Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2020 | Jul. 24, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-35777 | |
Entity Registrant Name | New Residential Investment Corp. | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 45-3449660 | |
Entity Address, Address Line One | 1345 Avenue of the Americas | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10105 | |
City Area Code | (212) | |
Local Phone Number | 798-3150 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 415,744,518 | |
Entity Central Index Key | 0001556593 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2020 | |
Common Stock, $0.01 par value per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | NRZ | |
Security Exchange Name | NYSE | |
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NRZ PR A | |
Security Exchange Name | NYSE | |
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NRZ PR B | |
Security Exchange Name | NYSE | |
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NRZ PR C | |
Security Exchange Name | NYSE |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Assets | |||
Excess mortgage servicing rights assets, at fair value | $ 458,923 | $ 505,343 | |
Mortgage servicing rights, at fair value | 3,551,159 | 3,967,960 | |
Mortgage servicing rights financing receivables, at fair value | 1,469,927 | 1,718,273 | |
Servicer advance investments, at fair value | [1] | 559,011 | 581,777 |
Real estate and other securities | 6,144,236 | 19,477,728 | |
Residential mortgage loans | 3,519,739 | 6,042,664 | |
Residential mortgage loans subject to repurchase | [2] | 1,075,008 | 172,336 |
Cash and cash equivalents | [1] | 1,013,208 | 528,737 |
Restricted cash | 138,932 | 162,197 | |
Servicer advances receivable | 2,947,678 | 3,301,374 | |
Trades receivable | [1] | 163,477 | 5,256,014 |
Other assets | 1,194,057 | 1,395,800 | |
Total assets | 23,752,149 | 44,863,454 | |
Liabilities | |||
Repurchase agreements | 9,171,498 | 27,916,225 | |
Notes and bonds payable (includes [$272,292] and $659,738 at fair value at June 30, 2020 and December 31, 2019, respectively) | [1] | 6,879,462 | 7,720,148 |
Residential mortgage loan repurchase liability | [2] | 1,075,008 | 172,336 |
Term loan, net of discount and issuance costs | [1] | 533,383 | 0 |
Trades payable | 105,930 | 902,081 | |
Due to affiliates | 16,894 | 103,882 | |
Dividends payable | 48,753 | 211,732 | |
Accrued expenses and other liabilities | [1] | 532,249 | 600,790 |
Total liabilities | 18,363,177 | 37,627,194 | |
Commitments and Contingencies | |||
Equity | |||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 415,744,518 and 415,520,780 issued and outstanding at June 30, 2020 and December 31, 2019, respectively | 4,158 | 4,156 | |
Additional paid-in capital | 5,554,559 | 5,498,226 | |
Retained earnings (accumulated deficit) | (1,110,148) | 549,733 | |
Accumulated other comprehensive income (loss) | 30,730 | 682,151 | |
Total New Residential stockholders’ equity | 5,292,291 | 7,157,710 | |
Noncontrolling interests in equity of consolidated subsidiaries | 96,681 | 78,550 | |
Total equity | 5,388,972 | 7,236,260 | |
Liabilities and Equity | 23,752,149 | 44,863,454 | |
Variable Interest Entity, Primary Beneficiary | |||
Assets | |||
Residential loans and variable interest entity consumer loans held-for-investment, at fair value | [1] | 1,516,794 | 1,753,251 |
7.50% Series A Preferred Stock | |||
Equity | |||
Preferred Stock | 150,026 | 150,026 | |
7.125% Series B Preferred Stock | |||
Equity | |||
Preferred Stock | 273,418 | 273,418 | |
6.375% Series C Preferred Stock | |||
Equity | |||
Preferred Stock | $ 389,548 | $ 0 | |
[1] | See Note 13 regarding consolidated VIEs. | ||
[2] | See Note 8 for details. |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Residential mortgage loans, held-for-sale, fair value | $ 2,824,909 | $ 4,613,612 |
Notes and bonds payable, fair value | $ 258,806 | $ 659,738 |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
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) | 415,744,518 | 415,520,780 |
Common stock, shares outstanding (in shares) | 415,744,518 | 415,520,780 |
7.50% Series A Preferred Stock | ||
Interest rate | 7.50% | 7.50% |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 11,500,000 | 11,500,000 |
Preferred stock, shares issued (in shares) | 6,210,000 | 6,210,000 |
Preferred stock, shares outstanding (in shares) | 6,210,000 | 6,210,000 |
7.125% Series B Preferred Stock | ||
Interest rate | 7.125% | 7.125% |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 11,500,000 | 11,500,000 |
Preferred stock, shares issued (in shares) | 11,300,000 | 11,300,000 |
Preferred stock, shares outstanding (in shares) | 11,300,000 | 11,300,000 |
6.375% Series C Preferred Stock | ||
Interest rate | 6.375% | 6.375% |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 16,100,000 | 16,100,000 |
Preferred stock, shares issued (in shares) | 16,100,000 | 16,100,000 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Revenues | ||||
Interest income | $ 232,198 | $ 416,047 | $ 634,571 | $ 854,914 |
Servicing revenue, net of change in fair value of $(441,033), $(334,599), $(1,090,408), and $(391,509), respectively | (90,459) | (85,537) | (379,574) | 80,316 |
Gain on originated mortgage loans, held-for-sale, net | 310,022 | 101,018 | 489,720 | 168,188 |
Revenues | 451,761 | 431,528 | 744,717 | 1,103,418 |
Expenses | ||||
Interest expense | 116,403 | 228,004 | 333,258 | 440,836 |
General and administrative expenses | 217,373 | 118,906 | 423,736 | 217,846 |
Management fee to affiliate | 22,479 | 19,623 | 44,200 | 37,583 |
Incentive compensation to affiliate | 0 | 0 | 0 | 12,958 |
Loan servicing expense | 7,149 | 9,372 | 15,002 | 18,975 |
Subservicing expense | 73,132 | 53,962 | 140,113 | 94,888 |
Total operating expenses | 436,536 | 429,867 | 956,309 | 823,086 |
Other Income (Loss) | ||||
Change in fair value of investments | 102,776 | (26,642) | (463,500) | (57,746) |
Gain (loss) on settlement of investments, net | (74,966) | 5,576 | (874,538) | (37,285) |
Earnings from investments in consumer loans, equity method investees | 0 | (2,654) | 0 | 1,657 |
Other income (loss), net | (3,207) | (2,227) | (40,020) | 3,461 |
Realized and unrealized gains (losses) | 24,603 | (25,947) | (1,378,058) | (89,913) |
Impairment | ||||
Provision (reversal) for credit losses on securities | (25,134) | 8,859 | 19,015 | 16,375 |
Valuation and credit loss provision (reversal) on loans and real estate owned (“REO”) | 3,424 | 13,452 | 103,920 | 18,732 |
Total impairment charges | (21,710) | 22,311 | 122,935 | 35,107 |
Income (loss) before income taxes | 61,538 | (46,597) | (1,712,585) | 155,312 |
Income tax expense (benefit) | 17,409 | (21,577) | (149,459) | 24,420 |
Net income (loss) | 44,129 | (25,020) | (1,563,126) | 130,892 |
Noncontrolling Interests in Income of Consolidated Subsidiaries | 38,640 | 6,923 | 22,478 | 17,241 |
Dividends on Preferred Stock | 14,357 | 0 | 25,579 | 0 |
Net Income (Loss) Attributable to Common Stockholders | $ (8,868) | $ (31,943) | $ (1,611,183) | $ 113,651 |
Net Income (Loss) Per Share of Common Stock | ||||
Basic (in dollars per share) | $ (0.02) | $ (0.08) | $ (3.88) | $ 0.28 |
Diluted (in dollars per share) | $ (0.02) | $ (0.08) | $ (3.88) | $ 0.28 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 415,661,782 | 415,463,757 | 415,625,468 | 401,946,938 |
Diluted (in shares) | 415,661,782 | 415,463,757 | 415,625,468 | 402,239,438 |
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.10 | $ 0.50 | $ 0.15 | $ 1 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Income (Unaudited) (Parenthentical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Income Statement [Abstract] | ||||
Servicing revenue, change in fair value | $ (441,033) | $ (334,599) | $ (1,090,408) | $ (391,509) |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Comprehensive income (loss), net of tax | ||||
Net (loss) income | $ 44,129 | $ (25,020) | $ (1,563,126) | $ 130,892 |
Other comprehensive income (loss) | ||||
Net unrealized gain (loss) on securities | 56,398 | 167,162 | 90,773 | 359,515 |
Reclassification of net realized (gain) loss on securities into earnings | (31,803) | (32,164) | (742,194) | (89,844) |
Total other comprehensive income (loss) | 24,595 | 134,998 | (651,421) | 269,671 |
Total comprehensive income (loss) | 68,724 | 109,978 | (2,214,547) | 400,563 |
Comprehensive income (loss) attributable to noncontrolling interests | 38,640 | 6,923 | 22,478 | 17,241 |
Dividends on preferred stock | 14,357 | 0 | 25,579 | 0 |
Comprehensive income (loss) attributable to common stockholders | $ 15,727 | $ 103,055 | $ (2,262,604) | $ 383,322 |
Condensed Consolidated Statem_4
Condensed Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid-in Capital | Retained Earnings (Accumulated Deficit) | Accumulated Other Comprehensive Income | Total New Residential Stockholders’ Equity | Noncontrolling Interests in Equity of Consolidated Subsidiaries | Common Stock | Common StockCommon Stock | Common StockAdditional Paid-in Capital | Common StockRetained Earnings (Accumulated Deficit) | Common StockTotal New Residential Stockholders’ Equity | Preferred Stock | Preferred StockPreferred Stock | Preferred StockRetained Earnings (Accumulated Deficit) | Cumulative Effect, Period of Adoption, Adjustment | Cumulative Effect, Period of Adoption, AdjustmentRetained Earnings (Accumulated Deficit) | Cumulative Effect, Period of Adoption, AdjustmentTotal New Residential Stockholders’ Equity | Cumulative Effect, Period of Adoption, AdjustmentNoncontrolling Interests in Equity of Consolidated Subsidiaries | Cumulative Effect, Period of Adoption, AdjustmentCommon StockTotal New Residential Stockholders’ Equity | Cumulative Effect, Period of Adoption, AdjustmentPreferred StockTotal New Residential Stockholders’ Equity |
Equity, beginning balance (in shares) at Dec. 31, 2018 | 0 | 369,104,429 | ||||||||||||||||||||
Equity, beginning balance at Dec. 31, 2018 | $ 6,088,295 | $ 0 | $ 3,692 | $ 4,746,242 | $ 830,713 | $ 417,023 | $ 5,997,670 | $ 90,625 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||
2020 Warrants | 0 | |||||||||||||||||||||
Dividends declared on common stock | (415,475) | (415,475) | (415,475) | |||||||||||||||||||
Capital distributions | (25,001) | (25,001) | ||||||||||||||||||||
Issuance of stock (in shares) | 46,000,000 | |||||||||||||||||||||
Issuance of stock | $ 751,393 | $ 460 | $ 750,933 | $ 751,393 | ||||||||||||||||||
Options exercise (in shares) | 348,613 | |||||||||||||||||||||
Option exercise | $ 3 | (3) | ||||||||||||||||||||
Director share grants (in shares) | 67,738 | |||||||||||||||||||||
Director share grants | 1,055 | $ 1 | 1,054 | 1,055 | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||
Net (loss) income | 130,892 | 113,651 | 113,651 | 17,241 | ||||||||||||||||||
Net unrealized gain (loss) on securities | 359,515 | 359,515 | 359,515 | |||||||||||||||||||
Reclassification of net realized (gain) loss on securities into earnings | (89,844) | (89,844) | (89,844) | |||||||||||||||||||
Total comprehensive income (loss) | 400,563 | 383,322 | 17,241 | |||||||||||||||||||
Equity, ending balance (in shares) at Jun. 30, 2019 | 0 | 415,520,780 | ||||||||||||||||||||
Equity, ending balance at Jun. 30, 2019 | 6,800,830 | $ 0 | $ 4,156 | 5,498,226 | 528,889 | 686,694 | 6,717,965 | 82,865 | ||||||||||||||
Equity, beginning balance (in shares) at Dec. 31, 2018 | 0 | 369,104,429 | ||||||||||||||||||||
Equity, beginning balance at Dec. 31, 2018 | $ 6,088,295 | $ 0 | $ 3,692 | 4,746,242 | 830,713 | 417,023 | 5,997,670 | 90,625 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||
Accounting Standards Update [Extensible List] | us-gaap:AccountingStandardsUpdate201613Member | |||||||||||||||||||||
Equity, ending balance (in shares) at Dec. 31, 2019 | 17,510,000 | 415,520,780 | ||||||||||||||||||||
Equity, ending balance at Dec. 31, 2019 | $ 7,236,260 | $ 423,444 | $ 4,156 | 5,498,226 | 549,733 | 682,151 | 7,157,710 | 78,550 | $ 30,453 | $ 13,658 | $ 13,658 | $ 16,795 | ||||||||||
Equity, beginning balance (in shares) at Mar. 31, 2019 | 0 | 415,429,677 | ||||||||||||||||||||
Equity, beginning balance at Mar. 31, 2019 | 6,912,209 | $ 0 | $ 4,155 | 5,497,838 | 768,592 | 551,696 | 6,822,281 | 89,928 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||
Dividends declared on common stock | (207,760) | (207,760) | (207,760) | |||||||||||||||||||
Capital distributions | (13,986) | (13,986) | ||||||||||||||||||||
Issuance of stock | (266) | (266) | (266) | |||||||||||||||||||
Options exercise (in shares) | 51,517 | |||||||||||||||||||||
Director share grants (in shares) | 39,586 | |||||||||||||||||||||
Director share grants | 655 | $ 1 | 654 | 655 | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||
Net (loss) income | (25,020) | (31,943) | (31,943) | 6,923 | ||||||||||||||||||
Net unrealized gain (loss) on securities | 167,162 | 167,162 | 167,162 | |||||||||||||||||||
Reclassification of net realized (gain) loss on securities into earnings | (32,164) | (32,164) | (32,164) | |||||||||||||||||||
Total comprehensive income (loss) | 109,978 | 103,055 | 6,923 | |||||||||||||||||||
Equity, ending balance (in shares) at Jun. 30, 2019 | 0 | 415,520,780 | ||||||||||||||||||||
Equity, ending balance at Jun. 30, 2019 | 6,800,830 | $ 0 | $ 4,156 | 5,498,226 | 528,889 | 686,694 | 6,717,965 | 82,865 | ||||||||||||||
Equity, beginning balance (in shares) at Dec. 31, 2019 | 17,510,000 | 415,520,780 | ||||||||||||||||||||
Equity, beginning balance at Dec. 31, 2019 | 7,236,260 | $ 423,444 | $ 4,156 | 5,498,226 | 549,733 | 682,151 | 7,157,710 | 78,550 | $ 30,453 | $ 13,658 | 13,658 | 16,795 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||
2020 Warrants | 53,462 | 53,462 | 53,462 | |||||||||||||||||||
Dividends declared on common stock | (62,356) | $ (62,356) | $ (62,356) | |||||||||||||||||||
Dividends declared on preferred stock | $ (25,579) | $ (25,579) | $ (25,579) | |||||||||||||||||||
Capital contributions | 1,791 | $ 1,791 | ||||||||||||||||||||
Capital distributions | $ (22,933) | (22,933) | ||||||||||||||||||||
Issuance of stock (in shares) | 97,394 | 16,100,000 | ||||||||||||||||||||
Issuance of stock | 1,662 | $ 1 | 1,661 | $ 389,548 | $ 389,548 | $ 1,662 | $ 389,548 | |||||||||||||||
Options exercise (in shares) | 0 | |||||||||||||||||||||
Director share grants (in shares) | 126,344 | |||||||||||||||||||||
Director share grants | $ 1,211 | $ 1 | 1,210 | 1,211 | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||
Net (loss) income | (1,563,126) | (1,585,604) | 22,478 | (1,585,604) | ||||||||||||||||||
Net unrealized gain (loss) on securities | 90,773 | 90,773 | 90,773 | |||||||||||||||||||
Reclassification of net realized (gain) loss on securities into earnings | (742,194) | (742,194) | $ (742,194) | |||||||||||||||||||
Total comprehensive income (loss) | (2,214,547) | (2,237,025) | 22,478 | |||||||||||||||||||
Equity, ending balance (in shares) at Jun. 30, 2020 | 33,610,000 | 415,744,518 | ||||||||||||||||||||
Equity, ending balance at Jun. 30, 2020 | 5,388,972 | $ 812,992 | $ 4,158 | 5,554,559 | (1,110,148) | 30,730 | 5,292,291 | 96,681 | ||||||||||||||
Equity, beginning balance (in shares) at Mar. 31, 2020 | 33,610,000 | 415,649,214 | ||||||||||||||||||||
Equity, beginning balance at Mar. 31, 2020 | 5,330,464 | $ 812,992 | $ 4,157 | 5,500,308 | (1,059,706) | 6,135 | 5,263,886 | 66,578 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||
2020 Warrants | 53,462 | 53,462 | 53,462 | |||||||||||||||||||
Dividends declared on common stock | (41,574) | (41,574) | (41,574) | |||||||||||||||||||
Dividends declared on preferred stock | (14,357) | (14,357) | (14,357) | |||||||||||||||||||
Capital contributions | 1,791 | 1,791 | ||||||||||||||||||||
Capital distributions | (10,328) | (10,328) | ||||||||||||||||||||
Issuance of stock | $ 79 | $ 79 | $ 79 | |||||||||||||||||||
Director share grants (in shares) | 95,304 | |||||||||||||||||||||
Director share grants | 711 | $ 1 | 710 | 711 | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||
Net (loss) income | 44,129 | 5,489 | 5,489 | 38,640 | ||||||||||||||||||
Net unrealized gain (loss) on securities | 56,398 | 56,398 | 56,398 | |||||||||||||||||||
Reclassification of net realized (gain) loss on securities into earnings | (31,803) | (31,803) | (31,803) | |||||||||||||||||||
Total comprehensive income (loss) | 68,724 | 30,084 | 38,640 | |||||||||||||||||||
Equity, ending balance (in shares) at Jun. 30, 2020 | 33,610,000 | 415,744,518 | ||||||||||||||||||||
Equity, ending balance at Jun. 30, 2020 | $ 5,388,972 | $ 812,992 | $ 4,158 | $ 5,554,559 | $ (1,110,148) | $ 30,730 | $ 5,292,291 | $ 96,681 |
Condensed Consolidated Statem_5
Condensed Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividends declared on common stock (in dollars per share) | $ 0.10 | $ 0.50 | $ 0.15 | $ 1 |
Condensed Consolidated Statem_6
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | ||
Cash Flows From Operating Activities | |||
Net income | $ (1,563,126) | $ 130,892 | |
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 | 11,109 | 3,828 | |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | 2,509 | 664 | |
Change in fair value of investments in mortgage servicing rights financing receivables | 225,631 | 91,790 | |
Change in fair value of servicer advance investments | 2,712 | (9,291) | |
Change in fair value of residential mortgage loans, at fair value | (165,246) | 81,607 | |
Change in fair value of notes and bonds payable | (6,146) | 2,601 | |
Change in fair value of investments in real estate and other securities | 28,194 | (14,064) | |
(Gain) loss on settlement of investments, net | 874,538 | 37,285 | |
(Gain) loss on sale of originated mortgage loans, net | (489,720) | (168,188) | |
Earnings from investments in consumer loans, equity method investees | 0 | (1,657) | |
Change in fair value of derivative instruments | 18,876 | 66,426 | |
Change in fair value of contingent consideration | 3,871 | 4,727 | |
Change in fair value of investments in consumer loans, held-for-investment | 9,223 | 0 | |
Change in fair value of equity investments | 47,697 | 159 | |
(Gain) loss on transfer of loans to REO | (4,307) | (6,584) | |
(Gain) loss on transfer of loans to other assets | 261 | 277 | |
(Gain) loss on Excess MSR recapture agreements | (1,190) | (1,242) | |
(Gain) loss on Ocwen common stock | 4,121 | (4,237) | |
Accretion and other amortization | (80,990) | (256,955) | |
Provision for credit losses on securities | 19,015 | 16,375 | |
Valuation and credit loss provision on loans and real estate owned | 103,920 | 18,732 | |
Non-cash portions of servicing revenue, net | 1,090,408 | 391,509 | |
Non-cash directors’ compensation | 1,211 | 1,055 | |
Deferred tax provision | (141,640) | 24,733 | |
Changes in: | |||
Servicer advances receivable | 365,078 | 231,023 | |
Other assets | 200,638 | (370,927) | |
Due to affiliates | (86,988) | (73,694) | |
Accrued expenses and other liabilities | (181,811) | 75,747 | |
Other operating cash flows: | |||
Interest received from excess mortgage servicing rights | 13,239 | 12,568 | |
Interest received from servicer advance investments | 9,796 | 15,251 | |
Interest received from Non-Agency RMBS | 105,032 | 137,729 | |
Interest received from residential mortgage loans, held-for-investment | 2,509 | 37,253 | |
Interest received from consumer loans, held-for-investment | 0 | 16,437 | |
Purchases of residential mortgage loans, held-for-sale | (1,147,328) | (4,220,239) | |
Origination of residential mortgage loans, held-for-sale | (19,030,513) | (5,537,689) | |
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale | 22,017,043 | 6,473,386 | |
Principal repayments from purchased residential mortgage loans, held-for-sale | 177,023 | 165,931 | |
Net cash provided by (used in) operating activities | 2,766,313 | (2,783,183) | |
Cash Flows From Investing Activities | |||
Purchase of servicer advance investments | (631,240) | (865,350) | |
Purchase of Non-Agency RMBS | (56,520) | (651,001) | |
Purchase of real estate owned and other assets | (5,970) | (16,426) | |
Purchase of investment in consumer loans, equity method investees | 0 | (63,875) | |
Draws on revolving consumer loans | (17,684) | (28,871) | |
Payments for settlement of derivatives | (155,034) | (191,527) | |
Return of investments in excess mortgage servicing rights | 22,575 | 30,342 | |
Return of investments, equity method investees | 0 | 55,848 | |
Principal repayments from servicer advance investments | 643,580 | 969,851 | |
Principal repayments from Agency RMBS | 745,259 | 314,623 | |
Principal repayments from Non-Agency RMBS | 324,098 | 605,874 | |
Principal repayments from residential mortgage loans | 62,293 | 57,168 | |
Proceeds from sale of residential mortgage loans | 866 | 34,682 | |
Principal repayments from consumer loans | 119,124 | 139,846 | |
Proceeds from MSRs and MSR financing receivables | 61,475 | 9,113 | |
Proceeds from sale of mortgage servicing rights financing receivables | 13,509 | ||
Proceeds from sale of excess mortgage servicing rights | 114 | 0 | |
Proceeds from sale of Agency RMBS | 23,099,348 | 10,889,487 | |
Proceeds from sale of Non-Agency RMBS | 4,460,656 | 752,026 | |
Proceeds from settlement of derivatives | 46,458 | 57,240 | |
Proceeds from sale of real estate owned | 57,407 | 74,976 | |
Net cash provided by (used in) investing activities | 16,363,229 | (3,477,068) | |
Cash Flows From Financing Activities | |||
Repayments of repurchase agreements | (118,194,027) | (91,625,830) | |
Margin deposits under repurchase agreements and derivatives | (3,102,467) | (1,637,846) | |
Proceeds for issuance of term loan | 592,400 | 0 | |
Repayments of notes and bonds payable | (3,880,989) | (4,540,705) | |
Deferred financing fees | (22,974) | (2,868) | |
Common stock dividends paid | (228,543) | (392,267) | |
Preferred Stock Dividend paid | (22,372) | 0 | |
Borrowings under repurchase agreements | 99,455,395 | 97,551,956 | |
Return of margin deposits under repurchase agreements and derivatives | 3,316,509 | 1,606,200 | |
Borrowings under notes and bonds payable | 3,050,608 | 4,725,330 | |
Issuance of preferred stock | 389,548 | 0 | |
Issuance of common stock | 1,734 | 752,217 | |
Costs related to issuance of common stock | (72) | (824) | |
Noncontrolling interests in equity of consolidated subsidiaries - contributions | 1,791 | 0 | |
Noncontrolling interests in equity of consolidated subsidiaries - distributions | (22,933) | (25,001) | |
Payment of contingent consideration | 1,944 | 0 | |
Net cash provided by (used in) financing activities | (18,668,336) | 6,410,362 | |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 461,206 | 150,111 | |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 690,934 | 415,078 | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 1,152,140 | 565,189 | |
Supplemental Disclosure of Cash Flow Information | |||
Cash paid during the period for interest | 335,464 | 417,974 | |
Cash paid during the period for income taxes | 92 | 1,194 | |
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared by not paid | 48,753 | ||
Warrants issued with term loan | 53,462 | 0 | |
Transfer from residential mortgage loans to real estate owned and other assets | 18,931,717 | 48,449 | |
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale | 0 | 36,331 | |
Real estate securities retained from loan securitizations | 518,515 | 232,050 | |
Residential mortgage loans subject to repurchase | 1,075,008 | [1] | 141,581 |
Agency Residential Mortgage Backed Securities | |||
Cash Flows From Investing Activities | |||
Purchase of Agency RMBS | (11,944,647) | (14,883,418) | |
Agency RMBS | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Purchase of investments, primarily Agency RMBS, settled after quarter-end | 105,930 | 265,125 | |
Sale of investments, primarily Non-Agency RMBS, settled after quarter-end | 163,477 | 5,307,642 | |
Mortgage Servicing Rights | |||
Cash Flows From Investing Activities | |||
Purchase of MSRs, MSR financing receivables and servicer advances receivable | (491,880) | (775,873) | |
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
MSR purchase price holdback | (44,734) | 22,574 | |
Excess MSRs Investees | |||
Other operating cash flows: | |||
Distributions of earnings from equity method investees | 1,172 | 5,635 | |
Cash Flows From Investing Activities | |||
Return of investments, equity method investees | 9,442 | 8,197 | |
Consumer Loans | |||
Other operating cash flows: | |||
Distributions of earnings from equity method investees | 0 | 1,178 | |
MSRs | |||
Cash Flows From Investing Activities | |||
Proceeds from sale of mortgage servicing rights financing receivables | 9,801 | 0 | |
LoanCo | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Non-cash distributions from LoanCo | 0 | 21,314 | |
New Residential Mortgage LLC | MSRs | Mortgage Servicing Rights Financing Receivable | |||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Change in fair value of investments in mortgage servicing rights financing receivables | 225,631 | 91,790 | |
Cash Flows From Investing Activities | |||
Proceeds from sale of mortgage servicing rights financing receivables | 3,708 | 0 | |
Common Stock | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared by not paid | 41,574 | 207,760 | |
Preferred Stock | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared by not paid | $ 14,357 | $ 0 | |
[1] | See Note 8 for details. |
ORGANIZATION AND BASIS OF PRESE
ORGANIZATION AND BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2020 | |
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,” or “the Company”) is a Delaware corporation that was formed as a limited liability company in September 2011 (commenced operations on December 8, 2011) for the purpose of making real estate related investments. New Residential is an independent publicly traded real estate investment trust (“REIT”) primarily focused on investing in residential mortgage related assets and 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 18, Income Taxes, for additional information regarding New Residential’s taxable REIT subsidiaries. New Residential, through its wholly-owned subsidiaries New Residential Mortgage LLC (“NRM”) and NewRez LLC (“NewRez”), is licensed or otherwise eligible to service residential mortgage loans in all states within the United States and the District of Columbia. Each of NRM and NewRez is also approved to service mortgage loans on behalf of investors, including the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively, Government Sponsored Enterprises or “GSEs”) and, solely in the case of NewRez, Government National Mortgage Association (“Ginnie Mae”). NewRez is also eligible to perform servicing on behalf of other servicers (subservicing). NewRez currently originates, sells and securitizes, or has in the past originated, sold, and securitized, conventional (conforming to the underwriting standards of Fannie Mae or Freddie Mac; collectively referred to as “Agency” loans), government-insured (Federal Housing Administration (“FHA”) and Department of Veterans Affairs (“VA”), and U.S Department of Agriculture (“USDA”) and non-qualified (“Non-QM”) residential mortgage loans. The GSEs or Ginnie Mae guarantee securitizations are completed under their applicable policies and guidelines. New Residential generally retains the right to service the underlying residential mortgage loans sold and securitized by NewRez. NRM and NewRez are required to conduct aspects of their operations in accordance with applicable policies and guidelines published by FHA, Fannie Mae and Freddie Mac. 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. See Note 16 for additional information. As of June 30, 2020, New Residential conducted its business through the following segments: (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities and Loans, (v) Consumer Loans and (vi) Corporate. Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, as of June 30, 2020. In addition, Fortress, through its affiliates, held options relating to approximately 10.9 million shares of New Residential’s common stock as of June 30, 2020. Interim Financial Statements The accompanying condensed consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “US GAAP”). 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 consolidated financial statements include the accounts of New Residential and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. New Residential consolidates those entities in which it has control over significant operating, financing and investing decisions of the entity, as well as those entities deemed to be variable interest entities (“VIEs”) in which New Residential is determined to be the primary beneficiary. For entities over which New Residential exercises significant influence, but which do not meet the requirements for consolidation, New Residential uses the equity method of accounting whereby it records its share of the underlying income of such entities. Distributions from equity method investees are classified in the Condensed Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect changes in the business and how the Company is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity. Use of Estimates In March 2020, the World Health Organization declared a pandemic related to the rapidly spreading coronavirus (“COVID-19”) outbreak, which has led to a global health emergency. In response to this outbreak, the governments of many countries have taken preventive and protective actions, such as restricting travel and business operations. Financial markets have also experienced extreme volatility and disruptions to capital and credit markets. As a result, economic uncertainties have arisen which have impacted and could continue to impact the Company’s operations and its financial position. The extent of the impact of COVID-19 on the Company’s operational and financial performance will depend on certain developments, including the duration and spread of the outbreak, regulatory and private sector responses, and the impact on the Company’s customers, workforce, and vendors, all of which are uncertain and cannot be predicted. The Company believes the estimates and assumptions underlying its condensed consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2020; however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and the Company’s business in particular, makes any estimates and assumptions as of June 30, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19. Actual results may materially differ from those estimates. Recent Accounting Pronouncements In June 2016, the FASB issued ASU 2016-13 Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments (“CECL”) . 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 collectability of the reported amount. The standard also changes the accounting for purchased credit deteriorated assets and available-for-sale securities, which requires 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. The standard provides an option to elect the fair value option for certain investments as an alternative to adopting ASU 2016-13. Lastly, an entity is required to apply ASU 2016-13 using the modified retrospective approach which requires a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. The standard was effective for New Residential in the first quarter of 2020. Upon adoption of the standard, New Residential elected the fair value option on its held for investment residential mortgage and consumer loans portfolios. As a result, the Company recognized a positive adjustment of $13.7 million to retained earnings, composed of a $19.7 million increase attributable to the change in the fair value of consumer loans, net of noncontrolling interests, partially offset by a $6.0 million decrease attributable to the change in fair value of residential mortgage loans. For servicer advance investments and receivables, the Company determined credit-related losses are not significant because of the contractual relationships with the agencies. For other assets, primarily trade receivables, the Company determined that these are short-term in nature (less than one year), and the estimated credit-related losses over the life of these receivables are not significant. In August 2018, the FASB issued ASU 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 2018-13 was effective for New Residential in the first quarter of 2020. The adoption of ASU 2018-13 did not have a material impact on the condensed consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The Company is currently evaluating the impact the adoption of this standard would have on its condensed consolidated financial statements. |
OTHER INCOME (LOSS), GENERAL AN
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES | 6 Months Ended |
Jun. 30, 2020 | |
Other Income Assets And Liabilities | |
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES | OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES Change in fair value of investments — This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Change in fair value of investments in excess mortgage servicing rights $ (85) $ (8,455) $ (11,109) $ (3,828) Change in fair value of investments in excess mortgage servicing rights, equity method investees (2,052) (3,276) (2,509) (664) Change in fair value of investments in mortgage servicing rights financing receivables (121,520) (55,411) (225,631) (91,790) Change in fair value of servicer advance investments 16,037 1,388 (2,712) 9,291 Change in fair value of real estate and other securities 58,598 7,385 (28,194) 14,064 Change in fair value of residential mortgage loans 99,998 72,393 (165,246) 81,607 Change in fair value of investments in consumer loans held-for-investment 30,694 — (9,223) — Change in fair value of derivative instruments 21,106 (40,666) (18,876) (66,426) $ 102,776 $ (26,642) $ (463,500) $ (57,746) Gain (Loss) on Settlement of Investments, Net — This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Gain (loss) on sale of real estate securities $ (6,669) $ 41,023 $ (761,209) $ 106,219 Gain (loss) on sale of acquired residential mortgage loans (47,330) 6,575 (12,094) 9,757 Gain (loss) on settlement of derivatives (25,195) (45,201) (109,907) (138,277) Gain (loss) on liquidated residential mortgage loans 3,220 (633) 2,381 (3,122) Gain (loss) on sale of REO 443 (4,551) 1,616 (6,276) Other gains (losses) 565 8,363 4,675 (5,586) $ (74,966) $ 5,576 $ (874,538) $ (37,285) Other Income (Loss), Net — This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Unrealized gain (loss) on notes and bonds payable $ (10,856) $ (1,464) $ 6,146 $ (2,601) Unrealized gain (loss) on contingent consideration (2,257) (2,682) (3,871) (4,727) Unrealized gain (loss) on equity investments (2,674) (86) (47,697) (159) Gain (loss) on transfer of loans to REO 1,712 1,600 4,307 6,584 Gain (loss) on transfer of loans to other assets (20) 244 (261) (277) Gain (loss) on Excess MSR recapture agreements 562 935 1,190 1,242 Gain (loss) on Ocwen common stock 929 1,451 (4,121) 4,237 Provision for servicing losses (11,249) (285) (16,030) (926) Rental and ancillary revenue 20,112 — 39,719 — Other income (loss) 534 (1,940) (19,402) 88 $ (3,207) $ (2,227) $ (40,020) $ 3,461 General and Administrative Expenses, Loan Servicing Expense and Subservicing Expense — General and administrative expenses are expensed as incurred and primarily include employee compensation, legal and professional fees, insurance premiums, and other costs. Loan servicing and subservicing expenses are expensed as incurred. General and Administrative Expenses is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Compensation and benefits expense, servicing $ 59,498 $ 29,480 $ 110,839 $ 54,781 Compensation and benefits expense, origination 73,148 39,341 134,426 70,651 Legal and professional expense 15,552 16,618 41,589 29,910 Loan origination expense 23,635 14,198 46,035 24,467 Occupancy expense 8,775 4,786 16,839 8,965 Other (A) 36,765 14,483 74,008 29,072 $ 217,373 $ 118,906 $ 423,736 $ 217,846 (A) Represents miscellaneous general and administrative expenses. Other Assets and Other Liabilities — Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Margin receivable, net (A) $ 45,527 $ 280,176 MSR purchase price holdback $ 44,495 $ 75,348 Servicing fee receivables 145,135 159,607 Interest payable 35,524 68,668 Due from servicers 93,108 163,961 Accounts payable 109,434 119,771 Principal and interest receivable 45,566 85,191 Derivative liabilities (Note 10) 24,936 6,885 Equity investments (B) 66,859 114,763 Due to servicers 70,477 88,645 Other receivables 99,190 117,045 Due to Agencies 42,118 39,201 Real Estate Owned 68,618 93,672 Contingent Consideration 57,149 55,222 Single-family rental properties 26,193 24,133 Accrued compensation and benefits 51,728 41,228 Goodwill (C) 29,468 29,737 Excess spread financing, at fair value 22,059 31,777 Notes Receivable (D) 47,318 37,001 Operating lease liabilities 35,165 38,520 Warrants, at fair value 23,009 28,042 Reserve for sales recourse 11,560 12,549 Recovery asset 17,092 23,100 Reserve for servicing losses 16,030 — Property and equipment 23,419 18,018 Other liabilities 11,574 22,976 Receivable from government agency (E) 15,971 19,670 $ 532,249 $ 600,790 Intangible assets 36,002 40,963 Prepaid expenses 24,236 19,249 Operating lease right-of-use asset 29,794 32,120 Derivative assets (Note 10) 166,613 41,501 Ocwen common stock, at fair value 3,831 7,952 Deferred tax asset, net 148,746 8,669 Other assets 38,362 51,230 $ 1,194,057 $ 1,395,800 (A) Represents collateral posted primarily as a result of changes in fair value of our 1) real estate securities securing our repurchase agreements and 2) derivative instruments. (B) Represents equity investments in funds that invest in 1) a commercial redevelopment project, 2) operating companies in the single-family housing industry. The indirect investments are accounted for at fair value based on the net asset value (“NAV”) of New Residential’s investment and as an equity method investment, respectively. Equity investments also includes an investment in Covius Holding Inc. (“Covius”), a provider of various technology-enabled services to the mortgage and real estate industries. (C) Includes goodwill derived from the acquisition of Shellpoint Partners LLC (“Shellpoint”) and DGG RE Investments d/b/a Guardian Asset Management LLC (“Guardian”). (D) Represents a subordinated debt facility to Covius. (E) Represents claims receivable from the FHA on early buyout (“EBO”) and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. As a result of the economic uncertainties arising from the COVID-19 pandemic, the impact of the uncertainty on the financial and mortgage-related asset markets, and the associated decreases in the Company’s common and preferred stock prices, the Company performed a qualitative impairment analysis for goodwill and intangible assets. Based on the analysis, the Company determined no impairment had occurred during the six months ended June 30, 2020. Such analysis required management to assess current and future market conditions. Given the uncertainty inherent in the analysis, heightened by the possibility of unforeseen effects of COVID-19, actual results may differ from assumptions used, or conditions may change, which could result in impairment charges in the future. In the event that the Company concludes that all or a portion of its goodwill or intangible asset is impaired, a non-cash charge for the amount of such impairment would be recorded to earnings. Such a charge would have no impact on tangible capital. Accretion and Other Amortization — As reflected on the Condensed Consolidated Statements of Cash Flows, this item is comprised of the following: Six Months Ended 2020 2019 Accretion of net discount on securities and loans $ 62,791 235,003 Accretion of servicer advances receivable discount and servicer advance investments 13,464 12,957 Accretion of excess mortgage servicing rights income 12,582 11,830 Amortization of deferred financing costs (5,992) (1,925) Amortization of discount on notes and bonds payable (246) (910) Amortization of discount on term loan (1,609) — $ 80,990 $ 256,955 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. Real Estate Owned Balance at December 31, 2019 $ 93,672 Purchases 3,910 Transfer of loans to real estate owned 28,197 Sales (A) (55,791) Valuation (provision) reversal on REO (1,370) Balance at June 30, 2020 $ 68,618 (A) Recognized when control of the property has transferred to the buyer. As of June 30, 2020, New Residential had residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $460.9 million. |
SEGMENT REPORTING
SEGMENT REPORTING | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING New Residential’s portfolio consists of the following segments: (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities and Loans, (v) Consumer Loans and (vi) Corporate, organized based on differences in services and products. The corporate segment consists primarily of general and administrative expenses, management fees and incentive compensation related to the Management Agreement, corporate cash and related interest income. Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended June 30, 2020 Interest income $ 8,963 $ 1,115 $ 108,386 $ — $ 118,464 $ 33,663 $ 47,284 $ 32,787 $ — $ 232,198 Servicing revenue, net (1,998) 96,885 (123,620) (61,726) (90,459) — — — — (90,459) Gain on originated mortgage loans, held-for-sale, net 281,937 343 33,152 (3,561) 311,871 — (1,849) — — 310,022 Total revenue 288,902 98,343 17,918 (65,287) 339,876 33,663 45,435 32,787 — 451,761 Operating expenses 108,129 74,018 213,774 (61,726) 334,195 18,023 36,749 9,918 37,651 436,536 Other income (loss) 390 — (90,665) — (90,275) 47,837 36,676 29,984 381 24,603 Impairment — — (91) — (91) (25,134) 3,515 — — (21,710) Income (loss) before income taxes 181,163 24,325 (286,430) (3,561) (84,503) 88,611 41,847 52,853 (37,270) 61,538 Income tax expense (benefit) 20,083 1,224 (6,832) — 14,475 — 2,918 16 — 17,409 Net income (loss) $ 161,080 $ 23,101 $ (279,598) $ (3,561) $ (98,978) $ 88,611 $ 38,929 $ 52,837 $ (37,270) $ 44,129 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 4,419 $ — $ 8,591 $ — $ 13,010 $ — $ — $ 25,630 $ — $ 38,640 Dividends on preferred stock $ — $ — $ — $ — $ — $ — $ — $ — $ 14,357 $ 14,357 Net income (loss) attributable to common stockholders $ 156,661 $ 23,101 $ (288,189) $ (3,561) $ (111,988) $ 88,611 $ 38,929 $ 27,207 $ (51,627) $ (8,868) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Six Months Ended June 30, 2020 Interest income $ 25,698 $ 8,602 $ 207,739 $ — $ 242,039 $ 217,668 $ 107,205 $ 67,659 $ — $ 634,571 Servicing revenue, net (3,076) 183,627 (474,207) (85,918) (379,574) — — — — (379,574) Gain on originated mortgage loans, held-for-sale, net 440,152 602 55,240 (12,936) 483,058 — 6,662 — — 489,720 Total revenue 462,774 192,831 (211,228) (98,854) 345,523 217,668 113,867 67,659 — 744,717 Operating expenses 221,768 138,566 379,629 (85,918) 654,045 132,886 84,278 20,468 64,632 956,309 Other income (loss) 374 499 (247,598) — (246,725) (918,202) (155,595) (10,767) (46,769) (1,378,058) Impairment — — (91) — (91) 19,015 104,011 — — 122,935 Income (loss) before income taxes 241,380 54,764 (838,364) (12,936) (555,156) (852,435) (230,017) 36,424 (111,401) (1,712,585) Income tax expense (benefit) 32,041 7,269 (116,617) — (77,307) — (72,283) 131 — (149,459) Net income (loss) $ 209,339 $ 47,495 $ (721,747) $ (12,936) $ (477,849) $ (852,435) $ (157,734) $ 36,293 $ (111,401) $ (1,563,126) Noncontrolling interests in income (loss) of consolidated subsidiaries $ 5,702 $ — $ (2,656) $ — $ 3,046 $ — $ — $ 19,432 $ — $ 22,478 Dividends on preferred stock $ — $ — $ — $ — $ — $ — $ — $ — $ 25,579 $ 25,579 Net income (loss) attributable to common stockholders $ 203,637 $ 47,495 $ (719,091) $ (12,936) $ (480,895) $ (852,435) $ (157,734) $ 16,861 $ (136,980) $ (1,611,183) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total June 30, 2020 Investments $ 1,750,568 $ — $ 6,039,020 $ — $ 7,789,588 $ 6,144,236 $ 2,614,314 $ 766,462 $ — $ 17,314,600 Cash and cash equivalents 159,242 83,066 362,659 — 604,967 111,571 19,210 7,477 269,983 1,013,208 Restricted cash 3,224 5,209 87,199 — 95,632 11,259 — 32,041 — 138,932 Other assets 231,088 197,243 3,166,414 — 3,594,745 217,354 1,356,432 60,095 27,315 5,255,941 Goodwill 11,836 12,540 5,092 — 29,468 — — — — 29,468 Total assets $ 2,155,958 $ 298,058 $ 9,660,384 $ — $ 12,114,400 $ 6,484,420 $ 3,989,956 $ 866,075 $ 297,298 $ 23,752,149 Debt $ 1,607,829 $ 6,669 $ 6,383,566 $ — $ 7,998,064 $ 5,314,581 $ 2,015,476 $ 722,839 $ 533,383 $ 16,584,343 Other liabilities 201,530 55,774 209,335 — 466,639 119,506 1,119,831 3,916 68,942 1,778,834 Total liabilities 1,809,359 62,443 6,592,901 — 8,464,703 5,434,087 3,135,307 726,755 602,325 18,363,177 Total equity 346,599 235,615 3,067,483 — 3,649,697 1,050,333 854,649 139,320 (305,027) 5,388,972 Noncontrolling interests in equity of consolidated subsidiaries 15,186 — 40,333 — 55,519 — — 41,162 — 96,681 Total New Residential stockholders’ equity $ 331,413 $ 235,615 $ 3,027,150 $ — $ 3,594,178 $ 1,050,333 $ 854,649 $ 98,158 $ (305,027) $ 5,292,291 Investments in equity method investees $ — $ — $ 147,017 $ — $ 147,017 $ — $ — $ — $ — $ 147,017 Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended June 30, 2019 Interest income $ 9,280 $ 8,151 $ 129,985 $ — $ 147,416 $ 168,489 $ 56,303 $ 43,839 $ — $ 416,047 Servicing revenue, net (397) 48,563 (112,925) (20,778) (85,537) — — — — (85,537) Gain on sale of originated mortgage loans, net 73,943 244 12,105 (10,218) 76,074 — 24,944 — — 101,018 Total revenue 82,826 56,958 29,165 (30,996) 137,953 168,489 81,247 43,839 — 431,528 Operating expenses 64,404 40,632 149,959 (20,778) 234,217 107,765 48,585 15,834 23,466 429,867 Other income (loss) (102) — (67,335) — (67,437) (37,446) 88,148 (12,204) 2,992 (25,947) Impairment — — — — — 8,859 5,800 7,652 — 22,311 Income (loss) before income taxes 18,320 16,326 (188,129) (10,218) (163,701) 14,419 115,010 8,149 (20,474) (46,597) Income tax expense (benefit) 10,810 11,669 (76,723) — (54,244) — 32,488 179 — (21,577) Net income (loss) $ 7,510 $ 4,657 $ (111,406) $ (10,218) $ (109,457) $ 14,419 $ 82,522 $ 7,970 $ (20,474) $ (25,020) Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,543 $ — $ 331 $ — $ 1,874 $ — $ — $ 5,049 $ — $ 6,923 Dividends on Preferred Stock $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Net income (loss) attributable to common stockholders $ 5,967 $ 4,657 $ (111,737) $ (10,218) $ (111,331) $ 14,419 $ 82,522 $ 2,921 $ (20,474) $ (31,943) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Six Months Ended June 30, 2019 Interest income $ 14,864 $ 14,334 $ 250,018 $ — $ 279,216 $ 372,962 $ 114,492 $ 88,244 $ — $ 854,914 Servicing revenue, net (667) 92,084 15,812 (26,913) 80,316 — — — — 80,316 Gain on sale of originated mortgage loans, net 124,755 333 21,615 (19,303) 127,400 — 40,788 — — 168,188 Total revenue 138,952 106,751 287,445 (46,216) 486,932 372,962 155,280 88,244 — 1,103,418 Operating expenses 115,925 76,952 261,581 (26,913) 427,545 210,254 93,756 32,456 59,075 823,086 Other income (loss) 957 — (89,200) — (88,243) (84,404) 84,703 (7,673) 5,704 (89,913) Impairment — — — — — 16,375 (4) 18,736 — 35,107 Income (loss) before income taxes 23,984 29,799 (63,336) (19,303) (28,856) 61,929 146,231 29,379 (53,371) 155,312 Income tax expense (benefit) 12,359 15,355 (42,584) — (14,870) — 39,032 258 — 24,420 Net income (loss) $ 11,625 $ 14,444 $ (20,752) $ (19,303) $ (13,986) $ 61,929 $ 107,199 $ 29,121 $ (53,371) $ 130,892 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,950 $ — $ 2,782 $ — $ 4,732 $ — $ — $ 12,509 $ — $ 17,241 Dividends on Preferred Stock $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Net income (loss) attributable to common stockholders $ 9,675 $ 14,444 $ (23,534) $ (19,303) $ (18,718) $ 61,929 $ 107,199 $ 16,612 $ (53,371) $ 113,651 |
INVESTMENTS IN EXCESS MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS | 6 Months Ended |
Jun. 30, 2020 | |
Transfers and Servicing [Abstract] | |
