Document_and_Entity_Informatio
Document and Entity Information (USD $) | 9 Months Ended | |
Sep. 30, 2013 | Nov. 08, 2013 | |
Document And Entity Information | ' | ' |
Entity Registrant Name | 'New Residential Investment Corp. | ' |
Entity Central Index Key | '0001556593 | ' |
Document Type | '10-Q | ' |
Document Period End Date | 30-Sep-13 | ' |
Amendment Flag | 'false | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Is Entity a Well-known Seasoned Issuer? | 'No | ' |
Is Entity a Voluntary Filer? | 'No | ' |
Is Entity's Reporting Status Current? | 'Yes | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Entity Common Stock, Par Value | $0.01 | ' |
Entity Common Stock, Shares Outstanding | ' | 253,186,279 |
Document Fiscal Period Focus | 'Q3 | ' |
Document Fiscal Year Focus | '2013 | ' |
Consolidated_Balance_Sheets_Un
Consolidated Balance Sheets (Unaudited) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Assets | ' | ' | |
Real estate securities, available-for-sale | $1,861,200 | [1],[2] | $289,756 |
Investments in excess mortgage servicing rights at fair value | 307,568 | 245,036 | |
Investments in excess mortgage servicing rights, equity method investees, at fair value | 358,032 | ' | |
Investment in consumer loans, equity method investees | 192,498 | ' | |
Residential mortgage loans, held-for-investment | 33,060 | ' | |
Cash and cash equivalents | 172,203 | ' | |
Other assets | 7,283 | 84 | |
[Assets] | 2,931,844 | 534,876 | |
Liabilities | ' | ' | |
Repurchase agreements | 1,467,934 | 150,922 | |
Trades Payable | 149,181 | ' | |
Due to affiliates | 7,109 | 5,136 | |
Dividends Payable | 44,308 | ' | |
Accrued expenses and other liabilities | 2,276 | 462 | |
[Liabilities] | 1,670,808 | 156,520 | |
Commitments and contingencies | ' | ' | |
Stockholders' 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 | 362,830 | |
Retained earnings | 85,776 | ' | |
Accumulated other comprehensive income | 15,688 | 15,526 | |
Total Stockholders' Equity | 1,261,036 | 378,356 | |
[LiabilitiesAndStockholdersEquity] | $2,931,844 | $534,876 | |
[1] | (A) Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | ||
[2] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2013 |
Statement of Financial Position [Abstract] | ' |
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 |
Consolidated_Statements_of_Inc
Consolidated Statements of Income (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Income Statement [Abstract] | ' | ' | ' | ' |
Interest income | $21,885 | $12,295 | $61,075 | $18,811 |
Interest expense | 3,443 | 298 | 6,993 | 298 |
Net Interest Income | 18,442 | 11,997 | 54,082 | 18,513 |
Impairment (Reversal) | ' | ' | ' | ' |
Other-than-temporary impairment ("OTTI") on securities | ' | ' | 3,756 | ' |
Net interest income after impairment | 18,442 | 11,997 | 50,326 | 18,513 |
Change in fair value of investments in excess mortgage servicing rights | 208 | 1,774 | 43,899 | 6,513 |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | 20,645 | ' | 41,741 | ' |
Earnings from investments in consumer loans, equity method investee | 24,129 | ' | 60,293 | ' |
Gain on settlement of securities | 11,213 | ' | 11,271 | ' |
Other Income | 56,195 | 1,774 | 157,204 | 6,513 |
Expenses | ' | ' | ' | ' |
General and administrative expenses | 2,538 | 686 | 5,859 | 2,363 |
Management fee allocated by Newcastle | ' | 1,317 | 4,134 | 1,733 |
Management fee to affiliate | 4,484 | ' | 6,747 | ' |
Incentive compensation to affiliate | 4,470 | ' | 5,348 | ' |
[OperatingExpenses] | 11,492 | 2,003 | 22,088 | 4,096 |
Net Income | $63,145 | $11,768 | $185,442 | $20,930 |
Income Per Share of Common Stock | ' | ' | ' | ' |
Basic | $0.25 | $0.05 | $0.73 | $0.08 |
Diluted | $0.24 | $0.05 | $0.72 | $0.08 |
Weighted Average Number of Shares of Common Stock Outstanding | ' | ' | ' | ' |
Basic | 253,072,788 | 253,025,645 | 253,041,532 | 253,025,645 |
Diluted | 259,889,285 | 253,025,645 | 256,549,947 | 253,025,645 |
Dividends Declared per Share of Common Stock | $0.18 | ' | $0.25 | ' |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' | ' |
Net income | $63,145 | $11,768 | $185,442 | $20,930 |
Other comprehensive income: | ' | ' | ' | ' |
Net unrealized gain (loss) on securities | 7,687 | 7,313 | 7,677 | 7,313 |
Reclassification of net realized (gain) loss on securities into earnings | -11,213 | ' | -7,515 | ' |
Other comprehensive income | -3,526 | 7,313 | 162 | 7,313 |
Comprehensive income | $59,619 | $19,081 | $185,604 | $28,243 |
Consolidated_Statement_of_Chan
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (USD $) | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Total |
In Thousands, except Share data | |||||
Equity, beginning at Dec. 31, 2012 | ' | $362,830 | ' | $15,526 | $378,356 |
Common stock, shares - beginning at Dec. 31, 2012 | ' | ' | ' | ' | ' |
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 |
Other comprehensive income | ' | ' | ' | 162 | 162 |
Equity, ending at Sep. 30, 2013 | $2,532 | $1,157,040 | $85,776 | $15,688 | $1,261,036 |
Common stock, shares - ending at Sep. 30, 2013 | 253,186,279 | ' | ' | ' | 253,186,279 |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (Unaudited) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Cash Flows From Operating Activities | ' | ' |
Net income | $185,442 | $20,930 |
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 | -6,513 |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | -41,741 | ' |
Distributions of earnings from excess mortgage servicing rights, equity method investees | 23,659 | ' |
Earnings from consumer loan equity method investees | -60,293 | ' |
Distributions of earnings from consumer loan equity method investees | 60,293 | ' |
Accretion of discount and other amortization | -8,008 | -2,030 |
(Gain)/Loss on settlement of investments (net) | -11,271 | ' |
Other-than-temporary impairment ("OTTI") | 3,756 | ' |
Change in: | ' | ' |
Other assets | -7,145 | -58 |
Due to affiliates | 1,973 | 1,647 |
Accrued expenses and other liabilities | 1,752 | 1,406 |
Reduction of liability deemed as capital contribution by Newcastle | 11,515 | ' |
Other operating cash flows: | ' | ' |
Cash proceeds from investments, in excess of interest income | 41,435 | 19,021 |
Net cash proceeds deemed as capital distributions to Newcastle | -52,888 | -34,403 |
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, Beginning of Period | ' | ' |
Cash and Cash Equivalents, End of Period | 172,203 | ' |
Supplemental Disclosure of Cash Flow Information | ' | ' |
Cash paid during the period for interest expense | 6,853 | 280 |
Prior to Date of Cash Contribution by Newcastle | ' | ' |
Cash proceeds from investments, in excess of interest income | 41,435 | 19,021 |
Acquisition of real estate securities | 242,750 | 34,619 |
Acquisition of investments in excess mortgage servicing rights | ' | 218,642 |
Deposit paid on investment in excess mortgage servicing rights | ' | 25,200 |
Purchase price payable on investments in excess mortgage servicing rights | ' | 3,250 |
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 |
Repayments of repurchase agreements | 3,902 | 1,126 |
Capital contributions by Newcastle | 648,408 | 278,461 |
Contributions in-kind by Newcastle | 1,093,684 | 164,142 |
Capital distributions to Newcastle | 1,228,054 | 94,049 |
Subsequent to Date of Cash Contribution by Newcastle | ' | ' |
Dividends declared but not paid | $44,308 | ' |
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. |
SEGMENT_REPORTING
SEGMENT REPORTING | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Segment Reporting [Abstract] | ' | ||||||||||||||||||||
SEGMENT REPORTING | ' | ||||||||||||||||||||
2. 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. | |||||||||||||||||||||
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 Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||||||
Interest income | $ | 9,761 | $ | 12,120 | $ | — | $ | 4 | $ | 21,885 | |||||||||||
Interest expense | — | 3,443 | — | — | 3,443 | ||||||||||||||||
Net interest income | 9,761 | 8,677 | — | 4 | 18,442 | ||||||||||||||||
Impairment | — | — | — | — | — | ||||||||||||||||
Other income | 20,853 | 11,213 | 24,129 | — | 56,195 | ||||||||||||||||
Operating expenses | 82 | 104 | 1 | 11,305 | 11,492 | ||||||||||||||||
Net income (loss) | $ | 30,532 | $ | 19,786 | $ | 24,128 | $ | (11,301 | ) | $ | 63,145 | ||||||||||
Excess MSRs | Real Estate Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||||||
Interest income | $ | 30,541 | $ | 30,492 | $ | — | $ | 42 | $ | 61,075 | |||||||||||
Interest expense | — | 6,993 | — | — | 6,993 | ||||||||||||||||
Net interest income | 30,541 | 23,499 | — | 42 | 54,082 | ||||||||||||||||
Impairment | — | 3,756 | — | — | 3,756 | ||||||||||||||||
Other income | 85,640 | 11,271 | 60,293 | — | 157,204 | ||||||||||||||||
Operating expenses | 178 | 256 | 1,952 | 19,702 | 22,088 | ||||||||||||||||
Net income (loss) | $ | 116,003 | $ | 30,758 | $ | 58,341 | $ | (19,660 | ) | $ | 185,442 | ||||||||||
Excess MSRs | Real Estate Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
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 Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
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 Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
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_MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE | 9 Months Ended | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||
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 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. | |||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||
The following is a summary of New Residential’s direct investments in Excess MSRs: | |||||||||||||||||||||||||||||
30-Sep-13 | Nine Months | ||||||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||||||
Unpaid Principal | Interest in Excess MSR | Amortized | Carrying Value (B) | Weighted Average Yield | Weighted Average Life | Changes in Fair Value Recorded in Other | |||||||||||||||||||||||
