Cover
Cover - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 15, 2022 | Jun. 30, 2021 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-35777 | ||
Entity Registrant Name | New Residential Investment Corp. | ||
Entity Incorporation, State or Country Code | DE | ||
Entity Tax Identification Number | 45-3449660 | ||
Entity Address, Address Line One | 1345 Avenue of the Americas | ||
Entity Address, City or Town | New York | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10105 | ||
City Area Code | (212) | ||
Local Phone Number | 798-3150 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 5.2 | ||
Entity Common Stock, Shares Outstanding | 466,758,266 | ||
Documents Incorporated by Reference | The information required by Part III (Items 10, 11, 12, 13 and 14) will be incorporated by reference from the registrant’s Definitive Proxy Statement for its 2022 Annual Meeting of Stockholders to be filed with the Securities and Exchange Commission pursuant to Regulation 14A. | ||
Entity Central Index Key | 0001556593 | ||
Amendment Flag | false | ||
Document Fiscal Period Focus | FY | ||
Document Fiscal Year Focus | 2021 | ||
Common Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, $0.01 par value per share | ||
Trading Symbol | NRZ | ||
Security Exchange Name | NYSE | ||
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NRZ PR A | ||
Security Exchange Name | NYSE | ||
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NRZ PR B | ||
Security Exchange Name | NYSE | ||
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NRZ PR C | ||
Security Exchange Name | NYSE | ||
7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NRZ PR D | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Name | Ernst & Young LLP |
Auditor Location | New York, New York |
Auditor Firm ID | 42 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets | |||
Excess mortgage servicing rights, at fair value | $ 344,947 | $ 410,855 | |
Mortgage servicing rights and mortgage servicing rights financing receivables, at fair value | [1] | 6,858,803 | 4,585,841 |
Servicer advance investments, at fair value | [1] | 421,807 | 538,056 |
Real estate and other securities | 9,396,539 | 14,244,558 | |
Residential mortgage loans, held-for-investment, at fair value | [1] | 1,077,224 | 1,359,754 |
Residential mortgage loans, held-for-sale | 11,347,845 | 5,215,703 | |
Mortgage loans receivable, at fair value | 1,515,762 | 0 | |
Residential mortgage loans subject to repurchase | [2] | 1,787,314 | 1,452,005 |
Cash and cash equivalents | [1] | 1,332,575 | 944,854 |
Restricted cash | [1] | 195,867 | 135,619 |
Servicer advances receivable | 2,855,148 | 3,002,267 | |
Receivable for investments sold | 0 | 4,180 | |
Other assets | [1] | 2,608,359 | 1,358,422 |
Total assets | 39,742,190 | 33,252,114 | |
Liabilities | |||
Secured financing agreements | [1] | 20,592,884 | 17,547,680 |
Secured notes and bonds payable ($511,107 and $1,662,852 at fair value, respectively) | [1] | 8,644,810 | 7,644,195 |
Residential mortgage loan repurchase liability | [2] | 1,787,314 | 1,452,005 |
Unsecured senior notes, net of issuance costs | 543,293 | 541,516 | |
Payable for investments purchased | 0 | 154 | |
Due to affiliates | 17,819 | 9,450 | |
Dividends payable | 127,922 | 90,128 | |
Accrued expenses and other liabilities | [1] | 1,358,768 | 537,302 |
Total liabilities | 33,072,810 | 27,822,430 | |
Commitments and Contingencies | |||
Equity | |||
Preferred Stock, $0.01 par value, [100,000,000] shares authorized, [52,210,000] and [33,610,000] issued and outstanding, [$1,305,250] and [$840,250] aggregate liquidation preference, respectively | 1,262,481 | 812,992 | |
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, [414,744,518] and [415,520,780] issued and outstanding, respectively | 4,669 | 4,148 | |
Additional paid-in capital | 6,059,671 | 5,547,108 | |
Retained earnings (accumulated deficit) | (813,042) | (1,108,929) | |
Accumulated other comprehensive income (loss) | 90,253 | 65,697 | |
Total New Residential stockholders’ equity | 6,604,032 | 5,321,016 | |
Noncontrolling interests in equity of consolidated subsidiaries | 65,348 | 108,668 | |
Total Equity | 6,669,380 | 5,429,684 | |
Total Liabilities And Equity | $ 39,742,190 | $ 33,252,114 | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. | ||
[2] | See Note 6 for details. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Residential mortgage loans, held-for-sale, at fair value | $ 11,214,924 | $ 4,705,816 |
Notes and bonds payable, fair value | $ 511,107 | $ 1,662,852 |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares issued (in shares) | 52,210,000 | 33,610,000 |
Preferred stock, shares outstanding (in shares) | 52,210,000 | 33,610,000 |
Preferred stock, aggregate liquidation preference | $ 1,305,250 | $ 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) | 466,758,266 | 414,744,518 |
Common stock, shares outstanding (in shares) | 466,758,266 | 414,744,518 |
Assets | $ 39,742,190 | $ 33,252,114 |
Liabilities | 33,072,810 | 27,822,430 |
Variable Interest Entity, Primary Beneficiary | ||
Residential mortgage loans, held-for-sale, at fair value | 798,644 | 614,868 |
Assets | 2,757,786 | 2,677,499 |
Liabilities | $ 2,141,799 | $ 2,089,514 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Revenues | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | $ 1,559,554 | $ 1,642,272 | $ 1,534,125 |
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | (575,353) | (2,168,909) | (901,973) |
Servicing revenue, net | 984,201 | (526,637) | 632,152 |
Interest income | 810,896 | 794,965 | 1,330,114 |
Gain on originated residential mortgage loans, held-for-sale, net | 1,826,909 | 1,399,092 | 460,107 |
Revenues | 3,622,006 | 1,667,420 | 2,422,373 |
Expenses | |||
Interest expense and warehouse line fees | 497,308 | 584,469 | 933,751 |
General and administrative | 864,028 | 548,441 | 496,481 |
Compensation and benefits | 1,159,810 | 571,646 | 285,489 |
Management fee to affiliate | 95,926 | 89,134 | 79,472 |
Incentive compensation to affiliate | 0 | 0 | 91,893 |
Total expenses | 2,617,072 | 1,793,690 | 1,887,086 |
Other income (loss) | |||
Change in fair value of investments | 11,723 | (148,758) | (118,373) |
Gain (loss) on settlement of investments, net | (234,561) | (930,131) | 227,981 |
Earnings from investments in consumer loans, equity method investees | 0 | 0 | (1,438) |
Other income (loss), net | 133,968 | (11,997) | 39,819 |
Total other income (loss) | (88,870) | (1,090,886) | 147,989 |
Impairment | |||
Provision (reversal) for credit losses on securities | (5,201) | 13,404 | 25,174 |
Valuation and credit loss provision (reversal) on loans and real estate owned | (42,543) | 110,208 | 10,403 |
Total impairment | (47,744) | 123,612 | 35,577 |
Income (loss) before income taxes | 963,808 | (1,340,768) | 647,699 |
Income tax (benefit) expense | 158,226 | 16,916 | 41,766 |
Net income (loss) | 805,582 | (1,357,684) | 605,933 |
Noncontrolling interests in income of consolidated subsidiaries | 33,356 | 52,674 | 42,637 |
Dividends on preferred stock | 66,744 | 54,295 | 13,281 |
Net income (loss) attributable to common stockholders, basic | 705,482 | (1,464,653) | 550,015 |
Net income (loss) attributable to common stockholders, diluted | $ 705,482 | $ (1,464,653) | $ 550,015 |
Net income (loss) per share of common stock | |||
Basic (in dollars per share) | $ 1.56 | $ (3.52) | $ 1.35 |
Diluted (in dollars per share) | $ 1.51 | $ (3.52) | $ 1.34 |
Weighted average number of shares of common stock outstanding | |||
Basic (in shares) | 451,276,742 | 415,513,187 | 408,789,642 |
Diluted (in shares) | 467,665,006 | 415,513,187 | 408,990,107 |
Dividends declared per share of common stock (in dollars per share) | $ 0.90 | $ 0.50 | $ 2 |
CONSOLIDATED STATEMENTS OF IN_2
CONSOLIDATED STATEMENTS OF INCOME (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
MSRs Excluding Excess Spread Financing | |||
Realization of cash flows | $ (1,192,646) | $ (1,583,628) | $ (733,763) |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | |||
Net income (loss) | $ 805,582 | $ (1,357,684) | $ 605,933 |
Other comprehensive income (loss), net of tax: | |||