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS | INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS Excess mortgage servicing rights assets include New Residential’s direct investments in Excess MSRs and investments in joint ventures jointly controlled by New Residential and Fortress-managed funds investing in Excess MSRs. The table below summarizes the components of excess mortgage servicing rights assets as presented on the Condensed Consolidated Balance Sheets: June 30, 2020 December 31, 2019 Direct investments in Excess MSRs $ 346,450 $ 379,747 Excess MSR Joint Ventures 112,473 125,596 Excess mortgage servicing rights assets, at fair value $ 458,923 $ 505,343 Direct Investments in Excess MSRs The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 12,561 21 12,582 Other income 1,202 — 1,202 Proceeds from repayments (35,708) (216) (35,924) Proceeds from sales (48) — (48) Change in fair value (11,184) 75 (11,109) Balance as of June 30, 2020 $ 344,515 $ 1,935 $ 346,450 (A) Specialized Loan Servicing LLC (“SLS”). Mr. Cooper or SLS, 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 direct Excess MSR investments serviced by Mr. Cooper and SLS. Under such arrangements, New Residential is generally entitled to a pro rata interest in the Excess MSRs on any refinancing by Mr. Cooper 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 direct investments in Excess 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 prepayment risk and other market factors on the Excess MSRs. The following is a summary of New Residential’s direct investments in Excess MSRs: June 30, 2020 December 31, 2019 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 Mr. Cooper Agency Original and Recaptured Pools $ 39,833,663 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.8 $ 162,415 $ 186,928 $ 209,633 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 41,832,962 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 6.5 118,875 159,522 170,114 Total $ 81,666,625 6.1 $ 281,290 $ 346,450 $ 379,747 (A) 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 and recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2020 (Note 6) on $28.8 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Original and Recaptured Pools $ (85) $ (8,455) $ (11,109) $ (3,828) As of June 30, 2020, a weighted average discount rate of 8.3% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). Excess MSR Joint Ventures 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: June 30, 2020 December 31, 2019 Excess MSR assets $ 200,650 $ 226,843 Other assets 24,983 25,035 Other liabilities (687) (687) Equity $ 224,946 $ 251,191 New Residential’s investment $ 112,473 $ 125,596 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income $ 536 $ 190 $ 7,850 $ 4,261 Other income (loss) (4,632) (6,727) (12,852) (5,557) Expenses (8) (15) (16) (32) Net income (loss) $ (4,104) $ (6,552) $ (5,018) $ (1,328) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2019 $ 125,596 Distributions of earnings from equity method investees (1,172) Distributions of capital from equity method investees (9,442) Change in fair value of investments in equity method investees (2,509) Balance at June 30, 2020 $ 112,473 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: June 30, 2020 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 $ 31,923,937 66.7 % 50.0 % $ 156,169 $ 200,650 5.6 (A) The remaining interests are held by Mr. Cooper. (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 and recapture agreements, as applicable. (D) Represents the weighted average expected timing of the receipt of cash flows of each investment. |
INVESTMENTS IN MORTGAGE SERVICI
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | 6 Months Ended |
Jun. 30, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLESThe Company owns and records at fair value the rights to service residential mortgage loans, either as a result of purchase transactions or from the retained mortgage servicing associated with the sales and securitizations of loans originated. Investments in MSRs are comprised of servicing rights of both agency and non-agency loans. In certain cases where New Residential has legally purchased MSRs or the right to the economic interest in MSRs, 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 MSR financing receivables (“MSR Financing Receivables”). Income from these investments, net of subservicing fees, are recorded as Interest income with changes in fair value flowing through Change in fair value of investments in the Condensed Consolidated Statements of Income. A subsidiary of New Residential, New Residential Mortgage LLC (“NRM”), engages third party licensed mortgage servicers as subservicers and, in relation to certain MSR purchases, interim 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” in New Residential’s Condensed Consolidated Statements of Income. As of June 30, 2020, these subservicers include PHH Mortgage Corporation (“PHH”), LoanCare, LLC (“LoanCare”), Mr. Cooper, and Flagstar Bank, FSB (“Flagstar”), which subservice 22.2%, 20.8%, 17.7%, and 0.8% of the underlying UPB of the related mortgages, respectively (includes both Mortgage Servicing Rights and MSR Financing Receivables). The remaining 38.5% of the underlying UPB of the related mortgages is subserviced by the servicing division of NewRez. NRM has entered into recapture agreements with respect to each of its MSR investments. Under the recapture agreements, NRM is generally entitled to the MSRs on any initial or subsequent refinancing by an NRM subservicer or by NewRez. New Residential records its investments in MSRs and MSR Financing Receivables at fair value at acquisition and has elected to subsequently measure at fair value pursuant to the fair value measurement method. The following table presents activity related to the carrying value of New Residential’s investments in MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2019 $ 3,967,960 $ 1,718,273 $ 5,686,233 Purchases, net (A) 456,665 4,362 461,027 Originations (B) 268,098 — 268,098 Prepayments (C) (31,222) (23,369) (54,591) Proceeds from sales (9,801) (3,708) (13,509) Amortization of servicing rights (D) (483,639) (145,951) (629,590) Change in valuation inputs and assumptions (E) (624,561) (77,931) (702,492) (Gain) loss on sales 7,659 (1,749) 5,910 Balance as of June 30, 2020 $ 3,551,159 $ 1,469,927 $ 5,021,086 (A) Net of purchase price adjustments. (B) Represents MSRs retained on the sale of originated mortgage loans. (C) Represents purchase price fully reimbursable from sellers as a result of prepayment protection. (D) 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. (E) Includes changes in inputs or assumptions used in the valuation model. Servicing revenue, net recognized by New Residential related to its investments in MSRs was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Servicing fee revenue $ 332,376 $ 196,249 $ 660,498 $ 379,275 Ancillary and other fees 18,198 52,813 50,336 92,550 Servicing fee revenue and fees 350,574 249,062 710,834 471,825 Amortization of servicing rights (288,573) (105,321) (479,940) (177,996) Change in valuation inputs and assumptions (A) (B) (154,416) (229,278) (618,127) (213,513) (Gain) loss on sales 1,956 — 7,659 — Servicing revenue, net $ (90,459) $ (85,537) $ (379,574) $ 80,316 (A) Includes changes in inputs or assumptions used in the valuation model. (B) Includes $1.9 million and $7.6 million for the three months ended June 30, 2020 and 2019, respectively, and $6.4 million and $8.0 million for the six months ended June 30, 2020 and 2019, respectively, of fair value adjustment to excess spread financing. Interest income from investments in MSR Financing Receivables was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Servicing fee revenue $ 106,861 $ 130,126 $ 220,443 $ 256,370 Ancillary and other fees 17,716 29,954 43,716 61,278 Less: subservicing expense (40,131) (49,577) (82,034) (105,239) Interest income, investments in MSR financing receivables $ 84,446 $ 110,503 $ 182,125 $ 212,409 Change in fair value of investments in MSR Financing Receivables was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Amortization of servicing rights $ (77,199) $ (40,201) $ (145,951) $ (83,077) Change in valuation inputs and assumptions (A) (44,321) (14,850) (77,931) (7,912) (Gain) loss on sales (B) — (360) (1,749) (801) Change in fair value of investments in MSR financing receivables $ (121,520) $ (55,411) $ (225,631) $ (91,790) (A) Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. (B) Represents the realization of unrealized gain (loss) as a result of sales. The following is a summary of New Residential’s investments in MSRs and MSR Financing Receivables as of June 30, 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 315,552,886 5.2 $ 2,927,046 Non-Agency 6,065,805 4.3 18,400 Ginnie Mae (D) 57,779,101 4.3 605,713 379,397,792 5.1 3,551,159 MSR Financing Receivables: Agency (C) 43,073,285 5.0 382,078 Non-Agency 71,380,202 7.7 1,087,849 114,453,487 6.7 1,469,927 Total $ 493,851,279 5.4 $ 5,021,086 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2020, weighted average discount rates of 8.2% and 9.5% were used to value New Residential’s investments in MSRs and MSR financing receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs. (D) As of June 30, 2020, New Residential holds approximately $1,075.0 million in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Condensed Consolidated Balance Sheets. See Note 8 for further discussion. Ocwen MSR Financing Receivable Transactions In July 2017, Ocwen Loan Servicing, LLC (collectively with certain affiliates, “Ocwen”) and New Residential entered into an agreement in which both parties agreed to undertake certain actions to facilitate the transfer from Ocwen to New Residential of Ocwen’s remaining interests in the mortgage servicing rights relating to loans with an aggregate unpaid principal balance of approximately $110.0 billion and with respect to which New Residential already held certain rights (“Rights to MSRs”). Ocwen and New Residential concurrently entered into a subservicing agreement pursuant to which Ocwen agreed to subservice the mortgage loans related to the MSRs that were transferred to New Residential. In January 2018, 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. PHH (as successor by merger to Ocwen) will continue to service the mortgage loans related to the MSRs until any necessary third-party consents to transferring the MSRs are obtained and all other conditions to transferring the MSRs are satisfied, at which time PHH will transfer the MSRs to New Residential. As of June 30, 2020, MSRs representing approximately $66.7 billion UPB of underlying loans were transferred from PHH to NRM and NewRez. Although the MSRs transferred 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 or NewRez, and that the purchase agreement would not be treated as a sale under GAAP. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2020 December 31, 2019 California 22.9 % 21.9 % Florida 7.0 % 6.9 % New York 6.4 % 6.4 % Texas 5.3 % 5.5 % New Jersey 4.8 % 4.9 % Illinois 3.5 % 3.6 % Massachusetts 3.3 % 3.4 % Washington 3.2 % 3.3 % Georgia 3.1 % 3.1 % Maryland 3.0 % 3.0 % Other U.S. 37.5 % 38.0 % 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 NewRez performs servicing of residential mortgage loans for third parties under subservicing agreements. Mortgage subservicing does not meet the criteria to be recognized as a mortgage 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 June 30, 2020 and 2019 was $82.7 billion and $51.1 billion, respectively. New Residential earned subservicing revenue of $94.2 million and $64.7 million for the six months ended June 30, 2020 and 2019, respectively, related to subserviced UPB which 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), which it records at fair value upon acquisition. In addition to receiving cash flows from the MSRs, NRM and NewRez, as servicers, have the obligation to fund future servicer advances on the underlying pool of mortgages (Note 15). These servicer advances are recorded when advanced and are included in Servicer Advances Receivable on the Condensed Consolidated Balance Sheets. The following types of advances are included in the Servicer Advances Receivable: June 30, 2020 December 31, 2019 Principal and interest advances $ 692,849 $ 660,807 Escrow advances (taxes and insurance advances) 2,159,978 2,427,384 Foreclosure advances 145,909 163,054 Total (A)(B)(C) $ 2,998,736 $ 3,251,245 (A) Includes $394.4 million and $562.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies. (B) Includes $105.0 million and $166.5 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. Reserves for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption. (C) Excludes $51.1 million and $50.1 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. New Residential’s Servicer Advances Receivable related to Non-Agency MSRs generally have the highest reimbursement priority pursuant to the underlying servicing agreements (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 December 31, 2019, expected full recovery of the Servicer Advance Receivables. For advances on loans that have been liquidated, sold, paid in full or modified, the Company has reserved $19.7 million for expected non-recovery of advances as of June 30, 2020. See Note 11 regarding the financing of MSRs. |
SERVICER ADVANCE INVESTMENTS
SERVICER ADVANCE INVESTMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Investments, All Other Investments [Abstract] | |
SERVICER ADVANCE INVESTMENTS | SERVICER ADVANCE INVESTMENTS All of New Residential’s Servicer Advance Investments consist 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 Advance Purchaser LLC (the “Buyer”), a joint venture entity, and owned an approximately 73.2% interest in the Buyer as of June 30, 2020. The Buyer is a limited liability company which was established in December 2013 for the purpose of investing in residential mortgage related assets. As of June 30, 2020, 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 June 30, 2020, the noncontrolling third-party co-investors and New Residential had previously funded their commitments; however, the Buyer may recall $328.4 million and $306.9 million of capital distributed to the third-party co-investors and New Residential, respectively. Neither the third-party co-investors nor New Residential is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. The 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) June 30, 2020 Servicer Advance Investments $ 537,388 $ 559,011 5.3 % 5.7 % 6.3 December 31, 2019 Servicer Advance Investments $ 557,444 $ 581,777 5.3 % 5.7 % 6.3 (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. The following is additional information regarding the Servicer Advance Investments and related financing: 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 Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net June 30, 2020 Servicer Advance Investments (D) $ 28,834,119 $ 467,339 1.6 % $ 442,002 88.9 % 87.9 % 2.9 % 2.9 % December 31, 2019 Servicer Advance Investments (D) $ 31,442,267 $ 462,843 1.5 % $ 443,248 88.3 % 87.2 % 3.4 % 2.8 % (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: June 30, 2020 December 31, 2019 Principal and interest advances $ 113,039 $ 71,574 Escrow advances (taxes and insurance advances) 167,167 180,047 Foreclosure advances 187,133 211,222 Total $ 467,339 $ 462,843 Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 27,905 $ 13,932 $ 17,655 $ 29,008 Amounts attributable to base servicer compensation (2,504) (1,407) (1,622) (2,972) Amounts attributable to incentive servicer compensation (5,230) (7,080) (13,951) (13,507) Interest income from Servicer Advance Investments $ 20,171 $ 5,445 $ 2,082 $ 12,529 |
INVESTMENTS IN REAL ESTATE AND
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES | 6 Months Ended |
Jun. 30, 2020 | |
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 Fannie Mae or Freddie Mac. “Non-Agency” RMBS are issued by either public trusts or private label securitization entities. Effective January 1, 2020, New Residential elected to apply the fair value option for any new purchases of Non-Agency RMBS. Effective April 1, 2020, New Residential elected to apply the fair value option for any new purchases of Agency RMBS. The fair value option provides an election which allows a company to irrevocably elect fair value for certain financial assets and liabilities on an instrument-by-instrument basis at initial recognition. For securities for which the fair value option was elected, any unrealized gains (losses) from the change in fair value are recorded in Change in fair value of investments in the Condensed Consolidated Statements of Income. For securities for which the fair value option was not elected, any unrealized gains (losses) from the change in fair value are recorded as a component of accumulated other comprehensive income in the Condensed Consolidated Statement of Changes in Stockholders’ Equity, to the extent impairment losses are considered non-credit related. Expected credit losses are reflected in the Provision (reversal) for credit losses in the Condensed Consolidated Statements of Income. The Company estimates expected credit losses using a discounted cash flow (“DCF”) approach. The DCF approach considers available relevant information about the collectability of cash flows, including information about past events, current conditions, and reasonable and supportable forecasts. The Company generates cash flow projections at the instrument level wherein payment expectations are adjusted for estimated prepayment speeds, default rates, and loss severities. Realized gains (losses) on securities are recorded in gain (loss) on settlement of investments, net in the Condensed Consolidated Statements of Income. Interest income is recognized over the life of the security using the effective interest method and is recorded on the accrual basis. Activities related to New Residential’s investments in real estate and other securities were as follows: Six Months Ended June 30, 2020 2019 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 10,862.6 $ 5,083.1 $ 12,817.1 $ 4,574.2 Purchase price 11,149.5 575.0 13,089.1 917.9 Sales Face $ 17,395.0 $ 7,487.8 $ 11,825.1 $ 837.5 Amortized cost 17,679.3 5,557.2 12,105.6 738.6 Sale price 17,869.1 4,624.6 12,198.6 752.0 Gain (loss) on sale 189.8 (932.6) 93.0 13.4 As of June 30, 2020, New Residential had purchased $0.1 billion face amount for $0.1 billion of Agency RMBS and sold $0.2 billion face amount for $0.2 billion of Non-Agency RMBS, which had not yet been settled. As of June 30, 2019, New Residential had sold and purchased $5.1 billion and $0.3 billion face amount of Agency RMBS for $5.3 billion and $0.3 billion, respectively, and purchased $21.6 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 Condensed Consolidated Balance Sheets 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 Notes 8 and 16 for further details on these transactions. The following is a summary of New Residential’s real estate and other securities: June 30, 2020 December 31, 2019 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Agency RMBS $ 301,350 $ 303,173 $ 20,231 $ — $ 323,404 26 AAA 2.95 % 2.78 % 6.4 N/A $ 11,519,943 Agency RMBS at FVO 3,722,586 3,858,145 23,711 — 3,881,856 7 AAA 2.50 % 1.78 % 5.9 N/A — Total Agency RMBS (F)(G) 4,023,936 4,161,318 43,942 — 4,205,260 33 AAA 2.53 % 1.86 % 6.0 N/A 11,519,943 Non-Agency RMBS (H)(I) 23,019,974 1,965,450 85,061 (111,535) 1,938,976 613 AA- 3.08 % 5.36 % 7.8 13.1 % 7,957,785 Total/ $ 27,043,910 $ 6,126,768 $ 129,003 $ (111,535) $ 6,144,236 646 AA+ 1.12 % 2.98 % 6.5 $ 19,477,728 (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 374 bonds with a carrying value of $992.0 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 $26.8 million and $4.3 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 $4.0 billion for fixed rate securities as of June 30, 2020. (H) The total outstanding face amount was $13.6 billion (including $12.4 billion of residual and fair value option notional amount) for fixed rate securities and $9.4 billion (including $8.3 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2020. (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 consumer loans, and (iii) corporate debt. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Corporate debt $ 10,250 $ 10,250 $ — $ (102) $ 10,148 1 B- 8.25 % 8.25 % — N/A Consumer loan bonds 16,430 11,171 — — 11,171 6 N/A N/A N/A — N/A Fair value option securities: Interest-only securities 11,253,401 292,045 19,962 (28,697) 283,310 131 AA 1.31 % 13.20 % 2.7 N/A Servicing strips 5,635,802 58,150 2,205 (7,525) 52,830 59 N/A 0.63 % 9.61 % 4.5 N/A Unrealized losses attributable to credit impairment are recognized in earnings. During the six months ended June 30, 2020, New Residential recorded credit impairment charges of $19.0 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 June 30, 2020. Amortized Cost Basis Gross Unrealized Losses Carrying Value Number of Securities Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Credit Impairment Credit Impairment (A) After Credit Impairment Rating Coupon Yield Life Less than 12 Months $ 8,860,380 $ 1,005,995 $ (8,561) $ 997,434 $ (98,478) $ 898,956 184 BBB+ 3.34 % 4.84 % 11.5 12 or More Months 2,381,211 96,175 (10,454) 85,721 (13,057) 72,664 60 A 1.80 % 2.87 % 2.6 Total/Weighted Average $ 11,241,591 $ 1,102,170 $ (19,015) $ 1,083,155 $ (111,535) $ 971,620 244 BBB+ 3.22 % 4.69 % 10.8 (A) Represents credit impairment on securities in an unrealized loss position as of June 30, 2020. New Residential performed an assessment of all 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 credit impairment, exceeds its fair value) and determined the following: June 30, 2020 December 31, 2019 Gross Unrealized Losses Gross Unrealized Losses Fair Value Amortized Cost Basis After Credit Impairment Credit (A) Non-Credit (B) Fair Value Amortized Cost Basis After Credit Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell $ 25,526 $ 25,526 $ (4,797) N/A $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (C) — — — N/A — — — 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 114,835 120,530 (14,218) (5,695) 228,228 237,626 (3,232) (9,398) Non-credit impaired securities 831,259 937,099 — (105,840) 4,726,409 4,767,837 — (41,428) Total debt securities in an unrealized loss position $ 971,620 $ 1,083,155 $ (19,015) $ (111,535) $ 4,954,637 $ 5,005,463 $ (3,232) $ (50,826) (A) This amount is required to be recorded through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation included 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 included New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’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) 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 the allowance for credit losses on debt securities (excluding credit impairment relating to securities New Residential intends to sell or is more likely than not required to sell): Purchased Credit Deteriorated Non-Purchased Credit Deteriorated Total Allowance for credit losses on available-for-sale debt securities at December 31, 2019 $ — $ — $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — — — Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration — — — Reductions for securities sold during the period — — — Reductions in the allowance for credit losses 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 — — — Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period 13,808 410 14,218 Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at June 30, 2020 $ 13,808 $ 410 $ 14,218 The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: June 30, 2020 December 31, 2019 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 8,023,586 34.9 % $ 9,048,847 36.6 % Southeastern U.S. 6,001,777 26.1 % 5,983,966 24.2 % Northeastern U.S. 5,204,930 22.6 % 5,416,137 21.9 % Midwestern U.S. 2,527,550 11.0 % 2,562,269 10.4 % Southwestern U.S. 1,222,822 5.3 % 1,440,467 5.8 % Other (B) 12,629 0.1 % 296,273 1.1 % $ 22,993,294 100.0 % $ 24,747,959 100.0 % (A) Excludes $16.4 million and $25.0 million face amount of bonds backed by consumer loans and $10.3 million and $85.0 million face amount of bonds backed by corporate debt as of June 30, 2020 and December 31, 2019, 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. 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 June 30, 2020 $ 1,084,164 $ 457,565 December 31, 2019 5,701,736 3,830,369 The following is a summary of the changes in accretable yield for these securities: Six Months Ended June 30, 2020 Balance at December 31, 2019 $ 1,882,476 Additions 76,960 Accretion (52,310) Reclassifications from (to) non-accretable difference (2,889,848) Disposals 1,303,414 Balance at June 30, 2020 $ 320,692 |
INVESTMENTS IN RESIDENTIAL MORT
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | 6 Months Ended |
Jun. 30, 2020 | |
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. New Residential, through its wholly-owned subsidiary, NewRez, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying loans. NewRez, as an approved issuer of Ginnie Mae MBS, originates and securitizes government-insured residential mortgage loans. As the issuer of the Ginnie Mae guaranteed securitizations, NewRez has the unilateral right to repurchase loans from the securitizations when they are delinquent for more than 90 days. Loans in forbearance that are unpaid for at least 90 days are included as delinquent loans permitted to be repurchased. Under GAAP, NewRez is required to recognize the right to loans on its balance sheet and establish a corresponding liability upon the triggering of the repurchase right regardless of whether NewRez intends to repurchase the loans. As of June 30, 2020, New Residential holds approximately $1,075.0 million in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Condensed Consolidated Balance Sheets. Upon adoption of ASU 2016-13 on January 1, 2020, New Residential elected to apply the fair value option for all held-for-investment residential mortgage loans. The fair value option provides an election which allows a company to irrevocably elect fair value for certain financial assets and liabilities on an instrument-by-instrument basis. The Company elected the fair value option for these loans to better align reported results with the underlying economic changes in value of the loans on the Company’s Condensed Consolidated Balance Sheets. The election of the fair value option resulted in the Company recognizing an adjustment of $6.0 million to reduce retained earnings attributable to the change in the fair value of residential mortgage loans. Unrealized gains (losses) from the change in fair value of residential mortgage loans are recognized in Change in fair value of investments in the Condensed Consolidated Statements of Income. Realized gains (losses) are recorded in Gain (loss) on settlement of investments, net in the Condensed Consolidated Statements of Income. Residential mortgage loans for which the fair value option has been elected are not evaluated for credit impairment as changes in fair value are recorded in the Condensed Consolidated Statements of Income. 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. As of June 30, 2020, New Residential accounts for loans based on the following categories: • Loans Held-for-Investment, at fair value • Loans Held-for-Sale, at lower of cost or fair value • Loans Held-for-Sale, at fair value The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type: June 30, 2020 December 31, 2019 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Loan Type Total Residential Mortgage Loans, held-for-investment, at fair value (B) $ 830,117 $ 750,332 13,168 7.2 % 6.4 $ 925,706 Acquired Reverse Mortgage Loans (C) $ 12,604 $ 6,458 29 7.9 % 3.9 $ 5,844 Acquired Performing Loans (D)(F) 224,268 198,150 4,680 6.0 % 4.1 857,821 Acquired Non-Performing Loans (E)(F) 617,062 490,222 4,703 7.3 % 3.3 565,387 Total Residential Mortgage Loans, held-for-sale $ 853,934 $ 694,830 9,412 7.0 % 3.5 $ 1,429,052 Acquired Performing Loans (D)(F) $ 1,245,660 $ 1,075,996 9,258 4.8 % 8.0 $ 3,024,288 Originated Loans 1,675,955 1,748,913 6,111 3.3 % 27.2 1,589,324 Total Residential Mortgage Loans, held-for-sale, at fair value $ 2,921,615 $ 2,824,909 15,369 3.9 % 19.0 $ 4,613,612 Total Residential Mortgage Loans, held-for-sale $ 3,775,549 $ 3,519,739 $ 6,042,664 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Residential mortgage loans, held-for-investment, at fair value is grouped and presented as part of residential loans and variable interest entity consumer loans held-for-investment, at fair value on the Condensed Consolidated Balance Sheets. (C) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Mr. Cooper holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.6 million. Approximately 51% 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. (D) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (E) As of June 30, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (E) below. (F) Includes $30.0 million and $26.1 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. New Residential generally considers the delinquency status, loan-to-value ratios, and geographic area of residential mortgage loans as its credit quality indicators. Delinquency status is a primary credit quality indicator as loans that are more than 60 days past due provide an early warning of borrowers who may be experiencing financial difficulties. Current LTV ratio is an indicator of the potential loss severity in the event of default. Finally, the geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events will affect credit quality. The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2020 December 31, 2019 California 13.8 % 16.8 % New York 8.5 % 9.9 % Texas 8.3 % 7.5 % Florida 7.5 % 7.7 % Georgia 5.4 % 4.6 % New Jersey 4.5 % 4.6 % Illinois 3.4 % 3.4 % Pennsylvania 3.3 % 3.1 % North Carolina 3.0 % 2.6 % Maryland 3.0 % 2.6 % Other U.S. 39.3 % 37.2 % 100.0 % 100.0 % See Note 11 regarding the financing of residential mortgage loans and related assets. The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans as of June 30, 2020: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90 to 119 $ 292,123 $ 244,837 $ (47,286) 120+ 717,573 597,082 (120,491) $ 1,009,696 $ 841,919 $ (167,777) Call Rights New Residential has executed calls with respect to 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. For the six months ended June 30, 2020, New Residential executed calls on a total of 15 trusts and recognized $12.0 million of interest income on securities held in the collapsed trusts and $48.3 million of gain on securitizations accounted for as sales. For the six months ended June 30, 2019, New Residential executed calls on a total of 59 trusts and recognized $37.2 million of interest income on securities held in the collapsed trusts and $8.1 million of gain on securitizations accounted for as sales. Refer to Note 16 for transactions with affiliates. 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 credit losses: December 31, 2019 Days Past Due Delinquency Status (A) Current 86.5 % 30-59 7.0 % 60-89 2.7 % 90-119 (B) 0.7 % 120+ (C) 3.1 % 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 summarizes the activity for residential mortgage loans: Loans Held-for-Investment, at Fair Value Loans Held-for-Sale, at Lower Cost or Fair Value Loans Held-for-Sale, at Fair Value Total Balance at December 31, 2019 $ 925,706 $ 1,429,052 $ 4,613,612 $ 6,968,370 Fair value adjustment due to fair value option (6,020) — — (6,020) Originations — — 19,252,135 19,252,135 Sales — (642,644) (21,900,008) (22,542,652) Purchases/additional fundings — 110,741 1,036,587 1,147,328 Proceeds from repayments (64,802) (81,699) (95,595) (242,096) Transfer of loans to other assets (A) — (1,793) (13,516) (15,309) Transfer of loans to real estate owned (4,021) (16,277) (3,591) (23,889) Transfers of loans to held for sale (59,681) — 59,681 — Valuation provision on loans — (102,550) — (102,550) Changes in instrument-specific credit risk 6,923 — (46,512) (39,589) Other factors (47,773) — (77,884) (125,657) Balance at June 30, 2020 $ 750,332 $ 694,830 $ 2,824,909 $ 4,270,071 (A) 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 recognized as claims receivable in Other Assets (Note 2). Net Interest Income Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest Income: Loans Held for Investment, at Fair Value $ 13,229 $ 15,432 $ 28,338 $ 32,636 Loans Held-for-Sale, at Lower Cost or Fair Value 15,303 13,572 33,458 28,752 Loans Held-for-Sale, at Fair Value 27,715 39,075 71,107 72,844 Total Interest Income 56,247 68,079 132,903 134,232 Interest Expense: Loans Held for Investment, at Fair Value 5,408 5,759 10,608 11,764 Loans Held-for-Sale, at Lower Cost or Fair Value 6,358 8,708 14,888 17,515 Loans Held-for-Sale, at Fair Value 11,372 37,599 41,842 66,198 Total Interest Expense 23,138 52,066 67,338 95,477 Total Net Interest Income $ 33,109 $ 16,013 $ 65,565 $ 38,755 Gain on originated mortgage loans, held-for-sale, net NewRez, 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 NewRez 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 originated mortgage loans, held-for-sale, net in the Condensed Consolidated Statements of Income. Gain on originated mortgage loans, held-for-sale, net is summarized below: Three Months Ended Six Months Ended 2020 2019 2020 2019 Gain on loans originated and sold, net (A) $ 236,583 $ 25,347 $ 275,870 $ 52,889 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) (175,568) (18,318) (221,881) (29,741) MSRs retained on transfer of loans (C) 72,202 57,920 268,098 94,349 Other (D) 15,962 9,499 32,590 16,779 Realized gain on sale of originated mortgage loans, net $ 149,179 $ 74,448 $ 354,677 $ 134,276 Change in fair value of loans 6,102 22,633 28,377 27,982 Change in fair value of interest rate lock commitments (Note 10) 32,806 7,701 124,054 10,909 Change in fair value of derivative instruments (Note 10) 121,935 (3,764) (17,388) (4,979) Gain on originated mortgage loans, held-for-sale, net $ 310,022 $ 101,018 $ 489,720 $ 168,188 (A) Includes loan origination fees of $109.8 million and $386.8 million in the three and six months ended June 30, 2020, respectively, $60.9 million and $85.9 million in the three and six months ended June 30, 2019, respectively. (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. |
INVESTMENTS IN CONSUMER LOANS
INVESTMENTS IN CONSUMER LOANS | 6 Months Ended |
Jun. 30, 2020 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
INVESTMENTS IN CONSUMER LOANS | INVESTMENTS IN CONSUMER LOANS New Residential, through 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 June 30, 2020, 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 and are grouped and presented as part of residential loans and variable interest entity consumer loans held-for-investment, at fair value on the Condensed Consolidated Balance Sheets. 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) June 30, 2020 Consumer Loan Companies Performing Loans $ 564,899 53.5 % $ 617,349 18.4 % 3.8 4.6 % Purchased Credit Deteriorated Loans (C) 148,047 53.5 % 144,176 14.7 % 3.6 9.4 % Other - Performing Loans 5,439 100.0 % 4,937 15.1 % 0.6 2.7 % Total Consumer Loans, held-for-investment $ 718,385 $ 766,462 17.6 % 3.7 5.5 % December 31, 2019 Consumer Loan Companies Performing Loans $ 644,676 53.5 % $ 682,310 18.8 % 4.0 4.7 % Purchased Credit Deteriorated Loans (C) 170,083 53.5 % 136,633 15.5 % 3.7 10.1 % Other - Performing Loans 9,158 100.0 % 8,602 15.1 % 0.7 6.1 % Total Consumer Loans, held-for-investment $ 823,917 $ 827,545 18.0 % 3.9 5.9 % (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. Upon adoption of ASU 2016-13 on January 1, 2020, New Residential elected to apply the fair value option for all consumer loans. The fair value option provides an election which allows a company to irrevocably elect fair value for certain financial asset and liabilities on an instrument-by-instrument basis. The Company elected the fair value option for these loans to better align reported results with the underlying economic changes in value of the loans on the Company’s Condensed Consolidated Balance Sheet. The election of the fair value option resulted in the Company recognizing an adjustment of $19.7 million to reduce retained earnings attributable to the change in the fair value of consumer loans, net of noncontrolling interests. Unrealized gains (losses) from the change in fair value of consumer loans are recognized in Change in fair value of investments in the Condensed Consolidated Statements of Income. Realized gains (losses) are recorded in Gain on settlement of investments, net in the Condensed Consolidated Statements of Income. See Note 2. Consumer loans for which the fair value option has been elected are not evaluated for credit impairment as changes in fair value are recorded in the Condensed Consolidated Statements of Income. Interest income is recognized over the life of the loan using the effective interest method and is recorded on the accrual basis. The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans as of June 30, 2020: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Under 90 Days 704,708 752,053 47,345 90 days or more past due 13,677 14,409 732 Total 718,385 766,462 48,077 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: December 31, 2019 Days Past Due Delinquency Status (A) Current 95.3 % 30-59 1.8 % 60-89 1.2 % 90-119 (B) 0.7 % 120+ (B) (C) 1.0 % 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 fair value of consumer loans, held-for-investment were as follows: Balance at December 31, 2019 $ 827,545 Fair value adjustment due to fair value option 36,472 Additional fundings (A) 17,684 Proceeds from repayments (119,124) Accretion of loan discount and premium amortization, net 13,108 Fair value adjustment due to: Changes in instrument-specific credit risk (4,565) Other factors (4,658) Balance at June 30, 2020 $ 766,462 (A) Represents draws on consumer loans with revolving privileges. 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 Additionally, 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”). 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. 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. As of June 30, 2020 and December 31, 2019, the warrants are held on New Residential’s balance sheet in Other Assets and carried at $23.0 million and $28.0 million, respectively. The following table summarizes the income earned from the Company’s investments in LoanCo and WarrantCo during 2019: Three Months Ended June 30, 2019 (A) Six Months Ended June 30, 2019 (A) Interest income $ 11,390 $ 19,367 Interest expense (3,665) (6,487) Change in fair value of consumer loans and warrants (15,993) (1,457) Gain on sale of consumer loans (1,222) (1,668) Other expenses (1,462) (2,918) Net income $ (10,952) $ 6,837 New Residential’s equity in net income $ (2,654) $ 1,657 New Residential’s ownership 24.2 % 24.2 % (A) Data for the period ended May 31, 2019 as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments at June 30, 2019: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) June 30, 2019 (C) $ 414,530 25.0 % $ 409,379 14.6 % 1.3 1.4 % (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 May 31, 2019 as a result of the one month reporting lag. |
DERIVATIVES
DERIVATIVES | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES New Residential uses interest rate swaps and interest rate caps as 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. New Residential may at times hold to-be-announced forward contract positions (“TBAs”) in order to mitigate New Residential’s interest rate risk on certain specified mortgage backed securities 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 may enter 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. As of June 30, 2020, New Residential also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific mortgage loans at prices which are fixed as of the forward commitment date. New Residential enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and mortgage loans that are not covered by mortgage loan sale commitments. New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location June 30, 2020 December 31, 2019 Derivative assets Interest Rate Swaps (A) Other assets $ — $ 155 Interest Rate Lock Commitments Other assets 164,342 41,346 TBAs Other assets 2,271 — $ 166,613 $ 41,501 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ 256 $ — Interest Rate Lock Commitments Accrued expenses and other liabilities 397 1,455 Forward Loan Sale Commitments Accrued expenses and other liabilities — 27 TBAs Accrued expenses and other liabilities 24,283 5,403 $ 24,936 $ 6,885 (A) Net of $192.2 million and $171.8 million of related variation margin accounts as of June 30, 2020 and December 31, 2019, respectively. The following table summarizes notional amounts related to derivatives: June 30, 2020 December 31, 2019 Interest Rate Caps (A) $ 25,000 $ 12,500 Interest Rate Swaps (B) 9,070,000 4,900,000 Interest Rate Lock Commitments 7,455,739 4,043,935 Forward Loan Sale Commitments — 43,654 TBAs, short position (C) 8,033,350 5,048,000 TBAs, long position (C) — 11,692,212 (A) As of June 30, 2020, caps LIBOR at 4.00% for $25.0 million of notional. The weighted average maturity of the interest rate caps as of June 30, 2020 was 5 months. (B) Includes $4.4 billion notional of Receive LIBOR/Pay Fixed of 2.96%and $4.7 billion notional of Receive Fixed of 0.80%/Pay LIBOR with weighted average maturities of 34 months and 33 months, respectively, as of June 30, 2020. Includes $4.0 billion notional of Receive LIBOR/Pay Fixed of 3.21% and $0.9 billion notional of Receive Fixed of 1.89%/Pay LIBOR with weighted average maturities of 36 months and 87 months, respectively, as of December 31, 2019. (C) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes all income (losses) recorded in relation to derivatives: Three Months Ended Six Months Ended 2020 2019 2020 2019 Change in fair value of derivative investments (A) Interest Rate Caps $ — $ — $ — $ (3) Interest Rate Swaps 21,106 (40,666) (18,876) (69,199) TBAs — — — 2,776 21,106 (40,666) (18,876) (66,426) Gain (loss) on settlement of investments, net Interest Rate Swaps (25,195) (5,813) (38,847) (22,191) TBAs (B) — (39,388) (71,060) (116,086) (25,195) (45,201) (109,907) (138,277) Gain on originated mortgage loans, held-for-sale, net (A) Interest Rate Lock Commitments 32,806 7,701 124,054 10,909 TBAs 121,935 (3,987) (17,415) (5,181) Forward Loan Sale Commitments — 223 27 202 154,741 3,937 106,666 5,930 Total income (losses) $ 150,652 $ (81,930) $ (22,117) $ (198,773) (A) Represents unrealized gains (losses). (B) Excludes $175.6 million and $221.9 million for the three and six months ended June 30, 2020, respectively, and $18.3 million and $29.7 million for the three and six months ended June 30, 2019, respectively, in loss on settlement included within gain on originated mortgage loans, held-for-sale, net (Note 8). |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table presents certain information regarding New Residential’s repurchase agreements and notes and bonds payable debt obligations: June 30, 2020 December 31, 2019 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) $ 3,897,468 $ 3,897,468 Jul-20 to Sep-20 0.25 % 0.1 $ 3,922,189 $ 4,055,565 $ 4,099,159 6.0 $ 15,481,677 Non-Agency RMBS (E) 1,934,744 1,932,624 Jul-20 to Sep-20 4.28 % 0.2 19,636,467 1,919,715 1,890,120 7.9 7,317,519 Residential Mortgage Loans (F) 3,283,186 3,277,727 Jul-20 to Jun-22 2.95 % 0.6 4,080,121 4,402,356 3,779,405 14.7 5,053,207 Real Estate Owned (G)(H) 63,679 63,679 Jul-20 to Jun-22 2.37 % 0.6 N/A N/A 81,887 N/A 63,822 Total Repurchase Agreements 9,179,077 9,171,498 2.08 % 0.3 27,916,225 Notes and Bonds Payable Excess MSRs (I) 294,802 294,802 Feb-22 to Jul-22 4.30 % 1.9 90,541,438 49,457 54,126 5.6 217,300 MSRs (J) 2,700,527 2,691,107 Dec-20 to Jul-24 3.66 % 1.3 399,336,160 4,254,897 4,189,180 5.7 2,640,036 Servicer Advance Investments (K) 442,002 442,002 Aug-20 to Apr-21 2.92 % 0.8 467,339 537,388 559,011 6.3 581,777 Servicer Advances (K) 2,460,854 2,452,931 Jul-20 to Aug-23 3.59 % 1.7 2,806,803 2,947,678 2,947,678 0.7 2,599,895 Residential Mortgage Loans (L) 285,588 281,898 Jul-20 to Dec-45 5.40 % 17.7 462,589 493,636 444,438 4.3 864,451 Consumer Loans (M) 713,594 716,722 May-36 3.26 % 3.6 712,877 717,877 761,456 3.7 816,689 Total Notes and Bonds Payable 6,897,367 6,879,462 3.65 % 2.4 7,720,148 Total/ Weighted Average $ 16,076,444 $ 16,050,960 2.75 % 1.2 $ 35,636,373 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through July 31, 2020 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $30.3 million of associated accrued interest payable as of June 30, 2020. (D) All Agency RMBS repurchase agreements have a fixed rate. (E) All Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $6.1 million and $10.0 million, respectively, on retained consumer loan bonds and of $508.1 million and $650.3 million, respectively, on retained bonds collateralized by Agency MSRs. (F) Includes $283.0 million of repurchase agreements which bear interest at a fixed rate of 5.53%. All remaining repurchase agreements have LIBOR-based floating interest rates. (G) All 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 $83.6 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 2.50% and $211.2 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 2.75%. 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 $1,474.0 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 ranging from 2.25% to 8.00%; $46.1 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 $1,180.4 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 MSR financing receivables that secure these notes. (K) $1.9 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 1.85% to 2.75%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM. (L) Represents (i) a $5.1 million note payable to Mr. Cooper which includes a $1.4 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $92.0 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.76% (see Note 12 for fair value details), (iii) $170.5 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.61% (see Note 12 for fair value details), and (iv) $18.0 million of asset-backed notes held by third parties which include $0.9 million of REO and bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 1.25%. (M) Includes the SpringCastle debt, which is composed of the following classes of asset-backed notes held by third parties: $634.5 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036, $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036, and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036. As of June 30, 2020, 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 $9.2 billion of repurchase agreements as of June 30, 2020. 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, 2019 $ 217,300 $ 2,640,036 $ 3,181,672 $ 22,799,196 $ 5,981,480 $ 816,689 $ 35,636,373 Repurchase Agreements: Borrowings — — — 79,077,088 20,378,307 — 99,455,395 Repayments — — — (96,044,072) (22,149,955) — (118,194,027) Capitalized deferred financing costs, net of amortization — — — (2,120) (3,975) — (6,095) Notes and Bonds Payable: Borrowings 97,173 888,265 2,065,170 — — — 3,050,608 Repayments (19,671) (834,277) (2,351,836) — (576,453) (100,213) (3,882,450) Discount on borrowings, net of amortization — — — — — 246 246 Unrealized loss on notes, fair value — — — — (6,145) — (6,145) Capitalized deferred financing costs, net of amortization — (2,917) (73) — 45 — (2,945) Balance at June 30, 2020 $ 294,802 $ 2,691,107 $ 2,894,933 $ 5,830,092 $ 3,623,304 $ 716,722 $ 16,050,960 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. Maturities New Residential’s debt obligations as of June 30, 2020 had contractual maturities as follows: Year Ending Nonrecourse Recourse Total July 1 through December 31, 2020 $ 124,259 $ 9,294,111 $ 9,418,370 2021 1,579,934 1,587,088 3,167,022 2022 846,144 577,789 1,423,933 2023 400,000 942,225 1,342,225 2024 — 348,804 348,804 2025 and thereafter 976,090 — 976,090 $ 3,926,427 $ 12,750,017 $ 16,676,444 Borrowing Capacity The following table represents New Residential’s borrowing capacity as of June 30, 2020: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Repurchase Agreements Residential mortgage loans and REO $ 5,698,258 $ 1,658,270 $ 4,039,988 New loan originations 4,035,000 1,688,596 2,346,404 Notes and Bonds Payable Excess MSRs 100,000 83,565 16,435 MSRs 1,608,000 1,520,089 87,911 Servicer advances 5,120,000 2,902,857 2,217,143 Residential mortgage loans 650,000 17,967 632,033 $ 17,211,258 $ 7,871,344 $ 9,339,914 (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. 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 June 30, 2020. 2020 Term Loan On May 19, 2020, the Company, as borrower, entered into a three ation penalty. The 2020 Term Loan was issued with an original issue discount of 1.0%, or $6.0 million of the principal amount. In addition, the Company incurred fees of approximately $9.0 million that were capitalized as debt financing costs. The original issue discount, along with the debt financing costs, are grouped and presented as part of the term loan, net of debt discounts and issuance costs on the Condensed Consolidated Balance Sheets. In conjunction with the 2020 Term Loan, the Company issued common stock purchase warrants (the “2020 Warrants”) to the lenders. The 2020 Warrants expire approximately three years after the issuance date. We recorded the value of the 2020 Term Loan and 2020 Warrants on a relative fair value basis. The estimated fair value of the 2020 Warrants at the date of issuance was approximately $53.5 million and was recognized as a discount to the 2020 Term Loan. Refer to Note 14, Equity and Earnings Per Share, for further details. The table below summarizes the net carrying amount of the 2020 Term Loan: June 30, 2020 December 31, 2019 Principal outstanding $ 600,000 $ — Less: Unamortized debt discount and issuance costs (66,617) — Net carrying value $ 533,383 $ — The table below summarizes the interest expense on the 2020 Term Loan: Three Months Ended Six Months Ended 2020 2019 2020 2019 Coupon interest at 11.00% $ 6,783 $ — $ 6,783 $ — Amortization of debt discounts and issuance costs 1,883 — 1,883 — Total $ 8,666 $ — $ 8,666 $ — The 2020 Term Loan contains certain customary affirmative and negative covenants and also requires the Company to maintain compliance with the following financial covenants: • Tangible Book Value: maintenance of minimum tangible book value to not be less than the lesser of (i) $2.5 billion and (ii) the greater of (x) the amount that is 4.17 times the sum of (A) the aggregate outstanding principal amount of pari passu debt incurred plus (B) the outstanding principal amount of the 2020 Term Loan and (y) $2.0 billion; and • Cash Liquidity: maintenance of minimum cash liquidity of no less than a weekly average balance of $125.0 million. The Company was in compliance with all financial covenants as of June 30, 2020. The 2020 Term Loan also includes a covenant that obligates the Company to deliver certain unaudited consolidated financial information for New Residential to the lenders within 30 days after each month end. The Company was in compliance with respect to this covenant as of June 30, 2020. If the Company fails to meet or satisfy any of the covenants in accordance with the 2020 Term Loan and is unable to obtain a waiver or other suitable relief from the lenders, the Company would be in default and the Company’s lenders could elect to declare outstanding amounts due and payable. |
