Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 28, 2016 | |
Document And Entity Information | ||
Entity Registrant Name | New Residential Investment Corp. | |
Entity Central Index Key | 1,556,593 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2016 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding (in shares) | 250,773,117 | |
Document Fiscal Period Focus | Q3 | |
Document Fiscal Year Focus | 2,016 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Investments in: | |||
Excess mortgage servicing rights, at fair value | $ 1,404,052 | $ 1,581,517 | |
Excess mortgage servicing rights, equity method investees, at fair value | 195,904 | 217,221 | |
Servicer advances, at fair value | [1] | 6,043,369 | 7,426,794 |
Real estate securities, available-for-sale | 4,991,242 | 2,501,881 | |
Residential mortgage loans, held-for-investment | 0 | 330,178 | |
Residential mortgage loans, held-for-sale | 705,481 | 776,681 | |
Real estate owned | 60,459 | 50,574 | |
Consumer loans, held-for-investment | [1] | 1,821,979 | 0 |
Cash and cash equivalents | [1] | 388,674 | 249,936 |
Restricted cash | 153,127 | 94,702 | |
Trades receivable | 1,530,726 | 1,538,481 | |
Deferred tax asset, net | 172,510 | 185,311 | |
Other assets | 236,859 | 239,446 | |
Total assets | 17,704,382 | 15,192,722 | |
Liabilities | |||
Repurchase agreements | 4,929,944 | 4,043,054 | |
Notes and bonds payable | [1] | 7,833,209 | 7,249,568 |
Trades payable | 1,296,296 | 725,672 | |
Due to affiliates | 18,610 | 23,785 | |
Dividends payable | 115,356 | 106,017 | |
Accrued expenses and other liabilities | 93,456 | 58,046 | |
Total liabilities | 14,286,871 | 12,206,142 | |
Commitments and Contingencies | |||
Equity | |||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 250,773,117 and 230,471,202 issued and outstanding at September 30, 2016 and December 31, 2015, respectively | 2,507 | 2,304 | |
Additional paid-in capital | 2,919,765 | 2,640,893 | |
Retained earnings | 100,697 | 148,800 | |
Accumulated other comprehensive income (loss) | 105,381 | 3,936 | |
Total New Residential stockholders’ equity | 3,128,350 | 2,795,933 | |
Noncontrolling interests in equity of consolidated subsidiaries | 289,161 | 190,647 | |
Total Equity | 3,417,511 | 2,986,580 | |
Total Liabilities And Stockholders Equity | $ 17,704,382 | $ 15,192,722 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - $ / shares | Sep. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 2,000,000,000 | 2,000,000,000 |
Common stock, shares issued (in shares) | 250,773,117 | 230,471,202 |
Common stock, shares outstanding (in shares) | 250,773,117 | 230,471,202 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Income Statement [Abstract] | ||||
Interest income | $ 282,388 | $ 182,341 | $ 749,901 | $ 444,891 |
Interest expense | 96,488 | 77,558 | 278,401 | 193,408 |
Net interest income (expense) | 185,900 | 104,783 | 471,500 | 251,483 |
Impairment | ||||
Other-than-temporary impairment (OTTI) on securities | 1,765 | 1,574 | 7,838 | 3,294 |
Valuation and loss provision on loans and real estate owned | 18,275 | (3,341) | 41,845 | 2,408 |
Total Impairment Charges | 20,040 | (1,767) | 49,683 | 5,702 |
Net interest income after impairment | 165,860 | 106,550 | 421,817 | 245,781 |
Other Income | ||||
Change in fair value of investments in excess mortgage servicing rights | (17,060) | 1,131 | (24,397) | (274) |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | 6,261 | 8,427 | 8,608 | 16,443 |
Change in fair value of investments in servicer advances | 21,606 | (18,738) | 4,328 | (1,845) |
Gain on consumer loans investment | 0 | 14,385 | 9,943 | 33,342 |
Gain on remeasurement of consumer loans investment | 0 | 0 | 71,250 | 0 |
Gain (loss) on settlement of investments, net | (17,079) | (21,482) | (44,290) | (5,514) |
Other income (loss), net | 32,973 | (1,548) | 13,458 | (10,032) |
Other Income | 26,701 | (17,825) | 38,900 | 32,120 |
Operating Expenses | ||||
General and administrative expenses | 8,777 | 19,563 | 28,082 | 49,362 |
Management fee to affiliate | 10,536 | 9,860 | 30,552 | 23,357 |
Incentive compensation to affiliate | 7,075 | 1,811 | 13,200 | 7,895 |
Loan servicing expense | 14,187 | 1,668 | 30,037 | 9,510 |
Total Operating Expenses | 40,575 | 32,902 | 101,871 | 90,124 |
Income (Loss) Before Income Taxes | 151,986 | 55,823 | 358,846 | 187,777 |
Income tax expense (benefit) | 20,900 | (5,932) | 18,195 | 4,947 |
Net Income (Loss) | 131,086 | 61,755 | 340,651 | 182,830 |
Noncontrolling Interests in Income of Consolidated Subsidiaries | 32,178 | 7,193 | 61,355 | 17,174 |
Net Income Attributable to Common Stockholders | $ 98,908 | $ 54,562 | $ 279,296 | $ 165,656 |
Net Income Per Share of Common Stock | ||||
Basic (in dollars per share) | $ 0.41 | $ 0.24 | $ 1.19 | $ 0.87 |
Diluted (in dollars per share) | $ 0.41 | $ 0.24 | $ 1.19 | $ 0.85 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 240,601,691 | 230,455,568 | 233,875,067 | 191,259,587 |
Diluted (in shares) | 241,099,381 | 231,215,235 | 234,184,611 | 194,081,345 |
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.46 | $ 0.46 | $ 1.38 | $ 1.29 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Comprehensive income (loss), net of tax | ||||
Net income | $ 131,086 | $ 61,755 | $ 340,651 | $ 182,830 |
Other comprehensive income (loss) | ||||
Net unrealized gain (loss) on securities | 52,138 | 17,360 | 108,679 | 11,328 |
Reclassification of net realized (gain) loss on securities into earnings | 2,444 | (22,880) | (7,234) | (27,936) |
Total other comprehensive income (loss) | 54,582 | (5,520) | 101,445 | (16,608) |
Total comprehensive income | 185,668 | 56,235 | 442,096 | 166,222 |
Comprehensive income attributable to noncontrolling interests | 32,178 | 7,193 | 61,355 | 17,174 |
Comprehensive income attributable to common stockholders | $ 153,490 | $ 49,042 | $ 380,741 | $ 149,048 |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - 9 months ended Sep. 30, 2016 - USD ($) $ in Thousands | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Total New Residential Stockholders’ Equity [Member] | Noncontrolling Interests in Equity of Consolidated Subsidiaries [Member] |
Equity - December 31, 2015 (in shares) at Dec. 31, 2015 | 230,471,202 | ||||||
Equity - December 31, 2015 at Dec. 31, 2015 | $ 2,986,580 | $ 2,304 | $ 2,640,893 | $ 148,800 | $ 3,936 | $ 2,795,933 | $ 190,647 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Dividends declared | (327,399) | (327,399) | (327,399) | ||||
SpringCastle Transaction (Note 1) | 110,438 | 110,438 | |||||
Capital contributions | 0 | 0 | |||||
Capital distributions | (73,279) | (73,279) | |||||
Issuance of common stock (in shares) | 20,000,000 | ||||||
Issuance of common stock | $ 278,775 | $ 200 | 278,575 | 278,775 | |||
Options exercised (in shares) | 1,100,497 | 280,111 | |||||
Option exercise | $ 3 | (3) | |||||
Director share grant (in shares) | 21,804 | ||||||
Director share grant | $ 300 | 300 | 300 | ||||
Comprehensive income (loss) | |||||||
Net income | 340,651 | 279,296 | 279,296 | 61,355 | |||
Net unrealized gain (loss) on securities | 108,679 | 108,679 | 108,679 | ||||
Reclassification of net realized (gain) loss on securities into earnings | (7,234) | (7,234) | (7,234) | ||||
Total comprehensive income | 442,096 | 380,741 | 61,355 | ||||
Equity - September 30, 2016 (in shares) at Sep. 30, 2016 | 250,773,117 | ||||||
Equity - September 30, 2016 at Sep. 30, 2016 | $ 3,417,511 | $ 2,507 | $ 2,919,765 | $ 100,697 | $ 105,381 | $ 3,128,350 | $ 289,161 |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Cash Flows From Operating Activities | |||
Net income | $ 340,651 | $ 182,830 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Change in fair value of investments in excess mortgage servicing rights | 24,397 | 274 | |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | (8,608) | (16,443) | |
Change in fair value of investments in servicer advances | (4,328) | 1,845 | |
(Gain) / loss on remeasurement of consumer loans investment | (71,250) | 0 | |
(Gain) / loss on settlement of investments (net) | 44,290 | 5,514 | |
Unrealized (gain) / loss on derivative instruments | 8,504 | 17,425 | |
Unrealized (gain) / loss on other ABS | 226 | 1,073 | |
(Gain) / loss on transfer of loans to REO | (14,660) | (1,075) | |
(Gain) / loss on transfer of loans to other assets | (3,021) | (143) | |
(Gain) / loss on Excess MSR recapture agreements | (2,188) | (2,247) | |
Accretion and other amortization | (514,522) | (360,467) | |
Other-than-temporary impairment | 7,838 | 3,294 | |
Valuation and loss provision on loans and real estate owned | 41,845 | 2,408 | |
Non-cash directors’ compensation | 300 | 300 | |
Deferred tax provision | 12,998 | 5,885 | |
Changes in: | |||
Restricted cash | 16,179 | (63,041) | |
Other assets | 191,939 | 177,737 | |
Due to affiliates | (5,175) | (45,026) | |
Accrued expenses and other liabilities | 12,136 | 19,055 | |
Other operating cash flows: | |||
Interest received from excess mortgage servicing rights | 119,386 | 84,518 | |
Interest received from servicer advance investments | 132,758 | 124,934 | |
Interest received from Non-Agency RMBS | 73,108 | 31,715 | |
Interest payments from residential mortgage loans, held-for-investment | 2,815 | 0 | |
Interest payments from PCD consumer loans, held-for-investment | 34,265 | 0 | |
Purchases of residential mortgage loans, held-for-sale | (788,824) | (611,160) | |
Proceeds from sales of purchased residential mortgage loans, held-for-sale | 802,110 | 722,961 | |
Principal repayments from purchased residential mortgage loans, held-for-sale | 52,805 | 48,069 | |
Net cash provided by (used in) operating activities | 523,999 | 362,111 | |
Cash Flows From Investing Activities | |||
Acquisition of investments in excess mortgage servicing rights | (2,022) | (131,488) | |
Acquisition of HLSS, net of cash acquired | 0 | (959,616) | |
SpringCastle Transaction (Note 1), net of cash acquired | (49,943) | 0 | |
Purchase of servicer advance investments | (11,588,537) | (10,647,912) | |
Purchase of Agency RMBS | (4,763,374) | (3,040,422) | |
Purchase of Non-Agency RMBS | (2,154,890) | (763,095) | |
Purchase of residential mortgage loans | (319) | (664) | |
Purchase of derivatives | (4,457) | (4,370) | |
Purchase of real estate owned and other assets | (10,936) | (2,784) | |
Purchase of consumer loans | (92,069) | 0 | |
Draws on revolving consumer loans | (33,137) | 0 | |
Payments for settlement of derivatives | (73,570) | (61,212) | |
Return of investments in excess mortgage servicing rights | 142,718 | 112,648 | |
Return of investments in excess mortgage servicing rights, equity method investees | 11,900 | 3,867 | |
Principal repayments from servicer advance investments | 13,101,409 | 11,646,489 | |
Principal repayments from Agency RMBS | 67,738 | 110,863 | |
Principal repayments from Non-Agency RMBS | 364,310 | 54,979 | |
Principal repayments from residential mortgage loans | 31,092 | 15,944 | |
Proceeds from sale of residential mortgage loans | 0 | 649,712 | |
Principal repayments from consumer loans | 199,022 | 0 | |
Proceeds from sale of Agency RMBS | 4,774,116 | 2,435,168 | |
Proceeds from sale of Non-Agency RMBS | 95,683 | 389,719 | |
Proceeds from settlement of derivatives | 9,642 | 22,841 | |
Proceeds from sale of real estate owned | 51,941 | 52,139 | |
Net cash provided by (used in) investing activities | 76,317 | (117,194) | |
Cash Flows From Financing Activities | |||
Repayments of repurchase agreements | (21,179,260) | (5,644,864) | |
Margin deposits under repurchase agreements and derivatives | (274,645) | (441,696) | |
Repayments of notes and bonds payable | (6,786,408) | (5,445,381) | |
Payment of deferred financing fees | (19,922) | (38,486) | |
Common stock dividends paid | (318,060) | (197,011) | |
Borrowings under repurchase agreements | 22,065,713 | 6,184,472 | |
Return of margin deposits under repurchase agreements and derivatives | 276,634 | 439,875 | |
Borrowings under notes and bonds payable | 5,568,875 | 4,211,548 | |
Issuance of common stock | 279,600 | 882,166 | |
Costs related to issuance of common stock | (825) | (3,580) | |
Noncontrolling interest in equity of consolidated subsidiaries - contributions | 0 | 0 | |
Noncontrolling interest in equity of consolidated subsidiaries - distributions | (73,279) | (56,633) | |
Net cash provided by (used in) financing activities | (461,577) | (109,590) | |
Net Increase (Decrease) in Cash and Cash Equivalents | 138,738 | 135,327 | |
Cash and Cash Equivalents, Beginning of Period | 249,936 | [1] | 212,985 |
Cash and Cash Equivalents, End of Period | 388,674 | [1] | 348,312 |
Supplemental Disclosure of Cash Flow Information | |||
Cash paid during the period for interest | 265,114 | 175,615 | |
Cash paid during the period for income taxes | 943 | 535 | |
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared but not paid | 115,356 | 106,011 | |
Transfer from residential mortgage loans to real estate owned and other assets | 218,467 | 28,836 | |
Non-cash distributions from Consumer Loan Companies | 25 | 585 | |
Portion of HLSS Acquisition paid in common stock | 0 | 434,092 | |
Non-cash contingent consideration | 0 | 50,000 | |
Real estate securities retained from loan securitizations | 122,585 | 14,990 | |
Remeasurement of Consumer Loan Companies noncontrolling interest | 110,438 | 0 | |
Transfer of loans from held-for-investment to held-for sale | 316,199 | 0 | |
Agency RMBS [Member] | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Purchase of Agency and Non-Agency RMBS, settled after quarter end | 1,296,296 | 1,059,232 | |
Sale of investments, primarily Agency RMBS, settled after quarter end | 1,530,726 | 2,031,425 | |
Accounting Standards Update 2014-11 [Member] | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Reclassification resulting from the application of ASU No. 2014-11 | 0 | 85,955 | |
Excess MSRs Investees [Member] | |||
Other operating cash flows: | |||
Distributions of earnings from excess mortgage servicing rights, equity method investees | $ 18,025 | $ 31,876 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
ORGANIZATION AND BASIS OF PRESE
ORGANIZATION AND BASIS OF PRESENTATION | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION AND BASIS OF PRESENTATION | ORGANIZATION AND BASIS OF PRESENTATION New Residential Investment Corp. (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 13), which was completed on May 15, 2013. 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 (“NYSE”) under the symbol “NRZ.” New Residential has elected and intends to qualify to be taxed as a REIT for U.S. federal income tax purposes. 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. See Note 17 regarding New Residential’s taxable REIT subsidiaries. New Residential has entered into a management agreement (the “Management Agreement”) with FIG LLC (the “Manager”), an affiliate of Fortress Investment Group LLC (“Fortress”), pursuant to which the Manager provides a management team and other professionals who are responsible for implementing New Residential’s business strategy, 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. The Manager also manages Newcastle, investment funds that indirectly own a majority of the outstanding interests in Nationstar Mortgage LLC (“Nationstar”), a leading residential mortgage servicer, and investment funds that own a majority of the outstanding common stock of OneMain Holdings, Inc. (formerly known as Springleaf Holdings, Inc.) (together with its subsidiaries, “OneMain”), former managing member of the Consumer Loan Companies (Note 9). As of September 30, 2016 , New Residential conducted its business through the following segments: (i) investments in excess mortgage servicing rights (“Excess MSRs”), (ii) investments in servicer advances (including the basic fee component of the related mortgage servicing rights (“MSRs”)), (iii) investments in real estate securities, (iv) investments in real estate loans, (v) investments in consumer loans and (vi) corporate. Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, and its principals as of September 30, 2016 . In addition, Fortress, through its affiliates, held options relating to approximately 11.2 million shares of New Residential’s common stock as of September 30, 2016 . Interim Financial Statements The accompanying condensed 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 note 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 condensed consolidated financial statements should be read in conjunction with New Residential’s consolidated financial statements for the year ended December 31, 2015 and notes thereto included in New Residential’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”). Capitalized terms used herein, and not otherwise defined, are defined in New Residential’s consolidated financial statements for the year ended December 31, 2015 . Certain prior period amounts have been reclassified to conform to the current period’s presentation. Recent Accounting Pronouncements In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-09, Revenues from Contracts with Customers (Topic 606) . The standard’s core principle is that a company will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the company expects to be entitled in exchange for those goods or services. In effect, companies will be required to exercise further judgment and make more estimates prospectively. These may include identifying performance obligations in the contract, estimating the amount of variable consideration to include in the transaction price and allocating the transaction price to each separate performance obligation. ASU No. 2014-09 is effective for New Residential in the first quarter of 2018. Early adoption is only permitted after December 31, 2016. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements - Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern . The standard provides guidance on management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern by requiring management to assess an entity’s ability to continue as a going concern by incorporating and expanding on certain principles that are currently in U.S. auditing standards. ASU No. 2014-15 is effective for New Residential for the annual period ending on December 31, 2016. Early adoption was permitted. New Residential is currently evaluating the new guidance to determine the impact that it may have on its condensed consolidated financial statements. In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities. The standard: (i) requires that certain equity investments be measured at fair value, and modifies the assessment of impairment for certain other equity investments, (ii) changes certain disclosure requirements related to the fair value of financial instruments measured at amortized cost, (iii) changes certain disclosure requirements related to liabilities measured at fair value, (iv) requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset, and (v) clarifies that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. ASU No. 2016-01 is effective for New Residential in the first quarter of 2018. Early adoption is generally not permitted. An entity should apply ASU No. 2016-01 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments . The standard requires that a financial asset measured at amortized cost basis be presented at the net amount expected to be collected, net of an allowance for all expected (rather than incurred) credit losses. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectibility of the reported amount. The standard also changes the accounting for purchased credit deteriorated (“PCD”) assets and available-for-sale securities to align with this treatment. ASU No. 2016-13 is effective for New Residential in the first quarter of 2020. Early adoption is permitted beginning in 2019. An entity should apply ASU No. 2016-13 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows (Topic 230) - Classification of Certain Cash Receipts and Cash Payments. The standard provides guidance on the treatment of certain transactions within the statement of cash flows. ASU No. 2016-15 is effective for New Residential in the first quarter of 2018. Early adoption is permitted. New Residential adopted ASU No. 2016-15 in the third quarter of 2016 and it did not have an impact on its consolidated financial statements. In October 2016, the FASB issued ASU No. 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory . The standard requires recognition of the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. ASU No. 2016-16 is effective for New Residential in the first quarter of 2018. Early adoption is permitted as of the beginning of an annual reporting period for which financial statements have not been issued. New Residential does not expect the adoption of ASU No. 2016-16 to have a material impact on its consolidated financial statements. The FASB has recently issued or discussed a number of proposed standards on such topics as financial statement presentation, financial instruments, restricted cash and hedging. 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. SpringCastle Transaction On March 31, 2016, certain of New Residential’s indirect wholly owned subsidiaries (collectively, the “NRZ SpringCastle Buyers”) entered into a Purchase Agreement (the “SpringCastle Purchase Agreement”) primarily with (i) certain direct or indirect wholly owned subsidiaries of OneMain (the “SpringCastle Sellers”), (ii) BTO Willow Holdings II, L.P. and Blackstone Family Tactical Opportunities Investment Partnership - NQ - ESC L.P. (together, the “Blackstone SpringCastle Buyers,” and the Blackstone SpringCastle Buyers together with the NRZ SpringCastle Buyers, collectively, the “SpringCastle Buyers”). Pursuant to the SpringCastle Purchase Agreement, the SpringCastle Sellers sold their collective 47% limited liability company interests in the Consumer Loan Companies (Note 9) to the SpringCastle Buyers for an aggregate purchase price of $111.6 million (the “SpringCastle Transaction”). Pursuant to the SpringCastle Purchase Agreement, the NRZ SpringCastle Buyers collectively acquired an additional 23.5% limited liability company interest in the Consumer Loan Companies (representing 50% of the limited liability company interests being sold by the SpringCastle Sellers in the SpringCastle Transaction) and the Blackstone SpringCastle Buyers acquired the other 50% of the limited liability company interests being sold in the SpringCastle Transaction. The SpringCastle Buyers collectively paid $100.5 million of the aggregate purchase price to the SpringCastle Sellers on March 31, 2016, with the remaining $11.2 million paid into an escrow account within 120 days following March 31, 2016. The NRZ SpringCastle Buyers’ obligation with respect to purchase price was 50% of the total paid by the SpringCastle Buyers. The escrowed funds are expected to be held in escrow for a period of up to five years following March 31, 2016 and, subject to the terms of the SpringCastle Purchase Agreement and depending on the achievement of certain portfolio performance requirements, paid (in whole or in part) to the SpringCastle Sellers at the end of such five year period. Any portion of the escrowed funds that the SpringCastle Sellers are not entitled to receive at the end of such five year period, based on the failure to achieve certain portfolio performance requirements, will be returned to the SpringCastle Buyers. The SpringCastle Buyers are also entitled (but not required) to use the escrowed funds as a source of recovery for any indemnification payments to which they become entitled pursuant to the SpringCastle Purchase Agreement. The SpringCastle Purchase Agreement includes customary representations, warranties, covenants and indemnities. The SpringCastle Transaction was unanimously approved by a special committee composed entirely of independent directors to which New Residential’s board of directors had delegated full authority to consider, negotiate and determine whether to engage in the SpringCastle Transaction. Following the SpringCastle Transaction, New Residential, through the NRZ SpringCastle Buyers, owns 53.5% of the limited liability company interests in the Consumer Loan Companies and the Blackstone SpringCastle Buyers, collectively with their affiliates, own the remaining 46.5% interests in the Consumer Loan Companies. OneMain will remain as servicer of the loans held by the Consumer Loan Companies and their subsidiaries immediately following the SpringCastle Transaction. In connection with the closing of the SpringCastle Transaction, each NRZ SpringCastle Buyer entered into a Second Amended & Restated Limited Liability Company Agreement (each, a “Second A&R LLC Agreement”) for each of the Consumer Loan Companies in which it acquired limited liability company interests. All of the Second A&R LLC Agreements contain substantially identical terms and conditions and designate the respective NRZ SpringCastle Buyer that is a party thereto as managing member of the applicable Consumer Loan Company. Pursuant to each Second A&R LLC Agreement, the managing member has the exclusive power and authority to manage the business and affairs of the applicable Consumer Loan Company, subject to the rights of the members to approve specified significant actions outside of the ordinary course of business and certain affiliate transactions, and subject to the other terms, conditions and limitations set forth in the Second A&R LLC Agreements. Each Second A&R LLC Agreement contains certain customary restrictions on the members’ ability to transfer their interests in the applicable Consumer Loan Companies. As a result of the SpringCastle Transaction, New Residential obtained a controlling financial interest in the Consumer Loan Companies, which triggered the application of the acquisition model in ASC No. 805, including the fair value recognition of all net assets over which control has been obtained and the remeasurement of any previously held noncontrolling interest. Based on the guidance in ASC No. 805, New Residential has consolidated all of the assets and the related liabilities of the Consumer Loan Companies assuming a gross purchase price of $237.5 million . This gross purchase price is representative of the fair value, measured in accordance with ASC No. 820, of 100% of the net assets of the Consumer Loan Companies, which was used to derive the $111.6 million purchase price for an aggregate 47.0% of the equity ownership acquired by the SpringCastle Buyers. New Residential previously held a 30% equity method investment in the Consumer Loan Companies, which had a basis of zero, and a fair value of $71.3 million based on 30% of the gross purchase price of $237.5 million , immediately prior to the SpringCastle Transaction. Therefore, the remeasurement of New Residential’s previously held equity method investment resulted in a gain of $71.3 million , which was recorded to Gain on Remeasurement of Consumer Loans Investment. New Residential has performed a preliminary allocation of the purchase price to the Consumer Loans Companies’ assets and liabilities, as set forth below. The final allocation of purchase price may differ from the amounts included herein. The preliminary allocation of the total consideration, following reclassifications to conform to New Residential’s presentation, is as follows: Total Consideration ($ in millions) $ 237.5 Assets Consumer loans, held-for-investment $ 1,934.7 Cash and cash equivalents 0.3 Restricted cash 74.6 Other assets 35.9 Total Assets Acquired 2,045.5 Liabilities Notes and bonds payable $ 1,803.2 Accrued expenses and other liabilities 4.8 Total Liabilities Assumed 1,808.0 Net Assets $ 237.5 The acquisition of the Consumer Loans Companies resulted in no goodwill because the total consideration transferred was equal to the fair value of the net assets acquired. Unaudited Supplemental Pro Forma Financial Information - The following table presents New Residential’s unaudited pro forma combined Interest Income and Income Before Income Taxes for the three and nine months ended September 30, 2016 and 2015 prepared as if the SpringCastle Transaction had been consummated on January 1, 2015. Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 (unaudited) (unaudited) (unaudited) (unaudited) Pro Forma Interest Income $ 282,388 $ 276,720 $ 836,814 $ 739,490 Income Before Income Taxes 151,986 85,158 319,144 388,041 Noncontrolling Interests in Income of Consolidated Subsidiaries 32,178 27,523 79,944 77,870 The 2016 unaudited supplemental pro forma financial information has been adjusted to exclude, and the 2015 unaudited supplemental pro forma financial information has been adjusted to include, (i) the gain on remeasurement of New Residential’s Consumer Loans investment of $71.3 million and (ii) approximately $1.5 million of acquisition related costs incurred by New Residential in 2016. The unaudited supplemental pro forma financial information does not include any other anticipated benefits of the SpringCastle Transaction and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the SpringCastle Transaction occurred on January 1, 2015. New Residential’s Condensed Consolidated Statements of Income include Interest income and Income Before Income Taxes of the Consumer Loan Companies (Note 9) since the March 31, 2016 acquisition of $154.3 million and $60.1 million , respectively. See Note 9 for further information on the Consumer Loan Companies and Note 11 for further information on related financing. |
OTHER INCOME, ASSETS AND LIABIL
OTHER INCOME, ASSETS AND LIABILITIES | 9 Months Ended |
Sep. 30, 2016 | |
Other Income Assets And Liabilities | |
OTHER INCOME, ASSETS AND LIABILITIES | OTHER INCOME, ASSETS AND LIABILITIES Other income (loss), net, is comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Unrealized gain (loss) on derivative instruments $ 26,962 $ (9,166 ) $ (8,504 ) $ (17,425 ) Unrealized gain (loss) on other ABS 724 (706 ) (226 ) (1,073 ) Gain (loss) on transfer of loans to REO 4,373 1,272 14,660 1,075 Gain (loss) on transfer of loans to other assets 2,743 314 3,021 143 Gain on Excess MSR recapture agreements 768 669 2,188 2,247 Other income (loss) (2,597 ) 6,069 2,319 5,001 $ 32,973 $ (1,548 ) $ 13,458 $ (10,032 ) Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Gain (loss) on sale of real estate securities, net $ (679 ) $ 24,454 $ 15,072 $ 31,230 Gain (loss) on sale of residential mortgage loans, net 8,537 226 9,142 31,808 Gain (loss) on settlement of derivatives (24,839 ) (44,479 ) (70,307 ) (53,300 ) Gain (loss) on liquidated residential mortgage loans (1,331 ) 246 (1,603 ) 492 Gain (loss) on sale of REO 2,207 (1,914 ) 5,193 (9,751 ) Other gains (losses) (974 ) (15 ) (1,787 ) (5,993 ) $ (17,079 ) $ (21,482 ) $ (44,290 ) $ (5,514 ) Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities September 30, 2016 December 31, 2015 September 30, 2016 December 31, 2015 Margin receivable, net $ 52,471 $ 54,459 Interest payable $ 17,965 $ 18,268 Other receivables 6,984 5,829 Accounts payable 33,727 18,650 Principal paydown receivable 1,834 795 Derivative liabilities (Note 10) 24,085 13,443 Receivable from government agency 63,204 68,833 Current taxes payable 3,678 1,573 Call rights 414 414 Due to servicers 8,975 — Derivative assets (Note 10) 2,088 2,689 Other liabilities 5,026 6,112 Interest receivable 53,964 36,963 $ 93,456 $ 58,046 Ginnie Mae EBO servicer advance receivable, net 17,924 49,725 Due from servicers 17,788 5,064 Other assets 20,188 14,675 $ 236,859 $ 239,446 As reflected on the Condensed Consolidated Statements of Cash Flows, accretion and other amortization is comprised of the following: Nine Months Ended 2016 2015 Accretion of servicer advance interest income $ 257,877 $ 256,045 Accretion of excess mortgage servicing rights income 106,848 87,874 Accretion of net discount on securities and loans (A) 164,806 35,239 Amortization of deferred financing costs (13,889 ) (18,691 ) Amortization of discount on notes and bonds payable (1,120 ) — $ 514,522 $ 360,467 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING
SEGMENT REPORTING | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING New Residential conducts its business through the following segments: (i) investments in Excess MSRs, (ii) investments in Servicer Advances, (iii) investments in real estate securities, (iv) investments in real estate loans, (v) investments in consumer loans, and (vi) corporate. The corporate segment consists primarily of (i) general and administrative expenses, (ii) the management fees and incentive compensation related to the Management Agreement and (iii) corporate cash and related interest income. Securities owned by New Residential (Note 7) that are collateralized by servicer advances are included in the Servicer Advances segment. Secured corporate loans effectively collateralized by Excess MSRs are included in the Excess MSRs segment. 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: Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Three Months Ended September 30, 2016 Interest income $ 30,617 $ 101,359 $ 58,855 $ 13,947 $ 77,231 $ 379 $ 282,388 Interest expense 4,002 54,802 13,008 6,153 18,523 — 96,488 Net interest income (expense) 26,615 46,557 45,847 7,794 58,708 379 185,900 Impairment — — 1,765 (291 ) 18,566 — 20,040 Other income (loss) (10,052 ) 21,430 1,392 13,931 — — 26,701 Operating expenses 536 1,029 369 4,251 11,976 22,414 40,575 Income (Loss) Before Income Taxes 16,027 66,958 45,105 17,765 28,166 (22,035 ) 151,986 Income tax expense (benefit) — 16,348 — 4,556 — (4 ) 20,900 Net Income (Loss) $ 16,027 $ 50,610 $ 45,105 $ 13,209 $ 28,166 $ (22,031 ) $ 131,086 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 18,853 $ — $ — $ 13,325 $ — $ 32,178 Net income (loss) attributable to common stockholders $ 16,027 $ 31,757 $ 45,105 $ 13,209 $ 14,841 $ (22,031 ) $ 98,908 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2016 Interest income $ 106,848 $ 265,119 $ 172,982 $ 47,712 $ 155,541 $ 1,699 $ 749,901 Interest expense 12,117 176,672 31,425 20,447 37,740 — 278,401 Net interest income (expense) 94,731 88,447 141,557 27,265 117,801 1,699 471,500 Impairment — — 7,838 7,309 34,536 — 49,683 Other income (loss) (14,234 ) 9,103 (59,472 ) 22,295 81,193 15 38,900 Operating expenses 1,066 3,076 1,307 11,194 26,194 59,034 101,871 Income (Loss) Before Income Taxes 79,431 94,474 72,940 31,057 138,264 (57,320 ) 358,846 Income tax expense (benefit) — 13,743 — 4,377 75 — 18,195 Net Income (Loss) $ 79,431 $ 80,731 $ 72,940 $ 26,680 $ 138,189 $ (57,320 ) $ 340,651 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 33,400 $ — $ — $ 27,955 $ — $ 61,355 Net income (loss) attributable to common stockholders $ 79,431 $ 47,331 $ 72,940 $ 26,680 $ 110,234 $ (57,320 ) $ 279,296 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total September 30, 2016 Investments $ 1,599,956 $ 6,294,697 $ 4,739,914 $ 765,940 $ 1,821,979 $ — $ 15,222,486 Cash and cash equivalents 5,377 134,000 1,305 3,736 15,022 229,234 388,674 Restricted cash 2,406 90,899 — — 59,822 — 153,127 Other assets 2,557 181,521 1,578,722 108,359 48,533 20,403 1,940,095 Total assets $ 1,610,296 $ 6,701,117 $ 6,319,941 $ 878,035 $ 1,945,356 $ 249,637 $ 17,704,382 Debt $ 268,290 $ 6,210,358 $ 3,924,111 $ 653,197 $ 1,707,197 $ — $ 12,763,153 Other liabilities 1,962 28,616 1,326,013 20,608 5,519 141,000 1,523,718 Total liabilities 270,252 6,238,974 5,250,124 673,805 1,712,716 141,000 14,286,871 Total equity 1,340,044 462,143 1,069,817 204,230 232,640 108,637 3,417,511 Noncontrolling interests in equity of consolidated subsidiaries — 182,094 — — 107,067 — 289,161 Total New Residential stockholders’ equity $ 1,340,044 $ 280,049 $ 1,069,817 $ 204,230 $ 125,573 $ 108,637 $ 3,128,350 Investments in equity method investees $ 195,904 $ — $ — $ — $ — $ — $ 195,904 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Three Months Ended September 30, 2015 Interest income $ 38,477 $ 105,135 $ 28,984 $ 8,888 $ — $ 857 $ 182,341 Interest expense 2,936 64,291 5,150 4,651 530 — 77,558 Net interest income (expense) 35,541 40,844 23,834 4,237 (530 ) 857 104,783 Impairment — — 1,574 (3,341 ) — — (1,767 ) Other income (loss) 10,227 (12,554 ) (28,354 ) (1,530 ) 14,386 — (17,825 ) Operating expenses 168 10,341 766 2,845 66 18,716 32,902 Income (Loss) Before Income Taxes 45,600 17,949 (6,860 ) 3,203 13,790 (17,859 ) 55,823 Income tax expense (benefit) — (4,852 ) — (1,405 ) 325 — (5,932 ) Net Income (Loss) $ 45,600 $ 22,801 $ (6,860 ) $ 4,608 $ 13,465 $ (17,859 ) $ 61,755 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 7,193 $ — $ — $ — $ — $ 7,193 Net income (loss) attributable to common stockholders $ 45,600 $ 15,608 $ (6,860 ) $ 4,608 $ 13,465 $ (17,859 ) $ 54,562 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2015 Interest income $ 87,874 $ 256,087 $ 66,699 $ 32,408 $ 1 $ 1,822 $ 444,891 Interest expense 8,681 151,377 12,171 15,929 1,054 4,196 193,408 Net interest income (expense) 79,193 104,710 54,528 16,479 (1,053 ) (2,374 ) 251,483 Impairment — — 3,294 2,408 — — 5,702 Other income (loss) 18,415 835 (37,655 ) 20,063 33,342 (2,880 ) 32,120 Operating expenses 517 12,604 769 14,557 177 61,500 90,124 Income (Loss) Before Income Taxes 97,091 92,941 12,810 19,577 32,112 (66,754 ) 187,777 Income tax expense (benefit) — 7,565 — (2,942 ) 324 — 4,947 Net Income (Loss) $ 97,091 $ 85,376 $ 12,810 $ 22,519 $ 31,788 $ (66,754 ) $ 182,830 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 22,332 $ — $ — $ — $ (5,158 ) $ 17,174 Net income (loss) attributable to common stockholders $ 97,091 $ 63,044 $ 12,810 $ 22,519 $ 31,788 $ (61,596 ) $ 165,656 |
INVESTMENTS IN EXCESS MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS | 9 Months Ended |
Sep. 30, 2016 | |
Transfers and Servicing [Abstract] | |
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS | INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS The following table presents activity related to the carrying value of New Residential’s investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2015 $ 698,304 $ 5,307 $ 877,906 $ 1,581,517 Purchases — — — — Interest income 47,049 (16 ) 59,815 106,848 Other income 2,188 — — 2,188 Proceeds from repayments (111,999 ) (796 ) (149,309 ) (262,104 ) Change in fair value (9,521 ) (86 ) (14,790 ) (24,397 ) Balance as of September 30, 2016 $ 626,021 $ 4,409 $ 773,622 $ 1,404,052 (A) Specialized Loan Servicing LLC (“SLS”). (B) Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. On January 4, 2016, New Residential invested the remaining $2.0 million to complete its acquisition of a 66.7% interest in the Excess MSRs on a portfolio of Fannie Mae residential mortgage loans with an aggregate UPB of $17.2 billion . Nationstar agreed to acquire the remaining 33.3% interest in the Excess MSRs. Nationstar, SLS or Ocwen, as applicable, as servicer, performs all servicing and advancing functions, and retains the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in each portfolio. New Residential has entered into a “recapture agreement” with respect to each of the Excess MSR investments serviced by Nationstar and SLS, including those Excess MSR investments made through investments in joint ventures (Note 5). 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 or SLS, as applicable, of a loan in the original portfolio. New Residential has a similar recapture agreement with Ocwen; however, this agreement allows for Ocwen to retain the Excess MSR on recaptured loans up to a specified threshold and no payments have been made to New Residential under such arrangement to date. These recapture agreements do not apply to New Residential’s investments in Servicer Advances (Note 6). 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: September 30, 2016 December 31, 2015 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) New Residential (D) Fortress-managed funds Nationstar Agency Original and Recaptured Pools $ 82,159,586 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.9 $ 302,541 $ 333,816 $ 378,083 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 11.9 28,417 54,948 59,118 82,159,586 6.4 330,958 388,764 437,201 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 82,010,764 33.3% - 80.0% (59.3%) 0.0% - 50.0% 0.0% - 33.3% 5.3 $ 190,184 $ 227,883 $ 250,662 Recapture Agreements — 33.3% - 80.0% (59.3%) 0.0% - 50.0% 0.0% - 33.3% 12.1 12,210 13,783 15,748 Ocwen Serviced Pools 126,120,662 100.0% — % — % 6.4 746,933 773,622 877,906 208,131,426 6.3 949,327 1,015,288 1,144,316 Total $ 290,291,012 6.3 $ 1,280,285 $ 1,404,052 $ 1,581,517 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) Carrying Value represents the fair value of the pools or recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential also invested in the related Servicer Advances, including the basic fee component of the related MSR as of September 30, 2016 (Note 6) on $194.2 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income are comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Original and Recaptured Pools $ (15,395 ) $ 1,485 $ (28,392 ) $ (3,933 ) Recapture Agreements (1,665 ) (354 ) 3,995 3,659 $ (17,060 ) $ 1,131 $ (24,397 ) $ (274 ) In the third quarter of 2016 , a weighted average discount rate of 9.8% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 California 26.4 % 26.7 % Florida 8.8 % 8.9 % New York 8.1 % 7.8 % Texas 4.2 % 4.3 % New Jersey 4.1 % 4.1 % Maryland 3.8 % 3.8 % Illinois 3.4 % 3.4 % Virginia 3.1 % 3.1 % Massachusetts 2.7 % 2.7 % Washington 2.6 % 2.7 % Other U.S. 32.8 % 32.5 % 100.0 % 100.0 % 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 EXCESS MORTGAG12
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES | 9 Months Ended |
Sep. 30, 2016 | |
Equity Method Investments and Joint Ventures [Abstract] | |
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES | INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES 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 financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: September 30, 2016 December 31, 2015 Excess MSR assets $ 374,962 $ 421,999 Other assets 16,846 12,442 Other liabilities — — Equity $ 391,808 $ 434,441 New Residential’s investment $ 195,904 $ 217,221 New Residential’s ownership 50.0 % 50.0 % Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Interest income $ 12,205 $ 12,399 $ 24,526 $ 33,316 Other income (loss) 339 4,492 (7,244 ) (348 ) Expenses (22 ) (38 ) (66 ) (82 ) Net income $ 12,522 $ 16,853 $ 17,216 $ 32,886 New Residential’s investments in equity method investees changed during the nine months ended September 30, 2016 as follows: Balance at December 31, 2015 $ 217,221 Contributions to equity method investees — Distributions of earnings from equity method investees (18,025 ) Distributions of capital from equity method investees (11,900 ) Change in fair value of investments in equity method investees 8,608 Balance at September 30, 2016 $ 195,904 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: September 30, 2016 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 63,834,062 66.7 % 50.0 % $ 249,388 $ 314,265 5.7 Recapture Agreements — 66.7 % 50.0 % 33,156 60,697 11.7 Total $ 63,834,062 $ 282,544 $ 374,962 6.4 (A) The remaining interests are held by Nationstar. (B) 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. (C) 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. (D) The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. In the third quarter of 2016 , a weighted average discount rate of 9.8% was used to value New Residential’s investments in Excess MSRs (directly and 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: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 California 12.8 % 12.9 % Florida 7.3 % 7.4 % Texas 6.1 % 6.1 % New York 6.0 % 5.8 % Georgia 5.7 % 5.7 % New Jersey 4.2 % 4.3 % Illinois 4.1 % 4.0 % Maryland 3.3 % 3.2 % Virginia 3.2 % 3.2 % Pennsylvania 3.2 % 3.1 % Other U.S. 44.1 % 44.3 % 100.0 % 100.0 % 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 SERVICER ADVANCE
INVESTMENTS IN SERVICER ADVANCES | 9 Months Ended |
Sep. 30, 2016 | |
Investments, All Other Investments [Abstract] | |
