INVESTMENTS IN REAL ESTATE SECURITIES (Tables)

3 Months Ended

Mar. 31, 2017

Investments, Debt and Equity Securities [Abstract]

Summary of Real Estate Securities

Activities related to New Residential’s investments in real estate securities were as follows:

	Three Months Ended   March 31, 2017
	(in millions)
	Agency			Non Agency
Purchases
Face	$	1,808.1		$	2,121.5
Purchase Price	$	1,851.4		$	1,012.5
Sales
Face	$	1,811.6		$	35.0
Amortized Cost	$	1,856.2		$	23.1
Sale Price	$	1,851.9		$	28.3
Gain (Loss) on Sale	$	(4.3	)	$	5.2

The following is a summary of New Residential’s real estate securities, 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 and except for securities which New Residential elected to carry at fair value and record changes to valuation through the income statement.

	March 31, 2017																				December 31, 2016
					Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Gains		Losses			Carrying Value(A)		Number of Securities	Rating(B)	Coupon(C)		Yield		Life (Years)(D)	Principal Subordination(E)		Carrying Value
Agency   RMBS(F) (G)	$	1,463,668	$	1,507,475	$	1,012	$	(5,323	)	$	1,503,164	56	AAA	3.49	%	2.99	%	9.6	N/A		$	1,530,298
Non-Agency     RMBS(H) (I)	9,052,180		4,272,365		185,188		(21,974		)	4,435,579		636	CCC	1.86	%	5.75	%	7.9	9.4	%	3,543,560
Total/    Weighted     Average	$	10,515,848	$	5,779,840	$	186,200	$	(27,297	)	$	5,938,743	692	B+	2.27	%	5.03	%	8.4			$	5,073,858

(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 204 bonds with a carrying value of $305.4 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency 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) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $186.0 million and $0.0 million, respectively, for which no coupon payment is expected.

(D) The weighted average life is based on the timing of expected principal reduction on the assets.

(E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities and servicer advance bonds.

(F) Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac.

(G) The total outstanding face amount was $1.3 billion for fixed rate securities and $133.4 million for floating rate securities as of March 31, 2017.

(H) The total outstanding face amount was $1.2 billion (including $0.7 billion of residual and fair value option notional amount) for fixed rate securities and $7.8 billion (including $2.6 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2017.

(I) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by Servicer Advances and (iii) corporate debt.

					Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Gains		Losses			Carrying Value		Number of Securities	Rating	Coupon		Yield		Life (Years)	Principal Subordination
Servicer Advance Bonds	$	100,000	$	99,801	$	347	$	—		$	100,148	1	AAA	3.21	%	3.11	%	0.5	N/A
Corporate Debt	27,500		27,225		653		—			27,878		1	B+	6.55	%	6.82	%	4.9	N/A
Fair Value Option Securities
Interest-only Securities	2,639,832		142,958		6,662		(7,267		)	142,353		33	AA+	1.76	%	5.64	%	3.4	N/A
Servicing Strips	443,439		5,422		539		(151		)	5,810		12	N/A	0.27	%	21.95	%	6.4	N/A

Summary 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, 2017.

			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 12 Months	$	1,481,506	$	761,309	$	(1,313	)	$	759,996	$	(13,192	)	$	746,804	183	CCC+	1.62	%	5.26	%	7.7
12 or More Months	906,464		281,437		(701		)	280,736		(14,105		)	266,631		47	BBB	2.20	%	3.95	%	5.9
Total/Weighted Average	$	2,387,970	$	1,042,746	$	(2,014	)	$	1,040,732	$	(27,297	)	$	1,013,435	230	B	1.78	%	4.91	%	7.2

(A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of March 31, 2017.

(B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 78 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 10 bonds which either have never been rated or for which rating information is no longer provided.

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, 2017
					Gross Unrealized Losses
	Fair Value		Amortized Cost Basis After Impairment		Credit(A)			Non-Credit(B)
Securities New Residential intends to sell(C)	$	—	$	—	$	—		$	—
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	284,321		291,456		(2,014		)	(7,135		)
Non-credit impaired securities	729,114		749,276		—			(20,162		)
Total debt securities in an unrealized loss position	$	1,013,435	$	1,040,732	$	(2,014	)	$	(27,297	)

(A) This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential 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 New Residential’s expectations of prepayment rates, 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, 2017.

(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.

Summary of Activity Related to Credit Losses on Debt Securities

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

	Three Months Ended March 31, 2017
Beginning balance of credit losses on debt securities for which a portion of an OTTI was     recognized in other comprehensive income	$	15,495
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	765
Additions for credit losses on securities for which an OTTI was not previously recognized	1,347
Reductions for securities for which the amount previously recognized in other comprehensive     income was recognized in earnings because the entity intends to sell the security or more likely     than not will be required to sell the security before recovery of its amortized cost basis	—
Reduction for credit losses on securities for which no OTTI was recognized in other     comprehensive income at the current measurement date	—
Reduction for securities sold during the period	(350		)
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized     in other comprehensive income	$	17,257

Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS

The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS:

	March 31, 2017				December 31, 2016
Geographic Location(A)	Outstanding Face Amount		Percentage of Total Outstanding		Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	3,323,021	37.2	%	$	2,757,424	38.3	%
Southeastern U.S.	2,027,297		22.7	%	1,635,596		22.7	%
Northeastern U.S.	1,883,692		21.1	%	1,426,519		19.8	%
Midwestern U.S.	981,858		11.0	%	778,372		10.8	%
Southwestern U.S.	681,889		7.7	%	557,033		7.7	%
Other(B)	26,923		0.3	%	47,274		0.7	%
	$	8,924,680	100.0	%	$	7,202,218	100.0	%

(A) Excludes $127.5 million and $100.0 million face amount of bonds backed by Servicer Advances and Corporate Debt at March 31, 2017 and December 31, 2016, respectively.

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

Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible

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, excluding residual and fair value option securities:

	Outstanding Face Amount		Carrying Value
March 31, 2017	$	3,769,689	$	2,377,966
December 31, 2016	2,951,498		1,871,466

Summary of Changes in Accretable Yield for Securities

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

	Three Months Ended March 31, 2017
Balance at December 31, 2016	$	1,200,125
Additions	285,249
Accretion	(35,008		)
Reclassifications from (to) non-accretable difference	215,818
Disposals	(26,541		)
Balance at March 31, 2017	$	1,639,643