FAIR VALUE MEASUREMENT
FAIR VALUE MEASUREMENT | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 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) $ 81,666,625 $ 346,450 $ — $ — $ 346,450 $ 346,450 Excess mortgage servicing rights, equity method investees, at fair value (A) 31,923,937 112,473 — — 112,473 112,473 Mortgage servicing rights, at fair value (A) 379,397,792 3,551,159 — — 3,551,159 3,551,159 Mortgage servicing rights financing receivables, at fair value 114,453,487 1,469,927 — — — 1,469,927 1,469,927 Servicer advance investments, at fair 467,339 559,011 — — 559,011 559,011 Real estate and other securities 27,043,911 6,144,236 — 4,205,260 1,938,976 6,144,236 Residential mortgage loans, held-for-sale 853,934 694,830 — — 701,610 701,610 Residential mortgage loans, held-for-sale, at fair value 2,921,615 2,824,909 — 1,719,899 1,105,010 2,824,909 Residential mortgage loans, held-for-investment, at fair value 830,117 750,332 — — 750,332 750,332 Residential mortgage loans subject to repurchase 1,075,008 1,075,008 — 1,075,008 — 1,075,008 Consumer loans, held-for-investment, at fair value 718,385 766,462 — — 766,462 766,462 Derivative assets 15,353,568 166,613 — 2,271 164,342 166,613 Note receivable 46,724 42,787 — — 42,787 42,787 Cash and cash equivalents 1,013,208 1,013,208 1,013,208 — — 1,013,208 Restricted cash 138,932 138,932 138,932 — — 138,932 Other assets (B) N/A 42,769 3,831 — 38,938 42,769 $ 19,699,106 $ 1,155,971 $ 7,002,438 $ 11,547,477 $ 19,705,886 Liabilities Repurchase agreements $ 9,179,077 $ 9,171,498 $ — $ 9,179,077 $ — $ 9,179,077 Notes and bonds payable (C) 6,897,367 6,879,462 — — 6,238,923 6,238,923 2020 term loan 533,383 533,383 — — 533,383 533,383 Residential mortgage loan repurchase liability 1,075,008 1,075,008 — 1,075,008 — 1,075,008 Derivative liabilities 9,230,520 24,936 — 24,539 397 24,936 Excess spread financing 2,655,595 22,059 — — 22,059 22,059 Contingent consideration N/A 13,274 — — 13,274 13,274 $ 17,719,620 $ — $ 10,278,624 $ 6,808,036 $ 17,086,660 (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) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.8 million as of June 30, 2020. (C) Includes the SAFT 2013-1 and MDST Trusts mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $258.8 million as of June 30, 2020. 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) MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Agency Non-Agency Total Balance at December 31, 2019 $ 209,633 $ 170,114 $ 125,596 $ 3,967,960 $ 1,718,273 $ 581,777 $ 7,957,785 $ 39,891 $ 3,998,825 $ — $ 18,769,854 Transfers Transfers from Level 3 — — — — — — — — (480,318) — (480,318) Transfers to Level 3 — — — — — — — — 440,168 827,545 1,267,713 Shellpoint Acquisition — — — — — — — — — Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights — — — — — — — — — Gains (losses) included in net income Included in provision (reversal) for credit losses on securities (D) — — — — — — (19,015) — — — (19,015) Included in change in fair value of investments in excess mortgage servicing rights (D) (6,518) (4,591) — — — — — — — — (11,109) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — (2,509) — — — — — — — (2,509) Included in servicing revenue, net (E) — — — (1,100,541) — — — — — — (1,100,541) Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — (225,631) — — — — — (225,631) Included in change in fair value of servicer advance investments — — — — — (2,712) — — — — (2,712) Included in change in fair value of investments in residential mortgage loans — — — — — — — — (165,246) — (165,246) Included in gain (loss) on settlement of investments, net 11 1 — — — — (932,627) — — — (932,615) Included in other income (loss), net (D) 1,042 148 — — — — (51,903) 124,054 (10,110) (9,223) 54,008 Gains (losses) included in other comprehensive income (F) — — — — — — (621,364) — (6,020) 36,472 (590,912) Interest income 3,129 9,453 — — — 2,082 84,633 — — 13,108 112,405 Purchases, sales and repayments Purchases — — — 456,665 4,362 631,240 575,030 — 1,420,390 17,684 3,105,371 Proceeds from sales (44) (4) — (9,801) (3,708) (4,624,590) — (3,183,041) — (7,821,188) Proceeds from repayments (20,325) (15,599) (10,614) (31,222) (23,369) (653,376) (428,973) — (159,306) (119,124) (1,461,908) Originations and other — — — 268,098 — — — — — — 268,098 Balance at June 30, 2020 $ 186,928 $ 159,522 $ 112,473 $ 3,551,159 $ 1,469,927 $ 559,011 $ 1,938,976 $ 163,945 $ 1,855,342 $ 766,462 $ 10,763,745 (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) For the purpose of this table, the IRLC asset and liability positions are shown net. (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, 2019 $ 31,777 $ 659,738 $ 55,222 $ 746,737 Transfers Transfers from Level 3 — — (43,875) (43,875) Transfers to Level 3 — — — — Acquisition — — — — Gains (losses) included in net income Included in provision (reversal) for credit losses on securities (A) — — — — 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 (A) — — — — Included in servicing revenue, net (B) (10,133) — — (10,133) 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 change in fair value of investments in residential mortgage loans — (6,145) — (6,145) Included in gain (loss) on settlement of investments, net — — — — Included in other income (A) — — 3,871 3,871 Gains (losses) included in other comprehensive income, net of tax (C) — — — — Interest income — — — — Purchases, sales and repayments Purchases — — — — Proceeds from sales — — — — Payments — (393,322) (1,944) (395,266) Other 415 (1,465) — (1,050) Balance at June 30, 2020 $ 22,059 $ 258,806 $ 13,274 $ 294,139 (A) The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period. (B) The components of Servicing revenue, net are disclosed in Note 5. (C) 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 ranges and weighted averages of inputs used as of June 30, 2020: 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 7.0% - 10.6% (8.2%) 0.0% - 3.5% (1.4%) 6.5% - 35.8% (14.9%) 15 - 31 (21) 15 - 22 (19) Recaptured Pools 7.4% - 12.1% (10.4%) 0.1% - 3.5% (0.8%) 0.0% - 39.1% (26.1%) 20 - 29 (23) 19 - 24 (23) 7.0% - 12.1% (8.9%) 0.0% - 3.5% (1.2%) 0.0% - 39.1% (18.4%) 15 - 31 (22) 15 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 7.5% - 12.5% (9.0%) N/A 0.0% - 14.1% (12.6%) 5 - 25 (15) 19 - 31 (23) Recaptured Pools 5.9% - 6.9% (6.4%) N/A 12.3% - 22.2% (16.9%) 23 - 27 (25) 21 - 24 (23) 5.9% - 12.5% (8.6%) N/A 0.0% - 22.2% (13.3%) 5 - 27 (16) 19 - 31 (23) Total/Weighted Average — Excess MSRs Directly Held 5.9% - 12.5% (8.8%) N/A 0.0% - 39.1% (16.0%) 5 - 31 (19) 15 - 31 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 7.2% - 10.6% (8.4%) 1.0% - 2.8% (1.6%) 7.1% - 35.8% (14.3%) 15 - 25 (19) 18 - 19 (18) Recaptured Pools 9.5% - 10.6% (9.9%) 0.6% - 1.4% (1.1%) 13.1% - 33.4% (17.9%) 22 - 28 (25) 21 - 23 (22) Total/Weighted Average — Excess MSRs Held through Investees 8.4% - 10.2% (9.1%) 0.7% - 4.0% (1.3%) 13.7% - 29.3% (16.1%) 15 - 28 (22) 18 - 23 (20) Total/Weighted Average — Excess MSRs All Pools 5.9% - 12.5% (8.9%) N/A 0.0% - 39.1% (16.1%) 5 - 31 (20) 15 - 31 (21) MSRs Agency (H) Mortgage Servicing Rights (I) (J) 8.1% - 22.4% (13.1%) 0.4% - 2.2% (1%) 3.4% - 34.7% (20.7%) 25 - 33 (28) 0 - 30 (22) MSR Financing Receivables (I) 12.0% - 14.7% (13.9%) 0.6% - 1.1% (0.9%) 9.1% - 15.7% (13.1%) 25 - 29 (27) 0 - 30 (24) 8.1% - 22.4% (13.2%) 0.4% - 2.2% (1.0%) 3.4% - 34.7% (19.8%) 25 - 33 (28) 0 - 30 (22) Non-Agency Mortgage Servicing Rights (I) 9.9% - 16.1% (14.2%) 0.6% - 10.6% (3.8%) 4.2% - 31.0% (22.5%) 25 - 89 (45) 0 - 30 (26) MSR Financing Receivables (I) 8.2% 14.4% 9.1% 48 0 - 30 (25) 8.2% - 16.1% (8.3%) 0.6% - 14.4% (14.2%) 4.2% - 31.0% (9.3%) 25 - 89 (48) 0 - 30 (25) Ginnie Mae Mortgage Servicing Rights (I) (J) 9.1% - 25.0% (20.3%) 1.3% - 8.3% (6.3%) 15.6% - 35.0% (23.0%) 32 - 53 (44) 0 - 30 (27) Total/Weighted Average — MSRs 8.1% - 25.0% (13.0%) 0.4% - 14.4% (4.5%) 3.4% - 35.0% (20.0%) 25 - 89 (34) 0 - 30 (23) (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 $6.2 - $8.3 ($7.0) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.10 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.80 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) Represents Fannie Mae and Freddie Mac MSRs. (I) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. (J) Includes valuation of the related Excess spread financing (Note 5). With respect to valuing the Ocwen-serviced MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be LIBOR plus 2.1%. As of June 30, 2020, a weighted average discount rate of 8.3% (range 8.0% - 8.5%) was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). As of June 30, 2020, a weighted average discount rate of 8.2% (range 7.8% - 13.5%) was used to value New Residential’s investments in MSRs and a weighted average discount rate of 9.5% (range 7.9% - 10.0%) was used to value New Residential’s investments in MSR financing receivables. Servicer Advance Investments Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs 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) June 30, 2020 .8% - 1.5% (1.5%) 8.6% - 9.1% (9.1%) 7.4% - 9.0% (9.0%) 16.8 - 19.7 (19.7) bps 5.3% - 5.8% (5.3%) 22.5 - 22.6 (22.5) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.7 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 June 30, 2020, 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 $ 4,023,936 $ 4,161,318 $ 4,205,260 $ — $ 4,205,260 2 Non-Agency RMBS (C) 23,019,974 1,965,450 1,929,874 9,102 1,938,976 3 Total $ 27,043,910 $ 6,126,768 $ 6,135,134 $ 9,102 $ 6,144,236 (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 51.9% of New Residential’s Non-Agency RMBS, the ranges and weighted averages 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 $ 1,005,951 1.55% to 15.00% (4.63%) 1.5% to 25% (14.29%) 0.15% to 6% (0.48%) 20% to 80% (35.54%) (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. (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, NewRez, 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 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 ranges and weighted averages of 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 Acquired Loans $ 1,075,996 4.5% - 6.0% 0.0% - 15.0% 1.6% - 7.1% 28.7% - 100.0% Originated Loans 29,014 6.0% 15.0% 1.6% 100.0% Residential Mortgage Loans Held-for-Sale, at Fair Value $ 1,105,010 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 ranges and weighted averages of 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 $ 750,332 4.1% - 10.0% 2.0% - 20.0% 2.4% - 20.0% 20.0% - 43.1% Consumer Loans Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Consumer Loans, Held-for-Investment, at Fair Value $ 766,462 8.5% - 10.7% (8.5%) 17.7% - 29.3% (17.8%) 5.6% - 17.7% (5.7%) 83.4% - 90.2% (83.4%) 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 (i) incorporating 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) adjusting 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 ranges and weighted averages of inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of initial servicing rights (bps) IRLCs (net) $ 163,945 60% to 100% (81.14%) 0.58 to 237 (86.05) Mortgage-Backed Securities Issued New Residential and NewRez, a wholly owned subsidiary of New Residential, were deemed to be the primary beneficiaries of the MDST Trusts and SAFT 2013-1 securitization entity and therefore, New Residential’s condensed consolidated balance sheets include the mortgage-backed securities issued by the MDST Trusts and SAFT 2013-1, respectively. 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 ranges and weighted averages of inputs used in valuing Mortgage-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage-Backed Securities Issued $ 258,806 4.0% - 5.3% 3.2% - 15.0% 0.0% - 3.3% 10.0% - 40.0% Contingent Consideration Valuation As additional consideration for the Guardian acquisition announced in August 2019, New Residential may make up to four cash earnout payments, calculated as the amount of cumulative Guardian earnings on specified contracts in excess of certain thresholds up to an aggregate maximum amount of $17.5 million (the “Guardian Earnout Payments”), which will be calculated following the end of each calendar year with the final payment being calculated as of the fourth anniversary date of the Guardian closing. On April 10, 2020, New Residential made its first Guardian Earnout Payment of $1.9 million. As described above, 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 11% 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. 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 June 30, 2020, assets measured at fair value on a nonrecurring basis were $729.5 million. The $729.5 million of assets include approximately $687.1 million of residential mortgage loans held-for-sale and $42.4 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 June 30, 2020: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 190,427 4.5% - 9.5% 2.7 - 5.0 4.3% - 15.0% 1.6% - 16.2% 0.0% - 100.0% Non-Performing Loans 496,680 4.5% - 7.9% 2.6 - 4.4 2.0% - 7.0% 2.9% - 6.6% 0.0% - 30.0% Total/Weighted Average $ 687,107 6.8% 3.8 3.6% 4.3% 31.5% (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% - 25% (weighted average of 16%), depending on the information available to the broker. |
CONSOLIDATED VARIABLE INTEREST
CONSOLIDATED VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
CONSOLIDATED VARIABLE INTEREST ENTITIES | CONSOLIDATED VARIABLE INTEREST ENTITIES VIEs are defined as entities in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated only by its primary beneficiary, which is defined as the party who has the power to direct the activities of a VIE that most significantly impact its economic performance and who has the obligation to absorb losses or the right to receive benefits from the VIE that could be potentially significant to the VIE. To assess whether New Residential has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, New Residential considers all the facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes, first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. To assess whether New Residential has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, New Residential considers all of its economic interests and applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Servicer Advance Investment New Residential, through a taxable wholly owned subsidiary, is the managing member of the Buyer and owned approximately 73.2% of the Buyer as of June 30, 2020. In 2013, New Residential created the Buyer to acquire the then outstanding servicing advance receivables related to a portfolio of residential mortgage loans from a third party. The Buyer is required to purchase all future servicer advances made with respect to this portfolio of mortgage loans and is entitled to receive cash flows from advance recoveries and a basic fee component of the related MSRs, net of subservicing compensation paid. 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 June 30, 2020, the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $328.4 million and $306.9 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. Shelter Joint Ventures A wholly owned subsidiary of NewRez, Shelter Mortgage Company LLC (“Shelter”) is a mortgage originator specializing in retail originations. Shelter operates its business through a series of joint ventures (“Shelter JVs”) and is 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. Residential Mortgage Loans On October 1, 2019, as a result of New Residential’s acquisition of servicing assets from the bankruptcy estate of Ditech Holding Company and Ditech Financial LLC (“Ditech”) and its pre-existing ownership of the equity, New Residential consolidated the MDST Trusts. New Residential’s determination to consolidate the MDST Trusts is a result of its ownership of the equity in these trusts in conjunction with the ability to direct activities that most significantly impact the economic performance of the entities with the acquisition of the servicing by NewRez. NewRez 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 subordinated retained interests. The following table is comprised of bonds retained pursuant to required risk retention regulations that are recognized as true sales under GAAP including SAFT 2013-1: Six Months Ended 2020 2019 Residential mortgage loan UPB $ 14,779,498 $ 9,881,506 Weighted average delinquency (A) 3.15 % 1.95 % Net credit losses $ 28,874 $ 6,687 Face amount of debt held by third parties (B) $ 12,817,104 $ 8,896,238 Carrying value of bonds retained by New Residential (C) (D) $ 1,692,841 $ 1,154,989 Cash flows received by New Residential on these bonds $ 151,852 $ 126,787 (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. (D) Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 12 for details on unobservable inputs. Consumer Loan Companies New Residential has a co-investment in a portfolio of consumer loans held through the Consumer Loan Companies. As of June 30, 2020, New Residential owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. The Consumer Loan Companies consolidate certain entities that issued securitization 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 table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on New Residential’s consolidated balance sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Total June 30, 2020 Assets Servicer advance investments, at fair value $ 544,204 $ — $ — $ — $ 544,204 Residential mortgage loans, held-for-investment, at fair value — — 417,560 — 417,560 Consumer loans, held-for-investment, at fair value — — — 761,525 761,525 Cash and cash equivalents 36,878 28,783 — — 65,661 Restricted cash 5,331 — — 8,565 13,896 Other assets 6 8,501 350 10,809 19,666 Total Assets $ 586,419 $ 37,284 $ 417,910 $ 780,899 $ 1,822,512 Liabilities Notes and bonds payable (A) $ 433,635 $ — $ 258,807 $ 720,690 $ 1,413,132 Accrued expenses and other liabilities 2,104 6,229 — 4,008 12,341 Total Liabilities $ 435,739 $ 6,229 $ 258,807 $ 724,698 $ 1,425,473 December 31, 2019 Assets Servicer advance investments, at fair value $ 565,271 $ — $ — $ — $ 565,271 Residential mortgage loans, held-for-investment, at fair value — — 913,030 — 913,030 Consumer loans, held-for-investment — — — 818,943 818,943 Cash and cash equivalents 30,065 23,802 — — 53,867 Restricted cash 5,350 — — 9,073 14,423 Other assets 2,414 3,556 — 12,409 18,379 Total Assets $ 603,100 $ 27,358 $ 913,030 $ 840,425 $ 2,383,913 Liabilities Notes and bonds payable (A) $ 433,300 $ — $ 659,738 $ 820,658 $ 1,913,696 Accrued expenses and other liabilities 1,593 4,187 10,132 4,126 20,038 Total Liabilities $ 434,893 $ 4,187 $ 669,870 $ 824,784 $ 1,933,734 (A) The creditors of the VIEs do not have recourse to the general credit of New Residential, and the assets of the VIEs are not directly available to satisfy New Residential’s obligations. Noncontrolling Interests Noncontrolling interests represent the ownership interests in certain consolidated subsidiaries held by entities or persons other than New Residential. These interests are related to noncontrolling interests in consolidated entities that hold New Residential’s Servicer Advance Investments (Note 6), the Shelter JVs, (Note 8), Residential Mortgage Loan trusts (Note 8), and Consumer Loans (Note 9). Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows: June 30, 2020 December 31, 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 150,680 $ 31,055 $ 87,343 $ 168,207 $ 23,171 $ 46,510 Others’ ownership interest 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 40,333 $ 15,186 $ 41,162 $ 45,025 $ 11,354 $ 22,171 Others’ interests in the New Residential’s net income (loss) is computed as follows: Three Months Ended June 30, 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ 32,092 $ 9,037 $ 55,119 $ 1,235 $ 3,182 $ 10,859 Others’ ownership interest as a percent of total 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ 8,591 $ 4,419 $ 25,630 $ 331 $ 1,543 $ 5,049 (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended June 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer Advance Investments. Six Months Ended June 30, 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ (9,923) $ 11,660 $ 41,789 $ 10,390 $ 3,980 $ 26,900 Others’ ownership interest as a percent of total 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ (2,656) $ 5,702 $ 19,432 $ 2,782 $ 1,950 $ 12,509 (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the six months ended June 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer Advance Investments. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2020 | |
Equity and Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends In February 2019, New Residential issued 46.0 million shares of its common stock in a public offering at a price to the public of $16.50 per share for net proceeds of approximately $751.7 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 4.6 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 2.40% risk-free rate, a 9.30% dividend yield, 19.26% 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”). On August 1, 2019, the Distribution Agreement was amended to, among other things, (i) add additional sales agents under the ATM Program, and (ii) restore the aggregate offering price under the ATM Program to the original amount of $500.0 million. The following table summarizes the Company’s ATM Program activity: Quarter Ended Number of Common shares Average price per share Gross Proceeds Fees Net Proceeds March 31, 2020 (A) 97,394 $ 17.06 $ 1,662 $ 12 $ 1,650 June 30, 2020 — $ — $ — $ — $ — (A) In connection with the shares sold under the ATM program, New Residential granted options to the Manager relating to 0.01 million shares of New Residential’s common stock at the offering price, which had fair value of approximately $0.2 million as of the grant date. On July 2, 2019, in a public offering, New Residential issued 6.2 million shares of its 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Preferred Series A”), par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $150.0 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 0.6 million shares of New Residential’s common stock at the closing price per share of common stock on the pricing date, which had a fair value of approximately $0.5 million as of the grant date. The assumptions used in valuing the options were: a 1.91% risk-free rate, a 9.73% dividend yield, 17.95% volatility and 10-year term. On August 15, 2019, in a public offering, New Residential issued 11.3 million shares of its 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Preferred Series B”), par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $273.4 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 1.1 million shares of New Residential’s common stock at the closing price per share of common stock on the pricing date, which had a fair value of approximately $0.7 million as of the grant date. The assumptions used in valuing the options were: a 1.56% risk-free rate, a 11.20% dividend yield, 18.23% volatility and a 10-year term. On February 14, 2020, in a public offering, New Residential issued 16.1 million of its 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Preferred Series C”), par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $389.5 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 1.6 million shares of New Residential’s common stock at the closing price per share of common stock on the pricing date, which had a fair value of approximately $1.0 million as of the grant date. The assumptions used in valuing the options were: a 1.55% risk-free rate, a 9.00% dividend yield, 17.39% volatility and a 10-year term. The table below summarizes Preferred Shares: Dividends Declared per Share Series Number of Shares Liquidation Preference Issuance Discount Carrying Value Three Months Ended Six Months Ended Fixed-to-floating rate cumulative redeemable preferred: Preferred Series A, 7.50% Issued July 2019 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.94 Preferred Series B, 7.125% Issued August 2019 11,300 282,500 3.15 % 273,418 $ 0.45 $ 0.89 Preferred Series C, 6.375% Issued February 2020 16,100 402,500 3.15 % 389,548 $ 0.40 $ 0.80 Total 33,610 $ 840,250 $ 812,992 On June 22, 2020, New Residential’s board of directors declared second quarter 2020 preferred dividends of $0.47 per share of Preferred Series A, $0.45 per share of Preferred Series B, and $0.40 of Preferred Series C or $2.9 million, $5.1 million, and $6.4 million respectively. Common dividends have been declared as follows: Per Share Declaration Date Payment Date Quarterly Dividend Total Amounts Distributed (millions) March 31, 2020 April 2020 $ 0.05 $ 20.8 June 22, 2020 July 2020 $ 0.10 $ — Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, at June 30, 2020. On August 20, 2019, New Residential announced that its board of directors had authorized the repurchase of up to $200.0 million of its common stock through December 31, 2020. Repurchases may be made from time to time through open market purchases or privately negotiated transactions, pursuant to one or more plans established pursuant to Rule 10b5-1 under the Securities Exchange Act of 1934 or by means of one or more tender offers, in each case, as permitted by securities laws and other legal requirements. The amount and timing of the purchases will depend on a number of factors including the price and availability of New Residential’s shares, trading volume, capital availability, New Residential’s performance and general economic and market conditions. No share repurchases have been made as of the date of issuance of these condensed consolidated financial statements. The share repurchase program may be suspended or discontinued at any time. Common Stock Purchase Warrants As discussed in Note 11, Debt Obligations, on May 19, 2020 and May 27, 2020 (collectively, the “Issuance Date”), in conjunction with the 2020 Term Loan, the Company issued the 2020 Warrants providing the lenders with the right to acquire, subject to anti-dilution adjustments, up to 43.4 million shares of the Company’s common stock in the aggregate. The 2020 Warrants are exercisable in cash or on a cashless basis and expire on May 19, 2023 and are exercisable, in whole or in part, at any time or from time to time after September 19, 2020 at the following prices: approximately 24.6 million shares of common stock at $6.11 per share and approximately 18.9 million shares of common stock at $7.94 per share. The Company recorded the value of the 2020 Term Loan and 2020 Warrants on a relative fair value basis. The 2020 Warrants were valued using a Black-Scholes option valuation model that resulted in a fair value of approximately $53.5 million on the Issuance Date and is not subject to subsequent remeasurement. The Company used the following assumptions in the application of the Black-Scholes option valuation model: an exercise price ranging between $6.11 and $7.94, a term of 3.0 years, a risk-free interest rate of 0.24%, and volatility of 35%. The 2020 Warrants met the definition of derivatives under the guidance in ASC Topic 815, Derivatives and Hedging ; however, because these instruments are determined to be indexed to the Company’s own stock and met the criteria for equity classification under ASC Topic 815, the 2020 Warrants are accounted for as an equity transaction and recorded in Additional paid-in-capital. The 2020 Warrants have a dilutive effect on net income per share to the extent that the market value per share of the Company’s common stock at the time of exercise exceeds the strike price of the 2020 Warrants. The table below summarizes the 2020 Warrants at June 30, 2020: Number of Warrants Weighted Average Exercise Price (per share) December 31, 2019 outstanding warrants — $ — Granted 43.4 6.91 Exercised — — Expired — — June 30, 2020 outstanding warrants 43.4 $ 6.91 Option Plan As of June 30, 2020, New Residential’s outstanding options were summarized as follows: Held by the Manager 10,860,706 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 3,560,949 Issued to the independent directors 7,000 Total 14,428,655 The following table summarizes New Residential’s outstanding options as of June 30, 2020. The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended June 30, 2020 was $7.43 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of Directors Various 7,000 7,000 $ 13.57 $ — Manager (C) 2017 1,130,916 1,130,916 13.95 — Manager (C) 2018 5,320,000 4,156,548 16.66 — Manager (C) 2019 6,351,000 3,057,700 16.15 — Manager (C) 2020 1,619,739 215,965 17.41 — Outstanding 14,428,655 8,568,129 (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 2018 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 Total Unexercised 2017 $13.95 1,130,916 2018 $16.54 to $18.01 1,159,833 2019 $15.13 to $16.67 1,270,200 Total 3,560,949 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2019 outstanding options 12,808,916 Options granted 1,619,739 $ 17.41 Options exercised — — Options expired unexercised — — June 30, 2020 outstanding options 14,428,655 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. The following table summarizes the basic and diluted earnings per share calculations: Three Months Ended Six Months Ended 2020 2019 2020 2019 Net income (loss) $ 44,129 $ (25,020) $ (1,563,126) $ 130,892 Noncontrolling interests in income of consolidated subsidiaries 38,640 6,923 22,478 17,241 Dividends on preferred stock 14,357 — 25,579 — Net income (loss) attributable to common stockholders $ (8,868) $ (31,943) $ (1,611,183) $ 113,651 Basic weighted average shares of common stock outstanding 415,661,782 415,463,757 415,625,468 401,946,938 Dilutive effect of stock options (A) — — — 292,500 Dilutive effect of common stock purchase warrants (A) — — — — Diluted weighted average shares of common stock outstanding 415,661,782 415,463,757 415,625,468 402,239,438 Basic earnings per share attributable to common stockholders $ (0.02) $ (0.08) $ (3.88) $ 0.28 Diluted earnings per share attributable to common stockholders $ (0.02) $ (0.08) $ (3.88) $ 0.28 (A) Stock options and common stock purchase warrants that could potentially dilute basic earnings per share in the future were not included in the computation of diluted earnings per share for the periods where a loss has been recorded because they would have been anti-dilutive for the period presented. The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Three Months Ended Six Months Ended 2020 2019 2020 2019 Stock options — 201,703 — — Common stock purchase warrants 641,708 — 3,419,938 — Noncontrolling Interests Noncontrolling interests is composed 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 | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020, 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 19 for additional capital commitments entered into subsequent to June 30, 2020, if any): MSRs and Servicer Advance Investments — 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 subsidiaries, NRM and NewRez, are generally obligated to fund future servicer advances related to the loans they are 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. Notes 5 and 6 for discussion on New Residential’s Investments in MSRs and Servicer Advance Investments. Mortgage Origination Reserves — NewRez, a wholly owned subsidiary of New Residential, currently originates, or has in the past originated, 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 NewRez generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, NewRez 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, NewRez generally has an obligation to cure the breach. If NewRez is unable to cure the breach, the purchaser may require NewRez to repurchase the loan. In addition, as the issuer of Ginnie Mae guaranteed securitizations, NewRez holds the right to repurchase loans that are at least 90 days’ delinquent from the securitizations at its discretion. While NewRez is not obligated to repurchase the delinquent loans, NewRez generally exercises its option to repurchase loans that will result in an economic benefit. As of June 30, 2020, New Residential’s estimated liability associated with representations and warranties and Ginnie Mae repurchases was $11.6 million and $1.1 billion, respectively. See Notes 5 and 8 for information on NewRez’s right to repurchase delinquent loans from Ginnie Mae securities and mortgage origination, respectively. 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 $266.0 million of unfunded and available revolving credit privileges as of June 30, 2020. 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 $37.3 million. Environmental Costs — As a residential real estate owner, New Residential is subject to potential environmental costs. At June 30, 2020, 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 — Certain of the Company’s debt obligations are subject to 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. Refer to Note 11. Certain Tax-Related Covenants — If New Residential is treated as a successor to Drive Shack Inc. (“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 |
TRANSACTIONS WITH AFFILIATES AN
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 6 Months Ended |
Jun. 30, 2020 | |
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 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, 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 preferred and common 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. In March 2020, the Company and certain of its subsidiaries sold (collectively, the “Sale”) through a broker-dealer to six purchasers (collectively, “the Purchasers”) of a portfolio consisting of non-agency residential mortgage-backed securities with an aggregate face value of approximately $6.1 billion (the “Securities”). The Sale generated proceeds of approximately $3.3 billion in the aggregate, excluding any unpaid but accrued interest. The Purchasers included an entity affiliated with funds managed by an affiliate of the Manager (the “Fortress Purchaser”), which purchased approximately $1.85 billion of Securities in aggregate face value for approximately $1.0 billion. In connection with the sale of the Securities to the Fortress Purchaser, the Company agreed to exercise certain rights, including call rights, that the Company holds under the securitization transactions with respect to the Securities sold to the Fortress Purchaser solely upon written direction by the Fortress Purchaser. Such rights include the rights, if any, to (i) amend and/or terminate the transactions contemplated by certain related residential mortgage servicing agreements, securitization trust agreements, pooling and servicing agreements or other agreements, (ii) acquire certain of the related residential mortgage loans, real estate owned and certain other assets in the trust subject to such residential mortgage servicing agreements, securitization trust agreements, pooling and servicing agreements or other agreements in connection with such amendment or termination against delivery of the applicable termination payment, and (iii) if applicable, direct certain related servicers, holders of subordinate securities and/or other applicable parties, to exercise the rights in (i) and (ii). Pursuant to such agreement, the Company and the Fortress Purchaser would share equally in any profits or losses arising from the exercise of any such rights, other than if the Company elects not to participate in the related transaction, in which case the Fortress Purchaser would realize all of the profits and bear all of the losses with respect thereto. On May 19, 2020, the Company entered into a three Due to affiliates is composed of the following amounts: June 30, 2020 December 31, 2019 Management fees $ 14,991 $ 7,076 Incentive compensation — 91,892 Expense reimbursements and other 1,903 4,914 Total $ 16,894 $ 103,882 Affiliate expenses and fees were composed of: Three Months Ended Six Months Ended 2020 2019 2020 2019 Management fees $ 22,479 $ 19,623 $ 44,200 $ 37,583 Incentive compensation — — — 12,958 Expense reimbursements (A) 125 125 250 250 Total $ 22,604 $ 19,748 $ 44,450 $ 50,791 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. See Note 4 regarding co-investments with Fortress-managed funds. See Note 14 regarding options granted to the Manager. |
RECLASSIFICATION FROM ACCUMULAT
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | 6 Months Ended |
Jun. 30, 2020 | |
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 Six Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2020 2019 2020 2019 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ (6,669) $ (41,023) $ (761,209) $ (106,219) Reclassification of net realized (gain) loss on securities into earnings Provision (reversal) for credit losses on securities (25,134) 8,859 19,015 16,375 Total reclassifications $ (31,803) $ (32,164) $ (742,194) $ (89,844) 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 | 6 Months Ended |
Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Current: Federal $ (7,877) $ — $ (7,877) $ (413) State and Local 9 22 58 101 Total Current Income Tax Expense (Benefit) (7,868) 22 (7,819) (312) Deferred: Federal 20,304 (16,999) (107,221) 20,147 State and Local 4,973 (4,600) (34,419) 4,585 Total Deferred Income Tax Expense (Benefit) 25,277 (21,599) (141,640) 24,732 Total Income Tax (Benefit) Expense $ 17,409 $ (21,577) $ (149,459) $ 24,420 New Residential intends to qualify as a REIT for each of its tax years through December 31, 2020. 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 asset of approximately $148.7 million as of June 30, 2020, primarily related to unrealized losses and net operating loss carry forwards. On March 27, 2020, the CARES Act was signed into law. The CARES Act provides economic relief to eligible businesses and individuals impacted by the COVID-19 pandemic and includes numerous tax provisions, such as the ability to carryback net operating losses to prior tax years. Pursuant to this new legislation, the Company filed a claim to carryback $23 million of net operating losses, resulting in a net tax benefit of $3 million. The Company is continuing to monitor and evaluate the impact of the CARES Act and other COVID-19-related legislation. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2020 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to June 30, 2020 through the issuance of these condensed consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. |
ORGANIZATION AND BASIS OF PRE_2
ORGANIZATION AND BASIS OF PRESENTATION (Policies) | 6 Months Ended |
Jun. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Interim Financial Statements | The accompanying condensed consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “US GAAP”). 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 consolidated financial statements include the accounts of New Residential and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. New Residential consolidates those entities in which it has control over significant operating, financing and investing decisions of the entity, as well as those entities deemed to be variable interest entities (“VIEs”) in which New Residential is determined to be the primary beneficiary. For entities over which New Residential exercises significant influence, but which do not meet the requirements for consolidation, New Residential uses the equity method of accounting whereby it records its share of the underlying income of such entities. Distributions from equity method investees are classified in the Condensed Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect changes in the business and how the Company is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity. |
Recent Accounting Pronouncements | In June 2016, the FASB issued ASU 2016-13 Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments (“CECL”) . 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 collectability of the reported amount. The standard also changes the accounting for purchased credit deteriorated assets and available-for-sale securities, which requires 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. The standard provides an option to elect the fair value option for certain investments as an alternative to adopting ASU 2016-13. Lastly, an entity is required to apply ASU 2016-13 using the modified retrospective approach which requires a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. The standard was effective for New Residential in the first quarter of 2020. Upon adoption of the standard, New Residential elected the fair value option on its held for investment residential mortgage and consumer loans portfolios. As a result, the Company recognized a positive adjustment of $13.7 million to retained earnings, composed of a $19.7 million increase attributable to the change in the fair value of consumer loans, net of noncontrolling interests, partially offset by a $6.0 million decrease attributable to the change in fair value of residential mortgage loans. For servicer advance investments and receivables, the Company determined credit-related losses are not significant because of the contractual relationships with the agencies. For other assets, primarily trade receivables, the Company determined that these are short-term in nature (less than one year), and the estimated credit-related losses over the life of these receivables are not significant. In August 2018, the FASB issued ASU 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 2018-13 was effective for New Residential in the first quarter of 2020. The adoption of ASU 2018-13 did not have a material impact on the condensed consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The Company is currently evaluating the impact the adoption of this standard would have on its condensed consolidated financial statements. |
OTHER INCOME (LOSS), GENERAL _2
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Other Income Assets And Liabilities | |
Schedule of Change in Fair Value of Investments | Change in fair value of investments — This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Change in fair value of investments in excess mortgage servicing rights $ (85) $ (8,455) $ (11,109) $ (3,828) Change in fair value of investments in excess mortgage servicing rights, equity method investees (2,052) (3,276) (2,509) (664) Change in fair value of investments in mortgage servicing rights financing receivables (121,520) (55,411) (225,631) (91,790) Change in fair value of servicer advance investments 16,037 1,388 (2,712) 9,291 Change in fair value of real estate and other securities 58,598 7,385 (28,194) 14,064 Change in fair value of residential mortgage loans 99,998 72,393 (165,246) 81,607 Change in fair value of investments in consumer loans held-for-investment 30,694 — (9,223) — Change in fair value of derivative instruments 21,106 (40,666) (18,876) (66,426) $ 102,776 $ (26,642) $ (463,500) $ (57,746) |
Schedule of Gain (Loss) on Settlement of Investments | This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Gain (loss) on sale of real estate securities $ (6,669) $ 41,023 $ (761,209) $ 106,219 Gain (loss) on sale of acquired residential mortgage loans (47,330) 6,575 (12,094) 9,757 Gain (loss) on settlement of derivatives (25,195) (45,201) (109,907) (138,277) Gain (loss) on liquidated residential mortgage loans 3,220 (633) 2,381 (3,122) Gain (loss) on sale of REO 443 (4,551) 1,616 (6,276) Other gains (losses) 565 8,363 4,675 (5,586) $ (74,966) $ 5,576 $ (874,538) $ (37,285) |
Schedule of Other Income | This item is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Unrealized gain (loss) on notes and bonds payable $ (10,856) $ (1,464) $ 6,146 $ (2,601) Unrealized gain (loss) on contingent consideration (2,257) (2,682) (3,871) (4,727) Unrealized gain (loss) on equity investments (2,674) (86) (47,697) (159) Gain (loss) on transfer of loans to REO 1,712 1,600 4,307 6,584 Gain (loss) on transfer of loans to other assets (20) 244 (261) (277) Gain (loss) on Excess MSR recapture agreements 562 935 1,190 1,242 Gain (loss) on Ocwen common stock 929 1,451 (4,121) 4,237 Provision for servicing losses (11,249) (285) (16,030) (926) Rental and ancillary revenue 20,112 — 39,719 — Other income (loss) 534 (1,940) (19,402) 88 $ (3,207) $ (2,227) $ (40,020) $ 3,461 |
Schedule of General and Administrative Expenses | Expenses is comprised of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Compensation and benefits expense, servicing $ 59,498 $ 29,480 $ 110,839 $ 54,781 Compensation and benefits expense, origination 73,148 39,341 134,426 70,651 Legal and professional expense 15,552 16,618 41,589 29,910 Loan origination expense 23,635 14,198 46,035 24,467 Occupancy expense 8,775 4,786 16,839 8,965 Other (A) 36,765 14,483 74,008 29,072 $ 217,373 $ 118,906 $ 423,736 $ 217,846 (A) Represents miscellaneous general and administrative expenses. |