Net unrealized gain (loss) on available-for-sale securities, net | 29,944 | 123,855 | 445,943 |
Reclassification of net realized (gain) loss on available-for-sale securities, net into net income | (5,388) | (740,309) | (180,815) |
Comprehensive income (loss) | 830,138 | (1,974,138) | 871,061 |
Comprehensive income (loss) attributable to noncontrolling interests | 33,356 | 52,674 | 42,637 |
Dividends on preferred stock | 66,744 | 54,295 | 13,281 |
Comprehensive income (loss) attributable to common stockholders | $ 730,038 | $ (2,081,107) | $ 815,143 |
CONSOLIDATED STATEMENT OF CHANG
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Preferred Stock | Common Stock | Additional Paid-in Capital | Retained Earnings (Accumulated Deficit) | Retained Earnings (Accumulated Deficit)Cumulative Effect, Period of Adoption, Adjustment | Accumulated Other Comprehensive Income | Total New Residential Stockholders’ Equity | Total New Residential Stockholders’ EquityCumulative Effect, Period of Adoption, Adjustment | Noncontrolling Interests in Equity of Consolidated Subsidiaries | Noncontrolling Interests in Equity of Consolidated SubsidiariesCumulative Effect, Period of Adoption, Adjustment | Common Stock | Common StockCommon Stock | Common StockAdditional Paid-in Capital | Common StockTotal New Residential Stockholders’ Equity | Preferred Stock | Preferred StockPreferred Stock | Preferred StockTotal New Residential Stockholders’ Equity |
Balance, beginning (in shares) at Dec. 31, 2018 | 0 | 369,104,429 | |||||||||||||||||
Balance, beginning at Dec. 31, 2018 | $ 6,088,295 | $ 0 | $ 3,692 | $ 4,746,242 | $ 830,713 | $ 417,023 | $ 5,997,670 | $ 90,625 | |||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||
Dividends declared on common stock | (830,995) | $ (830,995) | $ (830,995) | ||||||||||||||||
Dividends declared on preferred stock | (13,281) | (13,281) | (13,281) | ||||||||||||||||
Capital distributions | (54,712) | (54,712) | |||||||||||||||||
Issuance stock (in shares) | 46,000,000 | 17,510,000 | |||||||||||||||||
Issuance of stock | 751,393 | $ 460 | $ 750,933 | 751,393 | $ 423,444 | $ 423,444 | $ 423,444 | ||||||||||||
Option exercise (in shares) | 348,613 | ||||||||||||||||||
Option exercise | $ 3 | (3) | |||||||||||||||||
Director share grants (in shares) | 67,738 | ||||||||||||||||||
Director share grants | 1,055 | $ 1 | 1,054 | 1,055 | |||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||
Net income (loss) | 605,933 | 563,296 | 563,296 | 42,637 | |||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 445,943 | 445,943 | 445,943 | ||||||||||||||||
Reclassification of net realized (gain) loss on available-for-sale securities, net into net income | (180,815) | (180,815) | (180,815) | ||||||||||||||||
Comprehensive income (loss) | 871,061 | 828,424 | 42,637 | ||||||||||||||||
Balance, ending (in shares) at Dec. 31, 2019 | 17,510,000 | 415,520,780 | |||||||||||||||||
Balance, ending at Dec. 31, 2019 | $ 7,236,260 | $ 30,453 | $ 423,444 | $ 4,156 | 5,498,226 | 549,733 | $ 13,658 | 682,151 | 7,157,710 | $ 13,658 | 78,550 | $ 16,795 | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||
Accounting Standards Update [Extensible List] | Accounting Standards Update 2016-13 [Member] | ||||||||||||||||||
2020 Warrants | $ 53,462 | 53,462 | 53,462 | ||||||||||||||||
Dividends declared on common stock | (207,667) | (207,667) | (207,667) | ||||||||||||||||
Dividends declared on preferred stock | (54,295) | (54,295) | (54,295) | ||||||||||||||||
Capital contributions | 2,449 | 2,449 | |||||||||||||||||
Capital distributions | $ (41,800) | (41,800) | |||||||||||||||||
Issuance stock (in shares) | 97,394 | 16,100,000 | |||||||||||||||||
Issuance of stock | 1,663 | $ 1 | 1,662 | 1,663 | 389,548 | $ 389,548 | 389,548 | ||||||||||||
Option exercise (in shares) | 0 | ||||||||||||||||||
Repurchase of common stock (in shares) | (1,000,000) | ||||||||||||||||||
Repurchase of common stock | (7,462) | $ (10) | (7,452) | (7,462) | |||||||||||||||
Director share grants (in shares) | 126,344 | ||||||||||||||||||
Director share grants | $ 1,211 | $ 1 | 1,210 | 1,211 | |||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||
Net income (loss) | (1,357,684) | (1,410,358) | (1,410,358) | 52,674 | |||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 123,855 | 123,855 | 123,855 | ||||||||||||||||
Reclassification of net realized (gain) loss on available-for-sale securities, net into net income | (740,309) | (740,309) | (740,309) | ||||||||||||||||
Comprehensive income (loss) | (1,974,138) | (2,026,812) | 52,674 | ||||||||||||||||
Balance, ending (in shares) at Dec. 31, 2020 | 33,610,000 | 414,744,518 | |||||||||||||||||
Balance, ending at Dec. 31, 2020 | 5,429,684 | $ 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 | (409,595) | (409,595) | (409,595) | ||||||||||||||||
Dividends declared on preferred stock | (66,744) | (66,744) | (66,744) | ||||||||||||||||
Capital distributions | $ (55,600) | (55,600) | |||||||||||||||||
Issuance stock (in shares) | 51,903,346 | 18,600,000 | |||||||||||||||||
Issuance of stock | $ 513,421 | $ 519 | $ 512,902 | $ 513,421 | $ 449,489 | $ 449,489 | $ 449,489 | ||||||||||||
Option exercise (in shares) | 0 | ||||||||||||||||||
Purchase of non-controlling interest | $ (22,523) | (1,447) | (1,447) | (21,076) | |||||||||||||||
Director share grants (in shares) | 110,402 | ||||||||||||||||||
Director share grants | 1,110 | $ 2 | 1,108 | 1,110 | |||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||
Net income (loss) | 805,582 | 772,226 | 772,226 | 33,356 | |||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 29,944 | 29,944 | 29,944 | ||||||||||||||||
Reclassification of net realized (gain) loss on available-for-sale securities, net into net income | (5,388) | (5,388) | (5,388) | ||||||||||||||||
Comprehensive income (loss) | 830,138 | 796,782 | 33,356 | ||||||||||||||||
Balance, ending (in shares) at Dec. 31, 2021 | 52,210,000 | 466,758,266 | |||||||||||||||||
Balance, ending at Dec. 31, 2021 | $ 6,669,380 | $ 1,262,481 | $ 4,669 | $ 6,059,671 | $ (813,042) | $ 90,253 | $ 6,604,032 | $ 65,348 |
CONSOLIDATED STATEMENT OF CHA_2
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 1 Months Ended | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Stockholders' Equity [Abstract] | ||||||
Dividends declared per share of common stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.90 | $ 0.50 | $ 2 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Cash Flows From Operating Activities | |||||
Net income (loss) | $ 805,582 | $ (1,357,684) | $ 605,933 | ||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||
Change in fair value of Excess MSRs | 13,260 | 19,721 | 3,705 | ||
Change in fair value of servicer advance investments | 9,076 | (763) | (10,288) | ||
Change in fair value of residential mortgage loans, at fair value | (155,758) | 107,604 | 70,914 | ||
Change in fair value of secured notes and bonds payable | (12,991) | 966 | 1,236 | ||
Change in fair value of real estate and other securities | 400,369 | (28,455) | (2,101) | ||
Change in fair value of consumer loans | 20,133 | (2,816) | 0 | ||
(Gain) loss on settlement of investments, net | 233,076 | 863,898 | (236,513) | ||
(Gain) loss on originated residential mortgage loans, held-for-sale, net | (1,826,909) | (1,399,092) | (460,107) | ||
Bargain purchase gain | (6,024) | 0 | (49,539) | ||
Earnings from investments in consumer loans, equity method investees | 0 | 0 | 1,438 | ||
(Gain) loss on extinguishment of debt | 1,485 | 66,233 | 8,532 | ||
Change in fair value of derivative instruments | (298,803) | 53,467 | 56,143 | ||
Change in fair value of contingent consideration | 1,037 | 6,568 | 10,487 | ||
Change in fair value of equity investments | (5,986) | 54,455 | 3,096 | ||
(Gain) loss on transfer of loans to REO | (3,752) | (7,945) | (11,842) | ||
(Gain) loss on transfer of loans to other assets | 9 | 939 | 1,144 | ||
(Gain) loss on Ocwen common stock | (2,181) | (3,235) | (174) | ||
Accretion and other amortization | (49,382) | (151,540) | (379,129) | ||
Depreciation on single family rental properties | 6,072 | 625 | 113 | ||
Provision (reversal) for credit losses on securities | (5,201) | 13,404 | 25,174 | ||
