Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)

v3.2.0.727
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
6 Months Ended
Jun. 30, 2015
Receivables [Abstract]  
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO:


June 30, 2015
 



Outstanding Face Amount

Carrying
Value

Loan
Count

Weighted Average Yield

Weighted Average Life (Years)(A)

Floating Rate Loans as a % of Face Amount

Loan to Value Ratio (“LTV”)(B)

Weighted Avg. Delinquency(C)

Weighted Average FICO(D)
 
December 31, 2014
Carrying Value
Loan Type


















 

Reverse Mortgage Loans(E)(F)

$
39,475


$
21,601


165


10.0
%

4.1


21.5
%

110.4
%

75.6
%

N/A

 
$
24,965

Performing Loans(G)

22,887


21,140


699


8.9
%

5.7


17.9
%

77.8
%

10.8
%

628

 
22,873

Total Residential Mortgage Loans, held-for-
    investment

$
62,362

 
$
42,741

 
864


9.6
%

4.7


20.1
%

98.4
%

51.9
%

628

 
$
47,838

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Performing Loans, held-for-sale(G)
 
$

 
$

 

 
%
 

 
%
 
%
 
%
 

 
$
388,485

Non-performing Loans, held-for-sale(H)(I)
 
599,610

 
523,018

 
3,680

 
5.3
%
 
3.0

 
14.7
%
 
107.8
%
 
93.3
%
 
574

 
737,954

Residential Mortgage Loans, held-for-sale
 
$
599,610

 
$
523,018

 
3,680

 
5.3
%
 
3.0

 
14.7
%
 
107.8
%
 
93.3
%
 
574

 
$
1,126,439

(A)
The weighted average life is based on the expected timing of the receipt of cash flows.
(B)
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
(C)
Represents the percentage of the total principal balance that are 60+ days delinquent.
(D)
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
(E)
Represents a 70% interest that New Residential holds in reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.3 million. 74% of these loans have reached a termination event. As a result, the borrower can no longer make draws on these loans. Each loan matures upon the occurrence of a termination event.
(F)
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
(G)
Includes loans that are current or less than 30 days past due at acquisition where New Residential expects to collect all contractually required principal and interest payments. Presented net of unamortized discounts of $1.6 million.
(H)
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of June 30, 2015, New Residential has placed all of these loans on nonaccrual status, except as described in (I) below.
(I)
Includes $293.2 million UPB of GNMA EBO non-performing loans on accrual status as contractual cash flows are guaranteed by the FHA.

Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans
The table below summarizes the geographic distribution of the underlying residential mortgage loans:
 
 
Percentage of Total Outstanding Unpaid Principal Amount as of
State Concentration
 
June 30, 2015
 
December 31, 2014
New Jersey
 
17.8
%
 
7.0
%
New York
 
16.5
%
 
12.2
%
Florida
 
8.4
%
 
6.3
%
California
 
6.4
%
 
15.0
%
Maryland
 
4.1
%
 
3.4
%
Illinois
 
3.7
%
 
4.4
%
Pennsylvania
 
3.4
%
 
3.9
%
Massachusetts
 
3.3
%
 
2.4
%
Washington
 
2.9
%
 
3.0
%
Oregon
 
2.7
%
 
1.5
%
Other U.S.
 
30.8
%
 
40.9
%
 
 
100.0
%
 
100.0
%
Schedule of Past Due Information for Performing Loans
The following table provides past due information for New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses:
June 30, 2015
Days Past Due
 
Delinquency Status(A)
Current
 
29.3
%
30-59
 
59.9
%
60-89
 
9.2
%
90-119(B)
 
0.7
%
120+(C)
 
0.9
%
 
 
100.0
%

(A)
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
(B)
Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due.
(C)
Represents nonaccrual loans.
Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCI Loans Held for Investment
Activities related to the carrying value of residential mortgage loans held-for-investment were as follows:
 
For the Six Months Ended June 30, 2015
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2014
$
24,965

 
$
22,873

Purchases/additional fundings

 

Proceeds from repayments
(99
)
 
(1,514
)
Accretion of loan discount (premium) and other amortization
2,720

 
(101
)
Provision for loan losses
(186
)
 
(118
)
Transfer of loans to other assets
(5,762
)
 

Transfer of loans to real estate owned
(37
)
 

Balance at June 30, 2015
$
21,601

 
$
21,140

Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans
Activities related to the valuation provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows:
 
For the Six Months Ended June 30, 2015
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2014
$
1,518

 
$
1,447

Allowance for loan losses(A)
186

 
118

Charge-offs(B)

 
(1,371
)
Balance at June 30, 2015
$
1,704

 
$
194


(A)
Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level.
(B)
Loans, other than PCI loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible.

Summary of Activities Related to the Carrying Value of Loans Held-for-sale
Activities related to the carrying value of loans held-for-sale were as follows:
 
 
For the Six Months Ended June 30, 2015
 
 
Loans Held-for-Sale
Balance at December 31, 2014
 
$
1,126,439

Purchases(A)
 
807,579

Sales
 
(1,352,158
)
Transfer of loans to real estate owned
 
(20,034
)
Adoption of ASU No. 2014-11(B)
 
1,831

Proceeds from repayments
 
(37,903
)
Valuation provision on loans
 
(2,736
)
Balance at June 30, 2015
 
$
523,018


(A)
Represents loans acquired with the intent to sell, including loans acquired in the HLSS Acquisition (Note 1).
(B)
Represents loans financed with the selling counterparty that were previously accounted for as linked transactions.