INVESTMENTS IN REAL ESTATE SECURITIES (Tables)

3 Months Ended

Mar. 31, 2014

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 March 31, 2014, 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)
Agency ARM RMBS (E) (F)	$	1,085,447	$	1,162,098	$	4,131	$	(3,579	)	$	1,162,650		109	AAA		3.16	%		1.53	%		4.3		N/A
Non-Agency RMBS (G)		1,780,864		1,173,195		14,962		(5,586	)		1,182,571		121	CC		0.97	%		4.68	%		8.4		14.9	%
Total/Weighted Average (H)	$	2,866,311	$	2,335,293	$	19,093	$	(9,165	)	$	2,345,221		230	BBB-		1.80	%		3.49	%		6.8

(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 the collateral underlying four bonds that are no longer rated and four bonds 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, 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 that is subordinate to New Residential’s investments. Excludes Other ABS securities representing 0.2% of the carrying value of the Non-Agency RMBS portfolio.
(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 $8.6 million.
(G)	Includes Other ABS securities representing 0.2% of the carrying value of the Non-Agency RMBS portfolio.

					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)
Other ABS	$	207,431	$	2,160	$	60	$	—	$	2,220		1	N/A		0.21	%		4.93	%		7.5	N/A

(H) The total outstanding face amount was $584.0 million for fixed rate securities and $2.3 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 March 31, 2014.

			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	$	1,165,919	$	1,046,734	$	(1,090	)	$	1,045,644	$	(8,843	)	$	1,036,801		80	BBB		1.90	%		3.55	%		6.2
Twelve or More Months		47,733		51,102		(703	)		50,399		(322	)		50,077		8	AAA		3.32	%		1.40	%		3.5
Total/Weighted Average	$	1,213,652	$	1,097,836	$	(1,793	)	$	1,096,043	$	(9,165	)	$	1,086,878		88	BBB+		1.96	%		3.46	%		6.1

(A)	This amount represents other-than-temporary impairment recorded on securities that are in an unrealized loss position as of March 31, 2014.
(B)	The rating of securities in an unrealized loss position for less than twelve months excludes the rating of one bond which has not been rated.

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

	March 31, 2014
			Amortized Cost Basis		Unrealized Losses
	Fair Value		After Impairment		Credit (A)			Non-Credit (B)
Securities New Residential intends to sell (C)	$	62,742	$	63,825	$	(121	)	$	(1,084	)
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		238,162		240,857		(1,793	)		(2,695	)
Non credit impaired securities		797,997		803,384		—			(5,386	)
Total debt securities in an unrealized loss position	$	1,098,901	$	1,108,066	$	(1,914	)	$	(9,165	)

(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)	A portion of 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 March 31, 2014.
(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:

	Three Months Ended March 31, 2014
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income	$	2,071
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income		104
Additions for credit losses on securities for which an OTTI was not previously recognized		225
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date		(607	)
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income	$	1,793

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 March 31, 2014:

Geographic Location (A)	Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	452,630		28.8	%
Southeastern U.S.		437,365		27.8	%
Northeastern U.S.		301,484		19.1	%
Midwestern U.S.		248,757		15.8	%
Southwestern U.S.		93,646		6.0	%
Other (B)		39,551		2.5	%
	$	1,573,433		100.0	%

(A)	Excludes Other ABS securities representing 0.2% of the carrying value of the Non-Agency RMBS portfolio.
(B)	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, 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, 2013 and March 31, 2014:

	Outstanding Face Amount		Carrying Value
March 31, 2014	$	787,134	$	533,155
December 31, 2013	$	729,895	$	483,680

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,
	2014
Beginning Balance	$	143,067
Additions		78,028
Accretion		(3,541	)
Reclassifications from non-accretable difference		(577	)
Disposals		(32,763	)
Ending Balance	$	184,214