Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Oct. 26, 2018 | |
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, 2018 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding (in shares) | 340,354,429 | |
Document Fiscal Period Focus | Q3 | |
Document Fiscal Year Focus | 2,018 | |
Emerging Growth Company | false | |
Entity Small Business | false |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Investments in: | |||
Excess mortgage servicing rights, at fair value | $ 467,061 | $ 1,173,713 | |
Excess mortgage servicing rights, equity method investees, at fair value | 154,939 | 171,765 | |
Mortgage servicing rights, at fair value | 2,872,004 | 1,735,504 | |
Mortgage servicing rights financing receivables, at fair value | 1,681,072 | 598,728 | |
Servicer advance investments, at fair value | [1] | 799,936 | 4,027,379 |
Real estate and other securities, available-for-sale | 11,650,257 | 8,071,140 | |
Residential mortgage loans, held-for-investment (includes $123,606 and $0 at fair value at September 30, 2018 and December 31, 2017, respectively) | [1] | 776,323 | 691,155 |
Residential mortgage loans, held-for-sale | 1,996,303 | 1,725,534 | |
Residential mortgage loans, held-for-sale, at fair value | 524,863 | 0 | |
Real estate owned | 115,160 | 128,295 | |
Residential mortgage loans subject to repurchase | 110,181 | 0 | |
Consumer loans, held-for-investment | [1] | 1,140,769 | 1,374,263 |
Consumer loans, equity method investees | 44,787 | 51,412 | |
Cash and cash equivalents | [1] | 330,148 | 295,798 |
Restricted cash | 155,749 | 150,252 | |
Servicer advances receivable | 3,217,121 | 675,593 | |
Trades receivable | 3,424,865 | 1,030,850 | |
Other assets | 629,231 | 312,181 | |
Total assets | 30,090,769 | 22,213,562 | |
Liabilities | |||
Repurchase agreements | 14,387,020 | 8,662,139 | |
Notes and bonds payable (includes $117,470 and $0 at fair value at September 30, 2018 and December 31, 2017, respectively) | [1] | 7,254,946 | 7,084,391 |
Trades payable | 1,791,191 | 1,169,896 | |
Residential mortgage loans repurchase liability | 110,181 | 0 | |
Due to affiliates | 74,135 | 88,961 | |
Dividends payable | 170,177 | 153,681 | |
Deferred tax liability, net | 3,910 | 19,218 | |
Accrued expenses and other liabilities | [1] | 462,161 | 239,114 |
Total liabilities | 24,253,721 | 17,417,400 | |
Commitments and Contingencies | |||
Equity | |||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 340,354,429 and 307,361,309 issued and outstanding at September 30, 2018 and December 31, 2017, respectively | 3,404 | 3,074 | |
Additional paid-in capital | 4,256,045 | 3,763,188 | |
Retained earnings | 1,014,919 | 559,476 | |
Accumulated other comprehensive income (loss) | 468,952 | 364,467 | |
Total New Residential stockholders’ equity | 5,743,320 | 4,690,205 | |
Noncontrolling interests in equity of consolidated subsidiaries | 93,728 | 105,957 | |
Total equity | 5,837,048 | 4,796,162 | |
Net Assets | $ 30,090,769 | $ 22,213,562 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Residential mortgage loans, held-for-investment, at fair value | $ 123,606,000 | $ 0 |
Notes and bonds payable, fair value | $ 117,470,000 | $ 0 |
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) | 340,354,429 | 307,361,309 |
Common stock, shares outstanding (in shares) | 340,354,429 | 307,361,309 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Income Statement [Abstract] | ||||
Interest income | $ 425,524 | $ 397,722 | $ 1,212,902 | $ 1,162,212 |
Interest expense | 162,806 | 125,278 | 421,109 | 338,664 |
Net interest income (expense) | 262,718 | 272,444 | 791,793 | 823,548 |
Impairment | ||||
Other-than-temporary impairment (OTTI) on securities | 3,889 | 1,509 | 23,190 | 8,736 |
Valuation and loss provision (reversal) on loans and real estate owned (REO) | 5,471 | 26,700 | 28,136 | 65,381 |
Total Impairment Charges | 9,360 | 28,209 | 51,326 | 74,117 |
Net interest income after impairment | 253,358 | 244,235 | 740,467 | 749,431 |
Servicing revenue, net | 175,355 | 58,014 | 538,784 | 269,467 |
Gain on sale of originated mortgage loans, net | 45,732 | 0 | 45,732 | 0 |
Other Income | ||||
Change in fair value of investments in excess mortgage servicing rights | (4,744) | (14,291) | (55,711) | (32,650) |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | 3,396 | 2,054 | 5,624 | 6,056 |
Change in fair value of investments in mortgage servicing rights financing receivables | (88,345) | 70,232 | 63,628 | 75,828 |
Change in fair value of servicer advance investments | (5,353) | 10,941 | (86,581) | 70,469 |
Gain (loss) on settlement of investments, net | (11,893) | 1,553 | 106,064 | 1,250 |
Earnings from investments in consumer loans, equity method investees | 4,555 | 6,769 | 12,343 | 12,649 |
Other income (loss), net | 19,086 | 9,887 | 39,047 | 7,696 |
Other Income | (83,298) | 87,145 | 84,414 | 141,298 |
Operating Expenses | ||||
General and administrative expenses | 98,587 | 19,919 | 139,169 | 47,788 |
Management fee to affiliate | 15,464 | 14,187 | 46,027 | 41,447 |
Incentive compensation to affiliate | 23,848 | 19,491 | 65,169 | 72,123 |
Loan servicing expense | 11,060 | 13,690 | 33,609 | 40,068 |
Subservicing expense | 43,148 | 49,773 | 135,703 | 123,435 |
Total Operating Expenses | 192,107 | 117,060 | 419,677 | 324,861 |
Income (Loss) Before Income Taxes | 199,040 | 272,334 | 989,720 | 835,335 |
Income tax expense (benefit) | 3,563 | 32,613 | (5,957) | 121,053 |
Net Income (Loss) | 195,477 | 239,721 | 995,677 | 714,282 |
Noncontrolling Interests in Income of Consolidated Subsidiaries | 10,869 | 13,600 | 32,058 | 45,051 |
Net income (loss) attributable to common stockholders | $ 184,608 | $ 226,121 | $ 963,619 | $ 669,231 |
Net Income Per Share of Common Stock | ||||
Basic (in dollars per share) | $ 0.54 | $ 0.74 | $ 2.87 | $ 2.23 |
Diluted (in dollars per share) | $ 0.54 | $ 0.73 | $ 2.86 | $ 2.21 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 340,044,440 | 307,361,309 | 335,615,566 | 300,511,550 |
Diluted (in shares) | 340,868,403 | 309,207,345 | 337,078,824 | 302,357,147 |
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.5 | $ 0.5 | $ 1.5 | $ 1.48 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Comprehensive income (loss), net of tax | ||||
Net income (loss) | $ 195,477 | $ 239,721 | $ 995,677 | $ 714,282 |
Other comprehensive income (loss) | ||||
Net unrealized gain (loss) on securities | (22,445) | 75,845 | 14,600 | 277,805 |
Reclassification of net realized (gain) loss on securities into earnings | 32,626 | (5,833) | 89,885 | (20,856) |
Total other comprehensive income (loss) | 10,181 | 70,012 | 104,485 | 256,949 |
Total comprehensive income (loss) | 205,658 | 309,733 | 1,100,162 | 971,231 |
Comprehensive income attributable to noncontrolling interests | 10,869 | 13,600 | 32,058 | 45,051 |
Comprehensive income attributable to common stockholders | $ 194,789 | $ 296,133 | $ 1,068,104 | $ 926,180 |
Condensed Consolidated Statem_3
Condensed Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Total New Residential Stockholders’ Equity | Noncontrolling Interests in Equity of Consolidated Subsidiaries |
Equity, beginning balance (in shares) at Dec. 31, 2016 | 250,773,117 | ||||||
Equity, beginning balance at Dec. 31, 2016 | $ 3,468,177 | $ 2,507 | $ 2,920,730 | $ 210,500 | $ 126,363 | $ 3,260,100 | $ 208,077 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Dividends declared | (454,877) | (454,877) | (454,877) | ||||
Capital contributions | 0 | 0 | |||||
Capital distributions | (70,493) | (70,493) | |||||
Issuance of common stock (in shares) | 56,545,787 | ||||||
Issuance of common stock | 834,529 | $ 566 | 833,963 | 834,529 | |||
Other dilution | (4,202) | (4,202) | (4,202) | ||||
Purchase of noncontrolling interests in the Buyer | (65,860) | 9,183 | 9,183 | (75,043) | |||
Director share grants (in shares) | 42,405 | ||||||
Director share grants | 699 | $ 1 | 698 | 699 | 0 | ||
Comprehensive income (loss) | |||||||
Net income (loss) | 714,282 | 669,231 | 669,231 | 45,051 | |||
Net unrealized gain (loss) on securities | 277,805 | 277,805 | 277,805 | ||||
Reclassification of net realized (gain) loss on securities into earnings | (20,856) | (20,856) | (20,856) | ||||
Total comprehensive income (loss) | 971,231 | 926,180 | 45,051 | ||||
Equity, ending balance (in shares) at Sep. 30, 2017 | 307,361,309 | ||||||
Equity, ending balance at Sep. 30, 2017 | 4,679,204 | $ 3,074 | 3,760,372 | 424,854 | 383,312 | 4,571,612 | 107,592 |
Equity, beginning balance (in shares) at Dec. 31, 2017 | 307,361,309 | ||||||
Equity, beginning balance at Dec. 31, 2017 | 4,796,162 | $ 3,074 | 3,763,188 | 559,476 | 364,467 | 4,690,205 | 105,957 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Dividends declared | (508,176) | (508,176) | (508,176) | ||||
Capital contributions | 0 | 0 | |||||
Capital distributions | (51,735) | (51,735) | |||||
Issuance of common stock (in shares) | 29,241,659 | ||||||
Issuance of common stock | $ 491,604 | $ 292 | 491,312 | 491,604 | |||
Options exercise (in shares) | 15,803,216 | 3,694,228 | |||||
Option exercise | $ 0 | $ 37 | (37) | 0 | |||
Other dilution | (63) | (63) | (63) | ||||
Purchase of noncontrolling interests in the Buyer | 8,075 | 627 | 627 | 7,448 | |||
Director share grants (in shares) | 57,232.5688073394 | ||||||
Director share grants | 1,019 | $ 1 | 1,018 | 1,019 | 0 | ||
Comprehensive income (loss) | |||||||
Net income (loss) | 995,677 | 963,619 | 963,619 | 32,058 | |||
Net unrealized gain (loss) on securities | 14,600 | 14,600 | 14,600 | ||||
Reclassification of net realized (gain) loss on securities into earnings | 89,885 | 89,885 | 89,885 | ||||
Total comprehensive income (loss) | 1,100,162 | 1,068,104 | 32,058 | ||||
Equity, ending balance (in shares) at Sep. 30, 2018 | 340,354,429 | ||||||
Equity, ending balance at Sep. 30, 2018 | $ 5,837,048 | $ 3,404 | $ 4,256,045 | $ 1,014,919 | $ 468,952 | $ 5,743,320 | $ 93,728 |
Condensed Consolidated Statem_4
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Cash Flows From Operating Activities | ||
Net income (loss) | $ 995,677 | $ 714,282 |
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 | 55,711 | 32,650 |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | (5,624) | (6,056) |
Change in fair value of investments in mortgage servicing rights financing receivables | (63,628) | (75,828) |
Change in fair value of servicer advance investments | 86,581 | (70,469) |
Change in fair value of residential mortgage loans, at fair value, and notes and bonds payable, at fair value | (1,462) | 0 |
(Gain) / loss on settlement of investments (net) | (106,064) | (1,250) |
Earnings from investments in consumer loans, equity method investees | (12,343) | (12,649) |
Unrealized (gain) / loss on derivative instruments | (27,985) | 124 |
Unrealized (gain) / loss on other ABS | (12,001) | (340) |
(Gain) / loss on transfer of loans to REO | (16,609) | (16,791) |
(Gain) / loss on transfer of loans to other assets | 1,648 | (359) |
(Gain) / loss on Excess MSRs | (5,257) | (1,948) |
(Gain) / loss on Ocwen common stock | (4,655) | (6,987) |
Accretion and other amortization | (528,981) | (811,922) |
Other-than-temporary impairment | 23,190 | 8,736 |
Valuation and loss provision (reversal) on loans and real estate owned (REO) | 28,136 | 65,381 |
Non-cash portions of servicing revenue, net | (35,118) | 81,986 |
Non-cash directors’ compensation | 1,019 | 699 |
Deferred tax provision | (12,680) | 114,016 |
Changes in: | ||
Servicer advances receivable | 441,351 | (7,774) |
Other assets | (168,862) | (35,799) |
Due to affiliates | (14,826) | 32,276 |
Accrued expenses and other liabilities | 161,246 | 48,442 |
Other operating cash flows: | ||
Interest received from excess mortgage servicing rights | 33,521 | 53,067 |
Interest received from servicer advance investments | 25,901 | 136,431 |
Interest received from Non-Agency RMBS | 156,420 | 170,931 |
Interest received from residential mortgage loans, held-for-investment | 6,656 | 5,906 |
Interest received from PCD consumer loans, held-for-investment | 27,681 | 40,762 |
Distributions of earnings from equity method investees | 7,976 | 11,054 |
Purchases of residential mortgage loans, held-for-sale | (3,295,378) | (4,146,740) |
Origination of residential mortgage loans, held-for-sale | (1,678,606) | 0 |
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale | 3,706,334 | 2,986,992 |
Principal repayments from purchased residential mortgage loans, held-for-sale | 146,170 | 69,069 |
Net cash provided by (used in) operating activities | (75,761) | (617,817) |
Cash Flows From Investing Activities | ||
Acquisition of Shellpoint, net of cash acquired | 118,285 | 0 |
Purchase of servicer advance investments | (1,790,635) | (9,328,137) |
Purchase of MSRs, MSR financing receivables and servicer advances receivable | (952,100) | |
Purchase of Agency RMBS | (6,574,783) | (6,352,488) |
Purchase of Non-Agency RMBS | (2,714,991) | (2,070,898) |
Purchase of residential mortgage loans | (85,778) | (585,983) |
Purchase of derivatives | 0 | 0 |
Purchase of real estate owned and other assets | (26,807) | (25,667) |
Purchase of investment in consumer loans, equity method investees | (292,616) | (344,902) |
Draws on revolving consumer loans | (45,017) | (41,930) |
Payments for settlement of derivatives | (59,113) | (146,898) |
Return of investments in excess mortgage servicing rights | 43,690 | 142,626 |
Principal repayments from servicer advance investments | 1,845,411 | 10,898,739 |
Principal repayments from Agency RMBS | 76,515 | 76,744 |
Principal repayments from Non-Agency RMBS | 565,460 | 615,657 |
Principal repayments from residential mortgage loans | 110,770 | 59,673 |
Proceeds from sale of residential mortgage loans | 21,278 | 0 |
Principal repayments from consumer loans | 237,129 | 312,132 |
Proceeds from sale of Agency RMBS | 4,121,325 | 6,205,573 |
Proceeds from sale of Non-Agency RMBS | 81,325 | 166,460 |
Proceeds from settlement of derivatives | 146,146 | 81,505 |
Proceeds from sale of real estate owned | 111,459 | 63,476 |
Net cash provided by (used in) investing activities | (5,024,453) | (1,569,623) |
Cash Flows From Financing Activities | ||
Repayments of repurchase agreements | (58,414,966) | (34,057,218) |
Margin deposits under repurchase agreements and derivatives | (1,374,374) | (820,678) |
Repayments of notes and bonds payable | (7,512,484) | (7,323,512) |
Payment of deferred financing fees | (12,838) | (5,702) |
Common stock dividends paid | (491,680) | (416,552) |
Borrowings under repurchase agreements | 63,696,426 | 36,713,743 |
Return of margin deposits under repurchase agreements and derivatives | 1,263,220 | 815,903 |
Borrowings under notes and bonds payable | 7,547,541 | 6,561,390 |
Issuance of common stock | 492,285 | 835,465 |
Costs related to issuance of common stock | (681) | (936) |
Noncontrolling interest in equity of consolidated subsidiaries - contributions | 0 | 0 |
Noncontrolling interest in equity of consolidated subsidiaries - distributions | (51,735) | (70,493) |
Purchase of noncontrolling interests | (653) | (65,860) |
Net cash provided by (used in) financing activities | 5,140,061 | 2,165,550 |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 39,847 | (21,890) |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 446,050 | 453,697 |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 485,897 | 431,807 |
Supplemental Disclosure of Cash Flow Information | ||
Cash paid during the period for interest | 405,672 | 320,804 |
Cash paid during the period for income taxes | 3,176 | 4,956 |
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Dividends declared but not paid | 170,177 | 153,681 |
Transfer from residential mortgage loans to real estate owned and other assets | 88,376 | 105,750 |
Real estate securities retained from loan securitizations | 762,056 | 310,579 |
Residential mortgage loans subject to repurchase | 110,181 | 0 |
Ocwen transaction (Note 5) - excess mortgage servicing rights | 638,567 | 23,080 |
Ocwen transaction (Note 5) - servicer advance investments | 3,175,891 | 71,982 |
Ocwen transaction (Note 5) - mortgage servicing rights financing receivables | 1,017,993 | 481,220 |
Shellpoint Acquisition | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
MSR purchase price holdback | 10,173 | 0 |
Shellpoint Acquisition contingent consideration | 42,770 | 0 |
Mortgage Servicing Rights and Servicer Advances | ||
Cash Flows From Investing Activities | ||
Purchase of MSRs, MSR financing receivables and servicer advances receivable | (971,079) | (1,586,063) |
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
MSR purchase price holdback | 8,692 | 79,045 |
Agency RMBS | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Purchase of Agency and Non-Agency RMBS, settled after quarter end | 1,791,191 | 1,076,086 |
Sale of investments, primarily Agency RMBS, settled after quarter end | 3,424,865 | 1,785,708 |
Consumer Loans | ||
Other operating cash flows: | ||
Distributions of earnings from equity method investees | 6,176 | 4,291 |
Cash Flows From Investing Activities | ||
Return of investments, equity method investees | 279,669 | 276,601 |
Excess MSRs Investees | ||
Cash Flows From Investing Activities | ||
Return of investments, equity method investees | 14,474 | 14,157 |
LoanCo | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Non-cash distributions from LoanCo | $ 25,739 | $ 30,337 |
ORGANIZATION AND BASIS OF PRESE
ORGANIZATION AND BASIS OF PRESENTATION | 9 Months Ended |
Sep. 30, 2018 | |
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. 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 investment funds that until June 2018, owned a majority of the outstanding common stock of OneMain Holdings, Inc. (formerly Springleaf Holdings, Inc.) (together with its subsidiaries, “OneMain”), former managing member of the Consumer Loan Companies (Note 9). The Manager also manages investment funds that until August 2, 2018, indirectly owned approximately 40.5% of the outstanding interests in Nationstar Mortgage LLC (“Nationstar”), a leading residential mortgage servicer. As of September 30, 2018, such ownership of the outstanding interests in Nationstar, through ownership of its parent, WMIH Corp. (“WMIH”), was limited to 2.5% . As of September 30, 2018 , New Residential conducted its business through the following segments: (i) Servicing and Originations, (ii) Residential Securities and Loans, (iii) Consumer Loans and (iv) Corporate. Approximately 0.5 million shares of New Residential’s common stock were held by Fortress, through its affiliates, as of September 30, 2018 . In addition, Fortress, through its affiliates, held options relating to approximately 4.1 million shares of New Residential’s common stock as of September 30, 2018 . 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, 2017 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, 2017 . 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 are 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 was effective for New Residential in the first quarter of 2018. New Residential has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, New Residential considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. In addition, NRM determined that ancillary income generated from services for mortgage loans and REO properties represent servicing fees due to a servicer, through contractual terms, that would no longer be received by a servicer if the owners of the serviced loans were to exercise their authority to shift the servicing to another servicer and, therefore, similarly fall under ASC No. 860. Finally, New Residential determined that fee income on residential mortgage loan originations is outside the scope of ASC No. 606 as it continues to be accounted for in accordance with ASC 948. As a result, the adoption of ASU No. 2014-09 did not have a material impact on the 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 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-01 did not have a material impact on the condensed consolidated financial statements. In February 2016, the FASB issued ASU No. 2016-02, Leases . The standard requires that lessees recognize a right-of-use asset and corresponding lease liability on the balance sheet for most leases. The guidance applied by a lessor under ASU No. 2016-02 is substantially similar to existing GAAP. ASU No. 2016-02 is effective for New Residential in the first quarter of 2019. Early adoption is permitted upon issuance. An entity should apply ASU No. 2016-02 by means of a modified retrospective transition method for all leases existing at, or entered into after, the date of initial application. The adoption of ASU No. 2016-02 is not expected to have a material impact on the 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 assets and available-for-sale securities, which will require the recognition of credit losses through a valuation allowance when fair value is less than amortized cost, regardless of whether the impairment is considered to be other-than-temporary. 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, which at the date of adoption is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings. 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 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-16 did not have a material impact on the condensed consolidated financial statements. In January 2017, the FASB issued ASU No. 2017-04, Simplifying the Test for Goodwill Impairment (Topic 805) . The standard simplifies the accounting for goodwill impairment for all entities by requiring impairment charges to be based on the first step in the current two-step impairment test. Under the new guidance, an impairment charge, if triggered, is calculated as the difference between a reporting unit’s carrying value and fair value, but it is limited to the carrying value of goodwill. ASU No. 2017-04 is effective for New Residential in the first quarter of 2020 and early adoption is permitted for interim or annual goodwill impairment tests performed on testing dates after January 1, 2017. The adoption of ASU No. 2017-04 is not expected to have a material impact on the condensed consolidated financial statements. In August 2018, the FASB issued ASU No. 2018-13, Fair Value Measurement (Topic 820). The standard: (i) adds incremental requirements for entities to disclose (a) the amount of total gains or losses for the period recognized in other comprehensive income that is attributable to fair value changes in assets and liabilities held as of the balance sheet date and categorized within Level 3 of the fair value hierarchy, (b) the range and weighted average used to develop significant unobservable inputs and (c) how the weighted average was calculated for fair value measurements categorized within Level 3 of the fair value hierarchy and (ii) eliminates disclosure requirements for (a) transfers between Level 1 and Level 2 and (b) valuation processes for Level 3 fair value measurements. ASU No. 2018-13 is effective for New Residential in the first quarter of 2020. The adoption of ASU No. 2018-13 is not expected to have a material impact on the condensed consolidated financial statements. Acquisition of Shellpoint Partners LLC On November 29, 2017, NRM Acquisition LLC (the “Shellpoint Purchaser”), a Delaware limited liability company and a wholly owned subsidiary of New Residential, entered into a Securities Purchase Agreement (the “Shellpoint SPA”) to acquire Shellpoint Partners LLC, a Delaware limited liability company (“Shellpoint”). On July 3, 2018, the Shellpoint Purchaser acquired 100% of the outstanding equity interests of Shellpoint for a purchase price of $212.3 million (the “Shellpoint Acquisition”). As additional consideration for the Shellpoint Acquisition, the Shellpoint Purchaser may make up to three cash earnout payments, which will be calculated following each of the first three anniversaries of the Shellpoint closing as a percentage of the amount by which the pre-tax income of certain of Shellpoint’s businesses exceeds certain specified thresholds, up to an aggregate maximum amount of $60.0 million (the “Shellpoint Earnout Payments”). The Shellpoint Earnout Payments are classified as contingent consideration recorded at fair value at the acquisition date and included in the total consideration transferred for the Shellpoint Acquisition. Shellpoint is a vertically integrated mortgage platform with established origination and servicing capabilities and provides New Residential with in-house servicing, asset origination and recapture capabilities. The results of Shellpoint’s operations have been included in the Company’s condensed consolidated statements of income for the three and nine months ended September 30, 2018 from the date of the acquisition and represent $97.0 million and $11.7 million of revenue and net income, respectively. The acquisition date fair value of the consideration transferred includes $212.3 million in cash consideration, $42.8 million in contingent consideration and $180.3 million in effective settlement of preexisting relationships. The total consideration is summarized as follows: Total Consideration Amount Cash Consideration $ 212.3 Earnout Payment (A) 42.8 Effective Settlement of Preexisting Relationships (B) 180.3 Total Consideration $ 435.4 (A) The range of outcomes for this contingent consideration is from $0 to $60.0 million , dependent on the performance of Shellpoint. New Residential derived a fair value of the contingent consideration payment in three years of $48.7 million inclusive of payments to Shellpoint employees of $5.9 million . Contingent payments to the long-term employee incentive plans require continuing employment and will be recognized as compensation expense within General and Administrative expenses in the post-acquisition consolidated financial statements separate from New Residential’s acquisition of assets and assumption of liabilities in the business combination. As a result, New Residential recorded contingent consideration of $42.8 million . (B) Represents the effective settlement of preexisting relationships between New Residential and Shellpoint including 1) MSR acquisitions, 2) a note payable and 3) operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s condensed consolidated statements of income. New Residential has performed a preliminary allocation of the total consideration of $435.4 million to Shellpoint’s assets and liabilities, as set forth below. The final amount and allocation of total consideration may differ from the amounts included herein to reflect new information obtained primarily relating to the valuation of contingent consideration and intangible assets that existed as of the acquisition date. Total Consideration ($ in millions) $ 435.4 Assets Cash and cash equivalents $ 84.1 Restricted cash 9.9 Residential mortgage loans, held-for-sale, at fair value 488.2 Mortgage servicing rights, at fair value (A) 286.6 Residential mortgage loans, held-for-investment, at fair value 125.3 Residential mortgage loans subject to repurchase 121.4 Intangible assets 4.3 Other assets 81.1 Total Assets Acquired $ 1,200.9 Liabilities Repurchase agreements $ 439.6 Notes and bonds payable 25.4 Mortgage-backed securities issued, at fair value 120.7 Residential mortgage loans repurchase liability 121.4 Excess spread financing, at fair value 48.3 Accrued expenses and other liabilities 50.7 Total Liabilities Assumed $ 806.1 Noncontrolling Interest $ 8.3 Net Assets $ 386.5 Goodwill $ 48.9 (A) Includes $135.3 million of Ginnie Mae MSRs where New Residential acquired the rights to the economic value of the servicing rights from Shellpoint prior to the acquisition date. The goodwill of $48.9 million primarily includes the synergies and benefits expected to result from combining operations with Shellpoint and adding in-house servicing, asset origination and recapture capabilities. The full amount of goodwill for tax purposes of $46.7 million is expected to be deductible. New Residential will assess the goodwill annually on October 1 and in interim periods in case of events or circumstances make it more likely than not that an impairment may have occurred. Certain transactions were recognized separately from New Residential’s acquisition of assets and assumption of liabilities in the business combination. These separately recognized transactions include 1) contingent payments to Shellpoint’s employees and 2) effective settlement of preexisting relationships discussed above. Unaudited Supplemental Pro Forma Financial Information — The following table presents unaudited pro forma combined Servicing and Originations Revenue, which is comprised of 1) servicing revenue, net and 2) gain on sale of originated mortgage loans, net, and Income Before Income Taxes for the three and nine months ended September 30, 2018 and 2017 prepared as if the Shellpoint Acquisition had been consummated on January 1, 2017. Three Months Ended Nine Months Ended 2018 2017 2018 2017 Pro Forma Servicing and Originations Revenue $ 221,087 $ 141,002 $ 710,742 $ 513,076 Income Before Income Taxes 199,040 278,274 1,006,743 850,509 The unaudited supplemental pro forma financial information has not been adjusted for transactions other than the Shellpoint Acquisition, or for the conforming of accounting policies. The unaudited supplemental pro forma financial information does not include any anticipated synergies or other anticipated benefits of the Shellpoint Acquisition 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 Shellpoint Acquisition occurred on January 1, 2017. |
OTHER INCOME, ASSETS AND LIABIL
OTHER INCOME, ASSETS AND LIABILITIES | 9 Months Ended |
Sep. 30, 2018 | |
Other Income Assets And Liabilities | |
OTHER INCOME, ASSETS AND LIABILITIES | OTHER INCOME, ASSETS AND LIABILITIES Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Gain (loss) on sale of real estate securities, net $ (28,737 ) $ 7,342 $ (66,695 ) $ 29,592 Gain (loss) on sale of acquired residential mortgage loans, net 4,065 9,029 (1,358 ) 37,967 Gain (loss) on settlement of derivatives 19,459 (18,756 ) 76,092 (58,326 ) Gain (loss) on liquidated residential mortgage loans (1,113 ) (2,152 ) (2,267 ) (7,996 ) Gain (loss) on sale of REO (4,971 ) (1,864 ) (12,114 ) (7,176 ) Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments — 11,320 113,002 11,320 Other gains (losses) (596 ) (3,366 ) (596 ) (4,131 ) $ (11,893 ) $ 1,553 $ 106,064 $ 1,250 Other income (loss), net, is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Unrealized gain (loss) on derivative instruments $ 24,299 $ 3,560 $ 27,985 $ (124 ) Unrealized gain (loss) on other ABS 7,197 189 12,001 340 Unrealized gain (loss) on residential mortgage loans, held-for-investment, at fair value 647 — 647 — Unrealized gain (loss) on notes and bonds payable 900 — 900 — Gain (loss) on transfer of loans to REO 6,119 5,179 16,609 16,791 Gain (loss) on transfer of loans to other assets (1,528 ) 66 (1,648 ) 359 Gain (loss) on Excess MSRs 987 606 5,257 1,948 Gain (loss) on Ocwen common stock (145 ) 6,987 4,655 6,987 Other income (loss) (19,390 ) (6,700 ) (27,359 ) (18,605 ) $ 19,086 $ 9,887 $ 39,047 $ 7,696 Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Margin receivable, net $ 163,357 $ 53,150 Interest payable $ 38,284 $ 28,821 Other receivables 23,023 10,635 Accounts payable 109,852 73,017 Principal and interest receivable 66,283 48,373 Derivative liabilities (Note 10) 2,294 697 Receivable from government agency 20,158 41,429 Due to servicers 73,524 24,571 Call rights 290 327 MSR purchase price holdback 109,982 101,290 Derivative assets (Note 10) 27,212 2,423 Excess spread financing, at fair value 44,374 — Servicing fee receivables 76,815 60,520 Contingent Consideration 42,770 — Ginnie Mae EBO servicer advances receivable, net 934 8,916 Reserve for sales recourse 6,214 — Due from servicers 74,539 38,601 Other liabilities 34,867 10,718 Goodwill 48,921 — $ 462,161 $ 239,114 Intangible assets 4,308 — Ocwen common stock, at fair value 23,876 19,259 Prepaid expenses 13,976 7,308 Other assets 85,539 21,240 $ 629,231 $ 312,181 As reflected on the Condensed Consolidated Statements of Cash Flows, accretion and other amortization is comprised of the following: Nine Months Ended 2018 2017 Accretion of servicer advances receivable discount and servicer advance investments $ 207,428 $ 451,824 Accretion of excess mortgage servicing rights income 32,371 75,237 Accretion of net discount on securities and loans (A) 296,961 295,753 Amortization of deferred financing costs (6,180 ) (9,525 ) Amortization of discount on notes and bonds payable (1,599 ) (1,367 ) $ 528,981 $ 811,922 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING
SEGMENT REPORTING | 9 Months Ended |
Sep. 30, 2018 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING New Residential conducts its business through the following segments: (i) Servicing and Originations, (ii) Residential Securities and Loans, (iii) Consumer Loans and (iv) 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 and consumer loans are included in the Servicing and Originations and Consumer Loans segments, respectively. Secured corporate loans effectively collateralized by Excess MSRs are included in the Servicing and Originations segment. During the third quarter of 2018, New Residential changed the composition of its reportable segments primarily to reflect the (i) aggregation of the similar MSR, Excess MSR and Servicer Advance segments as the new Servicing and Originations segment and (ii) incorporation of the Shellpoint Acquisition. Segment information for prior periods has been restated to reflect this change. 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: Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended September 30, 2018 Interest income $ 193,424 $ 138,197 $ 42,942 $ 50,961 $ — $ 425,524 Interest expense 62,994 67,117 22,374 10,321 — 162,806 Net interest income (expense) 130,430 71,080 20,568 40,640 — 262,718 Impairment — 3,889 (4,436 ) 9,907 — 9,360 Servicing revenue, net 175,355 — — — — 175,355 Gain on sale of originated mortgage loans, net 45,732 — — — — 45,732 Other income (loss) (92,243 ) 17,994 (12,729 ) 3,795 (115 ) (83,298 ) Operating expenses 132,542 63 6,436 8,467 44,599 192,107 Income (Loss) Before Income Taxes 126,732 85,122 5,839 26,061 (44,714 ) 199,040 Income tax expense (benefit) 495 — 3,100 (32 ) — 3,563 Net Income (Loss) $ 126,237 $ 85,122 $ 2,739 $ 26,093 $ (44,714 ) $ 195,477 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,086 $ — $ — $ 9,783 $ — $ 10,869 Net income (loss) attributable to common stockholders $ 125,151 $ 85,122 $ 2,739 $ 16,310 $ (44,714 ) $ 184,608 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2018 Interest income $ 579,824 $ 354,922 $ 118,019 $ 158,631 $ 1,506 $ 1,212,902 Interest expense 173,759 157,195 57,299 32,856 — 421,109 Net interest income (expense) 406,065 197,727 60,720 125,775 1,506 791,793 Impairment — 23,190 (8,683 ) 36,819 — 51,326 Servicing revenue, net 538,784 — — — — 538,784 Gain on sale of originated mortgage loans, net 45,732 — — — — 45,732 Other income (loss) 48,128 45,346 (27,219 ) 13,363 4,796 84,414 Operating expenses 235,417 1,003 25,658 26,743 130,856 419,677 Income (Loss) Before Income Taxes 803,292 218,880 16,526 75,576 (124,554 ) 989,720 Income tax expense (benefit) (6,458 ) — 289 212 — (5,957 ) Net Income (Loss) $ 809,750 $ 218,880 $ 16,237 $ 75,364 $ (124,554 ) $ 995,677 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 3,525 $ — $ — $ 28,533 $ — $ 32,058 Net income (loss) attributable to common stockholders $ 806,225 $ 218,880 $ 16,237 $ 46,831 $ (124,554 ) $ 963,619 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total September 30, 2018 Investments $ 6,722,697 $ 11,650,257 $ 2,775,145 $ 1,185,556 $ — $ 22,333,655 Cash and cash equivalents 260,353 2,841 3,764 22,050 41,140 330,148 Restricted cash 119,243 — — 36,506 — 155,749 Other assets 3,411,968 3,631,769 48,846 42,855 86,858 7,222,296 Goodwill 48,921 — — — — 48,921 Total assets $ 10,563,182 $ 15,284,867 $ 2,827,755 $ 1,286,967 $ 127,998 $ 30,090,769 Debt $ 6,824,326 $ 11,423,562 $ 2,291,314 $ 1,102,764 $ — $ 21,641,966 Other liabilities 476,430 1,839,578 33,977 10,662 251,108 2,611,755 Total liabilities 7,300,756 13,263,140 2,325,291 1,113,426 251,108 24,253,721 Total equity 3,262,426 2,021,727 502,464 173,541 (123,110 ) 5,837,048 Noncontrolling interests in equity of consolidated subsidiaries 62,480 — — 31,248 — 93,728 Total New Residential stockholders’ equity $ 3,199,946 $ 2,021,727 $ 502,464 $ 142,293 $ (123,110 ) $ 5,743,320 Investments in equity method investees $ 154,939 $ — $ — $ 44,787 $ — $ 199,726 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended September 30, 2017 Interest income $ 188,194 $ 114,181 $ 31,645 $ 63,527 $ 175 $ 397,722 Interest expense 61,418 35,211 15,487 13,162 — 125,278 Net interest income (expense) 126,776 78,970 16,158 50,365 175 272,444 Impairment — 1,509 14,099 12,601 — 28,209 Servicing revenue, net 58,014 — — — — 58,014 Gain on sale of originated mortgage loans, net — — — — — — Other income (loss) 76,745 (6,035 ) 2,653 6,796 6,986 87,145 Operating expenses 54,998 351 9,759 10,764 41,188 117,060 Income (Loss) Before Income Taxes 206,537 71,075 (5,047 ) 33,796 (34,027 ) 272,334 Income tax expense (benefit) 42,253 — (9,640 ) — — 32,613 Net Income (Loss) $ 164,284 $ 71,075 $ 4,593 $ 33,796 $ (34,027 ) $ 239,721 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,224 $ — $ — $ 12,376 $ — $ 13,600 Net income (loss) attributable to common stockholders $ 163,060 $ 71,075 $ 4,593 $ 21,420 $ (34,027 ) $ 226,121 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2017 Interest income $ 561,312 $ 321,464 $ 75,276 $ 203,631 $ 529 $ 1,162,212 Interest expense 176,678 85,663 34,655 41,668 — 338,664 Net interest income (expense) 384,634 235,801 40,621 161,963 529 823,548 Impairment — 8,736 17,342 48,039 — 74,117 Servicing revenue, net 269,467 — — — — 269,467 Gain on sale of originated mortgage loans, net — — — — — — Other income (loss) 126,114 (27,005 ) 22,491 12,712 6,986 141,298 Operating expenses 135,666 979 24,018 33,746 130,452 324,861 Income (Loss) Before Income Taxes 644,549 199,081 21,752 92,890 (122,937 ) 835,335 Income tax expense (benefit) 128,047 — (7,164 ) 170 — 121,053 Net Income (Loss) $ 516,502 $ 199,081 $ 28,916 $ 92,720 $ (122,937 ) $ 714,282 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 10,372 $ — $ — $ 34,679 $ — $ 45,051 Net income (loss) attributable to common stockholders $ 506,130 $ 199,081 $ 28,916 $ 58,041 $ (122,937 ) $ 669,231 |
INVESTMENTS IN EXCESS MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS | 9 Months Ended |
Sep. 30, 2018 | |
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 direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 32,357 14 — 32,371 Other income 4,601 — — 4,601 Proceeds from repayments (76,888 ) (495 ) — (77,383 ) Proceeds from sales (12,380 ) — — (12,380 ) Change in fair value (15,420 ) 126 (40,417 ) (55,711 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of September 30, 2018 $ 464,503 $ 2,558 $ — $ 467,061 (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 Advance Investments acquired from HLSS. In January 2018, New Residential entered into the New Ocwen Agreements as described in Note 5. Subsequent to the New Ocwen Agreements, the Excess MSRs serviced by Ocwen became reclassified, as described in Note 5. Nationstar, SLS, or Ocwen, as applicable, as servicer, performs all of the servicing and advancing functions, and retains the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in the portfolio. New Residential has entered into a “recapture agreement” with respect to each of the Excess MSR investments serviced by Nationstar and SLS. Under such arrangements, New Residential is generally entitled to a pro rata interest in the Excess MSRs on any initial or subsequent refinancing by Nationstar of a loan in the original portfolio. These recapture agreements do not apply to New Residential’s Servicer Advance Investments (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, 2018 December 31, 2017 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 $ 55,677,339 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.6 $ 215,972 $ 242,655 $ 280,033 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 12.9 15,930 31,198 44,603 55,677,339 6.1 231,902 273,853 324,636 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 56,376,994 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 5.8 $ 140,698 $ 174,680 $ 190,696 Recapture Agreements — 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 12.7 4,983 18,528 19,814 Ocwen Serviced Pools — —% —% —% — — — 638,567 56,376,994 6.0 145,681 193,208 849,077 Total $ 112,054,333 6.1 $ 377,583 $ 467,061 $ 1,173,713 (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 related Servicer Advance Investments, including the basic fee component of the related MSR as of September 30, 2018 (Note 6) on $42.3 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Original and Recaptured Pools $ (851 ) $ (12,047 ) $ (46,540 ) $ (41,032 ) Recapture Agreements (3,893 ) (2,244 ) (9,171 ) 8,382 $ (4,744 ) $ (14,291 ) $ (55,711 ) $ (32,650 ) As of September 30, 2018 , a weighted average discount rate of 8.8% was used to value New Residential’s investments in Excess MSRs (directly and through 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, 2018 December 31, 2017 Excess MSR assets $ 284,957 $ 321,197 Other assets 25,607 22,333 Other liabilities (687 ) — Equity $ 309,877 $ 343,530 New Residential’s investment $ 154,939 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Nine Months Ended 2018 2017 2018 2017 Interest income $ 8,935 $ 6,969 $ 21,026 $ 20,083 Other income (loss) (2,143 ) (2,843 ) (9,778 ) (7,908 ) Expenses — (18 ) — (63 ) Net income (loss) $ 6,792 $ 4,108 $ 11,248 $ 12,112 New Residential’s investments in equity method investees changed during the nine months ended September 30, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (7,976 ) Distributions of capital from equity method investees (14,474 ) Change in fair value of investments in equity method investees 5,624 Balance at September 30, 2018 $ 154,939 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: September 30, 2018 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 $ 44,239,405 66.7 % 50.0 % $ 189,567 $ 245,562 5.6 Recapture Agreements — 66.7 % 50.0 % 20,566 39,395 12.8 Total $ 44,239,405 $ 210,133 $ 284,957 6.3 (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. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments: Aggregate Direct and Equity Method Investees Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 24.8 % 24.0 % Florida 8.0 % 8.7 % New York 6.6 % 8.5 % Texas 4.5 % 4.6 % New Jersey 3.9 % 4.1 % Maryland 3.8 % 3.7 % Illinois 3.6 % 3.5 % Georgia 3.5 % 3.1 % Virginia 3.3 % 3.0 % Arizona 2.6 % 2.5 % Washington 2.6 % 2.4 % Pennsylvania 2.5 % 2.6 % Other U.S. 30.3 % 29.3 % 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. See Note 11 regarding the financing of Excess MSRs. |
INVESTMENTS IN MORTGAGE SERVICI
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES | 9 Months Ended |