Balance (“UPB”) of Underlying Mortgages | Cost Basis (A) | (Years) (C) | Income (D) | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||
MSR Pool 2 | 8,217,751 | 65 | % | 30,806 | 35,592 | 12.5 | % | 5.2 | 3,742 | ||||||||||||||||||||
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 | ||||||||||||||||||||
MSR Pool 4 - Recapture Agreement | — | 65 | % | 2,509 | 3,446 | 12.5 | % | 11.6 | 951 | ||||||||||||||||||||
MSR Pool 5 | 38,315,786 | 80 | % | 121,544 | 142,387 | 12.7 | % | 5.4 | 18,864 | ||||||||||||||||||||
MSR Pool 5 - Recapture Agreement | — | 80 | % | 9,277 | 4,779 | 12.7 | % | 12.5 | (656 | ) | |||||||||||||||||||
MSR Pool 11 - Recapture Agreement | — | 66.7 | % | 2,391 | 2,391 | 12.5 | % | 10.2 | — | ||||||||||||||||||||
MSR Pool 12 | 5,321,060 | 40 | % | 16,963 | 17,032 | 16.4 | % | 4.6 | 69 | ||||||||||||||||||||
MSR Pool 12 - Recapture Agreement | — | 40 | % | 479 | 486 | 16.4 | % | 13.6 | 5 | ||||||||||||||||||||
$ | 72,315,805 | $ | 254,278 | $ | 307,568 | 12.9 | % | 5.8 | $ | 43,899 | |||||||||||||||||||
(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 Life 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. | ||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs at September 30, 2013: | |||||||||||||||||||||||||||||
State Concentration | Percentage of Total Outstanding | ||||||||||||||||||||||||||||
California | 30.3 | % | |||||||||||||||||||||||||||
Florida | 10.1 | % | |||||||||||||||||||||||||||
New York | 4.7 | % | |||||||||||||||||||||||||||
Texas | 4.2 | % | |||||||||||||||||||||||||||
Washington | 4.1 | % | |||||||||||||||||||||||||||
Arizona | 3.7 | % | |||||||||||||||||||||||||||
Maryland | 3.6 | % | |||||||||||||||||||||||||||
Colorado | 3.3 | % | |||||||||||||||||||||||||||
New Jersey | 3.3 | % | |||||||||||||||||||||||||||
Virginia | 3.1 | % | |||||||||||||||||||||||||||
Other U.S. | 29.6 | % | |||||||||||||||||||||||||||
100 | % | ||||||||||||||||||||||||||||
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. |
INVESTMENTS_IN_REAL_ESTATE_SEC
INVESTMENTS IN REAL ESTATE SECURITIES | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||||||||||||||
Investments In Real Estate Securities | ' | ||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS IN REAL ESTATE SECURITIES | ' | ||||||||||||||||||||||||||||||||||||||||||||
4. 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 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 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 | ||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding Face Amount | Amortized Cost Basis | Gains | Losses | Carrying | Number of | Rating (B) | Coupon | Yield | Life (Years) (C) | Principal Subordination (D) | ||||||||||||||||||||||||||||||||||
Value (A) | Securities | ||||||||||||||||||||||||||||||||||||||||||||
Agency ARM RMBS (E) (F) | $ | 1,203,293 | $ | 1,285,532 | $ | 1,480 | $ | (7,562 | ) | $ | 1,279,450 | 95 | AAA | 3.15 | % | 1.3 | % | 3 | N/A | ||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 28,089 | (6,319 | ) | 581,750 | 95 | CC | 0.82 | % | 5.2 | % | 4.2 | 9.1 | % | ||||||||||||||||||||||||||||||
Total/Weighted Average (G) | $ | 2,054,797 | $ | 1,845,512 | $ | 29,569 | $ | (13,881 | ) | $ | 1,861,200 | 190 | BBB | 2.18 | % | 2.48 | % | 3.5 | |||||||||||||||||||||||||||
(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. | ||||||||||||||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||||||||||||||
The following table summarizes New Residential’s securities in an unrealized loss position as of September 30, 2013. | |||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost Basis | Weighted Average | ||||||||||||||||||||||||||||||||||||||||||||
Securities in an | Outstanding Face Amount | Before Impairment | Other-Than-Temporary Impairment (A) | After Impairment | Gross Unrealized Losses | Carrying Value | Number of Securities | Rating | Coupon | Yield | Life | ||||||||||||||||||||||||||||||||||
Unrealized Loss | (Years) | ||||||||||||||||||||||||||||||||||||||||||||
Position | |||||||||||||||||||||||||||||||||||||||||||||
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 or More Months | 30,939 | 33,451 | (411 | ) | $ | 33,040 | (205 | ) | 32,835 | 4 | AAA | 3.5 | % | 1.28 | % | 2.6 | |||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||||||||||||||
The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS at September 30, 2013: | |||||||||||||||||||||||||||||||||||||||||||||
Geographic Location | Outstanding Face Amount | Percentage of Total Outstanding | |||||||||||||||||||||||||||||||||||||||||||
Western U.S. | $ | 344,107 | 40.4 | % | |||||||||||||||||||||||||||||||||||||||||
Southeastern U.S. | 195,278 | 22.9 | % | ||||||||||||||||||||||||||||||||||||||||||
Northeastern U.S. | 165,401 | 19.4 | % | ||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 99,404 | 11.7 | % | ||||||||||||||||||||||||||||||||||||||||||
Southwestern U.S. | 47,314 | 5.6 | % | ||||||||||||||||||||||||||||||||||||||||||
$ | 851,504 | 100 | % | ||||||||||||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||||||||||||||
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 Face Amount | Carrying Value | ||||||||||||||||||||||||||||||||||||||||||||
31-Dec-12 | $ | 342,013 | $ | 212,129 | |||||||||||||||||||||||||||||||||||||||||
30-Sep-13 | $ | 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 Count | Weighted Average Yield | Weighted Average Coupon (B) | Weighted Average Life (Years) (C) | Floating Rate Loans as a % of Face Amount | Delinquent Face Amount | |||||||||||||||||||||||||
Face Amount (A) | Value (A) | ||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||||||||||
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 Residential Interest | Amortized | Carrying Value (B) | Weighted Average Yield | Weighted Average Life (Years) (C) | |||||||||||||||||||||||
Principal | Interest in | in Investees | Cost Basis (A) | ||||||||||||||||||||||||||
Balance | Excess MSR | ||||||||||||||||||||||||||||
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 the Consumer Loan Companies held by New Residential at September 30, 2013: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
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: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
Unpaid | Interest in | Carrying Value (A) | Weighted Average Coupon (B) | Weighted Average Asset Yield | Weighted Average Expected Life (Years) (C) | |||||||||||||||||||
Principal | Consumer Loan Companies | |||||||||||||||||||||||
Balance | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||||
Debt Obligations | ' | ||||||||||||||||||||||||||||||||||
DEBT OBLIGATIONS | ' | ||||||||||||||||||||||||||||||||||
8. DEBT OBLIGATIONS | |||||||||||||||||||||||||||||||||||
The following table presents certain information regarding New Residential’s debt obligations at September 30, 2013: | |||||||||||||||||||||||||||||||||||
Collateral | |||||||||||||||||||||||||||||||||||
Repurchase Agreements (A) | Month Issued | Outstanding Face | Carrying Value | Final Stated Maturity | Weighted Average Funding Cost | Weighted Average | Outstanding Face | Amortized Cost Basis | Carrying Value | Weighted Average Life (Years) | |||||||||||||||||||||||||
Life (Years) | |||||||||||||||||||||||||||||||||||
Agency ARM RMBS (B)(C) | Various | $ | 1,071,587 | $ | 1,071,587 | 13-Dec | 0.36 | % | 0.1 | $ | 1,067,063 | $ | 1,130,533 | $ | 1,124,451 | 2.9 | |||||||||||||||||||
Non-Agency RMBS (C) (D) (E) | Various | 53,475 | 53,475 | 13-Oct | 1.84 | % | 0.1 | 100,411 | 77,108 | 75,667 | 5.3 | ||||||||||||||||||||||||
Non-Agency RMBS term repurchase agreement (E) (F) | 13-Aug | 342,872 | 342,872 | 14-Aug | 2.43 | % | 0.8 | 729,299 | 465,126 | 489,876 | 4 | ||||||||||||||||||||||||
$ | 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 | ||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||
Fair Value Of Financial Instruments | ' | ||||||||||||||||||||||||||||||||
FAIR VALUE OF FINANCIAL INSTRUMENTS | ' | ||||||||||||||||||||||||||||||||
9. 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. | |||||||||||||||||||||||||||||||||
Level 1- Quoted prices in active markets for identical instruments. | |||||||||||||||||||||||||||||||||
Level 2- Valuations based principally on other observable market parameters, including | |||||||||||||||||||||||||||||||||
● | Quoted prices in active markets for 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 | ||||||||||||||||||||||||||||||||
● | Market corroborated inputs (derived principally from or corroborated by observable market data). | ||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||||||||||
Principal Balance or Notional Amount | Carrying Value | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||
Investments in Excess MSRs Valuation | |||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||
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 owned directly and through equity method investees as of September 30, 2013: | |||||||||||||||||||||||||||||||||
Significant Inputs | |||||||||||||||||||||||||||||||||
Held Directly (Note 3) | Prepayment Speed | Delinquency | Recapture Rate | Excess Mortgage Servicing Amount (D) | Discount Rate | ||||||||||||||||||||||||||||
(A) | (B) | (C) | |||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||
MSR Pool 2 - Recapture Agreement | 8 | % | 5 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 3 | 15.2 | % | 11.9 | % | 35 | % | 24 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 3 - Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 4 | 15.4 | % | 14.9 | % | 35 | % | 17 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 4 - Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 5 | 12.3 | % | N/A | (E) | 14 | % | 13 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 5 - Recapture Agreement | 8 | % | N/A | (E) | 15 | % | 21 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 11 - Recapture Agreement | 9.3 | % | 2.3 | % | 32 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 12 | 15.3 | % | N/A | (E) | 16.7 | % | 26 bps | 16.4 | % | ||||||||||||||||||||||||
