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NRZ New Residential Investment

Cover

Cover - shares3 Months Ended
Mar. 31, 2021Apr. 30, 2021
Entity Information [Line Items]
Document Type10-Q
Document Quarterly Reporttrue
Document Period End DateMar. 31,
2021
Document Transition Reportfalse
Entity File Number001-35777
Entity Registrant NameNew Residential Investment Corp.
Entity Incorporation, State or Country CodeDE
Entity Tax Identification Number45-3449660
Entity Address, Address Line One1345 Avenue of the Americas
Entity Address, City or TownNew York
Entity Address, State or ProvinceNY
Entity Address, Postal Zip Code10105
City Area Code(212)
Local Phone Number798-3150
Entity Current Reporting StatusYes
Entity Interactive Data CurrentYes
Entity Filer CategoryLarge Accelerated Filer
Entity Small Businessfalse
Emerging Growth Companyfalse
Entity Shell Companyfalse
Entity Common Stock, Shares Outstanding (in shares)466,647,263
Entity Central Index Key0001556593
Amendment Flagfalse
Current Fiscal Year End Date--12-31
Document Fiscal Period FocusQ1
Document Fiscal Year Focus2021
Common Stock, $0.01 par value per share
Entity Information [Line Items]
Title of 12(b) SecurityCommon Stock, $0.01 par value per share
Trading SymbolNRZ
Security Exchange NameNYSE
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading SymbolNRZ PR A
Security Exchange NameNYSE
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading SymbolNRZ PR B
Security Exchange NameNYSE
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading SymbolNRZ PR C
Security Exchange NameNYSE

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Assets
Excess mortgage servicing rights assets, at fair value $ 402,454 $ 410,855
Mortgage servicing rights, at fair value4,023,559 3,489,675
Mortgage servicing rights financing receivables, at fair value1,021,780 1,096,166
Outstanding Servicer Advances[1]517,557 538,056
Real estate and other securities14,606,157 14,244,558
Residential loans and variable interest entity consumer loans held-for-investment, at fair value[1]1,295,738 1,359,754
Residential mortgage loans5,923,555 5,215,703
Residential mortgage loans subject to repurchase[2]1,493,449 1,452,005
Cash and cash equivalents[1]1,038,482 944,854
Restricted cash[1]136,036 135,619
Servicer advances receivable2,895,073 3,002,267
Receivable for investments sold4,180 4,180
Other assets[1]1,826,109 1,358,422
Total assets35,184,129 33,252,114
Liabilities
Secured financing agreements19,522,460 17,547,680
Secured notes and bonds payable[1]7,107,875 7,644,195
Residential mortgage loan repurchase liability1,493,449 1,452,005 [2]
Unsecured senior notes, net of issuance costs541,966 541,516
Payable for investments purchased154 154
Due to affiliates8,822 9,450
Dividends payable90,138 90,128
Accrued expenses and other liabilities797,452 537,302
Total liabilities29,562,316 27,822,430
Commitments and Contingencies
Equity
Preferred Stock812,992 812,992
Common stock, $0.01 par value, 2,000,000,000 shares authorized, 414,797,263 and 414,744,518 issued and outstanding, respectively4,149 4,148
Additional paid-in capital5,547,607 5,547,108
Retained earnings (accumulated deficit)(914,304)(1,108,929)
Accumulated other comprehensive income72,385 65,697
Total New Residential stockholders’ equity5,522,829 5,321,016
Noncontrolling interests in equity of consolidated subsidiaries98,984 108,668
Total equity5,621,813 5,429,684
Liabilities and Equity $ 35,184,129 $ 33,252,114
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.
[2]See Note 5 for details.

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Residential mortgage loans, held-for-sale, fair value $ 4,705,816
Notes and bonds payable, fair value $ 1,260,557 $ 1,662,852
Liquidation preference $ 840,250
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)414,797,263 414,744,518
Common stock, shares outstanding (in shares)414,797,263 414,744,518
Assets $ 35,184,129 $ 33,252,114
Liabilities29,562,316 27,822,430
Variable Interest Entity, Primary Beneficiary
Assets2,193,494 2,678,385
Liabilities $ 1,662,796 $ 2,090,400
7.50% Series A Preferred Stock, 7.125% Series B Preferred Stock, And 6.375% Series C Preferred Stock
Preferred stock, par values (in dollars per share) $ 0.01 $ 0.01
Preferred stock, shares authorized (in shares)39,100,000 39,100,000
Preferred stock, shares issued (in shares)33,610,000
Preferred stock, shares outstanding (in shares)33,610,000
Liquidation preference $ 840,250 $ 840,250

Consolidated Statements of Inco

Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Revenues
Interest income $ 253,735 $ 402,373
Servicing revenue, net of change in fair value of $217,911 and $(649,375), respectively513,548 (289,115)
Gain on originated mortgage loans, held-for-sale, net403,434 173,577
Revenues1,170,717 286,835
Expenses
Interest expense118,905 216,855
General and administrative expenses362,505 275,099
Management fee to affiliate22,162 21,721
Total operating expenses503,572 513,675
Other Income (Loss)
Change in fair value of investments(265,566)(566,276)
Gain (loss) on settlement of investments, net1,729 (799,572)
Other income (loss), net(23,320)(36,790)
Total other income (loss)(287,157)(1,402,638)
Impairment
Provision (reversal) for credit losses on securities(894)44,149
Valuation and credit loss provision (reversal) on loans and real estate owned(18,713)100,496
Total impairment charges(19,607)144,645
Income (Loss) Before Income Taxes399,595 (1,774,123)
Income tax expense (benefit)98,259 (166,868)
Net income (loss)301,336 (1,607,255)
Noncontrolling interests in income of consolidated subsidiaries9,394 (16,162)
Dividends on preferred stock14,358 11,222
Net Income (Loss) Attributable to Common Stockholders $ 277,584 $ (1,602,315)
Net Income (Loss) Per Share of Common Stock
Basic (in dollars per share) $ 0.67 $ (3.86)
Diluted (in dollars per share) $ 0.65 $ (3.86)
Weighted Average Number of Shares of Common Stock Outstanding
Basic (in shares)414,795,505,000 415,589,155,000
Diluted (in shares)429,491,379,000 415,589,155,000
Dividend declared per Share of Common Stock (in dollars per share) $ 0.20 $ 0.05

Consolidated Statements of In_2

Consolidated Statements of Income (Unaudited) (Parenthetical) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Income Statement [Abstract]
Servicing revenue, change in fair value $ 217,911 $ (649,375)

Consolidated Statements of Comp

Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract]
Net income (loss) $ 301,336 $ (1,607,255)
Other comprehensive income (loss), net of tax:
Unrealized gain (loss) on available-for-sale securities, net8,565 34,375
Gain (loss) on settlement of investments, net(983)(754,540)
Provision (reversal) for credit losses on securities(894)44,149
Total other comprehensive income (loss)(1,877)(710,391)
Comprehensive income (loss)308,024 (2,283,271)
Comprehensive income (loss) attributable to noncontrolling interests9,394 (16,162)
Dividends on preferred stock14,358 11,222
Comprehensive income (loss) attributable to common stockholders $ 284,272 $ (2,278,331)

Consolidated Statement of Chang

Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in ThousandsTotalPreferred StockCommon StockAdditional Paid-in CapitalRetained Earnings (Accumulated Deficit)Accumulated Other Comprehensive IncomeTotal New Residential Stockholders’ EquityNoncontrolling Interests in Equity of Consolidated SubsidiariesCommon StockCommon StockCommon StockCommon StockAdditional Paid-in CapitalCommon StockTotal New Residential Stockholders’ EquityPreferred StockPreferred StockPreferred StockPreferred StockTotal New Residential Stockholders’ EquityCumulative Effect, Period of Adoption, AdjustmentCumulative Effect, Period of Adoption, AdjustmentRetained Earnings (Accumulated Deficit)Cumulative Effect, Period of Adoption, AdjustmentTotal New Residential Stockholders’ EquityCumulative Effect, Period of Adoption, AdjustmentNoncontrolling Interests in Equity of Consolidated Subsidiaries
Equity, beginning balance (in shares) at Dec. 31, 201917,510,000 415,520,780
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]
Dividends declared on common stock(20,782)(20,782)(20,782)
Dividends declared on preferred stock(11,222)(11,222)(11,222)
Capital distributions(12,605)(12,605)
Issuance of stock (in shares)97,394 16,100,000
Issuance of stock $ 1,583 $ 1 $ 1,582 $ 1,583 $ 389,548 $ 389,548 $ 389,548
Director share grants (in shares)31,040
Director share grants500 500 500
Comprehensive income (loss)
Net income (loss)(1,607,255)(1,591,093)(1,591,093)(16,162)
Unrealized gain (loss) on available-for-sale securities, net34,375 34,375 34,375
Reclassification of realized (gain) loss on available-for-sale securities, net into earnings:(710,391)(710,391)(710,391)
Comprehensive income (loss)(2,283,271)(2,267,109)(16,162)
Equity, ending balance (in shares) at Mar. 31, 202033,610,000 415,649,214
Equity, ending balance at Mar. 31, 20205,330,464 $ 812,992 $ 4,157 5,500,308 (1,059,706)6,135 5,263,886 66,578
Equity, beginning balance (in shares) at Dec. 31, 202033,610,000 414,744,518
Equity, beginning balance at Dec. 31, 20205,429,684 $ 812,992 $ 4,148 5,547,108 (1,108,929)65,697 5,321,016 108,668
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Dividends declared on common stock(82,959)(82,959)(82,959)
Dividends declared on preferred stock(14,358)(14,358)(14,358)
Capital distributions(19,078)(19,078)
Director share grants (in shares)52,745
Director share grants500 $ 1 499 500
Comprehensive income (loss)
Net income (loss)301,336 291,942 291,942 9,394
Unrealized gain (loss) on available-for-sale securities, net8,565 8,565 8,565
Reclassification of realized (gain) loss on available-for-sale securities, net into earnings:(1,877)(1,877)(1,877)
Comprehensive income (loss)308,024 298,630 9,394
Equity, ending balance (in shares) at Mar. 31, 202133,610,000 414,797,263
Equity, ending balance at Mar. 31, 2021 $ 5,621,813 $ 812,992 $ 4,149 $ 5,547,607 $ (914,304) $ 72,385 $ 5,522,829 $ 98,984

Consolidated Statement of Cha_2

Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (Parenthetical) - $ / shares3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Statement of Stockholders' Equity [Abstract]
Dividends declared on common stock (in dollars per share) $ 0.20 $ 0.05

Consolidated Statements of Cash

Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Cash Flows From Operating Activities
Net income $ 301,336 $ (1,607,255)
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Change in fair value of Excess MSRs1,453 11,481
Change in fair value of MSR financing receivables25,778 104,111
Change in fair value of servicer advance investments371 18,749
Change in fair value of residential mortgage loans, at fair value(60,174)265,244
Change in fair value of secured notes and bonds payable4,422 (17,002)
Change in fair value of real estate and other securities498,339 86,792
Change in fair value of consumer loans6,004 39,917
(Gain) loss on settlement of investments, net(1,735)801,033
(Gain) loss on originated mortgage loans, held-for-sale, net(403,434)(173,577)
(Gain) loss on extinguishment of debt6 (1,461)
Change in fair value of derivative instruments(206,205)39,982
Change in fair value of contingent consideration408 1,614
Change in fair value of equity investments2,783 45,023
(Gain) loss on transfer of loans to REO(1,321)(2,595)
(Gain) loss on transfer of loans to other assets21 241
(Gain) loss on Ocwen common stock186 5,050
Accretion and other amortization(26,034)(41,104)
Depreciation of Fixed Assets371 0
Provision for credit losses on securities(894)44,149
Valuation and credit loss provision on loans and real estate owned(18,713)100,496
Non-cash portions of servicing revenue, net(217,911)649,375
Non-cash directors’ compensation500 500
Deferred tax provision85,231 (166,917)
Changes in:
Servicer advances receivable, net107,229 235,685
Other assets(42,206)(24,112)
Due to affiliates(628)(86,666)
Accrued expenses and other liabilities(93,307)183,185
Other operating cash flows:
Interest and distributions received from Excess MSRs12,515 13,575
Interest received from servicer advance investments2,630 5,203
Interest received from Non-Agency RMBS28,057 66,479
Interest received from residential mortgage loans, held-for-investment864 0
Interest received from consumer loans, held-for-investment0 6,013
Purchases of residential mortgage loans, held-for-sale(2,090,474)(988,183)
Origination of residential mortgage loans, held-for-sale(26,971,254)(11,456,291)
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale28,463,406 13,045,107
Principal repayments from purchased residential mortgage loans, held-for-sale97,023 107,188
Net cash provided by (used in) operating activities(495,357)1,311,416
Cash Flows From Investing Activities
Purchase of servicer advance investments(332,750)(330,140)
Purchase of Non-Agency RMBS0 (56,520)
Purchase of real estate owned and other assets(74,895)(6,438)
Draws on revolving consumer loans(7,147)(11,002)
Payments for settlement of derivatives(7,272)(60,554)
Return of investments in Excess MSRs6,333 10,077
Principal repayments from servicer advance investments357,060 354,302
Principal repayments from Agency RMBS660,105 740,043
Principal repayments from Non-Agency RMBS37,798 260,221
Principal repayments from residential mortgage loans24,029 31,272
Proceeds from sale of residential mortgage loans0 387
Principal repayments from consumer loans52,582 55,201
Proceeds from MSRs and MSR financing receivables638 22,217
Proceeds from sale of MSR financing receivables1,793
Proceeds from sale of Excess MSRs9 117
Proceeds from sale of Agency RMBS2,513,920 20,191,706
Proceeds from sale of Non-Agency RMBS156,176 1,069,493
Proceeds from settlement of derivatives3,749 23,899
Proceeds from sale of real estate owned18,416 35,914
Net cash provided by (used in) investing activities(798,481)16,660,824
Cash Flows From Financing Activities
Repayments of secured financing agreements(20,311,180)(93,283,204)
Repayments of warehouse credit facilities(27,461,425)0
Margin deposits under secured financing agreements and derivatives(1,701,769)(2,674,807)
Repayments of secured notes and bonds payable(1,952,039)(2,167,435)
Deferred financing fees(118)0
Common stock dividends paid(82,949)(207,760)
Preferred stock dividends paid(14,358)(7,943)
Borrowings under secured financing agreements21,192,890 76,181,064
Borrowings under warehouse credit facilities28,551,939 0
Return of margin deposits under secured financing agreements and derivatives1,777,057 2,147,596
Borrowings under secured notes and bonds payable1,408,913 1,478,677
Issuance of preferred stock0 389,548
Issuance of common stock0 1,655
Costs related to issuance of common stock0 (72)
Noncontrolling interests in equity of consolidated subsidiaries - distributions(19,078)(12,605)
Net cash provided by (used in) financing activities1,387,883 (18,155,286)
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash94,045 (183,046)
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period1,080,473 690,934
Cash, Cash Equivalents, and Restricted Cash, End of Period1,174,518 507,888
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest129,490 198,437
Cash paid during the period for income taxes134 84
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared by not paid90,138
Purchase of investments, primarily Agency and Non-Agency RMBS, settled after quarter-end0 20,913
Sale of investments, primarily Non-Agency RMBS, settled after quarter-end0 3,293,976
Transfer from residential mortgage loans to real estate owned and other assets8,299 16,304
Real estate securities retained from loan securitizations38,470 482,444
Residential mortgage loans subject to repurchase1,493,449 [1]1,452,005
Agency Residential Mortgage Backed Securities
Cash Flows From Investing Activities
Purchase of Agency RMBS(4,203,105)(5,263,722)
Mortgage Servicing Rights
Cash Flows From Investing Activities
Purchase of MSRs, MSR financing receivables and servicer advances receivable(7,119)(417,861)
Supplemental Schedule of Non-Cash Investing and Financing Activities
MSR purchase price holdback0 18,534
Excess MSRs Investees
Other operating cash flows:
Distributions of earnings from consumer loan equity method investees0 387
MSRs
Cash Flows From Investing Activities
Proceeds from sale of MSR financing receivables1,945 8,504
New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Change in fair value of MSR financing receivables25,778 104,111
Cash Flows From Investing Activities
Proceeds from sale of MSR financing receivables777
New Residential Mortgage LLC | MSRs | Mortgage Servicing Rights Financing Receivable
Cash Flows From Investing Activities
Proceeds from sale of MSR financing receivables1,047 3,708
Common Stock
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared by not paid82,959 20,782
Preferred Stock
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared by not paid $ 14,358 $ 7,250
[1]See Note 5 for details.

ORGANIZATION AND BASIS OF PRESE

ORGANIZATION AND BASIS OF PRESENTATION3 Months Ended
Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
ORGANIZATION AND BASIS OF PRESENTATIONORGANIZATION 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 17, 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 March 31, 2021, 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 March 31, 2021. In addition, Fortress, through its affiliates, held options and warrants relating to approximately 11.7 million and 21.5 million shares, respectively, of New Residential’s common stock as of March 31, 2021. Interim Financial Statements The accompanying Consolidated Financial Statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “U.S. 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 Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. 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. Risks and Uncertainties In the normal course of business, New Residential encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on New Residential’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment rates, interest rates, spreads or other market factors, including risks that impact the value of the collateral underlying New Residential’s investments. Taking into consideration these risks along with estimated prepayments, financings, collateral values, payment histories, and other information, New Residential believes that the carrying values of its investments are reasonable. Furthermore, for each of the periods presented, a significant portion of New Residential’s assets are dependent on its servicers’ and subservicers’ ability to perform their obligations servicing the loans underlying New Residential’s Excess MSRs, MSRs, MSR Financing Receivables, Servicer Advance Investments, Non-Agency RMBS and loans. If a servicer is terminated, New Residential’s right to receive its portion of the cash flows related to interests in servicing related assets may also be terminated. The outbreak of the novel coronavirus (“COVID-19”) pandemic around the globe continues to adversely impact the U.S. and world economies and has contributed to significant volatility in global financial and credit markets. The impact of the outbreak has evolved rapidly. The major disruptions caused by COVID-19 significantly slowed many commercial activities in the U.S., resulting in a rapid rise in unemployment claims, reduced business revenues and sharp reductions in liquidity and the fair value of many assets, including those in which the Company invests. The ultimate duration and impact of the COVID-19 pandemic and response thereto remain uncertain. New Residential is subject to significant tax risks. If New Residential were to fail to qualify as a REIT in any taxable year, New Residential would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, New Residential would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. Use of Estimates The Company believes the estimates and assumptions underlying its Consolidated Financial Statements are reasonable and supportable based on the information available as of March 31, 2021; 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 March 31, 2021 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 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. While the Company currently does not have any hedge accounting relationships, many of the Company’s debt facilities and loan agreements incorporate LIBOR as the referenced rate. Some of these facilities and loan agreements either mature prior to the phase out of LIBOR or have provisions in place that provide for an alternative to LIBOR upon its phase-out. 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 Consolidated Financial Statements. In August 2020, the FASB issued ASU 2020-06, Debt–Debt with Conversion and Other Options (Topic 470) and Derivatives and Hedging–Contracts in Entity’s Own Equity (Topic 815) . The standard simplifies the accounting for convertible instruments by reducing the number of accounting models. A convertible debt instrument will generally be reported as a single liability at its amortized cost with no separate accounting for embedded conversion features. The standard also amends the accounting for certain contracts in an entity’s own equity that are currently accounted for as derivatives because of specific settlement

OTHER ASSETS AND LIABILITIES, G

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS3 Months Ended
Mar. 31, 2021
Other Income Assets And Liabilities
OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMSOTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS Other Assets and Other Liabilities Other assets and liabilities consists of the following: Other Assets Accrued Expenses March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Margin receivable, net (A) $ 612,814 $ 271,753 Margin payable $ 238,123 $ — Servicing fee receivables 122,206 137,426 MSR purchase price holdback 22,684 25,121 Due from servicers 22,994 67,854 Interest payable 37,345 44,623 Principal and interest receivable 64,758 41,589 Accounts payable 95,085 87,406 Equity investments (B) 47,195 55,504 Derivative liabilities 74,735 119,762 Other receivables 92,320 109,111 Due to servicers 62,437 59,671 REO 35,984 45,299 Due to agencies 19,605 26,748 Single-family rental properties 113,152 41,271 Contingent consideration 14,655 14,247 Goodwill (C) 29,468 29,468 Accrued compensation and benefits 54,010 67,025 Notes receivable (D) 50,411 52,389 Excess spread financing, at fair value 13,377 18,420 Warrants, at fair value 24,473 23,218 Operating lease liabilities 28,927 31,270 Recovery asset 9,891 13,006 Reserve for sales recourse 9,837 9,799 Property and equipment 31,494 27,493 Reserve for servicing losses 12,153 9,288 Receivable from government agency (E) 12,554 14,369 Deferred tax liability 93,149 7,859 Intangible assets 33,358 34,125 Other liabilities 21,330 16,063 Prepaid expenses 39,811 30,949 $ 797,452 $ 537,302 Operating lease right-of-use assets 24,851 26,913 Derivative assets 408,230 290,144 Ocwen common stock, at fair value 11,001 11,187 Other assets 39,144 35,354 $ 1,826,109 $ 1,358,422 (A) Represents collateral posted as a result of changes in fair value of New Residential’s (i) real estate securities securing its secured financing agreements and (ii) derivative instruments. (B) Represents equity investments in funds that invest in (i) a commercial redevelopment project, (ii) operating companies in the single-family housing industry. The indirect investments are accounted for at fair value based on the net asset value 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 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. Real Estate Owned (REO) and Single-Family Rental Properties (SFR) The following table presents activity related to the carrying value of New Residential’s investments in REO and SFR: REO SFR Balance at December 31, 2020 $ 45,299 $ 41,271 Purchases 2,644 72,379 Transfer of loans to REO 8,701 — Sales (A) (23,817) (127) Depreciation — (371) Valuation (provision) reversal 3,157 — Balance at March 31, 2021 $ 35,984 $ 113,152 (A) Recognized when control of the property has transferred to the buyer. As of March 31, 2021, New Residential had residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $302.2 million. In addition, New Residential has recognize d $13.7 million in unpaid claims receivable from FHA on Ginnie Mae EBO loans and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim. Accretion and Other Amortization As reflected on the Consolidated Statements of Cash Flows, Accretion and Other Amortization consists of the following: Three Months Ended 2021 2020 Accretion of net discount on securities and loans $ 12,007 $ 40,052 Accretion of servicer advances receivable discount and servicer advance investments 6,848 (10,915) Accretion of excess mortgage servicing rights income 12,231 13,226 Amortization of deferred financing costs (4,601) (1,136) Amortization of discount on secured notes and bonds payable (1) (123) Amortization of discount on corporate debt (450) — Total accretion and other amortization $ 26,034 $ 41,104 General and Administrative Expenses General and Administrative Expenses consists of the following: Three Months Ended 2021 2020 Compensation and benefits expense $ 65,426 $ 51,341 Compensation and benefits expense, origination 133,218 61,278 Legal and professional expense 18,219 26,037 Loan origination expense 40,245 16,929 Occupancy expense 10,350 8,064 Subservicing expense 49,839 66,981 Loan servicing expense 4,679 7,853 Property and maintenance expense 12,130 7,463 Other miscellaneous general and administrative 28,399 29,153 Total general and administrative expenses $ 362,505 $ 275,099 Change in Fair Value of Investments Change in Fair Value of Investments consists of the following: Three Months Ended 2021 2020 Excess MSRs $ (4,618) $ (11,024) Excess MSRs, equity method investees 3,165 (457) MSR financing receivables (25,778) (104,111) Servicer advance investments (371) (18,749) Real estate and other securities (498,339) (86,792) Residential mortgage loans 60,174 (265,244) Consumer loans held-for-investment (6,004) (39,917) Derivative instruments 206,205 (39,982) Total change in fair value of investments $ (265,566) $ (566,276) Gain (Loss) on Settlement of Investments, Net Gain (Loss) on Settlement of Investments, Net consists of the following: Three Months Ended 2021 2020 Gain (loss) on sale of real estate securities $ (983) $ (754,540) Gain (loss) on sale of acquired residential mortgage loans 30,399 35,236 Gain (loss) on settlement of derivatives (27,373) (84,712) Gain (loss) on liquidated residential mortgage loans 897 (839) Gain (loss) on sale of REO (3,946) 1,173 Gain (loss) on extinguishment of debt (6) 1,461 Other gain (loss) 2,741 2,649 Total gain (loss) on settlement of investments, net $ 1,729 $ (799,572) Other Income (Loss), Net Other Income (Loss), Net consists of the following: Three Months Ended 2021 2020 Unrealized gain (loss) on secured notes and bonds payable $ (4,422) $ 17,002 Unrealized gain (loss) on contingent consideration (408) (1,614) Unrealized gain (loss) on equity investments (2,783) (45,023) Gain (loss) on transfer of loans to REO 1,321 2,595 Gain (loss) on transfer of loans to other assets (21) (241) Gain (loss) on Ocwen common stock (186) (5,050) Provision for servicing losses (6,158) (4,781) Rental and ancillary revenue 5,827 6,260 Property and maintenance revenue 19,906 13,347 Other income (loss) (36,396) (19,285) Total other income (loss), net $ (23,320) $ (36,790)