Valuation and credit loss provision (reversal) on loans and real estate owned | (42,543) | 110,208 | 10,403 | ||
Non-cash portions of servicing revenue, net | 575,353 | 2,168,909 | 901,973 | ||
Non-cash directors’ compensation | 1,110 | 1,211 | 1,055 | ||
Deferred tax provision | 151,200 | 15,029 | 38,207 | ||
Changes in: | |||||
Servicer advances receivable, net | 226,173 | 336,589 | 218,217 | ||
Other assets | 939,930 | 99,477 | (339,733) | ||
Due to affiliates | 8,369 | (94,432) | 2,411 | ||
Accrued expenses and other liabilities | (349,733) | (86,543) | 182,153 | ||
Other operating cash flows: | |||||
Interest and distributions received from Excess MSRs | 21,142 | 30,855 | 43,049 | ||
Interest received from servicer advance investments | 13,033 | 19,322 | 28,437 | ||
Interest received from Non-Agency RMBS | 104,463 | 170,151 | 264,694 | ||
Interest received from residential mortgage loans, held-for-investment | 0 | 5,139 | 8,485 | ||
Interest received from consumer loans | 14,901 | 0 | 30,588 | ||
Distributions of earnings from consumer loan equity method investees | 0 | 0 | 8,607 | ||
Purchases of residential mortgage loans, held-for-sale | (8,102,055) | (3,433,110) | (8,610,511) | ||
Origination of residential mortgage loans, held-for-sale | (122,564,612) | (60,951,784) | (19,411,150) | ||
Origination and advances of mortgage loans receivable | (70,938) | 0 | 0 | ||
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale | 132,220,995 | 64,968,767 | 24,968,751 | ||
Principal repayments from mortgage loans receivable | 60,811 | 0 | 0 | ||
Principal repayments from purchased residential mortgage loans, held-for-sale | 553,161 | 277,568 | 417,840 | ||
Net cash provided by (used in) operating activities | 2,883,872 | 1,873,706 | (1,598,302) | ||
Cash Flows From Investing Activities | |||||
Business acquisitions, net of cash acquired | (1,173,171) | 0 | (1,223,233) | ||
Purchase of servicer advance investments | (1,286,526) | (1,294,757) | (1,622,808) | ||
Purchase of MSRs, MSR financing receivables and servicer advance receivables | (23,015) | (539,889) | (1,450,375) | ||
Purchase of Agency RMBS | (6,098,841) | (23,187,216) | (35,479,893) | ||
Purchase of Non-Agency RMBS | (709) | (56,515) | (885,629) | ||
Purchase of REO and other assets | (547,314) | (23,640) | (68,024) | ||
Purchase of investment in consumer loans, equity method investees | 0 | 0 | (64,499) | ||
Purchase of commercial real estate, equity method investees | (25,138) | 0 | 0 | ||
Draws on revolving consumer loans | (29,002) | (33,041) | (54,375) | ||
Purchase of SFR properties | (544,850) | (17,763) | (24,246) | ||
Origination of commercial loans | (250,000) | 0 | 0 | ||
Payments for settlement of derivatives | (199,614) | (214,747) | (300,771) | ||
Return of investments in Excess MSRs | 50,710 | 58,970 | 68,613 | ||
Return of investments in consumer loans, equity method investees | 0 | 0 | 92,748 | ||
Principal repayments from servicer advance investments | 1,382,344 | 1,338,101 | 1,786,394 | ||
Principal repayments from Agency RMBS | 2,168,212 | 1,101,564 | 2,085,283 | ||
Principal repayments from Non-Agency RMBS | 162,638 | 407,996 | 1,294,010 | ||
Principal repayments from residential mortgage loans | 119,841 | 139,561 | 113,602 | ||
Proceeds from sale of residential mortgage loans | 9,922 | 0 | 41,622 | ||
Principal repayments from commercial loans | 23,442 | 0 | 0 | ||
Principal repayments from consumer loans | 191,177 | 229,218 | 261,456 | ||
Principal repayments from MSRs and MSR financing receivables | 1,930 | 80,838 | 51,470 | ||
Proceeds from sale of mortgage servicing rights | 61,041 | 14,694 | 24,528 | ||
Proceeds from sale of Excess MSRs | 3,327 | 1,142 | 10,095 | ||
Proceeds from sale of Agency RMBS | 8,074,294 | 24,928,144 | 22,173,505 | ||
Proceeds from sale of Non-Agency RMBS | 164,680 | 5,451,493 | 1,950,384 | ||
Proceeds from settlement of derivatives | 16,643 | 164,417 | 108,472 | ||
Proceeds from sale of REO | 54,232 | 79,108 | 138,910 | ||
Net cash provided by (used in) investing activities | 2,306,253 | 8,627,678 | (10,972,761) | ||
Cash Flows From Financing Activities | |||||
Repayments of secured financing agreements | (69,206,600) | (122,526,887) | (196,120,793) | ||
Repayments of warehouse credit facilities | (130,744,991) | (64,520,481) | (34,833,314) | ||
Margin deposits under secured financing agreements and derivatives | (5,783,542) | (4,092,498) | (4,567,677) | ||
Proceeds from issuance of term loan | 0 | 592,400 | 0 | ||
Repayment of term loan | 0 | (600,000) | 0 | ||
Proceeds from issuance of unsecured senior notes | 0 | 544,400 | 0 | ||
Repayments of secured notes and bonds payable | (8,078,073) | (9,452,948) | (9,307,033) | ||
Deferred financing fees | (8,385) | (43,705) | (6,705) | ||
Common stock dividends paid | (375,869) | (332,479) | (807,788) | ||
Preferred stock dividends paid | (62,675) | (51,088) | (9,334) | ||
Borrowings under secured financing agreements | 64,749,425 | 113,228,180 | 207,138,969 | ||
Borrowings under warehouse credit facilities | 129,899,057 | 63,453,603 | 36,177,659 | ||
Return of margin deposits under secured financing agreements and derivatives | 6,032,909 | 4,016,721 | 4,365,946 | ||
Borrowings under secured notes and bonds payable | 7,964,077 | 9,380,533 | 9,706,864 | ||
Issuance of preferred stock | 449,489 | 389,548 | 423,444 | ||
Issuance of common stock | 513,540 | 1,735 | 752,217 | ||
Repurchase of common stock | 0 | (7,462) | 0 | ||
Costs related to issuance of common and preferred stock | (119) | (72) | (824) | ||
Noncontrolling interest in equity of consolidated subsidiaries - contributions | 0 | 2,449 | 0 | ||
Noncontrolling interest in equity of consolidated subsidiaries - distributions | (55,600) | (41,800) | (54,712) | ||
Payment of contingent consideration | (12,276) | (51,994) | (10,000) | ||
Purchase of noncontrolling interests | (22,523) | 0 | 0 | ||
Net cash provided by (used in) financing activities | (4,742,156) | (10,111,845) | 12,846,919 | ||
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 447,969 | 389,539 | 275,856 | ||
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 1,080,473 | 690,934 | 415,078 | ||
Cash, Cash Equivalents, and Restricted Cash, End of Period | 1,528,442 | 1,080,473 | 690,934 | ||
Supplemental Disclosure of Cash Flow Information | |||||
Cash paid during the period for interest | 505,978 | 512,139 | 902,466 | ||
Cash paid during the period for income taxes | 23,506 | 3,629 | 1,479 | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||||
Dividends declared but not paid | 127,922 | 90,128 | |||
Warrants issued with term loan | 0 | 53,462 | 0 | ||
Purchase of investments, primarily Agency and Non-Agency RMBS, settled after year end | 0 | 154 | 902,081 | ||
Sale of investments, primarily Agency RMBS, settled after year end | 0 | 4,180 | 5,256,014 | ||
Transfer from residential mortgage loans to real estate owned and other assets | 30,020 | 69,812 | 95,640 | ||
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale | 0 | 0 | 9,136 | ||
Non-cash distributions from LoanCo | 0 | 0 | 25,739 | ||
Purchase price holdback | 0 | (45,013) | (25,245) | ||
Contingent consideration | 4,951 | 14,247 | |||
Seller financing in Genesis acquisition | 1,256,279 | 0 | 0 | ||
Ditech effective settlement of Preexisting Relationships | 0 | 0 | 4,919 | ||
Real estate securities retained from loan securitizations | 173,631 | 518,515 | 1,171,959 | ||
Residential mortgage loans subject to repurchase | 1,787,314 | [1] | 1,452,005 | [1] | 172,336 |
Guardian Acquisition | |||||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||||
Contingent consideration | 0 | 0 | 13,893 | ||
Common Stock | |||||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||||
Dividends declared but not paid | 116,675 | 82,949 | 207,761 | ||
Preferred Stock | |||||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||||
Dividends declared but not paid | $ 22,495 | $ 14,357 | $ 3,971 | ||
[1] | See Note 6 for details. |
ORGANIZATION