Schedule of Other Assets and Liabilities | Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Margin receivable, net (A) $ 45,527 $ 280,176 MSR purchase price holdback $ 44,495 $ 75,348 Servicing fee receivables 145,135 159,607 Interest payable 35,524 68,668 Due from servicers 93,108 163,961 Accounts payable 109,434 119,771 Principal and interest receivable 45,566 85,191 Derivative liabilities (Note 10) 24,936 6,885 Equity investments (B) 66,859 114,763 Due to servicers 70,477 88,645 Other receivables 99,190 117,045 Due to Agencies 42,118 39,201 Real Estate Owned 68,618 93,672 Contingent Consideration 57,149 55,222 Single-family rental properties 26,193 24,133 Accrued compensation and benefits 51,728 41,228 Goodwill (C) 29,468 29,737 Excess spread financing, at fair value 22,059 31,777 Notes Receivable (D) 47,318 37,001 Operating lease liabilities 35,165 38,520 Warrants, at fair value 23,009 28,042 Reserve for sales recourse 11,560 12,549 Recovery asset 17,092 23,100 Reserve for servicing losses 16,030 — Property and equipment 23,419 18,018 Other liabilities 11,574 22,976 Receivable from government agency (E) 15,971 19,670 $ 532,249 $ 600,790 Intangible assets 36,002 40,963 Prepaid expenses 24,236 19,249 Operating lease right-of-use asset 29,794 32,120 Derivative assets (Note 10) 166,613 41,501 Ocwen common stock, at fair value 3,831 7,952 Deferred tax asset, net 148,746 8,669 Other assets 38,362 51,230 $ 1,194,057 $ 1,395,800 (A) Represents collateral posted primarily as a result of changes in fair value of our 1) real estate securities securing our repurchase agreements and 2) derivative instruments. (B) Represents equity investments in funds that invest in 1) a commercial redevelopment project, 2) operating companies in the single-family housing industry. The indirect investments are accounted for at fair value based on the net asset value (“NAV”) of New Residential’s investment and as an equity method investment, respectively. Equity investments also includes an investment in Covius Holding Inc. (“Covius”), a provider of various technology-enabled services to the mortgage and real estate industries. (C) Includes goodwill derived from the acquisition of Shellpoint Partners LLC (“Shellpoint”) and DGG RE Investments d/b/a Guardian Asset Management LLC (“Guardian”). (D) Represents a subordinated debt facility to Covius. (E) Represents claims receivable from the FHA on early buyout (“EBO”) and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. |
Schedule of Accretion and Other Amortization | As reflected on the Condensed Consolidated Statements of Cash Flows, this item is comprised of the following: Six Months Ended 2020 2019 Accretion of net discount on securities and loans $ 62,791 235,003 Accretion of servicer advances receivable discount and servicer advance investments 13,464 12,957 Accretion of excess mortgage servicing rights income 12,582 11,830 Amortization of deferred financing costs (5,992) (1,925) Amortization of discount on notes and bonds payable (246) (910) Amortization of discount on term loan (1,609) — $ 80,990 $ 256,955 |
Schedule of Real Estate Owned | Real Estate Owned Balance at December 31, 2019 $ 93,672 Purchases 3,910 Transfer of loans to real estate owned 28,197 Sales (A) (55,791) Valuation (provision) reversal on REO (1,370) Balance at June 30, 2020 $ 68,618 (A) Recognized when control of the property has transferred to the buyer. |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
Summary of Segment Financial Data | Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended June 30, 2020 Interest income $ 8,963 $ 1,115 $ 108,386 $ — $ 118,464 $ 33,663 $ 47,284 $ 32,787 $ — $ 232,198 Servicing revenue, net (1,998) 96,885 (123,620) (61,726) (90,459) — — — — (90,459) Gain on originated mortgage loans, held-for-sale, net 281,937 343 33,152 (3,561) 311,871 — (1,849) — — 310,022 Total revenue 288,902 98,343 17,918 (65,287) 339,876 33,663 45,435 32,787 — 451,761 Operating expenses 108,129 74,018 213,774 (61,726) 334,195 18,023 36,749 9,918 37,651 436,536 Other income (loss) 390 — (90,665) — (90,275) 47,837 36,676 29,984 381 24,603 Impairment — — (91) — (91) (25,134) 3,515 — — (21,710) Income (loss) before income taxes 181,163 24,325 (286,430) (3,561) (84,503) 88,611 41,847 52,853 (37,270) 61,538 Income tax expense (benefit) 20,083 1,224 (6,832) — 14,475 — 2,918 16 — 17,409 Net income (loss) $ 161,080 $ 23,101 $ (279,598) $ (3,561) $ (98,978) $ 88,611 $ 38,929 $ 52,837 $ (37,270) $ 44,129 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 4,419 $ — $ 8,591 $ — $ 13,010 $ — $ — $ 25,630 $ — $ 38,640 Dividends on preferred stock $ — $ — $ — $ — $ — $ — $ — $ — $ 14,357 $ 14,357 Net income (loss) attributable to common stockholders $ 156,661 $ 23,101 $ (288,189) $ (3,561) $ (111,988) $ 88,611 $ 38,929 $ 27,207 $ (51,627) $ (8,868) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Six Months Ended June 30, 2020 Interest income $ 25,698 $ 8,602 $ 207,739 $ — $ 242,039 $ 217,668 $ 107,205 $ 67,659 $ — $ 634,571 Servicing revenue, net (3,076) 183,627 (474,207) (85,918) (379,574) — — — — (379,574) Gain on originated mortgage loans, held-for-sale, net 440,152 602 55,240 (12,936) 483,058 — 6,662 — — 489,720 Total revenue 462,774 192,831 (211,228) (98,854) 345,523 217,668 113,867 67,659 — 744,717 Operating expenses 221,768 138,566 379,629 (85,918) 654,045 132,886 84,278 20,468 64,632 956,309 Other income (loss) 374 499 (247,598) — (246,725) (918,202) (155,595) (10,767) (46,769) (1,378,058) Impairment — — (91) — (91) 19,015 104,011 — — 122,935 Income (loss) before income taxes 241,380 54,764 (838,364) (12,936) (555,156) (852,435) (230,017) 36,424 (111,401) (1,712,585) Income tax expense (benefit) 32,041 7,269 (116,617) — (77,307) — (72,283) 131 — (149,459) Net income (loss) $ 209,339 $ 47,495 $ (721,747) $ (12,936) $ (477,849) $ (852,435) $ (157,734) $ 36,293 $ (111,401) $ (1,563,126) Noncontrolling interests in income (loss) of consolidated subsidiaries $ 5,702 $ — $ (2,656) $ — $ 3,046 $ — $ — $ 19,432 $ — $ 22,478 Dividends on preferred stock $ — $ — $ — $ — $ — $ — $ — $ — $ 25,579 $ 25,579 Net income (loss) attributable to common stockholders $ 203,637 $ 47,495 $ (719,091) $ (12,936) $ (480,895) $ (852,435) $ (157,734) $ 16,861 $ (136,980) $ (1,611,183) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total June 30, 2020 Investments $ 1,750,568 $ — $ 6,039,020 $ — $ 7,789,588 $ 6,144,236 $ 2,614,314 $ 766,462 $ — $ 17,314,600 Cash and cash equivalents 159,242 83,066 362,659 — 604,967 111,571 19,210 7,477 269,983 1,013,208 Restricted cash 3,224 5,209 87,199 — 95,632 11,259 — 32,041 — 138,932 Other assets 231,088 197,243 3,166,414 — 3,594,745 217,354 1,356,432 60,095 27,315 5,255,941 Goodwill 11,836 12,540 5,092 — 29,468 — — — — 29,468 Total assets $ 2,155,958 $ 298,058 $ 9,660,384 $ — $ 12,114,400 $ 6,484,420 $ 3,989,956 $ 866,075 $ 297,298 $ 23,752,149 Debt $ 1,607,829 $ 6,669 $ 6,383,566 $ — $ 7,998,064 $ 5,314,581 $ 2,015,476 $ 722,839 $ 533,383 $ 16,584,343 Other liabilities 201,530 55,774 209,335 — 466,639 119,506 1,119,831 3,916 68,942 1,778,834 Total liabilities 1,809,359 62,443 6,592,901 — 8,464,703 5,434,087 3,135,307 726,755 602,325 18,363,177 Total equity 346,599 235,615 3,067,483 — 3,649,697 1,050,333 854,649 139,320 (305,027) 5,388,972 Noncontrolling interests in equity of consolidated subsidiaries 15,186 — 40,333 — 55,519 — — 41,162 — 96,681 Total New Residential stockholders’ equity $ 331,413 $ 235,615 $ 3,027,150 $ — $ 3,594,178 $ 1,050,333 $ 854,649 $ 98,158 $ (305,027) $ 5,292,291 Investments in equity method investees $ — $ — $ 147,017 $ — $ 147,017 $ — $ — $ — $ — $ 147,017 Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended June 30, 2019 Interest income $ 9,280 $ 8,151 $ 129,985 $ — $ 147,416 $ 168,489 $ 56,303 $ 43,839 $ — $ 416,047 Servicing revenue, net (397) 48,563 (112,925) (20,778) (85,537) — — — — (85,537) Gain on sale of originated mortgage loans, net 73,943 244 12,105 (10,218) 76,074 — 24,944 — — 101,018 Total revenue 82,826 56,958 29,165 (30,996) 137,953 168,489 81,247 43,839 — 431,528 Operating expenses 64,404 40,632 149,959 (20,778) 234,217 107,765 48,585 15,834 23,466 429,867 Other income (loss) (102) — (67,335) — (67,437) (37,446) 88,148 (12,204) 2,992 (25,947) Impairment — — — — — 8,859 5,800 7,652 — 22,311 Income (loss) before income taxes 18,320 16,326 (188,129) (10,218) (163,701) 14,419 115,010 8,149 (20,474) (46,597) Income tax expense (benefit) 10,810 11,669 (76,723) — (54,244) — 32,488 179 — (21,577) Net income (loss) $ 7,510 $ 4,657 $ (111,406) $ (10,218) $ (109,457) $ 14,419 $ 82,522 $ 7,970 $ (20,474) $ (25,020) Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,543 $ — $ 331 $ — $ 1,874 $ — $ — $ 5,049 $ — $ 6,923 Dividends on Preferred Stock $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Net income (loss) attributable to common stockholders $ 5,967 $ 4,657 $ (111,737) $ (10,218) $ (111,331) $ 14,419 $ 82,522 $ 2,921 $ (20,474) $ (31,943) Servicing and Origination Residential Securities and Loans Origination Servicing MSR Related Investments Elimination (A) Total Servicing and Origination Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Six Months Ended June 30, 2019 Interest income $ 14,864 $ 14,334 $ 250,018 $ — $ 279,216 $ 372,962 $ 114,492 $ 88,244 $ — $ 854,914 Servicing revenue, net (667) 92,084 15,812 (26,913) 80,316 — — — — 80,316 Gain on sale of originated mortgage loans, net 124,755 333 21,615 (19,303) 127,400 — 40,788 — — 168,188 Total revenue 138,952 106,751 287,445 (46,216) 486,932 372,962 155,280 88,244 — 1,103,418 Operating expenses 115,925 76,952 261,581 (26,913) 427,545 210,254 93,756 32,456 59,075 823,086 Other income (loss) 957 — (89,200) — (88,243) (84,404) 84,703 (7,673) 5,704 (89,913) Impairment — — — — — 16,375 (4) 18,736 — 35,107 Income (loss) before income taxes 23,984 29,799 (63,336) (19,303) (28,856) 61,929 146,231 29,379 (53,371) 155,312 Income tax expense (benefit) 12,359 15,355 (42,584) — (14,870) — 39,032 258 — 24,420 Net income (loss) $ 11,625 $ 14,444 $ (20,752) $ (19,303) $ (13,986) $ 61,929 $ 107,199 $ 29,121 $ (53,371) $ 130,892 Noncontrolling interests in income (loss) of consolidated subsidiaries $ 1,950 $ — $ 2,782 $ — $ 4,732 $ — $ — $ 12,509 $ — $ 17,241 Dividends on Preferred Stock $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Net income (loss) attributable to common stockholders $ 9,675 $ 14,444 $ (23,534) $ (19,303) $ (18,718) $ 61,929 $ 107,199 $ 16,612 $ (53,371) $ 113,651 |
INVESTMENTS IN EXCESS MORTGAG_2
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Transfers and Servicing [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The table below summarizes the components of excess mortgage servicing rights assets as presented on the Condensed Consolidated Balance Sheets: June 30, 2020 December 31, 2019 Direct investments in Excess MSRs $ 346,450 $ 379,747 Excess MSR Joint Ventures 112,473 125,596 Excess mortgage servicing rights assets, at fair value $ 458,923 $ 505,343 The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 12,561 21 12,582 Other income 1,202 — 1,202 Proceeds from repayments (35,708) (216) (35,924) Proceeds from sales (48) — (48) Change in fair value (11,184) 75 (11,109) Balance as of June 30, 2020 $ 344,515 $ 1,935 $ 346,450 (A) Specialized Loan Servicing LLC (“SLS”). The following table presents activity related to the carrying value of New Residential’s investments in MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2019 $ 3,967,960 $ 1,718,273 $ 5,686,233 Purchases, net (A) 456,665 4,362 461,027 Originations (B) 268,098 — 268,098 Prepayments (C) (31,222) (23,369) (54,591) Proceeds from sales (9,801) (3,708) (13,509) Amortization of servicing rights (D) (483,639) (145,951) (629,590) Change in valuation inputs and assumptions (E) (624,561) (77,931) (702,492) (Gain) loss on sales 7,659 (1,749) 5,910 Balance as of June 30, 2020 $ 3,551,159 $ 1,469,927 $ 5,021,086 (A) Net of purchase price adjustments. (B) Represents MSRs retained on the sale of originated mortgage loans. (C) Represents purchase price fully reimbursable from sellers as a result of prepayment protection. (D) 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. (E) Includes changes in inputs or assumptions used in the valuation model. The following is a summary of New Residential’s investments in MSRs and MSR Financing Receivables as of June 30, 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 315,552,886 5.2 $ 2,927,046 Non-Agency 6,065,805 4.3 18,400 Ginnie Mae (D) 57,779,101 4.3 605,713 379,397,792 5.1 3,551,159 MSR Financing Receivables: Agency (C) 43,073,285 5.0 382,078 Non-Agency 71,380,202 7.7 1,087,849 114,453,487 6.7 1,469,927 Total $ 493,851,279 5.4 $ 5,021,086 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2020, weighted average discount rates of 8.2% and 9.5% were used to value New Residential’s investments in MSRs and MSR financing receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs. |
Summary of Direct Investments in Excess MSRs | The following is a summary of New Residential’s direct investments in Excess MSRs: June 30, 2020 December 31, 2019 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 Mr. Cooper Agency Original and Recaptured Pools $ 39,833,663 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.8 $ 162,415 $ 186,928 $ 209,633 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 41,832,962 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 6.5 118,875 159,522 170,114 Total $ 81,666,625 6.1 $ 281,290 $ 346,450 $ 379,747 (A) 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 and recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2020 (Note 6) on $28.8 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Original and Recaptured Pools $ (85) $ (8,455) $ (11,109) $ (3,828) |
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: June 30, 2020 December 31, 2019 Excess MSR assets $ 200,650 $ 226,843 Other assets 24,983 25,035 Other liabilities (687) (687) Equity $ 224,946 $ 251,191 New Residential’s investment $ 112,473 $ 125,596 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income $ 536 $ 190 $ 7,850 $ 4,261 Other income (loss) (4,632) (6,727) (12,852) (5,557) Expenses (8) (15) (16) (32) Net income (loss) $ (4,104) $ (6,552) $ (5,018) $ (1,328) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2019 $ 125,596 Distributions of earnings from equity method investees (1,172) Distributions of capital from equity method investees (9,442) Change in fair value of investments in equity method investees (2,509) Balance at June 30, 2020 $ 112,473 The following table summarizes the income earned from the Company’s investments in LoanCo and WarrantCo during 2019: Three Months Ended June 30, 2019 (A) Six Months Ended June 30, 2019 (A) Interest income $ 11,390 $ 19,367 Interest expense (3,665) (6,487) Change in fair value of consumer loans and warrants (15,993) (1,457) Gain on sale of consumer loans (1,222) (1,668) Other expenses (1,462) (2,918) Net income $ (10,952) $ 6,837 New Residential’s equity in net income $ (2,654) $ 1,657 New Residential’s ownership 24.2 % 24.2 % (A) Data for the period ended May 31, 2019 as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments at June 30, 2019: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) June 30, 2019 (C) $ 414,530 25.0 % $ 409,379 14.6 % 1.3 1.4 % (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 May 31, 2019 as a result of the one month reporting lag. |
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: June 30, 2020 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 $ 31,923,937 66.7 % 50.0 % $ 156,169 $ 200,650 5.6 (A) The remaining interests are held by Mr. Cooper. (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 and recapture agreements, as applicable. (D) Represents the weighted average expected timing of the receipt of cash flows of each investment. |
INVESTMENTS IN MORTGAGE SERVI_2
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The table below summarizes the components of excess mortgage servicing rights assets as presented on the Condensed Consolidated Balance Sheets: June 30, 2020 December 31, 2019 Direct investments in Excess MSRs $ 346,450 $ 379,747 Excess MSR Joint Ventures 112,473 125,596 Excess mortgage servicing rights assets, at fair value $ 458,923 $ 505,343 The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 12,561 21 12,582 Other income 1,202 — 1,202 Proceeds from repayments (35,708) (216) (35,924) Proceeds from sales (48) — (48) Change in fair value (11,184) 75 (11,109) Balance as of June 30, 2020 $ 344,515 $ 1,935 $ 346,450 (A) Specialized Loan Servicing LLC (“SLS”). The following table presents activity related to the carrying value of New Residential’s investments in MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2019 $ 3,967,960 $ 1,718,273 $ 5,686,233 Purchases, net (A) 456,665 4,362 461,027 Originations (B) 268,098 — 268,098 Prepayments (C) (31,222) (23,369) (54,591) Proceeds from sales (9,801) (3,708) (13,509) Amortization of servicing rights (D) (483,639) (145,951) (629,590) Change in valuation inputs and assumptions (E) (624,561) (77,931) (702,492) (Gain) loss on sales 7,659 (1,749) 5,910 Balance as of June 30, 2020 $ 3,551,159 $ 1,469,927 $ 5,021,086 (A) Net of purchase price adjustments. (B) Represents MSRs retained on the sale of originated mortgage loans. (C) Represents purchase price fully reimbursable from sellers as a result of prepayment protection. (D) 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. (E) Includes changes in inputs or assumptions used in the valuation model. The following is a summary of New Residential’s investments in MSRs and MSR Financing Receivables as of June 30, 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 315,552,886 5.2 $ 2,927,046 Non-Agency 6,065,805 4.3 18,400 Ginnie Mae (D) 57,779,101 4.3 605,713 379,397,792 5.1 3,551,159 MSR Financing Receivables: Agency (C) 43,073,285 5.0 382,078 Non-Agency 71,380,202 7.7 1,087,849 114,453,487 6.7 1,469,927 Total $ 493,851,279 5.4 $ 5,021,086 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2020, weighted average discount rates of 8.2% and 9.5% were used to value New Residential’s investments in MSRs and MSR financing receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs. |
Fees Earned in Exchange for Servicing Financial Assets | Servicing revenue, net recognized by New Residential related to its investments in MSRs was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Servicing fee revenue $ 332,376 $ 196,249 $ 660,498 $ 379,275 Ancillary and other fees 18,198 52,813 50,336 92,550 Servicing fee revenue and fees 350,574 249,062 710,834 471,825 Amortization of servicing rights (288,573) (105,321) (479,940) (177,996) Change in valuation inputs and assumptions (A) (B) (154,416) (229,278) (618,127) (213,513) (Gain) loss on sales 1,956 — 7,659 — Servicing revenue, net $ (90,459) $ (85,537) $ (379,574) $ 80,316 (A) Includes changes in inputs or assumptions used in the valuation model. (B) Includes $1.9 million and $7.6 million for the three months ended June 30, 2020 and 2019, respectively, and $6.4 million and $8.0 million for the six months ended June 30, 2020 and 2019, respectively, of fair value adjustment to excess spread financing. Interest income from investments in MSR Financing Receivables was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Servicing fee revenue $ 106,861 $ 130,126 $ 220,443 $ 256,370 Ancillary and other fees 17,716 29,954 43,716 61,278 Less: subservicing expense (40,131) (49,577) (82,034) (105,239) Interest income, investments in MSR financing receivables $ 84,446 $ 110,503 $ 182,125 $ 212,409 Change in fair value of investments in MSR Financing Receivables was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Amortization of servicing rights $ (77,199) $ (40,201) $ (145,951) $ (83,077) Change in valuation inputs and assumptions (A) (44,321) (14,850) (77,931) (7,912) (Gain) loss on sales (B) — (360) (1,749) (801) Change in fair value of investments in MSR financing receivables $ (121,520) $ (55,411) $ (225,631) $ (91,790) (A) Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. (B) Represents the realization of unrealized gain (loss) as a result of sales. |
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 MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2020 December 31, 2019 California 22.9 % 21.9 % Florida 7.0 % 6.9 % New York 6.4 % 6.4 % Texas 5.3 % 5.5 % New Jersey 4.8 % 4.9 % Illinois 3.5 % 3.6 % Massachusetts 3.3 % 3.4 % Washington 3.2 % 3.3 % Georgia 3.1 % 3.1 % Maryland 3.0 % 3.0 % Other U.S. 37.5 % 38.0 % 100.0 % 100.0 % |
SERVICER ADVANCE INVESTMENTS (T
SERVICER ADVANCE INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Investments, All Other Investments [Abstract] | |
Summary of Investments in Servicer Advances | 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) June 30, 2020 Servicer Advance Investments $ 537,388 $ 559,011 5.3 % 5.7 % 6.3 December 31, 2019 Servicer Advance Investments $ 557,444 $ 581,777 5.3 % 5.7 % 6.3 (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. The following is additional information regarding the Servicer Advance Investments and related financing: 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 Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net June 30, 2020 Servicer Advance Investments (D) $ 28,834,119 $ 467,339 1.6 % $ 442,002 88.9 % 87.9 % 2.9 % 2.9 % December 31, 2019 Servicer Advance Investments (D) $ 31,442,267 $ 462,843 1.5 % $ 443,248 88.3 % 87.2 % 3.4 % 2.8 % (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: June 30, 2020 December 31, 2019 Principal and interest advances $ 113,039 $ 71,574 Escrow advances (taxes and insurance advances) 167,167 180,047 Foreclosure advances 187,133 211,222 Total $ 467,339 $ 462,843 |
Schedule of Interest Income Related to Investments in Servicer Advances | Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 27,905 $ 13,932 $ 17,655 $ 29,008 Amounts attributable to base servicer compensation (2,504) (1,407) (1,622) (2,972) Amounts attributable to incentive servicer compensation (5,230) (7,080) (13,951) (13,507) Interest income from Servicer Advance Investments $ 20,171 $ 5,445 $ 2,082 $ 12,529 Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest Income: Loans Held for Investment, at Fair Value $ 13,229 $ 15,432 $ 28,338 $ 32,636 Loans Held-for-Sale, at Lower Cost or Fair Value 15,303 13,572 33,458 28,752 Loans Held-for-Sale, at Fair Value 27,715 39,075 71,107 72,844 Total Interest Income 56,247 68,079 132,903 134,232 Interest Expense: Loans Held for Investment, at Fair Value 5,408 5,759 10,608 11,764 Loans Held-for-Sale, at Lower Cost or Fair Value 6,358 8,708 14,888 17,515 Loans Held-for-Sale, at Fair Value 11,372 37,599 41,842 66,198 Total Interest Expense 23,138 52,066 67,338 95,477 Total Net Interest Income $ 33,109 $ 16,013 $ 65,565 $ 38,755 |
INVESTMENTS IN REAL ESTATE AN_2
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Debt Securities, Available-for-sale | Activities related to New Residential’s investments in real estate and other securities were as follows: Six Months Ended June 30, 2020 2019 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 10,862.6 $ 5,083.1 $ 12,817.1 $ 4,574.2 Purchase price 11,149.5 575.0 13,089.1 917.9 Sales Face $ 17,395.0 $ 7,487.8 $ 11,825.1 $ 837.5 Amortized cost 17,679.3 5,557.2 12,105.6 738.6 Sale price 17,869.1 4,624.6 12,198.6 752.0 Gain (loss) on sale 189.8 (932.6) 93.0 13.4 The following is a summary of New Residential’s real estate and other securities: June 30, 2020 December 31, 2019 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Agency RMBS $ 301,350 $ 303,173 $ 20,231 $ — $ 323,404 26 AAA 2.95 % 2.78 % 6.4 N/A $ 11,519,943 Agency RMBS at FVO 3,722,586 3,858,145 23,711 — 3,881,856 7 AAA 2.50 % 1.78 % 5.9 N/A — Total Agency RMBS (F)(G) 4,023,936 4,161,318 43,942 — 4,205,260 33 AAA 2.53 % 1.86 % 6.0 N/A 11,519,943 Non-Agency RMBS (H)(I) 23,019,974 1,965,450 85,061 (111,535) 1,938,976 613 AA- 3.08 % 5.36 % 7.8 13.1 % 7,957,785 Total/ $ 27,043,910 $ 6,126,768 $ 129,003 $ (111,535) $ 6,144,236 646 AA+ 1.12 % 2.98 % 6.5 $ 19,477,728 (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 374 bonds with a carrying value of $992.0 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 $26.8 million and $4.3 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 $4.0 billion for fixed rate securities as of June 30, 2020. (H) The total outstanding face amount was $13.6 billion (including $12.4 billion of residual and fair value option notional amount) for fixed rate securities and $9.4 billion (including $8.3 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2020. (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 consumer loans, and (iii) corporate debt. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Corporate debt $ 10,250 $ 10,250 $ — $ (102) $ 10,148 1 B- 8.25 % 8.25 % — N/A Consumer loan bonds 16,430 11,171 — — 11,171 6 N/A N/A N/A — N/A Fair value option securities: Interest-only securities 11,253,401 292,045 19,962 (28,697) 283,310 131 AA 1.31 % 13.20 % 2.7 N/A Servicing strips 5,635,802 58,150 2,205 (7,525) 52,830 59 N/A 0.63 % 9.61 % 4.5 N/A |
Summary of Real Estate Securities in an Unrealized Loss Position | The following table summarizes New Residential’s securities in an unrealized loss position as of June 30, 2020. Amortized Cost Basis Gross Unrealized Losses Carrying Value Number of Securities Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Credit Impairment Credit Impairment (A) After Credit Impairment Rating Coupon Yield Life Less than 12 Months $ 8,860,380 $ 1,005,995 $ (8,561) $ 997,434 $ (98,478) $ 898,956 184 BBB+ 3.34 % 4.84 % 11.5 12 or More Months 2,381,211 96,175 (10,454) 85,721 (13,057) 72,664 60 A 1.80 % 2.87 % 2.6 Total/Weighted Average $ 11,241,591 $ 1,102,170 $ (19,015) $ 1,083,155 $ (111,535) $ 971,620 244 BBB+ 3.22 % 4.69 % 10.8 (A) Represents credit impairment on securities in an unrealized loss position as of June 30, 2020. New Residential performed an assessment of all 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 credit impairment, exceeds its fair value) and determined the following: June 30, 2020 December 31, 2019 Gross Unrealized Losses Gross Unrealized Losses Fair Value Amortized Cost Basis After Credit Impairment Credit (A) Non-Credit (B) Fair Value Amortized Cost Basis After Credit Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell $ 25,526 $ 25,526 $ (4,797) N/A $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (C) — — — N/A — — — 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 114,835 120,530 (14,218) (5,695) 228,228 237,626 (3,232) (9,398) Non-credit impaired securities 831,259 937,099 — (105,840) 4,726,409 4,767,837 — (41,428) Total debt securities in an unrealized loss position $ 971,620 $ 1,083,155 $ (19,015) $ (111,535) $ 4,954,637 $ 5,005,463 $ (3,232) $ (50,826) (A) This amount is required to be recorded through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation included 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 included New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’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. |
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table summarizes the activity related to the allowance for credit losses on debt securities (excluding credit impairment relating to securities New Residential intends to sell or is more likely than not required to sell): Purchased Credit Deteriorated Non-Purchased Credit Deteriorated Total Allowance for credit losses on available-for-sale debt securities at December 31, 2019 $ — $ — $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — — — Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration — — — Reductions for securities sold during the period — — — Reductions in the allowance for credit losses 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 — — — Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period 13,808 410 14,218 Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at June 30, 2020 $ 13,808 $ 410 $ 14,218 |
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: June 30, 2020 December 31, 2019 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 8,023,586 34.9 % $ 9,048,847 36.6 % Southeastern U.S. 6,001,777 26.1 % 5,983,966 24.2 % Northeastern U.S. 5,204,930 22.6 % 5,416,137 21.9 % Midwestern U.S. 2,527,550 11.0 % 2,562,269 10.4 % Southwestern U.S. 1,222,822 5.3 % 1,440,467 5.8 % Other (B) 12,629 0.1 % 296,273 1.1 % $ 22,993,294 100.0 % $ 24,747,959 100.0 % (A) Excludes $16.4 million and $25.0 million face amount of bonds backed by consumer loans and $10.3 million and $85.0 million face amount of bonds backed by corporate debt as of June 30, 2020 and December 31, 2019, 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 June 30, 2020 $ 1,084,164 $ 457,565 December 31, 2019 5,701,736 3,830,369 |
Summary of Changes in Accretable Yield for Securities | The following is a summary of the changes in accretable yield for these securities: Six Months Ended June 30, 2020 Balance at December 31, 2019 $ 1,882,476 Additions 76,960 Accretion (52,310) Reclassifications from (to) non-accretable difference (2,889,848) Disposals 1,303,414 Balance at June 30, 2020 $ 320,692 |
INVESTMENTS IN RESIDENTIAL MO_2
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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: June 30, 2020 December 31, 2019 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Loan Type Total Residential Mortgage Loans, held-for-investment, at fair value (B) $ 830,117 $ 750,332 13,168 7.2 % 6.4 $ 925,706 Acquired Reverse Mortgage Loans (C) $ 12,604 $ 6,458 29 7.9 % 3.9 $ 5,844 Acquired Performing Loans (D)(F) 224,268 198,150 4,680 6.0 % 4.1 857,821 Acquired Non-Performing Loans (E)(F) 617,062 490,222 4,703 7.3 % 3.3 565,387 Total Residential Mortgage Loans, held-for-sale $ 853,934 $ 694,830 9,412 7.0 % 3.5 $ 1,429,052 Acquired Performing Loans (D)(F) $ 1,245,660 $ 1,075,996 9,258 4.8 % 8.0 $ 3,024,288 Originated Loans 1,675,955 1,748,913 6,111 3.3 % 27.2 1,589,324 Total Residential Mortgage Loans, held-for-sale, at fair value $ 2,921,615 $ 2,824,909 15,369 3.9 % 19.0 $ 4,613,612 Total Residential Mortgage Loans, held-for-sale $ 3,775,549 $ 3,519,739 $ 6,042,664 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Residential mortgage loans, held-for-investment, at fair value is grouped and presented as part of residential loans and variable interest entity consumer loans held-for-investment, at fair value on the Condensed Consolidated Balance Sheets. (C) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Mr. Cooper holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.6 million. Approximately 51% 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. (D) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (E) As of June 30, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (E) below. (F) Includes $30.0 million and $26.1 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2020 December 31, 2019 California 13.8 % 16.8 % New York 8.5 % 9.9 % Texas 8.3 % 7.5 % Florida 7.5 % 7.7 % Georgia 5.4 % 4.6 % New Jersey 4.5 % 4.6 % Illinois 3.4 % 3.4 % Pennsylvania 3.3 % 3.1 % North Carolina 3.0 % 2.6 % Maryland 3.0 % 2.6 % Other U.S. 39.3 % 37.2 % 100.0 % 100.0 % |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans as of June 30, 2020: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90 to 119 $ 292,123 $ 244,837 $ (47,286) 120+ 717,573 597,082 (120,491) $ 1,009,696 $ 841,919 $ (167,777) 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 credit losses: December 31, 2019 Days Past Due Delinquency Status (A) Current 86.5 % 30-59 7.0 % 60-89 2.7 % 90-119 (B) 0.7 % 120+ (C) 3.1 % 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: December 31, 2019 Days Past Due Delinquency Status (A) Current 95.3 % 30-59 1.8 % 60-89 1.2 % 90-119 (B) 0.7 % 120+ (B) (C) 1.0 % 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 Loans Held For Sale, Fair Value | The following table summarizes the activity for residential mortgage loans: Loans Held-for-Investment, at Fair Value Loans Held-for-Sale, at Lower Cost or Fair Value Loans Held-for-Sale, at Fair Value Total Balance at December 31, 2019 $ 925,706 $ 1,429,052 $ 4,613,612 $ 6,968,370 Fair value adjustment due to fair value option (6,020) — — (6,020) Originations — — 19,252,135 19,252,135 Sales — (642,644) (21,900,008) (22,542,652) Purchases/additional fundings — 110,741 1,036,587 1,147,328 Proceeds from repayments (64,802) (81,699) (95,595) (242,096) Transfer of loans to other assets (A) — (1,793) (13,516) (15,309) Transfer of loans to real estate owned (4,021) (16,277) (3,591) (23,889) Transfers of loans to held for sale (59,681) — 59,681 — Valuation provision on loans — (102,550) — (102,550) Changes in instrument-specific credit risk 6,923 — (46,512) (39,589) Other factors (47,773) — (77,884) (125,657) Balance at June 30, 2020 $ 750,332 $ 694,830 $ 2,824,909 $ 4,270,071 (A) 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 recognized as claims receivable in Other Assets (Note 2). |
Schedule of Net Interest Income | Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 27,905 $ 13,932 $ 17,655 $ 29,008 Amounts attributable to base servicer compensation (2,504) (1,407) (1,622) (2,972) Amounts attributable to incentive servicer compensation (5,230) (7,080) (13,951) (13,507) Interest income from Servicer Advance Investments $ 20,171 $ 5,445 $ 2,082 $ 12,529 Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest Income: Loans Held for Investment, at Fair Value $ 13,229 $ 15,432 $ 28,338 $ 32,636 Loans Held-for-Sale, at Lower Cost or Fair Value 15,303 13,572 33,458 28,752 Loans Held-for-Sale, at Fair Value 27,715 39,075 71,107 72,844 Total Interest Income 56,247 68,079 132,903 134,232 Interest Expense: Loans Held for Investment, at Fair Value 5,408 5,759 10,608 11,764 Loans Held-for-Sale, at Lower Cost or Fair Value 6,358 8,708 14,888 17,515 Loans Held-for-Sale, at Fair Value 11,372 37,599 41,842 66,198 Total Interest Expense 23,138 52,066 67,338 95,477 Total Net Interest Income $ 33,109 $ 16,013 $ 65,565 $ 38,755 |
Schedule of Originated Mortgage Loans | Gain on originated mortgage loans, held-for-sale, net is summarized below: Three Months Ended Six Months Ended 2020 2019 2020 2019 Gain on loans originated and sold, net (A) $ 236,583 $ 25,347 $ 275,870 $ 52,889 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) (175,568) (18,318) (221,881) (29,741) MSRs retained on transfer of loans (C) 72,202 57,920 268,098 94,349 Other (D) 15,962 9,499 32,590 16,779 Realized gain on sale of originated mortgage loans, net $ 149,179 $ 74,448 $ 354,677 $ 134,276 Change in fair value of loans 6,102 22,633 28,377 27,982 Change in fair value of interest rate lock commitments (Note 10) 32,806 7,701 124,054 10,909 Change in fair value of derivative instruments (Note 10) 121,935 (3,764) (17,388) (4,979) Gain on originated mortgage loans, held-for-sale, net $ 310,022 $ 101,018 $ 489,720 $ 168,188 (A) Includes loan origination fees of $109.8 million and $386.8 million in the three and six months ended June 30, 2020, respectively, $60.9 million and $85.9 million in the three and six months ended June 30, 2019, respectively. (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. |
INVESTMENTS IN CONSUMER LOANS (
INVESTMENTS IN CONSUMER LOANS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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) June 30, 2020 Consumer Loan Companies Performing Loans $ 564,899 53.5 % $ 617,349 18.4 % 3.8 4.6 % Purchased Credit Deteriorated Loans (C) 148,047 53.5 % 144,176 14.7 % 3.6 9.4 % Other - Performing Loans 5,439 100.0 % 4,937 15.1 % 0.6 2.7 % Total Consumer Loans, held-for-investment $ 718,385 $ 766,462 17.6 % 3.7 5.5 % December 31, 2019 Consumer Loan Companies Performing Loans $ 644,676 53.5 % $ 682,310 18.8 % 4.0 4.7 % Purchased Credit Deteriorated Loans (C) 170,083 53.5 % 136,633 15.5 % 3.7 10.1 % Other - Performing Loans 9,158 100.0 % 8,602 15.1 % 0.7 6.1 % Total Consumer Loans, held-for-investment $ 823,917 $ 827,545 18.0 % 3.9 5.9 % (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. |
Schedule Of Consumer Loans, Held-For-Investment | The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans as of June 30, 2020: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Under 90 Days 704,708 752,053 47,345 90 days or more past due 13,677 14,409 732 Total 718,385 766,462 48,077 |
Past Due Financing Receivable | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans as of June 30, 2020: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90 to 119 $ 292,123 $ 244,837 $ (47,286) 120+ 717,573 597,082 (120,491) $ 1,009,696 $ 841,919 $ (167,777) 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 credit losses: December 31, 2019 Days Past Due Delinquency Status (A) Current 86.5 % 30-59 7.0 % 60-89 2.7 % 90-119 (B) 0.7 % 120+ (C) 3.1 % 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: December 31, 2019 Days Past Due Delinquency Status (A) Current 95.3 % 30-59 1.8 % 60-89 1.2 % 90-119 (B) 0.7 % 120+ (B) (C) 1.0 % 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 fair value of consumer loans, held-for-investment were as follows: Balance at December 31, 2019 $ 827,545 Fair value adjustment due to fair value option 36,472 Additional fundings (A) 17,684 Proceeds from repayments (119,124) Accretion of loan discount and premium amortization, net 13,108 Fair value adjustment due to: Changes in instrument-specific credit risk (4,565) Other factors (4,658) Balance at June 30, 2020 $ 766,462 (A) Represents draws on consumer loans with revolving privileges. |
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: June 30, 2020 December 31, 2019 Excess MSR assets $ 200,650 $ 226,843 Other assets 24,983 25,035 Other liabilities (687) (687) Equity $ 224,946 $ 251,191 New Residential’s investment $ 112,473 $ 125,596 New Residential’s ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2020 2019 2020 2019 Interest income $ 536 $ 190 $ 7,850 $ 4,261 Other income (loss) (4,632) (6,727) (12,852) (5,557) Expenses (8) (15) (16) (32) Net income (loss) $ (4,104) $ (6,552) $ (5,018) $ (1,328) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2019 $ 125,596 Distributions of earnings from equity method investees (1,172) Distributions of capital from equity method investees (9,442) Change in fair value of investments in equity method investees (2,509) Balance at June 30, 2020 $ 112,473 The following table summarizes the income earned from the Company’s investments in LoanCo and WarrantCo during 2019: Three Months Ended June 30, 2019 (A) Six Months Ended June 30, 2019 (A) Interest income $ 11,390 $ 19,367 Interest expense (3,665) (6,487) Change in fair value of consumer loans and warrants (15,993) (1,457) Gain on sale of consumer loans (1,222) (1,668) Other expenses (1,462) (2,918) Net income $ (10,952) $ 6,837 New Residential’s equity in net income $ (2,654) $ 1,657 New Residential’s ownership 24.2 % 24.2 % (A) Data for the period ended May 31, 2019 as a result of the one month reporting lag. The following is a summary of LoanCo’s consumer loan investments at June 30, 2019: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) June 30, 2019 (C) $ 414,530 25.0 % $ 409,379 14.6 % 1.3 1.4 % (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 May 31, 2019 as a result of the one month reporting lag. |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 December 31, 2019 Derivative assets Interest Rate Swaps (A) Other assets $ — $ 155 Interest Rate Lock Commitments Other assets 164,342 41,346 TBAs Other assets 2,271 — $ 166,613 $ 41,501 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ 256 $ — Interest Rate Lock Commitments Accrued expenses and other liabilities 397 1,455 Forward Loan Sale Commitments Accrued expenses and other liabilities — 27 TBAs Accrued expenses and other liabilities 24,283 5,403 $ 24,936 $ 6,885 (A) Net of $192.2 million and $171.8 million of related variation margin accounts as of June 30, 2020 and December 31, 2019, respectively. The following table summarizes notional amounts related to derivatives: June 30, 2020 December 31, 2019 Interest Rate Caps (A) $ 25,000 $ 12,500 Interest Rate Swaps (B) 9,070,000 4,900,000 Interest Rate Lock Commitments 7,455,739 4,043,935 Forward Loan Sale Commitments — 43,654 TBAs, short position (C) 8,033,350 5,048,000 TBAs, long position (C) — 11,692,212 (A) As of June 30, 2020, caps LIBOR at 4.00% for $25.0 million of notional. The weighted average maturity of the interest rate caps as of June 30, 2020 was 5 months. (B) Includes $4.4 billion notional of Receive LIBOR/Pay Fixed of 2.96%and $4.7 billion notional of Receive Fixed of 0.80%/Pay LIBOR with weighted average maturities of 34 months and 33 months, respectively, as of June 30, 2020. Includes $4.0 billion notional of Receive LIBOR/Pay Fixed of 3.21% and $0.9 billion notional of Receive Fixed of 1.89%/Pay LIBOR with weighted average maturities of 36 months and 87 months, respectively, as of December 31, 2019. (C) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes all income (losses) recorded in relation to derivatives: Three Months Ended Six Months Ended 2020 2019 2020 2019 Change in fair value of derivative investments (A) Interest Rate Caps $ — $ — $ — $ (3) Interest Rate Swaps 21,106 (40,666) (18,876) (69,199) TBAs — — — 2,776 21,106 (40,666) (18,876) (66,426) Gain (loss) on settlement of investments, net Interest Rate Swaps (25,195) (5,813) (38,847) (22,191) TBAs (B) — (39,388) (71,060) (116,086) (25,195) (45,201) (109,907) (138,277) Gain on originated mortgage loans, held-for-sale, net (A) Interest Rate Lock Commitments 32,806 7,701 124,054 10,909 TBAs 121,935 (3,987) (17,415) (5,181) Forward Loan Sale Commitments — 223 27 202 154,741 3,937 106,666 5,930 Total income (losses) $ 150,652 $ (81,930) $ (22,117) $ (198,773) (A) Represents unrealized gains (losses). (B) Excludes $175.6 million and $221.9 million for the three and six months ended June 30, 2020, respectively, and $18.3 million and $29.7 million for the three and six months ended June 30, 2019, respectively, in loss on settlement included within gain on originated mortgage loans, held-for-sale, net (Note 8). |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | The following table presents certain information regarding New Residential’s repurchase agreements and notes and bonds payable debt obligations: June 30, 2020 December 31, 2019 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) $ 3,897,468 $ 3,897,468 Jul-20 to Sep-20 0.25 % 0.1 $ 3,922,189 $ 4,055,565 $ 4,099,159 6.0 $ 15,481,677 Non-Agency RMBS (E) 1,934,744 1,932,624 Jul-20 to Sep-20 4.28 % 0.2 19,636,467 1,919,715 1,890,120 7.9 7,317,519 Residential Mortgage Loans (F) 3,283,186 3,277,727 Jul-20 to Jun-22 2.95 % 0.6 4,080,121 4,402,356 3,779,405 14.7 5,053,207 Real Estate Owned (G)(H) 63,679 63,679 Jul-20 to Jun-22 2.37 % 0.6 N/A N/A 81,887 N/A 63,822 Total Repurchase Agreements 9,179,077 9,171,498 2.08 % 0.3 27,916,225 Notes and Bonds Payable Excess MSRs (I) 294,802 294,802 Feb-22 to Jul-22 4.30 % 1.9 90,541,438 49,457 54,126 5.6 217,300 MSRs (J) 2,700,527 2,691,107 Dec-20 to Jul-24 3.66 % 1.3 399,336,160 4,254,897 4,189,180 5.7 2,640,036 Servicer Advance Investments (K) 442,002 442,002 Aug-20 to Apr-21 2.92 % 0.8 467,339 537,388 559,011 6.3 581,777 Servicer Advances (K) 2,460,854 2,452,931 Jul-20 to Aug-23 3.59 % 1.7 2,806,803 2,947,678 2,947,678 0.7 2,599,895 Residential Mortgage Loans (L) 285,588 281,898 Jul-20 to Dec-45 5.40 % 17.7 462,589 493,636 444,438 4.3 864,451 Consumer Loans (M) 713,594 716,722 May-36 3.26 % 3.6 712,877 717,877 761,456 3.7 816,689 Total Notes and Bonds Payable 6,897,367 6,879,462 3.65 % 2.4 7,720,148 Total/ Weighted Average $ 16,076,444 $ 16,050,960 2.75 % 1.2 $ 35,636,373 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through July 31, 2020 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $30.3 million of associated accrued interest payable as of June 30, 2020. (D) All Agency RMBS repurchase agreements have a fixed rate. (E) All Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $6.1 million and $10.0 million, respectively, on retained consumer loan bonds and of $508.1 million and $650.3 million, respectively, on retained bonds collateralized by Agency MSRs. (F) Includes $283.0 million of repurchase agreements which bear interest at a fixed rate of 5.53%. All remaining repurchase agreements have LIBOR-based floating interest rates. (G) All 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 $83.6 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 2.50% and $211.2 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 2.75%. 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 $1,474.0 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 ranging from 2.25% to 8.00%; $46.1 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 $1,180.4 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 MSR financing receivables that secure these notes. (K) $1.9 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 1.85% to 2.75%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM. (L) Represents (i) a $5.1 million note payable to Mr. Cooper which includes a $1.4 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $92.0 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.76% (see Note 12 for fair value details), (iii) $170.5 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.61% (see Note 12 for fair value details), and (iv) $18.0 million of asset-backed notes held by third parties which include $0.9 million of REO and bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 1.25%. (M) Includes the SpringCastle debt, which is composed of the following classes of asset-backed notes held by third parties: $634.5 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036, $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036, and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036. 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, 2019 $ 217,300 $ 2,640,036 $ 3,181,672 $ 22,799,196 $ 5,981,480 $ 816,689 $ 35,636,373 Repurchase Agreements: Borrowings — — — 79,077,088 20,378,307 — 99,455,395 Repayments — — — (96,044,072) (22,149,955) — (118,194,027) Capitalized deferred financing costs, net of amortization — — — (2,120) (3,975) — (6,095) Notes and Bonds Payable: Borrowings 97,173 888,265 2,065,170 — — — 3,050,608 Repayments (19,671) (834,277) (2,351,836) — (576,453) (100,213) (3,882,450) Discount on borrowings, net of amortization — — — — — 246 246 Unrealized loss on notes, fair value — — — — (6,145) — (6,145) Capitalized deferred financing costs, net of amortization — (2,917) (73) — 45 — (2,945) Balance at June 30, 2020 $ 294,802 $ 2,691,107 $ 2,894,933 $ 5,830,092 $ 3,623,304 $ 716,722 $ 16,050,960 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. |
Schedule of Contractual Maturities of Debt Obligations | New Residential’s debt obligations as of June 30, 2020 had contractual maturities as follows: Year Ending Nonrecourse Recourse Total July 1 through December 31, 2020 $ 124,259 $ 9,294,111 $ 9,418,370 2021 1,579,934 1,587,088 3,167,022 2022 846,144 577,789 1,423,933 2023 400,000 942,225 1,342,225 2024 — 348,804 348,804 2025 and thereafter 976,090 — 976,090 $ 3,926,427 $ 12,750,017 $ 16,676,444 |
Schedule of Borrowing Capacity | The following table represents New Residential’s borrowing capacity as of June 30, 2020: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Repurchase Agreements Residential mortgage loans and REO $ 5,698,258 $ 1,658,270 $ 4,039,988 New loan originations 4,035,000 1,688,596 2,346,404 Notes and Bonds Payable Excess MSRs 100,000 83,565 16,435 MSRs 1,608,000 1,520,089 87,911 Servicer advances 5,120,000 2,902,857 2,217,143 Residential mortgage loans 650,000 17,967 632,033 $ 17,211,258 $ 7,871,344 $ 9,339,914 |
Schedule of Term Loans | The table below summarizes the net carrying amount of the 2020 Term Loan: June 30, 2020 December 31, 2019 Principal outstanding $ 600,000 $ — Less: Unamortized debt discount and issuance costs (66,617) — Net carrying value $ 533,383 $ — The table below summarizes the interest expense on the 2020 Term Loan: Three Months Ended Six Months Ended 2020 2019 2020 2019 Coupon interest at 11.00% $ 6,783 $ — $ 6,783 $ — Amortization of debt discounts and issuance costs 1,883 — 1,883 — Total $ 8,666 $ — $ 8,666 $ — |
FAIR VALUE MEASUREMENT (Tables)
FAIR VALUE MEASUREMENT (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 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) $ 81,666,625 $ 346,450 $ — $ — $ 346,450 $ 346,450 Excess mortgage servicing rights, equity method investees, at fair value (A) 31,923,937 112,473 — — 112,473 112,473 Mortgage servicing rights, at fair value (A) 379,397,792 3,551,159 — — 3,551,159 3,551,159 Mortgage servicing rights financing receivables, at fair value 114,453,487 1,469,927 — — — 1,469,927 1,469,927 Servicer advance investments, at fair 467,339 559,011 — — 559,011 559,011 Real estate and other securities 27,043,911 6,144,236 — 4,205,260 1,938,976 6,144,236 Residential mortgage loans, held-for-sale 853,934 694,830 — — 701,610 701,610 Residential mortgage loans, held-for-sale, at fair value 2,921,615 2,824,909 — 1,719,899 1,105,010 2,824,909 Residential mortgage loans, held-for-investment, at fair value 830,117 750,332 — — 750,332 750,332 Residential mortgage loans subject to repurchase 1,075,008 1,075,008 — 1,075,008 — 1,075,008 Consumer loans, held-for-investment, at fair value 718,385 766,462 — — 766,462 766,462 Derivative assets 15,353,568 166,613 — 2,271 164,342 166,613 Note receivable 46,724 42,787 — — 42,787 42,787 Cash and cash equivalents 1,013,208 1,013,208 1,013,208 — — 1,013,208 Restricted cash 138,932 138,932 138,932 — — 138,932 Other assets (B) N/A 42,769 3,831 — 38,938 42,769 $ 19,699,106 $ 1,155,971 $ 7,002,438 $ 11,547,477 $ 19,705,886 Liabilities Repurchase agreements $ 9,179,077 $ 9,171,498 $ — $ 9,179,077 $ — $ 9,179,077 Notes and bonds payable (C) 6,897,367 6,879,462 — — 6,238,923 6,238,923 2020 term loan 533,383 533,383 — — 533,383 533,383 Residential mortgage loan repurchase liability 1,075,008 1,075,008 — 1,075,008 — 1,075,008 Derivative liabilities 9,230,520 24,936 — 24,539 397 24,936 Excess spread financing 2,655,595 22,059 — — 22,059 22,059 Contingent consideration N/A 13,274 — — 13,274 13,274 $ 17,719,620 $ — $ 10,278,624 $ 6,808,036 $ 17,086,660 (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) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.8 million as of June 30, 2020. (C) Includes the SAFT 2013-1 and MDST Trusts mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $258.8 million as of June 30, 2020. |