SEGMENT REPORTING

SEGMENT REPORTING3 Months Ended
Mar. 31, 2021
Segment Reporting [Abstract]
SEGMENT REPORTINGSEGMENT REPORTING At March 31, 2021, New Residential’s reportable segments include (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities and Loans, (v) Consumer Loans and (vi) Corporate. The Corporate segment primarily consists of general and administrative expenses, management fees and incentive compensation related to the Management Agreement, corporate cash and related interest income, unsecured senior notes (Note 11) and related interest expense. The following tables summarize segment financial information, which in total reconciles 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 March 31, 2021 Interest income $ 22,852 $ 474 $ 78,771 $ — $ 102,097 $ 89,850 $ 36,322 $ 25,466 $ — $ 253,735 Servicing revenue, net (8,110) 113,515 466,587 (58,444) 513,548 — — — — 513,548 Gain on originated mortgage loans, held-for-sale, net 384,423 809 35,155 (43,499) 376,888 13,398 13,148 — — 403,434 Total revenues 399,165 114,798 580,513 (101,943) 992,533 103,248 49,470 25,466 — 1,170,717 Interest expense 18,063 70 51,832 — 69,965 15,720 21,276 3,018 8,926 118,905 G&A and other 189,926 84,239 119,933 (58,444) 335,654 1,156 17,686 3,036 27,135 384,667 Total operating expenses 207,989 84,309 171,765 (58,444) 405,619 16,876 38,962 6,054 36,061 503,572 Change in fair value of investments — — (27,602) — (27,602) (292,134) 60,174 (6,004) — (265,566) Gain (loss) on settlement of investments, net — — 644 — 644 (28,356) 29,441 — — 1,729 Other income (loss), net 59 1,102 (6,333) — (5,172) (1,686) (13,626) (2,207) (629) (23,320) Total other income (loss) 59 — 1,102 — (33,291) — — (32,130) (322,176) — 75,989 — (8,211) — (629) — (287,157) Impairment — — — — — (894) (18,713) — — (19,607) Income (loss) before income taxes 191,235 31,591 — 375,457 — (43,499) 554,784 (234,910) 105,210 11,201 (36,690) 399,595 Income tax expense (benefit) 36,386 7,915 38,596 — 82,897 — 15,303 59 — 98,259 Net income (loss) 154,849 23,676 336,861 (43,499) 471,887 (234,910) 89,907 11,142 (36,690) 301,336 Noncontrolling interests in income (loss) of consolidated subsidiaries 3,525 — 1,308 — 4,833 — — 4,561 — 9,394 Dividends on preferred stock — — — — — — — — 14,358 14,358 Net income (loss) attributable to common stockholders $ 151,324 $ 23,676 $ 335,553 $ (43,499) $ 467,054 $ (234,910) $ 89,907 $ 6,581 $ (51,048) $ 277,584 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 March 31, 2021 Investments $ 3,465,886 $ — $ 5,965,350 $ — $ 9,431,236 $ 14,606,157 $ 3,263,557 $ 638,986 $ — $ 27,939,936 Cash and cash equivalents 187,233 97,057 485,627 — 769,917 210,745 17,678 8,889 31,253 1,038,482 Restricted cash 12,679 39,926 34,448 — 87,053 17,409 96 31,478 — 136,036 Other assets 987,931 167,445 4,060,339 — 5,215,715 660,267 81,295 36,644 46,286 6,040,207 Goodwill 11,836 12,540 5,092 — 29,468 — — — — 29,468 Total assets $ 4,665,565 $ 316,968 $ 10,550,856 $ — $ 15,533,389 $ 15,494,578 $ 3,362,626 $ 715,997 $ 77,539 $ 35,184,129 Debt $ 3,300,495 $ 5,391 $ 5,861,546 $ — $ 9,167,432 $ 14,356,673 $ 2,515,219 $ 591,011 $ 541,966 $ 27,172,301 Other liabilities 546,295 51,504 1,498,685 — 2,096,484 7,283 146,637 3,251 136,360 2,390,015 Total liabilities 3,846,790 56,895 7,360,231 — 11,263,916 14,363,956 2,661,856 594,262 678,326 29,562,316 Total equity 818,775 260,073 3,190,625 — 4,269,473 1,130,622 700,770 121,735 (600,787) 5,621,813 Noncontrolling interests in equity of consolidated subsidiaries 17,187 — 39,834 — 57,021 — — 41,963 — 98,984 Total New Residential stockholders’ equity $ 801,588 $ 260,073 $ 3,150,791 $ — $ 4,212,452 $ 1,130,622 $ 700,770 $ 79,772 $ (600,787) $ 5,522,829 Investments in equity method investees $ — $ — $ 126,095 $ — $ 126,095 $ — $ — $ — $ — $ 126,095 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 March 31, 2020 Interest income $ 16,735 $ 7,487 $ 99,353 $ — $ 123,575 $ 184,005 $ 59,921 $ 34,872 $ — $ 402,373 Servicing revenue, net (1,078) 86,742 (350,587) (24,192) (289,115) — — — — (289,115) Gain on originated mortgage loans, held-for-sale, net 158,215 259 15,967 (9,375) 165,066 — 8,511 — — 173,577 Total revenues 173,872 — 94,488 — (235,267) — (33,567) — (474) — 184,005 — 68,432 — 34,872 — — — 286,835 Interest expense 13,427 196 57,783 — 71,406 108,009 30,773 6,667 — 216,855 G&A and other 100,212 64,352 101,974 (24,192) 242,346 6,854 16,756 3,883 26,981 296,820 Total operating expenses 113,639 64,548 159,757 (24,192) 313,752 114,863 47,529 10,550 26,981 513,675 Change in fair value of investments — — (134,341) — (134,341) (126,774) (265,244) (39,917) — (566,276) Gain (loss) on settlement of investments, net — — (3,281) — (3,281) (839,252) 42,961 — — (799,572) Other income (loss), net (16) 499 (19,288) — (18,805) (13) 30,012 (834) (47,150) (36,790) Total other income (loss) (16) 0 499 0 (156,910) 0 — (156,427) (966,039) 0 (192,271) 0 (40,751) 0 (47,150) (1,402,638) Impairment — — — — — 44,149 100,496 — — 144,645 Income (loss) before income taxes (B) 60,217 — 30,439 — (551,934) — (9,375) — (470,653) — (941,046) — (271,864) — (16,429) — (74,131) — (1,774,123) Income tax expense (benefit) 16,714 8,449 (116,945) — (91,782) — (75,201) 115 — (166,868) Net income (loss) 43,503 21,990 (434,989) (9,375) (378,871) (941,046) (196,663) (16,544) (74,131) (1,607,255) Noncontrolling interests in income (loss) of consolidated subsidiaries 1,283 — (11,247) — (9,964) — — (6,198) — (16,162) Dividends on preferred stock — — — — — — — — 11,222 11,222 Net income (loss) attributable to common stockholders $ 42,220 $ 21,990 $ (423,742) $ (9,375) $ (368,907) $ (941,046) $ (196,663) $ (10,346) $ (85,353) $ (1,602,315) (A) Elimination of intercompany transactions primarily relate to servicing fees, loan sales, and MSR recaptures. (B) Beginning in Q3 2020, New Residential revised its methodology of allocating tax expense within the Servicing and Origination segments. Specifically, taxes are now allocated based on intercompany agreements rather than based on a more general pro rata approach, which better reflects the operating performance of each respective segment. The revised methodology has been applied consistently for all periods presented.

EXCESS MORTGAGE SERVICING RIGHT

EXCESS MORTGAGE SERVICING RIGHTS ASSETS3 Months Ended
Mar. 31, 2021
Transfers and Servicing [Abstract]
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLESEXCESS 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 Consolidated Balance Sheets: March 31, December 31, 2020 Direct investments in Excess MSRs $ 303,568 $ 310,938 Excess MSR Joint Ventures 98,886 99,917 Excess mortgage servicing rights assets, at fair value $ 402,454 $ 410,855 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, 2020 $ 309,009 $ 1,929 $ 310,938 Interest income 12,499 (268) 12,231 Other income 3 (325) (322) Proceeds from repayments (14,563) (89) (14,652) Proceeds from sales (9) — (9) Change in fair value (5,090) 472 (4,618) Balance as of March 31, 2021 $ 301,849 $ 1,719 $ 303,568 (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). The following is a summary of New Residential’s direct investments in Excess MSRs: March 31, 2021 December 31, 2020 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 $ 32,373,398 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.1 $ 139,870 $ 157,633 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 35,993,960 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 6.7 108,277 145,935 148,293 Total $ 68,367,358 6.4 $ 248,147 $ 303,568 $ 310,938 (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 March 31, 2021 (Note 6) on $24.4 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended 2021 2020 Original and Recaptured Pools $ (4,618) $ (11,024) As of March 31, 2021, a weighted average discount rate of 7.8% 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: March 31, December 31, Excess MSR assets $ 177,408 $ 179,762 Other assets 21,051 20,759 Other liabilities (687) (687) Equity $ 197,772 $ 199,834 New Residential’s investment $ 98,886 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Three Months Ended 2021 2020 Interest income $ 9,158 $ 7,313 Other income (loss) (2,820) (8,219) Expenses (8) (8) Net income (loss) $ 6,330 $ (914) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2020 $ 99,917 Distributions of capital from equity method investees (4,196) Change in fair value of investments in equity method investees 3,165 Balance at March 31, 2021 $ 98,886 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: March 31, 2021 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 $ 27,025,920 66.7 % 50.0 % $ 139,722 $ 177,408 5.8 (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. The 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. MSRs are composed 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. Income from MSR Financing Receivables, net of subservicing fees, are recorded as Interest Income with changes in fair value flowing through Change in Fair Value of Investments in the 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 and reflected as part of General and Administrative Expenses in New Residential’s Consolidated Statements of Income. As of March 31, 2021, these subservicers include LoanCare, LLC (“LoanCare”), PHH Mortgage Corporation (“PHH”), Mr. Cooper, and Flagstar Bank, FSB (“Flagstar”), which subservice 15.7%, 15.4%, 15.3%, and 0.6% of the underlying UPB of the related mortgages, respectively (includes both MSRs and MSR Financing Receivables). The remaining 53.0% 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 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 MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2020 $ 3,489,675 $ 1,096,166 $ 4,585,841 Purchases, net (A) 4,044 — 4,044 Transfers (B) 47,831 (47,831) — Originations (C) 255,473 — 255,473 Proceeds from sales (1,016) (777) (1,793) Change in fair value due to: Realization of cash flow (D) (319,029) (21,954) (340,983) Change in valuation inputs and assumptions (E) 547,510 (3,554) 543,956 (Gain) loss realized (929) (270) (1,199) Balance as of March 31, 2021 $ 4,023,559 $ 1,021,780 $ 5,045,339 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and Mr. Cooper, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through January 31, 2021. (C) Represents MSRs retained on the sale of originated mortgage loans. (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 MSRs consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 263,743 $ 328,122 Ancillary and other fees 31,894 32,138 Servicing fee revenue and fees 295,637 360,260 Change in fair value due to: Realization of cash flows (A) (317,716) (191,367) Change in valuation inputs and assumptions (B)(C) 545,379 (463,711) Change in fair value of derivative instruments (8,823) — (Gain) loss realized (929) 5,703 Servicing revenue, net $ 513,548 $ (289,115) (A) Includes $1.3 million and $1.9 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three months ended March 31, 2021 and 2020, respectively. (B) Includes changes in inputs or assumptions used in the valuation model. (C) Includes $2.1 million and $4.5 million for the three months ended March 31, 2021 and 2020, respectively, of fair value adjustment to Excess spread financing. Interest Income from MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 76,733 $ 113,582 Ancillary and other fees 8,699 26,000 Less: subservicing expense (32,644) (41,903) Interest income, MSR financing receivables $ 52,788 $ 97,679 Change in Fair Value of MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Realization of cash flows $ (21,954) $ (68,752) Change in valuation inputs and assumptions (A) (3,554) (33,610) (Gain) loss realized (270) (1,749) Change in fair value of MSR financing receivables $ (25,778) $ (104,111) (A) Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s MSRs and MSR Financing Receivables as of March 31, 2021: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 290,005,816 5.9 $ 3,199,914 Non-Agency 6,124,672 3.9 15,409 Ginnie Mae (D) 57,996,508 4.8 808,236 354,126,996 5.7 4,023,559 MSR Financing Receivables: Non-Agency 64,387,370 8.1 1,021,780 Total $ 418,514,366 6.1 $ 5,045,339 (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 March 31, 2021, weighted average discount rates of 7.7% (range 7.4% - 13.0%) and 9.5% were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs. (D) As of March 31, 2021, New Residential holds approximately $1.5 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Ginnie Mae Loans Subject to Repurchase Right 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 three or more consecutive payments delinquent 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 March 31, 2021, New Residential holds approximately $1.5 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. New Residential may re-pool reacquired loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. Upon recognizing loans eligible for repurchase, the Company does not change the accounting for MSRs related to previously sold loans. Upon reacquisition of a loan the MSR is written off. As of March 31, 2021, New Residential holds approximately $843.8 million of reacquired residential mortgage loans on its Consolidated Balance Sheets. 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 March 31, 2021, 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 MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2021 December 31, 2020 California 20.6 % 21.2 % Florida 7.6 % 7.4 % New York 7.1 % 7.0 % Texas 5.8 % 5.6 % New Jersey 4.8 % 4.8 % Illinois 3.6 % 3.6 % Massachusetts 3.4 % 3.4 % Georgia 3.4 % 3.3 % Pennsylvania 3.2 % 3.1 % Maryland 3.1 % 3.1 % Other U.S. 37.4 % 37.5 % 100.0 % 100.0 % Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the 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 Consolidated Balance Sheets. The UPB of residential mortgage loans subserviced for others as of March 31, 2021 and 2020 was $74.6 billion and $74.0 billion, respectively. New Residential earned subservicing revenue of $43.5 million and $41.2 million for the three months ended March 31, 2021 and 2020, respectively, related to subserviced UPB which is included within Servicing Revenue, Net in the Consolidated Statements of Income. Servicer Advances Receivable 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 Consolidated Balance Sheets. The following types of advances are included in the Servicer Advances Receivable: March 31, December 31, Principal and interest advances $ 609,948 $ 665,538 Escrow advances (taxes and insurance advances) 1,485,409 1,547,796 Foreclosure advances 821,519 816,400 Total (A)(B)(C) $ 2,916,876 $ 3,029,734 (A) Includes $603.3 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $176.3 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses 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 $21.8 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. 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. For advances on loans that have been liquidated, sold, paid in full or modified, the Company has reserved $27.5 million and $22.9 million for expected non-recovery of advances as of March 31, 2021 and December 31, 2020, respectively. See Note 11 regarding the financing of MSRs.

MORTGAGE SERVICING RIGHTS AND M

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES3 Months Ended
Mar. 31, 2021
Transfers and Servicing of Financial Assets [Abstract]
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLESEXCESS 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 Consolidated Balance Sheets: March 31, December 31, 2020 Direct investments in Excess MSRs $ 303,568 $ 310,938 Excess MSR Joint Ventures 98,886 99,917 Excess mortgage servicing rights assets, at fair value $ 402,454 $ 410,855 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, 2020 $ 309,009 $ 1,929 $ 310,938 Interest income 12,499 (268) 12,231 Other income 3 (325) (322) Proceeds from repayments (14,563) (89) (14,652) Proceeds from sales (9) — (9) Change in fair value (5,090) 472 (4,618) Balance as of March 31, 2021 $ 301,849 $ 1,719 $ 303,568 (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). The following is a summary of New Residential’s direct investments in Excess MSRs: March 31, 2021 December 31, 2020 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 $ 32,373,398 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.1 $ 139,870 $ 157,633 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 35,993,960 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 6.7 108,277 145,935 148,293 Total $ 68,367,358 6.4 $ 248,147 $ 303,568 $ 310,938 (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 March 31, 2021 (Note 6) on $24.4 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended 2021 2020 Original and Recaptured Pools $ (4,618) $ (11,024) As of March 31, 2021, a weighted average discount rate of 7.8% 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: March 31, December 31, Excess MSR assets $ 177,408 $ 179,762 Other assets 21,051 20,759 Other liabilities (687) (687) Equity $ 197,772 $ 199,834 New Residential’s investment $ 98,886 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Three Months Ended 2021 2020 Interest income $ 9,158 $ 7,313 Other income (loss) (2,820) (8,219) Expenses (8) (8) Net income (loss) $ 6,330 $ (914) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2020 $ 99,917 Distributions of capital from equity method investees (4,196) Change in fair value of investments in equity method investees 3,165 Balance at March 31, 2021 $ 98,886 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: March 31, 2021 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 $ 27,025,920 66.7 % 50.0 % $ 139,722 $ 177,408 5.8 (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. The 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. MSRs are composed 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. Income from MSR Financing Receivables, net of subservicing fees, are recorded as Interest Income with changes in fair value flowing through Change in Fair Value of Investments in the 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 and reflected as part of General and Administrative Expenses in New Residential’s Consolidated Statements of Income. As of March 31, 2021, these subservicers include LoanCare, LLC (“LoanCare”), PHH Mortgage Corporation (“PHH”), Mr. Cooper, and Flagstar Bank, FSB (“Flagstar”), which subservice 15.7%, 15.4%, 15.3%, and 0.6% of the underlying UPB of the related mortgages, respectively (includes both MSRs and MSR Financing Receivables). The remaining 53.0% 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 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 MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2020 $ 3,489,675 $ 1,096,166 $ 4,585,841 Purchases, net (A) 4,044 — 4,044 Transfers (B) 47,831 (47,831) — Originations (C) 255,473 — 255,473 Proceeds from sales (1,016) (777) (1,793) Change in fair value due to: Realization of cash flow (D) (319,029) (21,954) (340,983) Change in valuation inputs and assumptions (E) 547,510 (3,554) 543,956 (Gain) loss realized (929) (270) (1,199) Balance as of March 31, 2021 $ 4,023,559 $ 1,021,780 $ 5,045,339 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and Mr. Cooper, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through January 31, 2021. (C) Represents MSRs retained on the sale of originated mortgage loans. (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 MSRs consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 263,743 $ 328,122 Ancillary and other fees 31,894 32,138 Servicing fee revenue and fees 295,637 360,260 Change in fair value due to: Realization of cash flows (A) (317,716) (191,367) Change in valuation inputs and assumptions (B)(C) 545,379 (463,711) Change in fair value of derivative instruments (8,823) — (Gain) loss realized (929) 5,703 Servicing revenue, net $ 513,548 $ (289,115) (A) Includes $1.3 million and $1.9 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three months ended March 31, 2021 and 2020, respectively. (B) Includes changes in inputs or assumptions used in the valuation model. (C) Includes $2.1 million and $4.5 million for the three months ended March 31, 2021 and 2020, respectively, of fair value adjustment to Excess spread financing. Interest Income from MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 76,733 $ 113,582 Ancillary and other fees 8,699 26,000 Less: subservicing expense (32,644) (41,903) Interest income, MSR financing receivables $ 52,788 $ 97,679 Change in Fair Value of MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Realization of cash flows $ (21,954) $ (68,752) Change in valuation inputs and assumptions (A) (3,554) (33,610) (Gain) loss realized (270) (1,749) Change in fair value of MSR financing receivables $ (25,778) $ (104,111) (A) Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows. The following is a summary of New Residential’s MSRs and MSR Financing Receivables as of March 31, 2021: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 290,005,816 5.9 $ 3,199,914 Non-Agency 6,124,672 3.9 15,409 Ginnie Mae (D) 57,996,508 4.8 808,236 354,126,996 5.7 4,023,559 MSR Financing Receivables: Non-Agency 64,387,370 8.1 1,021,780 Total $ 418,514,366 6.1 $ 5,045,339 (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 March 31, 2021, weighted average discount rates of 7.7% (range 7.4% - 13.0%) and 9.5% were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs. (D) As of March 31, 2021, New Residential holds approximately $1.5 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Ginnie Mae Loans Subject to Repurchase Right 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 three or more consecutive payments delinquent 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 March 31, 2021, New Residential holds approximately $1.5 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. New Residential may re-pool reacquired loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. Upon recognizing loans eligible for repurchase, the Company does not change the accounting for MSRs related to previously sold loans. Upon reacquisition of a loan the MSR is written off. As of March 31, 2021, New Residential holds approximately $843.8 million of reacquired residential mortgage loans on its Consolidated Balance Sheets. 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 March 31, 2021, 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 MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2021 December 31, 2020 California 20.6 % 21.2 % Florida 7.6 % 7.4 % New York 7.1 % 7.0 % Texas 5.8 % 5.6 % New Jersey 4.8 % 4.8 % Illinois 3.6 % 3.6 % Massachusetts 3.4 % 3.4 % Georgia 3.4 % 3.3 % Pennsylvania 3.2 % 3.1 % Maryland 3.1 % 3.1 % Other U.S. 37.4 % 37.5 % 100.0 % 100.0 % Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the 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 Consolidated Balance Sheets. The UPB of residential mortgage loans subserviced for others as of March 31, 2021 and 2020 was $74.6 billion and $74.0 billion, respectively. New Residential earned subservicing revenue of $43.5 million and $41.2 million for the three months ended March 31, 2021 and 2020, respectively, related to subserviced UPB which is included within Servicing Revenue, Net in the Consolidated Statements of Income. Servicer Advances Receivable 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 Consolidated Balance Sheets. The following types of advances are included in the Servicer Advances Receivable: March 31, December 31, Principal and interest advances $ 609,948 $ 665,538 Escrow advances (taxes and insurance advances) 1,485,409 1,547,796 Foreclosure advances 821,519 816,400 Total (A)(B)(C) $ 2,916,876 $ 3,029,734 (A) Includes $603.3 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $176.3 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses 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 $21.8 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. 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. For advances on loans that have been liquidated, sold, paid in full or modified, the Company has reserved $27.5 million and $22.9 million for expected non-recovery of advances as of March 31, 2021 and December 31, 2020, respectively. See Note 11 regarding the financing of MSRs.

SERVICER ADVANCE INVESTMENTS

SERVICER ADVANCE INVESTMENTS3 Months Ended
Mar. 31, 2021
Investments, All Other Investments [Abstract]
SERVICER ADVANCE INVESTMENTSSERVICER 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 March 31, 2021. 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 March 31, 2021, 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 March 31, 2021, the noncontrolling third-party co-investors and New Residential had previously funded their commitments; however, the Buyer may recall $329.0 million and $308.5 million of capital distributed to the third-party co-investors and New Residential, respectively. Neither the third-party co-investors nor New Residential is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. 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) March 31, 2021 Servicer advance investments $ 492,831 $ 517,557 5.2 % 5.7 % 6.3 December 31, 2020 Servicer advance investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (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 Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net March 31, 2021 Servicer Advance Investments (D) $ 24,439,045 $ 440,306 1.8 % $ 403,570 88.9 % 88.2 % 1.4 % 1.3 % December 31, 2020 Servicer Advance Investments (D) $ 26,061,499 $ 449,150 1.7 % $ 423,144 88.4 % 88.6 % 1.5 % 1.3 % (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: March 31, 2021 December 31, 2020 Principal and interest advances $ 79,423 $ 84,976 Escrow advances (taxes and insurance advances) 186,275 186,426 Foreclosure advances 174,608 177,748 Total $ 440,306 $ 449,150 Interest Income recognized by New Residential related to its Servicer Advance Investments consists of the following: Three Months Ended 2021 2020 Interest income, gross of amounts attributable to servicer compensation $ 13,961 $ (10,250) Amounts attributable to base servicer compensation (1,156) 882 Amounts attributable to incentive servicer compensation (5,993) (8,721) Interest income from servicer advance investments $ 6,812 $ (18,089)

REAL ESTATE AND OTHER SECURITIE

REAL ESTATE AND OTHER SECURITIES3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
REAL ESTATE AND OTHER SECURITIESREAL 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. Activities related to New Residential’s Real Estate and Other Securities were as follows: Three Months Ended March 31, 2021 2020 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 4,027.2 $ 808.1 $ 7,140.0 $ 4,563.2 Purchase price 4,203.1 38.5 7,290.0 539.0 Sales Face $ 2,414.6 $ 1,133.6 $ 17,395.0 $ 7,200.0 Amortized cost 2,513.4 157.7 17,679.3 5,283.8 Sale price 2,522.2 147.9 17,869.1 4,358.9 Gain (loss) on sale 8.9 (9.9) 189.8 (924.9) As of March 31, 2021 and December 31, 2020, there were no unsettled trades. Unsettled sales and purchases are recorded on the Consolidated Balance Sheets on trade date as Receivable for Investments Sold and Payable for Investments Purchased. 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: March 31, 2021 December 31, 2020 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 Agency RMBS $ 106,175 $ 106,935 $ 8,955 $ — $ 115,890 1 AAA 3.5 % 3.5 % 6.4 — $ 121,761 Agency RMBS at FVO 13,337,418 13,849,334 252 (407,245) 13,442,341 58 AAA 2.2 % 2.2 % 7.4 — 12,941,873 Total Agency RMBS (F)(G) 13,443,593 13,956,269 9,207 (407,245) 13,558,231 59 AAA 2.2 % 2.2 % 7.4 — 13,063,634 Non-Agency RMBS (H)(I) 18,045,244 977,194 105,302 (34,569) 1,047,926 579 AA 2.6 % 3.6 % 3.6 23.2 % 1,180,924 Total/ $ 31,488,837 $ 14,933,463 $ 114,509 $ (441,814) $ 14,606,157 638 AAA 2.4 % 3.0 % 5.3 $ 14,244,558 (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 287 bonds with a carrying value of $324.5 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 $27.9 million and $2.4 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 $13.4 billion for fixed rate securities as of March 31, 2021. (H) The total outstanding face amount was $11.0 billion (including $10.1 billion of residual and fair value option notional amount) for fixed rate securities and $7.0 billion (including $6.9 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2021. (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 earnings, (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 $ 500 $ 500 $ 21 $ — $ 521 1 B- 8.3 % 8.3 % 4.0 N/A Consumer loan bonds 12,664 12,731 740 — 13,471 6 N/A N/A N/A — N/A Fair value option securities: Interest-only securities 9,000,110 237,469 21,764 (26,383) 232,850 123 AA+ 1.3 % 2.8 % 2.0 N/A Servicing strips 4,444,047 42,122 5,281 (6,369) 41,035 56 N/A 0.4 % 14.9 % 4.0 N/A The following table summarizes New Residential’s securities in an unrealized loss position as of March 31, 2021: Securities in an Unrealized Loss Position Outstanding Face Amount Amortized Cost Basis Gross Unrealized Losses Carrying Value Number of Securities Weighted Average Before Credit Impairment Credit Impairment (A) After Credit Impairment Rating Coupon Yield Life Less than 12 Months $ 15,641,371 $ 13,904,964 $ (583) $ 13,904,381 $ (417,210) $ 13,487,171 60 AAA 2.2 % 2.2 % 7.4 12 or More Months 5,468,704 142,858 (7,195) 135,662 (24,604) 111,058 88 AA+ 1.5 % 1.4 % 3.0 Total/Weighted Average $ 21,110,075 $ 14,047,822 $ (7,778) $ 14,040,043 $ (441,814) $ 13,598,229 148 AAA 2.2 % 2.2 % 7.4 (A) Represents credit impairment on securities in an unrealized loss position as of March 31, 2021. 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: March 31, 2021 December 31, 2020 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 $ — $ — $ — $ — $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (C) — — — — — — — 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 22,166 22,166 (7,778) — 21,326 21,326 (8,672) — Non-credit impaired securities 13,576,063 14,017,877 — (441,814) 270,821 331,638 — (60,817) Total debt securities in an unrealized loss position $ 13,598,229 $ 14,040,043 $ (7,778) $ (441,814) $ 292,147 $ 352,964 $ (8,672) $ (60,817) (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. (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 not accounted for under the fair value election (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, 2020 $ 8,672 $ — $ 8,672 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 (894) — (894) Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at March 31, 2021 $ 7,778 $ — $ 7,778 The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: March 31, 2021 December 31, 2020 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 5,952,955 33.0 % $ 6,543,524 33.7 % Southeastern U.S. 4,815,659 26.7 % 5,089,592 26.3 % Northeastern U.S. 4,198,169 23.3 % 4,484,340 23.2 % Midwestern U.S. 2,083,293 11.6 % 2,207,783 11.4 % Southwestern U.S. 977,400 5.4 % 1,025,637 5.3 % Other (B) 4,604 — % 14,132 0.1 % $ 18,032,080 100.0 % $ 19,365,008 100.0 % (A) Excludes $12.7 million and $13.0 million face amount of bonds backed by consumer loans and $0.5 million and $0.5 million face amount of bonds backed by corporate debt as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 $ 522,553 $ 163,304 December 31, 2020 727,216 280,876 The following is a summary of the changes in accretable yield for these securities: Three Months Ended March 31, 2021 Balance at December 31, 2020 $ 189,562 Additions — Accretion (2,790) Reclassifications from (to) non-accretable difference (5,162) Disposals (149,058) Balance at March 31, 2021 $ 32,552

RESIDENTIAL MORTGAGE LOANS

RESIDENTIAL MORTGAGE LOANS3 Months Ended
Mar. 31, 2021
Receivables [Abstract]
RESIDENTIAL MORTGAGE LOANSRESIDENTIAL 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. 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 March 31, 2021, 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: March 31, 2021 December 31, 2020 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 708,746 $ 656,752 11,806 6.0 % 5.5 $ 674,179 Acquired reverse mortgage loans (C) $ 12,228 $ 5,675 28 7.6 % 4.3 $ 5,884 Acquired performing loans (D)(F) 132,431 126,814 3,155 5.5 % 4.4 129,345 Acquired non-performing loans (E)(F) 234,527 190,590 1,536 5.5 % 3.3 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 379,186 $ 323,079 4,719 5.6 % 3.7 $ 509,887 Acquired performing loans (D)(F) $ 1,706,522 $ 1,728,490 8,569 3.7 % 10.0 $ 1,423,159 Acquired non-performing loans 455,723 406,100 2,325 5.2 % 3.0 335,544 Originated loans 3,420,363 3,465,886 12,919 2.9 % 27.5 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 5,582,608 $ 5,600,476 23,813 3.3 % 20.2 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,961,794 $ 5,923,555 $ 5,215,703 (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 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 52% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (D) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (E) As of March 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (F) below. (F) Includes $553.9 million and $289.9 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2021 December 31, 2020 California 12.0 % 11.9 % Texas 10.3 % 10.1 % New York 7.1 % 7.1 % Florida 7.0 % 7.1 % Georgia 5.9 % 5.8 % New Jersey 4.1 % 4.2 % Pennsylvania 3.5 % 3.5 % North Carolina 3.3 % 3.5 % Massachusetts 3.3 % 3.4 % Virginia 2.9 % 2.5 % Other U.S. 40.6 % 40.9 % 100.0 % 100.0 % See Note 11 regarding the financing of residential mortgage loans. The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: March 31, 2021 December 31, 2020 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90 to 119 $ 51,073 $ 44,588 $ (6,484) $ 71,567 $ 59,679 $ (11,888) 120+ 703,274 614,742 (88,532) 950,564 790,788 (159,776) $ 754,347 $ 659,330 $ (95,016) $ 1,022,131 $ 850,467 $ (171,664) 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 three months ended March 31, 2021, New Residential executed calls on a total of 18 trusts and recognized $2.2 million of interest income on securities held in the collapsed trusts and $12.1 million of gain on securitizations accounted for as sales. For the three months ended March 31, 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 $42.6 million of gain on securitizations accounted for as sales. Refer to Note 16 for transactions with affiliates. 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, 2020 $ 674,179 $ 509,887 $ 4,705,816 $ 5,889,882 Originations — — 27,119,215 27,119,215 Sales — (188,855) (28,278,209) (28,467,064) Purchases/additional fundings — — 2,090,474 2,090,474 Proceeds from repayments (26,212) (10,194) (86,828) (123,234) Transfer of loans to other assets (A) — 199 1,031 1,230 Transfer of loans to real estate owned (1,441) (3,514) (971) (5,926) Valuation (provision) reversal on loans — 15,556 — 15,556 Fair value adjustments due to: Changes in instrument-specific credit risk 13,919 — 37,265 51,184 Other factors (3,693) — 12,683 8,990 Balance at March 31, 2021 $ 656,752 $ 323,079 $ 5,600,476 $ 6,580,307 (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 The following table summarizes the net interest income for residential mortgage loans: Three Months Ended 2021 2020 Interest income: Loans held-for-investment, at fair value $ 11,060 $ 15,109 Loans held-for-sale, at lower of cost or fair value 9,651 17,780 Loans held-for-sale, at fair value 38,463 43,767 Total interest income 59,174 76,656 Interest expense: Loans held-for-investment, at fair value 4,811 5,200 Loans held-for-sale, at lower of cost or fair value 5,806 8,530 Loans held-for-sale, at fair value 28,722 30,470 Total interest expense 39,339 44,200 Net interest income $ 19,835 $ 32,456 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 Consolidated Statements of Income. Gain on Originated Mortgage Loans, Held-for-Sale, Net is summarized below: Three Months Ended 2021 2020 Gain on loans originated and sold, net (A) $ 1,087 $ 39,289 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) 40,121 (46,314) MSRs retained on transfer of loans (C) 255,473 195,896 Other (D) 23,683 10,506 Realized gain on sale of originated mortgage loans, net $ 320,364 $ 199,377 Change in fair value of loans (89,963) 22,275 Change in fair value of interest rate lock commitments (Note 10) (234,982) 91,249 Change in fair value of derivative instruments (Note 10) 408,015 (139,324) Gain on originated mortgage loans, held-for-sale, net $ 403,434 $ 173,577 (A) Includes loan origination fees of $658.3 million and $277.0 million for the three months ended March 31, 2021 and 2020, 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.