ORGANIZATION | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION | ORGANIZATION 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 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’s investment portfolio is composed of mortgage servicing related assets (full and excess MSRs and servicer advances), residential securities (and associated call rights), properties (including single family rental) and loans, mortgage loans, and consumer loans. New Residential’s investments in operating entities include leading origination and servicing platforms through wholly-owned subsidiaries, Newrez LLC (“Newrez”) and Caliber Home Loans Inc. (“Caliber”) (together with Newrez, “Mortgage Company”), as well as investments in affiliated businesses that provide mortgage related services. In addition, the acquisition of Genesis Capital LLC (“Genesis”) in December of 2021 adds a new complementary business line. 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 Notes 2 and 19 for further discussion regarding New Residential’s taxable REIT subsidiaries. New Residential, through its wholly-owned subsidiaries New Residential Mortgage LLC (“NRM”) and the Mortgage Company, is licensed or otherwise eligible to service residential mortgage loans in all states within the United States and the District of Columbia. NRM and the Mortgage Company are 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, in the case of the Mortgage Company, Government National Mortgage Association (“Ginnie Mae”). The Mortgage Company is also eligible to perform servicing on behalf of other servicers (subservicing) and investors. The Mortgage Company originates, sells and securitizes 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 the Mortgage Company. NRM and the Mortgage Company are required to conduct aspects of their operations in accordance with applicable policies and guidelines published by FHA, VA, USDA, Fannie Mae, Freddie Mac and Ginnie Mae. 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 18 for additional information. As of December 31, 2021, New Residential conducted its business through the following segments (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities, Properties and Loans, (v) Consumer Loans, (vi) Mortgage Loans Receivable and (vii) Corporate. |
SUMMARY OF SIGNIFICANT ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Basis of Accounting — The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “US GAAP”). 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, financial 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 Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. Reclassifications — Beginning in the third quarter of 2021, New Residential changed its presentation of certain balance sheet and income statement line items to better reflect how New Residential is managed. Specifically, MSR Financing Receivables is presented together with Mortgage Servicing Rights, at Fair Value on the Consolidated Balance Sheets. Prior period amounts in New Residential’s Consolidated Financial Statements and respective notes have been reclassified to conform to the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity. In addition to above, certain other prior period amounts in New Residential’s Consolidated Financial Statements and respective notes 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 MSRs and MSR Financing Receivables, Excess MSRs, 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 ongoing COVID-19 pandemic continues to impact the U.S. and world economies and has contributed to volatility in global financial and credit markets. Furthermore, disruptions caused by COVID-19 have slowed many commercial activities in the U.S., resulting in a reduced business revenues and 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 preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Business Combinations and Assets Acquisitions — When the assets acquired and liabilities assumed constitute a business, then the acquisition is a business combination. If substantially all of the fair value of the gross asset acquired is concentrated in a single identifiable asset or group of similar identifiable assets, the asset is not considered a business. Business combinations are accounted for under ASC 805, Business Combinations , (“ASC 805”) using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred and any noncontrolling interests in the acquiree is less than the fair value of the identifiable net assets acquired. Acquisition related costs are expensed as incurred. The results of operations of acquired businesses are included from the date of acquisition. Investment Consolidation and Transfers of Financial Assets — For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis is performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, Consolidation . In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10, Transfers and Servicing . In VIEs, an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale-legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control-an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. Depending upon the structure of the securitization transaction, these transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a sale and the loans will be removed from the Consolidated Balance Sheets or as a financing and the loans will remain on the Consolidated Balance Sheets. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a sale or a financing Excess MSRs — Excess MSRs refer to the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust. Upon acquisition, New Residential has elected to record each of such investments at fair value. New Residential elected to record its investments at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on Excess MSRs. Under this election, New Residential records a valuation adjustment on its Excess MSRs on a quarterly basis to recognize the changes in fair value in net income. Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into earnings on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount through the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. In addition, New Residential’s policy is to recognize interest income only on its Excess MSRs in existing eligible underlying mortgages. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded as Change in Fair Value of Investments. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs, and therefore may differ from their effective yields. MSRs and MSR Financing Receivables — MSRs represent the contractual right to service residential mortgage loans. The Company recognizes MSRs created through the sale of loans it originates. Under the accounting guidance for transfers and servicing, the Company initially measures a mortgage servicing asset that qualifies for separate recognition at fair value on the date of transfer. New Residential elected to record its investments at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on MSRs. Under this election, New Residential records a valuation adjustment on its MSRs on a quarterly basis to recognize the changes in fair value in net income. MSRs are aggregated into pools as applicable; each pool of MSRs is accounted for in the aggregate. Income from MSRs is recorded in Servicing Revenue, Net and comprises (i) income from the MSRs, plus or minus (ii) the mark-to-market on the MSRs including change in fair value due to realization of cash flows. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs. In certain cases, New Residential has legally purchased MSRs or the right to the economic interest in MSRs; however, New Residential has determined that the purchase agreement would not be treated as a sale under GAAP. Therefore, rather than recording an investment in MSRs, New Residential records an investment in MSR Financing Receivables. Income from this investment (net of subservicing fees) is recorded as interest income and is grouped and presented as part of Servicing Revenue, Net in the Consolidated Statements of Income. Additionally, New Residential has elected to measure MSR Financing Receivables at fair value, with changes in fair value flowing through Servicing Revenue, Net in the Consolidated Statements of Income. Servicer Advance Investments — New Residential accounts for its Servicer Advance Investments similarly to its Excess MSRs. Interest income for Servicer Advance Investments is accreted into earnings on an effective yield or “interest” method, based upon the expected aggregate cash flows of the Servicer Advance Investments, including the basic fee component of the related MSR (but excluding any Excess MSR component) through the expected life of the underlying mortgages, net of a portion of the basic fee component of the MSR that New Residential remits to the servicer as compensation for the servicer’s servicing activities. Changes to expected cash flows result in a cumulative retrospective adjustment, which is recorded in the period in which the change in expected cash flows occurs. Refer to “—Excess MSRs” for a description of the retrospective method. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Servicer Advance Investments, and therefore may differ from their effective yields. Real Estate and Other Securities — Agency and Non-Agency RMBS are classified as either available-for-sale or accounted for under the fair value option. The Company determines the appropriate classification of its securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. If classified as available-for-sale, investments are carried at fair value, with net unrealized gains or losses reported as a component of accumulated other comprehensive income. If classified under the fair value option, changes in fair value are recorded in the Consolidated Statements of Income as a component of Change in Fair Value of Investments. Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures . Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 14. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in net income. There are several different accounting models that may be applicable for purposes of the recognition of interest income on RMBS depending on whether the security is designated as available-for-sale or fair value option. The following accounting models apply to RMBS classified as available-for-sale: (i) RMBS of high credit quality rated ‘AA’ or higher that, at the time of purchase, the Company expects to collect all contractual cash flows and the security cannot be contractually prepaid in such a way that the Company would not recover substantially all of its recorded investment. (ii) Non-Agency RMBS which are not of high credit quality at the time of purchase or that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. For RMBS of high credit quality accounted for under (i) above, the Company recognizes interest income by applying the permitted “interest method,” whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in RMBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. For Non-Agency RMBS accounted for under (ii) above, the Company recognizes interest income by applying the required prospective level-yield methodology. Interest income under this methodology is impacted by management judgments around both the amount and timing of credit losses (defaults) and prepayments. Consequently, interest income on these Non-Agency RMBS is recognized based on the timing and amount of cash flows expected to be collected, as opposed to being based on contractual cash flows. These securities are generally purchased at a discount to the principal amount. At the original acquisition date, the Company estimates the timing and amount of cash flows expected to be collected and calculates the present value of those amounts to the Company’s purchase price. In each subsequent balance sheet date, the Company revises its estimates of the remaining timing and amount of cash flows expected to be collected. If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from reductions in estimates of future defaults). If there is a negative or adverse change in the amount and timing of future cash flows expected to be collected from the previous estimate, and the security's fair value is below its amortized cost, an impairment loss equal to the adverse change in cash flows expected to be collected, discounted using the security's effective rate before impairment, is required to be recorded in current period earnings. Additionally, while the effective interest rate used to accrete interest income after an impairment has been recognized will generally be the same, the amount of interest income recorded in future periods will decline because of the reduced balance of the amortized cost basis of the investment to which such effective interest rate is applied. The following accounting models apply to RMBS accounted for under the fair value option: (iii) RMBS of high credit quality rated ‘AA’ or higher that, at the time of purchase, the Company expects to collect all contractual cash flows and the security cannot be contractually prepaid in such a way that the Company would not recover substantially all of its recorded investment. (iv) Non-Agency RMBS which are not of high credit quality at the time of purchase or that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on RMBS accounted for in (iii) above is recognized based on the stated coupon rate and the outstanding principal amount. The original purchase premium or discount is not amortized or accreted as part of interest income but rather reflected as part of the security’s fair value. Interest income on Non-Agency RMBS accounted for in (iv) above is recognized in accordance with the model described in (ii) above. In June 2016, FASB issued ASU 2016-13, Financial Instruments - Credit Losses (“CECL”). This new guidance changed how entities measure credit losses for most financial assets that are not measured at fair value with changes in fair value recognized through net income. The Company adopted the new guidance as of January 1, 2020. Subsequent to the adoption of CECL on January 1, 2020, the Company evaluates its RMBS classified as available-for-sale on a quarterly basis to assess whether a decline in the fair value below the amortized cost basis should be recognized in net income or other comprehensive income. The presence of an impairment is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. A security is considered to be impaired if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before recovering its cost basis, or (iii) does not expect to recover the security’s entire amortized cost basis, even if the Company does not intend to sell the security, or the Company believes it is more likely than not that it will be required to sell the security before recovering its cost basis. Under these scenarios, the full amount of impairment is recognized currently in net income and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the impairment is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Credit related impairment is recognized as an allowance on the balance sheet with a corresponding adjustment to net income, with the remainder of the loss recognized in accumulated other comprehensive income (loss). The allowance for credit loss as well as adjustment to net income can be reversed for subsequent changes in the estimate of expected credit loss. Impairment has been classified within Provision (Reversal) for Credit Losses on Securities in the Consolidated Statements of Income. Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or “other-than-temporary.” When a real estate security was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it was more likely than not that the Company was required to sell the security before recovery of its amortized cost basis. If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, was recognized in net income as a realized loss and the cost basis of the security was adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), was compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflected those a “market participant” would use and included observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows were discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments were reflected in the Provision (Reversal) for Credit Losses on Securities in the Consolidated Statements of Income. The determination as to whether an OTTI existed was subjective, given that such determination was based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constituted an accounting estimate that could change materially over time. Increases in interest income could have been recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improved. Residential Mortgage Loans and Consumer Loans — The Company's loan portfolio primarily consists of residential mortgage and consumer loans. The Company’s loans are classified as (i) held-for-investment at fair value, (ii) held-for-sale at fair value or (iii) held-for-sale at lower of cost or fair value. Loans are also eligible to be accounted for under the fair value option which are recorded on the Consolidated Balance Sheets at fair value and the periodic changes in fair value is recorded as a component of Change in Fair Value of Investments in the Consolidated Statements of Income. When the Company has the intent and ability to hold loans for the foreseeable future or to maturity/payoff, such loans are classified as held for investment. When the Company has the intent to sell loans, such loans are classified as held for sale. For originated residential mortgage loans measured at fair value, New Residential reports the change in the fair value within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net in the Consolidated Statements of Income. Fair value is generally determined using a market approach by utilizing either (i) the fair value of securities backed by similar residential mortgage loans, adjusted for certain factors to approximate the fair value of a whole residential 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. For acquired residential mortgage loans measured at fair value, New Residential reports the change in the fair value within Change in Fair Value of Investments in the Consolidated Statements of Income. Fair value is generally determined by discounting the expected future cash flows using inputs such as default rates, prepayment speeds and discount rates. For loans measured at the lower of cost or fair value, the Company accounts for any excess of cost over fair value as a valuation allowance and include changes in the valuation allowance in Valuation and Credit Loss Provision (Reversal) on Loans and Real Estate Owned in the Consolidated Statements of Income in the period in which the change occurs. Purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred discounts or premiums are an adjustment to the basis of the loan and are included in the quarterly determination of the lower of cost or fair value adjustments and/or the gain or loss recognized at the time of sale. Interest earned on residential mortgage loans is reported |
BUSINESS ACQUISITIONS
BUSINESS ACQUISITIONS | 12 Months Ended |
Dec. 31, 2021 | |
Business Combinations [Abstract] | |
BUSINESS ACQUISITIONS | BUSINESS ACQUISITIONS New Residential completed the Guardian and Ditech acquisitions in 2019 and the Caliber and Genesis acquisitions in 2021 as part of its strategy to expand its origination, servicing and asset management capabilities. New Residential accounted for these transactions using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. Purchase Price Allocation The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of companies acquired: 2021 2019 ($ in millions) Caliber Genesis Total Ditech Guardian Total Total Consideration $ 1,318.5 $ 1,634.6 $ 2,953.1 $ 1,218.2 $ 21.5 $ 1,239.7 Assets Mortgage servicing rights, at fair value $ 1,507.5 $ — $ 1,507.5 $ 387.2 $ — $ 387.2 Residential mortgage loans, held-for-sale, at fair value 7,685.7 — 7,685.7 627.4 — 627.4 Mortgage loans receivable, at fair value — 1,505.6 1,505.6 — — — Residential mortgage loans subject to repurchase 666.8 — 666.8 — — — Cash and cash equivalents 472.7 16.4 489.1 — 1.8 1.8 Restricted cash 30.6 — 30.6 — — — Servicer advance receivable 108.3 — 108.3 238.0 — 238.0 Intangible assets (A)(B)(C)(D) 41.0 56.8 97.8 10.5 11.7 22.2 Other assets (E) 609.7 14.5 624.2 64.8 6.6 71.4 Total Assets Acquired $ 11,122.3 $ 1,593.3 $ 12,715.6 $ 1,327.9 $ 20.1 $ 1,348.0 Liabilities Secured financing agreements $ 7,090.6 $ — $ 7,090.6 $ — $ — $ — Secured notes and bonds payable 1,121.8 — 1,121.8 — — — Residential mortgage loans repurchase liability 666.8 — 666.8 — — — Accrued expenses and other liabilities 918.6 14.4 933.0 60.2 3.7 63.9 Total Liabilities Assumed $ 9,797.8 $ 14.4 $ 9,812.2 $ 60.2 $ 3.7 $ 63.9 Net Assets $ 1,324.5 $ 1,578.9 $ 2,903.4 $ 1,267.7 $ 16.4 $ 1,284.1 Goodwill (bargain purchase gain) $ (6.0) $ 55.7 $ 49.7 $ (49.5) $ 5.1 $ (44.4) (A) Includes intangible assets acquired as part of the Caliber acquisition in the form of purchased technology and trade name/trademarks. These intangibles are being amortized over a finite life of up to five years. (B) Includes intangible assets acquired as part of the Genesis acquisition in the form of customer relationships, trade name and a license. Customer relationships and the trade name are being amortized over a finite life of nine years and five years, respectively. New Residential has determined that the license has an indefinite useful life. (C) Includes intangible assets acquired as part of the Ditech acquisition in the form of correspondent customer relationships and servicing contracts tied to the recovery of defaulted loans. These intangibles are being amortized over a finite life of three years. (D) Includes intangible assets acquired as part of the Guardian acquisition in the form of customer relationships and a trade name. Customer relationships are being amortized over a finite life of seven years. New Residential has determined that the trade name has an indefinite useful life and will be evaluated for impairment given no legal, regulatory, contractual, competitive or economic factors that would limit the useful life. (E) Includes post loan charge off deficiency balances acquired through the Ditech Acquisition. Acquisition of Caliber Home Loans Inc. On April 14, 2021, New Residential entered into a Stock Purchase Agreement (the “SPA”) with LSF Pickens Holdings, LLC (“LSF”), a Delaware limited liability company and an affiliate of Lone Star Funds, and Caliber, a leading mortgage originator and servicer and then-wholly owned subsidiary of LSF. The SPA provided 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 from LSF. On August 23, 2021, New Residential completed its acquisition of all of the outstanding equity interests of Caliber from LSF for a purchase price of $1.318 billion in cash. At acquisition, New Residential recognized an initial bargain purchase gain of approximately $3.3 million and the amount is grouped and presented as part of Other Income in the Consolidated Statements of Income. The bargain purchase gain was primarily driven by differences in Caliber’s projected net income versus actuals between the period of Caliber acquisition announcement and its closing. During the fourth quarter of 2021, the Company recognized a $2.7 million measurement period adjustment related to certain return to provision adjustments which increased the total bargain purchase gain to $6.0 million. The preliminary estimate of fair value of assets and liabilities required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows, including projected revenues and expenses, and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is preliminary and is based on information that was available to management at the time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. The most significant open items necessary to complete are related to intangible assets, other assets, deferred income taxes, and other liabilities. The final acquisition accounting adjustments, including those resulting from conforming Caliber’s accounting policies to those of New Residential, could differ materially. The results of Caliber’s operations have been included in the Company’s Consolidated Statements of Income for the year ended December 31, 2021 from the date of the acquisition and represent $659.8 million of revenue and $25.9 million of net income. Acquisition-related costs are expensed in the period incurred. New Residential recognized $9.6 million of acquisition-related costs that were expensed for the year ended December 31, 2021. These costs are grouped and presented within General and Administrative Expenses in the Consolidated Statements of Income. Intangible assets consist of purchased technology and trademarks/trade names. New Residential