Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended |
Sep. 30, 2013 | |
Document And Entity Information | ' |
Entity Registrant Name | 'New Residential Investment Corp. |
Entity Central Index Key | '0001556593 |
Document Type | 'S-11/A |
Document Period End Date | 30-Sep-13 |
Amendment Flag | 'false |
Current Fiscal Year End Date | '--12-31 |
Entity Filer Category | 'Non-accelerated Filer |
Pro_Forma_and_Consolidated_Bal
Pro Forma and Consolidated Balance Sheets (Unaudited) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ' | |
Real estate securities, available-for-sale | $1,861,200 | [1],[2],[3] | $289,756 | ' |
Investments in excess mortgage servicing rights at fair value | 307,568 | [1] | 245,036 | 43,971 |
Investments in excess mortgage servicing rights, equity method investees, at fair value | 358,032 | [1] | ' | ' |
Investment in consumer loans, equity method investees | 192,498 | [1] | ' | ' |
Residential mortgage loans, held-for-investment | 33,060 | [1] | ' | ' |
Cash and cash equivalents | 172,203 | [1] | ' | ' |
Other assets | 7,283 | [1] | 84 | ' |
[Assets] | 2,931,844 | [1] | 534,876 | 43,971 |
Liabilities | ' | ' | ' | |
Repurchase agreements | 1,467,934 | [1] | 150,922 | ' |
Trades Payable | 149,181 | [1] | ' | ' |
Due to affiliate | 7,109 | [1] | 5,136 | 158 |
Dividends Payable | 44,308 | [1] | ' | ' |
Accrued expenses and other liabilities | 2,276 | [1] | 462 | 755 |
Purchase price payable on investments in excess mortgage servicing rights | ' | ' | 3,250 | |
[Liabilities] | 1,670,808 | [1] | 156,520 | 4,163 |
Commitments and contingencies | ' | [1] | ' | ' |
Equity | ' | ' | ' | |
Common stock, $0.01 par value, 2,000,000,000 shares authorized, 253,186,279 issued and outstanding at September 30, 2013 | 2,532 | [1] | ' | ' |
Additional paid-in capital | 1,157,040 | [1] | 362,830 | ' |
Retained earnings | 85,776 | [1] | ' | ' |
Newcastle's Equity | ' | ' | 39,808 | |
Accumulated other comprehensive income | 15,688 | [1] | 15,526 | ' |
Total New Residential stockholders' equity | 1,261,036 | [1] | 378,356 | 39,808 |
Minority interest in equity of consolidated subsidiaries | ' | ' | ' | |
Total equity | 1,261,036 | 378,356 | 39,808 | |
[LiabilitiesAndStockholdersEquity] | 2,931,844 | [1] | 534,876 | 43,971 |
Closed Transaction Adjustments | ' | ' | ' | |
Assets | ' | ' | ' | |
Real estate securities, available-for-sale | 135,470 | [4] | ' | ' |
Investments in excess mortgage servicing rights at fair value | 36,100 | [5] | ' | ' |
Investments in excess mortgage servicing rights, equity method investees, at fair value | 5,900 | [6] | ' | ' |
Servicer advance investments | 3,149,252 | [7] | ' | ' |
Cash and cash equivalents | -76,555 | [8] | ' | ' |
Restricted Cash | 35,159 | [9] | ' | ' |
Derivative Assets | 41,033 | [10] | ' | ' |
[Assets] | 3,326,359 | ' | ' | |
Liabilities | ' | ' | ' | |
Repurchase agreements | 360,677 | [11] | ' | ' |
Trades Payable | -149,181 | [12] | ' | ' |
Notes Payable | 2,908,616 | [13] | ' | ' |
[Liabilities] | 3,120,112 | ' | ' | |
Commitments and contingencies | ' | ' | ' | |
Equity | ' | ' | ' | |
Minority interest in equity of consolidated subsidiaries | 206,247 | [14] | ' | ' |
Total equity | 206,247 | ' | ' | |
[LiabilitiesAndStockholdersEquity] | 3,326,359 | ' | ' | |
Pending Transaction Adjustments | ' | ' | ' | |
Assets | ' | ' | ' | |
Investments in excess mortgage servicing rights at fair value | 33,200 | [5] | ' | ' |
Servicer advance investments | 125,123 | ' | ' | |
Restricted Cash | 1,251 | [9] | ' | ' |
[Assets] | 159,574 | ' | ' | |
Liabilities | ' | ' | ' | |
Notes Payable | 111,985 | [13] | ' | ' |
Payable related to pending transactions | 39,646 | [15] | ' | ' |
[Liabilities] | 151,631 | ' | ' | |
Commitments and contingencies | ' | ' | ' | |
Equity | ' | ' | ' | |
Minority interest in equity of consolidated subsidiaries | 7,943 | [14] | ' | ' |
Total equity | 7,943 | ' | ' | |
[LiabilitiesAndStockholdersEquity] | 159,574 | ' | ' | |
Pro Forma | ' | ' | ' | |
Assets | ' | ' | ' | |
Real estate securities, available-for-sale | 1,996,670 | ' | ' | |
Investments in excess mortgage servicing rights at fair value | 376,868 | ' | ' | |
Investments in excess mortgage servicing rights, equity method investees, at fair value | 363,932 | ' | ' | |
Servicer advance investments | 3,274,375 | ' | ' | |
Investment in consumer loans, equity method investees | 192,498 | ' | ' | |
Residential mortgage loans, held-for-investment | 33,060 | ' | ' | |
Cash and cash equivalents | 95,648 | ' | ' | |
Restricted Cash | 36,410 | ' | ' | |
Derivative Assets | 41,033 | ' | ' | |
Other assets | 7,283 | ' | ' | |
[Assets] | 6,417,777 | ' | ' | |
Liabilities | ' | ' | ' | |
Repurchase agreements | 1,828,611 | ' | ' | |
Trades Payable | ' | ' | ' | |
Notes Payable | 3,020,601 | ' | ' | |
Payable related to pending transactions | 39,646 | ' | ' | |
Due to affiliate | 7,109 | ' | ' | |
Dividends Payable | 44,308 | ' | ' | |
Accrued expenses and other liabilities | 2,276 | ' | ' | |
[Liabilities] | 4,942,551 | ' | ' | |
Commitments and contingencies | ' | ' | ' | |
Equity | ' | ' | ' | |
Common stock, $0.01 par value, 2,000,000,000 shares authorized, 253,186,279 issued and outstanding at September 30, 2013 | 2,532 | ' | ' | |
Additional paid-in capital | 1,157,040 | ' | ' | |
Retained earnings | 85,776 | ' | ' | |
Accumulated other comprehensive income | 15,688 | ' | ' | |
Total New Residential stockholders' equity | 1,261,036 | ' | ' | |
Minority interest in equity of consolidated subsidiaries | 214,190 | ' | ' | |
Total equity | 1,475,226 | ' | ' | |
[LiabilitiesAndStockholdersEquity] | $6,417,777 | ' | ' | |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. | |||
[2] | Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | |||
[3] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||
[4] | Represents the investments in Non-Agency RMBS and Agency ARM RMBS subsequent to September 30, 2013. | |||
[5] | Represents the commitment to invest $69.3 million in Excess MSRs on portfolios of residential mortgage loans with an aggregate UPB of approximately $31.0 billion. As of January 22, 2014, we have closed on $36.1 million of these investments. The commitment amount is based on the UPB at September 30, 2013. The actual amount invested will be based on the UPB at time of close. | |||
[6] | Represents the additional $5.9 million investment related to Pool 10. | |||
[7] | Represents the investments in Purchased Servicer Advances and the Purchased Basic Fee. The commitment amount is based on the UPB at December 31, 2013. The actual amount invested will be based on the UPB at the time of close. The pending transactions are based on current estimates of the balances at the time of close. The actual amount invested may be different based on the servicer advances balance at the time of close. | |||
[8] | Represents adjustments to the cash and cash equivalents balance. The adjustment to the cash and cash equivalents balance includes cash inflows from (i) the net increase in repurchase agreements related to Agency ARM RMBS and Non-Agency RMBS ($210.7 million); (ii) the repurchase agreement related to the Consumer Loan Companies ($150.0 million); (iii) the notes payable related to the secured corporate loan ($75.0 million) and (iv) the note payable related to the residential mortgage loans ($22.8 million). The adjustment to the cash and cash equivalents balance includes cash outflows from (i) the servicer advances transaction ($167.4 million); (ii) the trades payable balance at September 30, 2013 ($149.2 million); (iii) the net purchase of Agency ARM RMBS and Non-Agency RMBS (#135.5 million); (iv) the Excess MSR transactions ($42.0 million); and (v) the acquisition of non-performing loans, which are treated as derivative assets ($41.0 million). | |||
[9] | Represents restricted cash related to the financing of the Purchased Servicer Advances. | |||
[10] | Represents the derivative assets, which represent the $41.0 million net investment in non-performing loans. | |||
[11] | Represents the net increase in repurchase agreements related to Agency ARM RMBS, Non-Agency RMBS and the Consumer Loan Companies. The net increase related to Agency ARM RMBS was approximately $136.0 million. The net increase related to Non-Agency RMBS was approximately $74.7 million and related to (i) the termination of an existing master repurchase agreement and entering into a new master repurchase agreement subsequent to September 30, 2013 ($71.4 million), (ii) repurchase agreements entered into subsequent to September 30, 2013 related to Non-Agency RMBS purchased or previously held on an unlevered basis ($330.1 million) and (iii) the repayment of repurchase agreements related to Non-Agency RMBS sold subsequent to September 30, 2013 ($326.7 million). The increase related to the Consumer Loan Companies was $150.0 million. | |||
[12] | Represents the settlement of trades payable related to Agency ARM RMBS and Non-Agency RMBS which had not settled on September 30, 2013. | |||
[13] | Represents the notes payable related to the secured corporate loan ($75.0 million), the Purchased Servicer Advances ($2.9 billion) and residential mortgage loans ($22.8 million). | |||
[14] | Represents the non-controlling interest of the third party co-investors in the Purchased Servicer Advances. The amounts were calculated by multiplying the total estimated net assets related to the Purchased Servicer Advances by the current estimated non-controlling interest percentage of 55.2%. This percentage is based on the assumption that New Residential will fund 100% of the pending Purchased Servicer Advances. The actual Purchased Servicer Advances balance and non-controlling interest percentage may differ. | |||
[15] | Represents the payable related to pending transactions including Excess MSRs and the Purchased Servicer Advances. The amounts payable on these pending transactions will be funded with cash, potentially including proceeds from this offering. |
Pro_Forma_and_Consolidated_Bal1
Pro Forma and Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2013 |
In Thousands, except Share data, unless otherwise specified | |
Common stock, par value | $0.01 |
Common stock, shares authorized | 2,000,000,000 |
Common stock, shares issued | 253,186,279 |
Common stock, shares outstanding | 253,186,279 |
Pro Forma | ' |
Common stock, par value | $0.01 |
Common stock, shares authorized | 2,000,000,000 |
Common stock, shares issued | 253,186,279 |
Common stock, shares outstanding | 253,186,279 |
Financing in ownership interest in Consumer Loan Companies subsequent to period end | $150,000 |
Purchase price of servicing advances receivable and rights to MSRs committed to be purchased subsequent to year end | 3,300,000 |
UPB of non-Agency residential loans committed to be invested in subsequent to year end | 55,000,000 |
Amount commited to be invested in MSRs subsequent to period end | 69,300 |
UPB of MSRs committed to be invested in subsequent to period end | 31,000,000 |
Investments in MSRs closed subsequent to period end | 36,100 |
Cash inflow from repurchase agreements related to Agency ARM RMBS and Non-Agency RMBS | 210,700 |
Cash inflow from repurchase agreements related to Consumer Loan Companies | 150,000 |
Cash inflow from notes payable related to the secured corporate loan | 75,000 |
Cash inflow from notes payable related to residential mortgage loans | 22,800 |
Cash outflow from servicer advances transactions | 167,400 |
Cash outflow from trades payable | 149,200 |
Cash outflow from purchase of Agency ARM RMBS and Non-Agency RMBS | 135,500 |
Cash outflow from Excess MSR transactions | 42,000 |
Cash outflows from acquisition of non-performing loans | 41,000 |
Notes payable related to the secured corporate loan | 75,000 |
Notes payable related to Purchased Servicer Advances | 2,900,000 |
Notes payable related to Residential Mortgage Loans | 22,800 |
Minority Interest Ownership | 55.20% |
Pro Forma | Agency RMBS | ' |
Face value of RMBS purchased subsequent to period end | 196,700 |
Purchase price of RMBS purchased subsequent to period end | 209,200 |
Face value of RMBS sold subsequent to period end | 154,200 |
Sale price of RMBS sold subsequent to period end | 162,900 |
Adjustments related to Agency ARM RMBS and Non-Agency ARMBS transactions | 136,000 |
Repurchase Agreements entered into subsequent to period end | 71,400 |
Pro Forma | Non-Agency RMBS | ' |
Face value of RMBS purchased subsequent to period end | 774,400 |
Purchase price of RMBS purchased subsequent to period end | 487,900 |
Face value of RMBS sold subsequent to period end | 576,200 |
Sale price of RMBS sold subsequent to period end | 398,700 |
Adjustments related to Agency ARM RMBS and Non-Agency ARMBS transactions | 74,700 |
Repurchase Agreements entered into subsequent to period end | 330,100 |
Repayment of repurchase agreements subsequent to period end | 326,700 |
Pro Forma | MSRs Pool 10 | ' |
Amount invested in MSRs subsequent to period end | $5,900 |
Pro_Forma_and_Consolidated_Sta
Pro Forma and Consolidated Statements of Income (Unaudited) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2011 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | ||
Interest income | $1,260 | $21,885 | $12,295 | $61,075 | [1] | $18,811 | $33,759 | |
Interest expense | ' | 3,443 | 298 | 6,993 | [1] | 298 | 704 | |
Net Interest Income | 1,260 | 18,442 | 11,997 | 54,082 | [1] | 18,513 | 33,055 | |
Impairment | ' | ' | ' | ' | ' | ' | ||
Other-than-temporary impairment ("OTTI") on securities | ' | ' | ' | 3,756 | [1] | ' | ' | |
Net interest income after impairment | 1,260 | 18,442 | 11,997 | 50,326 | [1] | 18,513 | 33,055 | |
Change in fair value of investments in excess mortgage servicing rights | 367 | 208 | 1,774 | 43,899 | [1] | 6,513 | 9,023 | |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | ' | 20,645 | ' | 41,741 | [1] | ' | ' | |
Earnings from investments in consumer loans, equity method investee | ' | 24,129 | ' | 60,293 | [1] | ' | ' | |
Gain on settlement of securities | ' | 11,213 | ' | 11,271 | [1] | ' | ' | |
Other income (loss) | ' | ' | ' | ' | ' | 8,400 | ||
Other Income | 367 | 56,195 | 1,774 | 157,204 | [1] | 6,513 | 17,423 | |
Expenses | ' | ' | ' | ' | ' | ' | ||
General and administrative expenses | ' | 2,538 | 686 | 5,859 | [1] | 2,363 | ' | |
Legal and other professional fees | 809 | ' | ' | ' | ' | 5,449 | ||
Audit fees | 65 | ' | ' | ' | ' | 429 | ||
Management fee allocated by Newcastle | 39 | ' | 1,317 | 4,134 | [1] | 1,733 | 3,353 | |
Management fee to affiliate | ' | 4,484 | ' | 6,747 | [1] | ' | ' | |
Incentive compensation to affiliate | ' | 4,470 | ' | 5,348 | [1] | ' | ' | |
Total Expenses | 913 | 11,492 | 2,003 | 22,088 | [1] | 4,096 | 9,231 | |
Net Income | 714 | 63,145 | 11,768 | 185,442 | [1] | 20,930 | 41,247 | |
Minority interests in income of consolidated subsidiaries | ' | ' | ' | ' | ' | ' | ||
Net Income Attributable to Shareholders | ' | ' | ' | 185,442 | ' | ' | ||
Income Per Share of Common Stock | ' | ' | ' | ' | ' | ' | ||
Basic | ' | $0.25 | $0.05 | $0.73 | [1] | $0.08 | ' | |
Diluted | ' | $0.24 | $0.05 | $0.72 | [1] | $0.08 | ' | |
Weighted Average Number of Shares of Common Stock Outstanding | ' | ' | ' | ' | ' | ' | ||
Basic | ' | 253,072,788 | 253,025,645 | 253,041,532 | [1] | 253,025,645 | ' | |
Diluted | ' | 259,889,285 | 253,025,645 | 256,549,947 | [1] | 253,025,645 | ' | |
Dividends Declared per Share of Common Stock | ' | $0.18 | ' | ' | ' | ' | ||
Pro Forma Adjustments | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | ' | ' | 7,147 | [2] | ' | 20,792 | [2] |
Interest expense | ' | ' | ' | 84,307 | [3] | ' | 120,008 | [3] |
Net Interest Income | ' | ' | ' | -77,160 | ' | -99,216 | ||
Impairment | ' | ' | ' | ' | ' | ' | ||
Other-than-temporary impairment ("OTTI") on securities | ' | ' | ' | ' | ' | ' | ||
Net interest income after impairment | ' | ' | ' | -77,160 | ' | -99,216 | ||
Expenses | ' | ' | ' | ' | ' | ' | ||
Management fee allocated by Newcastle | ' | ' | ' | 71 | [4] | ' | 288 | [4] |
Total Expenses | ' | ' | ' | 71 | ' | 288 | ||
Net Income | ' | ' | ' | -77,231 | ' | -99,504 | ||
Minority interests in income of consolidated subsidiaries | ' | ' | ' | -39,810 | [5] | ' | -53,080 | [5] |
Net Income Attributable to Shareholders | ' | ' | ' | -37,421 | ' | -46,424 | ||
Pro Forma | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | ' | ' | 68,222 | ' | 54,551 | ||
Interest expense | ' | ' | ' | 91,300 | ' | 120,712 | ||
Net Interest Income | ' | ' | ' | -23,078 | ' | -66,161 | ||
Impairment | ' | ' | ' | ' | ' | ' | ||
Other-than-temporary impairment ("OTTI") on securities | ' | ' | ' | 3,756 | ' | ' | ||
Net interest income after impairment | ' | ' | ' | -26,834 | ' | -66,161 | ||
Change in fair value of investments in excess mortgage servicing rights | ' | ' | ' | 43,899 | ' | 9,023 | ||
Change in fair value of investments in excess mortgage servicing rights, equity method investees | ' | ' | ' | 41,741 | ' | ' | ||
Earnings from investments in consumer loans, equity method investee | ' | ' | ' | 60,293 | ' | ' | ||
Gain on settlement of securities | ' | ' | ' | 11,271 | ' | ' | ||
Other income (loss) | ' | ' | ' | ' | ' | 8,400 | ||
Other Income | ' | ' | ' | 157,204 | ' | 17,423 | ||
Expenses | ' | ' | ' | ' | ' | ' | ||
General and administrative expenses | ' | ' | ' | 5,859 | ' | ' | ||
Legal and other professional fees | ' | ' | ' | ' | ' | 5,449 | ||
Audit fees | ' | ' | ' | ' | ' | 429 | ||
Management fee allocated by Newcastle | ' | ' | ' | 4,205 | ' | 3,641 | ||
Management fee to affiliate | ' | ' | ' | 6,747 | ' | ' | ||
Incentive compensation to affiliate | ' | ' | ' | 5,348 | ' | ' | ||
Total Expenses | ' | ' | ' | 22,159 | ' | 9,519 | ||
Net Income | ' | ' | ' | 108,211 | ' | -58,257 | ||
Minority interests in income of consolidated subsidiaries | ' | ' | ' | -39,810 | ' | -53,080 | ||
Net Income Attributable to Shareholders | ' | ' | ' | 148,021 | ' | -5,177 | ||
Income Per Share of Common Stock | ' | ' | ' | ' | ' | ' | ||
Basic | ' | ' | ' | $0.58 | [6] | ' | ($0.02) | [6] |
Diluted | ' | ' | ' | $0.58 | [7] | ' | ($0.02) | [7] |
Weighted Average Number of Shares of Common Stock Outstanding | ' | ' | ' | ' | ' | ' | ||
Basic | ' | ' | ' | 253,041,532 | [6] | ' | 253,025,645 | [6] |
Diluted | ' | ' | ' | 256,549,947 | [7] | ' | 253,025,645 | [7] |
Historical | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | ' | ' | ' | ' | 33,759 | [1] | |
Interest expense | ' | ' | ' | ' | ' | 704 | [1] | |
Net Interest Income | ' | ' | ' | ' | ' | 33,055 | [1] | |
Impairment | ' | ' | ' | ' | ' | ' | ||
Net interest income after impairment | ' | ' | ' | ' | ' | 33,055 | [1] | |
Change in fair value of investments in excess mortgage servicing rights | ' | ' | ' | ' | ' | 9,023 | [1] | |
Other income (loss) | ' | ' | ' | ' | ' | 8,400 | [1] | |
Other Income | ' | ' | ' | ' | ' | 17,423 | [1] | |
Expenses | ' | ' | ' | ' | ' | ' | ||
Legal and other professional fees | ' | ' | ' | ' | ' | 5,449 | [1] | |
Audit fees | ' | ' | ' | ' | ' | 429 | [1] | |
Management fee allocated by Newcastle | ' | ' | ' | ' | ' | 3,353 | [1] | |
Total Expenses | ' | ' | ' | ' | ' | 9,231 | [1] | |
Net Income | ' | ' | ' | ' | ' | 41,247 | [1] | |
Minority interests in income of consolidated subsidiaries | ' | ' | ' | ' | ' | ' | ||
Net Income Attributable to Shareholders | ' | ' | ' | ' | ' | $41,247 | ||
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | |||||||
[2] | Represents additional interest income from the net Agency RMBS with a net face of $1.4 billion acquired subsequent to December 31, 2012. The full year of interest income was computed based on the weighted average accounting yield of the securities of 1.38%. A 1/8% increase (decrease) in the benchmark interest rate would result in an increase (decrease) in interest income of approximately $0.6 million for the nine months ended September 30, 2013 and $1.8 million for the year ended December 31, 2012, respectively. | |||||||
[3] | Represents additional interest expense from the additional repurchase agreements and notes payable. The full year of interest expense on the repurchase agreements related to Agency ARM RMBS and Non-Agency RMBS was computed based on the weighted average rate of the repurchase agreements of 0.83%. The repurchase agreement related to the Consumer Loan Companies had an outstanding balance of $150.0 million and funding cost of approximately 4.17%. The notes payable on the Excess MSRs, servicer advances and residential mortgage loans had outstanding balances of $75.0 million, $3.0 billion and $22.8 million, respectively and funding costs of 4.17%, 3.29% and 3.42%, respectively. A 1/8% increase (decrease) in the benchmark interest rate would result in an increase (decrease) in interest expense of approximately $3.7 million for the nine months ended September 30, 2013 and $6.0 million for the year ended December 31, 2012, respectively. | |||||||
[4] | Represents additional management fees related to the capital transactions noted herein. | |||||||
[5] | Represents the interest expense related to the Purchased Servicer Advances attributable to non-controlling interests. This amount is based on current estimates of the total Purchased Servicer Advances and the actual non-controlling interest may differ. | |||||||
[6] | Basic earnings per share and weighted average number of basic shares outstanding reflect common shares issued in connection with the spin-off as if they been outstanding for the entire nine months ended September 30, 2013 and twelve months ended December 31, 2012. | |||||||
[7] | Diluted earnings per share and weighted average number of diluted shares outstanding reflect common shares issued in connection with the spin-off as if they been outstanding for the entire nine months ended September 30, 2013 and twelve months ended December 31, 2012. For periods prior to the spin-off on May 15, 2013, the options issued on the spin-off date as a result of the conversion of Newcastle options were treated as if they were granted on May 15, 2013 since no New Residential awards were outstanding prior to that date. The pro forma weighted average diluted shares outstanding have not been adjusted to reflect options issued in connection with this offering as if they had been issued on January 1, 2012 since pro forma adjustments for the investments acquired with the related proceeds have not been applied to the income statement as described above. The estimated fair value of these options is $_____, based on an assumed offering price of $_____, which was the last reported sale price on _____, 2013. |
Pro_Forma_and_Consolidated_Sta1
Pro Forma and Consolidated Statements of Income (Parenthetical) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Potential increase in interest expense | $3,700 | $6,000 |
Repurchase Agreements | ' | ' |
Weighted average accounting yield | ' | 0.72% |
Benchmark interest change | ' | 0.13% |
Notes Payable and Repurchase Agreements | ' | ' |
Weighted average accounting yield | ' | 0.83% |
Repurchase agreement realted to Consumer Loan Companies | ' | 150,000 |
Notes payable related to Excess MSRs | ' | 75,000 |
Notes payable related to Purchased Servicer Advances | ' | 2,900,000 |
Notes payable related to Residential Mortgage Loans | ' | 22,800 |
Funding costs of repurchase agreements | ' | 4.17% |
Funding costs of notes payable - Purchased Servicer Advances | ' | 3.29% |
Funding costs of notes payable - Residential Mortgage Loans | ' | 3.42% |
ABS Subprime | ' | ' |
Face value of Agency RMBS acquired subsequent to period end | ' | 1,400,000 |
Weighted average accounting yield | ' | 1.38% |
Benchmark interest change | ' | 0.13% |
Potential increase in interest income | $600 | $1,800 |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (Unaudited) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2011 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Statement of Comprehensive Income [Abstract] | ' | ' | ' | ' | ' | ' | |
Net income | $714 | $63,145 | $11,768 | $185,442 | [1] | $20,930 | $41,247 |
Other comprehensive income: | ' | ' | ' | ' | ' | ' | |
Net unrealized gain on securities | ' | 7,687 | 7,313 | 7,677 | 7,313 | 15,526 | |
Reclassification of net realized (gain) on securities into earnings | ' | -11,213 | ' | -7,515 | ' | ' | |
Other comprehensive income (loss) | ' | -3,526 | 7,313 | 162 | 7,313 | 15,526 | |
Comprehensive income | $714 | $59,619 | $19,081 | $185,604 | $28,243 | $56,773 | |
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. |
Consolidated_Statement_of_Chan
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (USD $) | Common Stock | Additional Paid-in Capital | Retained Earnings | Newcastle's Equity | Accumulated Other Comprehensive Income (Loss) | Total | |
In Thousands, except Share data | |||||||
Equity, beginning at Dec. 08, 2011 | ' | ' | ' | ' | ' | ' | |
Capital contributions | ' | ' | ' | 40,492 | ' | 40,492 | |
Capital distributions | ' | ' | ' | -1,398 | ' | -1,398 | |
Net income | ' | ' | ' | 714 | ' | 714 | |
Equity, ending at Dec. 31, 2011 | ' | ' | ' | 39,808 | ' | 39,808 | |
Capital contributions | ' | ' | ' | 368,294 | ' | 368,294 | |
Contributions in-kind | ' | ' | ' | 164,142 | ' | 164,142 | |
Capital distributions | ' | ' | ' | -250,661 | ' | -250,661 | |
Net income | ' | ' | ' | 41,247 | ' | 41,247 | |
Other comprehensive income | ' | ' | ' | ' | 15,526 | 15,526 | |
Equity, ending at Dec. 31, 2012 | ' | 362,830 | ' | 362,830 | 15,526 | 378,356 | |
Dividends declared | ' | ' | -62,020 | ' | ' | -62,020 | |
Capital contributions | ' | 893,466 | ' | ' | ' | 893,466 | |
Contributions in-kind | ' | 1,093,684 | ' | ' | ' | 1,093,684 | |
Capital distributions | ' | -1,228,054 | ' | ' | ' | -1,228,054 | |
Issuance of common stock | 2,530 | -2,530 | ' | ' | ' | ' | |
Issuance of common stock, shares | 253,025,645 | ' | ' | ' | ' | ' | |
Option exercise | 2 | -2 | ' | ' | ' | ' | |
Option exercise, shares | 160,634 | ' | ' | ' | ' | ' | |
Net income | ' | 37,646 | 147,796 | ' | ' | 185,442 | [1] |
Other comprehensive income | ' | ' | ' | ' | 162 | 162 | |
Equity, ending at Sep. 30, 2013 | $2,532 | $1,157,040 | $85,776 | ' | $15,688 | $1,261,036 | [2] |
Common stock, shares - ending at Sep. 30, 2013 | 253,186,279 | ' | ' | ' | ' | 253,186,279 | |
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | ||||||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (Unaudited) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Cash Flows From Operating Activities | ' | ' | ' | |
Net income | $185,442 | [1] | $20,930 | $41,247 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities (inclusive of amounts related to discontinued operations): | ' | ' | ' | |
Change in fair value of investments in excess mortgage servicing rights | -43,899 | [1] | -6,513 | -9,023 |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | -41,741 | [1] | ' | ' |
Distributions of earnings from excess mortgage servicing rights, equity method investees | 23,659 | ' | ' | |
Earnings from consumer loan equity method investees | -60,293 | [1] | ' | ' |
Distributions of earnings from consumer loan equity method investees | 60,293 | ' | ' | |
Accretion of discount and other amortization | -8,008 | -2,030 | -5,339 | |
(Gain)/Loss on settlement of investments (net) | -11,271 | ' | ' | |
Other-than-temporary impairment ("OTTI") | 3,756 | [1] | ' | ' |
Change in: | ' | ' | ' | |
Other assets | -7,145 | -58 | -84 | |
Due to affiliates | 1,973 | 1,647 | 4,978 | |
Accrued expenses and other liabilities | 1,752 | 1,406 | ' | |
Reduction of liability deemed as capital contribution by Newcastle | 11,515 | ' | ' | |
Accrued expenses | ' | ' | -407 | |
Accrued interest payable | ' | ' | 55 | |
Other operating cash flows: | ' | ' | ' | |
Cash proceeds from investments, in excess of interest income | 41,435 | 19,021 | 43,113 | |
Net cash proceeds deemed as capital distributions to Newcastle | -52,888 | -34,403 | -74,540 | |
Net cash provided by (used in) operating activities | 104,580 | ' | ' | |
Cash Flows From Investing Activities | ' | ' | ' | |
Purchase of Agency ARM RMBS | -292,980 | ' | ' | |
Purchase of Non-Agency RMBS | -202,484 | ' | ' | |
Acquisition of investments in excess mortgage servicing rights | -46,421 | ' | ' | |
Acquisition of investments in excess mortgage servicing rights. equity method investees | -226,837 | ' | ' | |
Principal repayments from Agency ARM RMBS | 219,187 | ' | ' | |
Principal repayments from Non-Agency RMBS | 50,878 | ' | ' | |
Proceeds from sale of investments | 123,130 | ' | ' | |
Return of investments in excess mortgage servicing rights | 15,132 | ' | ' | |
Return of investments in excess mortgage servicing rights, equity method investees | 4,018 | ' | ' | |
Return of investments in consumer loan equity method investees | 52,923 | ' | ' | |
Principal repayments from residential mortgage loans | 2,400 | ' | ' | |
Net cash provided by (used in) investing activities | -301,054 | ' | ' | |
Cash Flows From Financing Activities | ' | ' | ' | |
Repayments of repurchase agreements | -1,283,567 | ' | ' | |
Margin deposits under repurchase agreements | -210,507 | ' | ' | |
Payment of deferred financing fees | -166 | ' | ' | |
Common stock dividends paid | -17,712 | ' | ' | |
Borrowings under repurchase agreements | 1,425,413 | ' | ' | |
Return of margin deposits under repurchase agreements | 210,158 | ' | ' | |
Capital contributions | 245,058 | ' | ' | |
Net cash provided by (used in) financing activities | 368,677 | ' | ' | |
Net Increase (Decrease) in Cash and Cash Equivalents | 172,203 | ' | ' | |
Cash and Cash Equivalents, End of Period | 172,203 | [2] | ' | ' |
Supplemental Disclosure of Cash Flow Information | ' | ' | ' | |
Cash paid during the period for interest expense | 6,853 | 280 | 649 | |
Prior to Date of Cash Contribution by Newcastle | ' | ' | ' | |
Cash proceeds from investments, in excess of interest income | 41,435 | 19,021 | 43,113 | |
Acquisition of real estate securities | 242,750 | 34,619 | 121,262 | |
Acquisition of investments in excess mortgage servicing rights | ' | 218,642 | 221,832 | |
Deposit paid on investment in excess mortgage servicing rights | ' | 25,200 | 25,200 | |
Purchase price payable on investments in excess mortgage servicing rights | ' | 3,250 | 59 | |
Acquisition of investments in excess mortgage servicing rights, equity method investees at fair value | 125,099 | ' | ' | |
Acquisition of investments in consumer loan equity method investees | 245,421 | ' | ' | |
Acquisition of residential mortgage loans, held-for-investment | 35,138 | ' | ' | |
Borrowings under repurchase agreements | 1,179,068 | 60,772 | 153,510 | |
Repayments of repurchase agreements | 3,902 | 1,126 | 2,588 | |
Capital contributions by Newcastle | 648,408 | 278,461 | 368,294 | |
Contributions in-kind by Newcastle | 1,093,684 | 164,142 | 164,142 | |
Capital distributions to Newcastle | 1,228,054 | 94,049 | 250,661 | |
Return of deposit paid on investment in excess mortgage service rights | ' | ' | 25,200 | |
Subsequent to Date of Cash Contribution by Newcastle | ' | ' | ' | |
Dividends declared but not paid | $44,308 | ' | ' | |
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | |||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. |
GENERAL
GENERAL | 9 Months Ended |
Sep. 30, 2013 | |
General | ' |
GENERAL | ' |
1. GENERAL | |
New Residential Investment Corp. (formerly known as NIC MSR LLC) (together with its subsidiaries, “New Residential”) is a Delaware corporation that was formed as a limited liability company in September 2011 for the purpose of making real estate related investments and commenced operations on December 8, 2011. On December 20, 2012, New Residential was converted to a corporation. Newcastle Investment Corp. (“Newcastle”) was the sole stockholder of New Residential until the spin-off (Note 10), which was completed on May 15, 2013. Newcastle is listed on the New York Stock Exchange under the symbol “NCT.” | |
Following the spin-off, New Residential is an independent publicly traded real estate investment trust (“REIT”) primarily focused on investing in residential mortgage related assets. New Residential is listed on the New York Stock Exchange under the symbol “NRZ.” | |
As of September 30, 2013, New Residential had acquired, or committed to acquire, directly and through equity method investees, excess mortgage servicing rights (“Excess MSRs”) on twelve pools of residential mortgage loans from Nationstar Mortgage LLC (“Nationstar”), a leading residential mortgage servicer. Furthermore, New Residential had acquired real estate securities, residential mortgage loans, and consumer loans. | |
New Residential intends to elect and qualify to be taxed as a REIT for U.S. federal income tax purposes for the tax year ending December 31, 2013. As such, New Residential will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. | |
New Residential has entered into a management agreement (the “Management Agreement”) with FIG LLC (the “Manager”), an affiliate of Fortress Investment Group LLC (“Fortress”), under which the Manager advises New Residential on various aspects of its business and manages its day-to-day operations, subject to the supervision of New Residential’s board of directors. For its services, the Manager is entitled to management fees and incentive compensation, both defined in, and in accordance with the terms of, the Management Agreement. For a further discussion of the Management Agreement, see Note 12. The Manager also manages Newcastle and investment funds that own a majority of Nationstar. | |
As of September 30, 2013, New Residential operated in the following business segments: (i) investments in Excess MSRs, (ii) investments in real estate securities and loans, (iii) investments in consumer loans and (iv) corporate. | |
The consolidated financial statements for periods prior to May 15, 2013 have been prepared on a spin-off basis from the consolidated financial statements and accounting records of Newcastle and reflect New Residential’s historical results of operations, financial position and cash flows, in accordance with U.S. GAAP. As presented in the Consolidated Statements of Cash Flows, New Residential did not have any cash balance during periods prior to April 5, 2013, which is the first date Newcastle contributed cash to New Residential. All of its cash activity occurred in Newcastle’s accounts during these periods. The consolidated financial statements for periods prior to May 15, 2013 do not necessarily reflect what New Residential’s consolidated results of operations, financial position and cash flows would have been had New Residential operated as an independent company prior to the spin-off. | |
Certain expenses of Newcastle, comprised primarily of a portion of its management fee, have been allocated to New Residential to the extent they were directly associated with New Residential for periods prior to the spin-off on May 15, 2013. The portion of the management fee allocated to New Residential prior to the spin-off represents the product of the management fee rate payable by Newcastle (1.5%) and New Residential’s gross equity, which management believes is a reasonable method for quantifying the expense of the services provided by the employees of the Manager to New Residential. The incremental cost of certain legal, accounting and other expenses related to New Residential’s operations prior to May 15, 2013 are reflected in the accompanying consolidated financial statements. New Residential and Newcastle do not share any expenses following the spin-off. | |
The accompanying consolidated financial statements and related notes of New Residential have been prepared in accordance with accounting principles generally accepted in the United States for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, certain information and footnote disclosures normally included in financial statements prepared under U.S. generally accepted accounting principles have been condensed or omitted. In the opinion of management, all adjustments considered necessary for a fair presentation of New Residential’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. These financial statements should be read in conjunction with New Residential’s consolidated financial statements for the year ended December 31, 2012 and notes thereto included in New Residential’s Registration Statement on Form 10 filed with the Securities and Exchange Commission. Capitalized terms used herein, and not otherwise defined, are defined in New Residential’s consolidated financial statements for the year ended December 31, 2012. | |
Recent Accounting Pronouncements | |
In February 2013, the FASB issued new guidance regarding the reporting of reclassifications out of accumulated other comprehensive income. The new guidance does not change current requirements for reporting net income or other comprehensive income in the financial statements. However, it requires companies to present the effects on the line items of net income of significant amounts reclassified out of accumulated OCI if the item reclassified is required to be reclassified to net income in its entirety during the same reporting period. Presentation should occur either on the face of the income statement where net income is presented or in the notes to the financial statements. New Residential has adopted this accounting standard and presents this information in Note 13. | |
The FASB has recently issued or discussed a number of proposed standards on such topics as consolidation, financial statement presentation, revenue recognition, financial instruments, hedging, and contingencies. Some of the proposed changes are significant and could have a material impact on New Residential’s reporting. New Residential has not yet fully evaluated the potential impact of these proposals, but will make such an evaluation as the standards are finalized. |
ORGANIZATION
ORGANIZATION | 12 Months Ended |
Dec. 31, 2012 | |
Organization | ' |
ORGANIZATION | ' |
1. ORGANIZATION | |
New Residential Investment Corp. (formerly known as NIC MSR LLC) (together with its subsidiaries, “New Residential”) is a Delaware corporation that was formed as a limited liability company in September 2011 for the purpose of making real estate related investments and commenced operations on December 8, 2011. On December 20, 2012, New Residential was converted to a corporation. Newcastle Investment Corp. (“Newcastle” or the “stockholder”) is the sole stockholder of New Residential. Newcastle is listed on the New York Stock Exchange under the symbol “NCT.” Newcastle generally does not have any liability for the obligations of New Residential, except as described in Note 6. | |
As of December 31, 2012, New Residential had acquired excess mortgage servicing rights (“Excess MSRs”) on five pools of residential mortgage loans from Nationstar Mortgage LLC (“Nationstar”). Nationstar is a leading residential mortgage servicer and is majority-owned by funds managed by Newcastle’s manager. Furthermore, New Residential acquired real estate securities during the third and fourth quarters of 2012. | |
New Residential intends to elect and qualify to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes for the tax year ending December 31, 2013. As such, New Residential will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. | |
New Residential intends to enter into a management agreement (the “Management Agreement”) with FIG LLC (the “Manager”), an affiliate of Fortress Investment Group LLC (“Fortress”), under which the Manager will advise New Residential on various aspects of its business and will manage its day-to-day operations, subject to the supervision of New Residential’s board of directors. For its services, the Manager is expected to be entitled to management fees and incentive compensation, both to be defined in, and in accordance with the terms of, the Management Agreement. For a further discussion of the Management Agreement, see Note 9. The Manager also manages Newcastle and investment funds that own a majority of Nationstar. |
SEGMENT_REPORTING
SEGMENT REPORTING | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | ' | ' | ||||||||||||||||||||||||||||||||||||
SEGMENT REPORTING | ' | ' | ||||||||||||||||||||||||||||||||||||
2. SEGMENT REPORTING | 3. SEGMENT REPORTING | |||||||||||||||||||||||||||||||||||||
New Residential conducts its business through the following segments: (i) investments in Excess MSRs, (ii) investments in real estate securities and loans, (iii) investments in consumer loans, and (iv) corporate. The corporate segment consists primarily of general and administrative expenses, the allocation of management fees by Newcastle until the spin-off on May 15, 2013, and the management fees and incentive compensation owed to the Manager by New Residential following the spin-off. | New Residential conducts its business through the following segments: (i) investments in Excess MSRs, (ii) investments in real estate securities and (iii) corporate. The corporate segment consists primarily of general and administrative expenses and the allocation of management fees by the stockholder. | |||||||||||||||||||||||||||||||||||||
In the third quarter of 2012, New Residential changed the composition of its reportable segments to add a real estate securities segment and a corporate segment. Management acquired real estate securities during the third quarter and determined that it should disaggregate corporate expenses from the other segments presented. Segment information for previously reported periods in the accompanying financial statements has been restated to reflect this change to the composition of its segments. | ||||||||||||||||||||||||||||||||||||||
Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: | ||||||||||||||||||||||||||||||||||||||
Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: | ||||||||||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | Excess | Real Estate | Corporate | New | |||||||||||||||||||||||||||||||||
Loans | MSRs | Securities | Residential | |||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2013 | Year ended December 31, 2012 | |||||||||||||||||||||||||||||||||||||
Interest income | $ | 9,761 | $ | 12,120 | $ | — | $ | 4 | $ | 21,885 | Interest income | $ | 27,496 | $ | 6,263 | $ | — | $ | 33,759 | |||||||||||||||||||