INVESTMENTS IN SERVICER ADVANCES | INVESTMENTS IN SERVICER ADVANCES In December 2013, New Residential and third-party co-investors, through a joint venture entity (Advance Purchaser LLC, the “Buyer”) consolidated by New Residential, purchased the outstanding Servicer Advances related to a portfolio of residential mortgage loans that is serviced by Nationstar and is a subset of the same portfolio of loans in which New Residential has invested in a portion of the Excess MSRs (Notes 4 and 5), including the basic fee component of the related MSRs. A taxable wholly owned subsidiary of New Residential is the managing member of the Buyer and owned an approximately 44.5% interest in the Buyer as of September 30, 2016 . As of September 30, 2016 , third-party co-investors, owning the remaining interest in the Buyer, have funded capital commitments to the Buyer of $389.6 million and New Residential has funded capital commitments to the Buyer of $312.7 million . The Buyer may call capital up to the commitment amount on unfunded commitments and recall capital to the extent the Buyer makes a distribution to the third-party co-investors, including New Residential. As of September 30, 2016 , the third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $277.5 million and $222.8 million of capital distributed to the third-party co-investors and New Residential, respectively. Neither the third-party co-investors nor New Residential is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. The Buyer has purchased Servicer Advances from Nationstar, is required to purchase all future Servicer Advances made with respect to this portfolio of loans from Nationstar, and receives cash flows from advance recoveries and the basic fee component of the related MSRs, net of compensation paid back to Nationstar in consideration of Nationstar’s servicing activities. The compensation paid to Nationstar as of September 30, 2016 was approximately 9.3% of the basic fee component of the related MSRs plus a performance fee that represents a portion (up to 100% ) of the cash flows in excess of those required for the Buyer to obtain a specified return on its equity. New Residential also acquired a portion of the call rights related to this portfolio of loans. In December 2014, New Residential agreed to acquire (the “SLS Transaction”) 50% of the Excess MSRs and all of the Servicer Advances and related basic fee portion of the MSR (the “SLS Advance Fee”), and a portion of the call rights related to a portfolio of residential mortgage loans which is serviced by SLS. Fortress-managed funds acquired the other 50% of the Excess MSRs. SLS will continue to service the loans in exchange for a servicing fee of 10.75 basis points times the UPB of the underlying loans and an incentive fee (the “SLS Incentive Fee”) which is based on the ratio of the outstanding Servicer Advances to the UPB of the underlying loans. In April 2015, New Residential acquired Servicer Advances and Excess MSRs in connection with the HLSS Acquisition. Ocwen will continue to service the underlying loans in exchange for a servicing fee of 12% times the servicing fee collections of the underlying loans, which as of September 30, 2016 is equal to 6.0 basis points times the UPB of the underlying loans, and an incentive fee which is reduced by LIBOR plus 2.75% per annum of the amount, if any, of servicer advances outstanding in excess of a defined target. In connection with the HLSS Acquisition, New Residential acquired from Ocwen the call rights related to the mortgage loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. New Residential continues to evaluate the call rights it acquired from Nationstar, SLS and Ocwen, and its ability to exercise such rights and realize the benefits therefrom are subject to a number of risks. The actual UPB of the mortgage loans on which New Residential can successfully exercise call rights and realize the benefits therefrom may differ materially from its initial assumptions. New Residential elected to record its investments in Servicer Advances, including the right to the basic fee component of the related MSRs, 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 market factors. The following is a summary of the investments in Servicer Advances, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) September 30, 2016 Servicer Advances (C) $ 6,012,315 $ 6,043,369 5.4 % 5.3 % 4.5 As of December 31, 2015 Servicer Advances (C) $ 7,400,068 $ 7,426,794 5.6 % 5.5 % 4.4 (A) Carrying value represents the fair value of the investments in Servicer Advances, including the basic fee component of the related MSRs. (B) Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment. (C) Excludes New Residential asset-backed securities collateralized by Servicer Advances, which have aggregate face amounts of $249.0 million and $431.0 million and aggregate carrying values of $250.7 million and $430.3 million as of September 30, 2016 and December 31, 2015 , respectively. See Note 7 for details related to these securities. Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Changes in Fair Value Recorded in Other Income $ 21,606 $ (18,738 ) $ 4,328 $ (1,845 ) The following is additional information regarding the Servicer Advances and related financing: Loan-to-Value (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Notes and Bonds Payable Gross Net (B) Gross Net September 30, 2016 Servicer Advances (D) $ 194,223,701 $ 6,017,968 3.1 % $ 5,907,803 94.5 % 93.3 % 3.5 % 2.8 % December 31, 2015 Servicer Advances (D) $ 220,256,804 $ 7,578,110 3.4 % $ 7,058,094 91.2 % 90.2 % 3.4 % 2.6 % (A) Based on outstanding Servicer Advances, excluding purchased but unsettled Servicer Advances and certain deferred servicing fees (“DSF”) on which New Residential receives financing. If New Residential were to include these DSF in the servicer advance balance, gross and net LTV as of September 30, 2016 would be 89.7% and 88.6% , respectively. Also excludes retained non-agency bonds with a current face amount of $110.1 million from the outstanding Servicer Advances debt. If New Residential were to sell these bonds, gross and net LTV as of September 30, 2016 would be 96.3% and 95.1% , respectively. (B) Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. (C) Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees. (D) The following types of advances comprise the investments in Servicer Advances: September 30, 2016 December 31, 2015 Principal and interest advances $ 1,651,576 $ 2,229,468 Escrow advances (taxes and insurance advances) 2,786,203 3,687,559 Foreclosure advances 1,580,189 1,661,083 Total $ 6,017,968 $ 7,578,110 Interest income recognized by New Residential related to its investments in Servicer Advances was comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Interest income, gross of amounts attributable to servicer compensation $ 161,601 $ 221,613 $ 581,231 $ 511,931 Amounts attributable to base servicer compensation (15,276 ) (26,553 ) (68,184 ) (65,111 ) Amounts attributable to incentive servicer compensation (45,197 ) (89,952 ) (255,170 ) (190,775 ) Interest income from investments in Servicer Advances $ 101,128 $ 105,108 $ 257,877 $ 256,045 New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE. As of September 30, 2016 December 31, 2015 Assets Servicer advance investments, at fair value $ 1,903,067 $ 2,344,245 Cash and cash equivalents 35,000 40,761 All other assets 22,229 25,092 Total assets (A) $ 1,960,296 $ 2,410,098 Liabilities Notes and bonds payable $ 1,625,956 $ 2,060,347 All other liabilities 6,119 6,111 Total liabilities (A) $ 1,632,075 $ 2,066,458 (A) The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. Others’ interests in the equity of the Buyer is computed as follows: September 30, 2016 December 31, 2015 Total Advance Purchaser LLC equity $ 328,221 $ 343,640 Others’ ownership interest 55.5 % 55.5 % Others’ interest in equity of consolidated subsidiary $ 182,094 $ 190,647 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Net Advance Purchaser LLC income $ 33,985 $ 12,960 $ 60,207 $ 40,258 Others’ ownership interest as a percent of total (A) 55.5 % 55.5 % 55.5 % 55.5 % Others’ interest in net income of consolidated subsidiaries $ 18,853 $ 7,193 $ 33,400 $ 22,332 (A) As a result, New Residential owned 44.5% and 44.5% of the Buyer, on average during the three months ended September 30, 2016 and 2015 , respectively, and 44.5% and 44.5% of the Buyer, on average during the nine months ended September 30, 2016 and 2015 , respectively. |
INVESTMENTS IN REAL ESTATE SECU
INVESTMENTS IN REAL ESTATE SECURITIES | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN REAL ESTATE SECURITIES | INVESTMENTS IN REAL ESTATE SECURITIES Agency residential mortgage backed securities (“RMBS”) are issued by a government sponsored enterprise, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Non-Agency RMBS are issued by either public trusts or private label securitization entities. Activities related to New Residential’s investments in real estate securities were as follows: Nine Months Ended (in millions) Agency Non Agency Purchases Face $ 5,070.3 $ 4,079.9 Purchase Price $ 5,315.9 $ 2,298.4 Sales Face $ 4,530.6 $ 129.8 Amortized Cost $ 4,721.8 $ 121.7 Sale Price $ 4,757.8 $ 100.8 Gain (Loss) on Sale $ 36.0 $ (20.9 ) As of September 30, 2016 , New Residential sold and purchased $1.4 billion and $1.2 billion face amount of Agency RMBS for $1.5 billion and $1.3 billion , respectively, and purchased $27.0 million face amount of Non-Agency RMBS for $20.7 million , which had not yet been settled. These unsettled sales and purchases were recorded on the balance sheet on trade date as Trades Receivable and Trades Payable. New Residential has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, New Residential sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, New Residential received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. Refer to Note 8 for further details on these transactions. The following is a summary of New Residential’s real estate securities, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired and except for securities which New Residential elected to carry at fair value and record changes to valuation through the income statement. September 30, 2016 December 31, 2015 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Agency RMBS (F) (G) $ 1,356,580 $ 1,437,777 $ 337 $ (3,806 ) $ 1,434,308 76 AAA 3.42 % 2.79 % 5.6 N/A $ 917,598 Non-Agency RMBS (H) (I) 6,671,272 3,446,822 122,171 (12,059 ) 3,556,934 471 CCC- 1.76 % 5.46 % 7.0 10.8 % 1,584,283 Total/ Weighted Average $ 8,027,852 $ 4,884,599 $ 122,508 $ (15,865 ) $ 4,991,242 547 CCC+ 2.21 % 4.68 % 6.6 $ 2,501,881 (A) Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 187 bonds with a carrying value of $566.9 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $243.5 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding interest-only bonds and servicer advance bonds. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. (G) The total outstanding face amount was $1.2 billion for fixed rate securities and $151.9 million for floating rate securities as of September 30, 2016 . (H) The total outstanding face amount was $1.1 billion (including $0.3 billion of residual and interest-only notional amount) for fixed rate securities and $5.6 billion (including $2.0 billion of residual and interest-only notional amount) for floating rate securities as of September 30, 2016 . (I) Includes other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and (ii) bonds backed by servicer advances. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Other ABS $ 1,975,404 $ 110,267 $ 6,048 $ (4,927 ) $ 111,388 25 AA+ 1.91 % 5.57 % 2.9 N/A Servicer Advance Bonds $ 249,000 $ 248,696 $ 2,025 $ — $ 250,721 3 AAA 2.81 % 2.21 % 0.1 N/A Unrealized losses that are considered other-than-temporary are recognized currently in earnings. During the nine months ended September 30, 2016 , New Residential recorded OTTI charges of $7.8 million with respect to real estate securities. 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 its 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, 2016 . Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Impairment Other-Than- Temporary Impairment (A) After Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating (B) Coupon Yield Life (Years) Less than 12 Months $ 2,905,125 $ 1,723,246 $ (804 ) $ 1,722,442 $ (11,824 ) $ 1,710,618 204 B+ 2.51 % 3.99 % 6.5 12 or More Months 291,088 229,368 (961 ) 228,407 (4,041 ) 224,366 36 B+ 2.30 % 2.99 % 5.2 Total/Weighted Average $ 3,196,213 $ 1,952,614 $ (1,765 ) $ 1,950,849 $ (15,865 ) $ 1,934,984 240 B+ 2.48 % 3.87 % 6.4 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2016 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 84 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 6 bonds which either have never been rated or for which rating information is no longer provided. New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following: September 30, 2016 Gross Unrealized Losses Fair Value Amortized Cost Basis After Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell (C) $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (D) — — — N/A Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 365,403 367,904 (1,765 ) (2,501 ) Non-credit impaired securities 1,569,581 1,582,945 — (13,364 ) Total debt securities in an unrealized loss position $ 1,934,984 $ 1,950,849 $ (1,765 ) $ (15,865 ) (A) This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate. (B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income. (C) A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment and, therefore, do no t have unrealized losses reflected in other comprehensive income as of September 30, 2016 . (D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales. The following table summarizes the activity related to credit losses on debt securities: Nine Months Ended September 30, 2016 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 6,240 Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income 2,505 Additions for credit losses on securities for which an OTTI was not previously recognized 5,333 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date — Reduction for securities sold during the period (997 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 13,081 The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: September 30, 2016 December 31, 2015 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 2,329,116 36.3 % $ 1,097,609 35.3 % Southeastern U.S. 1,496,049 23.2 % 758,167 24.4 % Northeastern U.S. 1,318,153 20.5 % 583,366 18.8 % Midwestern U.S. 716,411 11.2 % 335,406 10.8 % Southwestern U.S. 500,795 7.8 % 309,236 10.0 % Other (B) 61,748 1.0 % 19,189 0.7 % $ 6,422,272 100.0 % $ 3,102,973 100.0 % (A) Excludes $249.0 million face amount of bonds backed by servicer advances. (B) Represents collateral for which New Residential was unable to obtain geographic information. 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, 2016 , excluding residual and interest-only securities, the face amount of these real estate securities was $2,121.3 million , with total expected cash flows of $2,131.5 million and a fair value of $1,329.0 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, excluding residual and interest-only securities: Outstanding Face Amount Carrying Value September 30, 2016 $ 2,727,475 $ 1,754,467 December 31, 2015 873,763 504,659 The following is a summary of the changes in accretable yield for these securities: Nine Months Ended September 30, 2016 Balance at December 31, 2015 $ 316,521 Additions 802,442 Accretion (87,535 ) Reclassifications from (to) non-accretable difference 44,905 Disposals (1,129 ) Balance at September 30, 2016 $ 1,075,204 |
INVESTMENTS IN RESIDENTIAL MORT
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | 9 Months Ended |
Sep. 30, 2016 | |
Receivables [Abstract] | |
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS Loans are accounted for based on New Residential’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. New Residential accounts for loans based on the following categories: • Loans Held-for-Investment: ◦ Reverse Mortgage Loans ◦ Performing Loans ◦ Purchased Credit Deteriorated (“PCD”) Loans • Loans Held-for-Sale (“HFS”) • Real Estate Owned (“REO”) The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO: September 30, 2016 December 31, 2015 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Floating Rate Loans as a % of Face Amount Loan to Value Ratio (“LTV”) (B) Weighted Avg. Delinquency (C) Weighted Average FICO (D) Carrying Value Loan Type Reverse Mortgage Loans (E)(F) $ — $ — — — % — — % — % — % N/A $ 19,560 Performing Loans (G) (H) — — — — % — — % — % — % — 19,964 Purchased Credit Deteriorated Loans — — — — % — — % — % — % — 290,654 Total Residential Mortgage Loans, held-for-investment $ — $ — — — % — — % — % — % — $ 330,178 Reverse Mortgage Loans (E)(F) $ 23,878 $ 11,836 77 7.3 % 4.5 15.7 % 134.2 % 71.8 % N/A $ — Performing Loans (G) (H) (J) 103,234 107,167 1,750 4.1 % 4.2 4.6 % 75.2 % 10.4 % 610 277,084 Non-performing Loans (I) (J) 800,411 586,478 4,280 7.1 % 2.8 17.8 % 102.8 % 79.8 % 579 499,597 Total Residential Mortgage Loans, held-for-sale $ 927,523 $ 705,481 6,107 6.7 % 3.0 16.2 % 100.6 % 71.9 % 583 $ 776,681 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property. (C) Represents the percentage of the total principal balance that are 60+ days delinquent. (D) The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis. (E) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.4 million . Approximately 66% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (F) FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan. (G) Includes loans that are current or less than 30 days past due at acquisition where New Residential expects to collect all contractually required principal and interest payments. Presented net of unamortized premiums of $4.8 million . (H) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (I) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of September 30, 2016 , New Residential has placed all of these loans on nonaccrual status, except as described in (J) below. (J) Includes $56.5 million and $99.2 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status because contractual cash flows are guaranteed by the FHA. New Residential generally considers the delinquency status, loan-to-value ratios, and geographic area of residential mortgage loans as its credit quality indicators. Delinquency status is a primary credit quality indicator as loans that are more than 60 days past due provide an early warning of borrowers who may be experiencing financial difficulties. Current LTV ratio is an indicator of the potential loss severity in the event of default. Finally, the geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events will affect credit quality. The table below summarizes the geographic distribution of the residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 New York 17.0 % 14.5 % New Jersey 10.4 % 13.1 % Florida 9.9 % 10.7 % California 8.5 % 12.3 % Texas 6.7 % 3.3 % Illinois 3.9 % 4.3 % Maryland 4.1 % 3.5 % Massachusetts 3.7 % 3.3 % Pennsylvania 3.1 % 2.8 % Washington 3.0 % 3.2 % Other U.S. 29.7 % 29.0 % 100.0 % 100.0 % New Residential has exercised its call rights with respect to the following Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO assets contained in such trusts prior to their termination. In certain cases, New Residential sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, New Residential received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. The following table summarizes these transactions which occurred in 2016 (dollars in millions). Securities Owned Prior Assets Acquired Loans Sold (C) Retained Bonds Retained Assets (C) Date of Call (A) Number of Trusts Called Face Amount Amortized Cost Basis Loan UPB Loan Price (B) REO & Other Price (B) UPB Gain (Loss) Basis Type Loan UPB Loan Price REO & Other Price December 23, 2015 14 $ 61.4 $ 48.0 $ 309.1 $ 315.1 $ 3.1 $ 261.3 $ 2.2 $ 36.6 Various $ 35.8 $ 26.6 $ 2.9 March 25, 2016 13 58.4 41.0 167.2 173.3 3.1 N/A (C) N/A (C) N/A (C) N/A (C) 65.0 61.8 3.4 May 25, 2016 12 60.0 44.0 290.6 298.7 0.6 306.9 (3.5 ) 40.0 Various 85.9 78.2 1.1 August 25, 2016 11 6.2 1.4 312.3 319.2 1.7 308.0 8.1 45.7 Various 45.6 41.1 2.3 (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call. (B) Price includes par amount paid for all underlying mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights. (C) Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The securitization that occurred in March 2016 primarily included loans from the December 23, 2015 call, but also included previously acquired loans. The retained assets disclosed for the December 23, 2015 call are net of the related loans sold in the March 2016 securitization. The securitization that occurred in May 2016 primarily included loans from the March 25, 2016 and May 25, 2016 calls. The retained assets disclosed for the March 25, 2016 call are net of the related loans sold in the May 2016 securitization. The securitization that occurred in September 2016 primarily included loans from the August 25, 2016 call, but also included $42.2 million of previously acquired loans. Loans Held-for-Investment (Non-PCD) Activities related to the carrying value of residential mortgage loans held-for-investment were as follows: Reverse Mortgage Loans Performing Loans Balance at December 31, 2015 $ 19,560 $ 19,964 Purchases/additional fundings 319 — Proceeds from repayments (1,352 ) (811 ) Accretion of loan discount (premium) and other amortization (A) 2,002 123 Provision for loan losses (73 ) (4 ) Transfer of loans to other assets (B) (4,203 ) — Sales (1,795 ) — Transfer of loans to held-for-sale (C) (14,458 ) (19,272 ) Balance at September 30, 2016 $ — $ — (A) Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets. (B) Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Reverse Mortgage Loans Performing Loans Balance at December 31, 2015 $ 1,553 $ 119 Provision for loan losses (A) 73 4 Charge-offs (B) — — Sales (171 ) — Transfer of loans to held-for-sale (C) (1,455 ) (123 ) Balance at September 30, 2016 $ — $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Purchased Credit Deteriorated Loans New Residential determined at acquisition that the PCD loans acquired would be aggregated into pools based on common risk characteristics (FICO score, delinquency status, collateral type, loan-to-value ratio). Loans aggregated into pools are accounted for as if each pool were a single loan with a single composite interest rate and an aggregate expectation of cash flows, including consideration of involuntary prepayments. Activities related to the carrying value of PCD loans held-for-investment were as follows: Balance at December 31, 2015 $ 290,654 Purchases/additional fundings — Sales — Proceeds from repayments (8,897 ) Accretion of loan discount and other amortization 8,295 Transfer of loans to real estate owned (7,583 ) Transfer of loans to held-for-sale (282,469 ) Balance at September 30, 2016 $ — New Residential did not acquire any PCD loans during the nine months ended September 30, 2016 . The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value September 30, 2016 $ — $ — December 31, 2015 $ 450,229 $ 290,654 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2015 $ 71,063 Additions — Accretion (8,876 ) Reclassifications from non-accretable difference (A) 29,569 Disposals (B) (2,680 ) Transfer of loans to held-for-sale (C) (89,076 ) Balance at September 30, 2016 $ — (A) Represents a probable and significant increase in cash flows previously expected to be uncollectible. (B) Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Loans Held-for-Sale Activities related to the carrying value of loans held-for-sale were as follows: For the Loans Held-for-Sale Balance at December 31, 2015 $ 776,681 Purchases (A) 788,824 Transfer of loans from held-for-investment (B) 316,199 Sales (915,361 ) Transfer of loans to other assets (C) (148,243 ) Transfer of loans to real estate owned (39,558 ) Proceeds from repayments (75,329 ) Valuation (provision) reversal on loans (D) 2,268 Balance at September 30, 2016 $ 705,481 (A) Represents loans acquired with the intent to sell. (B) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. (C) Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (D) Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including $2.6 million and $3.6 million of provision related to the call transactions executed on March 25, 2016 and May 25, 2016 , respectively. Real estate owned (REO) New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value. Real Estate Owned Balance at December 31, 2015 $ 50,574 Purchases 8,123 Transfer of loans to real estate owned 62,057 Sales (46,748 ) Valuation provision on REO (13,547 ) Balance at September 30, 2016 $ 60,459 As of September 30, 2016 , New Residential had non-performing residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $368.2 million . In addition, New Residential has recognized $63.2 million in unpaid claims receivable from FHA on Ginnie Mae early buy-out (“EBO”) loans and reverse mortgage loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim. |
INVESTMENTS IN CONSUMER LOANS
INVESTMENTS IN CONSUMER LOANS | 9 Months Ended |
Sep. 30, 2016 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
INVESTMENTS IN CONSUMER LOANS | INVESTMENTS IN CONSUMER LOANS In April 2013, New Residential completed, through newly formed limited liability companies (together, the “Consumer Loan Companies”), a co-investment in a portfolio of consumer loans. The portfolio included 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 acquired 30% membership interests in each of the Consumer Loan Companies. Of the remaining 70% of the membership interests, OneMain acquired 47% and funds managed by Blackstone Tactical Opportunities Advisors L.L.C. acquired 23% . OneMain acted as the managing member of the Consumer Loan Companies. The Consumer Loan Companies initially financed approximately 73% of the original purchase price with asset-backed notes. In September 2013, the Consumer Loan Companies issued and sold additional asset-backed notes that were subordinate to the 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, OneMain became the servicer of the loans and provides all servicing and advancing functions for the portfolio. On October 3, 2014, the Consumer Loan Companies refinanced the outstanding asset-backed notes with an asset-backed securitization. The proceeds in excess of the refinanced debt were distributed to the respective co-investors, which reduced New Residential’s basis in the consumer loans investment to $0.0 million and resulted in a gain. Subsequent to this refinancing, New Residential discontinued recording its share of the underlying earnings of the Consumer Loan Companies. During the three months ended March 31, 2016, the Consumer Loan Companies distributed $9.9 million to New Residential in excess of its basis, resulting in corresponding gains, including $0.03 million in tax withholding payments on behalf of New Residential. The tax withholding payments were considered a non-cash distribution. On March 31, 2016, New Residential entered into the SpringCastle Transaction (Note 1). As a result, New Residential owns 53.5% of, and consolidates, the Consumer Loan Companies. In August 2016, New Residential agreed to purchase up to $140.0 million UPB of newly originated consumer loans from a third party prior to September 30, 2016. New Residential purchased $92.6 million UPB of loans through September 30, 2016 , for an aggregate purchase price, including related costs, of $92.1 million . In October 2016, New Residential extended the terms of the agreement through October 2016 and purchased an additional $34.3 million UPB of loans for an aggregate purchase price of $34.2 million . These loans are not held in the Consumer Loan Companies and have been designated as performing consumer loans, held-for-investment. Upon acquisition, the consumer loans are accounted for based on New Residential’s strategy for the loan, and on whether the loan was credit impaired at the date of acquisition. New Residential determined that it has the intent and ability to hold the consumer loans for the foreseeable future and accounts for consumer loans based on the following categories: • Loans Held-for-Investment: ◦ Performing Loans ◦ PCD Loans The following table summarizes the investment in consumer loans, held-for-investment held by New Residential: Unpaid Principal Balance (A) Interest in Consumer Loans Carrying Value Weighted Average Coupon (B) Weighted Average Expected Life (Years) (C) Weighted Average Delinquency (D) September 30, 2016 Consumer Loan Companies Performing Loans $ 1,345,573 53.5 % $ 1,391,388 18.7 % 4.3 5.7 % Purchased Credit Deteriorated Loans (E) 396,462 53.5 % 339,916 16.6 % 3.6 13.2 % Other - Performing Loans 91,523 100.0 % 90,675 14.3 % 1.5 — % Total Consumer Loans, held-for-investment $ 1,833,558 $ 1,821,979 18.1 % 4.0 7.0 % December 31, 2015 (F) Consumer Loan Companies Total Consumer Loans, held-for-investment $ 2,094,904 30.0 % $ 1,698,130 18.2 % 4.4 7.2 % (A) Represents the balances as of September 30, 2016 and November 30, 2015, respectively. (B) Substantially all of the cash flows received on the loans held by the Consumer Loan Companies are required to be used to make payments on the notes described above. (C) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (D) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (E) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans. (F) Held through an equity method investee, which had a carrying value of zero, at such time. Performing Loans The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses: September 30, 2016 Days Past Due Delinquency Status (A) Current 94.7 % 30-59 2.2 % 60-89 1.2 % 90-119 (B) 0.7 % 120+ (B) (C) 1.2 % 100.0 % (A) Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans more than 90 days past due and still accruing interest. (C) Interest is accrued up to the date of charge-off at 180 days past due. Activities related to the carrying value of performing consumer loans, held-for-investment were as follows: Performing Loans Balance at December 31, 2015 $ — SpringCastle Transaction 1,539,569 Purchases 92,069 Additional fundings (A) 33,137 Proceeds from repayments (155,388 ) Accretion of loan discount and premium amortization, net 5,097 Net charge-offs (30,535 ) Provision for loan losses (1,886 ) Balance at September 30, 2016 $ 1,482,063 (A) Represents draws on consumer loans with revolving privileges. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at March 31, 2016 $ — $ — $ — Provision for loan losses 31,382 1,039 32,421 Net charge-offs (C) (30,535 ) — (30,535 ) Balance at September 30, 2016 $ 847 $ 1,039 $ 1,886 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $0.9 million for newly originated loans acquired during the three months ended September 30, 2016 . (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of September 30, 2016 , there are $3.6 million in UPB and $2.5 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $5.6 million in recoveries of previously charged-off UPB. Purchased Credit Deteriorated Loans New Residential determined at acquisition that the PCD loans would be aggregated into pools based on common risk characteristics including delinquency status and loan terms. Loans aggregated into pools are accounted for as if each pool were a single loan with a single composite interest rate and an aggregate expectation of cash flows, including consideration of involuntary prepayments. A portion of the consumer loans are considered PCD loans. Activities related to the carrying value of PCD consumer loans, held-for-investment were as follows: Balance at December 31, 2015 $ — SpringCastle Transaction 395,129 Allowance for Loan Losses (A) (2,115 ) Proceeds from repayments (77,899 ) Accretion of loan discount and other amortization 24,801 Balance at September 30, 2016 $ 339,916 (A) Represents the present value of cash flows expected at acquisition that are no longer expected to be collected. The following is the unpaid principal balance and carrying value for consumer loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value September 30, 2016 $ 396,462 $ 339,916 March 31, 2016 450,611 395,129 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2015 $ — SpringCastle Transaction 176,387 Accretion (24,801 ) Reclassifications from non-accretable difference (A) 24,167 Balance at September 30, 2016 $ 175,753 (A) Represents a probable and significant increase in cash flows previously expected to be uncollectible. Noncontrolling Interests Others’ interests in the equity of the Consumer Loan Companies is computed as follows at September 30, 2016 : Total Consumer Loan Companies equity $ 230,251 Others’ ownership interest 46.5 % Others’ interests in equity of consolidated subsidiary $ 107,067 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended September 30, 2016 Nine Months Ended Net Consumer Loan Companies income (loss) $ 28,655 $ 60,118 Others’ ownership interest as a percent of total 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 13,325 $ 27,955 Variable Interest Entities The Consumer Loan Companies consolidate certain entities that issued securitized debt collateralized by the consumer loans (the “Consumer Loan SPVs”). The Consumer Loan SPVs are VIEs of which the Consumer Loan Companies are the primary beneficiaries. The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of September 30, 2016 Assets Consumer loans, held-for-investment $ 1,731,304 Restricted cash 13,866 Accrued interest receivable 25,468 Total assets (A) $ 1,770,638 Liabilities Notes and bonds payable $ 1,590,387 Accounts payable and accrued expenses 1,150 Total liabilities (A) $ 1,591,537 (A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
DERIVATIVES
DERIVATIVES | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES As of September 30, 2016 , New Residential’s derivative instruments included economic hedges that were not designated as hedges for accounting purposes. New Residential uses economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. New Residential’s credit risk with respect to economic hedges is the risk of default on New Residential’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. As of September 30, 2016 , New Residential held to-be-announced forward contract positions (“TBAs”) of $2.6 billion in a short notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of set-off with the TBA counterparty. New Residential separately held TBAs of $1.4 billion in a long notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of setoff with the TBA counterparty. New Residential’s net short position in TBAs was entered into as an economic hedge in order to mitigate New Residential’s interest rate risk on certain specified mortgage backed securities. As part of executing these trades, New Residential has entered into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. New Residential has fulfilled all obligations and requirements entered into under these agreements. New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location September 30, 2016 December 31, 2015 Derivative assets Interest Rate Caps Other assets $ 2,088 $ 2,689 $ 2,088 $ 2,689 Derivative liabilities TBAs Accrued expenses and other liabilities $ 3,461 $ 2,058 Interest Rate Swaps Accrued expenses and other liabilities 20,624 11,385 $ 24,085 $ 13,443 The following table summarizes notional amounts related to derivatives: September 30, 2016 December 31, 2015 TBAs, short position (A) $ 2,645,300 $ 1,450,000 TBAs, long position (A) 1,441,000 750,000 Interest Rate Caps (B) 2,435,000 3,400,000 Interest Rate Swaps, short positions (C) 2,044,000 2,444,000 (A) Represents the notional amount of Agency RMBS, classified as derivatives. (B) Caps LIBOR at 0.50% for $950.0 million of notional, at 0.75% for $1,150.0 million of notional, at 2.00% for $185.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2016 was 12 months. (C) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2016 was 19 months and the weighted average fixed pay rate was 1.28% . The following table summarizes all income (losses) recorded in relation to derivatives: For the For the 2016 2015 2016 2015 Other income (loss), net (A) TBAs $ 10,502 $ 2,054 $ (22 ) $ 254 Interest Rate Swaps 15,997 (10,221 ) (4,799 ) (15,310 ) Interest Rate Caps 463 (999 ) (3,683 ) (2,369 ) 26,962 (9,166 ) (8,504 ) (17,425 ) Gain (loss) on settlement of investments, net TBAs (15,922 ) (33,398 ) (55,159 ) (36,902 ) Interest Rate Caps — (545 ) (1,124 ) (545 ) Interest Rate Swaps (8,917 ) (10,536 ) (14,024 ) (15,853 ) (24,839 ) (44,479 ) (70,307 ) (53,300 ) Total income (losses) $ 2,123 $ (53,645 ) $ (78,811 ) $ (70,725 ) (A) Represents unrealized gains (losses). |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table presents certain information regarding New Residential’s debt obligations: September 30, 2016 December 31, 2015 Collateral Debt Obligations/Collateral Month Issued Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Repurchase Agreements (C) Agency RMBS (D) Various $ 1,614,256 $ 1,614,256 Oct-16 to Dec-16 0.70 % 0.1 $ 1,591,692 $ 1,684,858 $ 1,680,197 0.5 $ 1,683,305 Non-Agency RMBS (E) Various 2,622,466 2,622,466 Oct-16 to Mar-17 2.24 % 0.1 6,312,788 3,396,357 3,502,317 7.0 1,333,852 Residential Mortgage Loans (F) Various 556,538 554,991 Oct-16 to Sep-18 3.01 % 0.5 882,312 685,345 682,916 3.0 907,993 Real Estate Owned (G)(H) Various 85,403 85,163 Oct-16 to Sep-18 3.09 % 0.4 N/A N/A 108,051 N/A 77,458 Consumer Loan Investment (I) Apr-15 53,068 53,068 Oct-16 5.61 % 0.1 N/A N/A 123,184 4.1 40,446 Total Repurchase Agreements 4,931,731 4,929,944 1.87 % 0.1 4,043,054 Notes and Bonds Payable Secured Corporate Notes (J) Various 270,511 268,290 Apr-18 to Jun-19 5.28 % 1.8 247,538,861 801,924 940,117 5.9 182,978 Servicer Advances (K) Various 5,907,803 5,897,747 Mar-17 to Jun-19 3.52 % 1.0 6,017,968 6,012,315 6,043,369 4.5 7,047,061 Residential Mortgage Loans (L) Oct-15 9,789 9,614 Oct-16 3.39 % 0.1 14,243 8,086 8,086 4.5 19,529 Consumer Loans (M) (N) Various 1,659,453 1,654,129 Sep-19 to Apr-34 4.31 % 3.1 1,822,593 1,812,730 1,811,115 4.0 — Receivable from government agency (L) Oct-15 3,429 3,429 Oct-16 3.39 % 0.1 N/A N/A 4,068 N/A — Total Notes and Bonds Payable 7,850,985 7,833,209 3.74 % 1.5 7,249,568 Total/ Weighted Average $ 12,782,716 $ 12,763,153 3.02 % 1.0 $ 11,292,622 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity of October 2016 were refinanced, extended, or repaid. (C) These repurchase agreements had approximately $6.7 million of associated accrued interest payable as of September 30, 2016 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.5 billion of related trade and other receivables. (E) All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $89.2 million on retained servicer advance bonds. (F) All of these repurchase agreements have LIBOR-based floating interest rates. (G) All of these repurchase agreements have LIBOR-based floating interest rates. (H) Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. (I) The repurchase agreement bears interest equal to three-month LIBOR plus 5.00% and is collateralized by 56% of New Residential’s interest in the Consumer Loan Companies (Note 9). (J) The loans bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.75% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure these notes. (K) $2.2 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.1% to 2.2% . (L) The note is payable to Nationstar and bears interest equal to one-month LIBOR plus 2.875% . (M) Includes the debt assumed in the SpringCastle Transaction (Note 1), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties: $637.1 million UPB of Class A notes with a coupon of 2.7% and a stated maturity date in May 2023 (the “Class A Notes”); $427.0 million UPB of Class B notes with a coupon of 4.61% and a stated maturity date in October 2027 (the “Class B Notes”); $331.2 million UPB of Class C notes with a coupon of 5.59% and a stated maturity date in October 2033 (the “Class C Notes”); and $199.8 million UPB of Class D notes with a coupon of 6.82% and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) the applicable Specified Call Premium Amount (as defined below) for such 2014-A Notes, plus (iii) accrued and unpaid interest and fees in respect of such 2014-A Notes. On or after the payment date occurring in October 2016, the redemption price for any class of 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) accrued and unpaid interest and fees in respect of such 2014-A Notes. The “Specified Call Premium Amount” on any payment date for any class of 2014-A Notes shall mean (i) in the case of Class A Notes, an amount equal to 1.00% of the UPB of the Class A Notes to be redeemed and (ii) in the case of the Class B Notes, the Class C Notes and the Class D Notes, an amount equal to (a) the product of (1) with respect to the Class B Notes, 0.75% , with respect to the Class C Notes, 1.00% and with respect to the Class D Notes, 2.00% , times (2) the UPB of the 2014-A Notes of such class to be redeemed on such payment date, times (3) the number of days, computed on a 30/360 basis, from and including such payment date to but excluding the payment date occurring in October 2016, divided by (b) 360. (N) Includes a $64.3 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25% . General Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, including the Servicer Advances and Consumer Loans, such collateral is not available to other creditors of New Residential. New Residential has margin exposure on $4.9 billion of repurchase agreements as of September 30, 2016 . To the extent that the value of the collateral underlying these repurchase agreements declines, New Residential may be required to post margin, which could significantly impact its liquidity. Activities related to the carrying value of New Residential’s debt obligations were as follows: Excess MSRs Servicer Advances (A) Real Estate Securities Real Estate Loans and REO Consumer Loans Total Balance at December 31, 2015 $ 182,978 $ 7,047,061 $ 3,017,157 $ 1,004,980 $ 40,446 $ 11,292,622 Repurchase Agreements: Borrowings — — 21,719,656 326,174 21,458 22,067,288 Repayments — — (20,500,091 ) (670,333 ) (8,836 ) (21,179,260 ) Capitalized deferred financing costs, net of amortization — — — (1,138 ) — (1,138 ) Notes and Bonds Payable: Acquired borrowings, net of discount — — — — 1,803,192 1,803,192 Borrowings 401,740 5,101,227 — — 64,342 5,567,309 Repayments (315,662 ) (6,251,482 ) — (6,311 ) (212,953 ) (6,786,408 ) Discount on borrowings, net of amortization 1,420 — — — 147 1,567 Capitalized deferred financing costs, net of amortization (2,186 ) 941 — (175 ) (599 ) (2,019 ) Balance at September 30, 2016 $ 268,290 $ 5,897,747 $ 4,236,722 $ 653,197 $ 1,707,197 $ 12,763,153 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances. Excess MSRs In April 2016, New Residential entered into a $225.0 million corporate loan secured by Agency Excess MSRs. The loan bears interest equal to the sum of one-month LIBOR plus 4.75% and matures in April 2018. In June 2016, New Residential entered into a $101.2 million corporate loan secured by Non-Agency Excess MSRs with a maximum capacity of $300.0 million . The loan bears interest equal to the sum of one-month LIBOR plus 4.75% and matures in June 2019. Servicer Advances On March 31, 2016, the HSART facility was paid off and, in anticipation of such pay off, New Residential increased the capacity of, and transferred the related collateral to, various existing servicer advance financing facilities. As a result, New Residential recorded $0.1 million of loss on extinguishment of debt related to a write-off of unamortized deferred financing costs. On May 9, 2016, a Buyer facility was paid off and replaced by a new 2 -year servicer advance facility with a different lender. The maximum capacity of the new facility is $185.0 million . In May 2016, New Residential increased the capacity and extended the maturity on a $950.0 million servicer advance financing facility. On June 30, 2016, New Residential, through its wholly-owned subsidiary, NRZ Advance Receivables Trust 2016-T1, issued servicer advance backed notes consisting of $400.0 million of term notes with a maturity date of June 17, 2019, of which approximately $20.9 million was voluntarily retained. On July 15, 2016, the NRART 2015-T1 notes with principal balance of $400.0 million were repaid in full, using proceeds from the $400.0 million of term notes with a maturity date of June 17, 2019 issued on June 30, 2016. Upon such paydown, the term notes were replaced with existing capacity at the advance facility VFN with the same lender. As a result, New Residential recorded $0.2 million of loss on extinguishment of debt related to a write-off of unamortized deferred financing costs. On August 15, 2016, the NRART 2015-T3 notes with principal balance of $400.0 million were repaid in full and replaced with existing capacity at the advance facility VFN with the same lender. As a result, New Residential recorded $0.7 million of loss on extinguishment of debt related to a write-off of unamortized deferred financing costs and a redemption payment. On September 15, 2016, a Buyer VFN facility was refinanced and downsized, and the reduction in capacity of the VFN was exchanged for the same capacity through issuance of NSART-BAM Series 2016 VF-1 Class B-TF1 Mezzanine Notes. Maturities New Residential’s debt obligations as of September 30, 2016 had contractual maturities as follows: Year Nonrecourse Recourse Total October 1 through December 31, 2016 $ — $ 4,176,165 $ 4,176,165 2017 5,088,249 680,321 5,768,570 2018 501,636 247,272 748,908 2019 443,451 50,511 493,962 2020 — — — 2021 and thereafter 1,595,111 — 1,595,111 $ 7,628,447 $ 5,154,269 $ 12,782,716 Borrowing Capacity The following table represents New Residential’s borrowing capacity as of September 30, 2016 : Debt Obligations / Collateral Collateral Type Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential Mortgage Loans Real Estate Loans and REO $ 2,065,000 $ 641,941 $ 1,423,059 Notes and Bonds Payable Secured Corporate Loan Excess MSRs 525,000 270,511 254,489 Servicer Advances (A) Servicer Advances 7,274,860 5,907,803 1,367,057 Consumer Loans Consumer Loans 125,000 64,342 60,658 $ 9,989,860 $ 6,884,597 $ 3,105,263 (A) New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.2% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained non-agency bonds with a current face amount of $110.1 million . Certain of the debt obligations are subject to customary debt covenants and event of default provisions, including event of default provisions triggered by a 50% equity decline over any 12 -month period, or a 35% decline over any three -month period, as of a quarter end, and a 4 :1 indebtedness to tangible net worth provision. New Residential was in compliance with all of its debt covenants as of September 30, 2016 . |