CONSUMER LOANS

CONSUMER LOANS3 Months Ended
Mar. 31, 2021
Investments In Consumer Loans Equity Method Investees [Abstract]
CONSUMER LOANSCONSUMER 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 March 31, 2021, 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 Consolidated Balance Sheets. In addition, see “Equity Method Investees” below. The following table summarizes consumer loans, held-for-investment, at fair value 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) March 31, 2021 Consumer Loan Companies Performing Loans $ 456,572 53.5 % $ 516,597 18.5 % 3.5 3.7 % Purchased Credit Deteriorated Loans (C) 118,758 53.5 % 120,731 14.3 % 3.5 7.4 % Other - Performing Loans 1,794 100.0 % 1,658 15.5 % 0.3 5.7 % Total Consumer Loans $ 577,124 $ 638,986 17.6 % 3.4 4.5 % December 31, 2020 Consumer Loan Companies Performing Loans $ 490,222 53.5 % $ 553,419 18.3 % 3.6 3.7 % Purchased Credit Deteriorated Loans (C) 127,899 53.5 % 129,513 14.1 % 3.5 7.4 % Other - Performing Loans 2,862 100.0 % 2,643 15.3 % 0.4 4.3 % Total Consumer Loans $ 620,983 $ 685,575 17.4 % 3.6 4.4 % (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) 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. See Note 11 regarding the financing of consumer loans. The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans: March 31, 2021 December 31, 2020 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Under 90 days $ 567,518 $ 628,462 $ 60,944 $ 611,978 $ 675,691 $ 63,713 90+ 9,606 10,524 918 9,005 9,884 879 $ 577,124 $ 638,986 $ 61,862 $ 620,983 $ 685,575 $ 64,592 Activities related to consumer loans were as follows: Balance at December 31, 2020 $ 685,575 Additional fundings (A) 7,147 Proceeds from repayments (52,581) Accretion of loan discount and premium amortization, net 4,849 Fair value adjustment due to: Changes in instrument-specific credit risk 6,362 Other factors (12,366) Balance at March 31, 2021 $ 638,986 (A) Represents draws on consumer loans with revolving privileges.

DERIVATIVES

DERIVATIVES3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
DERIVATIVESDERIVATIVES 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 MSRs. 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. Changes in the value of derivatives designed to protect against mortgage backed securities and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below. As of March 31, 2021, 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 Consolidated Balance Sheets as follows: Balance Sheet Location March 31, 2021 December 31, 2020 Derivative assets Interest rate swaps (A) Other assets $ 51 $ — Interest rate lock commitments Other assets 92,514 289,355 Forward Loan Sale Commitments Other assets 315,665 — TBAs Other assets — 789 $ 408,230 $ 290,144 Derivative liabilities Interest rate swaps (A) Accrued expenses and other liabilities $ — $ 25 Interest rate lock commitments Accrued expenses and other liabilities 38,422 281 TBAs Accrued expenses and other liabilities 36,313 119,456 $ 74,735 $ 119,762 (A) Net of $68.4 million and $237.7 million of related variation margin accounts as of March 31, 2021 and December 31, 2020, respectively. The following table summarizes notional amounts related to derivatives: March 31, 2021 December 31, 2020 Interest rate swaps (A) $ 10,045,000 $ 6,515,000 Interest rate lock commitments 14,266,506 15,031,345 TBAs, short position (B) 37,712,279 23,529,408 (A) Includes $10.0 billion notional of receive LIBOR/pay fixed of 1.46% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 38 months and 0 months, respectively, as of March 31, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.21% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020. (B) 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 2021 2020 Servicing revenue, net TBAs $ (8,823) $ — (8,823) — Gain on originated mortgage loans, held-for-sale, net (A) Interest rate lock commitments (234,982) 91,249 TBAs 408,015 (139,351) Forward loan sale commitments — 27 173,033 (48,075) Change in fair value of derivative investments (A) Interest rate swaps 206,205 (39,982) 206,205 (39,982) Gain (loss) on settlement of investments, net Interest rate swaps (33,826) (13,652) TBAs (B) 6,453 (71,060) (27,373) (84,712) Total income (loss) $ 343,042 $ (172,769) (A) Represents unrealized gain (loss). (B) Excludes $40.1 million gain and $46.3 million loss for the three months ended March 31, 2021 and 2020, respectively, included within Gain on Originated Mortgage Loans, Held-for-Sale, Net (Note 8).

DEBT OBLIGATIONS

DEBT OBLIGATIONS3 Months Ended
Mar. 31, 2021
Debt Disclosure [Abstract]
DEBT OBLIGATIONSDEBT OBLIGATIONS The following table presents certain information regarding New Residential’s Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: March 31, 2021 December 31, 2020 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) Secured Financing Agreements (C) Repurchase Agreements: Warehouse Credit Facilities-Residential Mortgage Loans (F) $ 5,133,435 $ 5,131,682 May-21 to Dec-22 2.18 % 0.6 $ 5,539,834 $ 5,601,036 $ 5,562,750 20.0 $ 4,039,564 Agency RMBS (D) 13,641,520 13,641,520 Apr-21 to Jan-22 0.23 % 0.4 13,443,593 13,956,269 13,558,231 1.0 12,682,427 Non-Agency RMBS (E) 740,770 740,544 Apr-21 to Jun-21 3.33 % 0.5 15,722,106 1,247,027 1,304,584 0.7 817,209 Real Estate Owned (G)(H) 8,714 8,714 May-21 to Dec-22 2.60 % 1.8 N/A N/A 11,580 N/A 8,480 Total Secured Financing Agreements 19,524,439 19,522,460 0.86 % 0.5 17,547,680 Secured Notes and Bonds Payable Excess MSRs (I) 265,899 265,899 Aug-24 4.36 % 3.4 95,393,278 315,399 390,631 6.2 275,088 MSRs (J) 2,696,137 2,685,492 Jul-22 to Mar-26 4.25 % 3.3 385,377,861 4,240,151 4,717,694 6.2 2,691,791 Servicer Advance Investments (K) 403,570 402,691 Apr-21 to Dec-22 1.42 % 1.3 440,306 492,831 517,558 6.3 423,144 Servicer Advances (K) 2,494,763 2,487,465 Apr-21 to Sep-23 2.43 % 1.6 2,898,656 2,895,073 2,895,073 0.7 2,585,575 Residential Mortgage Loans (L) 682,847 675,317 Sep-22 to Aug-60 4.18 % 20.4 1,019,812 998,328 934,291 4.2 1,039,838 Consumer Loans (M) 583,948 591,011 Sep-37 2.03 % 3.4 575,267 584,632 637,264 3.6 628,759 Total Secured Notes and Bonds Payable 7,127,164 7,107,875 3.27 % 4.3 7,644,195 Total/ Weighted Average $ 26,651,603 $ 26,630,335 1.50 % 1.5 $ 25,191,875 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid. (C) These secured financing agreements had approximately $56.4 million of associated accrued interest payable as of March 31, 2021. (D) All Agency RMBS repurchase agreements have a fixed rate. (E) All Non-Agency RMBS secured financing agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $24.1 million and $33.1 million, respectively, on retained bonds collateralized by Agency MSRs. (F) Includes $247.7 million of repurchase agreements which bear interest at a fixed rate of 4.4%. 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 $265.9 million of corporate loans which bear interest at a fixed rate of 4.4%. (J) Includes $373.9 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 3.3%; $394.9 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 3.9%; and $1,927.3 million of capital markets notes with fixed interest rates ranging 3.0% to 5.4%. 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) $2.0 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.4% to 3.9%. 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 $5.8 million note payable to Mr. Cooper which includes a $1.6 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.9%, (ii) $50.7 million face amount of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.7% (see Note 12 for fair value details), (iii) $139.2 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.6% (see Note 12 for fair value details), and (iv) $466.5 million of bonds held by third parties which bear interest at a fixed rate ranging from 3.2% to 5.0%. (M) Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $530.9 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037. 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. As of March 31, 2021, New Residential has margin exposure on $19.5 billion of secured financing agreements. To the extent that the value of the collateral underlying these secured financing 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, 2020 $ 275,088 $ 2,691,791 $ 3,008,719 $ 13,499,636 $ 5,087,882 $ 628,759 $ 25,191,875 Secured Financing Agreements Borrowings — — — 21,192,890 28,551,939 — 49,744,829 Repayments — — — (20,311,180) (27,461,425) — (47,772,605) Capitalized deferred financing costs, net of amortization — — — 717 1,839 — 2,556 Secured Notes and Bonds Payable Borrowings — 684,030 724,883 — — — 1,408,913 Repayments (9,189) (692,816) (843,337) — (365,473) (41,218) (1,952,033) Discount on borrowings, net of amortization — — — — — — — Unrealized loss on notes, fair value — — — — 952 3,470 4,422 Capitalized deferred financing costs, net of amortization — 2,487 (109) — — — 2,378 Balance at March 31, 2021 $ 265,899 $ 2,685,492 $ 2,890,156 $ 14,382,063 $ 5,815,714 $ 591,011 $ 26,630,335 (A) New Residential net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances. Maturities New Residential’s debt obligations as of March 31, 2021 had contractual maturities as follows: Year Ending Nonrecourse (A) Recourse (B) Total April 1 through December 31, 2021 $ 648,882 $ 18,103,159 $ 18,752,041 2022 917,384 2,327,985 3,245,369 2023 1,200,000 285,676 1,485,676 2024 — 557,251 557,251 2025 250,450 1,789,849 2,040,299 2026 and thereafter 1,010,573 110,400 1,120,973 $ 4,027,289 $ 23,174,320 $ 27,201,609 (A) Includes secured notes and bonds payable of $4.0 billion. (B) Includes secured financing agreements and secured notes and bonds payable of $19.5 billion and $3.7 billion, respectively. Borrowing Capacity The following table represents New Residential’s borrowing capacity as of March 31, 2021: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 4,553,745 $ 1,503,861 $ 3,049,884 New loan originations 7,823,000 3,638,280 4,184,720 Secured Notes and Bonds Payable Excess MSRs 286,380 265,899 20,481 MSRs 3,667,277 2,696,137 971,140 Servicer advances 4,315,000 2,898,333 1,416,667 $ 20,645,402 $ 11,002,510 $ 9,642,892 (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 March 31, 2021. 2020 Term Loan On May 19, 2020, the Company, as borrower, entered into a three 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. The Company 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 the Company recognized it as a discount to the 2020 Term Loan. Refer to Note 14 for further details. In August 2020, the Company made a $51.0 million prepayment on the 2020 Term Loan. As a result, the Company recorded a $5.7 million loss on extinguishment of debt, representing a write-off of unamortized debt issuance costs and original issue discount. In September 2020, the Company used the net proceeds from a private debt offering, together with cash on hand, to fully retire all of the outstanding principal balance on the 2020 Term Loan. As a result, the Company recorded a $61.1 million loss on extinguishment of debt, primarily representing a write-off of unamortized debt issuance costs and original issue discount. The 2020 Term Loan contained certain customary affirmative and negative covenants and also required the Company to maintain compliance with certain financial covenants. The Company was in compliance with all financial covenants through extinguishment of the 2020 Term Loan. 2025 Senior Unsecured Notes On September 16, 2020, the Company, as borrower, completed a private offering of $550.0 million aggregate principal amount of 6.250% senior unsecured notes due 2025 (the “2025 Senior Notes”). Interest on the 2025 Senior Notes accrue at the rate of 6.250% per annum with interest payable semi-annually in arrears on each April 15 and October 15. The 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed): Year Price 2022 103.125% 2023 101.563% 2024 and thereafter 100.000% Prior to October 15, 2022, the Company will be entitled at its option on one or more occasions to redeem the 2025 Senior Notes in an aggregate principal amount not to exceed 40% of the aggregate principal amount of the 2025 Senior Notes originally issued prior to the applicable redemption date at a fixed redemption price of 106.250%. Net proceeds from the offering were approximately $544.5 million, after deducting the initial purchasers’ discounts and commissions and estimated offering expenses payable by the Company. The Company used the net proceeds from the offering, together with cash on hand, to prepay and retire its then-existing 2020 Term Loan and to pay related fees and expenses. The Company recorded a $61.1 million loss on extinguishment of debt, representing a write-off of unamortized debt issuance costs and original issue discount. The Company incurred fees of approximately $8.3 million in relation to the issuance of the 2025 Senior Notes. These fees were capitalized as debt issuance cost and are grouped and presented as part of Unsecured Senior Notes, Net of Issuance Costs on the Consolidated Balance Sheets. For the three months ended March 31, 2021 , the Company recognized $8.5 million of interest expense. At March 31, 2021 , the unamortized debt issuance costs was approximately $8.0 million. The 2025 Senior Notes are senior unsecured obligations and rank pari passu in right of payment with all of the Company’s existing and future senior unsecured indebtedness and senior unsecured guarantees. At the time of issuance, the 2025 Senior Notes were not guaranteed by any of the Company’s subsidiaries and none of its subsidiaries are required to guarantee the 2025 Senior Notes in the future, except under limited specified circumstances. The 2025 Senior Notes contain financial covenants and other non-financial covenants, including, among other things, limits on the ability of the Company and its restricted subsidiaries to incur certain indebtedness (subject to various exceptions), requires that the Company maintain total unencumbered assets (as defined in the debt agreement) of not less than 120% of the aggregate principal amount of the outstanding unsecured debt, and imposes certain requirements in order for the Company to merge or consolidate with or transfer all or substantially all of its assets to another person, in each case subject to certain qualifications set forth in the debt agreement. If the Company were to fail to comply with these covenants, after the expiration of the applicable cure periods, the debt maturity could be accelerated or other remedies could be sought by the lenders. As of March 31, 2021, the Company was in compliance with all covenants. In the event of a change of control, each holder of the 2025 Senior Notes will have the right to require the Company to repurchase all or any part of the outstanding balance at a purchase price of 101% of the principal amount of the 2025 Senior Notes repurchased, plus accrued and unpaid interest, if any, to, but not including, the date of such repurchase.

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]
FAIR VALUE MEASUREMENTFAIR 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 March 31, 2021 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Excess MSRs (A) $ 68,367,358 $ 303,568 $ — $ — $ 303,568 $ 303,568 Excess MSRs, equity method investees (A) 27,025,920 98,886 — — 98,886 98,886 MSRs (A) 354,126,996 4,023,559 — — 4,023,559 4,023,559 MSR financing receivables (A) 64,387,370 1,021,780 — — 1,021,780 1,021,780 Servicer advance investments 440,306 517,557 — — 517,557 517,557 Real estate and other securities 31,488,837 14,606,157 — 13,558,231 1,047,926 14,606,157 Residential mortgage loans, held-for-sale 379,186 323,079 — — 324,599 324,599 Residential mortgage loans, held-for-sale, at fair value 5,582,608 5,600,476 — 3,855,552 1,744,924 5,600,476 Residential mortgage loans, held-for-investment, at fair value 708,746 656,752 — — 656,752 656,752 Residential mortgage loans subject to repurchase 1,493,449 1,493,449 — 1,493,449 — 1,493,449 Consumer loans 577,124 638,986 — — 638,986 638,986 Derivative assets 18,741,429 408,230 — 315,716 92,514 408,230 Note receivable 50,425 47,911 — — 47,911 47,911 Cash and cash equivalents 1,038,482 1,038,482 1,038,482 — — 1,038,482 Restricted cash 135,470 135,470 135,470 — — 135,470 Other assets (B) N/A 47,168 11,001 — 36,167 47,168 $ 30,961,510 $ 1,184,953 $ 19,222,948 $ 10,555,129 $ 30,963,030 Liabilities Secured financing agreements $ 19,524,439 $ 19,522,460 $ — $ 19,524,439 $ — $ 19,524,439 Secured notes and bonds payable (C) 7,127,164 7,107,875 — — 7,121,508 7,121,508 Unsecured senior notes, net of issuance costs 541,966 541,966 — — 541,966 541,966 Residential mortgage loan repurchase liability 1,493,449 1,493,449 — 1,493,449 — 1,493,449 Derivative liabilities 43,282,356 74,735 — 36,313 38,422 74,735 Excess spread financing 1,203,709 13,377 — — 13,377 13,377 Contingent consideration N/A 14,655 — — 14,655 14,655 $ 28,768,517 $ — $ 21,054,201 $ 7,729,928 $ 28,784,129 (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 $31.7 million as of March 31, 2021. (C) Includes the SAFT 2013-1, MDST Trusts, NPL/RPL Securitization Trusts and SCFT 2020-A mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $1.3 billion as of March 31, 2021. 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, 2020 $ 162,645 $ 148,293 $ 99,917 $ 3,489,675 $ 1,096,166 $ 538,056 $ 1,180,924 $ 289,074 $ 2,320,384 $ 685,575 $ 10,010,709 Transfers Transfers from Level 3 — — — — — — — — (1,190) — (1,190) Transfers from MSR financing receivables to MSRs — — — 47,831 (47,831) — — — — — — Gain (loss) included in net income Provision (reversal) for credit losses on securities (D) — — — — — — 894 — — — 894 Change in fair value of excess MSRs (D) (3,822) (796) — — — — — — — — (4,618) Change in fair value of excess MSRs, equity method investees (D) — — 3,165 — — — — — — — 3,165 Servicing revenue, net (E) — — — 227,552 — — — — — — 227,552 Change in fair value of MSR financing receivables (D) — — — — (25,778) — — — — — (25,778) Change in fair value of servicer advance investments — — — — — (371) — — — — (371) Change in fair value of residential mortgage loans — — — — — — — — 60,174 — 60,174 Change in fair value of investments in consumer loans — — — — — — — — — (6,004) (6,004) Gain (loss) on settlement of investments, net 3 — — — — — (9,850) — — — (9,847) Other income (loss), net (D) — (325) — — — — 35,018 (234,982) (321) — (200,610) Gains (losses) included in other comprehensive income (F) — — — — — — 8,434 — — — 8,434 Interest income 6,689 5,542 — — — 6,812 7,157 — — 4,849 31,049 Purchases, sales and repayments Purchases, net (G) — — — 4,044 — 332,750 38,470 — 1,160,764 7,147 1,543,175 Proceeds from sales (8) (1) — (1,016) (777) (147,870) — (1,051,986) — (1,201,658) Proceeds from repayments (7,874) (6,778) (4,196) — — (359,690) (65,251) — (86,149) (52,581) (582,519) Originations and other — — — 255,473 — — — — — — 255,473 Balance at March 31, 2021 $ 157,633 $ 145,935 $ 98,886 $ 4,023,559 $ 1,021,780 $ 517,557 $ 1,047,926 $ 54,092 $ 2,401,676 $ 638,986 $ 10,108,030 (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) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (E) The components of Servicing Revenue, Net are disclosed in Note 5. (F) Gain (loss) included in Unrealized Gain (Loss) on Available-for-Sale Securities, Net in the Consolidated Statements of Comprehensive Income. (G) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. New Residential’s liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Asset-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2020 $ 18,420 $ 1,662,852 $ 14,247 $ 1,695,519 Transfers Gains (losses) included in net income Servicing revenue, net (B) 818 — — 818 Other income (A) — 4,422 408 4,830 Purchases, sales and repayments Proceeds from sales (6,064) (320,214) — (326,278) Payments — (86,503) — (86,503) Other 203 — — 203 Balance at March 31, 2021 $ 13,377 $ 1,260,557 $ 14,655 $ 1,288,589 (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 Consolidated Statements of Comprehensive Income. 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 March 31, 2021: Significant Inputs (A) Prepayment (B) Delinquency (C) Recapture (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 5.7% - 8.9% (6.8%) —% - 2.6% (1.0%) 4.6% - 21.1% (8.5%) 15 - 31 (21) 12 - 21 (19) Recaptured Pools 5.1% - 8.9% (7.1%) —% - 2.8% (0.6%) —% - 24.6% (13.8%) 21 - 29 (23) 19- 24 (22) 5.1% - 8.9% (6.9%) —% - 2.8% (0.9%) —% - 24.6% (10.3%) 15 - 31 (22) 12 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 6.1% - 11.6% (7.9%) 2.1% - 12.5% (9.0%) —% - 11.8% (8.0%) 6 - 25 (15) 17 - 27 (23) Recaptured Pools 4.9% - 6.5% (5.7%) 0.2% - 0.5% (0.4%) 11.2% - 21.5% (12.9%) 23 - 27 (25) 21 - 23 (23) 4.9% - 11.6% (7.5%) 0.2% - 12.5% (9.0%) —% - 21.5% (8.8%) 6 - 27 (17) 17 - 27 (23) Total/Weighted Average — Excess MSRs Directly Held 4.9% - 11.6% (7.2%) —% - 12.5% (4.1%) —% - 24.6% (9.6%) 6 - 31 (19) 12 - 27 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 6.5% - 8.9% (7.1%) 0.9% - 1.9% (1.2%) 4.6% - 19.3% (7.7%) 15 - 25 (19) 17- 19 (18) Recaptured Pools 6.2% - 8.0% (7.1%) 0.4% - 1.2% (0.9%) 7.8% - 20.8% (10.4%) 22 - 28 (25) 20 - 23 (22) Total/Weighted Average — Excess MSRs Held through Investees 6.2% - 8.9% (7.1%) 0.4% - 1.9% (1.0%) 4.6% - 20.8% (9.1%) 15 - 28 (22) 17 - 23 (20) Total/Weighted Average — Excess MSRs All Pools 4.9% - 11.6% (7.2%) —% - 12.5% (3.0%) —% - 35.0% (9.4%) 6 - 31 (20) 12 - 27 (21) MSRs Agency (H) Mortgage Servicing Rights (I) 6.0% - 13.5% (9.2%) 0.4% - 1.3% (0.8%) 1.8% - 29.0% (15.2%) 25 - 30 (28) 0 - 30 (22) 6.0% - 13.5% (9.2%) 0.4% - 1.3% (0.8%) 1.8% - 29.0% (15.2%) 25 - 30 (28) 0 - 30 (22) Non-Agency Mortgage Servicing Rights (I) 9.5% - 25.6% (17.8%) 1.4% - 7.6% (4.4%) 4.0% - 40.6% (22.7%) 26 - 79 (52) 0 - 30 (16) MSR Financing Receivables (I) 7.2% 11.3% 7.6% 48 0 - 30 (25) 7.2% - 25.6% (7.4%) 1.4% - 11.3% (11.2%) 4.0% - 40.6% (7.8%) 26 - 79 (48) 0 - 30 (25) Ginnie Mae Mortgage Servicing Rights (I)(J) 7.6% - 16.8% (14.9%) 2.2% - 5.0% (3.9%) 15.1% - 35.0% (20.7%) 32 - 48 (44) 0 - 30 (27) Total/Weighted Average — MSRs 6.0% - 25.6% (9.7%) 0.4% - 11.3% (3.4%) 1.8% - 40.6% (10.0%) 25 - 79 (35) 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 $6.20 - $7.50 ($7.10) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $10.90 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.90 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 PHH-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 March 31, 2021, a weighted average discount rate of 7.8% (range 7.5% - 8.0%) was used to value New Residential’s Excess MSRs (directly and through equity method investees). As of March 31, 2021, a weighted average discount rate of 7.7% (range 7.4% - 13.0%) was used to value New Residential’s MSRs and a weighted average discount rate of 9.5% was used to value New Residential’s 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) March 31, 2021 1.1% - 1.8% (1.8%) 8.1% - 8.2% (8.2%) 5.7% - 7.8% (7.8%) 16.6 - 19.7 (19.7) bps 5.2% - 5.7% (5.2%) 19 - 22 (22) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.1 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 March 31, 2021, 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 $ 13,443,593 $ 13,956,269 $ 13,558,231 $ — $ 13,558,231 2 Non-Agency RMBS (C) 18,045,244 977,194 1,047,926 — 1,047,926 3 Total $ 31,488,837 $ 14,933,463 $ 14,606,157 $ — $ 14,606,157 (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 95.2% 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 $ 997,828 3.5% to 15.0% (4.4%) 7.0% to 25.0% (14.0%) 0.5% to 12.0% (1.4%) 20.0% to 88.0% (29.5%) (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 $ 1,731,794 3.0% - 7.5% (4.1%) 2.0% - 25.0% (15.5%) —% - 3.1% (1.3%) —% -50.0% (15.0%) Originated loans 13,130 4.3% 5.5% 3.0% 50.0% Residential mortgage loans held-for-sale, at fair value $ 1,744,924 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 $ 656,752 5.8% - 8.0% (6.0%) 2.0% - 6.4% (6.0%) 1.4% - 2.9% (1.5%) 30.0% - 60.9% (58.1%) 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 $ 638,986 7.5% - 9.7% (7.5%) 20.4% - 34.1% (20.4%) 4.8% - 23.6% (4.8%) 78.8% - 92.4% (78.8%) Derivatives 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 $ 54,092 0.0% - 100.0% (83.2%) 4.0 - 283.4 (102.8) Asset-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, SAFT 2013-1 securitization entity, NPL/RPL Securitization Trusts and SCFT 2020-A, and therefore, New Residential’s Consolidated Balance Sheets include the asset-backed securities issued by the MDST Trusts, SAFT 2013-1, NPL/RPL Securitization Trusts and SCFT 2020-A, respectively. New Residential elected the fair value option for these financial instruments and the asset-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 Asset-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Asset-backed securities issued $ 1,260,557 1.6% - 4.9% (3.2%) 3.6% - 30.0% (12.5%) 1.0% - 4.8% (3.5%) 20.0% - 90.0% (63.2%) 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 March 31, 2021, assets measured at fair value on a nonrecurring basis were $322.6 million. The $322.6 million of assets include approximately $302.1 million of residential mortgage loans held-for-sale and $20.5 million of REO. The fair value of New Residential’s residential mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these residential mortgage loans as of March 31, 2021: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing loans $ 105,863 4.3% - 7.5% (5.4%) 4.3 - 9.0 (4.7) 5.1% - 9.9% (9.1%) 0.9% - 2.2% (1.1%) 28.6% - 100.0% (47.0%) Non-performing loans 196,265 5.5% - 9.0% (5.7%) 3.1 - 4.3 (3.4) 2.0% - 2.0% (2.0%) 2.9% - 2.9% (2.9%) 8.5% - 30.0% (28.9%) Total/weighted average $ 302,128 5.6% 3.8 4.5% 2.3% 35.2% (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 17%), depending on the information available to the broker.

