Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS OF REAL ESTATE SECURITIES (Tables)

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INVESTMENTS OF REAL ESTATE SECURITIES (Tables)
3 Months Ended
Mar. 31, 2013
Investments Of Real Estate Securities Tables  
Schedule of Real Estate Securities - available for sale

The following is a summary of New Residential’s real estate securities at March 31, 2013, 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  
    Outstanding Face     Amortized                 Carrying     Number of     Rating                 Maturity (Years)     Principal Subordination  
Asset Type   Amount     Cost Basis     Gains     Losses     Value (A)     Securities     (B)     Coupon     Yield     (C)     (D)  
                                                                   
Agency RMBS (F)   $ 754,496     $ 797,547     $ 2,832     $ (924 )   $ 799,455       42       AAA       3.29 %     1.46 %     4.1       N/A  
Non-Agency RMBS     784,259       488,767       30,936       (1,135 )     518,568       53       CC       0.67 %     6.20 %     7.6       7.7 %
Total/Weighted Average (E)   $ 1,538,755     $ 1,286,314     $ 33,768     $ (2,059 )   $ 1,318,023       95       BB+       1.95 %     3.26 %     5.9        

 

(A) Fair value, which is equal to carrying value for all securities. See Note 8 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 $1.5 billion.
   
(F) 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”).

 

Schedule of Real Estate Securities in an Unrealized Loss Position

The following table summarizes New Residential’s securities in an unrealized loss position at March 31, 2013:

 

          Gross Unrealized                 Weighted Average  
Securities in a Loss Position   Outstanding Current Face     Before Impairment     Other Than Temporary Impairment     After Impairment     Gains     Losses     Carry Value     Number of Securities     Rating     Coupon     Yield     Maturity (Years)  
Less than Twelve Months   $ 397,038     $ 332,125     $ —     $ 332,125     $ —     $ (2,053 )   $ 330,072       24       BB       1.99 %     2.58 %     6.7  
Twelve or More Months     7,551       8,074       —       8,074       —       (6     8,068       1       AAA       2.77     0.88     4.7  
Total   $ 404,589     $ 340,199     $ —     $ 340,199     $ —     $ (2,059 )   $ 338,140       25      

BB

      2.01 %     2.54 %     6.7  

 

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 at March 31, 2013:

 

Geographic Location   Outstanding Face Amount     Percentage of Total Outstanding  
Western U.S.   $ 292,665       37.3 %
Northeastern U.S.     178,621       22.8 %
Southeastern U.S.     166,243       21.2 %
Midwestern U.S.     87,029       11.1 %
Southwestern U.S.     59,696       7.6 %
Other U.S.     5       0.0 %
    $ 784,259       100.0 %

 

Schedule of Real Estate Securities with a deteriorated credit quality rating

The following is the outstanding face amount and carrying value for such securities at December 31, 2012 and March 31, 2013:

 

      Outstanding Face Value     Carrying Value  
December 31, 2012     $ 342,013     $ 212,129  
March 31, 2013     $ 692,140     $ 436,458  
Schedule of accretable yield of real estate securities

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

 

    For the Three Months Ended
March 31, 2013
 
Balance at December 31, 2012   $ 90,077  
Additions     57,568  
Accretion     (4,223 )
Reclassifications from non-accretable difference     49,442  
Disposals     —  
Balance at March 31, 2013   $ 192,864