Sep. 30, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES | INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES Mortgage Servicing Rights In 2016, a subsidiary of New Residential, New Residential Mortgage LLC (“NRM”), became a licensed or otherwise eligible mortgage servicer. NRM is presently licensed or otherwise eligible to hold MSRs in all states within the United States and the District of Columbia. Additionally, NRM has received approval from the Federal Housing Administration (“FHA”) to hold MSRs associated with FHA-insured mortgage loans, from the Federal National Mortgage Association (“Fannie Mae”) to hold MSRs associated with loans owned by Fannie Mae, and from the Federal Home Loan Mortgage Corporation (“Freddie Mac”) to hold MSRs associated with loans owned by Freddie Mac. Fannie Mae and Freddie Mac are collectively referred to as the Government Sponsored Enterprises (“GSEs”). As an approved Fannie Mae Servicer, Freddie Mac Servicer and FHA-approved mortgagee, NRM is required to conduct aspects of its operations in accordance with applicable policies and guidelines published by FHA, Fannie Mae and Freddie Mac in order to maintain those approvals. NRM engages third party licensed mortgage servicers as subservicers to perform the operational servicing duties in connection with the MSRs it acquires, in exchange for a subservicing fee which is recorded as “Subservicing expense” on New Residential’s Condensed Consolidated Statements of Income. As of September 30, 2018 , these subservicers include Nationstar, Ocwen, Ditech Financial LLC (“Ditech”) , PHH Mortgage Corporation (“PHH”), and Flagstar, which subservice 25.7% , 24.0% , 21.8% , 11.5% , and 0.6% of the underlying UPB of the related mortgages, respectively (includes both Mortgage Servicing Rights and Mortgage Servicing Rights Financing Receivables). New Residential has entered into recapture agreements with respect to each of its MSR investments subserviced by Ditech and Nationstar. Under the recapture agreements, New Residential is generally entitled to the MSRs on any initial or subsequent refinancing by Ditech or Nationstar of a loan in the original portfolios. Shellpoint On November 29, 2017, concurrently with the Shellpoint Purchaser’s entry into the Shellpoint SPA with Shellpoint, NRM entered into (i) a Bulk Agreement for the Purchase and Sale of Mortgage Servicing Rights (the “Shellpoint MSR Purchase Agreement”) with New Penn Financial LLC (“New Penn”), a Delaware limited liability company and a wholly owned subsidiary of Shellpoint, pursuant to which NRM has agreed to purchase from New Penn the mortgage servicing rights relating to a portfolio of Fannie Mae and Freddie Mac mortgage loans having an aggregate UPB of approximately $7.8 billion for a purchase price of approximately $81.0 million (the “Shellpoint MSR Purchase”), which closed on January 16, 2018, and (ii) a Subservicing Agreement (the “Shellpoint Subservicing Agreement”) with New Penn, pursuant to which New Penn has agreed to subservice Fannie Mae and Freddie Mac mortgage loans for which NRM has acquired the right to service such loans. Under the Shellpoint Subservicing Agreement, New Penn is entitled to certain monthly and other servicing compensation, and both NRM and New Penn may terminate the Shellpoint Subservicing Agreement, subject to certain specified terms, notice periods and other requirements. During the first and second quarters of 2018, New Residential entered into several transactions with New Penn to acquire the rights to the economic value of the servicing rights related to MSRs owned by New Penn with respect to certain mortgage loans guaranteed by Ginnie Mae, together with existing servicer advances and the obligation to fund future servicer advances. New Residential acquired these economic rights related to approximately $11.4 billion UPB of Ginnie Mae guaranteed residential mortgage loans serviced by New Penn for an aggregate purchase price of $139.1 million (the “Ginnie Mae MSRs”). As a result of New Penn continuing to own the MSRs and remaining the named servicer of the Ginnie Mae guaranteed residential mortgage loans, although the rights to the economic value of the MSRs were legally sold, solely for accounting purposes, New Residential determined that each purchase agreement would not be treated as a sale under GAAP and accounted for as Mortgage Servicing Rights Financing Receivable. As a result of the Shellpoint Acquisition completed on July 3, 2018, New Residential, through its wholly owned subsidiary, New Penn, owns the Ginnie Mae MSRs and now accounts for these assets as Mortgage Servicing Rights rather than Mortgage Servicing Rights Financing Receivable as disclosed in the first and second quarters of 2018. New Penn, as an approved issuer of Ginnie Mae MBS, originates, sells and securitizes government-insured residential mortgage loans into Ginnie Mae guaranteed securitizations and New Penn retains the right to service the underlying residential mortgage loans. As the servicer, New Penn, holds an option to repurchase delinquent loans from the securitization at its discretion (“Ginnie Mae Buy-Back Option”). In accordance with the accounting guidance in ASC 860, New Penn recognizes any delinquent loans subject to the Ginnie Mae Buy-Back option and an offsetting repurchase liability on its balance sheet regardless of whether New Penn executes its option to repurchase. As of September 30, 2018 , New Residential holds approximately $110.2 million in Residential mortgage loans subject to repurchase and Residential mortgage loans repurchase liability on its condensed consolidated balance sheets. During the nine months ended September 30, 2018 , New Residential, through its wholly owned subsidiaries, completed the following MSR acquisitions accounted for as Mortgage Servicing Rights (in millions): Date of Acquisition Collateral Type UPB (in billions) Purchase Price January 16, 2018 Agency $ 11.5 $ 101.5 January 16, 2018 Agency 7.8 81.0 February 28, 2018 Agency 3.3 33.5 March 28, 2018 Agency & Ginnie Mae 8.1 96.6 May 1, 2018 Ginnie Mae 4.6 46.8 May 25, 2018 Agency 2.1 26.3 May 31, 2018 Agency & Ginnie Mae 6.1 79.9 June 1, 2018 Ginnie Mae 0.5 6.1 June 4, 2018 Agency 2.1 19.3 June 28, 2018 Ginnie Mae 4.7 66.5 August 31, 2018 Agency & Ginnie Mae 18.5 220.5 September 28, 2018 Agency 1.1 13.6 September 28, 2018 Agency 10.1 126.4 Various (A) Agency 3.6 34.1 Total $ 84.1 $ 952.1 (A) Represents Flow MSR acquisitions from Ditech and Shellpoint for the nine months ended September 30, 2018 . New Residential records its investments in MSRs at fair value at acquisition and has elected to subsequently measure at fair value pursuant to the fair value measurement method. Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Servicing fee revenue $ 158,458 $ 113,741 $ 408,967 $ 299,642 Ancillary and other fees 43,638 24,641 94,699 51,811 Servicing fee revenue and fees 202,096 138,382 503,666 351,453 Amortization of servicing rights (70,933 ) (68,850 ) (191,499 ) (159,451 ) Change in valuation inputs and assumptions (A) (B) 44,192 (11,518 ) 226,617 77,465 Servicing revenue, net $ 175,355 $ 58,014 $ 538,784 $ 269,467 (A) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. (B) Includes $3.9 million of fair value adjustment to Excess spread financing for the three and nine months ended September 30, 2018 . The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 801,366 Transfer In (A) 135,288 Shellpoint Acquisition (B) (C) 151,312 Originations (D) 17,282 Amortization of servicing rights (E) (191,499 ) Change in valuation inputs and assumptions (F) 222,751 Balance as of September 30, 2018 $ 2,872,004 (A) Represents Ginnie Mae MSRs previously accounted for as Mortgage Servicing Rights Financing Receivable. (B) Represents MSRs acquired through New Residential’s acquisition of Shellpoint Partners LLC. (C) Includes $48.3 million of MSRs legally sold by New Penn treated as a secured borrowing as it did not meet the criteria for sale treatment. New Residential elected to record the excess spread financing liability at fair value pursuant to the fair value option. (D) Represents MSRs retained on the sale of originated mortgage loans. (E) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (F) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in MSRs as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 214,959,796 6.5 $ 2,068,667 $ 2,479,734 Non-Agency 2,056,930 6.8 13,391 20,555 Ginnie Mae 29,933,137 7.5 308,021 371,715 Total $ 246,949,863 6.6 $ 2,390,079 $ 2,872,004 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 8.7% was used to value New Residential’s investments in MSRs. Mortgage Servicing Rights Financing Receivable In certain cases, New Residential has legally purchased MSRs or the right to the economic interest in MSRs, however, New Residential has determined that the purchase agreement would not be treated as a sale under GAAP. Therefore, rather than recording an investment in MSRs, New Residential has recorded an investment in mortgage servicing rights financing receivables. Income from this investment (net of subservicing fees) is recorded as interest income, and New Residential has elected to measure the investment at fair value, with changes in fair value flowing through change in fair value of investments in mortgage servicing rights financing receivables in the Condensed Consolidated Statements of Income. PHH Transaction As of September 30, 2018 , MSRs purchased from PHH, and related servicer advances receivables, with respect to private-label residential mortgage loans of approximately $3.7 billion in total UPB with a purchase price of approximately $21.0 million had not been settled. As a result of the length of the initial term of the related subservicing agreement between NRM and PHH, although the MSRs were legally sold, solely for accounting purposes, New Residential determined that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to NRM, and that the purchase agreement would not be treated as a sale under GAAP. New Residential has entered into a recapture agreement with respect to each of its MSR investments subserviced by PHH. Under the recapture agreement, New Residential is generally entitled to the MSRs on any initial or subsequent refinancing by PHH of a loan in the original portfolio. Ocwen Transaction As of September 30, 2018 , MSRs representing approximately $15.5 billion UPB of underlying loans have been transferred pursuant to the Ocwen Transaction. Economics related to the remaining MSRs subject to the Ocwen Transaction were transferred pursuant to the New Ocwen Agreements (described below). Through September 30, 2018 , $334.2 million of related lump sum payments have been made or accrued by New Residential to Ocwen. Upon such transfer, or subsequent to the New Ocwen Agreements (described below), any interests already held by New Residential are reclassified (from Excess MSRs or Servicer Advance Investments) to become part of the basis of the MSR financing receivables or servicer advances receivable, as appropriate, held by NRM. As a result of the length of the initial term of the related subservicing agreement between NRM and Ocwen, although the MSRs transferred pursuant to the Ocwen Transaction were legally sold, solely for accounting purposes, New Residential determined that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to NRM, and that the purchase agreement would not be treated as a sale under GAAP. During July 2017, New Residential and Ocwen entered into the Ocwen Transaction. While New Residential continues the process of obtaining the third party consents necessary to transfer the related MSRs to New Residential’s subsidiary, NRM, Ocwen and New Residential have entered into new agreements, which have accelerated the implementation of certain parts of the Ocwen Transaction in order to achieve its intent sooner. These new agreements are described in further detail below. On January 18, 2018, New Residential entered into a new agreement regarding the rights to MSRs (the “New Ocwen RMSR Agreement”) including a servicing addendum thereto (the “Ocwen Servicing Addendum”), Amendment No. 1 to Transfer Agreement (the “New Ocwen Transfer Agreement”) and a Brokerage Services Agreement (the “Ocwen Brokerage Services Agreement” and, collectively, the “New Ocwen Agreements”) with Ocwen. The New Ocwen Agreements modify and supplement the arrangements among the parties set forth in the Original Ocwen Agreements, the Ocwen Master Agreement, the Ocwen Transfer Agreement, and the Ocwen Subservicing Agreement (together with the Original Ocwen Agreements, the Ocwen Master Agreement, and the Ocwen Transfer Agreement, the “Existing Ocwen Agreements”). NRM made a lump-sum “Fee Restructuring Payment” of $279.6 million to Ocwen on January 18, 2018, the date of the New Ocwen RMSR Agreement, with respect to such Existing Ocwen Subject MSRs. Under the Existing Ocwen Agreements, Ocwen sold and transferred to New Residential certain “Rights to MSRs” and other assets related to mortgage servicing rights for loans with an unpaid principal balance of approximately $86.8 billion as of the opening balances in January 2018 (the “Existing Ocwen Subject MSRs”). Pursuant to the New Ocwen Agreements, Ocwen will continue to service the mortgage loans related to the Existing Ocwen Subject MSRs until the necessary third party consents are obtained in order to transfer the Existing Ocwen Subject MSRs in accordance with the New Ocwen Agreements. The New Ocwen RMSR Agreement provides, among other things: • the Existing Ocwen Subject MSRs will remain in the parties’ ownership structure under the Existing Ocwen Agreements while they continue to seek third party consents to transfer Ocwen’s remaining rights to the Existing Ocwen Subject MSRs to New Residential or any permitted assignee of New Residential; • Ocwen will continue to service the related mortgage loans pursuant to the terms of the Ocwen Servicing Addendum until the transfer of the Existing Ocwen Subject MSRs; • under the arrangements contemplated by the New Ocwen RMSR Agreement, Ocwen will receive substantially identical compensation for servicing the related mortgage loans underlying the Existing Ocwen Subject MSRs that it would receive if the Existing Ocwen Subject MSRs had been transferred to NRM as named servicer and Ocwen subserviced such mortgage loans for NRM as named servicer; • in the event that the required third party consents are not obtained with respect to any Existing Ocwen Subject MSRs by certain dates specified in the New Ocwen RMSR Agreement, in accordance with the process set forth in the New Ocwen RMSR Agreement, the Rights to MSRs (as defined in the Existing Ocwen Agreements) related to such Existing Ocwen Subject MSRs could either: (i) remain subject to the New Ocwen RMSR Agreement at the option of New Residential, (ii) if New Residential does not opt for the New Ocwen RMSR Agreement to remain in place with respect to certain Existing Ocwen Subject MSRs, Ocwen may acquire such Existing Ocwen Subject MSRs at a price determined in accordance with the terms of the New Ocwen RMSR Agreement, or (iii) if Ocwen does not acquire such Existing Ocwen Subject MSRs, be sold to a third party in accordance with the terms of the New Ocwen RMSR Agreement, as determined pursuant to the terms of the New Ocwen RMSR Agreement; • New Residential agreed to waive any rights New Residential may have had under the Existing Ocwen Agreements to replace Ocwen as named servicer with respect to the Existing Ocwen Subject MSRs based on Ocwen’s residential servicer rating agency related downgrades; and • Ocwen will offer refinancing opportunities to borrowers and New Residential is entitled to the MSRs on any initial or subsequent refinancing by Ocwen of a loan in the original portfolio. Pursuant to the Ocwen Servicing Addendum, Ocwen will service the mortgage loans related to the Existing Ocwen Subject MSRs. In consideration of servicing such mortgage loans, Ocwen will receive a servicing fee based on the unpaid principal balance as of the first of each month as set forth in the Ocwen Servicing Addendum. The initial term of the Ocwen Servicing Addendum is for the five years following July 23, 2017. At any time during the initial term, New Residential may terminate the Ocwen Servicing Addendum for convenience, subject to Ocwen’s right to receive a termination fee calculated in accordance with the Ocwen Servicing Addendum and specified notice. Following the initial term, (i) New Residential may extend the term of the Ocwen Servicing Addendum for additional three-month periods by delivering written notice to Ocwen of its desire to extend such contract thirty days prior to the end of such three -month period and (ii) the Ocwen Servicing Addendum may be terminated by Ocwen on an annual basis. In addition, New Residential and Ocwen will have the right to terminate the Ocwen Servicing Addendum for cause if certain conditions specified in the Ocwen Servicing Addendum occur. If the Ocwen Servicing Addendum is terminated or not renewed in accordance with these provisions, New Residential will have the right to direct the transfer of servicing to a third party, subject to Ocwen’s option to purchase the Existing Ocwen Subject MSRs and related assets in certain cases. To the extent that servicing of the loans cannot be transferred in accordance with these provisions, the Ocwen Servicing Addendum will remain in place with respect to the servicing of any remaining loans. Pursuant to the Ocwen Brokerage Services Agreement, Ocwen will engage NRZ Brokerage to perform brokerage and marketing services for all REO properties serviced by Ocwen pursuant to the Subject Servicing Agreements as defined in the New Ocwen RMSR Agreement. Such REO properties are subject to the Altisource Brokerage Agreement and Altisource Letter Agreement. Interest income from investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Servicing fee revenue $ 181,495 $ 38,510 $ 575,909 $ 41,185 Ancillary and other fees 39,257 4,327 109,852 4,402 Less: subservicing expense (61,454 ) (11,139 ) (192,275 ) (11,433 ) Interest income, investments in mortgage servicing rights financing receivables $ 159,298 $ 31,698 $ 493,486 $ 34,154 Change in fair value of investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Amortization of servicing rights $ (49,016 ) $ (18,883 ) $ (154,559 ) $ (20,010 ) Change in valuation inputs and assumptions (A) (39,329 ) 89,115 218,187 95,838 Change in fair value of investments in mortgage servicing rights financing receivables $ (88,345 ) $ 70,232 $ 63,628 $ 75,828 (A) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made 138,993 Transfer Out (A) (135,288 ) New Ocwen Agreements 1,017,993 Proceeds from sales (2,982 ) Amortization of servicing rights (B) (154,559 ) Change in valuation inputs and assumptions (C) 218,187 Balance as of September 30, 2018 $ 1,681,072 (A) Represents Ginnie Mae MSRs owned by New Penn accounted for as Mortgage Servicing Rights as a result of the Shellpoint Acquisition. (B) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (C) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 43,997,628 6.0 $ 380,949 $ 467,613 Non-Agency 91,532,019 7.0 970,423 1,213,459 Total $ 135,529,647 6.7 $ 1,351,372 $ 1,681,072 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 10.3% was used to value New Residential’s investments in mortgage servicing rights financing receivables. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs and mortgage servicing rights financing receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 20.5 % 19.0 % New York 8.1 % 6.3 % Florida 7.0 % 6.0 % Texas 5.2 % 5.7 % New Jersey 5.1 % 5.2 % Illinois 3.9 % 4.1 % Massachusetts 3.6 % 3.8 % Maryland 3.4 % 2.8 % Pennsylvania 3.2 % 3.3 % Virginia 3.2 % 3.1 % Other U.S. 36.8 % 40.7 % 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 MSRs. Mortgage Subservicing New Penn performs servicing of residential mortgage loans for third parties under subservicing agreements. Mortgage subservicing does not meet the criteria to be recognized as a servicing right asset and, therefore, is not recognized on New Residential’s condensed consolidated balance sheets. The UPB of residential mortgage loans subserviced for others as of September 30, 2018 was $44.7 billion and subservicing revenue of $30.3 million is included within servicing revenue, net in the Condensed Consolidated Statements of Income. Servicer Advances Receivable In connection with its investments in MSRs and MSR financing receivables, New Residential generally acquires any related outstanding servicer advances (not included in the purchase prices described above), which it records at fair value within servicer advances receivable upon acquisition. In addition to receiving cash flows from the MSRs, NRM and New Penn, as servicers, have the obligation to fund future servicer advances on the underlying pool of mortgages (Note 14). These servicer advances are recorded when advanced and are included in servicer advances receivable. The following types of advances are included in the Servicer Advances Receivable: September 30, 2018 December 31, 2017 Principal and interest advances $ 816,290 $ 172,467 Escrow advances (taxes and insurance advances) 2,095,423 482,884 Foreclosure advances 212,206 16,017 Total (A) (B) (C) $ 3,123,919 $ 671,368 (A) Includes $189.9 million and $167.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies. (B) Includes $10.0 million and $0.0 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. (C) Net of $93.2 million and $4.2 million , respectively, in unamortized discount and accrual for advance recoveries. New Residential’s Servicer Advances Receivable related to Non-Agency MSRs generally have the highest reimbursement priority (i.e., “top of the waterfall”) and New Residential is generally entitled to repayment from respective loan or REO liquidation proceeds before any interest or principal is paid on the bonds that were issued by the trust. In the majority of cases, advances in excess of respective loan or REO liquidation proceeds may be recovered from pool-level proceeds. Furthermore, to the extent that advances are not recoverable by New Residential as a result of the subservicer’s failure to comply with applicable requirements in the relevant servicing agreements, New Residential has a contractual right to be reimbursed by the subservicer. New Residential assesses the recoverability of Servicer Advance Receivables periodically and as of September 30, 2018 and December 31, 2017 , expected full recovery of the Servicer Advance Receivables. See Note 11 regarding the financing of MSRs. |
SERVICER ADVANCE INVESTMENTS
SERVICER ADVANCE INVESTMENTS | 9 Months Ended |
Sep. 30, 2018 | |
Investments, All Other Investments [Abstract] | |
SERVICER ADVANCE INVESTMENTS | SERVICER ADVANCE INVESTMENTS All of New Residential’s Servicer Advance Investments are comprised of outstanding servicer advances, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans, and the basic fee component of the related MSR. New Residential elected to record its Servicer Advance Investments, 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. A taxable wholly-owned subsidiary of New Residential is the managing member of the Buyer and owned an approximately 73.2% interest in the Buyer as of September 30, 2018 . As of September 30, 2018 , 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 co-investors, including New Residential. As of September 30, 2018 , the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $322.0 million and $289.5 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. See Note 5 regarding the New Ocwen Agreements. Subsequent to the New Ocwen Agreements, the Servicer Advance Investments serviced by Ocwen became reclassified, as described in Note 5. The following is a summary of New Residential’s Servicer Advance Investments, 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, 2018 Servicer Advance Investments $ 783,141 $ 799,936 5.9 % 5.8 % 5.9 As of December 31, 2017 Servicer Advance Investments $ 3,924,003 $ 4,027,379 6.8 % 7.3 % 5.1 (A) Carrying value represents the fair value of the Servicer Advance Investments, 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. Three Months Ended Nine Months Ended 2018 2017 2018 2017 Change in Fair Value of Servicer Advance Investments $ (5,353 ) $ 10,941 $ (86,581 ) $ 70,469 The following is additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (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, 2018 Servicer Advance Investments (D) $ 42,323,957 $ 637,102 1.5 % $ 630,422 89.3 % 88.2 % 3.7 % 3.1 % December 31, 2017 Servicer Advance Investments (D) $ 139,460,371 $ 3,581,876 2.6 % $ 3,461,718 93.2 % 92.0 % 3.3 % 3.0 % (A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (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 are included in the Servicer Advance Investments: September 30, 2018 December 31, 2017 Principal and interest advances $ 114,351 $ 909,133 Escrow advances (taxes and insurance advances) 236,799 1,636,381 Foreclosure advances 285,952 1,036,362 Total $ 637,102 $ 3,581,876 Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Interest income, gross of amounts attributable to servicer compensation $ 21,183 $ 83,979 $ 63,731 $ 290,933 Amounts attributable to base servicer compensation (2,347 ) (38,549 ) (6,354 ) (145,055 ) Amounts attributable to incentive servicer compensation (7,095 ) 84,724 (14,255 ) 300,788 Interest income from Servicer Advance Investments $ 11,741 $ 130,154 $ 43,122 $ 446,666 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, 2018 December 31, 2017 Assets Servicer advance investments, at fair value $ 774,851 $ 1,002,102 Cash and cash equivalents 30,073 40,929 All other assets 10,592 13,011 Total assets (A) $ 815,516 $ 1,056,042 Liabilities Notes and bonds payable $ 610,277 $ 789,979 All other liabilities 3,055 3,308 Total liabilities (A) $ 613,332 $ 793,287 (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, 2018 December 31, 2017 Total Advance Purchaser LLC equity $ 202,184 $ 262,755 Others’ ownership interest 26.8 % 27.2 % Others’ interest in equity of consolidated subsidiary $ 54,118 $ 71,491 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Net Advance Purchaser LLC income $ (299 ) $ 3,584 $ 8,667 $ 20,460 Others’ ownership interest as a percent of total (A) 27.1 % 34.2 % 27.2 % 50.7 % Others’ interest in net income of consolidated subsidiaries $ (81 ) $ 1,224 $ 2,358 $ 10,372 (A) Nine months ended September 30, 2018 reflects 27.2% for the first six months. See Note 11 regarding the financing of Servicer Advance Investments. |
INVESTMENTS IN REAL ESTATE AND
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES | INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES “Agency” residential mortgage backed securities (“RMBS”) are RMBS 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 and other securities were as follows: Nine Months Ended September 30, 2018 (in millions) Treasury Agency Non-Agency Purchases Face $ — $ 7,153.6 $ 6,866.9 Purchase Price — 7,226.4 3,475.1 Sales Face $ 862.0 $ 5,626.7 $ 105.1 Amortized Cost 858.0 5,710.4 82.3 Sale Price 849.8 5,652.1 81.3 Gain (Loss) on Sale (8.2 ) (58.3 ) (1.0 ) As of September 30, 2018 , New Residential had sold and purchased $3.4 billion and $1.8 billion face amount of Agency RMBS for $3.4 billion and $1.8 billion , respectively, and purchased $15.1 million face amount of Non-Agency RMBS for $13.5 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 and other 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, 2018 December 31, 2017 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 Treasury $ — $ — $ — $ — $ — — N/A — % — % — N/A $ 852,734 Agency RMBS (F) (G) 2,653,034 2,678,375 705 (5,217 ) 2,673,863 31 AAA 3.95 % 3.82 % 9.8 N/A 1,243,617 Non-Agency RMBS (H) (I) 17,980,244 8,491,714 549,206 (64,526 ) 8,976,394 858 B 3.22 % 5.50 % 7.1 12.4 % 5,974,789 Total/ Weighted Average $ 20,633,278 $ 11,170,089 $ 549,911 $ (69,743 ) $ 11,650,257 889 BB+ 3.39 % 5.09 % 7.8 $ 8,071,140 (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 221 bonds with a carrying value of $431.4 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $220.0 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities. (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 $2.7 billion for fixed rate securities and $0.0 billion for floating rate securities as of September 30, 2018 . (H) The total outstanding face amount was $3.7 billion (including $1.4 billion of residual and fair value option notional amount) for fixed rate securities and $14.3 billion (including $5.9 billion of residual and fair value option notional amount) for floating rate securities as of September 30, 2018 . (I) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by MSRs and (iii) bonds backed by consumer loans. 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 Corporate debt $ 85,000 $ 85,000 $ — $ (2,550 ) $ 82,450 1 B- 8.25 % 8.25 % 6.5 N/A Consumer loan bonds 62,241 61,687 208 (6,022 ) 55,869 6 B 5.50 % 18.94 % 1.6 N/A MSR bonds 228,000 228,000 1,734 — 229,734 2 BBB- 4.95 % 4.86 % 8.8 N/A Fair Value Option Securities: Interest-only securities 5,279,031 231,257 21,605 (9,388 ) 243,478 66 AA+ 1.48 % 4.88 % 3.0 N/A Servicing Strips 996,167 8,662 1,908 (216 ) 10,354 28 N/A 0.21 % 13.83 % 6.0 N/A Unrealized losses that are considered other-than-temporary and are attributable to credit losses are recognized currently in earnings. During the nine months ended September 30, 2018 , New Residential recorded OTTI charges of $23.2 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, 2018 . 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 $ 4,844,162 $ 3,096,895 $ (3,530 ) $ 3,093,365 $ (44,043 ) $ 3,049,322 224 BB+ 3.44 % 4.58 % 7.7 12 or More Months 1,230,875 457,146 (359 ) 456,787 (25,700 ) 431,087 77 BB- 1.80 % 6.42 % 6.0 Total/Weighted Average $ 6,075,037 $ 3,554,041 $ (3,889 ) $ 3,550,152 $ (69,743 ) $ 3,480,409 301 BB+ 3.23 % 4.81 % 7.5 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2018 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 65 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 14 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, 2018 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 1,013,029 1,036,994 (3,889 ) (23,965 ) Non-credit impaired securities 2,467,380 2,513,158 — (45,778 ) Total debt securities in an unrealized loss position $ 3,480,409 $ 3,550,152 $ (3,889 ) $ (69,743 ) (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, 2018 . (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, 2018 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 23,821 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 14,090 Additions for credit losses on securities for which an OTTI was not previously recognized 9,100 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 (846 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 46,165 The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: September 30, 2018 December 31, 2017 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 6,439,635 36.1 % $ 4,882,136 38.4 % Southeastern U.S. 4,231,388 23.7 % 3,005,519 23.6 % Northeastern U.S. 3,515,723 19.7 % 2,555,514 20.1 % Midwestern U.S. 1,958,309 11.0 % 1,337,980 10.5 % Southwestern U.S. 1,242,546 7.0 % 927,647 7.3 % Other (B) 445,402 2.5 % 18,871 0.1 % $ 17,833,003 100.0 % $ 12,727,667 100.0 % (A) Excludes $62.2 million and $29.7 million face amount of bonds backed by consumer loans and $85.0 million and $0.0 million face amount of bonds backed by corporate debt as of September 30, 2018 and December 31, 2017 , respectively. (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, 2018 , excluding residual and fair value option securities, the face amount of these real estate securities was $1,444.7 million , with total expected cash flows of $1,271.9 million and a fair value of $965.6 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 fair value option securities: Outstanding Face Amount Carrying Value September 30, 2018 $ 6,368,757 $ 4,234,978 December 31, 2017 5,364,847 3,493,723 The following is a summary of the changes in accretable yield for these securities: Nine Months Ended September 30, 2018 Balance at December 31, 2017 $ 2,000,266 Additions 306,298 Accretion (181,610 ) Reclassifications from (to) non-accretable difference 146,240 Disposals (3,277 ) Balance at September 30, 2018 $ 2,267,917 See Note 11 regarding the financing of real estate securities. |
INVESTMENTS IN RESIDENTIAL MORT
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | 9 Months Ended |
Sep. 30, 2018 | |
Receivables [Abstract] | |
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS New Residential accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. As a result of the Shellpoint Acquisition, New Residential, through its wholly owned subsidiary, New Penn, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying 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 (which may include PCD Loans) • Loans Held-for-Investment, at fair value • Loans Held-for-Sale • Loans Held-for-Sale, at fair value • 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, 2018 December 31, 2017 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 Performing Loans (G) (J) $ 665,939 $ 620,303 8,968 7.3 % 5.0 16.8 % 79.4 % 7.1 % 672 $ 507,615 Purchased Credit Deteriorated Loans (H) 211,564 156,020 1,828 7.7 % 3.1 15.9 % 85.6 % 75.5 % 595 183,540 Total Residential Mortgage Loans, held-for-investment $ 877,503 $ 776,323 10,796 7.4 % 4.5 16.6 % 80.9 % 23.6 % 653 $ 691,155 Reverse Mortgage Loans (E) (F) $ 15,271 $ 6,813 41 7.9 % 4.9 10.1 % 135.1 % 70.0 % N/A $ 6,870 Performing Loans (G) (I) 1,558,201 1,582,174 13,155 4.1 % 4.3 55.6 % 62.0 % 3.9 % 713 1,071,371 Non-Performing Loans (H) (I) 518,317 407,316 4,605 6.0 % 2.9 17.9 % 89.7 % 73.2 % 589 647,293 Total Residential Mortgage Loans, held-for-sale $ 2,091,789 $ 1,996,303 17,801 4.6 % 3.9 45.9 % 69.4 % 21.6 % 682 $ 1,725,534 Originated Loans 514,516 524,863 1,948 4.9 % 28.8 96.0 % 80.9 % 4.0 % 717 — Total Residential Mortgage Loans, held-for-sale, at fair value (K) $ 514,516 $ 524,863 1,948 4.9 % 28.8 96.0 % 80.9 % 4.0 % 717 $ — (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 is 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. Nationstar holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.5 million . Approximately 52% 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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (H) 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, 2018 , New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below. (I) Includes $25.7 million and $56.5 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. (J) Includes $124.4 million UPB of non-agency mortgage loans underlying the SAFT 2013-1 securitization, which are carried at fair value based on New Residential’s election of the fair value option. Interest earned on loans measured at fair value are reported in other income. (K) New Residential elected the fair value option to measure these loans at fair value on a recurring basis. Interest earned on loans measured at fair value are reported in other income. 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 underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 19.3 % 9.1 % New York 12.0 % 12.8 % Florida 6.3 % 8.2 % Texas 5.6 % 6.6 % New Jersey 5.2 % 5.2 % Illinois 3.2 % 3.9 % Pennsylvania 2.9 % 3.4 % Massachusetts 2.8 % 2.7 % Maryland 2.4 % 2.7 % Washington 1.7 % 1.7 % Other U.S. 38.6 % 43.7 % 100.0 % 100.0 % See Note 11 regarding the financing of residential mortgage loans and related assets. Call Rights New Residential has executed calls 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 (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) Date of Securitization UPB Gain (Loss) Basis Loan UPB Loan Price REO & Other Price January 2018 — $ — $ — $ — $ — $ — Jan 2018 $ 726.5 $ (17.8 ) $ 76.8 $ 265.3 $ 239.0 $ 14.4 January 2018 7 0.4 0.2 32.5 32.8 0.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) March 2018 25 85.9 75.4 458.8 461.4 4.1 May 2018 435.3 (6.7 ) 52.9 56.0 46.8 4.6 April 2018 8 5.8 4.8 218.8 222.3 2.0 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) May 2018 12 6.7 4.7 475.6 473.5 3.2 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) June 2018 12 32.3 19.4 409.0 400.6 3.6 August 2018 658.5 (12.4 ) 535.8 521.8 499.1 8.7 August 2018 6 9.6 6.7 145.5 142.8 0.9 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) September 2018 4 14.7 9.1 104.8 105.2 2.0 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. (B) Price includes par amount paid for all underlying residential 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 loans from the fourth quarter of 2017 calls were securitized in January 2018. The May 2018 securitization primarily included loans from the January 2018 and March 2018 calls, but also included $33.5 million of previously acquired loans. The August 2018 securitization primarily included loans from April, May, and June 2018 calls, but also included $78.3 million of previously acquired loans. No loans from the December 2016 call, January 2017 calls, the last two June 2017 calls, the August 2018 calls or the September 2018 calls were securitized by September 30, 2018. Performing Loans The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: September 30, 2018 Days Past Due Delinquency Status (A) Current 83.9 % 30-59 7.0 % 60-89 2.2 % 90-119 (B) 1.1 % 120+ (C) 5.8 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual loans. Activities related to the carrying value of residential mortgage loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 507,615 Shellpoint acquisition 125,350 Purchases/additional fundings 55,993 Proceeds from repayments (77,646 ) Accretion of loan discount (premium) and other amortization (A) 12,964 Provision for loan losses (604 ) Transfer of loans to other assets (B) — Transfer of loans to real estate owned (2,768 ) Transfers of loans to held for sale (1,248 ) Fair value adjustment 647 Balance at September 30, 2018 $ 620,303 (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 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). 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: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 604 Charge-offs (B) (800 ) Balance at September 30, 2018 $ — (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. 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, 2017 $ 183,540 Purchases/additional fundings 29,785 Sales — Proceeds from repayments (30,261 ) Accretion of loan discount and other amortization 18,282 (Allowance) reversal for loan losses (A) — Transfer of loans to real estate owned (20,215 ) Transfer of loans to held-for-sale (25,111 ) Balance at September 30, 2018 $ 156,020 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. 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, 2018 $ 211,564 $ 156,020 December 31, 2017 249,254 183,540 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 88,631 Additions 16,523 Accretion (18,282 ) Reclassifications from (to) non-accretable difference (A) (3,414 ) Disposals (B) (5,235 ) Transfer of loans to held-for-sale (C) (8,437 ) Balance at September 30, 2018 $ 69,786 (A) Represents a probable and significant increase (decrease) 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: Balance at December 31, 2017 $ 1,725,534 Purchases (A) 3,295,432 Transfer of loans from held-for-investment (B) 26,359 Sales (2,858,074 ) Transfer of loans to other assets (C) (6,254 ) Transfer of loans to real estate owned (44,252 ) Proceeds from repayments (151,942 ) Valuation (provision) reversal on loans (D) 9,500 Balance at September 30, 2018 $ 1,996,303 (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 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 an aggregate of $14.0 million of provision related to the call transactions executed during the nine months ended September 30, 2018 . Loans Held-for-Sale, at Fair Value Activities related to the carrying value of loans held-for-sale, at fair value were as follows: Balance at December 31, 2017 $ — Shellpoint acquisition 488,233 Originations 1,678,606 Sales (1,635,220 ) Proceeds from repayments (3,747 ) Change in fair value (3,009 ) Balance at September 30, 2018 $ 524,863 Gain on Sale of Originated Mortgage Loans, Net New Penn, a wholly owned subsidiary of New Residential, originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. The GSEs or Ginnie Mae guarantee conventional and government insured mortgage securitizations and mortgage investors issue nonconforming private label mortgage securitizations while New Penn generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, New Residential reports gain on sale of originated mortgage loans, net in the condensed consolidated statements of income. Gain on sale of originated mortgage loans, net is summarized below: Gain on loans originated and sold (A) $ 24,684 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) (2,757 ) MSRs retained on transfer of loans (C) 17,282 Other (D) 6,523 Gain on sale of originated mortgage loans, net $ 45,732 (A) Includes loan origination fees and direct loan origination costs. Other indirect costs related to loan origination are included within general and administrative expenses. (B) Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments. (C) Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained. (D) Includes fees for services associated with the loan origination process. 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, 2017 $ 128,295 Purchases 26,807 Transfer of loans to real estate owned 83,844 Sales (123,573 ) Valuation (provision) reversal on REO (213 ) Balance at September 30, 2018 $ 115,160 As of September 30, 2018 , New Residential had residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $303.8 million . In addition, New Residential has recognized $20.1 million in unpaid claims receivable from FHA on Ginnie Mae EBO loans and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim. Variable Interest Entities A wholly owned subsidiary of New Penn, Shelter Mortgage Company LLC (“Shelter”) is a mortgage originator specializing in retail origination. Shelter operates its business through a series of joint ventures and was deemed to be the primary beneficiary of the joint ventures as a result of its ability to direct activities that most significantly impact the economic performance of the entities and its ownership of a significant equity investment. The following table presents information on the assets and liabilities of the Shelter JVs. September 30, 2018 Assets Cash and cash equivalents $ 17,421 Property and equipment, net 157 Intangible assets, net 74 Prepaid expenses and other assets 1,309 Total assets $ 18,961 Liabilities Accounts payable and accrued expenses $ 1,514 Reserve for sales recourse 921 Total liabilities $ 2,435 Noncontrolling Interests Noncontrolling interests in the equity of the Shelter JVs is computed as follows: September 30, 2018 Total consolidated equity of JVs $ 16,526 Noncontrolling ownership interest 50.6 % Noncontrolling equity interest in consolidated JVs $ 8,362 Total consolidated net income of JVs $ 2,306 Noncontrolling ownership interest in net income 50.6 % Noncontrolling interest in net income of consolidated JVs $ 1,167 As described in “Call Rights” above, New Residential has issued securitizations which were treated as sales under GAAP. New Residential has no obligation to repurchase any loans from these securitizations and its exposure to loss is limited to the carrying amount of its retained interests in the securitization entities. These securitizations are conducted through variable interest entities, of which New Residential is not the primary beneficiary. Additionally, New Penn, a wholly owned subsidiary of New Residential, was deemed to be the primary beneficiary of the SAFT 2013-1 securitization entity as a result of its ability to direct activities that most significantly impact the economic performance of the entity in its role as servicer and its ownership of subordinate retained interests. The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of September 30, 2018 : Residential mortgage loan UPB $ 6,878,247 Weighted average delinquency (A) 1.88 % Net credit losses for the nine months ended September 30, 2018 $ 6,486 Face amount of debt held by third parties (B) $ 956,125 Carrying value of bonds retained by New Residential (C) $ 1,230,214 Cash flows received by New Residential on these bonds for the nine months ended September 30, 2018 $ 113,325 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. |
INVESTMENTS IN CONSUMER LOANS
INVESTMENTS IN CONSUMER LOANS | 9 Months Ended |
Sep. 30, 2018 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
