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
3 Months Ended
Mar. 31, 2016
USD ($)
security
Mar. 31, 2016
USD ($)
security
Dec. 31, 2015
USD ($)
Schedule of Available-for-sale Securities [Line Items]      
Outstanding Face Amount $ 5,766,333 $ 5,766,333  
Amortized Cost Basis 3,453,043 3,453,043  
Carrying Value 3,441,790 $ 3,441,790 $ 2,501,881
Weighted Average Life (Years)   1 year 2 months 26 days  
Agency RMBS [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Face Amount of Securities Purchased 1,300,000 $ 2,216,700  
Purchase Price of Securities Purchased 1,300,000 2,300,300  
Face amount of securities sold 1,400,000 1,632,600  
Amortized Cost of Securities Sold   1,673,700  
Sale Price of Securities Sold 1,500,000 1,698,300  
Gain (Loss) on Sale of Securities Sold   24,600  
Outstanding Face Amount [1],[2] 1,450,299 1,450,299  
Amortized Cost Basis [1],[2] 1,524,194 1,524,194  
Gross Unrealized Gains [1],[2] 531 531  
Gross Unrealized Losses [1],[2] (1,522) (1,522)  
Carrying Value [1],[2] $ 1,523,203 [3] $ 1,523,203 [3] 917,598
Number of Securities | security [1],[2] 39 39  
Weighted Average Rating [1],[2],[4]   AAA  
Weighted Average Coupon [1],[2],[5] 3.39% 3.39%  
Weighted Average Yield [1],[2] 1.95% 1.95%  
Weighted Average Life (Years) [1],[2],[6]   6 years 1 month 22 days  
Non-Agency RMBS [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Face Amount of Securities Purchased $ 200,000 $ 1,032,100  
Purchase Price of Securities Purchased 100,000 443,100  
Face amount of securities sold   59,900  
Amortized Cost of Securities Sold   51,900  
Sale Price of Securities Sold   43,400  
Gain (Loss) on Sale of Securities Sold   (8,500)  
Outstanding Face Amount [7],[8] 4,316,034 4,316,034  
Amortized Cost Basis [7],[8] 1,928,849 1,928,849  
Gross Unrealized Gains [8] 21,699 21,699  
Gross Unrealized Losses [8] (31,961) (31,961)  
Carrying Value [8] $ 1,918,587 [3] $ 1,918,587 [3] 1,584,283
Number of Securities | security [8] 280 280  
Weighted Average Rating [4],[8]   BB-  
Weighted Average Coupon [5],[8] 1.70% 1.70%  
Weighted Average Yield [8] 5.23% 5.23%  
Weighted Average Life (Years) [6],[8]   7 years 6 months 4 days  
Weighted Average Principal Subordination [8],[9] 11.20% 11.20%  
Investments in Real Estate Securities [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Outstanding Face Amount $ 5,766,333 $ 5,766,333  
Amortized Cost Basis 3,453,043 3,453,043  
Gross Unrealized Gains 22,230 22,230  
Gross Unrealized Losses (33,483) (33,483)  
Carrying Value $ 3,441,790 [3] $ 3,441,790 [3] $ 2,501,881
Number of Securities | security 319.000 319.000  
Weighted Average Rating [4]   BBB+  
Weighted Average Coupon [5] 2.42% 2.42%  
Weighted Average Yield 3.78% 3.78%  
Weighted Average Life (Years) [6]   6 years 10 months 27 days  
Other ABS [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Outstanding Face Amount $ 1,723,191 $ 1,723,191  
Amortized Cost Basis 102,192 102,192  
Gross Unrealized Gains 6,028 6,028  
Gross Unrealized Losses (4,412) (4,412)  
Carrying Value $ 103,808 $ 103,808  
Number of Securities | security 16 16  
Weighted Average Rating   A+  
Weighted Average Coupon 2.21% 2.21%  
Weighted Average Yield 6.21% 6.21%  
Weighted Average Life (Years)   5 years 1 month 8 days  
Servicer Advances [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Outstanding Face Amount $ 431,000 $ 431,000  
Amortized Cost Basis 430,754 430,754  
Gross Unrealized Gains 306 306  
Gross Unrealized Losses (103) (103)  
Carrying Value $ 430,957 $ 430,957  
Number of Securities | security 5 5  
Weighted Average Rating   AA+  
Weighted Average Coupon 2.69% 2.69%  
Weighted Average Yield 2.44% 2.44%  
Weighted Average Life (Years)   9 months 1 day  
[1] Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac.
[2] The total outstanding face amount was $1.3 billion for fixed rate securities and $175.7 million for floating rate securities as of March 31, 2016.
[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 84 bonds with a carrying value of $341.6 million 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] Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $220.5 million and $0.0 million, respectively, for which no coupon payment is expected.
[6] The weighted average life is based on the timing of expected principal reduction on the assets.
[7] Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
[8] The total outstanding face amount was $2.4 billion (including $1.8 billion of residual and interest-only notional amount) for fixed rate securities and $1.9 billion (including $229.9 million of residual and interest-only notional amount) for floating rate securities as of March 31, 2016.
[9] Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding interest-only bonds and servicer advance bonds.