VARIABLE INTEREST ENTITIES

VARIABLE INTEREST ENTITIES3 Months Ended
Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
VARIABLE INTEREST ENTITIESVARIABLE 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 March 31, 2021. 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 March 31, 2021, the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $329.0 million and $308.5 million of capital distributed to the third-party co-investors and New Residential, respectively. Neither the third-party co-investors nor New Residential is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. 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 During the third quarter of 2020, New Residential formed entities, (collectively, the “NPL/RPL Securitizations”) that separately issued securitized debt collateralized by non-performing and reperforming residential mortgage loans. New Residential determined that the NPL/RPL Securitizations should be evaluated for consolidation under the VIE model rather than the voting interest entity model as the equity holders as a group lack the characteristics of a controlling financial interest. Under the VIE model, New Residential’s consolidated subsidiaries had both 1) the power to direct the most significant activities of the NPL/RPL Securitizations and 2) significant variable interests in each of the NPL/RPL Securitizations, through their control of the related optional redemption feature and their ownership of certain notes issued by the NPL/RPL Securitizations and, therefore, met the primary beneficiary criterion and, accordingly, the Company consolidated the NPL/RPL Securitizations. 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. The following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations: As of and for the 2021 2020 Residential mortgage loan UPB $ 12,950,052 $ 14,932,876 Weighted average delinquency (A) 7.93 % 2.45 % Net credit losses $ 96,172 $ 13,898 Face amount of debt held by third parties (B) $ 11,850,796 $ 12,907,495 Carrying value of bonds retained by New Residential (C)(D) $ 1,121,761 $ 1,814,333 Cash flows received by New Residential on these bonds $ 288,481 $ 79,250 (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 March 31, 2021, 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 March 31, 2021 Assets Servicer advance investments, at fair value $ 501,483 $ — $ — $ — $ 501,483 Residential mortgage loans, held-for-investment, at fair value — — 336,175 — 336,175 Residential mortgage loans, held-for-sale — — 163,271 — 163,271 Residential mortgage loans, held-for-sale, at fair value — — 413,576 — 413,576 Consumer loans, held-for-investment, at fair value — — — 637,328 637,328 Cash and cash equivalents 39,030 36,625 — — 75,655 Restricted cash 2,601 — — 7,877 10,478 Other assets 9 5,575 41,497 8,447 55,528 Total Assets $ 543,123 $ 42,200 $ 954,519 $ 653,652 $ 2,193,494 Liabilities Secured notes and bonds payable (A) $ 393,361 $ — $ 669,544 $ 591,011 $ 1,653,916 Accrued expenses and other liabilities 944 7,195 23 718 8,880 Total Liabilities $ 394,305 $ 7,195 $ 669,567 $ 591,729 $ 1,662,796 December 31, 2020 Assets Servicer advance investments, at fair value $ 522,901 $ — $ — $ — $ 522,901 Residential mortgage loans, held-for-investment, at fair value — — 358,629 — 358,629 Residential mortgage loans, held-for-sale — — 346,250 — 346,250 Residential mortgage loans, held-for-sale, at fair value — — 614,868 — 614,868 Consumer loans, held-for-investment — — — 682,932 682,932 Cash and cash equivalents 53,012 39,031 — — 92,043 Restricted cash 2,808 — — 8,090 10,898 Other assets 891 9,151 30,621 9,201 49,864 Total Assets $ 579,612 $ 48,182 $ 1,350,368 $ 700,223 $ 2,678,385 Liabilities Secured notes and bonds payable (A) $ 414,576 $ — $ 1,034,093 $ 628,759 $ 2,077,428 Accrued expenses and other liabilities 1,092 9,455 1,661 764 12,972 Total Liabilities $ 415,668 $ 9,455 $ 1,035,754 $ 629,523 $ 2,090,400 (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: March 31, 2021 December 31, 2020 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 148,818 $ 35,005 $ 89,066 $ 163,944 $ 38,727 $ 96,418 Others’ ownership interest 26.8 % 49.1 % 46.5 % 26.8 % 50.1 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 39,834 $ 17,187 $ 41,963 $ 43,882 $ 19,402 $ 45,384 Others’ interests in the New Residential’s net income (loss) is computed as follows: Three Months Ended March 31, 2021 2020 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 4,885 $ 7,180 $ 9,809 $ (42,015) $ 2,571 $ (13,330) Others’ ownership interest 26.8 % 49.1 % 46.5 % 26.8 % 49.9 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 1,308 $ 3,525 $ 4,561 $ (11,247) $ 1,283 $ (6,198) (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended March 31, 2021 and 2020, respectively. See Note 11 regarding the financing of Servicer Advance Investments.

EQUITY AND EARNINGS PER SHARE

EQUITY AND EARNINGS PER SHARE3 Months Ended
Mar. 31, 2021
Earnings Per Share [Abstract]
EQUITY AND EARNINGS PER SHAREEQUITY AND EARNINGS PER SHARE Equity and Dividends 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. On February 16, 2021, 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, 2021. 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 Consolidated Financial Statements. The share repurchase program may be suspended or discontinued at any time. The table below summarizes preferred stock: Dividends Declared per Share Number of Shares Three Months Ended Series March 31, 2021 December 31, 2020 Liquidation Preference (A) Issuance Discount Carrying Value 2021 2020 Fixed-to-floating rate cumulative redeemable preferred: Series A, 7.50% issued July 2019 6,210 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.47 Series B, 7.125% issued August 2019 11,300 11,300 282,500 3.15 % 273,418 0.45 0.45 Series C, 6.375% issued February 2020 16,100 16,100 402,500 3.15 % 389,548 0.40 0.40 Total 33,610 33,610 $ 840,250 $ 812,992 $ 1.32 $ 1.32 (A) Each series has a liquidation preference of $25.00 per share. On March 24, 2021, New Residential’s board of directors declared first quarter 2021 preferred dividends of $0.47 per share of Preferred Series A, $0.45 per share of Preferred Series B, and $0.40 per share of Preferred Series C or $2.9 million, $5.0 million, and $6.4 million, respectively. Common dividends have been declared as follows: Declaration Date Payment Date Per Share Total Amounts Distributed (millions) Quarterly Dividend March 31, 2020 April 2020 $ 0.05 $ 20.8 June 22, 2020 July 2020 $ 0.10 $ 41.6 September 23, 2020 October 2020 $ 0.15 $ 62.4 December 16, 2020 January 2021 $ 0.20 $ 82.9 March 24, 2021 April 2021 $ 0.20 $ 82.9 Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, at March 31, 2021. 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 (subject to certain anti-dilution adjustments): 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 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 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 March 31, 2021: Number of Warrants Weighted Average Exercise Price Outstanding warrants - December 31, 2020 43.4 $ 6.79 Granted — — Exercised — — Expired — — Outstanding warrants - March 31, 2021 43.4 $ 6.73 (A) (A) Reflects a reduction in weighted average exercise price due to anti-dilution adjustments effective for dividends in excess of $0.10 a share. Option Plan As of March 31, 2021, New Residential’s outstanding options were summarized as follows: Held by the Manager 11,667,675 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 2,753,980 Issued to the independent directors 7,000 Total 14,428,655 The following table summarizes New Residential’s outstanding options as of March 31, 2021. The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended March 31, 2021 was $11.25 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 $ 13.30 $ — Manager (C) 2017 1,130,916 1,130,916 13.78 — Manager (C) 2018 5,320,000 4,745,000 16.49 — Manager (C) 2019 6,351,000 4,809,667 15.93 — Manager (C) 2020 1,619,739 701,887 17.23 Outstanding 14,428,655 11,394,470 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Manager assigned certain of its options to its employees as follows: Date of Grant to Manager Range of Exercise Total Unexercised 2018 $16.37 to $17.84 1,159,833 2019 $14.96 to $16.50 1,270,200 2020 $16.84 to $17.23 323,947 Total 2,753,980 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price Outstanding options - December 31, 2020 14,428,655 Granted — $ — Exercised — — Expired — — Outstanding options - March 31, 2021 14,428,655 See table above 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 2021 2020 Net income (loss) $ 301,336 $ (1,607,255) Noncontrolling interests in income of consolidated subsidiaries 9,394 (16,162) Dividends on preferred stock 14,358 11,222 Net income (loss) attributable to common stockholders $ 277,584 $ (1,602,315) Basic weighted average shares of common stock outstanding 414,795,505 415,589,155 Dilutive effect of stock options (A) — — Dilutive effect of common stock purchase warrants (A) 14,695,874 — Diluted weighted average shares of common stock outstanding 429,491,379 415,589,155 Basic earnings per share attributable to common stockholders $ 0.67 $ (3.86) Diluted earnings per share attributable to common stockholders $ 0.65 $ (3.86) (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 2021 2020 Stock options — 174,720 Common stock purchase warrants — $ — 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 CONTINGENCIES3 Months Ended
Mar. 31, 2021
Commitments and Contingencies Disclosure [Abstract]
COMMITMENTS AND CONTINGENCIESCOMMITMENTS 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 March 31, 2021, New Residential had outstanding capital commitments related to investments in the following investment types (also refer to Note 5 for MSR investment commitments and to Note 18 for additional capital commitments entered into subsequent to March 31, 2021, 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 (i) the credit and prepayment performance of the underlying loans, (ii) the amount of advances recoverable prior to liquidation of the related collateral and (iii) 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 MSRs and Servicer Advance Investments, respectively. 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. Loans in forbearance that are three or more consecutive payments delinquent are included as delinquent loans permitted to be repurchased. 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 March 31, 2021, New Residential’s estimated liability associated with representations and warranties and Ginnie Mae repurchases was $9.8 million and $1.5 billion, respectively. See Note 5 for information on NewRez’s right to repurchase delinquent loans from Ginnie Mae securities and mortgage origination. 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 regarding New Residential’s residential mortgage loans. Consumer Loans — The Consumer Loan Companies have invested in loans with an aggregate of $256.8 million of unfunded and available revolving credit privileges as of March 31, 2021. 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 — Operating lease right-of-use (“ROU”) assets and Operating lease liabilities are grouped and presented as part of Other Assets and Accrued Expenses and Other Liabilities, respectively, on New Residential’s Consolidated Balance Sheets. New Residential, through its wholly-owned subsidiary, Shellpoint, has leases on office space expiring through 2025. Rent expense, net of sublease income for the three months ended March 31, 2021 and 2020 totaled $3.4 million and $3.4 million, respectively. The Company has leases that include renewal options and escalation clauses. The terms of the leases do not impose any financial restrictions or covenants. As of March 31, 2021, future commitments under the non-cancelable leases are as follows: Year Ending Amount April 1 through December 31, 2021 $ 9,843 2022 10,121 2023 5,854 2024 2,734 2025 2,116 2026 and thereafter — Total remaining undiscounted lease payments 30,668 Less: imputed interest 1,741 Total remaining discounted lease payments $ 28,927 The future commitments under the non-cancelable leases have not been reduced by the sublease rentals of $0.9 million due in the future periods. Other information related to operating leases is summarized below: March 31, 2021 December 31, 2020 Weighted-average remaining lease term (years) 3.0 3.2 Weighted-average discount rate 4.5 % 4.5 % Environmental Costs — As a residential real estate owner, New Residential is subject to potential environmental costs. At March 31, 2021, 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 distribution agreement executed in connection with New Residential’s spin-off from Drive Shack, Drive Shack (i) represented that it had no knowledge of any fact or circumstance that would cause New Residential to fail to qualify as a REIT, (ii) covenanted to use commercially reasonable efforts to cooperate with New Residential as necessary to enable New Residential to qualify for taxation as a REIT and receive customary legal opinions concerning REIT status, including providing information and representations to New Residential and its tax counsel with respect to the composition of Drive Shack’s income and assets, the composition of its stockholders, and its operation as a REIT; and (iii) covenanted to use its reasonable best efforts to maintain its REIT status for each of Drive Shack’s taxable years ending on or before December 31, 2014 (unless Drive Shack obtains an opinion from a nationally recognized tax counsel or a private letter ruling from the U.S. Internal Revenue Service (“IRS”) to the effect that Drive Shack’s failure to maintain its REIT status will not cause New Residential to fail to qualify as a REIT under the successor REIT rule referred to above). Additionally, New Residential covenanted to use its reasonable best efforts to qualify for taxation as a REIT for its taxable year ended December 31, 2013.

TRANSACTIONS WITH AFFILIATES AN

TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES3 Months Ended
Mar. 31, 2021
Transactions With Affiliates And Affiliated Entities
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIESTRANSACTIONS 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 consists of the following: March 31, 2021 December 31, 2020 Management fees $ 7,393 $ 7,478 Incentive compensation — — Expense reimbursements and other 1,429 1,972 Total $ 8,822 $ 9,450 Affiliate expenses and fees consists of the following: Three Months Ended 2021 2020 Management fees $ 22,162 $ 21,721 Incentive compensation — — Expense reimbursements (A) 125 125 Total $ 22,287 $ 21,846 (A) Included in General and administrative expenses in the Consolidated Statements of Income. See Note 4 regarding co-investments with Fortress-managed funds. See Note 14 regarding options granted to the Manager.

INCOME TAXES

INCOME TAXES3 Months Ended
Mar. 31, 2021
Income Tax Disclosure [Abstract]
INCOME TAXESINCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended 2021 2020 Current: Federal $ 10,813 $ — State and local 2,216 49 Total current income tax expense (benefit) 13,029 49 Deferred: Federal 71,309 (127,526) State and local 13,921 (39,391) Total deferred income tax expense (benefit) 85,230 (166,917) Total income tax expense (benefit) $ 98,259 $ (166,868) New Residential intends to qualify as a REIT for each of its tax years through December 31, 2021. 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 business segments, including servicing, origination, and MSR related investments, 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. Refer to Note 3 for further details. As of March 31, 2021, New Residential recorded a net deferred tax liability of $93.1 million primarily related to MSRs.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS3 Months Ended
Mar. 31, 2021
Subsequent Events [Abstract]
SUBSEQUENT EVENTSSUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to March 31, 2021 through the issuance of these Consolidated Financial Statements. Events subsequent to that date have not been considered in these financial statements. Corporate Activities On April 14, 2021, New Residential entered into a Stock Purchase Agreement (the “SPA”) with LSF Pickens Holdings, LLC, a Delaware limited liability company (“LSF”) and an affiliate of Lone Star Funds, and Caliber Home Loans Inc., a Delaware corporation and wholly owned subsidiary of LSF (“Caliber”). The SPA provides that, upon the terms and subject to the conditions set forth therein, the Company or one of its subsidiaries will purchase all of the issued and outstanding equity interests of Caliber (the “Transaction”) from LSF for a purchase price of $1.675 billion, subject to certain downward adjustments for among other things, any Leakage Amount (as defined in the SPA to include certain cash dividends and other payments out of Caliber and its subsidiaries) since December 31, 2020. The Transaction is targeted to close in the third quarter of 2021, subject to various approvals and customary closing conditions. On April 14, 2021, the Company priced its underwritten public offering of 45,000,000 shares of its common stock at a public offering price of $10.10 per share. The offering closed on April 19, 2021. In connection with the offering, the Company granted the underwriters an option for a period of 30 days to purchase up to an additional 6,750,000 shares of common stock at a price of $10.10 per share. On April 16, 2021, the underwriters exercised their option, in part, to purchase an additional 6,725,000 shares of common stock. Additionally, in connection with the offering, to compensate the Manager for its successful efforts in raising capital for New Residential, the Company granted options to the Manager relating to 5.2 million shares of New Residential’s common stock at $10.10 per share. The Company intends to use the net proceeds of approximately $512.0 million from the offering, along with cash on hand and other sources of liquidity, to finance the acquisition of Caliber. In the event that the Caliber acquisition does not occur, the Company intends to use the net proceeds from the offering for general corporate purposes.

ORGANIZATION AND BASIS OF PRE_2

ORGANIZATION AND BASIS OF PRESENTATION (Policies)3 Months Ended
Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Income TaxesNew Residential has elected and intends to qualify to be taxed as a REIT for U.S. federal income tax purposes. As such, New Residential will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. See Note 17, Income Taxes, for additional information regarding New Residential’s taxable REIT subsidiaries.
Segment ReportingAs of March 31, 2021, 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.
Interim Financial StatementsThe accompanying Consolidated Financial Statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “U.S. 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 Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. 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. Risks and Uncertainties In the normal course of business, New Residential encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on New Residential’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment rates, interest rates, spreads or other market factors, including risks that impact the value of the collateral underlying New Residential’s investments. Taking into consideration these risks along with estimated prepayments, financings, collateral values, payment histories, and other information, New Residential believes that the carrying values of its investments are reasonable. Furthermore, for each of the periods presented, a significant portion of New Residential’s assets are dependent on its servicers’ and subservicers’ ability to perform their obligations servicing the loans underlying New Residential’s Excess MSRs, MSRs, MSR Financing Receivables, Servicer Advance Investments, Non-Agency RMBS and loans. If a servicer is terminated, New Residential’s right to receive its portion of the cash flows related to interests in servicing related assets may also be terminated. The outbreak of the novel coronavirus (“COVID-19”) pandemic around the globe continues to adversely impact the U.S. and world economies and has contributed to significant volatility in global financial and credit markets. The impact of the outbreak has evolved rapidly. The major disruptions caused by COVID-19 significantly slowed many commercial activities in the U.S., resulting in a rapid rise in unemployment claims, reduced business revenues and sharp reductions in liquidity and the fair value of many assets, including those in which the Company invests. The ultimate duration and impact of the COVID-19 pandemic and response thereto remain uncertain. New Residential is subject to significant tax risks. If New Residential were to fail to qualify as a REIT in any taxable year, New Residential would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, New Residential would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.
Use of EstimatesThe Company believes the estimates and assumptions underlying its Consolidated Financial Statements are reasonable and supportable based on the information available as of March 31, 2021; 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 March 31, 2021 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 PronouncementsIn 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. While the Company currently does not have any hedge accounting relationships, many of the Company’s debt facilities and loan agreements incorporate LIBOR as the referenced rate. Some of these facilities and loan agreements either mature prior to the phase out of LIBOR or have provisions in place that provide for an alternative to LIBOR upon its phase-out. 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 Consolidated Financial Statements. In August 2020, the FASB issued ASU 2020-06, Debt–Debt with Conversion and Other Options (Topic 470) and Derivatives and Hedging–Contracts in Entity’s Own Equity (Topic 815) . The standard simplifies the accounting for convertible instruments by reducing the number of accounting models. A convertible debt instrument will generally be reported as a single liability at its amortized cost with no separate accounting for embedded conversion features. The standard also amends the accounting for certain contracts in an entity’s own equity that are currently accounted for as derivatives because of specific settlement

OTHER ASSETS AND LIABILITIES,_2

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS (Tables)3 Months Ended
Mar. 31, 2021
Other Income Assets And Liabilities
Schedule of Other Assets and LiabilitiesOther assets and liabilities consists of the following: Other Assets Accrued Expenses March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Margin receivable, net (A) $ 612,814 $ 271,753 Margin payable $ 238,123 $ — Servicing fee receivables 122,206 137,426 MSR purchase price holdback 22,684 25,121 Due from servicers 22,994 67,854 Interest payable 37,345 44,623 Principal and interest receivable 64,758 41,589 Accounts payable 95,085 87,406 Equity investments (B) 47,195 55,504 Derivative liabilities 74,735 119,762 Other receivables 92,320 109,111 Due to servicers 62,437 59,671 REO 35,984 45,299 Due to agencies 19,605 26,748 Single-family rental properties 113,152 41,271 Contingent consideration 14,655 14,247 Goodwill (C) 29,468 29,468 Accrued compensation and benefits 54,010 67,025 Notes receivable (D) 50,411 52,389 Excess spread financing, at fair value 13,377 18,420 Warrants, at fair value 24,473 23,218 Operating lease liabilities 28,927 31,270 Recovery asset 9,891 13,006 Reserve for sales recourse 9,837 9,799 Property and equipment 31,494 27,493 Reserve for servicing losses 12,153 9,288 Receivable from government agency (E) 12,554 14,369 Deferred tax liability 93,149 7,859 Intangible assets 33,358 34,125 Other liabilities 21,330 16,063 Prepaid expenses 39,811 30,949 $ 797,452 $ 537,302 Operating lease right-of-use assets 24,851 26,913 Derivative assets 408,230 290,144 Ocwen common stock, at fair value 11,001 11,187 Other assets 39,144 35,354 $ 1,826,109 $ 1,358,422 (A) Represents collateral posted as a result of changes in fair value of New Residential’s (i) real estate securities securing its secured financing agreements and (ii) derivative instruments. (B) Represents equity investments in funds that invest in (i) a commercial redevelopment project, (ii) operating companies in the single-family housing industry. The indirect investments are accounted for at fair value based on the net asset value 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 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 Real Estate OwnedThe following table presents activity related to the carrying value of New Residential’s investments in REO and SFR: REO SFR Balance at December 31, 2020 $ 45,299 $ 41,271 Purchases 2,644 72,379 Transfer of loans to REO 8,701 — Sales (A) (23,817) (127) Depreciation — (371) Valuation (provision) reversal 3,157 — Balance at March 31, 2021 $ 35,984 $ 113,152 (A) Recognized when control of the property has transferred to the buyer.
Schedule of Accretion and Other AmortizationAs reflected on the Consolidated Statements of Cash Flows, Accretion and Other Amortization consists of the following: Three Months Ended 2021 2020 Accretion of net discount on securities and loans $ 12,007 $ 40,052 Accretion of servicer advances receivable discount and servicer advance investments 6,848 (10,915) Accretion of excess mortgage servicing rights income 12,231 13,226 Amortization of deferred financing costs (4,601) (1,136) Amortization of discount on secured notes and bonds payable (1) (123) Amortization of discount on corporate debt (450) — Total accretion and other amortization $ 26,034 $ 41,104
Schedule of General and Administrative ExpensesGeneral and Administrative Expenses consists of the following: Three Months Ended 2021 2020 Compensation and benefits expense $ 65,426 $ 51,341 Compensation and benefits expense, origination 133,218 61,278 Legal and professional expense 18,219 26,037 Loan origination expense 40,245 16,929 Occupancy expense 10,350 8,064 Subservicing expense 49,839 66,981 Loan servicing expense 4,679 7,853 Property and maintenance expense 12,130 7,463 Other miscellaneous general and administrative 28,399 29,153 Total general and administrative expenses $ 362,505 $ 275,099
Schedule of Change in Fair Value of InvestmentsChange in Fair Value of Investments Change in Fair Value of Investments consists of the following: Three Months Ended 2021 2020 Excess MSRs $ (4,618) $ (11,024) Excess MSRs, equity method investees 3,165 (457) MSR financing receivables (25,778) (104,111) Servicer advance investments (371) (18,749) Real estate and other securities (498,339) (86,792) Residential mortgage loans 60,174 (265,244) Consumer loans held-for-investment (6,004) (39,917) Derivative instruments 206,205 (39,982) Total change in fair value of investments $ (265,566) $ (566,276)
Schedule of Gain (Loss) on Settlement of InvestmentsThree Months Ended 2021 2020 Gain (loss) on sale of real estate securities $ (983) $ (754,540) Gain (loss) on sale of acquired residential mortgage loans 30,399 35,236 Gain (loss) on settlement of derivatives (27,373) (84,712) Gain (loss) on liquidated residential mortgage loans 897 (839) Gain (loss) on sale of REO (3,946) 1,173 Gain (loss) on extinguishment of debt (6) 1,461 Other gain (loss) 2,741 2,649 Total gain (loss) on settlement of investments, net $ 1,729 $ (799,572)
Schedule of Other IncomeThree Months Ended 2021 2020 Unrealized gain (loss) on secured notes and bonds payable $ (4,422) $ 17,002 Unrealized gain (loss) on contingent consideration (408) (1,614) Unrealized gain (loss) on equity investments (2,783) (45,023) Gain (loss) on transfer of loans to REO 1,321 2,595 Gain (loss) on transfer of loans to other assets (21) (241) Gain (loss) on Ocwen common stock (186) (5,050) Provision for servicing losses (6,158) (4,781) Rental and ancillary revenue 5,827 6,260 Property and maintenance revenue 19,906 13,347 Other income (loss) (36,396) (19,285) Total other income (loss), net $ (23,320) $ (36,790)

SEGMENT REPORTING (Tables)