INVESTMENTS IN CONSUMER LOANS | INVESTMENTS IN CONSUMER LOANS New Residential, through newly formed limited liability companies (together, the “Consumer Loan Companies”), has a co-investment in a portfolio of consumer loans. The portfolio includes personal unsecured loans and personal homeowner loans. OneMain is the servicer of the loans and provides all servicing and advancing functions for the portfolio. As of September 30, 2018 , New Residential owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. New Residential also purchased certain newly originated consumer loans from a third party (“Consumer Loan Seller”). These loans are not held in the Consumer Loan Companies and have been designated as performing consumer loans, held-for-investment. In addition, see “Equity Method Investees” below. The following table summarizes the investment in consumer loans, held-for-investment held by New Residential: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) September 30, 2018 Consumer Loan Companies Performing Loans $ 858,817 53.5 % $ 901,166 18.8 % 3.7 5.2 % Purchased Credit Deteriorated Loans (C) 236,988 53.5 % 196,346 16.0 % 3.4 11.3 % Other - Performing Loans 46,253 100.0 % 43,257 14.1 % 0.8 5.8 % Total Consumer Loans, held-for-investment $ 1,142,058 $ 1,140,769 18.0 % 3.5 6.5 % December 31, 2017 Consumer Loan Companies Performing Loans $ 1,005,570 53.5 % $ 1,052,561 18.7 % 3.7 6.0 % Purchased Credit Deteriorated Loans (C) 282,540 53.5 % 236,449 16.2 % 3.3 12.5 % Other - Performing Loans 89,682 100.0 % 85,253 14.1 % 1.0 4.5 % Total Consumer Loans, held-for-investment $ 1,377,792 $ 1,374,263 17.9 % 3.5 7.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) 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. See Note 11 regarding the financing of consumer loans. 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, 2018 Days Past Due Delinquency Status (A) Current 94.7 % 30-59 2.0 % 60-89 1.3 % 90-119 (B) 0.8 % 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, 2017 $ 1,137,814 Purchases — Additional fundings (A) 45,017 Proceeds from repayments (196,589 ) Accretion of loan discount and premium amortization, net 1,596 Gross charge-offs (45,112 ) Additions to the allowance for loan losses, net 1,697 Balance at September 30, 2018 $ 944,423 (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 December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 36,860 (264 ) 36,596 Net charge-offs (C) (38,293 ) — (38,293 ) Balance at September 30, 2018 $ 2,996 $ 1,412 $ 4,408 (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. (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, 2018 , there are $14.4 million in UPB and $13.4 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 $6.8 million in recoveries of previously charged-off UPB. Purchased Credit Deteriorated Loans 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, 2017 $ 236,449 (Allowance) reversal for loan losses (A) — Proceeds from repayments (68,221 ) Accretion of loan discount and other amortization 28,118 Balance at September 30, 2018 $ 196,346 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. 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, 2018 $ 236,988 $ 196,346 December 31, 2017 282,540 236,449 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 132,291 Accretion (28,118 ) Reclassifications from (to) non-accretable difference (A) 28,474 Balance at September 30, 2018 $ 132,647 (A) Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible. Noncontrolling Interests Others’ interests in the equity of the Consumer Loan Companies is computed as follows: September 30, 2018 December 31, 2017 Total Consumer Loan Companies equity $ 67,200 $ 74,071 Others’ ownership interest 46.5 % 46.5 % Others’ interests in equity of consolidated subsidiary $ 31,248 $ 34,466 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Net Consumer Loan Companies income (loss) $ 21,038 $ 26,616 $ 61,359 $ 74,580 Others’ ownership interest as a percent of total 46.5 % 46.5 % 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 9,783 $ 12,376 $ 28,533 $ 34,679 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, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,097,512 $ 1,289,010 Restricted cash 10,479 11,563 Accrued interest receivable 16,351 19,360 Total assets (A) $ 1,124,342 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,088,954 $ 1,284,436 Accounts payable and accrued expenses 4,144 4,007 Total liabilities (A) $ 1,093,098 $ 1,288,443 (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. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. Equity Method Investees In February 2017, New Residential completed a co-investment, through a newly formed entity, PF LoanCo Funding LLC (“LoanCo”), to purchase up to $5.0 billion worth of newly originated consumer loans from Consumer Loan Seller over a two year term. New Residential, along with three co-investors, each acquired 25% membership interests in LoanCo. New Residential accounts for its investment in LoanCo pursuant to the equity method of accounting because it can exercise significant influence over LoanCo but the requirements for consolidation are not met. New Residential’s investment in LoanCo is recorded as Investment in Consumer Loans, Equity Method Investees. LoanCo has elected to account for its investments in consumer loans at fair value. New Residential has elected to record LoanCo’s activity on a one month lag. In addition, New Residential and the LoanCo co-investors agreed to purchase warrants to purchase up to 177.7 million shares of Series F convertible preferred stock in the Consumer Loan Seller’s parent company (“ParentCo”), which were valued at approximately $75.0 million in the aggregate as of February 2017, through a newly formed entity, PF WarrantCo Holdings, LP (“WarrantCo”). New Residential acquired a 23.57% interest in WarrantCo, the remaining interest being acquired by three co-investors. WarrantCo has agreed to purchase a pro rata portion of the warrants each time LoanCo closes on a portion of its consumer loan purchase agreement from Consumer Loan Seller. The holder of the warrants has the option to purchase an equivalent number of shares of Series F convertible preferred stock in ParentCo at a price of $0.01 per share. WarrantCo is vested in the warrants to purchase an aggregate of 96.3 million Series F convertible preferred stock in ParentCo as of August 31, 2018 , and New Residential and LoanCo co-investors are vested in the warrants to purchase an aggregate of 30.0 million Series F convertible preferred stock in ParentCo as of August 31, 2018 . The Series F convertible preferred stock holders have the right to convert such preferred stock to common stock at any time, are entitled to the number of votes equal to the number of shares of common stock into which such shares of convertible preferred stock could be converted, and will have liquidation rights in the event of liquidation. New Residential accounts for its investment in WarrantCo pursuant to the equity method of accounting because it can exercise significant influence over WarrantCo but the requirements for consolidation are not met. New Residential’s investment in WarrantCo is recorded as Investment in Consumer Loans, Equity Method Investees. WarrantCo has elected to account for its investments in warrants at fair value. New Residential has elected to record WarrantCo’s activity on a one month lag. The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: September 30, 2018 (A) December 31, 2017 Consumer loans, at fair value $ 85,424 $ 178,422 Warrants, at fair value 110,311 80,746 Other assets 56,296 46,342 Warehouse financing (49,668 ) (117,944 ) Other liabilities (8,909 ) (13,059 ) Equity $ 193,454 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 46,888 $ 42,473 New Residential’s ownership 24.2 % 24.3 % Three Months Ended Nine Months Ended 2018 (B) 2017 (B) 2018 (B) 2017 (B) Interest income $ 16,513 $ 12,276 $ 38,032 $ 25,105 Interest expense (4,364 ) (2,635 ) (10,082 ) (5,768 ) Change in fair value of consumer loans and warrants 5,676 12,475 24,750 16,030 Gain on sale of consumer loans 2,379 6,928 3,512 18,778 Other expenses (1,604 ) (1,459 ) (6,201 ) (3,039 ) Net income $ 18,600 $ 27,585 $ 50,011 $ 51,106 New Residential’s equity in net income $ 4,555 $ 6,769 $ 12,343 $ 12,649 New Residential’s ownership 24.5 % 24.5 % 24.7 % 24.8 % (A) Data as of August 31, 2018 as a result of the one month reporting lag. (B) Data for the periods ended August 31, 2018 and 2017 , respectively, as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) September 30, 2018 (C) $ 85,424 25.0 % $ 85,424 14.4 % 1.2 2.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) Data as of August 31, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 292,616 Distributions of earnings from equity method investees (6,176 ) Distributions of capital from equity method investees (305,408 ) Earnings from investments in consumer loans, equity method investees 12,343 Balance at September 30, 2018 $ 44,787 |
DERIVATIVES
DERIVATIVES | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES As of September 30, 2018 , 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, 2018 , New Residential held to-be-announced forward contract positions (“TBAs”) of $5.5 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’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 of September 30, 2018 , New Residential separately held TBAs of $4.2 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 set-off with the TBA counterparty. 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. In addition, as of September 30, 2018 , New Residential held Interest rate lock commitments (“IRLCs”) and forward loan sale and securities delivery commitments of $572.7 million and $28.4 million , respectively. IRLCs represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period and mortgage loan sale commitments represent a commitment to sell specific mortgage loans at prices which are fixed as of the forward commitment date. New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location September 30, 2018 December 31, 2017 Derivative assets Interest Rate Caps Other assets $ 8 $ 2,423 Interest Rate Lock Commitments Other assets 8,357 — Forward Loan Sale Commitments Other assets 305 — TBAs Other assets 18,542 — $ 27,212 $ 2,423 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ 2,294 $ — TBAs Accrued expenses and other liabilities — 697 $ 2,294 $ 697 (A) Net of $6.8 million of related variation margin accounts as of September 30, 2018 . As of December 31, 2017 , no variation margin accounts existed. The following table summarizes notional amounts related to derivatives: September 30, 2018 December 31, 2017 Interest Rate Caps (A) $ 162,500 $ 772,500 Interest Rate Swaps (B) 4,242,000 — Interest Rate Lock Commitments 572,654 — Forward Loan Sale Commitments 28,402 — TBAs, short position (C) 5,466,100 3,101,100 TBAs, long position (C) 4,207,800 1,014,000 (A) As of September 30, 2018 , caps LIBOR at 4.00% for $162.5 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2018 was 4 months. (B) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2018 was 50 months and the weighted average fixed pay rate was 2.93% . (C) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes all income (losses) recorded in relation to derivatives: For the For the 2018 2017 2018 2017 Other income (loss), net (A) Interest Rate Caps $ (2 ) $ (1,083 ) $ 436 $ (1,353 ) Interest Rate Swaps 18,785 5,300 19,668 349 Unrealized gains(losses) on Interest Rate Lock Commitments (2,247 ) — (2,247 ) — Forward Loan Sale Commitments (17 ) — (17 ) — TBAs $ 7,780 $ (657 ) $ 10,145 $ 880 24,299 3,560 27,985 (124 ) Gain (loss) on settlement of investments, net Interest Rate Caps — 322 (603 ) (240 ) Interest Rate Swaps (656 ) (2,499 ) 37,287 (12,097 ) TBAs (B) 20,115 (16,579 ) 39,408 (45,989 ) 19,459 (18,756 ) 76,092 (58,326 ) Total income (losses) $ 43,758 $ (15,196 ) $ 104,077 $ (58,450 ) (A) Represents unrealized gains (losses). (B) Excludes $2.8 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8). |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table presents certain information regarding New Residential’s debt obligations: September 30, 2018 December 31, 2017 Collateral Debt Obligations/Collateral 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) $ 4,152,930 $ 4,152,930 Oct-18 2.24 % 0.1 $ 4,270,689 $ 4,338,416 $ 4,304,875 2.0 $ 1,974,164 Non-Agency RMBS (E) 7,438,875 7,438,647 Oct-18 to Mar-19 3.32 % 0.1 15,895,795 8,379,793 8,861,324 7.1 4,720,290 Residential Mortgage Loans (F) 2,707,458 2,706,521 Oct-18 to Aug-20 3.92 % 0.5 3,155,945 2,992,424 2,996,601 11.2 1,849,004 Real Estate Owned (G)(H) 88,960 88,922 Oct-18 to Dec-19 4.36 % 0.2 N/A N/A 108,684 N/A 118,681 Total Repurchase Agreements 14,388,223 14,387,020 3.13 % 0.2 8,662,139 Notes and Bonds Payable Excess MSRs (I) 297,759 297,563 Feb-20 to Jul-22 4.90 % 3.0 144,869,048 386,578 492,684 5.7 483,978 MSRs (J) 2,450,580 2,441,750 Feb-19 to Jul-24 4.24 % 3.2 382,479,510 3,741,451 4,553,076 6.7 1,157,179 Servicer Advances (K) 3,390,918 3,385,842 Mar-19 to Dec-21 3.54 % 2.0 3,832,948 4,000,262 4,017,057 1.4 4,060,156 Residential Mortgage Loans (L) 125,355 123,097 Oct-18 to Jul-43 3.74 % 6.3 132,091 128,702 125,928 6.4 137,196 Consumer Loans (M) 1,008,341 1,004,608 Dec-21 to Mar-24 3.39 % 2.9 1,141,907 1,145,026 1,140,618 3.5 1,242,756 Receivable from government agency (L) 2,086 2,086 Oct-18 4.42 % 0.1 N/A N/A 1,461 N/A 3,126 Total Notes and Bonds Payable 7,275,039 7,254,946 3.82 % 2.6 7,084,391 Total/ Weighted Average $ 21,663,262 $ 21,641,966 3.36 % 1.0 $ 15,746,530 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through October 30, 2018 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $27.6 million of associated accrued interest payable as of September 30, 2018 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $3.4 billion of related trade and other receivables. (E) $7,193.3 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $245.6 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements of $166.1 million on retained servicer advance and consumer loan 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) Includes $197.8 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% , and includes corporate loans with $100.0 million balance currently outstanding which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes. (J) Includes: $574.5 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.25% ; $38.4 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% ; and $1,837.7 million of public notes with fixed interest rates ranging from 3.55% to 4.62% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes. (K) $3.0 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 equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.0% to 2.2% . Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM. (L) Represents: (i) a $7.7 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88% . (M) Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $730.3 million UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024. Also includes a $30.6 million face amount note which bears interest equal to 4.00% . As of September 30, 2018 , New Residential had no outstanding repurchase agreements where the amount at risk with any individual counterparty or group of related counterparties exceeded 10% of New Residential’s stockholders' equity. The amount at risk under repurchase agreements is defined as the excess of carrying amount (or market value, if higher than the carrying amount) of the securities or other assets sold under agreement to repurchase, including accrued interest plus any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability (adjusted for accrued interest). General Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of New Residential. New Residential has margin exposure on $14.4 billion of repurchase agreements as of September 30, 2018 . 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 MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Total Balance at December 31, 2017 $ 483,978 $ 1,157,179 $ 4,060,156 $ 6,694,454 $ 2,108,007 $ 1,242,756 $ 15,746,530 Repurchase Agreements: Borrowings (B) — — — 59,467,769 4,668,289 — 64,136,058 Repayments — — — (54,570,418 ) (3,841,165 ) — (58,411,583 ) Capitalized deferred financing costs, net of amortization — — — (228 ) 634 — 406 Notes and Bonds Payable: Borrowings (B) 240,000 3,543,776 3,784,496 — 120,702 — 7,688,974 Repayments (426,440 ) (2,251,280 ) (4,460,114 ) — (134,941 ) (239,709 ) (7,512,484 ) Discount on borrowings, net of amortization — — 33 — — 1,187 1,220 Unrealized gain on notes, fair value — — — — (900 ) — (900 ) Capitalized deferred financing costs, net of amortization 25 (7,925 ) 1,271 — — 374 (6,255 ) Balance at September 30, 2018 $ 297,563 $ 2,441,750 $ 3,385,842 $ 11,591,577 $ 2,920,626 $ 1,004,608 $ 21,641,966 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. (B) Includes $639.0 million of borrowings associated with the Shellpoint Acquisition. Maturities New Residential’s debt obligations as of September 30, 2018 had contractual maturities as follows: Year Nonrecourse Recourse Total October 1 through December 31, 2018 $ — $ 12,480,602 $ 12,480,602 2019 826,188 2,472,426 3,298,614 2020 812,745 115,465 928,210 2021 1,784,596 784,589 2,569,185 2022 38,378 197,759 236,137 2023 and thereafter 1,097,462 1,053,052 2,150,514 $ 4,559,369 $ 17,103,893 $ 21,663,262 Borrowing Capacity The following table represents New Residential’s borrowing capacity as of September 30, 2018 : Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential mortgage loans and REO $ 5,197,961 $ 2,796,418 $ 2,401,543 Notes and Bonds Payable Excess MSRs 150,000 100,000 50,000 MSRs 990,000 612,899 377,101 Servicer advances (A) 1,710,000 1,377,259 332,741 Consumer loans 150,000 30,607 119,393 $ 8,197,961 $ 4,917,183 $ 3,280,778 (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 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of $86.3 million . Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in New Residential’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. New Residential was in compliance with all of its debt covenants as of September 30, 2018 . |
FAIR VALUE MEASUREMENT
FAIR VALUE MEASUREMENT | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENT | FAIR VALUE MEASUREMENT The carrying values and fair values of New Residential’s 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, 2018 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) $ 112,054,333 $ 467,061 $ — $ — $ 467,061 $ 467,061 Excess mortgage servicing rights, equity method investees, at fair value (A) 44,239,405 154,939 — — 154,939 154,939 Mortgage servicing rights, at fair value (A) 246,949,863 2,872,004 — — 2,872,004 2,872,004 Mortgage servicing rights financing receivables, at fair value 135,529,647 1,681,072 — — — 1,681,072 1,681,072 Servicer advance investments, at fair value 637,102 799,936 — — 799,936 799,936 Real estate and other securities, available-for-sale 20,633,278 11,650,257 — 2,673,863 8,976,394 11,650,257 Residential mortgage loans, held-for-investment 629,017 652,717 — — 652,529 652,529 Residential mortgage loans, held-for-sale 2,091,784 1,996,303 — — 2,037,078 2,037,078 Residential mortgage loans, held-for-sale, at fair value 514,516 524,863 — 468,824 56,038 524,862 Residential mortgage loans, held-for-investment, at fair value 124,079 123,606 — — 123,606 123,606 Residential mortgage loans subject to repurchase 110,181 110,181 — 110,181 — 110,181 Consumer loans, held-for-investment 1,142,058 1,140,769 — — 1,128,410 1,128,410 Derivative assets 10,437,456 27,212 — 18,854 8,357 27,211 Cash and cash equivalents 330,148 330,148 330,148 — — 330,148 Restricted cash 155,749 155,749 155,749 — — 155,749 Other assets 33,642 23,876 — 9,766 33,642 $ 22,720,459 $ 509,773 $ 3,271,722 $ 18,967,190 $ 22,748,685 Liabilities Repurchase agreements $ 14,388,223 $ 14,387,020 $ — $ 14,388,223 $ — $ 14,388,223 Notes and bonds payable (B) 7,275,039 7,254,946 — — 7,240,544 7,240,544 Residential mortgage loans repurchase liability 110,181 110,181 — 110,181 — 110,181 Derivative liabilities 4,242,000 2,294 — 2,294 — 2,294 Excess spread financing 3,608,770 44,374 — — 44,374 44,374 Contingent consideration N/A 42,770 — — 42,770 42,770 $ 21,841,585 $ — $ 14,500,698 $ 7,327,688 $ 21,828,386 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Includes the SAFT 2013-1 mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $117.5 million as of September 30, 2018 . New Residential’s 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) MSRs (A) Mortgage Servicing Rights Financing Receivable (A) Servicer Advance Investments Non-Agency RMBS Derivatives Residential Mortgage Loans Agency Non-Agency Total Balance at December 31, 2017 $ 324,636 $ 849,077 $ 171,765 $ 1,735,504 $ 598,728 $ 4,027,379 $ 5,974,789 $ — $ — $ 13,681,878 Transfers (C) Transfers from Level 3 — — — — — — — — — — Transfers to Level 3 — — — — — — — — — — Shellpoint Acquisition (Note 1) — — — 286,600 (135,288 ) — — 10,604 156,823 318,739 Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — — — (18,113 ) — — (18,113 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (14,738 ) (40,973 ) — — — — — — — (55,711 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — 5,624 — — — — — — 5,624 Included in servicing revenue, net (E) — — — 31,252 — — — — — 31,252 Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — 63,628 — — — — 63,628 Included in change in fair value of servicer advance investments — — — — — (86,581 ) — — — (86,581 ) Included in gain (loss) on settlement of investments, net — 40,417 — — — 72,585 (994 ) — — 112,008 Included in other income (loss), net (D) 4,401 200 — — — — 12,001 (2,247 ) (692 ) 13,663 Gains (losses) included in other comprehensive income (F) — — — — — — 97,538 — — 97,538 Interest income 16,954 15,417 — — — 43,122 239,036 — — 314,529 Purchases, sales and repayments Purchases — — — 801,366 138,993 1,817,581 3,475,138 — 36,520 6,269,598 Proceeds from sales (12,380 ) — — — (2,982 ) (81,325 ) — (19,900 ) (116,587 ) Proceeds from repayments (45,020 ) (32,363 ) (22,450 ) — — (1,871,312 ) (721,676 ) — (3,236 ) (2,696,057 ) Other — — — 17,282 — — — — — 17,282 New Ocwen Agreements (Note 5) — (638,567 ) — — 1,017,993 (3,202,838 ) — — — (2,823,412 ) Balance at September 30, 2018 $ 273,853 $ 193,208 $ 154,939 $ 2,872,004 $ 1,681,072 $ 799,936 $ 8,976,394 $ 8,357 $ 169,515 $ 15,129,278 (A) Includes the recapture agreement for each respective pool, as applicable. (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 the 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) The components of Servicing revenue, net are disclosed in Note 5. (F) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. New Residential’s liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Mortgage-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2017 $ — $ — $ — $ — Transfers (A) Transfers from Level 3 — — — — Transfers to Level 3 — — — — Shellpoint Acquisition (Note 1) 48,262 120,702 42,770 211,734 Gains (losses) included in net income Included in other-than-temporary impairment on securities (B) — — — — Included in change in fair value of investments in excess mortgage servicing rights — — — — Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (B) — — — — Included in servicing revenue, net (C) (3,888 ) — — (3,888 ) Included in change in fair value of investments in notes receivable - rights to MSRs — — — — Included in change in fair value of servicer advance investments — — — — Included in gain (loss) on settlement of investments, net — — — — Included in other income (B) — (900 ) — (900 ) Gains (losses) included in other comprehensive income, net of tax (D) — — — — Interest income — — — — Purchases, sales and repayments Purchases — — — — Proceeds from sales — — — — Proceeds from repayments — (2,332 ) — (2,332 ) Other — — — — Ocwen Transaction — — — — Balance at September 30, 2018 $ 44,374 $ 117,470 $ 42,770 $ 204,614 (A) Transfers are assumed to occur at the beginning of the respective period. (B) 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. (C) The components of Servicing revenue, net are disclosed in Note 5. (D) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. Investments in Excess MSRs, Excess MSRs Equity Method Investees, MSRs and MSR Financing Receivables Valuation The following table summarizes certain information regarding the weighted average inputs used as of September 30, 2018 : Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 9.7 % 2.6 % 26.1 % 21 22 Recaptured Pools 7.4 % 2.2 % 23.8 % 22 24 Recapture Agreement 7.2 % 2.2 % 24.6 % 22 — 8.8 % 2.5 % 25.4 % 21 23 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 10.6 % N/A 15.4 % 15 24 Recaptured Pools 9.1 % N/A 20.2 % 23 24 Recapture Agreement 9.1 % N/A 20.1 % 20 — 10.3 % N/A 16.3 % 16 24 Total/Weighted Average--Excess MSRs Directly Held 9.4 % 2.5 % 21.6 % 19 23 Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 10.8 % 4.0 % 28.8 % 19 21 Recaptured Pools 7.7 % 2.6 % 29.2 % 23 23 Recapture Agreement 7.8 % 2.7 % 30.5 % 23 — Total/Weighted Average--Excess MSRs Held through Investees 9.2 % 3.3 % 29.2 % 21 22 Total/Weighted Average--Excess MSRs All Pools 9.3 % 2.8 % 24.5 % 20 23 MSRs Agency Mortgage Servicing Rights (H) (I) 8.9 % 1.2 % 22.9 % 26 22 Mortgage Servicing Rights Financing Receivables 9.2 % 1.1 % 14.3 % 27 20 Non-Agency Mortgage Servicing Rights 14.0 % 0.9 % 10.0 % 26 26 Mortgage Servicing Rights Financing Receivables 8.4 % 15.1 % 5.0 % 45 26 Ginnie Mae Mortgage Servicing Rights (I) 10.4 % 3.6 % 23.6 % 34 27 (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 residential 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 or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $7.40 per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.52 per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $10.02 per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential 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. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. (I) Includes valuation of the related Excess spread financing (Note 5). With respect to valuing the Ocwen-serviced mortgage servicing rights financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be LIBOR plus 0.9% . As of September 30, 2018 , a weighted average discount rate of 8.8% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). As of September 30, 2018 , a weighted average discount rate of 8.7% was used to value New Residential’s investments in MSRs and a weighted average discount rate of 10.3% was used to value New Residential’s investments in MSR financing receivables. Servicer Advance Investments Valuation The following table summarizes certain information regarding the inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: 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, 2018 1.5 % 11.1 % 18.2 % 19.6 bps 5.9 % 23.2 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 9.3 bps which represents the amount New Residential paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. Real Estate and Other Securities Valuation As of September 30, 2018 , 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 $ 2,653,034 $ 2,678,375 $ 2,673,863 $ — $ 2,673,863 2 Non-Agency RMBS (C) 17,980,244 8,491,714 8,957,869 18,525 8,976,394 3 Total $ 20,633,278 $ 11,170,089 $ 11,631,732 $ 18,525 $ 11,650,257 (A) New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. 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, for non-agency RMBS, 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 61.8% of New Residential’s 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 $ 5,550,819 2.66% to 30.00% 0.25% to 21.4% 0.25% to 9.00% 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 $7.3 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. Residential Mortgage Loans Valuation New Residential, through its wholly owned subsidiary, New Penn, originates mortgage loans that it intends to sell into Fannie Mae, Freddie Mac, and Ginnie Mae mortgage backed securitizations. Residential mortgage loans held-for-sale, at fair value are typically pooled together and sold into certain exit markets, depending upon underlying attributes of the loan, such as agency eligibility, product type, interest rate, and credit quality. Residential mortgage loans held-for-sale, at fair value are valued using a market approach by utilizing either: (i) the fair value of securities backed by similar mortgage loans, adjusted for certain factors to approximate the fair value of a whole mortgage loan, (ii) current commitments to purchase loans or (iii) recent observable market trades for similar loans, adjusted for credit risk and other individual loan characteristics. As these prices are derived from market observable inputs, New Residential classifies these valuations as Level 2 in the fair value hierarchy. Residential mortgage loans held-for-sale, at fair value also includes certain nonconforming mortgage loans originated for sale to private investors, which are valued using internal pricing models to forecast loan level cash flows based on a potential securitization exit using inputs such as default rates, prepayments speeds and discount rates. As the internal pricing model is based on certain unobservable inputs, New Residential classifies these valuations as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential Mortgage Loans Held-for-Sale, at Fair Value $ 524,862 3.75% to 4.00% 10.00% to 15.00% 0.00% to 4.0% 0.0% to 50.0% Residential mortgage loans held-for-investment, at fair value includes mortgage loans underlying the SAFT 2013-1 securitization, which are valued using internal pricing models using inputs such as default rates, prepayment speeds and discount rates. As the internal pricing model is based on certain unobservable inputs, New Residential classifies these valuations as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential Mortgage Loans Held-for-Investment, at Fair Value $ 123,606 4.00% 10.0% 0.2% 20.0% 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 classified as Level 2 in the fair value hierarchy. As a part of the mortgage loan origination business, New Residential enters into forward loan sale and securities delivery commitments, which are valued based on observed market pricing for similar instruments and therefore, are classified as Level 2. In addition, New Residential enters into IRLCs, which are valued using internal pricing models incorporating i) market pricing for instruments with similar characteristics (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusted for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of initial servicing rights (bps) IRLCs $ 8,357 46.00% to 100% 0 to 326 Mortgage-Backed Securities Issued New Penn, a wholly owned subsidiary of New Residential, was deemed to be the primary beneficiary of the SAFT 2013-1 securitization entity and therefore, New Residential’s condensed consolidated balance sheets include the mortgage-backed securities issued by SAFT 2013-1. New Residential elected the fair value option for these financial instruments and the mortgage-backed securities issued were valued consistently with New Residential’s Non-Agency RMBS described above. The following table summarizes certain information regards the inputs used in valuing Mortgage-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage-Backed Securities Issued $ 117,470 3.50% to 5.25% 9.0% to 12.0% 0% to 0.25% 10.0% Contingent Consideration Valuation New Residential, as additional consideration for the Shellpoint Acquisition, may make up to three cash earnout payments, which will be calculated following each of the first three anniversaries of the Shellpoint Closing as a percentage of the amount by which the pre-tax income of certain of Shellpoint’s businesses exceeds certain specified thresholds, up to an aggregate maximum amount of $60.0 million (the “Shellpoint Earnout Payments”). In accordance with ASC 805, New Residential measures its contingent consideration at fair value on a recurring basis using a scenario-based method to weigh the probability of multiple outcomes to arrive at an expected payment cash flow and then discounts the expected cash flow. The inputs utilized in valuing the contingent consideration include a discount rate of 8% and the application of probability weighting of income scenarios, which are significant unobservable inputs and therefore, contingent consideration is classified as Level 3 in the fair value hierarchy. This valuation is preliminary and subject to change (Note 1). 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, 2018 , assets measured at fair value on a nonrecurring basis were $0.3 billion . The $0.3 billion of assets include approximately $227.1 million of residential mortgage loans held-for-sale and $70.5 million of REO. The fair value of New Residential’s residential mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these residential mortgage loans as of September 30, 2018 : Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 186,157 4.7 % 3.9 7.7 % 4.3 % 32.8 % Non-Performing Loans 40,985 5.3 % 2.4 2.1 % 2.8 % 30.0 % Total/Weighted Average $ 227,142 4.8 % 3.6 6.7 % 4.0 % 32.3 % (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 has been included in the Condensed Consolidated Statements of Income for the nine months ended September 30, 2018 was a reversal of net valuation allowance of approximately $8.7 million , consisting of a reversal of prior valuation allowance of $8.9 million for residential mortgage loans, offset by $0.2 million increased allowance for REO. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 9 Months Ended |
Sep. 30, 2018 | |
Equity and Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends In January 2018, New Residential issued 28.8 million shares of its common stock in a public offering at a price to the public of $17.10 per share for net proceeds of approximately $482.3 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 2.9 million shares of New Residential’s common stock at the public offering price, which had a fair value of approximately $3.8 million as of the grant date. The assumptions used in valuing the options were: a 2.58% risk-free rate, a 9.86% dividend yield, 23.16% volatility and a 10 -year term. On July 30, 2018, New Residential entered into a Distribution Agreement to sell shares of its common stock, par value $0.01 per share (the “ATM Shares”), having an aggregate offering price of up to $500.0 million , from time to time, through an “at-the-market” equity offering program (the “ATM Program”). During the three months ended September 30, 2018 , New Residential sold 0.5 million ATM Shares for an aggregate proceeds of $9.1 million . In connection with the shares sold under the ATM program, New Residential granted options to the Manager relating to 0.05 million shares of New Residential’s common stock at the offering price, which had fair value of approximately $0.1 million as of the grant date. On September 20, 2018 , New Residential’s board of directors declared a third quarter 2018 dividend of $0.50 per common share or $170.2 million . Approximately 0.5 million shares of New Residential’s common stock were held by Fortress, through its affiliates, at September 30, 2018 . Option Plan As of September 30, 2018 , New Residential’s outstanding options were summarized as follows: Held by the Manager 4,086,222 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 1,530,916 Issued to the independent directors 6,000 Total 5,623,138 The following table summarizes New Residential’s outstanding options as of September 30, 2018 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended September 30, 2018 was $17.82 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of September 30, 2018 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) Directors Various 6,000 6,000 $ 13.49 $ — Manager (C) 2016 533,334 200,000 13.70 0.8 Manager (C) 2017 2,638,804 565,459 14.50 1.9 Manager (C) 2018 2,445,000 288,798 17.11 0.2 Outstanding 5,623,138 1,060,257 (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. A portion of New Residential’s 2017 dividends was deemed to be a return of capital and the exercise prices were adjusted accordingly. (C) The Manager assigned certain of its options to its employees as follows: Date of Grant to Manager Range of Exercise Prices Total Unexercised Inception to Date 2016 $13.70 400,000 2017 $14.50 1,130,916 Total 1,530,916 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2017 outstanding options 18,502,188 Options granted 2,924,166 $ 17.13 Options exercised (15,803,216 ) $ 14.30 Options expired unexercised — September 30, 2018 outstanding options 5,623,138 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 nine months ended September 30, 2018 , based on the treasury stock method, New Residential had 1,463,258 dilutive common stock equivalents outstanding. During the nine months ended September 30, 2017 , based on the treasury stock method, New Residential had 1,845,597 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 Servicer Advance Investments (Note 6), Shelter JVs (Note 8) and Consumer Loans (Note 9). |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES Litigation – New Residential is or may become, from time to time, 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 business, financial position or results of operations. 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. 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 its experience, New Residential expects the risk of material loss to be remote. Capital Commitments — As of September 30, 2018 , New Residential had outstanding capital commitments related to investments in the following investment types (also refer to Note 5 for MSR investment commitments and to Note 18 for additional capital commitments entered into subsequent to September 30, 2018 , if any): MSRs and servicer advances — New Residential and, in some cases, third-party co-investors agreed to purchase future servicer advances related to certain Non-Agency mortgage loans. In addition, New Residential’s subsidiary, NRM, is generally obligated to fund future servicer advances related to the loans it is obligated to service. 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 Notes 5 and 6 for information on New Residential’s investments in MSRs and Servicer Advance Investments, respectively. Mortgage Origination Reserves — New Penn, a wholly owned subsidiary of New Residential, originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. The GSEs or Ginnie Mae guarantee conventional and government insured mortgage securitizations and mortgage investors issue nonconforming private label mortgage securitizations while New Penn generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, New Penn makes representations and warranties regarding certain attributes of the loans and, subsequent to the sale, if it is determined that a sold loan is in breach of these representations and warranties, New Penn generally has an obligation to cure the breach. If New Penn is unable to cure the breach, the purchaser may require New Penn to repurchase the loan. In addition, for Ginnie Mae guaranteed securitizations, New Penn holds a Ginnie Mae Buy-Back Option to repurchase delinquent loans from the securitization at its discretion. While New Penn is not obligated to repurchase the delinquent loans, New Penn generally executes its option to repurchase that will result in an economic benefit. As of September 30, 2018, New Residential’s estimated liability associated with representations and warranties and Ginnie Mae repurchases was $6.3 million and $110.2 million , respectively. See Notes 5 and 8 for information on New Residential’s Ginnie Mae Buy-Back Option and mortgage origination, respectively. Mortgage Origination Unfunded Commitments — As of September 30, 2018 , New Penn was committed to fund approximately $809.9 million of mortgage loans and had forward loan sale commitments of $33.4 million . The forward sales are expected to close during the fourth quarter of 2018. 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. Consumer Loans — The Consumer Loan Companies have invested in loans with an aggregate of $182.6 million of unfunded and available revolving credit privileges as of September 30, 2018 . However, under the terms of these loans, requests for draws may be denied and unfunded availability may be terminated at New Residential’s discretion. Leases — New Residential, through its wholly owned subsidiary, Shellpoint, has leases on office space expiring through 2025. Future commitments under non-cancelable leases are approximately $26.7 million . Environmental Costs — As a residential real estate owner, through its REO, New Residential is subject to potential environmental costs. At September 30, 2018 , 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 loan covenants (Note 11). Certain Tax-Related Covenants — If New Residential is treated as a successor to Drive Shack under applicable U.S. federal income tax rules, and if Drive Shack 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 New Residential’s spin-off from Drive Shack, Drive Shack (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 Drive Shack’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 Drive Shack’s taxable years ending on or before December 31, 2014 (unless Drive Shack obtains an opinion from a nationally recognized tax counsel or a private letter ruling from the U.S. Internal Revenue Service (“IRS”) to the effect that Drive Shack’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, 2018 | |
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. If the Management Agreement is terminated, the Manager may require New Residential to purchase from the Manager the right of the Manager to receive the Incentive Compensation. In exchange therefor, New Residential would be obligated to pay the Manager a cash purchase price equal to the amount of the Incentive Compensation that would be paid to the Manager if all of New Residential’s assets were sold for cash at their then current fair market value (taking into account, among other things, expected future performance of the underlying investments). 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. 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 (i) the equity transferred by Drive Shack Inc. (“Drive Shack”), formerly Newcastle Investment Corp., which was the sole stockholder of New Residential until the spin-off of New Residential completed on May 15, 2013, on the date of the spin-off, (ii) plus total net proceeds from stock offerings, plus certain capital contributions to subsidiaries, less capital distributions and repurchases of common stock. In addition, 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 Drive Shack 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 Drive Shack’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, 2018 December 31, 2017 Management fees $ 5,166 $ 4,734 Incentive compensation 65,169 81,373 Expense reimbursements and other 3,800 2,854 Total $ 74,135 $ 88,961 Affiliate expenses and fees were comprised of: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Management fees $ 15,464 $ 14,187 $ 46,027 $ 41,447 Incentive compensation 23,848 19,491 65,169 72,123 Expense reimbursements (A) 125 125 375 375 Total $ 39,437 $ 33,803 $ 111,571 $ 113,945 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. See Notes 4, 5, 6, 8, 11 and 14 for a discussion of transactions with Nationstar. As of September 30, 2018 , 99.2% , 25.7% and 97.0% of the UPB of the loans underlying New Residential’s investments in Excess MSRs, MSRs and Servicer Advance Investments, respectively, was serviced, subserviced or master serviced by Nationstar. As of September 30, 2018 , a total face amount of $4.3 billion of New Residential’s Non-Agency RMBS portfolio and approximately $27.6 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 $38.3 billion as of September 30, 2018 . 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 residential mortgage loans falls below a pre-determined threshold, it can effectively purchase the underlying residential mortgage loans at par, plus unreimbursed servicer advances, and repay 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, 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 2018 , New Residential accrued for MSR Fund Payments in an aggregate amount of approximately $0.2 million and has also caused an aggregate of $0.5 million of securities to be transferred to such funds in 2018 . 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 residential 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, 2018 , $878.8 million UPB of New Residential’s residential mortgage loans and $13.1 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 Note 4 regarding co-investments with Fortress-managed funds. |
RECLASSIFICATION FROM ACCUMULAT
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | 9 Months Ended |
Sep. 30, 2018 | |
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: Three Months Ended Nine Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2018 2017 2018 2017 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ 28,737 $ (7,342 ) $ 66,695 $ (29,592 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 3,889 1,509 23,190 8,736 Total reclassifications $ 32,626 $ (5,833 ) $ 89,885 $ (20,856 ) 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, 2018 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Current: Federal $ 5,691 $ 4,072 $ 6,299 $ 6,683 State and Local (263 ) 131 424 354 Total Current Income Tax Expense (Benefit) 5,428 4,203 6,723 7,037 Deferred: Federal (1,201 ) 20,977 (12,829 ) 97,053 State and Local (664 ) 7,433 149 16,963 Total Deferred Income Tax Expense (Benefit) (1,865 ) 28,410 (12,680 ) 114,016 Total Income Tax Expense (Benefit) $ 3,563 $ 32,613 $ (5,957 ) $ 121,053 New Residential intends to qualify as a REIT for each of its tax years through December 31, 2018 . 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 MSRs (Note 5), Servicer Advance Investments (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 has recorded a net deferred tax liability of approximately $3.9 million as of September 30, 2018 , primarily related to unrealized gains and discount accruals offset by net operating loss carry forwards. On December 22, 2017, the Tax Cuts and Jobs Act (the “TCJA”) was signed into law. The TCJA includes a number of significant changes to existing U.S. corporate income tax laws, most notably a reduction of the U.S. corporate income tax rate from 35 percent to 21 percent, effective January 1, 2018. New Residential measures deferred tax assets and liabilities using enacted tax rates that will apply in the years in which the temporary differences are expected to be recovered or paid. New Residential is still analyzing certain aspects of the TCJA and refining its calculations, which could potentially affect the measurement of these balances or give rise to new deferred tax amounts. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to September 30, 2018 (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. On September 20, 2018 , New Residential’s board of directors declared a third quarter 2018 dividend of $0.50 per common share or $170.2 million . On October 26, 2018, New Residential paid the third quarter dividend to stockholders of record as of October 1, 2018. |
ORGANIZATION AND BASIS OF PRE_2
ORGANIZATION AND BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
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. |