FAIR VALUE OF FINANCIAL INSTRUM
FAIR VALUE OF FINANCIAL INSTRUMENTS | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE OF FINANCIAL INSTRUMENTS | FAIR VALUE OF FINANCIAL INSTRUMENTS The carrying values and fair values of New Residential’s financial assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of September 30, 2016 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Investments in: Excess mortgage servicing rights, at fair value (A) $ 290,291,012 $ 1,404,052 $ — $ — $ 1,404,052 $ 1,404,052 Excess mortgage servicing rights, equity method investees, at fair value (A) 63,834,062 195,904 — — 195,904 195,904 Servicer advances 6,017,968 6,043,369 — — 6,043,369 6,043,369 Real estate securities, available-for-sale 8,027,852 4,991,242 — 1,434,308 3,556,934 4,991,242 Residential mortgage loans, held-for-investment — — — — — — Residential mortgage loans, held-for-sale 927,523 705,481 — — 733,879 733,879 Consumer loans, held-for-investment 1,833,558 1,821,979 — — 1,852,118 1,852,118 Derivative assets 2,435,000 2,088 — 2,088 — 2,088 Cash and cash equivalents 388,674 388,674 388,674 — — 388,674 Restricted cash 153,127 153,127 153,127 — — 153,127 Other Assets 729,193 3,255 — — 3,255 3,255 $ 15,709,171 $ 541,801 $ 1,436,396 $ 13,789,511 $ 15,767,708 Liabilities Repurchase agreements $ 4,931,731 $ 4,929,944 $ — $ 4,931,731 $ — $ 4,931,731 Notes and bonds payable 7,850,985 7,833,209 — — 7,864,545 7,864,545 Derivative liabilities 6,130,300 24,085 — 24,085 — 24,085 $ 12,787,238 $ — $ 4,955,816 $ 7,864,545 $ 12,820,361 (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 non-performing loans in Agency portfolios. New Residential’s financial assets measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess MSRs (A) Excess MSRs in Equity Method Investees (A)(B) Agency Non-Agency Agency Servicer Advances Non-Agency RMBS Total Balance at December 31, 2015 $ 437,201 $ 1,144,316 $ 217,221 $ 7,426,794 $ 1,584,283 $ 10,809,815 Transfers (C) Transfers from Level 3 — — — — — — Transfers to Level 3 — — — — — — Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — (7,838 ) (7,838 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (7,292 ) (17,105 ) — — — (24,397 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — 8,608 — — 8,608 Included in change in fair value of investments in Servicer Advances — — — 4,328 — 4,328 Included in gain (loss) on settlement of investments, net — — — — (20,950 ) (20,950 ) Included in other income (loss), net (D) 1,930 258 — — (2,779 ) (591 ) Gains (losses) included in other comprehensive income (E) — — — — 105,031 105,031 Interest income 25,156 81,692 — 257,877 133,589 498,314 Purchases, sales and repayments Purchases — — — 11,588,537 2,298,446 13,886,983 Proceeds from sales — — — — (95,430 ) (95,430 ) Proceeds from repayments (68,231 ) (193,873 ) (29,925 ) (13,234,167 ) (437,418 ) (13,963,614 ) Balance at September 30, 2016 $ 388,764 $ 1,015,288 $ 195,904 $ 6,043,369 $ 3,556,934 $ 11,200,259 (A) Includes the recapture agreement for each respective pool. (B) Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest. (C) Transfers are assumed to occur at the beginning of each respective period. (D) 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 and realized gains (losses) recorded during the period. (E) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. Investments in Excess MSRs and Excess MSRs Equity Method Investees Valuation The following table summarizes certain information regarding the weighted average inputs used in valuing the Excess MSRs owned directly and through equity method investees as of September 30, 2016 : Significant Inputs (A) Directly Held (Note 4) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Agency Original Pools 10.6 % 3.3 % 32.5 % 21 24 Recaptured Pools 7.6 % 4.8 % 20.9 % 21 25 Recapture Agreement 7.6 % 4.9 % 20.0 % 22 — 9.8 % 3.7 % 29.2 % 21 24 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 11.9 % N/A 10.6 % 14 24 Recaptured Pools 8.1 % N/A 20.0 % 20 24 Recapture Agreement 7.5 % N/A 20.0 % 20 — Ocwen Serviced Pools 9.6 % N/A — % 14 25 10.0 % N/A 2.7 % 14 25 Total/Weighted Average--Directly Held 9.9 % 3.7 % 10.0 % 16 25 Held through Equity Method Investees (Note 5) Agency Original Pools 12.4 % 5.3 % 35.0 % 19 23 Recaptured Pools 7.8 % 5.0 % 20.0 % 23 25 Recapture Agreement 7.7 % 4.9 % 20.0 % 23 — Total/Weighted Average--Held through Investees 10.4 % 5.2 % 28.6 % 21 24 Total/Weighted Average--All Pools 10.0 % 4.0 % 13.9 % 17 25 (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer. (E) Weighted average total mortgage servicing amount in excess of the basic fee, measured in basis points (bps). (F) Weighted average maturity of the underlying mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. As of September 30, 2016 , a weighted average discount rate of 9.8% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). Investments in Servicer Advances Valuation The following table summarizes certain information regarding the inputs used in valuing the Servicer Advances: Significant Inputs Weighted Average Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) September 30, 2016 2.1 % 10.3 % 14.8 % 8.6 bps 5.4 % 24.7 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount excludes the amounts New Residential pays its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying mortgage loans in the pool. Real Estate Securities Valuation As of September 30, 2016 , 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) Single Quote (B) Total Level Agency RMBS $ 1,356,580 $ 1,437,777 $ 1,434,308 $ — $ 1,434,308 2 Non-Agency RMBS (C) 6,671,272 3,446,822 3,062,411 494,523 3,556,934 3 Total $ 8,027,852 $ 4,884,599 $ 4,496,719 $ 494,523 $ 4,991,242 (A) New Residential generally obtains pricing service quotations or broker quotations from two sources, one of which is generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does 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 it 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. New Residential 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, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. 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. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable. The third-party pricing services and brokers engaged by New Residential (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. New Residential has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, New Residential creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by New Residential, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 67.6% of our Non-Agency RMBS, the ranges of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 2,403,846 1.57% to 32.75% 0% to 20% 0.1% to 12.0% 5.0% to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) New Residential was unable to obtain quotations from more than one source on these securities. For approximately $462.7 million , the one source was the party that sold New Residential the security. (C) Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans held-for-sale and foreclosed real estate accounted for as REO, New Residential applies the lower of cost or fair value accounting and may be required, from time to time, to record a nonrecurring fair value adjustment. At September 30, 2016 , assets measured at fair value on a nonrecurring basis were $0.1 billion . The $0.1 billion includes approximately $110.4 million of residential mortgage loans held-for-sale and $38.8 million of REO. The fair value of New Residential’s mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these loans as of September 30, 2016 : September 30, 2016 Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Residential Mortgage Loans Performing Loans $ 88,474 3.1 % 3.9 17.4 % 0.6 % 11.3 % Non-performing Loans 21,895 6.5 % 3.2 3.0 % 3.0 % 30.0 % Total/Weighted Average $ 110,369 3.8 % 3.8 14.5 % 15.0 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. The fair value of REO is estimated using a broker’s price opinion discounted based upon New Residential’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10% to 25% , depending on the information available to the broker. The total change in the recorded value of assets for which a fair value adjustment was included in the Condensed Consolidated Statement of Income for the nine months ended September 30, 2016 was an increase in the net valuation allowance of approximately $11.4 million , consisting of a $13.6 million increase in the net valuation allowance for REO, offset by a reversal of prior valuation allowance of $2.2 million for residential mortgage loans held-for-sale. Loans for Which Fair Value is Only Disclosed The following table summarizes the inputs used in valuing certain loans as of September 30, 2016 : Carrying Value Fair Value Valuation and Loss Provision/ (Reversal) In Current Year Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Reverse Mortgage Loans (D) $ 11,836 $ 13,707 $ 73 7.0 % 4.5 N/A N/A 10.8 % Performing Loans 18,693 18,909 4 8.0 % 5.3 5.4 % 2.4 % 59.3 % Non-performing Loans 564,583 590,894 N/A 7.4 % 2.8 2.4 % 3.0 % 30.0 % Total/Weighted Average $ 595,112 $ 623,510 $ 77 7.4 % 2.9 30.5 % Consumer Loans $ 1,821,979 $ 1,852,118 $ 4,001 9.3 % 4.0 15.2 % 5.5 % 88.0 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. (D) Carrying value and fair value represent a 70% participation interest New Residential holds in the portfolio of reverse mortgage loans. Derivative Valuation New Residential enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. New Residential generally values such derivatives using quotations, similarly to the method of valuation used for New Residential’s other assets that are categorized as Level 2. Liabilities for Which Fair Value is Only Disclosed Repurchase agreements and notes and bonds payable are not measured at fair value. They are generally considered to be Level 2 and Level 3 in the valuation hierarchy, respectively, with significant valuation variables including the amount and timing of expected cash flows, interest rates and collateral funding spreads. Short-term repurchase agreements and short-term notes and bonds payable have an estimated fair value equal to their carrying value due to their short duration and generally floating interest rates. Longer-term notes and bonds payable are valued based on internal models utilizing both observable and unobservable inputs. The debt assumed in the SpringCastle Transaction (Notes 1 and 11) was recorded at its fair value of $1.8 billion on March 31, 2016. The fair value was estimated based on a discounted cash flow model using both observable and unobservable inputs to estimate the amount and timing of expected cash flows, interest rates and collateral funding spreads and, therefore, was categorized within Level 3 of the fair value hierarchy. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 9 Months Ended |
Sep. 30, 2016 | |
Equity and Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends On December 10, 2015, New Residential’s Board of Directors declared a fourth quarter 2015 dividend of $0.46 per common share or $106.0 million , which was paid on January 29, 2016 to stockholders of record as of December 31, 2015. On March 22, 2016, New Residential’s Board of Directors declared a first quarter 2016 dividend of $0.46 per common share or $106.0 million , which was paid on April 29, 2016 to stockholders of record as of April 4, 2016. On June 27, 2016, New Residential’s Board of Directors declared a second quarter 2016 dividend of $0.46 per common share or $106.0 million , which was paid on July 29, 2016 to stockholders of record as of July 7, 2016. On September 23 , 2016, New Residential’s Board of Directors declared a third quarter 2016 dividend of $0.46 per common share or $115.4 million , which was paid on October 28, 2016 to stockholders of record as of October 3, 2016 . On January 19, 2016, New Residential announced that its Board of Directors had authorized the repurchase of up to $200.0 million of its common stock over the next 12 months. Repurchases may be made at any time and from time to time through open market purchases or privately negotiated transactions, pursuant to one or more plans established pursuant to Rule 10b5-1 under the Exchange Act, by means of one or more tender offers, or otherwise, in each case, as permitted by securities laws and other legal and contractual requirements. The amount and timing of the purchases, if any, will depend on a number of factors including the price and availability of New Residential’s shares, trading volume, capital availability, New Residential’s performance and general economic and market conditions. The share repurchase program may be suspended or discontinued at any time. No share repurchases have been made as of the date of issuance of these condensed consolidated financial statements. Repurchases may impact New Residential’s financial results, including fees paid to its Manager. In August 2016, New Residential issued 20.0 million shares of its common stock in a public offering at a price to the public of $14.20 per share for net proceeds of approximately $278.8 million . To compensate the Manager for its successful efforts in raising capital for New Residential, in connection with this offering, New Residential granted options to the Manager relating to 2.0 million shares of New Residential’s common stock at the public offering price, which had a fair value of approximately $2.3 million as of the grant date. The assumptions used in valuing the options were: a 1.45% risk-free rate, a 11.80% dividend yield, 27.57% volatility and a 10 -year term. In August 2016, employees of the Manager exercised an aggregate of 1,100,497 options with a weighted average exercise price of $10.59 per share. Upon exercise, 280,111 shares of common stock of New Residential were issued. Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, and its principals at September 30, 2016 . Option Plan As of September 30, 2016 , New Residential’s outstanding options were summarized as follows: Issued Prior to 2011 Issued in 2011-2016 Total Held by the Manager 345,720 10,874,152 11,219,872 Issued to the Manager and subsequently transferred to certain of the Manager’s employees 88,280 1,967,458 2,055,738 Issued to the independent directors — 6,000 6,000 Total 434,000 12,847,610 13,281,610 The following table summarizes New Residential’s outstanding options as of September 30, 2016 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended September 30, 2016 was $13.81 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of September 30, 2016 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of September 30, 2016 (millions) Directors Various 6,000 6,000 $ 13.60 $ — Manager (C) 2003 - 2007 434,000 434,000 31.36 — Manager (C) 2011 - 2012 25,000 25,000 7.19 0.2 Manager (C) 2013 835,571 835,571 11.48 2.0 Manager (C) 2014 1,437,500 1,389,583 12.20 2.2 Manager (C) 2015 8,543,539 4,655,103 15.44 — Manager (C) 2016 2,000,000 66,667 14.20 — Outstanding 13,281,610 7,411,924 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Manager assigned certain of its options to Fortress’s employees as follows: Date of Grant Range of Exercise Prices Total Unexercised Inception to Date 2006-2007 $29.92 to $33.80 88,280 2013 $10.24 to $11.48 — 2014 $12.20 258,750 2015 $15.25 to $15.88 1,708,708 2016 $13.65 to $14.20 — Total 2,055,738 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2015 outstanding options 12,380,107 Options granted 2,002,000 $ 14.20 Options exercised (1,100,497 ) $ 10.59 Options expired unexercised — September 30, 2016 outstanding options 13,281,610 See table above Income and Earnings Per Share 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 options. During the three and nine months ended September 30, 2016 , based on the treasury stock method, New Residential had 497,690 and 309,544 dilutive common stock equivalents outstanding. During the three and nine months ended September 30, 2015 , based on the treasury stock method, New Residential had 759,667 and 2,821,758 dilutive common stock equivalents outstanding. Noncontrolling Interests Noncontrolling interests is comprised of the interests held by third parties in consolidated entities that hold New Residential’s investments in Servicer Advances (Note 6) and Consumer Loans (Note 9), as well as HLSS for the period of April 6, 2015 through October 23, 2015. |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES Litigation – Following the HLSS Acquisition (see Note 1 for related defined terms), material potential claims, lawsuits, regulatory inquiries or investigations, and other proceedings, of which New Residential is currently aware, are as follows. New Residential has not accrued losses in connection with these legal contingencies because it does not believe there is a probable and reasonably estimable loss. Furthermore, New Residential cannot reasonably estimate the range of potential loss related to these legal contingencies at this time. However, the ultimate outcome of the proceedings described below may have a material adverse effect on New Residential’s business, financial position or results of operations. In addition to the matters described below, from time to time, New Residential is or may be involved in various disputes, litigation and regulatory inquiry and investigation matters that arise in the ordinary course of business. Given the inherent unpredictability of these types of proceedings, it is possible that future adverse outcomes could have a material adverse effect on its financial results. New Residential is not aware of any unasserted claims that it believes are material and probable of assertion where the risk of loss is expected to be reasonably possible. Three putative class action lawsuits have been filed against HLSS and certain of its current and former officers and directors in the United States District Court for the Southern District of New York entitled: (i) Oliveira v. Home Loan Servicing Solutions, Ltd., et al. , No. 15-CV-652 (S.D.N.Y.), filed on January 29, 2015; (ii) Berglan v. Home Loan Servicing Solutions, Ltd., et al. , No. 15-CV-947 (S.D.N.Y.), filed on February 9, 2015; and (iii) W. Palm Beach Police Pension Fund v. Home Loan Servicing Solutions, Ltd., et al. , No. 15-CV-1063 (S.D.N.Y.), filed on February 13, 2015. On April 2, 2015, these lawsuits were consolidated into a single action, which is referred to as the “Securities Action.” On April 28, 2015, lead plaintiffs, lead counsel and liaison counsel were appointed in the Securities Action. On November 9, 2015, lead plaintiffs filed an amended class action complaint. On January 27, 2016, the Securities Action was transferred to the United States District Court for the Southern District of Florida and given the Index No. 16-CV-60165 (S.D. Fla.). The Securities Action names as defendants HLSS, former HLSS Chairman William C. Erbey, HLSS Director, President, and Chief Executive Officer John P. Van Vlack, and HLSS Chief Financial Officer James E. Lauter. The Securities Action asserts causes of action under Sections 10(b) and 20(a) of the Exchange Act based on certain public disclosures made by HLSS relating to its relationship with Ocwen and HLSS’s risk management and internal controls. More specifically, the consolidated class action complaint alleges that a series of statements in HLSS’s disclosures were materially false and misleading, including statements about (i) Ocwen’s servicing capabilities; (ii) HLSS’s contingencies and legal proceedings; (iii) its risk management and internal controls; and (iv) certain related party transactions. The consolidated class action complaint also appears to allege that HLSS’s financial statements for the years ended 2012 and 2013, and the first quarter ended March 30, 2014, were false and misleading based on HLSS’s August 18, 2014 restatement. Lead plaintiffs in the Securities Action also allege that HLSS misled investors by failing to disclose, among other things, information regarding governmental investigations of Ocwen’s business practices. Lead plaintiffs seek money damages under the Exchange Act in an amount to be proven at trial and reasonable costs, expenses, and fees. On February 11, 2015, defendants filed motions to dismiss the Securities Action in its entirety. On June 6, 2016, all allegations except those regarding certain related party transactions were dismissed. New Residential intends to vigorously defend the Securities Action. Three shareholder derivative actions have been filed in the United States District Court for the Southern District of Florida purportedly on behalf of Ocwen: (i) Sokolowski v. Erbey, et al. , No. 14-CV-81601 (S.D. Fla.) (the “Sokolowski Action”); (ii) Hutt v. Erbey, et al., No. 15-CV-81709 (S.D. Fla.) (the “Hutt Action”); and (iii) Lowinger v. Erbey, et al. , No. 15-CV-62628 (S.D. Fla.) (the “Lowinger Action”). On November 9, 2015, HLSS filed a motion to dismiss the Sokolowski Action. While that motion was pending, the Hutt Action, which at the time did not name HLSS as a defendant, was transferred from the Northern District of Georgia to the Southern District of Florida and the Lowinger Action, which at the time also did not name HLSS as a defendant, was filed. On January 8, 2016, the court consolidated the three actions and denied HLSS’s motion to dismiss the Sokolowski complaint as moot and without prejudice to re-file a new motion to dismiss following the filing of a consolidated complaint. On March 8, 2016, plaintiffs filed their consolidated complaint. The consolidated complaint alleges, among other things, that certain of Ocwen’s current and former directors and officers, including former HLSS Chairman William C. Erbey, breached their fiduciary duties to Ocwen by, among other things, causing Ocwen to enter into transactions that were harmful to Ocwen. The complaint further alleges that HLSS and others aided and abetted the alleged breaches of fiduciary duty by Mr. Erbey and the other directors and officers of Ocwen who have been named as defendants. The consolidated complaint also asserts causes of action against HLSS and others for unjust enrichment and for contribution. The lawsuit seeks money damages from HLSS in an amount to be proven at trial. On May 13, 2016, HLSS filed a motion to dismiss the consolidated complaint pursuant to Federal Rules of Civil Procedure 12(b)(6) and 23.1. On October 18, 2016, plaintiffs filed a settlement term sheet with the court outlining an agreement in principle that plaintiffs have reached with Ocwen which would resolve the lawsuit and result in a with prejudice dismissal and releases for all defendants, including HLSS and New Residential. Neither HLSS nor New Residential is required to make any settlement payment. The proposed settlement is subject to court approval following notice of the settlement to Ocwen’s shareholders and a final settlement hearing. One shareholder derivative action has been filed in Florida state court in the Circuit Court of the Fifteenth Judicial Circuit in and for Palm Beach County, Florida purportedly on behalf of Ocwen: Moncavage v. Faris, et al. , No. 2015CA003244 (Fla. Palm Beach Cty. Ct.). The complaint alleges, among other things, that certain current and former Ocwen directors and officers breached their fiduciary duties to Ocwen. The complaint also alleged that HLSS and others aided and abetted the alleged breaches of fiduciary duty. The lawsuit seeks money damages from HLSS in an amount to be proved at trial. On November 9, 2015, the court entered an order staying all proceedings in the case pending further order of the Court. HLSS has not been served. If the litigation proceeds, New Residential intends to vigorously defend the lawsuit. On March 11, 2015, plaintiff David Rattner filed a shareholder derivative action purportedly on behalf of HLSS entitled Rattner v. Van Vlack, et al. , No. 2015CA002833 (Fla. Palm Beach Cty. Ct.) (the “HLSS Derivative Action”). The lawsuit names as defendants HLSS directors John P. Van Vlack, Robert J. McGinnis, Kerry Kennedy, Richard J. Lochrie, and David B. Reiner (collectively, the “Director Defendants”), New Residential Investment Corp., and Hexagon Merger Sub, Ltd. The HLSS Derivative Action alleges that the Director Defendants breached their fiduciary duties of due care, diligence, loyalty, honesty and good faith and the duty to act in the best interests of HLSS under Cayman law and claims that the Director Defendants approved a proposed merger with New Residential Investment Corp. that (i) provided inadequate consideration to HLSS’s shareholders, (ii) included unfair deal protection devices, and (iii) was the result of an inadequate process due to conflicts of interest. On July 8, 2015, the complaint was voluntarily dismissed without prejudice. New Residential is, from time to time, subject to inquiries by government entities. New Residential currently does not believe any of these inquiries would result in a material adverse effect on New Residential’s business. 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, 2016 , New Residential had outstanding capital commitments related to investments in the following investment types (also refer to Notes 9 and 18 for additional capital commitments entered into subsequent to September 30, 2016 , if any): Servicer Advances — New Residential and third-party co-investors agreed to purchase future Servicer Advances related to Non-Agency mortgage loans. The actual amount of future advances purchased will be based on: (a) the credit and prepayment performance of the underlying loans, (b) the amount of advances recoverable prior to liquidation of the related collateral and (c) the percentage of the loans with respect to which no additional advance obligations are made. The actual amount of future advances is subject to significant uncertainty. See Note 6 for information on New Residential’s investments in Servicer Advances. Residential Mortgage Loans — As part of its investment in residential mortgage loans, New Residential may be required to outlay capital. These capital outflows primarily consist of advance escrow and tax payments, residential maintenance and property disposition fees. The actual amount of these outflows is subject to significant uncertainty. See Note 8 for information on New Residential’s investments in residential mortgage loans. Environmental Costs — As a residential real estate owner through its REO, New Residential is subject to potential environmental costs. At September 30, 2016 , New Residential is not aware of any environmental concerns that would have a material adverse effect on its consolidated financial position or results of operations. Debt Covenants — New Residential’s debt obligations contain various customary debt covenants (Note 11). Certain Tax-Related Covenants — If New Residential is treated as a successor to Newcastle under applicable U.S. federal income tax rules, and if Newcastle failed to qualify as a REIT for a taxable year ending on or before December 31, 2014, New Residential could be prohibited from electing to be a REIT. Accordingly, , in the separation and distribution agreement executed in connection with our spin-off from Newcastle, Newcastle (i) represented that it had no knowledge of any fact or circumstance that would cause New Residential to fail to qualify as a REIT, (ii) covenanted to use commercially reasonable efforts to cooperate with New Residential as necessary to enable New Residential to qualify for taxation as a REIT and receive customary legal opinions concerning REIT status, including providing information and representations to New Residential and its tax counsel with respect to the composition of Newcastle’s income and assets, the composition of its stockholders, and its operation as a REIT; and (iii) covenanted to use its reasonable best efforts to maintain its REIT status for each of Newcastle’s taxable years ending on or before December 31, 2014 (unless Newcastle obtains an opinion from a nationally recognized tax counsel or a private letter ruling from the U.S. Internal Revenue Service (the “IRS”) to the effect that Newcastle’s failure to maintain its REIT status will not cause New Residential to fail to qualify as a REIT under the successor REIT rule referred to above). Additionally, New Residential covenanted to use its reasonable best efforts to qualify for taxation as a REIT for its taxable year ended December 31, 2013. |
TRANSACTIONS WITH AFFILIATES AN
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 9 Months Ended |
Sep. 30, 2016 | |
Transactions With Affiliates And Affiliated Entities | |
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES New Residential is party to a Management Agreement with its Manager which provides for automatically renewing one -year terms subject to certain termination rights. The Manager’s performance is reviewed annually and the Management Agreement may be terminated by New Residential by payment of a termination fee, as defined in the Management Agreement, equal to the amount of management fees earned by the Manager during the 12 consecutive calendar months immediately preceding the termination, upon the affirmative vote of at least two-thirds of the independent directors, or by a majority vote of the holders of common stock. 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 an 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 date of the spin-off (Note 13), 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, excluding funds from operations from investments in the Consumer Loan Companies and any unrealized gains or losses from mark-to-market valuation changes on investments and debt (and any deferred tax impact thereof), per share of common stock, 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 No. 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, plus earnings (or losses) from equity method investees invested in Excess MSRs as if such equity method investees had not made a fair value election, plus gains (or losses) from debt restructuring and gains (or losses) from sales of property, and plus non-routine items, minus amortization of non-routine items, in each case 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 affiliates is comprised of the following amounts: September 30, 2016 December 31, 2015 Management fees $ 3,688 $ 6,671 Incentive compensation 13,200 16,017 Expense reimbursements and other 1,722 1,097 $ 18,610 $ 23,785 Affiliate expenses and fees were comprised of: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Management fees $ 10,536 $ 9,860 $ 30,552 $ 23,357 Incentive compensation 7,075 1,811 13,200 7,895 Expense reimbursements (A) 125 125 375 375 Total $ 17,736 $ 11,796 $ 44,127 $ 31,627 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. See Notes 4, 5, 6, 7, 8, 11, 14 and 18 for a discussion of transactions with Nationstar. As of September 30, 2016 , 63.8% and 34.0% of the UPB of the loans underlying New Residential’s investments in Excess MSRs and Servicer Advances, respectively, was serviced or master serviced by Nationstar. As of September 30, 2016 , a total face amount of $4.1 billion of New Residential’s Non-Agency RMBS portfolio and approximately $28.5 million of New Residential’s Agency RMBS portfolio was serviced or master serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced Non-Agency RMBS was approximately $14.2 billion as of September 30, 2016 . New Residential holds a limited right to cleanup call options with respect to certain securitization trusts serviced or master serviced by Nationstar whereby, when the outstanding balance of the underlying mortgage loans falls below a pre-determined threshold, it can effectively purchase the underlying mortgage loans at par, plus unreimbursed servicer advances, resulting in the repayment of all of the outstanding securitization financing at par, in exchange for a fee of 0.75% of UPB paid to Nationstar at the time of exercise. In connection with New Residential’s exercise of certain of these call rights, and certain other call rights acquired by New Residential in connection with the SLS Transaction, in 2014 and 2015, New Residential has made, and expects to continue to make, payments to funds managed by an affiliate of Fortress in respect of Excess MSRs held by the funds affected by the exercise of the call rights (“MSR Fund Payments”). During 2016, New Residential accrued for MSR Fund Payments in an aggregate amount of approximately $0.3 million . New Residential continues to evaluate the call rights it purchased from Nationstar, and its ability to exercise such rights and realize the benefits therefrom are subject to a number of risks. The actual UPB of the mortgage loans on which New Residential can successfully exercise call rights and realize the benefits therefrom may differ materially from its initial assumptions. As of September 30, 2016 , $534.7 million UPB of New Residential’s residential mortgage loans and $28.3 million of New Residential’s REO were being serviced or master serviced by Nationstar. Additionally, in the ordinary course of business, New Residential engages Nationstar to administer the termination of securitization trusts that it collapses pursuant to its call rights. As a result of these relationships, New Residential routinely has receivables from, and payables to, Nationstar, which are included in Other Assets and Accrued Expenses and Other Liabilities, respectively. See Notes 1 and 9 for a discussion of a transaction with OneMain and Note 5 regarding co-investments with Fortress-managed funds. |
RECLASSIFICATION FROM ACCUMULAT
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: Accumulated Other Comprehensive Income Components Statement of Income Location Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Reclassification of net realized (gain) loss on securities into earnings Gain on settlement of investments, net $ 679 $ (24,454 ) $ (15,072 ) $ (31,230 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 1,765 1,574 7,838 3,294 Total reclassifications $ 2,444 $ (22,880 ) $ (7,234 ) $ (27,936 ) New Residential did not allocate any income tax expense or benefit to any component of other comprehensive income for any period presented, as no taxable subsidiary generated other comprehensive income. |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Current: Federal $ 3,290 $ 505 $ 4,561 $ 1,135 State and Local 478 (982 ) 636 (2,073 ) Total Current Income Tax Expense (Benefit) 3,768 (477 ) 5,197 (938 ) Deferred: Federal 16,375 (3,193 ) 12,575 8,764 State and Local 757 (2,262 ) 423 (2,879 ) Total Deferred Income Tax Expense (Benefit) 17,132 (5,455 ) 12,998 5,885 Total Income Tax Expense (Benefit) $ 20,900 $ (5,932 ) $ 18,195 $ 4,947 New Residential intends to qualify as a REIT for each of its tax years through December 31, 2016 . 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 operates various securitization vehicles and has made certain investments, particularly its investments in Servicer Advances (Note 6) and REO (Note 8), through taxable REIT subsidiaries (“TRSs”) that are subject to regular corporate income taxes which have been provided for in the provision for income taxes, as applicable. New Residential and its subsidiaries file income tax returns with the U.S. federal government and various state and local jurisdictions beginning with the tax year ending December 31, 2013. Generally, these income tax returns will be subject to tax examinations by tax authorities for a period of three years after the date of filing. New Residential has recorded a net deferred tax asset of approximately $172.5 million as of September 30, 2016 , primarily related to basis differences in all servicer advances held by New Residential’s TRSs and related net operating loss carry forwards. In assessing the realizability of deferred tax assets, management considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which temporary differences become deductible. As of September 30, 2016 , New Residential recorded a partial valuation allowance related to certain net operating losses and loan loss reserves as management does not believe that it is more likely than not that these deferred tax assets will be realized. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to September 30, 2016 (referred to as “subsequent events”) through the issuance of these condensed consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. Corporate Activities On September 23 , 2016, New Residential’s Board of Directors declared a third quarter 2016 dividend of $0.46 per common share or $115.4 million , which was paid on October 28, 2016 to stockholders of record as of October 3, 2016 . In October 2016, New Residential entered into a $345.0 million corporate loan secured by Non-Agency Excess MSRs. The loan bears interest equal to 5.68% and matures in July 2021. In October 2016, the Consumer Loan Companies, 53.5% owned and consolidated by New Residential, refinanced their outstanding asset-backed notes with a new asset-backed securitization. The issuance consisted of $1.7 billion of asset-backed notes comprised of six classes with maturity dates in November 2023 and March 2024, of which approximately $157.6 million was voluntarily retained by the Consumer Loan Companies. As a result, the Consumer Loan Companies will record approximately $4.7 million of loss on extinguishment of debt related to an unamortized discount. See Note 9 for a subsequent event related to the purchase of consumer loans. Servicer Advances Debt In October 2016, New Residential, through its wholly owned subsidiary, NRZ Advance Receivables Trust 2015-ON1, issued servicer advance backed notes consisting of $500.0 million and $400.0 million of series 2016-T2 and series T3 term notes with maturity dates of October 2019 and October 2021, respectively, and repaid a portion of the existing VFN facility with the proceeds. Walter Transaction On August 8, 2016, New Residential Mortgage LLC (“NRM”), a Delaware limited liability company and a wholly-owned subsidiary of New Residential, entered into a flow and bulk agreement for the purchase and sale of mortgage servicing rights (the “Walter Purchase Agreement”) with Ditech Financial LLC (“Ditech”), a subsidiary of Walter Investment Management Corp. Pursuant to the Walter Purchase Agreement, NRM agreed to (i) purchase the MSRs and related servicing advances with respect to approximately 254,531 existing Fannie Mae residential mortgage loans with a total unpaid principal balance of approximately $32.3 billion (the “Existing MSRs”) for an aggregate purchase price of approximately $240.0 million in cash, including $28.1 million of servicing advances, subject to certain adjustments set forth in the Walter Purchase Agreement, and (ii) provide ongoing daily pricing to Ditech for the purchase of MSRs from Ditech relating to new mortgage loans originated or purchased by Ditech on a flow basis and pooled into Fannie Mae, Freddie Mac or, if applicable, Ginnie Mae (collectively, the “Agencies”) securities (the “Flow MSRs”). The purchase of the Existing MSRs closed on October 3, 2016. The initial term of the Walter Purchase Agreement is three years, with annual, one -year renewals thereafter, subject to certain termination rights; provided, that, NRM may decline to provide pricing for Flow MSRs on any day and may terminate the Walter Purchase Agreement with respect to Flow MSRs on 30 days’ notice. The purchase of the Existing MSRs and any Flow MSRs are subject to, among other customary conditions, the approval of the applicable Agencies, all of which were obtained for the Existing MSRs purchased. Ditech will initially service the mortgage loans related to the Existing MSRs and the Flow MSRs pursuant to the Subservicing Agreement referred to below. On August 8, 2016, in connection with the Walter Purchase Agreement, Walter Investment Management Corp. (with its applicable subsidiaries, including Ditech, “Walter”), a Maryland corporation and the parent of Ditech, provided NRM with a payment and performance guaranty (the “Guaranty”) of Ditech’s obligations, including repurchase and indemnification obligations, under the Walter Purchase Agreement. On August 8, 2016, in connection with the Walter Purchase Agreement, NRM and Ditech entered into a subservicing agreement (the “Subservicing Agreement”), pursuant to which Ditech agreed to act as subservicer for NRM and perform all of the actual servicing activities (“subservicing”) required under the servicing agreements relating to the Existing MSRs, any Flow MSRs purchased by NRM under the Walter Purchase Agreement and certain other MSRs that may be acquired in the future by NRM. Under the Subservicing Agreement and related documents, Ditech will perform all daily servicing obligations on behalf of NRM, including collecting payments from borrowers and offering refinancing options to borrowers for purposes of minimizing portfolio runoff. Ditech agreed to perform subservicing on behalf of NRM at fixed prices set forth in the Subservicing Agreement for an initial term of one year, with annual, one -year renewals thereafter, subject to certain termination rights set forth in the Subservicing Agreement. With respect to NRM, the initial term of the Subservicing Agreement will expire on the first anniversary of the effective date and shall automatically terminate unless renewed on a month-by-month basis, subject to certain termination rights set forth in the Subservicing Agreement. NRM is responsible for all advance obligations related to the Existing MSRs and Flow MSRs. Based on the terms of the Subservicing Agreement, the estimated weighted average subservicing rate for the life of the Existing MSRs is 7.7 bps. In addition, on August 8, 2016, New Residential entered into a “recapture agreement” with respect to the MSRs subserviced by Ditech. Under the recapture agreement, New Residential is entitled to the MSRs on any initial or subsequent refinancing by Ditech of a loan underlying the Existing MSRs or Flow MSRs. WCO Transaction NRM, Walter and Walter Capital Opportunity, LP have agreed in principle for the purchase and sale of substantially all of the assets of Walter Capital Opportunity, LP and its subsidiaries (“WCO”), along with certain related assets owned by Walter, which, collectively, represent an estimated $34.2 billion UPB of MSRs and $40.8 million of servicing advances, for an aggregate purchase price of approximately $299.9 million . The transaction, which is subject to negotiation and execution of definitive documentation, regulatory approval and approval from the applicable Agencies, is expected to contain similar general terms, including term, representations and warranties, covenants and indemnification, and be subject to similar conditions precedent, such as regulatory and Agency approvals, as the Walter Purchase Agreement described above, as well as additional terms and conditions customary for a transaction of this type. There can be no assurance that definitive documentation will be entered into on the terms described herein, or at all, or that the required regulatory or Agency approvals will be obtained. Upon acquisition of the assets in the WCO transaction, New Residential expects that Ditech will subservice the related mortgage loans for NRM under the Subservicing Agreement described above. |
ORGANIZATION AND BASIS OF PRE26