SEGMENT REPORTING (Tables)3 Months Ended
Mar. 31, 2021
Segment Reporting [Abstract]
Summary of Segment Financial DataServicing 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 March 31, 2021 Interest income $ 22,852 $ 474 $ 78,771 $ — $ 102,097 $ 89,850 $ 36,322 $ 25,466 $ — $ 253,735 Servicing revenue, net (8,110) 113,515 466,587 (58,444) 513,548 — — — — 513,548 Gain on originated mortgage loans, held-for-sale, net 384,423 809 35,155 (43,499) 376,888 13,398 13,148 — — 403,434 Total revenues 399,165 114,798 580,513 (101,943) 992,533 103,248 49,470 25,466 — 1,170,717 Interest expense 18,063 70 51,832 — 69,965 15,720 21,276 3,018 8,926 118,905 G&A and other 189,926 84,239 119,933 (58,444) 335,654 1,156 17,686 3,036 27,135 384,667 Total operating expenses 207,989 84,309 171,765 (58,444) 405,619 16,876 38,962 6,054 36,061 503,572 Change in fair value of investments — — (27,602) — (27,602) (292,134) 60,174 (6,004) — (265,566) Gain (loss) on settlement of investments, net — — 644 — 644 (28,356) 29,441 — — 1,729 Other income (loss), net 59 1,102 (6,333) — (5,172) (1,686) (13,626) (2,207) (629) (23,320) Total other income (loss) 59 — 1,102 — (33,291) — — (32,130) (322,176) — 75,989 — (8,211) — (629) — (287,157) Impairment — — — — — (894) (18,713) — — (19,607) Income (loss) before income taxes 191,235 31,591 — 375,457 — (43,499) 554,784 (234,910) 105,210 11,201 (36,690) 399,595 Income tax expense (benefit) 36,386 7,915 38,596 — 82,897 — 15,303 59 — 98,259 Net income (loss) 154,849 23,676 336,861 (43,499) 471,887 (234,910) 89,907 11,142 (36,690) 301,336 Noncontrolling interests in income (loss) of consolidated subsidiaries 3,525 — 1,308 — 4,833 — — 4,561 — 9,394 Dividends on preferred stock — — — — — — — — 14,358 14,358 Net income (loss) attributable to common stockholders $ 151,324 $ 23,676 $ 335,553 $ (43,499) $ 467,054 $ (234,910) $ 89,907 $ 6,581 $ (51,048) $ 277,584 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 March 31, 2021 Investments $ 3,465,886 $ — $ 5,965,350 $ — $ 9,431,236 $ 14,606,157 $ 3,263,557 $ 638,986 $ — $ 27,939,936 Cash and cash equivalents 187,233 97,057 485,627 — 769,917 210,745 17,678 8,889 31,253 1,038,482 Restricted cash 12,679 39,926 34,448 — 87,053 17,409 96 31,478 — 136,036 Other assets 987,931 167,445 4,060,339 — 5,215,715 660,267 81,295 36,644 46,286 6,040,207 Goodwill 11,836 12,540 5,092 — 29,468 — — — — 29,468 Total assets $ 4,665,565 $ 316,968 $ 10,550,856 $ — $ 15,533,389 $ 15,494,578 $ 3,362,626 $ 715,997 $ 77,539 $ 35,184,129 Debt $ 3,300,495 $ 5,391 $ 5,861,546 $ — $ 9,167,432 $ 14,356,673 $ 2,515,219 $ 591,011 $ 541,966 $ 27,172,301 Other liabilities 546,295 51,504 1,498,685 — 2,096,484 7,283 146,637 3,251 136,360 2,390,015 Total liabilities 3,846,790 56,895 7,360,231 — 11,263,916 14,363,956 2,661,856 594,262 678,326 29,562,316 Total equity 818,775 260,073 3,190,625 — 4,269,473 1,130,622 700,770 121,735 (600,787) 5,621,813 Noncontrolling interests in equity of consolidated subsidiaries 17,187 — 39,834 — 57,021 — — 41,963 — 98,984 Total New Residential stockholders’ equity $ 801,588 $ 260,073 $ 3,150,791 $ — $ 4,212,452 $ 1,130,622 $ 700,770 $ 79,772 $ (600,787) $ 5,522,829 Investments in equity method investees $ — $ — $ 126,095 $ — $ 126,095 $ — $ — $ — $ — $ 126,095 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 March 31, 2020 Interest income $ 16,735 $ 7,487 $ 99,353 $ — $ 123,575 $ 184,005 $ 59,921 $ 34,872 $ — $ 402,373 Servicing revenue, net (1,078) 86,742 (350,587) (24,192) (289,115) — — — — (289,115) Gain on originated mortgage loans, held-for-sale, net 158,215 259 15,967 (9,375) 165,066 — 8,511 — — 173,577 Total revenues 173,872 — 94,488 — (235,267) — (33,567) — (474) — 184,005 — 68,432 — 34,872 — — — 286,835 Interest expense 13,427 196 57,783 — 71,406 108,009 30,773 6,667 — 216,855 G&A and other 100,212 64,352 101,974 (24,192) 242,346 6,854 16,756 3,883 26,981 296,820 Total operating expenses 113,639 64,548 159,757 (24,192) 313,752 114,863 47,529 10,550 26,981 513,675 Change in fair value of investments — — (134,341) — (134,341) (126,774) (265,244) (39,917) — (566,276) Gain (loss) on settlement of investments, net — — (3,281) — (3,281) (839,252) 42,961 — — (799,572) Other income (loss), net (16) 499 (19,288) — (18,805) (13) 30,012 (834) (47,150) (36,790) Total other income (loss) (16) 0 499 0 (156,910) 0 — (156,427) (966,039) 0 (192,271) 0 (40,751) 0 (47,150) (1,402,638) Impairment — — — — — 44,149 100,496 — — 144,645 Income (loss) before income taxes (B) 60,217 — 30,439 — (551,934) — (9,375) — (470,653) — (941,046) — (271,864) — (16,429) — (74,131) — (1,774,123) Income tax expense (benefit) 16,714 8,449 (116,945) — (91,782) — (75,201) 115 — (166,868) Net income (loss) 43,503 21,990 (434,989) (9,375) (378,871) (941,046) (196,663) (16,544) (74,131) (1,607,255) Noncontrolling interests in income (loss) of consolidated subsidiaries 1,283 — (11,247) — (9,964) — — (6,198) — (16,162) Dividends on preferred stock — — — — — — — — 11,222 11,222 Net income (loss) attributable to common stockholders $ 42,220 $ 21,990 $ (423,742) $ (9,375) $ (368,907) $ (941,046) $ (196,663) $ (10,346) $ (85,353) $ (1,602,315) (A) Elimination of intercompany transactions primarily relate to servicing fees, loan sales, and MSR recaptures. (B) Beginning in Q3 2020, New Residential revised its methodology of allocating tax expense within the Servicing and Origination segments. Specifically, taxes are now allocated based on intercompany agreements rather than based on a more general pro rata approach, which better reflects the operating performance of each respective segment. The revised methodology has been applied consistently for all periods presented.

EXCESS MORTGAGE SERVICING RIG_2

EXCESS MORTGAGE SERVICING RIGHTS ASSETS (Tables)3 Months Ended
Mar. 31, 2021
Transfers and Servicing [Abstract]
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRsThe table below summarizes the components of excess mortgage servicing rights assets as presented on the Consolidated Balance Sheets: March 31, December 31, 2020 Direct investments in Excess MSRs $ 303,568 $ 310,938 Excess MSR Joint Ventures 98,886 99,917 Excess mortgage servicing rights assets, at fair value $ 402,454 $ 410,855 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, 2020 $ 309,009 $ 1,929 $ 310,938 Interest income 12,499 (268) 12,231 Other income 3 (325) (322) Proceeds from repayments (14,563) (89) (14,652) Proceeds from sales (9) — (9) Change in fair value (5,090) 472 (4,618) Balance as of March 31, 2021 $ 301,849 $ 1,719 $ 303,568 (A) Specialized Loan Servicing LLC (“SLS”). The following table presents activity related to the carrying value of New Residential’s MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2020 $ 3,489,675 $ 1,096,166 $ 4,585,841 Purchases, net (A) 4,044 — 4,044 Transfers (B) 47,831 (47,831) — Originations (C) 255,473 — 255,473 Proceeds from sales (1,016) (777) (1,793) Change in fair value due to: Realization of cash flow (D) (319,029) (21,954) (340,983) Change in valuation inputs and assumptions (E) 547,510 (3,554) 543,956 (Gain) loss realized (929) (270) (1,199) Balance as of March 31, 2021 $ 4,023,559 $ 1,021,780 $ 5,045,339 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and Mr. Cooper, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through January 31, 2021. (C) Represents MSRs retained on the sale of originated mortgage loans. (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 MSRs and MSR Financing Receivables as of March 31, 2021: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 290,005,816 5.9 $ 3,199,914 Non-Agency 6,124,672 3.9 15,409 Ginnie Mae (D) 57,996,508 4.8 808,236 354,126,996 5.7 4,023,559 MSR Financing Receivables: Non-Agency 64,387,370 8.1 1,021,780 Total $ 418,514,366 6.1 $ 5,045,339 (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 March 31, 2021, weighted average discount rates of 7.7% (range 7.4% - 13.0%) and 9.5% were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs.
Summary of Direct Investments in Excess MSRsThe following is a summary of New Residential’s direct investments in Excess MSRs: March 31, 2021 December 31, 2020 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 $ 32,373,398 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.1 $ 139,870 $ 157,633 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 35,993,960 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 6.7 108,277 145,935 148,293 Total $ 68,367,358 6.4 $ 248,147 $ 303,568 $ 310,938 (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 March 31, 2021 (Note 6) on $24.4 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended 2021 2020 Original and Recaptured Pools $ (4,618) $ (11,024)
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method InvesteesThe following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: March 31, December 31, Excess MSR assets $ 177,408 $ 179,762 Other assets 21,051 20,759 Other liabilities (687) (687) Equity $ 197,772 $ 199,834 New Residential’s investment $ 98,886 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Three Months Ended 2021 2020 Interest income $ 9,158 $ 7,313 Other income (loss) (2,820) (8,219) Expenses (8) (8) Net income (loss) $ 6,330 $ (914) The following table summarizes the activity of New Residential’s investments in equity method investees: Balance at December 31, 2020 $ 99,917 Distributions of capital from equity method investees (4,196) Change in fair value of investments in equity method investees 3,165 Balance at March 31, 2021 $ 98,886
Summary of Excess MSR Investments made through Equity Method InvesteesThe following is a summary of New Residential’s Excess MSR investments made through equity method investees: March 31, 2021 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 $ 27,025,920 66.7 % 50.0 % $ 139,722 $ 177,408 5.8 (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.

MORTGAGE SERVICING RIGHTS AND_2

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)3 Months Ended
Mar. 31, 2021
Transfers and Servicing of Financial Assets [Abstract]
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRsThe table below summarizes the components of excess mortgage servicing rights assets as presented on the Consolidated Balance Sheets: March 31, December 31, 2020 Direct investments in Excess MSRs $ 303,568 $ 310,938 Excess MSR Joint Ventures 98,886 99,917 Excess mortgage servicing rights assets, at fair value $ 402,454 $ 410,855 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, 2020 $ 309,009 $ 1,929 $ 310,938 Interest income 12,499 (268) 12,231 Other income 3 (325) (322) Proceeds from repayments (14,563) (89) (14,652) Proceeds from sales (9) — (9) Change in fair value (5,090) 472 (4,618) Balance as of March 31, 2021 $ 301,849 $ 1,719 $ 303,568 (A) Specialized Loan Servicing LLC (“SLS”). The following table presents activity related to the carrying value of New Residential’s MSRs and MSR Financing Receivables: MSRs MSR Financing Receivables Total Balance as of December 31, 2020 $ 3,489,675 $ 1,096,166 $ 4,585,841 Purchases, net (A) 4,044 — 4,044 Transfers (B) 47,831 (47,831) — Originations (C) 255,473 — 255,473 Proceeds from sales (1,016) (777) (1,793) Change in fair value due to: Realization of cash flow (D) (319,029) (21,954) (340,983) Change in valuation inputs and assumptions (E) 547,510 (3,554) 543,956 (Gain) loss realized (929) (270) (1,199) Balance as of March 31, 2021 $ 4,023,559 $ 1,021,780 $ 5,045,339 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and Mr. Cooper, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through January 31, 2021. (C) Represents MSRs retained on the sale of originated mortgage loans. (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 MSRs and MSR Financing Receivables as of March 31, 2021: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) MSRs: Agency (C) $ 290,005,816 5.9 $ 3,199,914 Non-Agency 6,124,672 3.9 15,409 Ginnie Mae (D) 57,996,508 4.8 808,236 354,126,996 5.7 4,023,559 MSR Financing Receivables: Non-Agency 64,387,370 8.1 1,021,780 Total $ 418,514,366 6.1 $ 5,045,339 (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 March 31, 2021, weighted average discount rates of 7.7% (range 7.4% - 13.0%) and 9.5% were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) Represents Fannie Mae and Freddie Mac MSRs.
Fees Earned in Exchange for Servicing Financial AssetsServicing Revenue, Net recognized by New Residential related to its MSRs consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 263,743 $ 328,122 Ancillary and other fees 31,894 32,138 Servicing fee revenue and fees 295,637 360,260 Change in fair value due to: Realization of cash flows (A) (317,716) (191,367) Change in valuation inputs and assumptions (B)(C) 545,379 (463,711) Change in fair value of derivative instruments (8,823) — (Gain) loss realized (929) 5,703 Servicing revenue, net $ 513,548 $ (289,115) (A) Includes $1.3 million and $1.9 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three months ended March 31, 2021 and 2020, respectively. (B) Includes changes in inputs or assumptions used in the valuation model. (C) Includes $2.1 million and $4.5 million for the three months ended March 31, 2021 and 2020, respectively, of fair value adjustment to Excess spread financing. Interest Income from MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Servicing fee revenue $ 76,733 $ 113,582 Ancillary and other fees 8,699 26,000 Less: subservicing expense (32,644) (41,903) Interest income, MSR financing receivables $ 52,788 $ 97,679 Change in Fair Value of MSR Financing Receivables consists of the following: Three Months Ended 2021 2020 Realization of cash flows $ (21,954) $ (68,752) Change in valuation inputs and assumptions (A) (3,554) (33,610) (Gain) loss realized (270) (1,749) Change in fair value of MSR financing receivables $ (25,778) $ (104,111) (A) Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRsThe table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2021 December 31, 2020 California 20.6 % 21.2 % Florida 7.6 % 7.4 % New York 7.1 % 7.0 % Texas 5.8 % 5.6 % New Jersey 4.8 % 4.8 % Illinois 3.6 % 3.6 % Massachusetts 3.4 % 3.4 % Georgia 3.4 % 3.3 % Pennsylvania 3.2 % 3.1 % Maryland 3.1 % 3.1 % Other U.S. 37.4 % 37.5 % 100.0 % 100.0 %
Summary of Investments in Servicer AdvancesThe following types of advances are included in the Servicer Advances Receivable: March 31, December 31, Principal and interest advances $ 609,948 $ 665,538 Escrow advances (taxes and insurance advances) 1,485,409 1,547,796 Foreclosure advances 821,519 816,400 Total (A)(B)(C) $ 2,916,876 $ 3,029,734 (A) Includes $603.3 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $176.3 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses 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 $21.8 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. 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) March 31, 2021 Servicer advance investments $ 492,831 $ 517,557 5.2 % 5.7 % 6.3 December 31, 2020 Servicer advance investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (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 Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net March 31, 2021 Servicer Advance Investments (D) $ 24,439,045 $ 440,306 1.8 % $ 403,570 88.9 % 88.2 % 1.4 % 1.3 % December 31, 2020 Servicer Advance Investments (D) $ 26,061,499 $ 449,150 1.7 % $ 423,144 88.4 % 88.6 % 1.5 % 1.3 % (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: March 31, 2021 December 31, 2020 Principal and interest advances $ 79,423 $ 84,976 Escrow advances (taxes and insurance advances) 186,275 186,426 Foreclosure advances 174,608 177,748 Total $ 440,306 $ 449,150

SERVICER ADVANCE INVESTMENTS (T

SERVICER ADVANCE INVESTMENTS (Tables)3 Months Ended
Mar. 31, 2021
Investments, All Other Investments [Abstract]
Summary of Investments in Servicer AdvancesThe following types of advances are included in the Servicer Advances Receivable: March 31, December 31, Principal and interest advances $ 609,948 $ 665,538 Escrow advances (taxes and insurance advances) 1,485,409 1,547,796 Foreclosure advances 821,519 816,400 Total (A)(B)(C) $ 2,916,876 $ 3,029,734 (A) Includes $603.3 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $176.3 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses 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 $21.8 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. 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) March 31, 2021 Servicer advance investments $ 492,831 $ 517,557 5.2 % 5.7 % 6.3 December 31, 2020 Servicer advance investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (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 Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net March 31, 2021 Servicer Advance Investments (D) $ 24,439,045 $ 440,306 1.8 % $ 403,570 88.9 % 88.2 % 1.4 % 1.3 % December 31, 2020 Servicer Advance Investments (D) $ 26,061,499 $ 449,150 1.7 % $ 423,144 88.4 % 88.6 % 1.5 % 1.3 % (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: March 31, 2021 December 31, 2020 Principal and interest advances $ 79,423 $ 84,976 Escrow advances (taxes and insurance advances) 186,275 186,426 Foreclosure advances 174,608 177,748 Total $ 440,306 $ 449,150
Schedule of Interest Income Related to Investments in Servicer AdvancesInterest Income recognized by New Residential related to its Servicer Advance Investments consists of the following: Three Months Ended 2021 2020 Interest income, gross of amounts attributable to servicer compensation $ 13,961 $ (10,250) Amounts attributable to base servicer compensation (1,156) 882 Amounts attributable to incentive servicer compensation (5,993) (8,721) Interest income from servicer advance investments $ 6,812 $ (18,089) The following table summarizes the net interest income for residential mortgage loans: Three Months Ended 2021 2020 Interest income: Loans held-for-investment, at fair value $ 11,060 $ 15,109 Loans held-for-sale, at lower of cost or fair value 9,651 17,780 Loans held-for-sale, at fair value 38,463 43,767 Total interest income 59,174 76,656 Interest expense: Loans held-for-investment, at fair value 4,811 5,200 Loans held-for-sale, at lower of cost or fair value 5,806 8,530 Loans held-for-sale, at fair value 28,722 30,470 Total interest expense 39,339 44,200 Net interest income $ 19,835 $ 32,456

REAL ESTATE AND OTHER SECURIT_2

REAL ESTATE AND OTHER SECURITIES (Tables)3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Schedule of Debt Securities, Available-for-saleActivities related to New Residential’s Real Estate and Other Securities were as follows: Three Months Ended March 31, 2021 2020 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 4,027.2 $ 808.1 $ 7,140.0 $ 4,563.2 Purchase price 4,203.1 38.5 7,290.0 539.0 Sales Face $ 2,414.6 $ 1,133.6 $ 17,395.0 $ 7,200.0 Amortized cost 2,513.4 157.7 17,679.3 5,283.8 Sale price 2,522.2 147.9 17,869.1 4,358.9 Gain (loss) on sale 8.9 (9.9) 189.8 (924.9) The following is a summary of New Residential’s Real Estate and Other Securities: March 31, 2021 December 31, 2020 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 Agency RMBS $ 106,175 $ 106,935 $ 8,955 $ — $ 115,890 1 AAA 3.5 % 3.5 % 6.4 — $ 121,761 Agency RMBS at FVO 13,337,418 13,849,334 252 (407,245) 13,442,341 58 AAA 2.2 % 2.2 % 7.4 — 12,941,873 Total Agency RMBS (F)(G) 13,443,593 13,956,269 9,207 (407,245) 13,558,231 59 AAA 2.2 % 2.2 % 7.4 — 13,063,634 Non-Agency RMBS (H)(I) 18,045,244 977,194 105,302 (34,569) 1,047,926 579 AA 2.6 % 3.6 % 3.6 23.2 % 1,180,924 Total/ $ 31,488,837 $ 14,933,463 $ 114,509 $ (441,814) $ 14,606,157 638 AAA 2.4 % 3.0 % 5.3 $ 14,244,558 (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 287 bonds with a carrying value of $324.5 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 $27.9 million and $2.4 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 $13.4 billion for fixed rate securities as of March 31, 2021. (H) The total outstanding face amount was $11.0 billion (including $10.1 billion of residual and fair value option notional amount) for fixed rate securities and $7.0 billion (including $6.9 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2021. (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 earnings, (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 $ 500 $ 500 $ 21 $ — $ 521 1 B- 8.3 % 8.3 % 4.0 N/A Consumer loan bonds 12,664 12,731 740 — 13,471 6 N/A N/A N/A — N/A Fair value option securities: Interest-only securities 9,000,110 237,469 21,764 (26,383) 232,850 123 AA+ 1.3 % 2.8 % 2.0 N/A Servicing strips 4,444,047 42,122 5,281 (6,369) 41,035 56 N/A 0.4 % 14.9 % 4.0 N/A
Summary of Real Estate Securities in an Unrealized Loss PositionThe following table summarizes New Residential’s securities in an unrealized loss position as of March 31, 2021: Securities in an Unrealized Loss Position Outstanding Face Amount Amortized Cost Basis Gross Unrealized Losses Carrying Value Number of Securities Weighted Average Before Credit Impairment Credit Impairment (A) After Credit Impairment Rating Coupon Yield Life Less than 12 Months $ 15,641,371 $ 13,904,964 $ (583) $ 13,904,381 $ (417,210) $ 13,487,171 60 AAA 2.2 % 2.2 % 7.4 12 or More Months 5,468,704 142,858 (7,195) 135,662 (24,604) 111,058 88 AA+ 1.5 % 1.4 % 3.0 Total/Weighted Average $ 21,110,075 $ 14,047,822 $ (7,778) $ 14,040,043 $ (441,814) $ 13,598,229 148 AAA 2.2 % 2.2 % 7.4 (A) Represents credit impairment on securities in an unrealized loss position as of March 31, 2021. 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: March 31, 2021 December 31, 2020 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 $ — $ — $ — $ — $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (C) — — — — — — — 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 22,166 22,166 (7,778) — 21,326 21,326 (8,672) — Non-credit impaired securities 13,576,063 14,017,877 — (441,814) 270,821 331,638 — (60,817) Total debt securities in an unrealized loss position $ 13,598,229 $ 14,040,043 $ (7,778) $ (441,814) $ 292,147 $ 352,964 $ (8,672) $ (60,817) (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.
Schedule of Debt Securities, Available-for-sale, Allowance for Credit LossThe following table summarizes the activity related to the allowance for credit losses on debt securities not accounted for under the fair value election (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, 2020 $ 8,672 $ — $ 8,672 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 (894) — (894) Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at March 31, 2021 $ 7,778 $ — $ 7,778
Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBSThe table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: March 31, 2021 December 31, 2020 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 5,952,955 33.0 % $ 6,543,524 33.7 % Southeastern U.S. 4,815,659 26.7 % 5,089,592 26.3 % Northeastern U.S. 4,198,169 23.3 % 4,484,340 23.2 % Midwestern U.S. 2,083,293 11.6 % 2,207,783 11.4 % Southwestern U.S. 977,400 5.4 % 1,025,637 5.3 % Other (B) 4,604 — % 14,132 0.1 % $ 18,032,080 100.0 % $ 19,365,008 100.0 % (A) Excludes $12.7 million and $13.0 million face amount of bonds backed by consumer loans and $0.5 million and $0.5 million face amount of bonds backed by corporate debt as of March 31, 2021 and December 31, 2020, 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 UncollectibleThe 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 March 31, 2021 $ 522,553 $ 163,304 December 31, 2020 727,216 280,876
Summary of Changes in Accretable Yield for SecuritiesThe following is a summary of the changes in accretable yield for these securities: Three Months Ended March 31, 2021 Balance at December 31, 2020 $ 189,562 Additions — Accretion (2,790) Reclassifications from (to) non-accretable difference (5,162) Disposals (149,058) Balance at March 31, 2021 $ 32,552

RESIDENTIAL MORTGAGE LOANS (Tab

RESIDENTIAL MORTGAGE LOANS (Tables)3 Months Ended
Mar. 31, 2021
Receivables [Abstract]
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REOThe following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type: March 31, 2021 December 31, 2020 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 708,746 $ 656,752 11,806 6.0 % 5.5 $ 674,179 Acquired reverse mortgage loans (C) $ 12,228 $ 5,675 28 7.6 % 4.3 $ 5,884 Acquired performing loans (D)(F) 132,431 126,814 3,155 5.5 % 4.4 129,345 Acquired non-performing loans (E)(F) 234,527 190,590 1,536 5.5 % 3.3 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 379,186 $ 323,079 4,719 5.6 % 3.7 $ 509,887 Acquired performing loans (D)(F) $ 1,706,522 $ 1,728,490 8,569 3.7 % 10.0 $ 1,423,159 Acquired non-performing loans 455,723 406,100 2,325 5.2 % 3.0 335,544 Originated loans 3,420,363 3,465,886 12,919 2.9 % 27.5 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 5,582,608 $ 5,600,476 23,813 3.3 % 20.2 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,961,794 $ 5,923,555 $ 5,215,703 (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 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 52% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (D) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (E) As of March 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (F) below. (F) Includes $553.9 million and $289.9 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 LoansThe table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2021 December 31, 2020 California 12.0 % 11.9 % Texas 10.3 % 10.1 % New York 7.1 % 7.1 % Florida 7.0 % 7.1 % Georgia 5.9 % 5.8 % New Jersey 4.1 % 4.2 % Pennsylvania 3.5 % 3.5 % North Carolina 3.3 % 3.5 % Massachusetts 3.3 % 3.4 % Virginia 2.9 % 2.5 % Other U.S. 40.6 % 40.9 % 100.0 % 100.0 %
Schedule of Performing Loans Past DueThe following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: March 31, 2021 December 31, 2020 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90 to 119 $ 51,073 $ 44,588 $ (6,484) $ 71,567 $ 59,679 $ (11,888) 120+ 703,274 614,742 (88,532) 950,564 790,788 (159,776) $ 754,347 $ 659,330 $ (95,016) $ 1,022,131 $ 850,467 $ (171,664)
Schedule of Loans Held For Sale, Fair ValueThe 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, 2020 $ 674,179 $ 509,887 $ 4,705,816 $ 5,889,882 Originations — — 27,119,215 27,119,215 Sales — (188,855) (28,278,209) (28,467,064) Purchases/additional fundings — — 2,090,474 2,090,474 Proceeds from repayments (26,212) (10,194) (86,828) (123,234) Transfer of loans to other assets (A) — 199 1,031 1,230 Transfer of loans to real estate owned (1,441) (3,514) (971) (5,926) Valuation (provision) reversal on loans — 15,556 — 15,556 Fair value adjustments due to: Changes in instrument-specific credit risk 13,919 — 37,265 51,184 Other factors (3,693) — 12,683 8,990 Balance at March 31, 2021 $ 656,752 $ 323,079 $ 5,600,476 $ 6,580,307 (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 IncomeInterest Income recognized by New Residential related to its Servicer Advance Investments consists of the following: Three Months Ended 2021 2020 Interest income, gross of amounts attributable to servicer compensation $ 13,961 $ (10,250) Amounts attributable to base servicer compensation (1,156) 882 Amounts attributable to incentive servicer compensation (5,993) (8,721) Interest income from servicer advance investments $ 6,812 $ (18,089) The following table summarizes the net interest income for residential mortgage loans: Three Months Ended 2021 2020 Interest income: Loans held-for-investment, at fair value $ 11,060 $ 15,109 Loans held-for-sale, at lower of cost or fair value 9,651 17,780 Loans held-for-sale, at fair value 38,463 43,767 Total interest income 59,174 76,656 Interest expense: Loans held-for-investment, at fair value 4,811 5,200 Loans held-for-sale, at lower of cost or fair value 5,806 8,530 Loans held-for-sale, at fair value 28,722 30,470 Total interest expense 39,339 44,200 Net interest income $ 19,835 $ 32,456
Schedule of Originated Mortgage LoansGain on Originated Mortgage Loans, Held-for-Sale, Net is summarized below: Three Months Ended 2021 2020 Gain on loans originated and sold, net (A) $ 1,087 $ 39,289 Gain (loss) on settlement of mortgage loan origination derivative instruments (B) 40,121 (46,314) MSRs retained on transfer of loans (C) 255,473 195,896 Other (D) 23,683 10,506 Realized gain on sale of originated mortgage loans, net $ 320,364 $ 199,377 Change in fair value of loans (89,963) 22,275 Change in fair value of interest rate lock commitments (Note 10) (234,982) 91,249 Change in fair value of derivative instruments (Note 10) 408,015 (139,324) Gain on originated mortgage loans, held-for-sale, net $ 403,434 $ 173,577 (A) Includes loan origination fees of $658.3 million and $277.0 million for the three months ended March 31, 2021 and 2020, 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.