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) MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Agency Non-Agency Total Balance at December 31, 2019 $ 209,633 $ 170,114 $ 125,596 $ 3,967,960 $ 1,718,273 $ 581,777 $ 7,957,785 $ 39,891 $ 3,998,825 $ — $ 18,769,854 Transfers Transfers from Level 3 — — — — — — — — (480,318) — (480,318) Transfers to Level 3 — — — — — — — — 440,168 827,545 1,267,713 Shellpoint Acquisition — — — — — — — — — Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights — — — — — — — — — Gains (losses) included in net income Included in provision (reversal) for credit losses on securities (D) — — — — — — (19,015) — — — (19,015) Included in change in fair value of investments in excess mortgage servicing rights (D) (6,518) (4,591) — — — — — — — — (11,109) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — — (2,509) — — — — — — — (2,509) Included in servicing revenue, net (E) — — — (1,100,541) — — — — — — (1,100,541) Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — (225,631) — — — — — (225,631) Included in change in fair value of servicer advance investments — — — — — (2,712) — — — — (2,712) Included in change in fair value of investments in residential mortgage loans — — — — — — — — (165,246) — (165,246) Included in gain (loss) on settlement of investments, net 11 1 — — — — (932,627) — — — (932,615) Included in other income (loss), net (D) 1,042 148 — — — — (51,903) 124,054 (10,110) (9,223) 54,008 Gains (losses) included in other comprehensive income (F) — — — — — — (621,364) — (6,020) 36,472 (590,912) Interest income 3,129 9,453 — — — 2,082 84,633 — — 13,108 112,405 Purchases, sales and repayments Purchases — — — 456,665 4,362 631,240 575,030 — 1,420,390 17,684 3,105,371 Proceeds from sales (44) (4) — (9,801) (3,708) (4,624,590) — (3,183,041) — (7,821,188) Proceeds from repayments (20,325) (15,599) (10,614) (31,222) (23,369) (653,376) (428,973) — (159,306) (119,124) (1,461,908) Originations and other — — — 268,098 — — — — — — 268,098 Balance at June 30, 2020 $ 186,928 $ 159,522 $ 112,473 $ 3,551,159 $ 1,469,927 $ 559,011 $ 1,938,976 $ 163,945 $ 1,855,342 $ 766,462 $ 10,763,745 (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) For the purpose of this table, the IRLC asset and liability positions are shown net. (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. |
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, 2019 $ 31,777 $ 659,738 $ 55,222 $ 746,737 Transfers Transfers from Level 3 — — (43,875) (43,875) Transfers to Level 3 — — — — Acquisition — — — — Gains (losses) included in net income Included in provision (reversal) for credit losses on securities (A) — — — — 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 (A) — — — — Included in servicing revenue, net (B) (10,133) — — (10,133) 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 change in fair value of investments in residential mortgage loans — (6,145) — (6,145) Included in gain (loss) on settlement of investments, net — — — — Included in other income (A) — — 3,871 3,871 Gains (losses) included in other comprehensive income, net of tax (C) — — — — Interest income — — — — Purchases, sales and repayments Purchases — — — — Proceeds from sales — — — — Payments — (393,322) (1,944) (395,266) Other 415 (1,465) — (1,050) Balance at June 30, 2020 $ 22,059 $ 258,806 $ 13,274 $ 294,139 (A) The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period. (B) The components of Servicing revenue, net are disclosed in Note 5. (C) 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 ranges and weighted averages of inputs used as of June 30, 2020: 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 7.0% - 10.6% (8.2%) 0.0% - 3.5% (1.4%) 6.5% - 35.8% (14.9%) 15 - 31 (21) 15 - 22 (19) Recaptured Pools 7.4% - 12.1% (10.4%) 0.1% - 3.5% (0.8%) 0.0% - 39.1% (26.1%) 20 - 29 (23) 19 - 24 (23) 7.0% - 12.1% (8.9%) 0.0% - 3.5% (1.2%) 0.0% - 39.1% (18.4%) 15 - 31 (22) 15 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 7.5% - 12.5% (9.0%) N/A 0.0% - 14.1% (12.6%) 5 - 25 (15) 19 - 31 (23) Recaptured Pools 5.9% - 6.9% (6.4%) N/A 12.3% - 22.2% (16.9%) 23 - 27 (25) 21 - 24 (23) 5.9% - 12.5% (8.6%) N/A 0.0% - 22.2% (13.3%) 5 - 27 (16) 19 - 31 (23) Total/Weighted Average — Excess MSRs Directly Held 5.9% - 12.5% (8.8%) N/A 0.0% - 39.1% (16.0%) 5 - 31 (19) 15 - 31 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 7.2% - 10.6% (8.4%) 1.0% - 2.8% (1.6%) 7.1% - 35.8% (14.3%) 15 - 25 (19) 18 - 19 (18) Recaptured Pools 9.5% - 10.6% (9.9%) 0.6% - 1.4% (1.1%) 13.1% - 33.4% (17.9%) 22 - 28 (25) 21 - 23 (22) Total/Weighted Average — Excess MSRs Held through Investees 8.4% - 10.2% (9.1%) 0.7% - 4.0% (1.3%) 13.7% - 29.3% (16.1%) 15 - 28 (22) 18 - 23 (20) Total/Weighted Average — Excess MSRs All Pools 5.9% - 12.5% (8.9%) N/A 0.0% - 39.1% (16.1%) 5 - 31 (20) 15 - 31 (21) MSRs Agency (H) Mortgage Servicing Rights (I) (J) 8.1% - 22.4% (13.1%) 0.4% - 2.2% (1%) 3.4% - 34.7% (20.7%) 25 - 33 (28) 0 - 30 (22) MSR Financing Receivables (I) 12.0% - 14.7% (13.9%) 0.6% - 1.1% (0.9%) 9.1% - 15.7% (13.1%) 25 - 29 (27) 0 - 30 (24) 8.1% - 22.4% (13.2%) 0.4% - 2.2% (1.0%) 3.4% - 34.7% (19.8%) 25 - 33 (28) 0 - 30 (22) Non-Agency Mortgage Servicing Rights (I) 9.9% - 16.1% (14.2%) 0.6% - 10.6% (3.8%) 4.2% - 31.0% (22.5%) 25 - 89 (45) 0 - 30 (26) MSR Financing Receivables (I) 8.2% 14.4% 9.1% 48 0 - 30 (25) 8.2% - 16.1% (8.3%) 0.6% - 14.4% (14.2%) 4.2% - 31.0% (9.3%) 25 - 89 (48) 0 - 30 (25) Ginnie Mae Mortgage Servicing Rights (I) (J) 9.1% - 25.0% (20.3%) 1.3% - 8.3% (6.3%) 15.6% - 35.0% (23.0%) 32 - 53 (44) 0 - 30 (27) Total/Weighted Average — MSRs 8.1% - 25.0% (13.0%) 0.4% - 14.4% (4.5%) 3.4% - 35.0% (20.0%) 25 - 89 (34) 0 - 30 (23) (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 $6.2 - $8.3 ($7.0) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.10 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.80 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) Represents Fannie Mae and Freddie Mac MSRs. (I) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. (J) Includes valuation of the related Excess spread financing (Note 5). As of June 30, 2020, 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 $ 4,023,936 $ 4,161,318 $ 4,205,260 $ — $ 4,205,260 2 Non-Agency RMBS (C) 23,019,974 1,965,450 1,929,874 9,102 1,938,976 3 Total $ 27,043,910 $ 6,126,768 $ 6,135,134 $ 9,102 $ 6,144,236 (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 51.9% of New Residential’s Non-Agency RMBS, the ranges and weighted averages 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 $ 1,005,951 1.55% to 15.00% (4.63%) 1.5% to 25% (14.29%) 0.15% to 6% (0.48%) 20% to 80% (35.54%) (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. (C) Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. The following table summarizes certain information regarding the ranges and weighted averages of 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 Acquired Loans $ 1,075,996 4.5% - 6.0% 0.0% - 15.0% 1.6% - 7.1% 28.7% - 100.0% Originated Loans 29,014 6.0% 15.0% 1.6% 100.0% Residential Mortgage Loans Held-for-Sale, at Fair Value $ 1,105,010 The following table summarizes certain information regarding the ranges and weighted averages of 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 $ 750,332 4.1% - 10.0% 2.0% - 20.0% 2.4% - 20.0% 20.0% - 43.1% The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Consumer Loans, Held-for-Investment, at Fair Value $ 766,462 8.5% - 10.7% (8.5%) 17.7% - 29.3% (17.8%) 5.6% - 17.7% (5.7%) 83.4% - 90.2% (83.4%) The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of initial servicing rights (bps) IRLCs (net) $ 163,945 60% to 100% (81.14%) 0.58 to 237 (86.05) The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Mortgage-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage-Backed Securities Issued $ 258,806 4.0% - 5.3% 3.2% - 15.0% 0.0% - 3.3% 10.0% - 40.0% |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs 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) June 30, 2020 .8% - 1.5% (1.5%) 8.6% - 9.1% (9.1%) 7.4% - 9.0% (9.0%) 16.8 - 19.7 (19.7) bps 5.3% - 5.8% (5.3%) 22.5 - 22.6 (22.5) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.7 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 Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2020: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 190,427 4.5% - 9.5% 2.7 - 5.0 4.3% - 15.0% 1.6% - 16.2% 0.0% - 100.0% Non-Performing Loans 496,680 4.5% - 7.9% 2.6 - 4.4 2.0% - 7.0% 2.9% - 6.6% 0.0% - 30.0% Total/Weighted Average $ 687,107 6.8% 3.8 3.6% 4.3% 31.5% (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. |
CONSOLIDATED VARIABLE INTERES_2
CONSOLIDATED VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The following table is comprised of bonds retained pursuant to required risk retention regulations that are recognized as true sales under GAAP including SAFT 2013-1: Six Months Ended 2020 2019 Residential mortgage loan UPB $ 14,779,498 $ 9,881,506 Weighted average delinquency (A) 3.15 % 1.95 % Net credit losses $ 28,874 $ 6,687 Face amount of debt held by third parties (B) $ 12,817,104 $ 8,896,238 Carrying value of bonds retained by New Residential (C) (D) $ 1,692,841 $ 1,154,989 Cash flows received by New Residential on these bonds $ 151,852 $ 126,787 (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. (D) Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 12 for details on unobservable inputs. The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on New Residential’s consolidated balance sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Total June 30, 2020 Assets Servicer advance investments, at fair value $ 544,204 $ — $ — $ — $ 544,204 Residential mortgage loans, held-for-investment, at fair value — — 417,560 — 417,560 Consumer loans, held-for-investment, at fair value — — — 761,525 761,525 Cash and cash equivalents 36,878 28,783 — — 65,661 Restricted cash 5,331 — — 8,565 13,896 Other assets 6 8,501 350 10,809 19,666 Total Assets $ 586,419 $ 37,284 $ 417,910 $ 780,899 $ 1,822,512 Liabilities Notes and bonds payable (A) $ 433,635 $ — $ 258,807 $ 720,690 $ 1,413,132 Accrued expenses and other liabilities 2,104 6,229 — 4,008 12,341 Total Liabilities $ 435,739 $ 6,229 $ 258,807 $ 724,698 $ 1,425,473 December 31, 2019 Assets Servicer advance investments, at fair value $ 565,271 $ — $ — $ — $ 565,271 Residential mortgage loans, held-for-investment, at fair value — — 913,030 — 913,030 Consumer loans, held-for-investment — — — 818,943 818,943 Cash and cash equivalents 30,065 23,802 — — 53,867 Restricted cash 5,350 — — 9,073 14,423 Other assets 2,414 3,556 — 12,409 18,379 Total Assets $ 603,100 $ 27,358 $ 913,030 $ 840,425 $ 2,383,913 Liabilities Notes and bonds payable (A) $ 433,300 $ — $ 659,738 $ 820,658 $ 1,913,696 Accrued expenses and other liabilities 1,593 4,187 10,132 4,126 20,038 Total Liabilities $ 434,893 $ 4,187 $ 669,870 $ 824,784 $ 1,933,734 (A) The creditors of the VIEs do not have recourse to the general credit of New Residential, and the assets of the VIEs are not directly available to satisfy New Residential’s obligations. |
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows: June 30, 2020 December 31, 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 150,680 $ 31,055 $ 87,343 $ 168,207 $ 23,171 $ 46,510 Others’ ownership interest 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 40,333 $ 15,186 $ 41,162 $ 45,025 $ 11,354 $ 22,171 Others’ interests in the New Residential’s net income (loss) is computed as follows: Three Months Ended June 30, 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ 32,092 $ 9,037 $ 55,119 $ 1,235 $ 3,182 $ 10,859 Others’ ownership interest as a percent of total 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ 8,591 $ 4,419 $ 25,630 $ 331 $ 1,543 $ 5,049 (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended June 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer Advance Investments. Six Months Ended June 30, 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ (9,923) $ 11,660 $ 41,789 $ 10,390 $ 3,980 $ 26,900 Others’ ownership interest as a percent of total 26.8 % 48.9 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ (2,656) $ 5,702 $ 19,432 $ 2,782 $ 1,950 $ 12,509 (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the six months ended June 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer Advance Investments. |
EQUITY AND EARNINGS PER SHARE (
EQUITY AND EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Equity and Earnings Per Share [Abstract] | |
Schedule of ATM Program Activity | The following table summarizes the Company’s ATM Program activity: Quarter Ended Number of Common shares Average price per share Gross Proceeds Fees Net Proceeds March 31, 2020 (A) 97,394 $ 17.06 $ 1,662 $ 12 $ 1,650 June 30, 2020 — $ — $ — $ — $ — |
Schedule of Preferred Shares | The table below summarizes Preferred Shares: Dividends Declared per Share Series Number of Shares Liquidation Preference Issuance Discount Carrying Value Three Months Ended Six Months Ended Fixed-to-floating rate cumulative redeemable preferred: Preferred Series A, 7.50% Issued July 2019 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.94 Preferred Series B, 7.125% Issued August 2019 11,300 282,500 3.15 % 273,418 $ 0.45 $ 0.89 Preferred Series C, 6.375% Issued February 2020 16,100 402,500 3.15 % 389,548 $ 0.40 $ 0.80 Total 33,610 $ 840,250 $ 812,992 |
Schedule of Dividends Declared | Common dividends have been declared as follows: Per Share Declaration Date Payment Date Quarterly Dividend Total Amounts Distributed (millions) March 31, 2020 April 2020 $ 0.05 $ 20.8 June 22, 2020 July 2020 $ 0.10 $ — |
Schedule of Warrants | The table below summarizes the 2020 Warrants at June 30, 2020: Number of Warrants Weighted Average Exercise Price (per share) December 31, 2019 outstanding warrants — $ — Granted 43.4 6.91 Exercised — — Expired — — June 30, 2020 outstanding warrants 43.4 $ 6.91 |
Summary of Outstanding Options | As of June 30, 2020, New Residential’s outstanding options were summarized as follows: Held by the Manager 10,860,706 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 3,560,949 Issued to the independent directors 7,000 Total 14,428,655 The following table summarizes New Residential’s outstanding options as of June 30, 2020. The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended June 30, 2020 was $7.43 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of Directors Various 7,000 7,000 $ 13.57 $ — Manager (C) 2017 1,130,916 1,130,916 13.95 — Manager (C) 2018 5,320,000 4,156,548 16.66 — Manager (C) 2019 6,351,000 3,057,700 16.15 — Manager (C) 2020 1,619,739 215,965 17.41 — Outstanding 14,428,655 8,568,129 (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 2018 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 Total Unexercised 2017 $13.95 1,130,916 2018 $16.54 to $18.01 1,159,833 2019 $15.13 to $16.67 1,270,200 Total 3,560,949 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2019 outstanding options 12,808,916 Options granted 1,619,739 $ 17.41 Options exercised — — Options expired unexercised — — June 30, 2020 outstanding options 14,428,655 See table above |
Schedule of Basic and Diluted Earnings Per Share | The following table summarizes the basic and diluted earnings per share calculations: Three Months Ended Six Months Ended 2020 2019 2020 2019 Net income (loss) $ 44,129 $ (25,020) $ (1,563,126) $ 130,892 Noncontrolling interests in income of consolidated subsidiaries 38,640 6,923 22,478 17,241 Dividends on preferred stock 14,357 — 25,579 — Net income (loss) attributable to common stockholders $ (8,868) $ (31,943) $ (1,611,183) $ 113,651 Basic weighted average shares of common stock outstanding 415,661,782 415,463,757 415,625,468 401,946,938 Dilutive effect of stock options (A) — — — 292,500 Dilutive effect of common stock purchase warrants (A) — — — — Diluted weighted average shares of common stock outstanding 415,661,782 415,463,757 415,625,468 402,239,438 Basic earnings per share attributable to common stockholders $ (0.02) $ (0.08) $ (3.88) $ 0.28 Diluted earnings per share attributable to common stockholders $ (0.02) $ (0.08) $ (3.88) $ 0.28 (A) Stock options and common stock purchase warrants that could potentially dilute basic earnings per share in the future were not included in the computation of diluted earnings per share for the periods where a loss has been recorded because they would have been anti-dilutive for the period presented. The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Three Months Ended Six Months Ended 2020 2019 2020 2019 Stock options — 201,703 — — Common stock purchase warrants 641,708 — 3,419,938 — |
Schedule of Antidilutive Securities Excluded from Computation of Earnings Per Share | The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Three Months Ended Six Months Ended 2020 2019 2020 2019 Stock options — 201,703 — — Common stock purchase warrants 641,708 — 3,419,938 — |
TRANSACTIONS WITH AFFILIATES _2
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Transactions With Affiliates And Affiliated Entities | |
Schedule of Affiliate Transactions | Due to affiliates is composed of the following amounts: June 30, 2020 December 31, 2019 Management fees $ 14,991 $ 7,076 Incentive compensation — 91,892 Expense reimbursements and other 1,903 4,914 Total $ 16,894 $ 103,882 Affiliate expenses and fees were composed of: Three Months Ended Six Months Ended 2020 2019 2020 2019 Management fees $ 22,479 $ 19,623 $ 44,200 $ 37,583 Incentive compensation — — — 12,958 Expense reimbursements (A) 125 125 250 250 Total $ 22,604 $ 19,748 $ 44,450 $ 50,791 (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) | 6 Months Ended |
Jun. 30, 2020 | |
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 Six Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2020 2019 2020 2019 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ (6,669) $ (41,023) $ (761,209) $ (106,219) Reclassification of net realized (gain) loss on securities into earnings Provision (reversal) for credit losses on securities (25,134) 8,859 19,015 16,375 Total reclassifications $ (31,803) $ (32,164) $ (742,194) $ (89,844) |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax expense (benefit) consists of the following: Three Months Ended Six Months Ended 2020 2019 2020 2019 Current: Federal $ (7,877) $ — $ (7,877) $ (413) State and Local 9 22 58 101 Total Current Income Tax Expense (Benefit) (7,868) 22 (7,819) (312) Deferred: Federal 20,304 (16,999) (107,221) 20,147 State and Local 4,973 (4,600) (34,419) 4,585 Total Deferred Income Tax Expense (Benefit) 25,277 (21,599) (141,640) 24,732 Total Income Tax (Benefit) Expense $ 17,409 $ (21,577) $ (149,459) $ 24,420 |
ORGANIZATION AND BASIS OF PRE_3
ORGANIZATION AND BASIS OF PRESENTATION (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2019 | Jun. 30, 2020 |
Related Party Transaction [Line Items] | |||
Common stock, shares outstanding (in shares) | 415,520,780 | 415,520,780 | 415,744,518 |
Number of options (in shares) | 14,428,655 | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Accounting Standards Update [Extensible List] | us-gaap:AccountingStandardsUpdate201613Member | us-gaap:AccountingStandardsUpdate201613Member | |
Adjustment to retained earnings | $ 549,733 | $ 549,733 | $ (1,110,148) |
Fortress-managed funds | |||
Related Party Transaction [Line Items] | |||
Common stock, shares outstanding (in shares) | 2,400,000 | ||
Number of options (in shares) | 10,900,000 | ||
Cumulative Effect, Period of Adoption, Adjustment | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Adjustment to retained earnings | 13,700 | 13,700 | |
Increase attributable to the change in fair value of residential mortgage loans | 19,700 | 19,700 | |
Decrease attributable to the change in fair value of residential mortgage loans | $ 6,000 | $ 6,000 |
OTHER INCOME (LOSS), GENERAL _3
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of Change in Fair Value of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Other Income and Expenses [Abstract] | ||||
Change in fair value of investments in excess mortgage servicing rights | $ (85) | $ (8,455) | $ (11,109) | $ (3,828) |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | (2,052) | (3,276) | (2,509) | (664) |
Change in fair value of investments in mortgage servicing rights financing receivables | (121,520) | (55,411) | (225,631) | (91,790) |
Change in fair value of servicer advance investments | 16,037 | 1,388 | (2,712) | 9,291 |
Change in fair value of real estate and other securities | 58,598 | 7,385 | (28,194) | 14,064 |
Change in fair value of residential mortgage loans | 99,998 | 72,393 | (165,246) | 81,607 |
Change in fair value of investments in consumer loans held-for-investment | 30,694 | 0 | (9,223) | 0 |
Change in fair value of derivative instruments | 21,106 | (40,666) | (18,876) | (66,426) |
Change in fair value of investments | $ 102,776 | $ (26,642) | $ (463,500) | $ (57,746) |
OTHER INCOME (LOSS), GENERAL _4
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of Gain (Loss) on Settlement of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Gain on Settlement of Investments, Net | ||||
Gain (loss) on sale of real estate securities | $ (6,669) | $ 41,023 | $ (761,209) | $ 106,219 |
Gain (loss) on sale of acquired residential mortgage loans, net | (47,330) | 6,575 | (12,094) | 9,757 |
Gain (loss) on settlement of derivatives | (25,195) | (45,201) | (109,907) | (138,277) |
Gain (loss) on liquidated residential mortgage loans | 3,220 | (633) | 2,381 | (3,122) |
Gain (loss) on sale of REO | 443 | (4,551) | 1,616 | (6,276) |
Other gains (losses) | 565 | 8,363 | 4,675 | (5,586) |
Gain (loss) on settlement of investments, net | $ (74,966) | $ 5,576 | $ (874,538) | $ (37,285) |
OTHER INCOME (LOSS), GENERAL _5
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Other income (loss), net | ||||
Unrealized gain (loss) on notes and bonds payable | $ (10,856) | $ (1,464) | $ 6,146 | $ (2,601) |
Unrealized gain (loss) on contingent consideration | (2,257) | (2,682) | (3,871) | (4,727) |
Unrealized gain (loss) on equity investments | (2,674) | (86) | (47,697) | (159) |
Gain (loss) on transfer of loans to REO | 1,712 | 1,600 | 4,307 | 6,584 |
Gain (loss) on transfer of loans to other assets | (20) | 244 | (261) | (277) |
Gain (loss) on Excess MSR recapture agreements | 562 | 935 | 1,190 | 1,242 |
Gain (loss) on Ocwen common stock | 929 | 1,451 | (4,121) | 4,237 |
Provision for servicing losses | (11,249) | (285) | (16,030) | (926) |
Rental and ancillary revenue | 20,112 | 0 | 39,719 | 0 |
Other income (loss) | 534 | (1,940) | (19,402) | 88 |
Total other income (loss), net | $ (3,207) | $ (2,227) | $ (40,020) | $ 3,461 |
OTHER INCOME (LOSS), GENERAL _6
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of General and Administrative Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Schedule Of Other Income [Line Items] | ||||
Legal and professional expense | $ 15,552 | $ 16,618 | $ 41,589 | $ 29,910 |
Loan origination expense | 23,635 | 14,198 | 46,035 | 24,467 |
Occupancy expense | 8,775 | 4,786 | 16,839 | 8,965 |
Other | 36,765 | 14,483 | 74,008 | 29,072 |
General and Administrative Expense | 217,373 | 118,906 | 423,736 | 217,846 |
Servicing | ||||
Schedule Of Other Income [Line Items] | ||||
Compensation and benefits expense | 59,498 | 29,480 | 110,839 | 54,781 |
Origination | ||||
Schedule Of Other Income [Line Items] | ||||
Compensation and benefits expense | $ 73,148 | $ 39,341 | $ 134,426 | $ 70,651 |
OTHER INCOME (LOSS), GENERAL _7
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Other Assets | |||
Margin receivable, net | $ 45,527 | $ 280,176 | |
Servicing fee receivables | 145,135 | 159,607 | |
Due from servicers | 93,108 | 163,961 | |
Principal and interest receivable | 45,566 | 85,191 | |
Equity investment | 66,859 | 114,763 | |
Other receivables | 99,190 | 117,045 | |
Real Estate Owned | 68,618 | 93,672 | |
Single-family rental properties | 26,193 | 24,133 | |
Goodwill | 29,468 | 29,737 | |
Notes Receivable | 47,318 | 37,001 | |
Warrants, at fair value | 23,009 | 28,042 | |
Recovery asset | 17,092 | 23,100 | |
Property and equipment | 23,419 | 18,018 | |
Receivable from government agency | 15,971 | 19,670 | |
Intangible assets | 36,002 | 40,963 | |
Prepaid expenses | 24,236 | 19,249 | |
Operating lease right-of-use asset | 29,794 | 32,120 | |
Derivative assets (Note 10) | 166,613 | 41,501 | |
Ocwen common stock, at fair value | 3,831 | 7,952 | |
Deferred tax asset, net | 148,746 | 8,669 | |
Other assets | 38,362 | 51,230 | |
Other Assets | 1,194,057 | 1,395,800 | |
Accrued Expenses and Other Liabilities | |||
MSR purchase price holdback | 44,495 | 75,348 | |
Interest payable | 35,524 | 68,668 | |
Accounts payable | 109,434 | 119,771 | |
Derivative liabilities (Note 10) | 24,936 | 6,885 | |
Due to servicers | 70,477 | 88,645 | |
Due to Agencies | 42,118 | 39,201 | |
Contingent Consideration | 57,149 | 55,222 | |
Accrued compensation and benefits | 51,728 | 41,228 | |
Excess spread financing, at fair value | 22,059 | 31,777 | |
Operating lease liabilities | 35,165 | 38,520 | |
Reserve for sales recourse | 11,560 | 12,549 | |
Reserve for servicing losses | 16,030 | 0 | |
Other liabilities | 11,574 | 22,976 | |
Accrued Expenses and Other Liabilities | [1] | $ 532,249 | $ 600,790 |
[1] | See Note 13 regarding consolidated VIEs. |
OTHER INCOME (LOSS), GENERAL _8
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Accretion and other amortization: | ||
Accretion of net discount on securities and loans | $ 62,791 | $ 235,003 |
Accretion of servicer advances receivable discount and servicer advance investments | 13,464 | 12,957 |
Accretion of excess mortgage servicing rights income | 12,582 | 11,830 |
Amortization of deferred financing costs | (5,992) | (1,925) |
Accretion of loan discount and premium amortization, net | 80,990 | 256,955 |
Notes Payable | ||
Accretion and other amortization: | ||
Amortization of discount on notes and bonds payable | (246) | (910) |
Term Loan | ||
Accretion and other amortization: | ||
Amortization of discount on notes and bonds payable | $ (1,609) | $ 0 |
OTHER INCOME (LOSS), GENERAL _9
OTHER INCOME (LOSS), GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES - Real Estate Owned (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Real Estate Owned [Roll Forward] | |
Beginning balance | $ 93,672 |
Purchases | 3,910 |
Transfer of loans to real estate owned | 28,197 |
Sales | (55,791) |
Valuation (provision) reversal on REO | (1,370) |
Ending balance | 68,618 |
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 | 15,000 |
Residential Mortgage | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 460,900 |
SEGMENT REPORTING (Details)
SEGMENT REPORTING (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Segment Reporting Information [Line Items] | ||||||||
Interest income | $ 232,198 | $ 416,047 | $ 634,571 | $ 854,914 | ||||
Servicing revenue, net | (90,459) | (85,537) | (379,574) | 80,316 | ||||
Gain on originated mortgage loans, held-for-sale, net | 310,022 | 101,018 | 489,720 | 168,188 | ||||
Revenues | 451,761 | 431,528 | 744,717 | 1,103,418 | ||||
Operating expenses | 436,536 | 429,867 | 956,309 | 823,086 | ||||
Other income (loss) | 24,603 | (25,947) | (1,378,058) | (89,913) | ||||
Impairment | (21,710) | 22,311 | 122,935 | 35,107 | ||||
Income (loss) before income taxes | 61,538 | (46,597) | (1,712,585) | 155,312 | ||||
Income tax expense (benefit) | 17,409 | (21,577) | (149,459) | 24,420 | ||||
Net income (loss) | 44,129 | (25,020) | (1,563,126) | 130,892 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 38,640 | 6,923 | 22,478 | 17,241 | ||||
Dividends on Preferred Stock | 14,357 | 0 | 25,579 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | (8,868) | (31,943) | (1,611,183) | 113,651 | ||||
Investments | 17,314,600 | 17,314,600 | ||||||
Cash and cash equivalents | 1,013,208 | 1,013,208 | ||||||
Restricted cash | 138,932 | 138,932 | $ 162,197 | |||||
Other assets | 5,255,941 | 5,255,941 | ||||||
Goodwill | 29,468 | 29,468 | 29,737 | |||||
Total assets | 23,752,149 | 23,752,149 | 44,863,454 | |||||
Debt | 16,584,343 | 16,584,343 | ||||||
Other liabilities | 1,778,834 | 1,778,834 | ||||||
Total liabilities | 18,363,177 | 18,363,177 | 37,627,194 | |||||
Total equity | 5,388,972 | 6,800,830 | 5,388,972 | 6,800,830 | $ 5,330,464 | 7,236,260 | $ 6,912,209 | $ 6,088,295 |
Noncontrolling interests in equity of consolidated subsidiaries | 96,681 | 96,681 | 78,550 | |||||
Total New Residential stockholders’ equity | 5,292,291 | 5,292,291 | $ 7,157,710 | |||||
Investments in equity method investees | 147,017 | 147,017 | ||||||
Operating | Servicing and Origination | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 118,464 | 147,416 | 242,039 | 279,216 | ||||
Servicing revenue, net | (90,459) | (85,537) | (379,574) | 80,316 | ||||
Gain on originated mortgage loans, held-for-sale, net | 311,871 | 76,074 | 483,058 | 127,400 | ||||
Revenues | 339,876 | 137,953 | 345,523 | 486,932 | ||||
Operating expenses | 334,195 | 234,217 | 654,045 | 427,545 | ||||
Other income (loss) | (90,275) | (67,437) | (246,725) | (88,243) | ||||
Impairment | (91) | 0 | (91) | 0 | ||||
Income (loss) before income taxes | (84,503) | (163,701) | (555,156) | (28,856) | ||||
Income tax expense (benefit) | 14,475 | (54,244) | (77,307) | (14,870) | ||||
Net income (loss) | (98,978) | (109,457) | (477,849) | (13,986) | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 13,010 | 1,874 | 3,046 | 4,732 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | (111,988) | (111,331) | (480,895) | (18,718) | ||||
Investments | 7,789,588 | 7,789,588 | ||||||
Cash and cash equivalents | 604,967 | 604,967 | ||||||
Restricted cash | 95,632 | 95,632 | ||||||
Other assets | 3,594,745 | 3,594,745 | ||||||
Goodwill | 29,468 | 29,468 | ||||||
Total assets | 12,114,400 | 12,114,400 | ||||||
Debt | 7,998,064 | 7,998,064 | ||||||
Other liabilities | 466,639 | 466,639 | ||||||
Total liabilities | 8,464,703 | 8,464,703 | ||||||
Total equity | 3,649,697 | 3,649,697 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 55,519 | 55,519 | ||||||
Total New Residential stockholders’ equity | 3,594,178 | 3,594,178 | ||||||
Investments in equity method investees | 147,017 | 147,017 | ||||||
Operating | Consumer Loans | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 32,787 | 43,839 | 67,659 | 88,244 | ||||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||||
Gain on originated mortgage loans, held-for-sale, net | 0 | 0 | 0 | 0 | ||||
Revenues | 32,787 | 43,839 | 67,659 | 88,244 | ||||
Operating expenses | 9,918 | 15,834 | 20,468 | 32,456 | ||||
Other income (loss) | 29,984 | (12,204) | (10,767) | (7,673) | ||||
Impairment | 0 | 7,652 | 0 | 18,736 | ||||
Income (loss) before income taxes | 52,853 | 8,149 | 36,424 | 29,379 | ||||
Income tax expense (benefit) | 16 | 179 | 131 | 258 | ||||
Net income (loss) | 52,837 | 7,970 | 36,293 | 29,121 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 25,630 | 5,049 | 19,432 | 12,509 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | 27,207 | 2,921 | 16,861 | 16,612 | ||||
Investments | 766,462 | 766,462 | ||||||
Cash and cash equivalents | 7,477 | 7,477 | ||||||
Restricted cash | 32,041 | 32,041 | ||||||
Other assets | 60,095 | 60,095 | ||||||
Goodwill | 0 | 0 | ||||||
Total assets | 866,075 | 866,075 | ||||||
Debt | 722,839 | 722,839 | ||||||
Other liabilities | 3,916 | 3,916 | ||||||
Total liabilities | 726,755 | 726,755 | ||||||
Total equity | 139,320 | 139,320 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 41,162 | 41,162 | ||||||
Total New Residential stockholders’ equity | 98,158 | 98,158 | ||||||
Investments in equity method investees | 0 | 0 | ||||||
Eliminations | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 0 | 0 | 0 | 0 | ||||
Servicing revenue, net | (61,726) | (20,778) | (85,918) | (26,913) | ||||
Gain on originated mortgage loans, held-for-sale, net | (3,561) | (10,218) | (12,936) | (19,303) | ||||
Revenues | (65,287) | (30,996) | (98,854) | (46,216) | ||||
Operating expenses | (61,726) | (20,778) | (85,918) | (26,913) | ||||
Other income (loss) | 0 | 0 | 0 | 0 | ||||
Impairment | 0 | 0 | 0 | 0 | ||||
Income (loss) before income taxes | (3,561) | (10,218) | (12,936) | (19,303) | ||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||||
Net income (loss) | (3,561) | (10,218) | (12,936) | (19,303) | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | (3,561) | (10,218) | (12,936) | (19,303) | ||||
Investments | 0 | 0 | ||||||
Cash and cash equivalents | 0 | 0 | ||||||
Restricted cash | 0 | 0 | ||||||
Other assets | 0 | 0 | ||||||
Goodwill | 0 | 0 | ||||||
Total assets | 0 | 0 | ||||||
Debt | 0 | 0 | ||||||
Other liabilities | 0 | 0 | ||||||
Total liabilities | 0 | 0 | ||||||
Total equity | 0 | 0 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||||
Total New Residential stockholders’ equity | 0 | 0 | ||||||
Investments in equity method investees | 0 | 0 | ||||||
Corporate | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 0 | 0 | 0 | 0 | ||||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||||
Gain on originated mortgage loans, held-for-sale, net | 0 | 0 | 0 | 0 | ||||
Revenues | 0 | 0 | 0 | 0 | ||||
Operating expenses | 37,651 | 23,466 | 64,632 | 59,075 | ||||
Other income (loss) | 381 | 2,992 | (46,769) | 5,704 | ||||
Impairment | 0 | 0 | 0 | 0 | ||||
Income (loss) before income taxes | (37,270) | (20,474) | (111,401) | (53,371) | ||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||||
Net income (loss) | (37,270) | (20,474) | (111,401) | (53,371) | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||||
Dividends on Preferred Stock | 14,357 | 0 | 25,579 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | (51,627) | (20,474) | (136,980) | (53,371) | ||||
Investments | 0 | 0 | ||||||
Cash and cash equivalents | 269,983 | 269,983 | ||||||
Restricted cash | 0 | 0 | ||||||
Other assets | 27,315 | 27,315 | ||||||
Goodwill | 0 | 0 | ||||||
Total assets | 297,298 | 297,298 | ||||||
Debt | 533,383 | 533,383 | ||||||
Other liabilities | 68,942 | 68,942 | ||||||
Total liabilities | 602,325 | 602,325 | ||||||
Total equity | (305,027) | (305,027) | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||||
Total New Residential stockholders’ equity | (305,027) | (305,027) | ||||||
Investments in equity method investees | 0 | 0 | ||||||
Origination | Operating | Servicing and Origination | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 8,963 | 9,280 | 25,698 | 14,864 | ||||
Servicing revenue, net | (1,998) | (397) | (3,076) | (667) | ||||
Gain on originated mortgage loans, held-for-sale, net | 281,937 | 73,943 | 440,152 | 124,755 | ||||
Revenues | 288,902 | 82,826 | 462,774 | 138,952 | ||||
Operating expenses | 108,129 | 64,404 | 221,768 | 115,925 | ||||
Other income (loss) | 390 | (102) | 374 | 957 | ||||
Impairment | 0 | 0 | 0 | 0 | ||||
Income (loss) before income taxes | 181,163 | 18,320 | 241,380 | 23,984 | ||||
Income tax expense (benefit) | 20,083 | 10,810 | 32,041 | 12,359 | ||||
Net income (loss) | 161,080 | 7,510 | 209,339 | 11,625 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 4,419 | 1,543 | 5,702 | 1,950 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | 156,661 | 5,967 | 203,637 | 9,675 | ||||
Investments | 1,750,568 | 1,750,568 | ||||||
Cash and cash equivalents | 159,242 | 159,242 | ||||||
Restricted cash | 3,224 | 3,224 | ||||||
Other assets | 231,088 | 231,088 | ||||||
Goodwill | 11,836 | 11,836 | ||||||
Total assets | 2,155,958 | 2,155,958 | ||||||
Debt | 1,607,829 | 1,607,829 | ||||||
Other liabilities | 201,530 | 201,530 | ||||||
Total liabilities | 1,809,359 | 1,809,359 | ||||||
Total equity | 346,599 | 346,599 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 15,186 | 15,186 | ||||||
Total New Residential stockholders’ equity | 331,413 | 331,413 | ||||||
Investments in equity method investees | 0 | 0 | ||||||
Servicing | Operating | Servicing and Origination | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 1,115 | 8,151 | 8,602 | 14,334 | ||||
Servicing revenue, net | 96,885 | 48,563 | 183,627 | 92,084 | ||||
Gain on originated mortgage loans, held-for-sale, net | 343 | 244 | 602 | 333 | ||||
Revenues | 98,343 | 56,958 | 192,831 | 106,751 | ||||
Operating expenses | 74,018 | 40,632 | 138,566 | 76,952 | ||||
Other income (loss) | 0 | 0 | 499 | 0 | ||||
Impairment | 0 | 0 | 0 | 0 | ||||
Income (loss) before income taxes | 24,325 | 16,326 | 54,764 | 29,799 | ||||
Income tax expense (benefit) | 1,224 | 11,669 | 7,269 | 15,355 | ||||
Net income (loss) | 23,101 | 4,657 | 47,495 | 14,444 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | 23,101 | 4,657 | 47,495 | 14,444 | ||||
Investments | 0 | 0 | ||||||
Cash and cash equivalents | 83,066 | 83,066 | ||||||
Restricted cash | 5,209 | 5,209 | ||||||
Other assets | 197,243 | 197,243 | ||||||
Goodwill | 12,540 | 12,540 | ||||||
Total assets | 298,058 | 298,058 | ||||||
Debt | 6,669 | 6,669 | ||||||
Other liabilities | 55,774 | 55,774 | ||||||
Total liabilities | 62,443 | 62,443 | ||||||
Total equity | 235,615 | 235,615 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||||
Total New Residential stockholders’ equity | 235,615 | 235,615 | ||||||
Investments in equity method investees | 0 | 0 | ||||||
MSR Related Investments | Operating | Servicing and Origination | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 108,386 | 129,985 | 207,739 | 250,018 | ||||
Servicing revenue, net | (123,620) | (112,925) | (474,207) | 15,812 | ||||
Gain on originated mortgage loans, held-for-sale, net | 33,152 | 12,105 | 55,240 | 21,615 | ||||
Revenues | 17,918 | 29,165 | (211,228) | 287,445 | ||||
Operating expenses | 213,774 | 149,959 | 379,629 | 261,581 | ||||
Other income (loss) | (90,665) | (67,335) | (247,598) | (89,200) | ||||
Impairment | (91) | 0 | (91) | 0 | ||||
Income (loss) before income taxes | (286,430) | (188,129) | (838,364) | (63,336) | ||||
Income tax expense (benefit) | (6,832) | (76,723) | (116,617) | (42,584) | ||||
Net income (loss) | (279,598) | (111,406) | (721,747) | (20,752) | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 8,591 | 331 | (2,656) | 2,782 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | (288,189) | (111,737) | (719,091) | (23,534) | ||||
Investments | 6,039,020 | 6,039,020 | ||||||
Cash and cash equivalents | 362,659 | 362,659 | ||||||
Restricted cash | 87,199 | 87,199 | ||||||
Other assets | 3,166,414 | 3,166,414 | ||||||
Goodwill | 5,092 | 5,092 | ||||||
Total assets | 9,660,384 | 9,660,384 | ||||||
Debt | 6,383,566 | 6,383,566 | ||||||
Other liabilities | 209,335 | 209,335 | ||||||
Total liabilities | 6,592,901 | 6,592,901 | ||||||
Total equity | 3,067,483 | 3,067,483 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 40,333 | 40,333 | ||||||
Total New Residential stockholders’ equity | 3,027,150 | 3,027,150 | ||||||
Investments in equity method investees | 147,017 | 147,017 | ||||||
Real Estate Securities | Operating | Residential Securities and Loans | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 33,663 | 168,489 | 217,668 | 372,962 | ||||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||||
Gain on originated mortgage loans, held-for-sale, net | 0 | 0 | 0 | 0 | ||||
Revenues | 33,663 | 168,489 | 217,668 | 372,962 | ||||
Operating expenses | 18,023 | 107,765 | 132,886 | 210,254 | ||||
Other income (loss) | 47,837 | (37,446) | (918,202) | (84,404) | ||||
Impairment | (25,134) | 8,859 | 19,015 | 16,375 | ||||
Income (loss) before income taxes | 88,611 | 14,419 | (852,435) | 61,929 | ||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||||
Net income (loss) | 88,611 | 14,419 | (852,435) | 61,929 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | 88,611 | 14,419 | (852,435) | 61,929 | ||||
Investments | 6,144,236 | 6,144,236 | ||||||
Cash and cash equivalents | 111,571 | 111,571 | ||||||
Restricted cash | 11,259 | 11,259 | ||||||
Other assets | 217,354 | 217,354 | ||||||
Goodwill | 0 | 0 | ||||||
Total assets | 6,484,420 | 6,484,420 | ||||||
Debt | 5,314,581 | 5,314,581 | ||||||
Other liabilities | 119,506 | 119,506 | ||||||
Total liabilities | 5,434,087 | 5,434,087 | ||||||
Total equity | 1,050,333 | 1,050,333 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||||
Total New Residential stockholders’ equity | 1,050,333 | 1,050,333 | ||||||
Investments in equity method investees | 0 | 0 | ||||||
Residential Mortgage Loans | Operating | Residential Securities and Loans | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 47,284 | 56,303 | 107,205 | 114,492 | ||||
Servicing revenue, net | 0 | 0 | 0 | 0 | ||||
Gain on originated mortgage loans, held-for-sale, net | (1,849) | 24,944 | 6,662 | 40,788 | ||||
Revenues | 45,435 | 81,247 | 113,867 | 155,280 | ||||
Operating expenses | 36,749 | 48,585 | 84,278 | 93,756 | ||||
Other income (loss) | 36,676 | 88,148 | (155,595) | 84,703 | ||||
Impairment | 3,515 | 5,800 | 104,011 | (4) | ||||
Income (loss) before income taxes | 41,847 | 115,010 | (230,017) | 146,231 | ||||
Income tax expense (benefit) | 2,918 | 32,488 | (72,283) | 39,032 | ||||
Net income (loss) | 38,929 | 82,522 | (157,734) | 107,199 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | ||||
Dividends on Preferred Stock | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) Attributable to Common Stockholders | 38,929 | $ 82,522 | (157,734) | $ 107,199 | ||||
Investments | 2,614,314 | 2,614,314 | ||||||
Cash and cash equivalents | 19,210 | 19,210 | ||||||
Restricted cash | 0 | 0 | ||||||
Other assets | 1,356,432 | 1,356,432 | ||||||
Goodwill | 0 | 0 | ||||||
Total assets | 3,989,956 | 3,989,956 | ||||||
Debt | 2,015,476 | 2,015,476 | ||||||
Other liabilities | 1,119,831 | 1,119,831 | ||||||
Total liabilities | 3,135,307 | 3,135,307 | ||||||
Total equity | 854,649 | 854,649 | ||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | ||||||
Total New Residential stockholders’ equity | 854,649 | 854,649 | ||||||
Investments in equity method investees | $ 0 | $ 0 |
INVESTMENTS IN EXCESS MORTGAG_3
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Schedule of (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Servicing Assets at Fair Value [Line Items] | ||
Mortgage servicing rights, at fair value | $ 5,021,086 | $ 5,686,233 |
Excess MSRs And Excess Mortgage Servicing Rights Investees | ||
Servicing Assets at Fair Value [Line Items] | ||
Mortgage servicing rights, at fair value | 458,923 | 505,343 |
Excess MSRs | ||
Servicing Assets at Fair Value [Line Items] | ||
Mortgage servicing rights, at fair value | 346,450 | 379,747 |
Excess MSRs Investees | ||
Servicing Assets at Fair Value [Line Items] | ||
Mortgage servicing rights, at fair value | $ 112,473 | $ 125,596 |
INVESTMENTS IN EXCESS MORTGAG_4
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | $ 5,686,233 |
Ending balance | 5,021,086 |
Excess MSRs | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 379,747 |
Interest income | 12,582 |
Other income | 1,202 |
Proceeds from repayments | (35,924) |
Proceeds from sales | (48) |
Change in fair value | (11,109) |
Ending balance | 346,450 |
Excess MSRs | Mr. Cooper | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 377,692 |
Interest income | 12,561 |
Other income | 1,202 |
Proceeds from repayments | (35,708) |
Proceeds from sales | (48) |
Change in fair value | (11,184) |
Ending balance | 344,515 |
Excess MSRs | SLS | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 2,055 |
Interest income | 21 |
Other income | 0 |
Proceeds from repayments | (216) |
Proceeds from sales | 0 |
Change in fair value | 75 |
Ending balance | $ 1,935 |
INVESTMENTS IN EXCESS MORTGAG_5
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Direct Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | |||||
Weighted Average Life (Years) | 1 year 2 months 12 days | ||||
Carrying Value | $ 5,021,086 | $ 5,021,086 | $ 5,686,233 | ||
Servicer Advance Investments | Servicer Advances | |||||
Schedule of Equity Method Investments [Line Items] | |||||
UPB of Underlying Mortgages | 28,834,119 | 28,834,119 | 31,442,267 | ||
Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Original and Recaptured Pools | (85) | $ (8,455) | (11,109) | $ (3,828) | |
Excess MSRs | |||||
Schedule of Equity Method Investments [Line Items] | |||||
UPB of Underlying Mortgages | 81,666,625 | $ 81,666,625 | |||
Weighted Average Life (Years) | 6 years 1 month 6 days | ||||
Servicing Asset at Amortized Cost | 281,290 | $ 281,290 | |||
Carrying Value | 346,450 | 346,450 | 379,747 | ||
Excess MSRs | Mr. Cooper | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Carrying Value | 344,515 | 344,515 | 377,692 | ||
Excess MSRs | Original and Recaptured Pools | Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
UPB of Underlying Mortgages | 39,833,663 | $ 39,833,663 | |||
Weighted Average Life (Years) | 5 years 9 months 18 days | ||||
Servicing Asset at Amortized Cost | 162,415 | $ 162,415 | |||
Carrying Value | $ 186,928 | $ 186,928 | 209,633 | ||
Excess MSRs | Original and Recaptured Pools | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 32.50% | 32.50% | |||
Excess MSRs | Original and Recaptured Pools | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 66.70% | 66.70% | |||
Excess MSRs | Original and Recaptured Pools | Original and Recaptured Pools | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 53.30% | 53.30% | |||
Excess MSRs | Original and Recaptured Pools | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 32.50% | 32.50% | |||
Excess MSRs | Original and Recaptured Pools | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 66.70% | 66.70% | |||
Excess MSRs | Original and Recaptured Pools | Recapture Agreement | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 53.30% | 53.30% | |||
Excess MSRs | Original and Recaptured Pools | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Original and Recaptured Pools | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 40.00% | 40.00% | |||
Excess MSRs | Original and Recaptured Pools | Fortress-managed funds | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 20.00% | 20.00% | |||
Excess MSRs | Original and Recaptured Pools | Fortress-managed funds | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 35.00% | 35.00% | |||
Excess MSRs | Original and Recaptured Pools | Mr. Cooper | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 20.00% | 20.00% | |||
Excess MSRs | Original and Recaptured Pools | Mr. Cooper | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 35.00% | 35.00% | |||
Excess MSRs | Original and Recaptured Pools | Mr. Cooper | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 20.00% | 20.00% | |||
Excess MSRs | Original and Recaptured Pools | Mr. Cooper | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 35.00% | 35.00% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
UPB of Underlying Mortgages | $ 41,832,962 | $ 41,832,962 | |||
Weighted Average Life (Years) | 6 years 6 months | ||||
Servicing Asset at Amortized Cost | 118,875 | $ 118,875 | |||
Carrying Value | $ 159,522 | $ 159,522 | $ 170,114 | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 100.00% | 100.00% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 59.40% | 59.40% | |||
Excess MSRs | Non-Agency | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 100.00% | 100.00% | |||