ORGANIZATION AND BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Accounting | The accompanying condensed 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 note 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 condensed consolidated financial statements should be read in conjunction with New Residential’s consolidated financial statements for the year ended December 31, 2015 and notes thereto included in New Residential’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”). Capitalized terms used herein, and not otherwise defined, are defined in New Residential’s consolidated financial statements for the year ended December 31, 2015 . Certain prior period amounts have been reclassified to conform to the current period’s presentation. |
Recent Accounting Pronouncements | In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-09, Revenues from Contracts with Customers (Topic 606) . The standard’s core principle is that a company will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the company expects to be entitled in exchange for those goods or services. In effect, companies will be required to exercise further judgment and make more estimates prospectively. These may include identifying performance obligations in the contract, estimating the amount of variable consideration to include in the transaction price and allocating the transaction price to each separate performance obligation. ASU No. 2014-09 is effective for New Residential in the first quarter of 2018. Early adoption is only permitted after December 31, 2016. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements - Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern . The standard provides guidance on management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern by requiring management to assess an entity’s ability to continue as a going concern by incorporating and expanding on certain principles that are currently in U.S. auditing standards. ASU No. 2014-15 is effective for New Residential for the annual period ending on December 31, 2016. Early adoption was permitted. New Residential is currently evaluating the new guidance to determine the impact that it may have on its condensed consolidated financial statements. In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities. The standard: (i) requires that certain equity investments be measured at fair value, and modifies the assessment of impairment for certain other equity investments, (ii) changes certain disclosure requirements related to the fair value of financial instruments measured at amortized cost, (iii) changes certain disclosure requirements related to liabilities measured at fair value, (iv) requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset, and (v) clarifies that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. ASU No. 2016-01 is effective for New Residential in the first quarter of 2018. Early adoption is generally not permitted. An entity should apply ASU No. 2016-01 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments . The standard requires that a financial asset measured at amortized cost basis be presented at the net amount expected to be collected, net of an allowance for all expected (rather than incurred) credit losses. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectibility of the reported amount. The standard also changes the accounting for purchased credit deteriorated (“PCD”) assets and available-for-sale securities to align with this treatment. ASU No. 2016-13 is effective for New Residential in the first quarter of 2020. Early adoption is permitted beginning in 2019. An entity should apply ASU No. 2016-13 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements. In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows (Topic 230) - Classification of Certain Cash Receipts and Cash Payments. The standard provides guidance on the treatment of certain transactions within the statement of cash flows. ASU No. 2016-15 is effective for New Residential in the first quarter of 2018. Early adoption is permitted. New Residential adopted ASU No. 2016-15 in the third quarter of 2016 and it did not have an impact on its consolidated financial statements. In October 2016, the FASB issued ASU No. 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory . The standard requires recognition of the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. ASU No. 2016-16 is effective for New Residential in the first quarter of 2018. Early adoption is permitted as of the beginning of an annual reporting period for which financial statements have not been issued. New Residential does not expect the adoption of ASU No. 2016-16 to have a material impact on its consolidated financial statements. The FASB has recently issued or discussed a number of proposed standards on such topics as financial statement presentation, financial instruments, restricted cash and hedging. Some of the proposed changes are significant and could have a material impact on New Residential’s reporting. New Residential has not yet fully evaluated the potential impact of these proposals, but will make such an evaluation as the standards are finalized. |
ORGANIZATION AND BASIS OF PRE27
ORGANIZATION AND BASIS OF PRESENTATION (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Preliminary Purchase Price Allocation | The preliminary allocation of the total consideration, following reclassifications to conform to New Residential’s presentation, is as follows: Total Consideration ($ in millions) $ 237.5 Assets Consumer loans, held-for-investment $ 1,934.7 Cash and cash equivalents 0.3 Restricted cash 74.6 Other assets 35.9 Total Assets Acquired 2,045.5 Liabilities Notes and bonds payable $ 1,803.2 Accrued expenses and other liabilities 4.8 Total Liabilities Assumed 1,808.0 Net Assets $ 237.5 |
Summary of Unaudited Pro Forma Combined Interest Income and Income (Loss) Before Income Taxes | The following table presents New Residential’s unaudited pro forma combined Interest Income and Income Before Income Taxes for the three and nine months ended September 30, 2016 and 2015 prepared as if the SpringCastle Transaction had been consummated on January 1, 2015. Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 (unaudited) (unaudited) (unaudited) (unaudited) Pro Forma Interest Income $ 282,388 $ 276,720 $ 836,814 $ 739,490 Income Before Income Taxes 151,986 85,158 319,144 388,041 Noncontrolling Interests in Income of Consolidated Subsidiaries 32,178 27,523 79,944 77,870 |
OTHER INCOME, ASSETS AND LIAB28
OTHER INCOME, ASSETS AND LIABILITIES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Other Income Assets And Liabilities | |
Schedule of Other Income | Other income (loss), net, is comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Unrealized gain (loss) on derivative instruments $ 26,962 $ (9,166 ) $ (8,504 ) $ (17,425 ) Unrealized gain (loss) on other ABS 724 (706 ) (226 ) (1,073 ) Gain (loss) on transfer of loans to REO 4,373 1,272 14,660 1,075 Gain (loss) on transfer of loans to other assets 2,743 314 3,021 143 Gain on Excess MSR recapture agreements 768 669 2,188 2,247 Other income (loss) (2,597 ) 6,069 2,319 5,001 $ 32,973 $ (1,548 ) $ 13,458 $ (10,032 ) |
Schedule of Gain (Loss) on Settlement of Investments | Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Gain (loss) on sale of real estate securities, net $ (679 ) $ 24,454 $ 15,072 $ 31,230 Gain (loss) on sale of residential mortgage loans, net 8,537 226 9,142 31,808 Gain (loss) on settlement of derivatives (24,839 ) (44,479 ) (70,307 ) (53,300 ) Gain (loss) on liquidated residential mortgage loans (1,331 ) 246 (1,603 ) 492 Gain (loss) on sale of REO 2,207 (1,914 ) 5,193 (9,751 ) Other gains (losses) (974 ) (15 ) (1,787 ) (5,993 ) $ (17,079 ) $ (21,482 ) $ (44,290 ) $ (5,514 ) |
Schedule of Other Assets and Liabilities | Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities September 30, 2016 December 31, 2015 September 30, 2016 December 31, 2015 Margin receivable, net $ 52,471 $ 54,459 Interest payable $ 17,965 $ 18,268 Other receivables 6,984 5,829 Accounts payable 33,727 18,650 Principal paydown receivable 1,834 795 Derivative liabilities (Note 10) 24,085 13,443 Receivable from government agency 63,204 68,833 Current taxes payable 3,678 1,573 Call rights 414 414 Due to servicers 8,975 — Derivative assets (Note 10) 2,088 2,689 Other liabilities 5,026 6,112 Interest receivable 53,964 36,963 $ 93,456 $ 58,046 Ginnie Mae EBO servicer advance receivable, net 17,924 49,725 Due from servicers 17,788 5,064 Other assets 20,188 14,675 $ 236,859 $ 239,446 |
Schedule of Accretion and Other Amortization | As reflected on the Condensed Consolidated Statements of Cash Flows, accretion and other amortization is comprised of the following: Nine Months Ended 2016 2015 Accretion of servicer advance interest income $ 257,877 $ 256,045 Accretion of excess mortgage servicing rights income 106,848 87,874 Accretion of net discount on securities and loans (A) 164,806 35,239 Amortization of deferred financing costs (13,889 ) (18,691 ) Amortization of discount on notes and bonds payable (1,120 ) — $ 514,522 $ 360,467 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
Summary of Segment Financial Data | 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: Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Three Months Ended September 30, 2016 Interest income $ 30,617 $ 101,359 $ 58,855 $ 13,947 $ 77,231 $ 379 $ 282,388 Interest expense 4,002 54,802 13,008 6,153 18,523 — 96,488 Net interest income (expense) 26,615 46,557 45,847 7,794 58,708 379 185,900 Impairment — — 1,765 (291 ) 18,566 — 20,040 Other income (loss) (10,052 ) 21,430 1,392 13,931 — — 26,701 Operating expenses 536 1,029 369 4,251 11,976 22,414 40,575 Income (Loss) Before Income Taxes 16,027 66,958 45,105 17,765 28,166 (22,035 ) 151,986 Income tax expense (benefit) — 16,348 — 4,556 — (4 ) 20,900 Net Income (Loss) $ 16,027 $ 50,610 $ 45,105 $ 13,209 $ 28,166 $ (22,031 ) $ 131,086 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 18,853 $ — $ — $ 13,325 $ — $ 32,178 Net income (loss) attributable to common stockholders $ 16,027 $ 31,757 $ 45,105 $ 13,209 $ 14,841 $ (22,031 ) $ 98,908 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2016 Interest income $ 106,848 $ 265,119 $ 172,982 $ 47,712 $ 155,541 $ 1,699 $ 749,901 Interest expense 12,117 176,672 31,425 20,447 37,740 — 278,401 Net interest income (expense) 94,731 88,447 141,557 27,265 117,801 1,699 471,500 Impairment — — 7,838 7,309 34,536 — 49,683 Other income (loss) (14,234 ) 9,103 (59,472 ) 22,295 81,193 15 38,900 Operating expenses 1,066 3,076 1,307 11,194 26,194 59,034 101,871 Income (Loss) Before Income Taxes 79,431 94,474 72,940 31,057 138,264 (57,320 ) 358,846 Income tax expense (benefit) — 13,743 — 4,377 75 — 18,195 Net Income (Loss) $ 79,431 $ 80,731 $ 72,940 $ 26,680 $ 138,189 $ (57,320 ) $ 340,651 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 33,400 $ — $ — $ 27,955 $ — $ 61,355 Net income (loss) attributable to common stockholders $ 79,431 $ 47,331 $ 72,940 $ 26,680 $ 110,234 $ (57,320 ) $ 279,296 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total September 30, 2016 Investments $ 1,599,956 $ 6,294,697 $ 4,739,914 $ 765,940 $ 1,821,979 $ — $ 15,222,486 Cash and cash equivalents 5,377 134,000 1,305 3,736 15,022 229,234 388,674 Restricted cash 2,406 90,899 — — 59,822 — 153,127 Other assets 2,557 181,521 1,578,722 108,359 48,533 20,403 1,940,095 Total assets $ 1,610,296 $ 6,701,117 $ 6,319,941 $ 878,035 $ 1,945,356 $ 249,637 $ 17,704,382 Debt $ 268,290 $ 6,210,358 $ 3,924,111 $ 653,197 $ 1,707,197 $ — $ 12,763,153 Other liabilities 1,962 28,616 1,326,013 20,608 5,519 141,000 1,523,718 Total liabilities 270,252 6,238,974 5,250,124 673,805 1,712,716 141,000 14,286,871 Total equity 1,340,044 462,143 1,069,817 204,230 232,640 108,637 3,417,511 Noncontrolling interests in equity of consolidated subsidiaries — 182,094 — — 107,067 — 289,161 Total New Residential stockholders’ equity $ 1,340,044 $ 280,049 $ 1,069,817 $ 204,230 $ 125,573 $ 108,637 $ 3,128,350 Investments in equity method investees $ 195,904 $ — $ — $ — $ — $ — $ 195,904 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Three Months Ended September 30, 2015 Interest income $ 38,477 $ 105,135 $ 28,984 $ 8,888 $ — $ 857 $ 182,341 Interest expense 2,936 64,291 5,150 4,651 530 — 77,558 Net interest income (expense) 35,541 40,844 23,834 4,237 (530 ) 857 104,783 Impairment — — 1,574 (3,341 ) — — (1,767 ) Other income (loss) 10,227 (12,554 ) (28,354 ) (1,530 ) 14,386 — (17,825 ) Operating expenses 168 10,341 766 2,845 66 18,716 32,902 Income (Loss) Before Income Taxes 45,600 17,949 (6,860 ) 3,203 13,790 (17,859 ) 55,823 Income tax expense (benefit) — (4,852 ) — (1,405 ) 325 — (5,932 ) Net Income (Loss) $ 45,600 $ 22,801 $ (6,860 ) $ 4,608 $ 13,465 $ (17,859 ) $ 61,755 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 7,193 $ — $ — $ — $ — $ 7,193 Net income (loss) attributable to common stockholders $ 45,600 $ 15,608 $ (6,860 ) $ 4,608 $ 13,465 $ (17,859 ) $ 54,562 Servicing Related Assets Residential Securities and Loans Excess MSRs Servicer Advances Real Estate Securities Real Estate Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2015 Interest income $ 87,874 $ 256,087 $ 66,699 $ 32,408 $ 1 $ 1,822 $ 444,891 Interest expense 8,681 151,377 12,171 15,929 1,054 4,196 193,408 Net interest income (expense) 79,193 104,710 54,528 16,479 (1,053 ) (2,374 ) 251,483 Impairment — — 3,294 2,408 — — 5,702 Other income (loss) 18,415 835 (37,655 ) 20,063 33,342 (2,880 ) 32,120 Operating expenses 517 12,604 769 14,557 177 61,500 90,124 Income (Loss) Before Income Taxes 97,091 92,941 12,810 19,577 32,112 (66,754 ) 187,777 Income tax expense (benefit) — 7,565 — (2,942 ) 324 — 4,947 Net Income (Loss) $ 97,091 $ 85,376 $ 12,810 $ 22,519 $ 31,788 $ (66,754 ) $ 182,830 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ 22,332 $ — $ — $ — $ (5,158 ) $ 17,174 Net income (loss) attributable to common stockholders $ 97,091 $ 63,044 $ 12,810 $ 22,519 $ 31,788 $ (61,596 ) $ 165,656 |
INVESTMENTS IN EXCESS MORTGAG30
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Transfers and Servicing [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The following table presents activity related to the carrying value of New Residential’s investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2015 $ 698,304 $ 5,307 $ 877,906 $ 1,581,517 Purchases — — — — Interest income 47,049 (16 ) 59,815 106,848 Other income 2,188 — — 2,188 Proceeds from repayments (111,999 ) (796 ) (149,309 ) (262,104 ) Change in fair value (9,521 ) (86 ) (14,790 ) (24,397 ) Balance as of September 30, 2016 $ 626,021 $ 4,409 $ 773,622 $ 1,404,052 (A) Specialized Loan Servicing LLC (“SLS”). (B) Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. |
Summary of Direct Investments in Excess MSRs | The following is a summary of New Residential’s direct investments in Excess MSRs: September 30, 2016 December 31, 2015 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) New Residential (D) Fortress-managed funds Nationstar Agency Original and Recaptured Pools $ 82,159,586 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.9 $ 302,541 $ 333,816 $ 378,083 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 11.9 28,417 54,948 59,118 82,159,586 6.4 330,958 388,764 437,201 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 82,010,764 33.3% - 80.0% (59.3%) 0.0% - 50.0% 0.0% - 33.3% 5.3 $ 190,184 $ 227,883 $ 250,662 Recapture Agreements — 33.3% - 80.0% (59.3%) 0.0% - 50.0% 0.0% - 33.3% 12.1 12,210 13,783 15,748 Ocwen Serviced Pools 126,120,662 100.0% — % — % 6.4 746,933 773,622 877,906 208,131,426 6.3 949,327 1,015,288 1,144,316 Total $ 290,291,012 6.3 $ 1,280,285 $ 1,404,052 $ 1,581,517 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) Carrying Value represents the fair value of the pools or recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential also invested in the related Servicer Advances, including the basic fee component of the related MSR as of September 30, 2016 (Note 6) on $194.2 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income are comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Original and Recaptured Pools $ (15,395 ) $ 1,485 $ (28,392 ) $ (3,933 ) Recapture Agreements (1,665 ) (354 ) 3,995 3,659 $ (17,060 ) $ 1,131 $ (24,397 ) $ (274 ) |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investments in Excess MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 California 26.4 % 26.7 % Florida 8.8 % 8.9 % New York 8.1 % 7.8 % Texas 4.2 % 4.3 % New Jersey 4.1 % 4.1 % Maryland 3.8 % 3.8 % Illinois 3.4 % 3.4 % Virginia 3.1 % 3.1 % Massachusetts 2.7 % 2.7 % Washington 2.6 % 2.7 % Other U.S. 32.8 % 32.5 % 100.0 % 100.0 % |
INVESTMENTS IN EXCESS MORTGAG31
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees | The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: September 30, 2016 December 31, 2015 Excess MSR assets $ 374,962 $ 421,999 Other assets 16,846 12,442 Other liabilities — — Equity $ 391,808 $ 434,441 New Residential’s investment $ 195,904 $ 217,221 New Residential’s ownership 50.0 % 50.0 % Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Interest income $ 12,205 $ 12,399 $ 24,526 $ 33,316 Other income (loss) 339 4,492 (7,244 ) (348 ) Expenses (22 ) (38 ) (66 ) (82 ) Net income $ 12,522 $ 16,853 $ 17,216 $ 32,886 New Residential’s investments in equity method investees changed during the nine months ended September 30, 2016 as follows: Balance at December 31, 2015 $ 217,221 Contributions to equity method investees — Distributions of earnings from equity method investees (18,025 ) Distributions of capital from equity method investees (11,900 ) Change in fair value of investments in equity method investees 8,608 Balance at September 30, 2016 $ 195,904 |
Summary of Excess MSR 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, 2016 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 63,834,062 66.7 % 50.0 % $ 249,388 $ 314,265 5.7 Recapture Agreements — 66.7 % 50.0 % 33,156 60,697 11.7 Total $ 63,834,062 $ 282,544 $ 374,962 6.4 (A) The remaining interests are held by Nationstar. (B) 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. (C) 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. (D) 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 the Excess MSR Investments 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: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 California 12.8 % 12.9 % Florida 7.3 % 7.4 % Texas 6.1 % 6.1 % New York 6.0 % 5.8 % Georgia 5.7 % 5.7 % New Jersey 4.2 % 4.3 % Illinois 4.1 % 4.0 % Maryland 3.3 % 3.2 % Virginia 3.2 % 3.2 % Pennsylvania 3.2 % 3.1 % Other U.S. 44.1 % 44.3 % 100.0 % 100.0 % |
INVESTMENTS IN SERVICER ADVAN32
INVESTMENTS IN SERVICER ADVANCES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, All Other Investments [Abstract] | |
Summary of Investments in Servicer Advances | The following is a summary of the investments in Servicer Advances, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) September 30, 2016 Servicer Advances (C) $ 6,012,315 $ 6,043,369 5.4 % 5.3 % 4.5 As of December 31, 2015 Servicer Advances (C) $ 7,400,068 $ 7,426,794 5.6 % 5.5 % 4.4 (A) Carrying value represents the fair value of the investments in Servicer Advances, including the basic fee component of the related MSRs. (B) Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment. (C) Excludes New Residential asset-backed securities collateralized by Servicer Advances, which have aggregate face amounts of $249.0 million and $431.0 million and aggregate carrying values of $250.7 million and $430.3 million as of September 30, 2016 and December 31, 2015 , respectively. See Note 7 for details related to these securities. Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Changes in Fair Value Recorded in Other Income $ 21,606 $ (18,738 ) $ 4,328 $ (1,845 ) The following is additional information regarding the Servicer Advances and related financing: Loan-to-Value (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Notes and Bonds Payable Gross Net (B) Gross Net September 30, 2016 Servicer Advances (D) $ 194,223,701 $ 6,017,968 3.1 % $ 5,907,803 94.5 % 93.3 % 3.5 % 2.8 % December 31, 2015 Servicer Advances (D) $ 220,256,804 $ 7,578,110 3.4 % $ 7,058,094 91.2 % 90.2 % 3.4 % 2.6 % (A) Based on outstanding Servicer Advances, excluding purchased but unsettled Servicer Advances and certain deferred servicing fees (“DSF”) on which New Residential receives financing. If New Residential were to include these DSF in the servicer advance balance, gross and net LTV as of September 30, 2016 would be 89.7% and 88.6% , respectively. Also excludes retained non-agency bonds with a current face amount of $110.1 million from the outstanding Servicer Advances debt. If New Residential were to sell these bonds, gross and net LTV as of September 30, 2016 would be 96.3% and 95.1% , respectively. (B) Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. (C) Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees. (D) The following types of advances comprise the investments in Servicer Advances: September 30, 2016 December 31, 2015 Principal and interest advances $ 1,651,576 $ 2,229,468 Escrow advances (taxes and insurance advances) 2,786,203 3,687,559 Foreclosure advances 1,580,189 1,661,083 Total $ 6,017,968 $ 7,578,110 |
Schedule of Interest Income Related to Investments in Servicer Advances | Interest income recognized by New Residential related to its investments in Servicer Advances was comprised of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Interest income, gross of amounts attributable to servicer compensation $ 161,601 $ 221,613 $ 581,231 $ 511,931 Amounts attributable to base servicer compensation (15,276 ) (26,553 ) (68,184 ) (65,111 ) Amounts attributable to incentive servicer compensation (45,197 ) (89,952 ) (255,170 ) (190,775 ) Interest income from investments in Servicer Advances $ 101,128 $ 105,108 $ 257,877 $ 256,045 New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE. As of September 30, 2016 December 31, 2015 Assets Servicer advance investments, at fair value $ 1,903,067 $ 2,344,245 Cash and cash equivalents 35,000 40,761 All other assets 22,229 25,092 Total assets (A) $ 1,960,296 $ 2,410,098 Liabilities Notes and bonds payable $ 1,625,956 $ 2,060,347 All other liabilities 6,119 6,111 Total liabilities (A) $ 1,632,075 $ 2,066,458 (A) The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. Others’ interests in the equity of the Buyer is computed as follows: September 30, 2016 December 31, 2015 Total Advance Purchaser LLC equity $ 328,221 $ 343,640 Others’ ownership interest 55.5 % 55.5 % Others’ interest in equity of consolidated subsidiary $ 182,094 $ 190,647 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Net Advance Purchaser LLC income $ 33,985 $ 12,960 $ 60,207 $ 40,258 Others’ ownership interest as a percent of total (A) 55.5 % 55.5 % 55.5 % 55.5 % Others’ interest in net income of consolidated subsidiaries $ 18,853 $ 7,193 $ 33,400 $ 22,332 (A) As a result, New Residential owned 44.5% and 44.5% of the Buyer, on average during the three months ended September 30, 2016 and 2015 , respectively, and 44.5% and 44.5% of the Buyer, on average during the nine months ended September 30, 2016 and 2015 , respectively. |
INVESTMENTS IN REAL ESTATE SE33
INVESTMENTS IN REAL ESTATE SECURITIES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Real Estate Securities | Activities related to New Residential’s investments in real estate securities were as follows: Nine Months Ended (in millions) Agency Non Agency Purchases Face $ 5,070.3 $ 4,079.9 Purchase Price $ 5,315.9 $ 2,298.4 Sales Face $ 4,530.6 $ 129.8 Amortized Cost $ 4,721.8 $ 121.7 Sale Price $ 4,757.8 $ 100.8 Gain (Loss) on Sale $ 36.0 $ (20.9 ) The following is a summary of New Residential’s real estate securities, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired and except for securities which New Residential elected to carry at fair value and record changes to valuation through the income statement. September 30, 2016 December 31, 2015 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Agency RMBS (F) (G) $ 1,356,580 $ 1,437,777 $ 337 $ (3,806 ) $ 1,434,308 76 AAA 3.42 % 2.79 % 5.6 N/A $ 917,598 Non-Agency RMBS (H) (I) 6,671,272 3,446,822 122,171 (12,059 ) 3,556,934 471 CCC- 1.76 % 5.46 % 7.0 10.8 % 1,584,283 Total/ Weighted Average $ 8,027,852 $ 4,884,599 $ 122,508 $ (15,865 ) $ 4,991,242 547 CCC+ 2.21 % 4.68 % 6.6 $ 2,501,881 (A) Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 187 bonds with a carrying value of $566.9 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $243.5 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding interest-only bonds and servicer advance bonds. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. (G) The total outstanding face amount was $1.2 billion for fixed rate securities and $151.9 million for floating rate securities as of September 30, 2016 . (H) The total outstanding face amount was $1.1 billion (including $0.3 billion of residual and interest-only notional amount) for fixed rate securities and $5.6 billion (including $2.0 billion of residual and interest-only notional amount) for floating rate securities as of September 30, 2016 . (I) Includes other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and (ii) bonds backed by servicer advances. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Other ABS $ 1,975,404 $ 110,267 $ 6,048 $ (4,927 ) $ 111,388 25 AA+ 1.91 % 5.57 % 2.9 N/A Servicer Advance Bonds $ 249,000 $ 248,696 $ 2,025 $ — $ 250,721 3 AAA 2.81 % 2.21 % 0.1 N/A |
Summary of Real Estate Securities in an Unrealized Loss Position | The following table summarizes New Residential’s securities in an unrealized loss position as of September 30, 2016 . Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Impairment Other-Than- Temporary Impairment (A) After Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating (B) Coupon Yield Life (Years) Less than 12 Months $ 2,905,125 $ 1,723,246 $ (804 ) $ 1,722,442 $ (11,824 ) $ 1,710,618 204 B+ 2.51 % 3.99 % 6.5 12 or More Months 291,088 229,368 (961 ) 228,407 (4,041 ) 224,366 36 B+ 2.30 % 2.99 % 5.2 Total/Weighted Average $ 3,196,213 $ 1,952,614 $ (1,765 ) $ 1,950,849 $ (15,865 ) $ 1,934,984 240 B+ 2.48 % 3.87 % 6.4 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2016 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 84 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 6 bonds which either have never been rated or for which rating information is no longer provided. New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following: September 30, 2016 Gross Unrealized Losses Fair Value Amortized Cost Basis After Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell (C) $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (D) — — — N/A Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 365,403 367,904 (1,765 ) (2,501 ) Non-credit impaired securities 1,569,581 1,582,945 — (13,364 ) Total debt securities in an unrealized loss position $ 1,934,984 $ 1,950,849 $ (1,765 ) $ (15,865 ) (A) This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate. (B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income. (C) A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment and, therefore, do no t have unrealized losses reflected in other comprehensive income as of September 30, 2016 . (D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales. |
Summary of Activity Related to Credit Losses on Debt Securities | The following table summarizes the activity related to credit losses on debt securities: Nine Months Ended September 30, 2016 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 6,240 Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income 2,505 Additions for credit losses on securities for which an OTTI was not previously recognized 5,333 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date — Reduction for securities sold during the period (997 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 13,081 |
Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS | The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: September 30, 2016 December 31, 2015 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 2,329,116 36.3 % $ 1,097,609 35.3 % Southeastern U.S. 1,496,049 23.2 % 758,167 24.4 % Northeastern U.S. 1,318,153 20.5 % 583,366 18.8 % Midwestern U.S. 716,411 11.2 % 335,406 10.8 % Southwestern U.S. 500,795 7.8 % 309,236 10.0 % Other (B) 61,748 1.0 % 19,189 0.7 % $ 6,422,272 100.0 % $ 3,102,973 100.0 % (A) Excludes $249.0 million face amount of bonds backed by servicer advances. (B) Represents collateral for which New Residential was unable to obtain geographic information. |
Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible | The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and interest-only securities: Outstanding Face Amount Carrying Value September 30, 2016 $ 2,727,475 $ 1,754,467 December 31, 2015 873,763 504,659 |
Summary of Changes in Accretable Yield for Securities | The following is a summary of the changes in accretable yield for these securities: Nine Months Ended September 30, 2016 Balance at December 31, 2015 $ 316,521 Additions 802,442 Accretion (87,535 ) Reclassifications from (to) non-accretable difference 44,905 Disposals (1,129 ) Balance at September 30, 2016 $ 1,075,204 |
INVESTMENTS IN RESIDENTIAL MO34
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Receivables [Abstract] | |
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO | The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO: September 30, 2016 December 31, 2015 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Floating Rate Loans as a % of Face Amount Loan to Value Ratio (“LTV”) (B) Weighted Avg. Delinquency (C) Weighted Average FICO (D) Carrying Value Loan Type Reverse Mortgage Loans (E)(F) $ — $ — — — % — — % — % — % N/A $ 19,560 Performing Loans (G) (H) — — — — % — — % — % — % — 19,964 Purchased Credit Deteriorated Loans — — — — % — — % — % — % — 290,654 Total Residential Mortgage Loans, held-for-investment $ — $ — — — % — — % — % — % — $ 330,178 Reverse Mortgage Loans (E)(F) $ 23,878 $ 11,836 77 7.3 % 4.5 15.7 % 134.2 % 71.8 % N/A $ — Performing Loans (G) (H) (J) 103,234 107,167 1,750 4.1 % 4.2 4.6 % 75.2 % 10.4 % 610 277,084 Non-performing Loans (I) (J) 800,411 586,478 4,280 7.1 % 2.8 17.8 % 102.8 % 79.8 % 579 499,597 Total Residential Mortgage Loans, held-for-sale $ 927,523 $ 705,481 6,107 6.7 % 3.0 16.2 % 100.6 % 71.9 % 583 $ 776,681 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property. (C) Represents the percentage of the total principal balance that are 60+ days delinquent. (D) The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis. (E) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.4 million . Approximately 66% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (F) FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan. (G) Includes loans that are current or less than 30 days past due at acquisition where New Residential expects to collect all contractually required principal and interest payments. Presented net of unamortized premiums of $4.8 million . (H) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (I) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of September 30, 2016 , New Residential has placed all of these loans on nonaccrual status, except as described in (J) below. (J) Includes $56.5 million and $99.2 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status because contractual cash flows are guaranteed by the FHA. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The table below summarizes the geographic distribution of the residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount as of State Concentration September 30, 2016 December 31, 2015 New York 17.0 % 14.5 % New Jersey 10.4 % 13.1 % Florida 9.9 % 10.7 % California 8.5 % 12.3 % Texas 6.7 % 3.3 % Illinois 3.9 % 4.3 % Maryland 4.1 % 3.5 % Massachusetts 3.7 % 3.3 % Pennsylvania 3.1 % 2.8 % Washington 3.0 % 3.2 % Other U.S. 29.7 % 29.0 % 100.0 % 100.0 % |
Schedule of Residential Mortgage Loan Transactions | The following table summarizes these transactions which occurred in 2016 (dollars in millions). Securities Owned Prior Assets Acquired Loans Sold (C) Retained Bonds Retained Assets (C) Date of Call (A) Number of Trusts Called Face Amount Amortized Cost Basis Loan UPB Loan Price (B) REO & Other Price (B) UPB Gain (Loss) Basis Type Loan UPB Loan Price REO & Other Price December 23, 2015 14 $ 61.4 $ 48.0 $ 309.1 $ 315.1 $ 3.1 $ 261.3 $ 2.2 $ 36.6 Various $ 35.8 $ 26.6 $ 2.9 March 25, 2016 13 58.4 41.0 167.2 173.3 3.1 N/A (C) N/A (C) N/A (C) N/A (C) 65.0 61.8 3.4 May 25, 2016 12 60.0 44.0 290.6 298.7 0.6 306.9 (3.5 ) 40.0 Various 85.9 78.2 1.1 August 25, 2016 11 6.2 1.4 312.3 319.2 1.7 308.0 8.1 45.7 Various 45.6 41.1 2.3 (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call. (B) Price includes par amount paid for all underlying mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights. (C) Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The securitization that occurred in March 2016 primarily included loans from the December 23, 2015 call, but also included previously acquired loans. The retained assets disclosed for the December 23, 2015 call are net of the related loans sold in the March 2016 securitization. The securitization that occurred in May 2016 primarily included loans from the March 25, 2016 and May 25, 2016 calls. The retained assets disclosed for the March 25, 2016 call are net of the related loans sold in the May 2016 securitization. The securitization that occurred in September 2016 primarily included loans from the August 25, 2016 call, but also included $42.2 million of previously acquired loans. |
Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCD Loans Held-for-Investment | Activities related to the carrying value of PCD loans held-for-investment were as follows: Balance at December 31, 2015 $ 290,654 Purchases/additional fundings — Sales — Proceeds from repayments (8,897 ) Accretion of loan discount and other amortization 8,295 Transfer of loans to real estate owned (7,583 ) Transfer of loans to held-for-sale (282,469 ) Balance at September 30, 2016 $ — Activities related to the carrying value of residential mortgage loans held-for-investment were as follows: Reverse Mortgage Loans Performing Loans Balance at December 31, 2015 $ 19,560 $ 19,964 Purchases/additional fundings 319 — Proceeds from repayments (1,352 ) (811 ) Accretion of loan discount (premium) and other amortization (A) 2,002 123 Provision for loan losses (73 ) (4 ) Transfer of loans to other assets (B) (4,203 ) — Sales (1,795 ) — Transfer of loans to held-for-sale (C) (14,458 ) (19,272 ) Balance at September 30, 2016 $ — $ — (A) Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets. (B) Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans Held-for-Investment | Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Reverse Mortgage Loans Performing Loans Balance at December 31, 2015 $ 1,553 $ 119 Provision for loan losses (A) 73 4 Charge-offs (B) — — Sales (171 ) — Transfer of loans to held-for-sale (C) (1,455 ) (123 ) Balance at September 30, 2016 $ — $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at March 31, 2016 $ — $ — $ — Provision for loan losses 31,382 1,039 32,421 Net charge-offs (C) (30,535 ) — (30,535 ) Balance at September 30, 2016 $ 847 $ 1,039 $ 1,886 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $0.9 million for newly originated loans acquired during the three months ended September 30, 2016 . (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of September 30, 2016 , there are $3.6 million in UPB and $2.5 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $5.6 million in recoveries of previously charged-off UPB. |
Summary of Unpaid Principal Balance and Carrying Value for Loans Uncollectible | The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value September 30, 2016 $ — $ — December 31, 2015 $ 450,229 $ 290,654 |
Summary of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2015 $ 71,063 Additions — Accretion (8,876 ) Reclassifications from non-accretable difference (A) 29,569 Disposals (B) (2,680 ) Transfer of loans to held-for-sale (C) (89,076 ) Balance at September 30, 2016 $ — (A) Represents a probable and significant increase in cash flows previously expected to be uncollectible. (B) Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
Summary of Activities Related to the Carrying Value of Loans Held-for-sale | Activities related to the carrying value of loans held-for-sale were as follows: For the Loans Held-for-Sale Balance at December 31, 2015 $ 776,681 Purchases (A) 788,824 Transfer of loans from held-for-investment (B) 316,199 Sales (915,361 ) Transfer of loans to other assets (C) (148,243 ) Transfer of loans to real estate owned (39,558 ) Proceeds from repayments (75,329 ) Valuation (provision) reversal on loans (D) 2,268 Balance at September 30, 2016 $ 705,481 (A) Represents loans acquired with the intent to sell. (B) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. (C) Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (D) Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including $2.6 million and $3.6 million of provision related to the call transactions executed on March 25, 2016 and May 25, 2016 , respectively. |
Schedule of Real Estate Owned | New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value. Real Estate Owned Balance at December 31, 2015 $ 50,574 Purchases 8,123 Transfer of loans to real estate owned 62,057 Sales (46,748 ) Valuation provision on REO (13,547 ) Balance at September 30, 2016 $ 60,459 |
INVESTMENTS IN CONSUMER LOANS (
INVESTMENTS IN CONSUMER LOANS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
Summary of the Investment in Consumer Loan Companies | The following table summarizes the investment in consumer loans, held-for-investment held by New Residential: Unpaid Principal Balance (A) Interest in Consumer Loans Carrying Value Weighted Average Coupon (B) Weighted Average Expected Life (Years) (C) Weighted Average Delinquency (D) September 30, 2016 Consumer Loan Companies Performing Loans $ 1,345,573 53.5 % $ 1,391,388 18.7 % 4.3 5.7 % Purchased Credit Deteriorated Loans (E) 396,462 53.5 % 339,916 16.6 % 3.6 13.2 % Other - Performing Loans 91,523 100.0 % 90,675 14.3 % 1.5 — % Total Consumer Loans, held-for-investment $ 1,833,558 $ 1,821,979 18.1 % 4.0 7.0 % December 31, 2015 (F) Consumer Loan Companies Total Consumer Loans, held-for-investment $ 2,094,904 30.0 % $ 1,698,130 18.2 % 4.4 7.2 % (A) Represents the balances as of September 30, 2016 and November 30, 2015, respectively. (B) Substantially all of the cash flows received on the loans held by the Consumer Loan Companies are required to be used to make payments on the notes described above. (C) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (D) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (E) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans. (F) Held through an equity method investee, which had a carrying value of zero, at such time. |
Past Due Financing Receivable | The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses: September 30, 2016 Days Past Due Delinquency Status (A) Current 94.7 % 30-59 2.2 % 60-89 1.2 % 90-119 (B) 0.7 % 120+ (B) (C) 1.2 % 100.0 % (A) Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans more than 90 days past due and still accruing interest. (C) Interest is accrued up to the date of charge-off at 180 days past due. |
Schedule of Carrying Value of Performing Consumer Loans | Activities related to the carrying value of performing consumer loans, held-for-investment were as follows: Performing Loans Balance at December 31, 2015 $ — SpringCastle Transaction 1,539,569 Purchases 92,069 Additional fundings (A) 33,137 Proceeds from repayments (155,388 ) Accretion of loan discount and premium amortization, net 5,097 Net charge-offs (30,535 ) Provision for loan losses (1,886 ) Balance at September 30, 2016 $ 1,482,063 (A) Represents draws on consumer loans with revolving privileges. |
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses | Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Reverse Mortgage Loans Performing Loans Balance at December 31, 2015 $ 1,553 $ 119 Provision for loan losses (A) 73 4 Charge-offs (B) — — Sales (171 ) — Transfer of loans to held-for-sale (C) (1,455 ) (123 ) Balance at September 30, 2016 $ — $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at March 31, 2016 $ — $ — $ — Provision for loan losses 31,382 1,039 32,421 Net charge-offs (C) (30,535 ) — (30,535 ) Balance at September 30, 2016 $ 847 $ 1,039 $ 1,886 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $0.9 million for newly originated loans acquired during the three months ended September 30, 2016 . (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of September 30, 2016 , there are $3.6 million in UPB and $2.5 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $5.6 million in recoveries of previously charged-off UPB. |
Schedule of Carrying Value of Purchased Credit Deteriorated Loans | Activities related to the carrying value of PCD consumer loans, held-for-investment were as follows: Balance at December 31, 2015 $ — SpringCastle Transaction 395,129 Allowance for Loan Losses (A) (2,115 ) Proceeds from repayments (77,899 ) Accretion of loan discount and other amortization 24,801 Balance at September 30, 2016 $ 339,916 |
Impaired Financing Receivables | The following is the unpaid principal balance and carrying value for consumer loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value September 30, 2016 $ 396,462 $ 339,916 March 31, 2016 450,611 395,129 |
Schedule of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2015 $ — SpringCastle Transaction 176,387 Accretion (24,801 ) Reclassifications from non-accretable difference (A) 24,167 Balance at September 30, 2016 $ 175,753 (A) Represents a probable and significant increase in cash flows previously expected to be uncollectible. |
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | Others’ interests in the equity of the Consumer Loan Companies is computed as follows at September 30, 2016 : Total Consumer Loan Companies equity $ 230,251 Others’ ownership interest 46.5 % Others’ interests in equity of consolidated subsidiary $ 107,067 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended September 30, 2016 Nine Months Ended Net Consumer Loan Companies income (loss) $ 28,655 $ 60,118 Others’ ownership interest as a percent of total 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 13,325 $ 27,955 |
Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities | The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of September 30, 2016 Assets Consumer loans, held-for-investment $ 1,731,304 Restricted cash 13,866 Accrued interest receivable 25,468 Total assets (A) $ 1,770,638 Liabilities Notes and bonds payable $ 1,590,387 Accounts payable and accrued expenses 1,150 Total liabilities (A) $ 1,591,537 (A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivatives | New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location September 30, 2016 December 31, 2015 Derivative assets Interest Rate Caps Other assets $ 2,088 $ 2,689 $ 2,088 $ 2,689 Derivative liabilities TBAs Accrued expenses and other liabilities $ 3,461 $ 2,058 Interest Rate Swaps Accrued expenses and other liabilities 20,624 11,385 $ 24,085 $ 13,443 The following table summarizes notional amounts related to derivatives: September 30, 2016 December 31, 2015 TBAs, short position (A) $ 2,645,300 $ 1,450,000 TBAs, long position (A) 1,441,000 750,000 Interest Rate Caps (B) 2,435,000 3,400,000 Interest Rate Swaps, short positions (C) 2,044,000 2,444,000 (A) Represents the notional amount of Agency RMBS, classified as derivatives. (B) Caps LIBOR at 0.50% for $950.0 million of notional, at 0.75% for $1,150.0 million of notional, at 2.00% for $185.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2016 was 12 months. (C) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2016 was 19 months and the weighted average fixed pay rate was 1.28% . The following table summarizes all income (losses) recorded in relation to derivatives: For the For the 2016 2015 2016 2015 Other income (loss), net (A) TBAs $ 10,502 $ 2,054 $ (22 ) $ 254 Interest Rate Swaps 15,997 (10,221 ) (4,799 ) (15,310 ) Interest Rate Caps 463 (999 ) (3,683 ) (2,369 ) 26,962 (9,166 ) (8,504 ) (17,425 ) Gain (loss) on settlement of investments, net TBAs (15,922 ) (33,398 ) (55,159 ) (36,902 ) Interest Rate Caps — (545 ) (1,124 ) (545 ) Interest Rate Swaps (8,917 ) (10,536 ) (14,024 ) (15,853 ) (24,839 ) (44,479 ) (70,307 ) (53,300 ) Total income (losses) $ 2,123 $ (53,645 ) $ (78,811 ) $ (70,725 ) (A) Represents unrealized gains (losses). |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | Activities related to the carrying value of New Residential’s debt obligations were as follows: Excess MSRs Servicer Advances (A) Real Estate Securities Real Estate Loans and REO Consumer Loans Total Balance at December 31, 2015 $ 182,978 $ 7,047,061 $ 3,017,157 $ 1,004,980 $ 40,446 $ 11,292,622 Repurchase Agreements: Borrowings — — 21,719,656 326,174 21,458 22,067,288 Repayments — — (20,500,091 ) (670,333 ) (8,836 ) (21,179,260 ) Capitalized deferred financing costs, net of amortization — — — (1,138 ) — (1,138 ) Notes and Bonds Payable: Acquired borrowings, net of discount — — — — 1,803,192 1,803,192 Borrowings 401,740 5,101,227 — — 64,342 5,567,309 Repayments (315,662 ) (6,251,482 ) — (6,311 ) (212,953 ) (6,786,408 ) Discount on borrowings, net of amortization 1,420 — — — 147 1,567 Capitalized deferred financing costs, net of amortization (2,186 ) 941 — (175 ) (599 ) (2,019 ) Balance at September 30, 2016 $ 268,290 $ 5,897,747 $ 4,236,722 $ 653,197 $ 1,707,197 $ 12,763,153 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances. The following table presents certain information regarding New Residential’s debt obligations: September 30, 2016 December 31, 2015 Collateral Debt Obligations/Collateral Month Issued Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Repurchase Agreements (C) Agency RMBS (D) Various $ 1,614,256 $ 1,614,256 Oct-16 to Dec-16 0.70 % 0.1 $ 1,591,692 $ 1,684,858 $ 1,680,197 0.5 $ 1,683,305 Non-Agency RMBS (E) Various 2,622,466 2,622,466 Oct-16 to Mar-17 2.24 % 0.1 6,312,788 3,396,357 3,502,317 7.0 1,333,852 Residential Mortgage Loans (F) Various 556,538 554,991 Oct-16 to Sep-18 3.01 % 0.5 882,312 685,345 682,916 3.0 907,993 Real Estate Owned (G)(H) Various 85,403 85,163 Oct-16 to Sep-18 3.09 % 0.4 N/A N/A 108,051 N/A 77,458 Consumer Loan Investment (I) Apr-15 53,068 53,068 Oct-16 5.61 % 0.1 N/A N/A 123,184 4.1 40,446 Total Repurchase Agreements 4,931,731 4,929,944 1.87 % 0.1 4,043,054 Notes and Bonds Payable Secured Corporate Notes (J) Various 270,511 268,290 Apr-18 to Jun-19 5.28 % 1.8 247,538,861 801,924 940,117 5.9 182,978 Servicer Advances (K) Various 5,907,803 5,897,747 Mar-17 to Jun-19 3.52 % 1.0 6,017,968 6,012,315 6,043,369 4.5 7,047,061 Residential Mortgage Loans (L) Oct-15 9,789 9,614 Oct-16 3.39 % 0.1 14,243 8,086 8,086 4.5 19,529 Consumer Loans (M) (N) Various 1,659,453 1,654,129 Sep-19 to Apr-34 4.31 % 3.1 1,822,593 1,812,730 1,811,115 4.0 — Receivable from government agency (L) Oct-15 3,429 3,429 Oct-16 3.39 % 0.1 N/A N/A 4,068 N/A — Total Notes and Bonds Payable 7,850,985 7,833,209 3.74 % 1.5 7,249,568 Total/ Weighted Average $ 12,782,716 $ 12,763,153 3.02 % 1.0 $ 11,292,622 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity of October 2016 were refinanced, extended, or repaid. (C) These repurchase agreements had approximately $6.7 million of associated accrued interest payable as of September 30, 2016 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.5 billion of related trade and other receivables. (E) All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $89.2 million on retained servicer advance bonds. (F) All of these repurchase agreements have LIBOR-based floating interest rates. (G) All of these repurchase agreements have LIBOR-based floating interest rates. (H) Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. (I) The repurchase agreement bears interest equal to three-month LIBOR plus 5.00% and is collateralized by 56% of New Residential’s interest in the Consumer Loan Companies (Note 9). (J) The loans bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.75% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure these notes. (K) $2.2 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.1% to 2.2% . (L) The note is payable to Nationstar and bears interest equal to one-month LIBOR plus 2.875% . (M) Includes the debt assumed in the SpringCastle Transaction (Note 1), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties: $637.1 million UPB of Class A notes with a coupon of 2.7% and a stated maturity date in May 2023 (the “Class A Notes”); $427.0 million UPB of Class B notes with a coupon of 4.61% and a stated maturity date in October 2027 (the “Class B Notes”); $331.2 million UPB of Class C notes with a coupon of 5.59% and a stated maturity date in October 2033 (the “Class C Notes”); and $199.8 million UPB of Class D notes with a coupon of 6.82% and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) the applicable Specified Call Premium Amount (as defined below) for such 2014-A Notes, plus (iii) accrued and unpaid interest and fees in respect of such 2014-A Notes. On or after the payment date occurring in October 2016, the redemption price for any class of 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) accrued and unpaid interest and fees in respect of such 2014-A Notes. The “Specified Call Premium Amount” on any payment date for any class of 2014-A Notes shall mean (i) in the case of Class A Notes, an amount equal to 1.00% of the UPB of the Class A Notes to be redeemed and (ii) in the case of the Class B Notes, the Class C Notes and the Class D Notes, an amount equal to (a) the product of (1) with respect to the Class B Notes, 0.75% , with respect to the Class C Notes, 1.00% and with respect to the Class D Notes, 2.00% , times (2) the UPB of the 2014-A Notes of such class to be redeemed on such payment date, times (3) the number of days, computed on a 30/360 basis, from and including such payment date to but excluding the payment date occurring in October 2016, divided by (b) 360. (N) Includes a $64.3 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25% . |
Schedule of Contractual Maturities of Debt Obligations | New Residential’s debt obligations as of September 30, 2016 had contractual maturities as follows: Year Nonrecourse Recourse Total October 1 through December 31, 2016 $ — $ 4,176,165 $ 4,176,165 2017 5,088,249 680,321 5,768,570 2018 501,636 247,272 748,908 2019 443,451 50,511 493,962 2020 — — — 2021 and thereafter 1,595,111 — 1,595,111 $ 7,628,447 $ 5,154,269 $ 12,782,716 |
Schedule of Borrowing Capacity | The following table represents New Residential’s borrowing capacity as of September 30, 2016 : Debt Obligations / Collateral Collateral Type Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential Mortgage Loans Real Estate Loans and REO $ 2,065,000 $ 641,941 $ 1,423,059 Notes and Bonds Payable Secured Corporate Loan Excess MSRs 525,000 270,511 254,489 Servicer Advances (A) Servicer Advances 7,274,860 5,907,803 1,367,057 Consumer Loans Consumer Loans 125,000 64,342 60,658 $ 9,989,860 $ 6,884,597 $ 3,105,263 (A) New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.2% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained non-agency bonds with a current face amount of $110.1 million . |
FAIR VALUE OF FINANCIAL INSTR38
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of New Residential’s financial assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of September 30, 2016 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Investments in: Excess mortgage servicing rights, at fair value (A) $ 290,291,012 $ 1,404,052 $ — $ — $ 1,404,052 $ 1,404,052 Excess mortgage servicing rights, equity method investees, at fair value (A) 63,834,062 195,904 — — 195,904 195,904 Servicer advances 6,017,968 6,043,369 — — 6,043,369 6,043,369 Real estate securities, available-for-sale 8,027,852 4,991,242 — 1,434,308 3,556,934 4,991,242 Residential mortgage loans, held-for-investment — — — — — — Residential mortgage loans, held-for-sale 927,523 705,481 — — 733,879 733,879 Consumer loans, held-for-investment 1,833,558 1,821,979 — — 1,852,118 1,852,118 Derivative assets 2,435,000 2,088 — 2,088 — 2,088 Cash and cash equivalents 388,674 388,674 388,674 — — 388,674 Restricted cash 153,127 153,127 153,127 — — 153,127 Other Assets 729,193 3,255 — — 3,255 3,255 $ 15,709,171 $ 541,801 $ 1,436,396 $ 13,789,511 $ 15,767,708 Liabilities Repurchase agreements $ 4,931,731 $ 4,929,944 $ — $ 4,931,731 $ — $ 4,931,731 Notes and bonds payable 7,850,985 7,833,209 — — 7,864,545 7,864,545 Derivative liabilities 6,130,300 24,085 — 24,085 — 24,085 $ 12,787,238 $ — $ 4,955,816 $ 7,864,545 $ 12,820,361 (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 non-performing loans in Agency portfolios. |
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | New Residential’s financial assets measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess MSRs (A) Excess MSRs in Equity Method Investees (A)(B) Agency Non-Agency Agency Servicer Advances Non-Agency RMBS Total Balance at December 31, 2015 $ 437,201 $ 1,144,316 $ 217,221 $ 7,426,794 $ 1,584,283 $ 10,809,815 Transfers (C) Transfers from Level 3 — — — — — — Transfers to Level 3 — — — — — — Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — (7,838 ) (7,838 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (7,292 ) (17,105 ) — — — (24,397 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — 8,608 — — 8,608 Included in change in fair value of investments in Servicer Advances — — — 4,328 — 4,328 Included in gain (loss) on settlement of investments, net — — — — (20,950 ) (20,950 ) Included in other income (loss), net (D) 1,930 258 — — (2,779 ) (591 ) Gains (losses) included in other comprehensive income (E) — — — — 105,031 105,031 Interest income 25,156 81,692 — 257,877 133,589 498,314 Purchases, sales and repayments Purchases — — — 11,588,537 2,298,446 13,886,983 Proceeds from sales — — — — (95,430 ) (95,430 ) Proceeds from repayments (68,231 ) (193,873 ) (29,925 ) (13,234,167 ) (437,418 ) (13,963,614 ) Balance at September 30, 2016 $ 388,764 $ 1,015,288 $ 195,904 $ 6,043,369 $ 3,556,934 $ 11,200,259 (A) Includes the recapture agreement for each respective pool. (B) Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest. (C) Transfers are assumed to occur at the beginning of each respective period. (D) 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 and realized gains (losses) recorded during the period. (E) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the weighted average inputs used in valuing the Excess MSRs owned directly and through equity method investees as of September 30, 2016 : Significant Inputs (A) Directly Held (Note 4) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Agency Original Pools 10.6 % 3.3 % 32.5 % 21 24 Recaptured Pools 7.6 % 4.8 % 20.9 % 21 25 Recapture Agreement 7.6 % 4.9 % 20.0 % 22 — 9.8 % 3.7 % 29.2 % 21 24 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 11.9 % N/A 10.6 % 14 24 Recaptured Pools 8.1 % N/A 20.0 % 20 24 Recapture Agreement 7.5 % N/A 20.0 % 20 — Ocwen Serviced Pools 9.6 % N/A — % 14 25 10.0 % N/A 2.7 % 14 25 Total/Weighted Average--Directly Held 9.9 % 3.7 % 10.0 % 16 25 Held through Equity Method Investees (Note 5) Agency Original Pools 12.4 % 5.3 % 35.0 % 19 23 Recaptured Pools 7.8 % 5.0 % 20.0 % 23 25 Recapture Agreement 7.7 % 4.9 % 20.0 % 23 — Total/Weighted Average--Held through Investees 10.4 % 5.2 % 28.6 % 21 24 Total/Weighted Average--All Pools 10.0 % 4.0 % 13.9 % 17 25 (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer. (E) Weighted average total mortgage servicing amount in excess of the basic fee, measured in basis points (bps). (F) Weighted average maturity of the underlying mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the inputs used in valuing the Servicer Advances: Significant Inputs Weighted Average Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) September 30, 2016 2.1 % 10.3 % 14.8 % 8.6 bps 5.4 % 24.7 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount excludes the amounts New Residential pays its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying mortgage loans in the pool. |
Schedule of Securities Valuation Methodology and Results | As of September 30, 2016 , 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) Single Quote (B) Total Level Agency RMBS $ 1,356,580 $ 1,437,777 $ 1,434,308 $ — $ 1,434,308 2 Non-Agency RMBS (C) 6,671,272 3,446,822 3,062,411 494,523 3,556,934 3 Total $ 8,027,852 $ 4,884,599 $ 4,496,719 $ 494,523 $ 4,991,242 (A) New Residential generally obtains pricing service quotations or broker quotations from two sources, one of which is generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does 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 it 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. New Residential 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, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. 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. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable. The third-party pricing services and brokers engaged by New Residential (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. New Residential has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, New Residential creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by New Residential, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 67.6% of our Non-Agency RMBS, the ranges of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 2,403,846 1.57% to 32.75% 0% to 20% 0.1% to 12.0% 5.0% to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) New Residential was unable to obtain quotations from more than one source on these securities. For approximately $462.7 million , the one source was the party that sold New Residential the security. (C) Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. |
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs used in valuing certain loans as of September 30, 2016 : Carrying Value Fair Value Valuation and Loss Provision/ (Reversal) In Current Year Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Reverse Mortgage Loans (D) $ 11,836 $ 13,707 $ 73 7.0 % 4.5 N/A N/A 10.8 % Performing Loans 18,693 18,909 4 8.0 % 5.3 5.4 % 2.4 % 59.3 % Non-performing Loans 564,583 590,894 N/A 7.4 % 2.8 2.4 % 3.0 % 30.0 % Total/Weighted Average $ 595,112 $ 623,510 $ 77 7.4 % 2.9 30.5 % Consumer Loans $ 1,821,979 $ 1,852,118 $ 4,001 9.3 % 4.0 15.2 % 5.5 % 88.0 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. (D) Carrying value and fair value represent a 70% participation interest New Residential holds in the portfolio of reverse mortgage loans. The following table summarizes the inputs used in valuing these loans as of September 30, 2016 : September 30, 2016 Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Residential Mortgage Loans Performing Loans $ 88,474 3.1 % 3.9 17.4 % 0.6 % 11.3 % Non-performing Loans 21,895 6.5 % 3.2 3.0 % 3.0 % 30.0 % Total/Weighted Average $ 110,369 3.8 % 3.8 14.5 % 15.0 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques | The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 2,403,846 1.57% to 32.75% 0% to 20% 0.1% to 12.0% 5.0% to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. |
EQUITY AND EARNINGS PER SHARE (
EQUITY AND EARNINGS PER SHARE (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity and Earnings Per Share [Abstract] | |
Summary of Outstanding Options | As of September 30, 2016 , New Residential’s outstanding options were summarized as follows: Issued Prior to 2011 Issued in 2011-2016 Total Held by the Manager 345,720 10,874,152 11,219,872 Issued to the Manager and subsequently transferred to certain of the Manager’s employees 88,280 1,967,458 2,055,738 Issued to the independent directors — 6,000 6,000 Total 434,000 12,847,610 13,281,610 The following table summarizes New Residential’s outstanding options as of September 30, 2016 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended September 30, 2016 was $13.81 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of September 30, 2016 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of September 30, 2016 (millions) Directors Various 6,000 6,000 $ 13.60 $ — Manager (C) 2003 - 2007 434,000 434,000 31.36 — Manager (C) 2011 - 2012 25,000 25,000 7.19 0.2 Manager (C) 2013 835,571 835,571 11.48 2.0 Manager (C) 2014 1,437,500 1,389,583 12.20 2.2 Manager (C) 2015 8,543,539 4,655,103 15.44 — Manager (C) 2016 2,000,000 66,667 14.20 — Outstanding 13,281,610 7,411,924 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Manager assigned certain of its options to Fortress’s employees as follows: Date of Grant Range of Exercise Prices Total Unexercised Inception to Date 2006-2007 $29.92 to $33.80 88,280 2013 $10.24 to $11.48 — 2014 $12.20 258,750 2015 $15.25 to $15.88 1,708,708 2016 $13.65 to $14.20 — Total 2,055,738 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2015 outstanding options 12,380,107 Options granted 2,002,000 $ 14.20 Options exercised (1,100,497 ) $ 10.59 Options expired unexercised — September 30, 2016 outstanding options 13,281,610 See table above |
TRANSACTIONS WITH AFFILIATES 40
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Transactions With Affiliates And Affiliated Entities | |
Schedule of Affiliate Transactions | Due to affiliates is comprised of the following amounts: September 30, 2016 December 31, 2015 Management fees $ 3,688 $ 6,671 Incentive compensation 13,200 16,017 Expense reimbursements and other 1,722 1,097 $ 18,610 $ 23,785 Affiliate expenses and fees were comprised of: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Management fees $ 10,536 $ 9,860 $ 30,552 $ 23,357 Incentive compensation 7,075 1,811 13,200 7,895 Expense reimbursements (A) 125 125 375 375 Total $ 17,736 $ 11,796 $ 44,127 $ 31,627 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. |
RECLASSIFICATION FROM ACCUMUL41
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Summary of Amounts Reclassified out of Accumulated Other Comprehensive Income into Net Income | The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: Accumulated Other Comprehensive Income Components Statement of Income Location Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Reclassification of net realized (gain) loss on securities into earnings Gain on settlement of investments, net $ 679 $ (24,454 ) $ (15,072 ) $ (31,230 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 1,765 1,574 7,838 3,294 Total reclassifications $ 2,444 $ (22,880 ) $ (7,234 ) $ (27,936 ) New Residential did not allocate any income tax expense or benefit to any component of other comprehensive income for any period presented, as no taxable subsidiary generated other comprehensive income. |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax expense (benefit) consists of the following: Three Months Ended September 30, Nine Months Ended 2016 2015 2016 2015 Current: Federal $ 3,290 $ 505 $ 4,561 $ 1,135 State and Local 478 (982 ) 636 (2,073 ) Total Current Income Tax Expense (Benefit) 3,768 (477 ) 5,197 (938 ) Deferred: Federal 16,375 (3,193 ) 12,575 8,764 State and Local 757 (2,262 ) 423 (2,879 ) Total Deferred Income Tax Expense (Benefit) 17,132 (5,455 ) 12,998 5,885 Total Income Tax Expense (Benefit) $ 20,900 $ (5,932 ) $ 18,195 $ 4,947 |
ORGANIZATION AND BASIS OF PRE43
ORGANIZATION AND BASIS OF PRESENTATION - Common Stock (Details) - shares | Sep. 30, 2016 | Dec. 31, 2015 |
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 250,773,117 | 230,471,202 |
Common stock options, outstanding (in shares) | 13,281,610 | 12,380,107 |
Fortress [Member] | ||
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 2,400,000 | |
Common stock options, outstanding (in shares) | 11,200,000 |
ORGANIZATION AND BASIS OF PRE44
ORGANIZATION AND BASIS OF PRESENTATION - SpringCastle Transaction (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Sep. 30, 2016 | Apr. 01, 2016 | Mar. 30, 2016 |
Consumer Loan Companies [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Ownership percentage by noncontrolling owners | 46.50% | |||
SpringCastle [Member] | Consumer Loan Companies [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Ownership percentage by noncontrolling owners | 30.00% | |||
Equity method investments, fair value | $ 71.3 | |||
SpringCastle [Member] | New Residential Investment Corp. [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Parent's ownership percentage | 53.50% | |||
Consumer Loan Companies [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Total consideration | $ 237.5 | |||
Consumer Loan Companies [Member] | New Residential Investment Corp. [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Total consideration | $ 237.5 | |||
Parent's ownership percentage | 53.50% | |||
Percent of net assets used in gross purchase price | 100.00% | |||
SpringCastle Sellers [Member] | SpringCastle [Member] | SpringCastle Buyers [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Ownership percentage by noncontrolling owners | 47.00% | |||
Total consideration | $ 111.6 | |||
Cash consideration | 100.5 | |||
Other Payments to Acquire Businesses | $ 11.2 | |||
Term for payment to escrow account (in days) | 120 days | |||
Term for funds held in escrow (in years) | 5 years | |||
SpringCastle Sellers [Member] | SpringCastle [Member] | NRZ SpringCastle Buyers [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Percentage of voting interests acquired | 23.50% | |||
Voting interests acquired as a percentage of gross voting interests available for sale | 50.00% | |||
Percentage of total consideration paid | 50.00% | |||
Blackstone SpringCastle Buyers [Member] | SpringCastle [Member] | ||||
Business Combination, Separately Recognized Transactions [Line Items] | ||||
Ownership percentage by noncontrolling owners | 46.50% | |||
Voting interests acquired as a percentage of gross voting interests available for sale | 50.00% |
ORGANIZATION AND BASIS OF PRE45
ORGANIZATION AND BASIS OF PRESENTATION - Summary of Preliminary Purchase Price Allocation (Details) - Consumer Loan Companies [Member] $ in Millions | Mar. 31, 2016USD ($) |
Business Acquisition [Line Items] | |
Total consideration | $ 237.5 |
Assets | |
Consumer loans, held-for-investment | 1,934.7 |
Cash and cash equivalents | 0.3 |
Restricted cash | 74.6 |
Other assets | 35.9 |
Total Assets Acquired | 2,045.5 |
Liabilities | |
Notes and bonds payable | 1,803.2 |
Accrued expenses and other liabilities | 4.8 |
Total Liabilities Assumed | 1,808 |
Net Assets | $ 237.5 |
ORGANIZATION AND BASIS OF PRE46
ORGANIZATION AND BASIS OF PRESENTATION - Summary of Unaudited Pro Forma Combined Interest Income and Income (Loss) Before Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Mar. 30, 2016 | |
Pro Forma | |||||
Interest income | $ 282,388 | $ 182,341 | $ 749,901 | $ 444,891 | |
Income (Loss) Before Income Taxes | 151,986 | 55,823 | 358,846 | 187,777 | |
Consumer Loan Companies [Member] | |||||
Pro Forma | |||||
Interest Income | 282,388 | 276,720 | 836,814 | 739,490 | |
Income Before Income Taxes | 151,986 | 85,158 | 319,144 | 388,041 | |
Noncontrolling Interests in Income of Consolidated Subsidiaries | 32,178 | 27,523 | 79,944 | 77,870 | |
Acquisition related costs | 1,500 | ||||
Consumer Loans [Member] | |||||
Pro Forma | |||||
Interest income | 77,231 | 0 | 155,541 | 1 | |
Income (Loss) Before Income Taxes | 28,166 | $ 13,790 | $ 138,264 | $ 32,112 | |
Consumer Loans [Member] | Operating Segments [Member] | |||||
Pro Forma | |||||
Interest income | 154,300 | ||||
Income (Loss) Before Income Taxes | $ 60,100 | ||||
Consumer Loan Companies [Member] | SpringCastle [Member] | |||||
Business Acquisition, Pro Forma Information, Nonrecurring Adjustment [Line Items] | |||||
Equity method investments, fair value | $ 71,300 |
OTHER INCOME, ASSETS AND LIAB47
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Other income (loss), net | ||||
Unrealized gain (loss) on derivative instruments | $ 26,962 | $ (9,166) | $ (8,504) | $ (17,425) |
Unrealized gain (loss) on other ABS | 724 | (706) | (226) | (1,073) |
Gain (loss) on transfer of loans to REO | 4,373 | 1,272 | 14,660 | 1,075 |
Gain on Excess MSR recapture agreements | 768 | 669 | 2,188 | 2,247 |
Gain (loss) on transfer of loans to other assets | 2,743 | 314 | 3,021 | 143 |
Other income (loss) | (2,597) | 6,069 | 2,319 | 5,001 |
Total other income (loss), net | $ 32,973 | $ (1,548) | $ 13,458 | $ (10,032) |
OTHER INCOME, ASSETS AND LIAB48
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Gain (Loss) on Settlement of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Gain on Settlement of Investments, Net | ||||
Gain (loss) on sale of real estate securities, net | $ (679) | $ 24,454 | $ 15,072 | $ 31,230 |
Gain (loss) on sale of residential mortgage loans, net | 8,537 | 226 | 9,142 | 31,808 |
Gain (loss) on settlement of derivatives | (24,839) | (44,479) | (70,307) | (53,300) |
Gain (loss) on liquidated residential mortgage loans | (1,331) | 246 | (1,603) | 492 |
Gain (loss) on sale of REO | 2,207 | (1,914) | 5,193 | (9,751) |
Other gains (losses) | (974) | (15) | (1,787) | (5,993) |
Gain (loss) on settlement of investments, net | $ (17,079) | $ (21,482) | $ (44,290) | $ (5,514) |
OTHER INCOME, ASSETS AND LIAB49
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Other Assets | ||
Margin receivable, net | $ 52,471 | $ 54,459 |
Other receivables | 6,984 | 5,829 |
Principal paydown receivable | 1,834 | 795 |
Receivable from government agency | 63,204 | 68,833 |
Call rights | 414 | 414 |
Derivative assets (Note 10) | 2,088 | 2,689 |
Interest receivable | 53,964 | 36,963 |
Ginnie Mae EBO servicer advance receivable, net | 17,924 | 49,725 |
Due from servicers | 17,788 | 5,064 |
Other assets | 20,188 | 14,675 |
Prepaid expense and other assets | 236,859 | 239,446 |
Accrued Expenses and Other Liabilities | ||
Interest payable | 17,965 | 18,268 |
Accounts payable | 33,727 | 18,650 |
Derivative liabilities (Note 10) | 24,085 | 13,443 |
Current taxes payable | 3,678 | 1,573 |
Due to servicers | 8,975 | 0 |
Other liabilities | 5,026 | 6,112 |
Accrued Expenses and Other Liabilities | $ 93,456 | $ 58,046 |
OTHER INCOME, ASSETS AND LIAB50
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Accretion and other amortization: | |||
Accretion of servicer advance interest income | $ 257,877 | $ 256,045 | |
Accretion of excess mortgage servicing rights income | 106,848 | 87,874 | |
Accretion of net discount on securities and loans | [1] | 164,806 | 35,239 |
Amortization of deferred financing costs | (13,889) | (18,691) | |
Amortization of discount on notes and bonds payable | (1,120) | 0 | |
Accretion of loan discount and premium amortization, net | $ 514,522 | $ 360,467 | |
[1] | Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING - Summary of
SEGMENT REPORTING - Summary of Segment Financial Data (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Segment Reporting Information [Line Items] | ||||||
Interest income | $ 282,388 | $ 182,341 | $ 749,901 | $ 444,891 | ||
Interest expense | 96,488 | 77,558 | 278,401 | 193,408 | ||
Net interest income (expense) | 185,900 | 104,783 | 471,500 | 251,483 | ||
Impairment | 20,040 | (1,767) | 49,683 | 5,702 | ||
Other income (loss) | 26,701 | (17,825) | 38,900 | 32,120 | ||
Operating expenses | 40,575 | 32,902 | 101,871 | 90,124 | ||
Income (Loss) Before Income Taxes | 151,986 | 55,823 | 358,846 | 187,777 | ||
Income tax expense (benefit) | 20,900 | (5,932) | 18,195 | 4,947 | ||
Net Income (Loss) | 131,086 | 61,755 | 340,651 | 182,830 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 32,178 | 7,193 | 61,355 | 17,174 | ||
Net Income Attributable to Common Stockholders | 98,908 | 54,562 | 279,296 | 165,656 | ||
Investments | 15,222,486 | 15,222,486 | ||||
Cash and cash equivalents | 388,674 | 388,674 | ||||
Restricted cash | 153,127 | 153,127 | $ 94,702 | |||
Other assets | 1,940,095 | 1,940,095 | ||||
Total assets | 17,704,382 | 17,704,382 | 15,192,722 | |||
Debt | [1] | 12,763,153 | 12,763,153 | 11,292,622 | ||
Other liabilities | 1,523,718 | 1,523,718 | ||||
Total liabilities | 14,286,871 | 14,286,871 | 12,206,142 | |||
Total equity | 3,417,511 | 3,417,511 | 2,986,580 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 289,161 | 289,161 | 190,647 | |||
Total New Residential stockholders’ equity | 3,128,350 | 3,128,350 | $ 2,795,933 | |||
Investments in equity method investees | 195,904 | 195,904 | ||||
Excess MSRs [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 30,617 | 38,477 | 106,848 | 87,874 | ||
Interest expense | 4,002 | 2,936 | 12,117 | 8,681 | ||
Net interest income (expense) | 26,615 | 35,541 | 94,731 | 79,193 | ||
Impairment | 0 | 0 | 0 | 0 | ||
Other income (loss) | (10,052) | 10,227 | (14,234) | 18,415 | ||
Operating expenses | 536 | 168 | 1,066 | 517 | ||
Income (Loss) Before Income Taxes | 16,027 | 45,600 | 79,431 | 97,091 | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Net Income (Loss) | 16,027 | 45,600 | 79,431 | 97,091 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net Income Attributable to Common Stockholders | 16,027 | 45,600 | 79,431 | 97,091 | ||
Investments | 1,599,956 | 1,599,956 | ||||
Cash and cash equivalents | 5,377 | 5,377 | ||||
Restricted cash | 2,406 | 2,406 | ||||
Other assets | 2,557 | 2,557 | ||||
Total assets | 1,610,296 | 1,610,296 | ||||
Debt | 268,290 | 268,290 | ||||
Other liabilities | 1,962 | 1,962 | ||||
Total liabilities | 270,252 | 270,252 | ||||
Total equity | 1,340,044 | 1,340,044 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 1,340,044 | 1,340,044 | ||||
Investments in equity method investees | 195,904 | 195,904 | ||||
Servicer Advances [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 101,359 | 105,135 | 265,119 | 256,087 | ||
Interest expense | 54,802 | 64,291 | 176,672 | 151,377 | ||
Net interest income (expense) | 46,557 | 40,844 | 88,447 | 104,710 | ||
Impairment | 0 | 0 | 0 | 0 | ||
Other income (loss) | 21,430 | (12,554) | 9,103 | 835 | ||
Operating expenses | 1,029 | 10,341 | 3,076 | 12,604 | ||
Income (Loss) Before Income Taxes | 66,958 | 17,949 | 94,474 | 92,941 | ||
Income tax expense (benefit) | 16,348 | (4,852) | 13,743 | 7,565 | ||
Net Income (Loss) | 50,610 | 22,801 | 80,731 | 85,376 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 18,853 | 7,193 | 33,400 | 22,332 | ||
Net Income Attributable to Common Stockholders | 31,757 | 15,608 | 47,331 | 63,044 | ||
Investments | 6,294,697 | 6,294,697 | ||||
Cash and cash equivalents | 134,000 | 134,000 | ||||
Restricted cash | 90,899 | 90,899 | ||||
Other assets | 181,521 | 181,521 | ||||
Total assets | 6,701,117 | 6,701,117 | ||||
Debt | 6,210,358 | 6,210,358 | ||||
Other liabilities | 28,616 | 28,616 | ||||
Total liabilities | 6,238,974 | 6,238,974 | ||||
Total equity | 462,143 | 462,143 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 182,094 | 182,094 | ||||
Total New Residential stockholders’ equity | 280,049 | 280,049 | ||||
Investments in equity method investees | 0 | 0 | ||||
Real Estate Securities [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 58,855 | 28,984 | 172,982 | 66,699 | ||
Interest expense | 13,008 | 5,150 | 31,425 | 12,171 | ||
Net interest income (expense) | 45,847 | 23,834 | 141,557 | 54,528 | ||
Impairment | 1,765 | 1,574 | 7,838 | 3,294 | ||
Other income (loss) | 1,392 | (28,354) | (59,472) | (37,655) | ||
Operating expenses | 369 | 766 | 1,307 | 769 | ||
Income (Loss) Before Income Taxes | 45,105 | (6,860) | 72,940 | 12,810 | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Net Income (Loss) | 45,105 | (6,860) | 72,940 | 12,810 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net Income Attributable to Common Stockholders | 45,105 | (6,860) | 72,940 | 12,810 | ||
Investments | 4,739,914 | 4,739,914 | ||||
Cash and cash equivalents | 1,305 | 1,305 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 1,578,722 | 1,578,722 | ||||
Total assets | 6,319,941 | 6,319,941 | ||||
Debt | 3,924,111 | 3,924,111 | ||||
Other liabilities | 1,326,013 | 1,326,013 | ||||
Total liabilities | 5,250,124 | 5,250,124 | ||||
Total equity | 1,069,817 | 1,069,817 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 1,069,817 | 1,069,817 | ||||
Investments in equity method investees | 0 | 0 | ||||
Real Estate Loans [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 13,947 | 8,888 | 47,712 | 32,408 | ||
Interest expense | 6,153 | 4,651 | 20,447 | 15,929 | ||
Net interest income (expense) | 7,794 | 4,237 | 27,265 | 16,479 | ||
Impairment | (291) | (3,341) | 7,309 | 2,408 | ||
Other income (loss) | 13,931 | (1,530) | 22,295 | 20,063 | ||
Operating expenses | 4,251 | 2,845 | 11,194 | 14,557 | ||
Income (Loss) Before Income Taxes | 17,765 | 3,203 | 31,057 | 19,577 | ||
Income tax expense (benefit) | 4,556 | (1,405) | 4,377 | (2,942) | ||
Net Income (Loss) | 13,209 | 4,608 | 26,680 | 22,519 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net Income Attributable to Common Stockholders | 13,209 | 4,608 | 26,680 | 22,519 | ||
Investments | 765,940 | 765,940 | ||||
Cash and cash equivalents | 3,736 | 3,736 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 108,359 | 108,359 | ||||
Total assets | 878,035 | 878,035 | ||||
Debt | 653,197 | 653,197 | ||||
Other liabilities | 20,608 | 20,608 | ||||
Total liabilities | 673,805 | 673,805 | ||||
Total equity | 204,230 | 204,230 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 204,230 | 204,230 | ||||
Investments in equity method investees | 0 | 0 | ||||
Consumer Loans [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 77,231 | 0 | 155,541 | 1 | ||
Interest expense | 18,523 | 530 | 37,740 | 1,054 | ||
Net interest income (expense) | 58,708 | (530) | 117,801 | (1,053) | ||
Impairment | 18,566 | 0 | 34,536 | 0 | ||
Other income (loss) | 0 | 14,386 | 81,193 | 33,342 | ||
Operating expenses | 11,976 | 66 | 26,194 | 177 | ||
Income (Loss) Before Income Taxes | 28,166 | 13,790 | 138,264 | 32,112 | ||
Income tax expense (benefit) | 0 | 325 | 75 | 324 | ||
Net Income (Loss) | 28,166 | 13,465 | 138,189 | 31,788 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 13,325 | 0 | 27,955 | 0 | ||
Net Income Attributable to Common Stockholders | 14,841 | 13,465 | 110,234 | 31,788 | ||
Investments | 1,821,979 | 1,821,979 | ||||
Cash and cash equivalents | 15,022 | 15,022 | ||||
Restricted cash | 59,822 | 59,822 | ||||
Other assets | 48,533 | 48,533 | ||||
Total assets | 1,945,356 | 1,945,356 | ||||
Debt | 1,707,197 | 1,707,197 | ||||
Other liabilities | 5,519 | 5,519 | ||||
Total liabilities | 1,712,716 | 1,712,716 | ||||
Total equity | 232,640 | 232,640 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 107,067 | 107,067 | ||||
Total New Residential stockholders’ equity | 125,573 | 125,573 | ||||
Investments in equity method investees | 0 | 0 | ||||
Corporate [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 379 | 857 | 1,699 | 1,822 | ||
Interest expense | 0 | 0 | 0 | 4,196 | ||
Net interest income (expense) | 379 | 857 | 1,699 | (2,374) | ||
Impairment | 0 | 0 | 0 | 0 | ||
Other income (loss) | 0 | 0 | 15 | (2,880) | ||
Operating expenses | 22,414 | 18,716 | 59,034 | 61,500 | ||
Income (Loss) Before Income Taxes | (22,035) | (17,859) | (57,320) | (66,754) | ||
Income tax expense (benefit) | (4) | 0 | 0 | 0 | ||
Net Income (Loss) | (22,031) | (17,859) | (57,320) | (66,754) | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | (5,158) | ||
Net Income Attributable to Common Stockholders | (22,031) | $ (17,859) | (57,320) | $ (61,596) | ||
Investments | 0 | 0 | ||||
Cash and cash equivalents | 229,234 | 229,234 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 20,403 | 20,403 | ||||
Total assets | 249,637 | 249,637 | ||||
Debt | 0 | 0 | ||||
Other liabilities | 141,000 | 141,000 | ||||
Total liabilities | 141,000 | 141,000 | ||||
Total equity | 108,637 | 108,637 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 108,637 | 108,637 | ||||
Investments in equity method investees | $ 0 | $ 0 | ||||
[1] | Net of deferred financing costs. |
INVESTMENTS IN EXCESS MORTGAG52
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) - Excess MSRs [Member] $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | $ 1,581,517 | [1] |
Purchases | 0 | |
Interest income | 106,848 | |
Other income | 2,188 | |
Proceeds from repayments | (262,104) | |
Change in fair value | (24,397) | |
Ending balance | 1,404,052 | [1] |
Nationstar [Member] | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 698,304 | |
Purchases | 0 | |
Interest income | 47,049 | |
Other income | 2,188 | |
Proceeds from repayments | (111,999) | |
Change in fair value | (9,521) | |
Ending balance | 626,021 | |
SLS [Member] | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 5,307 | [2] |
Purchases | 0 | [2] |
Interest income | (16) | [2] |
Other income | 0 | [2] |
Proceeds from repayments | (796) | [2] |
Change in fair value | (86) | [2] |
Ending balance | 4,409 | [2] |
Ocwen [Member] | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 877,906 | [3] |
Purchases | 0 | [3] |
Interest income | 59,815 | [3] |
Other income | 0 | [3] |
Proceeds from repayments | (149,309) | [3] |
Change in fair value | (14,790) | [3] |
Ending balance | $ 773,622 | [3] |
[1] | Carrying Value represents the fair value of the pools or recapture agreements, as applicable. | |
[2] | Specialized Loan Servicing LLC (“SLS”). | |
[3] | Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. |
INVESTMENTS IN EXCESS MORTGAG53
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Narrative (Details) - USD ($) $ in Thousands | Jan. 04, 2016 | Sep. 30, 2016 | Sep. 30, 2016 |
Excess MSRs Investees [Member] | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 63,834,062 | $ 63,834,062 | |
Excess MSRs Investees [Member] | MSRs [Member] | |||
Investment [Line Items] | |||
Weighted average discount rate, used to value investments in excess MSRs | 9.80% | 9.80% | |
Fannie Mae [Member] | Excess MSRs [Member] | |||
Investment [Line Items] | |||
Purchase of servicer advance investments | $ 2,000 | ||
Percentage of Excess MSRs acquired | 66.70% | ||
UPB of Underlying Mortgages | $ 17,200,000 | ||
Fannie Mae [Member] | Excess MSRs [Member] | Nationstar [Member] | |||
Investment [Line Items] | |||
Percentage of Excess MSRs acquired | 33.30% |
INVESTMENTS IN EXCESS MORTGAG54
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Direct Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Investment [Line Items] | ||||||
Weighted Average Life (Years) | 11 months 13 days | |||||
Principal investment gain (loss) | $ (17,060) | $ 1,131 | $ (24,397) | $ (274) | ||
Servicer Advance Joint Venture [Member] | Servicer Advances [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | [1] | 194,223,701 | 194,223,701 | $ 220,256,804 | ||
Original and Recaptured Pools [Member] | ||||||
Investment [Line Items] | ||||||
Principal investment gain (loss) | (15,395) | 1,485 | (28,392) | (3,933) | ||
Recapture Agreements [Member] | ||||||
Investment [Line Items] | ||||||
Principal investment gain (loss) | (1,665) | $ (354) | 3,995 | $ 3,659 | ||
Excess MSRs [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | 290,291,012 | $ 290,291,012 | ||||
Weighted Average Life (Years) | [2] | 6 years 3 months 18 days | ||||
Amortized Cost Basis | [3] | 1,280,285 | $ 1,280,285 | |||
Carrying Value | [4] | 1,404,052 | 1,404,052 | 1,581,517 | ||
Excess MSRs [Member] | Nationstar [Member] | ||||||
Investment [Line Items] | ||||||
Carrying Value | 626,021 | 626,021 | 698,304 | |||
Excess MSRs [Member] | Agency [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | 82,159,586 | $ 82,159,586 | ||||
Weighted Average Life (Years) | [2] | 6 years 4 months 24 days | ||||
Amortized Cost Basis | [3] | 330,958 | $ 330,958 | |||
Carrying Value | [4] | 388,764 | 388,764 | 437,201 | ||
Excess MSRs [Member] | Agency [Member] | Original and Recaptured Pools [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | 82,159,586 | $ 82,159,586 | ||||
Weighted Average Life (Years) | [2] | 5 years 10 months 24 days | ||||
Amortized Cost Basis | [3] | 302,541 | $ 302,541 | |||
Carrying Value | [4] | $ 333,816 | $ 333,816 | 378,083 | ||
Excess MSRs [Member] | Agency [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 32.50% | 32.50% | ||||
Excess MSRs [Member] | Agency [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 66.70% | 66.70% | ||||
Excess MSRs [Member] | Agency [Member] | Original and Recaptured Pools [Member] | Weighted Average [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 53.30% | 53.30% | ||||
Excess MSRs [Member] | Agency [Member] | Recapture Agreements [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | $ 0 | $ 0 | ||||
Weighted Average Life (Years) | [2] | 11 years 10 months 24 days | ||||
Amortized Cost Basis | [3] | 28,417 | $ 28,417 | |||
Carrying Value | [4] | $ 54,948 | $ 54,948 | 59,118 | ||
Excess MSRs [Member] | Agency [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 32.50% | 32.50% | ||||
Excess MSRs [Member] | Agency [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 66.70% | 66.70% | ||||
Excess MSRs [Member] | Agency [Member] | Recapture Agreements [Member] | Weighted Average [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 53.70% | 53.70% | ||||
Excess MSRs [Member] | Agency [Member] | Fortress [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 0.00% | 0.00% | ||||
Excess MSRs [Member] | Agency [Member] | Fortress [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 40.00% | 40.00% | ||||
Excess MSRs [Member] | Agency [Member] | Fortress [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 0.00% | 0.00% | ||||
Excess MSRs [Member] | Agency [Member] | Fortress [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 40.00% | 40.00% | ||||
Excess MSRs [Member] | Agency [Member] | Nationstar [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 20.00% | 20.00% | ||||
Excess MSRs [Member] | Agency [Member] | Nationstar [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 35.00% | 35.00% | ||||
Excess MSRs [Member] | Agency [Member] | Nationstar [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 20.00% | 20.00% | ||||
Excess MSRs [Member] | Agency [Member] | Nationstar [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | 35.00% | 35.00% | ||||
Excess MSRs [Member] | Non-Agency [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | [5] | $ 208,131,426 | $ 208,131,426 | |||
Weighted Average Life (Years) | [2],[5] | 6 years 3 months 18 days | ||||
Amortized Cost Basis | [3],[5] | 949,327 | $ 949,327 | |||
Carrying Value | [4],[5] | 1,015,288 | 1,015,288 | 1,144,316 | ||
Excess MSRs [Member] | Non-Agency [Member] | Original and Recaptured Pools [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | [5] | 82,010,764 | $ 82,010,764 | |||
Weighted Average Life (Years) | [2],[5] | 5 years 3 months 18 days | ||||
Amortized Cost Basis | [3],[5] | 190,184 | $ 190,184 | |||
Carrying Value | [4],[5] | $ 227,883 | $ 227,883 | 250,662 | ||
Excess MSRs [Member] | Non-Agency [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 33.30% | 33.30% | |||
Excess MSRs [Member] | Non-Agency [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 80.00% | 80.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Original and Recaptured Pools [Member] | Weighted Average [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 59.30% | 59.30% | |||
Excess MSRs [Member] | Non-Agency [Member] | Recapture Agreements [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | [5] | $ 0 | $ 0 | |||
Weighted Average Life (Years) | [2],[5] | 12 years 1 month 6 days | ||||
Amortized Cost Basis | [3],[5] | 12,210 | $ 12,210 | |||
Carrying Value | [4],[5] | $ 13,783 | $ 13,783 | 15,748 | ||
Excess MSRs [Member] | Non-Agency [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 33.30% | 33.30% | |||
Excess MSRs [Member] | Non-Agency [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 80.00% | 80.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Recapture Agreements [Member] | Weighted Average [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [6] | 56.80% | 56.80% | |||
Excess MSRs [Member] | Non-Agency [Member] | Ocwen Serviced Pools [Member] | ||||||
Investment [Line Items] | ||||||
UPB of Underlying Mortgages | [5] | $ 126,120,662 | $ 126,120,662 | |||
Interest in Excess MSR | [5],[6] | 100.00% | 100.00% | |||
Weighted Average Life (Years) | [2],[5] | 6 years 4 months 24 days | ||||
Amortized Cost Basis | [3],[5] | $ 746,933 | $ 746,933 | |||
Carrying Value | [4],[5] | $ 773,622 | $ 773,622 | $ 877,906 | ||
Excess MSRs [Member] | Non-Agency [Member] | Fortress [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Fortress [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 50.00% | 50.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Fortress [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Fortress [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 50.00% | 50.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Fortress [Member] | Ocwen Serviced Pools [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Nationstar [Member] | Original and Recaptured Pools [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Nationstar [Member] | Original and Recaptured Pools [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 33.30% | 33.30% | |||
Excess MSRs [Member] | Non-Agency [Member] | Nationstar [Member] | Recapture Agreements [Member] | Minimum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
Excess MSRs [Member] | Non-Agency [Member] | Nationstar [Member] | Recapture Agreements [Member] | Maximum [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 33.30% | 33.30% | |||
Excess MSRs [Member] | Non-Agency [Member] | Nationstar [Member] | Ocwen Serviced Pools [Member] | ||||||
Investment [Line Items] | ||||||