amortizes intangible assets on a straight-line basis over their respective useful lives. The weighted average life of the total acquired identifiable intangible assets is 4.8 years. The following table presents the details of identifiable intangible assets acquired: Estimated Useful Life Amount Purchased technology 5 $ 38,545 Trademarks/trade names 1 2,483 Total identifiable intangible assets $ 41,028 Measurement Period Adjustments — The following table summarizes the provisional amounts recognized related to the Caliber acquisition as of September 30, 2021, as well as the measurement period adjustments made in the fourth quarter of 2021: ($ in millions) Acquisition Date Amounts Recognized as of September 30, 2021 Subsequent Adjustments to Fair Value Acquisition Date Amounts Recognized as of December 31, 2021 Total Consideration $ 1,318.5 $ — $ 1,318.5 Assets Mortgage servicing rights, at fair value $ 1,507.5 $ — $ 1,507.5 Residential mortgage loans, held-for-sale, at fair value 7,685.7 — 7,685.7 Residential mortgage loans subject to repurchase 666.8 — 666.8 Cash and cash equivalents 472.7 — 472.7 Restricted cash 30.6 — 30.6 Servicer advance receivable 108.3 — 108.3 Intangible assets 41.0 — 41.0 Other assets (A) 605.4 4.3 609.7 Total Assets Acquired $ 11,118.0 $ 4.3 $ 11,122.3 Liabilities Secured financing agreements $ 7,090.6 $ — $ 7,090.6 Secured notes and bonds payable 1,121.8 — 1,121.8 Residential mortgage loans repurchase liability 666.8 — 666.8 Accrued expenses and other liabilities (A) 917.0 1.6 918.6 Total Liabilities Assumed $ 9,796.2 $ 1.6 $ 9,797.8 Net Assets $ 1,321.8 $ 2.7 $ 1,324.5 Goodwill (bargain purchase gain) $ (3.3) $ (2.7) $ (6.0) (A) The adjustments to Other assets and Accrued expenses and other liabilities primarily reflect the impact on deferred tax assets and related liabilities attributable to certain return to provision adjustments. Unaudited Supplemental Pro Forma Financial Information — The following table presents unaudited pro forma combined revenues and income before income taxes for the year ended December 31, 2021 and 2020 prepared as if the Caliber acquisition had been consummated on January 1, 2020: Year Ended December 31, Pro Forma (in millions) 2021 2020 Revenues $ 5,422.7 $ 4,453.4 Income (loss) before income taxes 1,258.6 (529.9) The unaudited supplemental pro forma financial information reflects, among others, financing adjustments, amortization of intangibles, and transactions costs. The unaudited supplemental pro forma financial information has not been adjusted to reflect all conforming of accounting policies. The unaudited supplemental pro forma financial information does not include any anticipated synergies or other anticipated benefits of the Caliber acquisition and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the Caliber acquisition occurred on January 1, 2020, the beginning of the earliest period presented. Acquisition of Genesis Capital LLC On December 20, 2021, New Residential acquired 100% of the outstanding interest of Genesis, a leading mortgage loan lender, along with a related portfolio of loans, from affiliates of Goldman Sachs. Cash consideration for the Genesis acquisition totaled approximately $1.63 billion. The Company recognized goodwill of approximately $55.7 million related to the Genesis acquisition and primarily relates to anticipated synergies, the value of the assembled workforce and intangible assets that do not qualify for separate recognition at the time of the acquisition. Goodwill is reflected within the Mortgage Loans Receivable reporting segment and the amount is grouped and presented as part of Other Assets on the Consolidated Balance Sheets. Purchased goodwill is expected to be deductible for income tax purposes over 15 years. New Residential will assess the goodwill annually during the fourth quarter and in interim periods in case of events or circumstances make it more likely than not that an impairment may have occurred. The preliminary estimate of fair value of assets and liabilities required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is preliminary and is based on information that was available to management `at the time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. Due to the limited time since the acquisition date of the transaction, the business combination accounting is still in progress. The most significant open items necessary to complete relate to mortgage loans receivable and intangible assets. The Company is currently in the process of finalizing the accounting and expects to complete by the end of the first quarter of 2022. The additional analysis is expected to result in changes to goodwill and intangible assets. Furthermore, the Company is currently in the process of determining the fair values of its intangible assets with the assistance of a third party specialist. The final acquisition accounting adjustments, including those resulting from conforming Genesis’s accounting policies to those of New Residential could differ materially. The results of Genesis’s operations have been included in the Company’s Consolidated Statements of Income for the year ended December 31, 2021 from the date of the acquisition and represent $4.2 million of revenue and $1.4 million of net income. Acquisition-related costs are expensed in the period incurred. New Residential recognized $6.7 million of acquisition-related costs that were expensed for the year ended December 31, 2021. These costs are grouped and presented within General and Administrative expenses in the Consolidated Statements of Income. Intangible assets consist of customer relationships, trade name, and license. New Residential amortizes finite-lived customer relationships and trade name intangible assets on a straight-line basis over their respective useful lives. New Residential has determined that the license has an indefinite useful life. The weighted average life of the total acquired identifiable intangible assets is 8.5 years. The following table presents the details of identifiable intangible assets acquired: Estimated Useful Life Amount Customer relationships 9 $ 44,700 Trade name 5 5,900 License Indefinite 5,500 Total identifiable intangible assets $ 56,100 Unaudited Supplemental Pro Forma Financial Information — The following table presents unaudited pro forma combined revenues and income before income taxes for the year ended December 31, 2021 and 2020 prepared as if the Genesis acquisition had been consummated on January 1, 2020: Year Ended December 31, Pro Forma (in millions) 2021 2020 Revenues $ 3,643.4 $ 1,693.0 Income (loss) before income taxes 981.8 (1,316.1) The unaudited supplemental pro forma financial information reflects, among others, amortization of intangibles and transactions costs. The unaudited supplemental pro forma financial information has not been adjusted to reflect all conforming of accounting policies. The unaudited supplemental pro forma financial information does not include any anticipated synergies or other anticipated benefits of the Genesis acquisition and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the Genesis acquisition occurred on January 1, 2020, the beginning of the earliest period presented. Acquisition of Select Assets and Liabilities from Ditech Holding Corporation On June 17, 2019, New Residential, entered into a “stalking-horse” Asset Purchase Agreement (the “APA”) with Ditech Holding Corporation, a Maryland corporation (“Holding”), and Ditech Financial LLC, a Delaware limited liability company (“Financial” and together with Holding, the “Sellers” or “Ditech”) to acquire certain assets and assume certain liabilities under the APA based on the value of the acquired assets and assumed liabilities as calculated in accordance with the terms of the APA, subject to certain adjustments. Ditech filed voluntary petitions for relief under Chapter 11 of the Bankruptcy code, in the United States Bankruptcy Court for the Southern District of New York (“Bankruptcy Court”). The proposed sale was conducted through a Bankruptcy Court-supervised process, subject to Bankruptcy Court-approved bidding procedures, with the potential receipt of higher or better offers from