Excess MSRs | Non-Agency | Recapture Agreement | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 59.40% | 59.40% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 50.00% | 50.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Recapture Agreement | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0.00% | 0.00% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Recapture Agreement | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% |
INVESTMENTS IN EXCESS MORTGAG_6
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Narrative (Details) - MSRs | 6 Months Ended |
Jun. 30, 2020 | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 8.20% |
Excess MSRs Investees | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 8.30% |
INVESTMENTS IN EXCESS MORTGAG_7
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Equity | $ 5,388,972 | $ 6,800,830 | $ 5,388,972 | $ 6,800,830 | $ 5,330,464 | $ 7,236,260 | $ 6,912,209 | $ 6,088,295 |
Mortgage servicing rights, at fair value | 5,021,086 | 5,021,086 | 5,686,233 | |||||
Net income (loss) | 44,129 | (25,020) | (1,563,126) | 130,892 | ||||
Excess MSRs Investees | ||||||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Excess MSR assets | 200,650 | 200,650 | 226,843 | |||||
Other assets | 24,983 | 24,983 | 25,035 | |||||
Mortgage servicing rights, at fair value | $ 112,473 | $ 112,473 | $ 125,596 | |||||
New Residential’s ownership | 50.00% | 50.00% | 50.00% | |||||
Interest income | $ 536 | 190 | $ 7,850 | 4,261 | ||||
Other income (loss) | (4,632) | (6,727) | (12,852) | (5,557) | ||||
Expenses | (8) | (15) | (16) | (32) | ||||
Excess MSRs Investees | Equity Method Investment, Nonconsolidated Investee or Group of Investees [Member] | ||||||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Other liabilities | (687) | (687) | $ (687) | |||||
Equity | 224,946 | 224,946 | $ 251,191 | |||||
Net income (loss) | (4,104) | $ (6,552) | (5,018) | $ (1,328) | ||||
MSRs | ||||||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Mortgage servicing rights, at fair value | $ 3,551,159 | $ 3,551,159 |
INVESTMENTS IN EXCESS MORTGAG_8
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Equity Method Investees Changed - Roll Forward (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Distributions of capital from equity method investees | $ 0 | $ (55,848) |
Recurring Basis | ||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Beginning balance | 125,596 | |
Distributions of earnings from equity method investees | (1,172) | |
Distributions of capital from equity method investees | (9,442) | |
Change in fair value of investments in equity method investees | (2,509) | |
Ending balance | $ 112,473 |
INVESTMENTS IN EXCESS MORTGAG_9
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Carrying Value | $ 5,021,086 | $ 5,686,233 |
Weighted Average Life (Years) | 1 year 2 months 12 days | |
Excess MSRs Investees | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
New Residential Interest in Investees | 50.00% | 50.00% |
Carrying Value | $ 112,473 | $ 125,596 |
Excess MSRs Investees | Original and Recaptured Pools | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
New Residential Interest in Investees | 50.00% | |
Excess MSRs Investees | Original and Recaptured Pools | Agency | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 31,923,937 | |
Investee Interest in Excess MSR | 66.70% | |
New Residential Interest in Investees | 50.00% | |
Amortized Cost Basis | $ 156,169 | |
Carrying Value | $ 200,650 | |
Weighted Average Life (Years) | 5 years 7 months 6 days |
INVESTMENTS IN MORTGAGE SERVI_3
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Narrative (Details) - USD ($) $ in Millions | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jan. 01, 2018 | Jul. 23, 2017 | |
Schedule of MSRs [Line Items] | ||||
Subservicer percent of UPB | 38.50% | |||
Reserve for non-recovery advances | $ 19.7 | |||
Ocwen | ||||
Schedule of MSRs [Line Items] | ||||
UPB of Underlying Mortgages | $ 86,800 | $ 110,000 | ||
Mortgage Loans Subserviced | ||||
Schedule of MSRs [Line Items] | ||||
UPB of Underlying Mortgages | 82,700 | $ 51,100 | ||
Subservicing revenue | $ 94.2 | $ 64.7 | ||
PHH Mortgage Corporation | ||||
Schedule of MSRs [Line Items] | ||||
Subservicer percent of UPB | 22.20% | |||
LoanCare | ||||
Schedule of MSRs [Line Items] | ||||
Subservicer percent of UPB | 20.80% | |||
Mr. Cooper | ||||
Schedule of MSRs [Line Items] | ||||
Subservicer percent of UPB | 17.70% | |||
Flagstar Bank | ||||
Schedule of MSRs [Line Items] | ||||
Subservicer percent of UPB | 0.80% | |||
Ocwen | New Residential Mortgage LLC | MSRs | ||||
Schedule of MSRs [Line Items] | ||||
Unpaid principal balance of underlying loans, transferred | $ 66,700 |
INVESTMENTS IN MORTGAGE SERVI_4
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Carrying Value of Investments in MSRs and MSR Financing Receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning balance | $ 5,686,233 | |||
Purchases, net | 461,027 | |||
Originations | 268,098 | |||
Prepayments | (54,591) | |||
Proceeds from sales | (13,509) | |||
Amortization of servicing rights | (629,590) | |||
Change in valuation inputs and assumptions | (702,492) | |||
(Gain) loss on sales | 5,910 | |||
Ending balance | $ 5,021,086 | 5,021,086 | ||
MSRs | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning balance | 3,967,960 | |||
Purchases, net | 456,665 | |||
Originations | 268,098 | |||
Prepayments | (31,222) | |||
Proceeds from sales | (9,801) | $ 0 | ||
Amortization of servicing rights | (483,639) | |||
Change in valuation inputs and assumptions | (624,561) | |||
(Gain) loss on sales | 7,659 | |||
Ending balance | 3,551,159 | 3,551,159 | ||
Mortgage Servicing Rights Financing Receivable | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Ending balance | 1,469,927 | 1,469,927 | ||
New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable | MSRs | ||||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||||
Beginning balance | 1,718,273 | |||
Purchases, net | 4,362 | |||
Originations | 0 | |||
Prepayments | (23,369) | |||
Proceeds from sales | (3,708) | 0 | ||
Amortization of servicing rights | (145,951) | |||
Change in valuation inputs and assumptions | (44,321) | $ (14,850) | (77,931) | (7,912) |
(Gain) loss on sales | 0 | $ (360) | (1,749) | $ (801) |
Ending balance | $ 1,469,927 | $ 1,469,927 |
INVESTMENTS IN MORTGAGE SERVI_5
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Servicing Asset at Amortized Cost [Line Items] | ||||
Less: subservicing expense | $ (73,132) | $ (53,962) | $ (140,113) | $ (94,888) |
Change in valuation inputs and assumptions | (702,492) | |||
Servicing revenue, net | (90,459) | (85,537) | (379,574) | 80,316 |
(Gain) loss on sales | 5,910 | |||
Change in fair value of investments in mortgage servicing rights financing receivables | (121,520) | (55,411) | (225,631) | (91,790) |
MSRs | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Servicing fee revenue | 332,376 | 196,249 | 660,498 | 379,275 |
Ancillary and other fees | 18,198 | 52,813 | 50,336 | 92,550 |
Servicing fee revenue and fees | 350,574 | 249,062 | 710,834 | 471,825 |
Amortization of servicing rights | (288,573) | (105,321) | (479,940) | (177,996) |
Change in valuation inputs and assumptions | (154,416) | (229,278) | (618,127) | (213,513) |
(Gain) loss on sales | 1,956 | 0 | 7,659 | 0 |
Change in valuation inputs and assumptions | (624,561) | |||
Servicing revenue, net | (90,459) | (85,537) | (379,574) | 80,316 |
(Gain) loss on sales | 7,659 | |||
MSRs | Excess Spread Financing | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Change in valuation inputs and assumptions | 1,900 | 7,600 | 6,400 | 8,000 |
MSRs | New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Servicing fee revenue | 106,861 | 130,126 | 220,443 | 256,370 |
Ancillary and other fees | 17,716 | 29,954 | 43,716 | 61,278 |
Less: subservicing expense | (40,131) | (49,577) | (82,034) | (105,239) |
Servicing fee revenue and fees | 84,446 | 110,503 | 182,125 | 212,409 |
Amortization of servicing rights | (77,199) | (40,201) | (145,951) | (83,077) |
Change in valuation inputs and assumptions | (44,321) | (14,850) | (77,931) | (7,912) |
(Gain) loss on sales | 0 | (360) | (1,749) | (801) |
Change in fair value of investments in mortgage servicing rights financing receivables | $ (121,520) | $ (55,411) | $ (225,631) | $ (91,790) |
INVESTMENTS IN MORTGAGE SERVI_6
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Investment in MSRs (Details) - USD ($) $ in Thousands | 6 Months Ended | ||||
Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | |||
Servicing Asset at Amortized Cost [Line Items] | |||||
Weighted Average Life (Years) | 1 year 2 months 12 days | ||||
Carrying Value | $ 5,021,086 | $ 5,686,233 | |||
Residential mortgage loans subject to repurchase | 1,075,008 | [1] | $ 172,336 | [1] | $ 141,581 |
Mortgage Servicing Rights and Mortgage Servicing Rights Financing Receivable | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 493,851,279 | ||||
Weighted Average Life (Years) | 5 years 4 months 24 days | ||||
Carrying Value | $ 5,021,086 | ||||
MSRs | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 379,397,792 | ||||
Weighted Average Life (Years) | 5 years 1 month 6 days | ||||
Carrying Value | $ 3,551,159 | ||||
Discount rate | 8.20% | ||||
Mortgage Servicing Rights Financing Receivable | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 114,453,487 | ||||
Weighted Average Life (Years) | 6 years 8 months 12 days | ||||
Carrying Value | $ 1,469,927 | ||||
Discount rate | 9.50% | ||||
Original and Recaptured Pools | MSRs | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 315,552,886 | ||||
Weighted Average Life (Years) | 5 years 2 months 12 days | ||||
Carrying Value | $ 2,927,046 | ||||
Original and Recaptured Pools | Mortgage Servicing Rights Financing Receivable | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 43,073,285 | ||||
Weighted Average Life (Years) | 5 years | ||||
Carrying Value | $ 382,078 | ||||
Non-Agency | MSRs | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 6,065,805 | ||||
Weighted Average Life (Years) | 4 years 3 months 18 days | ||||
Carrying Value | $ 18,400 | ||||
Non-Agency | Mortgage Servicing Rights Financing Receivable | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 71,380,202 | ||||
Weighted Average Life (Years) | 7 years 8 months 12 days | ||||
Carrying Value | $ 1,087,849 | ||||
Ginnie Mae | MSRs | |||||
Servicing Asset at Amortized Cost [Line Items] | |||||
UPB of Underlying Mortgages | $ 57,779,101 | ||||
Weighted Average Life (Years) | 4 years 3 months 18 days | ||||
Carrying Value | $ 605,713 | ||||
[1] | See Note 8 for details. |
INVESTMENTS IN MORTGAGE SERVI_7
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - MSRs - Mortgage Loans | Jun. 30, 2020 | Dec. 31, 2019 |
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 | 22.90% | 21.90% |
Florida | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.00% | 6.90% |
New York | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.40% | 6.40% |
Texas | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.30% | 5.50% |
New Jersey | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.80% | 4.90% |
Illinois | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.60% |
Massachusetts | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.30% | 3.40% |
Washington | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.30% |
Georgia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.10% | 3.10% |
Maryland | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 3.00% |
Other U.S. | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 37.50% | 38.00% |
INVESTMENTS IN MORTGAGE SERVI_8
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Advances Included in Servicing Advances Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | |||
Total | [1] | $ 559,011 | $ 581,777 |
Servicer Advances Receivable | |||
Schedule of Equity Method Investments [Line Items] | |||
Principal and interest advances | 692,849 | 660,807 | |
Escrow advances (taxes and insurance advances) | 2,159,978 | 2,427,384 | |
Foreclosure advances | 145,909 | 163,054 | |
Total | 2,998,736 | 3,251,245 | |
Servicer advances receivable related to agency MSRs | 394,400 | 562,200 | |
Servicer advances receivable related to Ginnie Mae MSRS, recoverable from Ginnie Mae | 105,000 | 166,500 | |
Servicer advances, unamortized discount and accrual | $ 51,100 | $ 50,100 | |
[1] | See Note 13 regarding consolidated VIEs. |
SERVICER ADVANCE INVESTMENTS -
SERVICER ADVANCE INVESTMENTS - Narrative (Details) $ in Millions | Jun. 30, 2020USD ($) |
The Buyer | |
Schedule of Equity Method Investments [Line Items] | |
Capital distributed to third-party co-investors | $ 328.4 |
Capital distributed to New Residential | $ 306.9 |
Servicer Advance Investments | |
Schedule of Equity Method Investments [Line Items] | |
New Residential’s ownership | 73.20% |
Funded capital commitments | $ 312.7 |
Servicer Advance Investments | Noncontrolling Third-party Investors | |
Schedule of Equity Method Investments [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 | 6 Months Ended | |
Mar. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Investments in and Advances to Affiliates [Line Items] | |||
Amortized Cost Basis | $ 537,388 | $ 557,444 | |
Carrying Value | $ 559,011 | $ 581,777 | |
Weighted Average Discount Rate | 5.30% | 5.30% | |
Weighted Average Yield | 5.70% | 5.70% | |
Weighted Average Life (Years) | 6 years 3 months 18 days | 6 years 3 months 18 days |
SERVICER ADVANCE INVESTMENTS _3
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Investments in and Advances to Affiliates [Line Items] | |||
Servicer advance investments, at fair value | [1] | $ 559,011 | $ 581,777 |
Face Amount of Notes and Bonds Payable | 16,076,444 | ||
Servicer Advance Investments | Servicer Advances | |||
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | 28,834,119 | 31,442,267 | |
Servicer advance investments, at fair value | $ 467,339 | $ 462,843 | |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.60% | 1.50% | |
Face Amount of Notes and Bonds Payable | $ 442,002 | $ 443,248 | |
Gross Loan-to-Value | 88.90% | 88.30% | |
Net Loan-to-Value | 87.90% | 87.20% | |
Gross Cost of Funds | 2.90% | 3.40% | |
Net Cost of Funds | 2.90% | 2.80% | |
[1] | See Note 13 regarding consolidated VIEs. |
SERVICER ADVANCE INVESTMENTS _4
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | |||
Total | [1] | $ 559,011 | $ 581,777 |
Servicer Advance Investments | Servicer Advances | |||
Schedule of Equity Method Investments [Line Items] | |||
Principal and interest advances | 113,039 | 71,574 | |
Escrow advances (taxes and insurance advances) | 167,167 | 180,047 | |
Foreclosure advances | 187,133 | 211,222 | |
Total | $ 467,339 | $ 462,843 | |
[1] | See Note 13 regarding consolidated VIEs. |
SERVICER ADVANCE INVESTMENTS _5
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 232,198 | $ 416,047 | $ 634,571 | $ 854,914 |
Servicer Advance Investments | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income, gross of amounts attributable to servicer compensation | 27,905 | 13,932 | 17,655 | 29,008 |
Amounts attributable to base servicer compensation | (2,504) | (1,407) | (1,622) | (2,972) |
Amounts attributable to incentive servicer compensation | (5,230) | (7,080) | (13,951) | (13,507) |
Interest income | $ 20,171 | $ 5,445 | $ 2,082 | $ 12,529 |
INVESTMENTS IN REAL ESTATE AN_3
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2020USD ($)securitybond | Jun. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Sales | |||
Outstanding Face Amount | $ 27,043,910 | ||
Carrying Value | $ 6,144,236 | $ 19,477,728 | |
Weighted Average Life (Years) | 1 year 2 months 12 days | ||
Investments | $ 17,314,600 | ||
Bonds | |||
Sales | |||
Carrying Value | $ 992,000 | ||
Number of bonds which New Residential was unable to obtain rating information | bond | 374 | ||
Residual Bonds | |||
Sales | |||
Investments | $ 26,800 | ||
Non-Agency Bonds | |||
Sales | |||
Investments | 4,300 | ||
Agency RMBS | |||
Purchases | |||
Face | 10,862,600 | $ 12,817,100 | |
Purchase price | 11,149,500 | 13,089,100 | |
Sales | |||
Face | 17,395,000 | 11,825,100 | |
Amortized Cost Basis | 17,679,300 | 12,105,600 | |
Sale price | 17,869,100 | 12,198,600 | |
Gain (loss) on sale | 189,800 | 93,000 | |
Outstanding Face Amount | 4,023,936 | ||
Amortized Cost Basis | 4,161,318 | ||
Gross Unrealized Gains | 43,942 | ||
Gross Unrealized Losses | 0 | ||
Carrying Value | $ 4,205,260 | 11,519,943 | |
Number of Securities | security | 33 | ||
Weighted Average Rating | AAA | ||
Weighted Average Coupon | 2.53% | ||
Weighted Average Yield | 1.86% | ||
Weighted Average Life (Years) | 6 years | ||
Agency RMBS | Fixed Rate Securities | |||
Sales | |||
Outstanding Face Amount | $ 4,000,000 | ||
Agency RMBS | |||
Sales | |||
Outstanding Face Amount | 301,350 | ||
Amortized Cost Basis | 303,173 | ||
Gross Unrealized Gains | 20,231 | ||
Gross Unrealized Losses | 0 | ||
Carrying Value | $ 323,404 | 11,519,943 | |
Number of Securities | security | 26 | ||
Weighted Average Rating | AAA | ||
Weighted Average Coupon | 2.95% | ||
Weighted Average Yield | 2.78% | ||
Weighted Average Life (Years) | 6 years 4 months 24 days | ||
Agency RMBS at FVO | |||
Sales | |||
Outstanding Face Amount | $ 3,722,586 | ||
Amortized Cost Basis | 3,858,145 | ||
Gross Unrealized Gains | 23,711 | ||
Gross Unrealized Losses | 0 | ||
Carrying Value | $ 3,881,856 | 0 | |
Number of Securities | security | 7 | ||
Weighted Average Rating | AAA | ||
Weighted Average Coupon | 2.50% | ||
Weighted Average Yield | 1.78% | ||
Weighted Average Life (Years) | 5 years 10 months 24 days | ||
Non-Agency | |||
Purchases | |||
Face | $ 5,083,100 | 4,574,200 | |
Purchase price | 575,000 | 917,900 | |
Sales | |||
Face | 7,487,800 | 837,500 | |
Amortized Cost Basis | 5,557,200 | 738,600 | |
Sale price | 4,624,600 | 752,000 | |
Gain (loss) on sale | (932,600) | $ 13,400 | |
Outstanding Face Amount | 23,019,974 | ||
Amortized Cost Basis | 1,965,450 | ||
Gross Unrealized Gains | 85,061 | ||
Gross Unrealized Losses | (111,535) | ||
Carrying Value | $ 1,938,976 | 7,957,785 | |
Number of Securities | security | 613 | ||
Weighted Average Rating | AA- | ||
Weighted Average Coupon | 3.08% | ||
Weighted Average Yield | 5.36% | ||
Weighted Average Life (Years) | 7 years 9 months 18 days | ||
Weighted Average Principal Subordination | 13.10% | ||
Non-Agency | Fixed Rate Securities | |||
Sales | |||
Outstanding Face Amount | $ 13,600,000 | ||
Residual and interest - only notional amount | 12,400,000 | ||
Non-Agency | Floating Rate Securities | |||
Sales | |||
Outstanding Face Amount | 9,400,000 | ||
Residual and interest - only notional amount | 8,300,000 | ||
Investments in Real Estate Securities | |||
Sales | |||
Outstanding Face Amount | 27,043,910 | ||
Amortized Cost Basis | 6,126,768 | ||
Gross Unrealized Gains | 129,003 | ||
Gross Unrealized Losses | (111,535) | ||
Carrying Value | $ 6,144,236 | $ 19,477,728 | |
Number of Securities | security | 646 | ||
Weighted Average Rating | AA+ | ||
Weighted Average Coupon | 1.12% | ||
Weighted Average Yield | 2.98% | ||
Weighted Average Life (Years) | 6 years 6 months | ||
Corporate debt | |||
Sales | |||
Outstanding Face Amount | $ 10,250 | ||
Amortized Cost Basis | 10,250 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | (102) | ||
Carrying Value | $ 10,148 | ||
Number of Securities | security | 1 | ||
Weighted Average Rating | B- | ||
Weighted Average Coupon | 8.25% | ||
Weighted Average Yield | 8.25% | ||
Consumer loan bonds | |||
Sales | |||
Outstanding Face Amount | $ 16,430 | ||
Amortized Cost Basis | 11,171 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | 0 | ||
Carrying Value | $ 11,171 | ||
Number of Securities | security | 6 | ||
Interest-only securities | |||
Sales | |||
Outstanding Face Amount | $ 11,253,401 | ||
Amortized Cost Basis | 292,045 | ||
Gross Unrealized Gains | 19,962 | ||
Gross Unrealized Losses | (28,697) | ||
Carrying Value | $ 283,310 | ||
Number of Securities | security | 131 | ||
Weighted Average Rating | AA | ||
Weighted Average Coupon | 1.31% | ||
Weighted Average Yield | 13.20% | ||
Weighted Average Life (Years) | 2 years 8 months 12 days | ||
Servicing strips | |||
Sales | |||
Outstanding Face Amount | $ 5,635,802 | ||
Amortized Cost Basis | 58,150 | ||
Gross Unrealized Gains | 2,205 | ||
Gross Unrealized Losses | (7,525) | ||
Carrying Value | $ 52,830 | ||
Number of Securities | security | 59 | ||
Weighted Average Coupon | 0.63% | ||
Weighted Average Yield | 9.61% | ||
Weighted Average Life (Years) | 4 years 6 months |
INVESTMENTS IN REAL ESTATE AN_4
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Provision for credit losses on securities | $ (25,134) | $ 8,859 | $ 19,015 | $ 16,375 |
Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Face amount of securities purchased | 100,000 | 300,000 | 100,000 | 300,000 |
Purchase of real estate securities, unsettled | 100,000 | 300,000 | 100,000 | 300,000 |
Proceeds from sale of AFS, unsettled | 5,300,000 | 5,300,000 | ||
Face amount of securities sold, unsettled | 200,000 | 5,100,000 | 200,000 | 5,100,000 |
Non-Agency | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Face amount of securities purchased | 21,600 | 21,600 | ||
Purchase of real estate securities, unsettled | $ 13,500 | $ 13,500 | ||
Proceeds from sale of AFS, unsettled | $ 200,000 | $ 200,000 |
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 | 6 Months Ended |
Jun. 30, 2020USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 27,043,910 |
Weighted Average Life (Years) | 1 year 2 months 12 days |
Less than 12 Months | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 8,860,380 |
Before Impairment - Amortized Cost Basis | 1,005,995 |
Credit Impairment - Amortized Cost Basis | (8,561) |
Amortized Cost Basis | 997,434 |
Gross Unrealized Losses - Less than 12 Months | (98,478) |
Carrying Value - Less than 12 Months | $ 898,956 |
Number of Securities - Less than 12 Months | security | 184 |
Weighted Average Rating | BBB+ |
Weighted Average Coupon | 3.34% |
Weighted Average Yield | 4.84% |
Weighted Average Life (Years) | 11 years 6 months |
12 or More Months | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 2,381,211 |
Before Impairment - Amortized Cost Basis | 96,175 |
Credit Impairment - Amortized Cost Basis | (10,454) |
Amortized Cost Basis | 85,721 |
Gross Unrealized Losses - 12 or More Months | (13,057) |
Carrying Value - 12 or More Months | $ 72,664 |
Number of Securities - 12 or More Months | security | 60 |
Weighted Average Rating | A |
Weighted Average Coupon | 1.80% |
Weighted Average Yield | 2.87% |
Weighted Average Life (Years) | 2 years 7 months 6 days |
Total/Weighted Average | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 11,241,591 |
Before Impairment - Amortized Cost Basis | 1,102,170 |
Credit Impairment - Amortized Cost Basis | (19,015) |
Amortized Cost Basis | 1,083,155 |
Gross Unrealized Losses - Total | (111,535) |
Carrying Value - Total | $ 971,620 |
Number of Securities - Total | security | 244 |
Weighted Average Rating | BBB+ |
Weighted Average Coupon | 3.22% |
Weighted Average Yield | 4.69% |
Weighted Average Life (Years) | 10 years 9 months 18 days |
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) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Securities New Residential intends to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 25,526 | $ 0 |
Amortized Cost Basis After Credit Impairment | 25,526 | 0 |
Gross Unrealized Losses, Credit | (4,797) | 0 |
Gross Unrealized Losses, Non-Credit | 0 | |
Securities New Residential is more likely than not to be required to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 0 | 0 |
Amortized Cost Basis After Credit Impairment | 0 | 0 |
Gross Unrealized Losses, Credit | 0 | 0 |
Credit impaired securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 114,835 | 228,228 |
Amortized Cost Basis After Credit Impairment | 120,530 | 237,626 |
Gross Unrealized Losses, Credit | (14,218) | (3,232) |
Gross Unrealized Losses, Non-Credit | (5,695) | (9,398) |
Non-credit impaired securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 831,259 | 4,726,409 |
Amortized Cost Basis After Credit Impairment | 937,099 | 4,767,837 |
Gross Unrealized Losses, Credit | 0 | 0 |
Gross Unrealized Losses, Non-Credit | (105,840) | (41,428) |
Total debt securities in an unrealized loss position | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 971,620 | 4,954,637 |
Amortized Cost Basis After Credit Impairment | 1,083,155 | 5,005,463 |
Gross Unrealized Losses, Credit | (19,015) | (3,232) |
Gross Unrealized Losses, Non-Credit | $ (111,535) | $ (50,826) |
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 | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2019 | $ 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 |
Reductions for securities sold during the period | 0 |
Reductions in the allowance for credit losses 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 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 14,218 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2020 | 14,218 |
Purchased Credit Deteriorated | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2019 | 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 |
Reductions for securities sold during the period | 0 |
Reductions in the allowance for credit losses 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 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 13,808 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2020 | 13,808 |
Non-Purchased Credit Deteriorated | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2019 | 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 |
Reductions for securities sold during the period | 0 |
Reductions in the allowance for credit losses 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 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 410 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2020 | $ 410 |
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 | Jun. 30, 2020 | Dec. 31, 2019 |
Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 22,993,294 | $ 24,747,959 |
Percentage of Total Outstanding | 100.00% | 100.00% |
Non-Agency | Western U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 8,023,586 | $ 9,048,847 |
Percentage of Total Outstanding | 34.90% | 36.60% |
Non-Agency | Southeastern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 6,001,777 | $ 5,983,966 |
Percentage of Total Outstanding | 26.10% | 24.20% |
Non-Agency | Northeastern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 5,204,930 | $ 5,416,137 |
Percentage of Total Outstanding | 22.60% | 21.90% |
Non-Agency | Midwestern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 2,527,550 | $ 2,562,269 |
Percentage of Total Outstanding | 11.00% | 10.40% |
Non-Agency | Southwestern U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 1,222,822 | $ 1,440,467 |
Percentage of Total Outstanding | 5.30% | 5.80% |
Non-Agency | Other U.S. | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 12,629 | $ 296,273 |
Percentage of Total Outstanding | 0.10% | 1.10% |
Consumer Loan | Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face amount of investment | $ 16,400 | $ 25,000 |
Corporate Loan | Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face amount of investment | $ 10,300 | $ 85,000 |
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 | Jun. 30, 2020 | Dec. 31, 2019 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 1,084,164 | $ 5,701,736 |
Carrying Value | $ 457,565 | $ 3,830,369 |
INVESTMENTS IN REAL ESTATE A_10
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Balance, beginning | $ 1,882,476 |
Additions | 76,960 |
Accretion | (52,310) |
Reclassifications from (to) non-accretable difference | (2,889,848) |
Disposals | 1,303,414 |
Balance, ending | $ 320,692 |
INVESTMENTS IN RESIDENTIAL MO_3
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020USD ($)loan | Dec. 31, 2019USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 1,009,696 | |
Carrying Value | $ 841,919 | |
Weighted Average Life (Years) | 1 year 2 months 12 days | |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 830,117 | |
Carrying Value | $ 750,332 | $ 925,706 |
Loan Count | loan | 13,168 | |
Weighted Average Yield | 7.20% | |
Weighted Average Life (Years) | 6 years 4 months 24 days | |
Acquired 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 | $ 853,934 | |
Carrying Value | $ 694,830 | 1,429,052 |
Loan Count | loan | 9,412 | |
Weighted Average Yield | 7.00% | |
Weighted Average Life (Years) | 3 years 6 months | |
Acquired Reverse Mortgage Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 12,604 | |
Carrying Value | $ 6,458 | 5,844 |
Loan Count | loan | 29 | |
Weighted Average Yield | 7.90% | |
Weighted Average Life (Years) | 3 years 10 months 24 days | |
Interest in reverse mortgage loans | 70.00% | |
Unpaid principal balance | $ 600 | |
Percentage of loans that have reached a termination event | 51.00% | |
Acquired Reverse Mortgage Loans | Mr. Cooper | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest in reverse mortgage loans | 30.00% | |
Acquired Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 224,268 | |
Carrying Value | $ 198,150 | 857,821 |
Loan Count | loan | 4,680 | |
Weighted Average Yield | 6.00% | |
Weighted Average Life (Years) | 4 years 1 month 6 days | |
Acquired Performing Loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 30,000 | |
Acquired Non-Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | 617,062 | |
Carrying Value | $ 490,222 | 565,387 |
Loan Count | loan | 4,703 | |
Weighted Average Yield | 7.30% | |
Weighted Average Life (Years) | 3 years 3 months 18 days | |
Acquired Non-Performing Loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 26,100 | |
Total 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 | 3,775,549 | |
Carrying Value | 3,519,739 | 6,042,664 |
Acquired Performing Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | 1,245,660 | |
Carrying Value | $ 1,075,996 | 3,024,288 |
Loan Count | loan | 9,258 | |
Weighted Average Yield | 4.80% | |
Weighted Average Life (Years) | 8 years | |
Originated Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 1,675,955 | |
Carrying Value | $ 1,748,913 | 1,589,324 |
Loan Count | loan | 6,111 | |
Weighted Average Yield | 3.30% | |
Weighted Average Life (Years) | 27 years 2 months 12 days | |
Total 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 | $ 2,921,615 | |
Carrying Value | $ 2,824,909 | $ 4,613,612 |
Loan Count | loan | 15,369 | |
Weighted Average Yield | 3.90% | |
Weighted Average Life (Years) | 19 years |
INVESTMENTS IN RESIDENTIAL MO_4
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Narrative (Details) $ in Thousands | 6 Months Ended | |||||
Jun. 30, 2020USD ($)trust | Jun. 30, 2019USD ($)trust | Jan. 01, 2020USD ($) | Dec. 31, 2019USD ($) | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Residential mortgage loans subject to repurchase | $ 1,075,008 | [1] | $ 141,581 | $ 172,336 | [1] | |
Reduction to retained earnings | $ 1,110,148 | (549,733) | ||||
Threshold period past due (in days) | 60 days | |||||
Residential Mortgage Loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of trusts called | trust | 15 | 59 | ||||
Loans Sold | Residential Mortgage Loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Interest income | $ 12,000 | $ 37,200 | ||||
Gain on securitization accounted for as sales | $ 48,300 | $ 8,100 | ||||
Cumulative Effect, Period of Adoption, Adjustment | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Reduction to retained earnings | $ (13,700) | |||||
Cumulative Effect, Period of Adoption, Adjustment | Residential Mortgage Loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Reduction to retained earnings | $ 6,000 | |||||
[1] | See Note 8 for details. |
INVESTMENTS IN RESIDENTIAL MO_5
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans | Jun. 30, 2020 | Dec. 31, 2019 |
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 | 13.80% | 16.80% |
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 | 8.50% | 9.90% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.30% | 7.50% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.50% | 7.70% |
Georgia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.40% | 4.60% |
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 | 4.50% | 4.60% |
Illinois | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 3.40% |
Pennsylvania | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.30% | 3.10% |
North Carolina | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 2.60% |
Maryland | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 2.60% |
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 | 39.30% | 37.20% |
INVESTMENTS IN RESIDENTIAL MO_6
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) $ in Thousands | Jun. 30, 2020USD ($) |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 1,009,696 |
Fair Value | 841,919 |
Fair Value Over (Under) Unpaid Principal Balance | (167,777) |
90 to 119 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 292,123 |
Fair Value | 244,837 |
Fair Value Over (Under) Unpaid Principal Balance | (47,286) |
120 or greater | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 717,573 |
Fair Value | 597,082 |
Fair Value Over (Under) Unpaid Principal Balance | $ (120,491) |
INVESTMENTS IN RESIDENTIAL MO_7
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Performing Loans Past Due (Details) - Performing Loans - Residential Portfolio Segment | Dec. 31, 2019 |
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 | 86.50% |
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 | 2.70% |
90-119 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 0.70% |
120 or greater | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 3.10% |
INVESTMENTS IN RESIDENTIAL MO_8
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Carrying Value of Mortgage Loans (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | $ 6,042,664 |
Transfer of loans to real estate owned | (28,197) |
Balance, ending | 3,519,739 |
Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 6,968,370 |
Fair value adjustment due to fair value option | (6,020) |
Originations | 19,252,135 |
Sales | (22,542,652) |
Purchases/additional fundings | 1,147,328 |
Proceeds from repayments | (242,096) |
Transfer of loans to other assets | (15,309) |
Transfer of loans to real estate owned | (23,889) |
Transfers of loans to held for sale | 0 |
Valuation provision on loans | (102,550) |
Fair value adjustments due to, changes in instrument-specific credit risk | (39,589) |
Fair value adjustments due to, other factors | (125,657) |
Balance, ending | 4,270,071 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 925,706 |
Fair value adjustment due to fair value option | (6,020) |
Originations | 0 |
Sales | 0 |
Purchases/additional fundings | 0 |
Proceeds from repayments | (64,802) |
Transfer of loans to other assets | 0 |
Transfer of loans to real estate owned | (4,021) |
Transfers of loans to held for sale | (59,681) |
Valuation provision on loans | 0 |
Fair value adjustments due to, changes in instrument-specific credit risk | 6,923 |
Fair value adjustments due to, other factors | (47,773) |
Balance, ending | 750,332 |
Residential Mortgage Loans, Held-for-Sale | Acquired Loans, at Lower Cost or Fair Value | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 1,429,052 |
Fair value adjustment due to fair value option | 0 |
Originations | 0 |
Sales | (642,644) |
Purchases/additional fundings | 110,741 |
Proceeds from repayments | (81,699) |
Transfer of loans to other assets | (1,793) |
Transfer of loans to real estate owned | (16,277) |
Transfers of loans to held for sale | 0 |
Valuation provision on loans | (102,550) |
Fair value adjustments due to, changes in instrument-specific credit risk | 0 |
Fair value adjustments due to, other factors | 0 |
Balance, ending | 694,830 |
Residential Mortgage Loans, Held-for-Sale | Acquired Loans | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 4,613,612 |
Fair value adjustment due to fair value option | 0 |
Originations | 19,252,135 |
Sales | (21,900,008) |
Purchases/additional fundings | 1,036,587 |
Proceeds from repayments | (95,595) |
Transfer of loans to other assets | (13,516) |
Transfer of loans to real estate owned | (3,591) |
Transfers of loans to held for sale | 59,681 |
Valuation provision on loans | 0 |
Fair value adjustments due to, changes in instrument-specific credit risk | (46,512) |
Fair value adjustments due to, other factors | (77,884) |
Balance, ending | $ 2,824,909 |
INVESTMENTS IN RESIDENTIAL MO_9
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Interest Income: | ||||
Loans Held for Investment, at Fair Value | $ 13,229 | $ 15,432 | $ 28,338 | $ 32,636 |
Total Interest Income | 56,247 | 68,079 | 132,903 | 134,232 |
Interest Expense: | ||||
Loans Held for Investment, at Fair Value | 5,408 | 5,759 | 10,608 | 11,764 |
Total Interest Expense | 23,138 | 52,066 | 67,338 | 95,477 |
Total Net Interest Income | 33,109 | 16,013 | 65,565 | 38,755 |
Acquired Loans, at Lower Cost or Fair Value | ||||
Interest Income: | ||||
Loans Held-for-Sale | 15,303 | 13,572 | 33,458 | 28,752 |
Interest Expense: | ||||
Loans Held-for-Sale | 6,358 | 8,708 | 14,888 | 17,515 |
Acquired Loans | ||||
Interest Income: | ||||
Loans Held-for-Sale | 27,715 | 39,075 | 71,107 | 72,844 |
Interest Expense: | ||||
Loans Held-for-Sale | $ 11,372 | $ 37,599 | $ 41,842 | $ 66,198 |
INVESTMENTS IN RESIDENTIAL M_10
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Gain On Sale of Originated Mortgage Loans, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Long Lived Assets Held-for-sale [Line Items] | ||||
Gain on loans originated and sold | $ 236,583 | $ 25,347 | $ 275,870 | $ 52,889 |
Gain (loss) on settlement of mortgage loan origination derivative instruments | (175,568) | (18,318) | (221,881) | (29,741) |
MSRs retained on transfer of loans | 72,202 | 57,920 | 268,098 | 94,349 |
Other | 15,962 | 9,499 | 32,590 | 16,779 |
Realized gain on sale of originated mortgage loans, net | 149,179 | 74,448 | 354,677 | 134,276 |
Change in fair value of derivative instruments | 154,741 | 3,937 | 106,666 | 5,930 |
Gain on sale of originated mortgage loans, net | 310,022 | 101,018 | 489,720 | 168,188 |
Loan origination fees and direct loan origination costs | 109,800 | 60,900 | 386,800 | 85,900 |
Interest Rate Lock Commitments | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of derivative instruments | 32,806 | 7,701 | 124,054 | 10,909 |
TBAs And Forward Loan Sale Commitments | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of derivative instruments | 121,935 | (3,764) | (17,388) | (4,979) |
Originated Loans | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of loans | $ 6,102 | $ 22,633 | $ 28,377 | $ 27,982 |
INVESTMENTS IN CONSUMER LOANS -
INVESTMENTS IN CONSUMER LOANS - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | 1 Months Ended | 6 Months Ended | |
Feb. 28, 2017 | Jun. 30, 2020 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | |||
Reduction to retained earnings | $ 1,110,148 | $ (549,733) | |
Warrants | $ 23,009 | 28,042 | |
WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Exercise price (in dollars per share) | $ 0.01 | ||
LoanCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Total purchase agreement amount | $ 5,000,000 | ||
Term of purchase contract (in years) | 2 years | ||
Consumer Loan Companies | |||
Schedule of Equity Method Investments [Line Items] | |||
Ownership interest | 53.50% | ||
Cumulative Effect, Period of Adoption, Adjustment | |||
Schedule of Equity Method Investments [Line Items] | |||
Reduction to retained earnings | $ (13,700) | ||
Consumer Loans | Cumulative Effect, Period of Adoption, Adjustment | |||
Schedule of Equity Method Investments [Line Items] | |||
Reduction to retained earnings | $ 19,700 | ||
Series F Convertible Preferred Stock | Consumer Loan Seller | New Residential and Co Investors | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of warrants to be purchased (in shares) | 177.7 |
INVESTMENTS IN CONSUMER LOANS_2
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Schedule of Equity Method Investments [Line Items] | ||
Weighted Average Life (Years) | 1 year 2 months 12 days | |
Consumer Portfolio Segment | New Residential Investment Corp. | ||
Schedule of Equity Method Investments [Line Items] | ||
Unpaid Principal Balance | $ 718,385 | $ 823,917 |
Carrying Value | $ 766,462 | $ 827,545 |
Weighted Average Coupon | 17.60% | 18.00% |
Weighted Average Life (Years) | 3 years 8 months 12 days | 3 years 10 months 24 days |
Weighted Average Delinquency | 5.50% | 5.90% |
Consumer Portfolio Segment | New Residential Investment Corp. | Other - Performing Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Unpaid Principal Balance | $ 5,439 | $ 9,158 |
Carrying Value | $ 4,937 | $ 8,602 |
Weighted Average Coupon | 15.10% | 15.10% |
Weighted Average Life (Years) | 7 months 6 days | 8 months 12 days |
Weighted Average Delinquency | 2.70% | 6.10% |
Consumer Portfolio Segment | New Residential Investment Corp. | Performing Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Unpaid Principal Balance | $ 564,899 | $ 644,676 |
Carrying Value | $ 617,349 | $ 682,310 |
Weighted Average Coupon | 18.40% | 18.80% |
Weighted Average Life (Years) | 3 years 9 months 18 days | 4 years |
Weighted Average Delinquency | 4.60% | 4.70% |
Consumer Portfolio Segment | New Residential Investment Corp. | Purchased Credit Deteriorated Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Unpaid Principal Balance | $ 148,047 | $ 170,083 |
Carrying Value | $ 144,176 | $ 136,633 |
Weighted Average Coupon | 14.70% | 15.50% |
Weighted Average Life (Years) | 3 years 7 months 6 days | 3 years 8 months 12 days |
Weighted Average Delinquency | 9.40% | 10.10% |
Consumer Loan Companies | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest in Consumer Loans | 53.50% | |
Consumer Loan Companies | Consumer Portfolio Segment | New Residential Investment Corp. | Performing Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest in Consumer Loans | 53.50% | 53.50% |
Consumer Loan Companies | Consumer Portfolio Segment | New Residential Investment Corp. | Purchased Credit Deteriorated Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest in Consumer Loans | 53.50% | 53.50% |
Entirely Owned Loan Portfolio | Consumer Portfolio Segment | New Residential Investment Corp. | Other - Performing Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest in Consumer Loans | 100.00% | 100.00% |
INVESTMENTS IN CONSUMER LOANS_3
INVESTMENTS IN CONSUMER LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - Parent - Consumer Portfolio Segment $ in Thousands | Jun. 30, 2020USD ($) |
Schedule of Equity Method Investments [Line Items] | |
Unpaid Principal Balance | $ 718,385 |
Fair Value | 766,462 |
Fair Value Over (Under) Unpaid Principal Balance | 48,077 |
Under 90 Days | |
Schedule of Equity Method Investments [Line Items] | |
Unpaid Principal Balance | 704,708 |
Fair Value | 752,053 |
Fair Value Over (Under) Unpaid Principal Balance | 47,345 |
90 to 119 | |
Schedule of Equity Method Investments [Line Items] | |
Unpaid Principal Balance | 13,677 |
Fair Value | 14,409 |
Fair Value Over (Under) Unpaid Principal Balance | $ 732 |
INVESTMENTS IN CONSUMER LOANS_4
INVESTMENTS IN CONSUMER LOANS - Consumer Loans Receivable Past Due (Details) - Performing Loans - Consumer Portfolio Segment | Dec. 31, 2019 |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 100.00% |
Current | |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 95.30% |
30-59 | |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 1.80% |
60-89 | |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 1.20% |
90-119 | |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 0.70% |
120 or greater | |
Financing Receivable, Past Due [Line Items] | |
Percent past due | 1.00% |
INVESTMENTS IN CONSUMER LOANS_5
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Performing Loans (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Loans Receivable [Roll Forward] | ||
Proceeds from repayments | $ (62,293) | $ (57,168) |
Accretion of loan discount and premium amortization, net | 80,990 | $ 256,955 |
Consumer Portfolio Segment | Performing Loans | ||
Loans Receivable [Roll Forward] | ||
Balance at December 31, 2019 | 827,545 | |
Fair value adjustment due to fair value option | 36,472 | |
Additional fundings | 17,684 | |
Proceeds from repayments | (119,124) | |
Accretion of loan discount and premium amortization, net | 13,108 | |
Fair value adjustment, changes in instrument-specific credit risk | (4,565) | |
Fair value adjustment, other factors | (4,658) | |
Balance at March 31, 2020 | $ 766,462 |
INVESTMENTS IN CONSUMER LOANS_6
INVESTMENTS IN CONSUMER LOANS - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 232,198 | $ 416,047 | $ 634,571 | $ 854,914 |
Interest expense | (116,403) | (228,004) | (333,258) | (440,836) |
Net income (loss) | 44,129 | (25,020) | (1,563,126) | 130,892 |
New Residential’s equity in net income | $ 0 | $ (2,654) | 0 | $ 1,657 |
New Residential’s ownership | 24.20% | 24.20% | ||
Real estate securities retained from loan securitizations | $ 518,515 | $ 232,050 | ||
Equity Method Investment, Nonconsolidated Investee, Other | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 11,390 | 19,367 | ||
Interest expense | (3,665) | (6,487) | ||
Change in fair value of consumer loans and warrants | (15,993) | (1,457) | ||
Gain on sale of consumer loans | (1,222) | (1,668) | ||
Other expenses | (1,462) | (2,918) | ||
Net income (loss) | (10,952) | 6,837 | ||
New Residential’s equity in net income | $ (2,654) | $ 1,657 |
INVESTMENTS IN CONSUMER LOANS_7
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Equity Method Investments (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Schedule of Equity Method Investments [Line Items] | ||
Weighted Average Life (Years) | 1 year 2 months 12 days | |
LoanCo | Consumer Portfolio Segment | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest in Consumer Loans | 25.00% | |
LoanCo | Consumer Portfolio Segment | ||
Schedule of Equity Method Investments [Line Items] | ||
UPB of Underlying Mortgages | $ 414,530 | |
Carrying Value | $ 409,379 | |
Weighted Average Coupon | 14.60% | |
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Weighted Average Delinquency | 1.40% |
DERIVATIVES - Derivatives Recor
DERIVATIVES - Derivatives Recorded at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Derivative assets | $ 166,613 | $ 41,501 |
Derivative liabilities | 24,936 | 6,885 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Derivative assets | 0 | 155 |
Derivative liabilities | 256 | 0 |
Derivative asset, variation margin accounts | 192,200 | 171,800 |
Interest Rate Lock Commitments | ||
Derivative [Line Items] | ||
Derivative assets | 164,342 | 41,346 |
Derivative liabilities | 397 | 1,455 |
Forward Loan Sale Commitments | ||
Derivative [Line Items] | ||
Derivative liabilities | 0 | 27 |
TBAs | ||
Derivative [Line Items] | ||
Derivative assets | 2,271 | 0 |
Derivative liabilities | $ 24,283 | $ 5,403 |
DERIVATIVES - Derivatives Notio
DERIVATIVES - Derivatives Notional Amount (Details) - Not Designated as Hedging Instrument - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Interest Rate Caps | |||
Derivative [Line Items] | |||
Derivative asset, notional amount | $ 25,000 | $ 12,500 | |
Derivative, cap interest rate | 4.00% | ||
Notional amount | $ 25,000 | ||
Weighted average maturity | 5 months | ||
Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative asset, notional amount | $ 9,070,000 | $ 4,900,000 | |
Interest Rate Swaps | TBAs, short position | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 0.80% | 1.89% | |
Notional amount | $ 4,700,000 | $ 900,000 | |
Weighted average maturity | 87 months | 33 months | |
Interest Rate Swaps | TBAs, long position | |||
Derivative [Line Items] | |||
Derivative, cap interest rate | 2.96% | 3.21% | |
Notional amount | $ 4,400,000 | $ 4,000,000 | |
Weighted average maturity | 36 months | 34 months | |
Interest Rate Lock Commitments | |||
Derivative [Line Items] | |||
Derivative asset, notional amount | $ 7,455,739 | 4,043,935 | |
Forward Loan Sale Commitments | |||
Derivative [Line Items] | |||
Derivative asset, notional amount | 0 | 43,654 | |
TBAs | TBAs, short position | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | 8,033,350 | 5,048,000 | |
TBAs | TBAs, long position | |||
Derivative [Line Items] | |||
Derivative liability, notional amount | $ 0 | $ 11,692,212 |
DERIVATIVES - Derivatives Gain