MSR Pool 12 - Recapture Agreement | 7 | % | N/A | (E) | 35 | % | 19 bps | 16.4 | % | ||||||||||||||||||||||||
Held through Equity Method Investees (Note 6) | |||||||||||||||||||||||||||||||||
MSR Pool 6 | 18.2 | % | 8.9 | % | 35 | % | 25 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 6 - Recapture Agreement | 10 | % | 6 | % | 35 | % | 23 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 7 | 13.3 | % | 8 | % | 35 | % | 16 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 7 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 8 | 14.3 | % | 6.9 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 8 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 9 | 18 | % | 5 | % | 35 | % | 22 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 9 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 28 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 10 | 11.5 | % | N/A | (E) | 15 | % | 12 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 10 - Recapture Agreement | 9 | % | N/A | (E) | 35 | % | 19 bps | 12.7 | % | ||||||||||||||||||||||||
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). | ||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||
When valuing Excess MSRs, New Residential uses the following criteria to determine the significant inputs: | |||||||||||||||||||||||||||||||||
● | 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 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. | ||||||||||||||||||||||||||||||||
● | 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. | ||||||||||||||||||||||||||||||||
● | Discount Rate: The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral. | ||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
Level 3 (A) | |||||||||||||||||||||||||||||||||
MSR Pool 1 | MSR Pool 2 | MSR Pool 3 | MSR Pool 4 | MSR Pool 5 | MSR Pool 11 | MSR Pool 12 | Total | ||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | — | $ | — | $ | 245,036 | |||||||||||||||||
Transfers (B) | — | ||||||||||||||||||||||||||||||||
Transfers from Level 3 (B) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Transfers to Level 3 (B) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Gains (losses) included in net income (C) | 6,807 | 7,509 | 7,657 | 3,644 | 18,208 | — | 74 | 43,899 | |||||||||||||||||||||||||
Interest income | 5,097 | 3,739 | 4,892 | 2,034 | 14,728 | — | 51 | 30,541 | |||||||||||||||||||||||||
Purchases, sales and repayments | — | ||||||||||||||||||||||||||||||||
Purchases | — | — | — | — | 26,637 | 2,391 | 17,393 | 46,421 | |||||||||||||||||||||||||
Purchase adjustments | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Proceeds from sales | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Proceeds from repayments | (10,278 | ) | (9,096 | ) | (8,689 | ) | (3,525 | ) | (26,741 | ) | — | — | (58,329 | ) | |||||||||||||||||||
Balance at September 30, 2013 | $ | 42,536 | $ | 41,474 | $ | 39,294 | $ | 17,189 | $ | 147,166 | $ | 2,391 | $ | 17,518 | $ | 307,568 | |||||||||||||||||
(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. | ||||||||||||||||||||||||||||||||
Excess Mortgage Servicing Rights Equity Method Investees 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. | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
Real Estate Securities Valuation | |||||||||||||||||||||||||||||||||
As of September 30, 2013, New Residential’s securities valuation methodology and results are further detailed as follows: | |||||||||||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||||||||||
Asset Type | Outstanding Face Amount | Amortized Cost Basis | Multiple Quotes (A) | Total | Level | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
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 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. | |||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
Level 3 | |||||||||||||||||||||||||||||||||
Non-Agency | |||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 289,756 | |||||||||||||||||||||||||||||||
Transfer (A) | |||||||||||||||||||||||||||||||||
Transfers from Level 3 | — | ||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | ||||||||||||||||||||||||||||||||
Total gains (losses) | |||||||||||||||||||||||||||||||||
Included in net income as impairment | (729 | ) | |||||||||||||||||||||||||||||||
Gain on settlement of securities | 11,271 | ||||||||||||||||||||||||||||||||
Included in comprehensive income (B) | 6,501 | ||||||||||||||||||||||||||||||||
Amortization included in interest income | 16,286 | ||||||||||||||||||||||||||||||||
Purchases, sales and repayments | |||||||||||||||||||||||||||||||||
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 Face Amount (A) | Carrying Value (A) | Fair Value | Valuation Allowance/ (Reversal) In Current Year | Discount Rate | Weighted Average Life (Years) (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 Options | Strike Price | Maturity Date | ||||||||
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 |
Sep. 30, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
COMMITMENTS AND CONTINGENCIES | ' |
11. 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. | |
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 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 | ||||||||
Sep. 30, 2013 | |||||||||
Transactions With Affiliates And Affiliated Entities | ' | ||||||||
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | ' | ||||||||
12. 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. | |||||||||
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. | |||||||||
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. | |||||||||
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: | |||||||||
30-Sep-13 | 31-Dec-12 | ||||||||
Management fees | $ | 1,495 | $ | 3,392 | |||||
Incentive compensation | 5,348 | — | |||||||
Expense reimbursements | 266 | — | |||||||
Purchase price payable | — | 1,744 | |||||||
$ | 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 | Statement of Income Location | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||
Income Components | |||||||||||
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 |
Sep. 30, 2013 | |
Income Taxes | ' |
INCOME TAXES | ' |
14. 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. |
RECENT_ACTIVITIES
RECENT ACTIVITIES | 9 Months Ended |
Sep. 30, 2013 | |
Recent Activities | ' |
RECENT ACTIVITIES | ' |
15. 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. | |
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. | |
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 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. | |
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. | |
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. | |
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. |
SEGMENT_REPORTING_Tables
SEGMENT REPORTING (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
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: | |||||||||||||||||||||
Excess MSRs | Real Estate Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||||||
Interest income | $ | 9,761 | $ | 12,120 | $ | — | $ | 4 | $ | 21,885 | |||||||||||
Interest expense | — | 3,443 | — | — | 3,443 | ||||||||||||||||
Net interest income | 9,761 | 8,677 | — | 4 | 18,442 | ||||||||||||||||
Impairment | — | — | — | — | — | ||||||||||||||||
Other income | 20,853 | 11,213 | 24,129 | — | 56,195 | ||||||||||||||||
Operating expenses | 82 | 104 | 1 | 11,305 | 11,492 | ||||||||||||||||
Net income (loss) | $ | 30,532 | $ | 19,786 | $ | 24,128 | $ | (11,301 | ) | $ | 63,145 | ||||||||||
Excess MSRs | Real Estate Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||||||
Interest income | $ | 30,541 | $ | 30,492 | $ | — | $ | 42 | $ | 61,075 | |||||||||||
Interest expense | — | 6,993 | — | — | 6,993 | ||||||||||||||||
Net interest income | 30,541 | 23,499 | — | 42 | 54,082 | ||||||||||||||||
Impairment | — | 3,756 | — | — | 3,756 | ||||||||||||||||
Other income | 85,640 | 11,271 | 60,293 | — | 157,204 | ||||||||||||||||
Operating expenses | 178 | 256 | 1,952 | 19,702 | 22,088 | ||||||||||||||||
Net income (loss) | $ | 116,003 | $ | 30,758 | $ | 58,341 | $ | (19,660 | ) | $ | 185,442 | ||||||||||
Excess MSRs | Real Estate Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
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 Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
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 Securities and Loans | Consumer Loans | Corporate | Total | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||
30-Sep-13 | Nine Months | ||||||||||||||||||||||||||||
Ended September 30, | |||||||||||||||||||||||||||||
2013 | |||||||||||||||||||||||||||||
Unpaid Principal | Interest in Excess MSR | Amortized | Carrying Value (B) | Weighted Average Yield | Weighted Average Life | Changes in Fair Value Recorded in Other | |||||||||||||||||||||||
Balance (“UPB”) of Underlying Mortgages | Cost Basis (A) | (Years) (C) | Income (D) | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||
MSR Pool 2 | 8,217,751 | 65 | % | 30,806 | 35,592 | 12.5 | % | 5.2 | 3,742 | ||||||||||||||||||||
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 | ||||||||||||||||||||
MSR Pool 4 - Recapture Agreement | — | 65 | % | 2,509 | 3,446 | 12.5 | % | 11.6 | 951 | ||||||||||||||||||||
MSR Pool 5 | 38,315,786 | 80 | % | 121,544 | 142,387 | 12.7 | % | 5.4 | 18,864 | ||||||||||||||||||||
MSR Pool 5 - Recapture Agreement | — | 80 | % | 9,277 | 4,779 | 12.7 | % | 12.5 | (656 | ) | |||||||||||||||||||
MSR Pool 11 - Recapture Agreement | — | 66.7 | % | 2,391 | 2,391 | 12.5 | % | 10.2 | — | ||||||||||||||||||||
MSR Pool 12 | 5,321,060 | 40 | % | 16,963 | 17,032 | 16.4 | % | 4.6 | 69 | ||||||||||||||||||||
MSR Pool 12 - Recapture Agreement | — | 40 | % | 479 | 486 | 16.4 | % | 13.6 | 5 | ||||||||||||||||||||
$ | 72,315,805 | $ | 254,278 | $ | 307,568 | 12.9 | % | 5.8 | $ | 43,899 | |||||||||||||||||||
(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 Life 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: | |||||||||||||||||||||||||||||