Interest in Excess MSR | [5] | 0.00% | 0.00% | |||
[1] | The following types of advances comprise the investments in Servicer Advances: September 30, 2016December 31, 2015Principal and interest advances$1,651,576$2,229,468Escrow advances (taxes and insurance advances)2,786,2033,687,559Foreclosure advances1,580,1891,661,083Total$6,017,968 $7,578,110 | |||||
[2] | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. | |||||
[3] | The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. | |||||
[4] | Carrying Value represents the fair value of the pools or recapture agreements, as applicable. | |||||
[5] | New Residential also invested in the related Servicer Advances, including the basic fee component of the related MSR as of September 30, 2016 (Note 6) on $194.2 billion UPB underlying these Excess MSRs. | |||||
[6] | Amounts in parentheses represent weighted averages. |
INVESTMENTS IN EXCESS MORTGAG55
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investments in Excess MSRs (Details) - Mortgage Loans [Member] - MSRs [Member] | Sep. 30, 2016 | Dec. 31, 2015 |
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 100.00% | 100.00% |
California [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 26.40% | 26.70% |
Florida [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 8.80% | 8.90% |
New York [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 8.10% | 7.80% |
Texas [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 4.20% | 4.30% |
New Jersey [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 4.10% | 4.10% |
Maryland [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.80% | 3.80% |
Massachusetts [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 2.70% | 2.70% |
Illinois [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.40% | 3.40% |
Virginia [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.10% | 3.10% |
Washington [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 2.60% | 2.70% |
Other U.S. [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 32.80% | 32.50% |
INVESTMENTS IN EXCESS MORTGAG56
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES - Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees (Details) - Excess MSRs Investees [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Schedule of Equity Method Investments [Line Items] | |||||
Excess MSR assets | $ 374,962 | $ 374,962 | $ 421,999 | ||
Other assets | 16,846 | 16,846 | 12,442 | ||
Other liabilities | 0 | 0 | 0 | ||
Equity | 391,808 | 391,808 | 434,441 | ||
New Residential’s investment | $ 195,904 | $ 195,904 | $ 217,221 | ||
New Residential’s ownership | 50.00% | 50.00% | 50.00012% | ||
Interest income | $ 12,205 | $ 12,399 | $ 24,526 | $ 33,316 | |
Other income (loss) | 339 | 4,492 | (7,244) | (348) | |
Expenses | (22) | (38) | (66) | (82) | |
Net income | $ 12,522 | $ 16,853 | $ 17,216 | $ 32,886 |
INVESTMENTS IN EXCESS MORTGAG57
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES - Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees - Roll Forward (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Distributions of capital from equity method investees | $ (11,900) | $ (3,867) |
Recurring Basis [Member] | ||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Beginning balance | 217,221 | |
Contributions to equity method investees | 0 | |
Distributions of earnings from equity method investees | (18,025) | |
Distributions of capital from equity method investees | (11,900) | |
Change in fair value of investments in equity method investees | 8,608 | |
Ending balance | $ 195,904 |
INVESTMENTS IN EXCESS MORTGAG58
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES - Summary of Excess MSR Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Equity Method Investments [Line Items] | |||
Weighted Average Life (Years) | 11 months 13 days | ||
Excess MSRs Investees [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 63,834,062 | ||
New Residential Interest in Investees | 50.00% | 50.00012% | |
Amortized Cost Basis | [1] | $ 282,544 | |
Carrying Value | [2] | $ 374,962 | |
Weighted Average Life (Years) | [3] | 6 years 5 months 7 days | |
Excess MSRs Investees [Member] | MSRs [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential Interest in Investees | 50.00% | ||
Excess MSRs Investees [Member] | Agency [Member] | Original and Recaptured Pools [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 63,834,062 | ||
Investee Interest in Excess MSR | [4] | 66.70% | |
New Residential Interest in Investees | 50.00% | ||
Amortized Cost Basis | [1] | $ 249,388 | |
Carrying Value | [2] | $ 314,265 | |
Weighted Average Life (Years) | [3] | 5 years 8 months 25 days | |
Excess MSRs Investees [Member] | Agency [Member] | Recapture Agreements [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 0 | ||
Investee Interest in Excess MSR | [4] | 66.70% | |
New Residential Interest in Investees | 50.00% | ||
Amortized Cost Basis | [1] | $ 33,156 | |
Carrying Value | [2] | $ 60,697 | |
Weighted Average Life (Years) | [3] | 11 years 8 months 16 days | |
[1] | 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. | ||
[2] | 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. | ||
[3] | The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. | ||
[4] | The remaining interests are held by Nationstar. |
INVESTMENTS IN EXCESS MORTGAG59
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES - Narrative (Details) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | |
Excess MSRs Investees [Member] | MSRs [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Weighted average discount rate, used to value investments in excess MSRs | 9.80% | 9.80% |
INVESTMENTS IN EXCESS MORTGAG60
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS, EQUITY METHOD INVESTEES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Excess MSR Investments made through Equity Method Investees (Details) - Mortgage Loans [Member] - Excess MSRs Investees [Member] | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 100.00% | 100.00% |
California [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 12.80% | 12.90% |
Florida [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 7.30% | 7.40% |
Texas [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 6.10% | 6.10% |
New York [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 6.00% | 5.80% |
Georgia [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 5.70% | 5.70% |
New Jersey [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 4.20% | 4.30% |
Illinois [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 4.10% | 4.00% |
Maryland [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.30% | 3.20% |
Virginia [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.20% | 3.20% |
Pennsylvania [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 3.20% | 3.10% |
Other U.S. [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount as of | 44.10% | 44.30% |
INVESTMENTS IN SERVICER ADVAN61
INVESTMENTS IN SERVICER ADVANCES - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2014 | |
Advance Purchaser LLC [Member] | ||
Investment [Line Items] | ||
Capital distributed to third-party co-investors | $ 277.5 | |
Capital distributed to New Residential | $ 222.8 | |
Nationstar [Member] | ||
Investment [Line Items] | ||
Servicer basic fee, percent | 9.30% | |
Performance fee, percent (up to) | 100.00% | |
SLS [Member] | ||
Investment [Line Items] | ||
Servicing fee basis points | 0.1075% | |
SLS [Member] | Excess MSRs [Member] | ||
Investment [Line Items] | ||
Percentage of Excess MSRs acquired | 50.00% | |
Fortress [Member] | Excess MSRs [Member] | ||
Investment [Line Items] | ||
Percentage of additional Excess MSRs acquired | 50.00% | |
Ocwen [Member] | ||
Investment [Line Items] | ||
Servicing asset fee, percent | 12.00% | |
Servicing fee basis points | 0.06% | |
Ocwen [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||
Investment [Line Items] | ||
Variable interest rate spread | 2.75% | |
Servicer Advance Joint Venture [Member] | ||
Investment [Line Items] | ||
New Residential’s ownership | 44.50% | |
Funded capital commitments | $ 312.7 | |
Servicer Advance Joint Venture [Member] | Noncontrolling Third-party Investors [Member] | ||
Investment [Line Items] | ||
Funded capital commitments | $ 389.6 |
INVESTMENTS IN SERVICER ADVAN62
INVESTMENTS IN SERVICER ADVANCES - Summary of Investments in Servicer Advances (Details) - Servicer Advance Joint Venture [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Investments in and Advances to Affiliates [Line Items] | ||||||
Amortized Cost Basis | [1] | $ 6,012,315 | $ 6,012,315 | $ 7,400,068 | ||
Carrying Value | [1],[2] | $ 6,043,369 | $ 6,043,369 | $ 7,426,794 | ||
Weighted Average Discount Rate | [1] | 5.40% | 5.40% | 5.60% | ||
Weighted Average Yield | [1] | 5.30% | 5.30% | 5.50% | ||
Weighted Average Life (Years) | [1],[3] | 4 years 5 months 24 days | 4 years 4 months 27 days | |||
Asset-backed securities, face amount, collateralized by servicer advances | $ 249,000 | $ 249,000 | $ 431,000 | |||
Asset-backed securities, carrying value, collateralized by servicer advances | 250,700 | 250,700 | $ 430,300 | |||
Changes in Fair Value Recorded in Other Income | $ 21,606 | $ (18,738) | $ 4,328 | $ (1,845) | ||
[1] | Excludes New Residential asset-backed securities collateralized by Servicer Advances, which have aggregate face amounts of $249.0 million and $431.0 million and aggregate carrying values of $250.7 million and $430.3 million as of September 30, 2016 and December 31, 2015, respectively. See Note 7 for details related to these securities | |||||
[2] | Carrying value represents the fair value of the investments in Servicer Advances, including the basic fee component of the related MSRs. | |||||
[3] | Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment. |
INVESTMENTS IN SERVICER ADVAN63
INVESTMENTS IN SERVICER ADVANCES - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 | |
Investments in and Advances to Affiliates [Line Items] | |||
Outstanding Servicer Advances | [1] | $ 6,043,369,000 | $ 7,426,794,000 |
Face Amount of Notes and Bonds Payable | 12,782,716,000 | ||
Non-Agency Bonds [Member] | |||
Investments in and Advances to Affiliates [Line Items] | |||
Face Amount of Notes and Bonds Payable | 110,100,000 | ||
Servicer Advance Joint Venture [Member] | Servicer Advances [Member] | |||
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | [2] | 194,223,701,000 | 220,256,804,000 |
Outstanding Servicer Advances | [2] | $ 6,017,968,000 | $ 7,578,110,000 |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | [2] | 3.10% | 3.40% |
Face Amount of Notes and Bonds Payable | [2] | $ 5,907,803,000 | $ 7,058,094,000 |
Gross Loan-to-Value | [2],[3] | 94.50% | 91.20% |
Net Loan-to-Value | [2],[3],[4] | 93.30% | 90.20% |
Gross Cost of Funds | [2],[5] | 3.50% | 3.40% |
Net Cost of Funds | [2],[5] | 2.80% | 2.60% |
Gross LTV, including deferred servicing fees | 89.70% | ||
Net LTV, including deferred servicing fees | 88.60% | ||
Gross LTV, if sold | 96.30% | ||
Net LTV, if sold | 95.10% | ||
Servicer Advance Joint Venture [Member] | Non-Agency Bonds [Member] | |||
Investments in and Advances to Affiliates [Line Items] | |||
Retained non-agency bonds, face amount | $ 110,100,000 | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. | ||
[2] | The following types of advances comprise the investments in Servicer Advances: September 30, 2016December 31, 2015Principal and interest advances$1,651,576$2,229,468Escrow advances (taxes and insurance advances)2,786,2033,687,559Foreclosure advances1,580,1891,661,083Total$6,017,968 $7,578,110 | ||
[3] | Based on outstanding Servicer Advances, excluding purchased but unsettled Servicer Advances and certain deferred servicing fees (“DSF”) on which New Residential receives financing. If New Residential were to include these DSF in the servicer advance balance, gross and net LTV as of September 30, 2016 would be 89.7% and 88.6%, respectively. Also excludes retained non-agency bonds with a current face amount of $110.1 million from the outstanding Servicer Advances debt. If New Residential were to sell these bonds, gross and net LTV as of September 30, 2016 would be 96.3% and 95.1%, respectively. | ||
[4] | Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. | ||
[5] | Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees. |
INVESTMENTS IN SERVICER ADVAN64
INVESTMENTS IN SERVICER ADVANCES - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Investment [Line Items] | |||
Total | [1] | $ 6,043,369 | $ 7,426,794 |
Servicer Advance Joint Venture [Member] | Servicer Advances [Member] | |||
Investment [Line Items] | |||
Principal and interest advances | 1,651,576 | 2,229,468 | |
Escrow advances (taxes and insurance advances) | 2,786,203 | 3,687,559 | |
Foreclosure advances | 1,580,189 | 1,661,083 | |
Total | [2] | $ 6,017,968 | $ 7,578,110 |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. | ||
[2] | The following types of advances comprise the investments in Servicer Advances: September 30, 2016December 31, 2015Principal and interest advances$1,651,576$2,229,468Escrow advances (taxes and insurance advances)2,786,2033,687,559Foreclosure advances1,580,1891,661,083Total$6,017,968 $7,578,110 |
INVESTMENTS IN SERVICER ADVAN65
INVESTMENTS IN SERVICER ADVANCES - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - Servicer Advance Investments [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investment [Line Items] | ||||
Interest income, gross of amounts attributable to servicer compensation | $ 161,601 | $ 221,613 | $ 581,231 | $ 511,931 |
Amounts attributable to base servicer compensation | (15,276) | (26,553) | (68,184) | (65,111) |
Amounts attributable to incentive servicer compensation | (45,197) | (89,952) | (255,170) | (190,775) |
Interest income from investments in Servicer Advances | $ 101,128 | $ 105,108 | $ 257,877 | $ 256,045 |
INVESTMENTS IN SERVICER ADVAN66
INVESTMENTS IN SERVICER ADVANCES - Summary of Information on the Assets and Liabilities related to Consolidated VIE (Details) - VIE, consolidated [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets | |||
Servicer advance investments, at fair value | $ 1,903,067 | $ 2,344,245 | |
Cash and cash equivalents | 35,000 | 40,761 | |
All other assets | 22,229 | 25,092 | |
Total assets | [1] | 1,960,296 | 2,410,098 |
Liabilities | |||
Notes and bonds payable | 1,625,956 | 2,060,347 | |
All other liabilities | 6,119 | 6,111 | |
Total liabilities | [1] | $ 1,632,075 | $ 2,066,458 |
[1] | The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN SERVICER ADVAN67
INVESTMENTS IN SERVICER ADVANCES - Schedule of Interest Income Related to Investments in Servicer Advances - Others' Interests (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Servicer Advance Joint Venture [Member] | ||||||
Investment [Line Items] | ||||||
Investment | $ 328,221 | $ 328,221 | $ 343,640 | |||
Ownership interest | 44.50% | 44.50% | ||||
Net income in joint venture | $ 33,985 | $ 12,960 | $ 60,207 | $ 40,258 | ||
Average ownership percentage | 44.50% | 44.50% | 44.50% | 44.50% | ||
Others [Member] | ||||||
Investment [Line Items] | ||||||
Investment | $ 182,094 | $ 182,094 | $ 190,647 | |||
Ownership interest | 55.50% | 55.50% | 55.50% | |||
Net income in joint venture | $ 18,853 | $ 7,193 | $ 33,400 | $ 22,332 | ||
Others' ownership interest as a percent of total | [1] | 55.50% | 55.50% | 55.50% | 55.50% | |
[1] | As a result, New Residential owned 44.5% and 44.5% of the Buyer, on average during the three months ended September 30, 2016 and 2015, respectively, and 44.5% and 44.5% of the Buyer, on average during the nine months ended September 30, 2016 and 2015, respectively. |
INVESTMENTS IN REAL ESTATE SE68
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 9 Months Ended | |||
Sep. 30, 2016USD ($)securitybond | Dec. 31, 2015USD ($) | |||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | $ 8,027,852 | |||
Amortized Cost Basis | 4,884,599 | |||
Carrying Value | $ 4,991,242 | $ 2,501,881 | ||
Weighted Average Life (Years) | 11 months 13 days | |||
Number of bonds which New Residential was unable to obtain rating information | bond | 187 | |||
Investments | $ 15,222,486 | |||
Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Investments | 566,900 | |||
Residual Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Investments | 243,500 | |||
Non-Agency Bonds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Investments | 0 | |||
Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face amount of securities purchased | 5,070,300 | |||
Purchase price of securities purchased | 5,315,900 | |||
Face amount of securities sold | 4,530,600 | |||
Amortized cost of securities sold | 4,721,800 | |||
Proceeds from Sale of Available-for-sale Securities | 4,757,800 | |||
Gain (Loss) on sale of securities sold | 36,000 | |||
Outstanding Face Amount | [1],[2] | 1,356,580 | ||
Amortized Cost Basis | [1],[2] | 1,437,777 | ||
Gross Unrealized Gains | [1],[2] | 337 | ||
Gross Unrealized Losses | [1],[2] | (3,806) | ||
Carrying Value | [1],[2] | $ 1,434,308 | [3] | 917,598 |
Number of Securities | security | [1],[2] | 76 | ||
Weighted Average Rating | [1],[2],[4] | AAA | ||
Weighted Average Coupon | [1],[2],[5] | 3.42% | ||
Weighted Average Yield | [1],[2] | 2.79% | ||
Weighted Average Life (Years) | [1],[2],[6] | 5 years 7 months 10 days | ||
Agency RMBS [Member] | Fixed Rate Residential Mortgage [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | $ 1,200,000 | |||
Agency RMBS [Member] | Adjustable Rate Residential Mortgage [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | 151,900 | |||
Non-Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face amount of securities purchased | 4,079,900 | |||
Purchase price of securities purchased | 2,298,400 | |||
Face amount of securities sold | 129,800 | |||
Amortized cost of securities sold | 121,700 | |||
Proceeds from Sale of Available-for-sale Securities | 100,800 | |||
Gain (Loss) on sale of securities sold | (20,900) | |||
Outstanding Face Amount | [7],[8],[9] | 6,671,272 | ||
Amortized Cost Basis | [7],[8],[9] | 3,446,822 | ||
Gross Unrealized Gains | [8],[9] | 122,171 | ||
Gross Unrealized Losses | [8],[9] | (12,059) | ||
Carrying Value | [8],[9] | $ 3,556,934 | [3] | 1,584,283 |
Number of Securities | security | [8],[9] | 471 | ||
Weighted Average Rating | [4],[8],[9] | CCC- | ||
Weighted Average Coupon | [5],[8],[9] | 1.76% | ||
Weighted Average Yield | [8],[9] | 5.46% | ||
Weighted Average Life (Years) | [6],[8],[9] | 7 years 7 days | ||
Weighted Average Principal Subordination | [8],[9],[10] | 10.80% | ||
Non-Agency RMBS [Member] | Fixed Rate Residential Mortgage [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | $ 1,100,000 | |||
Residual and interest - only notional amount | 300,000 | |||
Non-Agency RMBS [Member] | Adjustable Rate Residential Mortgage [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | 5,600,000 | |||
Residual and interest - only notional amount | 2,000,000 | |||
Investments in Real Estate Securities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | 8,027,852 | |||
Amortized Cost Basis | 4,884,599 | |||
Gross Unrealized Gains | 122,508 | |||
Gross Unrealized Losses | (15,865) | |||
Carrying Value | $ 4,991,242 | [3] | $ 2,501,881 | |
Number of Securities | security | 547 | |||
Weighted Average Rating | [4] | CCC+ | ||
Weighted Average Coupon | [5] | 2.21% | ||
Weighted Average Yield | 4.68% | |||
Weighted Average Life (Years) | [6] | 6 years 7 months 8 days | ||
Other ABS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | $ 1,975,404 | |||
Amortized Cost Basis | 110,267 | |||
Gross Unrealized Gains | 6,048 | |||
Gross Unrealized Losses | (4,927) | |||
Carrying Value | $ 111,388 | |||
Number of Securities | security | 25 | |||
Weighted Average Rating | AA+ | |||
Weighted Average Coupon | 1.91% | |||
Weighted Average Yield | 5.57% | |||
Weighted Average Life (Years) | 2 years 10 months 9 days | |||
Servicer Advances [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Outstanding Face Amount | $ 249,000 | |||
Amortized Cost Basis | 248,696 | |||
Gross Unrealized Gains | 2,025 | |||
Gross Unrealized Losses | 0 | |||
Carrying Value | $ 250,721 | |||
Number of Securities | security | 3 | |||
Weighted Average Rating | AAA | |||
Weighted Average Coupon | 2.81% | |||
Weighted Average Yield | 2.21% | |||
Weighted Average Life (Years) | 24 days | |||
[1] | Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. | |||
[2] | The total outstanding face amount was $1.2 billion for fixed rate securities and $151.9 million for floating rate securities as of September 30, 2016. | |||
[3] | Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value. | |||
[4] | Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 187 bonds with a carrying value of $566.9 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. | |||
[5] | Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $243.5 million and $0.0 million, respectively, for which no coupon payment is expected. | |||
[6] | The weighted average life is based on the timing of expected principal reduction on the assets. | |||
[7] | Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. | |||
[8] | Includes other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and (ii) bonds backed by servicer advances. Gross Unrealized Weighted AverageAsset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal SubordinationOther ABS $1,975,404 $110,267 $6,048 $(4,927) $111,388 25 AA+ 1.91% 5.57% 2.9 N/AServicer Advance Bonds $249,000 $248,696 $2,025 $— $250,721 3 AAA 2.81% 2.21% 0.1 N/A | |||
[9] | The total outstanding face amount was $1.1 billion (including $0.3 billion of residual and interest-only notional amount) for fixed rate securities and $5.6 billion (including $2.0 billion of residual and interest-only notional amount) for floating rate securities as of September 30, 2016. | |||
[10] | Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding interest-only bonds and servicer advance bonds. |
INVESTMENTS IN REAL ESTATE SE69
INVESTMENTS IN REAL ESTATE SECURITIES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Other-than-temporary impairment | $ 1,765 | $ 1,574 | $ 7,838 | $ 3,294 |
Real estate securities acquired during the period with credit quality deterioration, face amount | 2,121,300 | |||
Real estate securities acquired during the period with credit quality deterioration, expected cash flows | 2,131,500 | |||
Real estate securities acquired during the period with credit quality deterioration, fair value | 1,329,000 | |||
Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face amount of securities sold, unsettled | 1,400,000 | |||
Face amount of securities purchased | 1,200,000 | |||
Proceeds from sale of AFS, unsettled | 1,521,100 | |||
Purchase of real estate securities, unsettled | 1,300,000 | |||
Non-Agency RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Face amount of securities sold, unsettled | 27,000 | |||
Purchase of real estate securities, unsettled | $ 20,700 |
INVESTMENTS IN REAL ESTATE SE70
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016USD ($)bondsecurity | Dec. 31, 2015USD ($) | ||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | $ 8,027,852 | ||
Other Than Temporary Impairment - Amortized Cost Basis | (13,081) | $ (6,240) | |
After Impairment - Amortized Cost Basis | 4,884,599 | ||
Carrying Value - Total | $ 4,991,242 | ||
Weighted Average Life (Years) | 11 months 13 days | ||
Number of bonds which New Residential was unable to obtain rating information | bond | 187 | ||
Securities in an Unrealized Loss Position Less than Twelve Months [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | $ 2,905,125 | ||
Before Impairment - Amortized Cost Basis | 1,723,246 | ||
Other Than Temporary Impairment - Amortized Cost Basis | [1] | (804) | |
After Impairment - Amortized Cost Basis | 1,722,442 | ||
Gross Unrealized Losses - Less than Twelve Months | (11,824) | ||
Carrying Value - Less than Twelve Months | $ 1,710,618 | ||
Number of Securities - Less than Twelve Months | security | 204 | ||
Weighted Average Rating | [2] | B+ | |
Weighted Average Coupon | 2.51% | ||
Weighted Average Yield | 3.99% | ||
Weighted Average Life (Years) | 6 years 6 months 4 days | ||
Number of bonds which New Residential was unable to obtain rating information | bond | 84 | ||
Securities in an Unrealized Loss Position Twelve Months or More [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | $ 291,088 | ||
Before Impairment - Amortized Cost Basis | 229,368 | ||
Other Than Temporary Impairment - Amortized Cost Basis | [1] | (961) | |
After Impairment - Amortized Cost Basis | 228,407 | ||
Gross Unrealized Losses - Twelve or More Months | (4,041) | ||
Carrying Value - Twelve or More Months | $ 224,366 | ||
Number of Securities - Twelve or More Months | security | 36 | ||
Weighted Average Rating | [2] | B+ | |
Weighted Average Coupon | 2.30% | ||
Weighted Average Yield | 2.99% | ||
Weighted Average Life (Years) | 5 years 2 months 27 days | ||
Number of bonds which New Residential was unable to obtain rating information | bond | 6 | ||
Securities in a Loss Position [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | $ 3,196,213 | ||
Before Impairment - Amortized Cost Basis | 1,952,614 | ||
Other Than Temporary Impairment - Amortized Cost Basis | [1] | (1,765) | |
After Impairment - Amortized Cost Basis | 1,950,849 | ||
Gross Unrealized Losses - Total | (15,865) | ||
Carrying Value - Total | $ 1,934,984 | ||
Number of Securities - Total | security | 240 | ||
Weighted Average Rating | [2] | B+ | |
Weighted Average Coupon | 2.48% | ||
Weighted Average Yield | 3.87% | ||
Weighted Average Life (Years) | 6 years 4 months 11 days | ||
[1] | This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2016. | ||
[2] | The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 84 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 6 bonds which either have never been rated or for which rating information is no longer provided. |
INVESTMENTS IN REAL ESTATE SE71
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Unrealized losses reflected in other comprehensive income | $ 0 | |
Securities Intended to Sell [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value | 0 | [1] |
Amortized Cost Basis After Impairment | 0 | [1] |
Unrealized Credit Losses | 0 | [1],[2] |
Unrealized Non-Credit Losses | 0 | [1],[3] |
Securities More Likely Than Not Required to be Sold [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value | 0 | [4] |
Amortized Cost Basis After Impairment | 0 | [4] |
Unrealized Credit Losses | 0 | [2],[4] |
Securities No Intent to Sell and Not More Like Than Not to be Required to Sell - Credit Impaired [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value | 365,403,000 | |
Amortized Cost Basis After Impairment | 367,904,000 | |
Unrealized Credit Losses | (1,765,000) | [2] |
Unrealized Non-Credit Losses | (2,501,000) | [3] |
Securities No Intent to Sell and Not More Like Than Not to be Required to Sell - Non-Credit Impaired [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value | 1,569,581,000 | |
Amortized Cost Basis After Impairment | 1,582,945,000 | |
Unrealized Credit Losses | 0 | [2] |
Unrealized Non-Credit Losses | (13,364,000) | [3] |
Securities in an Unrealized Loss Position [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value | 1,934,984,000 | |
Amortized Cost Basis After Impairment | 1,950,849,000 | |
Unrealized Credit Losses | (1,765,000) | [2] |
Unrealized Non-Credit Losses | $ (15,865,000) | [3] |
[1] | A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment and, therefore, do not have unrealized losses reflected in other comprehensive income as of September 30, 2016. | |
[2] | This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate. | |
[3] | This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income. | |
[4] | New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales. |
INVESTMENTS IN REAL ESTATE SE72
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income | $ 6,240 |
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income | 2,505 |
Additions for credit losses on securities for which an OTTI was not previously recognized | 5,333 |
Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 |
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date | 0 |
Reduction for securities sold during the period | (997) |
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income | $ 13,081 |
INVESTMENTS IN REAL ESTATE SE73
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Non-Agency RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 6,422,272 | $ 3,102,973 |
Percentage of Total Outstanding | [1] | 100.00% | 100.00% |
Non-Agency RMBS [Member] | Western U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 2,329,116 | $ 1,097,609 |
Percentage of Total Outstanding | [1] | 36.30% | 35.30% |
Non-Agency RMBS [Member] | Southeastern U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 1,496,049 | $ 758,167 |
Percentage of Total Outstanding | [1] | 23.20% | 24.40% |
Non-Agency RMBS [Member] | Northeastern U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 1,318,153 | $ 583,366 |
Percentage of Total Outstanding | [1] | 20.50% | 18.80% |
Non-Agency RMBS [Member] | Midwestern U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 716,411 | $ 335,406 |
Percentage of Total Outstanding | [1] | 11.20% | 10.80% |
Non-Agency RMBS [Member] | Southwestern U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1] | $ 500,795 | $ 309,236 |
Percentage of Total Outstanding | [1] | 7.80% | 10.00% |
Non-Agency RMBS [Member] | Other U.S. [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Outstanding Face Amount | [1],[2] | $ 61,748 | $ 19,189 |
Percentage of Total Outstanding | [1],[2] | 1.00% | 0.70% |
Servicer Advances [Member] | Bonds [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Face amount of investment | $ 249,000 | ||
[1] | Excludes $249.0 million face amount of bonds backed by servicer advances. | ||
[2] | Represents collateral for which New Residential was unable to obtain geographic information. |
INVESTMENTS IN REAL ESTATE SE74
INVESTMENTS IN REAL ESTATE SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 2,727,475 | $ 873,763 |
Carrying Value | $ 1,754,467 | $ 504,659 |
INVESTMENTS IN REAL ESTATE SE75
INVESTMENTS IN REAL ESTATE SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Balance, beginning | $ 316,521 |
Additions | 802,442 |
Accretion | (87,535) |
Reclassifications from (to) non-accretable difference | 44,905 |
Disposals | (1,129) |
Balance, ending | $ 1,075,204 |
INVESTMENTS IN RESIDENTIAL MO76
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016USD ($)loan | Dec. 31, 2015USD ($) | ||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted Average Life (Years) | 11 months 13 days | ||
Threshold period past due (in days) | 60 days | ||
Discount on borrowings, net of amortization | $ 4,800 | ||
Reverse Mortgage Loans, Held-For-Investment [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | [1],[2] | 0 | |
Carrying Value | [1],[2] | $ 0 | $ 19,560 |
Loan Count | loan | [1],[2] | 0 | |
Weighted Average Yield | [1],[2] | 0.00% | |
Weighted Average Life (Years) | 0 years | ||
Floating Rate Loans as a % of Face Amount | [1],[2] | 0.00% | |
Loan to Value Ratio (LTV) | [1],[2],[3] | 0.00% | |
Weighted Average Delinquency | [1],[2],[4] | 0.00% | |
Performing Loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | [5],[6] | $ 0 | |
Carrying Value | [5],[6] | $ 0 | 19,964 |
Loan Count | loan | [5],[6] | 0 | |
Weighted Average Yield | [5],[6] | 0.00% | |
Weighted Average Life (Years) | 0 years | ||
Floating Rate Loans as a % of Face Amount | [5],[6] | 0.00% | |
Loan to Value Ratio (LTV) | [3],[5],[6] | 0.00% | |
Weighted Average Delinquency | [4],[5],[6] | 0.00% | |
Weighted Average FICO | [5],[6],[7] | 0 | |
Performing Loans [Member] | Ginnie Mae [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid Principal Balance | $ 56,500 | ||
Performing Loans [Member] | Maximum [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Threshold period past due (in days) | 30 days | ||
Purchased Credit Deteriorated Loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | $ 0 | ||
Carrying Value | $ 0 | 290,654 | |
Loan Count | loan | 0 | ||
Weighted Average Yield | 0.00% | ||
Weighted Average Life (Years) | 0 years | ||
Floating Rate Loans as a % of Face Amount | 0.00% | ||
Loan to Value Ratio (LTV) | [3] | 0.00% | |
Weighted Average Delinquency | [4] | 0.00% | |
Weighted Average FICO | [7] | 0 | |
Residential Mortgage Loans, held-for-investment [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | $ 0 | ||
Carrying Value | $ 0 | 330,178 | |
Loan Count | loan | 0 | ||
Weighted Average Yield | 0.00% | ||
Weighted Average Life (Years) | 0 years | ||
Floating Rate Loans as a % of Face Amount | 0.00% | ||
Loan to Value Ratio (LTV) | [3] | 0.00% | |
Weighted Average Delinquency | [4] | 0.00% | |
Weighted Average FICO | [7] | 0 | |
Reverse Mortgage Loans, Held-For-Sale [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | [1],[2] | $ 23,878 | |
Carrying Value | [1],[2] | $ 11,836 | 0 |
Loan Count | loan | [1],[2] | 77 | |
Weighted Average Yield | [1],[2] | 7.30% | |
Weighted Average Life (Years) | [1],[2],[8] | 4 years 5 months 25 days | |
Floating Rate Loans as a % of Face Amount | [1],[2] | 15.70% | |
Loan to Value Ratio (LTV) | [1],[2],[3] | 134.20% | |
Weighted Average Delinquency | [1],[2],[4] | 71.80% | |
Performing Loans, held-for-sale [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | [5],[6],[9] | $ 103,234 | |
Carrying Value | [5],[6],[9] | $ 107,167 | 277,084 |
Loan Count | loan | [5],[6],[9] | 1,750 | |
Weighted Average Yield | [5],[6],[9] | 4.10% | |
Weighted Average Life (Years) | [5],[6],[8],[9] | 4 years 1 month 28 days | |
Floating Rate Loans as a % of Face Amount | [5],[6],[9] | 4.60% | |
Loan to Value Ratio (LTV) | [3],[5],[6],[9] | 75.20% | |
Weighted Average Delinquency | [4],[5],[6],[9] | 10.40% | |
Weighted Average FICO | [5],[6],[7],[9] | 610 | |
Non-Performing Loans, held-for-sale [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | [9],[10] | $ 800,411 | |
Carrying Value | [9],[10] | $ 586,478 | 499,597 |
Loan Count | loan | [9],[10] | 4,280 | |
Weighted Average Yield | [9],[10] | 7.10% | |
Weighted Average Life (Years) | [8],[9],[10] | 2 years 9 months 10 days | |
Floating Rate Loans as a % of Face Amount | [9],[10] | 17.80% | |
Loan to Value Ratio (LTV) | [3],[9],[10] | 102.80% | |
Weighted Average Delinquency | [4],[9],[10] | 79.80% | |
Weighted Average FICO | [7],[9],[10] | 579 | |
Residential Mortgage Loans Held-for-Sale [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Face Amount | $ 927,523 | ||
Carrying Value | $ 705,481 | $ 776,681 | |
Loan Count | loan | 6,107 | ||
Weighted Average Yield | 6.70% | ||
Weighted Average Life (Years) | [8] | 2 years 11 months 21 days | |
Floating Rate Loans as a % of Face Amount | 16.20% | ||
Loan to Value Ratio (LTV) | [3] | 100.60% | |
Weighted Average Delinquency | [4] | 71.90% | |
Weighted Average FICO | [7] | 583 | |
Reverse Mortgage Loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest in reverse mortgage loans | 70.00% | ||
Unpaid principal balance | $ 400 | ||
Percentage of loans that have reached a termination event | 66.00% | ||
Non-Performing Loans [Member] | Ginnie Mae [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid Principal Balance | $ 99,200 | ||
[1] | FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan. | ||
[2] | Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB is $0.4 million. Approximately 66% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. | ||
[3] | LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property. | ||
[4] | Represents the percentage of the total principal balance that are 60+ days delinquent. | ||
[5] | Includes loans that are current or less than 30 days past due at acquisition where New Residential expects to collect all contractually required principal and interest payments. Presented net of unamortized premiums of $4.8 million. | ||
[6] | Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. | ||
[7] | The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis. | ||
[8] | The weighted average life is based on the expected timing of the receipt of cash flows. | ||
[9] | Includes $56.5 million and $99.2 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status because contractual cash flows are guaranteed by the FHA. | ||
[10] | Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of September 30, 2016, New Residential has placed all of these loans on nonaccrual status, except as described in (J) below. |
INVESTMENTS IN RESIDENTIAL MO77
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Narrative (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Mortgage Loans on Real Estate [Line Items] | |
Threshold period past due (in days) | 60 days |
Government Guaranteed Mortgage Loans upon Foreclosure Receivable [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Claims receivable | $ 63.2 |
Reverse Mortgage Loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Interest in reverse mortgage loans | 70.00% |
Unpaid principal balance | $ 0.4 |
Residential Mortgage Loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 368.2 |
INVESTMENTS IN RESIDENTIAL MO78
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans [Member] | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
New York [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 17.00% | 14.50% |
New Jersey [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 10.40% | 13.10% |
Florida [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 9.90% | 10.70% |
California [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.50% | 12.30% |
Texas [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.70% | 3.30% |
Illinois [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.90% | 4.30% |
Maryland [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.10% | 3.50% |
Massachusetts [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.70% | 3.30% |
Pennsylvania [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.10% | 2.80% |
Washington [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 3.20% |
Other U.S. [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 29.70% | 29.00% |
INVESTMENTS IN RESIDENTIAL MO79
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Residential Mortgage Loan Transactions (Details) - Residential Mortgage Loans [Member] $ in Millions | Aug. 25, 2016USD ($)trust | May 25, 2016USD ($)trust | Dec. 23, 2015USD ($)trust | Sep. 30, 2016USD ($) | Mar. 25, 2016USD ($)trust | |
Investment [Line Items] | ||||||
Number of Trusts Called | trust | [1] | 11 | 12 | 14 | 13 | |
Securities Owned Prior [Member] | ||||||
Investment [Line Items] | ||||||
Face Amount | [1] | $ 6.2 | $ 60 | $ 61.4 | $ 58.4 | |
Amortized Cost Basis | [1] | 1.4 | 44 | 48 | 41 | |
Assets Acquired [Member] | ||||||
Investment [Line Items] | ||||||
Unpaid Principal Balance | [1] | 312.3 | 290.6 | 309.1 | 167.2 | |
Loan Price | [1],[2] | 319.2 | 298.7 | 315.1 | 173.3 | |
REO & Other Price | [1],[2] | 1.7 | 0.6 | 3.1 | 3.1 | |
Loans Sold [Member] | ||||||
Investment [Line Items] | ||||||
Carrying Value | $ 42.2 | |||||
Unpaid Principal Balance | [1],[3] | 308 | 306.9 | 261.3 | ||
Gain (Loss) | [1],[3] | 8.1 | (3.5) | 2.2 | ||
Bonds Retained [Member] | ||||||
Investment [Line Items] | ||||||
Basis | [1] | 45.7 | 40 | 36.6 | ||
Retained Assets [Member] | ||||||
Investment [Line Items] | ||||||
Unpaid Principal Balance | [1],[3] | 45.6 | 85.9 | 35.8 | 65 | |
Loan Price | [1],[3] | 41.1 | 78.2 | 26.6 | 61.8 | |
REO & Other Price | [1],[3] | $ 2.3 | $ 1.1 | $ 2.9 | $ 3.4 | |
[1] | Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call. | |||||
[2] | Price includes par amount paid for all underlying mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights. | |||||
[3] | Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The securitization that occurred in March 2016 primarily included loans from the December 23, 2015 call, but also included previously acquired loans. The retained assets disclosed for the December 23, 2015 call are net of the related loans sold in the March 2016 securitization. The securitization that occurred in May 2016 primarily included loans from the March 25, 2016 and May 25, 2016 calls. The retained assets disclosed for the March 25, 2016 call are net of the related loans sold in the May 2016 securitization. The securitization that occurred in September 2016 primarily included loans from the August 25, 2016 call, but also included $42.2 million of previously acquired loans. |
INVESTMENTS IN RESIDENTIAL MO80
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCD Loans Held-for-Investment (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Accretion of loan discount and premium amortization, net | $ 514,522 | $ 360,467 | |
Transfer of loans to real estate owned | (62,057) | ||
Reverse Mortgage Loans [Member] | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance, beginning | 19,560 | ||
Purchases/additional fundings | 319 | ||
Proceeds from repayments | (1,352) | ||
Accretion of loan discount and premium amortization, net | [1] | 2,002 | |
Provision for loan losses | (73) | ||
Transfer of loans to other assets(B) | [2] | (4,203) | |
Sales | (1,795) | ||
Transfer of loans to held-for-sale | [3] | (14,458) | |
Balance, ending | 0 | ||
Performing Loans [Member] | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance, beginning | 19,964 | ||
Purchases/additional fundings | 0 | ||
Proceeds from repayments | (811) | ||
Accretion of loan discount and premium amortization, net | [1] | 123 | |
Provision for loan losses | (4) | ||
Transfer of loans to other assets(B) | [2] | 0 | |
Sales | 0 | ||
Transfer of loans to held-for-sale | [3] | (19,272) | |
Balance, ending | 0 | ||
PCD Loans [Member] | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance, beginning | 290,654 | ||
Purchases/additional fundings | 0 | ||
Proceeds from repayments | (8,897) | ||
Accretion of loan discount and premium amortization, net | 8,295 | ||
Transfer of loans to real estate owned | (7,583) | ||
Sales | 0 | ||
Transfer of loans to held-for-sale | (282,469) | ||
Balance, ending | $ 0 | ||
[1] | Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets. | ||
[2] | Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). | ||
[3] | Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
INVESTMENTS IN RESIDENTIAL MO81
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Reverse Mortgage Loans [Member] | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning, balance | $ 1,553 | |
Provision for loan losses | 73 | [1] |
Charge-offs | 0 | [2] |
Sales | (171) | |
Transfer of loans to held-for-sale | (1,455) | [3] |
Ending, balance | 0 | |
Performing Loans [Member] | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning, balance | 119 | |
Provision for loan losses | 4 | [1] |
Charge-offs | 0 | [2] |
Sales | 0 | |
Transfer of loans to held-for-sale | (123) | [3] |
Ending, balance | $ 0 | |
[1] | Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. | |
[2] | Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. | |
[3] | Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
INVESTMENTS IN RESIDENTIAL MO82
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of Unpaid Principal Balance and Carrying Value for Loans Uncollectible (Details) - PCD Loans [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 0 | $ 450,229 |
Carrying Value | $ 0 | $ 290,654 |
INVESTMENTS IN RESIDENTIAL MO83
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of Changes in Accretable Yield (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | ||
Beginning balance | $ 71,063 | |
Additions | 0 | |
Accretion | (8,876) | |
Reclassifications from non-accretable difference | 29,569 | [1] |
Disposals | (2,680) | [2] |
Transfer of loans to held-for-sale | (89,076) | [3] |
Ending balance | $ 0 | |
[1] | Represents a probable and significant increase in cash flows previously expected to be uncollectible. | |
[2] | Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount. | |
[3] | Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
INVESTMENTS IN RESIDENTIAL MO84
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Summary of Activities Related to the Carrying Value of Loans Held-for-sale (Details) - USD ($) $ in Thousands | May 25, 2016 | Mar. 25, 2016 | Sep. 30, 2016 | |
Loans Held-for-sale, Reconciliation [Roll Forward] | ||||
Transfer of loans to real estate owned | $ (62,057) | |||
Loans Held-for-sale [Member] | ||||
Loans Held-for-sale, Reconciliation [Roll Forward] | ||||
Beginning balance, loans held-for-sale | 776,681 | |||
Purchases | [1] | 788,824 | ||
Transfer of loans from held-for-investment | [2] | 316,199 | ||
Sales | (915,361) | |||
Transfer of loans to other assets | [3] | (148,243) | ||
Transfer of loans to real estate owned | (39,558) | |||
Proceeds from repayments | (75,329) | |||
Valuation provision on loans | [4] | 2,268 | ||