Interest expense | — | 3,443 | — | — | 3,443 | Interest expense | — | 704 | — | 704 | ||||||||||||||||||||||||||||
Net interest income | 9,761 | 8,677 | — | 4 | 18,442 | Net interest income (expense) | 27,496 | 5,559 | — | 33,055 | ||||||||||||||||||||||||||||
Impairment | — | — | — | — | — | Change in fair value of investments in excess mortgage servicing rights | 9,023 | — | — | 9,023 | ||||||||||||||||||||||||||||
Other income | 20,853 | 11,213 | 24,129 | — | 56,195 | Other income (loss) | 8,400 | — | — | 8,400 | ||||||||||||||||||||||||||||
Operating expenses | 82 | 104 | 1 | 11,305 | 11,492 | Expenses | 5,449 | — | 3,782 | 9,231 | ||||||||||||||||||||||||||||
Net income (loss) | $ | 30,532 | $ | 19,786 | $ | 24,128 | $ | (11,301 | ) | $ | 63,145 | Net Income (Loss) | $ | 39,470 | $ | 5,559 | $ | (3,782 | ) | $ | 41,247 | |||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 245,068 | $ | 289,808 | $ | — | $ | 534,876 | ||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | Excess | Real Estate | Corporate | New | ||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2013 | MSRs | Securities | Residential | |||||||||||||||||||||||||||||||||||
Interest income | $ | 30,541 | $ | 30,492 | $ | — | $ | 42 | $ | 61,075 | Period from December 8, 2011 (Commencement of Operations) through December 31, 2011 | |||||||||||||||||||||||||||
Interest expense | — | 6,993 | — | — | 6,993 | Interest income | $ | 1,260 | $ | — | $ | — | $ | 1,260 | ||||||||||||||||||||||||
Interest expense | — | — | — | — | ||||||||||||||||||||||||||||||||||
Net interest income | 30,541 | 23,499 | — | 42 | 54,082 | |||||||||||||||||||||||||||||||||
Impairment | — | 3,756 | — | — | 3,756 | Net interest income (expense) | 1,260 | — | — | 1,260 | ||||||||||||||||||||||||||||
Other income | 85,640 | 11,271 | 60,293 | — | 157,204 | Change in fair value of investments in excess mortgage servicing rights | 367 | — | — | 367 | ||||||||||||||||||||||||||||
Operating expenses | 178 | 256 | 1,952 | 19,702 | 22,088 | Expenses | 809 | — | 104 | 913 | ||||||||||||||||||||||||||||
Net income (loss) | $ | 116,003 | $ | 30,758 | $ | 58,341 | $ | (19,660 | ) | $ | 185,442 | Net Income (Loss) | $ | 818 | $ | — | $ | (104 | ) | $ | 714 | |||||||||||||||||
December 31, 2011 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 43,791 | $ | — | $ | — | $ | 43,791 | ||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||||||||
Investments | $ | 665,600 | $ | 1,894,260 | $ | 192,498 | $ | — | $ | 2,752,358 | ||||||||||||||||||||||||||||
Cash and cash equivalents | — | — | — | 172,203 | 172,203 | |||||||||||||||||||||||||||||||||
Other assets | — | 6,563 | — | 720 | 7,283 | |||||||||||||||||||||||||||||||||
Total assets | 665,600 | 1,900,823 | 192,498 | 172,923 | 2,931,844 | |||||||||||||||||||||||||||||||||
Debt | — | 1,467,934 | — | — | 1,467,934 | |||||||||||||||||||||||||||||||||
Other liabilities | 82 | 149,352 | — | 53,440 | 202,874 | |||||||||||||||||||||||||||||||||
Total liabilities | 82 | 1,617,286 | — | 53,440 | 1,670,808 | |||||||||||||||||||||||||||||||||
GAAP book value | $ | 665,518 | $ | 283,537 | $ | 192,498 | $ | 119,483 | $ | 1,261,036 | ||||||||||||||||||||||||||||
Investments in equity method investees | $ | 358,032 | $ | — | $ | 192,498 | $ | — | $ | 550,530 | ||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||||||
Interest income | $ | 9,903 | $ | 2,392 | $ | — | $ | — | $ | 12,295 | ||||||||||||||||||||||||||||
Interest expense | — | 298 | — | — | 298 | |||||||||||||||||||||||||||||||||
Net interest income | 9,903 | 2,094 | — | — | 11,997 | |||||||||||||||||||||||||||||||||
Other income | 1,774 | — | — | — | 1,774 | |||||||||||||||||||||||||||||||||
Operating expenses | 994 | — | — | 1,009 | 2,003 | |||||||||||||||||||||||||||||||||
Net income (loss) | $ | 10,683 | $ | 2,094 | $ | — | $ | (1,009 | ) | $ | 11,768 | |||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||||||
Interest income | $ | 16,419 | $ | 2,392 | $ | — | $ | — | $ | 18,811 | ||||||||||||||||||||||||||||
Interest expense | — | 298 | — | — | 298 | |||||||||||||||||||||||||||||||||
Net interest income | 16,419 | 2,094 | — | — | 18,513 | |||||||||||||||||||||||||||||||||
Other income | 6,513 | — | — | — | 6,513 | |||||||||||||||||||||||||||||||||
Operating expenses | 2,141 | — | — | 1,955 | 4,096 | |||||||||||||||||||||||||||||||||
Net income (loss) | $ | 20,791 | $ | 2,094 | $ | — | $ | (1,955 | ) | $ | 20,930 |
SUMMARY_OF_SIGNIFICANT_ACCOUNT
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2012 | |
Summary Of Significant Accounting Policies | ' |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | ' |
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | |
GENERAL | |
Principles of Consolidation and Basis of Presentation—The accompanying consolidated financial statements and related notes have been prepared in accordance with United States generally accepted accounting principles (“U.S. GAAP”). These financial statements include the accounts of New Residential and its consolidated subsidiaries, which are comprised of entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. All intercompany balances and transactions have been eliminated upon consolidation. New Residential currently operates in three business segments: (i) investments in Excess MSRs, (ii) investments in real estate securities and (iii) corporate. | |
Variable interest entities (VIEs) are defined as entities in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, and only by its primary beneficiary, which is defined as the party who has the power to direct the activities of a VIE that most significantly impact its economic performance and who has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. | |
New Residential’s investments in Non-Agency RMBS are variable interests. New Residential monitors these investments and analyzes the potential need to consolidate the related securitization entities pursuant to the VIE consolidation requirements. | |
New Residential has not consolidated the securitization entities that issued its Non-Agency RMBS. This determination is based, in part, on New Residential’s assessment that it does not have the power to direct the activities that most significantly impact the economic performance of these entities, such as through ownership of a majority of the currently controlling class. In addition, New Residential is not obligated to provide, and has not provided, any financial support to these entities. | |
The consolidated financial statements have been prepared on a spin off basis from the consolidated financial statements and accounting records of Newcastle and reflect New Residential’s historical results of operations, financial position and cash flows, in accordance with U.S. GAAP. The consolidated financial statements may not be indicative of New Residential’s future performance and do not necessarily reflect what its consolidated results of operations, financial position and cash flows would have been had New Residential operated as an independent company during the periods presented. | |
The incremental cost of certain legal, accounting and other expenses related to New Residential’s operations are reflected in the accompanying consolidated financial statements. Certain expenses of Newcastle, currently comprised primarily of a portion of its management fee, have been allocated to New Residential to the extent they are directly associated with New Residential. The portion of the management fee allocated to New Residential represents the product of the management fee rate payable by Newcastle (1.5%) and New Residential’s gross equity, which management believes is a reasonable method for quantifying the expense of the services provided by the employees of the Manager to New Residential. New Residential and Newcastle do not intend to share any expenses following the separation. | |
Risks and Uncertainties—In the normal course of business, New Residential encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on New Residential’s investments that results from a borrower’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment speeds, interest rates, spreads or other market factors. Management believes that the carrying values of its investments are reasonable taking into consideration these risks along with estimated prepayments, refinancings, collateral values, payment histories, and other borrower information. Furthermore, as of December 31, 2012 and 2011, a significant portion of New Residential’s assets are its investments in Excess MSRs, which are dependent on Nationstar to perform its obligations as the servicer. If Nationstar is terminated as the servicer, New Residential’s right to receive its portion of the excess mortgage servicing amount is also terminated. | |
Additionally, New Residential is subject to significant tax risks. If New Residential were to fail to qualify as a REIT in any taxable year, it would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, New Residential would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. | |
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. | |
REVENUE RECOGNITION | |
Investments in Excess Mortgage Servicing Rights—Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount through the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period would be measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. In addition, New Residential’s policy is to recognize interest income only on its Excess MSRs in existing eligible underlying mortgages. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded as “Change in fair value of investments in excess mortgage servicing rights.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs, and therefore may differ from their effective yields. | |
Real Estate Securities—New Residential invests in real estate related asset backed securities. Discounts or premiums are accreted into interest income on an effective yield or “interest” method, based upon a comparison of actual and expected cash flows, through the expected maturity date of the security. Depending on the nature of the investment, changes to expected cash flows may result in a prospective change to yield or a retrospective change which would include a catch up adjustment. Deferred fees and costs, if any, are recognized as a reduction to the interest income over the terms of the securities using the interest method. Upon settlement of securities, the excess (or deficiency) of net proceeds over the net carrying value of such security is recognized as a gain (or loss) in the period of settlement. | |
Impairment of Securities—New Residential continually evaluates securities for impairment. Securities are considered to be other-than-temporarily impaired, for financial reporting purposes, generally when it is probable that New Residential will be unable to collect all principal or interest when due according to the contractual terms of the original agreements, or for securities purchased at a discount for credit quality when New Residential determines that it is probable that it will be unable to collect as anticipated. The evaluation of a security’s estimated cash flows includes the following, as applicable: (i) review of the credit of the issuer, (ii) review of the credit rating of the security, (iii) review of the key terms of the security, (iv) review of the performance of the underlying loans, including debt service coverage and loan to value ratios, (v) analysis of the value of the collateral for the underlying loans, (vi) analysis of the effect of local, industry and broader economic factors, and (vii) analysis of historical and anticipated trends in defaults, loss severities and prepayments for similar securities. Furthermore, New Residential must record a write down if we have the intent to sell a given security in an unrealized loss position, or if it is more likely than not that we will be required to sell such a security. Upon determination of impairment, New Residential records a direct write down for securities based on the estimated fair value of the security or underlying collateral using a discounted cash flow analysis or based on an observable market value. It is New Residential’s policy to establish an allowance for uncollectible interest on performing securities that are past due more than 90 days or sooner when, in the judgment of management, the probability of collection of interest is deemed to be insufficient to warrant further accrual. Upon such a determination, those securities are deemed to be non-performing and put on nonaccrual status. Actual losses may differ from New Residential’s estimates. New Residential may resume accrual of income on a security if, in management’s opinion, full collection is probable. Subsequent to a determination of impairment, and a related write down, income is accrued on an effective yield method from the new carrying value to the related expected cash flows, with cash received treated as a reduction of basis. | |
Other Income (Loss)—On May 14, 2012, New Residential entered into definitive agreements to co-invest in Excess MSRs related to mortgage servicing rights that Nationstar proposed to acquire from Residential Capital, LLC and related entities (“ResCap”) in an auction conducted as part of ResCap’s bankruptcy proceedings. The auction commenced on October 23, 2012, and Nationstar did not submit the highest bid on October 24, 2012. Therefore, New Residential did not complete this co-investment and was entitled to its portion of the breakup fee of approximately $8.4 million, which was recorded as other income for the year ended December 31, 2012. | |
Reclassification From Accumulated Other Comprehensive Income Into Net Income—No amounts were reclassified out of accumulated other comprehensive income into net income for the year ended December 31, 2012. | |
EXPENSE RECOGNITION | |
Interest Expense—New Residential finances certain investments using floating rate repurchase agreements. Interest is expensed as incurred. | |
General and Administrative Expenses—General and administrative expenses, including legal fees, audit fees and other costs and are expensed as incurred. | |
Management Fees Allocated by Newcastle—These represent the management fees allocated by and due to Newcastle based on the equity used in funding the acquisition of Excess MSRs and real estate securities. The management fees are equal to 1.5% of the gross equity, as defined in the Management Agreement between Newcastle and FIG LLC. For further information on the Management Agreement, see Note 9. | |
BALANCE SHEET MEASUREMENT | |
Cash and Cash Equivalents—New Residential has no cash account as of December 31, 2011 or 2012. Cash transactions affecting account balances are collected or paid through a cash account held by Newcastle. | |
Due from/to Newcastle—For purposes of classifying amounts, New Residential considers the Manager and principals of Fortress to be affiliates. Amounts due from and to Newcastle are recorded at their contractual or allocated amount, subject to an allowance for uncollectible amounts if collection is not deemed probable. | |
Investments in Excess Mortgage Servicing Rights—Upon acquisition, New Residential has elected to record each of such investments at fair value. New Residential elected to record its Excess MSRs at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, New Residential records a valuation adjustment on its Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described in Revenue Recognition—Investments in Excess Mortgage Servicing Rights above. As of December 31, 2012 and 2011, all Excess MSRs are classified as held-for-investment as New Residential has the intent and ability to hold the investments for the foreseeable future. | |
Investments in Real Estate Securities—New Residential has classified its investments in securities as available-for-sale. Available-for-sale securities are carried at market value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income, to the extent impairment losses are considered temporary. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investments and is included in earnings. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described above. | |
Capital Contributions and Distributions—Capital contributions represent the settlements of acquisition price in the acquisition of Excess MSRs and real estate securities and deposits related to Excess MSRs paid by Newcastle on behalf of New Residential. Capital distributions represent the cash receipts from investments, repayments of repurchase agreements and borrowings under repurchase agreements less cash payments for expenses, which would be equivalent to net increases in cash and cash equivalents in the respective periods had New Residential maintained a separate bank account. | |
Contributions in-kind—Contributions in-kind represent the contribution of real estate securities by Newcastle to New Residential. | |
RECENT ACCOUNTING PRONOUNCEMENTS | |
In May 2011, the FASB issued new guidance regarding the measurement and disclosure of fair value, which became effective for New Residential on January 1, 2012. The adoption of this guidance did not have a material impact on New Residential’s financial position, liquidity or results of operations. | |
In June 2011, the FASB issued a new accounting standard that eliminates the current option to report other comprehensive income and its components in the statement of stockholders’ equity. Instead, an entity will be required to present items of net income and other comprehensive income in one continuous statement or in two separate, but consecutive, statements. New Residential has early adopted this standard in the period ended December 31, 2011 and has presented the Statement of Comprehensive Income separately from the Statement of Changes in Newcastle’s Equity. | |
In February 2013, the FASB issued new guidance regarding the reporting of reclassifications out of accumulated other comprehensive income. The new guidance does not change current requirements for reporting net income or other comprehensive income in the financial statements. However, it requires companies to present the effects on the line items of net income of significant amounts reclassified out of accumulated OCI if the item reclassified is required to be reclassified to net income in its entirety during the same reporting period. Presentation should occur either on the face of the income statement where net income is presented, or in the notes to the financial statements. New Residential has early adopted this accounting standard and opted to present this information in a note to the financial statements. | |
The FASB has recently issued or discussed a number of proposed standards on such topics as consolidation, the definition of an investment company, financial statement presentation, revenue recognition, financial instruments, hedging and contingencies. Some of the proposed changes are significant and could have a material impact on New Residential’s reporting. New Residential has not yet fully evaluated the potential impact of these proposals, but will make such an evaluation as the standards are finalized. |
INVESTMENTS_IN_EXCESS_MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments In Excess Mortgage Servicing Rights At Fair Value | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3. INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE | 4. INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pool 1. On December 13, 2011, Newcastle announced the completion of the first co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights acquired by Nationstar. New Residential invested approximately $43.7 million to acquire a 65% interest in the Excess MSRs on a portfolio of government-sponsored enterprise (“GSE”) residential mortgage loans (“Pool 1”). Nationstar has co-invested on a pari passu basis with New Residential in 35% of the Excess MSRs and is the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, the servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. | Pool 1. On December 13, 2011, Newcastle announced the completion of the first co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights acquired by Nationstar. New Residential invested approximately $44 million to acquire a 65% interest in the Excess MSRs on a portfolio of government-sponsored enterprise (“GSE”) residential mortgage loans with an outstanding principal balance of approximately $9.9 billion (“Pool 1”). Nationstar has co-invested on a pari-passu basis with New Residential in 35% of the Excess MSRs and will be the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, the servicing obligations and liabilities as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs will be shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pool 2. On June 5, 2012, Newcastle announced the completion of a co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights Nationstar acquired from Bank of America. New Residential invested approximately $42.3 million to acquire a 65% interest in the Excess MSRs on a portfolio of residential mortgage loans (“Pool 2”), comprised of loans in GSE pools. Nationstar has co-invested on a pari passu basis with New Residential in 35% of the Excess MSRs and is the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. | Pool 2. On June 5, 2012, Newcastle announced the completion of a co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights Nationstar acquired from Bank of America. New Residential invested approximately $44 million to acquire a 65% interest in the Excess MSRs on a portfolio of residential mortgage loans with an outstanding principal balance of approximately $10.4 billion (“Pool 2”), comprised of loans in GSE pools. Nationstar has co-invested on a pari passu basis with New Residential in 35% of the Excess MSRs and will be the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, servicing obligations and liabilities as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs will be shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. As of December 31, 2012, New Residential has a remaining purchase price payable of less than $0.1 million which is to be funded in 2013 pursuant to the payment terms of the agreement. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pools 3, 4 and 5. On June 29, 2012, Newcastle announced the completion of a co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights Nationstar acquired from Aurora Bank FSB, a subsidiary of Lehman Brothers Bancorp Inc. New Residential invested approximately $176.5 million to acquire a 65% interest in the Excess MSRs on a portfolio of residential mortgage loans, comprised of approximately 25% conforming loans in Fannie Mae (“Pool 3”) and Freddie Mac (“Pool 4”) GSE pools as well as approximately 75% non-conforming loans in private label securitizations (“Pool 5”). Nationstar had co-invested on a pari passu basis with New Residential in 35% of the Excess MSRs and is the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. In September 2013, New Residential invested an additional $26.6 million to acquire an additional 15% interest in the Excess MSRs related to Pool 5 from Nationstar. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. | Pools 3, 4 and 5. On June 29, 2012, Newcastle announced the completion of a co-investment between New Residential and Nationstar in Excess MSRs related to mortgage servicing rights Nationstar acquired from Aurora Bank FSB, a subsidiary of Lehman Brothers Bancorp Inc. New Residential invested approximately $176.5 million to acquire a 65% interest in the Excess MSRs on a portfolio of residential mortgage loans with an outstanding principal balance of approximately $63.7 billion, comprised of approximately 75% non-conforming loans in private label securitizations and approximately 25% conforming loans in GSE pools. The portfolio is comprised of three pools: two GSE loan pools with outstanding principal balances of approximately $9.8 billion (“Pool 3”) and $6.3 billion (“Pool 4”), respectively, and a pool of non-conforming loans in private label securitizations with an outstanding principal balance of approximately $47.6 billion (“Pool 5”). Nationstar has co-invested on a pari passu basis with New Residential in 35% of the Excess MSRs and will be the servicer of the loans, performing all servicing and advancing functions, and retaining the ancillary income, servicing obligations and liabilities as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs will be shared on a pro rata basis by New Residential and Nationstar, subject to certain limitations. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pool 11. On May 20, 2013, New Residential entered into an excess spread agreement with Nationstar to purchase a two-thirds interest in the Excess MSRs on a portion of the loans in the pool which are eligible to be refinanced by a specific third party for a period of time for $2.4 million, with Nationstar retaining the remaining one-third interest in the Excess MSRs and all servicing rights. After this period expires, Nationstar will have the ability to refinance all of the loans in the pool. See Note 6 for information on our other agreements with Nationstar with respect to Pool 11. | The following is a summary of New Residential’s Excess MSRs at December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pool 12. On September 23, 2013, New Residential invested approximately $17.4 million to acquire a 40% interest in the Excess MSRs on a portfolio of residential mortgage loans (“Pool 12”), comprised of loans in private label securitizations. Fortress-managed funds also acquired a 40% interest in the Excess MSRs and the remaining 20% interest in the Excess MSRs is owned by Nationstar. Nationstar performs all servicing and advancing functions, and it retains the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by New Residential, the Fortress-managed funds and Nationstar, subject to certain limitations. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
As described above, New Residential has entered into a “Recapture Agreement” in each of the Excess MSR investments to date. Under the Recapture Agreements, New Residential is generally entitled to a pro rata interest in the Excess MSRs on any initial or subsequent refinancing by Nationstar of a loan in the original portfolio. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential elected to record its investments in Excess MSRs at fair value pursuant to the fair value option for financial instruments in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. | December 31, 2011 | Period From | ||||||||||||||||||||||||||||||||||||||||||||||||||||
8-Dec-11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following is a summary of New Residential’s direct investments in Excess MSRs: | (Commencement | |||||||||||||||||||||||||||||||||||||||||||||||||||||
of Operations) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Through Dec 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2013 | Nine | 2011 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Months | Description | Unpaid | Amortized | Carrying | Wtd. | Wtd. | Changes in Fair | |||||||||||||||||||||||||||||||||||||||||||||||
Ended | Principal | Cost | Value(B) | Avg. | Avg. | Value Recorded | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, | Balance | Basis(A) | Yield | Maturity | in Income(D) | |||||||||||||||||||||||||||||||||||||||||||||||||
2013 | (Years)(C) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Unpaid | Interest in | Amortized | Carrying | Weighted | Weighted | Changes in | Pool 1 | $ | 9,705,512 | $ | 37,469 | $ | 37,637 | 20 | % | 4.5 | $ | 168 | ||||||||||||||||||||||||||||||||||||
Principal | Excess | Cost Basis (A) | Value (B) | Average | Average | Fair Value | Pool 1-Recapture Agreement | — | 6,135 | 6,334 | 20 | % | 10.3 | 199 | ||||||||||||||||||||||||||||||||||||||||
Balance | MSR | Yield | Life | Recorded | ||||||||||||||||||||||||||||||||||||||||||||||||||
(“UPB”) of | (Years) (C) | in Other | $ | 9,705,512 | $ | 43,604 | $ | 43,971 | 20 | % | 6 | $ | 367 | |||||||||||||||||||||||||||||||||||||||||
Underlying | Income (D) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgages | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 1 | $ | 7,171,426 | 65 | % | $ | 27,255 | $ | 37,907 | 12.5 | % | 4.9 | $ | 4,914 | |||||||||||||||||||||||||||||||||||||||||
MSR Pool 1—Recapture Agreement | — | 65 | % | 2,230 | 4,629 | 12.5 | % | 11.3 | 1,893 | Description | December 31, 2012 | Year Ended | ||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2 | 8,217,751 | 65 | % | 30,806 | 35,592 | 12.5 | % | 5.2 | 3,742 | December 31, | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2—Recapture Agreement | — | 65 | % | 1,934 | 5,882 | 12.5 | % | 12.3 | 3,767 | 2012 | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3 | 8,066,890 | 65 | % | 25,250 | 34,063 | 12.5 | % | 4.8 | 5,958 | Unpaid | Amortized | Carrying | Wtd. | Wtd. Avg. | Changes in | |||||||||||||||||||||||||||||||||||||||
MSR Pool 3—Recapture Agreement | — | 65 | % | 3,608 | 5,231 | 12.5 | % | 11.6 | 1,699 | Principal | Cost | Value(B) | Avg. | Maturity | Fair Value | |||||||||||||||||||||||||||||||||||||||
MSR Pool 4 | 5,222,892 | 65 | % | 10,032 | 13,743 | 12.5 | % | 5.2 | 2,693 | Balance | Basis(A) | Yield | (Years)(C) | Recorded in | ||||||||||||||||||||||||||||||||||||||||
MSR Pool 4—Recapture Agreement | — | 65 | % | 2,509 | 3,446 | 12.5 | % | 11.6 | 951 | Income(D) | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 5 | 38,315,786 | 80 | % | 121,544 | 142,387 | 12.7 | % | 5.4 | 18,864 | Pool 1 | $ | 8,403,211 | $ | 30,237 | $ | 35,974 | 18 | % | 4.8 | $ | 5,569 | |||||||||||||||||||||||||||||||||
MSR Pool 5—Recapture Agreement | — | 80 | % | 9,277 | 4,779 | 12.7 | % | 12.5 | (656 | ) | Pool 1-Recapture Agreement | — | 4,430 | 4,936 | 18 | % | 10.8 | 307 | ||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | — | 66.7 | % | 2,391 | 2,391 | 12.5 | % | 10.2 | — | Pool 2 | 9,397,120 | 32,890 | 33,935 | 17.3 | % | 5 | 1,045 | |||||||||||||||||||||||||||||||||||||
MSR Pool 12 | 5,321,060 | 40 | % | 16,963 | 17,032 | 16.4 | % | 4.6 | 69 | Pool 2-Recapture Agreement | — | 5,206 | 5,387 | 17.3 | % | 11.8 | 181 | |||||||||||||||||||||||||||||||||||||
MSR Pool 12—Recapture Agreement | — | 40 | % | 479 | 486 | 16.4 | % | 13.6 | 5 | Pool 3 | 9,069,726 | 27,618 | 30,474 | 17.6 | % | 4.7 | 2,856 | |||||||||||||||||||||||||||||||||||||
Pool 3-Recapture Agreement | — | 5,036 | 4,960 | 17.6 | % | 11.3 | (76 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
$ | 72,315,805 | $ | 254,278 | $ | 307,568 | 12.9 | % | 5.8 | $ | 43,899 | Pool 4 | 5,788,133 | 11,130 | 12,149 | 17.9 | % | 4.6 | 1,019 | ||||||||||||||||||||||||||||||||||||
Pool 4-Recapture Agreement | — | 2,902 | 2,887 | 17.9 | % | 11.1 | (15 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Pool 5 | 43,902,561 | 107,704 | 109,682 | 17.5 | % | 4.8 | 1,978 | |||||||||||||||||||||||||||||||||||||||||||||||
(A) | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | Pool 5-Recapture Agreement | — | 8,493 | 4,652 | 17.5 | % | 11.7 | (3,841 | ) | ||||||||||||||||||||||||||||||||||||||||||||
(B) | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | $ | 76,560,751 | $ | 235,646 | $ | 245,036 | 17.6 | % | 5.4 | $ | 9,023 | ||||||||||||||||||||||||||||||||||||||||||
(D) | The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs at September 30, 2013: | (A) | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Weighted Average Maturity represents the weighted average expected timing of the receipt of expected cash flows for this investment. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
State Concentration | Percentage of Total | (D) | The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSRs at December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
California | 30.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Florida | 10.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
New York | 4.7 | % | Percentage of Total Outstanding Unpaid Principal Amount(A) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Texas | 4.2 | % | December 31, 2012 | December 31, 2011 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Washington | 4.1 | % | State Concentration | Percentage | State Concentration | Percentage | ||||||||||||||||||||||||||||||||||||||||||||||||
Arizona | 3.7 | % | California | 32 | % | California | 19.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Maryland | 3.6 | % | Florida | 10.1 | % | Florida | 11.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Colorado | 3.3 | % | Washington | 4.3 | % | Texas | 6.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
New Jersey | 3.3 | % | New York | 4.3 | % | Arizona | 4.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Virginia | 3.1 | % | Arizona | 3.9 | % | Virginia | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. | 29.6 | % | Texas | 3.6 | % | Washington | 3.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Colorado | 3.5 | % | New Jersey | 3.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
100 | % | Maryland | 3.4 | % | Maryland | 3.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
New Jersey | 3.1 | % | Illinois | 3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the Excess MSRs. | Virginia | 3 | % | Nevada | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. | 28.8 | % | Other U.S. | 39.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
100 | % | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Based on the information provided by the loan servicer as of the most recent remittance for the respective dates. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and therefore could have a meaningful, negative impact on the Excess MSRs. |
INVESTMENTS_IN_REAL_ESTATE_SEC
INVESTMENTS IN REAL ESTATE SECURITIES | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments In Real Estate Securities | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS IN REAL ESTATE SECURITIES | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4. INVESTMENTS IN REAL ESTATE SECURITIES | 5. INVESTMENTS IN REAL ESTATE SECURITIES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
During 2013, New Residential acquired $661.2 million face amount of Non-Agency RMBS for approximately $450.0 million and $413.2 million face amount of Agency ARM RMBS for approximately $437.3 million. In addition, Newcastle contributed $1.0 billion face amount of Agency ARM RMBS to New Residential during this period. New Residential sold $153.5 million face amount of Non-Agency RMBS for approximately $123.1 million and recorded a gain of $11.3 million. | During 2012, Newcastle contributed approximately $258.0 million face amount of Non-Agency residential mortgage backed securities (“RMBS”), which had a fair value of approximately $164.1 million on the contribution date, to New Residential. Furthermore, New Residential acquired an additional $193.8 million face amount of Non-Agency RMBS for approximately $121.3 million during 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
During the third quarter of 2013, Nationstar exercised their cleanup call option related to four Non-Agency RMBS deals, in which Nationstar was the master servicer. New Residential owned $2.6 million face amount of Non-Agency RMBS in these deals. New Residential received par on these securities, which had an amortized cost basis of $2.1 million prior to the repayment, and recorded interest income of $0.6 million related to these securities in the third quarter of 2013. | The following is a summary of New Residential’s real estate securities at December 31, 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross Unrealized | Weighted Average | Asset Type | Outstanding | Amortized | Gains | Losses | Carrying | Number of | Rating | Coupon | Yield | Maturity | Principal | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding | Amortized Cost | Gains | Losses | Carrying | Number | Rating | Coupon | Yield | Life | Principal | Face Amount | Cost Basis | Value | Securities | (B) | (Years) | Subordination | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Face Amount | Basis | Value (A) | of | (B) | (Years) | Subordination | (A) | (C) | (D) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities | (C) | (D) | ABS-Subprime (E) | $ | 433,510 | $ | 274,230 | $ | 15,856 | $ | (330 | ) | $ | 289,756 | 29 | CC | 0.63 | % | 6.55 | % | 6.8 | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM | $ | 1,203,293 | $ | 1,285,532 | $ | 1,480 | $ | (7,562 | ) | $ | 1,279,450 | 95 | AAA | 3.15 | % | 1.3 | % | 3 | N/A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (E) (F) | (A) | Fair value, which is equal to carrying value for all securities. See Note 7 regarding the estimation of fair value. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 28,089 | (6,319 | ) | 581,750 | 95 | CC | 0.82 | % | 5.2 | % | 4.2 | 9.10% | (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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted | $ | 2,054,797 | $ | 1,845,512 | $ | 29,569 | $ | (13,881 | ) | $ | 1,861,200 | 190 | BBB | 2.18 | % | 2.48 | % | 3.5 | (D) | Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential’s investments. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average (G) | (E) | The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $432.4 million. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
During the year ended December 31, 2012, New Residential recorded no other-than-temporary impairment charge (“OTTI”) related to its real estate securities. The unrealized losses on New Residential’s securities were primarily the result of changes in market factors, rather than issue-specific credit impairment. New Residential performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. New Residential has no intent to sell and is not more likely than not to be required to sell these securities. The following table summarizes New Residential’s securities in an unrealized loss position as of December 31, 2012. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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. | GrossUnrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | The weighted average life is based on the timing of expected principal reduction on the assets. | Securities in an | Outstanding | Amortized | Gains | Losses | Carrying | Number of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential’s investments. | Unrealized Loss Position | Face Amount | Cost Basis | Value | Securities | (Years) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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”). | Less than Twelve Months | $ | 15,747 | $ | 9,945 | $ | — | $ | (330 | ) | $ | 9,615 | 4 | CC | 1.46 | % | 5.91 | % | 7.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(F) | Amortized cost basis and carrying value include principal receivable of $10.7 million. | Twelve of More Months | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(G) | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized losses that are considered other than temporary are recognized currently in earnings. During the nine months ended September 30, 2013, New Residential recorded other-than-temporary impairment charges (“OTTI”) of $3.8 million with respect to real estate securities held prior to the spin-off on May 15, 2013. Based on Newcastle management’s analysis of these securities, Newcastle determined it did not have the intent to hold the securities past May 15, 2013. Any remaining unrealized losses on New Residential’s securities were primarily the result of changes in market factors, rather than issue-specific credit impairment. New Residential performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. New Residential has no intent to sell, and is not more likely than not to be required to sell, these securities. | Total | $ | 15,747 | $ | 9,945 | $ | — | $ | (330 | ) | $ | 9,615 | 4 | CC | 1.46 | % | 5.91 | % | 7.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes New Residential’s securities in an unrealized loss position as of September 30, 2013. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the collateral securing New Residential’s real estate securities at December 31, 2012: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost Basis | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities in an | Outstanding | Before | Other-Than- | After | Gross | Carrying | Number | Rating | Coupon | Yield | Life | December 31, 2012 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized | Face | Impairment | Temporary | Impairment | Unrealized | Value | of | (Years) | Geographic Location | Outstanding | Percentage | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loss Position | Amount | Impairment (A) | Losses | Securities | Face | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 1,015,349 | $ | 995,953 | $ | (2,653 | ) | $ | 993,300 | $ | (13,676 | ) | $ | 979,624 | 85 | A | 2.72 | % | 2 | % | 3.2 | Amount | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Twelve or More Months | 30,939 | 33,451 | (411 | ) | $ | 33,040 | (205 | ) | 32,835 | 4 | AAA | 3.5 | % | 1.28 | % | 2.6 | Western U.S. | $ | 151,227 | 34.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southeastern U.S. | 100,636 | 23.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | Northeastern U.S. | 95,565 | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 43,230 | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southwestern U.S | 42,852 | 9.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS at September 30, 2013: | $ | 433,510 | 100 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Geographic Location | Outstanding Face | Percentage of Total | New Residential evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, we identified a population of real estate securities for which it was determined that it was probable that we would be unable to collect all contractually required payments. At December 31, 2012, these securities had a face amount of $342.0 million and a carrying value of $212.1 million. On their respective acquisition dates, the face amount of these real estate securities was $351.8 million, with total expected cash flows of $285.9 and a fair value of $205.3 million. The following is a summary of the changes in accretable yield for these securities during the year ended December 31, 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Western U.S. | $ | 344,107 | 40.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southeastern U.S. | 195,278 | 22.9 | % | For the year ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Northeastern U.S. | 165,401 | 19.4 | % | December 31, 2012 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 99,404 | 11.7 | % | Balance at December 31, 2011 | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southwestern U.S. | 47,314 | 5.6 | % | Additions | 80,636 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accretion | (3,195 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 851,504 | 100 | % | Reclassifications from nonaccretable difference | 12,636 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disposals | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, New Residential identified a population of real estate securities for which it was determined that it was probable that New Residential would be unable to collect all contractually required payments. For securities acquired during the nine months ended September 30, 2013, the face amount of these real estate securities was $549.4 million, with total expected cash flows of $442.2 million and a fair value of $354.4 million on the dates that New Residential purchased the respective securities. | Balance at December 31, 2012 | $ | 90,077 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | Carrying | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Face Amount | Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2012 | $ | 342,013 | $ | 212,129 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2013 | $ | 726,930 | $ | 476,570 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