CONSUMER LOANS (Tables)

CONSUMER LOANS (Tables)3 Months Ended
Mar. 31, 2021
Investments In Consumer Loans Equity Method Investees [Abstract]
Summary of the Investment in Consumer Loan CompaniesThe following table summarizes consumer loans, held-for-investment, at fair value 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) March 31, 2021 Consumer Loan Companies Performing Loans $ 456,572 53.5 % $ 516,597 18.5 % 3.5 3.7 % Purchased Credit Deteriorated Loans (C) 118,758 53.5 % 120,731 14.3 % 3.5 7.4 % Other - Performing Loans 1,794 100.0 % 1,658 15.5 % 0.3 5.7 % Total Consumer Loans $ 577,124 $ 638,986 17.6 % 3.4 4.5 % December 31, 2020 Consumer Loan Companies Performing Loans $ 490,222 53.5 % $ 553,419 18.3 % 3.6 3.7 % Purchased Credit Deteriorated Loans (C) 127,899 53.5 % 129,513 14.1 % 3.5 7.4 % Other - Performing Loans 2,862 100.0 % 2,643 15.3 % 0.4 4.3 % Total Consumer Loans $ 620,983 $ 685,575 17.4 % 3.6 4.4 % (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) 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.
Schedule Of Consumer Loans, Held-For-InvestmentThe following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans: March 31, 2021 December 31, 2020 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Under 90 days $ 567,518 $ 628,462 $ 60,944 $ 611,978 $ 675,691 $ 63,713 90+ 9,606 10,524 918 9,005 9,884 879 $ 577,124 $ 638,986 $ 61,862 $ 620,983 $ 685,575 $ 64,592
Schedule of Carrying Value of Performing Consumer LoansActivities related to consumer loans were as follows: Balance at December 31, 2020 $ 685,575 Additional fundings (A) 7,147 Proceeds from repayments (52,581) Accretion of loan discount and premium amortization, net 4,849 Fair value adjustment due to: Changes in instrument-specific credit risk 6,362 Other factors (12,366) Balance at March 31, 2021 $ 638,986 (A) Represents draws on consumer loans with revolving privileges.

DERIVATIVES (Tables)

DERIVATIVES (Tables)3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of DerivativesNew Residential’s derivatives are recorded at fair value on the Consolidated Balance Sheets as follows: Balance Sheet Location March 31, 2021 December 31, 2020 Derivative assets Interest rate swaps (A) Other assets $ 51 $ — Interest rate lock commitments Other assets 92,514 289,355 Forward Loan Sale Commitments Other assets 315,665 — TBAs Other assets — 789 $ 408,230 $ 290,144 Derivative liabilities Interest rate swaps (A) Accrued expenses and other liabilities $ — $ 25 Interest rate lock commitments Accrued expenses and other liabilities 38,422 281 TBAs Accrued expenses and other liabilities 36,313 119,456 $ 74,735 $ 119,762 (A) Net of $68.4 million and $237.7 million of related variation margin accounts as of March 31, 2021 and December 31, 2020, respectively. The following table summarizes notional amounts related to derivatives: March 31, 2021 December 31, 2020 Interest rate swaps (A) $ 10,045,000 $ 6,515,000 Interest rate lock commitments 14,266,506 15,031,345 TBAs, short position (B) 37,712,279 23,529,408 (A) Includes $10.0 billion notional of receive LIBOR/pay fixed of 1.46% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 38 months and 0 months, respectively, as of March 31, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.21% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020. (B) 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 2021 2020 Servicing revenue, net TBAs $ (8,823) $ — (8,823) — Gain on originated mortgage loans, held-for-sale, net (A) Interest rate lock commitments (234,982) 91,249 TBAs 408,015 (139,351) Forward loan sale commitments — 27 173,033 (48,075) Change in fair value of derivative investments (A) Interest rate swaps 206,205 (39,982) 206,205 (39,982) Gain (loss) on settlement of investments, net Interest rate swaps (33,826) (13,652) TBAs (B) 6,453 (71,060) (27,373) (84,712) Total income (loss) $ 343,042 $ (172,769) (A) Represents unrealized gain (loss). (B) Excludes $40.1 million gain and $46.3 million loss for the three months ended March 31, 2021 and 2020, respectively, included within Gain on Originated Mortgage Loans, Held-for-Sale, Net (Note 8).

DEBT OBLIGATIONS (Tables)

DEBT OBLIGATIONS (Tables)3 Months Ended
Mar. 31, 2021
Debt Disclosure [Abstract]
Schedule of Debt ObligationsThe following table presents certain information regarding New Residential’s Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: March 31, 2021 December 31, 2020 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) Secured Financing Agreements (C) Repurchase Agreements: Warehouse Credit Facilities-Residential Mortgage Loans (F) $ 5,133,435 $ 5,131,682 May-21 to Dec-22 2.18 % 0.6 $ 5,539,834 $ 5,601,036 $ 5,562,750 20.0 $ 4,039,564 Agency RMBS (D) 13,641,520 13,641,520 Apr-21 to Jan-22 0.23 % 0.4 13,443,593 13,956,269 13,558,231 1.0 12,682,427 Non-Agency RMBS (E) 740,770 740,544 Apr-21 to Jun-21 3.33 % 0.5 15,722,106 1,247,027 1,304,584 0.7 817,209 Real Estate Owned (G)(H) 8,714 8,714 May-21 to Dec-22 2.60 % 1.8 N/A N/A 11,580 N/A 8,480 Total Secured Financing Agreements 19,524,439 19,522,460 0.86 % 0.5 17,547,680 Secured Notes and Bonds Payable Excess MSRs (I) 265,899 265,899 Aug-24 4.36 % 3.4 95,393,278 315,399 390,631 6.2 275,088 MSRs (J) 2,696,137 2,685,492 Jul-22 to Mar-26 4.25 % 3.3 385,377,861 4,240,151 4,717,694 6.2 2,691,791 Servicer Advance Investments (K) 403,570 402,691 Apr-21 to Dec-22 1.42 % 1.3 440,306 492,831 517,558 6.3 423,144 Servicer Advances (K) 2,494,763 2,487,465 Apr-21 to Sep-23 2.43 % 1.6 2,898,656 2,895,073 2,895,073 0.7 2,585,575 Residential Mortgage Loans (L) 682,847 675,317 Sep-22 to Aug-60 4.18 % 20.4 1,019,812 998,328 934,291 4.2 1,039,838 Consumer Loans (M) 583,948 591,011 Sep-37 2.03 % 3.4 575,267 584,632 637,264 3.6 628,759 Total Secured Notes and Bonds Payable 7,127,164 7,107,875 3.27 % 4.3 7,644,195 Total/ Weighted Average $ 26,651,603 $ 26,630,335 1.50 % 1.5 $ 25,191,875 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid. (C) These secured financing agreements had approximately $56.4 million of associated accrued interest payable as of March 31, 2021. (D) All Agency RMBS repurchase agreements have a fixed rate. (E) All Non-Agency RMBS secured financing agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $24.1 million and $33.1 million, respectively, on retained bonds collateralized by Agency MSRs. (F) Includes $247.7 million of repurchase agreements which bear interest at a fixed rate of 4.4%. 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 $265.9 million of corporate loans which bear interest at a fixed rate of 4.4%. (J) Includes $373.9 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 3.3%; $394.9 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 3.9%; and $1,927.3 million of capital markets notes with fixed interest rates ranging 3.0% to 5.4%. 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) $2.0 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.4% to 3.9%. 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 $5.8 million note payable to Mr. Cooper which includes a $1.6 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.9%, (ii) $50.7 million face amount of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.7% (see Note 12 for fair value details), (iii) $139.2 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.6% (see Note 12 for fair value details), and (iv) $466.5 million of bonds held by third parties which bear interest at a fixed rate ranging from 3.2% to 5.0%. (M) Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $530.9 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037. 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, 2020 $ 275,088 $ 2,691,791 $ 3,008,719 $ 13,499,636 $ 5,087,882 $ 628,759 $ 25,191,875 Secured Financing Agreements Borrowings — — — 21,192,890 28,551,939 — 49,744,829 Repayments — — — (20,311,180) (27,461,425) — (47,772,605) Capitalized deferred financing costs, net of amortization — — — 717 1,839 — 2,556 Secured Notes and Bonds Payable Borrowings — 684,030 724,883 — — — 1,408,913 Repayments (9,189) (692,816) (843,337) — (365,473) (41,218) (1,952,033) Discount on borrowings, net of amortization — — — — — — — Unrealized loss on notes, fair value — — — — 952 3,470 4,422 Capitalized deferred financing costs, net of amortization — 2,487 (109) — — — 2,378 Balance at March 31, 2021 $ 265,899 $ 2,685,492 $ 2,890,156 $ 14,382,063 $ 5,815,714 $ 591,011 $ 26,630,335 (A) New Residential net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances.
Schedule of Contractual Maturities of Debt ObligationsNew Residential’s debt obligations as of March 31, 2021 had contractual maturities as follows: Year Ending Nonrecourse (A) Recourse (B) Total April 1 through December 31, 2021 $ 648,882 $ 18,103,159 $ 18,752,041 2022 917,384 2,327,985 3,245,369 2023 1,200,000 285,676 1,485,676 2024 — 557,251 557,251 2025 250,450 1,789,849 2,040,299 2026 and thereafter 1,010,573 110,400 1,120,973 $ 4,027,289 $ 23,174,320 $ 27,201,609
Schedule of Borrowing CapacityThe following table represents New Residential’s borrowing capacity as of March 31, 2021: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 4,553,745 $ 1,503,861 $ 3,049,884 New loan originations 7,823,000 3,638,280 4,184,720 Secured Notes and Bonds Payable Excess MSRs 286,380 265,899 20,481 MSRs 3,667,277 2,696,137 971,140 Servicer advances 4,315,000 2,898,333 1,416,667 $ 20,645,402 $ 11,002,510 $ 9,642,892
Schedule of Debt RedemptionThe 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed): Year Price 2022 103.125% 2023 101.563% 2024 and thereafter 100.000%

FAIR VALUE MEASUREMENT (Tables)

FAIR VALUE MEASUREMENT (Tables)3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]
Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring BasisThe 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 March 31, 2021 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Excess MSRs (A) $ 68,367,358 $ 303,568 $ — $ — $ 303,568 $ 303,568 Excess MSRs, equity method investees (A) 27,025,920 98,886 — — 98,886 98,886 MSRs (A) 354,126,996 4,023,559 — — 4,023,559 4,023,559 MSR financing receivables (A) 64,387,370 1,021,780 — — 1,021,780 1,021,780 Servicer advance investments 440,306 517,557 — — 517,557 517,557 Real estate and other securities 31,488,837 14,606,157 — 13,558,231 1,047,926 14,606,157 Residential mortgage loans, held-for-sale 379,186 323,079 — — 324,599 324,599 Residential mortgage loans, held-for-sale, at fair value 5,582,608 5,600,476 — 3,855,552 1,744,924 5,600,476 Residential mortgage loans, held-for-investment, at fair value 708,746 656,752 — — 656,752 656,752 Residential mortgage loans subject to repurchase 1,493,449 1,493,449 — 1,493,449 — 1,493,449 Consumer loans 577,124 638,986 — — 638,986 638,986 Derivative assets 18,741,429 408,230 — 315,716 92,514 408,230 Note receivable 50,425 47,911 — — 47,911 47,911 Cash and cash equivalents 1,038,482 1,038,482 1,038,482 — — 1,038,482 Restricted cash 135,470 135,470 135,470 — — 135,470 Other assets (B) N/A 47,168 11,001 — 36,167 47,168 $ 30,961,510 $ 1,184,953 $ 19,222,948 $ 10,555,129 $ 30,963,030 Liabilities Secured financing agreements $ 19,524,439 $ 19,522,460 $ — $ 19,524,439 $ — $ 19,524,439 Secured notes and bonds payable (C) 7,127,164 7,107,875 — — 7,121,508 7,121,508 Unsecured senior notes, net of issuance costs 541,966 541,966 — — 541,966 541,966 Residential mortgage loan repurchase liability 1,493,449 1,493,449 — 1,493,449 — 1,493,449 Derivative liabilities 43,282,356 74,735 — 36,313 38,422 74,735 Excess spread financing 1,203,709 13,377 — — 13,377 13,377 Contingent consideration N/A 14,655 — — 14,655 14,655 $ 28,768,517 $ — $ 21,054,201 $ 7,729,928 $ 28,784,129 (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 $31.7 million as of March 31, 2021. (C) Includes the SAFT 2013-1, MDST Trusts, NPL/RPL Securitization Trusts and SCFT 2020-A mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $1.3 billion as of March 31, 2021.
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 InputsNew 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, 2020 $ 162,645 $ 148,293 $ 99,917 $ 3,489,675 $ 1,096,166 $ 538,056 $ 1,180,924 $ 289,074 $ 2,320,384 $ 685,575 $ 10,010,709 Transfers Transfers from Level 3 — — — — — — — — (1,190) — (1,190) Transfers from MSR financing receivables to MSRs — — — 47,831 (47,831) — — — — — — Gain (loss) included in net income Provision (reversal) for credit losses on securities (D) — — — — — — 894 — — — 894 Change in fair value of excess MSRs (D) (3,822) (796) — — — — — — — — (4,618) Change in fair value of excess MSRs, equity method investees (D) — — 3,165 — — — — — — — 3,165 Servicing revenue, net (E) — — — 227,552 — — — — — — 227,552 Change in fair value of MSR financing receivables (D) — — — — (25,778) — — — — — (25,778) Change in fair value of servicer advance investments — — — — — (371) — — — — (371) Change in fair value of residential mortgage loans — — — — — — — — 60,174 — 60,174 Change in fair value of investments in consumer loans — — — — — — — — — (6,004) (6,004) Gain (loss) on settlement of investments, net 3 — — — — — (9,850) — — — (9,847) Other income (loss), net (D) — (325) — — — — 35,018 (234,982) (321) — (200,610) Gains (losses) included in other comprehensive income (F) — — — — — — 8,434 — — — 8,434 Interest income 6,689 5,542 — — — 6,812 7,157 — — 4,849 31,049 Purchases, sales and repayments Purchases, net (G) — — — 4,044 — 332,750 38,470 — 1,160,764 7,147 1,543,175 Proceeds from sales (8) (1) — (1,016) (777) (147,870) — (1,051,986) — (1,201,658) Proceeds from repayments (7,874) (6,778) (4,196) — — (359,690) (65,251) — (86,149) (52,581) (582,519) Originations and other — — — 255,473 — — — — — — 255,473 Balance at March 31, 2021 $ 157,633 $ 145,935 $ 98,886 $ 4,023,559 $ 1,021,780 $ 517,557 $ 1,047,926 $ 54,092 $ 2,401,676 $ 638,986 $ 10,108,030 (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) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (E) The components of Servicing Revenue, Net are disclosed in Note 5. (F) Gain (loss) included in Unrealized Gain (Loss) on Available-for-Sale Securities, Net in the Consolidated Statements of Comprehensive Income. (G) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.
Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 InputsNew Residential’s liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Asset-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2020 $ 18,420 $ 1,662,852 $ 14,247 $ 1,695,519 Transfers Gains (losses) included in net income Servicing revenue, net (B) 818 — — 818 Other income (A) — 4,422 408 4,830 Purchases, sales and repayments Proceeds from sales (6,064) (320,214) — (326,278) Payments — (86,503) — (86,503) Other 203 — — 203 Balance at March 31, 2021 $ 13,377 $ 1,260,557 $ 14,655 $ 1,288,589 (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 Consolidated Statements of Comprehensive Income.
Summary of Measurement Inputs and Valuation TechniquesThe following table summarizes certain information regarding the ranges and weighted averages of inputs used as of March 31, 2021: Significant Inputs (A) Prepayment (B) Delinquency (C) Recapture (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 5.7% - 8.9% (6.8%) —% - 2.6% (1.0%) 4.6% - 21.1% (8.5%) 15 - 31 (21) 12 - 21 (19) Recaptured Pools 5.1% - 8.9% (7.1%) —% - 2.8% (0.6%) —% - 24.6% (13.8%) 21 - 29 (23) 19- 24 (22) 5.1% - 8.9% (6.9%) —% - 2.8% (0.9%) —% - 24.6% (10.3%) 15 - 31 (22) 12 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 6.1% - 11.6% (7.9%) 2.1% - 12.5% (9.0%) —% - 11.8% (8.0%) 6 - 25 (15) 17 - 27 (23) Recaptured Pools 4.9% - 6.5% (5.7%) 0.2% - 0.5% (0.4%) 11.2% - 21.5% (12.9%) 23 - 27 (25) 21 - 23 (23) 4.9% - 11.6% (7.5%) 0.2% - 12.5% (9.0%) —% - 21.5% (8.8%) 6 - 27 (17) 17 - 27 (23) Total/Weighted Average — Excess MSRs Directly Held 4.9% - 11.6% (7.2%) —% - 12.5% (4.1%) —% - 24.6% (9.6%) 6 - 31 (19) 12 - 27 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 6.5% - 8.9% (7.1%) 0.9% - 1.9% (1.2%) 4.6% - 19.3% (7.7%) 15 - 25 (19) 17- 19 (18) Recaptured Pools 6.2% - 8.0% (7.1%) 0.4% - 1.2% (0.9%) 7.8% - 20.8% (10.4%) 22 - 28 (25) 20 - 23 (22) Total/Weighted Average — Excess MSRs Held through Investees 6.2% - 8.9% (7.1%) 0.4% - 1.9% (1.0%) 4.6% - 20.8% (9.1%) 15 - 28 (22) 17 - 23 (20) Total/Weighted Average — Excess MSRs All Pools 4.9% - 11.6% (7.2%) —% - 12.5% (3.0%) —% - 35.0% (9.4%) 6 - 31 (20) 12 - 27 (21) MSRs Agency (H) Mortgage Servicing Rights (I) 6.0% - 13.5% (9.2%) 0.4% - 1.3% (0.8%) 1.8% - 29.0% (15.2%) 25 - 30 (28) 0 - 30 (22) 6.0% - 13.5% (9.2%) 0.4% - 1.3% (0.8%) 1.8% - 29.0% (15.2%) 25 - 30 (28) 0 - 30 (22) Non-Agency Mortgage Servicing Rights (I) 9.5% - 25.6% (17.8%) 1.4% - 7.6% (4.4%) 4.0% - 40.6% (22.7%) 26 - 79 (52) 0 - 30 (16) MSR Financing Receivables (I) 7.2% 11.3% 7.6% 48 0 - 30 (25) 7.2% - 25.6% (7.4%) 1.4% - 11.3% (11.2%) 4.0% - 40.6% (7.8%) 26 - 79 (48) 0 - 30 (25) Ginnie Mae Mortgage Servicing Rights (I)(J) 7.6% - 16.8% (14.9%) 2.2% - 5.0% (3.9%) 15.1% - 35.0% (20.7%) 32 - 48 (44) 0 - 30 (27) Total/Weighted Average — MSRs 6.0% - 25.6% (9.7%) 0.4% - 11.3% (3.4%) 1.8% - 40.6% (10.0%) 25 - 79 (35) 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 $6.20 - $7.50 ($7.10) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $10.90 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.90 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 March 31, 2021, 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 $ 13,443,593 $ 13,956,269 $ 13,558,231 $ — $ 13,558,231 2 Non-Agency RMBS (C) 18,045,244 977,194 1,047,926 — 1,047,926 3 Total $ 31,488,837 $ 14,933,463 $ 14,606,157 $ — $ 14,606,157 (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 95.2% 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 $ 997,828 3.5% to 15.0% (4.4%) 7.0% to 25.0% (14.0%) 0.5% to 12.0% (1.4%) 20.0% to 88.0% (29.5%) (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 $ 1,731,794 3.0% - 7.5% (4.1%) 2.0% - 25.0% (15.5%) —% - 3.1% (1.3%) —% -50.0% (15.0%) Originated loans 13,130 4.3% 5.5% 3.0% 50.0% Residential mortgage loans held-for-sale, at fair value $ 1,744,924 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 $ 656,752 5.8% - 8.0% (6.0%) 2.0% - 6.4% (6.0%) 1.4% - 2.9% (1.5%) 30.0% - 60.9% (58.1%) 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 $ 638,986 7.5% - 9.7% (7.5%) 20.4% - 34.1% (20.4%) 4.8% - 23.6% (4.8%) 78.8% - 92.4% (78.8%) Fair Value Loan Funding Probability Fair Value of Initial Servicing Rights (Bps) IRLCs, net $ 54,092 0.0% - 100.0% (83.2%) 4.0 - 283.4 (102.8) The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Asset-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Asset-backed securities issued $ 1,260,557 1.6% - 4.9% (3.2%) 3.6% - 30.0% (12.5%) 1.0% - 4.8% (3.5%) 20.0% - 90.0% (63.2%)
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer AdvancesServicer 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) March 31, 2021 1.1% - 1.8% (1.8%) 8.1% - 8.2% (8.2%) 5.7% - 7.8% (7.8%) 16.6 - 19.7 (19.7) bps 5.2% - 5.7% (5.2%) 19 - 22 (22) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.1 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 LoansThe following table summarizes the inputs used in valuing these residential mortgage loans as of March 31, 2021: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing loans $ 105,863 4.3% - 7.5% (5.4%) 4.3 - 9.0 (4.7) 5.1% - 9.9% (9.1%) 0.9% - 2.2% (1.1%) 28.6% - 100.0% (47.0%) Non-performing loans 196,265 5.5% - 9.0% (5.7%) 3.1 - 4.3 (3.4) 2.0% - 2.0% (2.0%) 2.9% - 2.9% (2.9%) 8.5% - 30.0% (28.9%) Total/weighted average $ 302,128 5.6% 3.8 4.5% 2.3% 35.2% (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.

VARIABLE INTEREST ENTITIES (Tab

VARIABLE INTEREST ENTITIES (Tables)3 Months Ended
Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of Variable Interest EntitiesThe following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations: As of and for the 2021 2020 Residential mortgage loan UPB $ 12,950,052 $ 14,932,876 Weighted average delinquency (A) 7.93 % 2.45 % Net credit losses $ 96,172 $ 13,898 Face amount of debt held by third parties (B) $ 11,850,796 $ 12,907,495 Carrying value of bonds retained by New Residential (C)(D) $ 1,121,761 $ 1,814,333 Cash flows received by New Residential on these bonds $ 288,481 $ 79,250 (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 March 31, 2021 Assets Servicer advance investments, at fair value $ 501,483 $ — $ — $ — $ 501,483 Residential mortgage loans, held-for-investment, at fair value — — 336,175 — 336,175 Residential mortgage loans, held-for-sale — — 163,271 — 163,271 Residential mortgage loans, held-for-sale, at fair value — — 413,576 — 413,576 Consumer loans, held-for-investment, at fair value — — — 637,328 637,328 Cash and cash equivalents 39,030 36,625 — — 75,655 Restricted cash 2,601 — — 7,877 10,478 Other assets 9 5,575 41,497 8,447 55,528 Total Assets $ 543,123 $ 42,200 $ 954,519 $ 653,652 $ 2,193,494 Liabilities Secured notes and bonds payable (A) $ 393,361 $ — $ 669,544 $ 591,011 $ 1,653,916 Accrued expenses and other liabilities 944 7,195 23 718 8,880 Total Liabilities $ 394,305 $ 7,195 $ 669,567 $ 591,729 $ 1,662,796 December 31, 2020 Assets Servicer advance investments, at fair value $ 522,901 $ — $ — $ — $ 522,901 Residential mortgage loans, held-for-investment, at fair value — — 358,629 — 358,629 Residential mortgage loans, held-for-sale — — 346,250 — 346,250 Residential mortgage loans, held-for-sale, at fair value — — 614,868 — 614,868 Consumer loans, held-for-investment — — — 682,932 682,932 Cash and cash equivalents 53,012 39,031 — — 92,043 Restricted cash 2,808 — — 8,090 10,898 Other assets 891 9,151 30,621 9,201 49,864 Total Assets $ 579,612 $ 48,182 $ 1,350,368 $ 700,223 $ 2,678,385 Liabilities Secured notes and bonds payable (A) $ 414,576 $ — $ 1,034,093 $ 628,759 $ 2,077,428 Accrued expenses and other liabilities 1,092 9,455 1,661 764 12,972 Total Liabilities $ 415,668 $ 9,455 $ 1,035,754 $ 629,523 $ 2,090,400 (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, NetOthers’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows: March 31, 2021 December 31, 2020 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 148,818 $ 35,005 $ 89,066 $ 163,944 $ 38,727 $ 96,418 Others’ ownership interest 26.8 % 49.1 % 46.5 % 26.8 % 50.1 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 39,834 $ 17,187 $ 41,963 $ 43,882 $ 19,402 $ 45,384 Others’ interests in the New Residential’s net income (loss) is computed as follows: Three Months Ended March 31, 2021 2020 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 4,885 $ 7,180 $ 9,809 $ (42,015) $ 2,571 $ (13,330) Others’ ownership interest 26.8 % 49.1 % 46.5 % 26.8 % 49.9 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 1,308 $ 3,525 $ 4,561 $ (11,247) $ 1,283 $ (6,198) (A) As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended March 31, 2021 and 2020, respectively. See Note 11 regarding the financing of Servicer Advance Investments.