State Concentration | Percentage of Total Outstanding | ||||||||||||||||||||||||||||
California | 30.3 | % | |||||||||||||||||||||||||||
Florida | 10.1 | % | |||||||||||||||||||||||||||
New York | 4.7 | % | |||||||||||||||||||||||||||
Texas | 4.2 | % | |||||||||||||||||||||||||||
Washington | 4.1 | % | |||||||||||||||||||||||||||
Arizona | 3.7 | % | |||||||||||||||||||||||||||
Maryland | 3.6 | % | |||||||||||||||||||||||||||
Colorado | 3.3 | % | |||||||||||||||||||||||||||
New Jersey | 3.3 | % | |||||||||||||||||||||||||||
Virginia | 3.1 | % | |||||||||||||||||||||||||||
Other U.S. | 29.6 | % | |||||||||||||||||||||||||||
100 | % | ||||||||||||||||||||||||||||
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. |
INVESTMENTS_IN_REAL_ESTATE_SEC1
INVESTMENTS IN REAL ESTATE SECURITIES (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||||||||||||||
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. | |||||||||||||||||||||||||||||||||||||||||||||
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Outstanding Face Amount | Amortized Cost Basis | Gains | Losses | Carrying | Number of | Rating (B) | Coupon | Yield | Life (Years) (C) | Principal Subordination (D) | ||||||||||||||||||||||||||||||||||
Value (A) | Securities | ||||||||||||||||||||||||||||||||||||||||||||
Agency ARM RMBS (E) (F) | $ | 1,203,293 | $ | 1,285,532 | $ | 1,480 | $ | (7,562 | ) | $ | 1,279,450 | 95 | AAA | 3.15 | % | 1.3 | % | 3 | N/A | ||||||||||||||||||||||||||
Non-Agency RMBS | 851,504 | 559,980 | 28,089 | (6,319 | ) | 581,750 | 95 | CC | 0.82 | % | 5.2 | % | 4.2 | 9.1 | % | ||||||||||||||||||||||||||||||
Total/Weighted Average (G) | $ | 2,054,797 | $ | 1,845,512 | $ | 29,569 | $ | (13,881 | ) | $ | 1,861,200 | 190 | BBB | 2.18 | % | 2.48 | % | 3.5 | |||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost Basis | Weighted Average | ||||||||||||||||||||||||||||||||||||||||||||
Securities in an | Outstanding Face Amount | Before Impairment | Other-Than-Temporary Impairment (A) | After Impairment | Gross Unrealized Losses | Carrying Value | Number of Securities | Rating | Coupon | Yield | Life | ||||||||||||||||||||||||||||||||||
Unrealized Loss | (Years) | ||||||||||||||||||||||||||||||||||||||||||||
Position | |||||||||||||||||||||||||||||||||||||||||||||
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 or More Months | 30,939 | 33,451 | (411 | ) | $ | 33,040 | (205 | ) | 32,835 | 4 | AAA | 3.5 | % | 1.28 | % | 2.6 | |||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||||||||||||||
Geographic Location | Outstanding Face Amount | Percentage of Total Outstanding | |||||||||||||||||||||||||||||||||||||||||||
Western U.S. | $ | 344,107 | 40.4 | % | |||||||||||||||||||||||||||||||||||||||||
Southeastern U.S. | 195,278 | 22.9 | % | ||||||||||||||||||||||||||||||||||||||||||
Northeastern U.S. | 165,401 | 19.4 | % | ||||||||||||||||||||||||||||||||||||||||||
Midwestern U.S. | 99,404 | 11.7 | % | ||||||||||||||||||||||||||||||||||||||||||
Southwestern U.S. | 47,314 | 5.6 | % | ||||||||||||||||||||||||||||||||||||||||||
$ | 851,504 | 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 Face Amount | Carrying Value | ||||||||||||||||||||||||||||||||||||||||||||
31-Dec-12 | $ | 342,013 | $ | 212,129 | |||||||||||||||||||||||||||||||||||||||||
30-Sep-13 | $ | 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: | |||||||||||||||||||||||||||||||||||||||||||||
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_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 Count | Weighted Average Yield | Weighted Average Coupon (B) | Weighted Average Life (Years) (C) | Floating Rate Loans as a % of Face Amount | Delinquent Face Amount | |||||||||||||||||||||||||
Face Amount (A) | Value (A) | ||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||||||||||
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 Residential Interest | Amortized | Carrying Value (B) | Weighted Average Yield | Weighted Average Life (Years) (C) | |||||||||||||||||||||||
Principal | Interest in | in Investees | Cost Basis (A) | ||||||||||||||||||||||||||
Balance | Excess MSR | ||||||||||||||||||||||||||||
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 the Consumer Loan Companies held by New Residential at September 30, 2013: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
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: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
Unpaid | Interest in | Carrying Value (A) | Weighted Average Coupon (B) | Weighted Average Asset Yield | Weighted Average Expected Life (Years) (C) | |||||||||||||||||||
Principal | Consumer Loan Companies | |||||||||||||||||||||||
Balance | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||||
Debt Obligations Tables | ' | ||||||||||||||||||||||||||||||||||
Schedule of Debt Obligations | ' | ||||||||||||||||||||||||||||||||||
The following table presents certain information regarding New Residential’s debt obligations at September 30, 2013: | |||||||||||||||||||||||||||||||||||
Collateral | |||||||||||||||||||||||||||||||||||
Repurchase Agreements (A) | Month Issued | Outstanding Face | Carrying Value | Final Stated Maturity | Weighted Average Funding Cost | Weighted Average | Outstanding Face | Amortized Cost Basis | Carrying Value | Weighted Average Life (Years) | |||||||||||||||||||||||||
Life (Years) | |||||||||||||||||||||||||||||||||||
Agency ARM RMBS (B)(C) | Various | $ | 1,071,587 | $ | 1,071,587 | 13-Dec | 0.36 | % | 0.1 | $ | 1,067,063 | $ | 1,130,533 | $ | 1,124,451 | 2.9 | |||||||||||||||||||
Non-Agency RMBS (C) (D) (E) | Various | 53,475 | 53,475 | 13-Oct | 1.84 | % | 0.1 | 100,411 | 77,108 | 75,667 | 5.3 | ||||||||||||||||||||||||
Non-Agency RMBS term repurchase agreement (E) (F) | 13-Aug | 342,872 | 342,872 | 14-Aug | 2.43 | % | 0.8 | 729,299 | 465,126 | 489,876 | 4 | ||||||||||||||||||||||||
$ | 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 | ||||||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||||||
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 Balance or Notional Amount | Carrying Value | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
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 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: | |||||||||||||||||||||||||||||||||
Significant Inputs | |||||||||||||||||||||||||||||||||
Held Directly (Note 3) | Prepayment Speed | Delinquency | Recapture Rate | Excess Mortgage Servicing Amount (D) | Discount Rate | ||||||||||||||||||||||||||||
(A) | (B) | (C) | |||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||
MSR Pool 2 - Recapture Agreement | 8 | % | 5 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 3 | 15.2 | % | 11.9 | % | 35 | % | 24 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 3 - Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 4 | 15.4 | % | 14.9 | % | 35 | % | 17 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 4 - Recapture Agreement | 8 | % | 10 | % | 35 | % | 21 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 5 | 12.3 | % | N/A | (E) | 14 | % | 13 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 5 - Recapture Agreement | 8 | % | N/A | (E) | 15 | % | 21 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 11 - Recapture Agreement | 9.3 | % | 2.3 | % | 32 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 12 | 15.3 | % | N/A | (E) | 16.7 | % | 26 bps | 16.4 | % | ||||||||||||||||||||||||
MSR Pool 12 - Recapture Agreement | 7 | % | N/A | (E) | 35 | % | 19 bps | 16.4 | % | ||||||||||||||||||||||||
Held through Equity Method Investees (Note 6) | |||||||||||||||||||||||||||||||||
MSR Pool 6 | 18.2 | % | 8.9 | % | 35 | % | 25 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 6 - Recapture Agreement | 10 | % | 6 | % | 35 | % | 23 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 7 | 13.3 | % | 8 | % | 35 | % | 16 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 7 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 8 | 14.3 | % | 6.9 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 8 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 19 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 9 | 18 | % | 5 | % | 35 | % | 22 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 9 - Recapture Agreement | 10 | % | 5 | % | 35 | % | 28 bps | 12.5 | % | ||||||||||||||||||||||||
MSR Pool 10 | 11.5 | % | N/A | (E) | 15 | % | 12 bps | 12.7 | % | ||||||||||||||||||||||||
MSR Pool 10 - Recapture Agreement | 9 | % | N/A | (E) | 35 | % | 19 bps | 12.7 | % | ||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
Level 3 (A) | |||||||||||||||||||||||||||||||||
MSR Pool 1 | MSR Pool 2 | MSR Pool 3 | MSR Pool 4 | MSR Pool 5 | MSR Pool 11 | MSR Pool 12 | Total | ||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 40,910 | $ | 39,322 | $ | 35,434 | $ | 15,036 | $ | 114,334 | $ | — | $ | — | $ | 245,036 | |||||||||||||||||
Transfers (B) | — | ||||||||||||||||||||||||||||||||
Transfers from Level 3 (B) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Transfers to Level 3 (B) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Gains (losses) included in net income (C) | 6,807 | 7,509 | 7,657 | 3,644 | 18,208 | — | 74 | 43,899 | |||||||||||||||||||||||||
Interest income | 5,097 | 3,739 | 4,892 | 2,034 | 14,728 | — | 51 | 30,541 | |||||||||||||||||||||||||
Purchases, sales and repayments | — | ||||||||||||||||||||||||||||||||
Purchases | — | — | — | — | 26,637 | 2,391 | 17,393 | 46,421 | |||||||||||||||||||||||||
Purchase adjustments | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Proceeds from sales | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Proceeds from repayments | (10,278 | ) | (9,096 | ) | (8,689 | ) | (3,525 | ) | (26,741 | ) | — | — | (58,329 | ) | |||||||||||||||||||
Balance at September 30, 2013 | $ | 42,536 | $ | 41,474 | $ | 39,294 | $ | 17,189 | $ | 147,166 | $ | 2,391 | $ | 17,518 | $ | 307,568 | |||||||||||||||||