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 are 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 was effective for New Residential in the first quarter of 2018. New Residential has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, New Residential considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. In addition, NRM determined that ancillary income generated from services for mortgage loans and REO properties represent servicing fees due to a servicer, through contractual terms, that would no longer be received by a servicer if the owners of the serviced loans were to exercise their authority to shift the servicing to another servicer and, therefore, similarly fall under ASC No. 860. Finally, New Residential determined that fee income on residential mortgage loan originations is outside the scope of ASC No. 606 as it continues to be accounted for in accordance with ASC 948. As a result, the adoption of ASU No. 2014-09 did not have a material impact on the 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 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-01 did not have a material impact on the condensed consolidated financial statements. In February 2016, the FASB issued ASU No. 2016-02, Leases . The standard requires that lessees recognize a right-of-use asset and corresponding lease liability on the balance sheet for most leases. The guidance applied by a lessor under ASU No. 2016-02 is substantially similar to existing GAAP. ASU No. 2016-02 is effective for New Residential in the first quarter of 2019. Early adoption is permitted upon issuance. An entity should apply ASU No. 2016-02 by means of a modified retrospective transition method for all leases existing at, or entered into after, the date of initial application. The adoption of ASU No. 2016-02 is not expected to have a material impact on the 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 assets and available-for-sale securities, which will require the recognition of credit losses through a valuation allowance when fair value is less than amortized cost, regardless of whether the impairment is considered to be other-than-temporary. 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, which at the date of adoption is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings. 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 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-16 did not have a material impact on the condensed consolidated financial statements. In January 2017, the FASB issued ASU No. 2017-04, Simplifying the Test for Goodwill Impairment (Topic 805) . The standard simplifies the accounting for goodwill impairment for all entities by requiring impairment charges to be based on the first step in the current two-step impairment test. Under the new guidance, an impairment charge, if triggered, is calculated as the difference between a reporting unit’s carrying value and fair value, but it is limited to the carrying value of goodwill. ASU No. 2017-04 is effective for New Residential in the first quarter of 2020 and early adoption is permitted for interim or annual goodwill impairment tests performed on testing dates after January 1, 2017. The adoption of ASU No. 2017-04 is not expected to have a material impact on the condensed consolidated financial statements. In August 2018, the FASB issued ASU No. 2018-13, Fair Value Measurement (Topic 820). The standard: (i) adds incremental requirements for entities to disclose (a) the amount of total gains or losses for the period recognized in other comprehensive income that is attributable to fair value changes in assets and liabilities held as of the balance sheet date and categorized within Level 3 of the fair value hierarchy, (b) the range and weighted average used to develop significant unobservable inputs and (c) how the weighted average was calculated for fair value measurements categorized within Level 3 of the fair value hierarchy and (ii) eliminates disclosure requirements for (a) transfers between Level 1 and Level 2 and (b) valuation processes for Level 3 fair value measurements. ASU No. 2018-13 is effective for New Residential in the first quarter of 2020. The adoption of ASU No. 2018-13 is not expected to have a material impact on the condensed consolidated financial statements. |
ORGANIZATION AND BASIS OF PRE_3
ORGANIZATION AND BASIS OF PRESENTATION ORGANIZATION AND BASIS OF PRESENTATION (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Total Consideration for Shellpoint Acquisition | The total consideration is summarized as follows: Total Consideration Amount Cash Consideration $ 212.3 Earnout Payment (A) 42.8 Effective Settlement of Preexisting Relationships (B) 180.3 Total Consideration $ 435.4 (A) The range of outcomes for this contingent consideration is from $0 to $60.0 million , dependent on the performance of Shellpoint. New Residential derived a fair value of the contingent consideration payment in three years of $48.7 million inclusive of payments to Shellpoint employees of $5.9 million . Contingent payments to the long-term employee incentive plans require continuing employment and will be recognized as compensation expense within General and Administrative expenses in the post-acquisition consolidated financial statements separate from New Residential’s acquisition of assets and assumption of liabilities in the business combination. As a result, New Residential recorded contingent consideration of $42.8 million . (B) Represents the effective settlement of preexisting relationships between New Residential and Shellpoint including 1) MSR acquisitions, 2) a note payable and 3) operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s condensed consolidated statements of income. New Residential has performed a preliminary allocation of the total consideration of $435.4 million to Shellpoint’s assets and liabilities, as set forth below. The final amount and allocation of total consideration may differ from the amounts included herein to reflect new information obtained primarily relating to the valuation of contingent consideration and intangible assets that existed as of the acquisition date. Total Consideration ($ in millions) $ 435.4 Assets Cash and cash equivalents $ 84.1 Restricted cash 9.9 Residential mortgage loans, held-for-sale, at fair value 488.2 Mortgage servicing rights, at fair value (A) 286.6 Residential mortgage loans, held-for-investment, at fair value 125.3 Residential mortgage loans subject to repurchase 121.4 Intangible assets 4.3 Other assets 81.1 Total Assets Acquired $ 1,200.9 Liabilities Repurchase agreements $ 439.6 Notes and bonds payable 25.4 Mortgage-backed securities issued, at fair value 120.7 Residential mortgage loans repurchase liability 121.4 Excess spread financing, at fair value 48.3 Accrued expenses and other liabilities 50.7 Total Liabilities Assumed $ 806.1 Noncontrolling Interest $ 8.3 Net Assets $ 386.5 Goodwill $ 48.9 (A) Includes $135.3 million of Ginnie Mae MSRs where New Residential acquired the rights to the economic value of the servicing rights from Shellpoint prior to the acquisition date. |
Pro Forma Financial Information | The following table presents unaudited pro forma combined Servicing and Originations Revenue, which is comprised of 1) servicing revenue, net and 2) gain on sale of originated mortgage loans, net, and Income Before Income Taxes for the three and nine months ended September 30, 2018 and 2017 prepared as if the Shellpoint Acquisition had been consummated on January 1, 2017. Three Months Ended Nine Months Ended 2018 2017 2018 2017 Pro Forma Servicing and Originations Revenue $ 221,087 $ 141,002 $ 710,742 $ 513,076 Income Before Income Taxes 199,040 278,274 1,006,743 850,509 |
OTHER INCOME, ASSETS AND LIAB_2
OTHER INCOME, ASSETS AND LIABILITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Other Income Assets And Liabilities | |
Schedule of Gain (Loss) on Settlement of Investments | Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Gain (loss) on sale of real estate securities, net $ (28,737 ) $ 7,342 $ (66,695 ) $ 29,592 Gain (loss) on sale of acquired residential mortgage loans, net 4,065 9,029 (1,358 ) 37,967 Gain (loss) on settlement of derivatives 19,459 (18,756 ) 76,092 (58,326 ) Gain (loss) on liquidated residential mortgage loans (1,113 ) (2,152 ) (2,267 ) (7,996 ) Gain (loss) on sale of REO (4,971 ) (1,864 ) (12,114 ) (7,176 ) Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments — 11,320 113,002 11,320 Other gains (losses) (596 ) (3,366 ) (596 ) (4,131 ) $ (11,893 ) $ 1,553 $ 106,064 $ 1,250 |
Schedule of Other Income | Other income (loss), net, is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Unrealized gain (loss) on derivative instruments $ 24,299 $ 3,560 $ 27,985 $ (124 ) Unrealized gain (loss) on other ABS 7,197 189 12,001 340 Unrealized gain (loss) on residential mortgage loans, held-for-investment, at fair value 647 — 647 — Unrealized gain (loss) on notes and bonds payable 900 — 900 — Gain (loss) on transfer of loans to REO 6,119 5,179 16,609 16,791 Gain (loss) on transfer of loans to other assets (1,528 ) 66 (1,648 ) 359 Gain (loss) on Excess MSRs 987 606 5,257 1,948 Gain (loss) on Ocwen common stock (145 ) 6,987 4,655 6,987 Other income (loss) (19,390 ) (6,700 ) (27,359 ) (18,605 ) $ 19,086 $ 9,887 $ 39,047 $ 7,696 |
Schedule of Other Assets and Liabilities | Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Margin receivable, net $ 163,357 $ 53,150 Interest payable $ 38,284 $ 28,821 Other receivables 23,023 10,635 Accounts payable 109,852 73,017 Principal and interest receivable 66,283 48,373 Derivative liabilities (Note 10) 2,294 697 Receivable from government agency 20,158 41,429 Due to servicers 73,524 24,571 Call rights 290 327 MSR purchase price holdback 109,982 101,290 Derivative assets (Note 10) 27,212 2,423 Excess spread financing, at fair value 44,374 — Servicing fee receivables 76,815 60,520 Contingent Consideration 42,770 — Ginnie Mae EBO servicer advances receivable, net 934 8,916 Reserve for sales recourse 6,214 — Due from servicers 74,539 38,601 Other liabilities 34,867 10,718 Goodwill 48,921 — $ 462,161 $ 239,114 Intangible assets 4,308 — Ocwen common stock, at fair value 23,876 19,259 Prepaid expenses 13,976 7,308 Other assets 85,539 21,240 $ 629,231 $ 312,181 |
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 2018 2017 Accretion of servicer advances receivable discount and servicer advance investments $ 207,428 $ 451,824 Accretion of excess mortgage servicing rights income 32,371 75,237 Accretion of net discount on securities and loans (A) 296,961 295,753 Amortization of deferred financing costs (6,180 ) (9,525 ) Amortization of discount on notes and bonds payable (1,599 ) (1,367 ) $ 528,981 $ 811,922 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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: Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended September 30, 2018 Interest income $ 193,424 $ 138,197 $ 42,942 $ 50,961 $ — $ 425,524 Interest expense 62,994 67,117 22,374 10,321 — 162,806 Net interest income (expense) 130,430 71,080 20,568 40,640 — 262,718 Impairment — 3,889 (4,436 ) 9,907 — 9,360 Servicing revenue, net 175,355 — — — — 175,355 Gain on sale of originated mortgage loans, net 45,732 — — — — 45,732 Other income (loss) (92,243 ) 17,994 (12,729 ) 3,795 (115 ) (83,298 ) Operating expenses 132,542 63 6,436 8,467 44,599 192,107 Income (Loss) Before Income Taxes 126,732 85,122 5,839 26,061 (44,714 ) 199,040 Income tax expense (benefit) 495 — 3,100 (32 ) — 3,563 Net Income (Loss) $ 126,237 $ 85,122 $ 2,739 $ 26,093 $ (44,714 ) $ 195,477 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,086 $ — $ — $ 9,783 $ — $ 10,869 Net income (loss) attributable to common stockholders $ 125,151 $ 85,122 $ 2,739 $ 16,310 $ (44,714 ) $ 184,608 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2018 Interest income $ 579,824 $ 354,922 $ 118,019 $ 158,631 $ 1,506 $ 1,212,902 Interest expense 173,759 157,195 57,299 32,856 — 421,109 Net interest income (expense) 406,065 197,727 60,720 125,775 1,506 791,793 Impairment — 23,190 (8,683 ) 36,819 — 51,326 Servicing revenue, net 538,784 — — — — 538,784 Gain on sale of originated mortgage loans, net 45,732 — — — — 45,732 Other income (loss) 48,128 45,346 (27,219 ) 13,363 4,796 84,414 Operating expenses 235,417 1,003 25,658 26,743 130,856 419,677 Income (Loss) Before Income Taxes 803,292 218,880 16,526 75,576 (124,554 ) 989,720 Income tax expense (benefit) (6,458 ) — 289 212 — (5,957 ) Net Income (Loss) $ 809,750 $ 218,880 $ 16,237 $ 75,364 $ (124,554 ) $ 995,677 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 3,525 $ — $ — $ 28,533 $ — $ 32,058 Net income (loss) attributable to common stockholders $ 806,225 $ 218,880 $ 16,237 $ 46,831 $ (124,554 ) $ 963,619 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total September 30, 2018 Investments $ 6,722,697 $ 11,650,257 $ 2,775,145 $ 1,185,556 $ — $ 22,333,655 Cash and cash equivalents 260,353 2,841 3,764 22,050 41,140 330,148 Restricted cash 119,243 — — 36,506 — 155,749 Other assets 3,411,968 3,631,769 48,846 42,855 86,858 7,222,296 Goodwill 48,921 — — — — 48,921 Total assets $ 10,563,182 $ 15,284,867 $ 2,827,755 $ 1,286,967 $ 127,998 $ 30,090,769 Debt $ 6,824,326 $ 11,423,562 $ 2,291,314 $ 1,102,764 $ — $ 21,641,966 Other liabilities 476,430 1,839,578 33,977 10,662 251,108 2,611,755 Total liabilities 7,300,756 13,263,140 2,325,291 1,113,426 251,108 24,253,721 Total equity 3,262,426 2,021,727 502,464 173,541 (123,110 ) 5,837,048 Noncontrolling interests in equity of consolidated subsidiaries 62,480 — — 31,248 — 93,728 Total New Residential stockholders’ equity $ 3,199,946 $ 2,021,727 $ 502,464 $ 142,293 $ (123,110 ) $ 5,743,320 Investments in equity method investees $ 154,939 $ — $ — $ 44,787 $ — $ 199,726 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended September 30, 2017 Interest income $ 188,194 $ 114,181 $ 31,645 $ 63,527 $ 175 $ 397,722 Interest expense 61,418 35,211 15,487 13,162 — 125,278 Net interest income (expense) 126,776 78,970 16,158 50,365 175 272,444 Impairment — 1,509 14,099 12,601 — 28,209 Servicing revenue, net 58,014 — — — — 58,014 Gain on sale of originated mortgage loans, net — — — — — — Other income (loss) 76,745 (6,035 ) 2,653 6,796 6,986 87,145 Operating expenses 54,998 351 9,759 10,764 41,188 117,060 Income (Loss) Before Income Taxes 206,537 71,075 (5,047 ) 33,796 (34,027 ) 272,334 Income tax expense (benefit) 42,253 — (9,640 ) — — 32,613 Net Income (Loss) $ 164,284 $ 71,075 $ 4,593 $ 33,796 $ (34,027 ) $ 239,721 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,224 $ — $ — $ 12,376 $ — $ 13,600 Net income (loss) attributable to common stockholders $ 163,060 $ 71,075 $ 4,593 $ 21,420 $ (34,027 ) $ 226,121 Residential Securities and Loans Servicing and Originations Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Nine Months Ended September 30, 2017 Interest income $ 561,312 $ 321,464 $ 75,276 $ 203,631 $ 529 $ 1,162,212 Interest expense 176,678 85,663 34,655 41,668 — 338,664 Net interest income (expense) 384,634 235,801 40,621 161,963 529 823,548 Impairment — 8,736 17,342 48,039 — 74,117 Servicing revenue, net 269,467 — — — — 269,467 Gain on sale of originated mortgage loans, net — — — — — — Other income (loss) 126,114 (27,005 ) 22,491 12,712 6,986 141,298 Operating expenses 135,666 979 24,018 33,746 130,452 324,861 Income (Loss) Before Income Taxes 644,549 199,081 21,752 92,890 (122,937 ) 835,335 Income tax expense (benefit) 128,047 — (7,164 ) 170 — 121,053 Net Income (Loss) $ 516,502 $ 199,081 $ 28,916 $ 92,720 $ (122,937 ) $ 714,282 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 10,372 $ — $ — $ 34,679 $ — $ 45,051 Net income (loss) attributable to common stockholders $ 506,130 $ 199,081 $ 28,916 $ 58,041 $ (122,937 ) $ 669,231 |
INVESTMENTS IN EXCESS MORTGAG_2
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 32,357 14 — 32,371 Other income 4,601 — — 4,601 Proceeds from repayments (76,888 ) (495 ) — (77,383 ) Proceeds from sales (12,380 ) — — (12,380 ) Change in fair value (15,420 ) 126 (40,417 ) (55,711 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of September 30, 2018 $ 464,503 $ 2,558 $ — $ 467,061 (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 Advance Investments acquired from HLSS. The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 801,366 Transfer In (A) 135,288 Shellpoint Acquisition (B) (C) 151,312 Originations (D) 17,282 Amortization of servicing rights (E) (191,499 ) Change in valuation inputs and assumptions (F) 222,751 Balance as of September 30, 2018 $ 2,872,004 (A) Represents Ginnie Mae MSRs previously accounted for as Mortgage Servicing Rights Financing Receivable. (B) Represents MSRs acquired through New Residential’s acquisition of Shellpoint Partners LLC. (C) Includes $48.3 million of MSRs legally sold by New Penn treated as a secured borrowing as it did not meet the criteria for sale treatment. New Residential elected to record the excess spread financing liability at fair value pursuant to the fair value option. (D) Represents MSRs retained on the sale of originated mortgage loans. (E) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (F) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in MSRs as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 214,959,796 6.5 $ 2,068,667 $ 2,479,734 Non-Agency 2,056,930 6.8 13,391 20,555 Ginnie Mae 29,933,137 7.5 308,021 371,715 Total $ 246,949,863 6.6 $ 2,390,079 $ 2,872,004 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 8.7% was used to value New Residential’s investments in MSRs. The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made 138,993 Transfer Out (A) (135,288 ) New Ocwen Agreements 1,017,993 Proceeds from sales (2,982 ) Amortization of servicing rights (B) (154,559 ) Change in valuation inputs and assumptions (C) 218,187 Balance as of September 30, 2018 $ 1,681,072 (A) Represents Ginnie Mae MSRs owned by New Penn accounted for as Mortgage Servicing Rights as a result of the Shellpoint Acquisition. (B) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (C) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 43,997,628 6.0 $ 380,949 $ 467,613 Non-Agency 91,532,019 7.0 970,423 1,213,459 Total $ 135,529,647 6.7 $ 1,351,372 $ 1,681,072 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 10.3% was used to value New Residential’s investments in mortgage servicing rights financing receivables. |
Summary of Direct Investments in Excess MSRs | The following is a summary of New Residential’s direct investments in Excess MSRs: September 30, 2018 December 31, 2017 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 $ 55,677,339 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.6 $ 215,972 $ 242,655 $ 280,033 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 12.9 15,930 31,198 44,603 55,677,339 6.1 231,902 273,853 324,636 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 56,376,994 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 5.8 $ 140,698 $ 174,680 $ 190,696 Recapture Agreements — 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 12.7 4,983 18,528 19,814 Ocwen Serviced Pools — —% —% —% — — — 638,567 56,376,994 6.0 145,681 193,208 849,077 Total $ 112,054,333 6.1 $ 377,583 $ 467,061 $ 1,173,713 (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 related Servicer Advance Investments, including the basic fee component of the related MSR as of September 30, 2018 (Note 6) on $42.3 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Original and Recaptured Pools $ (851 ) $ (12,047 ) $ (46,540 ) $ (41,032 ) Recapture Agreements (3,893 ) (2,244 ) (9,171 ) 8,382 $ (4,744 ) $ (14,291 ) $ (55,711 ) $ (32,650 ) |
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, 2018 December 31, 2017 Excess MSR assets $ 284,957 $ 321,197 Other assets 25,607 22,333 Other liabilities (687 ) — Equity $ 309,877 $ 343,530 New Residential’s investment $ 154,939 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Nine Months Ended 2018 2017 2018 2017 Interest income $ 8,935 $ 6,969 $ 21,026 $ 20,083 Other income (loss) (2,143 ) (2,843 ) (9,778 ) (7,908 ) Expenses — (18 ) — (63 ) Net income (loss) $ 6,792 $ 4,108 $ 11,248 $ 12,112 New Residential’s investments in equity method investees changed during the nine months ended September 30, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (7,976 ) Distributions of capital from equity method investees (14,474 ) Change in fair value of investments in equity method investees 5,624 Balance at September 30, 2018 $ 154,939 The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: September 30, 2018 (A) December 31, 2017 Consumer loans, at fair value $ 85,424 $ 178,422 Warrants, at fair value 110,311 80,746 Other assets 56,296 46,342 Warehouse financing (49,668 ) (117,944 ) Other liabilities (8,909 ) (13,059 ) Equity $ 193,454 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 46,888 $ 42,473 New Residential’s ownership 24.2 % 24.3 % Three Months Ended Nine Months Ended 2018 (B) 2017 (B) 2018 (B) 2017 (B) Interest income $ 16,513 $ 12,276 $ 38,032 $ 25,105 Interest expense (4,364 ) (2,635 ) (10,082 ) (5,768 ) Change in fair value of consumer loans and warrants 5,676 12,475 24,750 16,030 Gain on sale of consumer loans 2,379 6,928 3,512 18,778 Other expenses (1,604 ) (1,459 ) (6,201 ) (3,039 ) Net income $ 18,600 $ 27,585 $ 50,011 $ 51,106 New Residential’s equity in net income $ 4,555 $ 6,769 $ 12,343 $ 12,649 New Residential’s ownership 24.5 % 24.5 % 24.7 % 24.8 % (A) Data as of August 31, 2018 as a result of the one month reporting lag. (B) Data for the periods ended August 31, 2018 and 2017 , respectively, as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) September 30, 2018 (C) $ 85,424 25.0 % $ 85,424 14.4 % 1.2 2.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) Data as of August 31, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 292,616 Distributions of earnings from equity method investees (6,176 ) Distributions of capital from equity method investees (305,408 ) Earnings from investments in consumer loans, equity method investees 12,343 Balance at September 30, 2018 $ 44,787 |
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, 2018 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 $ 44,239,405 66.7 % 50.0 % $ 189,567 $ 245,562 5.6 Recapture Agreements — 66.7 % 50.0 % 20,566 39,395 12.8 Total $ 44,239,405 $ 210,133 $ 284,957 6.3 (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 Direct Investment in Excess MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments: Aggregate Direct and Equity Method Investees Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 24.8 % 24.0 % Florida 8.0 % 8.7 % New York 6.6 % 8.5 % Texas 4.5 % 4.6 % New Jersey 3.9 % 4.1 % Maryland 3.8 % 3.7 % Illinois 3.6 % 3.5 % Georgia 3.5 % 3.1 % Virginia 3.3 % 3.0 % Arizona 2.6 % 2.5 % Washington 2.6 % 2.4 % Pennsylvania 2.5 % 2.6 % Other U.S. 30.3 % 29.3 % 100.0 % 100.0 % |
INVESTMENTS IN MORTGAGE SERVI_2
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Mortgage Servicing Rights Acquired | During the nine months ended September 30, 2018 , New Residential, through its wholly owned subsidiaries, completed the following MSR acquisitions accounted for as Mortgage Servicing Rights (in millions): Date of Acquisition Collateral Type UPB (in billions) Purchase Price January 16, 2018 Agency $ 11.5 $ 101.5 January 16, 2018 Agency 7.8 81.0 February 28, 2018 Agency 3.3 33.5 March 28, 2018 Agency & Ginnie Mae 8.1 96.6 May 1, 2018 Ginnie Mae 4.6 46.8 May 25, 2018 Agency 2.1 26.3 May 31, 2018 Agency & Ginnie Mae 6.1 79.9 June 1, 2018 Ginnie Mae 0.5 6.1 June 4, 2018 Agency 2.1 19.3 June 28, 2018 Ginnie Mae 4.7 66.5 August 31, 2018 Agency & Ginnie Mae 18.5 220.5 September 28, 2018 Agency 1.1 13.6 September 28, 2018 Agency 10.1 126.4 Various (A) Agency 3.6 34.1 Total $ 84.1 $ 952.1 (A) Represents Flow MSR acquisitions from Ditech and Shellpoint for the nine months ended September 30, 2018 . |
Fees Earned in Exchange for Servicing Financial Assets | Interest income from investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Servicing fee revenue $ 181,495 $ 38,510 $ 575,909 $ 41,185 Ancillary and other fees 39,257 4,327 109,852 4,402 Less: subservicing expense (61,454 ) (11,139 ) (192,275 ) (11,433 ) Interest income, investments in mortgage servicing rights financing receivables $ 159,298 $ 31,698 $ 493,486 $ 34,154 Change in fair value of investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Amortization of servicing rights $ (49,016 ) $ (18,883 ) $ (154,559 ) $ (20,010 ) Change in valuation inputs and assumptions (A) (39,329 ) 89,115 218,187 95,838 Change in fair value of investments in mortgage servicing rights financing receivables $ (88,345 ) $ 70,232 $ 63,628 $ 75,828 Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Servicing fee revenue $ 158,458 $ 113,741 $ 408,967 $ 299,642 Ancillary and other fees 43,638 24,641 94,699 51,811 Servicing fee revenue and fees 202,096 138,382 503,666 351,453 Amortization of servicing rights (70,933 ) (68,850 ) (191,499 ) (159,451 ) Change in valuation inputs and assumptions (A) (B) 44,192 (11,518 ) 226,617 77,465 Servicing revenue, net $ 175,355 $ 58,014 $ 538,784 $ 269,467 (A) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. (B) Includes $3.9 million of fair value adjustment to Excess spread financing for the three and nine months ended September 30, 2018 . |
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 direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 32,357 14 — 32,371 Other income 4,601 — — 4,601 Proceeds from repayments (76,888 ) (495 ) — (77,383 ) Proceeds from sales (12,380 ) — — (12,380 ) Change in fair value (15,420 ) 126 (40,417 ) (55,711 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of September 30, 2018 $ 464,503 $ 2,558 $ — $ 467,061 (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 Advance Investments acquired from HLSS. The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 801,366 Transfer In (A) 135,288 Shellpoint Acquisition (B) (C) 151,312 Originations (D) 17,282 Amortization of servicing rights (E) (191,499 ) Change in valuation inputs and assumptions (F) 222,751 Balance as of September 30, 2018 $ 2,872,004 (A) Represents Ginnie Mae MSRs previously accounted for as Mortgage Servicing Rights Financing Receivable. (B) Represents MSRs acquired through New Residential’s acquisition of Shellpoint Partners LLC. (C) Includes $48.3 million of MSRs legally sold by New Penn treated as a secured borrowing as it did not meet the criteria for sale treatment. New Residential elected to record the excess spread financing liability at fair value pursuant to the fair value option. (D) Represents MSRs retained on the sale of originated mortgage loans. (E) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (F) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in MSRs as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 214,959,796 6.5 $ 2,068,667 $ 2,479,734 Non-Agency 2,056,930 6.8 13,391 20,555 Ginnie Mae 29,933,137 7.5 308,021 371,715 Total $ 246,949,863 6.6 $ 2,390,079 $ 2,872,004 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 8.7% was used to value New Residential’s investments in MSRs. The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made 138,993 Transfer Out (A) (135,288 ) New Ocwen Agreements 1,017,993 Proceeds from sales (2,982 ) Amortization of servicing rights (B) (154,559 ) Change in valuation inputs and assumptions (C) 218,187 Balance as of September 30, 2018 $ 1,681,072 (A) Represents Ginnie Mae MSRs owned by New Penn accounted for as Mortgage Servicing Rights as a result of the Shellpoint Acquisition. (B) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. (C) Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of September 30, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 43,997,628 6.0 $ 380,949 $ 467,613 Non-Agency 91,532,019 7.0 970,423 1,213,459 Total $ 135,529,647 6.7 $ 1,351,372 $ 1,681,072 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of September 30, 2018 , a weighted average discount rate of 10.3% was used to value New Residential’s investments in mortgage servicing rights financing receivables. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs and mortgage servicing rights financing receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 20.5 % 19.0 % New York 8.1 % 6.3 % Florida 7.0 % 6.0 % Texas 5.2 % 5.7 % New Jersey 5.1 % 5.2 % Illinois 3.9 % 4.1 % Massachusetts 3.6 % 3.8 % Maryland 3.4 % 2.8 % Pennsylvania 3.2 % 3.3 % Virginia 3.2 % 3.1 % Other U.S. 36.8 % 40.7 % 100.0 % 100.0 % |
Summary of Investments in Servicer Advances | The following types of advances are included in the Servicer Advances Receivable: September 30, 2018 December 31, 2017 Principal and interest advances $ 816,290 $ 172,467 Escrow advances (taxes and insurance advances) 2,095,423 482,884 Foreclosure advances 212,206 16,017 Total (A) (B) (C) $ 3,123,919 $ 671,368 (A) Includes $189.9 million and $167.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies. (B) Includes $10.0 million and $0.0 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. (C) Net of $93.2 million and $4.2 million , respectively, in unamortized discount and accrual for advance recoveries. The following is a summary of New Residential’s Servicer Advance Investments, 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, 2018 Servicer Advance Investments $ 783,141 $ 799,936 5.9 % 5.8 % 5.9 As of December 31, 2017 Servicer Advance Investments $ 3,924,003 $ 4,027,379 6.8 % 7.3 % 5.1 (A) Carrying value represents the fair value of the Servicer Advance Investments, 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. Three Months Ended Nine Months Ended 2018 2017 2018 2017 Change in Fair Value of Servicer Advance Investments $ (5,353 ) $ 10,941 $ (86,581 ) $ 70,469 The following is additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (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, 2018 Servicer Advance Investments (D) $ 42,323,957 $ 637,102 1.5 % $ 630,422 89.3 % 88.2 % 3.7 % 3.1 % December 31, 2017 Servicer Advance Investments (D) $ 139,460,371 $ 3,581,876 2.6 % $ 3,461,718 93.2 % 92.0 % 3.3 % 3.0 % (A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (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 are included in the Servicer Advance Investments: September 30, 2018 December 31, 2017 Principal and interest advances $ 114,351 $ 909,133 Escrow advances (taxes and insurance advances) 236,799 1,636,381 Foreclosure advances 285,952 1,036,362 Total $ 637,102 $ 3,581,876 |
SERVICER ADVANCE INVESTMENTS (T
SERVICER ADVANCE INVESTMENTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, All Other Investments [Abstract] | |
Summary of Investments in Servicer Advances | The following types of advances are included in the Servicer Advances Receivable: September 30, 2018 December 31, 2017 Principal and interest advances $ 816,290 $ 172,467 Escrow advances (taxes and insurance advances) 2,095,423 482,884 Foreclosure advances 212,206 16,017 Total (A) (B) (C) $ 3,123,919 $ 671,368 (A) Includes $189.9 million and $167.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies. (B) Includes $10.0 million and $0.0 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. (C) Net of $93.2 million and $4.2 million , respectively, in unamortized discount and accrual for advance recoveries. The following is a summary of New Residential’s Servicer Advance Investments, 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, 2018 Servicer Advance Investments $ 783,141 $ 799,936 5.9 % 5.8 % 5.9 As of December 31, 2017 Servicer Advance Investments $ 3,924,003 $ 4,027,379 6.8 % 7.3 % 5.1 (A) Carrying value represents the fair value of the Servicer Advance Investments, 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. Three Months Ended Nine Months Ended 2018 2017 2018 2017 Change in Fair Value of Servicer Advance Investments $ (5,353 ) $ 10,941 $ (86,581 ) $ 70,469 The following is additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (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, 2018 Servicer Advance Investments (D) $ 42,323,957 $ 637,102 1.5 % $ 630,422 89.3 % 88.2 % 3.7 % 3.1 % December 31, 2017 Servicer Advance Investments (D) $ 139,460,371 $ 3,581,876 2.6 % $ 3,461,718 93.2 % 92.0 % 3.3 % 3.0 % (A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (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 are included in the Servicer Advance Investments: September 30, 2018 December 31, 2017 Principal and interest advances $ 114,351 $ 909,133 Escrow advances (taxes and insurance advances) 236,799 1,636,381 Foreclosure advances 285,952 1,036,362 Total $ 637,102 $ 3,581,876 |
Schedule of Interest Income Related to Investments in Servicer Advances | Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Interest income, gross of amounts attributable to servicer compensation $ 21,183 $ 83,979 $ 63,731 $ 290,933 Amounts attributable to base servicer compensation (2,347 ) (38,549 ) (6,354 ) (145,055 ) Amounts attributable to incentive servicer compensation (7,095 ) 84,724 (14,255 ) 300,788 Interest income from Servicer Advance Investments $ 11,741 $ 130,154 $ 43,122 $ 446,666 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, 2018 December 31, 2017 Assets Servicer advance investments, at fair value $ 774,851 $ 1,002,102 Cash and cash equivalents 30,073 40,929 All other assets 10,592 13,011 Total assets (A) $ 815,516 $ 1,056,042 Liabilities Notes and bonds payable $ 610,277 $ 789,979 All other liabilities 3,055 3,308 Total liabilities (A) $ 613,332 $ 793,287 (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, 2018 December 31, 2017 Total Advance Purchaser LLC equity $ 202,184 $ 262,755 Others’ ownership interest 26.8 % 27.2 % Others’ interest in equity of consolidated subsidiary $ 54,118 $ 71,491 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Net Advance Purchaser LLC income $ (299 ) $ 3,584 $ 8,667 $ 20,460 Others’ ownership interest as a percent of total (A) 27.1 % 34.2 % 27.2 % 50.7 % Others’ interest in net income of consolidated subsidiaries $ (81 ) $ 1,224 $ 2,358 $ 10,372 (A) Nine months ended September 30, 2018 reflects 27.2% for the first six months. |
INVESTMENTS IN REAL ESTATE AN_2
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Real Estate Securities | The following is a summary of New Residential’s real estate and other 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, 2018 December 31, 2017 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 Treasury $ — $ — $ — $ — $ — — N/A — % — % — N/A $ 852,734 Agency RMBS (F) (G) 2,653,034 2,678,375 705 (5,217 ) 2,673,863 31 AAA 3.95 % 3.82 % 9.8 N/A 1,243,617 Non-Agency RMBS (H) (I) 17,980,244 8,491,714 549,206 (64,526 ) 8,976,394 858 B 3.22 % 5.50 % 7.1 12.4 % 5,974,789 Total/ Weighted Average $ 20,633,278 $ 11,170,089 $ 549,911 $ (69,743 ) $ 11,650,257 889 BB+ 3.39 % 5.09 % 7.8 $ 8,071,140 (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 221 bonds with a carrying value of $431.4 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $220.0 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities. (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 $2.7 billion for fixed rate securities and $0.0 billion for floating rate securities as of September 30, 2018 . (H) The total outstanding face amount was $3.7 billion (including $1.4 billion of residual and fair value option notional amount) for fixed rate securities and $14.3 billion (including $5.9 billion of residual and fair value option notional amount) for floating rate securities as of September 30, 2018 . (I) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by MSRs and (iii) bonds backed by consumer loans. 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 Corporate debt $ 85,000 $ 85,000 $ — $ (2,550 ) $ 82,450 1 B- 8.25 % 8.25 % 6.5 N/A Consumer loan bonds 62,241 61,687 208 (6,022 ) 55,869 6 B 5.50 % 18.94 % 1.6 N/A MSR bonds 228,000 228,000 1,734 — 229,734 2 BBB- 4.95 % 4.86 % 8.8 N/A Fair Value Option Securities: Interest-only securities 5,279,031 231,257 21,605 (9,388 ) 243,478 66 AA+ 1.48 % 4.88 % 3.0 N/A Servicing Strips 996,167 8,662 1,908 (216 ) 10,354 28 N/A 0.21 % 13.83 % 6.0 N/A Activities related to New Residential’s investments in real estate and other securities were as follows: Nine Months Ended September 30, 2018 (in millions) Treasury Agency Non-Agency Purchases Face $ — $ 7,153.6 $ 6,866.9 Purchase Price — 7,226.4 3,475.1 Sales Face $ 862.0 $ 5,626.7 $ 105.1 Amortized Cost 858.0 5,710.4 82.3 Sale Price 849.8 5,652.1 81.3 Gain (Loss) on Sale (8.2 ) (58.3 ) (1.0 ) |
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, 2018 . 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 $ 4,844,162 $ 3,096,895 $ (3,530 ) $ 3,093,365 $ (44,043 ) $ 3,049,322 224 BB+ 3.44 % 4.58 % 7.7 12 or More Months 1,230,875 457,146 (359 ) 456,787 (25,700 ) 431,087 77 BB- 1.80 % 6.42 % 6.0 Total/Weighted Average $ 6,075,037 $ 3,554,041 $ (3,889 ) $ 3,550,152 $ (69,743 ) $ 3,480,409 301 BB+ 3.23 % 4.81 % 7.5 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2018 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 65 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 14 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, 2018 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 1,013,029 1,036,994 (3,889 ) (23,965 ) Non-credit impaired securities 2,467,380 2,513,158 — (45,778 ) Total debt securities in an unrealized loss position $ 3,480,409 $ 3,550,152 $ (3,889 ) $ (69,743 ) (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, 2018 . (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, 2018 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 23,821 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 14,090 Additions for credit losses on securities for which an OTTI was not previously recognized 9,100 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 (846 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 46,165 |
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, 2018 December 31, 2017 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 6,439,635 36.1 % $ 4,882,136 38.4 % Southeastern U.S. 4,231,388 23.7 % 3,005,519 23.6 % Northeastern U.S. 3,515,723 19.7 % 2,555,514 20.1 % Midwestern U.S. 1,958,309 11.0 % 1,337,980 10.5 % Southwestern U.S. 1,242,546 7.0 % 927,647 7.3 % Other (B) 445,402 2.5 % 18,871 0.1 % $ 17,833,003 100.0 % $ 12,727,667 100.0 % (A) Excludes $62.2 million and $29.7 million face amount of bonds backed by consumer loans and $85.0 million and $0.0 million face amount of bonds backed by corporate debt as of September 30, 2018 and December 31, 2017 , respectively. (B) Represents collateral for which New Residential was unable to obtain geographic information. |
Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible | The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and fair value option securities: Outstanding Face Amount Carrying Value September 30, 2018 $ 6,368,757 $ 4,234,978 December 31, 2017 5,364,847 3,493,723 |
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, 2018 Balance at December 31, 2017 $ 2,000,266 Additions 306,298 Accretion (181,610 ) Reclassifications from (to) non-accretable difference 146,240 Disposals (3,277 ) Balance at September 30, 2018 $ 2,267,917 |
INVESTMENTS IN RESIDENTIAL MO_2
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 December 31, 2017 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 Performing Loans (G) (J) $ 665,939 $ 620,303 8,968 7.3 % 5.0 16.8 % 79.4 % 7.1 % 672 $ 507,615 Purchased Credit Deteriorated Loans (H) 211,564 156,020 1,828 7.7 % 3.1 15.9 % 85.6 % 75.5 % 595 183,540 Total Residential Mortgage Loans, held-for-investment $ 877,503 $ 776,323 10,796 7.4 % 4.5 16.6 % 80.9 % 23.6 % 653 $ 691,155 Reverse Mortgage Loans (E) (F) $ 15,271 $ 6,813 41 7.9 % 4.9 10.1 % 135.1 % 70.0 % N/A $ 6,870 Performing Loans (G) (I) 1,558,201 1,582,174 13,155 4.1 % 4.3 55.6 % 62.0 % 3.9 % 713 1,071,371 Non-Performing Loans (H) (I) 518,317 407,316 4,605 6.0 % 2.9 17.9 % 89.7 % 73.2 % 589 647,293 Total Residential Mortgage Loans, held-for-sale $ 2,091,789 $ 1,996,303 17,801 4.6 % 3.9 45.9 % 69.4 % 21.6 % 682 $ 1,725,534 Originated Loans 514,516 524,863 1,948 4.9 % 28.8 96.0 % 80.9 % 4.0 % 717 — Total Residential Mortgage Loans, held-for-sale, at fair value (K) $ 514,516 $ 524,863 1,948 4.9 % 28.8 96.0 % 80.9 % 4.0 % 717 $ — (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 is 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. Nationstar holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.5 million . Approximately 52% 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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (H) 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, 2018 , New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below. (I) Includes $25.7 million and $56.5 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. (J) Includes $124.4 million UPB of non-agency mortgage loans underlying the SAFT 2013-1 securitization, which are carried at fair value based on New Residential’s election of the fair value option. Interest earned on loans measured at fair value are reported in other income. (K) New Residential elected the fair value option to measure these loans at fair value on a recurring basis. Interest earned on loans measured at fair value are reported in other income. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration September 30, 2018 December 31, 2017 California 19.3 % 9.1 % New York 12.0 % 12.8 % Florida 6.3 % 8.2 % Texas 5.6 % 6.6 % New Jersey 5.2 % 5.2 % Illinois 3.2 % 3.9 % Pennsylvania 2.9 % 3.4 % Massachusetts 2.8 % 2.7 % Maryland 2.4 % 2.7 % Washington 1.7 % 1.7 % Other U.S. 38.6 % 43.7 % 100.0 % 100.0 % |
Schedule of Residential Mortgage Loan Transactions | The following table summarizes these transactions (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) Date of Securitization UPB Gain (Loss) Basis Loan UPB Loan Price REO & Other Price January 2018 — $ — $ — $ — $ — $ — Jan 2018 $ 726.5 $ (17.8 ) $ 76.8 $ 265.3 $ 239.0 $ 14.4 January 2018 7 0.4 0.2 32.5 32.8 0.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) March 2018 25 85.9 75.4 458.8 461.4 4.1 May 2018 435.3 (6.7 ) 52.9 56.0 46.8 4.6 April 2018 8 5.8 4.8 218.8 222.3 2.0 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) May 2018 12 6.7 4.7 475.6 473.5 3.2 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) June 2018 12 32.3 19.4 409.0 400.6 3.6 August 2018 658.5 (12.4 ) 535.8 521.8 499.1 8.7 August 2018 6 9.6 6.7 145.5 142.8 0.9 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) September 2018 4 14.7 9.1 104.8 105.2 2.0 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. (B) Price includes par amount paid for all underlying residential 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 loans from the fourth quarter of 2017 calls were securitized in January 2018. The May 2018 securitization primarily included loans from the January 2018 and March 2018 calls, but also included $33.5 million of previously acquired loans. |
Past Due Financing Receivable | The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: September 30, 2018 Days Past Due Delinquency Status (A) Current 83.9 % 30-59 7.0 % 60-89 2.2 % 90-119 (B) 1.1 % 120+ (C) 5.8 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual 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, 2018 Days Past Due Delinquency Status (A) Current 94.7 % 30-59 2.0 % 60-89 1.3 % 90-119 (B) 0.8 % 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. |
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 residential mortgage loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 507,615 Shellpoint acquisition 125,350 Purchases/additional fundings 55,993 Proceeds from repayments (77,646 ) Accretion of loan discount (premium) and other amortization (A) 12,964 Provision for loan losses (604 ) Transfer of loans to other assets (B) — Transfer of loans to real estate owned (2,768 ) Transfers of loans to held for sale (1,248 ) Fair value adjustment 647 Balance at September 30, 2018 $ 620,303 (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 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). Activities related to the carrying value of PCD loans held-for-investment were as follows: Balance at December 31, 2017 $ 183,540 Purchases/additional fundings 29,785 Sales — Proceeds from repayments (30,261 ) Accretion of loan discount and other amortization 18,282 (Allowance) reversal for loan losses (A) — Transfer of loans to real estate owned (20,215 ) Transfer of loans to held-for-sale (25,111 ) Balance at September 30, 2018 $ 156,020 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. |
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: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 604 Charge-offs (B) (800 ) Balance at September 30, 2018 $ — (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. 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 December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 36,860 (264 ) 36,596 Net charge-offs (C) (38,293 ) — (38,293 ) Balance at September 30, 2018 $ 2,996 $ 1,412 $ 4,408 (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. (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, 2018 , there are $14.4 million in UPB and $13.4 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 $6.8 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, 2018 $ 211,564 $ 156,020 December 31, 2017 249,254 183,540 |
Summary of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 88,631 Additions 16,523 Accretion (18,282 ) Reclassifications from (to) non-accretable difference (A) (3,414 ) Disposals (B) (5,235 ) Transfer of loans to held-for-sale (C) (8,437 ) Balance at September 30, 2018 $ 69,786 (A) Represents a probable and significant increase (decrease) 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: Balance at December 31, 2017 $ 1,725,534 Purchases (A) 3,295,432 Transfer of loans from held-for-investment (B) 26,359 Sales (2,858,074 ) Transfer of loans to other assets (C) (6,254 ) Transfer of loans to real estate owned (44,252 ) Proceeds from repayments (151,942 ) Valuation (provision) reversal on loans (D) 9,500 Balance at September 30, 2018 $ 1,996,303 (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 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 an aggregate of $14.0 million of provision related to the call transactions executed during the nine months ended September 30, 2018 . |
Schedule of Loans Held For Sale, Fair Value | Activities related to the carrying value of loans held-for-sale, at fair value were as follows: Balance at December 31, 2017 $ — Shellpoint acquisition 488,233 Originations 1,678,606 Sales (1,635,220 ) Proceeds from repayments (3,747 ) Change in fair value (3,009 ) Balance at September 30, 2018 $ 524,863 |
Schedule of Originated Mortgage Loans | Gain on sale of originated mortgage loans, net is summarized below: Gain on loans originated and sold (A) $ 24,684 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) (2,757 ) MSRs retained on transfer of loans (C) 17,282 Other (D) 6,523 Gain on sale of originated mortgage loans, net $ 45,732 (A) Includes loan origination fees and direct loan origination costs. Other indirect costs related to loan origination are included within general and administrative expenses. (B) Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments. (C) Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained. (D) Includes fees for services associated with the loan origination process. |
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, 2017 $ 128,295 Purchases 26,807 Transfer of loans to real estate owned 83,844 Sales (123,573 ) Valuation (provision) reversal on REO (213 ) Balance at September 30, 2018 $ 115,160 |
Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities | The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of September 30, 2018 : Residential mortgage loan UPB $ 6,878,247 Weighted average delinquency (A) 1.88 % Net credit losses for the nine months ended September 30, 2018 $ 6,486 Face amount of debt held by third parties (B) $ 956,125 Carrying value of bonds retained by New Residential (C) $ 1,230,214 Cash flows received by New Residential on these bonds for the nine months ended September 30, 2018 $ 113,325 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. The following table presents information on the assets and liabilities of the Shelter JVs. September 30, 2018 Assets Cash and cash equivalents $ 17,421 Property and equipment, net 157 Intangible assets, net 74 Prepaid expenses and other assets 1,309 Total assets $ 18,961 Liabilities Accounts payable and accrued expenses $ 1,514 Reserve for sales recourse 921 Total liabilities $ 2,435 Noncontrolling Interests Noncontrolling interests in the equity of the Shelter JVs is computed as follows: September 30, 2018 Total consolidated equity of JVs $ 16,526 Noncontrolling ownership interest 50.6 % Noncontrolling equity interest in consolidated JVs $ 8,362 Total consolidated net income of JVs $ 2,306 Noncontrolling ownership interest in net income 50.6 % Noncontrolling interest in net income of consolidated JVs $ 1,167 The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of September 30, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,097,512 $ 1,289,010 Restricted cash 10,479 11,563 Accrued interest receivable 16,351 19,360 Total assets (A) $ 1,124,342 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,088,954 $ 1,284,436 Accounts payable and accrued expenses 4,144 4,007 Total liabilities (A) $ 1,093,098 $ 1,288,443 (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. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. |
INVESTMENTS IN CONSUMER LOANS (
INVESTMENTS IN CONSUMER LOANS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) September 30, 2018 Consumer Loan Companies Performing Loans $ 858,817 53.5 % $ 901,166 18.8 % 3.7 5.2 % Purchased Credit Deteriorated Loans (C) 236,988 53.5 % 196,346 16.0 % 3.4 11.3 % Other - Performing Loans 46,253 100.0 % 43,257 14.1 % 0.8 5.8 % Total Consumer Loans, held-for-investment $ 1,142,058 $ 1,140,769 18.0 % 3.5 6.5 % December 31, 2017 Consumer Loan Companies Performing Loans $ 1,005,570 53.5 % $ 1,052,561 18.7 % 3.7 6.0 % Purchased Credit Deteriorated Loans (C) 282,540 53.5 % 236,449 16.2 % 3.3 12.5 % Other - Performing Loans 89,682 100.0 % 85,253 14.1 % 1.0 4.5 % Total Consumer Loans, held-for-investment $ 1,377,792 $ 1,374,263 17.9 % 3.5 7.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) 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. |
Past Due Financing Receivable | The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: September 30, 2018 Days Past Due Delinquency Status (A) Current 83.9 % 30-59 7.0 % 60-89 2.2 % 90-119 (B) 1.1 % 120+ (C) 5.8 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual 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, 2018 Days Past Due Delinquency Status (A) Current 94.7 % 30-59 2.0 % 60-89 1.3 % 90-119 (B) 0.8 % 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, 2017 $ 1,137,814 Purchases — Additional fundings (A) 45,017 Proceeds from repayments (196,589 ) Accretion of loan discount and premium amortization, net 1,596 Gross charge-offs (45,112 ) Additions to the allowance for loan losses, net 1,697 Balance at September 30, 2018 $ 944,423 (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: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 604 Charge-offs (B) (800 ) Balance at September 30, 2018 $ — (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. 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 December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 36,860 (264 ) 36,596 Net charge-offs (C) (38,293 ) — (38,293 ) Balance at September 30, 2018 $ 2,996 $ 1,412 $ 4,408 (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. (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, 2018 , there are $14.4 million in UPB and $13.4 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 $6.8 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, 2017 $ 236,449 (Allowance) reversal for loan losses (A) — Proceeds from repayments (68,221 ) Accretion of loan discount and other amortization 28,118 Balance at September 30, 2018 $ 196,346 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. |
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, 2018 $ 236,988 $ 196,346 December 31, 2017 282,540 236,449 |
Schedule of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 132,291 Accretion (28,118 ) Reclassifications from (to) non-accretable difference (A) 28,474 Balance at September 30, 2018 $ 132,647 (A) Represents a probable and significant increase (decrease) 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: September 30, 2018 December 31, 2017 Total Consumer Loan Companies equity $ 67,200 $ 74,071 Others’ ownership interest 46.5 % 46.5 % Others’ interests in equity of consolidated subsidiary $ 31,248 $ 34,466 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Net Consumer Loan Companies income (loss) $ 21,038 $ 26,616 $ 61,359 $ 74,580 Others’ ownership interest as a percent of total 46.5 % 46.5 % 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 9,783 $ 12,376 $ 28,533 $ 34,679 |
Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities | The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of September 30, 2018 : Residential mortgage loan UPB $ 6,878,247 Weighted average delinquency (A) 1.88 % Net credit losses for the nine months ended September 30, 2018 $ 6,486 Face amount of debt held by third parties (B) $ 956,125 Carrying value of bonds retained by New Residential (C) $ 1,230,214 Cash flows received by New Residential on these bonds for the nine months ended September 30, 2018 $ 113,325 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. The following table presents information on the assets and liabilities of the Shelter JVs. September 30, 2018 Assets Cash and cash equivalents $ 17,421 Property and equipment, net 157 Intangible assets, net 74 Prepaid expenses and other assets 1,309 Total assets $ 18,961 Liabilities Accounts payable and accrued expenses $ 1,514 Reserve for sales recourse 921 Total liabilities $ 2,435 Noncontrolling Interests Noncontrolling interests in the equity of the Shelter JVs is computed as follows: September 30, 2018 Total consolidated equity of JVs $ 16,526 Noncontrolling ownership interest 50.6 % Noncontrolling equity interest in consolidated JVs $ 8,362 Total consolidated net income of JVs $ 2,306 Noncontrolling ownership interest in net income 50.6 % Noncontrolling interest in net income of consolidated JVs $ 1,167 The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of September 30, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,097,512 $ 1,289,010 Restricted cash 10,479 11,563 Accrued interest receivable 16,351 19,360 Total assets (A) $ 1,124,342 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,088,954 $ 1,284,436 Accounts payable and accrued expenses 4,144 4,007 Total liabilities (A) $ 1,093,098 $ 1,288,443 (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. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. |
Equity Method Investments | 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, 2018 December 31, 2017 Excess MSR assets $ 284,957 $ 321,197 Other assets 25,607 22,333 Other liabilities (687 ) — Equity $ 309,877 $ 343,530 New Residential’s investment $ 154,939 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Nine Months Ended 2018 2017 2018 2017 Interest income $ 8,935 $ 6,969 $ 21,026 $ 20,083 Other income (loss) (2,143 ) (2,843 ) (9,778 ) (7,908 ) Expenses — (18 ) — (63 ) Net income (loss) $ 6,792 $ 4,108 $ 11,248 $ 12,112 New Residential’s investments in equity method investees changed during the nine months ended September 30, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (7,976 ) Distributions of capital from equity method investees (14,474 ) Change in fair value of investments in equity method investees 5,624 Balance at September 30, 2018 $ 154,939 The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: September 30, 2018 (A) December 31, 2017 Consumer loans, at fair value $ 85,424 $ 178,422 Warrants, at fair value 110,311 80,746 Other assets 56,296 46,342 Warehouse financing (49,668 ) (117,944 ) Other liabilities (8,909 ) (13,059 ) Equity $ 193,454 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 46,888 $ 42,473 New Residential’s ownership 24.2 % 24.3 % Three Months Ended Nine Months Ended 2018 (B) 2017 (B) 2018 (B) 2017 (B) Interest income $ 16,513 $ 12,276 $ 38,032 $ 25,105 Interest expense (4,364 ) (2,635 ) (10,082 ) (5,768 ) Change in fair value of consumer loans and warrants 5,676 12,475 24,750 16,030 Gain on sale of consumer loans 2,379 6,928 3,512 18,778 Other expenses (1,604 ) (1,459 ) (6,201 ) (3,039 ) Net income $ 18,600 $ 27,585 $ 50,011 $ 51,106 New Residential’s equity in net income $ 4,555 $ 6,769 $ 12,343 $ 12,649 New Residential’s ownership 24.5 % 24.5 % 24.7 % 24.8 % (A) Data as of August 31, 2018 as a result of the one month reporting lag. (B) Data for the periods ended August 31, 2018 and 2017 , respectively, as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) September 30, 2018 (C) $ 85,424 25.0 % $ 85,424 14.4 % 1.2 2.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) 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. (C) Data as of August 31, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 292,616 Distributions of earnings from equity method investees (6,176 ) Distributions of capital from equity method investees (305,408 ) Earnings from investments in consumer loans, equity method investees 12,343 Balance at September 30, 2018 $ 44,787 |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 December 31, 2017 Derivative assets Interest Rate Caps Other assets $ 8 $ 2,423 Interest Rate Lock Commitments Other assets 8,357 — Forward Loan Sale Commitments Other assets 305 — TBAs Other assets 18,542 — $ 27,212 $ 2,423 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ 2,294 $ — TBAs Accrued expenses and other liabilities — 697 $ 2,294 $ 697 (A) Net of $6.8 million of related variation margin accounts as of September 30, 2018 . As of December 31, 2017 , no variation margin accounts existed. The following table summarizes notional amounts related to derivatives: September 30, 2018 December 31, 2017 Interest Rate Caps (A) $ 162,500 $ 772,500 Interest Rate Swaps (B) 4,242,000 — Interest Rate Lock Commitments 572,654 — Forward Loan Sale Commitments 28,402 — TBAs, short position (C) 5,466,100 3,101,100 TBAs, long position (C) 4,207,800 1,014,000 (A) As of September 30, 2018 , caps LIBOR at 4.00% for $162.5 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2018 was 4 months. (B) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2018 was 50 months and the weighted average fixed pay rate was 2.93% . (C) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes all income (losses) recorded in relation to derivatives: For the For the 2018 2017 2018 2017 Other income (loss), net (A) Interest Rate Caps $ (2 ) $ (1,083 ) $ 436 $ (1,353 ) Interest Rate Swaps 18,785 5,300 19,668 349 Unrealized gains(losses) on Interest Rate Lock Commitments (2,247 ) — (2,247 ) — Forward Loan Sale Commitments (17 ) — (17 ) — TBAs $ 7,780 $ (657 ) $ 10,145 $ 880 24,299 3,560 27,985 (124 ) Gain (loss) on settlement of investments, net Interest Rate Caps — 322 (603 ) (240 ) Interest Rate Swaps (656 ) (2,499 ) 37,287 (12,097 ) TBAs (B) 20,115 (16,579 ) 39,408 (45,989 ) 19,459 (18,756 ) 76,092 (58,326 ) Total income (losses) $ 43,758 $ (15,196 ) $ 104,077 $ (58,450 ) (A) Represents unrealized gains (losses). (B) Excludes $2.8 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8). |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | The following table presents certain information regarding New Residential’s debt obligations: September 30, 2018 December 31, 2017 Collateral Debt Obligations/Collateral 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) $ 4,152,930 $ 4,152,930 Oct-18 2.24 % 0.1 $ 4,270,689 $ 4,338,416 $ 4,304,875 2.0 $ 1,974,164 Non-Agency RMBS (E) 7,438,875 7,438,647 Oct-18 to Mar-19 3.32 % 0.1 15,895,795 8,379,793 8,861,324 7.1 4,720,290 Residential Mortgage Loans (F) 2,707,458 2,706,521 Oct-18 to Aug-20 3.92 % 0.5 3,155,945 2,992,424 2,996,601 11.2 1,849,004 Real Estate Owned (G)(H) 88,960 88,922 Oct-18 to Dec-19 4.36 % 0.2 N/A N/A 108,684 N/A 118,681 Total Repurchase Agreements 14,388,223 14,387,020 3.13 % 0.2 8,662,139 Notes and Bonds Payable Excess MSRs (I) 297,759 297,563 Feb-20 to Jul-22 4.90 % 3.0 144,869,048 386,578 492,684 5.7 483,978 MSRs (J) 2,450,580 2,441,750 Feb-19 to Jul-24 4.24 % 3.2 382,479,510 3,741,451 4,553,076 6.7 1,157,179 Servicer Advances (K) 3,390,918 3,385,842 Mar-19 to Dec-21 3.54 % 2.0 3,832,948 4,000,262 4,017,057 1.4 4,060,156 Residential Mortgage Loans (L) 125,355 123,097 Oct-18 to Jul-43 3.74 % 6.3 132,091 128,702 125,928 6.4 137,196 Consumer Loans (M) 1,008,341 1,004,608 Dec-21 to Mar-24 3.39 % 2.9 1,141,907 1,145,026 1,140,618 3.5 1,242,756 Receivable from government agency (L) 2,086 2,086 Oct-18 4.42 % 0.1 N/A N/A 1,461 N/A 3,126 Total Notes and Bonds Payable 7,275,039 7,254,946 3.82 % 2.6 7,084,391 Total/ Weighted Average $ 21,663,262 $ 21,641,966 3.36 % 1.0 $ 15,746,530 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through October 30, 2018 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $27.6 million of associated accrued interest payable as of September 30, 2018 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $3.4 billion of related trade and other receivables. (E) $7,193.3 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $245.6 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements of $166.1 million on retained servicer advance and consumer loan 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) Includes $197.8 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% , and includes corporate loans with $100.0 million balance currently outstanding which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes. (J) Includes: $574.5 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.25% ; $38.4 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% ; and $1,837.7 million of public notes with fixed interest rates ranging from 3.55% to 4.62% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes. (K) $3.0 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 equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.0% to 2.2% . Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM. (L) Represents: (i) a $7.7 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88% . (M) Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $730.3 million UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024. Also includes a $30.6 million face amount note which bears interest equal to 4.00% . Activities related to the carrying value of New Residential’s debt obligations were as follows: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Total Balance at December 31, 2017 $ 483,978 $ 1,157,179 $ 4,060,156 $ 6,694,454 $ 2,108,007 $ 1,242,756 $ 15,746,530 Repurchase Agreements: Borrowings (B) — — — 59,467,769 4,668,289 — 64,136,058 Repayments — — — (54,570,418 ) (3,841,165 ) — (58,411,583 ) Capitalized deferred financing costs, net of amortization — — — (228 ) 634 — 406 Notes and Bonds Payable: Borrowings (B) 240,000 3,543,776 3,784,496 — 120,702 — 7,688,974 Repayments (426,440 ) (2,251,280 ) (4,460,114 ) — (134,941 ) (239,709 ) (7,512,484 ) Discount on borrowings, net of amortization — — 33 — — 1,187 1,220 Unrealized gain on notes, fair value — — — — (900 ) — (900 ) Capitalized deferred financing costs, net of amortization 25 (7,925 ) 1,271 — — 374 (6,255 ) Balance at September 30, 2018 $ 297,563 $ 2,441,750 $ 3,385,842 $ 11,591,577 $ 2,920,626 $ 1,004,608 $ 21,641,966 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. (B) Includes $639.0 million of borrowings associated with the Shellpoint Acquisition. |
Schedule of Contractual Maturities of Debt Obligations | New Residential’s debt obligations as of September 30, 2018 had contractual maturities as follows: Year Nonrecourse Recourse Total October 1 through December 31, 2018 $ — $ 12,480,602 $ 12,480,602 2019 826,188 2,472,426 3,298,614 2020 812,745 115,465 928,210 2021 1,784,596 784,589 2,569,185 2022 38,378 197,759 236,137 2023 and thereafter 1,097,462 1,053,052 2,150,514 $ 4,559,369 $ 17,103,893 $ 21,663,262 |
Schedule of Borrowing Capacity | The following table represents New Residential’s borrowing capacity as of September 30, 2018 : Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential mortgage loans and REO $ 5,197,961 $ 2,796,418 $ 2,401,543 Notes and Bonds Payable Excess MSRs 150,000 100,000 50,000 MSRs 990,000 612,899 377,101 Servicer advances (A) 1,710,000 1,377,259 332,741 Consumer loans 150,000 30,607 119,393 $ 8,197,961 $ 4,917,183 $ 3,280,778 (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 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of $86.3 million . |
FAIR VALUE MEASUREMENT (Tables)
FAIR VALUE MEASUREMENT (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 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, 2018 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) $ 112,054,333 $ 467,061 $ — $ — $ 467,061 $ 467,061 Excess mortgage servicing rights, equity method investees, at fair value (A) 44,239,405 154,939 — — 154,939 154,939 Mortgage servicing rights, at fair value (A) 246,949,863 2,872,004 — — 2,872,004 2,872,004 Mortgage servicing rights financing receivables, at fair value 135,529,647 1,681,072 — — — 1,681,072 1,681,072 Servicer advance investments, at fair value 637,102 799,936 — — 799,936 799,936 Real estate and other securities, available-for-sale 20,633,278 11,650,257 — 2,673,863 8,976,394 11,650,257 Residential mortgage loans, held-for-investment 629,017 652,717 — — 652,529 652,529 Residential mortgage loans, held-for-sale 2,091,784 1,996,303 — — 2,037,078 2,037,078 Residential mortgage loans, held-for-sale, at fair value 514,516 524,863 — 468,824 56,038 524,862 Residential mortgage loans, held-for-investment, at fair value 124,079 123,606 — — 123,606 123,606 Residential mortgage loans subject to repurchase 110,181 110,181 — 110,181 — 110,181 Consumer loans, held-for-investment 1,142,058 1,140,769 — — 1,128,410 1,128,410 Derivative assets 10,437,456 27,212 — 18,854 8,357 27,211 Cash and cash equivalents 330,148 330,148 330,148 — — 330,148 Restricted cash 155,749 155,749 155,749 — — 155,749 Other assets 33,642 23,876 — 9,766 33,642 $ 22,720,459 $ 509,773 $ 3,271,722 $ 18,967,190 $ 22,748,685 Liabilities Repurchase agreements $ 14,388,223 $ 14,387,020 $ — $ 14,388,223 $ — $ 14,388,223 Notes and bonds payable (B) 7,275,039 7,254,946 — — 7,240,544 7,240,544 Residential mortgage loans repurchase liability 110,181 110,181 — 110,181 — 110,181 Derivative liabilities 4,242,000 2,294 — 2,294 — 2,294 Excess spread financing 3,608,770 44,374 — — 44,374 44,374 Contingent consideration N/A 42,770 — — 42,770 42,770 $ 21,841,585 $ — $ 14,500,698 $ 7,327,688 $ 21,828,386 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Includes the SAFT 2013-1 mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $117.5 million as of September 30, 2018 . |
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | New Residential’s 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) MSRs (A) Mortgage Servicing Rights Financing Receivable (A) Servicer Advance Investments Non-Agency RMBS Derivatives Residential Mortgage Loans Agency Non-Agency Total Balance at December 31, 2017 $ 324,636 $ 849,077 $ 171,765 $ 1,735,504 $ 598,728 $ 4,027,379 $ 5,974,789 $ — $ — $ 13,681,878 Transfers (C) Transfers from Level 3 — — — — — — — — — — Transfers to Level 3 — — — — — — — — — — Shellpoint Acquisition (Note 1) — — — 286,600 (135,288 ) — — 10,604 156,823 318,739 Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — — — (18,113 ) — — (18,113 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (14,738 ) (40,973 ) — — — — — — — (55,711 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — 5,624 — — — — — — 5,624 Included in servicing revenue, net (E) — — — 31,252 — — — — — 31,252 Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — 63,628 — — — — 63,628 Included in change in fair value of servicer advance investments — — — — — (86,581 ) — — — (86,581 ) Included in gain (loss) on settlement of investments, net — 40,417 — — — 72,585 (994 ) — — 112,008 Included in other income (loss), net (D) 4,401 200 — — — — 12,001 (2,247 ) (692 ) 13,663 Gains (losses) included in other comprehensive income (F) — — — — — — 97,538 — — 97,538 Interest income 16,954 15,417 — — — 43,122 239,036 — — 314,529 Purchases, sales and repayments Purchases — — — 801,366 138,993 1,817,581 3,475,138 — 36,520 6,269,598 Proceeds from sales (12,380 ) — — — (2,982 ) (81,325 ) — (19,900 ) (116,587 ) Proceeds from repayments (45,020 ) (32,363 ) (22,450 ) — — (1,871,312 ) (721,676 ) — (3,236 ) (2,696,057 ) Other — — — 17,282 — — — — — 17,282 New Ocwen Agreements (Note 5) — (638,567 ) — — 1,017,993 (3,202,838 ) — — — (2,823,412 ) Balance at September 30, 2018 $ 273,853 $ 193,208 $ 154,939 $ 2,872,004 $ 1,681,072 $ 799,936 $ 8,976,394 $ 8,357 $ 169,515 $ 15,129,278 |
Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs | New Residential’s liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Mortgage-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2017 $ — $ — $ — $ — Transfers (A) Transfers from Level 3 — — — — Transfers to Level 3 — — — — Shellpoint Acquisition (Note 1) 48,262 120,702 42,770 211,734 Gains (losses) included in net income Included in other-than-temporary impairment on securities (B) — — — — Included in change in fair value of investments in excess mortgage servicing rights — — — — Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (B) — — — — Included in servicing revenue, net (C) (3,888 ) — — (3,888 ) Included in change in fair value of investments in notes receivable - rights to MSRs — — — — Included in change in fair value of servicer advance investments — — — — Included in gain (loss) on settlement of investments, net — — — — Included in other income (B) — (900 ) — (900 ) Gains (losses) included in other comprehensive income, net of tax (D) — — — — Interest income — — — — Purchases, sales and repayments Purchases — — — — Proceeds from sales — — — — Proceeds from repayments — (2,332 ) — (2,332 ) Other — — — — Ocwen Transaction — — — — Balance at September 30, 2018 $ 44,374 $ 117,470 $ 42,770 $ 204,614 (A) Transfers are assumed to occur at the beginning of the respective period. (B) 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. (C) The components of Servicing revenue, net are disclosed in Note 5. (D) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. |
Summary of Measurement Inputs and Valuation Techniques | The following table summarizes certain information regarding the inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential Mortgage Loans Held-for-Investment, at Fair Value $ 123,606 4.00% 10.0% 0.2% 20.0% The following table summarizes certain information regarding the inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential Mortgage Loans Held-for-Sale, at Fair Value $ 524,862 3.75% to 4.00% 10.00% to 15.00% 0.00% to 4.0% 0.0% to 50.0% The following table summarizes certain information regards the inputs used in valuing Mortgage-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage-Backed Securities Issued $ 117,470 3.50% to 5.25% 9.0% to 12.0% 0% to 0.25% 10.0% The following table summarizes certain information regarding the weighted average inputs used as of September 30, 2018 : Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 9.7 % 2.6 % 26.1 % 21 22 Recaptured Pools 7.4 % 2.2 % 23.8 % 22 24 Recapture Agreement 7.2 % 2.2 % 24.6 % 22 — 8.8 % 2.5 % 25.4 % 21 23 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 10.6 % N/A 15.4 % 15 24 Recaptured Pools 9.1 % N/A 20.2 % 23 24 Recapture Agreement 9.1 % N/A 20.1 % 20 — 10.3 % N/A 16.3 % 16 24 Total/Weighted Average--Excess MSRs Directly Held 9.4 % 2.5 % 21.6 % 19 23 Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 10.8 % 4.0 % 28.8 % 19 21 Recaptured Pools 7.7 % 2.6 % 29.2 % 23 23 Recapture Agreement 7.8 % 2.7 % 30.5 % 23 — Total/Weighted Average--Excess MSRs Held through Investees 9.2 % 3.3 % 29.2 % 21 22 Total/Weighted Average--Excess MSRs All Pools 9.3 % 2.8 % 24.5 % 20 23 MSRs Agency Mortgage Servicing Rights (H) (I) 8.9 % 1.2 % 22.9 % 26 22 Mortgage Servicing Rights Financing Receivables 9.2 % 1.1 % 14.3 % 27 20 Non-Agency Mortgage Servicing Rights 14.0 % 0.9 % 10.0 % 26 26 Mortgage Servicing Rights Financing Receivables 8.4 % 15.1 % 5.0 % 45 26 Ginnie Mae Mortgage Servicing Rights (I) 10.4 % 3.6 % 23.6 % 34 27 (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 residential 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 or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $7.40 per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.52 per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $10.02 per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential 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. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. (I) Includes valuation of the related Excess spread financing (Note 5). The following table summarizes certain information regarding the inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of initial servicing rights (bps) IRLCs $ 8,357 46.00% to 100% 0 to 326 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 $ 5,550,819 2.66% to 30.00% 0.25% to 21.4% 0.25% to 9.00% 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. |
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 Advance Investments, including the basic fee component of the related MSRs: 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, 2018 1.5 % 11.1 % 18.2 % 19.6 bps 5.9 % 23.2 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 9.3 bps which represents the amount New Residential paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. |
Schedule of Securities Valuation Methodology and Results | As of September 30, 2018 , 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 $ 2,653,034 $ 2,678,375 $ 2,673,863 $ — $ 2,673,863 2 Non-Agency RMBS (C) 17,980,244 8,491,714 8,957,869 18,525 8,976,394 3 Total $ 20,633,278 $ 11,170,089 $ 11,631,732 $ 18,525 $ 11,650,257 (A) New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. 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, for non-agency RMBS, 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 61.8% of New Residential’s 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 $ 5,550,819 2.66% to 30.00% 0.25% to 21.4% 0.25% to 9.00% 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 $7.3 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 these residential mortgage loans as of September 30, 2018 : Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 186,157 4.7 % 3.9 7.7 % 4.3 % 32.8 % Non-Performing Loans 40,985 5.3 % 2.4 2.1 % 2.8 % 30.0 % Total/Weighted Average $ 227,142 4.8 % 3.6 6.7 % 4.0 % 32.3 % (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. |
EQUITY AND EARNINGS PER SHARE (
EQUITY AND EARNINGS PER SHARE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Equity and Earnings Per Share [Abstract] | |
Summary of Outstanding Options | As of September 30, 2018 , New Residential’s outstanding options were summarized as follows: Held by the Manager 4,086,222 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 1,530,916 Issued to the independent directors 6,000 Total 5,623,138 The following table summarizes New Residential’s outstanding options as of September 30, 2018 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended September 30, 2018 was $17.82 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of September 30, 2018 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) Directors Various 6,000 6,000 $ 13.49 $ — Manager (C) 2016 533,334 200,000 13.70 0.8 Manager (C) 2017 2,638,804 565,459 14.50 1.9 Manager (C) 2018 2,445,000 288,798 17.11 0.2 Outstanding 5,623,138 1,060,257 (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. A portion of New Residential’s 2017 dividends was deemed to be a return of capital and the exercise prices were adjusted accordingly. (C) The Manager assigned certain of its options to its employees as follows: Date of Grant to Manager Range of Exercise Prices Total Unexercised Inception to Date 2016 $13.70 400,000 2017 $14.50 1,130,916 Total 1,530,916 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2017 outstanding options 18,502,188 Options granted 2,924,166 $ 17.13 Options exercised (15,803,216 ) $ 14.30 Options expired unexercised — September 30, 2018 outstanding options 5,623,138 See table above |
TRANSACTIONS WITH AFFILIATES _2
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Transactions With Affiliates And Affiliated Entities | |
Schedule of Affiliate Transactions | Due to affiliates is comprised of the following amounts: September 30, 2018 December 31, 2017 Management fees $ 5,166 $ 4,734 Incentive compensation 65,169 81,373 Expense reimbursements and other 3,800 2,854 Total $ 74,135 $ 88,961 Affiliate expenses and fees were comprised of: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Management fees $ 15,464 $ 14,187 $ 46,027 $ 41,447 Incentive compensation 23,848 19,491 65,169 72,123 Expense reimbursements (A) 125 125 375 375 Total $ 39,437 $ 33,803 $ 111,571 $ 113,945 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. |
RECLASSIFICATION FROM ACCUMUL_2
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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: Three Months Ended Nine Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2018 2017 2018 2017 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ 28,737 $ (7,342 ) $ 66,695 $ (29,592 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 3,889 1,509 23,190 8,736 Total reclassifications $ 32,626 $ (5,833 ) $ 89,885 $ (20,856 ) |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax expense (benefit) consists of the following: Three Months Ended Nine Months Ended 2018 2017 2018 2017 Current: Federal $ 5,691 $ 4,072 $ 6,299 $ 6,683 State and Local (263 ) 131 424 354 Total Current Income Tax Expense (Benefit) 5,428 4,203 6,723 7,037 Deferred: Federal (1,201 ) 20,977 (12,829 ) 97,053 State and Local (664 ) 7,433 149 16,963 Total Deferred Income Tax Expense (Benefit) (1,865 ) 28,410 (12,680 ) 114,016 Total Income Tax Expense (Benefit) $ 3,563 $ 32,613 $ (5,957 ) $ 121,053 |
ORGANIZATION AND BASIS OF PRE_4
ORGANIZATION AND BASIS OF PRESENTATION - Narrative (Details) $ in Thousands | Jul. 03, 2018USD ($)earnout_payment | Sep. 30, 2018USD ($)shares | Sep. 30, 2018USD ($)shares | Sep. 30, 2017USD ($) | Aug. 02, 2018 | Dec. 31, 2017USD ($)shares |
Related Party Transaction [Line Items] | ||||||
Common stock, shares outstanding (in shares) | shares | 340,354,429 | 340,354,429 | 307,361,309 | |||
Number of options (in shares) | shares | 5,623,138 | 5,623,138 | ||||
Goodwill | $ 48,921 | $ 48,921 | $ 0 | |||
Shellpoint Acquisition | ||||||
Related Party Transaction [Line Items] | ||||||
Cash consideration transferred | $ 212,300 | |||||
Number of earnout payments | earnout_payment | 3 | |||||
Revenue of acquiree | 97,000 | |||||
Net income of acquiree | $ 11,700 | |||||
Shellpoint Acquisition contingent consideration | $ 42,800 | $ 42,770 | $ 0 | |||
Total Consideration | 435,400 | |||||
Goodwill | 48,900 | |||||
Goodwill, expected tax deductible amount | $ 46,700 | |||||
Fortress-managed funds | ||||||
Related Party Transaction [Line Items] | ||||||
Common stock, shares outstanding (in shares) | shares | 500,000 | 500,000 | ||||
Number of options (in shares) | shares | 4,100,000 | 4,100,000 | ||||
FIG LLC | Nationstar Mortgage LLC | ||||||
Related Party Transaction [Line Items] | ||||||
Interest in consumer loans | 40.50% | |||||
WMIH Corp | Nationstar Mortgage LLC | ||||||
Related Party Transaction [Line Items] | ||||||
Interest in consumer loans | 2.50% | 2.50% | ||||
NRM Acquisition LLC | Shellpoint Partners LLC | Shellpoint Acquisition | ||||||
Related Party Transaction [Line Items] | ||||||
Equity interest acquired | 100.00% | |||||
Cash consideration transferred | $ 212,300 | |||||
NRM Acquisition LLC | ShellPoint | ||||||
Related Party Transaction [Line Items] | ||||||
Earnout payment, maximum amount | $ 60,000 |
ORGANIZATION AND BASIS OF PRE_5
ORGANIZATION AND BASIS OF PRESENTATION - Total Consideration in Shellpoint Acquisition (Details) - USD ($) | Jul. 03, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Business Acquisition [Line Items] | |||||
Cash and cash equivalents | [1] | $ 330,148,000 | $ 295,798,000 | ||
Restricted cash | 155,749,000 | 150,252,000 | |||
Residential mortgage loans, held-for-sale, at fair value | 524,863,000 | 0 | |||
Mortgage servicing rights, at fair value | 2,872,004,000 | 1,735,504,000 | |||
Residential mortgage loans, held-for-investment, at fair value | 123,606,000 | 0 | |||
Residential mortgage loans subject to repurchase | 110,181,000 | $ 0 | 0 | ||
Intangible assets | 4,308,000 | 0 | |||
Mortgage servicing rights financing receivables, at fair value | 1,681,072,000 | 598,728,000 | |||
Other assets | 629,231,000 | 312,181,000 | |||
Total assets | 30,090,769,000 | 22,213,562,000 | |||
Repurchase agreements | 14,387,020,000 | 8,662,139,000 | |||
Notes and bonds payable | [1] | 7,254,946,000 | 7,084,391,000 | ||
Residential mortgage loans repurchase liability | 110,181,000 | 0 | |||
Excess spread financing, at fair value | 44,374,000 | 0 | |||
Accrued expenses and other liabilities | [1] | 462,161,000 | 239,114,000 | ||
Total liabilities | 24,253,721,000 | 17,417,400,000 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 93,728,000 | 105,957,000 | |||
Goodwill | 48,921,000 | $ 0 | |||
Shellpoint Acquisition | |||||
Business Acquisition [Line Items] | |||||
Cash consideration transferred | $ 212,300,000 | ||||
Contingent consideration | 42,800,000 | $ 42,770,000 | $ 0 | ||
Effective settlement of preexisting relationships | 180,300,000 | ||||
Total Consideration | 435,400,000 | ||||
Contingent consideration, range of outcomes, maximum | $ 60,000,000 | ||||
Contingent consideration, payment term | 3 years | ||||
Contingent consideration fair value | $ 48,700,000 | ||||
Contingent consideration, payments to employees | 5,900,000 | ||||
Cash and cash equivalents | 84,100,000 | ||||
Restricted cash | 9,900,000 | ||||
Residential mortgage loans, held-for-sale, at fair value | 488,200,000 | ||||
Mortgage servicing rights, at fair value | 286,600,000 | ||||
Residential mortgage loans, held-for-investment, at fair value | 125,300,000 | ||||
Residential mortgage loans subject to repurchase | 121,400,000 | ||||
Intangible assets | 4,300,000 | ||||
Other assets | 81,100,000 | ||||
Total assets | 1,200,900,000 | ||||
Repurchase agreements | 439,600,000 | ||||
Notes and bonds payable | 25,400,000 | ||||
Mortgage-backed securities issued, at fair value | 120,700,000 | ||||
Residential mortgage loans repurchase liability | 121,400,000 | ||||
Excess spread financing, at fair value | 48,300,000 | ||||
Accrued expenses and other liabilities | 50,700,000 | ||||
Total liabilities | 806,100,000 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 8,300,000 | ||||
Net Assets | 386,500,000 | ||||
Goodwill | 48,900,000 | ||||
Minimum | Shellpoint Acquisition | |||||
Business Acquisition [Line Items] | |||||
Contingent consideration, range of outcomes, minimum | 0 | ||||
Maximum | Shellpoint Acquisition | |||||
Business Acquisition [Line Items] | |||||
Contingent consideration, range of outcomes, maximum | 60,000,000 | ||||
Ginnie Mae | Shellpoint Acquisition | |||||
Business Acquisition [Line Items] | |||||
Mortgage servicing rights, at fair value | $ 135,300,000 | ||||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
ORGANIZATION AND BASIS OF PRE_6
ORGANIZATION AND BASIS OF PRESENTATION - Pro Forma Financial Information (Details) - Shellpoint Acquisition - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Business Acquisition, Pro Forma Information, Nonrecurring Adjustment [Line Items] | ||||
Servicing and Originations Revenue | $ 221,087 | $ 141,002 | $ 710,742 | $ 513,076 |
Income Before Income Taxes | $ 199,040 | $ 278,274 | $ 1,006,743 | $ 850,509 |
OTHER INCOME, ASSETS AND LIAB_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Gain on Settlement of Investments, Net | ||||
Gain (loss) on sale of real estate securities, net | $ (28,737) | $ 7,342 | $ (66,695) | $ 29,592 |
Gain (loss) on sale of acquired residential mortgage loans, net | 4,065 | 9,029 | (1,358) | 37,967 |
Gain (loss) on settlement of derivatives | 19,459 | (18,756) | 76,092 | (58,326) |
Gain (loss) on liquidated residential mortgage loans | (1,113) | (2,152) | (2,267) | (7,996) |
Gain (loss) on sale of REO | (4,971) | (1,864) | (12,114) | (7,176) |
Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments | 0 | 11,320 | 113,002 | 11,320 |
Other gains (losses) | (596) | (3,366) | (596) | (4,131) |
Gain (loss) on settlement of investments, net | $ (11,893) | $ 1,553 | $ 106,064 | $ 1,250 |
OTHER INCOME, ASSETS AND LIAB_4
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Other income (loss), net | ||||
Unrealized gain (loss) on derivative instruments | $ 24,299 | $ 3,560 | $ 27,985 | $ (124) |
Unrealized gain (loss) on other ABS | 7,197 | 189 | 12,001 | 340 |
Unrealized gain (loss) on residential mortgage loans, held-for-investment, at fair value | 647 | 0 | 647 | 0 |
Unrealized gain (loss) on notes and bonds payable | 900 | 0 | 900 | 0 |
Gain (loss) on transfer of loans to REO | 6,119 | 5,179 | 16,609 | 16,791 |
Gain (loss) on transfer of loans to other assets | (1,528) | 66 | (1,648) | 359 |
Gain (loss) on Excess MSRs | 987 | 606 | 5,257 | 1,948 |
Gain (loss) on Ocwen common stock | (145) | 6,987 | 4,655 | 6,987 |
Other income (loss) | (19,390) | (6,700) | (27,359) | (18,605) |
Total other income (loss), net | $ 19,086 | $ 9,887 | $ 39,047 | $ 7,696 |
OTHER INCOME, ASSETS AND LIAB_5
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Other Assets | |||
Margin receivable, net | $ 163,357 | $ 53,150 | |
Other receivables | 23,023 | 10,635 | |
Principal and interest receivable | 66,283 | 48,373 | |
Receivable from government agency | 20,158 | 41,429 | |
Call rights | 290 | 327 | |
Derivative assets | 27,212 | 2,423 | |
Servicing fee receivables | 76,815 | 60,520 | |
Ginnie Mae EBO servicer advances receivable, net | 934 | 8,916 | |
Due from servicers | 74,539 | 38,601 | |
Goodwill | 48,921 | 0 | |
Intangible assets | 4,308 | 0 | |
Ocwen common stock, at fair value | 23,876 | 19,259 | |
Prepaid expenses | 13,976 | 7,308 | |
Other assets | 85,539 | 21,240 | |
Prepaid expense and other assets | 629,231 | 312,181 | |
Accrued Expenses and Other Liabilities | |||
Interest payable | 38,284 | 28,821 | |
Accounts payable | 109,852 | 73,017 | |
Derivative liabilities | 2,294 | 697 | |
Due to servicers | 73,524 | 24,571 | |
MSR purchase price holdback | 109,982 | 101,290 | |
Excess spread financing, at fair value | 44,374 | 0 | |
Contingent Consideration | 42,770 | 0 | |
Reserve for sales recourse | 6,214 | 0 | |
Other liabilities | 34,867 | 10,718 | |
Accrued Expenses and Other Liabilities | [1] | $ 462,161 | $ 239,114 |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
OTHER INCOME, ASSETS AND LIAB_6
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Accretion and other amortization: | ||
Accretion of servicer advances receivable discount and servicer advance investments | $ 207,428 | $ 451,824 |
Accretion of excess mortgage servicing rights income | 32,371 | 75,237 |
Accretion of net discount on securities and loans | 296,961 | 295,753 |
Amortization of deferred financing costs | (6,180) | (9,525) |
Amortization of discount on notes and bonds payable | (1,599) | (1,367) |
Accretion of loan discount and premium amortization, net | $ 528,981 | $ 811,922 |
SEGMENT REPORTING (Details)
SEGMENT REPORTING (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Segment Reporting Information [Line Items] | ||||||
Interest income | $ 425,524 | $ 397,722 | $ 1,212,902 | $ 1,162,212 | ||
Interest expense | 162,806 | 125,278 | 421,109 | 338,664 | ||
Net interest income (expense) | 262,718 | 272,444 | 791,793 | 823,548 | ||
Impairment | 9,360 | 28,209 | 51,326 | 74,117 | ||
Servicing revenue, net | 175,355 | 58,014 | 538,784 | 269,467 | ||
Gain on sale of originated mortgage loans, net | 45,732 | 0 | 45,732 | 0 | ||
Other income (loss) | (83,298) | 87,145 | 84,414 | 141,298 | ||
Operating expenses | 192,107 | 117,060 | 419,677 | 324,861 | ||
Income (Loss) Before Income Taxes | 199,040 | 272,334 | 989,720 | 835,335 | ||
Income tax expense (benefit) | 3,563 | 32,613 | (5,957) | 121,053 | ||
Net Income (Loss) | 195,477 | 239,721 | 995,677 | 714,282 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 10,869 | 13,600 | 32,058 | 45,051 | ||
Net income (loss) attributable to common stockholders | 184,608 | 226,121 | 963,619 | 669,231 | ||
Investments | 22,333,655 | 22,333,655 | ||||
Cash and cash equivalents | 330,148 | 330,148 | ||||
Restricted cash | 155,749 | 155,749 | $ 150,252 | |||
Other assets | 7,222,296 | 7,222,296 | ||||
Goodwill | 48,921 | 48,921 | 0 | |||
Total assets | 30,090,769 | 30,090,769 | 22,213,562 | |||
Debt | 21,641,966 | 21,641,966 | 15,746,530 | |||
Other liabilities | 2,611,755 | 2,611,755 | ||||
Total liabilities | 24,253,721 | 24,253,721 | 17,417,400 | |||
Total equity | 5,837,048 | 4,679,204 | 5,837,048 | 4,679,204 | 4,796,162 | $ 3,468,177 |
Noncontrolling interests in equity of consolidated subsidiaries | 93,728 | 93,728 | 105,957 | |||
Total New Residential stockholders’ equity | 5,743,320 | 5,743,320 | $ 4,690,205 | |||
Investments in equity method investees | 199,726 | 199,726 | ||||
Servicing and Originations | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 193,424 | 188,194 | 579,824 | 561,312 | ||
Interest expense | 62,994 | 61,418 | 173,759 | 176,678 | ||
Net interest income (expense) | 130,430 | 126,776 | 406,065 | 384,634 | ||
Impairment | 0 | 0 | 0 | 0 | ||
Servicing revenue, net | 175,355 | 58,014 | 538,784 | 269,467 | ||
Gain on sale of originated mortgage loans, net | 45,732 | 0 | 45,732 | 0 | ||
Other income (loss) | (92,243) | 76,745 | 48,128 | 126,114 | ||
Operating expenses | 132,542 | 54,998 | 235,417 | 135,666 | ||
Income (Loss) Before Income Taxes | 126,732 | 206,537 | 803,292 | 644,549 | ||
Income tax expense (benefit) | 495 | 42,253 | (6,458) | 128,047 | ||