Ending balance, loans held-for-sale | $ 705,481 | |||
Provision on call transaction on loans held-for-sale | $ 3,600 | $ 2,600 | ||
[1] | Represents loans acquired with the intent to sell. | |||
[2] | Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. | |||
[3] | Represents loans for which foreclosure has been completed during the nine months ended September 30, 2016 and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). | |||
[4] | Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including $2.6 million and $3.6 million of provision related to the call transactions executed on March 25, 2016 and May 25, 2016, respectively. |
INVESTMENTS IN RESIDENTIAL MO85
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Real Estate Owned (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Real Estate Owned [Roll Forward] | |
Beginning balance | $ 50,574 |
Purchases | 8,123 |
Transfer of loans to real estate owned | 62,057 |
Sales | (46,748) |
Valuation provision on REO | (13,547) |
Ending balance | $ 60,459 |
INVESTMENTS IN CONSUMER LOANS -
INVESTMENTS IN CONSUMER LOANS - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
Oct. 31, 2016 | Aug. 31, 2016 | Mar. 31, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | Apr. 01, 2016 | Oct. 03, 2014 | Apr. 30, 2013 | ||
Schedule of Equity Method Investments [Line Items] | |||||||||
Basis in consumer loans investment | $ 0 | ||||||||
Payments to acquire loans receivable | $ 319 | $ 664 | |||||||
Performing Loans [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Payments to acquire loans receivable | $ 140,000 | 92,100 | |||||||
Unpaid Principal Balance | 92,600 | ||||||||
Performing Loans [Member] | Subsequent Event [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Payments to acquire loans receivable | $ 34,200 | ||||||||
Unpaid Principal Balance | $ 34,300 | ||||||||
Consumer Loan Companies [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Tax withholding payments | $ 30 | ||||||||
New Residential Investment Corp. [Member] | SpringCastle [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Parent's ownership percentage | 53.50% | ||||||||
OneMain [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Percentage of portfolio co-invested by other parties | 47.00% | ||||||||
Blackstone Tactical Opportunities Advisors LLC [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Percentage of portfolio co-invested by other parties | 23.00% | ||||||||
Consumer Loan Companies [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Percentage of portfolio financed by other parties | 73.00% | ||||||||
Consumer Loan Companies [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
New Residential’s ownership | 30.00% | ||||||||
Percentage of portfolio co-invested by other parties | 70.00% | ||||||||
Distributions in excess to New Residential | $ 9,900 | ||||||||
Consumer Portfolio Segment [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Unpaid Principal Balance | 3,600 | ||||||||
Consumer Portfolio Segment [Member] | Performing Loans [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Payments to acquire loans receivable | $ 92,069 | ||||||||
Consumer Portfolio Segment [Member] | New Residential Investment Corp. [Member] | SpringCastle [Member] | Performing Loans [Member] | |||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||
Parent's ownership percentage | 53.50% | ||||||||
Unpaid Principal Balance | [1] | $ 1,345,573 | |||||||
[1] | Represents the balances as of September 30, 2016 and November 30, 2015, respectively. |
INVESTMENTS IN CONSUMER LOANS87
INVESTMENTS IN CONSUMER LOANS - Summary of Consumer Loan Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | Apr. 01, 2016 | ||
Schedule of Equity Method Investments [Line Items] | ||||
Weighted Average Life (Years) | 11 months 13 days | |||
Performing Loans [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | $ 92,600 | |||
New Residential Investment Corp. [Member] | SpringCastle [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Parent's ownership percentage | 53.50% | |||
Consumer Portfolio Segment [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | 3,600 | |||
Consumer Portfolio Segment [Member] | Consumer Loan Investees [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | [1],[2] | $ 2,094,904 | ||
New Residential Interest in Investees | [1] | 30.00% | ||
Carrying value | [1] | $ 1,698,130 | ||
Weighted Average Coupon | [1],[3] | 18.20% | ||
Weighted Average Life (Years) | [1],[4] | 4 years 4 months 24 days | ||
Delinquency | [1],[5] | 7.20% | ||
Consumer Portfolio Segment [Member] | New Residential Investment Corp. [Member] | SpringCastle [Member] | Performing Loans [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | [2] | $ 1,345,573 | ||
Parent's ownership percentage | 53.50% | |||
Carrying value | $ 1,391,388 | |||
Weighted Average Coupon | [3] | 18.70% | ||
Weighted Average Life (Years) | [4] | 4 years 3 months 6 days | ||
Delinquency | [5] | 5.70% | ||
Consumer Portfolio Segment [Member] | New Residential Investment Corp. [Member] | SpringCastle [Member] | Non-Performing Loans [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | [2],[6] | $ 396,462 | ||
Parent's ownership percentage | [6] | 53.50% | ||
Carrying value | [6] | $ 339,916 | ||
Weighted Average Coupon | [3],[6] | 16.60% | ||
Weighted Average Life (Years) | [4],[6] | 3 years 7 months 6 days | ||
Delinquency | [5],[6] | 13.20% | ||
Consumer Portfolio Segment [Member] | New Residential Investment Corp. [Member] | Prosper [Member] | Consumer Loan, Other [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | [2] | $ 91,523 | ||
Parent's ownership percentage | 100.00% | |||
Carrying value | $ 90,675 | |||
Weighted Average Coupon | [3] | 14.30% | ||
Weighted Average Life (Years) | [4] | 1 year 5 months 24 days | ||
Delinquency | [5] | 0.00% | ||
Consumer Portfolio Segment [Member] | New Residential Investment Corp. [Member] | SpringCastle and Prosper [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Unpaid Principal Balance | [2] | $ 1,833,558 | ||
Carrying value | $ 1,821,979 | |||
Weighted Average Coupon | [3] | 18.10% | ||
Weighted Average Life (Years) | [4] | 3 years 11 months 24 days | ||
Delinquency | [5] | 7.00% | ||
[1] | Held through an equity method investee, which had a carrying value of zero, at such time. | |||
[2] | Represents the balances as of September 30, 2016 and November 30, 2015, respectively. | |||
[3] | Substantially all of the cash flows received on the loans held by the Consumer Loan Companies are required to be used to make payments on the notes described above. | |||
[4] | Represents the weighted average expected timing of the receipt of expected cash flows for this investment. | |||
[5] | Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. | |||
[6] | Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans. |
INVESTMENTS IN CONSUMER LOANS88
INVESTMENTS IN CONSUMER LOANS - Consumer Loans Receivable Past Due (Details) - Performing Loans [Member] - Consumer Portfolio Segment [Member] | 9 Months Ended | |
Sep. 30, 2016 | [1] | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 100.00% | |
Financing Receivables, 1 to 29 Days Past Due [Member] | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 94.70% | |
Financing Receivables, 30 to 59 Days Past Due [Member] | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 2.20% | |
Financing Receivables, 60 to 89 Days Past Due [Member] | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 1.20% | |
Financing Receivables, 90 to 119 Days Past Due [Member] | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 0.70% | [2] |
Financing Receivables, Equal to Greater than 120 Days Past Due [Member] | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Percent past due | 1.20% | [2],[3] |
[1] | Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. | |
[2] | Includes loans more than 90 days past due and still accruing interest. | |
[3] | Interest is accrued up to the date of charge-off at 180 days past due. |
INVESTMENTS IN CONSUMER LOANS89
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Performing Loans (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||||
Aug. 31, 2016 | Sep. 30, 2016 | Sep. 30, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | ||||
Loans Receivable [Roll Forward] | ||||||||
Purchases | $ 319 | $ 664 | ||||||
Proceeds from repayments | (31,092) | (15,944) | ||||||
Accretion of loan discount and premium amortization, net | 514,522 | $ 360,467 | ||||||
Performing Loans [Member] | ||||||||
Loans Receivable [Roll Forward] | ||||||||
Purchases | $ 140,000 | 92,100 | ||||||
Consumer Portfolio Segment [Member] | Performing Loans [Member] | ||||||||
Loans Receivable [Roll Forward] | ||||||||
Beginning balance | 0 | |||||||
SpringCastle Transaction | 1,539,569 | |||||||
Purchases | 92,069 | |||||||
Additional fundings | [1] | 33,137 | ||||||
Proceeds from repayments | (155,388) | |||||||
Accretion of loan discount and premium amortization, net | 5,097 | |||||||
Net charge-offs | $ (30,535) | [2] | (30,535) | |||||
Provision for loan losses | $ (900) | [3] | (32,421) | (1,886) | ||||
Ending balance | $ 1,482,063 | $ 1,482,063 | $ 1,482,063 | |||||
[1] | Represents draws on consumer loans with revolving privileges. | |||||||
[2] | Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $5.6 million in recoveries of previously charged-off UPB. | |||||||
[3] | Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $0.9 million for newly originated loans acquired during the three months ended September 30, 2016. |
INVESTMENTS IN CONSUMER LOANS90
INVESTMENTS IN CONSUMER LOANS - Schedule of Valuation and Allowance for Loan Losses (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2016USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2016USD ($) | ||||
Performing Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||||
Unpaid Principal Balance | $ 92,600 | $ 92,600 | $ 92,600 | |||
Consumer Portfolio Segment [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||||
Unpaid Principal Balance | 3,600 | 3,600 | 3,600 | |||
Carrying value of TDR | 2,500 | |||||
Consumer Portfolio Segment [Member] | Performing Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||||
Beginning balance | 0 | [1] | ||||
Beginning balance | 0 | [2] | ||||
Beginning balance | 0 | |||||
Provision for loan losses | 900 | [1] | 32,421 | 1,886 | ||
Net charge-offs | (30,535) | [3] | (30,535) | |||
Ending balance | 847 | [1] | 847 | [1] | 847 | [1] |
Ending balance | 1,039 | [2] | 1,039 | [2] | 1,039 | [2] |
Ending balance | $ 1,886 | 1,886 | 1,886 | |||
Recovery of bad debts | $ 5,600 | |||||
Consumer Portfolio Segment [Member] | Allowance for Losses on Finance Receivables, Collectively Evaluated [Member] | Performing Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||||
Provision for loan losses | 31,382 | [1] | ||||
Net charge-offs | (30,535) | [1],[3] | ||||
Consumer Portfolio Segment [Member] | Allowance for Losses on Finance Receivables, Individually Impaired [Member] | Performing Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||||
Provision for loan losses | 1,039 | [2] | ||||
Net charge-offs | $ 0 | [2],[3] | ||||
[1] | Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $0.9 million for newly originated loans acquired during the three months ended September 30, 2016. | |||||
[2] | Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of September 30, 2016, there are $3.6 million in UPB and $2.5 million in carrying value of consumer loans classified as TDRs. | |||||
[3] | Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $5.6 million in recoveries of previously charged-off UPB. |
INVESTMENTS IN CONSUMER LOANS91
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Purchased Credit Deteriorated Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Loans Receivable [Roll Forward] | |||
Proceeds from repayments | $ (31,092) | $ (15,944) | |
Accretion of loan discount and premium amortization, net | 514,522 | $ 360,467 | |
Receivables Acquired with Deteriorated Credit Quality [Member] | Consumer Portfolio Segment [Member] | |||
Loans Receivable [Roll Forward] | |||
Beginning balance | 0 | ||
SpringCastle Transaction | 395,129 | ||
Allowance for Loan Losses | [1] | (2,115) | |
Proceeds from repayments | (77,899) | ||
Accretion of loan discount and premium amortization, net | 24,801 | ||
Ending balance | $ 339,916 | ||
[1] | Represents the present value of cash flows expected at acquisition that are no longer expected to be collected. |
INVESTMENTS IN CONSUMER LOANS92
INVESTMENTS IN CONSUMER LOANS - Unpaid Principal Balance of Purchased Credit Deteriorated Loans (Details) - Receivables Acquired with Deteriorated Credit Quality [Member] - Consumer Portfolio Segment [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Mar. 31, 2016 |
Financing Receivable, Impaired [Line Items] | ||
Unpaid Principal Balance | $ 396,462 | $ 450,611 |
Carrying Value | $ 339,916 | $ 395,129 |
INVESTMENTS IN CONSUMER LOANS93
INVESTMENTS IN CONSUMER LOANS - Changes in Accretable Yield (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | ||
Beginning balance | $ 71,063 | |
SpringCastle Transaction | 0 | |
Accretion | (8,876) | |
Ending balance | 0 | |
Consumer Portfolio Segment [Member] | Receivables Acquired with Deteriorated Credit Quality [Member] | ||
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | ||
Beginning balance | 0 | |
SpringCastle Transaction | 176,387 | |
Accretion | (24,801) | |
Reclassifications from non-accretable difference | 24,167 | [1] |
Ending balance | $ 175,753 | |
[1] | Represents a probable and significant increase in cash flows previously expected to be uncollectible. |
INVESTMENTS IN CONSUMER LOANS94
INVESTMENTS IN CONSUMER LOANS - Noncontrolling Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Noncontrolling Interest [Line Items] | |||||
Total Consumer Loan Companies equity | $ 3,128,350 | $ 3,128,350 | $ 2,795,933 | ||
Others’ interests in equity of consolidated subsidiary | 289,161 | 289,161 | $ 190,647 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 32,178 | $ 7,193 | 61,355 | $ 17,174 | |
Consumer Loan Companies [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Total Consumer Loan Companies equity | 230,251 | 230,251 | |||
Net Consumer Loan Companies income (loss) | $ 28,655 | $ 60,118 | |||
Consumer Loan Companies [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Others’ ownership interest | 46.50% | 46.50% | |||
Others’ interests in equity of consolidated subsidiary | $ 107,067 | $ 107,067 | |||
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 13,325 | $ 27,955 |
INVESTMENTS IN CONSUMER LOANS95
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Variable Interest Entities (Details) - VIE, consolidated [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entity [Line Items] | |||
Total assets | [1] | $ 1,960,296 | $ 2,410,098 |
Notes and bonds payable | 1,625,956 | 2,060,347 | |
Accounts payable and accrued expenses | 6,119 | 6,111 | |
Total liabilities | [1] | 1,632,075 | $ 2,066,458 |
Consumer Loan Companies [Member] | |||
Variable Interest Entity [Line Items] | |||
Consumer loans, held-for-investment | 1,731,304 | ||
Restricted cash | 13,866 | ||
Variable Interest Entity, Consolidated, Carrying Amount, Accrued Interest Receivable | 25,468 | ||
Total assets | 1,770,638 | ||
Notes and bonds payable | 1,590,387 | ||
Accounts payable and accrued expenses | 1,150 | ||
Total liabilities | $ 1,591,537 | ||
[1] | The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. |
DERIVATIVES - Narrative (Detail
DERIVATIVES - Narrative (Details) - TBAs [Member] - Not Designated as Hedging Instrument [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Short [Member] | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | [1] | $ 2,645,300 | $ 1,450,000 |
Long [Member] | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | [1] | $ 1,441,000 | $ 750,000 |
[1] | Represents the notional amount of Agency RMBS, classified as derivatives. |
DERIVATIVES - Schedule of Deriv
DERIVATIVES - Schedule of Derivatives - Recorded at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative assets | $ 2,088 | $ 2,689 |
Derivative liabilities | 24,085 | 13,443 |
Interest Rate Caps [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 2,088 | 2,689 |
TBAs [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | 3,461 | 2,058 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | $ 20,624 | $ 11,385 |
DERIVATIVES - Schedule of Der98
DERIVATIVES - Schedule of Derivatives - Notional Amount (Details) - Not Designated as Hedging Instrument [Member] - USD ($) | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
TBAs [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | [1] | $ 2,645,300,000 | $ 1,450,000,000 |
TBAs [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | [1] | 1,441,000,000 | 750,000,000 |
Interest Rate Caps [Member] | |||
Derivative [Line Items] | |||
Derivative asset, notional amount | [2] | $ 2,435,000,000 | 3,400,000,000 |
Weighted average maturity (in months) | 12 months | ||
Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | [3] | $ 2,044,000,000 | $ 2,444,000,000 |
Weighted average maturity (in months) | 19 months | ||
Weighted average fixed pay rate | 1.28% | ||
Interest Rate Cap, Contract One [Member] | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 0.50% | ||
Notional amount of derivatives | $ 950,000,000 | ||
Interest Rate Cap, Contract Two [Member] | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 0.75% | ||
Notional amount of derivatives | $ 1,150,000,000 | ||
Interest Rate Cap, Contract Three [Member] | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 2.00% | ||
Notional amount of derivatives | $ 185,000,000 | ||
Interest Rate Cap, Contract Four [Member] | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 4.00% | ||
Notional amount of derivatives | $ 150,000,000 | ||
[1] | Represents the notional amount of Agency RMBS, classified as derivatives. | ||
[2] | Caps LIBOR at 0.50% for $950.0 million of notional, at 0.75% for $1,150.0 million of notional, at 2.00% for $185.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2016 was 12 months. | ||
[3] | Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2016 was 19 months and the weighted average fixed pay rate was 1.28%. |
DERIVATIVES - Schedule of Der99
DERIVATIVES - Schedule of Derivatives - Gain (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Derivative [Line Items] | |||||
Unrealized gain (loss) on derivative instruments | [1] | $ 26,962 | $ (9,166) | $ (8,504) | $ (17,425) |
Gain (loss) on settlement of derivatives | (24,839) | (44,479) | (70,307) | (53,300) | |
Total income (losses) | 2,123 | (53,645) | (78,811) | (70,725) | |
TBAs [Member] | |||||
Derivative [Line Items] | |||||
Unrealized gain (loss) on derivative instruments | [1] | 10,502 | 2,054 | (22) | 254 |
Gain (loss) on settlement of derivatives | (15,922) | (33,398) | (55,159) | (36,902) | |
Interest Rate Swap [Member] | |||||
Derivative [Line Items] | |||||
Unrealized gain (loss) on derivative instruments | [1] | 15,997 | (10,221) | (4,799) | (15,310) |
Gain (loss) on settlement of derivatives | (8,917) | (10,536) | (14,024) | (15,853) | |
Interest Rate Caps [Member] | |||||
Derivative [Line Items] | |||||
Unrealized gain (loss) on derivative instruments | [1] | 463 | (999) | (3,683) | (2,369) |
Gain (loss) on settlement of derivatives | $ 0 | $ (545) | $ (1,124) | $ (545) | |
[1] | Represents unrealized gains (losses). |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 12,782,716,000 | ||
Carrying Value | [1] | $ 12,763,153,000 | $ 11,292,622,000 |
Weighted Average Funding Cost | 3.02% | ||
Weighted Average Life (Years) | 11 months 13 days | ||
Interest payable | $ 17,965,000 | 18,268,000 | |
Trade And Other Receivables [Member] | |||
Debt Instrument [Line Items] | |||
Collateral amount | 1,500,000,000 | ||
Servicer Advances [Member] | |||
Debt Instrument [Line Items] | |||
Carrying Value | [2] | 5,897,747,000 | 7,047,061,000 |
Consumer Loans [Member] | |||
Debt Instrument [Line Items] | |||
Carrying Value | 1,707,197,000 | 40,446,000 | |
Repurchase Agreements [Member] | Agency RMBS [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [3],[4] | 1,614,256,000 | |
Carrying Value | [1],[3],[4] | $ 1,614,256,000 | 1,683,305,000 |
Weighted Average Funding Cost | [3],[4] | 0.70% | |
Weighted Average Life (Years) | [3],[4] | 21 days | |
Repurchase Agreements [Member] | Agency RMBS [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [3],[4] | 5 months 18 days | |
Outstanding Face of Collateral | [3],[4] | $ 1,591,692,000 | |
Amortized Cost Basis of Collateral | [3],[4] | 1,684,858,000 | |
Carrying Value of Collateral | [3],[4] | 1,680,197,000 | |
Repurchase Agreements [Member] | Non-Agency RMBS [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [4],[5] | 2,622,466,000 | |
Carrying Value | [1],[4],[5] | $ 2,622,466,000 | 1,333,852,000 |
Weighted Average Funding Cost | [4],[5] | 2.24% | |
Weighted Average Life (Years) | [4],[5] | 1 month 11 days | |
Repurchase Agreements [Member] | Non-Agency RMBS [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [4],[5] | 7 years 11 days | |
Outstanding Face of Collateral | [4],[5] | $ 6,312,788,000 | |
Amortized Cost Basis of Collateral | [4],[5] | 3,396,357,000 | |
Carrying Value of Collateral | [4],[5] | 3,502,317,000 | |
Repurchase agreements | 89,200,000 | ||
Repurchase Agreements [Member] | Residential Mortgage [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [4],[6] | 556,538,000 | |
Carrying Value | [1],[4],[6] | $ 554,991,000 | 907,993,000 |
Weighted Average Funding Cost | [4],[6] | 3.01% | |
Weighted Average Life (Years) | [4],[6] | 5 months 30 days | |
Repurchase Agreements [Member] | Residential Mortgage [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [4],[6] | 2 years 11 months 21 days | |
Outstanding Face of Collateral | [4],[6] | $ 882,312,000 | |
Amortized Cost Basis of Collateral | [4],[6] | 685,345,000 | |
Carrying Value of Collateral | [4],[6] | 682,916,000 | |
Repurchase Agreements [Member] | Real Estate Owned [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [4],[7],[8] | 85,403,000 | |
Carrying Value | [1],[4],[7],[8] | $ 85,163,000 | 77,458,000 |
Weighted Average Funding Cost | [4],[7],[8] | 3.09% | |
Weighted Average Life (Years) | [4],[7],[8] | 4 months 22 days | |
Repurchase Agreements [Member] | Real Estate Owned [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Carrying Value of Collateral | [4],[7],[8] | $ 108,051,000 | |
Repurchase Agreements [Member] | Consumer Loan Investment [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [4],[9] | 53,068,000 | |
Carrying Value | [1],[4],[9] | $ 53,068,000 | 40,446,000 |
Weighted Average Funding Cost | [4],[9] | 5.61% | |
Weighted Average Life (Years) | [4],[9] | 25 days | |
Repurchase Agreements [Member] | Consumer Loan Investment [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 5.00% | ||
Collateral percentage | 56.00% | ||
Repurchase Agreements [Member] | Consumer Loan Investment [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [4],[9] | 4 years 27 days | |
Carrying Value of Collateral | [4],[9] | $ 123,184,000 | |
Repurchase Agreements [Member] | Total Repurchase Agreements [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [4] | 4,931,731,000 | |
Carrying Value | [1],[4] | $ 4,929,944,000 | 4,043,054,000 |
Weighted Average Funding Cost | [4] | 1.87% | |
Weighted Average Life (Years) | [4] | 1 month 22 days | |
Interest payable | $ 6,700,000 | ||
Notes Payable [Member] | Residential Mortgage [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [10] | 9,789,000 | |
Carrying Value | [1],[10] | $ 9,614,000 | 19,529,000 |
Weighted Average Funding Cost | [10] | 3.39% | |
Weighted Average Life (Years) | [10] | 22 days | |
Notes Payable [Member] | Residential Mortgage [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [10] | 4 years 6 months | |
Outstanding Face of Collateral | [10] | $ 14,243,000 | |
Amortized Cost Basis of Collateral | [10] | 8,086,000 | |
Carrying Value of Collateral | [10] | 8,086,000 | |
Notes Payable [Member] | Real Estate Owned [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [10] | 3,429,000 | |
Carrying Value | [1],[10] | $ 3,429,000 | 0 |
Weighted Average Funding Cost | [10] | 3.39% | |
Weighted Average Life (Years) | [10] | 22 days | |
Notes Payable [Member] | Real Estate Owned [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 2.875% | ||
Notes Payable [Member] | Real Estate Owned [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Carrying Value of Collateral | [10] | $ 4,068,000 | |
Notes Payable [Member] | Secured Corporate Note [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [11] | 270,511,000 | |
Carrying Value | [1],[11] | $ 268,290,000 | 182,978,000 |
Weighted Average Funding Cost | [11] | 5.28% | |
Weighted Average Life (Years) | [11] | 1 year 9 months 4 days | |
Notes Payable [Member] | Secured Corporate Note [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 4.75% | ||
Notes Payable [Member] | Secured Corporate Note [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [11] | 5 years 10 months 19 days | |
Outstanding Face of Collateral | [11] | $ 247,538,861,000 | |
Amortized Cost Basis of Collateral | [11] | 801,924,000 | |
Carrying Value of Collateral | [11] | 940,117,000 | |
Notes Payable [Member] | Servicer Advances [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [12] | 5,907,803,000 | |
Carrying Value | [1],[12] | $ 5,897,747,000 | 7,047,061,000 |
Weighted Average Funding Cost | [12] | 3.52% | |
Weighted Average Life (Years) | [12] | 1 year | |
Face amount of debt at fixed rate | $ 2,200,000,000 | ||
Notes Payable [Member] | Servicer Advances [Member] | London Interbank Offered Rate (LIBOR) [Member] | Minimum [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 2.10% | ||
Notes Payable [Member] | Servicer Advances [Member] | London Interbank Offered Rate (LIBOR) [Member] | Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 2.2258% | ||
Notes Payable [Member] | Servicer Advances [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [12] | 4 years 5 months 24 days | |
Outstanding Face of Collateral | [12] | $ 6,017,968,000 | |
Amortized Cost Basis of Collateral | [12] | 6,012,315,000 | |
Carrying Value of Collateral | [12] | 6,043,369,000 | |
Notes Payable [Member] | Consumer Loans [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | [13],[14] | 1,659,453,000 | |
Carrying Value | [1],[13],[14] | $ 1,654,129,000 | 0 |
Weighted Average Funding Cost | [13],[14] | 4.31% | |
Weighted Average Life (Years) | [13],[14] | 3 years 24 days | |
Notes Payable [Member] | Consumer Loans [Member] | Collateral [Member] | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | [13],[14] | 3 years 11 months 24 days | |
Outstanding Face of Collateral | [13],[14] | $ 1,822,593,000 | |
Amortized Cost Basis of Collateral | [13],[14] | 1,812,730,000 | |
Carrying Value of Collateral | [13],[14] | 1,811,115,000 | |
Notes Payable [Member] | Total Notes Payable [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 7,850,985,000 | ||
Carrying Value | [1] | $ 7,833,209,000 | $ 7,249,568,000 |
Weighted Average Funding Cost | 3.74% | ||
Weighted Average Life (Years) | 1 year 5 months 16 days | ||
Secured Debt [Member] | |||
Debt Instrument [Line Items] | |||
Redemption rate | 100.00% | ||
Secured Debt [Member] | UPB Class A Notes, 2.7%, Matures May 2023 [Member] | |||
Debt Instrument [Line Items] | |||
Unpaid Principal Balance | $ 637,100,000 | ||
Interest rate | 2.70% | ||
Specified call premium percentage | 1.00% | ||
Secured Debt [Member] | UPB Class B Notes, 4.61%, Matures October 2027 [Member] | |||
Debt Instrument [Line Items] | |||
Unpaid Principal Balance | $ 427,000,000 | ||
Interest rate | 4.61% | ||
Specified call premium percentage | 0.75% | ||
Secured Debt [Member] | UPB Class C Notes, 5.59%, Matures October 2033 [Member] | |||
Debt Instrument [Line Items] | |||
Unpaid Principal Balance | $ 331,200,000 | ||
Interest rate | 5.59% | ||
Specified call premium percentage | 1.00% | ||
Secured Debt [Member] | UPB Class D Notes, 6.82%, Matures April 2034 [Member] | |||
Debt Instrument [Line Items] | |||
Unpaid Principal Balance | $ 199,800,000 | ||
Interest rate | 6.82% | ||
Specified call premium percentage | 2.00% | ||
Secured Debt [Member] | 3.25% Consumer Loans [Member] | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 64,341,946.6000000 | ||
Secured Debt [Member] | 3.25% Consumer Loans [Member] | London Interbank Offered Rate (LIBOR) [Member] | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 3.25% | ||
[1] | Net of deferred financing costs. | ||
[2] | New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances. | ||
[3] | All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.5 billion of related trade and other receivables. | ||
[4] | These repurchase agreements had approximately $6.7 million of associated accrued interest payable as of September 30, 2016. | ||
[5] | All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $89.2 million on retained servicer advance bonds. | ||
[6] | All of these repurchase agreements have LIBOR-based floating interest rates. | ||
[7] | All of these repurchase agreements have LIBOR-based floating interest rates. | ||
[8] | Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. | ||
[9] | The repurchase agreement bears interest equal to three-month LIBOR plus 5.00% and is collateralized by 56% of New Residential’s interest in the Consumer Loan Companies (Note 9). | ||
[10] | The note is payable to Nationstar and bears interest equal to one-month LIBOR plus 2.875%. | ||
[11] | The loans bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.75%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure these notes. | ||
[12] | $2.2 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.1% to 2.2%. | ||
[13] | Includes a $64.3 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25%. | ||
[14] | ncludes the debt assumed in the SpringCastle Transaction (Note 1), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties: $637.1 million UPB of Class A notes with a coupon of 2.7% and a stated maturity date in May 2023 (the “Class A Notes”); $427.0 million UPB of Class B notes with a coupon of 4.61% and a stated maturity date in October 2027 (the “Class B Notes”); $331.2 million UPB of Class C notes with a coupon of 5.59% and a stated maturity date in October 2033 (the “Class C Notes”); and $199.8 million UPB of Class D notes with a coupon of 6.82% and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) the applicable Specified Call Premium Amount (as defined below) for such 2014-A Notes, plus (iii) accrued and unpaid interest and fees in respect of such 2014-A Notes. On or after the payment date occurring in October 2016, the redemption price for any class of 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) accrued and unpaid interest and fees in respect of such 2014-A Notes. The “Specified Call Premium Amount” on any payment date for any class of 2014-A Notes shall mean (i) in the case of Class A Notes, an amount equal to 1.00% of the UPB of the Class A Notes to be redeemed and (ii) in the case of the Class B Notes, the Class C Notes and the Class D Notes, an amount equal to (a) the product of (1) with respect to the Class B Notes, 0.75%, with respect to the Class C Notes, 1.00% and with respect to the Class D Notes, 2.00%, times (2) the UPB of the 2014-A Notes of such class to be redeemed on such payment date, times (3) the number of days, computed on a 30/360 basis, from and including such payment date to but excluding the payment date occurring in October 2016, divided by (b) 360. |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) | Aug. 15, 2016USD ($) | Jul. 15, 2016USD ($) | May 09, 2016USD ($) | Mar. 31, 2016USD ($) | Jun. 30, 2016USD ($) | Apr. 30, 2016USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | May 31, 2016USD ($) | |
Debt Instrument [Line Items] | ||||||||||
Face amount of debt | $ 12,782,716,000 | |||||||||
Repayments of Debt | $ 6,786,408,000 | $ 5,445,381,000 | ||||||||
Percent decline in equity, first period | 50.00% | |||||||||
Decline in equity, first period (in months) | 12 months | |||||||||
Percent decline in equity, second period | 35.00% | |||||||||
Decline in equity, second period (in months) | 3 months | |||||||||
Ratio of indebtedness to tangible net worth | 4 | |||||||||
Unamortized Deferred Financing Costs [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Loss on extinguishment of debt | $ 100,000 | |||||||||
Two Year Servicer Advance Facility [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Maximum borrowing capacity | $ 185,000,000 | |||||||||
Debt instrument, term (in years) | 2 years | |||||||||
Advance Financing Facility [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Maximum borrowing capacity | $ 950,000,000 | |||||||||
NRART 2015-T1 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Loss on extinguishment of debt | $ 200,000 | |||||||||
Repayments of Debt | $ 400,000,000 | |||||||||
NRART 2015-T3 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Loss on extinguishment of debt | $ 700,000 | |||||||||
Repayments of Debt | $ 400,000,000 | |||||||||
Repurchase Agreements [Member] | Total Repurchase Agreements [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Face amount of debt | [1] | $ 4,931,731,000 | ||||||||
Secured Debt [Member] | 4.75% Senior Notes Maturing April 2018 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Face amount of debt | $ 225,000,000 | |||||||||
Secured Debt [Member] | 4.75% Senior Notes Maturing June 2019 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Face amount of debt | $ 101,200,000 | |||||||||
Maximum borrowing capacity | 300,000,000 | |||||||||
Secured Debt [Member] | Term Loans Maturing June 2019 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Face amount of debt | 400,000,000 | |||||||||
Face amount, amount voluntarily retained | $ 20,900,000 | |||||||||
London Interbank Offered Rate (LIBOR) [Member] | Secured Debt [Member] | 4.75% Senior Notes Maturing April 2018 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Variable interest rate spread | 4.75% | |||||||||
London Interbank Offered Rate (LIBOR) [Member] | Secured Debt [Member] | 4.75% Senior Notes Maturing June 2019 [Member] | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Variable interest rate spread | 4.75% | |||||||||
[1] | These repurchase agreements had approximately $6.7 million of associated accrued interest payable as of September 30, 2016. |
DEBT OBLIGATIONS - Schedule 102
DEBT OBLIGATIONS - Schedule of Debt Obligations - Carrying Value (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Debt Instrument [Roll Forward] | |||
Beginning balance | [1] | $ 11,292,622 | |
Borrowings | 22,065,713 | $ 6,184,472 | |
Repayments | (21,179,260) | $ (5,644,864) | |
Ending balance | [1] | 12,763,153 | |
Excess MSRs [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 182,978 | ||
Ending balance | 268,290 | ||
Servicer Advances [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | [2] | 7,047,061 | |
Ending balance | [2] | 5,897,747 | |
Real Estate Securities [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 3,017,157 | ||
Ending balance | 4,236,722 | ||
Real Estate Loans and REO [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 1,004,980 | ||
Ending balance | 653,197 | ||
Consumer Loans [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 40,446 | ||
Ending balance | 1,707,197 | ||
Repurchase Agreements [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | 22,067,288 | ||
Repayments | (21,179,260) | ||
Capitalized deferred financing costs, net of amortization | (1,138) | ||
Repurchase Agreements [Member] | Excess MSRs [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | 0 | ||
Repayments | 0 | ||
Capitalized deferred financing costs, net of amortization | 0 | ||
Repurchase Agreements [Member] | Servicer Advances [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | [2] | 0 | |
Repayments | [2] | 0 | |
Capitalized deferred financing costs, net of amortization | [2] | 0 | |
Repurchase Agreements [Member] | Real Estate Securities [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | 21,719,656 | ||
Repayments | (20,500,091) | ||
Capitalized deferred financing costs, net of amortization | 0 | ||
Repurchase Agreements [Member] | Real Estate Loans and REO [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | 326,174 | ||
Repayments | (670,333) | ||
Capitalized deferred financing costs, net of amortization | (1,138) | ||
Repurchase Agreements [Member] | Consumer Loans [Member] | |||
Debt Instrument [Roll Forward] | |||
Borrowings | 21,458 | ||
Repayments | (8,836) | ||
Capitalized deferred financing costs, net of amortization | 0 | ||
Notes Payable [Member] | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 1,803,192 | ||
Borrowings | 5,567,309 | ||
Repayments | (6,786,408) | ||
Discount on borrowings, net of amortization | 1,567 | ||
Capitalized deferred financing costs, net of amortization | (2,019) | ||
Notes Payable [Member] | Excess MSRs [Member] | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 401,740 | ||
Repayments | (315,662) | ||
Discount on borrowings, net of amortization | 1,420 | ||
Capitalized deferred financing costs, net of amortization | (2,186) | ||
Notes Payable [Member] | Servicer Advances [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | [1],[3] | 7,047,061 | |
Acquired borrowings, net of discount | [2] | 0 | |
Borrowings | [2] | 5,101,227 | |
Repayments | [2] | (6,251,482) | |
Discount on borrowings, net of amortization | [2] | 0 | |
Capitalized deferred financing costs, net of amortization | [2] | 941 | |
Ending balance | [1],[3] | 5,897,747 | |
Notes Payable [Member] | Real Estate Securities [Member] | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | ||
Repayments | 0 | ||
Discount on borrowings, net of amortization | 0 | ||
Capitalized deferred financing costs, net of amortization | 0 | ||
Notes Payable [Member] | Real Estate Loans and REO [Member] | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | ||
Repayments | (6,311) | ||
Discount on borrowings, net of amortization | 0 | ||
Capitalized deferred financing costs, net of amortization | (175) | ||
Notes Payable [Member] | Consumer Loans [Member] | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | [1],[4],[5] | 0 | |
Acquired borrowings, net of discount | 1,803,192 | ||
Borrowings | 64,342 | ||
Repayments | (212,953) | ||
Discount on borrowings, net of amortization | 147 | ||
Capitalized deferred financing costs, net of amortization | (599) | ||
Ending balance | [1],[4],[5] | $ 1,654,129 | |
[1] | Net of deferred financing costs. | ||
[2] | New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances. | ||
[3] | $2.2 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.1% to 2.2%. | ||
[4] | Includes a $64.3 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25%. | ||
[5] | ncludes the debt assumed in the SpringCastle Transaction (Note 1), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties: $637.1 million UPB of Class A notes with a coupon of 2.7% and a stated maturity date in May 2023 (the “Class A Notes”); $427.0 million UPB of Class B notes with a coupon of 4.61% and a stated maturity date in October 2027 (the “Class B Notes”); $331.2 million UPB of Class C notes with a coupon of 5.59% and a stated maturity date in October 2033 (the “Class C Notes”); and $199.8 million UPB of Class D notes with a coupon of 6.82% and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) the applicable Specified Call Premium Amount (as defined below) for such 2014-A Notes, plus (iii) accrued and unpaid interest and fees in respect of such 2014-A Notes. On or after the payment date occurring in October 2016, the redemption price for any class of 2014-A Notes shall be the sum of (i) 100% of the UPB of the 2014-A Notes of the applicable class to be redeemed, plus (ii) accrued and unpaid interest and fees in respect of such 2014-A Notes. The “Specified Call Premium Amount” on any payment date for any class of 2014-A Notes shall mean (i) in the case of Class A Notes, an amount equal to 1.00% of the UPB of the Class A Notes to be redeemed and (ii) in the case of the Class B Notes, the Class C Notes and the Class D Notes, an amount equal to (a) the product of (1) with respect to the Class B Notes, 0.75%, with respect to the Class C Notes, 1.00% and with respect to the Class D Notes, 2.00%, times (2) the UPB of the 2014-A Notes of such class to be redeemed on such payment date, times (3) the number of days, computed on a 30/360 basis, from and including such payment date to but excluding the payment date occurring in October 2016, divided by (b) 360. |
DEBT OBLIGATIONS - Schedule 103
DEBT OBLIGATIONS - Schedule of Contractual Maturities of Debt Obligations (Details) $ in Thousands | Sep. 30, 2016USD ($) |
Debt maturing in: | |
October 1 through December 31, 2016 | $ 4,176,165 |
2,017 | 5,768,570 |
2,018 | 748,908 |
2,019 | 493,962 |
2,020 | 0 |
2021 and thereafter | 1,595,111 |
Total | 12,782,716 |
Nonrecourse [Member] | |
Debt maturing in: | |
October 1 through December 31, 2016 | 0 |
2,017 | 5,088,249 |
2,018 | 501,636 |
2,019 | 443,451 |
2,020 | 0 |
2021 and thereafter | 1,595,111 |
Total | 7,628,447 |
Recourse [Member] | |
Debt maturing in: | |
October 1 through December 31, 2016 | 4,176,165 |
2,017 | 680,321 |
2,018 | 247,272 |
2,019 | 50,511 |
2,020 | 0 |
2021 and thereafter | 0 |
Total | $ 5,154,269 |
DEBT OBLIGATIONS - Schedule 104
DEBT OBLIGATIONS - Schedule of Borrowing Capacity (Details) | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Debt Instrument [Line Items] | ||
Face amount of debt | $ 12,782,716,000 | |
Non-Agency Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Face amount of debt | 110,100,000 | |
Residential Mortgage Loans [Member] | ||
Debt Instrument [Line Items] | ||
Borrowing Capacity | 2,065,000,000 | |
Balance Outstanding | 641,941,000 | |
Available Financing | 1,423,059,000 | |
Excess MSRs [Member] | ||
Debt Instrument [Line Items] | ||
Borrowing Capacity | 525,000,000 | |
Balance Outstanding | 270,511,000 | |
Available Financing | 254,489,000 | |
Servicer Advances [Member] | ||
Debt Instrument [Line Items] | ||
Borrowing Capacity | 7,274,860,000 | [1] |
Balance Outstanding | 5,907,803,000 | [1] |
Available Financing | $ 1,367,057,000 | [1] |
Unused borrowing capacity fee | 0.20% | |
Consumer Loan [Member] | ||
Debt Instrument [Line Items] | ||
Borrowing Capacity | $ 125,000,000 | |
Balance Outstanding | 64,342,000 | |
Available Financing | 60,658,000 | |
Debt Excess Borrowing Capacity [Member] | ||
Debt Instrument [Line Items] | ||
Borrowing Capacity | 9,989,860,000 | |
Balance Outstanding | 6,884,597,000 | |
Available Financing | $ 3,105,263,000 | |
[1] | New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.2% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained non-agency bonds with a current face amount of $110.1 million. |
FAIR VALUE OF FINANCIAL INST105
FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Investments in: | |||
Real estate securities, available-for-sale | $ 4,991,242 | $ 2,501,881 | |
Consumer loans, held-for-investment, principal balance | [1] | 1,821,979 | 0 |
Derivative assets | 2,088 | 2,689 | |
Restricted cash | 153,127 | 94,702 | |
Liabilities | |||
Derivative liabilities | 24,085 | $ 13,443 | |
Recurring Basis [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, principal balance | [2] | 290,291,012 | |
Excess mortgage servicing rights, equity method investees, principal balance | [2] | 63,834,062 | |
Servicer advances, principal balance | 6,017,968 | ||
Real estate securities, available-for-sale, principal balance | 8,027,852 | ||
Residential mortgage loans, held-for-investment, principal balance | 0 | ||
Residential mortgage loans, held-for-sale, principal balance | 927,523 | ||
Consumer loans, held-for-investment, principal balance | 1,833,558 | ||
Derivative assets, notional amount | 2,435,000 | ||
Cash and cash equivalents, principal balance | 388,674 | ||
Restricted cash, principal balance | 153,127 | ||
Other Assets, principal balance | 729,193 | ||
Liabilities | |||
Repurchase agreements, principal balance | 4,931,731 | ||
Notes and bonds payable, principal balance | 7,850,985 | ||
Derivative liabilities, notional amount | 6,130,300 | ||
Recurring Basis [Member] | Carrying Value [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | [2] | 1,404,052 | |
Excess mortgage servicing rights, equity method investees, at fair value | [2] | 195,904 | |
Servicer advances | 6,043,369 | ||
Real estate securities, available-for-sale | 4,991,242 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 705,481 | ||
Consumer loans, held-for-investment | 1,821,979 | ||
Derivative assets | 2,088 | ||
Cash and cash equivalents | 388,674 | ||
Restricted cash | 153,127 | ||
Other Assets | 3,255 | ||
Assets, fair value | 15,709,171 | ||
Liabilities | |||