(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: | |||||||||||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||||||||||
Asset Type | Outstanding Face Amount | Amortized Cost Basis | Multiple Quotes (A) | Total | Level | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
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 price. | ||||||||||||||||||||||||||||||||
Schedule of non-agency RMBS valued on a recurring basis using Level 3 inputs | ' | ||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
Level 3 | |||||||||||||||||||||||||||||||||
Non-Agency | |||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||
Balance at December 31, 2012 | $ | 289,756 | |||||||||||||||||||||||||||||||
Transfer (A) | |||||||||||||||||||||||||||||||||
Transfers from Level 3 | — | ||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | ||||||||||||||||||||||||||||||||
Total gains (losses) | |||||||||||||||||||||||||||||||||
Included in net income as impairment | (729 | ) | |||||||||||||||||||||||||||||||
Gain on settlement of securities | 11,271 | ||||||||||||||||||||||||||||||||
Included in comprehensive income (B) | 6,501 | ||||||||||||||||||||||||||||||||
Amortization included in interest income | 16,286 | ||||||||||||||||||||||||||||||||
Purchases, sales and repayments | |||||||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||
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 Face Amount (A) | Carrying Value (A) | Fair Value | Valuation Allowance/ (Reversal) In Current Year | Discount Rate | Weighted Average Life (Years) (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 Options | Strike Price | Maturity Date | ||||||||
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 | ||||||||
Sep. 30, 2013 | |||||||||
Transactions With Affiliates And Affiliated Entities Tables | ' | ||||||||
Schedule of due to affiliate | ' | ||||||||
Due to affiliate is comprised of the following amounts: | |||||||||
30-Sep-13 | 31-Dec-12 | ||||||||
Management fees | $ | 1,495 | $ | 3,392 | |||||
Incentive compensation | 5,348 | — | |||||||
Expense reimbursements | 266 | — | |||||||
Purchase price payable | — | 1,744 | |||||||
$ | 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 | Statement of Income Location | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||
Income Components | |||||||||||
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 |
Pools | |
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% |
Management fee rate (percent) | 1.50% |
SEGMENT_REPORTING_Details
SEGMENT REPORTING (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2011 |
Interest income | $21,885 | $12,295 | $61,075 | $18,811 | ' | ' |
Interest expense | 3,443 | 298 | 6,993 | 298 | ' | ' |
Net interest income | 18,442 | 11,997 | 54,082 | 18,513 | ' | ' |
Impairment | ' | ' | 3,756 | ' | ' | ' |
Other income | 56,195 | 1,774 | 157,204 | 6,513 | ' | ' |
Other operating expenses | 11,492 | 2,003 | 22,088 | 4,096 | ' | ' |
Net income (loss) | 63,145 | 11,768 | 185,442 | 20,930 | ' | ' |
Investments | 2,752,358 | ' | 2,752,358 | ' | ' | ' |
Cash and cash equivalents | 172,203 | ' | 172,203 | ' | ' | ' |
Other assets | 7,283 | ' | 7,283 | ' | 84 | ' |
Total assets | 2,931,844 | ' | 2,931,844 | ' | 534,876 | ' |
Debt | 1,467,934 | ' | 1,467,934 | ' | 150,922 | ' |
Other liabilities | 202,874 | ' | 202,874 | ' | ' | ' |
Total liabilities | 1,670,808 | ' | 1,670,808 | ' | 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 | 9,761 | 9,903 | 30,541 | 16,419 | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' |
Net interest income | 9,761 | 9,903 | 30,541 | 16,419 | ' | ' |
Impairment | ' | ' | ' | ' | ' | ' |
Other income | 20,853 | 1,774 | 85,640 | 6,513 | ' | ' |
Other operating expenses | 82 | 994 | 178 | 2,141 | ' | ' |
Net income (loss) | 30,532 | 10,683 | 116,003 | 20,791 | ' | ' |
Investments | 665,600 | ' | 665,600 | ' | ' | ' |
Cash and cash equivalents | ' | ' | ' | ' | ' | ' |
Other assets | ' | ' | ' | ' | ' | ' |
Total assets | 665,600 | ' | 665,600 | ' | ' | ' |
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 | ' | ' |
Interest expense | 3,443 | 298 | 6,993 | 298 | ' | ' |
Net interest income | 8,677 | 2,094 | 23,499 | 2,094 | ' | ' |
Impairment | ' | ' | 3,756 | ' | ' | ' |
Other income | 11,213 | ' | 11,271 | ' | ' | ' |
Other operating expenses | 104 | ' | 256 | ' | ' | ' |
Net income (loss) | 19,786 | 2,094 | 30,758 | 2,094 | ' | ' |
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 | ' | ' | ' |
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 | ' | ' | ' |
Impairment | ' | ' | ' | ' | ' | ' |
Other income | ' | ' | ' | ' | ' | ' |
Other operating expenses | 11,305 | 1,009 | 19,702 | 1,955 | ' | ' |
Net income (loss) | -11,301 | -1,009 | -19,660 | -1,955 | ' | ' |
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 | ' | ' | ' | ' | ' | ' |
INVESTMENTS_IN_EXCESS_MORTGAGE4
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE - DIRECT INVESTMENTS (Details) (USD $) | 3 Months Ended | 9 Months Ended | 9 Months Ended | 9 Months Ended | 9 Months Ended | |||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 13, 2011 | Sep. 30, 2013 | Sep. 30, 2013 | Jun. 05, 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 | Sep. 30, 2013 | Sep. 23, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | |||||||||||||||
MSRs Pool 1 | MSRs Pool 1 | MSR Pool 1 Recapture Agreement | MSRs Pool 2 | MSRs Pool 2 | MSR Pool 2 Recapture Agreement | MSRs Pool 3 | MSR Pool 3 Recapture Agreement | MSRs Pool 4 | MSR Pool 4 Recapture Agreement | MSRs Pool 5 | MSR Pool 5 Recapture Agreement | MSR Pool 11 Recapture Agreement | MSRs Pool 12 | MSRs Pool 12 | MSR Pool 12 Recapture Agreement | MSRs | ||||||||||||||||||||
Unpaid principal balance of underlying loans | ' | ' | ' | ' | $7,171,426 | ' | ' | $8,217,751 | ' | ' | $8,066,890 | ' | $5,222,892 | ' | $38,315,786 | ' | ' | $5,321,060 | ' | ' | $72,315,805 | |||||||||||||||
Interest in Excess MSR | ' | ' | ' | ' | 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 | ' | ' | ' | ' | 27,255 | [1] | ' | 2,230 | [1] | 30,806 | [1] | ' | 1,934 | [1] | 25,250 | [1] | 3,608 | [1] | 10,032 | [1] | 2,509 | [1] | 121,544 | [1] | 9,277 | [1] | 2,391 | [1] | 16,963 | [1] | ' | 479 | [1] | 254,278 | [1] | |
Carrying Value | ' | ' | ' | ' | 37,907 | [2] | ' | 4,629 | [2] | 35,592 | [2] | ' | 5,882 | [2] | 34,063 | [2] | 5,231 | [2] | 13,743 | [2] | 3,446 | [2] | 142,387 | [2] | 4,779 | [2] | 2,391 | [2] | 17,032 | [2] | ' | 486 | [2] | 307,568 | [2] | |
Weighted average yield | ' | ' | 2.48% | [3] | ' | 12.50% | ' | 12.50% | 12.50% | ' | 12.50% | 12.50% | 12.50% | 12.50% | 12.50% | 12.70% | 12.70% | 12.50% | 16.40% | ' | 16.40% | 12.90% | ||||||||||||||
Weighted average life (years) | ' | ' | '3 years 6 months | [3],[4] | ' | '4 years 10 months 24 days | [5] | ' | '11 years 3 months 18 days | [5] | '5 years 2 months 12 days | [5] | ' | '12 years 3 months 18 days | [5] | '4 years 9 months 18 days | [5] | '11 years 7 months 6 days | [5] | '5 years 2 months 12 days | [5] | '11 years 7 months 6 days | [5] | '5 years 4 months 24 days | [5] | '12 years 6 months | [5] | '10 years 2 months 12 days | [5] | '4 years 7 months 6 days | [5] | ' | '13 years 7 months 6 days | [5] | '5 years 9 months 18 days | [5] |
Change in fair value of investments recorded in other income | $208 | $1,774 | $43,899 | $6,513 | $4,914 | [6] | ' | $1,893 | [6] | $3,742 | [6] | ' | $3,767 | [6] | $5,958 | [6] | $1,699 | [6] | $2,693 | [6] | $951 | [6] | $18,864 | [6] | ($656) | [6] | ' | [6] | $69 | [6] | ' | $5 | [6] | $43,899 | [6] | |
[1] | (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. | |||||||||||||||||||||||||||||||||||
[2] | (B) Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | |||||||||||||||||||||||||||||||||||
[3] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||||||||||||||||||||||||||||||||||
[4] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | |||||||||||||||||||||||||||||||||||
[5] | (C) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | |||||||||||||||||||||||||||||||||||
[6] | (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. |
INVESTMENTS_IN_EXCESS_MORTGAGE5
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE - GEOGRAPHIC DISTRIBUTION (Details 1) (MSRs) | Sep. 30, 2013 |
Total outstanding (percent) | 100.00% |
California | ' |
Total outstanding (percent) | 30.30% |
Florida | ' |
Total outstanding (percent) | 10.10% |
New York | ' |
Total outstanding (percent) | 4.70% |
Texas | ' |
Total outstanding (percent) | 4.20% |
Washington | ' |
Total outstanding (percent) | 4.10% |
Arizona | ' |
Total outstanding (percent) | 3.70% |
Maryland | ' |
Total outstanding (percent) | 3.60% |
Colorado | ' |
Total outstanding (percent) | 3.30% |
New Jersey | ' |
Total outstanding (percent) | 3.30% |
Virginia | ' |
Total outstanding (percent) | 3.10% |
Other US Locations | ' |
Total outstanding (percent) | 29.60% |
INVESTMENTS_IN_EXCESS_MORTGAGE6
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Details Narrative) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 13, 2011 | Sep. 30, 2013 | Jun. 05, 2012 | Sep. 30, 2013 | Jun. 29, 2012 | Sep. 30, 2013 | 20-May-13 | Sep. 23, 2013 | Sep. 30, 2013 |
In Thousands, unless otherwise specified | MSRs Pool 1 | MSRs Pool 1 | MSRs Pool 2 | MSRs Pool 2 | MSR Pools 3, 4 and 5 | MSRs Pool 5 | MSRs Pool 11 | MSRs Pool 12 | MSRs Pool 12 | ||
Percentage of Investment co-owned by Nationstar | ' | ' | 35.00% | ' | 35.00% | ' | 35.00% | ' | ' | 20.00% | ' |
Percentage of Investment owned by New Residential | ' | ' | 65.00% | 65.00% | 65.00% | 65.00% | 65.00% | 80.00% | 66.70% | 40.00% | 40.00% |
Amount invested | ' | ' | $43,700 | ' | $42,300 | ' | $176,500 | $26,600 | $2,400 | $17,400 | ' |
Non-conforming loans in private label securitizations of portfolio (percent) | ' | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' |
Conforming loans in GSE pools of portfolio (percent) | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ' |
Repurchase agreements | $1,467,934 | $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% | ' |
INVESTMENTS_IN_REAL_ESTATE_SEC2