Net Income (Loss) | 126,237 | 164,284 | 809,750 | 516,502 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 1,086 | 1,224 | 3,525 | 10,372 | ||
Net income (loss) attributable to common stockholders | 125,151 | 163,060 | 806,225 | 506,130 | ||
Investments | 6,722,697 | 6,722,697 | ||||
Cash and cash equivalents | 260,353 | 260,353 | ||||
Restricted cash | 119,243 | 119,243 | ||||
Other assets | 3,411,968 | 3,411,968 | ||||
Goodwill | 48,921 | 48,921 | ||||
Total assets | 10,563,182 | 10,563,182 | ||||
Debt | 6,824,326 | 6,824,326 | ||||
Other liabilities | 476,430 | 476,430 | ||||
Total liabilities | 7,300,756 | 7,300,756 | ||||
Total equity | 3,262,426 | 3,262,426 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 62,480 | 62,480 | ||||
Total New Residential stockholders’ equity | 3,199,946 | 3,199,946 | ||||
Investments in equity method investees | 154,939 | 154,939 | ||||
Real Estate Securities | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 138,197 | 114,181 | 354,922 | 321,464 | ||
Interest expense | 67,117 | 35,211 | 157,195 | 85,663 | ||
Net interest income (expense) | 71,080 | 78,970 | 197,727 | 235,801 | ||
Impairment | 3,889 | 1,509 | 23,190 | 8,736 | ||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||
Gain on sale of originated mortgage loans, net | 0 | 0 | 0 | 0 | ||
Other income (loss) | 17,994 | (6,035) | 45,346 | (27,005) | ||
Operating expenses | 63 | 351 | 1,003 | 979 | ||
Income (Loss) Before Income Taxes | 85,122 | 71,075 | 218,880 | 199,081 | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Net Income (Loss) | 85,122 | 71,075 | 218,880 | 199,081 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders | 85,122 | 71,075 | 218,880 | 199,081 | ||
Investments | 11,650,257 | 11,650,257 | ||||
Cash and cash equivalents | 2,841 | 2,841 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 3,631,769 | 3,631,769 | ||||
Goodwill | 0 | 0 | ||||
Total assets | 15,284,867 | 15,284,867 | ||||
Debt | 11,423,562 | 11,423,562 | ||||
Other liabilities | 1,839,578 | 1,839,578 | ||||
Total liabilities | 13,263,140 | 13,263,140 | ||||
Total equity | 2,021,727 | 2,021,727 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 2,021,727 | 2,021,727 | ||||
Investments in equity method investees | 0 | 0 | ||||
Residential Mortgage Loans | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 42,942 | 31,645 | 118,019 | 75,276 | ||
Interest expense | 22,374 | 15,487 | 57,299 | 34,655 | ||
Net interest income (expense) | 20,568 | 16,158 | 60,720 | 40,621 | ||
Impairment | (4,436) | 14,099 | (8,683) | 17,342 | ||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||
Gain on sale of originated mortgage loans, net | 0 | 0 | 0 | 0 | ||
Other income (loss) | (12,729) | 2,653 | (27,219) | 22,491 | ||
Operating expenses | 6,436 | 9,759 | 25,658 | 24,018 | ||
Income (Loss) Before Income Taxes | 5,839 | (5,047) | 16,526 | 21,752 | ||
Income tax expense (benefit) | 3,100 | (9,640) | 289 | (7,164) | ||
Net Income (Loss) | 2,739 | 4,593 | 16,237 | 28,916 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders | 2,739 | 4,593 | 16,237 | 28,916 | ||
Investments | 2,775,145 | 2,775,145 | ||||
Cash and cash equivalents | 3,764 | 3,764 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 48,846 | 48,846 | ||||
Goodwill | 0 | 0 | ||||
Total assets | 2,827,755 | 2,827,755 | ||||
Debt | 2,291,314 | 2,291,314 | ||||
Other liabilities | 33,977 | 33,977 | ||||
Total liabilities | 2,325,291 | 2,325,291 | ||||
Total equity | 502,464 | 502,464 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | 502,464 | 502,464 | ||||
Investments in equity method investees | 0 | 0 | ||||
Consumer Loans | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 50,961 | 63,527 | 158,631 | 203,631 | ||
Interest expense | 10,321 | 13,162 | 32,856 | 41,668 | ||
Net interest income (expense) | 40,640 | 50,365 | 125,775 | 161,963 | ||
Impairment | 9,907 | 12,601 | 36,819 | 48,039 | ||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||
Gain on sale of originated mortgage loans, net | 0 | 0 | 0 | 0 | ||
Other income (loss) | 3,795 | 6,796 | 13,363 | 12,712 | ||
Operating expenses | 8,467 | 10,764 | 26,743 | 33,746 | ||
Income (Loss) Before Income Taxes | 26,061 | 33,796 | 75,576 | 92,890 | ||
Income tax expense (benefit) | (32) | 0 | 212 | 170 | ||
Net Income (Loss) | 26,093 | 33,796 | 75,364 | 92,720 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 9,783 | 12,376 | 28,533 | 34,679 | ||
Net income (loss) attributable to common stockholders | 16,310 | 21,420 | 46,831 | 58,041 | ||
Investments | 1,185,556 | 1,185,556 | ||||
Cash and cash equivalents | 22,050 | 22,050 | ||||
Restricted cash | 36,506 | 36,506 | ||||
Other assets | 42,855 | 42,855 | ||||
Goodwill | 0 | 0 | ||||
Total assets | 1,286,967 | 1,286,967 | ||||
Debt | 1,102,764 | 1,102,764 | ||||
Other liabilities | 10,662 | 10,662 | ||||
Total liabilities | 1,113,426 | 1,113,426 | ||||
Total equity | 173,541 | 173,541 | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 31,248 | 31,248 | ||||
Total New Residential stockholders’ equity | 142,293 | 142,293 | ||||
Investments in equity method investees | 44,787 | 44,787 | ||||
Corporate | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 0 | 175 | 1,506 | 529 | ||
Interest expense | 0 | 0 | 0 | 0 | ||
Net interest income (expense) | 0 | 175 | 1,506 | 529 | ||
Impairment | 0 | 0 | 0 | 0 | ||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||
Gain on sale of originated mortgage loans, net | 0 | 0 | 0 | 0 | ||
Other income (loss) | (115) | 6,986 | 4,796 | 6,986 | ||
Operating expenses | 44,599 | 41,188 | 130,856 | 130,452 | ||
Income (Loss) Before Income Taxes | (44,714) | (34,027) | (124,554) | (122,937) | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Net Income (Loss) | (44,714) | (34,027) | (124,554) | (122,937) | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders | (44,714) | $ (34,027) | (124,554) | $ (122,937) | ||
Investments | 0 | 0 | ||||
Cash and cash equivalents | 41,140 | 41,140 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 86,858 | 86,858 | ||||
Goodwill | 0 | 0 | ||||
Total assets | 127,998 | 127,998 | ||||
Debt | 0 | 0 | ||||
Other liabilities | 251,108 | 251,108 | ||||
Total liabilities | 251,108 | 251,108 | ||||
Total equity | (123,110) | (123,110) | ||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||
Total New Residential stockholders’ equity | (123,110) | (123,110) | ||||
Investments in equity method investees | $ 0 | $ 0 |
INVESTMENTS IN EXCESS MORTGAG_3
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) - Excess MSRs $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | $ 1,173,713 |
Purchases | 0 |
Interest income | 32,371 |
Other income | 4,601 |
Proceeds from repayments | (77,383) |
Proceeds from sales | (12,380) |
Change in fair value | (55,711) |
New Ocwen Agreements | (598,150) |
Ending balance | 467,061 |
Nationstar | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 532,233 |
Purchases | 0 |
Interest income | 32,357 |
Other income | 4,601 |
Proceeds from repayments | (76,888) |
Proceeds from sales | (12,380) |
Change in fair value | (15,420) |
New Ocwen Agreements | 0 |
Ending balance | 464,503 |
SLS | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 2,913 |
Purchases | 0 |
Interest income | 14 |
Other income | 0 |
Proceeds from repayments | (495) |
Proceeds from sales | 0 |
Change in fair value | 126 |
New Ocwen Agreements | 0 |
Ending balance | 2,558 |
Ocwen | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 638,567 |
Purchases | 0 |
Interest income | 0 |
Other income | 0 |
Proceeds from repayments | 0 |
Proceeds from sales | 0 |
Change in fair value | (40,417) |
New Ocwen Agreements | (598,150) |
Ending balance | $ 0 |
INVESTMENTS IN EXCESS MORTGAG_4
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Investment [Line Items] | |||||
UPB of Underlying Mortgages | $ 84,100,000 | $ 84,100,000 | |||
Weighted Average Life (Years) | 1 year 8 days | ||||
Principal investment gain (loss) | (4,744) | $ (14,291) | $ (55,711) | $ (32,650) | |
Servicer Advance Investments | Servicer Advances | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | 42,323,957 | 42,323,957 | $ 139,460,371 | ||
Original and Recaptured Pools | |||||
Investment [Line Items] | |||||
Principal investment gain (loss) | (851) | (12,047) | (46,540) | (41,032) | |
Recapture Agreements | |||||
Investment [Line Items] | |||||
Principal investment gain (loss) | (3,893) | $ (2,244) | (9,171) | $ 8,382 | |
Excess MSRs | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | 112,054,333 | $ 112,054,333 | |||
Weighted Average Life (Years) | 6 years 1 month 6 days | ||||
Amortized Cost Basis | 377,583 | $ 377,583 | |||
Carrying Value | 467,061 | 467,061 | 1,173,713 | ||
Excess MSRs | Nationstar | |||||
Investment [Line Items] | |||||
Carrying Value | 464,503 | 464,503 | 532,233 | ||
Excess MSRs | Agency | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | 55,677,339 | $ 55,677,339 | |||
Weighted Average Life (Years) | 6 years 1 month 6 days | ||||
Amortized Cost Basis | 231,902 | $ 231,902 | |||
Carrying Value | 273,853 | 273,853 | 324,636 | ||
Excess MSRs | Agency | Original and Recaptured Pools | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | 55,677,339 | $ 55,677,339 | |||
Weighted Average Life (Years) | 5 years 7 months 6 days | ||||
Amortized Cost Basis | 215,972 | $ 215,972 | |||
Carrying Value | $ 242,655 | $ 242,655 | 280,033 | ||
Excess MSRs | Agency | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 32.50% | 32.50% | |||
Excess MSRs | Agency | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 66.70% | 66.70% | |||
Excess MSRs | Agency | Original and Recaptured Pools | Weighted Average | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 53.30% | 53.30% | |||
Excess MSRs | Agency | Recapture Agreements | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | $ 0 | $ 0 | |||
Weighted Average Life (Years) | 12 years 10 months 24 days | ||||
Amortized Cost Basis | 15,930 | $ 15,930 | |||
Carrying Value | $ 31,198 | $ 31,198 | 44,603 | ||
Excess MSRs | Agency | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 32.50% | 32.50% | |||
Excess MSRs | Agency | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 66.70% | 66.70% | |||
Excess MSRs | Agency | Recapture Agreements | Weighted Average | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 53.30% | 53.30% | |||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 40.00% | 40.00% | |||
Excess MSRs | Agency | Fortress-managed funds | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Agency | Fortress-managed funds | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 40.00% | 40.00% | |||
Excess MSRs | Agency | Nationstar | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 20.00% | 20.00% | |||
Excess MSRs | Agency | Nationstar | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 35.00% | 35.00% | |||
Excess MSRs | Agency | Nationstar | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 20.00% | 20.00% | |||
Excess MSRs | Agency | Nationstar | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 35.00% | 35.00% | |||
Excess MSRs | Non-Agency | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | $ 56,376,994 | $ 56,376,994 | |||
Weighted Average Life (Years) | 6 years | ||||
Amortized Cost Basis | 145,681 | $ 145,681 | |||
Carrying Value | 193,208 | 193,208 | 849,077 | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | 56,376,994 | $ 56,376,994 | |||
Weighted Average Life (Years) | 5 years 9 months 18 days | ||||
Amortized Cost Basis | 140,698 | $ 140,698 | |||
Carrying Value | $ 174,680 | $ 174,680 | 190,696 | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 100.00% | 100.00% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Weighted Average | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 59.40% | 59.40% | |||
Excess MSRs | Non-Agency | Recapture Agreements | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | $ 0 | $ 0 | |||
Weighted Average Life (Years) | 12 years 8 months 12 days | ||||
Amortized Cost Basis | 4,983 | $ 4,983 | |||
Carrying Value | $ 18,528 | $ 18,528 | 19,814 | ||
Excess MSRs | Non-Agency | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 100.00% | 100.00% | |||
Excess MSRs | Non-Agency | Recapture Agreements | Weighted Average | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 59.40% | 59.40% | |||
Excess MSRs | Non-Agency | Ocwen Serviced Pools | |||||
Investment [Line Items] | |||||
UPB of Underlying Mortgages | $ 0 | $ 0 | |||
Interest in Excess MSR | 0.00% | 0.00% | |||
Weighted Average Life (Years) | 0 years | ||||
Amortized Cost Basis | $ 0 | $ 0 | |||
Carrying Value | $ 0 | $ 0 | $ 638,567 | ||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 50.00% | 50.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 50.00% | 50.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Ocwen Serviced Pools | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Nationstar | Original and Recaptured Pools | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Nationstar | Original and Recaptured Pools | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Nationstar | Recapture Agreements | Minimum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Nationstar | Recapture Agreements | Maximum | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Nationstar | Ocwen Serviced Pools | |||||
Investment [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% |
INVESTMENTS IN EXCESS MORTGAG_5
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - Excess MSRs Investees - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||||
Excess MSR assets | $ 284,957 | $ 284,957 | $ 321,197 | ||
Other assets | 25,607 | 25,607 | 22,333 | ||
Other liabilities | (687) | (687) | 0 | ||
Equity | 309,877 | 309,877 | 343,530 | ||
New Residential’s investment | $ 154,939 | $ 154,939 | $ 171,765 | ||
New Residential’s ownership | 50.00% | 50.00% | 50.00% | ||
Interest income | $ 8,935 | $ 6,969 | $ 21,026 | $ 20,083 | |
Other income (loss) | (2,143) | (2,843) | (9,778) | (7,908) | |
Expenses | 0 | (18) | 0 | (63) | |
Net income | $ 6,792 | $ 4,108 | $ 11,248 | $ 12,112 | |
MSRs | |||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||||
Weighted average discount rate, used to value investments in excess MSRs | 8.80% |
INVESTMENTS IN EXCESS MORTGAG_6
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Equity Method Investees Changed - Roll Forward (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Distributions of earnings from equity method investees | $ (7,976) | $ (11,054) |
Recurring Basis | ||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Beginning balance | 171,765 | |
Contributions to equity method investees | 0 | |
Distributions of earnings from equity method investees | (7,976) | |
Distributions of capital from equity method investees | (14,474) | |
Change in fair value of investments in equity method investees | 5,624 | |
Ending balance | $ 154,939 |
INVESTMENTS IN EXCESS MORTGAG_7
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 84,100,000 | |
Weighted Average Life (Years) | 1 year 8 days | |
Excess MSRs Investees | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 44,239,405 | |
New Residential Interest in Investees | 50.00% | 50.00% |
Amortized Cost Basis | $ 210,133 | |
Carrying Value | $ 284,957 | |
Weighted Average Life (Years) | 6 years 3 months 12 days | |
Excess MSRs Investees | Agency | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
New Residential Interest in Investees | 50.00% | |
Excess MSRs Investees | Agency | Original and Recaptured Pools | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 44,239,405 | |
Investee Interest in Excess MSR | 66.70% | |
New Residential Interest in Investees | 50.00% | |
Amortized Cost Basis | $ 189,567 | |
Carrying Value | $ 245,562 | |
Weighted Average Life (Years) | 5 years 6 months 28 days | |
Excess MSRs Investees | Agency | Recapture Agreements | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 0 | |
Investee Interest in Excess MSR | 66.70% | |
New Residential Interest in Investees | 50.00% | |
Amortized Cost Basis | $ 20,566 | |
Carrying Value | $ 39,395 | |
Weighted Average Life (Years) | 12 years 9 months 18 days |
INVESTMENTS IN EXCESS MORTGAG_8
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) - Excess MSRs - Mortgage Loans | Sep. 30, 2018 | Dec. 31, 2017 |
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 24.80% | 24.00% |
Florida | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.00% | 8.70% |
New York | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.60% | 8.50% |
Texas | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.50% | 4.60% |
New Jersey | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.90% | 4.10% |
Maryland | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.80% | 3.70% |
Illinois | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.60% | 3.50% |
Georgia | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.10% |
Virginia | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.30% | 3.00% |
Arizona | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.60% | 2.50% |
Washington | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.60% | 2.40% |
Pennsylvania | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.50% | 2.60% |
Other U.S. | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 30.30% | 29.30% |
INVESTMENTS IN MORTGAGE SERVI_3
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Narrative (Details) - USD ($) $ in Thousands | Aug. 31, 2018 | Jun. 28, 2018 | Jun. 04, 2018 | Jun. 01, 2018 | May 31, 2018 | May 25, 2018 | May 01, 2018 | Mar. 28, 2018 | Feb. 28, 2018 | Jan. 18, 2018 | Nov. 29, 2017 | Jul. 23, 2017 | Jun. 30, 2018 | Sep. 30, 2018 | Jan. 01, 2018 | Dec. 31, 2017 | Sep. 30, 2017 |
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | $ 84,100,000 | ||||||||||||||||
Payments to acquire MSRs | $ 220,500 | $ 66,500 | $ 19,300 | $ 6,100 | $ 79,900 | $ 26,300 | $ 46,800 | $ 96,600 | $ 33,500 | 952,100 | |||||||
Initial contract term (in years) | 5 years | ||||||||||||||||
Contract extension term with thirty day notice (in months) | 3 months | ||||||||||||||||
Residential mortgage loans repurchase liability | 110,181 | $ 0 | |||||||||||||||
Residential mortgage loans subject to repurchase | 110,181 | $ 0 | $ 0 | ||||||||||||||
Ocwen | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | $ 86,800,000 | ||||||||||||||||
Payments to acquire MSRs | $ 279,600 | ||||||||||||||||
MSRs | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | $ 18,500,000 | $ 4,700,000 | $ 2,100,000 | $ 500,000 | $ 6,100,000 | $ 2,100,000 | $ 4,600,000 | $ 8,100,000 | $ 3,300,000 | ||||||||
Mortgage Loans Subserviced | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | 44,700,000 | ||||||||||||||||
Subservicing revenue | $ 30,300 | ||||||||||||||||
Ocwen | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Subservicer percent of UPB | 24.00% | ||||||||||||||||
Ocwen | New Residential Mortgage LLC | MSRs | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Payments to acquire MSRs | $ 334,200 | ||||||||||||||||
UPB of underlying loans, transferred | $ 15,500,000 | ||||||||||||||||
Nationstar | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Subservicer percent of UPB | 25.70% | ||||||||||||||||
Ditech Financial LLC | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Subservicer percent of UPB | 21.80% | ||||||||||||||||
PHH Mortgage Corporation | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Subservicer percent of UPB | 11.50% | ||||||||||||||||
PHH Mortgage Corporation | New Residential Mortgage LLC | MSRs | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of underlying mortgages, amount unsettled | $ 3,700,000 | ||||||||||||||||
PHH Mortgage Corporation | New Residential Mortgage LLC | Seasoned Agency Loans | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Payments to acquire MSRs, amount unsettled | $ 21,000 | ||||||||||||||||
Flagstar | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
Subservicer percent of UPB | 0.60% | ||||||||||||||||
ShellPoint | NRM Acquisition LLC | MSRs | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | $ 7,800,000 | ||||||||||||||||
Payments to acquire MSRs | $ 81,000 | ||||||||||||||||
New Penn | MSRs | |||||||||||||||||
Schedule of MSRs [Line Items] | |||||||||||||||||
UPB of Underlying Mortgages | $ 11,400,000 | ||||||||||||||||
Payments to acquire MSRs | $ 139,100 |
INVESTMENTS IN MORTGAGE SERVI_4
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Mortgage Servicing Rights Acquired (Details) - USD ($) $ in Millions | Sep. 28, 2018 | Aug. 31, 2018 | Jun. 28, 2018 | Jun. 04, 2018 | Jun. 01, 2018 | May 31, 2018 | May 25, 2018 | May 01, 2018 | Mar. 28, 2018 | Feb. 28, 2018 | Jan. 17, 2018 | Jan. 16, 2018 | Sep. 30, 2018 |
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 84,100 | ||||||||||||
Payments to acquire MSRs | $ 220.5 | $ 66.5 | $ 19.3 | $ 6.1 | $ 79.9 | $ 26.3 | $ 46.8 | $ 96.6 | $ 33.5 | 952.1 | |||
MSRs | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 18,500 | $ 4,700 | $ 2,100 | $ 500 | $ 6,100 | $ 2,100 | $ 4,600 | $ 8,100 | $ 3,300 | ||||
Batch 1 | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Payments to acquire MSRs | $ 13.6 | $ 101.5 | |||||||||||
Batch 1 | MSRs | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Unpaid Principal Balance | 1,100 | $ 11,500 | |||||||||||
Batch 2 | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Payments to acquire MSRs | 126.4 | $ 81 | |||||||||||
Batch 2 | MSRs | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 10,100 | $ 7,800 | |||||||||||
Various Acquisition | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Payments to acquire MSRs | 34.1 | ||||||||||||
Various Acquisition | MSRs | |||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 3,600 |
INVESTMENTS IN MORTGAGE SERVI_5
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Servicing Asset at Amortized Cost [Line Items] | ||||
Less: subservicing expense | $ (43,148) | $ (49,773) | $ (135,703) | $ (123,435) |
Servicing revenue, net | 175,355 | 58,014 | 538,784 | 269,467 |
Change in fair value of investments in mortgage servicing rights financing receivables | (88,345) | 70,232 | 63,628 | 75,828 |
MSRs | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Servicing fee revenue | 158,458 | 113,741 | 408,967 | 299,642 |
Ancillary and other fees | 43,638 | 24,641 | 94,699 | 51,811 |
Servicing fee revenue and fees | 202,096 | 138,382 | 503,666 | 351,453 |
Amortization of servicing rights | (70,933) | (68,850) | (191,499) | (159,451) |
Change in valuation inputs and assumptions(A) | 44,192 | (11,518) | 226,617 | 77,465 |
Change in valuation inputs and assumptions | 222,751 | |||
Servicing revenue, net | 175,355 | 58,014 | 538,784 | 269,467 |
MSRs | Mortgage Servicing Rights Financing Receivable | New Residential Mortgage LLC | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Servicing fee revenue | 181,495 | 38,510 | 575,909 | 41,185 |
Ancillary and other fees | 39,257 | 4,327 | 109,852 | 4,402 |
Less: subservicing expense | (61,454) | (11,139) | (192,275) | (11,433) |
Servicing fee revenue and fees | 159,298 | 31,698 | 493,486 | 34,154 |
Amortization of servicing rights | (49,016) | (18,883) | (154,559) | (20,010) |
Change in valuation inputs and assumptions | (39,329) | 89,115 | 218,187 | 95,838 |
Change in fair value of investments in mortgage servicing rights financing receivables | (88,345) | $ 70,232 | 63,628 | $ 75,828 |
Level 3 | Recurring Basis | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Fair value adjustment | 3,888 | |||
Level 3 | Recurring Basis | Excess Spread Financing | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Fair value adjustment | $ 3,900 | $ 3,888 |
INVESTMENTS IN MORTGAGE SERVI_6
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Rollforward of Carrying Value of Investments In MSRs (Details) - MSRs - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning balance | $ 1,735,504 | |||
Purchases | 801,366 | |||
Transfers | 135,288 | |||
Shellpoint Acquisition | 151,312 | |||
Originations | 17,282 | |||
Amortization of servicing rights | $ (70,933) | $ (68,850) | (191,499) | $ (159,451) |
Change in valuation inputs and assumptions | 222,751 | |||
Ending balance | $ 2,872,004 | 2,872,004 | ||
New Penn | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Shellpoint Acquisition | $ 48,300 |
INVESTMENTS IN MORTGAGE SERVI_7
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Investment in MSRs (Details) - USD ($) $ in Thousands | 9 Months Ended | ||||||||||
Sep. 30, 2018 | Aug. 31, 2018 | Jun. 28, 2018 | Jun. 04, 2018 | Jun. 01, 2018 | May 31, 2018 | May 25, 2018 | May 01, 2018 | Mar. 28, 2018 | Feb. 28, 2018 | Dec. 31, 2017 | |
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 84,100,000 | ||||||||||
Weighted Average Life (Years) | 1 year 8 days | ||||||||||
Carrying value of mortgage servicing rights financing receivable | $ 1,681,072 | $ 598,728 | |||||||||
MSRs | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 246,949,863 | ||||||||||
Weighted Average Life (Years) | 6 years 7 months 15 days | ||||||||||
Amortized Cost Basis | $ 2,390,079 | ||||||||||
Carrying Value | $ 2,872,004 | ||||||||||
Discount rate | 8.70% | ||||||||||
Mortgage Servicing Rights Financing Receivable | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
Discount rate | 10.30% | ||||||||||
Agency | MSRs | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 214,959,796 | ||||||||||
Weighted Average Life (Years) | 6 years 6 months | ||||||||||
Amortized Cost Basis | $ 2,068,667 | ||||||||||
Carrying Value | 2,479,734 | ||||||||||
Non-Agency | MSRs | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 2,056,930 | ||||||||||
Weighted Average Life (Years) | 6 years 9 months 18 days | ||||||||||
Amortized Cost Basis | $ 13,391 | ||||||||||
Carrying Value | 20,555 | ||||||||||
Ginnie Mae | MSRs | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 29,933,137 | ||||||||||
Weighted Average Life (Years) | 7 years 6 months | ||||||||||
Amortized Cost Basis | $ 308,021 | ||||||||||
Carrying Value | 371,715 | ||||||||||
MSRs | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 18,500,000 | $ 4,700,000 | $ 2,100,000 | $ 500,000 | $ 6,100,000 | $ 2,100,000 | $ 4,600,000 | $ 8,100,000 | $ 3,300,000 | ||
Carrying Value | 2,872,004 | $ 1,735,504 | |||||||||
MSRs | Mortgage Servicing Rights Financing Receivable | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 135,529,647 | ||||||||||
Weighted Average Life (Years) | 6 years 8 months 3 days | ||||||||||
Amortized Cost Basis | $ 1,351,372 | ||||||||||
Carrying value of mortgage servicing rights financing receivable | 1,681,072 | ||||||||||
MSRs | Agency | Mortgage Servicing Rights Financing Receivable | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 43,997,628 | ||||||||||
Weighted Average Life (Years) | 6 years | ||||||||||
Amortized Cost Basis | $ 380,949 | ||||||||||
Carrying value of mortgage servicing rights financing receivable | 467,613 | ||||||||||
MSRs | Non-Agency | Mortgage Servicing Rights Financing Receivable | |||||||||||
Servicing Asset at Amortized Cost [Line Items] | |||||||||||
UPB of Underlying Mortgages | $ 91,532,019 | ||||||||||
Weighted Average Life (Years) | 7 years | ||||||||||
Amortized Cost Basis | $ 970,423 | ||||||||||
Carrying value of mortgage servicing rights financing receivable | $ 1,213,459 |
INVESTMENTS IN MORTGAGE SERVI_8
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Activity Related to the Carrying Value of Investments in MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning Balance | $ 598,728 | |||
Ending Balance | $ 1,681,072 | 1,681,072 | ||
MSRs | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Investments made | 801,366 | |||
Transfer out | 135,288 | |||
Amortization of servicing rights | (70,933) | $ (68,850) | (191,499) | $ (159,451) |
Change in valuation inputs and assumptions | 222,751 | |||
Mortgage Servicing Rights Financing Receivable | MSRs | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Ending Balance | 1,681,072 | 1,681,072 | ||
Mortgage Servicing Rights Financing Receivable | New Residential Mortgage LLC | MSRs | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning Balance | 598,728 | |||
Investments made | 138,993 | |||
Transfer out | (135,288) | |||
New Ocwen Agreements | 1,017,993 | |||
Proceeds from sales | (2,982) | |||
Amortization of servicing rights | (49,016) | (18,883) | (154,559) | (20,010) |
Change in valuation inputs and assumptions | (39,329) | $ 89,115 | 218,187 | $ 95,838 |
Ending Balance | $ 1,681,072 | $ 1,681,072 |
INVESTMENTS IN MORTGAGE SERVI_9
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - MSRs - Mortgage Loans | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 20.50% | 19.00% |
New York | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.10% | 6.30% |
Florida | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.00% | 6.00% |
Texas | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.20% | 5.70% |
New Jersey | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.10% | 5.20% |
Illinois | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.90% | 4.10% |
Massachusetts | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.60% | 3.80% |
Maryland | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 2.80% |
Pennsylvania | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.30% |
Virginia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.10% |
Other U.S. | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 36.80% | 40.70% |
INVESTMENTS IN MORTGAGE SERV_10
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Advances Included in Servicing Advances Receivable (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Investment [Line Items] | |||
Outstanding Servicer Advances | [1] | $ 799,936 | $ 4,027,379 |
Servicer Advances Receivable | |||
Investment [Line Items] | |||
Principal and interest advances | 816,290 | 172,467 | |
Escrow advances (taxes and insurance advances) | 2,095,423 | 482,884 | |
Foreclosure advances | 212,206 | 16,017 | |
Outstanding Servicer Advances | 3,123,919 | 671,368 | |
Servicer advances receivable related to agency MSRs | 189,900 | 167,900 | |
Servicer advances receivable related to Ginnie Mae MSRS, recoverable from Ginnie Mae | 10,000 | 0 | |
Servicer advances, unamortized discount and accrual | $ 93,200 | $ 4,200 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
SERVICER ADVANCE INVESTMENTS -
SERVICER ADVANCE INVESTMENTS - Narrative (Details) $ in Millions | Sep. 30, 2018USD ($) |
Advance Purchaser LLC | |
Investment [Line Items] | |
Capital distributed to third-party co-investors | $ 322 |
Capital distributed to New Residential | $ 289.5 |
Servicer Advance Investments | |
Investment [Line Items] | |
New Residential’s ownership | 73.20% |
Funded capital commitments | $ 312.7 |
Servicer Advance Investments | Noncontrolling Third-party Investors | |
Investment [Line Items] | |
Funded capital commitments | $ 389.6 |
SERVICER ADVANCE INVESTMENTS _2
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Investments in and Advances to Affiliates [Line Items] | |||||
Amortized Cost Basis | $ 783,141 | $ 783,141 | $ 3,924,003 | ||
Carrying Value | $ 799,936 | $ 799,936 | $ 4,027,379 | ||
Weighted Average Discount Rate | 5.90% | 5.90% | 6.80% | ||
Weighted Average Yield | 5.80% | 5.80% | 7.30% | ||
Weighted Average Life (Years) | 5 years 10 months 24 days | 5 years 1 month 2 days | |||
Change in Fair Value of Servicer Advance Investments | $ (5,353) | $ 10,941 | $ (86,581) | $ 70,469 |
SERVICER ADVANCE INVESTMENTS _3
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | $ 84,100,000 | ||
Outstanding Servicer Advances | [1] | 799,936 | $ 4,027,379 |
Face Amount of Notes and Bonds Payable | 21,663,262 | ||
Servicer Advance Investments | Servicer Advances | |||
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | 42,323,957 | 139,460,371 | |
Outstanding Servicer Advances | $ 637,102 | $ 3,581,876 | |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.50% | 2.60% | |
Face Amount of Notes and Bonds Payable | $ 630,422 | $ 3,461,718 | |
Gross Loan-to-Value | 89.30% | 93.20% | |
Net Loan-to-Value | 88.20% | 92.00% | |
Gross Cost of Funds | 3.70% | 3.30% | |
Net Cost of Funds | 3.10% | 3.00% | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
SERVICER ADVANCE INVESTMENTS _4
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Investment [Line Items] | |||
Total | [1] | $ 799,936 | $ 4,027,379 |
Servicer Advance Investments | Servicer Advances | |||
Investment [Line Items] | |||
Principal and interest advances | 114,351 | 909,133 | |
Escrow advances (taxes and insurance advances) | 236,799 | 1,636,381 | |
Foreclosure advances | 285,952 | 1,036,362 | |
Total | $ 637,102 | $ 3,581,876 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
SERVICER ADVANCE INVESTMENTS _5
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Investment [Line Items] | ||||
Interest income, gross of amounts attributable to servicer compensation | $ 21,183 | $ 83,979 | $ 63,731 | $ 290,933 |
Amounts attributable to base servicer compensation | (2,347) | (38,549) | (6,354) | (145,055) |
Amounts attributable to incentive servicer compensation | (7,095) | 84,724 | (14,255) | 300,788 |
Interest income from Servicer Advance Investments | $ 11,741 | $ 130,154 | $ 43,122 | $ 446,666 |
SERVICER ADVANCE INVESTMENTS _6
SERVICER ADVANCE INVESTMENTS - Summary of Information on the Assets and Liabilities related to Consolidated VIE (Details) - VIE, consolidated - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets | ||
Servicer advance investments, at fair value | $ 774,851 | $ 1,002,102 |
Cash and cash equivalents | 30,073 | 40,929 |
All other assets | 10,592 | 13,011 |
Total assets | 815,516 | 1,056,042 |
Liabilities | ||
Notes and bonds payable | 610,277 | 789,979 |
All other liabilities | 3,055 | 3,308 |
Total liabilities | $ 613,332 | $ 793,287 |
SERVICER ADVANCE INVESTMENTS _7
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances - Others' Interests (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Others | ||||||
Investment [Line Items] | ||||||
Investment in equity | $ 54,118 | $ 54,118 | $ 71,491 | |||
Ownership interest | 26.80% | 26.80% | 27.20% | |||
Net income | $ (81) | $ 1,224 | $ 2,358 | $ 10,372 | ||
Noncontrolling ownership interest in net income | 27.10% | 34.20% | 27.20% | 27.20% | 50.70% | |
Servicer Advance Investments | ||||||
Investment [Line Items] | ||||||
Investment in equity | $ 202,184 | $ 202,184 | $ 262,755 | |||
Ownership interest | 73.20% | 73.20% | ||||
Net income | $ (299) | $ 3,584 | $ 8,667 | $ 20,460 |
INVESTMENTS IN REAL ESTATE AN_3
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018USD ($)securitybond | Dec. 31, 2017USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 20,633,278 | |
Amortized Cost Basis | 11,170,089 | |
Carrying Value | $ 11,650,257 | $ 8,071,140 |
Weighted Average Life (Years) | 1 year 8 days | |
Investments | $ 22,333,655 | |
Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value | $ 431,400 | |
Number of bonds which New Residential was unable to obtain rating information | bond | 221 | |
Residual Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | $ 220,000 | |
Non-Agency Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | 0 | |
Treasury | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face | 0 | |
Purchase Price | 0 | |
Face | 862,000 | |
Amortized Cost | 858,000 | |
Sale Price | 849,800 | |
Gain (Loss) on Sale | (8,200) | |
Outstanding Face Amount | 0 | |
Amortized Cost Basis | 0 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 0 | 852,734 |
Number of Securities | security | 0 | |
Weighted Average Rating | N/A | |
Weighted Average Coupon | 0.00% | |
Weighted Average Yield | 0.00% | |
Weighted Average Life (Years) | 0 years | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face | $ 7,153,600 | |
Purchase Price | 7,226,400 | |
Face | 5,626,700 | |
Amortized Cost | 5,710,400 | |
Sale Price | 5,652,100 | |
Gain (Loss) on Sale | (58,300) | |
Outstanding Face Amount | 2,653,034 | |
Amortized Cost Basis | 2,678,375 | |
Gross Unrealized Gains | 705 | |
Gross Unrealized Losses | (5,217) | |
Carrying Value | $ 2,673,863 | 1,243,617 |
Number of Securities | security | 31 | |
Weighted Average Rating | AAA | |
Weighted Average Coupon | 3.95% | |
Weighted Average Yield | 3.82% | |
Weighted Average Life (Years) | 9 years 9 months 29 days | |
Agency RMBS | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 2,700,000 | |
Agency RMBS | Floating Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 0 | |
Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face | 6,866,900 | |
Purchase Price | 3,475,100 | |
Face | 105,100 | |
Amortized Cost | 82,300 | |
Sale Price | 81,300 | |
Gain (Loss) on Sale | (1,000) | |
Outstanding Face Amount | 17,980,244 | |
Amortized Cost Basis | 8,491,714 | |
Gross Unrealized Gains | 549,206 | |
Gross Unrealized Losses | (64,526) | |
Carrying Value | $ 8,976,394 | 5,974,789 |
Number of Securities | security | 858 | |
Weighted Average Rating | B | |
Weighted Average Coupon | 3.22% | |
Weighted Average Yield | 5.50% | |
Weighted Average Life (Years) | 7 years 1 month 13 days | |
Weighted Average Principal Subordination | 12.40% | |
Non-Agency | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 3,700,000 | |
Residual and interest - only notional amount | 1,400,000 | |
Non-Agency | Floating Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 14,300,000 | |
Residual and interest - only notional amount | 5,900,000 | |
Investments in Real Estate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 20,633,278 | |
Amortized Cost Basis | 11,170,089 | |
Gross Unrealized Gains | 549,911 | |
Gross Unrealized Losses | (69,743) | |
Carrying Value | $ 11,650,257 | $ 8,071,140 |
Number of Securities | security | 889 | |
Weighted Average Rating | BB+ | |
Weighted Average Coupon | 3.39% | |
Weighted Average Yield | 5.09% | |
Weighted Average Life (Years) | 7 years 9 months 7 days | |
Corporate debt | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 85,000 | |
Amortized Cost Basis | 85,000 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (2,550) | |
Carrying Value | $ 82,450 | |
Number of Securities | security | 1 | |
Weighted Average Rating | B- | |
Weighted Average Coupon | 8.25% | |
Weighted Average Yield | 8.25% | |
Weighted Average Life (Years) | 6 years 6 months 16 days | |
Consumer loan bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 62,241 | |
Amortized Cost Basis | 61,687 | |
Gross Unrealized Gains | 208 | |
Gross Unrealized Losses | (6,022) | |
Carrying Value | $ 55,869 | |
Number of Securities | security | 6 | |
Weighted Average Rating | B | |
Weighted Average Yield | 18.94% | |
Weighted Average Life (Years) | 1 year 6 months 27 days | |
MSR bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 228,000 | |
Amortized Cost Basis | 228,000 | |
Gross Unrealized Gains | 1,734 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 229,734 | |
Number of Securities | security | 2 | |
Weighted Average Rating | BBB- | |
Weighted Average Coupon | 4.95% | |
Weighted Average Yield | 4.86% | |
Weighted Average Life (Years) | 8 years 10 months 4 days | |
Interest-only securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 5,279,031 | |
Amortized Cost Basis | 231,257 | |
Gross Unrealized Gains | 21,605 | |
Gross Unrealized Losses | (9,388) | |
Carrying Value | $ 243,478 | |
Number of Securities | security | 66 | |
Weighted Average Rating | AA+ | |
Weighted Average Coupon | 1.48% | |
Weighted Average Yield | 4.88% | |
Weighted Average Life (Years) | 3 years 7 days | |
Servicing Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 996,167 | |
Amortized Cost Basis | 8,662 | |
Gross Unrealized Gains | 1,908 | |
Gross Unrealized Losses | (216) | |
Carrying Value | $ 10,354 | |
Number of Securities | security | 28 | |
Weighted Average Rating | N/A | |
Weighted Average Coupon | 0.21% | |
Weighted Average Yield | 13.83% | |
Weighted Average Life (Years) | 6 years 9 days |
INVESTMENTS IN REAL ESTATE AN_4
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary impairment | $ 3,889 | $ 1,509 | $ 23,190 | $ 8,736 |
Real estate securities acquired with credit quality deterioration, face amount | 1,444,700 | |||
Real estate securities acquired with credit quality deterioration, expected cash flows | 1,271,900 | |||
Real estate securities acquired with credit quality deterioration, fair value | 965,600 | |||
Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Face amount of securities sold, unsettled | 3,400,000 | 3,400,000 | ||
Face amount of securities purchased | 1,800,000 | 1,800,000 | ||
Proceeds from sale of AFS, unsettled | 3,400,000 | 3,400,000 | ||
Purchase of real estate securities, unsettled | 1,800,000 | 1,800,000 | ||
Non-Agency | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Face amount of securities sold, unsettled | 15,100 | 15,100 | ||
Purchase of real estate securities, unsettled | $ 13,500 | $ 13,500 |
INVESTMENTS IN REAL ESTATE AN_5
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018USD ($)bondsecurity | Dec. 31, 2017USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 20,633,278 | |
Other Than Temporary Impairment - Amortized Cost Basis | (46,165) | $ (23,821) |
Amortized Cost Basis | $ 11,170,089 | |
Weighted Average Life (Years) | 1 year 8 days | |
Less than 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 4,844,162 | |
Before Impairment - Amortized Cost Basis | 3,096,895 | |
Other Than Temporary Impairment - Amortized Cost Basis | (3,530) | |
Amortized Cost Basis | 3,093,365 | |
Gross Unrealized Losses - Less than Twelve Months | (44,043) | |
Carrying Value - Less than Twelve Months | $ 3,049,322 | |
Number of Securities - Less than Twelve Months | security | 224 | |
Weighted Average Rating | BB+ | |
Weighted Average Coupon | 3.44% | |
Weighted Average Yield | 4.58% | |
Weighted Average Life (Years) | 7 years 8 months 23 days | |
Number of bonds which New Residential was unable to obtain rating information | bond | 65 | |
12 or More Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 1,230,875 | |
Before Impairment - Amortized Cost Basis | 457,146 | |
Other Than Temporary Impairment - Amortized Cost Basis | (359) | |
Amortized Cost Basis | 456,787 | |
Gross Unrealized Losses - Twelve or More Months | (25,700) | |
Carrying Value - Twelve or More Months | $ 431,087 | |
Number of Securities - Twelve or More Months | security | 77 | |
Weighted Average Rating | BB- | |
Weighted Average Coupon | 1.80% | |
Weighted Average Yield | 6.42% | |
Weighted Average Life (Years) | 5 years 11 months 19 days | |
Number of bonds which New Residential was unable to obtain rating information | bond | 14 | |
Total/Weighted Average | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 6,075,037 | |
Before Impairment - Amortized Cost Basis | 3,554,041 | |
Other Than Temporary Impairment - Amortized Cost Basis | (3,889) | |
Amortized Cost Basis | 3,550,152 | |
Gross Unrealized Losses - Total | (69,743) | |
Carrying Value - Total | $ 3,480,409 | |
Number of Securities - Total | security | 301 | |
Weighted Average Rating | BB+ | |
Weighted Average Coupon | 3.23% | |
Weighted Average Yield | 4.81% | |
Weighted Average Life (Years) | 7 years 6 months 1 day |
INVESTMENTS IN REAL ESTATE AN_6
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |
Unrealized losses reflected in other comprehensive income | $ 0 |
Securities New Residential intends to sell | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value | 0 |
Amortized Cost Basis After Impairment | 0 |
Unrealized Credit Losses | 0 |
Unrealized Non-Credit Losses | 0 |
Securities New Residential is more likely than not to be required to sell | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value | 0 |
Amortized Cost Basis After Impairment | 0 |
Unrealized Credit Losses | 0 |
Credit impaired securities | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value | 1,013,029,000 |
Amortized Cost Basis After Impairment | 1,036,994,000 |
Unrealized Credit Losses | (3,889,000) |
Unrealized Non-Credit Losses | (23,965,000) |
Non-credit impaired securities | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value | 2,467,380,000 |
Amortized Cost Basis After Impairment | 2,513,158,000 |
Unrealized Credit Losses | 0 |
Unrealized Non-Credit Losses | (45,778,000) |
Total debt securities in an unrealized loss position | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value | 3,480,409,000 |
Amortized Cost Basis After Impairment | 3,550,152,000 |
Unrealized Credit Losses | (3,889,000) |
Unrealized Non-Credit Losses | $ (69,743,000) |
INVESTMENTS IN REAL ESTATE AN_7
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
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 | $ 23,821 |
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 | 14,090 |
Additions for credit losses on securities for which an OTTI was not previously recognized | 9,100 |
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 | (846) |
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income | $ 46,165 |
INVESTMENTS IN REAL ESTATE AN_8
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 17,833,003 | $ 12,727,667 |
Percentage of Total Outstanding | 100.00% | 100.00% |
Non-Agency | Western U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 6,439,635 | $ 4,882,136 |