DERIVATIVES - Derivatives Gain (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | $ 21,106 | $ (40,666) | $ (18,876) | $ (66,426) |
Gain (loss) on settlement of investments, net | (25,195) | (45,201) | (109,907) | (138,277) |
Gain on originated mortgage loans, held-for-sale, net | 154,741 | 3,937 | 106,666 | 5,930 |
Total income (losses) | 150,652 | (81,930) | (22,117) | (198,773) |
Loss on settlement of mortgage loan origination derivative instruments | 175,568 | 18,318 | 221,881 | 29,741 |
Interest Rate Caps | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 0 | 0 | 0 | (3) |
Interest Rate Swaps | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 21,106 | (40,666) | (18,876) | (69,199) |
Gain (loss) on settlement of investments, net | (25,195) | (5,813) | (38,847) | (22,191) |
Interest Rate Lock Commitments | ||||
Derivative [Line Items] | ||||
Gain on originated mortgage loans, held-for-sale, net | 32,806 | 7,701 | 124,054 | 10,909 |
Forward Loan Sale Commitments | ||||
Derivative [Line Items] | ||||
Gain on originated mortgage loans, held-for-sale, net | 0 | 223 | 27 | 202 |
TBAs | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 0 | 0 | 0 | 2,776 |
Gain (loss) on settlement of investments, net | 0 | (39,388) | (71,060) | (116,086) |
Gain on originated mortgage loans, held-for-sale, net | $ 121,935 | $ (3,987) | $ (17,415) | $ (5,181) |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 16,076,444,000 | |
Carrying Value | $ 16,050,960,000 | $ 35,636,373,000 |
Weighted Average Funding Cost | 2.75% | |
Weighted Average Life (Years) | 1 year 2 months 12 days | |
MSR purchase price holdback | $ 35,524,000 | 68,668,000 |
Repurchase Agreements | Non-Agency RMBS | Retainer Bonds Collateralized by Agency MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 508,100,000 | |
Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 3,897,468,000 | |
Carrying Value | $ 3,897,468,000 | 15,481,677,000 |
Weighted Average Funding Cost | 0.25% | |
Weighted Average Life (Years) | 1 month 6 days | |
Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years | |
Outstanding Face of Collateral | $ 3,922,189,000 | |
Amortized Cost Basis of Collateral | 4,055,565,000 | |
Carrying Value of Collateral | 4,099,159,000 | |
Non-Agency RMBS | Repurchase Agreements | Retained Servicer Advance and Consumer Bonds | ||
Debt Instrument [Line Items] | ||
Carrying Value | 6,100,000 | |
Non-Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,934,744,000 | |
Carrying Value | $ 1,932,624,000 | 7,317,519,000 |
Weighted Average Funding Cost | 4.28% | |
Weighted Average Life (Years) | 2 months 12 days | |
Non-Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 10 months 24 days | |
Outstanding Face of Collateral | $ 19,636,467,000 | |
Amortized Cost Basis of Collateral | 1,919,715,000 | |
Carrying Value of Collateral | 1,890,120,000 | |
Non-Agency RMBS | Repurchase Agreements | Collateral | Retained Servicer Advance and Consumer Bonds | ||
Debt Instrument [Line Items] | ||
Carrying Value | 10,000,000 | |
Non-Agency RMBS | Repurchase Agreements | Collateral | Retainer Bonds Collateralized by Agency MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 650,300,000 | |
Residential Mortgage | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 3,283,186,000 | |
Carrying Value | $ 3,277,727,000 | 5,053,207,000 |
Weighted Average Funding Cost | 2.95% | |
Weighted Average Life (Years) | 7 months 6 days | |
Repurchase agreements | $ 283,000,000 | |
Interest rate | 5.53% | |
Residential Mortgage | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 14 years 8 months 12 days | |
Outstanding Face of Collateral | $ 4,080,121,000 | |
Amortized Cost Basis of Collateral | 4,402,356,000 | |
Carrying Value of Collateral | 3,779,405,000 | |
Residential Mortgage | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 285,588,000 | |
Carrying Value | $ 281,898,000 | 864,451,000 |
Weighted Average Funding Cost | 5.40% | |
Weighted Average Life (Years) | 17 years 8 months 12 days | |
Residential Mortgage | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 4 years 3 months 18 days | |
Outstanding Face of Collateral | $ 462,589,000 | |
Amortized Cost Basis of Collateral | 493,636,000 | |
Carrying Value of Collateral | 444,438,000 | |
Real Estate Owned | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 63,679,000 | |
Carrying Value | $ 63,679,000 | 63,822,000 |
Weighted Average Funding Cost | 2.37% | |
Weighted Average Life (Years) | 7 months 6 days | |
Real Estate Owned | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Carrying Value of Collateral | $ 81,887,000 | |
Total Repurchase Agreements | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 9,179,077,000 | |
Carrying Value | $ 9,171,498,000 | 27,916,225,000 |
Weighted Average Funding Cost | 2.08% | |
Weighted Average Life (Years) | 3 months 18 days | |
MSR purchase price holdback | $ 30,300,000 | |
Excess MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 294,802,000 | 217,300,000 |
Excess MSRs | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 294,802,000 | |
Carrying Value | $ 294,802,000 | 217,300,000 |
Weighted Average Funding Cost | 4.30% | |
Weighted Average Life (Years) | 1 year 10 months 24 days | |
Excess MSRs | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 5 years 7 months 6 days | |
Outstanding Face of Collateral | $ 90,541,438,000 | |
Amortized Cost Basis of Collateral | 49,457,000 | |
Carrying Value of Collateral | 54,126,000 | |
MSRs | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 2,700,527,000 | |
Carrying Value | $ 2,691,107,000 | 2,640,036,000 |
Weighted Average Funding Cost | 3.66% | |
Weighted Average Life (Years) | 1 year 3 months 18 days | |
MSRs | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 5 years 8 months 12 days | |
Outstanding Face of Collateral | $ 399,336,160,000 | |
Amortized Cost Basis of Collateral | 4,254,897,000 | |
Carrying Value of Collateral | 4,189,180,000 | |
Servicer Advance Investments | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 442,002,000 | |
Carrying Value | $ 442,002,000 | 581,777,000 |
Weighted Average Funding Cost | 2.92% | |
Weighted Average Life (Years) | 9 months 18 days | |
Servicer Advance Investments | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years 3 months 18 days | |
Outstanding Face of Collateral | $ 467,339,000 | |
Amortized Cost Basis of Collateral | 537,388,000 | |
Carrying Value of Collateral | 559,011,000 | |
Servicer advances | ||
Debt Instrument [Line Items] | ||
Carrying Value | $ 2,894,933,000 | 3,181,672,000 |
Servicer advances | Notes Payable | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.85% | |
Servicer advances | Notes Payable | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.75% | |
Servicer advances | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 2,460,854,000 | |
Carrying Value | $ 2,452,931,000 | 2,599,895,000 |
Weighted Average Funding Cost | 3.59% | |
Weighted Average Life (Years) | 1 year 8 months 12 days | |
Face amount of debt at fixed rate | $ 1,900,000,000 | |
Servicer advances | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 8 months 12 days | |
Outstanding Face of Collateral | $ 2,806,803,000 | |
Amortized Cost Basis of Collateral | 2,947,678,000 | |
Carrying Value of Collateral | 2,947,678,000 | |
Consumer Loans | ||
Debt Instrument [Line Items] | ||
Carrying Value | 716,722,000 | 816,689,000 |
Consumer Loans | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 713,594,000 | |
Carrying Value | $ 716,722,000 | 816,689,000 |
Weighted Average Funding Cost | 3.26% | |
Weighted Average Life (Years) | 3 years 7 months 6 days | |
Consumer Loans | Notes Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 3 years 8 months 12 days | |
Outstanding Face of Collateral | $ 712,877,000 | |
Amortized Cost Basis of Collateral | 717,877,000 | |
Carrying Value of Collateral | 761,456,000 | |
Total Notes Payable | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 6,897,367,000 | |
Carrying Value | $ 6,879,462,000 | $ 7,720,148,000 |
Weighted Average Funding Cost | 3.65% | |
Weighted Average Life (Years) | 2 years 4 months 24 days | |
2.50% Secured Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 83,600,000 | |
2.50% Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
2.75% Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 211,200,000 | |
Variable interest rate spread | 2.75% | |
2.25% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 1,474,000,000 | |
2.25% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.25% | |
2.25% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 8.00% | |
2.50% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 46,100,000 | |
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 | $ 1,180,400,000 | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.55% | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 4.62% | |
2.88% Residential Mortgage Loans | Notes Payable | Mr. Cooper | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 5,100,000 | |
Collateral amount | $ 1,400,000 | |
2.88% Residential Mortgage Loans | Notes Payable | London Interbank Offered Rate (LIBOR) | Mr. Cooper | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.88% | |
Non-Agency RMBS | Notes Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 92,000,000 | |
Non-Agency RMBS | Notes Payable | Maximum | ||
Debt Instrument [Line Items] | ||
Weighted Average Funding Cost | 3.76% | |
6.58% Assetbacked Notes | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 170,500,000 | |
Weighted Average Funding Cost | 6.61% | |
Asset-backed Notes, LIBOR Based Floating Interest Rate | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 18,000,000 | |
Collateral amount | $ 900,000 | |
Asset-backed Notes, LIBOR Based Floating Interest Rate | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.25% | |
Consumer Loan, UPB Class A | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate | 3.20% | |
UPB of Underlying Mortgages | $ 634,500,000 | |
Consumer Loan, UPB Class B | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate | 3.58% | |
UPB of Underlying Mortgages | $ 70,400,000 | |
Consumer Loan, UPB Class C-1 | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate | 5.06% | |
UPB of Underlying Mortgages | $ 8,700,000 |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) $ in Thousands | May 19, 2020USD ($) | Jun. 30, 2020USD ($)agreement | Dec. 31, 2019USD ($) |
Debt Instrument [Line Items] | |||
Face amount of debt | $ 16,076,444 | ||
2020 Term Loan | |||
Debt Instrument [Line Items] | |||
Debt instrument, term | 3 years | ||
Principal outstanding | $ 600,000 | 600,000 | $ 0 |
Interest rate | 11.00% | ||
Quarterly installment percentage of outstanding principal amount | 0.0025 | ||
Original issue discount, percentage | 0.010 | ||
Original issue discount, amount | $ 6,000 | 66,617 | $ 0 |
Fees capitalized as debt financing costs | $ 9,000 | ||
Expiration period | 3 years | ||
Fair value of warrants issued | $ 53,500 | ||
Minimum net worth required for compliance | $ 2,500,000 | ||
Minimum net worth required for compliance, ratio of outstanding principal | 4.17 | ||
Minimum net worth required for compliance, threshold | $ 2,000,000 | ||
Minimum cash liquidity balance | $ 125,000 | ||
Lender reporting requirement, period | 30 days | ||
Repurchase Agreements | Total Repurchase Agreements | |||
Debt Instrument [Line Items] | |||
Face amount of debt | $ 9,179,077 | ||
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 | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Debt Instrument [Roll Forward] | ||
Beginning balance | $ 35,636,373 | |
Borrowings | 99,455,395 | $ 97,551,956 |
Repayments | (118,194,027) | $ (91,625,830) |
Ending balance | 16,050,960 | |
Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 217,300 | |
Ending balance | 294,802 | |
MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 2,640,036 | |
Ending balance | 2,691,107 | |
Servicer advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 3,181,672 | |
Ending balance | 2,894,933 | |
Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 22,799,196 | |
Ending balance | 5,830,092 | |
Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 5,981,480 | |
Ending balance | 3,623,304 | |
Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 816,689 | |
Ending balance | 716,722 | |
Repurchase Agreements | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 99,455,395 | |
Repayments | (118,194,027) | |
Capitalized deferred financing costs, net of amortization | (6,095) | |
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 | 79,077,088 | |
Repayments | (96,044,072) | |
Capitalized deferred financing costs, net of amortization | (2,120) | |
Repurchase Agreements | Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 20,378,307 | |
Repayments | (22,149,955) | |
Capitalized deferred financing costs, net of amortization | (3,975) | |
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 | 3,050,608 | |
Repayments | (3,882,450) | |
Discount on borrowings, net of amortization | 246 | |
Unrealized loss on notes, fair value | (6,145) | |
Capitalized deferred financing costs, net of amortization | (2,945) | |
Notes Payable | Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 217,300 | |
Borrowings | 97,173 | |
Repayments | (19,671) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized loss on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Ending balance | 294,802 | |
Notes Payable | MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 888,265 | |
Repayments | (834,277) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized loss on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | (2,917) | |
Notes Payable | Servicer advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 2,599,895 | |
Borrowings | 2,065,170 | |
Repayments | (2,351,836) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized loss on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | (73) | |
Ending balance | 2,452,931 | |
Notes Payable | Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Discount on borrowings, net of amortization | 0 | |
Unrealized loss 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 | 0 | |
Repayments | (576,453) | |
Discount on borrowings, net of amortization | 0 | |
Unrealized loss on notes, fair value | (6,145) | |
Capitalized deferred financing costs, net of amortization | 45 | |
Notes Payable | Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 816,689 | |
Borrowings | 0 | |
Repayments | (100,213) | |
Discount on borrowings, net of amortization | 246 | |
Unrealized loss on notes, fair value | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Ending balance | $ 716,722 |
DEBT OBLIGATIONS - Contractual
DEBT OBLIGATIONS - Contractual Maturities of Debt Obligations (Details) $ in Thousands | Jun. 30, 2020USD ($) |
Debt maturing in: | |
July 1 through December 31, 2020 | $ 9,418,370 |
2021 | 3,167,022 |
2022 | 1,423,933 |
2023 | 1,342,225 |
2024 | 348,804 |
2025 and thereafter | 976,090 |
Total | 16,676,444 |
Nonrecourse | |
Debt maturing in: | |
July 1 through December 31, 2020 | 124,259 |
2021 | 1,579,934 |
2022 | 846,144 |
2023 | 400,000 |
2024 | 0 |
2025 and thereafter | 976,090 |
Total | 3,926,427 |
Recourse | |
Debt maturing in: | |
July 1 through December 31, 2020 | 9,294,111 |
2021 | 1,587,088 |
2022 | 577,789 |
2023 | 942,225 |
2024 | 348,804 |
2025 and thereafter | 0 |
Total | $ 12,750,017 |
DEBT OBLIGATIONS - Borrowing Ca
DEBT OBLIGATIONS - Borrowing Capacity (Details) $ in Thousands | Jun. 30, 2020USD ($) |
Residential Mortgage Loans and REO | |
Debt Instrument [Line Items] | |
Borrowing Capacity | $ 5,698,258 |
Balance Outstanding | 1,658,270 |
Available Financing(A) | 4,039,988 |
New loan originations | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 4,035,000 |
Balance Outstanding | 1,688,596 |
Available Financing(A) | 2,346,404 |
Excess MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 100,000 |
Balance Outstanding | 83,565 |
Available Financing(A) | 16,435 |
MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 1,608,000 |
Balance Outstanding | 1,520,089 |
Available Financing(A) | 87,911 |
Servicer advances | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 5,120,000 |
Balance Outstanding | 2,902,857 |
Available Financing(A) | 2,217,143 |
Residential mortgage loans | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 650,000 |
Balance Outstanding | 17,967 |
Available Financing(A) | 632,033 |
Debt Excess Borrowing Capacity | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 17,211,258 |
Balance Outstanding | 7,871,344 |
Available Financing(A) | $ 9,339,914 |
DEBT OBLIGATIONS - Schedule o_2
DEBT OBLIGATIONS - Schedule of Term Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | May 19, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||||||
Total | $ 16,676,444 | $ 16,676,444 | ||||
Amortization of debt discounts and issuance costs | 5,992 | $ 1,925 | ||||
Total | 116,403 | $ 228,004 | 333,258 | 440,836 | ||
2020 Term Loan | ||||||
Debt Instrument [Line Items] | ||||||
Principal outstanding | 600,000 | 600,000 | $ 600,000 | $ 0 | ||
Less: Unamortized debt discount and issuance costs | (66,617) | (66,617) | $ (6,000) | 0 | ||
Total | 533,383 | 533,383 | $ 0 | |||
Coupon interest at 11.00% | 6,783 | 0 | 6,783 | 0 | ||
Amortization of debt discounts and issuance costs | 1,883 | 0 | 1,883 | 0 | ||
Total | $ 8,666 | $ 0 | $ 8,666 | $ 0 | ||
Interest rate | 11.00% |
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 | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | ||
Investments in: | |||||
Excess mortgage servicing rights assets, at fair value | $ 458,923 | $ 505,343 | |||
Mortgage servicing rights, at fair value | 5,021,086 | 5,686,233 | |||
Mortgage servicing rights financing receivables, at fair value | 1,469,927 | 1,718,273 | |||
Real estate and other securities | 6,144,236 | 19,477,728 | |||
Residential mortgage loans, held-for-sale | 3,519,739 | 6,042,664 | |||
Residential mortgage loans subject to repurchase | 1,075,008 | [1] | 172,336 | [1] | $ 141,581 |
Derivative assets | 166,613 | 41,501 | |||
Restricted cash | 138,932 | 162,197 | |||
Liabilities | |||||
Residential mortgage loan repurchase liability | 1,100,000 | ||||
Derivative liabilities | 24,936 | 6,885 | |||
Excess spread financing, at fair value | 22,059 | $ 31,777 | |||
Recurring Basis | |||||
Investments in: | |||||
Excess mortgage servicing rights, principal balance | 81,666,625 | ||||
Excess mortgage servicing rights, equity method investees, principal balance | 31,923,937 | ||||
Mortgage servicing rights, principal balance | 379,397,792 | ||||
Mortgage servicing rights financing receivables, principal balance | 114,453,487 | ||||
Servicer advance investments, principal balance | 467,339 | ||||
Real estate and other securities, available-for-sale, principal balance | 27,043,911 | ||||
Residential mortgage loans, held-for-sale, principal | 853,934 | ||||
Residential mortgage loans, held-for-sale, at fair value principal balance | 2,921,615 | ||||
Residential mortgage loans, held-for-investment, at fair value, principal balance | 830,117 | ||||
Residential mortgage loans, subject to repurchase, principal balance | 1,075,008 | ||||
Consumer loans, held-for-investment, principal balance | 718,385 | ||||
Derivative assets, principal balance | 15,353,568 | ||||
Note receivable, principal balance | 46,724 | ||||
Cash and cash equivalents, principal balance | 1,013,208 | ||||
Restricted cash, principal balance | 138,932 | ||||
Liabilities | |||||
Repurchase agreements, principal balance | 9,179,077 | ||||
Residential mortgage loan repurchase liability, principal balance | 1,075,008 | ||||
Derivative liabilities, principal amount | 9,230,520 | ||||
Excess spread financing, principal balance | 2,655,595 | ||||
Mortgage backed securities, issued at fair value | 258,800 | ||||
Recurring Basis | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable, principal balance | 6,897,367 | ||||
Recurring Basis | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable, principal balance | 533,383 | ||||
Recurring Basis | Carrying Value | |||||
Investments in: | |||||
Excess mortgage servicing rights assets, at fair value | 346,450 | ||||
Excess mortgage servicing rights, equity method investees, at fair value | 112,473 | ||||
Mortgage servicing rights, at fair value | 3,551,159 | ||||
Mortgage servicing rights financing receivables, at fair value | 1,469,927 | ||||
Servicer advance investments, at fair value | 559,011 | ||||
Real estate and other securities | 6,144,236 | ||||
Residential mortgage loans, held-for-sale | 694,830 | ||||
Residential mortgage loans, held-for-sale, at fair value | 2,824,909 | ||||
Residential mortgage loans, held-for-investment, at fair value | 750,332 | ||||
Residential mortgage loans subject to repurchase | 1,075,008 | ||||
Consumer loans, held-for-investment, at fair value | 766,462 | ||||
Derivative assets | 166,613 | ||||
Note receivable | 42,787 | ||||
Cash and cash equivalents | 1,013,208 | ||||
Restricted cash | 138,932 | ||||
Other assets | 42,769 | ||||
Assets, fair value | 19,699,106 | ||||
Liabilities | |||||
Repurchase agreements | 9,171,498 | ||||
Residential mortgage loan repurchase liability | 1,075,008 | ||||
Derivative liabilities | 24,936 | ||||
Excess spread financing, at fair value | 22,059 | ||||
Contingent consideration | 13,274 | ||||
Liabilities, fair value | 17,719,620 | ||||
Recurring Basis | Carrying Value | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable | 6,879,462 | ||||
Recurring Basis | Carrying Value | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable | 533,383 | ||||
Recurring Basis | Total | |||||
Investments in: | |||||
Excess mortgage servicing rights assets, at fair value | 346,450 | ||||
Excess mortgage servicing rights, equity method investees, at fair value | 112,473 | ||||
Mortgage servicing rights, at fair value | 3,551,159 | ||||
Mortgage servicing rights financing receivables, at fair value | 1,469,927 | ||||
Servicer advance investments, at fair value | 559,011 | ||||
Real estate and other securities | 6,144,236 | ||||
Residential mortgage loans, held-for-sale | 701,610 | ||||
Residential mortgage loans, held-for-sale, at fair value | 2,824,909 | ||||
Residential mortgage loans, held-for-investment, at fair value | 750,332 | ||||
Residential mortgage loans subject to repurchase | 1,075,008 | ||||
Consumer loans, held-for-investment, at fair value | 766,462 | ||||
Derivative assets | 166,613 | ||||
Note receivable | 42,787 | ||||
Cash and cash equivalents | 1,013,208 | ||||
Restricted cash | 138,932 | ||||
Other assets | 42,769 | ||||
Assets, fair value | 19,705,886 | ||||
Liabilities | |||||
Repurchase agreements | 9,179,077 | ||||
Residential mortgage loan repurchase liability | 1,075,008 | ||||
Derivative liabilities | 24,936 | ||||
Excess spread financing, at fair value | 22,059 | ||||
Contingent consideration | 13,274 | ||||
Liabilities, fair value | 17,086,660 | ||||
Recurring Basis | Total | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable | 6,238,923 | ||||
Recurring Basis | Total | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable | 533,383 | ||||
Recurring Basis | Total | Level 1 | |||||
Investments in: | |||||
Excess mortgage servicing rights assets, 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 | 0 | ||||
Residential mortgage loans, held-for-sale | 0 | ||||
Residential mortgage loans, held-for-sale, at fair value | 0 | ||||
Residential mortgage loans, held-for-investment, at fair value | 0 | ||||
Residential mortgage loans subject to repurchase | 0 | ||||
Consumer loans, held-for-investment, at fair value | 0 | ||||
Derivative assets | 0 | ||||
Note receivable | 0 | ||||
Cash and cash equivalents | 1,013,208 | ||||
Restricted cash | 138,932 | ||||
Other assets | 3,831 | ||||
Assets, fair value | 1,155,971 | ||||
Liabilities | |||||
Repurchase agreements | 0 | ||||
Residential mortgage loan repurchase liability | 0 | ||||
Derivative liabilities | 0 | ||||
Excess spread financing, at fair value | 0 | ||||
Contingent consideration | 0 | ||||
Liabilities, fair value | 0 | ||||
Recurring Basis | Total | Level 1 | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable | 0 | ||||
Recurring Basis | Total | Level 1 | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable | 0 | ||||
Recurring Basis | Total | Level 2 | |||||
Investments in: | |||||
Excess mortgage servicing rights assets, 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 | 4,205,260 | ||||
Residential mortgage loans, held-for-sale | 0 | ||||
Residential mortgage loans, held-for-sale, at fair value | 1,719,899 | ||||
Residential mortgage loans, held-for-investment, at fair value | 0 | ||||
Residential mortgage loans subject to repurchase | 1,075,008 | ||||
Consumer loans, held-for-investment, at fair value | 0 | ||||
Derivative assets | 2,271 | ||||
Note receivable | 0 | ||||
Cash and cash equivalents | 0 | ||||
Restricted cash | 0 | ||||
Other assets | 0 | ||||
Assets, fair value | 7,002,438 | ||||
Liabilities | |||||
Repurchase agreements | 9,179,077 | ||||
Residential mortgage loan repurchase liability | 1,075,008 | ||||
Derivative liabilities | 24,539 | ||||
Excess spread financing, at fair value | 0 | ||||
Contingent consideration | 0 | ||||
Liabilities, fair value | 10,278,624 | ||||
Recurring Basis | Total | Level 2 | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable | 0 | ||||
Recurring Basis | Total | Level 2 | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable | 0 | ||||
Recurring Basis | Total | Level 3 | |||||
Investments in: | |||||
Excess mortgage servicing rights assets, at fair value | 346,450 | ||||
Excess mortgage servicing rights, equity method investees, at fair value | 112,473 | ||||
Mortgage servicing rights, at fair value | 3,551,159 | ||||
Mortgage servicing rights financing receivables, at fair value | 1,469,927 | ||||
Servicer advance investments, at fair value | 559,011 | ||||
Real estate and other securities | 1,938,976 | ||||
Residential mortgage loans, held-for-sale | 701,610 | ||||
Residential mortgage loans, held-for-sale, at fair value | 1,105,010 | ||||
Residential mortgage loans, held-for-investment, at fair value | 750,332 | ||||
Residential mortgage loans subject to repurchase | 0 | ||||
Consumer loans, held-for-investment, at fair value | 766,462 | ||||
Derivative assets | 164,342 | ||||
Note receivable | 42,787 | ||||
Cash and cash equivalents | 0 | ||||
Restricted cash | 0 | ||||
Other assets | 38,938 | ||||
Assets, fair value | 11,547,477 | ||||
Liabilities | |||||
Repurchase agreements | 0 | ||||
Residential mortgage loan repurchase liability | 0 | ||||
Derivative liabilities | 397 | ||||
Excess spread financing, at fair value | 22,059 | ||||
Contingent consideration | 13,274 | ||||
Liabilities, fair value | 6,808,036 | ||||
Recurring Basis | Total | Level 3 | Notes Payable | |||||
Liabilities | |||||
Notes and bonds payable | 6,238,923 | ||||
Recurring Basis | Total | Level 3 | Term Loan | |||||
Liabilities | |||||
Notes and bonds payable | 533,383 | ||||
Recurring Basis | Total | Fair Value Measured at Net Asset Value Per Share | |||||
Investments in: | |||||
Other assets | $ 31,800 | ||||
[1] | See Note 8 for details. |
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 | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Non-Agency | |||
Gains (losses) included in net income | |||
Included in gain (loss) on settlement of investments, net | $ (932,600) | $ 13,400 | |
Excess MSRs Investees | |||
Purchases, sales and repayments | |||
New Residential’s ownership | 50.00% | 50.00% | |
Recurring Basis | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | $ 18,769,854 | ||
Transfers from Level 3 | (480,318) | ||
Transfers to Level 3 | 1,267,713 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | (19,015) | ||
Included in change in fair value of investments in excess mortgage servicing rights | (11,109) | ||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | (2,509) | ||
Included in servicing revenue, net | (1,100,541) | ||
Included in change in fair value of investments in mortgage servicing rights financing receivables | (225,631) | ||
Included in change in fair value of servicer advance investments | (2,712) | ||
Included in change in fair value of investments in residential mortgage loans | (165,246) | ||
Included in gain (loss) on settlement of investments, net | (932,615) | ||
Included in other income (loss), net | 54,008 | ||
Gains (losses) included in other comprehensive income | (590,912) | ||
Interest income | 112,405 | ||
Purchases, sales and repayments | |||
Purchases | 3,105,371 | ||
Proceeds from sales | (7,821,188) | ||
Proceeds from repayments | (1,461,908) | ||
Originations and other | 268,098 | ||
Balance, ending | 10,763,745 | ||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 746,737 | ||
Transfers from Level 3 | (43,875) | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
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 | (10,133) | ||
Included in change in fair value of investments in notes receivable - rights to MSRs | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in change in fair value of investments in residential mortgage loans | (6,145) | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 3,871 | ||
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 | (395,266) | ||
Originations and other | (1,050) | ||
Balance, ending | 294,139 | ||
Recurring Basis | Level 3 | Servicer Advances | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 581,777 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | (2,712) | ||
Included in change in fair value of investments in residential mortgage loans | 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 | 2,082 | ||
Purchases, sales and repayments | |||
Purchases | 631,240 | ||
Proceeds from sales | |||
Proceeds from repayments | (653,376) | ||
Originations and other | 0 | ||
Balance, ending | 559,011 | ||
Recurring Basis | Level 3 | MSRs | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 3,967,960 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | |||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | |||
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 | (1,100,541) | ||
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 change in fair value of investments in residential mortgage loans | 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 | 456,665 | ||
Proceeds from sales | (9,801) | ||
Proceeds from repayments | (31,222) | ||
Originations and other | 268,098 | ||
Balance, ending | 3,551,159 | ||
Recurring Basis | Level 3 | Mortgage Servicing Rights Financing Receivable | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 1,718,273 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | |||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | |||
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 | (225,631) | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in change in fair value of investments in residential mortgage loans | 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 | 4,362 | ||
Proceeds from sales | (3,708) | ||
Proceeds from repayments | (23,369) | ||
Originations and other | 0 | ||
Balance, ending | 1,469,927 | ||
Recurring Basis | Level 3 | Non-Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 7,957,785 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 0 | ||
Gains (losses) included in net income | |||
Included in other-than-temporary impairment on securities | (19,015) | ||
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 change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | (932,627) | ||
Included in other income (loss), net | (51,903) | ||
Gains (losses) included in other comprehensive income | (621,364) | ||
Interest income | 84,633 | ||
Purchases, sales and repayments | |||
Purchases | 575,030 | ||
Proceeds from sales | (4,624,590) | ||
Proceeds from repayments | (428,973) | ||
Originations and other | 0 | ||
Balance, ending | 1,938,976 | ||
Recurring Basis | Level 3 | Derivatives | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 39,891 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | 0 | ||
Included in change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 124,054 | ||
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 | ||
Originations and other | 0 | ||
Balance, ending | 163,945 | ||
Recurring Basis | Level 3 | Residential mortgage loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 3,998,825 | ||
Transfers from Level 3 | (480,318) | ||
Transfers to Level 3 | 440,168 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | 0 | ||
Included in change in fair value of investments in residential mortgage loans | (165,246) | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (10,110) | ||
Gains (losses) included in other comprehensive income | (6,020) | ||
Interest income | 0 | ||
Purchases, sales and repayments | |||
Purchases | 1,420,390 | ||
Proceeds from sales | (3,183,041) | ||
Proceeds from repayments | (159,306) | ||
Originations and other | 0 | ||
Balance, ending | 1,855,342 | ||
Recurring Basis | Level 3 | Consumer 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 | 827,545 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | 0 | ||
Included in change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | (9,223) | ||
Gains (losses) included in other comprehensive income | 36,472 | ||
Interest income | 13,108 | ||
Purchases, sales and repayments | |||
Purchases | 17,684 | ||
Proceeds from sales | 0 | ||
Proceeds from repayments | (119,124) | ||
Originations and other | 0 | ||
Balance, ending | 766,462 | ||
Recurring Basis | Level 3 | Excess Spread Financing | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 31,777 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
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 | (10,133) | ||
Included in change in fair value of investments in notes receivable - rights to MSRs | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in change in fair value of investments in residential mortgage loans | 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 | ||
Originations and other | 415 | ||
Balance, ending | 22,059 | ||
Recurring Basis | Level 3 | Mortgage-Backed Securities Issued | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 659,738 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
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 notes receivable - rights to MSRs | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in change in fair value of investments in residential mortgage loans | (6,145) | ||
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 | (393,322) | ||
Originations and other | (1,465) | ||
Balance, ending | 258,806 | ||
Recurring Basis | Level 3 | Contingent Consideration | |||
Fair Value, Liabilities Measured on Recurring Basis, Gains (losses) included in net income [Abstract] | |||
Balance, beginning | 55,222 | ||
Transfers from Level 3 | (43,875) | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
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 notes receivable - rights to MSRs | 0 | ||
Included in change in fair value of servicer advance investments | 0 | ||
Included in change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | 0 | ||
Included in other income (loss), net | 3,871 | ||
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 | (1,944) | ||
Originations and other | 0 | ||
Balance, ending | 13,274 | ||
Recurring Basis | Level 3 | MSRs Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 209,633 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | (6,518) | ||
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 change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | 11 | ||
Included in other income (loss), net | 1,042 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 3,129 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | (44) | ||
Proceeds from repayments | (20,325) | ||
Originations and other | 0 | ||
Balance, ending | 186,928 | ||
Recurring Basis | Level 3 | MSRs Agency | Excess MSRs Investees | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 125,596 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | (2,509) | ||
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 change in fair value of investments in residential mortgage loans | 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 | (10,614) | ||
Originations and other | 0 | ||
Balance, ending | 112,473 | ||
Recurring Basis | Level 3 | MSRs Non-Agency | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning | 170,114 | ||
Transfers from Level 3 | 0 | ||
Transfers to Level 3 | 0 | ||
Shellpoint Acquisition | 0 | ||
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights | 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 | (4,591) | ||
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 change in fair value of investments in residential mortgage loans | 0 | ||
Included in gain (loss) on settlement of investments, net | 1 | ||
Included in other income (loss), net | 148 | ||
Gains (losses) included in other comprehensive income | 0 | ||
Interest income | 9,453 | ||
Purchases, sales and repayments | |||
Purchases | 0 | ||
Proceeds from sales | (4) | ||
Proceeds from repayments | (15,599) | ||
Originations and other | 0 | ||
Balance, ending | $ 159,522 |
FAIR VALUE MEASUREMENT - Inform
FAIR VALUE MEASUREMENT - Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 6 Months Ended |
Jun. 30, 2020$ / Loan | |
Measurement Input, Servicing Cost | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 6.2 |
Measurement Input, Servicing Cost | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 8.3 |
Measurement Input, Servicing Cost | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 7 |
Measurement Input, Servicing Cost | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 6.2 |
Measurement Input, Servicing Cost | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 8.8 |
Measurement Input, Servicing Cost | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 7 |
Measurement Input, Servicing Cost | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 11.10 |
Measurement Input, Servicing Cost | Ginnie Mae | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 8.80 |
Prepayment Rate | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.125 |
Prepayment Rate | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.089 |
Prepayment Rate | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.081 |
Prepayment Rate | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.224 |
Prepayment Rate | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.132 |
Prepayment Rate | Original and Recaptured Pools | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.081 |
Prepayment Rate | Original and Recaptured Pools | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.224 |
Prepayment Rate | Original and Recaptured Pools | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.131 |
Prepayment Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.120 |
Prepayment Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.147 |
Prepayment Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.139 |
Prepayment Rate | Non-Agency | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.082 |
Prepayment Rate | Non-Agency | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.161 |
Prepayment Rate | Non-Agency | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.083 |
Prepayment Rate | Non-Agency | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.099 |
Prepayment Rate | Non-Agency | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.161 |
Prepayment Rate | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.142 |
Prepayment Rate | Non-Agency | MSR Financing Receivables(I) | |
Directly Held | |
Servicing asset, measurement input | 0.082 |
Prepayment Rate | Ginnie Mae | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.081 |
Prepayment Rate | Ginnie Mae | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.250 |
Prepayment Rate | Ginnie Mae | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.130 |
Prepayment Rate | Ginnie Mae | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Ginnie Mae | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.250 |
Prepayment Rate | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.203 |
Prepayment Rate | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.125 |
Prepayment Rate | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.088 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.070 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.106 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.082 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.074 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.121 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.104 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.070 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.121 |
Prepayment Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.089 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.075 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.125 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.090 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.069 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.064 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.125 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.086 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.084 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.102 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.072 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.106 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.084 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.095 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.106 |
Prepayment Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.099 |
Delinquency | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.004 |
Delinquency | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.022 |
Delinquency | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.010 |
Delinquency | Original and Recaptured Pools | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.004 |
Delinquency | Original and Recaptured Pools | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.022 |
Delinquency | Original and Recaptured Pools | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.010 |
Delinquency | Original and Recaptured Pools | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Delinquency | Original and Recaptured Pools | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.011 |
Delinquency | Original and Recaptured Pools | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.009 |
Delinquency | Non-Agency | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Delinquency | Non-Agency | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.144 |
Delinquency | Non-Agency | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.142 |
Delinquency | Non-Agency | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Delinquency | Non-Agency | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.106 |
Delinquency | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.038 |
Delinquency | Non-Agency | MSR Financing Receivables(I) | |
Directly Held | |
Servicing asset, measurement input | 0.144 |
Delinquency | Ginnie Mae | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.004 |
Delinquency | Ginnie Mae | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.144 |
Delinquency | Ginnie Mae | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.045 |
Delinquency | Ginnie Mae | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.013 |
Delinquency | Ginnie Mae | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.083 |
Delinquency | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.063 |
Delinquency | Directly Held | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Delinquency | Directly Held | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.035 |
Delinquency | Directly Held | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.014 |
Delinquency | Directly Held | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.035 |
Delinquency | Directly Held | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.008 |
Delinquency | Directly Held | Original and Recaptured Pools | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Delinquency | Directly Held | Original and Recaptured Pools | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.035 |
Delinquency | Directly Held | Original and Recaptured Pools | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.040 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.013 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.010 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.028 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.016 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.014 |
Delinquency | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.011 |
Recapture Rate | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.391 |
Recapture Rate | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.161 |
Recapture Rate | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.034 |
Recapture Rate | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.347 |
Recapture Rate | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.198 |
Recapture Rate | Original and Recaptured Pools | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.034 |
Recapture Rate | Original and Recaptured Pools | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.347 |
Recapture Rate | Original and Recaptured Pools | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.207 |
Recapture Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Recapture Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.157 |
Recapture Rate | Original and Recaptured Pools | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.131 |
Recapture Rate | Non-Agency | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.042 |
Recapture Rate | Non-Agency | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.310 |
Recapture Rate | Non-Agency | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.093 |
Recapture Rate | Non-Agency | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.042 |
Recapture Rate | Non-Agency | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.310 |
Recapture Rate | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.225 |
Recapture Rate | Non-Agency | MSR Financing Receivables(I) | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Recapture Rate | Ginnie Mae | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.034 |
Recapture Rate | Ginnie Mae | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.350 |
Recapture Rate | Ginnie Mae | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.200 |
Recapture Rate | Ginnie Mae | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.156 |
Recapture Rate | Ginnie Mae | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.350 |
Recapture Rate | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.230 |
Recapture Rate | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.391 |
Recapture Rate | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.160 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.065 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.358 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.149 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.391 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.261 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.391 |
Recapture Rate | Directly Held | Original and Recaptured Pools | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.184 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.141 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.126 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.123 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.222 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.169 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.222 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.133 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.137 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.293 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.161 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.071 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.358 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.143 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.131 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.334 |
Recapture Rate | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.179 |
