Quarterly report pursuant to Section 13 or 15(d)

INVESTMENT IN RESIDENTIAL MORTGAGE LOANS (Tables)

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INVESTMENT IN RESIDENTIAL MORTGAGE LOANS (Tables)
3 Months Ended
Mar. 31, 2014
Investment In Residential Mortgage Loans Tables  
Schedule of residential mortgage loans

The following is a summary of residential mortgage loans at March 31, 2014, all of which are classified as held for investment:

 

    Outstanding Face Amount (A)     Amortized Cost Basis (A)     Carrying Value (A)     Loan Count     Wtd. Avg. Yield     Weighted Average Coupon (B)     Weighted Average Life (Years) (C)     Floating Rate Loans as a % of Face Amount     Delinquent Face Amount (A)(D)  
Loan Type                                                      
Residential Mortgage Loans Held-for- Investment (E)   $ 57,818     $ 34,045     $ 34,045       321       10.3 %     5.1 %     3.6       21.7 %   $ 47,919  

 

(A) Represents a 70% interest New Residential holds in the reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.3 million.
(B) Represents the stated interest rate on the loans. Accrued interest on reverse mortgage loans is generally added to the principal balance and paid when the loan is resolved.
(C) The weighted average life is based on the expected timing of the receipt of cash flows.
(D) Includes loans that have either experienced (i) a termination event or (ii) an event of default, substantially all of which are more than 90 days past the time at which they were considered delinquent or real estate owned (“REO”). Collateral value underlying loans considered delinquent is generally sufficient, however $3.6 million face amount of REO loans, representing New Residential’s 70% interest therein, was on non-accrual status resulting from the uncertainty of cash collections as of March 31, 2014.

(E) 80% of these loans have reached a termination event. As a result, the borrower can no longer make draws on these loans. Each loan matures upon the occurrence of a termination event.
Schedule of activity in carrying value and valuation allowance of residential mortgage loans

Activities related to the carrying value of residential mortgage loans were as follows:

  

    For the Three Months Ended March 31, 2014  
Balance at December 31, 2013   $ 33,539  
Purchases/additional fundings     —  
Proceeds from repayments     (50 )
Accretion of loan discount and other amortization     720  
Valuation allowance     (164 )
      —  
Balance at March 31, 2014   $ 34,045  

 

Activities related to the valuation allowance on residential mortgage loans were as follows:

 

    For the Three Months Ended March 31, 2014  
Balance at December 31, 2013   $ 461  
Charge-offs     —  
Valuation allowance on loans     164  
Balance at March 31, 2014   $ 625  
Schedule of geographic distribution of residential mortgage loans

The table below summarizes the geographic distribution of the underlying residential mortgage loans as of March 31, 2014:

  

State Concentration   Percentage of Total Outstanding Unpaid Principal Amount  
New York     22.3 %
Florida     21.4 %
Illinois     7.4 %
New Jersey     6.9 %
California     5.6 %
Massachusetts     4.2 %
Washington     4.0 %
Connecticut     3.9 %
Virginia     3.2 %
Maryland     2.8 %
Other U.S.     18.3 %
      100.0 %