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INVESTMENTS IN REAL ESTATE SECURITIES (Tables)
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9 Months Ended |
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Sep. 30, 2013
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| Investments In Real Estate Securities Tables |
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| Schedule of Real Estate Securities - available for sale |
The following is a summary of New Residential’s real estate securities at September 30, 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.
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Gross Unrealized
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Weighted Average
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Asset Type
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Outstanding Face Amount
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Amortized Cost Basis
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Gains
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Losses
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Carrying
Value (A)
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Number of
Securities
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Rating (B)
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Coupon
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Yield
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Life (Years) (C)
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Principal Subordination (D)
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Agency ARM RMBS (E) (F)
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$ |
1,203,293 |
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$ |
1,285,532 |
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$ |
1,480 |
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$ |
(7,562 |
) |
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$ |
1,279,450 |
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95 |
|
AAA
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3.15 |
% |
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1.30 |
% |
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3.0 |
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N/A |
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Non-Agency RMBS
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851,504 |
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559,980 |
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28,089 |
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(6,319 |
) |
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581,750 |
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95 |
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CC
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0.82 |
% |
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5.20 |
% |
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4.2 |
|
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9.1 |
% |
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Total/Weighted Average (G)
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$ |
2,054,797 |
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$ |
1,845,512 |
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$ |
29,569 |
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$ |
(13,881 |
) |
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$ |
1,861,200 |
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190 |
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BBB
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2.18 |
% |
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2.48 |
% |
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3.5 |
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(A)
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Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value.
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(B)
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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, and represent the most recent credit ratings available as of the reporting date and may not be current.
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(C)
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The weighted average life is based on the timing of expected principal reduction on the assets.
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(D)
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Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential’s investments.
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(E)
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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”).
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(F)
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Amortized cost basis and carrying value include principal receivable of $10.7 million.
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(G)
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The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities.
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| Schedule of Real Estate Securities in an Unrealized Loss Position |
The following table summarizes New Residential’s securities in an unrealized loss position as of September 30, 2013.
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Amortized Cost Basis
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Weighted Average
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Securities in an
Unrealized Loss
Position
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Outstanding Face Amount
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Before Impairment
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Other-Than-Temporary Impairment (A)
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After Impairment
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Gross Unrealized Losses
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Carrying Value
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Number of Securities
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Rating
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Coupon
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Yield
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Life
(Years)
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Less than Twelve Months
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$ |
1,015,349 |
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$ |
995,953 |
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$ |
(2,653 |
) |
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$ |
993,300 |
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$ |
(13,676 |
) |
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$ |
979,624 |
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85 |
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A |
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2.72 |
% |
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2.00 |
% |
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3.2 |
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Twelve or More Months
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30,939 |
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33,451 |
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(411 |
) |
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$ |
33,040 |
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(205 |
) |
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32,835 |
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4 |
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AAA
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3.50 |
% |
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1.28 |
% |
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2.6 |
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Total/Weighted Average
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$ |
1,046,288 |
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$ |
1,029,404 |
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$ |
(3,064 |
) |
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$ |
1,026,340 |
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$ |
(13,881 |
) |
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$ |
1,012,459 |
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89 |
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A |
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2.74 |
% |
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1.98 |
% |
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3.2 |
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(A)
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Other than temporary impairment was recorded in connection with unrealized losses at the time of spin-off as Newcastle did not have the intent and ability to hold the securities past May 15, 2013. The losses were not recorded as the result of New Residential’s intent to sell the securities and are not the result of credit impairment.
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| 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 September 30, 2013:
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Geographic Location
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Outstanding Face Amount
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Percentage of Total Outstanding
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Western U.S.
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$ |
344,107 |
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40.4 |
% |
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Southeastern U.S.
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195,278 |
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22.9 |
% |
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Northeastern U.S.
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165,401 |
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19.4 |
% |
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Midwestern U.S.
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99,404 |
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11.7 |
% |
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Southwestern U.S.
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47,314 |
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5.6 |
% |
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$ |
851,504 |
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100.0 |
% |
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| Schedule of Real Estate Securities with a deteriorated credit quality rating |
The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, at December 31, 2012 and September 30, 2013:
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Outstanding Face Amount
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Carrying Value
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December 31, 2012
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$ |
342,013 |
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$ |
212,129 |
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September 30, 2013
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$ |
726,930 |
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$ |
476,570 |
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| Schedule of accretable yield of real estate securities |
The following is a summary of the changes in accretable yield for these securities:
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For the Nine Months
Ended September 30, 2013
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Balance at December 31, 2012
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$ |
90,077 |
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Additions
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87,756 |
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Accretion
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(14,797 |
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Reclassifications from nonaccretable difference
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38,662 |
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| Disposals |
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(18,672 |
) |
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Balance at September 30, 2013
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$ |
183,026 |
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