Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Securities Valuation Methodology and Results (Details)

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FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Securities Valuation Methodology and Results (Details)
$ in Thousands
Mar. 31, 2016
USD ($)
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount $ 5,766,333
Amortized Cost Basis 3,453,043
Total Fair Value 3,441,790
Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 3,221,243 [1]
Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 220,547 [2]
Agency RMBS [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 1,450,299 [3],[4]
Amortized Cost Basis 1,524,194 [3],[4]
Agency RMBS [Member] | Level 2 [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,523,203
Agency RMBS [Member] | Level 2 [Member] | Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,523,203 [1]
Agency RMBS [Member] | Level 2 [Member] | Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 0 [2]
Non-Agency RMBS [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 4,316,034 [5],[6]
Amortized Cost Basis 1,928,849 [5],[6]
Non-Agency RMBS [Member] | Level 3 [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,918,587
Non-Agency RMBS [Member] | Level 3 [Member] | Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,698,040 [1],[5]
Non-Agency RMBS [Member] | Level 3 [Member] | Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 220,547 [2],[5]
[1] New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential 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 it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential 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. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.
[2] New Residential was unable to obtain quotations from more than one source on these securities. For approximately $214.7 million, the one source was the party that sold New Residential the security.
[3] Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac.
[4] 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.
[5] Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
[6] 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.