Percentage of Total Outstanding | 36.10% | 38.40% |
Non-Agency | Southeastern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 4,231,388 | $ 3,005,519 |
Percentage of Total Outstanding | 23.70% | 23.60% |
Non-Agency | Northeastern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 3,515,723 | $ 2,555,514 |
Percentage of Total Outstanding | 19.70% | 20.10% |
Non-Agency | Midwestern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 1,958,309 | $ 1,337,980 |
Percentage of Total Outstanding | 11.00% | 10.50% |
Non-Agency | Southwestern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 1,242,546 | $ 927,647 |
Percentage of Total Outstanding | 7.00% | 7.30% |
Non-Agency | Other U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 445,402 | $ 18,871 |
Percentage of Total Outstanding | 2.50% | 0.10% |
Consumer Loan | Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face amount of investment | $ 62,200 | $ 29,700 |
Corporate Loan | Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face amount of investment | $ 85,000 | $ 0 |
INVESTMENTS IN REAL ESTATE AN_9
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 6,368,757 | $ 5,364,847 |
Carrying Value | $ 4,234,978 | $ 3,493,723 |
INVESTMENTS IN REAL ESTATE A_10
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Balance, beginning | $ 2,000,266 |
Additions | 306,298 |
Accretion | (181,610) |
Reclassifications from (to) non-accretable difference | 146,240 |
Disposals | (3,277) |
Balance, ending | $ 2,267,917 |
INVESTMENTS IN RESIDENTIAL MO_3
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Weighted Average Life (Years) | 1 year 8 days | |
Unpaid Principal Balance | $ 84,100,000 | |
Threshold period past due (in days) | 60 days | |
Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 665,939 | |
Carrying Value | $ 620,303 | $ 507,615 |
Loan Count | loan | 8,968 | |
Weighted Average Yield | 7.30% | |
Weighted Average Life (Years) | 4 years 11 months 23 days | |
Floating Rate Loans as a % of Face Amount | 16.80% | |
Loan to Value Ratio (LTV) | 79.40% | |
Weighted Average Delinquency | 7.10% | |
Weighted Average FICO | 672 | |
Purchased Credit Deteriorated Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 211,564 | |
Carrying Value | $ 156,020 | 183,540 |
Loan Count | loan | 1,828 | |
Weighted Average Yield | 7.70% | |
Weighted Average Life (Years) | 3 years 1 month 1 day | |
Floating Rate Loans as a % of Face Amount | 15.90% | |
Loan to Value Ratio (LTV) | 85.60% | |
Weighted Average Delinquency | 75.50% | |
Weighted Average FICO | 595 | |
Residential Mortgage Loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 877,503 | |
Carrying Value | $ 776,323 | 691,155 |
Loan Count | loan | 10,796 | |
Weighted Average Yield | 7.40% | |
Weighted Average Life (Years) | 4 years 6 months 8 days | |
Floating Rate Loans as a % of Face Amount | 16.60% | |
Loan to Value Ratio (LTV) | 80.90% | |
Weighted Average Delinquency | 23.60% | |
Weighted Average FICO | 653 | |
Reverse Mortgage Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 15,271 | |
Carrying Value | $ 6,813 | 6,870 |
Loan Count | loan | 41 | |
Weighted Average Yield | 7.90% | |
Weighted Average Life (Years) | 4 years 10 months 27 days | |
Floating Rate Loans as a % of Face Amount | 10.10% | |
Loan to Value Ratio (LTV) | 135.10% | |
Weighted Average Delinquency | 70.00% | |
Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 1,558,201 | |
Carrying Value | $ 1,582,174 | 1,071,371 |
Loan Count | loan | 13,155 | |
Weighted Average Yield | 4.10% | |
Weighted Average Life (Years) | 4 years 3 months 19 days | |
Floating Rate Loans as a % of Face Amount | 55.60% | |
Loan to Value Ratio (LTV) | 62.00% | |
Weighted Average Delinquency | 3.90% | |
Weighted Average FICO | 713 | |
Non-Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 518,317 | |
Carrying Value | $ 407,316 | 647,293 |
Loan Count | loan | 4,605 | |
Weighted Average Yield | 6.00% | |
Weighted Average Life (Years) | 2 years 10 months 9 days | |
Floating Rate Loans as a % of Face Amount | 17.90% | |
Loan to Value Ratio (LTV) | 89.70% | |
Weighted Average Delinquency | 73.20% | |
Weighted Average FICO | 589 | |
Residential Mortgage Loans, held-for-sale | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 2,091,789 | |
Carrying Value | $ 1,996,303 | 1,725,534 |
Loan Count | loan | 17,801 | |
Weighted Average Yield | 4.60% | |
Weighted Average Life (Years) | 3 years 11 months 12 days | |
Floating Rate Loans as a % of Face Amount | 45.90% | |
Loan to Value Ratio (LTV) | 69.40% | |
Weighted Average Delinquency | 21.60% | |
Weighted Average FICO | 682 | |
Originated Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 514,516 | |
Carrying Value | $ 524,863 | 0 |
Loan Count | loan | 1,948 | |
Weighted Average Yield | 4.90% | |
Weighted Average Life (Years) | 28 years 9 months 5 days | |
Floating Rate Loans as a % of Face Amount | 96.00% | |
Loan to Value Ratio (LTV) | 80.90% | |
Weighted Average Delinquency | 4.00% | |
Weighted Average FICO | 717 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 514,516 | |
Carrying Value | $ 524,863 | $ 0 |
Loan Count | loan | 1,948 | |
Weighted Average Yield | 4.90% | |
Weighted Average Life (Years) | 28 years 9 months 5 days | |
Floating Rate Loans as a % of Face Amount | 96.00% | |
Loan to Value Ratio (LTV) | 80.90% | |
Weighted Average Delinquency | 4.00% | |
Weighted Average FICO | 717 | |
Reverse Mortgage Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest in reverse mortgage loans | 70.00% | |
Unpaid principal balance | $ 500 | |
Percentage of loans that have reached a termination event | 52.00% | |
Reverse Mortgage Loans | Nationstar | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest in reverse mortgage loans | 30.00% | |
Performing Loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 25,700 | |
Non-Performing Loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | 56,500 | |
Non Agency Mortgage Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 124,400 |
INVESTMENTS IN RESIDENTIAL MO_4
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans | Sep. 30, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 19.30% | 9.10% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 12.00% | 12.80% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.30% | 8.20% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.60% | 6.60% |
New Jersey | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.20% | 5.20% |
Pennsylvania | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.90% |
Pennsylvania | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.90% | 3.40% |
Massachusetts | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.80% | 2.70% |
Maryland | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.40% | 2.70% |
Washington | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 1.70% | 1.70% |
Other U.S. | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 38.60% | 43.70% |
INVESTMENTS IN RESIDENTIAL MO_5
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Call Rights (Details) $ in Millions | Aug. 31, 2018USD ($)trust | May 31, 2018USD ($)trust | Jan. 31, 2018USD ($)trust | Sep. 30, 2018USD ($)trust | Jun. 30, 2018USD ($)trust | Apr. 30, 2018USD ($)trust | Mar. 31, 2018USD ($)trust |
Investment [Line Items] | |||||||
Unpaid Principal Balance | $ 84,100 | ||||||
Residential Mortgage Loans | |||||||
Investment [Line Items] | |||||||
Number of Trusts Called | trust | 6 | 12 | 4 | 12 | 8 | 25 | |
Previously acquired loans | $ 78.3 | $ 33.5 | |||||
Residential Mortgage Loans | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Number of Trusts Called | trust | 0 | ||||||
Residential Mortgage Loans | Call Right, Batch 2 | |||||||
Investment [Line Items] | |||||||
Number of Trusts Called | trust | 7 | ||||||
Residential Mortgage Loans | Securities Owned Prior | |||||||
Investment [Line Items] | |||||||
Face Amount | 9.6 | 6.7 | $ 14.7 | $ 32.3 | $ 5.8 | $ 85.9 | |
Amortized Cost Basis | 6.7 | 4.7 | 9.1 | 19.4 | 4.8 | 75.4 | |
Residential Mortgage Loans | Securities Owned Prior | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Face Amount | $ 0 | ||||||
Amortized Cost Basis | 0 | ||||||
Residential Mortgage Loans | Securities Owned Prior | Call Right, Batch 2 | |||||||
Investment [Line Items] | |||||||
Face Amount | 0.4 | ||||||
Amortized Cost Basis | 0.2 | ||||||
Residential Mortgage Loans | Assets Acquired | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 145.5 | 475.6 | 104.8 | 409 | 218.8 | 458.8 | |
Loan Price | 142.8 | 473.5 | 105.2 | 400.6 | 222.3 | 461.4 | |
REO & Other Price | 0.9 | 3.2 | $ 2 | $ 3.6 | $ 2 | $ 4.1 | |
Residential Mortgage Loans | Assets Acquired | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 0 | ||||||
Loan Price | 0 | ||||||
REO & Other Price | 0 | ||||||
Residential Mortgage Loans | Assets Acquired | Call Right, Batch 2 | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 32.5 | ||||||
Loan Price | 32.8 | ||||||
REO & Other Price | 0.1 | ||||||
Residential Mortgage Loans | Loans Sold | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 658.5 | 435.3 | |||||
Loans Sold, Gain (Loss) | (12.4) | (6.7) | |||||
Residential Mortgage Loans | Loans Sold | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 726.5 | ||||||
Loans Sold, Gain (Loss) | (17.8) | ||||||
Residential Mortgage Loans | Retained Bonds | |||||||
Investment [Line Items] | |||||||
Restricted Bonds, Basis | 535.8 | 52.9 | |||||
Residential Mortgage Loans | Retained Bonds | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Restricted Bonds, Basis | 76.8 | ||||||
Residential Mortgage Loans | Retained Assets | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 521.8 | 56 | |||||
Loan Price | 499.1 | 46.8 | |||||
REO & Other Price | $ 8.7 | $ 4.6 | |||||
Residential Mortgage Loans | Retained Assets | Call Right, Batch 1 | |||||||
Investment [Line Items] | |||||||
Unpaid Principal Balance | 265.3 | ||||||
Loan Price | 239 | ||||||
REO & Other Price | $ 14.4 |
INVESTMENTS IN RESIDENTIAL MO_6
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Performing Loans Past Due (Details) - Performing Loans - Residential Portfolio Segment | Sep. 30, 2018 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 100.00% |
Current | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 83.90% |
30-59 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 7.00% |
60-89 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 2.20% |
90-119 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 1.10% |
120 or greater | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 5.80% |
INVESTMENTS IN RESIDENTIAL MO_7
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Carrying Value of Mortgage Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Accretion of loan discount and premium amortization, net | $ 528,981 | $ 811,922 |
Transfer of loans to real estate owned | (83,844) | |
PCD Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 183,540 | |
Purchases/additional fundings | 29,785 | |
Sales | 0 | |
Proceeds from repayments | (30,261) | |
Accretion of loan discount and premium amortization, net | 18,282 | |
Provision for loan losses | 0 | |
Transfer of loans to real estate owned | (20,215) | |
Transfer of loans to held-for-sale | (25,111) | |
Balance, ending | 156,020 | |
Residential Portfolio Segment | Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 507,615 | |
Shellpoint acquisition | 125,350 | |
Purchases/additional fundings | 55,993 | |
Proceeds from repayments | (77,646) | |
Accretion of loan discount and premium amortization, net | 12,964 | |
Provision for loan losses | (604) | |
Transfer of loans to other assets | 0 | |
Transfer of loans to real estate owned | (2,768) | |
Transfer of loans to held-for-sale | (1,248) | |
Fair value adjustment | 647 | |
Balance, ending | $ 620,303 |
INVESTMENTS IN RESIDENTIAL MO_8
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Allowance for Loan Losses (Details) - Performing Loans - Residential Portfolio Segment $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Balance at December 31, 2017 | $ 196 |
Provision for loan losses | 604 |
Charge-offs | (800) |
Balance at September 30, 2018 | $ 0 |
INVESTMENTS IN RESIDENTIAL MO_9
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Unpaid Principal Balance and Carrying Value for Uncollectible Loans (Details) - PCD Loans - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 211,564 | $ 249,254 |
Carrying Value | $ 156,020 | $ 183,540 |
INVESTMENTS IN RESIDENTIAL M_10
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Changes in Accretable Yield (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Beginning balance | $ 88,631 |
Additions | 16,523 |
Accretion | (18,282) |
Change in accretable yield for non-credit related changes in expected cash flows | (3,414) |
Disposals | (5,235) |
Transfer of loans to held-for-sale | (8,437) |
Ending balance | $ 69,786 |
INVESTMENTS IN RESIDENTIAL M_11
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Loans Held-for-sale (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Loans Held-for-sale, Reconciliation [Roll Forward] | |
Transfer of loans to real estate owned | $ (83,844) |
Loans Held-for-sale | |
Loans Held-for-sale, Reconciliation [Roll Forward] | |
Beginning balance, loans held-for-sale | 1,725,534 |
Purchases | 3,295,432 |
Transfer of loans from held-for-investment | 26,359 |
Sales | (2,858,074) |
Transfer of loans to other assets | (6,254) |
Transfer of loans to real estate owned | (44,252) |
Proceeds from repayments | (151,942) |
Valuation (provision) reversal on loans | 9,500 |
Ending balance, loans held-for-sale | 1,996,303 |
Provision for loans held-for-sale | $ 14,000 |
INVESTMENTS IN RESIDENTIAL M_12
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Loans Held For Sale, Fair Value (Details) - Loans Held-for-sale, fair value $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Loans Held-for-sale, Reconciliation [Roll Forward] | |
Loans held-for-sale, fair value | $ 0 |
Shellpoint acquisition | 488,233 |
Originations | 1,678,606 |
Sales | (1,635,220) |
Proceeds from repayments | (3,747) |
Fair value adjustment | (3,009) |
Loans held-for-sale, fair value | $ 524,863 |
INVESTMENTS IN RESIDENTIAL M_13
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Gain On Sale of Originated Mortgage Loans, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Receivables [Abstract] | ||||
Gain on loans originated and sold | $ 24,684 | |||
Gain (loss) on settlement of mortgage loan origination derivative instruments | (2,757) | |||
MSRs retained on transfer of loans | 17,282 | |||
Other | 6,523 | |||
Gain on sale of originated mortgage loans, net | $ 45,732 | $ 0 | $ 45,732 | $ 0 |
INVESTMENTS IN RESIDENTIAL M_14
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Real Estate Owned (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Real Estate Owned [Roll Forward] | |
Beginning balance | $ 128,295 |
Purchases | 26,807 |
Transfer of loans to real estate owned | 83,844 |
Sales | (123,573) |
Valuation (provision) reversal on REO | (213) |
Ending balance | 115,160 |
Early buy-out and reverse mortgage loans, foreclosure completed | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Claims receivable | 20,100 |
Residential Mortgage | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 303,800 |
INVESTMENTS IN RESIDENTIAL M_15
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Variable Interest Entities, Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Assets | |||
Cash and cash equivalents | [1] | $ 330,148 | $ 295,798 |
Intangible assets | 4,308 | 0 | |
Total assets | 30,090,769 | 22,213,562 | |
Liabilities | |||
Reserve for sales recourse | 6,214 | 0 | |
Total liabilities | 24,253,721 | $ 17,417,400 | |
VIE, consolidated | Shelter Mortgage Company, LLC | |||
Assets | |||
Cash and cash equivalents | 17,421 | ||
Property and equipment, net | 157 | ||
Intangible assets | 74 | ||
Prepaid expenses and other assets | 1,309 | ||
Total assets | 18,961 | ||
Liabilities | |||
Accounts payable and accrued expenses | 1,514 | ||
Reserve for sales recourse | 921 | ||
Total liabilities | $ 2,435 | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN RESIDENTIAL M_16
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Variable Interest Entities, Noncontrolling Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Noncontrolling Interest [Line Items] | ||||
Noncontrolling Interests in Income of Consolidated Subsidiaries | $ 10,869 | $ 13,600 | $ 32,058 | $ 45,051 |
VIE, consolidated | Shelter Mortgage Company, LLC | ||||
Noncontrolling Interest [Line Items] | ||||
Consolidated Equity In Joint Ventures | 16,526 | 16,526 | ||
Interest in JVs | $ 8,362 | 8,362 | ||
Net Income (Loss) Attributable to Joint Ventures | $ 2,306 | |||
Ownership interest | 50.60% | 50.60% | ||
Noncontrolling ownership interest in net income | 50.60% | |||
Noncontrolling Interests in Income of Consolidated Subsidiaries | $ 1,167 |
INVESTMENTS IN RESIDENTIAL M_17
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Variable Interest Entities, Characteristics (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Variable Interest Entity [Line Items] | |
Unpaid Principal Balance | $ 84,100,000 |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Unpaid Principal Balance | $ 6,878,247 |
Weighted Average Delinquency | 1.88% |
Net credit losses for the nine months ended September 30, 2018 | $ 6,486 |
Face amount of debt held by third parties | 956,125 |
Carrying value of bonds retained by New Residential | 1,230,214 |
Cash flows received by New Residential on these bonds for the nine months ended September 30, 2018 | $ 113,325 |
Number of days delinquent (in days) | 60 days |
INVESTMENTS IN CONSUMER LOANS -
INVESTMENTS IN CONSUMER LOANS - Narrative (Details) $ / shares in Units, shares in Millions | Aug. 31, 2018shares | Feb. 28, 2017USD ($)investor$ / sharesshares | Sep. 30, 2018 |
WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of warrants to be purchased (in shares) | 177.7 | ||
Value of warrants to be purchased | $ | $ 75,000,000 | ||
Exercise price (in dollars per share) | $ / shares | $ 0.01 | ||
Consumer Loan Companies | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 53.50% | ||
LoanCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 25.00% | ||
Total purchase agreement amount | $ | $ 5,000,000,000 | ||
Term of purchase contract (in years) | 2 years | ||
Number of co-investors | investor | 3 | ||
Recording lag (in months) | 1 month | ||
WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 23.57% | ||
Number of co-investors | investor | 3 | ||
Consumer Loan Seller | WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of warrants owned (in shares) | 96.3 | ||
Consumer Loan Seller | New Residential and Co Investors | Consumer Portfolio Segment | Series F Convertible Preferred Stock | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of securities called by warrants or rights | 30 |
INVESTMENTS IN CONSUMER LOANS_2
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | ||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 84,100,000 | ||
Carrying Value | [1] | $ 1,140,769 | $ 1,374,263 |
Weighted Average Life (Years) | 1 year 8 days | ||
Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 14,400 | ||
Consumer Portfolio Segment | New Residential Investment Corp. | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | 1,142,058 | 1,377,792 | |
Carrying Value | $ 1,140,769 | $ 1,374,263 | |
Weighted Average Coupon | 18.00% | 17.90% | |
Weighted Average Life (Years) | 3 years 5 months 29 days | 3 years 6 months | |
Weighted Average Delinquency | 6.50% | 7.30% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Other - Performing Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 46,253 | $ 89,682 | |
New Residential’s ownership | 100.00% | 100.00% | |
Carrying Value | $ 43,257 | $ 85,253 | |
Weighted Average Coupon | 14.10% | 14.10% | |
Weighted Average Life (Years) | 9 months 23 days | 1 year | |
Weighted Average Delinquency | 5.80% | 4.50% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Performing Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 858,817 | $ 1,005,570 | |
New Residential’s ownership | 53.50% | 53.50% | |
Carrying Value | $ 901,166 | $ 1,052,561 | |
Weighted Average Coupon | 18.80% | 18.70% | |
Weighted Average Life (Years) | 3 years 7 months 30 days | 3 years 8 months 12 days | |
Weighted Average Delinquency | 5.20% | 6.00% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Purchased Credit Deteriorated Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 236,988 | $ 282,540 | |
New Residential’s ownership | 53.50% | 53.50% | |
Carrying Value | $ 196,346 | $ 236,449 | |
Weighted Average Coupon | 16.00% | 16.20% | |
Weighted Average Life (Years) | 3 years 4 months 24 days | 3 years 3 months 18 days | |
Weighted Average Delinquency | 11.30% | 12.50% | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN CONSUMER LOANS_3
INVESTMENTS IN CONSUMER LOANS - Consumer Loans Receivable Past Due (Details) - Performing Loans - Consumer Portfolio Segment | Sep. 30, 2018 |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 100.00% |
Current | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 94.70% |
30-59 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 2.00% |
60-89 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.30% |
90-119 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 0.80% |
120 or greater | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.20% |
INVESTMENTS IN CONSUMER LOANS_4
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Performing Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Loans Receivable [Roll Forward] | ||
Purchases | $ 85,778 | $ 585,983 |
Proceeds from repayments | (110,770) | (59,673) |
Accretion of loan discount and premium amortization, net | 528,981 | $ 811,922 |
Consumer Portfolio Segment | Performing Loans | ||
Loans Receivable [Roll Forward] | ||
Beginning balance | 1,137,814 | |
Purchases | 0 | |
Additional fundings | 45,017 | |
Proceeds from repayments | (196,589) | |
Accretion of loan discount and premium amortization, net | 1,596 | |
Gross charge-offs | (45,112) | |
Additions to the allowance for loan losses, net | 1,697 | |
Ending balance | $ 944,423 |
INVESTMENTS IN CONSUMER LOANS_5
INVESTMENTS IN CONSUMER LOANS - Allowance for Loan Losses (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Unpaid Principal Balance | $ 84,100,000 |
Consumer Portfolio Segment | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Unpaid Principal Balance | 14,400 |
Carrying value of TDR | 13,400 |
Consumer Portfolio Segment | Performing Loans | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Beginning balance, collectively evaluated | 4,429 |
Beginning balance, individually impaired | 1,676 |
Balance at December 31, 2017 | 6,105 |
Provision for loan losses | 36,596 |
Charge-offs | (38,293) |
Ending balance, collectively evaluated | 2,996 |
Ending balance, individually impaired | 1,412 |
Balance at September 30, 2018 | 4,408 |
Recovery of bad debts | 6,800 |
Consumer Portfolio Segment | Performing Loans | Allowance for Losses on Finance Receivables, Collectively Evaluated | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Provision for loan losses | 36,860 |
Charge-offs | (38,293) |
Consumer Portfolio Segment | Performing Loans | Allowance for Losses on Finance Receivables, Individually Impaired | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Provision for loan losses | (264) |
Charge-offs | $ 0 |
INVESTMENTS IN CONSUMER LOANS_6
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Purchased Credit Deteriorated Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Loans Receivable [Roll Forward] | ||
Proceeds from repayments | $ (110,770) | $ (59,673) |
Accretion of loan discount and premium amortization, net | 528,981 | $ 811,922 |
Receivables Acquired with Deteriorated Credit Quality | Consumer Portfolio Segment | ||
Loans Receivable [Roll Forward] | ||
Beginning balance | 236,449 | |
Provision for loan losses | 0 | |
Proceeds from repayments | (68,221) | |
Accretion of loan discount and premium amortization, net | 28,118 | |
Ending balance | $ 196,346 |
INVESTMENTS IN CONSUMER LOANS_7
INVESTMENTS IN CONSUMER LOANS - Unpaid Principal Balance of Purchased Credit Deteriorated Loans (Details) - Receivables Acquired with Deteriorated Credit Quality - Consumer Portfolio Segment - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Financing Receivable, Impaired [Line Items] | ||
Unpaid Principal Balance | $ 236,988 | $ 282,540 |
Carrying Value | $ 196,346 | $ 236,449 |
INVESTMENTS IN CONSUMER LOANS_8
INVESTMENTS IN CONSUMER LOANS - Changes in Accretable Yield (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Loans Receivable [Roll Forward] | |
Beginning balance | $ 88,631 |
Accretion | (18,282) |
Ending balance | 69,786 |
Consumer Portfolio Segment | Receivables Acquired with Deteriorated Credit Quality | |
Loans Receivable [Roll Forward] | |
Beginning balance | 132,291 |
Accretion | (28,118) |
Reclassifications to non-accretable difference | 28,474 |
Ending balance | $ 132,647 |
INVESTMENTS IN CONSUMER LOANS_9
INVESTMENTS IN CONSUMER LOANS - Noncontrolling Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Noncontrolling Interest [Line Items] | |||||
Total Consumer Loan Companies equity | $ 5,743,320 | $ 5,743,320 | $ 4,690,205 | ||
Others’ interests in equity of consolidated subsidiary | 93,728 | 93,728 | 105,957 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 10,869 | $ 13,600 | 32,058 | $ 45,051 | |
Consumer Loan Companies | |||||
Noncontrolling Interest [Line Items] | |||||
Total Consumer Loan Companies equity | 67,200 | 67,200 | 74,071 | ||
Net Consumer Loan Companies income (loss) | 21,038 | 26,616 | 61,359 | 74,580 | |
Consumer Loan Companies | |||||
Noncontrolling Interest [Line Items] | |||||
Others’ interests in equity of consolidated subsidiary | 31,248 | 31,248 | $ 34,466 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 9,783 | $ 12,376 | $ 28,533 | $ 34,679 | |
Others | Consumer Loan Companies | |||||
Noncontrolling Interest [Line Items] | |||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% | 46.50% | 46.50% |
INVESTMENTS IN CONSUMER LOAN_10
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Variable Interest Entities (Details) - VIE, consolidated - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | |
Variable Interest Entity [Line Items] | ||
Total assets | $ 815,516 | $ 1,056,042 |
Notes and bonds payable | 610,277 | 789,979 |
Accounts payable and accrued expenses | 3,055 | 3,308 |
Total liabilities | 613,332 | 793,287 |
Consumer Loan Companies | ||
Variable Interest Entity [Line Items] | ||
Consumer loans, held-for-investment | 1,097,512 | 1,289,010 |
Restricted cash | 10,479 | 11,563 |
Accrued interest receivable | 16,351 | 19,360 |
Total assets | 1,124,342 | 1,319,933 |
Notes and bonds payable | 1,088,954 | 1,284,436 |
Accounts payable and accrued expenses | 4,144 | 4,007 |
Total liabilities | 1,093,098 | $ 1,288,443 |
Face amount of bonds retained | $ 121,000 |
INVESTMENTS IN CONSUMER LOAN_11
INVESTMENTS IN CONSUMER LOANS - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2018 | Aug. 31, 2018 | Sep. 30, 2017 | Aug. 31, 2017 | Sep. 30, 2018 | Aug. 31, 2018 | Sep. 30, 2017 | Aug. 31, 2017 | Dec. 31, 2017 | Nov. 30, 2017 | |
Schedule of Equity Method Investments [Line Items] | ||||||||||
New Residential’s equity in net income | $ 4,555 | $ 6,769 | $ 12,343 | $ 12,649 | ||||||
Consumer Portfolio Segment | LoanCo and WarrantCo | ||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||
Consumer loans, at fair value | $ 85,424 | $ 85,424 | $ 178,422 | |||||||
Warrants, at fair value | 110,311 | 110,311 | 80,746 | |||||||
Other assets | 56,296 | 56,296 | 46,342 | |||||||
Warehouse financing | (49,668) | (49,668) | (117,944) | |||||||
Other liabilities | (8,909) | (8,909) | (13,059) | |||||||
Equity | 193,454 | 193,454 | 174,507 | |||||||
Undistributed retained earnings | 0 | 0 | 0 | |||||||
New Residential’s investment | $ 44,787 | $ 46,888 | 44,787 | $ 46,888 | $ 51,412 | $ 42,473 | ||||
New Residential’s ownership | 24.20% | 24.20% | 24.30% | |||||||
Interest income | $ 16,513 | $ 12,276 | $ 38,032 | $ 25,105 | ||||||
Interest expense | (4,364) | (2,635) | (10,082) | (5,768) | ||||||
Change in fair value of consumer loans and warrants | 5,676 | 12,475 | 24,750 | 16,030 | ||||||
Gain on sale of consumer loans | 2,379 | 6,928 | 3,512 | 18,778 | ||||||
Other expenses | (1,604) | (1,459) | (6,201) | (3,039) | ||||||
Net income | 18,600 | 27,585 | 50,011 | 51,106 | ||||||
New Residential’s equity in net income | $ 4,555 | $ 6,769 | $ 12,343 | $ 12,343 | $ 12,649 | |||||
New Residential’s ownership | 24.50% | 24.50% | 24.70% | 24.80% |
INVESTMENTS IN CONSUMER LOAN_12
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Equity Method Investments (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2018 | Dec. 31, 2017 | ||
Schedule of Equity Method Investments [Line Items] | |||
UPB of Underlying Mortgages | $ 84,100,000 | ||
Carrying Value | [1] | $ 1,140,769 | $ 1,374,263 |
Weighted Average Life (Years) | 1 year 8 days | ||
Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
UPB of Underlying Mortgages | $ 14,400 | ||
LoanCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
UPB of Underlying Mortgages | $ 85,424 | ||
Interest in Consumer Loans | 25.00% | ||
Carrying Value | $ 85,424 | ||
Weighted Average Coupon | 14.40% | ||
Weighted Average Life (Years) | 1 year 2 months 2 days | ||
Weighted Average Delinquency | 2.30% | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN CONSUMER LOAN_13
INVESTMENTS IN CONSUMER LOANS - Changes in Consumer Loan Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2018 | Aug. 31, 2018 | Sep. 30, 2017 | Aug. 31, 2017 | Sep. 30, 2018 | Aug. 31, 2018 | Sep. 30, 2017 | Aug. 31, 2017 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||||||||
Distributions of earnings from equity method investees | $ (7,976) | $ (11,054) | ||||||
Earnings from investments in consumer loans, equity method investees | $ 4,555 | $ 6,769 | 12,343 | $ 12,649 | ||||
Consumer Portfolio Segment | LoanCo and WarrantCo | ||||||||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||||||||
Beginning balance | 51,412 | $ 42,473 | ||||||
Contributions to equity method investees | 292,616 | |||||||
Distributions of earnings from equity method investees | (6,176) | |||||||
Distributions of capital from equity method investees | (305,408) | |||||||
Earnings from investments in consumer loans, equity method investees | $ 4,555 | $ 6,769 | 12,343 | 12,343 | $ 12,649 | |||
Ending balance | $ 44,787 | $ 46,888 | $ 44,787 | $ 46,888 |
DERIVATIVES - Narrative (Detail
DERIVATIVES - Narrative (Details) - Not Designated as Hedging Instrument - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
TBAs | Short | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 5,466,100 | $ 3,101,100 |
TBAs | Long | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | 4,207,800 | 1,014,000 |
Interest Rate Lock Commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | 572,654 | 0 |
Forward Loan Sale Commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 28,402 | $ 0 |
DERIVATIVES - Derivatives Recor
DERIVATIVES - Derivatives Recorded at Fair Value (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative assets | $ 27,212,000 | $ 2,423,000 |
Derivative liabilities | 2,294,000 | 697,000 |
Interest Rate Caps | ||
Derivative [Line Items] | ||
Derivative assets | 8,000 | 2,423,000 |
Interest Rate Lock Commitments | ||
Derivative [Line Items] | ||
Derivative assets | 8,357,000 | 0 |
Forward Loan Sale Commitments | ||
Derivative [Line Items] | ||
Derivative assets | 305,000 | 0 |
TBAs | ||
Derivative [Line Items] | ||
Derivative assets | 18,542,000 | 0 |
Derivative liabilities | 0 | 697,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Derivative liabilities | 2,294,000 | 0 |
Variation margin accounts | $ (6,800,000) | $ 0 |
DERIVATIVES - Derivatives Notio
DERIVATIVES - Derivatives Notional Amount (Details) - Not Designated as Hedging Instrument - USD ($) | 9 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | |
Interest Rate Caps | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 162,500,000 | $ 772,500,000 |
Weighted average maturity (in months) | 4 months | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ 4,242,000,000 | 0 |
Weighted average maturity (in months) | 50 months | |
Weighted average fixed pay rate | 2.93% | |
Interest Rate Lock Commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 572,654,000 | 0 |
Forward Loan Sale Commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | 28,402,000 | 0 |
TBAs | Short | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | 5,466,100,000 | 3,101,100,000 |
TBAs | Long | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 4,207,800,000 | $ 1,014,000,000 |
Interest Rate Cap, Contract Two | ||
Derivative [Line Items] | ||
Derivative, cap interest rate | 4.00% | |
Notional amount of derivatives | $ 162,500,000 |
DERIVATIVES - Derivatives Gain
DERIVATIVES - Derivatives Gain (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | $ 24,299 | $ 3,560 | $ 27,985 | $ (124) |
Gain (loss) on settlement of investments, net | 19,459 | (18,756) | 76,092 | (58,326) |
Total income (losses) | 43,758 | (15,196) | 104,077 | (58,450) |
Gain (loss) on settlement of mortgage loan origination derivative instruments | (2,757) | |||
Interest Rate Caps | ||||
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | (2) | (1,083) | 436 | (1,353) |
Gain (loss) on settlement of investments, net | 0 | 322 | (603) | (240) |
Interest Rate Swaps | ||||
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | 18,785 | 5,300 | 19,668 | 349 |
Gain (loss) on settlement of investments, net | (656) | (2,499) | 37,287 | (12,097) |
Interest Rate Lock Commitments | ||||
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | (2,247) | 0 | (2,247) | 0 |
Forward Loan Sale Commitments | ||||
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | (17) | 0 | (17) | 0 |
TBAs | ||||
Derivative [Line Items] | ||||
Unrealized gain (loss) on derivative instruments | 7,780 | (657) | 10,145 | 880 |
Gain (loss) on settlement of investments, net | $ 20,115 | $ (16,579) | $ 39,408 | $ (45,989) |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 21,663,262,000 | |
Carrying Value | $ 21,641,966,000 | $ 15,746,530,000 |
Weighted Average Funding Cost | 3.36% | |
Weighted Average Life (Years) | 1 year 8 days | |
Interest payable | $ 38,284,000 | 28,821,000 |
UPB of Underlying Mortgages | 84,100,000,000 | |
Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 4,152,930,000 | |
Carrying Value | $ 4,152,930,000 | 1,974,164,000 |
Weighted Average Funding Cost | 2.24% | |
Weighted Average Life (Years) | 1 month 17 days | |
Agency RMBS | Repurchase Agreements | Trade And Other Receivables | ||
Debt Instrument [Line Items] | ||
Collateral amount | $ 3,400,000,000 | |
Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 2 years 7 days | |
Outstanding Face of Collateral | $ 4,270,689,000 | |
Amortized Cost Basis of Collateral | 4,338,416,000 | |
Carrying Value of Collateral | 4,304,875,000 | |
Non-Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 7,438,875,000 | |
Carrying Value | $ 7,438,647,000 | 4,720,290,000 |
Weighted Average Funding Cost | 3.32% | |
Weighted Average Life (Years) | 1 month 22 days | |
Non-Agency RMBS | Repurchase Agreements | Retained Servicer Advance and Consumer Bonds | ||
Debt Instrument [Line Items] | ||
Carrying Value | $ 166,100,000 | |
Non-Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 1 month 19 days | |
Outstanding Face of Collateral | $ 15,895,795,000 | |
Amortized Cost Basis of Collateral | 8,379,793,000 | |
Carrying Value of Collateral | 8,861,324,000 | |
Residential Mortgage | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 2,707,458,000 | |
Carrying Value | $ 2,706,521,000 | 1,849,004,000 |
Weighted Average Funding Cost | 3.92% | |
Weighted Average Life (Years) | 6 months 18 days | |
Residential Mortgage | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 11 years 2 months 6 days | |
Outstanding Face of Collateral | $ 3,155,945,000 | |
Amortized Cost Basis of Collateral | 2,992,424,000 | |
Carrying Value of Collateral | 2,996,601,000 | |
Residential Mortgage | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 125,355,000 | |
Carrying Value | $ 123,097,000 | 137,196,000 |
Weighted Average Funding Cost | 3.74% | |
Weighted Average Life (Years) | 6 years 3 months | |
Residential Mortgage | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years 5 months 10 days | |
Outstanding Face of Collateral | $ 132,091,000 | |
Amortized Cost Basis of Collateral | 128,702,000 | |
Carrying Value of Collateral | 125,928,000 | |
Real Estate Owned | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 88,960,000 | |
Carrying Value | $ 88,922,000 | 118,681,000 |
Weighted Average Funding Cost | 4.36% | |
Weighted Average Life (Years) | 2 months 26 days | |
Real Estate Owned | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Carrying Value of Collateral | $ 108,684,000 | |
Real Estate Owned | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 2,086,000 | |
Carrying Value | $ 2,086,000 | 3,126,000 |
Weighted Average Funding Cost | 4.42% | |
Weighted Average Life (Years) | 1 month 1 day | |
Real Estate Owned | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Carrying Value of Collateral | $ 1,461,000 | |
Total Repurchase Agreements | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 14,388,223,000 | |
Carrying Value | $ 14,387,020,000 | 8,662,139,000 |
Weighted Average Funding Cost | 3.13% | |
Weighted Average Life (Years) | 2 months 18 days | |
Interest payable | $ 27,600,000 | |
Excess MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 297,563,000 | 483,978,000 |
Excess MSRs | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 297,759,000 | |
Carrying Value | $ 297,563,000 | 483,978,000 |
Weighted Average Funding Cost | 4.90% | |
Weighted Average Life (Years) | 2 years 11 months 30 days | |
Excess MSRs | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 5 years 8 months 22 days | |
Outstanding Face of Collateral | $ 144,869,048,000 | |
Amortized Cost Basis of Collateral | 386,578,000 | |
Carrying Value of Collateral | 492,684,000 | |
MSRs | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 2,450,580,000 | |
Carrying Value | $ 2,441,750,000 | 1,157,179,000 |
Weighted Average Funding Cost | 4.24% | |
Weighted Average Life (Years) | 3 years 1 month 28 days | |
MSRs | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years 8 months 15 days | |
Outstanding Face of Collateral | $ 382,479,510,000 | |
Amortized Cost Basis of Collateral | 3,741,451,000 | |
Carrying Value of Collateral | 4,553,076,000 | |
Servicer Advances | ||
Debt Instrument [Line Items] | ||
Carrying Value | 3,385,842,000 | 4,060,156,000 |
Servicer Advances | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 3,390,918,000 | |
Carrying Value | $ 3,385,842,000 | 4,060,156,000 |
Weighted Average Funding Cost | 3.54% | |
Weighted Average Life (Years) | 1 year 11 months 28 days | |
Face amount of debt at fixed rate | $ 3,000,000,000 | |
Servicer Advances | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.99317% | |
Servicer Advances | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.15% | |
Servicer Advances | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 1 year 5 months 7 days | |
Outstanding Face of Collateral | $ 3,832,948,000 | |
Amortized Cost Basis of Collateral | 4,000,262,000 | |
Carrying Value of Collateral | 4,017,057,000 | |
Consumer Loans | ||
Debt Instrument [Line Items] | ||
Carrying Value | 1,004,608,000 | 1,242,756,000 |
Consumer Loans | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,008,341,000 | |
Carrying Value | $ 1,004,608,000 | 1,242,756,000 |
Weighted Average Funding Cost | 3.39% | |
Weighted Average Life (Years) | 2 years 10 months 15 days | |
Consumer Loans | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 3 years 6 months 9 days | |
Outstanding Face of Collateral | $ 1,141,907,000 | |
Amortized Cost Basis of Collateral | 1,145,026,000 | |
Carrying Value of Collateral | 1,140,618,000 | |
Total Notes Payable | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 7,275,039,000 | |
Carrying Value | $ 7,254,946,000 | $ 7,084,391,000 |
Weighted Average Funding Cost | 3.82% | |
Weighted Average Life (Years) | 2 years 7 months 14 days | |
Non-agency RMBS Repurchase Agreements, LIBOR Based Floating Interest Rate | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 7,193,300,000 | |
Non-agency RMBS Repurchase Agreements, Fixed Rate | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 245,600,000 | |
3.00% Secured Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 197,800,000 | |
3.00% Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.00% | |
Secured Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 100,000,000 | |
Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
2.25% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 574,500,000 | |
2.25% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.25% | |
2.50% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 38,400,000 | |
2.50% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
3.55% Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 1,837,700,000 | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.55384% | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 4622.07325% | |
2.88% Residential Mortgage Loans | Notes and Bonds Payable | Nationstar | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 7,700,000 | |
2.88% Residential Mortgage Loans | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Nationstar | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.875% | |
Consumer Loan, UPB Class A | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 3.05% | |
UPB of Underlying Mortgages | $ 730,300,000 | |
Consumer Loan, UPB Class B | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 4.10% | |
UPB of Underlying Mortgages | $ 210,800,000 | |
Consumer Loan, UPB Class C-1 | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 5.63% | |
UPB of Underlying Mortgages | $ 18,300,000 | |
Consumer Loan, UPB Class C-2 | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 5.63% | |
UPB of Underlying Mortgages | $ 18,300,000 | |
4.00% Consumer Loans | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 30,600,000 | |
Interest rate, stated percentage | 4.00% |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) $ in Thousands | Sep. 30, 2018USD ($)agreement |
Debt Instrument [Line Items] | |
Face amount of debt | $ 21,663,262 |
Repurchase Agreements | Total Repurchase Agreements | |
Debt Instrument [Line Items] | |
Face amount of debt | $ 14,388,223 |
Repurchase Agreements | Stockholders' Equity, Total | Counterparty Concentration Risk | |
Debt Instrument [Line Items] | |
Number of repurchase agreements, outstanding | agreement | 0 |
DEBT OBLIGATIONS - Carrying Val
DEBT OBLIGATIONS - Carrying Value of Debt Obligations (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Debt Instrument [Roll Forward] | ||
Beginning balance | $ 15,746,530 | |
Borrowings | 63,696,426 | $ 36,713,743 |
Repayments | (58,414,966) | $ (34,057,218) |
Ending balance | 21,641,966 | |
Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 483,978 | |
Ending balance | 297,563 | |
MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,157,179 | |
Ending balance | 2,441,750 | |
Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 4,060,156 | |
Ending balance | 3,385,842 | |
Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 6,694,454 | |
Ending balance | 11,591,577 | |
Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 2,108,007 | |
Ending balance | 2,920,626 | |
Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,242,756 | |
Ending balance | 1,004,608 | |
Repurchase Agreements | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 64,136,058 | |
Repayments | (58,411,583) | |
Capitalized deferred financing costs, net of amortization | 406 | |
Repurchase Agreements | Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 59,467,769 | |
Repayments | (54,570,418) | |
Capitalized deferred financing costs, net of amortization | (228) | |
Repurchase Agreements | Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 4,668,289 | |
Repayments | (3,841,165) | |
Capitalized deferred financing costs, net of amortization | 634 | |
Repurchase Agreements | Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 7,688,974 | |
Repayments | (7,512,484) | |
Discount on borrowings, net of amortization | 1,220 | |
Unrealized gain on notes, fair value | (900) | |
Capitalized deferred financing costs, net of amortization | (6,255) | |
Notes Payable | Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 483,978 | |
Borrowings | 240,000 | |
Repayments | (426,440) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized gain on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 25 | |
Ending balance | 297,563 | |
Notes Payable | MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 3,543,776 | |
Repayments | (2,251,280) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized gain on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | (7,925) | |
