Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN REAL ESTATE SECURITIES (Tables)

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INVESTMENTS IN REAL ESTATE SECURITIES (Tables)
9 Months Ended
Sep. 30, 2013
Investments In 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 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.
 
                
Gross Unrealized
             
Weighted Average
 
Asset Type
 
Outstanding Face Amount
   
Amortized Cost Basis
   
Gains
   
Losses
   
Carrying
Value (A)
   
Number of
Securities
 
Rating (B)
 
Coupon
   
Yield
   
Life (Years) (C)
   
Principal Subordination (D)
 
                                                               
Agency ARM RMBS (E) (F)
  $ 1,203,293     $ 1,285,532     $ 1,480     $ (7,562 )   $ 1,279,450       95  
 AAA
    3.15 %     1.30 %     3.0       N/A  
Non-Agency RMBS
    851,504       559,980       28,089       (6,319 )     581,750       95  
 CC
    0.82 %     5.20 %     4.2       9.1 %
Total/Weighted Average (G)
  $ 2,054,797     $ 1,845,512     $ 29,569     $ (13,881 )   $ 1,861,200       190  
 BBB
    2.18 %     2.48 %     3.5          

(A)
Fair value, which is equal to carrying value for all securities. See Note 9 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, and represent the most recent credit ratings available as of the reporting date and may not be current.
   
(C)
The weighted average life 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)
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”).
   
(F)
Amortized cost basis and carrying value include principal receivable of $10.7 million.
   
(G)
The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities.
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.
 
          
Amortized Cost Basis
                     
Weighted Average
 
Securities in an
Unrealized Loss
 Position
 
Outstanding Face Amount
   
Before Impairment
   
Other-Than-Temporary Impairment (A)
   
After Impairment
   
Gross Unrealized Losses
   
Carrying Value
   
Number of Securities
   
Rating
   
Coupon
   
Yield
   
Life
(Years)
 
                                                                   
Less than Twelve Months
  $ 1,015,349     $ 995,953     $ (2,653 )   $ 993,300     $ (13,676 )   $ 979,624       85       A       2.72 %     2.00 %     3.2  
Twelve or More Months
    30,939       33,451       (411 )   $ 33,040       (205 )     32,835       4    
AAA
      3.50 %     1.28 %     2.6  
Total/Weighted Average
  $ 1,046,288     $ 1,029,404     $ (3,064 )   $ 1,026,340     $ (13,881 )   $ 1,012,459       89       A       2.74 %     1.98 %     3.2  
 
(A)
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.
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:
 
Geographic Location
 
Outstanding Face Amount
   
Percentage of Total Outstanding
 
Western U.S.
  $ 344,107       40.4 %
Southeastern U.S.
    195,278       22.9 %
Northeastern U.S.
    165,401       19.4 %
Midwestern U.S.
    99,404       11.7 %
Southwestern U.S.
    47,314       5.6 %
    $ 851,504       100.0 %
 
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:
 
             
             
   
Outstanding Face Amount
   
Carrying Value
 
December 31, 2012
  $ 342,013     $ 212,129  
September 30, 2013
  $ 726,930     $ 476,570  
Schedule of accretable yield of real estate securities
The following is a summary of the changes in accretable yield for these securities:
 
       
   
For the Nine Months
Ended September 30, 2013
 
Balance at December 31, 2012
  $ 90,077  
Additions
    87,756  
Accretion
    (14,797 )
Reclassifications from nonaccretable difference
    38,662  
Disposals     (18,672
Balance at September 30, 2013
  $ 183,026