INVESTMENT_IN_RESIDENTIAL_MORT
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS | 9 Months Ended | ||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||
Investment In Residential Mortgage Loans | ' | ||||||||||||||||||||||||||||||||
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS | ' | ||||||||||||||||||||||||||||||||
5. INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | |||||||||||||||||||||||||||||||||
On February 27, 2013, New Residential, through a subsidiary, entered into an agreement to co-invest in reverse mortgage loans with a UPB of approximately $83 million as of December 31, 2012. New Residential has invested approximately $35 million to acquire a 70% interest in the reverse mortgage loans. Nationstar has co-invested on a pari passu basis with New Residential in 30% of the reverse mortgage loans and is the servicer of the loans performing all servicing and advancing functions and retaining the ancillary income, servicing obligations and liabilities as the servicer. | |||||||||||||||||||||||||||||||||
Loans for which New Residential has the intent and ability to hold for the foreseeable future, or until maturity or payoff, are classified as held-for-investment. Loans are presented in the consolidated balance sheet at cost net of any unamortized discount (or gross of any unamortized premium). New Residential determines at acquisition whether loans will be aggregated into pools based on common risk characteristics (credit quality, loan type, and date of origination or acquisition); loans aggregated into pools are accounted for as if each pool were a single loan. Income on these loans is recognized similarly to that on securities using a level yield methodology. | |||||||||||||||||||||||||||||||||
To the extent that residential mortgage loans are classified as held-for-investment, New Residential must periodically evaluate each of these loans or loan pools for possible impairment. Impairment is indicated when it is deemed probable that New Residential will be unable to collect all amounts due according to the contractual terms of the loan, or for loans acquired at a discount for credit losses, when it is deemed probable that New Residential will be unable to collect as anticipated. Upon determination of impairment, New Residential would establish a specific valuation allowance with a corresponding charge to earnings. New Residential continually evaluates its loans receivable for impairment. New Residential’s residential mortgage loans are aggregated into pools for evaluation based on like characteristics, such as loan type and acquisition date. Pools of loans are evaluated based on criteria such as an analysis of borrower performance, credit ratings of borrowers, loan to value ratios, the estimated value of the underlying collateral, the key terms of the loans and historical and anticipated trends in defaults and loss severities for the type and seasoning of loans being evaluated. This information is used to estimate provisions for estimated unidentified incurred losses on pools of loans. Significant judgment is required in determining impairment and in estimating the resulting loss allowance. | |||||||||||||||||||||||||||||||||
Furthermore, New Residential must assess its intent and ability to hold its loan investments on a periodic basis. If New Residential does not have the intent to hold a loan for the foreseeable future or until its expected payoff, the loan must be classified as “held for sale” and recorded at the lower of cost or estimated value. | |||||||||||||||||||||||||||||||||
The following is a summary of residential mortgage loans at September 30, 2013, all of which are classified as held for investment: | |||||||||||||||||||||||||||||||||
Loan Type | Outstanding | Carrying | Loan | Weighted | Weighted | Weighted | Floating Rate | Delinquent | |||||||||||||||||||||||||
Face Amount (A) | Value (A) | Count | Average | Average | Average | Loans as a % | Face | ||||||||||||||||||||||||||
Yield | Coupon | Life | of Face | Amount | |||||||||||||||||||||||||||||
(B) | (Years) | Amount | |||||||||||||||||||||||||||||||
(C) | |||||||||||||||||||||||||||||||||
Reverse Mortgage Loans | $ | 56,738 | $ | 33,060 | 327 | 10.3 | % | 5.1 | % | 3.8 | 22 | % | N/A | ||||||||||||||||||||
(A) | Represents a 70% interest New Residential holds in the reverse mortgage loans. | ||||||||||||||||||||||||||||||||
(B) | Represents the stated interest rate on the loans. Accrued interest on reverse mortgage loans is generally added to the principal balance and paid when the loan is resolved. | ||||||||||||||||||||||||||||||||
(C) | The weighted average life is based on the expected timing of the receipt of cash flows. | ||||||||||||||||||||||||||||||||
Activities related to the carrying value of residential mortgage loans are as follows: | |||||||||||||||||||||||||||||||||
For the nine | |||||||||||||||||||||||||||||||||
months ended | |||||||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | |||||||||||||||||||||||||||||||
Purchases/additional fundings | 35,138 | ||||||||||||||||||||||||||||||||
Proceeds from repayments | (3,945 | ) | |||||||||||||||||||||||||||||||
Accretion of loan discount and other amortization | 1,867 | ||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 33,060 | |||||||||||||||||||||||||||||||
INVESTMENTS_IN_EXCESS_MORTGAGE1
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES | 9 Months Ended | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
Investments In Excess Mortgage Servicing Rights Equity Method Investees | ' | ||||||||||||||||||||||||||||
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES | ' | ||||||||||||||||||||||||||||
6. INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES | |||||||||||||||||||||||||||||
During the nine months ended September 30, 2013, New Residential entered into investments in joint ventures (“Excess MSR joint ventures”) jointly controlled by New Residential and Fortress-managed funds investing in Excess MSRs. New Residential elected to record these investments at fair value pursuant to the fair value option for financial instruments to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors. | |||||||||||||||||||||||||||||
The following tables summarize the investments in equity method investees held by New Residential at September 30, 2013: | |||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||
Excess MSR Assets | $ | 719,780 | |||||||||||||||||||||||||||
Other Assets | 1,991 | ||||||||||||||||||||||||||||
Debt | — | ||||||||||||||||||||||||||||
Other Liabilities | (5,707 | ) | |||||||||||||||||||||||||||
Equity | $ | 716,064 | |||||||||||||||||||||||||||
New Residential’s Investment | $ | 358,032 | |||||||||||||||||||||||||||
New Residential’s Ownership | 50 | % | |||||||||||||||||||||||||||
Nine Months | |||||||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||||||
Interest Income | $ | 30,501 | |||||||||||||||||||||||||||
Other Income | 56,483 | ||||||||||||||||||||||||||||
Expenses | (3,502 | ) | |||||||||||||||||||||||||||
Net Income | $ | 83,482 | |||||||||||||||||||||||||||
The following is a summary of New Residential’s Excess MSR investments made through equity method investees: | |||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||
Unpaid | Investee | New | Amortized | Carrying | Weighted | Weighted | |||||||||||||||||||||||
Principal | Interest | Residential | Cost Basis (A) | Value (B) | Average | Average | |||||||||||||||||||||||
Balance | in Excess | Interest in | Yield | Life | |||||||||||||||||||||||||
MSR | Investees | (Years) (C) | |||||||||||||||||||||||||||
MSR Pool 6 | $ | 10,585,764 | 66.7 | % | 50 | % | $ | 37,957 | $ | 43,908 | 12.5 | % | 4.6 | ||||||||||||||||
MSR Pool 6—Recapture Agreement | — | 66.7 | % | 50 | % | 9,653 | 12,295 | 12.5 | % | 10.9 | |||||||||||||||||||
MSR Pool 7 | 33,239,259 | 66.7 | % | 50 | % | 101,125 | 111,962 | 12.5 | % | 5 | |||||||||||||||||||
MSR Pool 7—Recapture Agreement | — | 66.7 | % | 50 | % | 20,031 | 23,785 | 12.5 | % | 12 | |||||||||||||||||||
MSR Pool 8 | 14,798,521 | 66.7 | % | 50 | % | 56,457 | 58,936 | 12.5 | % | 4.8 | |||||||||||||||||||
MSR Pool 8—Recapture Agreement | — | 66.7 | % | 50 | % | 10,069 | 12,926 | 12.5 | % | 11.9 | |||||||||||||||||||
MSR Pool 9 | 32,068,608 | 66.7 | % | 50 | % | 106,141 | 120,603 | 12.5 | % | 4.8 | |||||||||||||||||||
MSR Pool 9—Recapture Agreement | — | 66.7 | % | 50 | % | 36,107 | 45,811 | 12.5 | % | 11 | |||||||||||||||||||
MSR Pool 10 | 59,784,115 | 77 | % | 50 | % | 202,417 | 201,571 | 12.7 | % | 5.6 | |||||||||||||||||||
MSR Pool 10—Recapture Agreement | — | 77 | % | 50 | % | 12,793 | 11,343 | 12.7 | % | 12.9 | |||||||||||||||||||
MSR Pool 11 | 19,380,729 | 66.7 | % | 50 | % | 47,108 | 53,981 | 12.5 | % | 5.3 | |||||||||||||||||||
MSR Pool 11—Recapture Agreement | — | 66.7 | % | 50 | % | 23,442 | 22,659 | 12.5 | % | 10.2 | |||||||||||||||||||
$ | 169,856,996 | $ | 663,300 | $ | 719,780 | 12.6 | % | 6.2 | |||||||||||||||||||||
(A) | Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||
(B) | Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||
(C) | The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. | ||||||||||||||||||||||||||||
Pool 6. On January 4, 2013, New Residential, through a joint venture, co-invested in Excess MSRs on a portfolio of Government National Mortgage Association (“Ginnie Mae”) residential mortgage loans (“Pool 6”). Nationstar acquired the related servicing rights from Bank of America in November 2012. New Residential contributed approximately $28.9 million for a 50% interest in a joint venture which acquired an approximately 67% interest in the Excess MSRs on this portfolio. The remaining interests in the joint venture are owned by a Fortress-managed fund and the remaining interest of approximately 33% in the Excess MSRs is owned by Nationstar. Nationstar performs all servicing and advancing functions, and it retains the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by the joint venture and Nationstar, subject to certain limitations. | |||||||||||||||||||||||||||||
Pools 7, 8, 9, 10. On January 6, 2013, New Residential, through joint ventures, agreed to co-invest in Excess MSRs on a portfolio of four pools of residential mortgage loans Nationstar acquired from Bank of America. At the time of acquisition, approximately 53% of the loans in this portfolio were in private label securitizations (“Pool 10”) and the remainder were owned, insured or guaranteed by Fannie Mae (“Pool 7”), Freddie Mac (“Pool 8”) or Ginnie Mae (“Pool 9”). New Residential committed to invest approximately $340 million for a 50% interest in joint ventures which were expected to acquire an approximately 67% interest in the Excess MSRs on these portfolios. The remaining interests in the joint ventures are owned by Fortress-managed funds and the remaining interest of approximately 33% in the Excess MSRs is owned by Nationstar. In September 2013, New Residential and a Fortress-managed fund each invested an additional $13.9 million into the joint venture invested in Pool 10 to acquire an additional 10% in the Excess MSRs held by the joint venture. Nationstar performs all servicing and advancing functions, and it retains the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are shared on a pro rata basis by the joint ventures and Nationstar, subject to certain limitations. | |||||||||||||||||||||||||||||
During the three months ended March 31, 2013, New Residential contributed $45.5 million towards commitments to fund Pools 7, 9 and 10 and contributed $35.2 million to fulfill commitments to fund Pool 8. During the three months ended June 30, 2013, New Residential contributed $31.5 million towards commitments to fund Pool 7. During the three months ended September 30, 2013, New Residential contributed $65.4 million to fulfill commitments to fund Pool 9 and contributed $107.6 million towards commitments to fund Pools 7 and 10. As of September 30, 2013, New Residential had contributed approximately $285.2 million to the joint ventures and had unfunded commitments remaining of $1.0 million, related to Pool 7 and $4.1 million related to Pool 10 that will increase the outstanding principal balance of Pool 10 by an estimated $10.9 billion. See Note 15 for recent events related to Pool 10. | |||||||||||||||||||||||||||||
Pool 11. On May 20, 2013, New Residential acquired, through a joint venture, an interest in Excess MSRs from Nationstar on a portfolio of Freddie Mac residential mortgage loans (“Pool 11”). New Residential has invested approximately $37.8 million for a 50% interest in a joint venture which acquired an approximately 67% interest in the Excess MSRs on this portfolio. The remaining interests in the joint venture are owned by a Fortress-managed fund and the remaining interest of approximately 33% in the Excess MSR is owned by Nationstar. Nationstar performs all servicing and advancing functions, and it retains the ancillary income, servicing obligations and liabilities associated with this portfolio as the servicer. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs are included in the portfolio, subject to certain limitations. See Note 3 for information on our other agreements with respect to Pool 11. | |||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments made through equity method investees at September 30, 2013: | |||||||||||||||||||||||||||||
State Concentration | Percentage | ||||||||||||||||||||||||||||
of Total | |||||||||||||||||||||||||||||
Outstanding | |||||||||||||||||||||||||||||
California | 22.1 | % | |||||||||||||||||||||||||||
Florida | 8.8 | % | |||||||||||||||||||||||||||
New York | 5.3 | % | |||||||||||||||||||||||||||
Texas | 5.2 | % | |||||||||||||||||||||||||||
Georgia | 4.2 | % | |||||||||||||||||||||||||||
New Jersey | 3.8 | % | |||||||||||||||||||||||||||
Illinois | 3.5 | % | |||||||||||||||||||||||||||
Virginia | 3.1 | % | |||||||||||||||||||||||||||
Maryland | 3.1 | % | |||||||||||||||||||||||||||
Washington | 2.9 | % | |||||||||||||||||||||||||||
Other U.S. | 38 | % | |||||||||||||||||||||||||||
100 | % |
INVESTMENTS_IN_CONSUMER_LOAN_E
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Investments In Consumer Loan Equity Method Investees | ' | ||||||||||||||||||||||||
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES | ' | ||||||||||||||||||||||||
7. INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES | |||||||||||||||||||||||||
On April 1, 2013, New Residential completed, through newly formed limited liability companies (together, the “Consumer Loan Companies”) a co-investment in a portfolio of consumer loans with a UPB of approximately $4.2 billion as of December 31, 2012. The portfolio includes over 400,000 personal unsecured loans and personal homeowner loans originated through subsidiaries of HSBC Finance Corporation. The Consumer Loan Companies acquired the portfolio from HSBC Finance Corporation and its affiliates. New Residential invested approximately $250 million for 30% membership interests in each of the Consumer Loan Companies. Of the remaining 70% of the membership interests, Springleaf Finance, Inc. (“Springleaf”), which is majority-owned by Fortress funds managed by our Manager, acquired 47% and an affiliate of Blackstone Tactical Opportunities Advisors L.L.C. acquired 23%. Springleaf acts as the managing member of the Consumer Loan Companies. The Consumer Loan Companies initially financed $2.2 billion of the approximately $3.0 billion purchase price with asset-backed notes. In September 2013, the Consumer Loan Companies issued and sold an additional $372.0 million of asset-backed notes for 96% of par. These notes are subordinate to the $2.2 billion of debt issued in April 2013. The Consumer Loan Companies were formed on March 19, 2013, for the purpose of making this investment, and commenced operations upon the completion of the investment. After a servicing transition period, Springleaf will be the servicer of the loans and will provide all servicing and advancing functions for the portfolio. | |||||||||||||||||||||||||
New Residential accounts for its investment in the Consumer Loan Companies pursuant to the equity method of accounting because it can exercise significant influence over the Consumer Loan Companies, but the requirements for consolidation are not met. New Residential’s share of earnings and losses in these equity method investees is included in “Earnings from investments in consumer loans, equity method investees” on the Consolidated Statements of Income. Equity method investments are included in “Investments in consumer loans, equity method investees” on the Consolidated Balance Sheets. | |||||||||||||||||||||||||
New Residential periodically reviews equity method investments for impairment in value whenever events or changes in circumstances indicate that the carrying amount of such investments may not be recoverable. New Residential will record an impairment charge to the extent that the estimated fair value of an investment is less than its carrying value and New Residential determines the impairment is other-than-temporary. | |||||||||||||||||||||||||
The following tables summarize the investment in the Consumer Loan Companies held by New Residential at September 30, 2013: | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Consumer Loan Assets | $ | 2,692,642 | |||||||||||||||||||||||
Other Assets | 90,103 | ||||||||||||||||||||||||
Debt (A) | (2,137,531 | ) | |||||||||||||||||||||||
Other Liabilities | (3,554 | ) | |||||||||||||||||||||||
Equity | $ | 641,660 | |||||||||||||||||||||||
New Residential’s investment | $ | 192,498 | |||||||||||||||||||||||
New Residential’s ownership | 30 | % | |||||||||||||||||||||||
(A) | Represents the Class A asset-backed notes with a face amount of $1.8 billion, an interest rate of 3.75% and a maturity of April 2021 and the Class B asset-backed notes with a face amount of $372.0 million, an interest rate of 4% and a maturity of December 2024. Substantially all of the net cash flow generated by the Consumer Loan Companies is required to be used to pay down the Class A notes. When the balance of the outstanding Class A notes is reduced to 50% of the outstanding UPB of the performing consumer loans, 70% of the net cash flow generated is required to be used to pay down the Class A notes and the equity holders of the Consumer Loan Companies and holders of the Class B notes will each be entitled to receive 15% of the net cash flow of the Consumer Loan Companies on a periodic basis. | ||||||||||||||||||||||||
Nine Months Ended | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Interest income | $ | 325,822 | |||||||||||||||||||||||
Interest expense | (47,010 | ) | |||||||||||||||||||||||
Provision for finance receivable losses | (31,122 | ) | |||||||||||||||||||||||
Other expenses | (46,713 | ) | |||||||||||||||||||||||
Net income | $ | 200,977 | |||||||||||||||||||||||
New Residential’s equity in net income | $ | 60,293 | |||||||||||||||||||||||
The following is a summary of New Residential’s consumer loan investments made through equity method investees: | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Unpaid | Interest in | Carrying | Weighted | Weighted | Weighted | ||||||||||||||||||||
Principal | Consumer | Value (A) | Average | Average | Average | ||||||||||||||||||||
Balance | Loan | Coupon (B) | Asset Yield | Expected Life | |||||||||||||||||||||
Companies | (Years) (C) | ||||||||||||||||||||||||
Consumer Loans | $ | 3,490,345 | 30 | % | $ | 2,692,642 | 18.3 | % | 15.5 | % | 3.6 | ||||||||||||||
(A) | Represents the carrying value of the consumer loans held by the Consumer Loan Companies. | ||||||||||||||||||||||||
(B) | Substantially all of the cash flow received on the loans is required to be used to make payments on the notes described above. | ||||||||||||||||||||||||
(C) | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||
New Residential’s investments in consumer loans, equity method investees changed during the nine months ended September 30, 2013 as follows: | |||||||||||||||||||||||||
For the Nine Months | |||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | |||||||||||||||||||||||
Contributions to equity method investees | 245,421 | ||||||||||||||||||||||||
Distributions of earnings from equity method investees | (60,293 | ) | |||||||||||||||||||||||
Distributions of capital from equity method investees | (52,923 | ) | |||||||||||||||||||||||
Earnings from investments in consumer loan equity method investees | 60,293 | ||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 192,498 | |||||||||||||||||||||||
DEBT_OBLIGATIONS
DEBT OBLIGATIONS | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
DEBT OBLIGATIONS | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
8. DEBT OBLIGATIONS | 6. DEBT OBLIGATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table presents certain information regarding New Residential’s debt obligations at September 30, 2013: | The following table presents certain information regarding New Residential’s debt obligations at December 31, 2012: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral | December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase | Month | Outstanding | Carrying | Final | Weighted | Weighted | Outstanding | Amortized | Carrying | Weighted | Collateral | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agreements (A) | Issued | Face | Value | Stated | Average | Average | Face | Cost Basis | Value | Average | Debt Obligation/ | Month | Outstanding | Carrying | Final | Contractual | Weighted | Weighted | Face | Outstanding | Amortized | Carrying | Weighted | Floating | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Maturity | Funding | Life | Life | Collateral | Issued | Face Amount | Value | Stated | Weighted | Average | Average | Amount of | Face Amount | Cost Basis | Value | Average | Rate Face | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cost | (Years) | (Years) | Maturity | Average | Funding | Maturity | Floating | Maturity | Amount | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM | Various | $ | 1,071,587 | $ | 1,071,587 | 13-Dec | 0.36 | % | 0.1 | $ | 1,067,063 | $ | 1,130,533 | $ | 1,124,451 | 2.9 | Funding Cost | Cost | (Years) | Rate Debt | (Years) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (B)(C) | Repurchase Agreements(A) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | Various | 53,475 | 53,475 | 13-Oct | 1.84 | % | 0.1 | 100,411 | 77,108 | 75,667 | 5.3 | Non-Agency RMBS (B)(C) | Various | $ | 150,922 | $ | 150,922 | Jan 2013 | LIBOR+ | 2.21 | % | 0.1 | $ | 150,922 | $ | 344,177 | $ | 215,034 | $ | 228,493 | 6.9 | $ | 344,177 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (C)(D)(E) | 2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 13-Aug | 342,872 | 342,872 | 14-Aug | 2.43 | % | 0.8 | 729,299 | 465,126 | 489,876 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
term repurchase | (A) | These repurchase agreements had approximately $55 thousand of associated accrued interest payable at December 31, 2012. $151 million face amount of these repurchase agreements were renewed subsequent to December 31, 2012. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
agreement (E)(F) | (B) | The counterparty of these repurchase agreements is Credit Suisse. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Newcastle is the guarantor of these repurchase agreements, which are subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 1,467,934 | $ | 1,467,934 | 0.9 | % | 0.3 | $ | 1,896,773 | $ | 1,672,767 | $ | 1,689,994 | 3.5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | These repurchase agreements had approximately $0.1 million of associated accrued interest payable at September 30, 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | The counterparties of these repurchase agreements are Goldman Sachs $45.9 million, Barclays $287.7 million, Nomura $229.0 million, Citi $133.0 million, Morgan Stanley $97.1 million and Daiwa $278.9 million and were subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | All of the repurchase agreements that matured during October 2013 were renewed or refinanced subsequent to September 30, 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | The counterparties of these repurchase agreements are Barclays $21.8 million, and Royal Bank of Canada $31.6 million and were subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(E) | All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(F) | Represents a one year term master repurchase agreement with Alpine Securitization Corp., an asset-backed commercial paper facility sponsored by Credit Suisse AG. This repurchase agreement is not subject to margin call provisions and is subject to customary loan covenants and event of default provisions, including event of default provisions triggered by a 50% market capitalization decline provision, as well as a two to one indebtedness to tangible net worth provision. The financing bears interest at LIBOR plus an applicable margin as stated below: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Monthly Payment Date | Applicable Margin | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
August 2013 through October 2013 | 2.25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
November 2013 through January 2014 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
February 2014 through April 2014 | 3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
May 2014 through August 2014 | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
On October 30, 2013, New Residential terminated its existing $342.9 million master repurchase agreement and entered into a new $414.2 million master repurchase agreement with Alpine Securitization Corp. See Note 15 for a description of this refinancing event. |
FAIR_VALUE_OF_FINANCIAL_INSTRU
FAIR VALUE OF FINANCIAL INSTRUMENTS | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Of Financial Instruments | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
FAIR VALUE OF FINANCIAL INSTRUMENTS | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9. FAIR VALUE OF FINANCIAL INSTRUMENTS | 7. FAIR VALUE OF FINANCIAL INSTRUMENTS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. GAAP requires the categorization of the fair value of financial instruments into three broad levels which form a hierarchy. | U.S. GAAP requires the categorization of the fair value of financial instruments into three broad levels which form a hierarchy. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 1—Quoted prices in active markets for identical instruments. | Level 1-Quoted prices in active markets for identical instruments. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 2—Valuations based principally on other observable market parameters, including | Level 2-Valuations based principally on other observable market parameters, including | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Quoted prices in active markets for similar instruments, | • | Quoted prices in active markets for similar instruments, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Quoted prices in less active or inactive markets for identical or similar instruments, | • | Quoted prices in less active or inactive markets for identical or similar instruments, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Other observable inputs (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates), and | • | Other observable inputs (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates), and | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Market corroborated inputs (derived principally from or corroborated by observable market data). | • | Market corroborated inputs (derived principally from or corroborated by observable market data). | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3—Valuations based significantly on unobservable inputs. | Level 3-Valuations based significantly on unobservable inputs. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential follows this hierarchy for its financial instruments. The classifications are based on the lowest level of input that is significant to the fair value measurement. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The carrying value and fair value of New Residential’s financial assets recorded at fair value on a recurring basis at September 30, 2013 were as follows: | New Residential follows this hierarchy for its financial instruments. The classifications are based on the lowest level of input that is significant to the fair value measurement. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The carrying value and fair value of New Residential’s financial assets and liabilities at December 31, 2012 were as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Carrying | Level 2 | Level 3 | Total | Principal | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance or | Value | Balance or | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional | Notional | Carrying | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Amount | Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real estate securities, available-for-sale | $ | 2,054,797 | $ | 1,861,200 | $ | 1,279,450 | $ | 581,750 | $ | 1,861,200 | Investments in Excess MSRs (A) | $ | 76,560,751 | $ | 245,036 | $ | — | $ | 245,036 | $ | 245,036 | |||||||||||||||||||||||||||||||||||||
Investments in excess mortgage servicing rights, at fair value (A) | 72,315,805 | 307,568 | — | 307,568 | 307,568 | Real estate securities, available-for-sale | $ | 433,510 | $ | 289,756 | $ | — | $ | 289,756 | $ | 289,756 | ||||||||||||||||||||||||||||||||||||||||||
Investments in excess mortgage servicing rights, equity method investees, at fair value (A) | 169,856,996 | 358,032 | — | 358,032 | 358,032 | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 150,922 | $ | 150,922 | $ | 150,922 | $ | — | $ | 150,922 | ||||||||||||||||||||||||||||||||||||||||||||||||
$ | 244,227,598 | $ | 2,526,800 | $ | 1,279,450 | $ | 1,247,350 | $ | 2,526,800 | |||||||||||||||||||||||||||||||||||||||||||||||||
(A) | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. Generally, New Residential does not receive an excess mortgage servicing amount on nonperforming loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Excess MSRs Valuation | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. New Residential does not receive an excess mortgage servicing amount on nonperforming loans in Agency portfolios. | Fair value estimates of New Residential’s Excess MSRs were based on internal pricing models as of December 31, 2012 and 2011, respectively. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates, the excess mortgage servicing amount of the underlying mortgage loans and discount rates that market participants would use in determining the fair values of mortgage servicing rights on similar pools of residential mortgage loans. New Residential’s management validates the inputs and outputs of the internal pricing models by comparing them to available independent third party market parameters and models for reasonableness. New Residential believes its valuation methods and the assumptions used are appropriate and consistent with other market participants. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Excess MSRs Valuation | In order to evaluate the reasonableness of its fair value determinations, management engages an independent valuation firm to separately measure the fair value of its Excess MSRs. The independent valuation firm determines an estimated fair value range based on its own models and issues a “fairness opinion” with this range. Management compares the range included in the opinion to the value generated by its internal models. For Excess MSRs acquired prior to the current quarter, the fairness opinion relates to the valuation at the current quarter end date. For Excess MSRs acquired during the current quarter, the fairness opinion relates to the valuation at the time of acquisition. To date, New Residential has not made any significant valuation adjustments as a result of these fairness opinions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value estimates of New Residential’s Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates, the excess mortgage servicing amount of the underlying mortgage loans and discount rates that market participants would use in determining the fair values of mortgage servicing rights on similar pools of residential mortgage loans. New Residential’s management validates significant inputs and outputs of the internal pricing models by comparing them to available independent third party market parameters and models for reasonableness. New Residential believes its valuation methods and the assumptions used are appropriate and consistent with other market participants. | For Excess MSRs acquired during the current quarter, New Residential revalues the Excess MSRs at the quarter end date if a payment is received between the acquisition date and the end of the quarter. Otherwise, Excess MSRs acquired during the current quarter are carried at their amortized cost basis if there has been no change in assumptions since acquisition. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In order to evaluate the reasonableness of its fair value determinations, management engages an independent valuation firm to separately measure the fair value of its Excess MSRs. The independent valuation firm determines an estimated fair value range of each pool based on its own models and issues a “fairness opinion” with this range. Management compares the range included in the opinion to the value generated by its internal models. For Excess MSRs acquired prior to the current quarter, the fairness opinion relates to the valuation at the current quarter end date. For Excess MSRs acquired during the current quarter, the fairness opinion relates to the valuation at the time of acquisition. To date, New Residential has not made any significant valuation adjustments as a result of these fairness opinions. | In addition, in valuing the Excess MSRs, management considered the likelihood of Nationstar being removed as the servicer, which likelihood is considered to be remote. Fair value measurements of the Excess MSRs are sensitive to changes in the assumptions or methodology used to determine fair value, and such changes could result in a significant increase or decrease in the fair value. Significant increases (decreases) in the discount rates, prepayments or delinquency rates in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or excess mortgage servicing amount in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment speed. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For Excess MSRs acquired during the current quarter, New Residential revalues the Excess MSRs at the quarter end date if a payment is received between the acquisition date and the end of the quarter. Otherwise, Excess MSRs acquired during the current quarter are carried at their amortized cost basis if there has been no change in assumptions since acquisition. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In addition, in valuing the Excess MSRs, management considered the likelihood of Nationstar being removed as the servicer, which likelihood is considered to be remote. Fair value measurements of the Excess MSRs are sensitive to changes in the assumptions or methodology used to determine fair value, and such changes could result in a significant increase or decrease in the fair value. Significant increases (decreases) in the discount rates, prepayment or delinquency rates in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or excess mortgage servicing amount in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment speed. | The following table summarizes certain information regarding the inputs used in valuing the Excess MSRs as of December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes certain information regarding the inputs used in valuing the Excess MSRs owned directly and through equity method investees as of September 30, 2013: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Input Ranges (December 31, 2011) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Prepayment | Delinquency | Recapture | Excess | Discount | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Inputs | Speed (A) | (B) | Rate (C) | Mortgage | Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Held Directly (Note 3) | Prepayment | Delinquency (B) | Recapture | Excess | Discount | Servicing | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Speed (A) | Rate (C) | Mortgage | Rate | Amount (D) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Servicing | Pool 1 | 20 | % | 10 | % | 35 | % | 29 bps | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Amount (D) | Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 1 | 14.4 | % | 10 | % | 35 | % | 28 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2 | 14.7 | % | 10.3 | % | 35 | % | 23 bps | 12.5 | % | Significant Input Ranges (December 31, 2012) | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2—Recapture Agreement | 8 | % | 5 | % | 35 | % | 21 bps | 12.5 | % | Prepayment | Delinquency | Recapture | Excess | Discount | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3 | 15.2 | % | 11.9 | % | 35 | % | 24 bps | 12.5 | % | Speed (A) | (B) | Rate (C) | Mortgage | Rate | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | Servicing | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4 | 15.4 | % | 14.9 | % | 35 | % | 17 bps | 12.5 | % | Amount (D) | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | Pool 1 | 17.1 | % | 10 | % | 35 | % | 29 bps | 18 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 5 | 12.3 | % | N/A | (E) | 14 | % | 13 bps | 12.7 | % | Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 18 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 5—Recapture Agreement | 8 | % | N/A | (E) | 15 | % | 21 bps | 12.7 | % | Pool 2 | 16.7 | % | 11 | % | 35 | % | 23 bps | 17.3 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | 9.3 | % | 2.3 | % | 32 | % | 19 bps | 12.5 | % | Pool 2—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.3 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 12 | 15.3 | % | N/A | (E) | 16.7 | % | 26 bps | 16.4 | % | Pool 3 | 16.9 | % | 12.1 | % | 35 | % | 23 bps | 17.6 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 12—Recapture Agreement | 7 | % | N/A | (E) | 35 | % | 19 bps | 16.4 | % | Pool 3—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.6 | % | |||||||||||||||||||||||||||||||||||||||
Pool 4 | 18.6 | % | 15.9 | % | 35 | % | 17 bps | 17.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Held through Equity Method Investees (Note 6) | Pool 4—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 6 | 18.2 | % | 8.9 | % | 35 | % | 25 bps | 12.5 | % | Pool 5 | 15 | % | N/A | (E) | 20 | % | 13 bps | 17.5 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 6—Recapture Agreement | 10 | % | 6 | % | 35 | % | 23 bps | 12.5 | % | Pool 5—Recapture Agreement | 8 | % | N/A | (E) | 20 | % | 21 bps | 17.5 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 7 | 13.3 | % | 8 | % | 35 | % | 16 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 7—Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | (A) | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 8 | 14.3 | % | 6.9 | % | 35 | % | 19 bps | 12.5 | % | (B) | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 8—Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | (C) | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 9 | 18 | % | 5 | % | 35 | % | 22 bps | 12.5 | % | (D) | Weighted average total mortgage servicing amount in excess of the basic fee. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 9—Recapture Agreement | 10 | % | 5 | % | 35 | % | 28 bps | 12.5 | % | (E) | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 10 | 11.5 | % | N/A | (E) | 15 | % | 12 bps | 12.7 | % | All of the assumptions listed have some degree of market observability, based on New Residential’s knowledge of the market, relationships with market participants, and use of common market data sources. Prepayment speed and default rate projections are in the form of “curves” or “vectors” that vary over the expected life of the pool. New Residential uses assumptions that generate its best estimate of future cash flows for each investment in Excess MSRs. | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 10—Recapture Agreement | 9 | % | N/A | (E) | 35 | % | 19 bps | 12.7 | % | When valuing Excess MSRs, New Residential uses the following criteria to determine the significant inputs: | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 11 | 18.7 | % | 7.8 | % | 38.9 | % | 15 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | 10 | % | 2 | % | 35 | % | 19 bps | 12.5 | % | • | Prepayment Speed: Prepayment speed projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect factors such as the borrower’s FICO score, loan-to-value ratio, debt-to-income ratio, vintage on a loan level basis, as well as the projected effect on loans eligible for the Home Affordable Refinance Program 2.0 (“HARP 2.0”). Management considers collateral-specific prepayment experience when determining this vector. For the Recapture Agreements and recaptured loans, New Residential also considers industry research on the prepayment experience of similar loan pools (i.e., loan pools composed of refinanced loans). This data is obtained from remittance reports, market data services and other market sources. | |||||||||||||||||||||||||||||||||||||||||||||||
