Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS - Real Estate Securities Valuation (Details)

FAIR VALUE OF FINANCIAL INSTRUMENTS - Real Estate Securities Valuation (Details) (USD $)
In Thousands, unless otherwise specified
Jun. 30, 2014
Outstanding face amount $ 1,507,595
Amortized cost basis 1,454,915
Total Fair Value 1,463,903
Multiple Quotes
Total Fair Value 1,450,385 [1]
Single Quote
Total Fair Value 13,518 [2]
Agency RMBS
Outstanding face amount 1,159,363 [3],[4]
Amortized cost basis 1,244,864 [3],[4]
Agency RMBS | Level 2
Total Fair Value 1,247,012
Agency RMBS | Multiple Quotes | Level 2
Total Fair Value 1,247,012 [1]
Non-Agency RMBS
Outstanding face amount 348,232
Amortized cost basis 210,051
Non-Agency RMBS | Level 3
Total Fair Value 216,891
Non-Agency RMBS | Multiple Quotes | Level 3
Total Fair Value 203,373 [1]
Non-Agency RMBS | Single Quote | Level 3
Total Fair Value $ 13,518 [2]
[1] Management 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. Management 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 management 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. Management 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, management 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.
[2] Management was unable to obtain quotations from more than one source on these securities. The one source was the seller (the party that sold New Residential the security).
[3] Amortized cost basis and carrying value include principal receivable of $12.5 million.
[4] 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”).