Notes Payable | Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 4,060,156 | |
Borrowings | 3,784,496 | |
Repayments | (4,460,114) | |
Discount on borrowings, net of amortization | 33 | |
Unrealized gain on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 1,271 | |
Ending balance | 3,385,842 | |
Notes Payable | Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Discount on borrowings, net of amortization | 0 | |
Unrealized gain on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 120,702 | |
Repayments | (134,941) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized gain on notes, fair value | (900) | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,242,756 | |
Borrowings | 0 | |
Repayments | (239,709) | |
Discount on borrowings, net of amortization | 1,187 | |
Unrealized gain on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 374 | |
Ending balance | 1,004,608 | |
Shellpoint Acquisition | Repurchase Agreements | ||
Debt Instrument [Roll Forward] | ||
Borrowings | $ 639,000 |
DEBT OBLIGATIONS - Contractual
DEBT OBLIGATIONS - Contractual Maturities of Debt Obligations (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Debt maturing in: | |
October 1 through December 31, 2018 | $ 12,480,602 |
2,019 | 3,298,614 |
2,020 | 928,210 |
2,021 | 2,569,185 |
2,022 | 236,137 |
2023 and thereafter | 2,150,514 |
Total | 21,663,262 |
Nonrecourse | |
Debt maturing in: | |
October 1 through December 31, 2018 | 0 |
2,019 | 826,188 |
2,020 | 812,745 |
2,021 | 1,784,596 |
2,022 | 38,378 |
2023 and thereafter | 1,097,462 |
Total | 4,559,369 |
Recourse | |
Debt maturing in: | |
October 1 through December 31, 2018 | 12,480,602 |
2,019 | 2,472,426 |
2,020 | 115,465 |
2,021 | 784,589 |
2,022 | 197,759 |
2023 and thereafter | 1,053,052 |
Total | $ 17,103,893 |
DEBT OBLIGATIONS - Borrowing Ca
DEBT OBLIGATIONS - Borrowing Capacity (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Debt Instrument [Line Items] | |
Face amount of debt | $ 21,663,262 |
Non-Agency Bonds | |
Debt Instrument [Line Items] | |
Face amount of debt | 86,300 |
Residential Mortgage Loans and REO | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 5,197,961 |
Balance Outstanding | 2,796,418 |
Available Financing | 2,401,543 |
Excess MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 150,000 |
Balance Outstanding | 100,000 |
Available Financing | 50,000 |
MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 990,000 |
Balance Outstanding | 612,899 |
Available Financing | 377,101 |
Servicer Advances | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 1,710,000 |
Balance Outstanding | 1,377,259 |
Available Financing | $ 332,741 |
Unused borrowing capacity fee | 0.05908% |
Consumer Loan | |
Debt Instrument [Line Items] | |
Borrowing Capacity | $ 150,000 |
Balance Outstanding | 30,607 |
Available Financing | 119,393 |
Debt Excess Borrowing Capacity | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 8,197,961 |
Balance Outstanding | 4,917,183 |
Available Financing | $ 3,280,778 |
FAIR VALUE MEASUREMENT - Carryi
FAIR VALUE MEASUREMENT - Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 |
Investments in: | |||
Excess mortgage servicing rights, at fair value | $ 467,061 | $ 1,173,713 | |
Mortgage servicing rights financing receivables, at fair value | 1,681,072 | 598,728 | |
Real estate and other securities, available-for-sale | 11,650,257 | 8,071,140 | |
Residential mortgage loans, held-for-sale | 524,863 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 123,606 | 0 | |
Residential mortgage loans subject to repurchase | 110,181 | 0 | $ 0 |
Derivative assets | 27,212 | 2,423 | |
Restricted cash | 155,749 | 150,252 | |
Liabilities | |||
Residential mortgage loans repurchase liability | 110,181 | 0 | |
Derivative liabilities | 2,294 | 697 | |
Excess spread financing, at fair value | 44,374 | $ 0 | |
Recurring Basis | |||
Investments in: | |||
Excess mortgage servicing rights, principal balance | 112,054,333 | ||
Excess mortgage servicing rights, equity method investees, principal balance | 44,239,405 | ||
Mortgage servicing rights, principal balance | 246,949,863 | ||
Mortgage servicing rights financing receivables, principal balance | 135,529,647 | ||
Servicer advance investments, principal balance | 637,102 | ||
Real estate and other securities, available-for-sale, principal balance | 20,633,278 | ||
Residential mortgage loans, held-for-investment, principal balance | 629,017 | ||
Residential mortgage loans, held-for-sale, principal balance | 2,091,784 | ||
Residential mortgage loans, held-for-sale, at fair value principal balance | 514,516 | ||
Residential mortgage loans, held-for-investment, at fair value, principal balance | 124,079 | ||
Residential mortgage loans, subject to repurchase, principal balance | 110,181 | ||
Consumer loans, held-for-investment, principal balance | 1,142,058 | ||
Derivative assets | 10,437,456 | ||
Cash and cash equivalents, principal balance | 330,148 | ||
Restricted cash, principal balance | 155,749 | ||
Liabilities | |||
Repurchase agreements, principal balance | 14,388,223 | ||
Notes and bonds payable, principal balance | 7,275,039 | ||
Residential mortgage loan repurchase liability, principal balance | 110,181 | ||
Derivative liabilities, principal amount | 4,242,000 | ||
Excess spread financing, principal balance | 3,608,770 | ||
Recurring Basis | Carrying Value | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | 467,061 | ||
Excess mortgage servicing rights, equity method investees, at fair value | 154,939 | ||
Mortgage servicing rights, at fair value | 2,872,004 | ||
Mortgage servicing rights financing receivables, at fair value | 1,681,072 | ||
Servicer advance investments, at fair value | 799,936 | ||
Real estate and other securities, available-for-sale | 11,650,257 | ||
Residential mortgage loans, held-for-investment | 652,717 | ||
Residential mortgage loans, held-for-sale | 1,996,303 | ||
Residential mortgage loans, held-for-sale | 524,863 | ||
Residential mortgage loans, held-for-investment, at fair value | 123,606 | ||
Residential mortgage loans subject to repurchase | 110,181 | ||
Consumer loans, held-for-investment | 1,140,769 | ||
Derivative assets | 27,212 | ||
Cash and cash equivalents | 330,148 | ||
Restricted cash | 155,749 | ||
Other assets | 33,642 | ||
Assets, fair value | 22,720,459 | ||
Liabilities | |||
Repurchase agreements | 14,387,020 | ||
Notes and bonds payable | 7,254,946 | ||
Residential mortgage loans repurchase liability | 110,181 | ||
Derivative liabilities | 2,294 | ||
Excess spread financing, at fair value | 44,374 | ||
Contingent consideration | 42,770 | ||
Liabilities, fair value | 21,841,585 | ||
Recurring Basis | Fair Value | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | 467,061 | ||
Excess mortgage servicing rights, equity method investees, at fair value | 154,939 | ||
Mortgage servicing rights, at fair value | 2,872,004 | ||
Mortgage servicing rights financing receivables, at fair value | 1,681,072 | ||
Servicer advance investments, at fair value | 799,936 | ||
Real estate and other securities, available-for-sale | 11,650,257 | ||
Residential mortgage loans, held-for-investment | 652,529 | ||
Residential mortgage loans, held-for-sale | 2,037,078 | ||
Loans held-for-sale, fair value | 524,862 | ||
Residential mortgage loans, held-for-investment, at fair value | 123,606 | ||
Residential mortgage loans subject to repurchase | 110,181 | ||
Consumer loans, held-for-investment | 1,128,410 | ||
Derivative assets | 27,211 | ||
Cash and cash equivalents | 330,148 | ||
Restricted cash | 155,749 | ||
Other assets | 33,642 | ||
Assets, fair value | 22,748,685 | ||
Liabilities | |||
Repurchase agreements | 14,388,223 | ||
Notes and bonds payable | 7,240,544 | ||
Residential mortgage loans repurchase liability | 110,181 | ||
Derivative liabilities | 2,294 | ||
Excess spread financing, at fair value | 44,374 | ||
Contingent consideration | 42,770 | ||
Liabilities, fair value | 21,828,386 | ||
Recurring Basis | Fair Value | Level 1 | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Excess mortgage servicing rights, equity method investees, at fair value | 0 | ||
Mortgage servicing rights, at fair value | 0 | ||
Mortgage servicing rights financing receivables, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | ||
Real estate and other securities, available-for-sale | 0 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 0 | ||
Residential mortgage loans, held-for-sale | 0 | ||
Residential mortgage loans, held-for-investment, at fair value | 0 | ||
Residential mortgage loans subject to repurchase | 0 | ||
Consumer loans, held-for-investment | 0 | ||
Derivative assets | 0 | ||
Cash and cash equivalents | 330,148 | ||
Restricted cash | 155,749 | ||
Other assets | 23,876 | ||
Assets, fair value | 509,773 | ||
Liabilities | |||
Repurchase agreements | 0 | ||
Notes and bonds payable | 0 | ||
Residential mortgage loans repurchase liability | 0 | ||
Derivative liabilities | 0 | ||
Excess spread financing, at fair value | 0 | ||
Contingent consideration | 0 | ||
Liabilities, fair value | 0 | ||
Recurring Basis | Fair Value | Level 2 | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Excess mortgage servicing rights, equity method investees, at fair value | 0 | ||
Mortgage servicing rights, at fair value | 0 | ||
Mortgage servicing rights financing receivables, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | ||
Real estate and other securities, available-for-sale | 2,673,863 | ||
Residential mortgage loans, held-for-investment | 0 | ||
Residential mortgage loans, held-for-sale | 0 | ||
Residential mortgage loans, held-for-sale | 468,824 | ||
Residential mortgage loans, held-for-investment, at fair value | 0 | ||
Residential mortgage loans subject to repurchase | 110,181 | ||
Consumer loans, held-for-investment | 0 | ||
Derivative assets | 18,854 | ||
Cash and cash equivalents | 0 | ||
Restricted cash | 0 | ||
Other assets | 0 | ||
Assets, fair value | 3,271,722 | ||
Liabilities | |||
Repurchase agreements | 14,388,223 | ||
Notes and bonds payable | 0 | ||
Residential mortgage loans repurchase liability | 110,181 | ||
Derivative liabilities | 2,294 | ||
Excess spread financing, at fair value | 0 | ||
Contingent consideration | 0 | ||
Liabilities, fair value | 14,500,698 | ||
Recurring Basis | Fair Value | Level 3 | |||
Investments in: | |||
Excess mortgage servicing rights, at fair value | 467,061 | ||
Excess mortgage servicing rights, equity method investees, at fair value | 154,939 | ||
Mortgage servicing rights, at fair value | 2,872,004 | ||
Mortgage servicing rights financing receivables, at fair value | 1,681,072 | ||
Servicer advance investments, at fair value | 799,936 | ||
Real estate and other securities, available-for-sale | 8,976,394 | ||
Residential mortgage loans, held-for-investment | 652,529 | ||
Residential mortgage loans, held-for-sale | 2,037,078 | ||
Residential mortgage loans, held-for-sale | 56,038 | ||
Residential mortgage loans, held-for-investment, at fair value | 123,606 | ||
Residential mortgage loans subject to repurchase | 0 | ||
Consumer loans, held-for-investment | 1,128,410 | ||
Derivative assets | 8,357 | ||
Cash and cash equivalents | 0 | ||
Restricted cash | 0 | ||
Other assets | 9,766 | ||
Assets, fair value | 18,967,190 | ||
Liabilities | |||
Repurchase agreements | 0 | ||
Notes and bonds payable | 7,240,544 | ||
Residential mortgage loans repurchase liability | 0 | ||
Derivative liabilities | 0 | ||
Excess spread financing, at fair value | 44,374 | ||
Contingent consideration | 42,770 | ||
Liabilities, fair value | $ 7,327,688 |
FAIR VALUE MEASUREMENT - Financ
FAIR VALUE MEASUREMENT - Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2018 | Dec. 31, 2017 | |
Non-Agency | |||
Gains (losses) included in net income | |||
Included in gain (loss) on settlement of investments, net | $ (1,000) | ||
Excess MSRs Investees | |||
Purchases, sales and repayments | |||
New Residential’s ownership | 50.00% | 50.00% | 50.00% |
Recurring Basis | |||
Purchases, sales and repayments | |||
Mortgage backed securities, issued at fair value | $ 117,500 | $ 117,500 | |
Recurring Basis | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 13,681,878 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 318,739 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | (18,113) | ||
Included in change in fair value of investments in excess mortgage servicing rights | (55,711) | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 5,624 | ||
Included in servicing revenue, net | 31,252 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 63,628 | ||
Included in change in fair value of servicer advance investments | (86,581) | ||
Included in gain (loss) on settlement of investments, net | 112,008 | ||
Included in other income (loss), net | 13,663 | ||
Gains (losses) included in other comprehensive income | 97,538 | ||
Interest income | 314,529 | ||
Purchases, sales and repayments | |||
Purchases | 6,269,598 | ||
Proceeds from sales | (116,587) | ||
Proceeds from repayments | (2,696,057) | ||
Other | 17,282 | ||
New Ocwen Agreements | (2,823,412) | ||
Balance, ending | 15,129,278 | 15,129,278 | |
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 211,734 | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | (3,888) | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (900) | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) [Abstract] | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (2,332) | ||
Other | 0 | ||
Ocwen Transaction | 0 | ||
Balance, ending | 204,614 | 204,614 | |
Recurring Basis | Level 3 | Servicer Advances | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 4,027,379 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | (86,581) | ||
Included in gain (loss) on settlement of investments, net | 72,585 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 43,122 | ||
Purchases, sales and repayments | |||
Purchases | 1,817,581 | ||
Proceeds from sales | |||
Proceeds from repayments | (1,871,312) | ||
Other | 0 | ||
New Ocwen Agreements | (3,202,838) | ||
Balance, ending | 799,936 | 799,936 | |
Recurring Basis | Level 3 | MSRs | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 1,735,504 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 286,600 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 31,252 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 801,366 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | 0 | ||
Other | 17,282 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 2,872,004 | 2,872,004 | |
Recurring Basis | Level 3 | Mortgage Servicing Rights Financing Receivable | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 598,728 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | (135,288) | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 63,628 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 138,993 | ||
Proceeds from sales | (2,982) | ||
Proceeds from repayments | 0 | ||
Other | 0 | ||
New Ocwen Agreements | 1,017,993 | ||
Balance, ending | 1,681,072 | 1,681,072 | |
Recurring Basis | Level 3 | Non-Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 5,974,789 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | (18,113) | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | (994) | ||
Included in other income (loss), net | 12,001 | ||
Gains (losses) included in other comprehensive income | 97,538 | ||
Interest income | 239,036 | ||
Purchases, sales and repayments | |||
Purchases | 3,475,138 | ||
Proceeds from sales | (81,325) | ||
Proceeds from repayments | (721,676) | ||
Other | 0 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 8,976,394 | 8,976,394 | |
Recurring Basis | Level 3 | Derivatives | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 10,604 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (2,247) | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | 0 | ||
Other | 0 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 8,357 | 8,357 | |
Recurring Basis | Level 3 | Residential Mortgage Loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 156,823 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (692) | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 36,520 | ||
Proceeds from sales | (19,900) | ||
Proceeds from repayments | (3,236) | ||
Other | 0 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 169,515 | 169,515 | |
Recurring Basis | Level 3 | Excess Spread Financing | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 48,262 | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | (3,900) | (3,888) | |
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) [Abstract] | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | 0 | ||
Other | 0 | ||
Ocwen Transaction | 0 | ||
Balance, ending | 44,374 | 44,374 | |
Recurring Basis | Level 3 | Mortgage-Backed Securities Issued | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 120,702 | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (900) | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) [Abstract] | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (2,332) | ||
Other | 0 | ||
Ocwen Transaction | 0 | ||
Balance, ending | 117,470 | 117,470 | |
Recurring Basis | Level 3 | Contingent Consideration | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 0 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 42,770 | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) [Abstract] | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | 0 | ||
Other | 0 | ||
Ocwen Transaction | 0 | ||
Balance, ending | 42,770 | 42,770 | |
Recurring Basis | Level 3 | MSRs Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 324,636 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | (14,738) | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 4,401 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 16,954 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | (12,380) | ||
Proceeds from repayments | (45,020) | ||
Other | 0 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 273,853 | 273,853 | |
Recurring Basis | Level 3 | MSRs Agency | Excess MSRs Investees | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 171,765 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 5,624 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 0 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (22,450) | ||
Other | 0 | ||
New Ocwen Agreements | 0 | ||
Balance, ending | 154,939 | 154,939 | |
Recurring Basis | Level 3 | MSRs Non-Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 849,077 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | 0 | ||
Included in change in fair value of investments in excess mortgage servicing rights | (40,973) | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | ||
Included in servicing revenue, net | 0 | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in gain (loss) on settlement of investments, net | 40,417 | ||
Included in other income (loss), net | 200 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 15,417 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (32,363) | ||
Other | 0 | ||
New Ocwen Agreements | (638,567) | ||
Balance, ending | $ 193,208 | $ 193,208 |
FAIR VALUE MEASUREMENT - Inform
FAIR VALUE MEASUREMENT - Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 9 Months Ended |
Sep. 30, 2018$ / Loan | |
Agency | Weighted Average | |
Directly Held | |
Monthly cost per loan (in dollars per loan) | 7.40 |
Non-Agency | Weighted Average | |
Directly Held | |
Monthly cost per loan (in dollars per loan) | 11.52 |
Ginnie Mae | Weighted Average | |
Directly Held | |
Monthly cost per loan (in dollars per loan) | 10.02 |
Prepayment Rate | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.093 |
Prepayment Rate | Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.089 |
Prepayment Rate | Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.092 |
Prepayment Rate | Non-Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.140 |
Prepayment Rate | Non-Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.084 |
Prepayment Rate | Ginnie Mae | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.104 |
Prepayment Rate | Directly Held | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.094 |
Prepayment Rate | Directly Held | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.097 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.074 |
Prepayment Rate | Directly Held | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.072 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.088 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.106 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Directly Held | Non-Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.103 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.092 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.108 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.077 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.078 |
Delinquency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.028 |
Delinquency | Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.011 |
Delinquency | Non-Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.009 |
Delinquency | Non-Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.151 |
Delinquency | Ginnie Mae | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.036 |
Delinquency | Directly Held | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.025 |
Delinquency | Directly Held | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.026 |
Delinquency | Directly Held | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.022 |
Delinquency | Directly Held | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.022 |
Delinquency | Directly Held | Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.025 |
Delinquency | Held through Equity Method Investees | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.033 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.040 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.026 |
Delinquency | Held through Equity Method Investees | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.027 |
Recapture Rate | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.245 |
Recapture Rate | Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.229 |
Recapture Rate | Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.143 |
Recapture Rate | Non-Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.100 |
Recapture Rate | Non-Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.050 |
Recapture Rate | Ginnie Mae | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.236 |
Recapture Rate | Directly Held | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.216 |
Recapture Rate | Directly Held | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.261 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.238 |
Recapture Rate | Directly Held | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.246 |
Recapture Rate | Directly Held | Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.254 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.154 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.202 |
Recapture Rate | Directly Held | Non-Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.201 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.163 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.292 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.288 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.292 |
Recapture Rate | Held through Equity Method Investees | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.305 |
Servicing Amount Percent | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.002 |
Servicing Amount Percent | Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0026 |
Servicing Amount Percent | Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.0027 |
Servicing Amount Percent | Non-Agency | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0026 |
Servicing Amount Percent | Non-Agency | Mortgage Servicing Rights Financing Receivables | |
Directly Held | |
Servicing asset, measurement input | 0.0045 |
Servicing Amount Percent | Ginnie Mae | MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0034 |
Servicing Amount Percent | Directly Held | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0019 |
Servicing Amount Percent | Directly Held | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0021 |
Servicing Amount Percent | Directly Held | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0022 |
Servicing Amount Percent | Directly Held | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.0022 |
Servicing Amount Percent | Directly Held | Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0021 |
Servicing Amount Percent | Directly Held | Non-Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Servicing Amount Percent | Directly Held | Non-Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0023 |
Servicing Amount Percent | Directly Held | Non-Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.0020 |
Servicing Amount Percent | Directly Held | Non-Agency | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0016 |
Servicing Amount Percent | Held through Equity Method Investees | Excess MSRs | |
Directly Held | |
Servicing asset, measurement input | 0.0021 |
Servicing Amount Percent | Held through Equity Method Investees | Agency | Original Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0019 |
Servicing Amount Percent | Held through Equity Method Investees | Agency | Recaptured Pools | |
Directly Held | |
Servicing asset, measurement input | 0.0023 |
Servicing Amount Percent | Held through Equity Method Investees | Agency | Recapture Agreements | |
Directly Held | |
Servicing asset, measurement input | 0.0023 |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 23 years |
Collateral Weighted Average Maturity (Years) | Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 22 years |
Collateral Weighted Average Maturity (Years) | Agency | Mortgage Servicing Rights Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, term | 20 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 26 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | Mortgage Servicing Rights Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, term | 26 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 27 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 22 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 24 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, term | 22 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 21 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, term | 23 years |
FAIR VALUE MEASUREMENT - Narrat
FAIR VALUE MEASUREMENT - Narrative (Details) - USD ($) $ in Millions | Sep. 20, 2018 | Sep. 30, 2018 | Jul. 03, 2018 |
Schedule of Equity Method Investments [Line Items] | |||
Asset fair value adjustment | $ 8.7 | ||
Fair Value, Measurements, Nonrecurring | |||
Schedule of Equity Method Investments [Line Items] | |||
Assets, fair value | $ 300 | ||
Minimum | |||
Schedule of Equity Method Investments [Line Items] | |||
Broker price discount | 10.00% | ||
Maximum | |||
Schedule of Equity Method Investments [Line Items] | |||
Broker price discount | 25.00% | ||
Residential Mortgage Loans | Fair Value, Measurements, Nonrecurring | |||
Schedule of Equity Method Investments [Line Items] | |||
Assets, fair value | $ 227.1 | ||
Real Estate Acquired in Satisfaction of Debt | Fair Value, Measurements, Nonrecurring | |||
Schedule of Equity Method Investments [Line Items] | |||
Assets, fair value | 70.5 | ||
Loans Held-for-sale and Held-for-investment | |||
Schedule of Equity Method Investments [Line Items] | |||
Asset fair value adjustment | 8.9 | ||
Real Estate Owned | |||
Schedule of Equity Method Investments [Line Items] | |||
Asset fair value adjustment | $ 0.2 | ||
Mortgage Servicing Rights Financing Receivable | |||
Schedule of Equity Method Investments [Line Items] | |||
Discount rate | 10.30% | ||
MSRs | |||
Schedule of Equity Method Investments [Line Items] | |||
Discount rate | 8.70% | ||
MSRs | Excess MSRs Investees | |||
Schedule of Equity Method Investments [Line Items] | |||
Weighted average discount rate, used to value investments in excess MSRs | 8.80% | ||
London Interbank Offered Rate (LIBOR) | Mortgage Servicing Rights Financing Receivable | |||
Schedule of Equity Method Investments [Line Items] | |||
Variable interest rate spread | 0.90% | ||
Shellpoint Acquisition | |||
Schedule of Equity Method Investments [Line Items] | |||
Contingent consideration | $ 60 | ||
Contingent consideration, discount rate | 8.00% | ||
Shellpoint Acquisition | Maximum | |||
Schedule of Equity Method Investments [Line Items] | |||
Contingent consideration | $ 60 |
FAIR VALUE MEASUREMENT - Info_2
FAIR VALUE MEASUREMENT - Information Regarding the Inputs used in Valuing the Servicer Advances (Details) - Servicer Advances | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.50% |
Mortgage servicing amount | 0.00196 |
Mortgage servicing amount | 0.93% |
Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.111 |
Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.182 |
Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.059 |
Collateral Weighted Average Maturity (Years) | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, term | 23 years 2 months 19 days |
FAIR VALUE MEASUREMENT - Securi
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($)source | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Face Amount | $ 20,633,278 |
Amortized Cost Basis | 11,170,089 |
Total Fair Value | $ 11,650,257 |
Number of broker quotation sources | source | 2 |
Percent of securities | 61.80% |
Multiple Quotes | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | $ 11,631,732 |
Single Quote | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 18,525 |
Single Quote | Seller | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 7,300 |
Agency RMBS | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Face Amount | 2,653,034 |
Amortized Cost Basis | 2,678,375 |
Agency RMBS | Level 2 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 2,673,863 |
Agency RMBS | Level 2 | Multiple Quotes | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 2,673,863 |
Agency RMBS | Level 2 | Single Quote | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 0 |
Non-Agency RMBS | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Face Amount | 17,980,244 |
Amortized Cost Basis | 8,491,714 |
Fair Value | 5,550,819 |
Non-Agency RMBS | Level 3 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 8,976,394 |
Non-Agency RMBS | Level 3 | Multiple Quotes | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | 8,957,869 |
Non-Agency RMBS | Level 3 | Single Quote | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Total Fair Value | $ 18,525 |
Minimum | Non-Agency RMBS | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.0266 |
Minimum | Non-Agency RMBS | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.0025 |
Minimum | Non-Agency RMBS | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.0025 |
Minimum | Non-Agency RMBS | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.050 |
Maximum | Non-Agency RMBS | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.3000 |
Maximum | Non-Agency RMBS | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.2140 |
Maximum | Non-Agency RMBS | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 0.0900 |
Maximum | Non-Agency RMBS | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non agency RMBS, measurement input | 1 |
FAIR VALUE MEASUREMENT - Schedu
FAIR VALUE MEASUREMENT - Schedule of Inputs Used In Valuing Residential Mortgage Loans, Derivatives, and Mortgage Backed Securities (Details) $ in Thousands | Sep. 30, 2018USD ($) | Dec. 31, 2017USD ($) |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, fair value | $ 11,650,257 | $ 8,071,140 |
Residential Mortgage Loans Held-for-Sale, At Fair Value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 524,862 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.0375 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.1000 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.0400 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.1500 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.040 | |
Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for sale, measurement input | 0.500 | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, fair value | $ 123,606 | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for investment, measurement input | 0.0400 | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for investment, measurement input | 0.100 | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for investment, measurement input | 0.002 | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held for investment, measurement input | 0.200 | |
IRLCs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, fair value disclosure | $ 8,357 | |
IRLCs | Minimum | Loan Funding Probability | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.4600 | |
IRLCs | Minimum | Fair Value of Initial Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0 | |
IRLCs | Maximum | Loan Funding Probability | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 1 | |
IRLCs | Maximum | Fair Value of Initial Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.0326 | |
Mortgage-Backed Securities Issued | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 117,470 | |
Mortgage-Backed Securities Issued | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.100 | |
Mortgage-Backed Securities Issued | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0350 | |
Mortgage-Backed Securities Issued | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.090 | |
Mortgage-Backed Securities Issued | Minimum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0 | |
Mortgage-Backed Securities Issued | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0525 | |
Mortgage-Backed Securities Issued | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.120 | |
Mortgage-Backed Securities Issued | Maximum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0025 |
FAIR VALUE MEASUREMENT - Sche_2
FAIR VALUE MEASUREMENT - Schedule of Inputs Used in Valuing Assets and Liabilities At Fair Value (Details) - Fair Value, Measurements, Nonrecurring $ in Thousands | Sep. 30, 2018USD ($) |
Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.048 |
Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Residential mortgage loans held for sale, term | 3 years 7 months 17 days |
Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.067 |
Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.040 |
Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.323 |
Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.047 |
Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Residential mortgage loans held for sale, term | 3 years 10 months 25 days |
Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.077 |
Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.043 |
Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.328 |
Non-Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.053 |
Non-Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Residential mortgage loans held for sale, term | 2 years 4 months 18 days |
Non-Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.021 |
Non-Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.028 |
Non-Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.300 |
Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | $ 227,142 |
Fair Value | Performing Loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | 186,157 |
Fair Value | Non-Performing Loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | $ 40,985 |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 20, 2018 | Jul. 30, 2018 | Jan. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | ||||||||
Issuance of common stock (in shares) | 28,800,000 | |||||||
Shares issued, price per share (in dollars per share) | $ 17.10 | |||||||
Issuance of common stock | $ 482,300 | $ 492,285 | $ 835,465 | |||||
Options granted (in shares) | 2,900,000 | |||||||
Stock issued for services, value | $ 3,800 | |||||||
Risk free interest rate | 2.58% | |||||||
Expected dividend rate | 9.86% | |||||||
Expected volatility rate | 23.16% | |||||||
Expected term (in years) | 10 years | |||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Options granted (in shares) | 2,924,166 | |||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.50 | $ 0.5 | $ 0.5 | $ 1.5 | $ 1.48 | |||
Dividends | $ 170,200 | |||||||
Common stock, shares outstanding (in shares) | 340,354,429 | 340,354,429 | 307,361,309 | |||||
Share price (in dollars per share) | $ 17.82 | $ 17.82 | ||||||
Diluted common stock equivalent, shares outstanding, adjustment (in shares) | 1,463,258 | 1,845,597 | ||||||
Fortress-managed funds | ||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | ||||||||
Common stock, shares outstanding (in shares) | 500,000 | 500,000 | ||||||
Common Stock | ||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | ||||||||
Issuance of common stock (in shares) | 29,241,659 | 56,545,787 | ||||||
Distribution Agreement | ||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | ||||||||
Common stock, par value (in dollars per share) | $ 0.01 | |||||||
Distribution Agreement | Common Stock | ||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | ||||||||
Common stock sold, offering price | $ 500,000 | $ 9,100 | ||||||
Common stock sold, per share (in shares) | 500,000 | |||||||
Options granted (in shares) | 50,000 | |||||||
Options granted, fair value | $ 100 |
EQUITY AND EARNINGS PER SHARE_2
EQUITY AND EARNINGS PER SHARE - Options Outstanding by Issuance (Details) | Sep. 30, 2018shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 5,623,138 |
Management | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 4,086,222 |
Issued to the Manager and subsequently assigned to certain of the Manager’s employees | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 1,530,916 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 6,000 |
Total | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 5,623,138 |
EQUITY AND EARNINGS PER SHARE_3
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options - Period End (Details) $ / shares in Units, $ in Millions | 9 Months Ended |
Sep. 30, 2018USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 5,623,138 |
Options exercisable (in shares) | 1,060,257 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 6,000 |
Stock Options | Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | Various |
Number of unexercised options (in shares) | 6,000 |
Options exercisable (in shares) | 6,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.49 |
Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) | $ | $ 0 |
Stock Options | Manager | 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2,016 |
Number of unexercised options (in shares) | 533,334 |
Options exercisable (in shares) | 200,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.70 |
Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) | $ | $ 0.8 |
Stock Options | Manager | 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2,017 |
Number of unexercised options (in shares) | 2,638,804 |
Options exercisable (in shares) | 565,459 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.50 |
Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) | $ | $ 1.9 |
Stock Options | Manager | 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2,018 |
Number of unexercised options (in shares) | 2,445,000 |
Options exercisable (in shares) | 288,798 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 17.11 |
Intrinsic Value of Exercisable Options as of September 30, 2018 (millions) | $ | $ 0.2 |
Options Granted in 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 400,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.70 |
Options Granted in 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,130,916 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.50 |
Options Assigned | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,530,916 |
EQUITY AND EARNINGS PER SHARE_4
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options (Details) | 9 Months Ended |
Sep. 30, 2018$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding [Roll Forward] | |
Beginning balance, Outstanding options (in shares) | 18,502,188 |
Options granted (in shares) | 2,924,166 |
Options exercised (in shares) | (15,803,216) |
Options expired unexercised (in shares) | 0 |
Ending balance, Outstanding options (in shares) | 5,623,138 |
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 | $ 17.13 |
Weighted average exercise price, exercised (in dollars per share) | $ / shares | $ 14.30 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Loss Contingencies [Line Items] | ||
Estimated liability, representation and warranties | $ 6,300 | |
Residential mortgage loans repurchase liability | 110,181 | $ 0 |
Future commitments under non-cancelable leases | 26,700 | |
New Penn | ||
Loss Contingencies [Line Items] | ||
Mortgage loans, committed to fund | 809,900 | |
Forward loan sale commitments | 33,400 | |
Unfunded Loan Commitment | Consumer Portfolio Segment | Consumer Loan Companies | ||
Loss Contingencies [Line Items] | ||
Financing receivable | $ 182,600 |
TRANSACTIONS WITH AFFILIATES _3
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2018USD ($) | |
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 | 0.6667 |
Unpaid Principal Balance | $ 84,100 |
Accruals for MSR Fund Payments | 0.2 |
Amount of securities transferred to MSR Fund Payments | $ 0.5 |
Nationstar | Credit Concentration Risk | Investment Interest Income - Excess MSRs | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 99.20% |
Nationstar | Credit Concentration Risk | Investment Interest Income - MSRs | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 25.70% |
Nationstar | Credit Concentration Risk | Investment Interest Income - Servicer Advances | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 97.00% |
Manager | |
Related Party Transaction [Line Items] | |
Management fee rate (percent) | 1.50% |
Incentive compensation percentage | 25.00% |
Interest rate for incentive compensation | 10.00% |
Nationstar | Residential Mortgage | |
Related Party Transaction [Line Items] | |
Unpaid Principal Balance | $ 878.8 |
Nationstar | Real Estate Owned | |
Related Party Transaction [Line Items] | |
Unpaid balance of real estate owned | 13.1 |
Nationstar | Non-Agency | |
Related Party Transaction [Line Items] | |
Face amount of investment | 4,300 |
Unpaid Principal Balance | $ 38,300 |
Redemption premium percentage | 0.75% |
Nationstar | Agency RMBS | |
Related Party Transaction [Line Items] | |
Face amount of investment | $ 27.6 |
TRANSACTIONS WITH AFFILIATES _4
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 74,135 | $ 74,135 | $ 88,961 | ||
Management fees | 15,464 | $ 14,187 | 46,027 | $ 41,447 | |
Incentive compensation | 23,848 | 19,491 | 65,169 | 72,123 | |
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fees | 5,166 | 5,166 | 4,734 | ||
Incentive compensation | 65,169 | 65,169 | 81,373 | ||
Expense reimbursements and other | 3,800 | 3,800 | 2,854 | ||
Due to affiliates | 74,135 | 74,135 | $ 88,961 | ||
Management fees | 15,464 | 14,187 | 46,027 | 41,447 | |
Incentive compensation | 23,848 | 19,491 | 65,169 | 72,123 | |
Expense reimbursements | 125 | 125 | 375 | 375 | |
Total payments to affiliate | $ 39,437 | $ 33,803 | $ 111,571 | $ 113,945 |
RECLASSIFICATION FROM ACCUMUL_3
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other-than-temporary impairment (OTTI) on securities | $ 3,889 | $ 1,509 | $ 23,190 | $ 8,736 |
Net Income (Loss) | 195,477 | 239,721 | 995,677 | 714,282 |
Reclassification out of Accumulated Other Comprehensive Income | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Net Income (Loss) | 32,626 | (5,833) | 89,885 | (20,856) |
Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest | Reclassification out of Accumulated Other Comprehensive Income | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Gain (loss) on settlement of investments, net | 28,737 | (7,342) | 66,695 | (29,592) |
Other-than-temporary impairment (OTTI) on securities | $ 3,889 | $ 1,509 | $ 23,190 | $ 8,736 |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Current: | ||||
Federal | $ 5,691 | $ 4,072 | $ 6,299 | $ 6,683 |
State and Local | (263) | 131 | 424 | 354 |
Total Current Income Tax Expense (Benefit) | 5,428 | 4,203 | 6,723 | 7,037 |
Deferred: | ||||
Federal | (1,201) | 20,977 | (12,829) | 97,053 |
State and Local | (664) | 7,433 | 149 | 16,963 |
Total Deferred Income Tax Expense (Benefit) | (1,865) | 28,410 | (12,680) | 114,016 |
Total Income Tax Expense (Benefit) | 3,563 | $ 32,613 | (5,957) | $ 121,053 |
Deferred income tax asset, net | $ 3,900 | $ 3,900 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ / shares in Units, $ in Millions | Oct. 26, 2018 | Sep. 20, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
Subsequent Event [Line Items] | ||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.50 | $ 0.5 | $ 0.5 | $ 1.5 | $ 1.48 | |
Dividends | $ 170.2 | |||||
Subsequent Event | ||||||
Subsequent Event [Line Items] | ||||||
Common stock, dividend paid (in dollars per share) | $ 0.50 |