Repurchase agreements | 4,929,944 | ||
Notes and bonds payable | 7,833,209 | ||
Derivative liabilities | 24,085 | ||
Liabilities, fair value | 12,787,238 | ||
Recurring Basis [Member] | Fair Value [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | [2] | 1,404,052 | |
Excess mortgage servicing rights, equity method investees, at fair value | [2] | 195,904 | |
Servicer advances | 6,043,369 | ||
Real estate securities, available-for-sale | 4,991,242 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 733,879 | ||
Consumer loans, held-for-investment | 1,852,118 | ||
Derivative assets | 2,088 | ||
Cash and cash equivalents | 388,674 | ||
Restricted cash | 153,127 | ||
Other Assets | 3,255 | ||
Assets, fair value | 15,767,708 | ||
Liabilities | |||
Repurchase agreements | 4,931,731 | ||
Notes and bonds payable | 7,864,545 | ||
Derivative liabilities | 24,085 | ||
Liabilities, fair value | 12,820,361 | ||
Recurring Basis [Member] | Fair Value [Member] | Level 1 [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | [2] | 0 | |
Excess mortgage servicing rights, equity method investees, at fair value | [2] | 0 | |
Servicer advances | 0 | ||
Real estate securities, available-for-sale | 0 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 0 | ||
Consumer loans, held-for-investment | 0 | ||
Derivative assets | 0 | ||
Cash and cash equivalents | 388,674 | ||
Restricted cash | 153,127 | ||
Other Assets | 0 | ||
Assets, fair value | 541,801 | ||
Liabilities | |||
Repurchase agreements | 0 | ||
Notes and bonds payable | 0 | ||
Derivative liabilities | 0 | ||
Liabilities, fair value | 0 | ||
Recurring Basis [Member] | Fair Value [Member] | Level 2 [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | [2] | 0 | |
Excess mortgage servicing rights, equity method investees, at fair value | [2] | 0 | |
Servicer advances | 0 | ||
Real estate securities, available-for-sale | 1,434,308 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 0 | ||
Consumer loans, held-for-investment | 0 | ||
Derivative assets | 2,088 | ||
Cash and cash equivalents | 0 | ||
Restricted cash | 0 | ||
Other Assets | 0 | ||
Assets, fair value | 1,436,396 | ||
Liabilities | |||
Repurchase agreements | 4,931,731 | ||
Notes and bonds payable | 0 | ||
Derivative liabilities | 24,085 | ||
Liabilities, fair value | 4,955,816 | ||
Recurring Basis [Member] | Fair Value [Member] | Level 3 [Member] | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | [2] | 1,404,052 | |
Excess mortgage servicing rights, equity method investees, at fair value | [2] | 195,904 | |
Servicer advances | 6,043,369 | ||
Real estate securities, available-for-sale | 3,556,934 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 733,879 | ||
Consumer loans, held-for-investment | 1,852,118 | ||
Derivative assets | 0 | ||
Cash and cash equivalents | 0 | ||
Restricted cash | 0 | ||
Other Assets | 3,255 | ||
Assets, fair value | 13,789,511 | ||
Liabilities | |||
Repurchase agreements | 0 | ||
Notes and bonds payable | 7,864,545 | ||
Derivative liabilities | 0 | ||
Liabilities, fair value | $ 7,864,545 | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. | ||
[2] | 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 non-performing loans in Agency portfolios. |
FAIR VALUE OF FINANCIAL INST106
FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Excess MSRs Investees [Member] | |||
Purchases, sales and repayments | |||
New Residential’s ownership | 50.00% | 50.00012% | |
Recurring Basis [Member] | Level 3 [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | $ 10,809,815 | ||
Transfers from Level 3 | [1] | 0 | |
Transfers to Level 3 | [1] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2] | (7,838) | |
Included in change in fair value of investments in excess mortgage servicing rights | [2] | (24,397) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2] | 8,608 | |
Included in change in fair value of investments in Servicer Advances | 4,328 | ||
Included in gain (loss) on settlement of investments, net | (20,950) | ||
Included in other income | [2] | (591) | |
Gains (losses) included in other comprehensive income, net of tax | [3] | 105,031 | |
Interest income | 498,314 | ||
Purchases, sales and repayments | |||
Purchases | 13,886,983 | ||
Proceeds from sales | (95,430) | ||
Proceeds from repayments | (13,963,614) | ||
Balance, ending | 11,200,259 | ||
Recurring Basis [Member] | Level 3 [Member] | Non-Agency RMBS [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 1,584,283 | ||
Transfers from Level 3 | [1] | 0 | |
Transfers to Level 3 | [1] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2] | (7,838) | |
Included in change in fair value of investments in excess mortgage servicing rights | [2] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2] | 0 | |
Included in change in fair value of investments in Servicer Advances | 0 | ||
Included in gain (loss) on settlement of investments, net | (20,950) | ||
Included in other income | [2] | (2,779) | |
Gains (losses) included in other comprehensive income, net of tax | [3] | 105,031 | |
Interest income | 133,589 | ||
Purchases, sales and repayments | |||
Purchases | 2,298,446 | ||
Proceeds from sales | (95,430) | ||
Proceeds from repayments | (437,418) | ||
Balance, ending | 3,556,934 | ||
Recurring Basis [Member] | Level 3 [Member] | Servicer Advances [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 7,426,794 | ||
Transfers from Level 3 | [1] | 0 | |
Transfers to Level 3 | [1] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | [2] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2] | 0 | |
Included in change in fair value of investments in Servicer Advances | 4,328 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income | [2] | 0 | |
Gains (losses) included in other comprehensive income, net of tax | [3] | 0 | |
Interest income | 257,877 | ||
Purchases, sales and repayments | |||
Purchases | 11,588,537 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (13,234,167) | ||
Balance, ending | 6,043,369 | ||
Recurring Basis [Member] | Level 3 [Member] | MSRs Agency [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | [4] | 437,201 | |
Transfers from Level 3 | [1],[4] | 0 | |
Transfers to Level 3 | [1],[4] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2],[4] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | [2],[4] | (7,292) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2],[4] | 0 | |
Included in change in fair value of investments in Servicer Advances | [4] | 0 | |
Included in gain (loss) on settlement of investments, net | [4] | 0 | |
Included in other income | [2],[4] | 1,930 | |
Gains (losses) included in other comprehensive income, net of tax | [3],[4] | 0 | |
Interest income | [4] | 25,156 | |
Purchases, sales and repayments | |||
Purchases | [4] | 0 | |
Proceeds from sales | [4] | 0 | |
Proceeds from repayments | [4] | (68,231) | |
Balance, ending | [4] | 388,764 | |
Recurring Basis [Member] | Level 3 [Member] | MSRs Agency [Member] | Excess MSRs Investees [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | [4],[5] | 217,221 | |
Transfers from Level 3 | [1],[4],[5] | 0 | |
Transfers to Level 3 | [1],[4],[5] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2],[4],[5] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | [2],[4],[5] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2],[4],[5] | 8,608 | |
Included in change in fair value of investments in Servicer Advances | [4],[5] | 0 | |
Included in gain (loss) on settlement of investments, net | [4],[5] | 0 | |
Included in other income | [2],[4],[5] | 0 | |
Gains (losses) included in other comprehensive income, net of tax | [3],[4],[5] | 0 | |
Interest income | [4],[5] | 0 | |
Purchases, sales and repayments | |||
Purchases | [4],[5] | 0 | |
Proceeds from sales | [4],[5] | 0 | |
Proceeds from repayments | [4],[5] | (29,925) | |
Balance, ending | [4],[5] | 195,904 | |
Recurring Basis [Member] | Level 3 [Member] | MSRs Non-Agency [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | [4] | 1,144,316 | |
Transfers from Level 3 | [1],[4] | 0 | |
Transfers to Level 3 | [1],[4] | 0 | |
Gains (losses) included in net income | |||
Included in other-than-temporary impairment (''OTTI'') on securities | [2],[4] | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | [2],[4] | (17,105) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | [2],[4] | 0 | |
Included in change in fair value of investments in Servicer Advances | [4] | 0 | |
Included in gain (loss) on settlement of investments, net | [4] | 0 | |
Included in other income | [2],[4] | 258 | |
Gains (losses) included in other comprehensive income, net of tax | [3],[4] | 0 | |
Interest income | [4] | 81,692 | |
Purchases, sales and repayments | |||
Purchases | [4] | 0 | |
Proceeds from sales | [4] | 0 | |
Proceeds from repayments | [4] | (193,873) | |
Balance, ending | [4] | $ 1,015,288 | |
[1] | Transfers are assumed to occur at the beginning of each respective period. | ||
[2] | 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 and realized gains (losses) recorded during the period. | ||
[3] | These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. | ||
[4] | Includes the recapture agreement for each respective pool. | ||
[5] | Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest. |
FAIR VALUE OF FINANCIAL INST107
FAIR VALUE OF FINANCIAL INSTRUMENTS - Summary of Certain Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 9 Months Ended | |
Sep. 30, 2016 | ||
MSRs [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 10.00% | [1],[2] |
Delinquency | 4.00% | [2],[3] |
Recapture Rate | 13.90% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0017 | [2],[5] |
MSRs [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Directly Held [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 9.90% | [1],[2] |
Delinquency | 3.70% | [2],[3] |
Recapture Rate | 10.00% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0016 | [2],[5] |
Directly Held [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Directly Held [Member] | Agency [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 9.80% | [1],[2] |
Delinquency | 3.70% | [2],[3] |
Recapture Rate | 29.20% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0021 | [2],[5] |
Directly Held [Member] | Agency [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 24 years | |
Directly Held [Member] | Agency [Member] | Original Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 10.60% | [1],[2] |
Delinquency | 3.30% | [2],[3] |
Recapture Rate | 32.50% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0021 | [2],[5] |
Directly Held [Member] | Agency [Member] | Original Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 24 years | |
Directly Held [Member] | Agency [Member] | Recaptured Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 7.60% | [1],[2] |
Delinquency | 4.80% | [2],[3] |
Recapture Rate | 20.90% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0021 | [2],[5] |
Directly Held [Member] | Agency [Member] | Recaptured Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Directly Held [Member] | Agency [Member] | Recapture Agreements [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 7.60% | [1],[2] |
Delinquency | 4.90% | [2],[3] |
Recapture Rate | 20.00% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0022 | [2],[5] |
Directly Held [Member] | Non-Agency [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 10.00% | [1],[2],[6] |
Recapture Rate | 2.70% | [2],[4],[6] |
Excess Mortgage Servicing Amount (bps) | 0.0014 | [2],[5],[6] |
Directly Held [Member] | Non-Agency [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Directly Held [Member] | Non-Agency [Member] | Original Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 11.90% | [1],[2],[6] |
Recapture Rate | 10.60% | [2],[4],[6] |
Excess Mortgage Servicing Amount (bps) | 0.0014 | [2],[5],[6] |
Directly Held [Member] | Non-Agency [Member] | Original Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 24 years | |
Directly Held [Member] | Non-Agency [Member] | Recaptured Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 8.10% | [1],[2],[6] |
Recapture Rate | 20.00% | [2],[4],[6] |
Excess Mortgage Servicing Amount (bps) | 0.0020 | [2],[5],[6] |
Directly Held [Member] | Non-Agency [Member] | Recaptured Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 24 years | |
Directly Held [Member] | Non-Agency [Member] | Recapture Agreements [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 7.50% | [1],[2],[6] |
Recapture Rate | 20.00% | [2],[4],[6] |
Excess Mortgage Servicing Amount (bps) | 0.0020 | [2],[5],[6] |
Directly Held [Member] | Non-Agency [Member] | Ocwen Serviced Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 9.60% | [1],[2],[6] |
Recapture Rate | 0.00% | [2],[4],[6] |
Excess Mortgage Servicing Amount (bps) | 0.0014 | [2],[5],[6] |
Directly Held [Member] | Non-Agency [Member] | Ocwen Serviced Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Held through Equity Method Investees [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 10.40% | [1],[2] |
Delinquency | 5.20% | [2],[3] |
Recapture Rate | 28.60% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0021 | [2],[5] |
Held through Equity Method Investees [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 24 years | |
Held through Equity Method Investees [Member] | Agency [Member] | Original Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 12.40% | [1],[2] |
Delinquency | 5.30% | [2],[3] |
Recapture Rate | 35.00% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0019 | [2],[5] |
Held through Equity Method Investees [Member] | Agency [Member] | Original Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 23 years | |
Held through Equity Method Investees [Member] | Agency [Member] | Recaptured Pools [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 7.80% | [1],[2] |
Delinquency | 5.00% | [2],[3] |
Recapture Rate | 20.00% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0023 | [2],[5] |
Held through Equity Method Investees [Member] | Agency [Member] | Recaptured Pools [Member] | Weighted Average [Member] | ||
Directly Held (Note 4) | ||
Collateral Weighted Average Maturity (in years) | 25 years | |
Held through Equity Method Investees [Member] | Agency [Member] | Recapture Agreements [Member] | ||
Directly Held (Note 4) | ||
Prepayment Speed | 7.70% | [1],[2] |
Delinquency | 4.90% | [2],[3] |
Recapture Rate | 20.00% | [2],[4] |
Excess Mortgage Servicing Amount (bps) | 0.0023 | [2],[5] |
[1] | Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |
[2] | Weighted by fair value of the portfolio. | |
[3] | Projected percentage of mortgage loans in the pool for which the borrower will miss its mortgage payments. | |
[4] | Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer. | |
[5] | Weighted average total mortgage servicing amount in excess of the basic fee, measured in basis points (bps). | |
[6] | For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. |
FAIR VALUE OF FINANCIAL INST108
FAIR VALUE OF FINANCIAL INSTRUMENTS - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Mar. 31, 2016 | |
Schedule of Equity Method Investments [Line Items] | |||
Assets measured at fair value on a nonrecurring basis | $ 100,000 | $ 100,000 | |
Asset fair value adjustment | 11,400 | ||
Consumer Loan Companies [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Notes and bonds payable | $ 1,803,200 | ||
Fair Value [Member] | Fair Value, Measurements, Nonrecurring [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Fair Value | $ 110,369 | $ 110,369 | |
Minimum [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Broker price discount | 10.00% | 10.00% | |
Maximum [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Broker price discount | 25.00% | 25.00% | |
Residential Mortgage Loans [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Assets measured at fair value on a nonrecurring basis | $ 110,400 | $ 110,400 | |
Real Estate Acquired in Satisfaction of Debt [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Assets measured at fair value on a nonrecurring basis | $ 38,800 | 38,800 | |
Real Estate Owned [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Asset fair value adjustment | 13,600 | ||
Loans Held-for-sale [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Asset fair value adjustment | $ (2,200) | ||
Excess MSRs Investees [Member] | MSRs [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Weighted average discount rate, used to value investments in excess MSRs | 9.80% | 9.80% |
FAIR VALUE OF FINANCIAL INST109
FAIR VALUE OF FINANCIAL INSTRUMENTS - Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances (Details) - Servicer Advances [Member] | 9 Months Ended | |
Sep. 30, 2016 | ||
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ||
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 2.10% | |
Prepayment Speed | 10.30% | [1] |
Delinquency | 14.80% | |
Mortgage Servicing Amount (bps) | 0.00086 | [2] |
Discount Rate | 5.40% | |
Weighted Average [Member] | ||
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years 8 months 16 days | |
[1] | Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. | |
[2] | Mortgage servicing amount excludes the amounts New Residential pays its servicers as a monthly servicing fee. |
FAIR VALUE OF FINANCIAL INST110
FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Securities Valuation Methodology and Results (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($)source | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Outstanding Face Amount | $ 8,027,852 | |
Amortized Cost Basis | 4,884,599 | |
Total Fair Value | $ 4,991,242 | |
Number of broker quotation sources | source | 2 | |
Percent of securities | 67.58197% | |
Multiple Quotes [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | $ 4,496,719 | [1] |
Single Quote [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 494,523 | [2] |
Single Quote [Member] | Seller [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 462,700 | |
Agency RMBS [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 1,356,580 | [3],[4] |
Amortized Cost Basis | 1,437,777 | [3],[4] |
Agency RMBS [Member] | Level 2 [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 1,434,308 | |
Agency RMBS [Member] | Level 2 [Member] | Multiple Quotes [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 1,434,308 | [1] |
Agency RMBS [Member] | Level 2 [Member] | Single Quote [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 0 | [2] |
Non-Agency RMBS [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 6,671,272 | [5],[6],[7] |
Amortized Cost Basis | 3,446,822 | [5],[6],[7] |
Fair Value | $ 2,403,846 | |
Non-Agency RMBS [Member] | Minimum [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Discount Rate | 1.57% | |
Prepayment Rate | 0.00% | [8] |
Delinquency | 0.01% | [9] |
Loss Severity | 5.00% | [10] |
Non-Agency RMBS [Member] | Maximum [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Discount Rate | 32.75% | |
Prepayment Rate | 20.00% | [8] |
Delinquency | 12.00% | [9] |
Loss Severity | 100.00% | [10] |
Non-Agency RMBS [Member] | Level 3 [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | $ 3,556,934 | [5] |
Non-Agency RMBS [Member] | Level 3 [Member] | Multiple Quotes [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | 3,062,411 | [1],[5] |
Non-Agency RMBS [Member] | Level 3 [Member] | Single Quote [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Total Fair Value | $ 494,523 | [2],[5] |
[1] | New Residential generally obtains pricing service quotations or broker quotations from two sources, one of which is generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does 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 it 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. New Residential 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, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. 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. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.The third-party pricing services and brokers engaged by New Residential (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. New Residential has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, New Residential creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by New Residential, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.For 67.6% of our Non-Agency RMBS, the ranges of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate(a) CDR(b) Loss Severity(c)Non-Agency RMBS $2,403,846 1.57% to 32.75% 0% to 20% 0.1% to 12.0% 5.0% to 100%(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.(b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.(c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. | |
[2] | New Residential was unable to obtain quotations from more than one source on these securities. For approximately $462.7 million, the one source was the party that sold New Residential the security. | |
[3] | Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. | |
[4] | The total outstanding face amount was $1.2 billion for fixed rate securities and $151.9 million for floating rate securities as of September 30, 2016. | |
[5] | Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. | |
[6] | Includes other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and (ii) bonds backed by servicer advances. Gross Unrealized Weighted AverageAsset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal SubordinationOther ABS $1,975,404 $110,267 $6,048 $(4,927) $111,388 25 AA+ 1.91% 5.57% 2.9 N/AServicer Advance Bonds $249,000 $248,696 $2,025 $— $250,721 3 AAA 2.81% 2.21% 0.1 N/A | |
[7] | The total outstanding face amount was $1.1 billion (including $0.3 billion of residual and interest-only notional amount) for fixed rate securities and $5.6 billion (including $2.0 billion of residual and interest-only notional amount) for floating rate securities as of September 30, 2016. | |
[8] | Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. | |
[9] | Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. | |
[10] | Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. |
FAIR VALUE OF FINANCIAL INST111
FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Valuation of Loans on Nonrecurring Basis (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Weighted Average Life (Years) | 11 months 13 days | |
Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount Rate | 3.80% | |
Weighted Average Life (Years) | 3 years 9 months 3 days | [1] |
Prepayment Rate | 14.50% | |
Loss Severity | 15.00% | [2] |
Performing Loans [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Weighted Average Life (Years) | 0 years | |
Performing Loans [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount Rate | 3.10% | |
Weighted Average Life (Years) | 3 years 10 months 20 days | [1] |
Prepayment Rate | 17.40% | |
CDR | 0.60% | [3] |
Loss Severity | 11.30% | [2] |
Non-Performing Loans [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount Rate | 6.50% | |
Weighted Average Life (Years) | 3 years 2 months 23 days | [1] |
Prepayment Rate | 3.00% | |
CDR | 3.00% | [3] |
Loss Severity | 30.00% | [2] |
Fair Value [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 110,369 | |
Fair Value [Member] | Performing Loans [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | 88,474 | |
Fair Value [Member] | Non-Performing Loans [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 21,895 | |
[1] | The weighted average life is based on the expected timing of the receipt of cash flows. | |
[2] | Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. | |
[3] | Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. |
FAIR VALUE OF FINANCIAL INST112
FAIR VALUE OF FINANCIAL INSTRUMENTS - Schedule of Inputs Used in Valuing Residential Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Valuation and Loss Provision/ (Reversal) In Current Year | $ 18,275 | $ (3,341) | $ 41,845 | $ 2,408 | |
Weighted Average Life (Years) | 11 months 13 days | ||||
Reverse Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Interest in reverse mortgage loans | 70.00% | ||||
Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Weighted Average Life (Years) | 0 years | ||||
Residential Mortgage [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Valuation and Loss Provision/ (Reversal) In Current Year | $ 77 | ||||
Discount Rate | 7.40% | ||||
Weighted Average Life (Years) | [1] | 2 years 10 months 15 days | |||
Loss Severity | [2] | 30.50% | |||
Residential Mortgage [Member] | Reverse Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Valuation and Loss Provision/ (Reversal) In Current Year | [3] | $ 73 | |||
Discount Rate | [3] | 7.00% | |||
Weighted Average Life (Years) | [1],[3] | 4 years 5 months 25 days | |||
Loss Severity | [2],[3] | 10.80% | |||
Residential Mortgage [Member] | Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Valuation and Loss Provision/ (Reversal) In Current Year | $ 4 | ||||
Discount Rate | 8.00% | ||||
Weighted Average Life (Years) | [1] | 5 years 3 months 26 days | |||
Prepayment Rate | 5.40% | ||||
CDR | [4] | 2.40% | |||
Loss Severity | [2] | 59.30% | |||
Residential Mortgage [Member] | Non-Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Discount Rate | 7.40% | ||||
Weighted Average Life (Years) | [1] | 2 years 9 months 4 days | |||
Prepayment Rate | 2.40% | ||||
CDR | [4] | 3.00% | |||
Loss Severity | [2] | 30.00% | |||
Residential Mortgage [Member] | Carrying Value [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Carrying Value | 595,112 | $ 595,112 | |||
Residential Mortgage [Member] | Carrying Value [Member] | Reverse Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Carrying Value | [3] | 11,836 | 11,836 | ||
Residential Mortgage [Member] | Carrying Value [Member] | Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Carrying Value | 18,693 | 18,693 | |||
Residential Mortgage [Member] | Carrying Value [Member] | Non-Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Carrying Value | 564,583 | 564,583 | |||
Residential Mortgage [Member] | Fair Value [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 623,510 | 623,510 | |||
Residential Mortgage [Member] | Fair Value [Member] | Reverse Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | [3] | 13,707 | 13,707 | ||
Residential Mortgage [Member] | Fair Value [Member] | Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 18,909 | 18,909 | |||
Residential Mortgage [Member] | Fair Value [Member] | Non-Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 590,894 | 590,894 | |||
Consumer Loan [Member] | Consumer Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Valuation and Loss Provision/ (Reversal) In Current Year | $ 4,001 | ||||
Discount Rate | 9.30% | ||||
Weighted Average Life (Years) | [1] | 3 years 11 months 24 days | |||
Prepayment Rate | 15.20% | ||||
CDR | [4] | 5.50% | |||
Loss Severity | [2] | 88.00% | |||
Consumer Loan [Member] | Carrying Value [Member] | Consumer Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Carrying Value | 1,821,979 | $ 1,821,979 | |||
Consumer Loan [Member] | Fair Value [Member] | Consumer Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 1,852,118 | $ 1,852,118 | |||
Fair Value, Measurements, Nonrecurring [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Discount Rate | 3.80% | ||||
Weighted Average Life (Years) | [5] | 3 years 9 months 3 days | |||
Prepayment Rate | 14.50% | ||||
Loss Severity | [6] | 15.00% | |||
Fair Value, Measurements, Nonrecurring [Member] | Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Discount Rate | 3.10% | ||||
Weighted Average Life (Years) | [5] | 3 years 10 months 20 days | |||
Prepayment Rate | 17.40% | ||||
CDR | [7] | 0.60% | |||
Loss Severity | [6] | 11.30% | |||
Fair Value, Measurements, Nonrecurring [Member] | Non-Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Discount Rate | 6.50% | ||||
Weighted Average Life (Years) | [5] | 3 years 2 months 23 days | |||
Prepayment Rate | 3.00% | ||||
CDR | [7] | 3.00% | |||
Loss Severity | [6] | 30.00% | |||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 110,369 | $ 110,369 | |||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value [Member] | Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | 88,474 | 88,474 | |||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value [Member] | Non-Performing Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 21,895 | $ 21,895 | |||
[1] | The weighted average life is based on the expected timing of the receipt of cash flows. | ||||
[2] | Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. | ||||
[3] | Carrying value and fair value represent a 70% participation interest New Residential holds in the portfolio of reverse mortgage loans. | ||||
[4] | Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. | ||||
[5] | The weighted average life is based on the expected timing of the receipt of cash flows. | ||||
[6] | Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. | ||||
[7] | Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) | Sep. 23, 2016 | Jun. 27, 2016 | Mar. 22, 2016 | Dec. 10, 2015 | Aug. 31, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Jan. 19, 2016 | Dec. 31, 2015 |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.46 | $ 0.46 | $ 0.46 | $ 0.46 | $ 0.46 | $ 0.46 | $ 1.38 | $ 1.29 | |||
Dividends | $ 115,400,000 | $ 106,000,000 | $ 106,000,000 | $ 106,000,000 | $ 327,399,000 | ||||||
Common stock repurchase amount authorized (up to) | $ 200,000,000 | ||||||||||
Stock issued during period, shares, new issues (in shares) | 20,000,000 | ||||||||||
Shares issued, price per share (in dollars per share) | $ 14.20 | ||||||||||
Issuance of common stock | $ 278,775,000 | 278,775,000 | |||||||||
Issuance of common stock | $ 279,600,000 | $ 882,166,000 | |||||||||
Options granted (in shares) | 2,002,000 | ||||||||||
Options exercised (in shares) | 1,100,497 | ||||||||||
Weighted average exercise price, exercised (in dollars per share) | $ 10.59 | ||||||||||
Common stock, shares outstanding (in shares) | 250,773,117 | 250,773,117 | 230,471,202 | ||||||||
Share price (in dollars per share) | $ 13.81 | $ 13.81 | |||||||||
Diluted common stock equivalent, shares outstanding, adjustment (in shares) | 497,690 | 759,667 | 309,544 | 2,821,758 | |||||||
Fortress [Member] | |||||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||||||||
Common stock, shares outstanding (in shares) | 2,400,000 | 2,400,000 | |||||||||
Manager [Member] | |||||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||||||||
Stock issued during period, shares, new issues (in shares) | 280,111 | ||||||||||
Options granted (in shares) | 2,000,000 | ||||||||||
Options granted in period, fair value (in shares) | $ 2,300,000 | ||||||||||
Options exercised (in shares) | 1,100,497 | ||||||||||
Weighted average exercise price, exercised (in dollars per share) | $ 10.59 | ||||||||||
Employee Stock Option [Member] | Manager [Member] | |||||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||||||||
Risk free interest rate | 1.45% | ||||||||||
Expected dividend rate | 11.80% | ||||||||||
Expected volatility rate | 27.57% | ||||||||||
Expected term (in years) | 10 years |
EQUITY AND EARNINGS PER SHAR114
EQUITY AND EARNINGS PER SHARE - Options Outstanding by Issuance (Details) | Sep. 30, 2016shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 13,281,610 |
Management [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 11,219,872 |
Management [Member] | Issued Prior to 2011 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 345,720 |
Management [Member] | Issued in 2011 - 2016 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 10,874,152 |
Manager's Employees [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 2,055,738 |
Manager's Employees [Member] | Issued Prior to 2011 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 88,280 |
Manager's Employees [Member] | Issued in 2011 - 2016 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 1,967,458 |
Director [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 6,000 |
Director [Member] | Issued Prior to 2011 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 0 |
Director [Member] | Issued in 2011 - 2016 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 6,000 |
Other Affiliates [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 13,281,610 |
Other Affiliates [Member] | Issued Prior to 2011 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 434,000 |
Other Affiliates [Member] | Issued in 2011 - 2016 [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 12,847,610 |
EQUITY AND EARNINGS PER SHAR115
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options - Period End (Details) $ / shares in Units, $ in Millions | 9 Months Ended | |
Sep. 30, 2016USD ($)$ / sharesshares | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 13,281,610 | |
Options Exercisable (in shares) | 7,411,924 | |
Options Granted in 2006 to 2007 [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 88,280 | |
Options Granted in 2006 to 2007 [Member] | Minimum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 29.92 | |
Options Granted in 2006 to 2007 [Member] | Maximum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 33.80 | |
Options Granted in 2013 [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 0 | |
Options Granted in 2013 [Member] | Minimum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 10.24 | |
Options Granted in 2013 [Member] | Maximum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 11.48 | |
Options Granted in 2014 [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 258,750 | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 12.20 | |
Options Granted in 2015 [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 1,708,708 | |
Options Granted in 2015 [Member] | Minimum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.25 | |
Options Granted in 2015 [Member] | Maximum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.88 | |
Options Granted in 2016 [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 0 | |
Options Granted in 2016 [Member] | Minimum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.65 | |
Options Granted in 2016 [Member] | Maximum [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.20 | |
Options Assigned [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 2,055,738 | |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 6,000 | |
Director [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Directors | |
Date of Grant | Various | [1] |
Number of options (in shares) | 6,000 | |
Options Exercisable (in shares) | 6,000 | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.60 | [2] |
Intrinsic value of exercisable options | $ | $ 0 | |
2003 - 2007 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2003 - 2007 | [1],[3] |
Number of options (in shares) | 434,000 | [3] |
Options Exercisable (in shares) | 434,000 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 31.36 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 0 | [3] |
2011-2012 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2011 - 2012 | [1],[3] |
Number of options (in shares) | 25,000 | [3] |
Options Exercisable (in shares) | 25,000 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 7.19 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 0.2 | [3] |
2013 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2,013 | [1],[3] |
Number of options (in shares) | 835,571 | [3] |
Options Exercisable (in shares) | 835,571 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 11.48 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 2 | [3] |
2014 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2,014 | [1],[3] |
Number of options (in shares) | 1,437,500 | [3] |
Options Exercisable (in shares) | 1,389,583 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 12.20 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 2.2 | [3] |
2015 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2,015 | [1],[3] |
Number of options (in shares) | 8,543,539 | [3] |
Options Exercisable (in shares) | 4,655,103 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.44 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 0 | [3] |
2016 [Member] | Manager [Member] | Stock Options [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Recipient | Manager | [3] |
Date of Grant | 2,016 | [1],[3] |
Number of options (in shares) | 2,000,000 | [3] |
Options Exercisable (in shares) | 66,667 | [3] |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.20 | [2],[3] |
Intrinsic value of exercisable options | $ | $ 0 | [3] |
[1] | Options expire on the tenth anniversary from date of grant. | |
[2] | The exercise prices are subject to adjustment in connection with return of capital dividends. | |
[3] | The Manager assigned certain of its options to Fortress’s employees as follows: Date of Grant Range of ExercisePrices Total UnexercisedInception to Date2006-2007 $29.92 to $33.80 88,2802013 $10.24 to $11.48 —2014 $12.20 258,7502015 $15.25 to $15.88 1,708,7082016 $13.65 to $14.20 —Total 2,055,738 |
EQUITY AND EARNINGS PER SHAR116
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options (Details) | 9 Months Ended |
Sep. 30, 2016$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding [Roll Forward] | |
Beginning balance, Outstanding options (in shares) | 12,380,107 |
Options granted (in shares) | 2,002,000 |
Options exercised (in shares) | (1,100,497) |
Options expired unexercised (in shares) | 0 |
Ending balance, Outstanding options (in shares) | 13,281,610 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |
Weighted average exercise price, granted (in dollars per share) | $ / shares | $ 14.20 |
Weighted average exercise price, exercised (in dollars per share) | $ / shares | 10.59 |
Weighted average exercise price, expired (in dollars per share) | $ / shares |
COMMITMENTS AND CONTINGENCIES -
COMMITMENTS AND CONTINGENCIES - Narrative (Details) - lawsuit | Nov. 09, 2015 | Nov. 08, 2015 | Feb. 13, 2015 |
Putative Class Action Lawsuits [Member] | |||
Loss Contingencies [Line Items] | |||
Number of claims | 3 | ||
Shareholder Derivative Actions [Member] | |||
Loss Contingencies [Line Items] | |||
Number of claims | 1 | 3 |
TRANSACTIONS WITH AFFILIATES118
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2016 | May 15, 2013 | |
Related Party Transaction [Line Items] | ||
Management agreement, renewal term (in years) | 1 year | |
Termination fee, number of months' pay (in months) | 12 months | |
Proportion of directors' votes needed to terminate | 0.6666666667000 | |
Accruals for MSR Fund Payments | $ 0.3 | |
Investment Interest Income - Excess MSRs [Member] | Credit Concentration Risk [Member] | Nationstar [Member] | ||
Related Party Transaction [Line Items] | ||
Percentage of UPB of loans underlying investments | 63.80% | |
Investment Interest Income - Servicer Advances [Member] | Credit Concentration Risk [Member] | Nationstar [Member] | ||
Related Party Transaction [Line Items] | ||
Percentage of UPB of loans underlying investments | 34.00% | |
FIG LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Management fee rate (percent) | 1.50% | |
Incentive compensation percentage | 25.00% | |
Interest rate for incentive compensation | 10.00% | |
Nationstar [Member] | Residential Mortgage [Member] | ||
Related Party Transaction [Line Items] | ||
Unpaid Principal Balance | $ 534.7 | |
Nationstar [Member] | Real Estate Owned [Member] | ||
Related Party Transaction [Line Items] | ||
Unpaid balance of real estate owned | 28.3 | |
Nationstar [Member] | Non-Agency RMBS [Member] | ||
Related Party Transaction [Line Items] | ||
Face amount of investment | 4,100 | |
Unpaid Principal Balance | $ 14,200 | |
Redemption premium percentage | 0.75% | |
Nationstar [Member] | Agency RMBS [Member] | ||
Related Party Transaction [Line Items] | ||
Face amount of investment | $ 28.5 |
TRANSACTIONS WITH AFFILIATES119
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Related Party Transaction [Line Items] | ||||||
Due to Affiliate, Total | $ 18,610 | $ 18,610 | $ 23,785 | |||
Management fees | 10,536 | $ 9,860 | 30,552 | $ 23,357 | ||
Incentive compensation | 7,075 | 1,811 | 13,200 | 7,895 | ||
FIG LLC [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Management fees | 3,688 | 3,688 | 6,671 | |||
Incentive compensation | 13,200 | 13,200 | 16,017 | |||
Expense reimbursements and other | 1,722 | 1,722 | 1,097 | |||
Due to Affiliate, Total | 18,610 | 18,610 | $ 23,785 | |||
Management fees | 10,536 | 9,860 | 30,552 | 23,357 | ||
Incentive compensation | 7,075 | 1,811 | 13,200 | 7,895 | ||
Expense reimbursements | [1] | 125 | 125 | 375 | 375 | |
Total payments to affiliate | $ 17,736 | $ 11,796 | $ 44,127 | $ 31,627 | ||
[1] | Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. |
RECLASSIFICATION FROM ACCUMU120
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME - Summary of Amounts Reclassified out of Accumulated Other Comprehensive Income into Net Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other-than-temporary impairment (OTTI) on securities | $ 1,765 | $ 1,574 | $ 7,838 | $ 3,294 |
Total reclassifications | 2,444 | (22,880) | (7,234) | (27,936) |
Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Gain on settlement of investments, net | 679 | (24,454) | (15,072) | (31,230) |
Other-than-temporary impairment (OTTI) on securities | $ 1,765 | $ 1,574 | $ 7,838 | $ 3,294 |
INCOME TAXES - Schedule of Inco
INCOME TAXES - Schedule of Income Tax Expense (Benefit) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Current: | ||||
Federal | $ 3,290 | $ 505 | $ 4,561 | $ 1,135 |
State and Local | 478 | (982) | 636 | (2,073) |
Total Current Income Tax Expense (Benefit) | 3,768 | (477) | 5,197 | (938) |
Deferred: | ||||
Federal | 16,375 | (3,193) | 12,575 | 8,764 |
State and Local | 757 | (2,262) | 423 | (2,879) |
Total Deferred Income Tax Expense (Benefit) | 17,132 | (5,455) | 12,998 | 5,885 |
Total Income Tax Expense (Benefit) | $ 20,900 | $ (5,932) | $ 18,195 | $ 4,947 |
INCOME TAXES - Narrative (Detai
INCOME TAXES - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Income Tax Disclosure [Abstract] | ||
Deferred tax asset, net | $ 172,510 | $ 185,311 |
SUBSEQUENT EVENTS - Narrative (
SUBSEQUENT EVENTS - Narrative (Details) | Sep. 23, 2016USD ($)$ / shares | Aug. 08, 2016USD ($)Loan | Oct. 31, 2016USD ($)Class | Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) |
Subsequent Event [Line Items] | |||||
Dividend declared per share (in dollars per share) | $ / shares | $ 0.46 | ||||
Payment of common stock dividends | $ 115,400,000 | ||||
Face amount of debt | $ 12,782,716,000 | ||||
Payments to acquire loans receivable | $ 2,022,000 | $ 131,488,000 | |||
New Residential Mortgage LLC [Member] | |||||
Subsequent Event [Line Items] | |||||
Payments to acquire loans receivable | $ 240,000,000 | ||||
Servicer advances | 28,100,000 | ||||
New Residential Mortgage LLC [Member] | Walter Capital Opportunity [Member] | |||||
Subsequent Event [Line Items] | |||||
Payments to acquire loans receivable | 299,900,000 | ||||
Servicer advances | $ 40,800,000 | ||||
Mortgage Servicing Rights, Subservicing Agreement [Member] | New Residential Mortgage LLC [Member] | |||||
Subsequent Event [Line Items] | |||||
Long-term purchase commitment, period (in years) | 1 year | ||||
Long-term purchase agreement, renewal period (in years) | 1 year | ||||
Weighted average subservicing rate | 0.077% | ||||
Mortgage Servicing Rights [Member] | New Residential Mortgage LLC [Member] | |||||
Subsequent Event [Line Items] | |||||
Number of MSRs purchased | Loan | 254,531 | ||||
Unpaid Principal Balance | $ 32,300,000,000 | ||||
Long-term purchase commitment, period (in years) | 3 years | ||||
Long-term purchase agreement, renewal period (in years) | 1 year | ||||
Long-term purchase agreement, termination notice term (in days) | 30 days | ||||
Mortgage Servicing Rights [Member] | New Residential Mortgage LLC [Member] | Walter Capital Opportunity [Member] | |||||
Subsequent Event [Line Items] | |||||
Unpaid Principal Balance | $ 34,200,000,000 | ||||
Subsequent Event [Member] | Secured Debt [Member] | |||||
Subsequent Event [Line Items] | |||||
Face amount of debt | $ 345,000,000 | ||||
Interest rate | 5.68% | ||||
Subsequent Event [Member] | Secured Debt [Member] | Consumer Loan Companies [Member] | |||||
Subsequent Event [Line Items] | |||||
Face amount of debt | $ 1,700,000,000 | ||||
Number of classes of debt | Class | 6 | ||||
Face amount, amount voluntarily retained | $ 157,600,000 | ||||
Loss on extinguishment of debt | 4,700,000 | ||||
2016-T2 [Member] | Subsequent Event [Member] | Secured Debt [Member] | |||||
Subsequent Event [Line Items] | |||||
Face amount of debt | 500,000,000 | ||||
2016-T3 [Member] | Subsequent Event [Member] | Secured Debt [Member] | |||||
Subsequent Event [Line Items] | |||||
Face amount of debt | $ 400,000,000 | ||||
Consumer Loan Companies [Member] | Parent Company [Member] | |||||
Subsequent Event [Line Items] | |||||
Parent's ownership percentage | 53.50% |