INVESTMENTS IN REAL ESTATE SECURITIES - AVAILABLE FOR SALE (Details) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | |
Integer | |||
Outstanding face amount | $2,054,797 | [1] | ' |
Amortized cost basis | 1,845,512 | [1] | ' |
Gains - gross unrealized | 29,569 | [1] | ' |
Losses - gross unrealized | -13,881 | [1] | ' |
Carrying value | 1,861,200 | [1],[2] | 289,756 |
Number of securities | 190 | [1] | ' |
Weighted average rating | 'BBB | [1],[3] | ' |
Weighted average coupon | 2.48% | [1] | ' |
Weighted average yield | 2.48% | [1] | ' |
Weighted average life (years) | '3 years 6 months | [1],[4] | ' |
Agency RMBS | ' | ' | |
Outstanding face amount | 1,203,293 | [5],[6] | ' |
Amortized cost basis | 1,285,532 | [5],[6] | ' |
Gains - gross unrealized | 1,480 | [5],[6] | ' |
Losses - gross unrealized | -7,562 | [5],[6] | ' |
Carrying value | 1,279,450 | [2],[5],[6] | ' |
Number of securities | 95 | [5],[6] | ' |
Weighted average rating | 'AAA | [3],[5],[6] | ' |
Weighted average coupon | 3.15% | [5],[6] | ' |
Weighted average yield | 1.30% | [5],[6] | ' |
Weighted average life (years) | '3 years | [4],[5],[6] | ' |
Non-Agency RMBS | ' | ' | |
Outstanding face amount | 851,504 | ' | |
Amortized cost basis | 559,980 | ' | |
Gains - gross unrealized | 28,089 | ' | |
Losses - gross unrealized | -6,319 | ' | |
Carrying value | $581,750 | [2] | ' |
Number of securities | 95 | ' | |
Weighted average rating | 'CC | [3] | ' |
Weighted average coupon | 0.82% | ' | |
Weighted average yield | 5.20% | ' | |
Weighted average life (years) | '4 years 2 months 12 days | [4] | ' |
Principal Subordination - Weighted Average | 9.10% | [7] | ' |
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||
[2] | (A) Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | ||
[3] | (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. | ||
[4] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | ||
[5] | (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"). | ||
[6] | (F) Amortized cost basis and carrying value include principal receivable of $10.7 million. | ||
[7] | (D) 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 | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
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 | |
Before Impairment - Amortized Cost Basis | 995,953 | |
Other Than Temporary Impairment - Amortized Cost Basis | -2,653 | [4] |
Amortized cost basis | 993,300 | |
Gross unrealized losses - less than twelve months | -13,676 | |
Carrying value - less than twelve months | 979,624 | |
Number of securities | 85 | |
Weighted average rating | 'A | |
Weighted average coupon | 2.72% | |
Weighted average yield | 2.00% | |
Weighted average life (years) | '3 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 | |
Before Impairment - Amortized Cost Basis | 1,029,404 | |
Other Than Temporary Impairment - Amortized Cost Basis | -3,064 | [4] |
Amortized cost basis | 1,026,340 | |
Total gross unrealized losses | -13,881 | |
Total fair value | $1,012,459 | |
Number of securities | 89 | |
Weighted average rating | 'A | |
Weighted average coupon | 2.74% | |
Weighted average yield | 1.98% | |
Weighted average life (years) | '3 years 2 months 12 days | |
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[2] | (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. | |
[3] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | |
[4] | (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. |
INVESTMENTS_IN_REAL_ESTATE_SEC4
INVESTMENTS IN REAL ESTATE SECURITIES - GEOGRAPHIC DISTRIBUTION COLLATERAL (Details 2) (USD $) | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | ||
Principal balance | $2,054,797 | [1] |
Non-Agency RMBS | ' | |
Principal balance | 851,504 | |
Percentage of principal balance | 100.00% | |
Non-Agency RMBS | Western US | ' | |
Principal balance | 344,107 | |
Percentage of principal balance | 40.40% | |
Non-Agency RMBS | Southeastern US | ' | |
Principal balance | 195,278 | |
Percentage of principal balance | 22.90% | |
Non-Agency RMBS | Northeastern US | ' | |
Principal balance | 165,401 | |
Percentage of principal balance | 19.40% | |
Non-Agency RMBS | Midwestern US | ' | |
Principal balance | 99,404 | |
Percentage of principal balance | 11.70% | |
Non-Agency RMBS | Southwestern US | ' | |
Principal balance | $47,314 | |
Percentage of principal balance | 5.60% | |
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. |
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 |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Investments In Real Estate Securities - Changes In Accretable Yields Details 4 | ' |
Balance, beginning | $90,077 |
Additions | 87,756 |
Accretion | -14,797 |
Reclassifications from non-accretable difference | 38,662 |
Disposals | -18,672 |
Balance, ending | $183,026 |
INVESTMENTS_IN_REAL_ESTATE_SEC7
INVESTMENTS IN REAL ESTATE SECURITIES (Details Narrative) (USD $) | 3 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 0 Months Ended | 9 Months Ended | ||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Nov. 07, 2013 | Sep. 30, 2013 | Jun. 27, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | |||
Non-Agency RMBS | Non-Agency RMBS | Agency RMBS | Agency RMBS | Non-Agency RMBS Under Clean-Up Option | Fixed Rate Securities | Floating Rate Securities | ||||||||
Face amount of securities purchased | ' | ' | ' | ' | $194,300 | $661,200 | $22,700 | $413,200 | ' | ' | ' | |||
Purchase of Non-Agency RMBS | ' | ' | -202,484 | ' | ' | 450,000 | ' | ' | ' | ' | ' | |||
Purchase of Agency ARM RMBS | ' | ' | -292,980 | ' | 126,600 | ' | 1,200 | 437,300 | ' | ' | ' | |||
Agency RMBS contributed from Newcastle, face amount | ' | ' | 1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | |||
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 | ' | 10,700 | ' | ' | ' | ' | ' | ' | ' | ' | |||
Outstanding face amount | 2,054,797 | [1] | ' | 2,054,797 | [1] | ' | ' | 851,504 | ' | 1,203,293 | [2],[3] | ' | 16,400 | 2,000,000 |
Other-than-temporary impairment ("OTTI") on securities | ' | ' | 3,756 | ' | ' | ' | ' | ' | ' | ' | ' | |||
Real estate securities acquired during the period with credit quality deterioration, face amount | 549,400 | ' | 549,400 | ' | ' | ' | ' | ' | ' | ' | ' | |||
Real estate securities acquired during the period with credit quality deterioration, fair value | 354,400 | ' | 354,400 | ' | ' | ' | ' | ' | ' | ' | ' | |||
Real estate securities acquired during the period with credit quality deterioration, expected cash flows | $442,200 | ' | $442,200 | ' | ' | ' | ' | ' | ' | ' | ' | |||
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||||||||||||
[2] | (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"). | |||||||||||||
[3] | (F) Amortized cost basis and carrying value include principal receivable of $10.7 million. |
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] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[2] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | |
[3] | (A) Represents a 70% interest New Residential holds in reverse mortgage loans. | |
[4] | (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. | |
[5] | (C) 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 | Dec. 31, 2012 | Feb. 27, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | Reverse Mortgage Loans | Reverse Mortgage Loans | ||
Percentage of Investment co-owned by Nationstar | ' | ' | 30.00% | ' |
Percentage of Investment owned by New Residential | ' | ' | 70.00% | ' |
Unpaid principal balance of underlying reverse mortgage loans | ' | ' | ' | $83,000 |
Residential mortgage loans, held-for-investment | $33,060 | ' | $35,000 | ' |
INVESTMENTS_IN_EXCESS_MORTGAGE7
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS EQUITY METHOD INVESTEES - SUMMARY OF INVESTMENTS (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | 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 | ' | 358,032 |
Ownership percentage in equity method investees | ' | ' | 50.00% |
Interest income | ' | ' | 30,501 |
Other income (loss) | ' | ' | 56,483 |
Expenses | ' | ' | -3,502 |
Net income | ' | ' | $83,482 |
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 | 9 Months Ended | 9 Months Ended | |||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | 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 | ||||||||||||||||
MSR Pool 11 Recapture Agreement | 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 | ' | ' | $72,315,805 | ' | $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 | ' | ' | ' | 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] | 254,278 | [1] | ' | 37,957 | [2] | ' | 9,653 | [2] | 101,125 | [2] | 20,031 | [2] | 56,457 | [2] | 10,069 | [2] | 106,141 | [2] | 36,107 | [2] | 202,417 | [2] | 12,793 | [2] | 47,108 | [2] | ' | 23,442 | [2] | 663,300 | [2] | |
Carrying Value | ' | $2,391 | [3] | $307,568 | [3] | ' | $43,908 | [4] | ' | $12,295 | [4] | $111,962 | [4] | $23,785 | [4] | $58,936 | [4] | $12,926 | [4] | $120,603 | [4] | $45,811 | [4] | $201,571 | [4] | $11,343 | [4] | $53,981 | [4] | ' | $22,659 | [4] | $719,780 | [4] | |
Weighted average yield | 2.48% | [5] | 12.50% | 12.90% | ' | 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 | [5],[6] | '10 years 2 months 12 days | [7] | '5 years 9 months 18 days | [7] | ' | '4 years 7 months 6 days | [8] | ' | '10 years 10 months 24 days | [8] | '5 years | [8] | '12 years | [8] | '4 years 9 months 18 days | [8] | '11 years 10 months 24 days | [8] | '4 years 9 months 18 days | [8] | '11 years | [8] | '5 years 7 months 6 days | [8] | '12 years 10 months 24 days | [8] | '5 years 3 months 18 days | [8] | ' | '10 years 2 months 12 days | [8] | '6 years 2 months 12 days | [8] |
[1] | (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. | ||||||||||||||||||||||||||||||||||
[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. | ||||||||||||||||||||||||||||||||||
[3] | (B) Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. | ||||||||||||||||||||||||||||||||||
[4] | (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 | ||||||||||||||||||||||||||||||||||