Servicing Amount Percent | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.05 |
Servicing Amount Percent | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.31 |
Servicing Amount Percent | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.20 |
Servicing Amount Percent | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.33 |
Servicing Amount Percent | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.28 |
Servicing Amount Percent | Original and Recaptured Pools | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Original and Recaptured Pools | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.33 |
Servicing Amount Percent | Original and Recaptured Pools | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.28 |
Servicing Amount Percent | Original and Recaptured Pools | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Original and Recaptured Pools | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.29 |
Servicing Amount Percent | Original and Recaptured Pools | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.27 |
Servicing Amount Percent | Non-Agency | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Non-Agency | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.89 |
Servicing Amount Percent | Non-Agency | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.48 |
Servicing Amount Percent | Non-Agency | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Non-Agency | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.89 |
Servicing Amount Percent | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.45 |
Servicing Amount Percent | Non-Agency | MSR Financing Receivables(I) | |
Directly Held | |
Servicing asset, measurement input | 0.48 |
Servicing Amount Percent | Ginnie Mae | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Ginnie Mae | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.89 |
Servicing Amount Percent | Ginnie Mae | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.34 |
Servicing Amount Percent | Ginnie Mae | MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.32 |
Servicing Amount Percent | Ginnie Mae | MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.53 |
Servicing Amount Percent | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.44 |
Servicing Amount Percent | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.05 |
Servicing Amount Percent | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.31 |
Servicing Amount Percent | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.19 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.15 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.31 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.22 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.15 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.31 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.21 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.20 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.29 |
Servicing Amount Percent | Directly Held | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.23 |
Servicing Amount Percent | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.05 |
Servicing Amount Percent | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.15 |
Servicing Amount Percent | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.23 |
Servicing Amount Percent | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.27 |
Servicing Amount Percent | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.05 |
Servicing Amount Percent | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.27 |
Servicing Amount Percent | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.16 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.15 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.19 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.22 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.28 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.25 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.15 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.28 |
Servicing Amount Percent | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.22 |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 15 years |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 31 years |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Original and Recaptured Pools | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 25 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 26 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSR Financing Receivables(I) | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSR Financing Receivables(I) | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSR Financing Receivables(I) | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 25 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 30 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 27 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 15 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 31 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 15 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 15 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 19 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 19 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 19 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 31 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 19 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 31 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 19 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Original and Recaptured Pools | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
FAIR VALUE MEASUREMENT - Narrat
FAIR VALUE MEASUREMENT - Narrative (Details) $ in Millions | Apr. 10, 2020USD ($) | Jun. 30, 2020USD ($)earnout_payment |
Fair Value, Measurements, Nonrecurring | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets, fair value | $ 729.5 | |
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% | |
Weighted Average | ||
Schedule of Equity Method Investments [Line Items] | ||
Broker price discount | 16.00% | |
Residential Mortgage Loans, Held-for-Sale | Fair Value, Measurements, Nonrecurring | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets, fair value | $ 687.1 | |
Real Estate Acquired in Satisfaction of Debt | Fair Value, Measurements, Nonrecurring | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets, fair value | 42.4 | |
Loans Held-for-sale and Held-for-investment | ||
Schedule of Equity Method Investments [Line Items] | ||
Asset fair value adjustment | 92.7 | |
Real Estate Owned | ||
Schedule of Equity Method Investments [Line Items] | ||
Asset fair value adjustment | $ 1.4 | |
Mortgage Servicing Rights Financing Receivable | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 9.50% | |
Mortgage Servicing Rights Financing Receivable | Minimum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 7.90% | |
Mortgage Servicing Rights Financing Receivable | Maximum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 10.00% | |
Mortgage Servicing Rights Financing Receivable | Weighted Average | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 9.50% | |
MSRs | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.20% | |
MSRs | Minimum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 7.80% | |
MSRs | Maximum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 13.50% | |
MSRs | Weighted Average | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.20% | |
MSRs | Excess MSRs Investees | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.30% | |
MSRs | Excess MSRs Investees | Minimum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.00% | |
MSRs | Excess MSRs Investees | Maximum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.50% | |
MSRs | Excess MSRs Investees | Weighted Average | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.30% | |
London Interbank Offered Rate (LIBOR) | Mortgage Servicing Rights Financing Receivable | ||
Schedule of Equity Method Investments [Line Items] | ||
Variable interest rate spread | 2.10% | |
Guardian Asset Management | ||
Schedule of Equity Method Investments [Line Items] | ||
Cash earnout payments | earnout_payment | 4 | |
Contingent consideration, discount rate | 11.00% | |
NRZ Guardian Purchaser LLC | Guardian Asset Management | ||
Schedule of Equity Method Investments [Line Items] | ||
Contingent consideration | $ 17.5 | |
Cash consideration transferred | $ 1.9 |
FAIR VALUE MEASUREMENT - Info_2
FAIR VALUE MEASUREMENT - Information Regarding the Inputs used in Valuing the Servicer Advances (Details) - Servicer Advances | 6 Months Ended |
Jun. 30, 2020 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Mortgage servicing amount | 10.70% |
Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 0.80% |
Mortgage servicing amount | 0.168 |
Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.50% |
Mortgage servicing amount | 0.197 |
Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.50% |
Mortgage servicing amount | 0.197 |
Prepayment Rate | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.086 |
Prepayment Rate | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.091 |
Delinquency | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.074 |
Delinquency | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.090 |
Delinquency | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.090 |
Discount Rate | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.053 |
Discount Rate | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.058 |
Discount Rate | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.053 |
Collateral Weighted Average Maturity (Years) | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, term | 22 years 6 months |
Collateral Weighted Average Maturity (Years) | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, term | 22 years 7 months 6 days |
Collateral Weighted Average Maturity (Years) | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, term | 22 years 6 months |
FAIR VALUE MEASUREMENT - Securi
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020USD ($)source | Dec. 31, 2019USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | $ 27,043,910 | |
Amortized Cost Basis | 6,126,768 | |
Real estate and other securities | $ 6,144,236 | $ 19,477,728 |
Number of broker quotation sources | source | 2 | |
Percent of securities | 51.90% | |
Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 6,135,134 | |
Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 9,102 | |
Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 4,023,936 | |
Amortized Cost Basis | 4,161,318 | |
Real estate and other securities | 4,205,260 | 11,519,943 |
Agency RMBS | Level 2 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 4,205,260 | |
Agency RMBS | Level 2 | Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 4,205,260 | |
Agency RMBS | Level 2 | Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 0 | |
Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 23,019,974 | |
Amortized Cost Basis | 1,965,450 | |
Real estate and other securities | 1,938,976 | $ 7,957,785 |
Fair Value | 1,005,951 | |
Non-Agency RMBS | Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 1,938,976 | |
Non-Agency RMBS | Level 3 | Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 1,929,874 | |
Non-Agency RMBS | Level 3 | Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 9,102 | |
Minimum | Non-Agency RMBS | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.0155 | |
Minimum | Non-Agency RMBS | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.015 | |
Minimum | Non-Agency RMBS | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.0015 | |
Minimum | Non-Agency RMBS | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.20 | |
Maximum | Non-Agency RMBS | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.1500 | |
Maximum | Non-Agency RMBS | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.25 | |
Maximum | Non-Agency RMBS | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.06 | |
Maximum | Non-Agency RMBS | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.80 | |
Weighted Average | Non-Agency RMBS | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.0463 | |
Weighted Average | Non-Agency RMBS | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.1429 | |
Weighted Average | Non-Agency RMBS | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.0048 | |
Weighted Average | Non-Agency RMBS | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.3554 |
FAIR VALUE MEASUREMENT - Schedu
FAIR VALUE MEASUREMENT - Schedule of Inputs Used In Valuing Residential Mortgage Loans, Consumer Loans, Derivatives, and Mortgage Backed Securities (Details) $ in Thousands | Jun. 30, 2020USD ($) |
Residential Mortgage Loans Held-for-Sale, At Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held-for-sale, fair value | $ 1,105,010 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans, held-for-investment, fair value | $ 750,332 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.041 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.020 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.024 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.200 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Discount 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 | Maximum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.200 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.200 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.431 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.075 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.052 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 0.029 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for investment, measurement input | 4.050 |
Consumer Loans Held-for-Investment, At Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, at fair value | $ 766,462 |
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.085 |
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.177 |
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.056 |
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.834 |
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.107 |
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.293 |
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.177 |
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.902 |
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.085 |
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.178 |
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.057 |
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Consumer loans, held-for-investment, measurement input | 0.834 |
IRLCs | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Derivative, fair value | $ 163,945 |
IRLCs | Minimum | Loan Funding Probability | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Derivative, measurement input | 0.60 |
IRLCs | Minimum | Fair Value of Initial Servicing Rights | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Derivative, measurement input | 0.0058 |
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 | 0.0237 |
IRLCs | Weighted Average | Loan Funding Probability | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Derivative, measurement input | 0.8114 |
IRLCs | Weighted Average | Fair Value of Initial Servicing Rights | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Derivative, measurement input | 0.008605 |
Mortgage-Backed Securities Issued | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, fair value | $ 258,806 |
Mortgage-Backed Securities Issued | Minimum | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.0400 |
Mortgage-Backed Securities Issued | Minimum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.032 |
Mortgage-Backed Securities Issued | Minimum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Mortgage-Backed Securities Issued | Minimum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.100 |
Mortgage-Backed Securities Issued | Maximum | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.053 |
Mortgage-Backed Securities Issued | Maximum | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.150 |
Mortgage-Backed Securities Issued | Maximum | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.0330 |
Mortgage-Backed Securities Issued | Maximum | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.400 |
Mortgage-Backed Securities Issued | Weighted Average | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.0490 |
Mortgage-Backed Securities Issued | Weighted Average | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.072 |
Mortgage-Backed Securities Issued | Weighted Average | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.0220 |
Mortgage-Backed Securities Issued | Weighted Average | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.298 |
Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held-for-sale, fair value | $ 1,075,996 |
Purchased Credit Deteriorated | 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 | 0.045 |
Purchased Credit Deteriorated | 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 |
Purchased Credit Deteriorated | 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 | 0.016 |
Purchased Credit Deteriorated | 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 | 0.287 |
Purchased Credit Deteriorated | 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 | 0.060 |
Purchased Credit Deteriorated | 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 | 0.150 |
Purchased Credit Deteriorated | 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 | 0.071 |
Purchased Credit Deteriorated | 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 | 1 |
Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.048 |
Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.059 |
Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.068 |
Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.326 |
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held-for-sale, fair value | $ 29,014 |
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.060 |
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.150 |
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 0.016 |
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Loans held for sale, measurement input | 1 |
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 - Total $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | $ 687,107 |
Performing Loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | 190,427 |
Non-Performing Loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value | $ 496,680 |
Minimum | Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.045 |
Minimum | Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 2 years 8 months 12 days |
Minimum | Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.043 |
Minimum | Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.016 |
Minimum | Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0 |
Minimum | Non-Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.0580 |
Minimum | Non-Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 2 years 7 months 6 days |
Minimum | Non-Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.020 |
Minimum | Non-Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.029 |
Minimum | Non-Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0 |
Maximum | Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.095 |
Maximum | Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 5 years |
Maximum | Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.150 |
Maximum | Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.162 |
Maximum | Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 1 |
Maximum | Non-Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.085 |
Maximum | Non-Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 4 months 24 days |
Maximum | Non-Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.070 |
Maximum | Non-Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.066 |
Maximum | Non-Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.300 |
Weighted Average | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.070 |
Weighted Average | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 3 years 9 months 18 days |
Weighted Average | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.036 |
Weighted Average | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.043 |
Weighted Average | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.315 |
Weighted Average | Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.056 |
Weighted Average | Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 1 month 6 days |
Weighted Average | Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.075 |
Weighted Average | Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.078 |
Weighted Average | Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.369 |
Weighted Average | Non-Performing Loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.083 |
Weighted Average | Non-Performing Loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 3 years 3 months 18 days |
Weighted Average | Non-Performing Loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.021 |
Weighted Average | Non-Performing Loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.030 |
Weighted Average | Non-Performing Loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.294 |
CONSOLIDATED VARIABLE INTERES_3
CONSOLIDATED VARIABLE INTEREST ENTITIES - Narrative (Details) $ in Millions | 6 Months Ended |
Jun. 30, 2020USD ($) | |
VIE, consolidated | |
Variable Interest Entity [Line Items] | |
New Residential Interest in Investees | 73.20% |
Capital distributed to third-party co-investors | $ 328.4 |
Capital distributed to New Residential | $ 306.9 |
Consumer Loan Companies | |
Variable Interest Entity [Line Items] | |
Ownership interest | 53.50% |
CONSOLIDATED VARIABLE INTERES_4
CONSOLIDATED VARIABLE INTEREST ENTITIES - Variable Interest Entities, Characteristics (Details) - SAFT 2013-1 Securitization Entity - VIE, consolidated - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Variable Interest Entity [Line Items] | ||
UPB of Underlying Mortgages | $ 14,779,498 | $ 9,881,506 |
Weighted average delinquency | 3.15% | 1.95% |
Net credit losses | $ 28,874 | $ 6,687 |
Face amount of debt held by third parties | 12,817,104 | 8,896,238 |
Carrying value of bonds retained by New Residential | 1,692,841 | 1,154,989 |
Cash flows received by New Residential on these bonds | $ 151,852 | $ 126,787 |
Number of days delinquent (in days) | 60 days |
CONSOLIDATED VARIABLE INTERES_5
CONSOLIDATED VARIABLE INTEREST ENTITIES - Variable Interest Entities, Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Assets | |||
Total | [1] | $ 559,011 | $ 581,777 |
Cash and cash equivalents | [1] | 1,013,208 | 528,737 |
Restricted cash | 138,932 | 162,197 | |
Other assets | 1,194,057 | 1,395,800 | |
Total assets | 23,752,149 | 44,863,454 | |
Liabilities | |||
Notes and bonds payable | [1] | 6,879,462 | 7,720,148 |
Accrued expenses and other liabilities | [1] | 532,249 | 600,790 |
Total liabilities | 18,363,177 | 37,627,194 | |
VIE, consolidated | |||
Assets | |||
Total | 544,204 | 565,271 | |
Residential mortgage loans, held-for-investment, at fair value | 417,560 | 913,030 | |
Consumer loans, held-for-investment, at fair value | 761,525 | 818,943 | |
Cash and cash equivalents | 65,661 | 53,867 | |
Restricted cash | 13,896 | 14,423 | |
Other assets | 19,666 | 18,379 | |
Total assets | 1,822,512 | 2,383,913 | |
Liabilities | |||
Notes and bonds payable | 1,413,132 | 1,913,696 | |
Accrued expenses and other liabilities | 12,341 | 20,038 | |
Total liabilities | 1,425,473 | 1,933,734 | |
VIE, consolidated | The Buyer | |||
Assets | |||
Total | 544,204 | 565,271 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Consumer loans, held-for-investment, at fair value | 0 | 0 | |
Cash and cash equivalents | 36,878 | 30,065 | |
Restricted cash | 5,331 | 5,350 | |
Other assets | 6 | 2,414 | |
Total assets | 586,419 | 603,100 | |
Liabilities | |||
Notes and bonds payable | 433,635 | 433,300 | |
Accrued expenses and other liabilities | 2,104 | 1,593 | |
Total liabilities | 435,739 | 434,893 | |
VIE, consolidated | Shelter Joint Ventures | |||
Assets | |||
Total | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Consumer loans, held-for-investment, at fair value | 0 | 0 | |
Cash and cash equivalents | 28,783 | 23,802 | |
Restricted cash | 0 | 0 | |
Other assets | 8,501 | 3,556 | |
Total assets | 37,284 | 27,358 | |
Liabilities | |||
Notes and bonds payable | 0 | 0 | |
Accrued expenses and other liabilities | 6,229 | 4,187 | |
Total liabilities | 6,229 | 4,187 | |
VIE, consolidated | Residential Mortgage Loans | |||
Assets | |||
Total | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 417,560 | 913,030 | |
Consumer loans, held-for-investment, at fair value | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 0 | 0 | |
Other assets | 350 | 0 | |
Total assets | 417,910 | 913,030 | |
Liabilities | |||
Notes and bonds payable | 258,807 | 659,738 | |
Accrued expenses and other liabilities | 0 | 10,132 | |
Total liabilities | 258,807 | 669,870 | |
VIE, consolidated | Consumer Loan Companies | |||
Assets | |||
Total | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Consumer loans, held-for-investment, at fair value | 761,525 | 818,943 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 8,565 | 9,073 | |
Other assets | 10,809 | 12,409 | |
Total assets | 780,899 | 840,425 | |
Liabilities | |||
Notes and bonds payable | 720,690 | 820,658 | |
Accrued expenses and other liabilities | 4,008 | 4,126 | |
Total liabilities | $ 724,698 | $ 824,784 | |
[1] | See Note 13 regarding consolidated VIEs. |
CONSOLIDATED VARIABLE INTERES_6
CONSOLIDATED VARIABLE INTEREST ENTITIES - Others' Interest in Equity of Consumer Loan Companies (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Noncontrolling Interest [Line Items] | ||||||||
Total consolidated equity | $ 5,388,972 | $ 6,800,830 | $ 5,388,972 | $ 6,800,830 | $ 5,330,464 | $ 7,236,260 | $ 6,912,209 | $ 6,088,295 |
Others’ interests in equity of consolidated subsidiary | 96,681 | 96,681 | 78,550 | |||||
Net (loss) income | 44,129 | (25,020) | (1,563,126) | 130,892 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 38,640 | 6,923 | $ 22,478 | 17,241 | ||||
VIE, consolidated | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
New Residential Interest in Investees | 73.20% | |||||||
VIE, consolidated | The Buyer | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Total consolidated equity | 150,680 | $ 150,680 | 168,207 | |||||
Others’ interests in equity of consolidated subsidiary | 40,333 | 40,333 | 45,025 | |||||
Net (loss) income | 32,092 | 1,235 | (9,923) | 10,390 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 8,591 | 331 | (2,656) | 2,782 | ||||
VIE, consolidated | Shelter Joint Ventures | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Total consolidated equity | 31,055 | 31,055 | 23,171 | |||||
Others’ interests in equity of consolidated subsidiary | 15,186 | 15,186 | 11,354 | |||||
Net (loss) income | 9,037 | 3,182 | 11,660 | 3,980 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 4,419 | 1,543 | 5,702 | 1,950 | ||||
VIE, consolidated | Consumer Loan Companies | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Total consolidated equity | 87,343 | 87,343 | 46,510 | |||||
Others’ interests in equity of consolidated subsidiary | 41,162 | 41,162 | $ 22,171 | |||||
Net (loss) income | 55,119 | 10,859 | 41,789 | 26,900 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 25,630 | $ 5,049 | $ 19,432 | $ 12,509 | ||||
VIE, consolidated | The Buyer | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 26.80% | 26.80% | 26.80% | |||||
New Residential Interest in Investees | 73.20% | 73.20% | 73.20% | 73.20% | ||||
VIE, consolidated | Shelter Joint Ventures | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 48.90% | 48.90% | 49.00% | |||||
VIE, consolidated | Consumer Loan Companies | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% | |||||
Weighted Average | VIE, consolidated | The Buyer | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 26.80% | 26.80% | 26.80% | 26.80% | ||||
Weighted Average | VIE, consolidated | Shelter Joint Ventures | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 48.90% | 49.00% | 48.90% | 49.00% | ||||
Weighted Average | VIE, consolidated | Consumer Loan Companies | ||||||||
Noncontrolling Interest [Line Items] | ||||||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% | 46.50% |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | Jun. 22, 2020 | May 19, 2020 | Feb. 14, 2020 | Aug. 20, 2019 | Aug. 15, 2019 | Aug. 01, 2019 | Jul. 02, 2019 | Jul. 30, 2018 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Feb. 28, 2019 | Jun. 30, 2020 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 |
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 46,000,000 | |||||||||||||||
Shares issued, price per share (in dollars per share) | $ 16.50 | |||||||||||||||
Issuance of common stock | $ 751,700 | $ 1,734 | $ 752,217 | |||||||||||||
Options granted (in shares) | 1,619,739 | |||||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||||
Number of shares issued (in shares) | 33,610,000 | |||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||||
Common stock, shares outstanding (in shares) | 415,744,518 | 415,744,518 | 415,520,780 | |||||||||||||
Authorized repurchase amount | $ 200,000 | |||||||||||||||
Share repurchases (in shares) | 0 | |||||||||||||||
Fair value | $ 53,500 | |||||||||||||||
Share price (in dollars per share) | $ 7.43 | $ 7.43 | ||||||||||||||
Fortress-managed funds | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Common stock, shares outstanding (in shares) | 2,400,000 | 2,400,000 | ||||||||||||||
Share-based Payment Arrangement, Nonemployee | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Options granted (in shares) | 4,600,000 | |||||||||||||||
Options granted, fair value | $ 3,800 | |||||||||||||||
Risk free interest rate | 2.40% | |||||||||||||||
Expected dividend rate | 9.30% | |||||||||||||||
Expected volatility rate | 19.26% | |||||||||||||||
Expected term (in years) | 10 years | |||||||||||||||
Share-based Payment Arrangement, Nonemployee | Common stock purchase warrants | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Options granted (in shares) | 43,400,000 | |||||||||||||||
Risk free interest rate | 0.24% | |||||||||||||||
Expected volatility rate | 35.00% | |||||||||||||||
Expected term (in years) | 3 years | |||||||||||||||
Exercise price range, lower range limit (in dollars per share) | $ 6.11 | |||||||||||||||
Exercise price range, upper range limit (in dollars per share) | $ 7.94 | |||||||||||||||
Share-based Payment Arrangement, Nonemployee | Common stock purchase warrants | Exercise Price One | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Shares exercisable (in shares) | 24,600,000 | |||||||||||||||
Exercise price (in dollars per share) | $ 6.11 | |||||||||||||||
Share-based Payment Arrangement, Nonemployee | Common stock purchase warrants | Exercise Price Two | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Shares exercisable (in shares) | 18,900,000 | |||||||||||||||
Exercise price (in dollars per share) | $ 7.94 | |||||||||||||||
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Risk free interest rate | 1.91% | |||||||||||||||
Expected dividend rate | 9.73% | |||||||||||||||
Expected volatility rate | 17.95% | |||||||||||||||
Expected term (in years) | 10 years | |||||||||||||||
Net proceeds from liquidation | $ 150,000 | |||||||||||||||
Number of shares issued (in shares) | 6,200,000 | 6,210,000 | ||||||||||||||
Interest rate | 7.50% | 7.50% | 7.50% | 7.50% | ||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Liquidation preference per share (in dollars per share) | $ 25 | |||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.47 | 0.47 | $ 0.94 | |||||||||||||
Preferred dividends | $ 2,900 | |||||||||||||||
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Share-based Payment Arrangement, Nonemployee | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Fair value of options granted to Manager | $ 500 | |||||||||||||||
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Risk free interest rate | 1.56% | |||||||||||||||
Expected dividend rate | 11.20% | |||||||||||||||
Expected volatility rate | 18.23% | |||||||||||||||
Expected term (in years) | 10 years | |||||||||||||||
Net proceeds from liquidation | $ 273,400 | |||||||||||||||
Number of shares issued (in shares) | 11,300,000 | 11,300,000 | ||||||||||||||
Interest rate | 7.125% | 7.125% | 7.125% | 7.125% | ||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Liquidation preference per share (in dollars per share) | $ 25 | |||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.45 | 0.45 | $ 890 | |||||||||||||
Preferred dividends | $ 5,100 | |||||||||||||||
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Share-based Payment Arrangement, Nonemployee | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Fair value of options granted to Manager | $ 700 | |||||||||||||||
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Risk free interest rate | 1.55% | |||||||||||||||
Expected dividend rate | 9.00% | |||||||||||||||
Expected volatility rate | 17.39% | |||||||||||||||
Expected term (in years) | 10 years | |||||||||||||||
Net proceeds from liquidation | $ 389,500 | |||||||||||||||
Number of shares issued (in shares) | 16,100,000 | |||||||||||||||
Interest rate | 6.375% | 6.375% | 6.375% | |||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Liquidation preference per share (in dollars per share) | $ 25 | |||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.40 | |||||||||||||||
Preferred dividends | $ 6,400 | |||||||||||||||
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Share-based Payment Arrangement, Nonemployee | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Fair value of options granted to Manager | $ 1,000 | |||||||||||||||
Distribution Agreement | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | |||||||||||||||
Over-Allotment Option | 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Number of shares issued (in shares) | 600,000 | |||||||||||||||
Over-Allotment Option | 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Number of shares issued (in shares) | 1,100,000 | |||||||||||||||
Over-Allotment Option | 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Number of shares issued (in shares) | 1,600,000 | |||||||||||||||
Common Stock | Distribution Agreement | ||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | ||||||||||||||||
Net proceeds from liquidation | $ 500,000 | $ 500,000 |
EQUITY AND EARNINGS PER SHARE_2
EQUITY AND EARNINGS PER SHARE - Schedule of ATM Program Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | |
Feb. 29, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2020 | |
Equity, Class of Treasury Stock [Line Items] | ||||
Number of Common shares (in shares) | 33,610,000 | |||
Options granted (in shares) | 1,619,739 | |||
ATM Program | ||||
Equity, Class of Treasury Stock [Line Items] | ||||
Number of Common shares (in shares) | 0 | 97,394,000 | ||
Average price per share (in dollars per share) | $ 0 | $ 17.06 | $ 0 | |
Gross Proceeds | $ 0 | $ 1,662 | ||
Fees | 0 | 12 | ||
Net Proceeds | $ 0 | $ 1,650 | ||
ATM Program | Share-based Payment Arrangement, Employee | Held by the Manager | ||||
Equity, Class of Treasury Stock [Line Items] | ||||
Options granted (in shares) | 10,000 | |||
Issuance of stock | $ 200 |
EQUITY AND EARNINGS PER SHARE_3
EQUITY AND EARNINGS PER SHARE - Schedule of Preferred Shares (Details) - USD ($) $ / shares in Units, $ in Thousands | Jun. 22, 2020 | Aug. 15, 2019 | Jul. 02, 2019 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Class of Stock [Line Items] | |||||||||
Number of shares issued (in shares) | 33,610,000 | ||||||||
Liquidation Preference | $ 840,250 | ||||||||
Carrying Value | $ 812,992 | $ 812,992 | |||||||
7.50% Series A Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares issued (in shares) | 6,200,000 | 6,210,000 | |||||||
Liquidation Preference | $ 155,250 | ||||||||
Issuance Discount | 3.15% | ||||||||
Carrying Value | $ 150,026 | $ 150,026 | |||||||
Dividends (in dollars per share) | $ 0.47 | $ 0.47 | $ 0.94 | ||||||
Interest rate | 7.50% | 7.50% | 7.50% | 7.50% | |||||
7.125% Series B Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares issued (in shares) | 11,300,000 | 11,300,000 | |||||||
Liquidation Preference | $ 282,500 | ||||||||
Issuance Discount | 3.15% | ||||||||
Carrying Value | $ 273,418 | $ 273,418 | |||||||
Dividends (in dollars per share) | $ 0.45 | $ 0.45 | $ 890 | ||||||
Interest rate | 7.125% | 7.125% | 7.125% | 7.125% | |||||
6.375% Series C Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares issued (in shares) | 16,100,000 | ||||||||
Liquidation Preference | $ 402,500 | ||||||||
Issuance Discount | 3.15% | ||||||||
Carrying Value | $ 389,548 | $ 389,548 | |||||||
Dividends (in dollars per share) | $ 0.40 | $ 800 | |||||||
Interest rate | 6.375% |
EQUITY AND EARNINGS PER SHARE_4
EQUITY AND EARNINGS PER SHARE - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Millions | Jun. 22, 2020 | Mar. 31, 2020 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 |
Dividends Payable [Line Items] | ||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.10 | $ 0.50 | $ 0.15 | $ 1 | ||
Total Amounts Distributed (millions) | $ 0 | $ 20.8 | ||||
Quarterly Dividend [Member] | ||||||
Dividends Payable [Line Items] | ||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.10 | $ 0.05 |
EQUITY AND EARNINGS PER SHARE_5
EQUITY AND EARNINGS PER SHARE - Schedule of Warrants (Details) - $ / shares | 1 Months Ended | 6 Months Ended |
Feb. 28, 2019 | Jun. 30, 2020 | |
Number of Warrants (in millions) | ||
Beginning balance (in shares) | 12,808,916 | |
Options granted (in shares) | 1,619,739 | |
Exercised (in shares) | 0 | |
Options expired unexercised (in shares) | 0 | |
Ending balance (in shares) | 14,428,655 | |
Weighted Average Exercise Price (per share) | ||
Granted (in dollars per share) | $ 17.41 | |
Exercised (in dollars per share) | $ 0 | |
Share-based Payment Arrangement, Nonemployee | ||
Number of Warrants (in millions) | ||
Options granted (in shares) | 4,600,000 | |
Share-based Payment Arrangement, Nonemployee | Common stock purchase warrants | ||
Number of Warrants (in millions) | ||
Beginning balance (in shares) | 0 | |
Options granted (in shares) | 43,400,000 | |
Exercised (in shares) | 0 | |
Options expired unexercised (in shares) | 0 | |
Ending balance (in shares) | 43,400,000 | |
Weighted Average Exercise Price (per share) | ||
December 31, 2019 outstanding warrants (in dollars per share) | $ 0 | |
Granted (in dollars per share) | 6.91 | |
Exercised (in dollars per share) | 0 | |
Expired (in dollars per share) | 0 | |
June 30, 2020 outstanding warrants (in dollars per share) | $ 6.91 |
EQUITY AND EARNINGS PER SHARE_6
EQUITY AND EARNINGS PER SHARE - Options Outstanding by Issuance (Details) | Jun. 30, 2020shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 14,428,655 |
Held by the Manager | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 10,860,706 |
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) | 3,560,949 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 7,000 |
Total | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 14,428,655 |
EQUITY AND EARNINGS PER SHARE_7
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options - Period End (Details) $ / shares in Units, $ in Millions | 6 Months Ended |
Jun. 30, 2020USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 14,428,655 |
Options exercisable (in shares) | 8,568,129 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 7,000 |
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) | 7,000 |
Options exercisable (in shares) | 7,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.57 |
Intrinsic Value of Exercisable Options as of June 30, 2020 (millions) | $ | $ 0 |
Stock Options | Manager | 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2017 |
Number of unexercised options (in shares) | 1,130,916 |
Options exercisable (in shares) | 1,130,916 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.95 |
Intrinsic Value of Exercisable Options as of June 30, 2020 (millions) | $ | $ 0 |
Stock Options | Manager | 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2018 |
Number of unexercised options (in shares) | 5,320,000 |
Options exercisable (in shares) | 4,156,548 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.66 |
Intrinsic Value of Exercisable Options as of June 30, 2020 (millions) | $ | $ 0 |
Stock Options | Manager | 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2019 |
Number of unexercised options (in shares) | 6,351,000 |
Options exercisable (in shares) | 3,057,700 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.15 |
Intrinsic Value of Exercisable Options as of June 30, 2020 (millions) | $ | $ 0 |
Stock Options | Manager | 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of grant | 2020 |
Number of unexercised options (in shares) | 1,619,739 |
Options exercisable (in shares) | 215,965 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 17.41 |
Intrinsic Value of Exercisable Options as of June 30, 2020 (millions) | $ | $ 0 |
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 | $ 13.95 |
Options Granted in 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,159,833 |
Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,270,200 |
Options Assigned | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 3,560,949 |
Minimum | Options Granted in 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.54 |
Minimum | Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | 15.13 |
Maximum | Options Granted in 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | 18.01 |
Maximum | Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.67 |
EQUITY AND EARNINGS PER SHARE_8
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options (Details) | 6 Months Ended |
Jun. 30, 2020$ / sharesshares | |
Number of Warrants (in millions) | |
Beginning balance (in shares) | 12,808,916 |
Options granted (in shares) | 1,619,739 |
Options exercised (in shares) | 0 |
Options expired unexercised (in shares) | 0 |
Ending balance (in shares) | 14,428,655 |
Weighted Average Exercise Price (per share) | |
Granted (in dollars per share) | $ / shares | $ 17.41 |
Exercised (in dollars per share) | $ / shares | $ 0 |
EQUITY AND EARNINGS PER SHARE_9
EQUITY AND EARNINGS PER SHARE - Schedule of Basic and Diluted Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Net (loss) income | $ 44,129 | $ (25,020) | $ (1,563,126) | $ 130,892 |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 38,640 | 6,923 | 22,478 | 17,241 |
Dividends on preferred stock | 14,357 | 0 | 25,579 | 0 |
Net Income (Loss) Attributable to Common Stockholders | $ (8,868) | $ (31,943) | $ (1,611,183) | $ 113,651 |
Basic weighted average shares of common stock outstanding (in shares) | 415,661,782 | 415,463,757 | 415,625,468 | 401,946,938 |
Diluted weighted average shares of common stock outstanding (in shares) | 415,661,782 | 415,463,757 | 415,625,468 | 402,239,438 |
Basic earnings per share attributable to common stockholders (in dollars per share) | $ (0.02) | $ (0.08) | $ (3.88) | $ 0.28 |
Diluted earnings per share attributable to common stockholders (in dollars per share) | $ (0.02) | $ (0.08) | $ (3.88) | $ 0.28 |
Stock options | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Dilutive effect of stock options (in shares) | 0 | 0 | 0 | 292,500 |
Common stock purchase warrants | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Dilutive effect of stock options (in shares) | 0 | 0 | 0 | 0 |
EQUITY AND EARNINGS PER SHAR_10
EQUITY AND EARNINGS PER SHARE - Schedule of Antidilutive Securities (Details) - shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Stock options | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Antidilutive shares excluded from the calculation of diluted net income (loss) per share (in shares) | 0 | 201,703 | 0 | 0 |
Common stock purchase warrants | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Antidilutive shares excluded from the calculation of diluted net income (loss) per share (in shares) | 641,708,000 | 0 | 3,419,938,000 | 0 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Details) $ in Millions | Jun. 30, 2020USD ($) |
Loss Contingencies [Line Items] | |
Estimated liability, representation and warranties | $ 11.6 |
Residential mortgage loan repurchase liability | 1,100 |
Shellpoint Acquisition | |
Loss Contingencies [Line Items] | |
Future commitments under non-cancelable leases | 37.3 |
Unfunded Loan Commitment | Consumer Portfolio Segment | Consumer Loan Companies | |
Loss Contingencies [Line Items] | |
Financing receivable | $ 266 |
TRANSACTIONS WITH AFFILIATES _3
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) $ / shares in Units, $ in Thousands | May 19, 2020USD ($) | Mar. 31, 2020USD ($) | Feb. 28, 2019shares | Jun. 30, 2020USD ($)purchasers$ / sharesshares | Dec. 31, 2019USD ($)$ / shares |
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 | ||||
Number of purchasers | purchasers | 6 | ||||
Mortgage-backed securities | $ 6,100,000 | ||||
Proceeds from sale of mortgage-backed securities | $ 3,300,000 | ||||
Options granted (in shares) | shares | 1,619,739 | ||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||
Share-based Payment Arrangement, Nonemployee | |||||
Related Party Transaction [Line Items] | |||||
Options granted (in shares) | shares | 4,600,000 | ||||
Common stock purchase warrants | Share-based Payment Arrangement, Nonemployee | |||||
Related Party Transaction [Line Items] | |||||
Options granted (in shares) | shares | 43,400,000 | ||||
Percentage of lenders and recipients managed by an affiliate of the manager | 0.48 | ||||
2020 Term Loan | |||||
Related Party Transaction [Line Items] | |||||
Debt instrument, term | 3 years | ||||
Principal outstanding | $ 600,000 | $ 600,000 | $ 0 | ||
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fee rate (percent) | 1.50% | ||||
Incentive compensation percentage | 25.00% | ||||
Interest rate for incentive compensation | 10.00% | ||||
Fortress Purchaser | |||||
Related Party Transaction [Line Items] | |||||
Mortgage-backed securities | $ 1,850,000 | ||||
Payments to acquire mortgage-backed securities | $ 1,000,000 |
TRANSACTIONS WITH AFFILIATES _4
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 16,894 | $ 16,894 | $ 103,882 | ||
Management fees | 22,479 | $ 19,623 | 44,200 | $ 37,583 | |
Incentive compensation | 0 | 0 | 0 | 12,958 | |
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fees | 14,991 | 14,991 | 7,076 | ||
Incentive compensation | 0 | 0 | 91,892 | ||
Expense reimbursements and other | 1,903 | 1,903 | 4,914 | ||
Due to affiliates | 16,894 | 16,894 | $ 103,882 | ||
Management fees | 22,479 | 19,623 | 44,200 | 37,583 | |
Incentive compensation | 0 | 0 | 0 | 12,958 | |
Expense reimbursements | 125 | 125 | 250 | 250 | |
Total payments to affiliate | $ 22,604 | $ 19,748 | $ 44,450 | $ 50,791 |
RECLASSIFICATION FROM ACCUMUL_3
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Provision (reversal) for credit losses on securities | $ (25,134) | $ 8,859 | $ 19,015 | $ 16,375 |
Net income (loss) | 44,129 | (25,020) | (1,563,126) | 130,892 |
Reclassification out of Accumulated Other Comprehensive Income | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Net income (loss) | (31,803) | (32,164) | (742,194) | (89,844) |
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 | (6,669) | (41,023) | (761,209) | (106,219) |
Provision (reversal) for credit losses on securities | $ (25,134) | $ 8,859 | $ 19,015 | $ 16,375 |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) $ in Thousands | Mar. 27, 2020 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 |
Current: | ||||||
Federal | $ (7,877) | $ 0 | $ (7,877) | $ (413) | ||
State and Local | 9 | 22 | 58 | 101 | ||
Total Current Income Tax Expense (Benefit) | (7,868) | 22 | (7,819) | (312) | ||
Deferred: | ||||||
Federal | 20,304 | (16,999) | (107,221) | 20,147 | ||
State and Local | 4,973 | (4,600) | (34,419) | 4,585 | ||
Total Deferred Income Tax Expense (Benefit) | 25,277 | (21,599) | (141,640) | 24,732 | ||
Total Income Tax (Benefit) Expense | 17,409 | $ (21,577) | (149,459) | $ 24,420 | ||
Deferred income tax asset, net | $ 148,746 | $ 148,746 | $ 8,669 | |||
Operating loss carryback | $ 23,000 | |||||
Net tax benefit | $ 3,000 |