• | Delinquency Rates: For existing mortgage pools, delinquency rates are based on the pool-specific experience of loans that missed their latest mortgage payments. For the Recapture Agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by Nationstar and delinquency experience over the past year. Management believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become 30 or more days delinquent. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | • | Recapture Rates: Recapture rates are based on actual average recapture rates experienced by Nationstar on similar mortgage loan pools. Generally, New Residential looks to one year worth of actual recapture rates, which management believes provides a reasonable sample for projecting future recapture rates while taking into account current market conditions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | Weighted average total mortgage servicing amount in excess of the basic fee. | • | Excess Mortgage Servicing Amount: For existing mortgage pools, excess mortgage servicing amount projections are based on the actual total mortgage servicing amount in excess of a basic fee. For loans expected to be refinanced by Nationstar and subject to a Recapture Agreement, New Residential considers the excess mortgage servicing amount on loans originated by Nationstar over the past year and other general market considerations. Management believes this time period provides a reasonable sample for projecting future excess mortgage servicing amounts while taking into account current market conditions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(E) | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All of the assumptions listed have some degree of market observability, based on New Residential’s knowledge of the market, relationships with market participants, and use of common market data sources. Prepayment speed and delinquency rate projections are in the form of “curves” or “vectors” that vary over the expected life of the pool. New Residential uses assumptions that generate its best estimate of future cash flows for each investment in Excess MSRs. | • | Discount Rate: The discount rates New Residential uses are derived from market data on pricing of mortgage servicing rights backed by similar collateral. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
When valuing Excess MSRs, New Residential uses the following criteria to determine the significant inputs: | New Residential uses different prepayment and delinquency assumptions in valuing the Excess MSRs relating to the original loan pools, the Recapture Agreements and the Excess MSRs relating to recaptured loans. The prepayment speed and delinquency rate assumptions differ because of differences in the collateral characteristics, eligibility for the Home Affordable Refinance Program 2.0 (“HARP 2.0”) and expected borrower behavior for original loans and loans which have been refinanced. New Residential uses the same assumptions for recapture and discount rates when valuing Excess MSRs and Recapture Agreement. These assumptions are based on historical recapture experience and market pricing. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Prepayment Speed: Prepayment speed projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect factors such as the borrower’s FICO score, loan-to-value ratio, debt-to-income ratio, vintage on a loan level basis, as well as the projected effect on loans eligible for the Home Affordable Refinance Program 2.0 (“HARP 2.0”). Management considers collateral-specific prepayment experience when determining this vector. For the Recapture Agreements and recaptured loans, New Residential also considers industry research on the prepayment experience of similar loan pools (i.e., loan pools composed of refinanced loans). This data is obtained from remittance reports, market data services and other market sources. | Excess MSRs measured at fair value on a recurring basis using Level 3 inputs changed during the period December 8, 2011 (Commencement of operations) through December 31, 2011 and the year ended December 31, 2012 as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed their latest mortgage payments. For the Recapture Agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by Nationstar and delinquency experience over the past year. Management believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become 30 or more days delinquent. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Recapture Rates: Recapture rates are based on actual average recapture rates experienced by Nationstar on similar mortgage loan pools. Generally, New Residential looks to one year worth of actual recapture rates, which management believes provides a reasonable sample for projecting future recapture rates while taking into account current market conditions. | Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Pool 1 (A) | Pool 2 (A) | Pool 3 (A) | Pool 4 (A) | Pool 5 (A) | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Excess Mortgage Servicing Amount: For existing mortgage pools, excess mortgage servicing amount projections are based on the actual total mortgage servicing amount in excess of a basic fee. For loans expected to be refinanced by Nationstar and subject to a Recapture Agreement, New Residential considers the excess mortgage servicing amount on loans recently originated by Nationstar over the past year and other general market considerations. Management believes this time period provides a reasonable sample for projecting future excess mortgage servicing amounts while taking into account current market conditions. | Balance at December 8, 2011 (Commencement of operations) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||||
Transfers (B) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
• | Discount Rate: The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral. | Transfers from Level 3 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential uses different prepayment and delinquency assumptions in valuing the Excess MSRs relating to the original loan pools, the Recapture Agreements and the Excess MSRs relating to recaptured loans. The prepayment speed and delinquency rate assumptions differ because of differences in the collateral characteristics, eligibility for the Home Affordable Refinance Program 2.0 (“HARP 2.0”) and expected borrower behavior for original loans and loans which have been refinanced. New Residential uses the same assumptions for recapture and discount rates when valuing Excess MSRs and Recapture Agreements. These assumptions are based on historical recapture experience and market pricing. | Transfers into Level 3 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total gains (losses) included in net income (C) | 367 | — | — | — | — | 367 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Excess MSRs, owned directly, measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | Interest income | 1,260 | — | — | — | — | 1,260 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases, sales and repayments | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | 43,742 | — | — | — | — | 43,742 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 (A) | Proceeds from sales | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
MSR | MSR | MSR | MSR | MSR | MSR | MSR | Total | Proceeds from repayments | (1,398 | ) | — | — | — | — | (1,398 | ) | ||||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 2 | Pool 3 | Pool 4 | Pool 5 | Pool 11 | Pool 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | — | $ | — | $ | 245,036 | Balance at December 31, 2011 | $ | 43,971 | $ | — | $ | — | $ | — | $ | — | $ | 43,971 | |||||||||||||||||||||||||||||
Transfers (B) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers from Level 3 (B) | — | — | — | — | — | — | — | — | Transfers (B) | |||||||||||||||||||||||||||||||||||||||||||||||||
Transfers to Level 3 (B) | — | — | — | — | — | — | — | — | Transfers from Level 3 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
Gains (losses) included in net | 6,807 | 7,509 | 7,657 | 3,644 | 18,208 | — | 74 | 43,899 | Transfers into Level 3 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
income (C) | Total gains (losses) included in net income (C) | 5,877 | 1,226 | 2,780 | 1,004 | (1,864 | ) | 9,023 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | 5,097 | 3,739 | 4,892 | 2,034 | 14,728 | — | 51 | 30,541 | Interest income | 7,955 | 3,450 | 3,409 | 1,381 | 11,293 | 27,488 | |||||||||||||||||||||||||||||||||||||||||||
Purchases, sales and repayments | — | Purchases, sales and repayments | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | — | — | 26,637 | 2,391 | 17,393 | 46,421 | Purchases | — | 43,872 | 36,218 | 15,439 | 124,813 | 220,342 | |||||||||||||||||||||||||||||||||||||||||||
Purchase adjustments | — | — | — | — | — | — | — | — | Purchase adjustments | (178 | ) | (1,522 | ) | — | — | — | (1,700 | ) | ||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | — | — | — | — | — | — | — | — | Proceeds from sales | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (10,278 | ) | (9,096 | ) | (8,689 | ) | (3,525 | ) | (26,741 | ) | — | — | (58,329 | ) | Proceeds from repayments | (16,715 | ) | (7,704 | ) | (6,973 | ) | (2,788 | ) | (19,908 | ) | (54,088 | ) | |||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 42,536 | $ | 41,474 | $ | 39,294 | $ | 17,189 | $ | 147,166 | $ | 2,391 | $ | 17,518 | $ | 307,568 | Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | 245,036 | |||||||||||||||||||||||||||||
(A) | Includes the Recapture Agreement for each respective pool. | (A) | Includes the recapture agreement for each respective pool. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Transfers are assumed to occur at the beginning of the respective period. | (B) | Transfers are assumed to occur at the beginning of the respective period. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. These gains (losses) represent the change in fair value of the Excess MSRs and are recorded in “Change in fair value of investments in excess mortgage servicing rights” in the consolidated statements of income. | (C) | The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. These gains (losses) represent the change in fair value of the Excess MSRs and are recorded in “Change in fair value of investments in excess mortgage servicing rights” in the consolidated statements of income. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Excess Mortgage Servicing Rights Equity Method Investees Valuation | Real Estate Securities Valuation | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value estimates of New Residential’s investments were based on internal pricing models. New Residential estimated the fair value of the assets and liabilities of the underlying entities in which it holds an equity interest. The valuation technique is based on discounted cash flows. Significant inputs represent the inputs required to estimate the fair value of the Excess MSRs held by the entities and include expectations of prepayment rates, delinquency rates, recapture rates, the excess mortgage servicing amount of the underlying mortgage loans, and discount rates that market participants would use in determining the fair values of mortgage servicing rights on similar pools of residential mortgage loans. In addition, in valuing the Excess MSRs, management considered the likelihood of Nationstar being removed as servicer, which likelihood is considered to be remote. Refer to the Investments in Excess MSRs Valuation section above for further details. | As of December 31, 2012 New Residential’s securities valuation methodology and results are further detailed as follows: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential’s investments in equity method investees measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months | Asset Type | Outstanding | Amortized | Multiple | Single | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Ended September 30, | Face Amount | Cost Basis | Quotes (A) | Quote (B) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | ABS-Subprime | $ | 433,510 | $ | 274,230 | $ | 265,556 | $ | 24,200 | $ | 289,756 | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Contributions to equity method investees | 351,937 | (A) | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis using internal models, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions of earnings from equity method investees | (18,626 | ) | (B) | Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions of capital from equity method investees | (17,020 | ) | Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value, and such changes could result in a significant increase or decrease in the fair value. For New Residential’s investments in real estate securities categorized within Level 3 of the fair value hierarchy, the significant unobservable inputs include the discount rates, assumptions related to prepayments, default rates and loss severities. Significant increases (decreases) in any of the discount rates, default rates or loss severities in isolation would result in a significantly lower (higher) fair value measurement. The impact of changes in prepayment speeds would have differing impacts on fair value, depending on the seniority of the investment. Generally, a change in the default assumption is generally accompanied by directionally similar changes in the assumptions used for the loss severity and the prepayment speed. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in fair value of investments in equity method investees | 41,741 | Fair value estimates of New Residential’s securities were based on third party indications as of December 31, 2012 and classified as Level 3. Securities measured at fair value on a recurring basis using Level 3 inputs changed during the year ended December 31, 2012 as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 358,032 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ABS- | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities Valuation | Subprime | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
As of September 30, 2013, New Residential’s securities valuation methodology and results are further detailed as follows: | Balance at December 31, 2011 | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers (A) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers from Level 3 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Transfers into Level 3 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding | Amortized | Multiple | Total | Level | Total gains (losses) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Face | Cost Basis | Quotes (A) | Included in net income | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Included in other comprehensive income (B) | 15,526 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM RMBS | $ | 1,203,293 | $ | 1,285,532 | $ | 1,279,450 | $ | 1,279,450 | 2 | Amortization included in interest income | 5,339 | |||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 581,750 | 581,750 | 3 | Purchases, contributions in-kind, sales and repayments | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | 121,262 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 2,054,797 | $ | 1,845,512 | $ | 1,861,200 | $ | 1,861,200 | Contributions in-kind | 164,142 | ||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (16,513 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable”—meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value, and such changes could result in a significant increase or decrease in the fair value. For New Residential’s investments in real estate securities categorized within Level 3 of the fair value hierarchy, the significant unobservable inputs include the discount rates, assumptions related to prepayments, default rates and loss severities. Significant increases (decreases) in any of the discount rates, default rates or loss severities in isolation would result in a significantly lower (higher) fair value measurement. The impact of changes in prepayment speeds would have differing impacts on fair value, depending on the seniority of the investment. Generally, a change in the default assumption is accompanied by directionally similar changes in the assumptions used for the loss severity and the prepayment speed. | Balance at December 31, 2012 | $ | 289,756 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value estimates of New Residential’s Non-Agency RMBS were based on third party indications as of September 30, 2013 and classified as Level 3. Securities measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Transfers are assumed to occur at the beginning of the respective period. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | These gains (losses) were included in net unrealized gain (loss) on securities in the consolidated statements of comprehensive income. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | Liabilities for Which Fair Value is Only Disclosed | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | The following table summarizes the level of the fair value hierarchy, valuation techniques and variables used for estimating liabilities not measured at fair value in the statement of financial position but for which fair value is disclosed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 289,756 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfer (A) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers from Level 3 | — | Type of Liabilities Not Measured At Fair | Fair Value Hierarchy | Valuation Techniques and | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | Value for Which Fair Value Is Disclosed | Significant Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total gains (losses) | Repurchase agreements | Level 2 | Valuation technique is based on market comparables. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in net income as impairment | (729 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gain on settlement of securities | 11,271 | Significant variables include: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in comprehensive income (B) | 6,501 | • Amount and timing of expected future cash flows | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amortization included in interest income | 16,286 | • Interest rates | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases, sales and repayments | • Collateral funding spreads | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | 450,144 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sales | (123,130 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (68,349 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 581,750 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Transfers are assumed to occur at the beginning of the respective period. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | These gains (losses) were included in net unrealized gain (loss) on securities in the consolidated statements of comprehensive income. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans for Which Fair Value is Only Disclosed | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
As of September 30, 2013, loans which New Residential has the intent and ability to hold into the foreseeable future are classified as held-for-investment. Loans held-for-investment are carried at the aggregate unpaid principal balance adjusted for any unamortized premium or discount, deferred fees or expenses, an allowance for loan losses, charge-offs and write-downs for impaired loans. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of New Residential’s reverse mortgage loans held-for-investment were estimated based on a discounted cash flow analysis using internal pricing models. The significant inputs to these models include discount rates and the timing and amount of expected cash flows that management believes market participants would use in determining the fair values on similar pools of reverse mortgage loans. New Residential’s loans held-for-investment are categorized within Level 3 of the fair value hierarchy. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes the inputs used in valuing reverse mortgage loans as of September 30, 2013: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse Mortgage Loans for Which Fair Value is Only Disclosed | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan Type | Outstanding | Carrying | Fair | Valuation | Discount | Weighted | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Face | Value | Value | Allowance/ | Rate | Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | (A) | (Reversal) | Life | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | In Current | (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year | (B) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse Mortgage Loans | $ | 56,738 | $ | 33,060 | $ | 33,162 | $ | — | 10.3 | % | 3.8 | |||||||||||||||||||||||||||||||||||||||||||||||
(A) | Represents a 70% interest New Residential holds in the reverse mortgage loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | The weighted average life is based on the expected timing of the receipt of cash flows. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities for Which Fair Value is Only Disclosed | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements are not measured at fair value in the statement of position; however, management believes that their carrying value approximates fair value. Repurchase agreements are considered to be Level 2 in the valuation hierarchy with significant valuation variables including the amount and timing of expected cash flows, interest rates and collateral funding spreads. |
EQUITY_AND_EARNINGS_PER_SHARE
EQUITY AND EARNINGS PER SHARE | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Equity And Earnings Per Share | ' | ||||||||||||
EQUITY AND EARNINGS PER SHARE | ' | ||||||||||||
10. EQUITY AND EARNINGS PER SHARE | |||||||||||||
Equity and Dividends | |||||||||||||
On April 26, 2013, Newcastle announced that its board of directors had formally declared the distribution of shares of common stock of New Residential, a then wholly owned subsidiary of Newcastle. Following the spin-off, New Residential is an independent, publicly-traded REIT primarily focused on investing in residential mortgage related assets. The spin-off was completed on May 15, 2013 and New Residential began trading on the New York Stock Exchange under the symbol “NRZ.” The spin-off transaction was effected as a taxable pro rata distribution by Newcastle of all the outstanding shares of common stock of New Residential to the stockholders of record of Newcastle as of May 6, 2013. The stockholders of Newcastle as of the record date received one share of New Residential common stock for each share of Newcastle common stock held. | |||||||||||||
On April 29, 2013, New Residential’s certificate of incorporation was amended so that its authorized capital stock now consists of 2,000,000,000 shares of common stock, par value $0.01 per share, and 100,000,000 shares of preferred stock, par value $0.01 per share. At the time of the completion of the spin-off, there were 253,025,645 outstanding shares of common stock which was based on the number of Newcastle’s shares of common stock outstanding on May 6, 2013 and a distribution ratio of one share of New Residential common stock for each share of Newcastle common stock. | |||||||||||||
On June 3, 2013, New Residential declared a quarterly dividend of $0.07 per common share, or $17.7 million, for the quarter ended June 30, 2013, based on earnings for the period May 16, 2013 to June 30, 2013, which was paid in July 2013. On September 17, 2013, New Residential declared a quarterly dividend of $0.175 per common share, or $44.3 million, for the quarter ended September 30, 2013, which was paid in October 2013. | |||||||||||||
Approximately 5.3 million shares of New Residential’s common stock were held by Fortress, through its affiliates, and its principals at September 30, 2013. | |||||||||||||
Options | |||||||||||||
Effective upon the spin-off, New Residential has a Nonqualified Stock Option and Incentive Award Plan (the “Plan”) which provides for the grant of equity-based awards, including restricted stock, stock options, stock appreciation rights, performance awards, tandem awards and other equity-based and non-equity based awards, in each case to the Manager, and to the directors, officers, employees, service providers, consultants and advisor of the Manager who perform services for New Residential, and to New Residential’s directors, officers, service providers, consultants and advisors. New Residential has initially reserved 30,000,000 shares of its common stock for issuance under the Plan; on the first day of each fiscal year beginning during the ten-year term of the Plan in and after calendar year 2014, that number will be increased by a number of shares of New Residential’s common stock equal to 10% of the number of shares of common stock newly issued by New Residential during the immediately preceding fiscal year (and, in the case of fiscal year 2013, after the effective date of the Plan). New Residential’s board of directors may also determine to issue options to the Manager that are not subject to the Plan, provided that the number of shares underlying any options granted to the Manager in connection with capital raising efforts would not exceed 10% of the shares sold in such offering and would be subject to NYSE rules. | |||||||||||||
Prior to the spin-off, Newcastle had issued options to the Manager in connection with capital raising activities. In connection with the spin-off, 21.5 million options that were held by FIG LLC, (the Manager), or by the directors, officers or employees of the Manager, were converted into an adjusted Newcastle option and a new New Residential option. The exercise price of each adjusted Newcastle option and New Residential option was set to collectively maintain the intrinsic value of the Newcastle option immediately prior to the spin-off and to maintain the ratio of the exercise price of the adjusted Newcastle option and the New Residential option, respectively, to the fair market value of the underlying shares as of the spin-off date, in each case based on the five day average closing price subsequent to the spin-off date. | |||||||||||||
As a result of a resignation, a former employee of the Manager exercised 307,833 options with a weighted average exercise price of $3.08 on September 3, 2013. Upon exercise, 160,634 shares of common stock of New Residential were issued, reflecting the $1.0 million aggregate intrinsic value of the exercisable options. In addition, 192,167 unvested options and 2,170 vested options were forfeited by the employee and transferred back to the Manager. | |||||||||||||
New Residential’s outstanding options at September 30, 2013 consisted of the following: | |||||||||||||
Number of | Strike Price | Maturity Date | |||||||||||
Options | |||||||||||||
304,604 | 12.28 | 12/1/13 | |||||||||||
328,350 | 14.17 | 1/9/14 | |||||||||||
343,275 | 13.86 | 5/25/14 | |||||||||||
162,500 | 16.95 | 11/22/14 | |||||||||||
330,000 | 15.97 | 1/12/15 | |||||||||||
2,000 | 16.68 | 8/1/15 | |||||||||||
170,000 | 15.87 | 11/1/16 | |||||||||||
242,000 | 16.9 | 1/23/17 | |||||||||||
456,000 | 14.96 | 4/11/17 | |||||||||||
1,580,166 | 3.29 | 3/29/21 | |||||||||||
2,424,833 | 2.49 | 9/27/21 | |||||||||||
2,000 | 2.74 | 12/20/21 | |||||||||||
1,867,167 | 3.41 | 4/3/21 | |||||||||||
2,265,000 | 3.67 | 5/21/22 | |||||||||||
2,499,167 | 3.67 | 7/31/22 | |||||||||||
5,750,000 | 5.12 | 1/11/23 | |||||||||||
2,300,000 | 5.74 | 2/15/23 | |||||||||||
8,000 | 6.79 | 6/2/23 | |||||||||||
Total/Weighted Average | 21,035,062 | $ | 5.35 | ||||||||||
As of September 30, 2013, New Residential’s outstanding options were summarized as follows: | |||||||||||||
Held by the Manager | 17,893,795 | ||||||||||||
Issued to the Manager and subsequently transferred to certain of the Manager’s employees | 3,129,267 | ||||||||||||
Issued to the independent directors | 12,000 | ||||||||||||
Total | 21,035,062 | ||||||||||||
Income and Earnings Per Share | |||||||||||||
Net income earned prior to the spin-off is included in additional paid-in capital instead of retained earnings since the accumulation of retained earnings began as of the date of spin-off. | |||||||||||||
New Residential is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income by the weighted average number of shares of common stock outstanding. Diluted EPS is computed by dividing net income by the weighted average number of shares of common stock outstanding plus the additional dilutive effect, if any, of common stock equivalents during each period. New Residential’s common stock equivalents are its outstanding stock options. During the three and nine months ended September 30, 2013, based on the treasury stock method, New Residential had 6,816,497 and 3,508,415 dilutive common stock equivalents, respectively. During the three and nine months ended September 30, 2012, New Residential did not have any dilutive common stock equivalents outstanding. | |||||||||||||
For the purposes of computing EPS for periods prior to the spin-off on May 15, 2013, New Residential treated the common shares issued in connection with the spin-off as if they had been outstanding for all periods presented, similar to a stock split. For the purposes of computing diluted EPS for periods prior to the spin-off on May 15, 2013, New Residential treated the 21.5 million options issued on the spin-off date as a result of the conversion of Newcastle options as if they were granted on May 15, 2013 since no New Residential awards were outstanding prior to that date. |
COMMITMENTS_AND_CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Commitments and Contingencies Disclosure [Abstract] | ' | ' |
COMMITMENTS AND CONTINGENCIES | ' | ' |
11. COMMITMENTS AND CONTINGENCIES | 8. COMMITMENTS AND CONTINGENCIES | |
Litigation—New Residential may, from time to time, be a defendant in legal actions from transactions conducted in the ordinary course of business. As of September 30, 2013, New Residential is not subject to any material litigation, individually or in the aggregate, nor, to management’s knowledge, is any material litigation currently threatened against New Residential. | Litigation—New Residential may, from time to time, be a defendant in legal actions from transactions conducted in the ordinary course of business. As of December 31, 2012 and 2011, New Residential is not subject to any material litigation, individually or in the aggregate, nor, to management’s knowledge, is any material litigation currently threatened against New Residential. | |
Indemnifications—In the normal course of business, New Residential and its subsidiaries enter into contracts that contain a variety of representations and warranties and that provide general indemnifications. New Residential’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against New Residential that have not yet occurred. However, based on Newcastle’s and its own experience, New Residential expects the risk of material loss to be remote. | Capital Commitment to a Joint Venture—As of December 31, 2012, New Residential had a capital commitment of $27.3 million related to a 50% investment in a joint venture in connection with the acquisition of Excess MSRs on a portfolio of Ginnie Mae residential mortgage loans, see Note 11. | |
Capital Commitments—As of September 30, 2013, New Residential had outstanding capital commitments related to investments in joint ventures in connection with the acquisition of Excess MSRs. See Notes 6 and 15, respectively, for a description of these commitments. |
TRANSACTIONS_WITH_AFFILIATES_A
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 9 Months Ended | 12 Months Ended | ||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||
Transactions With Affiliates And Affiliated Entities | ' | ' | ||||||||||||||||
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | ' | ' | ||||||||||||||||
12. TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 9. TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | |||||||||||||||||
New Residential has entered into a management agreement with the Manager, an affiliate of Fortress. Pursuant to the Management Agreement, the Manager, under the supervision of New Residential’s board of directors, formulates investment strategies, arranges for the acquisition of assets and associated financing, monitors the performance of New Residential’s assets and provides certain advisory, administrative and managerial services in connection with the operations of New Residential. | New Residential intends to enter into a Management Agreement with the Manager, an affiliate of Fortress. Pursuant to the Management Agreement, the Manager, under the supervision of New Residential’s board of directors, will formulate investment strategies, will arrange for the acquisition of assets and the associated financing, will monitor the performance of New Residential’s assets and will provide certain advisory, administrative and managerial services in connection with the operations of New Residential. For performing these services, the Manager is expected to receive from New Residential a management fee and incentive compensation, as defined in the Management Agreement. In addition to the management fee and incentive compensation, New Residential is also expected to be responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of New Residential. | |||||||||||||||||
Effective May 15, 2013, the Manager is entitled to receive a management fee in the amount equal to 1.5% per annum of New Residential’s gross equity calculated and payable monthly in arrears in cash. Gross equity is generally the equity transferred by Newcastle on the distribution date, plus total net proceeds from stock offerings, plus certain capital contributions to subsidiaries, less capital distributions and repurchases of common stock. | Prior to entering into a Management Agreement with FIG LLC, management fees are allocated by and due to Newcastle based on the equity used in funding the acquisition of Excess MSRs and real estate securities. The management fees are equal to 1.5% of the gross equity, as defined in the Management Agreement between Newcastle and FIG LLC. | |||||||||||||||||
In addition, effective May 15, 2013, the Manager is entitled to receive annual incentive compensation in an amount equal to the product of (A) 25% of the dollar amount by which (1) (a) New Residential’s Funds from Operations before the incentive compensation per share of common stock, excluding Funds from Operations from investments in equity method investees that are invested in consumer loans as of the date hereof (the Consumer Loan Companies) and any unrealized gains or losses from mark-to-market valuation changes on Excess MSRs and on equity method investees invested in Excess MSRs, per REIT Share (as defined in the Management Agreement, based on the weighted average number of REIT Shares outstanding), plus (b) earnings (or losses) from the Consumer Loan Companies computed on a level-yield basis (such that the loans are treated as if they qualified as loans acquired with a discount for credit quality as set forth in ASC 310-30, as such codification was in effect on June 30, 2013) as if the Consumer Loan Companies had been acquired at their GAAP basis on May 15, 2013, earnings (or losses) from equity method investees invested in Excess MSRs as if such equity method investees had not made a fair value election, and gains (or losses) from debt restructuring and gains (or losses) from sales of property and other assets per share of common stock, exceed (2) an amount equal to (a) the weighted average of the book value per share of the equity transferred by Newcastle on the date of the spin-off and the prices per share of New Residential’s common stock in any offerings (adjusted for prior capital dividends or capital distributions) multiplied by (b) a simple interest rate of 10% per annum, multiplied by (B) the weighted average number of shares of common stock outstanding. “Funds from Operations” means net income (computed in accordance with GAAP), excluding gains (or losses) from debt restructuring and gains (or losses) from sales of property, plus depreciation on real estate assets, and after adjustments for unconsolidated partnerships and joint ventures. Funds from operations will be computed on an unconsolidated basis. The computation of funds from operations may be adjusted at the direction of New Residential’s independent directors based on changes in, or certain applications of, GAAP. Funds from operations is determined from the date of the spin-off and without regard to Newcastle’s prior performance. | Due to Newcastle is comprised of the following amounts due to Newcastle as of December 31, 2012 and 2011: | |||||||||||||||||
In addition to the management fee and incentive compensation, New Residential is responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of New Residential. | ||||||||||||||||||
Due to affiliate is comprised of the following amounts: | ||||||||||||||||||
December 31, | December 31, | |||||||||||||||||
2012 | 2011 | |||||||||||||||||
September 30, | December 31, | Management fees payable to Newcastle | $ | 3,392 | $ | 39 | ||||||||||||
2013 | 2012 | Reimbursable expenses payable to Newcastle | 1,744 | 119 | ||||||||||||||
Management fees | $ | 1,495 | $ | 3,392 | ||||||||||||||
Incentive compensation | 5,348 | — | $ | 5,136 | $ | 158 | ||||||||||||
Expense reimbursements | 266 | — | ||||||||||||||||
Purchase price payable | — | 1,744 | ||||||||||||||||
See Notes 1, 4 and 11 for a discussion of transactions with Nationstar. As of December 31, 2012, New Residential held on its balance sheet a total face amount of $433.5 million of Non-Agency RMBS serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced Non-Agency RMBS was approximately $5.7 billion as of December 31, 2012. | ||||||||||||||||||
$ | 7,109 | $ | 5,136 | |||||||||||||||
On June 27, 2013, New Residential purchased Agency ARM RMBS with an aggregate face amount of approximately $22.7 million from Newcastle for approximately $1.2 million, net of related financing. New Residential purchased the securities on the same terms as they were purchased by Newcastle and paid the $1.2 million to Newcastle during the third quarter of 2013. | ||||||||||||||||||
See Notes 1, 3 and 6 for a discussion of transactions with Nationstar. As of September 30, 2013, New Residential’s entire Non-Agency portfolio, with a total face amount of $851.5 million, was serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced Non-Agency RMBS was approximately $11.5 billion as of September 30, 2013. | ||||||||||||||||||
See Note 7 for a discussion of a transaction with Springleaf. |
RECLASSIFICATION_FROM_ACCUMULA
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | 9 Months Ended | ||||||||||
Sep. 30, 2013 | |||||||||||
Reclassification From Accumulated Other Comprehensive Income Into Net Income | ' | ||||||||||
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | ' | ||||||||||
13. RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | |||||||||||
The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: | |||||||||||
Accumulated Other Comprehensive Income Components | Statement of Income Location | Three Months | Nine Months | ||||||||
Ended | Ended | ||||||||||
September 30, | September 30, | ||||||||||
2013 | 2013 | ||||||||||
Reclassification of net realized (gain) loss on securities into earnings | Gain on settlement of securities | $ | (11,213 | ) | $ | (11,271 | ) | ||||
Reclassification of net realized (gain) loss on securities into earnings | Other-than-temporary impairment on securities | — | 3,756 | ||||||||
Total reclassifications | $ | (11,213 | ) | $ | (7,515 | ) |
INCOME_TAXES
INCOME TAXES | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Income Taxes | ' | ' |
INCOME TAXES | ' | ' |
14. INCOME TAXES | 10. INCOME TAXES | |
New Residential intends to qualify as a REIT for the tax year ending December 31, 2013. A REIT is generally not subject to U.S. federal corporate income tax on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. New Residential was a wholly owned subsidiary of Newcastle until May 15, 2013 and, as a qualified REIT subsidiary, was a disregarded entity until such date. As a result, no provision or liability for U.S. federal or state income taxes has been included in the accompanying consolidated financial statements for the periods ended September 30, 2013 or 2012. | New Residential intends to qualify as a REIT for the tax year ending December 31, 2013. A REIT will generally not be subject to U.S. federal corporate income tax on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. On December 20, 2012, New Residential Investment LLC was converted to New Residential Investment Corp. New Residential remains a wholly owned subsidiary of Newcastle and, as a qualified REIT subsidiary, continues to be a disregarded entity for the year ended December 31, 2012. As a result, no provision or liability for U.S. federal or state income taxes has been included in the accompanying consolidated financial statements for the periods ended December 31, 2012 or 2011. |
