INVESTMENTS IN REAL ESTATE SECURITIES (Tables)

12 Months Ended

Dec. 31, 2013

Investments In Real Estate Securities Tables

Schedule of Real Estate Securities

The following is a summary of New Residential’s real estate securities as of December 31, 2013 and 2012, 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, except for securities that are other-than-temporarily impaired.

					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)
December 31, 2013
Agency ARM RMBS (E)(F)	$	1,314,130	$	1,403,215	$	3,434	$	(3,885	)	$	1,402,764		114	AAA		3.18	%		1.33	%		4.1		N/A
Non-Agency RMBS		872,866		566,760		7,618		(3,953	)		570,425		100	CCC-		0.94	%		4.68	%		8.0		7.4	%
Total/Weighted Average (G)	$	2,186,996	$	1,969,975	$	11,052	$	(7,838	)	$	1,973,189		214	BBB+		2.28	%		2.66	%		5.7
December 31, 2012
Non-Agency RMBS	$	433,510	$	274,230	$	15,856	$	(330	)	$	289,756		29	CC		0.63	%		6.55	%		6.8		10.0	%

(A) Fair value, which is equal to carrying value for all securities. See Note 12 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. This excludes the ratings of two non-agency bonds with a face amount of $6.3 million for which New Residential was unable to obtain rating information. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency ARM RMBS. Ratings provided were determined by third party rating agencies, 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 $10.6 million.

(G) The total outstanding face amount was $6.6 million for fixed rate securities and $2.2 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 December 31, 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 (B)	Coupon			Yield			Life (Years)
Less than Twelve Months	$	878,993	$	827,517	$	(1,470	)	$	826,047	$	(7,542	)	$	818,505		78	A-		2.54	%		2.07	%		5.5
Twelve or More Months		48,078		51,930		(601	)		51,329		(296	)		51,033		7	AAA		3.36	%		1.28	%		3.3
Total/Weighted Average	$	927,071	$	879,447	$	(2,071	)	$	877,376	$	(7,838	)	$	869,538		85	A-		2.58	%		2.03	%		5.4

(A) This amount represents other-than-temporary impairment recorded on securities that are in an unrealized loss position as of December 31, 2013.

(B) The rating of securities in an unrealized loss position for less than twelve months excludes the rating of one bond for which New Residential was unable to obtain rating information.

New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following:

	December 31, 2013
					Unrealized Losses
	Fair Value		Amortized Cost Basis After Impairment		Credit (A)			Non-Credit (B)
Securities New Residential intends to sell (C)	$	164,666	$	164,666	$	(988	)	$	—
Securities New Residential is more likely than not to be required to sell (D)		—		—		—			N/A
Securities New Residential has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities		288,306		290,487		(2,071	)		(2,181	)
Non-credit impaired securities		581,232		586,889		—			(5,657	)
Total debt securities in an unrealized loss position	$	1,034,204	$	1,042,042	$	(3,059	)	$	(7,838	)

(A) This amount is required to be recorded as other-than-temporary impairment through earnings. In measuring the portion of credit losses, New Residential’s management estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include management’s expectations of prepayment speeds, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate.

(B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income.

(C) Securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment, and, therefore do not have unrealized losses reflected in other comprehensive income as of December 31, 2013.

(D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.

Schedule of credit losses on debt securities

The following table summarizes the activity related to credit losses on debt securities:

	2013			2012
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income	$	—		$	—
Additions for credit losses on securities for which an OTTI was not previously recognized		4,993			—
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date		(2,878	)		—
Reduction for securities sold during the period		(44	)		—
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income	$	2,071		$	—

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 as of December 31, 2013:

Geographic Location	Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	317,111		36.3	%
Southeastern U.S.		198,298		22.7	%
Northeastern U.S.		164,481		18.9	%
Midwestern U.S.		98,682		11.3	%
Southwestern U.S.		51,425		5.9	%
Other (A)		42,869		4.9	%
	$	872,866		100.0	%

(A) Represents collateral for which New Residential was unable to obtain geographic information.

Schedule of Real Estate Securities with a deteriorated credit quality rating

The following is the outstanding face amount and carrying value for securities as of December 31, 2013 and December 31, 2012, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments:

	Outstanding Face Amount		Carrying Value
December 31, 2013	$	729,895	$	483,680
December 31, 2012	$	342,013	$	212,129

Schedule of accretable yield of real estate securities

The following is a summary of the changes in accretable yield for these securities:

	Year Ended December 31,
	2013			2012
Beginning Balance	$	90,077		$	—
Additions		155,854			80,636
Accretion		(19,939	)		(3,195	)
Reclassifications from non-accretable difference		40,785			12,636
Disposals		(123,710	)		—
Ending Balance	$	143,067		$	90,077