Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)

v2.4.0.8
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
9 Months Ended
Sep. 30, 2014
Receivables [Abstract]  
Schedule of residential mortgage loans
The following table presents certain information regarding New Residential's residential mortgage loans outstanding by loan type, excluding REO and linked transactions at September 30, 2014 and December 31, 2013, respectively.


September 30, 2014
 



Outstanding Face Amount

Carrying
Value

Loan
Count

Weighted Average Yield

Weighted Average Life (Years)(A)

Floating Rate Loans as a % of Face Amount

Loan to Value Ratio ("LTV")(B)

Weighted Avg. Delinquency(C)

Weighted Average FICO(D)
 
December 31, 2013 Carrying Value
Loan Type


















 

Reverse Mortgage Loans(E)(F)

$
49,759


$
28,226


228


10.3
%

3.8

20.6
%

107
%

79.6
%

N/A

 
$
33,539

Performing Loans(G)(H)

127,824


100,856


697


5.1
%

4.3

12.8
%

108
%

3.9
%

608

 

Purchased Credit Impaired ("PCI") Loans(H)(I)

665,682


500,316


2,394


6.0
%

2.2

43.4
%

115
%

92.7
%

559

 

Total Residential Mortgage Loans, held-for-
    investment

$
843,265


$
629,398


3,319


6.1
%

2.6

37.4
%

113
%

78.5
%

567

 
$
33,539

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage Loans, held-for-sale(H)
 
$
463,639

 
$
492,399

 
2,364

 
3.9
%
 
6.7
 
2.7
%
 
125
%
 
%
 
704

 
$


(A)
The weighted average life is based on the expected timing of the receipt of cash flows.
(B)
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
(C)
Represents the percentage of the total principal balance that are 60+ days delinquent, none of which are on non-accrual status.
(D)
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
(E)
Represents a 70% interest New Residential holds in reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.3 million. 78% 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.
(F)
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
(G)
Includes loans that are current or less than 30 days past due at acquisition.
(H)
Carrying value includes accrued interest receivable.
(I)
Includes loans that are 30 days or more past due at acquisition.
Schedule of geographic distribution of residential mortgage loans
The table below summarizes the geographic distribution of the underlying residential mortgage loans as of September 30, 2014:
 
 
Percentage of Total Outstanding Unpaid Principal Amount as of
State Concentration
 
September 30, 2014
 
December 31, 2013
California
 
23.0
%
 
5.7
%
New York
 
16.7
%
 
22.0
%
New Jersey
 
8.3
%
 
6.9
%
Illinois
 
5.8
%
 
7.7
%
Florida
 
4.5
%
 
21.2
%
Maryland
 
4.0
%
 
2.8
%
Connecticut
 
3.3
%
 
3.9
%
Massachusetts
 
3.1
%
 
4.1
%
Washington
 
3.0
%
 
3.9
%
Pennsylvania
 
2.9
%
 
0.9
%
Other U.S.
 
25.4
%
 
20.9
%
 
 
100.0
%
 
100.0
%
Past Due Financing Receivables
The following table provides past due information for New Residential's Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses:
September 30, 2014
Days Past Due
 
Delinquency Status(A)
Current
 
74.9
%
30-59
 
21.2
%
60-89
 
2.3
%
90-119(B)
 
0.8
%
120+
 
0.8
%
 
 
100.0
%

(A)
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
(B)
Includes loans 90-119 days past due and still accruing because they are generally placed on nonaccrual status at 120 days or more past due.
Schedule of activity in carrying value and valuation allowance of residential mortgage loans
Activities related to the carrying value of reverse mortgage loans and performing loans were as follows:
 
For the Nine Months Ended September 30, 2014
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2013
$
33,539

 
$

Purchases/additional fundings

 
107,626

Proceeds from repayments
(2,143
)
 
(9,205
)
Accretion of loan discount and other amortization
4,819

 
2,171

Transfer of loans to other assets
(7,165
)
 

Transfer of loans held for sale

 

Reversal of valuation provision on loans transferred to other assets
54

 

Allowance for loan losses
(878
)
 
(713
)
Balance at September 30, 2014
$
28,226

 
$
99,879

Allowance for credit losses
Activities related to the valuation provision on reverse mortgage loans and allowance for loan losses on performing loans were as follows:
 
For the Nine Months Ended September 30, 2014
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2013
$
461

 
$

Charge-offs(A)

 

Reversal of valuation provision on loans transferred to other assets
(54
)
 

     Allowance for loan losses(B)
878

 
713

Balance at September 30, 2014
$
1,285

 
$
713


(A)
Loans, other than PCI loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible.
(B)
Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level.
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities Acquired During Period [Table Text Block]
The following is the contractually required payments receivable, cash flows expected to be collected, and fair value at acquisition date for loans acquired during the nine months ended September 30, 2014:
 
 
Contractually Required Payments Receivable
 
Cash Flows Expected to be Collected
 
Fair Value
As of Acquisition Date
 
$
1,307,248

 
$
635,787

 
$
508,603

Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Information about Loans
The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments:
 
Unpaid Principal Balance
 
Carrying Value
September 30, 2014
$
665,682

 
$
500,316

December 31, 2013

 

Schedule of accretable yield of real estate securities
The following is a summary of the changes in accretable yield for these loans:
 
For the Nine Months Ended September 30, 2014
Balance at December 31, 2013
$

Additions
127,184

Accretion
(16,772
)
Reclassifications from non-accretable difference(A)
5,322

Disposals(B)
(4,122
)
Balance at September 30, 2014(C)
$
111,612


(A)
Represents a probable and significant increase in cash flows previously expected to be uncollectible.
(B)
Includes sales of loans or foreclosures, which result in removal of the loan from the PCI loan pool at its carrying amount.
(C)
New Residential has not encountered probable decreases in expected cash flows and therefore, has no allowance for loan losses.
Schedule of loans held for sale
 
 
For the Nine Months Ended September 30, 2014
 
 
Loans Held-for-Sale
Balance at December 31, 2013
 
$

Purchases
 
490,806

Proceeds from repayments
 
(556
)
Valuation provision on loans
 

Balance at September 30, 2014
 
$
490,250