EQUITY AND EARNINGS PER SHARE (

EQUITY AND EARNINGS PER SHARE (Tables)3 Months Ended
Mar. 31, 2021
Earnings Per Share [Abstract]
Schedule of Preferred SharesThe table below summarizes preferred stock: Dividends Declared per Share Number of Shares Three Months Ended Series March 31, 2021 December 31, 2020 Liquidation Preference (A) Issuance Discount Carrying Value 2021 2020 Fixed-to-floating rate cumulative redeemable preferred: Series A, 7.50% issued July 2019 6,210 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.47 Series B, 7.125% issued August 2019 11,300 11,300 282,500 3.15 % 273,418 0.45 0.45 Series C, 6.375% issued February 2020 16,100 16,100 402,500 3.15 % 389,548 0.40 0.40 Total 33,610 33,610 $ 840,250 $ 812,992 $ 1.32 $ 1.32 (A) Each series has a liquidation preference of $25.00 per share.
Schedule of Dividends DeclaredCommon dividends have been declared as follows: Declaration Date Payment Date Per Share Total Amounts Distributed (millions) Quarterly Dividend March 31, 2020 April 2020 $ 0.05 $ 20.8 June 22, 2020 July 2020 $ 0.10 $ 41.6 September 23, 2020 October 2020 $ 0.15 $ 62.4 December 16, 2020 January 2021 $ 0.20 $ 82.9 March 24, 2021 April 2021 $ 0.20 $ 82.9
Schedule of WarrantsThe table below summarizes the 2020 Warrants at March 31, 2021: Number of Warrants Weighted Average Exercise Price Outstanding warrants - December 31, 2020 43.4 $ 6.79 Granted — — Exercised — — Expired — — Outstanding warrants - March 31, 2021 43.4 $ 6.73 (A)
Summary of Outstanding OptionsAs of March 31, 2021, New Residential’s outstanding options were summarized as follows: Held by the Manager 11,667,675 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 2,753,980 Issued to the independent directors 7,000 Total 14,428,655 The following table summarizes New Residential’s outstanding options as of March 31, 2021. The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended March 31, 2021 was $11.25 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 $ 13.30 $ — Manager (C) 2017 1,130,916 1,130,916 13.78 — Manager (C) 2018 5,320,000 4,745,000 16.49 — Manager (C) 2019 6,351,000 4,809,667 15.93 — Manager (C) 2020 1,619,739 701,887 17.23 Outstanding 14,428,655 11,394,470 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Manager assigned certain of its options to its employees as follows: Date of Grant to Manager Range of Exercise Total Unexercised 2018 $16.37 to $17.84 1,159,833 2019 $14.96 to $16.50 1,270,200 2020 $16.84 to $17.23 323,947 Total 2,753,980 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price Outstanding options - December 31, 2020 14,428,655 Granted — $ — Exercised — — Expired — — Outstanding options - March 31, 2021 14,428,655 See table above
Schedule of Basic and Diluted Earnings Per ShareThe following table summarizes the basic and diluted earnings per share calculations: Three Months Ended 2021 2020 Net income (loss) $ 301,336 $ (1,607,255) Noncontrolling interests in income of consolidated subsidiaries 9,394 (16,162) Dividends on preferred stock 14,358 11,222 Net income (loss) attributable to common stockholders $ 277,584 $ (1,602,315) Basic weighted average shares of common stock outstanding 414,795,505 415,589,155 Dilutive effect of stock options (A) — — Dilutive effect of common stock purchase warrants (A) 14,695,874 — Diluted weighted average shares of common stock outstanding 429,491,379 415,589,155 Basic earnings per share attributable to common stockholders $ 0.67 $ (3.86) Diluted earnings per share attributable to common stockholders $ 0.65 $ (3.86) (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.
Schedule of Antidilutive Securities Excluded from Computation of Earnings Per ShareThe 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 2021 2020 Stock options — 174,720 Common stock purchase warrants — $ —

COMMITMENTS AND CONTINGENCIES (

COMMITMENTS AND CONTINGENCIES (Tables)3 Months Ended
Mar. 31, 2021
Commitments and Contingencies Disclosure [Abstract]
Schedule of Future Commitments for Non-Cancelable LeasesAs of March 31, 2021, future commitments under the non-cancelable leases are as follows: Year Ending Amount April 1 through December 31, 2021 $ 9,843 2022 10,121 2023 5,854 2024 2,734 2025 2,116 2026 and thereafter — Total remaining undiscounted lease payments 30,668 Less: imputed interest 1,741 Total remaining discounted lease payments $ 28,927
Other Information Related to Operating LeasesOther information related to operating leases is summarized below: March 31, 2021 December 31, 2020 Weighted-average remaining lease term (years) 3.0 3.2 Weighted-average discount rate 4.5 % 4.5 %

TRANSACTIONS WITH AFFILIATES _2

TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables)3 Months Ended
Mar. 31, 2021
Transactions With Affiliates And Affiliated Entities
Schedule of Affiliate TransactionsDue to affiliates consists of the following: March 31, 2021 December 31, 2020 Management fees $ 7,393 $ 7,478 Incentive compensation — — Expense reimbursements and other 1,429 1,972 Total $ 8,822 $ 9,450 Affiliate expenses and fees consists of the following: Three Months Ended 2021 2020 Management fees $ 22,162 $ 21,721 Incentive compensation — — Expense reimbursements (A) 125 125 Total $ 22,287 $ 21,846 (A) Included in General and administrative expenses in the Consolidated Statements of Income.

INCOME TAXES (Tables)

INCOME TAXES (Tables)3 Months Ended
Mar. 31, 2021
Income Tax Disclosure [Abstract]
Schedule of Income Tax Expense (Benefit)Income tax expense (benefit) consists of the following: Three Months Ended 2021 2020 Current: Federal $ 10,813 $ — State and local 2,216 49 Total current income tax expense (benefit) 13,029 49 Deferred: Federal 71,309 (127,526) State and local 13,921 (39,391) Total deferred income tax expense (benefit) 85,230 (166,917) Total income tax expense (benefit) $ 98,259 $ (166,868)

ORGANIZATION AND BASIS OF PRE_3

ORGANIZATION AND BASIS OF PRESENTATION (Details) - USD ($) $ in MillionsMar. 31, 2021Dec. 31, 2020
Related Party Transaction [Line Items]
Common stock, shares outstanding (in shares)414,797,263 414,744,518
Number of options (in shares)14,428,655
Fortress-managed funds
Related Party Transaction [Line Items]
Common stock, shares outstanding (in shares)2,400,000
Number of options (in shares)11,700,000
Common stock outstanding, value $ 21.5

OTHER ASSETS AND LIABILITIES,_3

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Other Assets [Abstract]
Margin receivable, net $ 612,814 $ 271,753
Servicing fee receivables122,206 137,426
Due from servicers22,994 67,854
Principal and interest receivable64,758 41,589
Equity investment47,195 55,504
Other receivables92,320 109,111
REO35,984 45,299
Single-family rental properties113,152 41,271
Goodwill29,468 29,468
Notes receivable50,411 52,389
Warrants, at fair value24,473 23,218
Recovery asset9,891 13,006
Property and equipment31,494 27,493
Receivable from government agency12,554 14,369
Intangible assets33,358 34,125
Prepaid expenses39,811 30,949
Operating lease right-of-use assets24,851 26,913
Derivative assets408,230 290,144
Ocwen common stock, at fair value11,001 11,187
Other assets39,144 35,354
Other assets[1]1,826,109 1,358,422
Other Liabilities [Abstract]
Margin payable238,123 0
MSR purchase price holdback22,684 25,121
Interest payable37,345 44,623
Accounts payable95,085 87,406
Derivative liabilities74,735 119,762
Due to servicers62,437 59,671
Due to agencies19,605 26,748
Contingent consideration14,655 14,247
Accrued compensation and benefits54,010 67,025
Excess spread financing, at fair value13,377 18,420
Operating lease liabilities28,927 31,270
Reserve for sales recourse9,837 9,799
Reserve for servicing losses12,153 9,288
Deferred tax liability93,149 7,859
Other liabilities21,330 16,063
Accrued expenses and other liabilities $ 797,452 $ 537,302
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.

OTHER ASSETS AND LIABILITIES,_4

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Real Estate Owned (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)
REO
Beginning balance $ 45,299
Purchases2,644
Transfer of loans to REO8,701
Sales(23,817)
Depreciation0
Valuation (provision) reversal3,157
Ending balance35,984
SFR
Beginning balance41,271
Purchases72,379
Transfer of loans to REO0
Sales(127)
Depreciation(371)
Valuation (provision) reversal0
Ending balance113,152
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 receivable13,700
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance $ 302,200

OTHER ASSETS AND LIABILITIES,_5

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Accretion and other amortization:
Accretion of net discount on securities and loans $ 12,007 $ 40,052
Accretion of servicer advances receivable discount and servicer advance investments6,848 (10,915)
Accretion of excess mortgage servicing rights income12,231 13,226
Amortization of deferred financing costs(4,601)(1,136)
Total accretion and other amortization26,034 41,104
Secured Notes and Bonds Payable
Accretion and other amortization:
Amortization of discount on secured notes and bonds payable(1)(123)
Corporate Debt
Accretion and other amortization:
Amortization of discount on secured notes and bonds payable $ (450) $ 0

OTHER ASSETS AND LIABILITIES,_6

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of General and Administrative Expenses (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Schedule Of Other Income [Line Items]
Legal and professional expense $ 18,219 $ 26,037
Loan origination expense40,245 16,929
Occupancy expense10,350 8,064
Subservicing expense49,839 66,981
Loan servicing expense4,679 7,853
Property and maintenance expense12,130 7,463
Other miscellaneous general and administrative28,399 29,153
Total general and administrative expenses362,505 275,099
Servicing
Schedule Of Other Income [Line Items]
Compensation and benefits expense65,426 51,341
Origination
Schedule Of Other Income [Line Items]
Compensation and benefits expense $ 133,218 $ 61,278

OTHER ASSETS AND LIABILITIES,_7

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of Change in Fair Value of Investments (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Other Income Assets And Liabilities
Excess MSRs $ (4,618) $ (11,024)
Excess MSRs, equity method investees3,165 (457)
MSR financing receivables(25,778)(104,111)
Servicer advance investments(371)(18,749)
Real estate and other securities(498,339)(86,792)
Residential mortgage loans60,174 (265,244)
Consumer loans held-for-investment(6,004)(39,917)
Derivative instruments206,205 (39,982)
Change in fair value of investments $ (265,566) $ (566,276)

OTHER ASSETS AND LIABILITIES,_8

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of Gain (Loss) on Settlement of Investments (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Gain on Settlement of Investments, Net
Gain (loss) on sale of real estate securities $ (983) $ (754,540)
Gain (loss) on sale of acquired residential mortgage loans30,399 35,236
Gain (loss) on settlement of derivatives(27,373)(84,712)
Gain (loss) on liquidated residential mortgage loans897 (839)
Gain (loss) on sale of REO(3,946)1,173
Gain (loss) on extinguishment of debt(6)1,461
Other gain (loss)2,741 2,649
Gain (loss) on settlement of investments, net $ 1,729 $ (799,572)

OTHER ASSETS AND LIABILITIES,_9

OTHER ASSETS AND LIABILITIES, GENERAL AND ADMINISTRATIVE, AND OTHER ITEMS - Schedule of Other Income (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Other income (loss), net
Unrealized gain (loss) on secured notes and bonds payable $ (4,422) $ 17,002
Unrealized gain (loss) on contingent consideration(408)(1,614)
Unrealized gain (loss) on equity investments(2,783)(45,023)
Gain (loss) on transfer of loans to REO1,321 2,595
Gain (loss) on transfer of loans to other assets(21)(241)
Gain (loss) on Ocwen common stock(186)(5,050)
Provision for servicing losses(6,158)(4,781)
Rental and ancillary revenue5,827 6,260
Property and maintenance revenue19,906 13,347
Other income (loss)(36,396)(19,285)
Total other income (loss), net $ (23,320) $ (36,790)

SEGMENT REPORTING (Details)

SEGMENT REPORTING (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020Dec. 31, 2019
Segment Reporting Information [Line Items]
Interest income $ 253,735 $ 402,373
Servicing revenue, net513,548 (289,115)
Gain on originated mortgage loans, held-for-sale, net403,434 173,577
Revenues1,170,717 286,835
Interest expense118,905 216,855
General and administrative expenses384,667 296,820
Total operating expenses503,572 513,675
Change in fair value of investments(265,566)(566,276)
Gain (loss) on settlement of investments, net1,729 (799,572)
Other income (loss), net(23,320)(36,790)
Total other income (loss)(287,157)(1,402,638)
Impairment(19,607)144,645
Income (Loss) Before Income Taxes399,595 (1,774,123)
Income tax expense (benefit)98,259 (166,868)
Net income (loss)301,336 (1,607,255)
Noncontrolling interests in income (loss) of consolidated subsidiaries9,394 (16,162)
Dividends on preferred stock14,358 11,222
Net Income (Loss) Attributable to Common Stockholders277,584 (1,602,315)
Investments27,939,936
Cash and cash equivalents1,038,482
Restricted cash[1]136,036 $ 135,619
Other assets6,040,207
Goodwill29,468 29,468
Total assets35,184,129 33,252,114
Debt27,172,301
Other liabilities2,390,015
Total liabilities29,562,316 27,822,430
Total equity5,621,813 5,330,464 5,429,684 $ 7,236,260
Noncontrolling interests in equity of consolidated subsidiaries98,984 108,668
Total New Residential stockholders’ equity5,522,829 $ 5,321,016
Investments in equity method investees126,095
Operating | Servicing and Origination
Segment Reporting Information [Line Items]
Interest income102,097 123,575
Servicing revenue, net513,548 (289,115)
Gain on originated mortgage loans, held-for-sale, net376,888 165,066
Revenues992,533 (474)
Interest expense69,965 71,406
General and administrative expenses335,654 242,346
Total operating expenses405,619 313,752
Change in fair value of investments(27,602)(134,341)
Gain (loss) on settlement of investments, net644 (3,281)
Other income (loss), net(5,172)(18,805)
Total other income (loss)(32,130)(156,427)
Impairment0 0
Income (Loss) Before Income Taxes554,784 (470,653)
Income tax expense (benefit)82,897 (91,782)
Net income (loss)471,887 (378,871)
Noncontrolling interests in income (loss) of consolidated subsidiaries4,833 (9,964)
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders467,054 (368,907)
Investments9,431,236
Cash and cash equivalents769,917
Restricted cash87,053
Other assets5,215,715
Goodwill29,468
Total assets15,533,389
Debt9,167,432
Other liabilities2,096,484
Total liabilities11,263,916
Total equity4,269,473
Noncontrolling interests in equity of consolidated subsidiaries57,021
Total New Residential stockholders’ equity4,212,452
Investments in equity method investees126,095
Operating | Consumer Loans
Segment Reporting Information [Line Items]
Interest income25,466 34,872
Servicing revenue, net0 0
Gain on originated mortgage loans, held-for-sale, net0 0
Revenues25,466 34,872
Interest expense3,018 6,667
General and administrative expenses3,036 3,883
Total operating expenses6,054 10,550
Change in fair value of investments(6,004)(39,917)
Gain (loss) on settlement of investments, net0 0
Other income (loss), net(2,207)(834)
Total other income (loss)(8,211)(40,751)
Impairment0 0
Income (Loss) Before Income Taxes11,201 (16,429)
Income tax expense (benefit)59 115
Net income (loss)11,142 (16,544)
Noncontrolling interests in income (loss) of consolidated subsidiaries4,561 (6,198)
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders6,581 (10,346)
Investments638,986
Cash and cash equivalents8,889
Restricted cash31,478
Other assets36,644
Goodwill0
Total assets715,997
Debt591,011
Other liabilities3,251
Total liabilities594,262
Total equity121,735
Noncontrolling interests in equity of consolidated subsidiaries41,963
Total New Residential stockholders’ equity79,772
Investments in equity method investees0
Eliminations
Segment Reporting Information [Line Items]
Interest income0 0
Servicing revenue, net(58,444)(24,192)
Gain on originated mortgage loans, held-for-sale, net(43,499)(9,375)
Revenues(101,943)(33,567)
Interest expense0 0
General and administrative expenses(58,444)(24,192)
Total operating expenses(58,444)(24,192)
Change in fair value of investments0 0
Gain (loss) on settlement of investments, net0 0
Other income (loss), net0 0
Total other income (loss)0 0
Impairment0 0
Income (Loss) Before Income Taxes(43,499)(9,375)
Income tax expense (benefit)0 0
Net income (loss)(43,499)(9,375)
Noncontrolling interests in income (loss) of consolidated subsidiaries0 0
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders(43,499)(9,375)
Investments0
Cash and cash equivalents0
Restricted cash0
Other assets0
Goodwill0
Total assets0
Debt0
Other liabilities0
Total liabilities0
Total equity0
Noncontrolling interests in equity of consolidated subsidiaries0
Total New Residential stockholders’ equity0
Investments in equity method investees0
Corporate
Segment Reporting Information [Line Items]
Interest income0 0
Servicing revenue, net0 0
Gain on originated mortgage loans, held-for-sale, net0 0
Revenues0 0
Interest expense8,926 0
General and administrative expenses27,135 26,981
Total operating expenses36,061 26,981
Change in fair value of investments0 0
Gain (loss) on settlement of investments, net0 0
Other income (loss), net(629)(47,150)
Total other income (loss)(629)(47,150)
Impairment0 0
Income (Loss) Before Income Taxes(36,690)(74,131)
Income tax expense (benefit)0 0
Net income (loss)(36,690)(74,131)
Noncontrolling interests in income (loss) of consolidated subsidiaries0 0
Dividends on preferred stock14,358 11,222
Net Income (Loss) Attributable to Common Stockholders(51,048)(85,353)
Investments0
Cash and cash equivalents31,253
Restricted cash0
Other assets46,286
Goodwill0
Total assets77,539
Debt541,966
Other liabilities136,360
Total liabilities678,326
Total equity(600,787)
Noncontrolling interests in equity of consolidated subsidiaries0
Total New Residential stockholders’ equity(600,787)
Investments in equity method investees0
Origination | Operating | Servicing and Origination
Segment Reporting Information [Line Items]
Interest income22,852 16,735
Servicing revenue, net(8,110)(1,078)
Gain on originated mortgage loans, held-for-sale, net384,423 158,215
Revenues399,165 173,872
Interest expense18,063 13,427
General and administrative expenses189,926 100,212
Total operating expenses207,989 113,639
Change in fair value of investments0 0
Gain (loss) on settlement of investments, net0 0
Other income (loss), net59 (16)
Total other income (loss)59 (16)
Impairment0 0
Income (Loss) Before Income Taxes191,235 60,217
Income tax expense (benefit)36,386 16,714
Net income (loss)154,849 43,503
Noncontrolling interests in income (loss) of consolidated subsidiaries3,525 1,283
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders151,324 42,220
Investments3,465,886
Cash and cash equivalents187,233
Restricted cash12,679
Other assets987,931
Goodwill11,836
Total assets4,665,565
Debt3,300,495
Other liabilities546,295
Total liabilities3,846,790
Total equity818,775
Noncontrolling interests in equity of consolidated subsidiaries17,187
Total New Residential stockholders’ equity801,588
Investments in equity method investees0
Servicing | Operating | Servicing and Origination
Segment Reporting Information [Line Items]
Interest income474 7,487
Servicing revenue, net113,515 86,742
Gain on originated mortgage loans, held-for-sale, net809 259
Revenues114,798 94,488
Interest expense70 196
General and administrative expenses84,239 64,352
Total operating expenses84,309 64,548
Change in fair value of investments0 0
Gain (loss) on settlement of investments, net0 0
Other income (loss), net1,102 499
Total other income (loss)1,102 499
Impairment0 0
Income (Loss) Before Income Taxes31,591 30,439
Income tax expense (benefit)7,915 8,449
Net income (loss)23,676 21,990
Noncontrolling interests in income (loss) of consolidated subsidiaries0 0
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders23,676 21,990
Investments0
Cash and cash equivalents97,057
Restricted cash39,926
Other assets167,445
Goodwill12,540
Total assets316,968
Debt5,391
Other liabilities51,504
Total liabilities56,895
Total equity260,073
Noncontrolling interests in equity of consolidated subsidiaries0
Total New Residential stockholders’ equity260,073
Investments in equity method investees0
MSR Related Investments | Operating | Servicing and Origination
Segment Reporting Information [Line Items]
Interest income78,771 99,353
Servicing revenue, net466,587 (350,587)
Gain on originated mortgage loans, held-for-sale, net35,155 15,967
Revenues580,513 (235,267)
Interest expense51,832 57,783
General and administrative expenses119,933 101,974
Total operating expenses171,765 159,757
Change in fair value of investments(27,602)(134,341)
Gain (loss) on settlement of investments, net644 (3,281)
Other income (loss), net(6,333)(19,288)
Total other income (loss)(33,291)(156,910)
Impairment0 0
Income (Loss) Before Income Taxes375,457 (551,934)
Income tax expense (benefit)38,596 (116,945)
Net income (loss)336,861 (434,989)
Noncontrolling interests in income (loss) of consolidated subsidiaries1,308 (11,247)
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders335,553 (423,742)
Investments5,965,350
Cash and cash equivalents485,627
Restricted cash34,448
Other assets4,060,339
Goodwill5,092
Total assets10,550,856
Debt5,861,546
Other liabilities1,498,685
Total liabilities7,360,231
Total equity3,190,625
Noncontrolling interests in equity of consolidated subsidiaries39,834
Total New Residential stockholders’ equity3,150,791
Investments in equity method investees126,095
Residential Mortgage Loans | Operating | Residential Securities and Loans
Segment Reporting Information [Line Items]
Interest income36,322 59,921
Servicing revenue, net0 0
Gain on originated mortgage loans, held-for-sale, net13,148 8,511
Revenues49,470 68,432
Interest expense21,276 30,773
General and administrative expenses17,686 16,756
Total operating expenses38,962 47,529
Change in fair value of investments60,174 (265,244)
Gain (loss) on settlement of investments, net29,441 42,961
Other income (loss), net(13,626)30,012
Total other income (loss)75,989 (192,271)
Impairment(18,713)100,496
Income (Loss) Before Income Taxes105,210 (271,864)
Income tax expense (benefit)15,303 (75,201)
Net income (loss)89,907 (196,663)
Noncontrolling interests in income (loss) of consolidated subsidiaries0 0
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders89,907 (196,663)
Investments3,263,557
Cash and cash equivalents17,678
Restricted cash96
Other assets81,295
Goodwill0
Total assets3,362,626
Debt2,515,219
Other liabilities146,637
Total liabilities2,661,856
Total equity700,770
Noncontrolling interests in equity of consolidated subsidiaries0
Total New Residential stockholders’ equity700,770
Investments in equity method investees0
Real Estate Securities | Operating | Residential Securities and Loans
Segment Reporting Information [Line Items]
Interest income89,850 184,005
Servicing revenue, net0 0
Gain on originated mortgage loans, held-for-sale, net13,398 0
Revenues103,248 184,005
Interest expense15,720 108,009
General and administrative expenses1,156 6,854
Total operating expenses16,876 114,863
Change in fair value of investments(292,134)(126,774)
Gain (loss) on settlement of investments, net(28,356)(839,252)
Other income (loss), net(1,686)(13)
Total other income (loss)(322,176)(966,039)
Impairment(894)44,149
Income (Loss) Before Income Taxes(234,910)(941,046)
Income tax expense (benefit)0 0
Net income (loss)(234,910)(941,046)
Noncontrolling interests in income (loss) of consolidated subsidiaries0 0
Dividends on preferred stock0 0
Net Income (Loss) Attributable to Common Stockholders(234,910) $ (941,046)
Investments14,606,157
Cash and cash equivalents210,745
Restricted cash17,409
Other assets660,267
Goodwill0
Total assets15,494,578
Debt14,356,673
Other liabilities7,283
Total liabilities14,363,956
Total equity1,130,622
Noncontrolling interests in equity of consolidated subsidiaries0
Total New Residential stockholders’ equity1,130,622
Investments in equity method investees $ 0
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.

EXCESS MORTGAGE SERVICING RIG_3

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Schedule of Excess Mortgage Servicing Rights (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Servicing Assets at Fair Value [Line Items]
New Residential’s investment $ 5,045,339 $ 4,585,841
Excess MSRs And Excess Mortgage Servicing Rights Investees
Servicing Assets at Fair Value [Line Items]
New Residential’s investment402,454 410,855
Excess MSRs
Servicing Assets at Fair Value [Line Items]
New Residential’s investment303,568 310,938
Excess MSRs Investees
Servicing Assets at Fair Value [Line Items]
New Residential’s investment $ 98,886 $ 99,917

EXCESS MORTGAGE SERVICING RIG_4

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)
Carrying Value of Investments in Excess MSRs
Beginning balance $ 4,585,841
Ending balance5,045,339
Excess MSRs
Carrying Value of Investments in Excess MSRs
Beginning balance310,938
Interest income12,231
Other income(322)
Proceeds from repayments(14,652)
Proceeds from sales(9)
Change in fair value(4,618)
Ending balance303,568
Excess MSRs | Mr. Cooper
Carrying Value of Investments in Excess MSRs
Beginning balance309,009
Interest income12,499
Other income3
Proceeds from repayments(14,563)
Proceeds from sales(9)
Change in fair value(5,090)
Ending balance301,849
Excess MSRs | SLS
Carrying Value of Investments in Excess MSRs
Beginning balance1,929
Interest income(268)
Other income(325)
Proceeds from repayments(89)
Proceeds from sales0
Change in fair value472
Ending balance $ 1,719

EXCESS MORTGAGE SERVICING RIG_5

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Direct Investments in Excess MSRs (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020
Schedule of Equity Method Investments [Line Items]
Weighted Average Life (Years)1 year 6 months
Carrying Value $ 5,045,339 $ 4,585,841
Servicer advance investments | Servicer Advance Investments
Schedule of Equity Method Investments [Line Items]
UPB of Underlying Mortgages24,439,045 26,061,499
Original and Recaptured Pools
Schedule of Equity Method Investments [Line Items]
Original and Recaptured Pools(4,618) $ (11,024)
Excess MSRs
Schedule of Equity Method Investments [Line Items]
UPB of Underlying Mortgages $ 68,367,358
Weighted Average Life (Years)6 years 4 months 24 days
Servicing Asset at Amortized Cost $ 248,147
Carrying Value303,568 310,938
Excess MSRs | Mr. Cooper
Schedule of Equity Method Investments [Line Items]
Carrying Value $ 301,849 309,009
Excess MSRs | Agency
Schedule of Equity Method Investments [Line Items]
Weighted Average Life (Years)6 years 1 month 6 days
Excess MSRs | Agency | Original and Recaptured Pools
Schedule of Equity Method Investments [Line Items]
UPB of Underlying Mortgages $ 32,373,398
Servicing Asset at Amortized Cost139,870
Carrying Value $ 157,633 162,645
Excess MSRs | Agency | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR32.50%
Excess MSRs | Agency | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR66.70%
Excess MSRs | Agency | Original and Recaptured Pools | Weighted Average
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR53.30%
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR0.00%
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR40.00%
Excess MSRs | Agency | Mr. Cooper | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR20.00%
Excess MSRs | Agency | Mr. Cooper | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR35.00%
Excess MSRs | Non-Agency
Schedule of Equity Method Investments [Line Items]
Weighted Average Life (Years)6 years 8 months 12 days
Excess MSRs | Non-Agency | Original and Recaptured Pools
Schedule of Equity Method Investments [Line Items]
UPB of Underlying Mortgages $ 35,993,960
Servicing Asset at Amortized Cost108,277
Carrying Value $ 145,935 $ 148,293
Excess MSRs | Non-Agency | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR33.30%
Excess MSRs | Non-Agency | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR100.00%
Excess MSRs | Non-Agency | Original and Recaptured Pools | Weighted Average
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR59.40%
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR0.00%
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR50.00%
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Minimum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR0.00%
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Maximum
Schedule of Equity Method Investments [Line Items]
Interest in Excess MSR33.30%

EXCESS MORTGAGE SERVICING RIG_6

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Narrative (Details)3 Months Ended
Mar. 31, 2021
Excess MSRs Investees | MSRs
Schedule of Equity Method Investments [Line Items]
Discount rate7.80%

EXCESS MORTGAGE SERVICING RIG_7

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020Dec. 31, 2019
Schedule of Investments in Mortgage Servicing Rights [Line Items]
Total equity $ 5,621,813 $ 5,330,464 $ 5,429,684 $ 7,236,260
New Residential’s investment5,045,339 4,585,841
Net income (loss)301,336 (1,607,255)
Excess MSRs Investees
Schedule of Investments in Mortgage Servicing Rights [Line Items]
Excess MSR assets177,408 179,762
Other assets21,051 20,759
New Residential’s investment $ 98,886 $ 99,917
New Residential’s percentage ownership50.00%50.00%
Interest income $ 9,158 7,313
Other income (loss)(2,820)(8,219)
Expenses(8)(8)
Excess MSRs Investees | Equity Method Investment, Nonconsolidated Investee or Group of Investees
Schedule of Investments in Mortgage Servicing Rights [Line Items]
Other liabilities(687) $ (687)
Total equity197,772 199,834
Net income (loss)6,330 $ (914)
MSRs
Schedule of Investments in Mortgage Servicing Rights [Line Items]
New Residential’s investment $ 4,023,559 $ 3,489,675

EXCESS MORTGAGE SERVICING RIG_8

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Equity Method Investees Changed - Roll Forward (Details) - Recurring Basis $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)
Increase (Decrease) in Equity Method Investments [Roll Forward]
Beginning balance $ 99,917
Distributions of capital from equity method investees(4,196)
Change in fair value of investments in equity method investees3,165
Ending balance $ 98,886

EXCESS MORTGAGE SERVICING RIG_9

EXCESS MORTGAGE SERVICING RIGHTS ASSETS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Dec. 31, 2020
Schedule of Investments in Mortgage Servicing Rights [Line Items]
Carrying Value $ 5,045,339 $ 4,585,841
Weighted Average Life (Years)1 year 6 months
Excess MSRs Investees
Schedule of Investments in Mortgage Servicing Rights [Line Items]
New Residential Interest in Investees50.00%50.00%
Carrying Value $ 98,886 $ 99,917
Excess MSRs Investees | Agency
Schedule of Investments in Mortgage Servicing Rights [Line Items]
New Residential Interest in Investees50.00%
Excess MSRs Investees | Agency | Agency
Schedule of Investments in Mortgage Servicing Rights [Line Items]
Unpaid Principal Balance $ 27,025,920
Investee Interest in Excess MSR66.70%
New Residential Interest in Investees50.00%
Amortized Cost Basis $ 139,722
Carrying Value $ 177,408
Weighted Average Life (Years)5 years 9 months 18 days

MORTGAGE SERVICING RIGHTS AND_3

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Narrative (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020Jan. 31, 2018Jul. 31, 2017
Schedule of MSRs [Line Items]
Residential mortgage loans subject to repurchase $ 1,493,449 [1] $ 1,452,005 $ 1,452,005 [1]
Residential mortgage loans, held-for-sale5,923,555 5,215,703
Reserve for non-recovery advances27,500 $ 22,900
Ginnie Mae Loans
Schedule of MSRs [Line Items]
Residential mortgage loans subject to repurchase1,500,000
Residential mortgage loans, held-for-sale843,800
Ocwen
Schedule of MSRs [Line Items]
UPB of Underlying Mortgages $ 86,800,000 $ 110,000,000
Mortgage Loans Subserviced
Schedule of MSRs [Line Items]
UPB of Underlying Mortgages74,600,000 74,000,000
Subservicing revenue $ 43,500 $ 41,200
LoanCare
Schedule of MSRs [Line Items]
Subservicer percent of UPB15.70%
PHH Mortgage Corporation
Schedule of MSRs [Line Items]
Subservicer percent of UPB15.40%
Mr. Cooper
Schedule of MSRs [Line Items]
Subservicer percent of UPB15.30%
Flagstar Bank
Schedule of MSRs [Line Items]
Subservicer percent of UPB0.60%
NewRez
Schedule of MSRs [Line Items]
Subservicer percent of UPB53.00%
Ocwen | New Residential Mortgage LLC
Schedule of MSRs [Line Items]
Unpaid principal balance of underlying loans, transferred $ 66,700,000
[1]See Note 5 for details.