[5] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||||||||||||||||||||||||||||||||||
[6] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||
[7] | (C) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | ||||||||||||||||||||||||||||||||||
[8] | (C) 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 $) | 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 | Sep. 30, 2013 | 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 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 | $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% | 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% |
Percentage of Investment owned by New Residential | ' | ' | 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, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | 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 | ' | 192,498 | ' | ' | 192,498 | ' | ' | |
Ownership percentage in equity method investees | ' | ' | ' | ' | ' | 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 | ' | ' | $60,293 | ' | ' | |
[1] | (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. |
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 | |
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] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||
[2] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | ||
[3] | (A) Represents the carrying value of the consumer loans held by the Consumer Loan Companies. | ||
[4] | (B) Substantially all of the cash flow received on the loans is required to be used to make payments on the notes described above. | ||
[5] | (C) 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, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Investment in consumer loan equity method investees, beginning | ' | ' | ' | ' |
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 | ' |
Investment in consumer loan equity method investees, ending | 192,498 | ' | 192,498 | ' |
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 | ' |
INVESTMENTS_IN_CONSUMER_LOAN_E5
INVESTMENTS IN CONSUMER LOAN EQUITY METHOD INVESTEES (Details Narrative) (USD $) | 9 Months Ended | 0 Months Ended | |||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Apr. 02, 2013 | Apr. 02, 2013 | Apr. 02, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Affilate of Blackstone Tactical Opportunities Advisors LLC | Fortress-managed Affiliate | Consumer Loan Investees | Consumer Loan Investees | Consumer Loan Investees | Consumer Loan Investees | ||
Integer | Class B Asset Backed Notes | Class A Asset Backed Notes | |||||
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 | ' | 23.00% | 47.00% | 70.00% | ' | ' | ' |
Purchase price of portfolio financed by asset-backed notes | ' | ' | ' | 2,200,000 | ' | ' | ' |
Purchase price of portfolio | ' | ' | ' | 3,000,000 | ' | ' | ' |
Interest Rate | ' | ' | ' | ' | ' | 4.00% | 3.75% |
Percentage of UPB of loans against outstanding debt where cash can be released | ' | ' | ' | ' | ' | 50.00% | 50.00% |
Additional asset-backed notes issued and sold, face amount | $372,000 | ' | ' | ' | ' | $372,000 | $1,800 |
Percentage of par at which notes were sold | 96.00% | ' | ' | ' | ' | ' | ' |
Percentage of cash flows required to be paid against notes when threshold is reached | ' | ' | ' | ' | ' | 15.00% | 70.00% |
DEBT_OBLIGATIONS_SCHEDULE_OF_D
DEBT OBLIGATIONS - SCHEDULE OF DEBT OBLIGATIONS (Details) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
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] |
Debt face amount | 53,475 | [3],[5],[6],[7] |
Carrying value | 53,475 | [3],[5],[6],[7] |
Final stated maturity | 1-Oct-13 | [3],[5],[6],[7] |
Weighted average funding cost | 1.84% | [3],[5],[6],[7] |
Weighted average life (years) | '0 years 1 month 6 days | [3],[5],[6],[7] |
Non-agency RMBS Repurchase Agreements | Collateral | ' | |
Weighted average life (years) | '5 years 3 months 18 days | [3],[5],[6],[7] |
Outstanding Face Amount of Collateral | 100,411 | [3],[5],[6],[7] |
Amortized Cost Basis of Collateral | 77,108 | [3],[5],[6],[7] |
Carrying Value of Collateral | 75,667 | [3],[5],[6],[7] |
Non-agency RMBS Term Repurchase Agreements | ' | |
Month Issued | 'Aug 2013 | [3],[7],[8] |
Debt face amount | 342,872 | [3],[7],[8] |
Carrying value | 342,872 | [3],[7],[8] |
Final stated maturity | 1-Aug-14 | [3],[7],[8] |
Weighted average funding cost | 2.43% | [3],[7],[8] |
Weighted average life (years) | '0 years 9 months 18 days | [3],[7],[8] |
Non-agency RMBS Term Repurchase Agreements | Collateral | ' | |
Weighted average life (years) | '4 years | [3],[7],[8] |
Outstanding Face Amount of Collateral | 729,299 | [3],[7],[8] |
Amortized Cost Basis of Collateral | 465,126 | [3],[7],[8] |
Carrying Value of Collateral | 489,876 | [3],[7],[8] |
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] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | |
[2] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[3] | (A) These repurchase agreements had approximately $0.1 million of associated accrued interest payable at September 30, 2013. | |
[4] | (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. | |
[5] | (C) All of the repurchase agreements that matured during October 2013 were renewed or refinanced subsequent to September 30, 2013. | |
[6] | (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. | |
[7] | (E) All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates. | |
[8] | (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 (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 |
In Thousands, unless otherwise specified | ||
Alpine Securitization Corp. | ' | ' |
Repurchase agreements | $414,200 | $342,900 |
Total Repurchase Agreements | ' | ' |
Interest payable | ' | 100 |
Agency RMBS Repurchase Agreements | Goldman Sachs | ' | ' |
Repurchase agreements | ' | 45,900 |
Agency RMBS Repurchase Agreements | Barclays | ' | ' |
Repurchase agreements | ' | 287,700 |
Agency RMBS Repurchase Agreements | Nomura | ' | ' |
Repurchase agreements | ' | 229,000 |
Agency RMBS Repurchase Agreements | Citi | ' | ' |
Repurchase agreements | ' | 133,000 |
Agency RMBS Repurchase Agreements | Morgan Stanley | ' | ' |
Repurchase agreements | ' | 97,100 |
Agency RMBS Repurchase Agreements | Daiwa | ' | ' |
Repurchase agreements | ' | 278,900 |
Non-agency RMBS Repurchase Agreements | Barclays | ' | ' |
Repurchase agreements | ' | 21,800 |
Non-agency RMBS Repurchase Agreements | Royal Bank of Canada | ' | ' |
Repurchase agreements | ' | $31,600 |
FAIR_VALUE_OF_FINANCIAL_INSTRU2
FAIR VALUE OF FINANCIAL INSTRUMENTS - RECURRING BASIS (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Assets: | ' | ' | |
Real estate securities, available-for-sale | $1,861,200 | [1],[2] | $289,756 |
Investments in excess mortgage servicing rights | 307,568 | 245,036 | |
Investments in equity method investees at fair value | 358,032 | ' | |
Recurring Basis | Fair Value, Inputs, Level 2 | ' | ' | |
Assets: | ' | ' | |
Real estate securities, available-for-sale | 1,279,450 | ' | |
Investments in excess mortgage servicing rights | ' | [3] | ' |
Investments in equity method investees at fair value | ' | ' | |
[AssetsFairValueDisclosure] | 1,279,450 | ' | |
Recurring Basis | Level 3 Inputs | ' | ' | |
Assets: | ' | ' | |
Real estate securities, available-for-sale | 581,750 | ' | |
Investments in excess mortgage servicing rights | 307,568 | [3] | ' |
Investments in equity method investees at fair value | 358,032 | ' | |
[AssetsFairValueDisclosure] | 1,247,350 | ' | |
Recurring Basis | Principal Balance or Notional Amount | ' | ' | |
Assets: | ' | ' | |
Real estate securities, available-for-sale | 2,054,797 | ' | |
Investments in excess mortgage servicing rights | 72,315,805 | [3] | ' |
Investments in equity method investees at fair value | 169,856,996 | ' | |
[AssetsFairValueDisclosure] | 244,227,598 | ' | |
Recurring Basis | Carrying Value | ' | ' | |
Assets: | ' | ' | |
Real estate securities, available-for-sale | 1,861,200 | ' | |
Investments in excess mortgage servicing rights | 307,568 | [3] | ' |
Investments in equity method investees at fair value | 358,032 | ' | |
[AssetsFairValueDisclosure] | 2,526,800 | ' | |
Recurring Basis | Fair Value | ' | ' | |
Assets: | ' | ' | |
Real estate securities, available-for-sale | 1,861,200 | ' | |
Investments in excess mortgage servicing rights | 307,568 | [3] | ' |
Investments in equity method investees at fair value | 358,032 | ' | |
[AssetsFairValueDisclosure] | $2,526,800 | ' | |
[1] | (A) Fair value, which is equal to carrying value for all securities. See Note 9 regarding the estimation of fair value. | ||
[2] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | ||
[3] | (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_OF_FINANCIAL_INSTRU3
FAIR VALUE OF FINANCIAL INSTRUMENTS - INPUTS EXCESS MSRs (Details 1) | 9 Months Ended | |
Sep. 30, 2013 | ||
MSRs Pool 1 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 14.40% | [1] |
Delinquency | 10.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.28% | [4] |
Discount rate | 12.50% | |
MSR Pool 1 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 8.00% | [1] |
Delinquency | 10.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.21% | [4] |
Discount rate | 12.50% | |
MSRs Pool 2 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 1.47% | [1] |
Delinquency | 10.30% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.23% | [4] |
Discount rate | 12.50% | |
MSR Pool 2 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 8.00% | [1] |
Delinquency | 5.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.21% | [4] |
Discount rate | 12.50% | |
MSRs Pool 3 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 15.20% | [1] |
Delinquency | 11.90% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.24% | [4] |
Discount rate | 12.50% | |
MSR Pool 3 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 8.00% | [1] |
Delinquency | 10.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.21% | [4] |
Discount rate | 12.50% | |