RECENT_ACTIVITIES
RECENT ACTIVITIES | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Recent Activities | ' | ' |
RECENT ACTIVITIES | ' | ' |
15. RECENT ACTIVITIES | 11. RECENT ACTIVITIES | |
These financial statements include a discussion of material events that have occurred subsequent to September 30, 2013 (referred to as “subsequent events”) through the issuance of these consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. | These financial statements include a discussion of material events that have occurred subsequent to December 31, 2012 (referred to as “subsequent events”) through the issuance of these consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. | |
Subsequent to September 30, 2013, New Residential acquired Non-Agency RMBS with an aggregate face amount of approximately $194.3 million for approximately $126.6 million, all of which are serviced by Nationstar. New Residential sold one Non-Agency RMBS, which was serviced by Nationstar, with a face amount of approximately $52.5 million and an amortized cost basis of approximately $31.5 million for approximately $38.1 million, recording a gain on sale of approximately $6.6 million. | Subsequent to December 31, 2012, New Residential acquired approximately $391.7 million face amount of Non-Agency RMBS for approximately $242.8 million. These Non-Agency RMBS are serviced by Nationstar. | |
On October 30, 2013, New Residential terminated its existing $342.9 million master repurchase agreement and entered into a new $414.2 million master repurchase agreement with Alpine Securitization Corp, which has a one year maturity. The new $414.2 million master repurchase agreement is subject to margin call provisions as well as customary loan covenants and event of default provisions, including event of default provisions triggered by a 50% equity decline over any 12 month period and 35% equity decline over any 3 month period and a four-to-one indebtedness to tangible net worth provision. The financing bears interest at LIBOR + 1.75%. | On January 4, 2013, New Residential, through a joint venture, co-invested in Excess MSRs on a portfolio of Ginnie Mae residential mortgage loans with a UPB of approximately $13 billion as of November 30, 2012. | |
On November 1, 2013, New Residential completed an additional closing of Excess MSRs that it agreed to acquire as part of a previously announced transaction between Nationstar and Bank of America (see Note 6). New Residential invested approximately $3.4 million in Pool 10 on loans with an aggregate UPB of approximately $9.6 billion. | Nationstar acquired the related servicing rights from Bank of America in November 2012. New Residential invested approximately $27.3 million for a 50% interest in a joint venture which will acquire an approximately 67% interest in the Excess MSRs on this portfolio. The remaining interests in the joint venture will be owned by a Fortress-managed fund and the remaining interest of approximately 33% in the Excess MSRs will be owned by Nationstar. As the servicer, Nationstar will perform all servicing and advancing functions, and it will retain the ancillary income, servicing obligations and liabilities associated with this portfolio. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs will be shared on a pro rata basis by the joint venture and Nationstar, subject to certain limitations. | |
New Residential has remaining commitments of approximately $0.7 million to fund additional investments in Pool 10, which have not yet closed and will increase the outstanding principal balance of Pool 10 by an estimated $1.3 billion. | On January 6, 2013 New Residential, through a joint venture, agreed to co-invest in Excess MSRs on a portfolio of four pools of residential mortgage loans with a UPB of approximately $215 billion as of November 30, 2012. Approximately 53% of the loans in this portfolio are in private label securitizations, and the remainder are owned, insured or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation or the Government National Mortgage Association (“Ginnie Mae”). Nationstar has agreed to acquire the related servicing rights from Bank of America. New Residential committed to invest approximately $340 million (based on the November 30, 2012 UPB) for a 50% interest in a joint venture which will acquire an approximately 67% interest in the Excess MSRs on this portfolio. The remaining interests in the joint venture will be owned by a Fortress-managed fund and the remaining interest of approximately 33% in the Excess MSRs will be owned by Nationstar. As the servicer, Nationstar will perform all servicing and advancing functions, and it will retain the ancillary income, servicing obligations and liabilities associated with this portfolio. Under the terms of this investment, to the extent that any loans in the portfolio are refinanced by Nationstar, the resulting Excess MSRs will be shared on a pro rata basis by the joint venture and Nationstar, subject to certain limitations. On January 31, 2013, New Residential completed the first closing of this co-investment. The first closing related to Excess MSRs on loans with an aggregate UPB of approximately $58 billion as of December 31, 2012, that are owned, insured, or guaranteed by Fannie Mae or Freddie Mac. There can be no assurance that New Residential will complete this investment as anticipated or at all. | |
Subsequent to September 30, 2013, New Residential committed $32.3 million to invest in Excess MSRs on portfolios of GSE residential mortgage loans with an aggregate outstanding principal balance of approximately $13.1 billion, and $23.3 million to invest in Excess MSRs on a portfolio of PLS residential mortgage loans with an aggregate outstanding principal balance of approximately $10.5 billion. In each transaction, New Residential agreed to acquire a 33.3% interest in Excess MSRs on the portfolio. Fortress-managed funds and Nationstar each agreed to acquire a 33.3% interest in the Excess MSRs. Nationstar as servicer will perform all servicing and advancing functions, and retain the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in the portfolios. Commitments related to GSE residential mortgage loans are contingent upon GSE approval of Nationstar to service such loans and transfer Excess MSRs to New Residential. | On January 28, 2013, New Residential extended all of its existing repurchase agreements to April 29, 2013. The repurchase agreements had an outstanding principal balance of approximately $158.0 million on April 3, 2013. | |
New Residential committed to purchase $106.6 million of non-performing loans with an aggregate face amount of approximately $197.3 million in October 2013. | On February 27, 2013, New Residential, through a subsidiary, entered into an agreement to co-invest in residential mortgage loans with a UPB of approximately $83 million as of December 31, 2012. New Residential has invested approximately $35 million to acquire a 70% interest in the mortgage loans. Nationstar has co-invested pari passu with New Residential in 30% of the mortgage loans and will be the servicer of the loans performing all servicing and advancing functions and retaining the ancillary income, servicing obligations and liabilities as the servicer. | |
On March 5, 2013, New Residential agreed to co-invest in a portfolio of consumer loans with a UPB of approximately $4.2 billion as of December 31, 2012. The portfolio includes over 400,000 personal unsecured loans and personal homeowner loans originated through subsidiaries of HSBC Finance Corporation. On April 1, 2013, New Residential completed this co-investment through newly formed limited liability companies (collectively, “the consumer loan companies”). The consumer loan companies acquired the portfolio from HSBC Finance Corporation and its affiliates. New Residential invested approximately $250 million for 30% membership interests in each of the consumer loan companies. Of the remaining 70% of the membership interests, Springleaf Finance, Inc. (“Springleaf”), which is majority-owned by Fortress funds managed by our Manager, acquired 47%, and an affiliate of Blackstone Tactical Opportunities Advisors L.L.C. acquired 23%. Springleaf will act as the managing member of the consumer loan companies. The consumer loan companies financed $2.2 billion of the approximately $3.0 billion purchase price with asset-backed notes. The consumer loan companies were formed on March 19, 2013, for the purpose of making this investment and commenced operations upon the completion of the investment. After a servicing transition period, Springleaf will be the servicer of the loans and will provide all servicing and advancing functions for the portfolio. | ||
From March 25, 2013 to April 2, 2013, Newcastle contributed to New Residential approximately $1.0 billion face amount of Agency RMBS. New Residential financed these Agency RMBS with approximately $1.0 billion of repurchase agreements. The counterparties of these repurchase agreements are Goldman Sachs & Co., Barclays Capital Inc., Citigroup Global Markets, Inc., Nomura Securities International, Inc. and Morgan Stanley & Co. LLC. |
SUMMARY_OF_SIGNIFICANT_ACCOUNT1
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2012 | |
Summary Of Significant Accounting Policies Policies | ' |
General - Principles of Consolidation and Basis of Presentation | ' |
Principles of Consolidation and Basis of Presentation—The accompanying consolidated financial statements and related notes have been prepared in accordance with United States generally accepted accounting principles (“U.S. GAAP”). These financial statements include the accounts of New Residential and its consolidated subsidiaries, which are comprised of entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. All intercompany balances and transactions have been eliminated upon consolidation. New Residential currently operates in three business segments: (i) investments in Excess MSRs, (ii) investments in real estate securities and (iii) corporate. | |
Variable interest entities (VIEs) are defined as entities in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, and only by its primary beneficiary, which is defined as the party who has the power to direct the activities of a VIE that most significantly impact its economic performance and who has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. | |
New Residential’s investments in Non-Agency RMBS are variable interests. New Residential monitors these investments and analyzes the potential need to consolidate the related securitization entities pursuant to the VIE consolidation requirements. | |
New Residential has not consolidated the securitization entities that issued its Non-Agency RMBS. This determination is based, in part, on New Residential’s assessment that it does not have the power to direct the activities that most significantly impact the economic performance of these entities, such as through ownership of a majority of the currently controlling class. In addition, New Residential is not obligated to provide, and has not provided, any financial support to these entities. | |
The consolidated financial statements have been prepared on a spin off basis from the consolidated financial statements and accounting records of Newcastle and reflect New Residential’s historical results of operations, financial position and cash flows, in accordance with U.S. GAAP. The consolidated financial statements may not be indicative of New Residential’s future performance and do not necessarily reflect what its consolidated results of operations, financial position and cash flows would have been had New Residential operated as an independent company during the periods presented. | |
The incremental cost of certain legal, accounting and other expenses related to New Residential’s operations are reflected in the accompanying consolidated financial statements. Certain expenses of Newcastle, currently comprised primarily of a portion of its management fee, have been allocated to New Residential to the extent they are directly associated with New Residential. The portion of the management fee allocated to New Residential represents the product of the management fee rate payable by Newcastle (1.5%) and New Residential’s gross equity, which management believes is a reasonable method for quantifying the expense of the services provided by the employees of the Manager to New Residential. New Residential and Newcastle do not intend to share any expenses following the separation. | |
General - Risks and Uncertainties | ' |
Risks and Uncertainties—In the normal course of business, New Residential encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on New Residential’s investments that results from a borrower’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment speeds, interest rates, spreads or other market factors. Management believes that the carrying values of its investments are reasonable taking into consideration these risks along with estimated prepayments, refinancings, collateral values, payment histories, and other borrower information. Furthermore, as of December 31, 2012 and 2011, a significant portion of New Residential’s assets are its investments in Excess MSRs, which are dependent on Nationstar to perform its obligations as the servicer. If Nationstar is terminated as the servicer, New Residential’s right to receive its portion of the excess mortgage servicing amount is also terminated. | |
Additionally, New Residential is subject to significant tax risks. If New Residential were to fail to qualify as a REIT in any taxable year, it would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, New Residential would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. | |
General - Use of Estimates | ' |
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. | |
Revenue Recognition - Investments in Excess Mortgage Servicing Rights | ' |
Investments in Excess Mortgage Servicing Rights—Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount through the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period would be measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. In addition, New Residential’s policy is to recognize interest income only on its Excess MSRs in existing eligible underlying mortgages. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded as “Change in fair value of investments in excess mortgage servicing rights.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs, and therefore may differ from their effective yields. | |
Revenue Recognition - Real Estate Securities and Impairment of Securities | ' |
Real Estate Securities—New Residential invests in real estate related asset backed securities. Discounts or premiums are accreted into interest income on an effective yield or “interest” method, based upon a comparison of actual and expected cash flows, through the expected maturity date of the security. Depending on the nature of the investment, changes to expected cash flows may result in a prospective change to yield or a retrospective change which would include a catch up adjustment. Deferred fees and costs, if any, are recognized as a reduction to the interest income over the terms of the securities using the interest method. Upon settlement of securities, the excess (or deficiency) of net proceeds over the net carrying value of such security is recognized as a gain (or loss) in the period of settlement. | |
Impairment of Securities—New Residential continually evaluates securities for impairment. Securities are considered to be other-than-temporarily impaired, for financial reporting purposes, generally when it is probable that New Residential will be unable to collect all principal or interest when due according to the contractual terms of the original agreements, or for securities purchased at a discount for credit quality when New Residential determines that it is probable that it will be unable to collect as anticipated. The evaluation of a security’s estimated cash flows includes the following, as applicable: (i) review of the credit of the issuer, (ii) review of the credit rating of the security, (iii) review of the key terms of the security, (iv) review of the performance of the underlying loans, including debt service coverage and loan to value ratios, (v) analysis of the value of the collateral for the underlying loans, (vi) analysis of the effect of local, industry and broader economic factors, and (vii) analysis of historical and anticipated trends in defaults, loss severities and prepayments for similar securities. Furthermore, New Residential must record a write down if we have the intent to sell a given security in an unrealized loss position, or if it is more likely than not that we will be required to sell such a security. Upon determination of impairment, New Residential records a direct write down for securities based on the estimated fair value of the security or underlying collateral using a discounted cash flow analysis or based on an observable market value. It is New Residential’s policy to establish an allowance for uncollectible interest on performing securities that are past due more than 90 days or sooner when, in the judgment of management, the probability of collection of interest is deemed to be insufficient to warrant further accrual. Upon such a determination, those securities are deemed to be non-performing and put on nonaccrual status. Actual losses may differ from New Residential’s estimates. New Residential may resume accrual of income on a security if, in management’s opinion, full collection is probable. Subsequent to a determination of impairment, and a related write down, income is accrued on an effective yield method from the new carrying value to the related expected cash flows, with cash received treated as a reduction of basis. | |
Revenue Recognition - Other Income (Loss) | ' |
Other Income (Loss)—On May 14, 2012, New Residential entered into definitive agreements to co-invest in Excess MSRs related to mortgage servicing rights that Nationstar proposed to acquire from Residential Capital, LLC and related entities (“ResCap”) in an auction conducted as part of ResCap’s bankruptcy proceedings. The auction commenced on October 23, 2012, and Nationstar did not submit the highest bid on October 24, 2012. Therefore, New Residential did not complete this co-investment and was entitled to its portion of the breakup fee of approximately $8.4 million, which was recorded as other income for the year ended December 31, 2012. | |
Revenue Recognition - Reclassification from Accumulated Other Comprehensive Income Into Net Income | ' |
Other Income (Loss)—On May 14, 2012, New Residential entered into definitive agreements to co-invest in Excess MSRs related to mortgage servicing rights that Nationstar proposed to acquire from Residential Capital, LLC and related entities (“ResCap”) in an auction conducted as part of ResCap’s bankruptcy proceedings. The auction commenced on October 23, 2012, and Nationstar did not submit the highest bid on October 24, 2012. Therefore, New Residential did not complete this co-investment and was entitled to its portion of the breakup fee of approximately $8.4 million, which was recorded as other income for the year ended December 31, 2012. | |
Reclassification From Accumulated Other Comprehensive Income Into Net Income—No amounts were reclassified out of accumulated other comprehensive income into net income for the year ended December 31, 2012. | |
Expense Recognition - Interest Expense | ' |
Interest Expense—New Residential finances certain investments using floating rate repurchase agreements. Interest is expensed as incurred. | |
Expense Recognition - General and Administrative Expenses | ' |
General and Administrative Expenses—General and administrative expenses, including legal fees, audit fees and other costs and are expensed as incurred. | |
Expense Recognition - Management Fees Allocated by Newcastle | ' |
Management Fees Allocated by Newcastle—These represent the management fees allocated by and due to Newcastle based on the equity used in funding the acquisition of Excess MSRs and real estate securities. The management fees are equal to 1.5% of the gross equity, as defined in the Management Agreement between Newcastle and FIG LLC. For further information on the Management Agreement, see Note 9. | |
Balance Sheet Measurement - Cash and Cash Equivalents | ' |
Cash and Cash Equivalents—New Residential has no cash account as of December 31, 2011 or 2012. Cash transactions affecting account balances are collected or paid through a cash account held by Newcastle. | |
Balance Sheet Measurement - Due from/to Newcastle | ' |
Due from/to Newcastle—For purposes of classifying amounts, New Residential considers the Manager and principals of Fortress to be affiliates. Amounts due from and to Newcastle are recorded at their contractual or allocated amount, subject to an allowance for uncollectible amounts if collection is not deemed probable. | |
Balance Sheet Measurement - Investments in Excess Mortgage Servicing Rights | ' |
Investments in Excess Mortgage Servicing Rights—Upon acquisition, New Residential has elected to record each of such investments at fair value. New Residential elected to record its Excess MSRs at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, New Residential records a valuation adjustment on its Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described in Revenue Recognition—Investments in Excess Mortgage Servicing Rights above. As of December 31, 2012 and 2011, all Excess MSRs are classified as held-for-investment as New Residential has the intent and ability to hold the investments for the foreseeable future. | |
Balance Sheet Measurement - Investments in Real Estate Securities | ' |
Investments in Real Estate Securities—New Residential has classified its investments in securities as available-for-sale. Available-for-sale securities are carried at market value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income, to the extent impairment losses are considered temporary. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investments and is included in earnings. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described above. | |
Balance Sheet Measurement - Capital Contributions and Distributions and Contributions in-kind | ' |
Capital Contributions and Distributions—Capital contributions represent the settlements of acquisition price in the acquisition of Excess MSRs and real estate securities and deposits related to Excess MSRs paid by Newcastle on behalf of New Residential. Capital distributions represent the cash receipts from investments, repayments of repurchase agreements and borrowings under repurchase agreements less cash payments for expenses, which would be equivalent to net increases in cash and cash equivalents in the respective periods had New Residential maintained a separate bank account. | |
Contributions in-kind—Contributions in-kind represent the contribution of real estate securities by Newcastle to New Residential. | |
Recent Accounting Pronouncements | ' |
RECENT ACCOUNTING PRONOUNCEMENTS | |
In May 2011, the FASB issued new guidance regarding the measurement and disclosure of fair value, which became effective for New Residential on January 1, 2012. The adoption of this guidance did not have a material impact on New Residential’s financial position, liquidity or results of operations. | |
In June 2011, the FASB issued a new accounting standard that eliminates the current option to report other comprehensive income and its components in the statement of stockholders’ equity. Instead, an entity will be required to present items of net income and other comprehensive income in one continuous statement or in two separate, but consecutive, statements. New Residential has early adopted this standard in the period ended December 31, 2011 and has presented the Statement of Comprehensive Income separately from the Statement of Changes in Newcastle’s Equity. | |
In February 2013, the FASB issued new guidance regarding the reporting of reclassifications out of accumulated other comprehensive income. The new guidance does not change current requirements for reporting net income or other comprehensive income in the financial statements. However, it requires companies to present the effects on the line items of net income of significant amounts reclassified out of accumulated OCI if the item reclassified is required to be reclassified to net income in its entirety during the same reporting period. Presentation should occur either on the face of the income statement where net income is presented, or in the notes to the financial statements. New Residential has early adopted this accounting standard and opted to present this information in a note to the financial statements. | |
The FASB has recently issued or discussed a number of proposed standards on such topics as consolidation, the definition of an investment company, financial statement presentation, revenue recognition, financial instruments, hedging and contingencies. Some of the proposed changes are significant and could have a material impact on New Residential’s reporting. New Residential has not yet fully evaluated the potential impact of these proposals, but will make such an evaluation as the standards are finalized. |
SEGMENT_REPORTING_Tables
SEGMENT REPORTING (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||
Segment Reporting Tables | ' | ' | ||||||||||||||||||||||||||||||||||||
Schedule of segment reporting | ' | ' | ||||||||||||||||||||||||||||||||||||
Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: | Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: | |||||||||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | Excess | Real Estate | Corporate | New | ||||||||||||||||||||||||||||||
Securities and | Loans | MSRs | Securities | Residential | ||||||||||||||||||||||||||||||||||
Loans | Year ended December 31, 2012 | |||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2013 | Interest income | $ | 27,496 | $ | 6,263 | $ | — | $ | 33,759 | |||||||||||||||||||||||||||||
Interest income | $ | 9,761 | $ | 12,120 | $ | — | $ | 4 | $ | 21,885 | Interest expense | — | 704 | — | 704 | |||||||||||||||||||||||
Interest expense | — | 3,443 | — | — | 3,443 | |||||||||||||||||||||||||||||||||
Net interest income (expense) | 27,496 | 5,559 | — | 33,055 | ||||||||||||||||||||||||||||||||||
Net interest income | 9,761 | 8,677 | — | 4 | 18,442 | Change in fair value of investments in excess mortgage servicing rights | 9,023 | — | — | 9,023 | ||||||||||||||||||||||||||||
Impairment | — | — | — | — | — | Other income (loss) | 8,400 | — | — | 8,400 | ||||||||||||||||||||||||||||
Other income | 20,853 | 11,213 | 24,129 | — | 56,195 | Expenses | 5,449 | — | 3,782 | 9,231 | ||||||||||||||||||||||||||||
Operating expenses | 82 | 104 | 1 | 11,305 | 11,492 | |||||||||||||||||||||||||||||||||
Net Income (Loss) | $ | 39,470 | $ | 5,559 | $ | (3,782 | ) | $ | 41,247 | |||||||||||||||||||||||||||||
Net income (loss) | $ | 30,532 | $ | 19,786 | $ | 24,128 | $ | (11,301 | ) | $ | 63,145 | |||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 245,068 | $ | 289,808 | $ | — | $ | 534,876 | ||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | Excess | Real Estate | Corporate | New | |||||||||||||||||||||||||||||||||
Loans | MSRs | Securities | Residential | |||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2013 | Period from December 8, 2011 (Commencement of Operations) through December 31, 2011 | |||||||||||||||||||||||||||||||||||||
Interest income | $ | 30,541 | $ | 30,492 | $ | — | $ | 42 | $ | 61,075 | Interest income | $ | 1,260 | $ | — | $ | — | $ | 1,260 | |||||||||||||||||||
Interest expense | — | 6,993 | — | — | 6,993 | Interest expense | — | — | — | — | ||||||||||||||||||||||||||||
Net interest income | 30,541 | 23,499 | — | 42 | 54,082 | Net interest income (expense) | 1,260 | — | — | 1,260 | ||||||||||||||||||||||||||||
Impairment | — | 3,756 | — | — | 3,756 | Change in fair value of investments in excess mortgage servicing rights | 367 | — | — | 367 | ||||||||||||||||||||||||||||
Other income | 85,640 | 11,271 | 60,293 | — | 157,204 | Expenses | 809 | — | 104 | 913 | ||||||||||||||||||||||||||||
Operating expenses | 178 | 256 | 1,952 | 19,702 | 22,088 | |||||||||||||||||||||||||||||||||
Net Income (Loss) | $ | 818 | $ | — | $ | (104 | ) | $ | 714 | |||||||||||||||||||||||||||||
Net income (loss) | $ | 116,003 | $ | 30,758 | $ | 58,341 | $ | (19,660 | ) | $ | 185,442 | |||||||||||||||||||||||||||
December 31, 2011 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 43,791 | $ | — | $ | — | $ | 43,791 | ||||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||||||||
Investments | $ | 665,600 | $ | 1,894,260 | $ | 192,498 | $ | — | $ | 2,752,358 | ||||||||||||||||||||||||||||
Cash and cash equivalents | — | — | — | 172,203 | 172,203 | |||||||||||||||||||||||||||||||||
Other assets | — | 6,563 | — | 720 | 7,283 | |||||||||||||||||||||||||||||||||
Total assets | 665,600 | 1,900,823 | 192,498 | 172,923 | 2,931,844 | |||||||||||||||||||||||||||||||||
Debt | — | 1,467,934 | — | — | 1,467,934 | |||||||||||||||||||||||||||||||||
Other liabilities | 82 | 149,352 | — | 53,440 | 202,874 | |||||||||||||||||||||||||||||||||
Total liabilities | 82 | 1,617,286 | — | 53,440 | 1,670,808 | |||||||||||||||||||||||||||||||||
GAAP book value | $ | 665,518 | $ | 283,537 | $ | 192,498 | $ | 119,483 | $ | 1,261,036 | ||||||||||||||||||||||||||||
Investments in equity method investees | $ | 358,032 | $ | — | $ | 192,498 | $ | — | $ | 550,530 | ||||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||||||
Interest income | $ | 9,903 | $ | 2,392 | $ | — | $ | — | $ | 12,295 | ||||||||||||||||||||||||||||
Interest expense | — | 298 | — | — | 298 | |||||||||||||||||||||||||||||||||
Net interest income | 9,903 | 2,094 | — | — | 11,997 | |||||||||||||||||||||||||||||||||
Other income | 1,774 | — | — | — | 1,774 | |||||||||||||||||||||||||||||||||
Operating expenses | 994 | — | — | 1,009 | 2,003 | |||||||||||||||||||||||||||||||||
Net income (loss) | $ | 10,683 | $ | 2,094 | $ | — | $ | (1,009 | ) | $ | 11,768 | |||||||||||||||||||||||||||
Excess MSRs | Real Estate | Consumer | Corporate | Total | ||||||||||||||||||||||||||||||||||
Securities and | Loans | |||||||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||||||
Interest income | $ | 16,419 | $ | 2,392 | $ | — | $ | — | $ | 18,811 | ||||||||||||||||||||||||||||
Interest expense | — | 298 | — | — | 298 | |||||||||||||||||||||||||||||||||
Net interest income | 16,419 | 2,094 | — | — | 18,513 | |||||||||||||||||||||||||||||||||
Other income | 6,513 | — | — | — | 6,513 | |||||||||||||||||||||||||||||||||
Operating expenses | 2,141 | — | — | 1,955 | 4,096 | |||||||||||||||||||||||||||||||||
Net income (loss) | $ | 20,791 | $ | 2,094 | $ | — | $ | (1,955 | ) | $ | 20,930 |
INVESTMENTS_IN_EXCESS_MORTGAGE2
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments In Excess Mortgage Servicing Rights At Fair Value Tables | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of direct investment in Excess Mortgage Servicing Rights (MSRs) | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||
The following is a summary of New Residential’s direct investments in Excess MSRs: | The following is a summary of New Residential’s Excess MSRs at December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2013 | Nine | December 31, 2011 | Period From | |||||||||||||||||||||||||||||||||||||||||||||||||||
Months | 8-Dec-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Ended | (Commencement | |||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, | of Operations) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | Through Dec 31, | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Unpaid | Interest in | Amortized | Carrying | Weighted | Weighted | Changes in | 2011 | |||||||||||||||||||||||||||||||||||||||||||||||
Principal | Excess | Cost Basis (A) | Value (B) | Average | Average | Fair Value | Description | Unpaid | Amortized | Carrying | Wtd. | Wtd. | Changes in Fair | |||||||||||||||||||||||||||||||||||||||||
Balance | MSR | Yield | Life | Recorded | Principal | Cost | Value(B) | Avg. | Avg. | Value Recorded | ||||||||||||||||||||||||||||||||||||||||||||
(“UPB”) of | (Years) (C) | in Other | Balance | Basis(A) | Yield | Maturity | in Income(D) | |||||||||||||||||||||||||||||||||||||||||||||||
Underlying | Income (D) | (Years)(C) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgages | Pool 1 | $ | 9,705,512 | $ | 37,469 | $ | 37,637 | 20 | % | 4.5 | $ | 168 | ||||||||||||||||||||||||||||||||||||||||||
MSR Pool 1 | $ | 7,171,426 | 65 | % | $ | 27,255 | $ | 37,907 | 12.5 | % | 4.9 | $ | 4,914 | Pool 1-Recapture Agreement | — | 6,135 | 6,334 | 20 | % | 10.3 | 199 | |||||||||||||||||||||||||||||||||
MSR Pool 1—Recapture Agreement | — | 65 | % | 2,230 | 4,629 | 12.5 | % | 11.3 | 1,893 | |||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2 | 8,217,751 | 65 | % | 30,806 | 35,592 | 12.5 | % | 5.2 | 3,742 | $ | 9,705,512 | $ | 43,604 | $ | 43,971 | 20 | % | 6 | $ | 367 | ||||||||||||||||||||||||||||||||||
MSR Pool 2—Recapture Agreement | — | 65 | % | 1,934 | 5,882 | 12.5 | % | 12.3 | 3,767 | |||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3 | 8,066,890 | 65 | % | 25,250 | 34,063 | 12.5 | % | 4.8 | 5,958 | |||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3—Recapture Agreement | — | 65 | % | 3,608 | 5,231 | 12.5 | % | 11.6 | 1,699 | |||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4 | 5,222,892 | 65 | % | 10,032 | 13,743 | 12.5 | % | 5.2 | 2,693 | Description | December 31, 2012 | Year Ended | ||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4—Recapture Agreement | — | 65 | % | 2,509 | 3,446 | 12.5 | % | 11.6 | 951 | December 31, | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 5 | 38,315,786 | 80 | % | 121,544 | 142,387 | 12.7 | % | 5.4 | 18,864 | 2012 | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 5—Recapture Agreement | — | 80 | % | 9,277 | 4,779 | 12.7 | % | 12.5 | (656 | ) | Unpaid | Amortized | Carrying | Wtd. | Wtd. Avg. | Changes in | ||||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | — | 66.7 | % | 2,391 | 2,391 | 12.5 | % | 10.2 | — | Principal | Cost | Value(B) | Avg. | Maturity | Fair Value | |||||||||||||||||||||||||||||||||||||||
MSR Pool 12 | 5,321,060 | 40 | % | 16,963 | 17,032 | 16.4 | % | 4.6 | 69 | Balance | Basis(A) | Yield | (Years)(C) | Recorded in | ||||||||||||||||||||||||||||||||||||||||
MSR Pool 12—Recapture Agreement | — | 40 | % | 479 | 486 | 16.4 | % | 13.6 | 5 | Income(D) | ||||||||||||||||||||||||||||||||||||||||||||
Pool 1 | $ | 8,403,211 | $ | 30,237 | $ | 35,974 | 18 | % | 4.8 | $ | 5,569 | |||||||||||||||||||||||||||||||||||||||||||
$ | 72,315,805 | $ | 254,278 | $ | 307,568 | 12.9 | % | 5.8 | $ | 43,899 | Pool 1-Recapture Agreement | — | 4,430 | 4,936 | 18 | % | 10.8 | 307 | ||||||||||||||||||||||||||||||||||||
Pool 2 | 9,397,120 | 32,890 | 33,935 | 17.3 | % | 5 | 1,045 | |||||||||||||||||||||||||||||||||||||||||||||||
Pool 2-Recapture Agreement | — | 5,206 | 5,387 | 17.3 | % | 11.8 | 181 | |||||||||||||||||||||||||||||||||||||||||||||||
(A) | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | Pool 3 | 9,069,726 | 27,618 | 30,474 | 17.6 | % | 4.7 | 2,856 | |||||||||||||||||||||||||||||||||||||||||||||
(B) | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | Pool 3-Recapture Agreement | — | 5,036 | 4,960 | 17.6 | % | 11.3 | (76 | ) | ||||||||||||||||||||||||||||||||||||||||||||
(C) | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | Pool 4 | 5,788,133 | 11,130 | 12,149 | 17.9 | % | 4.6 | 1,019 | |||||||||||||||||||||||||||||||||||||||||||||
(D) | The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool. | Pool 4-Recapture Agreement | — | 2,902 | 2,887 | 17.9 | % | 11.1 | (15 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Pool 5 | 43,902,561 | 107,704 | 109,682 | 17.5 | % | 4.8 | 1,978 | |||||||||||||||||||||||||||||||||||||||||||||||
Pool 5-Recapture Agreement | — | 8,493 | 4,652 | 17.5 | % | 11.7 | (3,841 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
$ | 76,560,751 | $ | 235,646 | $ | 245,036 | 17.6 | % | 5.4 | $ | 9,023 | ||||||||||||||||||||||||||||||||||||||||||||
(A) | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Weighted Average Maturity represents the weighted average expected timing of the receipt of expected cash flows for this investment. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of the geographic distribution of the underlying residential mortgage loans of the direct investment in Excess MSRs | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs at September 30, 2013: | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSRs at December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
State Concentration | Percentage of Total | Percentage of Total Outstanding Unpaid Principal Amount(A) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | December 31, 2012 | December 31, 2011 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
California | 30.3 | % | State Concentration | Percentage | State Concentration | Percentage | ||||||||||||||||||||||||||||||||||||||||||||||||
Florida | 10.1 | % | California | 32 | % | California | 19.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
New York | 4.7 | % | Florida | 10.1 | % | Florida | 11.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Texas | 4.2 | % | Washington | 4.3 | % | Texas | 6.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Washington | 4.1 | % | New York | 4.3 | % | Arizona | 4.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Arizona | 3.7 | % | Arizona | 3.9 | % | Virginia | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Maryland | 3.6 | % | Texas | 3.6 | % | Washington | 3.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Colorado | 3.3 | % | Colorado | 3.5 | % | New Jersey | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
New Jersey | 3.3 | % | Maryland | 3.4 | % | Maryland | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Virginia | 3.1 | % | New Jersey | 3.1 | % | Illinois | 3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. | 29.6 | % | Virginia | 3 | % | Nevada | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. | 28.8 | % | Other U.S. | 39.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
100 | % | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Based on the information provided by the loan servicer as of the most recent remittance for the respective dates. |
INVESTMENTS_IN_REAL_ESTATE_SEC1
INVESTMENTS IN REAL ESTATE SECURITIES (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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. | The following is a summary of New Residential’s real estate securities at December 31, 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding | Amortized Cost | Gains | Losses | Carrying | Number | Rating | Coupon | Yield | Life | Principal | Asset Type | Outstanding | Amortized | Gains | Losses | Carrying | Number of | Rating | Coupon | Yield | Maturity | Principal | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Face Amount | Basis | Value (A) | of | (B) | (Years) | Subordination | Face Amount | Cost Basis | Value | Securities | (B) | (Years) | Subordination | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities | (C) | (D) | (A) | (C) | (D) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM | $ | 1,203,293 | $ | 1,285,532 | $ | 1,480 | $ | (7,562 | ) | $ | 1,279,450 | 95 | AAA | 3.15 | % | 1.3 | % | 3 | N/A | ABS-Subprime (E) | $ | 433,510 | $ | 274,230 | $ | 15,856 | $ | (330 | ) | $ | 289,756 | 29 | CC | 0.63 | % | 6.55 | % | 6.8 | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (E) (F) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 28,089 | (6,319 | ) | 581,750 | 95 | CC | 0.82 | % | 5.2 | % | 4.2 | 9.10% | (A) | Fair value, which is equal to carrying value for all securities. See Note 7 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted | $ | 2,054,797 | $ | 1,845,512 | $ | 29,569 | $ | (13,881 | ) | $ | 1,861,200 | 190 | BBB | 2.18 | % | 2.48 | % | 3.5 | (C) | The weighted average maturity is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average (G) | (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 $432.4 million. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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. | The following table summarizes New Residential’s securities in an unrealized loss position as of December 31, 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost Basis | Weighted Average | GrossUnrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities in an | Outstanding | Before | Other-Than- | After | Gross | Carrying | Number | Rating | Coupon | Yield | Life | Securities in an | Outstanding | Amortized | Gains | Losses | Carrying | Number of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized | Face | Impairment | Temporary | Impairment | Unrealized | Value | of | (Years) | Unrealized Loss Position | Face Amount | Cost Basis | Value | Securities | (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loss Position | Amount | Impairment (A) | Losses | Securities | Less than Twelve Months | $ | 15,747 | $ | 9,945 | $ | — | $ | (330 | ) | $ | 9,615 | 4 | CC | 1.46 | % | 5.91 | % | 7.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 1,015,349 | $ | 995,953 | $ | (2,653 | ) | $ | 993,300 | $ | (13,676 | ) | $ | 979,624 | 85 | A | 2.72 | % | 2 | % | 3.2 | Twelve of More Months | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Twelve or More Months | 30,939 | 33,451 | (411 | ) | $ | 33,040 | (205 | ) | 32,835 | 4 | AAA | 3.5 | % | 1.28 | % | 2.6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 15,747 | $ | 9,945 | $ | — | $ | (330 | ) | $ | 9,615 | 4 | CC | 1.46 | % | 5.91 | % | 7.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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: | The table below summarizes the geographic distribution of the collateral securing New Residential’s real estate securities at December 31, 2012: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Geographic Location | Outstanding Face | Percentage of Total | December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Outstanding | Geographic Location | Outstanding | Percentage | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Western U.S. | $ | 344,107 | 40.4 | % | Face | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southeastern U.S. | 195,278 | 22.9 | % | Amount | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Northeastern U.S. | 165,401 | 19.4 | % | Western U.S. | $ | 151,227 | 34.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 99,404 | 11.7 | % | Southeastern U.S. | 100,636 | 23.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southwestern U.S. | 47,314 | 5.6 | % | Northeastern U.S. | 95,565 | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 43,230 | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 851,504 | 100 | % | Southwestern U.S | 42,852 | 9.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 433,510 | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | Carrying | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Face Amount | 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: | The following is a summary of the changes in accretable yield for these securities during the year ended December 31, 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Nine | For the year ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Months Ended | December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2013 | Balance at December 31, 2011 | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 90,077 | Additions | 80,636 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Additions | 87,756 | Accretion | (3,195 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accretion | (14,797 | ) | Reclassifications from nonaccretable difference | 12,636 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reclassifications from nonaccretable difference | 38,662 | Disposals | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disposals | (18,672 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 90,077 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 183,026 |
INVESTMENT_IN_RESIDENTIAL_MORT1
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||
Investment In Residential Mortgage Loans Tables | ' | ||||||||||||||||||||||||||||||||
Schedule of Residential Mortgage Loans | ' | ||||||||||||||||||||||||||||||||
The following is a summary of residential mortgage loans at September 30, 2013, all of which are classified as held for investment: | |||||||||||||||||||||||||||||||||
Loan Type | Outstanding | Carrying | Loan | Weighted | Weighted | Weighted | Floating Rate | Delinquent | |||||||||||||||||||||||||
Face Amount (A) | Value (A) | Count | Average | Average | Average | Loans as a % | Face | ||||||||||||||||||||||||||
Yield | Coupon | Life | of Face | Amount | |||||||||||||||||||||||||||||
(B) | (Years) | Amount | |||||||||||||||||||||||||||||||
(C) | |||||||||||||||||||||||||||||||||
Reverse Mortgage Loans | $ | 56,738 | $ | 33,060 | 327 | 10.3 | % | 5.1 | % | 3.8 | 22 | % | N/A | ||||||||||||||||||||
(A) | Represents a 70% interest New Residential holds in the reverse mortgage loans. | ||||||||||||||||||||||||||||||||
(B) | Represents the stated interest rate on the loans. Accrued interest on reverse mortgage loans is generally added to the principal balance and paid when the loan is resolved. | ||||||||||||||||||||||||||||||||
(C) | The weighted average life is based on the expected timing of the receipt of cash flows. | ||||||||||||||||||||||||||||||||
Schedule of Activity in Carrying Value of Residential Mortgage Loans | ' | ||||||||||||||||||||||||||||||||
Activities related to the carrying value of residential mortgage loans are as follows: | |||||||||||||||||||||||||||||||||
For the nine | |||||||||||||||||||||||||||||||||
months ended | |||||||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | |||||||||||||||||||||||||||||||
Purchases/additional fundings | 35,138 | ||||||||||||||||||||||||||||||||
Proceeds from repayments | (3,945 | ) | |||||||||||||||||||||||||||||||
Accretion of loan discount and other amortization | 1,867 | ||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 33,060 |
INVESTMENTS_IN_EXCESS_MORTGAGE3
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
Investments In Excess Mortgage Servicing Rights Equity Method Investees Tables | ' | ||||||||||||||||||||||||||||
Schedule of investments in excess mortgage servicing rights equity method investees | ' | ||||||||||||||||||||||||||||
The following tables summarize the investments in equity method investees held by New Residential at September 30, 2013: | |||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||
Excess MSR Assets | $ | 719,780 | |||||||||||||||||||||||||||
Other Assets | 1,991 | ||||||||||||||||||||||||||||
Debt | — | ||||||||||||||||||||||||||||
Other Liabilities | (5,707 | ) | |||||||||||||||||||||||||||
Equity | $ | 716,064 | |||||||||||||||||||||||||||
New Residential’s Investment | $ | 358,032 | |||||||||||||||||||||||||||
New Residential’s Ownership | 50 | % | |||||||||||||||||||||||||||
Nine Months | |||||||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||||||
Interest Income | $ | 30,501 | |||||||||||||||||||||||||||
Other Income | 56,483 | ||||||||||||||||||||||||||||
Expenses | (3,502 | ) | |||||||||||||||||||||||||||
Net Income | $ | 83,482 | |||||||||||||||||||||||||||
Schedule of Excess Mortgage Servicing Rights (MSRs) investments made through equity method investees | ' | ||||||||||||||||||||||||||||
The following is a summary of New Residential’s Excess MSR investments made through equity method investees: | |||||||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||||||
Unpaid | Investee | New | Amortized | Carrying | Weighted | Weighted | |||||||||||||||||||||||
Principal | Interest | Residential | Cost Basis (A) | Value (B) | Average | Average | |||||||||||||||||||||||
Balance | in Excess | Interest in | Yield | Life | |||||||||||||||||||||||||
MSR | Investees | (Years) (C) | |||||||||||||||||||||||||||
MSR Pool 6 | $ | 10,585,764 | 66.7 | % | 50 | % | $ | 37,957 | $ | 43,908 | 12.5 | % | 4.6 | ||||||||||||||||
MSR Pool 6—Recapture Agreement | — | 66.7 | % | 50 | % | 9,653 | 12,295 | 12.5 | % | 10.9 | |||||||||||||||||||
MSR Pool 7 | 33,239,259 | 66.7 | % | 50 | % | 101,125 | 111,962 | 12.5 | % | 5 | |||||||||||||||||||
MSR Pool 7—Recapture Agreement | — | 66.7 | % | 50 | % | 20,031 | 23,785 | 12.5 | % | 12 | |||||||||||||||||||
MSR Pool 8 | 14,798,521 | 66.7 | % | 50 | % | 56,457 | 58,936 | 12.5 | % | 4.8 | |||||||||||||||||||
MSR Pool 8—Recapture Agreement | — | 66.7 | % | 50 | % | 10,069 | 12,926 | 12.5 | % | 11.9 | |||||||||||||||||||
MSR Pool 9 | 32,068,608 | 66.7 | % | 50 | % | 106,141 | 120,603 | 12.5 | % | 4.8 | |||||||||||||||||||
MSR Pool 9—Recapture Agreement | — | 66.7 | % | 50 | % | 36,107 | 45,811 | 12.5 | % | 11 | |||||||||||||||||||
MSR Pool 10 | 59,784,115 | 77 | % | 50 | % | 202,417 | 201,571 | 12.7 | % | 5.6 | |||||||||||||||||||
MSR Pool 10—Recapture Agreement | — | 77 | % | 50 | % | 12,793 | 11,343 | 12.7 | % | 12.9 | |||||||||||||||||||
MSR Pool 11 | 19,380,729 | 66.7 | % | 50 | % | 47,108 | 53,981 | 12.5 | % | 5.3 | |||||||||||||||||||
MSR Pool 11—Recapture Agreement | — | 66.7 | % | 50 | % | 23,442 | 22,659 | 12.5 | % | 10.2 | |||||||||||||||||||
$ | 169,856,996 | $ | 663,300 | $ | 719,780 | 12.6 | % | 6.2 | |||||||||||||||||||||
(A) | Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||
(B) | Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||
(C) | The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. | ||||||||||||||||||||||||||||
Summary of the geographic distribution of the underlying residential mortgage loans of Excess MSRs made through equity method investees | ' | ||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments made through equity method investees at September 30, 2013: | |||||||||||||||||||||||||||||
State Concentration | Percentage | ||||||||||||||||||||||||||||
of Total | |||||||||||||||||||||||||||||
Outstanding | |||||||||||||||||||||||||||||
California | 22.1 | % | |||||||||||||||||||||||||||
Florida | 8.8 | % | |||||||||||||||||||||||||||
New York | 5.3 | % | |||||||||||||||||||||||||||
Texas | 5.2 | % | |||||||||||||||||||||||||||
Georgia | 4.2 | % | |||||||||||||||||||||||||||
New Jersey | 3.8 | % | |||||||||||||||||||||||||||
Illinois | 3.5 | % | |||||||||||||||||||||||||||
Virginia | 3.1 | % | |||||||||||||||||||||||||||
Maryland | 3.1 | % | |||||||||||||||||||||||||||
Washington | 2.9 | % | |||||||||||||||||||||||||||
Other U.S. | 38 | % | |||||||||||||||||||||||||||
100 | % | ||||||||||||||||||||||||||||
INVESTMENTS_IN_CONSUMER_LOAN_E1
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Investments In Consumer Loan Equity Method Investees Tables | ' | ||||||||||||||||||||||||
Schedule of investments in consumer loan equity method investees | ' | ||||||||||||||||||||||||
The following tables summarize the investment in the Consumer Loan Companies held by New Residential at September 30, 2013: | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Consumer Loan Assets | $ | 2,692,642 | |||||||||||||||||||||||
Other Assets | 90,103 | ||||||||||||||||||||||||
Debt (A) | (2,137,531 | ) | |||||||||||||||||||||||
Other Liabilities | (3,554 | ) | |||||||||||||||||||||||
Equity | $ | 641,660 | |||||||||||||||||||||||
New Residential’s investment | $ | 192,498 | |||||||||||||||||||||||
New Residential’s ownership | 30 | % | |||||||||||||||||||||||
(A) | Represents the Class A asset-backed notes with a face amount of $1.8 billion, an interest rate of 3.75% and a maturity of April 2021 and the Class B asset-backed notes with a face amount of $372.0 million, an interest rate of 4% and a maturity of December 2024. Substantially all of the net cash flow generated by the Consumer Loan Companies is required to be used to pay down the Class A notes. When the balance of the outstanding Class A notes is reduced to 50% of the outstanding UPB of the performing consumer loans, 70% of the net cash flow generated is required to be used to pay down the Class A notes and the equity holders of the Consumer Loan Companies and holders of the Class B notes will each be entitled to receive 15% of the net cash flow of the Consumer Loan Companies on a periodic basis. | ||||||||||||||||||||||||
Nine Months Ended | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Interest income | $ | 325,822 | |||||||||||||||||||||||
Interest expense | (47,010 | ) | |||||||||||||||||||||||
Provision for finance receivable losses | (31,122 | ) | |||||||||||||||||||||||
Other expenses | (46,713 | ) | |||||||||||||||||||||||
Net income | $ | 200,977 | |||||||||||||||||||||||
New Residential’s equity in net income | $ | 60,293 | |||||||||||||||||||||||
Schedule of consumer loan investments made through equity method investees | ' | ||||||||||||||||||||||||
The following is a summary of New Residential’s consumer loan investments made through equity method investees: | |||||||||||||||||||||||||
September 30, 2013 | |||||||||||||||||||||||||
Unpaid | Interest in | Carrying | Weighted | Weighted | Weighted | ||||||||||||||||||||
Principal | Consumer | Value (A) | Average | Average | Average | ||||||||||||||||||||
Balance | Loan | Coupon (B) | Asset Yield | Expected Life | |||||||||||||||||||||
Companies | (Years) (C) | ||||||||||||||||||||||||
Consumer Loans | $ | 3,490,345 | 30 | % | $ | 2,692,642 | 18.3 | % | 15.5 | % | 3.6 | ||||||||||||||
(A) | Represents the carrying value of the consumer loans held by the Consumer Loan Companies. | ||||||||||||||||||||||||
(B) | Substantially all of the cash flow received on the loans is required to be used to make payments on the notes described above. | ||||||||||||||||||||||||
(C) | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||
Schedule of change in investments in consumer loan equity method investees | ' | ||||||||||||||||||||||||
New Residential’s investments in consumer loans, equity method investees changed during the nine months ended September 30, 2013 as follows: | |||||||||||||||||||||||||
For the Nine Months | |||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | |||||||||||||||||||||||
Contributions to equity method investees | 245,421 | ||||||||||||||||||||||||
Distributions of earnings from equity method investees | (60,293 | ) | |||||||||||||||||||||||
Distributions of capital from equity method investees | (52,923 | ) | |||||||||||||||||||||||
Earnings from investments in consumer loan equity method investees | 60,293 | ||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 192,498 |
DEBT_OBLIGATIONS_Tables
DEBT OBLIGATIONS (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations Tables | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Debt Obligations | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table presents certain information regarding New Residential’s debt obligations at September 30, 2013: | The following table presents certain information regarding New Residential’s debt obligations at December 31, 2012: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral | December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase | Month | Outstanding | Carrying | Final | Weighted | Weighted | Outstanding | Amortized | Carrying | Weighted | Collateral | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agreements (A) | Issued | Face | Value | Stated | Average | Average | Face | Cost Basis | Value | Average | Debt Obligation/ | Month | Outstanding | Carrying | Final | Contractual | Weighted | Weighted | Face | Outstanding | Amortized | Carrying | Weighted | Floating | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Maturity | Funding | Life | Life | Collateral | Issued | Face Amount | Value | Stated | Weighted | Average | Average | Amount of | Face Amount | Cost Basis | Value | Average | Rate Face | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cost | (Years) | (Years) | Maturity | Average | Funding | Maturity | Floating | Maturity | Amount | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM | Various | $ | 1,071,587 | $ | 1,071,587 | 13-Dec | 0.36 | % | 0.1 | $ | 1,067,063 | $ | 1,130,533 | $ | 1,124,451 | 2.9 | Funding Cost | Cost | (Years) | Rate Debt | (Years) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (B)(C) | Repurchase Agreements(A) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | Various | 53,475 | 53,475 | 13-Oct | 1.84 | % | 0.1 | 100,411 | 77,108 | 75,667 | 5.3 | Non-Agency RMBS (B)(C) | Various | $ | 150,922 | $ | 150,922 | Jan 2013 | LIBOR+ | 2.21 | % | 0.1 | $ | 150,922 | $ | 344,177 | $ | 215,034 | $ | 228,493 | 6.9 | $ | 344,177 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS (C)(D)(E) | 2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 13-Aug | 342,872 | 342,872 | 14-Aug | 2.43 | % | 0.8 | 729,299 | 465,126 | 489,876 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
term repurchase | (A) | These repurchase agreements had approximately $55 thousand of associated accrued interest payable at December 31, 2012. $151 million face amount of these repurchase agreements were renewed subsequent to December 31, 2012. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
agreement (E)(F) | (B) | The counterparty of these repurchase agreements is Credit Suisse. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Newcastle is the guarantor of these repurchase agreements, which are subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 1,467,934 | $ | 1,467,934 | 0.9 | % | 0.3 | $ | 1,896,773 | $ | 1,672,767 | $ | 1,689,994 | 3.5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | These repurchase agreements had approximately $0.1 million of associated accrued interest payable at September 30, 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | The counterparties of these repurchase agreements are Goldman Sachs $45.9 million, Barclays $287.7 million, Nomura $229.0 million, Citi $133.0 million, Morgan Stanley $97.1 million and Daiwa $278.9 million and were subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | All of the repurchase agreements that matured during October 2013 were renewed or refinanced subsequent to September 30, 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | The counterparties of these repurchase agreements are Barclays $21.8 million, and Royal Bank of Canada $31.6 million and were subject to customary margin call provisions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(E) | All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(F) | Represents a one year term master repurchase agreement with Alpine Securitization Corp., an asset-backed commercial paper facility sponsored by Credit Suisse AG. This repurchase agreement is not subject to margin call provisions and is subject to customary loan covenants and event of default provisions, including event of default provisions triggered by a 50% market capitalization decline provision, as well as a two to one indebtedness to tangible net worth provision. The financing bears interest at LIBOR plus an applicable margin as stated below: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Monthly Payment Date | Applicable Margin | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
August 2013 through October 2013 | 2.25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
November 2013 through January 2014 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
February 2014 through April 2014 | 3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
May 2014 through August 2014 | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of maturities of repurchase agreements | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The financing bears interest at LIBOR plus an applicable margin as stated below: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Monthly Payment Date | Applicable Margin | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
August 2013 through October 2013 | 2.25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
November 2013 through January 2014 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
February 2014 through April 2014 | 3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
May 2014 through August 2014 | 3.5 | % |
FAIR_VALUE_OF_FINANCIAL_INSTRU1
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Of Financial Instruments Tables | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Fair Value of Assets Measured on a Recurring Basis | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The carrying value and fair value of New Residential’s financial assets recorded at fair value on a recurring basis at September 30, 2013 were as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Carrying | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance or | Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real estate securities, available-for-sale | $ | 2,054,797 | $ | 1,861,200 | $ | 1,279,450 | $ | 581,750 | $ | 1,861,200 | ||||||||||||||||||||||||||||||||||||||||||||||||
Investments in excess mortgage servicing rights, at fair value (A) | 72,315,805 | 307,568 | — | 307,568 | 307,568 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in excess mortgage servicing rights, equity method investees, at fair value (A) | 169,856,996 | 358,032 | — | 358,032 | 358,032 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 244,227,598 | $ | 2,526,800 | $ | 1,279,450 | $ | 1,247,350 | $ | 2,526,800 | |||||||||||||||||||||||||||||||||||||||||||||||||
(A) | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. New Residential does not receive an excess mortgage servicing amount on nonperforming loans in Agency portfolios. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Fair Value of Assets and Liabilities Measured on a Recurring Basis | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The carrying value and fair value of New Residential’s financial assets and liabilities at December 31, 2012 were as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance or | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional | Carrying | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Excess MSRs (A) | $ | 76,560,751 | $ | 245,036 | $ | — | $ | 245,036 | $ | 245,036 | ||||||||||||||||||||||||||||||||||||||||||||||||
Real estate securities, available-for-sale | $ | 433,510 | $ | 289,756 | $ | — | $ | 289,756 | $ | 289,756 | ||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 150,922 | $ | 150,922 | $ | 150,922 | $ | — | $ | 150,922 | ||||||||||||||||||||||||||||||||||||||||||||||||
(A) | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. Generally, New Residential does not receive an excess mortgage servicing amount on nonperforming loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Inputs used in Valuing the Excess MSRs owned directly and through equity method investees | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes certain information regarding the inputs used in valuing the Excess MSRs owned directly and through equity method investees as of September 30, 2013: | The following table summarizes certain information regarding the inputs used in valuing the Excess MSRs as of December 31, 2012 and 2011: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Inputs | Significant Input Ranges (December 31, 2011) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held Directly (Note 3) | Prepayment | Delinquency (B) | Recapture | Excess | Discount | Prepayment | Delinquency | Recapture | Excess | Discount | ||||||||||||||||||||||||||||||||||||||||||||||||
Speed (A) | Rate (C) | Mortgage | Rate | Speed (A) | (B) | Rate (C) | Mortgage | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||
Servicing | Servicing | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount (D) | Amount (D) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 1 | 14.4 | % | 10 | % | 35 | % | 28 bps | 12.5 | % | Pool 1 | 20 | % | 10 | % | 35 | % | 29 bps | 20 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 20 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 2 | 14.7 | % | 10.3 | % | 35 | % | 23 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 2—Recapture Agreement | 8 | % | 5 | % | 35 | % | 21 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3 | 15.2 | % | 11.9 | % | 35 | % | 24 bps | 12.5 | % | Significant Input Ranges (December 31, 2012) | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 3—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | Prepayment | Delinquency | Recapture | Excess | Discount | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4 | 15.4 | % | 14.9 | % | 35 | % | 17 bps | 12.5 | % | Speed (A) | (B) | Rate (C) | Mortgage | Rate | ||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 4—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | Servicing | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 5 | 12.3 | % | N/A | (E) | 14 | % | 13 bps | 12.7 | % | Amount (D) | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 5—Recapture Agreement | 8 | % | N/A | (E) | 15 | % | 21 bps | 12.7 | % | Pool 1 | 17.1 | % | 10 | % | 35 | % | 29 bps | 18 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | 9.3 | % | 2.3 | % | 32 | % | 19 bps | 12.5 | % | Pool 1—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 18 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 12 | 15.3 | % | N/A | (E) | 16.7 | % | 26 bps | 16.4 | % | Pool 2 | 16.7 | % | 11 | % | 35 | % | 23 bps | 17.3 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 12—Recapture Agreement | 7 | % | N/A | (E) | 35 | % | 19 bps | 16.4 | % | Pool 2—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.3 | % | |||||||||||||||||||||||||||||||||||||||
Pool 3 | 16.9 | % | 12.1 | % | 35 | % | 23 bps | 17.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Held through Equity Method Investees (Note 6) | Pool 3—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 6 | 18.2 | % | 8.9 | % | 35 | % | 25 bps | 12.5 | % | Pool 4 | 18.6 | % | 15.9 | % | 35 | % | 17 bps | 17.9 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 6—Recapture Agreement | 10 | % | 6 | % | 35 | % | 23 bps | 12.5 | % | Pool 4—Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 17.9 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 7 | 13.3 | % | 8 | % | 35 | % | 16 bps | 12.5 | % | Pool 5 | 15 | % | N/A | (E) | 20 | % | 13 bps | 17.5 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 7—Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | Pool 5—Recapture Agreement | 8 | % | N/A | (E) | 20 | % | 21 bps | 17.5 | % | |||||||||||||||||||||||||||||||||||||||
MSR Pool 8 | 14.3 | % | 6.9 | % | 35 | % | 19 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 8—Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | (A) | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 9 | 18 | % | 5 | % | 35 | % | 22 bps | 12.5 | % | (B) | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 9—Recapture Agreement | 10 | % | 5 | % | 35 | % | 28 bps | 12.5 | % | (C) | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 10 | 11.5 | % | N/A | (E) | 15 | % | 12 bps | 12.7 | % | (D) | Weighted average total mortgage servicing amount in excess of the basic fee. | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 10—Recapture Agreement | 9 | % | N/A | (E) | 35 | % | 19 bps | 12.7 | % | (E) | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). | |||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 11 | 18.7 | % | 7.8 | % | 38.9 | % | 15 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
MSR Pool 11—Recapture Agreement | 10 | % | 2 | % | 35 | % | 19 bps | 12.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(D) | Weighted average total mortgage servicing amount in excess of the basic fee. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(E) | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Excess MSRs valued on a recurring basis using Level 3 inputs | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Excess MSRs, owned directly, measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | Excess MSRs measured at fair value on a recurring basis using Level 3 inputs changed during the period December 8, 2011 (Commencement of operations) through December 31, 2011 and the year ended December 31, 2012 as follows: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 (A) | Level 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MSR | MSR | MSR | MSR | MSR | MSR | MSR | Total | Pool 1 (A) | Pool 2 (A) | Pool 3 (A) | Pool 4 (A) | Pool 5 (A) | Total | |||||||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 2 | Pool 3 | Pool 4 | Pool 5 | Pool 11 | Pool 12 | Balance at December 8, 2011 (Commencement of operations) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | — | $ | — | $ | 245,036 | Transfers (B) | |||||||||||||||||||||||||||||||||||||||||
Transfers (B) | — | Transfers from Level 3 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers from Level 3 (B) | — | — | — | — | — | — | — | — | Transfers into Level 3 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
Transfers to Level 3 (B) | — | — | — | — | — | — | — | — | Total gains (losses) included in net income (C) | 367 | — | — | — | — | 367 | |||||||||||||||||||||||||||||||||||||||||||
Gains (losses) included in net | 6,807 | 7,509 | 7,657 | 3,644 | 18,208 | — | 74 | 43,899 | Interest income | 1,260 | — | — | — | — | 1,260 | |||||||||||||||||||||||||||||||||||||||||||
income (C) | Purchases, sales and repayments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | 5,097 | 3,739 | 4,892 | 2,034 | 14,728 | — | 51 | 30,541 | Purchases | 43,742 | — | — | — | — | 43,742 | |||||||||||||||||||||||||||||||||||||||||||
Purchases, sales and repayments | — | Proceeds from sales | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | — | — | 26,637 | 2,391 | 17,393 | 46,421 | Proceeds from repayments | (1,398 | ) | — | — | — | — | (1,398 | ) | |||||||||||||||||||||||||||||||||||||||||
Purchase adjustments | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | — | — | — | — | — | — | — | — | Balance at December 31, 2011 | $ | 43,971 | $ | — | $ | — | $ | — | $ | — | $ | 43,971 | |||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (10,278 | ) | (9,096 | ) | (8,689 | ) | (3,525 | ) | (26,741 | ) | — | — | (58,329 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Transfers (B) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 42,536 | $ | 41,474 | $ | 39,294 | $ | 17,189 | $ | 147,166 | $ | 2,391 | $ | 17,518 | $ | 307,568 | Transfers from Level 3 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total gains (losses) included in net income (C) | 5,877 | 1,226 | 2,780 | 1,004 | (1,864 | ) | 9,023 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Includes the Recapture Agreement for each respective pool. | Interest income | 7,955 | 3,450 | 3,409 | 1,381 | 11,293 | 27,488 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Transfers are assumed to occur at the beginning of the respective period. | Purchases, sales and repayments | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. These gains (losses) represent the change in fair value of the Excess MSRs and are recorded in “Change in fair value of investments in excess mortgage servicing rights” in the consolidated statements of income. | Purchases | — | 43,872 | 36,218 | 15,439 | 124,813 | 220,342 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Purchase adjustments | (178 | ) | (1,522 | ) | — | — | — | (1,700 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (16,715 | ) | (7,704 | ) | (6,973 | ) | (2,788 | ) | (19,908 | ) | (54,088 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | 245,036 | ||||||||||||||||||||||||||||||||||||||||||||||
(A) | Includes the recapture agreement for each respective pool. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Transfers are assumed to occur at the beginning of the respective period. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(C) | The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. These gains (losses) represent the change in fair value of the Excess MSRs and are recorded in “Change in fair value of investments in excess mortgage servicing rights” in the consolidated statements of income. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of investments in equity method investees valued on a recurring basis using Level 3 inputs | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Residential’s investments in equity method investees measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Contributions to equity method investees | 351,937 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions of earnings from equity method investees | (18,626 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions of capital from equity method investees | (17,020 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in fair value of investments in equity method investees | 41,741 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 358,032 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of real estate securities valuation methodology and results | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
As of September 30, 2013, New Residential’s securities valuation methodology and results are further detailed as follows: | As of December 31, 2012 New Residential’s securities valuation methodology and results are further detailed as follows: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding | Amortized | Multiple | Total | Level | Asset Type | Outstanding | Amortized | Multiple | Single | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Face | Cost Basis | Quotes (A) | Face Amount | Cost Basis | Quotes (A) | Quote (B) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | ABS-Subprime | $ | 433,510 | $ | 274,230 | $ | 265,556 | $ | 24,200 | $ | 289,756 | |||||||||||||||||||||||||||||||||||||||||||||||
Agency ARM RMBS | $ | 1,203,293 | $ | 1,285,532 | $ | 1,279,450 | $ | 1,279,450 | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 581,750 | 581,750 | 3 | (A) | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis using internal models, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. | |||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 2,054,797 | $ | 1,845,512 | $ | 1,861,200 | $ | 1,861,200 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable”—meaning that the party giving the quotation is not bound to actually purchase the security at the quoted | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of non-agency RMBS valued on a recurring basis using Level 3 inputs | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows: | Securities measured at fair value on a recurring basis using Level 3 inputs changed during the year ended December 31, 2012 as follows: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 | Level 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency | ABS- | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | Subprime | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 289,756 | Balance at December 31, 2011 | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfer (A) | Transfers (A) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers from Level 3 | — | Transfers from Level 3 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | Transfers into Level 3 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total gains (losses) | Total gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in net income as impairment | (729 | ) | Included in net income | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gain on settlement of securities | 11,271 | Included in other comprehensive income (B) | 15,526 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in comprehensive income (B) | 6,501 | Amortization included in interest income | 5,339 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amortization included in interest income | 16,286 | Purchases, contributions in-kind, sales and repayments | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases, sales and repayments | Purchases | 121,262 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | 450,144 | Contributions in-kind | 164,142 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sales | (123,130 | ) | Proceeds from sales | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from repayments | (68,349 | ) | Proceeds from repayments | (16,513 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2013 | $ | 581,750 | Balance at December 31, 2012 | $ | 289,756 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | Transfers are assumed to occur at the beginning of the respective period. | (A) | Transfers are assumed to occur at the beginning of the respective period. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | These gains (losses) were included in net unrealized gain (loss) on securities in the consolidated statements of comprehensive income. | (B) | These gains (losses) were included in net unrealized gain (loss) on securities in the consolidated statements of comprehensive income. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Inputs used in valuing reverse mortgage loans | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes the inputs used in valuing reverse mortgage loans as of September 30, 2013: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse Mortgage Loans for Which Fair Value is Only Disclosed | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan Type | Outstanding | Carrying | Fair | Valuation | Discount | Weighted | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Face | Value | Value | Allowance/ | Rate | Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | (A) | (Reversal) | Life | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(A) | In Current | (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year | (B) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse Mortgage Loans | $ | 56,738 | $ | 33,060 | $ | 33,162 | $ | — | 10.3 | % | 3.8 | |||||||||||||||||||||||||||||||||||||||||||||||
(A) | Represents a 70% interest New Residential holds in the reverse mortgage loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(B) | The weighted average life is based on the expected timing of the receipt of cash flows. |
EQUITY_AND_EARNINGS_PER_SHARE_
EQUITY AND EARNINGS PER SHARE (Tables) | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Equity And Earnings Per Share Tables | ' | ||||||||||||
Schedule of outstanding options | ' | ||||||||||||
New Residential’s outstanding options at September 30, 2013 consisted of the following: | |||||||||||||
Number of | Strike Price | Maturity Date | |||||||||||
Options | |||||||||||||
304,604 | 12.28 | 12/1/13 | |||||||||||
328,350 | 14.17 | 1/9/14 | |||||||||||
343,275 | 13.86 | 5/25/14 | |||||||||||
162,500 | 16.95 | 11/22/14 | |||||||||||
330,000 | 15.97 | 1/12/15 | |||||||||||
2,000 | 16.68 | 8/1/15 | |||||||||||
170,000 | 15.87 | 11/1/16 | |||||||||||
242,000 | 16.9 | 1/23/17 | |||||||||||
456,000 | 14.96 | 4/11/17 | |||||||||||
1,580,166 | 3.29 | 3/29/21 | |||||||||||
2,424,833 | 2.49 | 9/27/21 | |||||||||||
2,000 | 2.74 | 12/20/21 | |||||||||||
1,867,167 | 3.41 | 4/3/21 | |||||||||||
2,265,000 | 3.67 | 5/21/22 | |||||||||||
2,499,167 | 3.67 | 7/31/22 | |||||||||||
5,750,000 | 5.12 | 1/11/23 | |||||||||||
2,300,000 | 5.74 | 2/15/23 | |||||||||||
8,000 | 6.79 | 6/2/23 | |||||||||||
Total/Weighted Average | 21,035,062 | $ | 5.35 | ||||||||||
As of September 30, 2013, New Residential’s outstanding options were summarized as follows: | |||||||||||||
Held by the Manager | 17,893,795 | ||||||||||||
Issued to the Manager and subsequently transferred to certain of the Manager’s employees | 3,129,267 | ||||||||||||
Issued to the independent directors | 12,000 | ||||||||||||
Total | 21,035,062 | ||||||||||||
TRANSACTIONS_WITH_AFFILIATES_A1
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 9 Months Ended | 12 Months Ended | ||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | |||||||||||||||||
Transactions With Affiliates And Affiliated Entities Tables | ' | ' | ||||||||||||||||
Schedule of due to affiliate | ' | ' | ||||||||||||||||
Due to affiliate is comprised of the following amounts: | Due to Newcastle is comprised of the following amounts due to Newcastle as of December 31, 2012 and 2011: | |||||||||||||||||
September 30, | December 31, | December 31, | December 31, | |||||||||||||||
2013 | 2012 | 2012 | 2011 | |||||||||||||||
Management fees | $ | 1,495 | $ | 3,392 | Management fees payable to Newcastle | $ | 3,392 | $ | 39 | |||||||||
Incentive compensation | 5,348 | — | Reimbursable expenses payable to Newcastle | 1,744 | 119 | |||||||||||||
Expense reimbursements | 266 | — | ||||||||||||||||
Purchase price payable | — | 1,744 | $ | 5,136 | $ | 158 | ||||||||||||
$ | 7,109 | $ | 5,136 | |||||||||||||||
RECLASSIFICATION_FROM_ACCUMULA1
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Tables) | 9 Months Ended | ||||||||||
Sep. 30, 2013 | |||||||||||
Reclassification From Accumulated Other Comprehensive Income Into Net Income Tables | ' | ||||||||||
Schedule of reclassification from accumulated other comprehensive income into net income | ' | ||||||||||
The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: | |||||||||||
Accumulated Other Comprehensive Income Components | Statement of Income Location | Three Months | Nine Months | ||||||||
Ended | Ended | ||||||||||
September 30, | September 30, | ||||||||||
2013 | 2013 | ||||||||||
Reclassification of net realized (gain) loss on securities into earnings | Gain on settlement of securities | $ | (11,213 | ) | $ | (11,271 | ) | ||||
Reclassification of net realized (gain) loss on securities into earnings | Other-than-temporary impairment on securities | — | 3,756 | ||||||||
Total reclassifications | $ | (11,213 | ) | $ | (7,515 | ) | |||||
GENERAL_Details_Narrative
GENERAL (Details Narrative) | Sep. 30, 2013 | Dec. 31, 2012 |
Integer | ||
General Details Narrative | ' | ' |
Number of mortgage pools where the company has excess mortgage servicing rights pools directly or indirectly | 12 | ' |
REIT Distribution Threshold for Nontaxation | 90.00% | 90.00% |
Management fee rate (percent) | 1.50% | 1.50% |
ORGANIZATION_Details_Narrative
ORGANIZATION (Details Narrative) | Sep. 30, 2013 | Dec. 31, 2012 |
Organization Details Narrative | ' | ' |
REIT Distribution Threshold for Nontaxation | 90.00% | 90.00% |
SUMMARY_OF_SIGNIFICANT_ACCOUNT2
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Sep. 30, 2013 |
Summary Of Significant Accounting Policies Details Narrative | ' | ' |
Management fee rate (percent) | 1.50% | 1.50% |
Breakup-fee due for ResCap bankruptcy | $8,400 | ' |
SEGMENT_REPORTING_Details
SEGMENT REPORTING (Details) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
In Thousands, unless otherwise specified | Dec. 31, 2011 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | ||
Interest income | $1,260 | $21,885 | $12,295 | $61,075 | [1] | $18,811 | $33,759 | |
Interest expense | ' | 3,443 | 298 | 6,993 | [1] | 298 | 704 | |
Net interest income | 1,260 | 18,442 | 11,997 | 54,082 | [1] | 18,513 | 33,055 | |
Change in fair value of investments in excess mortgage servicing rights | 367 | ' | ' | ' | ' | 9,023 | ||
Impairment | ' | ' | ' | 3,756 | [1] | ' | ' | |
Other income (loss) | ' | ' | ' | ' | ' | 8,400 | ||
Other income | 367 | 56,195 | 1,774 | 157,204 | [1] | 6,513 | 17,423 | |
Other operating expenses | 913 | 11,492 | 2,003 | 22,088 | [1] | 4,096 | 9,231 | |
Net income (loss) | 714 | 63,145 | 11,768 | 185,442 | [1] | 20,930 | 41,247 | |
Investments | ' | 2,752,358 | ' | 2,752,358 | ' | ' | ||
Cash and cash equivalents | ' | 172,203 | [2] | ' | 172,203 | [2] | ' | ' |
Other assets | ' | 7,283 | [2] | ' | 7,283 | [2] | ' | 84 |
Total assets | 43,971 | 2,931,844 | [2] | ' | 2,931,844 | [2] | ' | 534,876 |
Debt | ' | 1,467,934 | [2] | ' | 1,467,934 | [2] | ' | 150,922 |
Other liabilities | ' | 202,874 | ' | 202,874 | ' | ' | ||
Total liabilities | 4,163 | 1,670,808 | [2] | ' | 1,670,808 | [2] | ' | 156,520 |
GAAP book value | ' | 1,261,036 | ' | 1,261,036 | ' | ' | ||
Investments in equity method investees at fair value | ' | 550,530 | ' | 550,530 | ' | ' | ||
Excess MSRs | ' | ' | ' | ' | ' | ' | ||
Interest income | 1,260 | 9,761 | 9,903 | 30,541 | 16,419 | 27,496 | ||
Interest expense | ' | ' | ' | ' | ' | ' | ||
Net interest income | 1,260 | 9,761 | 9,903 | 30,541 | 16,419 | 27,496 | ||
Change in fair value of investments in excess mortgage servicing rights | 367 | ' | ' | ' | ' | 9,023 | ||
Impairment | ' | ' | ' | ' | ' | ' | ||