MORTGAGE SERVICING RIGHTS AND_4

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Carrying Value of Investments in MSRs and MSR Financing Receivables (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward]
Beginning balance $ 4,585,841
Purchases, net4,044
Transfers0
Originations255,473
Proceeds from sales(1,793)
Amortization of servicing rights(340,983)
Change in valuation inputs and assumptions543,956
(Gain) loss realized(1,199)
Ending balance5,045,339
MSRs
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward]
Proceeds from sales(1,945) $ (8,504)
MSRs
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward]
Beginning balance3,489,675
Purchases, net4,044
Transfers47,831
Originations255,473
Proceeds from sales(1,016)
Amortization of servicing rights(319,029)
Change in valuation inputs and assumptions547,510
(Gain) loss realized(929)
Ending balance4,023,559
New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward]
Beginning balance1,096,166
Purchases, net0
Transfers(47,831)
Originations0
Proceeds from sales(777)
Amortization of servicing rights(21,954)
Change in valuation inputs and assumptions(3,554)(33,610)
(Gain) loss realized(270)
Ending balance1,021,780
New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable | MSRs
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward]
Proceeds from sales $ (1,047) $ (3,708)

MORTGAGE SERVICING RIGHTS AND_5

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Servicing Asset at Amortized Cost [Line Items]
Less: subservicing expense $ (49,839) $ (66,981)
Servicing revenue, net513,548 (289,115)
Change in valuation inputs and assumptions543,956
MSR financing receivables(25,778)(104,111)
Excess Spread Financing
Servicing Asset at Amortized Cost [Line Items]
Realization of cash flows(1,300)(1,900)
New Residential Mortgage LLC | Mortgage Servicing Rights Financing Receivable
Servicing Asset at Amortized Cost [Line Items]
Servicing fee revenue76,733 113,582
Ancillary and other fees8,699 26,000
Less: subservicing expense(32,644)(41,903)
Servicing fee revenue and fees52,788 97,679
Realization of cash flows(21,954)(68,752)
(Gain) loss realized(270)(1,749)
Change in valuation inputs and assumptions(3,554)(33,610)
MSR financing receivables(25,778)(104,111)
MSRs
Servicing Asset at Amortized Cost [Line Items]
Servicing fee revenue263,743 328,122
Ancillary and other fees31,894 32,138
Servicing fee revenue and fees295,637 360,260
Realization of cash flows(317,716)(191,367)
Change in valuation inputs and assumptions545,379 (463,711)
Change in fair value of derivative instruments(8,823)0
(Gain) loss realized(929)5,703
Servicing revenue, net513,548 (289,115)
MSRs | Excess Spread Financing
Servicing Asset at Amortized Cost [Line Items]
Change in valuation inputs and assumptions $ (2,100) $ 4,500

MORTGAGE SERVICING RIGHTS AND_6

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Investment in MSRs (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Servicing Asset at Amortized Cost [Line Items]
Weighted Average Life (Years)1 year 6 months
Carrying Value $ 5,045,339 $ 4,585,841
Residential mortgage loans subject to repurchase1,493,449 [1]1,452,005 [1] $ 1,452,005
Ginnie Mae Loans
Servicing Asset at Amortized Cost [Line Items]
Residential mortgage loans subject to repurchase1,500,000
Mortgage Servicing Rights and Mortgage Servicing Rights Financing Receivable
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 418,514,366
Weighted Average Life (Years)6 years 1 month 6 days
Carrying Value $ 5,045,339
MSRs
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 354,126,996
Weighted Average Life (Years)5 years 8 months 12 days
Carrying Value $ 4,023,559 $ 3,489,675
Agency | MSRs
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 290,005,816
Weighted Average Life (Years)5 years 10 months 24 days
Carrying Value $ 3,199,914
Non-Agency | MSRs
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 6,124,672
Weighted Average Life (Years)3 years 10 months 24 days
Carrying Value $ 15,409
Non-Agency | Mortgage Servicing Rights Financing Receivable
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 64,387,370
Weighted Average Life (Years)8 years 1 month 6 days
Carrying Value $ 1,021,780
Ginnie Mae | MSRs
Servicing Asset at Amortized Cost [Line Items]
UPB of Underlying Mortgages $ 57,996,508
Weighted Average Life (Years)4 years 9 months 18 days
Carrying Value $ 808,236
[1]See Note 5 for details.

MORTGAGE SERVICING RIGHTS AND_7

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - MSRs - Mortgage LoansMar. 31, 2021Dec. 31, 2020
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount100.00%100.00%
California
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount20.60%21.20%
Florida
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount7.60%7.40%
New York
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount7.10%7.00%
Texas
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount5.80%5.60%
New Jersey
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount4.80%4.80%
Illinois
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.60%3.60%
Massachusetts
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.40%3.40%
Georgia
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.40%3.30%
Pennsylvania
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.20%3.10%
MARYLAND
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.10%3.10%
Other U.S.
Schedule of MSRs [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount37.40%37.50%

MORTGAGE SERVICING RIGHTS AND_8

MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Advances Included in Servicing Advances Receivable (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Schedule of Equity Method Investments [Line Items]
Total[1] $ 517,557 $ 538,056
Servicer Advances Receivable
Schedule of Equity Method Investments [Line Items]
Principal and interest advances609,948 665,538
Escrow advances (taxes and insurance advances)1,485,409 1,547,796
Foreclosure advances821,519 816,400
Total2,916,876 3,029,734
Servicer advances receivable related to agency MSRs603,300 583,900
Servicer advances receivable related to Ginnie Mae MSRS, recoverable from Ginnie Mae176,300 181,200
Servicer advances, unamortized discount and accrual $ 21,800 $ 27,500
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.

SERVICER ADVANCE INVESTMENTS -

SERVICER ADVANCE INVESTMENTS - Narrative (Details) $ in MillionsMar. 31, 2021USD ($)
The Buyer
Schedule of Equity Method Investments [Line Items]
Capital distributed to third-party co-investors $ 329
Capital distributed to New Residential $ 308.5
Servicer advance investments
Schedule of Equity Method Investments [Line Items]
New Residential’s percentage ownership73.20%
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 Thousands3 Months Ended12 Months Ended
Mar. 31, 2021Dec. 31, 2020
Investments in and Advances to Affiliates [Line Items]
Amortized Cost Basis $ 492,831 $ 512,958
Carrying Value $ 517,557 $ 538,056
Weighted Average Discount Rate5.20%5.20%
Weighted Average Yield5.70%5.70%
Weighted Average Life (Years)6 years 3 months 18 days6 years

SERVICER ADVANCE INVESTMENTS _3

SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Investments in and Advances to Affiliates [Line Items]
Outstanding Servicer Advances[1] $ 517,557 $ 538,056
Face Amount of Secured Notes and Bonds Payable26,651,603
Servicer advance investments | Servicer Advance Investments
Investments in and Advances to Affiliates [Line Items]
UPB of Underlying Mortgages24,439,045 26,061,499
Outstanding Servicer Advances $ 440,306 $ 449,150
Servicer Advances to UPB of Underlying Residential Mortgage Loans1.80%1.70%
Face Amount of Secured Notes and Bonds Payable $ 403,570 $ 423,144
Gross Loan-to-Value88.90%88.40%
Net Loan-to-Value88.20%88.60%
Gross Cost of Funds1.40%1.50%
Net Cost of Funds1.30%1.30%
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.

SERVICER ADVANCE INVESTMENTS _4

SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Schedule of Equity Method Investments [Line Items]
Total[1] $ 517,557 $ 538,056
Servicer advance investments | Servicer Advance Investments
Schedule of Equity Method Investments [Line Items]
Principal and interest advances79,423 84,976
Escrow advances (taxes and insurance advances)186,275 186,426
Foreclosure advances174,608 177,748
Total $ 440,306 $ 449,150
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (New Residential). As of March 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.2 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $1.7 billion and $2.1 billion, respectively. See Note 13 for further details.

SERVICER ADVANCE INVESTMENTS _5

SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Schedule of Equity Method Investments [Line Items]
Interest income $ 253,735 $ 402,373
Servicer Advance Investments
Schedule of Equity Method Investments [Line Items]
Interest income, gross of amounts attributable to servicer compensation13,961 (10,250)
Amounts attributable to base servicer compensation(1,156)882
Amounts attributable to incentive servicer compensation(5,993)(8,721)
Interest income $ 6,812 $ (18,089)

REAL ESTATE AND OTHER SECURIT_3

REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details)3 Months Ended
Mar. 31, 2021USD ($)securitybondMar. 31, 2020USD ($)Dec. 31, 2020USD ($)
Sales
Outstanding Face Amount $ 31,488,837,000
Carrying Value $ 14,606,157,000 $ 14,244,558,000
Weighted Average Life (Years)1 year 6 months
Investments $ 27,939,936,000
Bonds
Sales
Carrying Value $ 324,500,000
Number of bonds which New Residential was unable to obtain rating information | bond287
Residual Bonds
Sales
Investments $ 27,900,000
Non-Agency Bonds
Sales
Investments2,400,000
Agency RMBS
Purchases
Face4,027,200,000 $ 7,140,000,000
Purchase price4,203,100,000 7,290,000,000
Sales
Face2,414,600,000 17,395,000,000
Amortized Cost Basis2,513,400,000 17,679,300,000
Sale price2,522,200,000 17,869,100,000
Gain (loss) on sale8,900,000 189,800,000
Outstanding Face Amount13,443,593,000
Amortized Cost Basis13,956,269,000
Gross Unrealized Gains9,207,000
Gross Unrealized Losses(407,245,000)
Carrying Value $ 13,558,231,000 13,063,634,000
Number of Securities | security59
Weighted Average RatingAAA
Weighted Average Coupon2.20%
Weighted Average Yield2.20%
Weighted Average Life (Years)7 years 4 months 24 days
Agency RMBS | Fixed Rate Securities
Sales
Outstanding Face Amount $ 13,400,000,000
Agency RMBS
Sales
Outstanding Face Amount106,175,000
Amortized Cost Basis106,935,000
Gross Unrealized Gains8,955,000
Gross Unrealized Losses0
Carrying Value $ 115,890,000 121,761,000
Number of Securities | security1
Weighted Average RatingAAA
Weighted Average Coupon3.50%
Weighted Average Yield3.50%
Weighted Average Life (Years)6 years 4 months 24 days
Agency RMBS at FVO
Sales
Outstanding Face Amount $ 13,337,418,000
Amortized Cost Basis13,849,334,000
Gross Unrealized Gains252,000
Gross Unrealized Losses(407,245,000)
Carrying Value $ 13,442,341,000 12,941,873,000
Number of Securities | security58
Weighted Average RatingAAA
Weighted Average Coupon2.20%
Weighted Average Yield2.20%
Weighted Average Life (Years)7 years 4 months 24 days
Real Estate Securities
Purchases
Face $ 808,100,000 4,563,200,000
Purchase price38,500,000 539,000,000
Sales
Face1,133,600,000 7,200,000,000
Amortized Cost Basis157,700,000 5,283,800,000
Sale price147,900,000 4,358,900,000
Gain (loss) on sale(9,900,000) $ (924,900,000)
Outstanding Face Amount18,045,244,000
Amortized Cost Basis977,194,000
Gross Unrealized Gains105,302,000
Gross Unrealized Losses(34,569,000)
Carrying Value $ 1,047,926,000 1,180,924,000
Number of Securities | security579
Weighted Average RatingAA
Weighted Average Coupon2.60%
Weighted Average Yield3.60%
Weighted Average Life (Years)3 years 7 months 6 days
Weighted Average Principal Subordination23.20%
Real Estate Securities | Fixed Rate Securities
Sales
Outstanding Face Amount $ 11,000,000,000
Residual and interest - only notional amount10,100,000,000
Real Estate Securities | Floating Rate Securities
Sales
Outstanding Face Amount7,000,000,000
Residual and interest - only notional amount6,900,000,000
Investments in Real Estate Securities
Sales
Outstanding Face Amount31,488,837,000
Amortized Cost Basis14,933,463,000
Gross Unrealized Gains114,509,000
Gross Unrealized Losses(441,814,000)
Carrying Value $ 14,606,157,000 $ 14,244,558,000
Number of Securities | security638
Weighted Average RatingAAA
Weighted Average Coupon2.40%
Weighted Average Yield3.00%
Weighted Average Life (Years)5 years 3 months 18 days
Corporate debt
Sales
Outstanding Face Amount $ 500,000
Amortized Cost Basis500,000
Gross Unrealized Gains21,000
Gross Unrealized Losses0
Carrying Value $ 521,000
Number of Securities | security1
Weighted Average RatingB-
Weighted Average Coupon8.30%
Weighted Average Yield8.30%
Weighted Average Life (Years)4 years
Consumer loan bonds
Sales
Outstanding Face Amount $ 12,664,000
Amortized Cost Basis12,731,000
Gross Unrealized Gains740,000
Gross Unrealized Losses0
Carrying Value $ 13,471,000
Number of Securities | security6
Interest-only securities
Sales
Outstanding Face Amount $ 9,000,110,000
Amortized Cost Basis237,469,000
Gross Unrealized Gains21,764,000
Gross Unrealized Losses(26,383,000)
Carrying Value $ 232,850,000
Number of Securities | security123
Weighted Average RatingAA+
Weighted Average Coupon1.30%
Weighted Average Yield2.80%
Weighted Average Life (Years)2 years
Servicing strips
Sales
Outstanding Face Amount $ 4,444,047,000
Amortized Cost Basis42,122,000
Gross Unrealized Gains5,281,000
Gross Unrealized Losses(6,369,000)
Carrying Value $ 41,035,000
Number of Securities | security56
Weighted Average Coupon0.40%
Weighted Average Yield14.90%
Weighted Average Life (Years)4 years

REAL ESTATE AND OTHER SECURIT_4

REAL ESTATE AND OTHER SECURITIES - Narrative (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Provision for credit losses on securities $ (894) $ 44,149

REAL ESTATE AND OTHER SECURIT_5

REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)security
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 31,488,837
Weighted Average Life (Years)1 year 6 months
Less than 12 Months
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 15,641,371
Before Impairment - Amortized Cost Basis13,904,964
Credit Impairment - Amortized Cost Basis(583)
Amortized Cost Basis13,904,381
Gross Unrealized Losses - Less than 12 Months(417,210)
Carrying Value - Less than 12 Months $ 13,487,171
Number of Securities - Less than 12 Months | security60
Weighted Average RatingAAA
Weighted Average Coupon2.20%
Weighted Average Yield2.20%
Weighted Average Life (Years)7 years 4 months 24 days
12 or More Months
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 5,468,704
Before Impairment - Amortized Cost Basis142,858
Credit Impairment - Amortized Cost Basis(7,195)
Amortized Cost Basis135,662
Gross Unrealized Losses - 12 or More Months(24,604)
Carrying Value - 12 or More Months $ 111,058
Number of Securities - 12 or More Months | security88
Weighted Average RatingAA+
Weighted Average Coupon1.50%
Weighted Average Yield1.40%
Weighted Average Life (Years)3 years
Total/Weighted Average
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 21,110,075
Before Impairment - Amortized Cost Basis14,047,822
Credit Impairment - Amortized Cost Basis(7,778)
Amortized Cost Basis14,040,043
Gross Unrealized Losses - Total(441,814)
Carrying Value - Total $ 13,598,229
Number of Securities - Total | security148
Weighted Average RatingAAA
Weighted Average Coupon2.20%
Weighted Average Yield2.20%
Weighted Average Life (Years)7 years 4 months 24 days

REAL ESTATE AND OTHER SECURIT_6

REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Securities New Residential intends to sell
Debt Securities, Available-for-sale [Line Items]
Fair Value $ 0 $ 0
Amortized Cost Basis After Credit Impairment0 0
Gross Unrealized Losses, Credit0 0
Gross Unrealized Losses, Non-Credit0 0
Securities New Residential is more likely than not to be required to sell
Debt Securities, Available-for-sale [Line Items]
Fair Value0 0
Amortized Cost Basis After Credit Impairment0 0
Gross Unrealized Losses, Credit0 0
Gross Unrealized Losses, Non-Credit0
Credit impaired securities
Debt Securities, Available-for-sale [Line Items]
Fair Value22,166 21,326
Amortized Cost Basis After Credit Impairment22,166 21,326
Gross Unrealized Losses, Credit(7,778)(8,672)
Gross Unrealized Losses, Non-Credit0 0
Non-credit impaired securities
Debt Securities, Available-for-sale [Line Items]
Fair Value13,576,063 270,821
Amortized Cost Basis After Credit Impairment14,017,877 331,638
Gross Unrealized Losses, Credit0 0
Gross Unrealized Losses, Non-Credit(441,814)(60,817)
Total debt securities in an unrealized loss position
Debt Securities, Available-for-sale [Line Items]
Fair Value13,598,229 292,147
Amortized Cost Basis After Credit Impairment14,040,043 352,964
Gross Unrealized Losses, Credit(7,778)(8,672)
Gross Unrealized Losses, Non-Credit $ (441,814) $ (60,817)

REAL ESTATE AND OTHER SECURIT_7

REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses on available-for-sale debt securities at December 31, 2020 $ 8,672
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded0
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration0
Reductions for securities sold during the period0
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 basis0
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period(894)
Write-offs charged against the allowance0
Recoveries of amounts previously written off0
Allowance for credit losses on available-for-sale debt securities at March 31, 20217,778
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, 20208,672
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded0
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration0
Reductions for securities sold during the period0
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 basis0
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period(894)
Write-offs charged against the allowance0
Recoveries of amounts previously written off0
Allowance for credit losses on available-for-sale debt securities at March 31, 20217,778
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, 20200
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded0
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration0
Reductions for securities sold during the period0
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 basis0
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period0
Write-offs charged against the allowance0
Recoveries of amounts previously written off0
Allowance for credit losses on available-for-sale debt securities at March 31, 2021 $ 0

REAL ESTATE AND OTHER SECURIT_8

REAL ESTATE AND OTHER SECURITIES - Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Real Estate Securities
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 18,032,080 $ 19,365,008
Percentage of Total Outstanding100.00%100.00%
Real Estate Securities | Western U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 5,952,955 $ 6,543,524
Percentage of Total Outstanding33.00%33.70%
Real Estate Securities | Southeastern U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 4,815,659 $ 5,089,592
Percentage of Total Outstanding26.70%26.30%
Real Estate Securities | Northeastern U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 4,198,169 $ 4,484,340
Percentage of Total Outstanding23.30%23.20%
Real Estate Securities | Midwestern U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 2,083,293 $ 2,207,783
Percentage of Total Outstanding11.60%11.40%
Real Estate Securities | Southwestern U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 977,400 $ 1,025,637
Percentage of Total Outstanding5.40%5.30%
Real Estate Securities | Other U.S.
Debt Securities, Available-for-sale [Line Items]
Outstanding Face Amount $ 4,604 $ 14,132
Percentage of Total Outstanding0.00%0.10%
Consumer Loan | Bonds
Debt Securities, Available-for-sale [Line Items]
Face amount of investment $ 12,700 $ 13,000
Corporate Loan | Bonds
Debt Securities, Available-for-sale [Line Items]
Face amount of investment $ 500 $ 500

REAL ESTATE AND OTHER SECURIT_9

REAL ESTATE AND OTHER SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Outstanding Face Amount $ 522,553 $ 727,216
Carrying Value $ 163,304 $ 280,876

REAL ESTATE AND OTHER SECURI_10

REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward]
Balance, beginning $ 189,562
Additions0
Accretion(2,790)
Reclassifications from (to) non-accretable difference(5,162)
Disposals(149,058)
Balance, ending $ 32,552

RESIDENTIAL MORTGAGE LOANS - Re

RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands3 Months Ended
Mar. 31, 2021USD ($)loanDec. 31, 2020USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 754,347 $ 1,022,131
Weighted Average Life (Years)1 year 6 months
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 $ 708,746
Carrying Value $ 656,752 674,179
Loan Count | loan11,806
Weighted Average Yield6.00%
Weighted Average Life (Years)5 years 6 months
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 $ 379,186
Carrying Value $ 323,079 509,887
Loan Count | loan4,719
Weighted Average Yield5.60%
Weighted Average Life (Years)3 years 8 months 12 days
Acquired Reverse Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 12,228
Carrying Value $ 5,675 5,884
Loan Count | loan28
Weighted Average Yield7.60%
Weighted Average Life (Years)4 years 3 months 18 days
Interest in reverse mortgage loans70.00%
Unpaid principal balance $ 600
Percentage of loans that have reached a termination event52.00%
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 loans30.00%
Acquired Performing Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 132,431
Carrying Value $ 126,814 129,345
Loan Count | loan3,155
Weighted Average Yield5.50%
Weighted Average Life (Years)4 years 4 months 24 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 $ 553,900
Acquired Non-Performing Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount234,527
Carrying Value $ 190,590 374,658
Loan Count | loan1,536
Weighted Average Yield5.50%
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 $ 289,900
Acquired Performing Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount1,706,522
Carrying Value $ 1,728,490 1,423,159
Loan Count | loan8,569
Weighted Average Yield3.70%
Weighted Average Life (Years)10 years
Acquired non-performing loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 455,723
Carrying Value $ 406,100 335,544
Loan Count | loan2,325
Weighted Average Yield5.20%
Weighted Average Life (Years)3 years
Originated loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 3,420,363
Carrying Value $ 3,465,886 2,947,113
Loan Count | loan12,919
Weighted Average Yield2.90%
Weighted Average Life (Years)27 years 6 months
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 $ 5,582,608
Carrying Value $ 5,600,476 4,705,816
Loan Count | loan23,813
Weighted Average Yield3.30%
Weighted Average Life (Years)20 years 2 months 12 days
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Face Amount $ 5,961,794
Carrying Value $ 5,923,555 $ 5,215,703

RESIDENTIAL MORTGAGE LOANS - Ge

RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage LoansMar. 31, 2021Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount100.00%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 Amount12.00%11.90%
Texas
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount10.30%10.10%
New York
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount7.10%7.10%
Florida
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount7.00%7.10%
Georgia
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount5.90%5.80%
New Jersey
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount4.10%4.20%
Pennsylvania
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.50%3.50%
North Carolina
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.30%3.50%
Massachusetts
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount3.30%3.40%
Virginia
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Percentage of Total Outstanding Unpaid Principal Amount2.90%2.50%
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 Amount40.60%40.90%

RESIDENTIAL MORTGAGE LOANS - Sc

RESIDENTIAL MORTGAGE LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance $ 754,347 $ 1,022,131
Fair Value659,330 850,467
Fair Value Over (Under) Unpaid Principal Balance(95,016)(171,664)
90 to 119
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance51,073 71,567
Fair Value44,588 59,679
Fair Value Over (Under) Unpaid Principal Balance(6,484)(11,888)
120 or greater
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unpaid Principal Balance703,274 950,564
Fair Value614,742 790,788
Fair Value Over (Under) Unpaid Principal Balance $ (88,532) $ (159,776)

RESIDENTIAL MORTGAGE LOANS - Na

RESIDENTIAL MORTGAGE LOANS - Narrative (Details) - Residential Mortgage Loans $ in Millions3 Months Ended
Mar. 31, 2021USD ($)trustMar. 31, 2020USD ($)trust
Accounts, Notes, Loans and Financing Receivable [Line Items]
Number of trusts called | trust18 15
Loans Sold
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income $ 2.2 $ 12
Gain on securitization accounted for as sales $ 12.1 $ 42.6

RESIDENTIAL MORTGAGE LOANS - Ca

RESIDENTIAL MORTGAGE LOANS - Carrying Value of Mortgage Loans (Details) $ in Th