-than-temporary impairment recorded on securities that are in an unrealized loss position as of December 31, 2013.
(B) The rating of securities in an unrealized loss position for less than twelve months excludes the rating of one bond for which New Residential was unable to obtain rating information.

New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following:

 

                                 
    December 31, 2013  
                Unrealized Losses  
    Fair Value     Amortized Cost Basis
After Impairment		     Credit (A)     Non-Credit (B)  
Securities New Residential intends to sell (C)   $ 164,666     $ 164,666     $ (988 )    $ —    
Securities New Residential is more likely
than not to be required to sell (D)		     —         —         —         N/A  
Securities New Residential has no intent to sell
and is not more likely than not to be required
to sell:		                                
Credit impaired securities     288,306       290,487       (2,071 )      (2,181 ) 
Non-credit impaired securities     581,232       586,889       —         (5,657 ) 
                                 
Total debt securities in an unrealized loss position   $ 1,034,204     $ 1,042,042     $ (3,059 )    $ (7,838 ) 
                                 

 

(A) This amount is required to be recorded as other-than-temporary impairment through earnings. In measuring the portion of credit losses, New Residential’s management estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include management’s expectations of prepayment speeds, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate.
(B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income.
(C) Securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment, and, therefore do not have unrealized losses reflected in other comprehensive income as of December 31, 2013.
(D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.

The following table summarizes New Residential’s securities in an unrealized loss position as of December 31, 2012.

 

                                                                                 
                GrossUnrealized                 Weighted Average  

Securities in an

Unrealized Loss Position

   Outstanding
Face Amount		     Amortized
Cost Basis		     Gains     Losses     Carrying
Value		     Number of
Securities		     Rating     Coupon     Yield     Maturity
(Years)		  
Less than Twelve Months   $ 15,747     $ 9,945     $ —       $ (330 )    $ 9,615       4       CC       1.46 %      5.91 %      7.2  
Twelve of More Months     —         —         —         —         —         —         —         —         —         —    
                                                                                 
Total   $ 15,747     $ 9,945     $ —       $ (330 )    $ 9,615       4       CC       1.46 %      5.91 %      7.2  
Schedule of credit losses on debt securities

The following table summarizes the activity related to credit losses on debt securities:

 

                 
    2013     2012  
     
Beginning balance of credit losses on debt securities for which a portion
of an OTTI was recognized in other comprehensive income		   $ —       $ —    
     
Additions for credit losses on securities for which an OTTI was not
previously recognized		     4,993       —    
     
Reduction for credit losses on securities for which no OTTI was
recognized in other comprehensive income at the current measurement
date		     (2,878 )      —    
     
Reduction for securities sold during the period     (44 )      —    
                 
Ending balance of credit losses on debt securities for which a portion of
an OTTI was recognized in other comprehensive income		   $ 2,071     $     —    
                 

  
Schedule of geographic distribution of collateral securing non-agency RMBS

The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS as of December 31, 2013:

 

                 
Geographic Location   Outstanding Face
Amount		     Percentage of Total
Outstanding		  
Western U.S.   $ 317,111       36.3 % 
Southeastern U.S.     198,298       22.7 % 
Northeastern U.S.     164,481       18.9 % 
Midwestern U.S.     98,682       11.3 % 
Southwestern U.S.     51,425       5.9 % 
Other (A)     42,869       4.9 % 
                 
    $ 872,866       100.0 % 
                 

 

(A) Represents collateral for which New Residential was unable to obtain geographic information.

The table below summarizes the geographic distribution of the collateral securing New Residential’s real estate securities at December 31, 2012:

 

                 
    December 31, 2012  
Geographic Location   Outstanding
Face
Amount		     Percentage  
Western U.S.   $ 151,227       34.9 % 
Southeastern U.S.     100,636       23.2 % 
Northeastern U.S.     95,565       22.0 % 
Midwestern U.S.     43,230       10.0 % 
Southwestern U.S     42,852       9.9 % 
                 
    $ 433,510       100.0 % 
Schedule of Real Estate Securities with a deteriorated credit quality rating

The following is the outstanding face amount and carrying value for securities as of December 31, 2013 and December 31, 2012, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments:

 

                 
    Outstanding Face
Amount		     Carrying
Value		  
December 31, 2013   $ 729,895     $ 483,680  
December 31, 2012   $ 342,013     $ 212,129  
  
Schedule of accretable yield of real estate securities

The following is a summary of the changes in accretable yield for these securities:

 

                 
    Year Ended December 31,  
    2013     2012  
Beginning Balance   $ 90,077     $ —    
Additions     155,854       80,636  
Accretion     (19,939 )      (3,195 ) 
Reclassifications from non-accretable difference     40,785       12,636  
Disposals     (123,710 )      —    
                 
Ending Balance   $ 143,067     $ 90,077  
                 

The following is a summary of the changes in accretable yield for these securities during the year ended December 31, 2012.

 

         
    For the year ended
December 31, 2012		  
Balance at December 31, 2011   $ —    
Additions     80,636  
Accretion     (3,195 ) 
Reclassifications from nonaccretable difference     12,636  
Disposals     —    
         
Balance at December 31, 2012   $ 90,077