Other income (loss) | ' | ' | ' | ' | ' | 8,400 | ||
Other income | ' | 20,853 | 1,774 | 85,640 | 6,513 | ' | ||
Other operating expenses | 809 | 82 | 994 | 178 | 2,141 | 5,449 | ||
Net income (loss) | 818 | 30,532 | 10,683 | 116,003 | 20,791 | 39,470 | ||
Investments | ' | 665,600 | ' | 665,600 | ' | ' | ||
Cash and cash equivalents | ' | ' | ' | ' | ' | ' | ||
Other assets | ' | ' | ' | ' | ' | ' | ||
Total assets | 43,971 | 665,600 | ' | 665,600 | ' | 245,068 | ||
Debt | ' | ' | ' | ' | ' | ' | ||
Other liabilities | ' | 82 | ' | 82 | ' | ' | ||
Total liabilities | ' | 82 | ' | 82 | ' | ' | ||
GAAP book value | ' | 665,518 | ' | 665,518 | ' | ' | ||
Investments in equity method investees at fair value | ' | 358,032 | ' | 358,032 | ' | ' | ||
Real Estate Securities and Loans | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | 12,120 | 2,392 | 30,492 | 2,392 | 6,263 | ||
Interest expense | ' | 3,443 | 298 | 6,993 | 298 | 704 | ||
Net interest income | ' | 8,677 | 2,094 | 23,499 | 2,094 | 5,559 | ||
Change in fair value of investments in excess mortgage servicing rights | ' | ' | ' | ' | ' | ' | ||
Impairment | ' | ' | ' | 3,756 | ' | ' | ||
Other income (loss) | ' | ' | ' | ' | ' | ' | ||
Other income | ' | 11,213 | ' | 11,271 | ' | ' | ||
Other operating expenses | ' | 104 | ' | 256 | ' | ' | ||
Net income (loss) | ' | 19,786 | 2,094 | 30,758 | 2,094 | 5,559 | ||
Investments | ' | 1,894,260 | ' | 1,894,260 | ' | ' | ||
Cash and cash equivalents | ' | ' | ' | ' | ' | ' | ||
Other assets | ' | 6,563 | ' | 6,563 | ' | ' | ||
Total assets | ' | 1,900,823 | ' | 1,900,823 | ' | 289,808 | ||
Debt | ' | 1,467,934 | ' | 1,467,934 | ' | ' | ||
Other liabilities | ' | 149,352 | ' | 149,352 | ' | ' | ||
Total liabilities | ' | 1,617,286 | ' | 1,617,286 | ' | ' | ||
GAAP book value | ' | 283,537 | ' | 283,537 | ' | ' | ||
Investments in equity method investees at fair value | ' | ' | ' | ' | ' | ' | ||
Consumer Loans | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | ' | ' | ' | ' | ' | ||
Interest expense | ' | ' | ' | ' | ' | ' | ||
Net interest income | ' | ' | ' | ' | ' | ' | ||
Impairment | ' | ' | ' | ' | ' | ' | ||
Other income | ' | 24,129 | ' | 60,293 | ' | ' | ||
Other operating expenses | ' | 1 | ' | 1,952 | ' | ' | ||
Net income (loss) | ' | 24,128 | ' | 58,341 | ' | ' | ||
Investments | ' | 192,498 | ' | 192,498 | ' | ' | ||
Cash and cash equivalents | ' | ' | ' | ' | ' | ' | ||
Other assets | ' | ' | ' | ' | ' | ' | ||
Total assets | ' | 192,498 | ' | 192,498 | ' | ' | ||
Debt | ' | ' | ' | ' | ' | ' | ||
Other liabilities | ' | ' | ' | ' | ' | ' | ||
Total liabilities | ' | ' | ' | ' | ' | ' | ||
GAAP book value | ' | 192,498 | ' | 192,498 | ' | ' | ||
Investments in equity method investees at fair value | ' | 192,498 | ' | 192,498 | ' | ' | ||
Corporate | ' | ' | ' | ' | ' | ' | ||
Interest income | ' | 4 | ' | 42 | ' | ' | ||
Interest expense | ' | ' | ' | ' | ' | ' | ||
Net interest income | ' | 4 | ' | 42 | ' | ' | ||
Change in fair value of investments in excess mortgage servicing rights | ' | ' | ' | ' | ' | ' | ||
Impairment | ' | ' | ' | ' | ' | ' | ||
Other income (loss) | ' | ' | ' | ' | ' | ' | ||
Other income | ' | ' | ' | ' | ' | ' | ||
Other operating expenses | 104 | 11,305 | 1,009 | 19,702 | 1,955 | 3,782 | ||
Net income (loss) | -104 | -11,301 | -1,009 | -19,660 | -1,955 | -3,782 | ||
Investments | ' | ' | ' | ' | ' | ' | ||
Cash and cash equivalents | ' | 172,203 | ' | 172,203 | ' | ' | ||
Other assets | ' | 720 | ' | 720 | ' | ' | ||
Total assets | ' | 172,923 | ' | 172,923 | ' | ' | ||
Debt | ' | ' | ' | ' | ' | ' | ||
Other liabilities | ' | 53,440 | ' | 53,440 | ' | ' | ||
Total liabilities | ' | 53,440 | ' | 53,440 | ' | ' | ||
GAAP book value | ' | 119,483 | ' | 119,483 | ' | ' | ||
Investments in equity method investees at fair value | ' | ' | ' | ' | ' | ' | ||
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | |||||||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. |
INVESTMENTS_IN_EXCESS_MORTGAGE4
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE - DIRECT INVESTMENTS (Details) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Dec. 31, 2011 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Apr. 02, 2013 | Jan. 04, 2013 | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 13, 2011 | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Jun. 05, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 23, 2013 | Sep. 30, 2013 | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | Nov. 30, 2012 | |||||||||||||||||||||||||||||
MSRs Pool 1 | MSRs Pool 1 | MSRs Pool 1 | MSRs Pool 1 | MSR Pool 1 Recapture Agreement | MSR Pool 1 Recapture Agreement | MSR Pool 1 Recapture Agreement | MSRs Pool 2 | MSRs Pool 2 | MSRs Pool 2 | MSR Pool 2 Recapture Agreement | MSR Pool 2 Recapture Agreement | MSRs Pool 3 | MSRs Pool 3 | MSR Pool 3 Recapture Agreement | MSR Pool 3 Recapture Agreement | MSRs Pool 4 | MSRs Pool 4 | MSR Pool 4 Recapture Agreement | MSR Pool 4 Recapture Agreement | MSRs Pool 5 | MSRs Pool 5 | MSR Pool 5 Recapture Agreement | MSR Pool 5 Recapture Agreement | MSR Pool 11 Recapture Agreement | MSRs Pool 12 | MSRs Pool 12 | MSR Pool 12 Recapture Agreement | MSRs | MSRs | MSRs | MSRs | ||||||||||||||||||||||||||||||||||||||
Unpaid principal balance of underlying loans | ' | ' | ' | ' | ' | ' | $4,200,000 | ' | $9,705,512 | $7,171,426 | $8,403,211 | ' | ' | ' | ' | $8,217,751 | $9,397,120 | ' | ' | ' | $8,066,890 | $9,069,726 | ' | ' | $5,222,892 | $5,788,133 | ' | ' | $38,315,786 | $43,902,561 | ' | ' | ' | $5,321,060 | ' | ' | $9,705,512 | $72,315,805 | $76,560,751 | $13,000,000 | |||||||||||||||||||||||||||||
Interest in Excess MSR | ' | ' | ' | ' | ' | ' | ' | 67.00% | ' | 65.00% | ' | 65.00% | ' | 65.00% | ' | 65.00% | ' | 65.00% | 65.00% | ' | 65.00% | ' | 65.00% | ' | 65.00% | ' | 65.00% | ' | 80.00% | ' | 80.00% | ' | 66.70% | 40.00% | 40.00% | 40.00% | ' | ' | ' | ' | |||||||||||||||||||||||||||||
Amortized Cost Basis | ' | ' | ' | ' | ' | ' | ' | ' | 37,469 | [1] | 27,255 | [2] | 30,237 | [1] | ' | 6,135 | [1] | 2,230 | [2] | 4,430 | [1] | 30,806 | [2] | 32,890 | [1] | ' | 1,934 | [2] | 5,206 | [1] | 25,250 | [2] | 27,618 | [1] | 3,608 | [2] | 5,036 | [1] | 10,032 | [2] | 11,130 | [1] | 2,509 | [2] | 2,902 | [1] | 121,544 | [2] | 107,704 | [1] | 9,277 | [2] | 8,493 | [1] | 2,391 | [2] | 16,963 | [2] | ' | 479 | [2] | 43,604 | [1] | 254,278 | [2] | 235,646 | [1] | ' | |
Carrying Value | ' | ' | ' | ' | ' | ' | ' | ' | 37,637 | [1] | 37,907 | [3] | 35,974 | [1] | ' | 6,334 | [1] | 4,629 | [3] | 4,936 | [1] | 35,592 | [3] | 33,935 | [1] | ' | 5,882 | [3] | 5,387 | [1] | 34,063 | [3] | 30,474 | [1] | 5,231 | [3] | 4,960 | [1] | 13,743 | [3] | 12,149 | [1] | 3,446 | [3] | 2,887 | [1] | 142,387 | [3] | 109,682 | [1] | 4,779 | [3] | 4,652 | [1] | 2,391 | [3] | 17,032 | [3] | ' | 486 | [3] | 43,971 | [1] | 307,568 | [3] | 245,036 | [1] | ' | |
Weighted average yield | ' | ' | ' | 2.48% | [4] | ' | ' | ' | ' | 20.00% | 12.50% | 18.00% | ' | 20.00% | 12.50% | 18.00% | 12.50% | 17.30% | ' | 12.50% | 17.30% | 12.50% | 17.60% | 12.50% | 17.60% | 12.50% | 17.90% | 12.50% | 17.90% | 12.70% | 17.50% | 12.70% | 17.50% | 12.50% | 16.40% | ' | 16.40% | 20.00% | 12.90% | 17.60% | ' | ||||||||||||||||||||||||||||
Weighted average life (years) | ' | ' | ' | '3 years 6 months | [4],[5] | ' | ' | ' | ' | '4 years 6 months | [1] | '4 years 10 months 24 days | [6] | '4 years 9 months 18 days | [1] | ' | '10 years 3 months 18 days | [1] | '11 years 3 months 18 days | [6] | '10 years 9 months 18 days | [1] | '5 years 2 months 12 days | [6] | '5 years | [1] | ' | '12 years 3 months 18 days | [6] | '11 years 9 months 18 days | [1] | '4 years 9 months 18 days | [6] | '4 years 8 months 12 days | [1] | '11 years 7 months 6 days | [6] | '11 years 3 months 18 days | [1] | '5 years 2 months 12 days | [6] | '4 years 7 months 6 days | [1] | '11 years 7 months 6 days | [6] | '11 years 1 month 6 days | [1] | '5 years 4 months 24 days | [6] | '5 years 9 months 18 days | [1] | '12 years 6 months | [6] | '11 years 8 months 12 days | [1] | '10 years 2 months 12 days | [6] | '4 years 7 months 6 days | [6] | ' | '13 years 7 months 6 days | [6] | '6 years | [1] | '5 years 9 months 18 days | [6] | '5 years 4 months 24 days | [1] | ' |
Change in fair value of investments recorded in other income | $367 | $208 | $1,774 | $43,899 | [7] | $6,513 | $9,023 | ' | ' | $168 | [8] | $4,914 | [9] | $5,569 | [8] | ' | $199 | [8] | $1,893 | [9] | $307 | [8] | $3,742 | [9] | $1,045 | [8] | ' | $3,767 | [9] | $181 | [8] | $5,958 | [9] | $2,856 | [8] | $1,699 | [9] | ($76) | [8] | $2,693 | [9] | $1,019 | [8] | $951 | [9] | ($15) | [8] | $18,864 | [9] | $1,978 | [8] | ($656) | [9] | ($3,841) | [8] | ' | [9] | $69 | [9] | ' | $5 | [9] | $367 | [8] | $43,899 | [9] | $9,023 | [8] | ' |
[1] | Weighted Average Maturity represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[2] | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[3] | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[4] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[5] | The weighted average life is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[6] | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[7] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[8] | Based on the information provided by the loan servicer as of the most recent remittance for the respective dates. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[9] | The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool. |
INVESTMENTS_IN_EXCESS_MORTGAGE5
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE - GEOGRAPHIC DISTRIBUTION (Details 1) (MSRs) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||
Total outstanding (percent) | 100.00% | 100.00% | [1] | 100.00% | [1] |
California | ' | ' | ' | ||
Total outstanding (percent) | 30.30% | 32.00% | [1] | 19.40% | [1] |
Florida | ' | ' | ' | ||
Total outstanding (percent) | 10.10% | 10.10% | [1] | 11.10% | [1] |
New York | ' | ' | ' | ||
Total outstanding (percent) | 4.70% | 4.30% | [1] | ' | |
Texas | ' | ' | ' | ||
Total outstanding (percent) | 4.20% | 3.60% | [1] | 6.70% | [1] |
Washington | ' | ' | ' | ||
Total outstanding (percent) | 4.10% | 4.30% | [1] | 3.20% | [1] |
Arizona | ' | ' | ' | ||
Total outstanding (percent) | 3.70% | 3.90% | [1] | 4.80% | [1] |
Maryland | ' | ' | ' | ||
Total outstanding (percent) | 3.60% | 3.40% | [1] | 3.10% | [1] |
Colorado | ' | ' | ' | ||
Total outstanding (percent) | 3.30% | 3.50% | [1] | ' | |
New Jersey | ' | ' | ' | ||
Total outstanding (percent) | 3.30% | 3.10% | [1] | 3.10% | [1] |
Virginia | ' | ' | ' | ||
Total outstanding (percent) | 3.10% | 3.00% | [1] | 3.50% | [1] |
Other US Locations | ' | ' | ' | ||
Total outstanding (percent) | 29.60% | 2.88% | [1] | 39.40% | [1] |
Illinois | ' | ' | ' | ||
Total outstanding (percent) | ' | ' | 3.00% | [1] | |
Nevada | ' | ' | ' | ||
Total outstanding (percent) | ' | ' | 2.70% | [1] | |
[1] | Based on the information provided by the loan servicer as of the most recent remittance for the respective dates. |
INVESTMENTS_IN_EXCESS_MORTGAGE6
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Details Narrative) (USD $) | Sep. 30, 2013 | Jan. 04, 2013 | Dec. 31, 2012 | Dec. 13, 2011 | Sep. 30, 2013 | Dec. 13, 2011 | Jun. 05, 2012 | Sep. 30, 2013 | Jun. 05, 2012 | Jun. 29, 2012 | Sep. 30, 2013 | Jun. 29, 2012 | 20-May-13 | Sep. 23, 2013 | Sep. 30, 2013 | Jun. 29, 2012 | Sep. 30, 2013 | Jun. 29, 2012 | Sep. 30, 2013 | Jun. 29, 2012 | |
In Thousands, unless otherwise specified | MSRs Pool 1 | MSRs Pool 1 | MSRs Pool 1 | MSRs Pool 2 | MSRs Pool 2 | MSRs Pool 2 | MSR Pools 3, 4 and 5 | MSRs Pool 5 | MSRs Pool 5 | MSRs Pool 11 | MSRs Pool 12 | MSRs Pool 12 | MSRs | MSRs Pool 3 | MSRs Pool 3 | MSRs Pool 4 | MSRs Pool 4 | ||||
As reported at 12/31/12 | As reported at 12/31/12 | As reported at 12/31/12 | As reported at 12/31/12 | As reported at 12/31/12 | As reported at 12/31/12 | ||||||||||||||||
Percentage of Investment co-owned by Nationstar | ' | 33.00% | ' | 35.00% | ' | 35.00% | 35.00% | ' | 35.00% | 35.00% | ' | ' | ' | 20.00% | ' | 35.00% | ' | ' | ' | ' | |
Percentage of Investment owned by New Residential | ' | 67.00% | ' | 65.00% | 65.00% | 65.00% | 65.00% | 65.00% | 65.00% | 65.00% | 80.00% | ' | 66.70% | 40.00% | 40.00% | 65.00% | 65.00% | ' | 65.00% | ' | |
Amount invested | ' | ' | ' | $43,700 | ' | $44,000 | $42,300 | ' | $44,000 | $176,500 | $26,600 | ' | $2,400 | $17,400 | ' | $176,500 | ' | ' | ' | ' | |
Unpaid principal balance of underlying mortgage | ' | ' | ' | ' | ' | 9,900,000 | ' | ' | 10,400,000 | ' | ' | 47,600,000 | ' | ' | ' | 63,700,000 | ' | 9,800,000 | ' | 6,300,000 | |
Non-conforming loans in private label securitizations of portfolio (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' | |
Conforming loans in GSE pools of portfolio (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ' | |
Repurchase agreements | $1,467,934 | [1] | ' | $150,922 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Additional percentage of investment purchased by New Residential | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | ' | 33.30% | ' | ' | ' | ' | ' | ' | ' | |
Percentage of Investment owned by Fortress-managed (affiliated funds) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 40.00% | ' | ' | ' | ' | ' | ' | |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. |
INVESTMENTS_IN_REAL_ESTATE_SEC2
INVESTMENTS IN REAL ESTATE SECURITIES - AVAILABLE FOR SALE (Details) (USD $) | 9 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | ||||
Integer | Agency RMBS | Non-Agency RMBS | ABS Subprime | ||||||
Integer | Integer | Integer | |||||||
Outstanding face amount | $2,054,797 | [1] | ' | $1,203,293 | [2],[3] | $851,504 | $433,510 | [4] | |
Amortized cost basis | 1,845,512 | [1] | ' | 1,285,532 | [2],[3] | 559,980 | 274,230 | [4] | |
Gains - gross unrealized | 29,569 | [1] | ' | 1,480 | [2],[3] | 28,089 | 15,856 | [4] | |
Losses - gross unrealized | -13,881 | [1] | ' | -7,562 | [2],[3] | -6,319 | -330 | [4] | |
Carrying value | $1,861,200 | [1],[5],[6] | $289,756 | $1,279,450 | [2],[3],[6] | $581,750 | [6] | $289,756 | [4],[7] |
Number of securities | 190 | [1] | ' | 95 | [2],[3] | 95 | 29 | [4] | |
Weighted average rating | 'BBB | [1],[8] | ' | 'AAA | [2],[3],[8] | 'CC | [8] | 'CC | [4],[9] |
Weighted average coupon | 2.48% | [1] | ' | 3.15% | [2],[3] | 0.82% | 0.63% | [4] | |
Weighted average yield | 2.48% | [1] | ' | 1.30% | [2],[3] | 5.20% | 6.55% | [4] | |
Weighted average life (years) | '3 years 6 months | [1],[10] | ' | '3 years | [10],[2],[3] | '4 years 2 months 12 days | [10] | '6 years 9 months 18 days | [11],[4] |
Principal Subordination - Weighted Average | ' | ' | ' | 9.10% | [12] | 10.00% | [12],[4] | ||
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||
[2] | 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"). | ||||||||
[3] | Amortized cost basis and carrying value include principal receivable of $10.7 million. | ||||||||
[4] | The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $432.4 million. | ||||||||
[5] | Represents our historical consolidated balance sheet at September 30, 2013. | ||||||||
[6] | Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | ||||||||
[7] | Fair value, which is equal to carrying value for all securities. See Note 7 regarding the estimation of fair value. | ||||||||
[8] | 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. | ||||||||
[9] | 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. | ||||||||
[10] | The weighted average life is based on the timing of expected principal reduction on the assets. | ||||||||
[11] | The weighted average maturity is based on the timing of expected principal reduction on the assets. | ||||||||
[12] | Percentage of the outstanding face amount of securities and residual interests that is subordinate to New Residential's investments. |
INVESTMENTS_IN_REAL_ESTATE_SEC3
INVESTMENTS IN REAL ESTATE SECURITIES - UNREALIZED LOSS POSITION (Details 1) (USD $) | 9 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | |
Integer | Integer | ||
Outstanding face amount | $2,054,797 | [1] | ' |
Amortized cost basis | 1,845,512 | [1] | ' |
Weighted average rating | 'BBB | [1],[2] | ' |
Weighted average coupon | 2.48% | [1] | ' |
Weighted average yield | 2.48% | [1] | ' |
Weighted average life (years) | '3 years 6 months | [1],[3] | ' |
Securities in an Unrealized Loss Position Less than Twelve Months | ' | ' | |
Outstanding face amount | 1,015,349 | 15,747 | |
Before Impairment - Amortized Cost Basis | 995,953 | ' | |
Other Than Temporary Impairment - Amortized Cost Basis | -2,653 | [4] | ' |
Amortized cost basis | 993,300 | 9,945 | |
Gross unrealized losses - less than twelve months | -13,676 | -330 | |
Carrying value - less than twelve months | 979,624 | 9,615 | |
Number of securities | 85 | 4 | |
Weighted average rating | 'A | 'CC | |
Weighted average coupon | 2.72% | 1.46% | |
Weighted average yield | 2.00% | 5.91% | |
Weighted average life (years) | '3 years 2 months 12 days | '7 years 2 months 12 days | |
Securities in an Unrealized Loss Position Greater than Twelve Months | ' | ' | |
Outstanding face amount | 30,939 | ' | |
Before Impairment - Amortized Cost Basis | 33,451 | ' | |
Other Than Temporary Impairment - Amortized Cost Basis | -411 | [4] | ' |
Amortized cost basis | 33,040 | ' | |
Gross unrealized losses - twelve months or more | -205 | ' | |
Carrying value - twelve months or more | 32,835 | ' | |
Number of securities | 4 | ' | |
Weighted average rating | 'AAA | '- | |
Weighted average coupon | 3.50% | ' | |
Weighted average yield | 1.28% | ' | |
Weighted average life (years) | '2 years 7 months 6 days | ' | |
Securities in a Loss Position | ' | ' | |
Outstanding face amount | 1,046,288 | 15,747 | |
Before Impairment - Amortized Cost Basis | 1,029,404 | ' | |
Other Than Temporary Impairment - Amortized Cost Basis | -3,064 | [4] | ' |
Amortized cost basis | 1,026,340 | 9,945 | |
Total gross unrealized losses | -13,881 | -330 | |
Carrying value - less than twelve months | ' | 9,615 | |
Carrying value - twelve months or more | ' | ' | |
Total fair value | $1,012,459 | ' | |
Number of securities | 89 | 4 | |
Weighted average rating | 'A | 'CC | |
Weighted average coupon | 2.74% | 1.46% | |
Weighted average yield | 1.98% | 5.91% | |
Weighted average life (years) | '3 years 2 months 12 days | '7 years 2 months 12 days | |
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||
[2] | 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. | ||
[3] | The weighted average life is based on the timing of expected principal reduction on the assets. | ||
[4] | 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. |
INVESTMENTS_IN_REAL_ESTATE_SEC4
INVESTMENTS IN REAL ESTATE SECURITIES - GEOGRAPHIC DISTRIBUTION COLLATERAL (Details 2) (USD $) | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | ABS Subprime | ABS Subprime | ABS Subprime | ABS Subprime | ABS Subprime | ABS Subprime | |||
Western US | Southeastern US | Northeastern US | Midwestern US | Southwestern US | Western US | Southeastern US | Northeastern US | Midwestern US | Southwestern US | ||||||
Principal balance | $2,054,797 | [1] | $851,504 | $344,107 | $195,278 | $165,401 | $99,404 | $47,314 | $433,510 | [2] | $151,227 | $100,636 | $95,565 | $43,230 | $42,852 |
Percentage of principal balance | ' | 100.00% | 40.40% | 22.90% | 19.40% | 11.70% | 5.60% | 100.00% | 34.90% | 23.20% | 22.00% | 10.00% | 9.90% | ||
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||
[2] | The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $432.4 million. |
INVESTMENTS_IN_REAL_ESTATE_SEC5
INVESTMENTS IN REAL ESTATE SECURITIES - CREDIT QUALITY (Details 3) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Investments In Real Estate Securities - Credit Quality Details 3 | ' | ' |
Real estate securities acquired with credit quality deterioration, face amount | $726,930 | $342,013 |
Real estate securities acquired with credit quality deterioration, carrying value | $476,570 | $212,129 |
INVESTMENTS_IN_REAL_ESTATE_SEC6
INVESTMENTS IN REAL ESTATE SECURITIES - CHANGES IN ACCRETABLE YIELDS (Details 4) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Investments In Real Estate Securities - Changes In Accretable Yields Details 4 | ' | ' |
Balance, beginning | $90,077 | ' |
Additions | 87,756 | 80,636 |
Accretion | -14,797 | -3,195 |
Reclassifications from non-accretable difference | 38,662 | 12,636 |
Disposals | -18,672 | ' |
Balance, ending | $183,026 | $90,077 |
INVESTMENTS_IN_REAL_ESTATE_SEC7
INVESTMENTS IN REAL ESTATE SECURITIES (Details Narrative) (USD $) | 9 Months Ended | 1 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | 0 Months Ended | 9 Months Ended | |||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | Nov. 07, 2013 | Sep. 30, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Jun. 27, 2013 | Apr. 02, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | ||
Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Agency RMBS | Agency RMBS | Agency RMBS | Non-Agency RMBS Under Clean-Up Option | Fixed Rate Securities | Fixed Rate Securities | Floating Rate Securities | Floating Rate Securities | |||||
Face amount of securities purchased | ' | ' | $194,300 | $661,200 | $391,700 | $193,800 | $22,700 | ' | $413,200 | ' | ' | ' | ' | ' | ||
Purchase of Non-Agency RMBS | -202,484 | ' | ' | 450,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Purchase of Agency ARM RMBS | -292,980 | ' | 126,600 | ' | 242,800 | 121,300 | 1,200 | ' | 437,300 | ' | ' | ' | ' | ' | ||
Agency RMBS contributed from Newcastle, face amount | 1,000,000 | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' | ' | ||
Non-Agency RMBS contributed from Newcastle, face amount | ' | ' | ' | ' | ' | 258,000 | ' | ' | ' | ' | ' | ' | ' | ' | ||
Non-Agency RMBS contributed from Newcastle, fair value | ' | ' | ' | ' | ' | 164,100 | ' | ' | ' | ' | ' | ' | ' | ' | ||
Face amount of securities sold | ' | ' | 52,500 | 153,500 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Proceeds from sale of real estate securities | 123,130 | ' | 38,100 | 123,100 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Gain on sale of real estate securities | ' | ' | 6,600 | 11,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Face amount of securities paid down | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,600 | ' | ' | ' | ' | ||
Carrying value of securities paid down | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,100 | ' | ' | ' | ' | ||
Interest Income recognized on securities paid down | ' | ' | ' | ' | ' | ' | ' | ' | ' | 600 | ' | ' | ' | ' | ||
RMBS principal receivable | 10,700 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Outstanding face amount | 2,054,797 | [1] | ' | ' | 851,504 | ' | ' | ' | ' | 1,203,293 | [2],[3] | ' | 16,400 | 1,100 | 2,000,000 | 432,400 |
Other-than-temporary impairment ("OTTI") on securities | 3,756 | [4] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Real estate securities with credit quality deterioration, face amount at period end | ' | 342,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Real estate securities with credit quality deterioration, carrying value at period end | 476,570 | 212,129 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Real estate securities acquired during the period with credit quality deterioration, face amount | 549,400 | 351,800 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Real estate securities acquired during the period with credit quality deterioration, fair value | 354,400 | 205,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Real estate securities acquired during the period with credit quality deterioration, expected cash flows | $442,200 | $285,900 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||||||||||||||
[2] | 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"). | |||||||||||||||
[3] | Amortized cost basis and carrying value include principal receivable of $10.7 million. | |||||||||||||||
[4] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. |
INVESTMENT_IN_RESIDENTIAL_MORT2
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS - RESIDENTIAL MORTGAGE LOANS (Details) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
Weighted average yield | 2.48% | [1] |
Weighted average coupon | 2.48% | [1] |
Weighted average life (years) | '3 years 6 months | [1],[2] |
Reverse Mortgage Loans | ' | |
Outstanding face amount | 56,738 | [3] |
Carrying value | 33,060 | [3] |
Loan count | 327 | |
Weighted average yield | 10.30% | |
Weighted average coupon | 5.10% | [4] |
Weighted average life (years) | '3 years 9 months 18 days | [5] |
Floating rate loans as a percent of face amount | 22.00% | |
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[2] | The weighted average life is based on the timing of expected principal reduction on the assets. | |
[3] | Represents a 70% interest New Residential holds in the reverse mortgage loans. | |
[4] | Represents the stated interest rate on the loans. Accrued interest on reverse mortgage loans is generally added to the principal balance and paid when the loan is resolved. | |
[5] | The weighted average life is based on the expected timing of the receipt of cash flows. |
INVESTMENT_IN_RESIDENTIAL_MORT3
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS - ACTIVITIES OF RESIDENTIAL MORTGAGE LOANS (Details 1) (Reverse Mortgage Loans, USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Reverse Mortgage Loans | ' |
Balance, beginning | ' |
Purchases / additional fundings | 35,138 |
Proceeds from repayments | -3,945 |
Accretion of loan discount and other amortization | 1,867 |
Balance, ending | $33,060 |
INVESTMENT_IN_RESIDENTIAL_MORT4
INVESTMENT IN RESIDENTIAL MORTGAGE LOANS (Details Narrative) (USD $) | Sep. 30, 2013 | Apr. 02, 2013 | Jan. 04, 2013 | Feb. 27, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | Reverse Mortgage Loans | Reverse Mortgage Loans | ||||
Percentage of Investment co-owned by Nationstar | ' | ' | 33.00% | 30.00% | ' | |
Percentage of Investment owned by New Residential | ' | ' | 67.00% | 70.00% | ' | |
Unpaid principal balance of underlying reverse mortgage loans | ' | $4,200,000 | ' | ' | $83,000 | |
Residential mortgage loans, held-for-investment | $33,060 | [1] | ' | ' | $35,000 | ' |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. |
INVESTMENTS_IN_EXCESS_MORTGAGE7
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES - SUMMARY OF INVESTMENTS (Details) (USD $) | Sep. 30, 2013 | Apr. 02, 2013 | Jan. 04, 2013 | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | Excess Mortgage Servicing Rights Investees | ||||
Summarized financial information: | ' | ' | ' | ' | |
Excess MSR Assets | ' | ' | ' | $719,780 | |
Other Assets | ' | ' | ' | 1,991 | |
Debt | ' | ' | ' | ' | |
Other Liabilities | ' | ' | ' | -5,707 | |
Equity | ' | ' | ' | 716,064 | |
Investments in equity method investees at fair value | 358,032 | [1] | ' | ' | 358,032 |
Ownership percentage in equity method investees | ' | 30.00% | 50.00% | 50.00% | |
Interest income | ' | ' | ' | 30,501 | |
Other income (loss) | ' | ' | ' | 56,483 | |
Expenses | ' | ' | ' | -3,502 | |
Net income | ' | ' | ' | $83,482 | |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. |
INVESTMENTS_IN_EXCESS_MORTGAGE8
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES - EXCESS MSR INVESTMENTS (Details 1) (USD $) | 9 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 9 Months Ended | 9 Months Ended | |||||||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Apr. 02, 2013 | Jan. 04, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | Nov. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Jan. 04, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | 20-May-13 | Sep. 30, 2013 | Sep. 30, 2013 | ||||||||||||||||||
MSRs Pool 6 | MSR Pool 11 Recapture Agreement | MSRs | MSRs | MSRs | MSRs | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | ||||||||||||||||||||||
MSRs Pool 6 | MSRs Pool 6 | MSR Pool 6 Recapture Agreement | MSRs Pool 7 | MSR Pool 7 Recapture Agreement | MSRs Pool 8 | MSR Pool 8 Recapture Agreement | MSRs Pool 9 | MSR Pool 9 Recapture Agreement | MSRs Pool 10 | MSR Pool 10 Recapture Agreement | MSRs Pool 11 | MSRs Pool 11 | MSR Pool 11 Recapture Agreement | MSRs | |||||||||||||||||||||||||||||
Unpaid principal balance of underlying loans | ' | $4,200,000 | ' | ' | ' | $9,705,512 | $72,315,805 | $76,560,751 | $13,000,000 | ' | $10,585,764 | ' | ' | $33,239,259 | ' | $14,798,521 | ' | $32,068,608 | ' | $59,784,115 | ' | $19,380,729 | ' | ' | $169,856,996 | ||||||||||||||||||
Investee Interest in Excess MSR | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 66.70% | ' | 66.70% | 66.70% | 66.70% | 66.70% | 66.70% | 66.70% | 66.70% | 77.00% | 77.00% | 66.70% | ' | 66.70% | ' | ||||||||||||||||||
Ownership percentage in equity method investees | ' | 30.00% | 50.00% | 50.00% | ' | ' | ' | ' | ' | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | ' | ||||||||||||||||||
Amortized Cost Basis | ' | ' | ' | ' | 2,391 | [1] | 43,604 | [2] | 254,278 | [1] | 235,646 | [2] | ' | ' | 37,957 | [3] | ' | 9,653 | [3] | 101,125 | [3] | 20,031 | [3] | 56,457 | [3] | 10,069 | [3] | 106,141 | [3] | 36,107 | [3] | 202,417 | [3] | 12,793 | [3] | 47,108 | [3] | ' | 23,442 | [3] | 663,300 | [3] | |
Carrying Value | ' | ' | ' | ' | $2,391 | [4] | $43,971 | [2] | $307,568 | [4] | $245,036 | [2] | ' | ' | $43,908 | [5] | ' | $12,295 | [5] | $111,962 | [5] | $23,785 | [5] | $58,936 | [5] | $12,926 | [5] | $120,603 | [5] | $45,811 | [5] | $201,571 | [5] | $11,343 | [5] | $53,981 | [5] | ' | $22,659 | [5] | $719,780 | [5] | |
Weighted average yield | 2.48% | [6] | ' | ' | ' | 12.50% | 20.00% | 12.90% | 17.60% | ' | ' | 12.50% | ' | 12.50% | 12.50% | 12.50% | 12.50% | 12.50% | 12.50% | 12.50% | 12.70% | 12.70% | 12.50% | ' | 12.50% | 12.60% | |||||||||||||||||
Weighted average life (years) | '3 years 6 months | [6],[7] | ' | ' | ' | '10 years 2 months 12 days | [8] | '6 years | [2] | '5 years 9 months 18 days | [8] | '5 years 4 months 24 days | [2] | ' | ' | '4 years 7 months 6 days | [9] | ' | '10 years 10 months 24 days | [9] | '5 years | [9] | '12 years | [9] | '4 years 9 months 18 days | [9] | '11 years 10 months 24 days | [9] | '4 years 9 months 18 days | [9] | '11 years | [9] | '5 years 7 months 6 days | [9] | '12 years 10 months 24 days | [9] | '5 years 3 months 18 days | [9] | ' | '10 years 2 months 12 days | [9] | '6 years 2 months 12 days | [9] |
[1] | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||||||||||||||||
[2] | Weighted Average Maturity represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||||||||||||||||||||
[3] | Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||||||||||||||||||||
[4] | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||||||||||||||||
[5] | Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||||||||||||||||
[6] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||||||||||||||||||||||||||||||
[7] | The weighted average life is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||||||||||
[8] | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||||||||||||||||||||
[9] | The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. |
INVESTMENTS_IN_EXCESS_MORTGAGE9
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES - GEOGRAPHIC DISTRIBUTION (Details 2) (Excess Mortgage Servicing Rights Investees) | Sep. 30, 2013 |
Total outstanding (percent) | 100.00% |
California | ' |
Total outstanding (percent) | 22.10% |
Florida | ' |
Total outstanding (percent) | 8.80% |
New York | ' |
Total outstanding (percent) | 5.30% |
Texas | ' |
Total outstanding (percent) | 5.20% |
Georgia | ' |
Total outstanding (percent) | 4.20% |
New Jersey | ' |
Total outstanding (percent) | 3.80% |
Illinois | ' |
Total outstanding (percent) | 3.50% |
Virginia | ' |
Total outstanding (percent) | 3.10% |
Maryland | ' |
Total outstanding (percent) | 3.10% |
Washington | ' |
Total outstanding (percent) | 2.90% |
Other US Locations | ' |
Total outstanding (percent) | 38.00% |
Recovered_Sheet1
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES (Details Narrative) (USD $) | 0 Months Ended | 9 Months Ended | 0 Months Ended | 0 Months Ended | 1 Months Ended | 3 Months Ended | 3 Months Ended | 3 Months Ended | |||||||||||||
In Thousands, unless otherwise specified | Jan. 04, 2013 | Sep. 30, 2013 | Apr. 02, 2013 | Dec. 31, 2012 | Nov. 07, 2013 | 20-May-13 | Sep. 30, 2013 | Jan. 04, 2013 | Sep. 30, 2013 | Jan. 06, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Mar. 31, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | 20-May-13 |
MSRs Pool 6 | MSRs Pool 10 | MSRs Pool 11 | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | ||||
MSRs Pool 6 | MSRs Pool 6 | MSR Pools 7, 8, 9, 10 | MSRs Pool 10 | MSRs Pool 10 | MSR Pools 7, 9 and 10 | MSRs Pool 8 | MSRs Pool 8 | MSRs Pool 7 | MSRs Pool 7 | MSRs Pool 9 | MSR Pools 7 and 10 | MSRs Pool 11 | MSRs Pool 11 | ||||||||
Fortress-managed Affiliate | |||||||||||||||||||||
Amount contributed to acquire joint venture | $27,300 | $285,200 | ' | ' | ' | ' | ' | $28,900 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount committed to invest in joint venture | ' | ' | ' | ' | ' | ' | ' | ' | ' | 340,000 | 4,100 | ' | ' | ' | ' | ' | 1,000 | ' | ' | ' | 37,800 |
Percentage ownership acquired in joint venture | 50.00% | ' | 30.00% | 50.00% | ' | ' | 50.00% | 50.00% | 50.00% | 50.00% | 50.00% | ' | ' | ' | 50.00% | ' | 50.00% | 50.00% | ' | 50.00% | 50.00% |
Percentage of Investment co-owned by Nationstar | 33.00% | ' | ' | ' | ' | ' | ' | 33.00% | ' | 33.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 33.00% |
Percentage of Investment owned by New Residential | 67.00% | ' | ' | ' | ' | 66.70% | ' | 67.00% | ' | 67.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 67.00% |
Loans in private label securitizations portfolio (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 53.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount invested | ' | ' | ' | ' | ' | 2,400 | ' | ' | ' | ' | 13,900 | 13,900 | 45,500 | 35,200 | ' | 31,500 | ' | 65,400 | 107,600 | ' | ' |
Increase in outstanding principal balance after new investments | ' | ' | ' | ' | $1,300,000 | ' | ' | ' | ' | ' | $10,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Additional percentage interest acquired by New Residential | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
INVESTMENTS_IN_CONSUMER_LOAN_E2
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES - SUMMARY OF INVESTMENTS (Details) (USD $) | 3 Months Ended | 9 Months Ended | 9 Months Ended | |||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Apr. 02, 2013 | Jan. 04, 2013 | Sep. 30, 2013 | Apr. 02, 2013 | Dec. 31, 2012 | |||
Consumer Loan Investees | Consumer Loan Investees | Consumer Loan Investees | ||||||||
Summarized financial information: | ' | ' | ' | ' | ' | ' | ' | |||
Consumer Loan Assets | ' | ' | ' | ' | $2,692,642 | ' | ' | |||
Other Assets | ' | ' | ' | ' | 90,103 | ' | ' | |||
Debt | ' | ' | ' | ' | -2,137,531 | [1] | ' | ' | ||
Other Liabilities | ' | ' | ' | ' | -3,554 | ' | ' | |||
Equity | ' | ' | ' | ' | 641,660 | ' | ' | |||
Investment in consumer loan equity method investees | 192,498 | [2] | 192,498 | [2] | ' | ' | 192,498 | ' | ' | |
Ownership percentage in equity method investees | ' | ' | 30.00% | 50.00% | 30.00% | 30.00% | ' | |||
Interest income | ' | ' | ' | ' | 325,822 | ' | ' | |||
Other income (loss) | ' | ' | ' | ' | -47,010 | ' | ' | |||
Provision for finance receivable losses | ' | ' | ' | ' | -31,122 | ' | ' | |||
Other expenses | ' | ' | ' | ' | -46,713 | ' | ' | |||
Net income | ' | ' | ' | ' | 200,977 | ' | ' | |||
New Residential's equity in net income | $24,129 | $60,293 | [3] | ' | ' | $60,293 | ' | ' | ||
[1] | Represents the Class A asset-backed notes with a face amount of $1.8 billion, an interest rate of 3.75% and a maturity of April 2021 and the Class B asset-backed notes with a face amount of $372.0 million, an interest rate of 4% and a maturity of December 2024. Substantially all of the net cash flow generated by the Consumer Loan Companies is required to be used to pay down the Class A notes. When the balance of the outstanding Class A notes is reduced to 50% of the outstanding UPB of the performing consumer loans, 70% of the net cash flow generated is required to be used to pay down the Class A notes and the equity holders of the Consumer Loan Companies and holders of the Class B notes will each be entitled to receive 15% of the net cash flow of the Consumer Loan Companies on a periodic basis. | |||||||||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. | |||||||||
[3] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. |
INVESTMENTS_IN_CONSUMER_LOAN_E3
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES - CONSUMER LOANS (Details 1) (USD $) | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Apr. 02, 2013 | Jan. 04, 2013 | |
Unpaid principal balance of underlying loans | ' | $4,200,000 | ' | |
Ownership percentage in equity method investees | ' | 30.00% | 50.00% | |
Weighted average coupon | 2.48% | [1] | ' | ' |
Weighted Average Yield | 2.48% | [1] | ' | ' |
Weighted average life (years) | '3 years 6 months | [1],[2] | ' | ' |
Consumer Loan Investees | ' | ' | ' | |
Unpaid principal balance of underlying loans | 3,490,345 | 4,200,000 | ' | |
Ownership percentage in equity method investees | 30.00% | 30.00% | ' | |
Carrying value | 2,692,642 | [3] | ' | ' |
Weighted average coupon | 18.30% | [4] | ' | ' |
Weighted Average Yield | 15.50% | ' | ' | |
Weighted average life (years) | '3 years 7 months 6 days | [5] | ' | ' |
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||
[2] | The weighted average life is based on the timing of expected principal reduction on the assets. | |||
[3] | Represents the carrying value of the consumer loans held by the Consumer Loan Companies. | |||
[4] | Substantially all of the cash flow received on the loans is required to be used to make payments on the notes described above. | |||
[5] | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. |
INVESTMENTS_IN_CONSUMER_LOAN_E4
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES - ROLLFORWARD (Details 2) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | ||
Distributions of earnings from equity method investees | ' | $23,659 | ||
Should be distributions of capital / return of capital | ' | 60,293 | ||
Earnings from investments in consumer loan equity method investees | 24,129 | 60,293 | [1] | |
Investment in consumer loan equity method investees, ending | 192,498 | [2] | 192,498 | [2] |
Consumer Loan Investees | ' | ' | ||
Investment in consumer loan equity method investees, beginning | ' | ' | ||
Contributions to consumer loan equity method investees | ' | 245,421 | ||
Distributions of earnings from equity method investees | ' | -60,293 | ||
Should be distributions of capital / return of capital | ' | -52,923 | ||
Earnings from investments in consumer loan equity method investees | ' | 60,293 | ||
Investment in consumer loan equity method investees, ending | $192,498 | $192,498 | ||
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | |||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. |
INVESTMENTS_IN_CONSUMER_LOAN_E5
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES (Details Narrative) (USD $) | 0 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Apr. 02, 2013 | Sep. 30, 2013 | Jan. 04, 2013 |
Integer | |||
Unpaid principal balance of underlying loans | $4,200,000 | ' | ' |
Number of loans in portfolio | 400,000 | ' | ' |
Acquisitions of investments in consumer loan equity method investees | 250,000 | ' | ' |
Ownership percentage in equity method investees | 30.00% | ' | 50.00% |
Percentage of portfolio co-invested by other parties | 70.00% | ' | ' |
Purchase price of portfolio financed by asset-backed notes | 2,200,000 | ' | ' |
Purchase price of portfolio | 3,000,000 | ' | ' |
Additional asset-backed notes issued and sold, face amount | ' | 372,000 | ' |
Percentage of par at which notes were sold | ' | 96.00% | ' |
Affilate of Blackstone Tactical Opportunities Advisors LLC | ' | ' | ' |
Percentage of portfolio co-invested by other parties | 23.00% | ' | ' |
Springleaf Finance, Inc. | ' | ' | ' |
Percentage of portfolio co-invested by other parties | 47.00% | ' | ' |
Consumer Loan Investees | ' | ' | ' |
Unpaid principal balance of underlying loans | 4,200,000 | 3,490,345 | ' |
Number of loans in portfolio | 400,000 | ' | ' |
Acquisitions of investments in consumer loan equity method investees | 250,000 | ' | ' |
Ownership percentage in equity method investees | 30.00% | 30.00% | ' |
Percentage of portfolio co-invested by other parties | 70.00% | ' | ' |
Purchase price of portfolio financed by asset-backed notes | 2,200,000 | ' | ' |
Purchase price of portfolio | 3,000,000 | ' | ' |
Consumer Loan Investees | Class B Asset Backed Notes | ' | ' | ' |
Unpaid principal balance of underlying loans | ' | ' | ' |
Interest Rate | ' | 4.00% | ' |
Percentage of UPB of loans against outstanding debt where cash can be released | ' | 50.00% | ' |
Additional asset-backed notes issued and sold, face amount | ' | 372,000 | ' |
Percentage of cash flows required to be paid against notes when threshold is reached | ' | 15.00% | ' |
Consumer Loan Investees | Class A Asset Backed Notes | ' | ' | ' |
Unpaid principal balance of underlying loans | ' | ' | ' |
Interest Rate | ' | 3.75% | ' |
Percentage of UPB of loans against outstanding debt where cash can be released | ' | 50.00% | ' |
Additional asset-backed notes issued and sold, face amount | ' | $1,800 | ' |
Percentage of cash flows required to be paid against notes when threshold is reached | ' | 70.00% | ' |
DEBT_OBLIGATIONS_SCHEDULE_OF_D
DEBT OBLIGATIONS - SCHEDULE OF DEBT OBLIGATIONS (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Debt face amount | $372,000 | ' | ||
Weighted average life (years) | '3 years 6 months | [1],[2] | ' | |
Collateral | ' | ' | ||
Weighted average life (years) | '3 years 6 months | [3] | ' | |
Outstanding Face Amount of Collateral | 1,896,773 | [3] | ' | |
Amortized Cost Basis of Collateral | 1,672,767 | [3] | ' | |
Carrying Value of Collateral | 1,689,994 | [3] | ' | |
Agency RMBS Repurchase Agreements | ' | ' | ||
Month Issued | 'Various | [3],[4],[5] | ' | |
Debt face amount | 1,071,587 | [3],[4],[5] | ' | |
Carrying value | 1,071,587 | [3],[4],[5] | ' | |
Final stated maturity | 1-Dec-13 | [3],[4],[5] | ' | |
Weighted average funding cost | 0.36% | [3],[4],[5] | ' | |
Weighted average life (years) | '0 years 1 month 6 days | [3],[4],[5] | ' | |
Agency RMBS Repurchase Agreements | Collateral | ' | ' | ||
Weighted average life (years) | '2 years 10 months 24 days | [3],[4],[5] | ' | |
Outstanding Face Amount of Collateral | 1,067,063 | [3],[4],[5] | ' | |
Amortized Cost Basis of Collateral | 1,130,533 | [3],[4],[5] | ' | |
Carrying Value of Collateral | 1,124,451 | [3],[4],[5] | ' | |
Non-agency RMBS Repurchase Agreements | ' | ' | ||
Month Issued | 'Various | [3],[5],[6],[7] | 'Various | [10],[8],[9] |
Debt face amount | 53,475 | [3],[5],[6],[7] | 150,922 | [10],[8],[9] |
Carrying value | 53,475 | [3],[5],[6],[7] | 150,922 | [10],[8],[9] |
Final stated maturity | 1-Oct-13 | [3],[5],[6],[7] | 1-Jan-13 | [10],[8],[9] |
Contractual Weighted average funding cost | ' | 'LIBOR | [10],[8],[9] | |
Variable Rate Spread | ' | 2.00% | [10],[8],[9] | |
Weighted average funding cost | 1.84% | [3],[5],[6],[7] | 2.21% | [10],[8],[9] |
Weighted average life (years) | '0 years 1 month 6 days | [3],[5],[6],[7] | '0 years 1 month 6 days | [10],[8],[9] |
Non-agency RMBS Repurchase Agreements | Collateral | ' | ' | ||
Weighted average life (years) | '5 years 3 months 18 days | [3],[5],[6],[7] | '6 years 10 months 24 days | [10],[8],[9] |
Outstanding Face Amount of Collateral | 100,411 | [3],[5],[6],[7] | 344,177 | [10],[8],[9] |
Amortized Cost Basis of Collateral | 77,108 | [3],[5],[6],[7] | 215,034 | [10],[8],[9] |
Carrying Value of Collateral | 75,667 | [3],[5],[6],[7] | 228,493 | [10],[8],[9] |
Non-agency RMBS Term Repurchase Agreements | ' | ' | ||
Month Issued | 'Aug 2013 | [11],[3],[7] | ' | |
Debt face amount | 342,872 | [11],[3],[7] | ' | |
Carrying value | 342,872 | [11],[3],[7] | ' | |
Final stated maturity | 1-Aug-14 | [11],[3],[7] | ' | |
Weighted average funding cost | 2.43% | [11],[3],[7] | ' | |
Weighted average life (years) | '0 years 9 months 18 days | [11],[3],[7] | ' | |
Non-agency RMBS Term Repurchase Agreements | Collateral | ' | ' | ||
Weighted average life (years) | '4 years | [11],[3],[7] | ' | |
Outstanding Face Amount of Collateral | 729,299 | [11],[3],[7] | ' | |
Amortized Cost Basis of Collateral | 465,126 | [11],[3],[7] | ' | |
Carrying Value of Collateral | 489,876 | [11],[3],[7] | ' | |
Total Repurchase Agreements | ' | ' | ||
Debt face amount | 1,467,934 | [3] | ' | |
Carrying value | $1,467,934 | [3] | ' | |
Weighted average funding cost | 0.90% | [3] | ' | |
Weighted average life (years) | '0 years 3 months 18 days | [3] | ' | |
[1] | The weighted average life is based on the timing of expected principal reduction on the assets. | |||
[2] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||
[3] | These repurchase agreements had approximately $0.1 million of associated accrued interest payable at September 30, 2013. | |||
[4] | The counterparties of these repurchase agreements are Goldman Sachs $45.9 million, Barclays $287.7 million, Nomura $229.0 million, Citi $133.0 million, Morgan Stanley $97.1 million and Daiwa $278.9 million and were subject to customary margin call provisions. | |||
[5] | All of the repurchase agreements that matured during October 2013 were renewed or refinanced subsequent to September 30, 2013. | |||
[6] | The counterparties of these repurchase agreements are Barclays $21.8 million, and Royal Bank of Canada $31.6 million and were subject to customary margin call provisions. | |||
[7] | All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates. | |||
[8] | These repurchase agreements had approximately $55 thousand of associated accrued interest payable at December 31, 2012. $151 million face amount of these repurchase agreements were renewed subsequent to December 31, 2012. | |||
[9] | The counterparty of these repurchase agreements is Credit Suisse. | |||
[10] | Newcastle is the guarantor of these repurchase agreements, which are subject to customary margin call provisions. | |||
[11] | Represents a one year term master repurchase agreement with Alpine Securitization Corp., an asset-backed commercial paper facility sponsored by Credit Suisse AG. This repurchase agreement is not subject to margin call provisions and is subject to customary loan covenants and event of default provisions, including event of default provisions triggered by a 50% market capitalization decline provision, as well as a two to one indebtedness to tangible net worth provision. The financing bears interest at LIBOR plus an applicable margin as stated below (See Schedule of maturities of repurchase agreements). |
DEBT_OBLIGATIONS_PAYMENT_AND_M
DEBT OBLIGATIONS - PAYMENT AND MARGINS OF REPURCHASE AGREEMENTS (Details 1) | 9 Months Ended |
Sep. 30, 2013 | |
Repurchase Agreements Margin 2.25% | ' |
Monthly Payment Date | 'August 2013 through October 2013 |
Applicable Margin interest rate (above LIBOR) | 2.25% |
Repurchase Agreements Margin 2.50% | ' |
Monthly Payment Date | 'November 2013 through January 2014 |
Applicable Margin interest rate (above LIBOR) | 2.50% |
Repurchase Agreements Margin 3.00% | ' |
Monthly Payment Date | 'February 2014 through April 2014 |
Applicable Margin interest rate (above LIBOR) | 3.00% |
Repurchase Agreements Margin 3.50% | ' |
Monthly Payment Date | 'May 2014 through August 2014 |
Applicable Margin interest rate (above LIBOR) | 3.50% |
DEBT_OBLIGATIONS_Details_Narra
DEBT OBLIGATIONS (Details Narrative) (USD $) | Oct. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | Alpine Securitization Corp. | Alpine Securitization Corp. | Total Repurchase Agreements | Total Repurchase Agreements | Agency RMBS Repurchase Agreements | Agency RMBS Repurchase Agreements | Agency RMBS Repurchase Agreements | Agency RMBS Repurchase Agreements | Agency RMBS Repurchase Agreements | Agency RMBS Repurchase Agreements | Non-agency RMBS Repurchase Agreements | Non-agency RMBS Repurchase Agreements | Non-agency RMBS Repurchase Agreements |
Goldman Sachs | Barclays | Nomura | Citi | Morgan Stanley | Daiwa | Barclays | Royal Bank of Canada | Credit Suisse | |||||
Interest payable | ' | ' | $100 | $55 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase agreements | $414,200 | $342,900 | ' | ' | $45,900 | $287,700 | $229,000 | $133,000 | $97,100 | $278,900 | $21,800 | $31,600 | $150,922 |
FAIR_VALUE_OF_FINANCIAL_INSTRU2
FAIR VALUE OF FINANCIAL INSTRUMENTS - RECURRING BASIS (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||
In Thousands, unless otherwise specified | |||||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | $1,861,200 | [1],[2],[3] | $289,756 | ' | |
Investments in excess mortgage servicing rights | 307,568 | [1] | 245,036 | 43,971 | |
Investments in equity method investees at fair value | 358,032 | [1] | ' | ' | |
Recurring Basis | Fair Value, Inputs, Level 2 | ' | ' | ' | ||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | 1,279,450 | ' | ' | ||
Investments in excess mortgage servicing rights | ' | ' | ' | ||
Investments in equity method investees at fair value | ' | ' | ' | ||
[AssetsFairValueDisclosure] | 1,279,450 | ' | ' | ||
Liabilities: | ' | ' | ' | ||
Repurchase agreements | ' | 150,922 | ' | ||
Recurring Basis | Level 3 Inputs | ' | ' | ' | ||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | 581,750 | 289,756 | ' | ||
Investments in excess mortgage servicing rights | 307,568 | 245,036 | ' | ||
Investments in equity method investees at fair value | 358,032 | ' | ' | ||
[AssetsFairValueDisclosure] | 1,247,350 | ' | ' | ||
Liabilities: | ' | ' | ' | ||
Repurchase agreements | ' | ' | ' | ||
Recurring Basis | Principal Balance or Notional Amount | ' | ' | ' | ||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | 2,054,797 | 433,510 | [4] | ' | |
Investments in excess mortgage servicing rights | 72,315,805 | [5] | 76,560,751 | ' | |
Investments in equity method investees at fair value | 169,856,996 | [5] | ' | ' | |
[AssetsFairValueDisclosure] | 244,227,598 | ' | ' | ||
Liabilities: | ' | ' | ' | ||
Repurchase agreements | ' | 150,922 | ' | ||
Recurring Basis | Carrying Value | ' | ' | ' | ||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | 1,861,200 | 289,756 | ' | ||
Investments in excess mortgage servicing rights | 307,568 | 245,036 | ' | ||
Investments in equity method investees at fair value | 358,032 | ' | ' | ||
[AssetsFairValueDisclosure] | 2,526,800 | ' | ' | ||
Liabilities: | ' | ' | ' | ||
Repurchase agreements | ' | 150,922 | ' | ||
Recurring Basis | Fair Value | ' | ' | ' | ||
Assets: | ' | ' | ' | ||
Real estate securities, available-for-sale | 1,861,200 | 289,756 | ' | ||
Investments in excess mortgage servicing rights | 307,568 | 245,036 | ' | ||
Investments in equity method investees at fair value | 358,032 | ' | ' | ||
[AssetsFairValueDisclosure] | 2,526,800 | ' | ' | ||
Liabilities: | ' | ' | ' | ||
Repurchase agreements | ' | $150,922 | ' | ||
[1] | Represents our historical consolidated balance sheet at September 30, 2013. | ||||
[2] | Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | ||||
[3] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||
[4] | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. Generally, New Residential does not receive an excess mortgage servicing amount on nonperforming loans. | ||||
[5] | The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. New Residential does not receive an excess mortgage servicing amount on nonperforming loans in Agency portfolios. |
FAIR_VALUE_OF_FINANCIAL_INSTRU3
FAIR VALUE OF FINANCIAL INSTRUMENTS - INPUTS EXCESS MSRs (Details 1) | 1 Months Ended | 9 Months Ended | 12 Months Ended | |||
Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | ||||
MSRs Pool 1 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | 20.00% | [1] | 14.40% | [2] | 17.10% | [1] |
Delinquency | 10.00% | [1] | 10.00% | [3] | 10.00% | [1] |
Recapture rate | 35.00% | [1] | 35.00% | [4] | 35.00% | [1] |
Excess mortgage servicing amount | 0.29% | [1] | 0.28% | [5] | 0.29% | [1] |
Discount rate | 20.00% | 12.50% | 18.00% | |||
MSR Pool 1 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | 8.00% | [1] | 8.00% | [2] | 8.00% | [1] |
Delinquency | 10.00% | [1] | 10.00% | [3] | 10.00% | [1] |
Recapture rate | 35.00% | [1] | 35.00% | [4] | 35.00% | [1] |
Excess mortgage servicing amount | 0.21% | [1] | 0.21% | [5] | 0.21% | [1] |
Discount rate | 20.00% | 12.50% | 18.00% | |||
MSRs Pool 2 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 1.47% | [2] | 16.70% | [1] | |
Delinquency | ' | 10.30% | [3] | 11.00% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.23% | [5] | 0.23% | [1] | |
Discount rate | ' | 12.50% | 17.30% | |||
MSR Pool 2 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 8.00% | [2] | 8.00% | [1] | |
Delinquency | ' | 5.00% | [3] | 10.00% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.21% | [5] | 0.21% | [1] | |
Discount rate | ' | 12.50% | 17.30% | |||
MSRs Pool 3 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 15.20% | [2] | 16.90% | [1] | |
Delinquency | ' | 11.90% | [3] | 12.10% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.24% | [5] | 0.23% | [1] | |
Discount rate | ' | 12.50% | 17.60% | |||
MSR Pool 3 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 8.00% | [2] | 8.00% | [1] | |
Delinquency | ' | 10.00% | [3] | 10.00% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.21% | [5] | 0.21% | [1] | |
Discount rate | ' | 12.50% | 17.60% | |||
MSRs Pool 4 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 15.40% | [2] | 18.60% | [1] | |
Delinquency | ' | 14.90% | [3] | 15.90% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.17% | [5] | 0.17% | [1] | |
Discount rate | ' | 12.50% | 17.90% | |||
MSR Pool 4 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 8.00% | [2] | 8.00% | [1] | |
Delinquency | ' | 10.00% | [3] | 10.00% | [1] | |
Recapture rate | ' | 35.00% | [4] | 35.00% | [1] | |
Excess mortgage servicing amount | ' | 0.21% | [5] | 0.21% | [1] | |
Discount rate | ' | 12.50% | 17.90% | |||
MSRs Pool 5 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 12.30% | [2] | 15.00% | [1] | |
Delinquency | ' | 0.00% | [3],[6] | ' | [1] | |
Recapture rate | ' | 14.00% | [4] | 20.00% | [1] | |
Excess mortgage servicing amount | ' | 0.13% | [5] | 0.13% | [1] | |
Discount rate | ' | 12.70% | 17.50% | |||
MSR Pool 5 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 8.00% | [2] | 8.00% | [1] | |
Delinquency | ' | 0.00% | [3],[6] | ' | [1] | |
Recapture rate | ' | 15.00% | [4] | 20.00% | [1] | |
Excess mortgage servicing amount | ' | 0.21% | [5] | 0.21% | [1] | |
Discount rate | ' | 12.70% | 17.50% | |||
MSR Pool 11 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 9.30% | [2] | ' | ||
Delinquency | ' | 2.30% | [3] | ' | ||
Recapture rate | ' | 32.00% | [4] | ' | ||
Excess mortgage servicing amount | ' | 0.19% | [5] | ' | ||
Discount rate | ' | 12.50% | ' | |||
MSRs Pool 12 | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 15.30% | [2] | ' | ||
Delinquency | ' | 0.00% | [3],[6] | ' | ||
Recapture rate | ' | 16.70% | [4] | ' | ||
Excess mortgage servicing amount | ' | 0.26% | [5] | ' | ||
Discount rate | ' | 16.40% | ' | |||
MSR Pool 12 Recapture Agreement | ' | ' | ' | |||
Held Directly (Note 3): | ' | ' | ' | |||
Prepayment speed | ' | 7.00% | [2] | ' | ||
Delinquency | ' | 0.00% | [3],[6] | ' | ||
Recapture rate | ' | 35.00% | [4] | ' | ||
Excess mortgage servicing amount | ' | 0.19% | [5] | ' | ||
Discount rate | ' | 16.40% | ' | |||
[1] | Includes the Recapture Agreement for each respective pool. | |||||
[2] | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |||||
[3] | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |||||
[4] | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |||||
[5] | Weighted average total mortgage servicing amount in excess of the basic fee. | |||||
[6] | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). |
FAIR_VALUE_OF_FINANCIAL_INSTRU4
FAIR VALUE OF FINANCIAL INSTRUMENTS - INPUTS EXCESS MSRs (Details 2) | 9 Months Ended | |
Sep. 30, 2013 | ||
MSR Pool 11 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 9.30% | [1] |
Delinquency | 2.30% | [2] |
Recapture rate | 32.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 6 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 18.20% | [1] |
Delinquency | 8.90% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.25% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 6 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 10.00% | [1] |
Delinquency | 6.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.23% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 7 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 13.30% | [1] |
Delinquency | 8.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.16% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 7 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 10.00% | [1] |
Delinquency | 5.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 8 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 14.30% | [1] |
Delinquency | 6.90% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 8 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 10.00% | [1] |
Delinquency | 5.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 9 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 18.00% | [1] |
Delinquency | 5.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.22% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 9 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 10.00% | [1] |
Delinquency | 5.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.28% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 10 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 11.50% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 15.00% | [3] |
Excess mortgage servicing amount | 0.12% | [4] |
Discount rate | 12.70% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 10 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 9.00% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.70% | |
Excess Mortgage Servicing Rights Investees | MSRs Pool 11 | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 18.70% | [1] |
Delinquency | 7.80% | [2] |
Recapture rate | 38.90% | [3] |
Excess mortgage servicing amount | 0.15% | [4] |
Discount rate | 12.50% | |
Excess Mortgage Servicing Rights Investees | MSR Pool 11 Recapture Agreement | ' | |
Held through Equity Method Investees (Note 6): | ' | |
Prepayment speed | 10.00% | [1] |
Delinquency | 2.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 12.50% | |
[1] | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |
[2] | Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |
[3] | Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |
[4] | Weighted average total mortgage servicing amount in excess of the basic fee. | |
[5] | The Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). |
FAIR_VALUE_OF_FINANCIAL_INSTRU5
FAIR VALUE OF FINANCIAL INSTRUMENTS - EXCESS MSRs LEVEL 3 (Details 3) (Level 3 Inputs, USD $) | 1 Months Ended | 9 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2012 | |||
MSRs Pool 1 | ' | ' | ' | |||
Balance, beginning | ' | [1] | $40,910 | [1] | $43,971 | [1] |
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Gains (losses) included in net income | 367 | [1],[3] | 6,807 | [1],[3] | 5,877 | [1],[3] |
Interest income | 1,260 | [1] | 5,097 | [1] | 7,955 | [1] |
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | 43,742 | [1] | ' | [1] | ' | [1] |
Purchase adjustments | ' | ' | [1] | -178 | [1] | |
Proceeds from sales | ' | [1] | ' | [1] | ' | [1] |
Proceeds from repayments | -1,398 | [1] | -10,278 | [1] | -16,715 | [1] |
Balance, ending | 43,971 | [1] | 42,536 | [1] | 40,910 | [1] |
MSRs Pool 2 | ' | ' | ' | |||
Balance, beginning | ' | [1] | 39,322 | [1] | ' | [1] |
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Gains (losses) included in net income | ' | [1],[3] | 7,509 | [1],[3] | 1,226 | [1],[3] |
Interest income | ' | [1] | 3,739 | [1] | 3,450 | [1] |
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | [1] | ' | [1] | 43,872 | [1] |
Purchase adjustments | ' | ' | [1] | -1,522 | [1] | |
Proceeds from sales | ' | [1] | ' | [1] | ' | [1] |
Proceeds from repayments | ' | [1] | -9,096 | [1] | -7,704 | [1] |
Balance, ending | ' | [1] | 41,474 | [1] | 39,322 | [1] |
MSRs Pool 3 | ' | ' | ' | |||
Balance, beginning | ' | [1] | 35,434 | [1] | ' | [1] |
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Gains (losses) included in net income | ' | [1],[3] | 7,657 | [1],[3] | 2,780 | [1],[3] |
Interest income | ' | [1] | 4,892 | [1] | 3,409 | [1] |
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | [1] | ' | [1] | 36,218 | [1] |
Purchase adjustments | ' | ' | [1] | ' | [1] | |
Proceeds from sales | ' | [1] | ' | [1] | ' | [1] |
Proceeds from repayments | ' | [1] | -8,689 | [1] | -6,973 | [1] |
Balance, ending | ' | [1] | 39,294 | [1] | 35,434 | [1] |
MSRs Pool 4 | ' | ' | ' | |||
Balance, beginning | ' | [1] | 15,036 | [1] | ' | [1] |
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Gains (losses) included in net income | ' | [1],[3] | 3,644 | [1],[3] | 1,004 | [1],[3] |
Interest income | ' | [1] | 2,034 | [1] | 1,381 | [1] |
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | [1] | ' | [1] | 15,439 | [1] |
Purchase adjustments | ' | ' | [1] | ' | [1] | |
Proceeds from sales | ' | [1] | ' | [1] | ' | [1] |
Proceeds from repayments | ' | [1] | -3,525 | [1] | -2,788 | [1] |
Balance, ending | ' | [1] | 17,189 | [1] | 15,036 | [1] |
MSRs Pool 5 | ' | ' | ' | |||
Balance, beginning | ' | [1] | 114,334 | [1] | ' | [1] |
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] | ' | [1],[2] | ' | [1],[2] |
Gains (losses) included in net income | ' | [1],[3] | 18,208 | [1],[3] | -1,864 | [1],[3] |
Interest income | ' | [1] | 14,728 | [1] | 11,293 | [1] |
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | [1] | 26,637 | [1] | 124,813 | [1] |
Purchase adjustments | ' | ' | [1] | ' | [1] | |
Proceeds from sales | ' | [1] | ' | [1] | ' | [1] |
Proceeds from repayments | ' | [1] | -26,741 | [1] | -19,908 | [1] |
Balance, ending | ' | [1] | 147,166 | [1] | 114,334 | [1] |
MSRs Pool 11 | ' | ' | ' | |||
Balance, beginning | ' | ' | [1] | ' | ||
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | ' | [1],[2] | ' | ||
Transfers into Level 3 | ' | ' | [1],[2] | ' | ||
Gains (losses) included in net income | ' | ' | [1],[3] | ' | ||
Interest income | ' | ' | [1] | ' | ||
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | 2,391 | [1] | ' | ||
Purchase adjustments | ' | ' | [1] | ' | ||
Proceeds from sales | ' | ' | [1] | ' | ||
Proceeds from repayments | ' | ' | [1] | ' | ||
Balance, ending | ' | 2,391 | [1] | ' | ||
MSRs Pool 12 | ' | ' | ' | |||
Balance, beginning | ' | ' | [1] | ' | ||
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | ' | [1],[2] | ' | ||
Transfers into Level 3 | ' | ' | [1],[2] | ' | ||
Gains (losses) included in net income | ' | 74 | [1],[3] | ' | ||
Interest income | ' | 51 | [1] | ' | ||
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | ' | 17,393 | [1] | ' | ||
Purchase adjustments | ' | ' | [1] | ' | ||
Proceeds from sales | ' | ' | [1] | ' | ||
Proceeds from repayments | ' | ' | [1] | ' | ||
Balance, ending | ' | 17,518 | [1] | ' | ||
MSRs | ' | ' | ' | |||
Balance, beginning | ' | 245,036 | [1] | 43,971 | ||
Transfers | ' | ' | ' | |||
Transfers from Level 3 | ' | [2] | ' | [1],[2] | ' | [2] |
Transfers into Level 3 | ' | [2] | ' | [1],[2] | ' | [2] |
Gains (losses) included in net income | 367 | [3] | 43,899 | [1],[3] | 9,023 | [3] |
Interest income | 1,260 | 30,541 | [1] | 27,488 | ||
Purchases, sales and repayments | ' | ' | ' | |||
Purchases | 43,742 | 46,421 | [1] | 220,342 | ||
Purchase adjustments | ' | ' | [1] | -1,700 | ||
Proceeds from sales | ' | ' | [1] | ' | ||
Proceeds from repayments | -1,398 | -58,329 | [1] | -54,088 | ||
Balance, ending | $43,971 | $307,568 | [1] | $245,036 | [1] | |
[1] | Includes the Recapture Agreement for each respective pool. | |||||
[2] | Transfers are assumed to occur at the beginning of the respective period. | |||||
[3] | The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. These gains (losses) represent the change in fair value of the Excess MSRs and are recorded in "Change in fair value of investments in excess mortgage servicing rights" in the consolidated statements of income. |
FAIR_VALUE_OF_FINANCIAL_INSTRU6
FAIR VALUE OF FINANCIAL INSTRUMENTS - INVESTMENTS IN EQUITY METHOD INVESTEES LEVEL 3 (Details 4) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Apr. 02, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | ||
Contributions to equity method investees | $250,000 | ' | ' | ||
Distributions of earnings from equity method investees | ' | ' | -23,659 | ||
Change in fair value of investments in equity method investees | ' | 20,645 | 41,741 | [1] | |
Investments in equity method investees at fair value | ' | 358,032 | [2] | 358,032 | [2] |
Recurring Basis | Level 3 Inputs | ' | ' | ' | ||
Investments in equity method investees at fair value | ' | ' | ' | ||
Contributions to equity method investees | ' | ' | 351,937 | ||
Distributions of earnings from equity method investees | ' | ' | -18,626 | ||
Distributions of capital from equity method investees | ' | ' | -17,020 | ||
Change in fair value of investments in equity method investees | ' | ' | 41,741 | ||
Investments in equity method investees at fair value | ' | $358,032 | $358,032 | ||
[1] | Represents our historical consolidated statement of income for the nine months ended September 30, 2013 and year ended December 31, 2012. | ||||
[2] | Represents our historical consolidated balance sheet at September 30, 2013. |
FAIR_VALUE_OF_FINANCIAL_INSTRU7
FAIR VALUE OF FINANCIAL INSTRUMENTS - REAL ESTATE SECURITIES VALUATION (Details 5) (USD $) | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | ||||||||
In Thousands, unless otherwise specified | Multiple Quotes | Agency RMBS | Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | ABS Subprime | ABS Subprime | ABS Subprime | |||||||||
Multiple Quotes | Multiple Quotes | Multiple Quotes | Single Quotes | ||||||||||||||
Fair Value, Inputs, Level 2 | Level 3 Inputs | ||||||||||||||||
Outstanding face amount | $2,054,797 | [1] | ' | $1,203,293 | [2],[3] | ' | $851,504 | ' | $433,510 | [4] | ' | ' | |||||
Amortized cost basis | 1,845,512 | [1] | ' | 1,285,532 | [2],[3] | ' | 559,980 | ' | 274,230 | [4] | ' | ' | |||||
Total Fair Value | $1,861,200 | [5] | $1,861,200 | [5] | $1,279,450 | $1,279,450 | [5] | $581,750 | $581,750 | [5] | $289,756 | $265,556 | [6] | $24,200 | [7] | ||
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||||
[2] | 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"). | ||||||||||||||||
[3] | Amortized cost basis and carrying value include principal receivable of $10.7 million. | ||||||||||||||||
[4] | The total outstanding face amount of fixed rate securities was $1.1 million, and of floating rate securities was $432.4 million. | ||||||||||||||||
[5] | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential's own fair value analysis, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never a | ||||||||||||||||
[6] | Management generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. Management believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential's own fair value analysis using internal models, management selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quot | ||||||||||||||||
[7] | Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service. |
FAIR_VALUE_OF_FINANCIAL_INSTRU8
FAIR VALUE OF FINANCIAL INSTRUMENTS - NON-AGENCY RMBS LEVEL 3 (Details 6) (USD $) | 9 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | ||
Transfers | ' | ' | ' | ||
Gain on settlement of securities | $11,271 | ' | ' | ||
Amortization included in interest income | 8,008 | 2,030 | 5,339 | ||
Recurring Basis | Non-Agency RMBS | Level 3 Inputs | ' | ' | ' | ||
Balance, beginning | 289,756 | ' | ' | ||
Transfers | ' | ' | ' | ||
Transfers from Level 3 | ' | [1] | ' | ' | |
Transfers into Level 3 | ' | [1] | ' | ' | |
Gains (losses) included in net income as impairment | -729 | ' | ' | ||
Gain on settlement of securities | 11,271 | ' | ' | ||
Gains (losses) included in comprehensive income | 6,501 | [2] | ' | ' | |
Amortization included in interest income | 16,286 | ' | ' | ||
Purchases, sales and repayments | ' | ' | ' | ||
Purchases | 450,144 | ' | ' | ||
Sales | -123,130 | ' | ' | ||
Proceeds from repayments | -68,349 | ' | ' | ||
Balance, ending | 581,750 | ' | ' | ||
Recurring Basis | ABS Subprime | Level 3 Inputs | ' | ' | ' | ||
Balance, beginning | ' | ' | ' | ||
Transfers | ' | ' | ' | ||
Transfers from Level 3 | ' | ' | ' | [1] | |
Transfers into Level 3 | ' | ' | ' | [1] | |
Gains (losses) included in net income as impairment | ' | ' | ' | ||
Gains (losses) included in comprehensive income | ' | ' | 15,526 | [2] | |
Amortization included in interest income | ' | ' | 5,339 | ||
Purchases, sales and repayments | ' | ' | ' | ||
Purchases | ' | ' | 121,262 | ||
Sales | ' | ' | ' | ||
Proceeds from repayments | ' | ' | -16,513 | ||
Balance, ending | ' | ' | $289,756 | ||
[1] | Transfers are assumed to occur at the beginning of the respective period. | ||||
[2] | These gains (losses) were included in net unrealized gain (loss) on securities in the consolidated statements of comprehensive income. |
FAIR_VALUE_OF_FINANCIAL_INSTRU9
FAIR VALUE OF FINANCIAL INSTRUMENTS - REVERSE MORTGAGE LOANS (Details 7) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
Weighted average life (years) | '3 years 6 months | [1],[2] |
Reverse Mortgage Loans | ' | |
Outstanding face amount | 56,738 | [3] |
Carrying value | 33,060 | [3] |
Fair value | 33,162 | |
Valuation allowance/(reversal) in current year | ' | |
Discount rate | 10.30% | |
Weighted average life (years) | '3 years 9 months 18 days | [4] |
[1] | The weighted average life is based on the timing of expected principal reduction on the assets. | |
[2] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[3] | Represents a 70% interest New Residential holds in the reverse mortgage loans. | |
[4] | The weighted average life is based on the expected timing of the receipt of cash flows. |
COMMITMENTS_AND_CONTINGENCIES_
COMMITMENTS AND CONTINGENCIES (Details Narrative) (USD $) | Apr. 02, 2013 | Jan. 04, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Capital Commitment | ' | ' | $27,300 |
Percentage ownership acquired in joint venture | 30.00% | 50.00% | ' |
MSRs Pool 6 | ' | ' | ' |
Percentage ownership acquired in joint venture | ' | ' | 50.00% |
EQUITY_AND_EARNINGS_PER_SHARE_1
EQUITY AND EARNINGS PER SHARE - OUTSTANDING OPTIONS (Details) (USD $) | Sep. 30, 2013 |
Stock Options outstanding | 21,035,062 |
Strike Price | $5.35 |
Options - Strike Price 12.28 | ' |
Stock Options outstanding | 304,604 |
Strike Price | $12.28 |
Maturity Date | 1-Dec-13 |
Options - Strike Price 14.17 | ' |
Stock Options outstanding | 328,350 |
Strike Price | $14.17 |
Maturity Date | 9-Jan-14 |
Options - Strike Price 13.86 | ' |
Stock Options outstanding | 343,275 |
Strike Price | $13.86 |
Maturity Date | 25-May-14 |
Options - Strike Price 16.95 | ' |
Stock Options outstanding | 162,500 |
Strike Price | $16.95 |
Maturity Date | 22-Nov-14 |
Options - Strike Price 15.97 | ' |
Stock Options outstanding | 330,000 |
Strike Price | $15.97 |
Maturity Date | 12-Jan-15 |
Options - Strike Price 16.68 | ' |
Stock Options outstanding | 2,000 |
Strike Price | $16.68 |
Maturity Date | 1-Aug-15 |
Options - Strike Price 15.87 | ' |
Stock Options outstanding | 170,000 |
Strike Price | $15.87 |
Maturity Date | 1-Nov-16 |
Options - Strike Price 16.90 | ' |
Stock Options outstanding | 242,000 |
Strike Price | $16.90 |
Maturity Date | 23-Jan-17 |
Options - Strike Price 14.96 | ' |
Stock Options outstanding | 456,000 |
Strike Price | $14.96 |
Maturity Date | 11-Apr-17 |
Options - Strike Price 3.29 | ' |
Stock Options outstanding | 1,580,166 |
Strike Price | $3.29 |
Maturity Date | 29-Mar-21 |
Options - Strike Price 2.49 | ' |
Stock Options outstanding | 2,424,833 |
Strike Price | $2.49 |
Maturity Date | 27-Sep-21 |
Options - Strike Price 2.74 | ' |
Stock Options outstanding | 2,000 |
Strike Price | $2.74 |
Maturity Date | 20-Dec-21 |
Options - Strike Price 3.41 | ' |
Stock Options outstanding | 1,867,167 |
Strike Price | $3.41 |
Maturity Date | 3-Apr-21 |
Options - Strike Price 3.67 | ' |
Stock Options outstanding | 2,265,000 |
Strike Price | $3.67 |
Maturity Date | 21-May-22 |
Options - Strike Price 3.67 | ' |
Stock Options outstanding | 2,499,167 |
Strike Price | $3.67 |
Maturity Date | 31-Jul-22 |
Options - Strike Price 5.12 | ' |
Stock Options outstanding | 5,750,000 |
Strike Price | $5.12 |
Maturity Date | 11-Jan-23 |
Options - Strike Price 5.74 | ' |
Stock Options outstanding | 2,300,000 |
Strike Price | $5.74 |
Maturity Date | 15-Feb-23 |
Options - Strike Price 6.79 | ' |
Stock Options outstanding | 8,000 |
Strike Price | $6.79 |
Maturity Date | 2-Jun-23 |
EQUITY_AND_EARNINGS_PER_SHARE_2
EQUITY AND EARNINGS PER SHARE - OUTSTANDING OPTIONS SUMMARY (Details 1) | Sep. 30, 2013 | 15-May-13 |
Stock Options outstanding | 21,035,062 | ' |
The Manager | ' | ' |
Stock Options outstanding | 17,893,795 | 21,500,000 |
The Manager's Employees | ' | ' |
Stock Options outstanding | 3,129,267 | ' |
Independent Directors | ' | ' |
Stock Options outstanding | 12,000 | ' |
Total Affiliates | ' | ' |
Stock Options outstanding | 21,035,062 | ' |
EQUITY_AND_EARNINGS_PER_SHARE_3
EQUITY AND EARNINGS PER SHARE (Details Narrative) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2013 | 15-May-13 | 6-May-13 | Apr. 29, 2013 |
Common stock, par value | $0.01 | ' | $0.01 | ' | ' | $0.01 |
Common stock, shares authorized | 2,000,000,000 | ' | 2,000,000,000 | ' | ' | 2,000,000,000 |
Preferred stock, par value | ' | ' | ' | ' | ' | $0.01 |
Preferred stock, shares authorized | ' | ' | ' | ' | ' | 100,000,000 |
Common stock, shares outstanding | 253,186,279 | ' | 253,186,279 | ' | 253,025,645 | ' |
Dividend declared per share | $0.18 | $0.07 | ' | ' | ' | ' |
Dividends | $44,300 | $17,700 | $62,020 | ' | ' | ' |
Shares reserved for options | ' | ' | ' | 30,000,000 | ' | ' |
Yearly increase in number of shares available for options (percentage) | ' | ' | ' | 10.00% | ' | ' |
Threshold percentage for options that may be issued to the Manager | ' | ' | ' | 10.00% | ' | ' |
Stock Options outstanding | 21,035,062 | ' | 21,035,062 | ' | ' | ' |
Dilutive Common Stock Equivalents | 6,816,497 | ' | 3,508,415 | ' | ' | ' |
Shares held by Fortress | 5,300,000 | ' | 5,300,000 | ' | ' | ' |
Former Employee of Manager | ' | ' | ' | ' | ' | ' |
Options exercised | ' | ' | 307,833 | ' | ' | ' |
Weighted average exercise price | ' | ' | $3.08 | ' | ' | ' |
Shares issued in option exercise | ' | ' | 160,634 | ' | ' | ' |
Aggregate intrinsic value of options | ' | ' | $1,000 | ' | ' | ' |
Unvested Options forfeited | ' | ' | 192,167 | ' | ' | ' |
Vested Options forfeited | ' | ' | 2,170 | ' | ' | ' |
The Manager | ' | ' | ' | ' | ' | ' |
Stock Options outstanding | 17,893,795 | ' | 17,893,795 | 21,500,000 | ' | ' |
TRANSACTIONS_WITH_AFFILIATES_A2
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
In Thousands, unless otherwise specified | ||||
Management fees payable | ' | $3,392 | $39 | |
Incentive compensation payable | ' | ' | ' | |
Due to Newcastle | ' | 1,744 | 119 | |
[DueToAffiliateCurrentAndNoncurrent] | 7,109 | [1] | 5,136 | 158 |
Fortress-managed Affiliate | ' | ' | ' | |
Management fees payable | 1,495 | 3,392 | ' | |
Incentive compensation payable | 5,348 | ' | ' | |
Expense reimbursements | 266 | ' | ' | |
Due to Newcastle | ' | 1,744 | ' | |
[DueToAffiliateCurrentAndNoncurrent] | $7,109 | $5,136 | ' | |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. |
TRANSACTIONS_WITH_AFFILIATES_A3
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Details Narrative) (USD $) | 9 Months Ended | 0 Months Ended | 9 Months Ended | 1 Months Ended | 10 Months Ended | 12 Months Ended | |||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Apr. 02, 2013 | Dec. 31, 2012 | Jun. 27, 2013 | Sep. 30, 2013 | Nov. 07, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | ||
Agency RMBS | Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | The Manager | The Manager | Serviced by Nationstar | Serviced by Nationstar | ||||||
Non-Agency RMBS | Non-Agency RMBS | ||||||||||||||
Management fee rate (percent) | 1.50% | ' | 1.50% | ' | ' | ' | ' | ' | ' | 1.50% | 1.50% | ' | ' | ||
Incentive compensation percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ||
Interest rate for incentive compensation | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ||
Face amount of securities purchased | ' | ' | ' | $22,700 | $413,200 | $194,300 | $391,700 | $193,800 | $661,200 | ' | ' | ' | ' | ||
Purchase of real estate securities | -292,980 | ' | ' | 1,200 | 437,300 | 126,600 | 242,800 | 121,300 | ' | ' | ' | ' | ' | ||
Outstanding face amount | 2,054,797 | [1] | ' | ' | ' | 1,203,293 | [2],[3] | ' | ' | ' | 851,504 | ' | ' | 851,500 | 433,500 |
Unpaid principal balance of underlying loans | ' | $4,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | $11,500,000 | $5,700,000 | ||
[1] | The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||
[2] | 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"). | ||||||||||||||
[3] | Amortized cost basis and carrying value include principal receivable of $10.7 million. |
RECLASSIFICATION_FROM_ACCUMULA2
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Details) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Net realized gain (loss) on securities | ' | ' |
Reclassification of net realized (gain) loss on securities into earnings | ($11,213) | ($7,515) |
Gain on settlement of securities | ' | ' |
Net realized gain (loss) on securities | ' | ' |
Gain on settlement of securities | -11,213 | -11,271 |
Other-Than-Temporary Investment | ' | ' |
Net realized gain (loss) on securities | ' | ' |
Impairment | ' | $3,756 |
RECENT_ACTIVITIES_Details_Narr
RECENT ACTIVITIES (Details Narrative) (USD $) | 0 Months Ended | 9 Months Ended | 1 Months Ended | 1 Months Ended | 1 Months Ended | 1 Months Ended | 9 Months Ended | 10 Months Ended | 12 Months Ended | 0 Months Ended | 9 Months Ended | ||||||||||||||||||||||||
In Thousands, unless otherwise specified | Apr. 02, 2013 | Jan. 04, 2013 | Sep. 30, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Apr. 02, 2013 | Feb. 27, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Nov. 07, 2013 | Jan. 06, 2013 | Dec. 31, 2012 | Nov. 30, 2012 | Nov. 07, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Nov. 30, 2012 | Dec. 31, 2011 | Sep. 30, 2013 | Nov. 07, 2013 | Oct. 30, 2013 | Sep. 30, 2013 | Apr. 02, 2013 | Nov. 07, 2013 | Sep. 30, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Jun. 27, 2013 | Apr. 02, 2013 | Sep. 30, 2013 | |
Integer | Springleaf Finance, Inc. | Reverse Mortgage Loans | Reverse Mortgage Loans | Excess Mortgage Servicing Rights Investees | MSRs | MSRs | MSRs | MSRs | MSRs | MSRs | MSRs | MSRs Pool 10 | MSRs Pool 10 | MSRs | MSRs | MSRs | MSRs | MSRs | Alpine Securitization Corp. | Alpine Securitization Corp. | Alpine Securitization Corp. | Affilate of Blackstone Tactical Opportunities Advisors LLC | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | Agency RMBS | Agency RMBS | Agency RMBS | ||||||
Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | Excess Mortgage Servicing Rights Investees | |||||||||||||||||||||||||||||||
GSE Residential Loans | PLS Residential Loans | ||||||||||||||||||||||||||||||||||
Face amount of securities purchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $194,300 | $661,200 | $391,700 | $193,800 | $22,700 | ' | $413,200 | |
Purchase of real estate securities | ' | ' | -292,980 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 126,600 | ' | 242,800 | 121,300 | 1,200 | ' | 437,300 | |
Face amount of securities sold | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 52,500 | 153,500 | ' | ' | ' | ' | ' | |
Carrying value of securities sold | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 31,500 | ' | ' | ' | ' | ' | ' | |
Proceeds from sale of real estate securities | ' | ' | 123,130 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 38,100 | 123,100 | ' | ' | ' | ' | ' | |
Gain on sale of real estate securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,600 | 11,300 | ' | ' | ' | ' | ' | |
Repurchase agreements | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 414,200 | 342,900 | ' | ' | ' | ' | ' | ' | ' | ' | |
Default provision, percentage equity decline - 12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Default provision, percentage equity decline - 3 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 35.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Indebtedness to tangible net worth provision ratio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 400.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Variable basis for interest rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 'LIBOR | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Spread on variable basis interest rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.75% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Unpaid principal balance of underlying loans | 4,200,000 | ' | ' | ' | ' | ' | ' | 83,000 | ' | 9,600,000 | ' | 58,000,000 | 215,000,000 | ' | 13,100,000 | 10,500,000 | ' | 59,784,115 | 72,315,805 | 76,560,751 | 13,000,000 | 9,705,512 | 169,856,996 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Amount contributed to acquire joint venture | ' | 27,300 | 285,200 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Percentage ownership acquired in joint venture | 30.00% | 50.00% | ' | ' | ' | ' | ' | ' | 50.00% | ' | 50.00% | ' | ' | 33.30% | ' | ' | ' | 50.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Percentage of Investment co-owned by Nationstar | ' | 33.00% | ' | ' | ' | ' | 30.00% | ' | ' | ' | 33.00% | ' | ' | 33.30% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Percentage of Investment owned by New Residential | ' | 67.00% | ' | ' | ' | ' | 70.00% | ' | ' | ' | 67.00% | ' | ' | 33.30% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Amount invested | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,400 | ' | ' | ' | ' | ' | ' | ' | 13,900 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Loans in private label securitizations portfolio (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 53.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Amount committed to invest in joint venture | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 340,000 | ' | ' | 32,300 | ' | 23,300 | ' | 4,100 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Amount committed to invest in Excess MSRs | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 700 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Unpaid principal balance of underlying mortgage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,300,000 | 10,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Amount commited to be invested in non-performing loans | ' | ' | ' | 106,600 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Face amount of non-performing loans committed to buy | ' | ' | ' | 197,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Repurchase agreements | ' | ' | ' | ' | 158,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | |
Residential mortgage loans, held-for-investment | ' | ' | 33,060 | [1] | ' | ' | ' | 35,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of loans in portfolio | 400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Percentage of portfolio co-invested by other parties | 70.00% | ' | ' | ' | ' | 47.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 23.00% | ' | ' | ' | ' | ' | ' | ' | |
Acquisitions of investments in consumer loan equity method investees | 250,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Purchase price of portfolio financed by asset-backed notes | 2,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Purchase price of portfolio | 3,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Agency RMBS contributed from Newcastle, face amount | ' | ' | $1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1,000,000 | ' | |
[1] | Represents our historical consolidated balance sheet at September 30, 2013. |