MSRs Pool 4 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 15.40% | [1] |
Delinquency | 14.90% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.17% | [4] |
Discount rate | 12.50% | |
MSR Pool 4 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 8.00% | [1] |
Delinquency | 10.00% | [2] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.21% | [4] |
Discount rate | 12.50% | |
MSRs Pool 5 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 12.30% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 14.00% | [3] |
Excess mortgage servicing amount | 0.13% | [4] |
Discount rate | 12.70% | |
MSR Pool 5 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 8.00% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 15.00% | [3] |
Excess mortgage servicing amount | 0.21% | [4] |
Discount rate | 12.70% | |
MSR Pool 11 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
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% | |
MSRs Pool 12 | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 15.30% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 16.70% | [3] |
Excess mortgage servicing amount | 0.26% | [4] |
Discount rate | 16.40% | |
MSR Pool 12 Recapture Agreement | ' | |
Held Directly (Note 3): | ' | |
Prepayment speed | 7.00% | [1] |
Delinquency | 0.00% | [2],[5] |
Recapture rate | 35.00% | [3] |
Excess mortgage servicing amount | 0.19% | [4] |
Discount rate | 16.40% | |
[1] | (A) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |
[2] | (B) Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |
[3] | (C) Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |
[4] | (D) Weighted average total mortgage servicing amount in excess of the basic fee. | |
[5] | (E) 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] | (A) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |
[2] | (B) Projected percentage of mortgage loans in the pool that will miss their mortgage payments. | |
[3] | (C) Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar. | |
[4] | (D) Weighted average total mortgage servicing amount in excess of the basic fee. | |
[5] | (E) 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 $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
MSRs Pool 1 | ' | |
Balance, beginning | $40,910 | [1] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 6,807 | [1],[3] |
Interest income | 5,097 | [1] |
Purchases, sales and repayments | ' | |
Purchases | ' | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -10,278 | [1] |
Balance, ending | 42,536 | [1] |
MSRs Pool 2 | ' | |
Balance, beginning | 39,322 | [1] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 7,509 | [1],[3] |
Interest income | 3,739 | [1] |
Purchases, sales and repayments | ' | |
Purchases | ' | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -9,096 | [1] |
Balance, ending | 41,474 | [1] |
MSRs Pool 3 | ' | |
Balance, beginning | 35,434 | [1] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 7,657 | [1],[3] |
Interest income | 4,892 | [1] |
Purchases, sales and repayments | ' | |
Purchases | ' | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -8,689 | [1] |
Balance, ending | 39,294 | [1] |
MSRs Pool 4 | ' | |
Balance, beginning | 15,036 | [1] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 3,644 | [1],[3] |
Interest income | 2,034 | [1] |
Purchases, sales and repayments | ' | |
Purchases | ' | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -3,525 | [1] |
Balance, ending | 17,189 | [1] |
MSRs Pool 5 | ' | |
Balance, beginning | 114,334 | [1] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 18,208 | [1],[3] |
Interest income | 14,728 | [1] |
Purchases, sales and repayments | ' | |
Purchases | 26,637 | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -26,741 | [1] |
Balance, ending | 147,166 | [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] |
Transfers | ' | |
Transfers from Level 3 | ' | [1],[2] |
Transfers into Level 3 | ' | [1],[2] |
Gains (losses) included in net income | 43,899 | [1],[3] |
Interest income | 30,541 | [1] |
Purchases, sales and repayments | ' | |
Purchases | 46,421 | [1] |
Purchase adjustments | ' | [1] |
Proceeds from sales | ' | [1] |
Proceeds from repayments | -58,329 | [1] |
Balance, ending | $307,568 | [1] |
[1] | (A) Includes the Recapture Agreement for each respective pool. | |
[2] | (B) Transfers are assumed to occur at the beginning of the respective period. | |
[3] | (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. |
FAIR_VALUE_OF_FINANCIAL_INSTRU6
FAIR VALUE OF FINANCIAL INSTRUMENTS - INVESTMENTS IN EQUITY METHOD INVESTEES LEVEL 3 (Details 4) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Investments in equity method investees at fair value | ' | ' | ' | ' |
Distributions of earnings from equity method investees | ' | ' | -23,659 | ' |
Change in fair value of investments in equity method investees | 20,645 | ' | 41,741 | ' |
Investments in equity method investees at fair value | 358,032 | ' | 358,032 | ' |
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 | ' |
FAIR_VALUE_OF_FINANCIAL_INSTRU7
FAIR VALUE OF FINANCIAL INSTRUMENTS - REAL ESTATE SECURITIES VALUATION (Details 5) (USD $) | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | ||
Outstanding face amount | $2,054,797 | [1] |
Amortized cost basis | 1,845,512 | [1] |
Total Fair Value | 1,861,200 | |
Multiple Quotes | ' | |
Total Fair Value | 1,861,200 | [2] |
Agency RMBS | ' | |
Outstanding face amount | 1,203,293 | [3],[4] |
Amortized cost basis | 1,285,532 | [3],[4] |
Total Fair Value | 1,279,450 | |
Agency RMBS | Multiple Quotes | Fair Value, Inputs, Level 2 | ' | |
Total Fair Value | 1,279,450 | [2] |
Non-Agency RMBS | ' | |
Outstanding face amount | 851,504 | |
Amortized cost basis | 559,980 | |
Total Fair Value | 581,750 | |
Non-Agency RMBS | Multiple Quotes | Level 3 Inputs | ' | |
Total Fair Value | $581,750 | [2] |
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[2] | (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). 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. | |
[3] | (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"). | |
[4] | (F) Amortized cost basis and carrying value include principal receivable of $10.7 million. |
FAIR_VALUE_OF_FINANCIAL_INSTRU8
FAIR VALUE OF FINANCIAL INSTRUMENTS - NON-AGENCY RMBS LEVEL 3 (Details 6) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | |
Transfers | ' | ' | |
Gain on settlement of securities | $11,271 | ' | |
Amortization included in interest income | 8,008 | 2,030 | |
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 | ' | |
[1] | (A) Transfers are assumed to occur at the beginning of the respective period. | ||
[2] | (B) 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] | (C) The weighted average life is based on the timing of expected principal reduction on the assets. | |
[2] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |
[3] | (A) Represents a 70% interest New Residential holds in reverse mortgage loans. | |
[4] | (C) The weighted average life is based on the expected timing of the receipt of cash flows. |
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, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | 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 | ' | $0.25 | ' | ' | ' | ' |
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 |
In Thousands, unless otherwise specified | ||
[DueToAffiliateCurrentAndNoncurrent] | $7,109 | $5,136 |
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 |
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 | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Jun. 27, 2013 | Sep. 30, 2013 | Nov. 07, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | ||
Agency RMBS | Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | The Manager | Serviced by Nationstar | |||||
Non-Agency RMBS | ||||||||||
Management fee rate (percent) | 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 | $661,200 | ' | ' | ||
Purchase of real estate securities | -292,980 | ' | 1,200 | 437,300 | 126,600 | ' | ' | ' | ||
Outstanding face amount | 2,054,797 | [1] | ' | ' | 1,203,293 | [2],[3] | ' | 851,504 | ' | 851,500 |
Unpaid principal balance of underlying loans | ' | ' | ' | ' | ' | ' | ' | $11,500,000 | ||
[1] | (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities. | |||||||||
[2] | (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"). | |||||||||
[3] | (F) 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, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
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 $) | 9 Months Ended | 1 Months Ended | 1 Months Ended | 1 Months Ended | 9 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Oct. 31, 2013 | Sep. 30, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Nov. 07, 2013 | Sep. 30, 2013 | Nov. 07, 2013 | Oct. 30, 2013 | Sep. 30, 2013 | Nov. 07, 2013 | Sep. 30, 2013 |
Excess Mortgage Servicing Rights Investees | MSRs | MSRs | MSRs | MSRs | MSRs Pool 10 | MSRs Pool 10 | Alpine Securitization Corp. | Alpine Securitization Corp. | Alpine Securitization Corp. | Non-Agency RMBS | Non-Agency RMBS | ||||
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 |
Purchase of real estate securities | -292,980 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 126,600 | ' |
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 | ' | ' | ' | ' | 9,600,000 | ' | 13,100,000 | 10,500,000 | ' | 59,784,115 | ' | ' | ' | ' | ' |
Percentage ownership acquired in joint venture | ' | ' | ' | 50.00% | ' | 33.30% | ' | ' | ' | 50.00% | ' | ' | ' | ' | ' |
Percentage of Investment co-owned by Nationstar | ' | ' | ' | ' | ' | 33.30% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Percentage of Investment owned by New Residential | ' | ' | ' | ' | ' | 33.30% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount invested | ' | ' | ' | ' | 3,400 | ' | ' | ' | ' | 13,900 | ' | ' | ' | ' | ' |
Amount committed to invest in joint venture | ' | ' | ' | ' | ' | 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 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |