Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Real Estate Securities (Details)

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INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Real Estate Securities (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2015
USD ($)
security
Dec. 31, 2014
USD ($)
Schedule of Available-for-sale Securities [Line Items]    
Outstanding Face Amount $ 3,328,343  
Amortized Cost Basis 1,893,519  
Carrying Value $ 1,907,961 $ 2,463,163
Weighted Average Life (Years) 11 months 2 days  
Agency RMBS [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Outstanding Face Amount [1],[2] $ 958,141  
Amortized Cost Basis [1],[2] 991,514  
Gross Unrealized Gains [1],[2] 5,199  
Gross Unrealized Losses [1],[2] (2,683)  
Carrying Value [1],[2] $ 994,030 [3] 1,740,163
Number of Securities | security [1],[2] 28  
Weighted Average Rating [1],[2],[4] AAA  
Weighted Average Coupon [1],[2] 3.27%  
Weighted Average Yield [1],[2] 3.00%  
Weighted Average Life (Years) [1],[2],[5] 7 years 5 months 19 days  
Non-Agency RMBS [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Outstanding Face Amount $ 2,370,202 [6],[7],[8] 1,896,150
Amortized Cost Basis [6],[7],[8] 902,005  
Gross Unrealized Gains [7],[8] 18,668  
Gross Unrealized Losses [7],[8] (6,742)  
Carrying Value [7],[8] $ 913,931 [3] 723,000
Number of Securities | security [7],[8] 167  
Weighted Average Rating [4],[7],[8] B-  
Weighted Average Coupon [7],[8] 2.57%  
Weighted Average Yield [7],[8] 4.79%  
Weighted Average Life (Years) [5],[7],[8] 7 years 7 months 6 days  
Weighted Average Principal Subordination [7],[8],[9] 12.70%  
Investments in Real Estate Securities [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Outstanding Face Amount $ 3,328,343  
Amortized Cost Basis 1,893,519  
Gross Unrealized Gains 23,867  
Gross Unrealized Losses (9,425)  
Carrying Value $ 1,907,961 [3] $ 2,463,163
Number of Securities | security 195.000  
Weighted Average Rating [4] A-  
Weighted Average Coupon 2.88%  
Weighted Average Yield 3.85%  
Weighted Average Life (Years) [5] 7 years 6 months 12 days  
Other ABS [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Outstanding Face Amount $ 1,222,088  
Amortized Cost Basis 67,980  
Gross Unrealized Gains 1,472  
Gross Unrealized Losses (1,840)  
Carrying Value $ 67,612  
Number of Securities | security 9  
Weighted Average Rating AA+  
Weighted Average Coupon 1.87%  
Weighted Average Yield 7.64%  
Weighted Average Life (Years) 3 years 6 months 22 days  
[1] 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”).
[2] The total outstanding face amount was $753.8 million for fixed rate securities and $204.3 million for floating rate securities as of June 30, 2015.
[3] Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value.
[4] 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 the collateral underlying 46 bonds which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current.
[5] The weighted average life is based on the timing of expected principal reduction on the assets.
[6] Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
[7] Includes Other ABS consisting primarily of interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and representing 7.4% of the carrying value of the Non-Agency RMBS portfolio. Gross Unrealized Weighted AverageAsset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal SubordinationOther ABS $1,222,088 $67,980 $1,472 $(1,840) $67,612 9 AA+ 1.87% 7.64% 3.6 N/A
[8] The total outstanding face amount was $1.4 billion (including $1.4 billion of residual and interest-only notional amount) for fixed rate securities and $954.6 million (including $99.8 million of residual and interest-only notional amount) for floating rate securities as of June 30, 2015.
[9] Percentage of the outstanding face amount of securities that is subordinate to New Residential’s investments.