INVESTMENTS OF REAL ESTATE SECURITIES (Tables)

3 Months Ended

Mar. 31, 2013

Investments Of 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 March 31, 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
	Outstanding Face		Amortized							Carrying		Number of		Rating								Maturity (Years)		Principal Subordination
Asset Type	Amount		Cost Basis		Gains		Losses			Value (A)		Securities		(B)		Coupon			Yield			(C)		(D)
Agency RMBS (F)	$	754,496	$	797,547	$	2,832	$	(924	)	$	799,455		42		AAA		3.29	%		1.46	%		4.1		N/A
Non-Agency RMBS		784,259		488,767		30,936		(1,135	)		518,568		53		CC		0.67	%		6.20	%		7.6		7.7	%
Total/Weighted Average (E)	$	1,538,755	$	1,286,314	$	33,768	$	(2,059	)	$	1,318,023		95		BB+		1.95	%		3.26	%		5.9

(A)	Fair value, which is equal to carrying value for all securities. See Note 8 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 as of a particular date, may not be current and are subject to change at any time.
(C)	The weighted average maturity 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)	The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $1.5 billion.
(F)	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”).

Schedule of Real Estate Securities in an Unrealized Loss Position

The following table summarizes New Residential’s securities in an unrealized loss position at March 31, 2013:

									Gross Unrealized									Weighted Average
Securities in a Loss Position	Outstanding Current Face		Before Impairment		Other Than Temporary Impairment		After Impairment		Gains		Losses			Carry Value		Number of Securities		Rating		Coupon			Yield			Maturity (Years)
Less than Twelve Months	$	397,038	$	332,125	$	—	$	332,125	$	—	$	(2,053	)	$	330,072		24		BB		1.99	%		2.58	%		6.7
Twelve or More Months		7,551		8,074		—		8,074		—		(6	)		8,068		1		AAA		2.77	%		0.88	%		4.7
Total	$	404,589	$	340,199	$	—	$	340,199	$	—	$	(2,059	)	$	338,140		25		BB		2.01	%		2.54	%		6.7

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 March 31, 2013:

Geographic Location	Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	292,665		37.3	%
Northeastern U.S.		178,621		22.8	%
Southeastern U.S.		166,243		21.2	%
Midwestern U.S.		87,029		11.1	%
Southwestern U.S.		59,696		7.6	%
Other U.S.		5		0.0	%
	$	784,259		100.0	%

Schedule of Real Estate Securities with a deteriorated credit quality rating

The following is the outstanding face amount and carrying value for such securities at December 31, 2012 and March 31, 2013:

		Outstanding Face Value		Carrying Value
December 31, 2012	$	342,013	$	212,129
March 31, 2013	$	692,140	$	436,458

Schedule of accretable yield of real estate securities

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

	For the Three Months Ended March 31, 2013
Balance at December 31, 2012	$	90,077
Additions		57,568
Accretion		(4,223	)
Reclassifications from non-accretable difference		49,442
Disposals		—
Balance at March 31, 2013	$	192,864