competing bidders at auction, the approval of the sale by the Bankruptcy Court, and the satisfaction of certain conditions. As the stalking horse bidder, the Company’s offer to acquire the assets and assume the liabilities, as set forth in the APA, set the standard by which any other qualifying bids would be evaluated. Upon conclusion of the competitive bidding process, Ditech decided to proceed with New Residential’s stalking horse bid, as amended and sought the Bankruptcy Court’s approval. On October 1, 2019, New Residential Investment Corp (“Ditech Purchaser”) completed the acquisition (“Ditech Acquisition”) contemplated by the APA dated June 17, 2019, as amended, by and among the Ditech Purchaser and Ditech. Pursuant to the APA, Ditech sold, transferred, and assigned to the Ditech Purchaser (and its certain designated subsidiaries) the acquired assets, as defined in the APA, and the Ditech Purchaser (and its certain designated subsidiaries) assumed the liabilities, as defined in the APA, for cash consideration of $1.2 billion. The acquisition included certain Fannie Mae, Ginnie Mae and non-agency MSRs, the servicer advance receivables relating to such MSRs and other assets core to certain origination and servicing businesses at Ditech. Additionally, New Residential assumed certain Ditech office spaces and added approximately 1,100 Ditech employees to support the increase in volume to its existing origination and servicing operations. The acquisition of assets from the bankruptcy estate of Ditech along with the subsequent hiring of Ditech employees was accounted for as a business acquisition rather than an asset acquisition. Upon completing the Ditech Acquisition, the consideration transferred by the Ditech Purchaser for the acquired assets and assumed liabilities was determined to be less than the net assets acquired from Ditech resulting in an economic gain (“Bargain Purchase”). New Residential completed the required reassessment to validate that all assets acquired and liabilities assumed on the acquisition date had been identified and appropriately measured in accordance with ASC 805. Based on the reassessment, the transaction resulted in a Bargain Purchase gain of $49.5 million, which has been included in Other Income (Loss), Net in the Consolidated Statements of Income for the year ended December 31, 2019. The Bargain Purchase gain resulted from certain transition, integration, relocation and training costs that were factored into the purchase price and identified as future liabilities, of which approximately $22.9 million were incurred during the year ended December 31, 2019. The acquisition date fair value of the consideration transferred includes $1.2 billion in cash consideration and $4.9 million in effective settlement of preexisting relationships. The total consideration is summarized as follows: Total Consideration (in millions) Amount Cash consideration $ 1,213.3 Effective settlement of preexisting relationships (A) 4.9 Total consideration $ 1,218.2 (A) Represents the effective settlement of preexisting relationships between New Residential and Ditech related to operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s Consolidated Statements of Income. New Residential recognized the effective settlement of preexisting relationships separately from the acquisition of assets and assumption of liabilities in the business combination. Unaudited Supplemental Pro Forma Financial Information — The following table presents unaudited pro forma combined Servicing and Origination Revenue, which is comprised of (i) Servicing Revenue, Net and (ii) Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net, and Income Before Income Taxes for the year ended December 31, 2019. Pro Forma (in millions) Amount Servicing and origination revenue $ 1,104.0 Income before income taxes 552.8 The unaudited supplemental pro forma financial information has not been adjusted for transactions other than the Ditech Acquisition, or for the conforming of accounting policies. The unaudited supplemental pro forma financial information does not include any anticipated synergies or other anticipated benefits of the Ditech Acquisition and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of future. Acquisition of Guardian Asset Management On August 19, 2019, NRZ Guardian Purchaser LLC (“Guardian Purchaser”), entered into an agreement to acquire 100% of the shares of DDG RE Investments LLC d/b/a Guardian Asset Management (“Guardian”). On September 3, 2019, the Guardian Purchaser acquired 100% of the outstanding interests of Guardian for cash consideration of $7.6 million (“Guardian Acquisition”). As additional consideration for the Guardian Acquisition, the Guardian Purchaser may make up to four cash earnout payments, which will be calculated as the amount of cumulative Guardian earnings on specified contracts in excess of certain thresholds up to a maximum of $17.5 million (the “Guardian Earnout Payments”). The Guardian Earnout Payments are classified as contingent consideration recorded at fair value at the acquisition date and included in the total consideration transferred for the Guardian Acquisition. The contingent consideration is subsequently measured at fair value on a quarterly basis with changes in fair value recorded in Other Income (Loss), Net in the Consolidated Statements of Income. On April 10, 2020, New Residential made its first Guardian Earnout Payment of $1.9 million. Guardian is a field services and asset management business and provides New Residential with in-house property management, inspection and repair service capabilities. The acquisition date fair value of the consideration transferred includes $7.6 million in cash consideration and $13.9 million in contingent consideration. The total consideration is summarized as follows: Total Consideration (in millions) Amount Cash consideration $ 7.6 Earnout payment (A) 13.9 Total consideration $ 21.5 (A) The range of outcomes for this contingent consideration is from $0 to $17.5 million dependent on the performance of Guardian. The goodwill of $5.1 million primarily includes the benefits expected to result from adding in-house property management and repair services has been allocated to the Servicing reporting segment. The full amount of goodwill of $5.1 million is expected to be deductible for tax purposes. New Residential will assess the goodwill annually during the fourth quarter and in interim periods in case of events or circumstances make it more likely than not that an impairment may have occurred. Unaudited Supplemental Pro Forma Financial Information — The following table presents unaudited pro forma combined Income Before Income Taxes for the year ended December 31, 2019. Pro Forma (in millions) Amount Income before income taxes $ 651.5 The unaudited supplemental pro forma financial information has not been adjusted for transactions other than the Guardian Acquisition, or for the conforming of accounting policies. The unaudited supplemental pro forma financial information does not include any anticipated synergies or other anticipated benefits of the Guardian Acquisition and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of future results. Strategic Investment in Covius Holdings Inc. On May 1, 2019, New Residential made a strategic investment in Covius, a leading provider of technology-enabled services to the mortgage industry. Covius provides settlement and title, document and letter fulfillment, regulatory compliance, quality assurance, commercial and residential loan due diligence and business process automation services. New Residential initially invested $27.3 million in common stock for a noncontrolling interest in Covius, with an option to increase its ownership position through specified future investments and $35.0 million in a four-year subordinated debt facility. New Residential determined that the investment should be accounted for under the equity method of accounting since it has the ability to exercise significant influence over the investee’s operating and financial policies. As the consideration transferred for the investment was greater than the net equity of the investment (“basis differences”), the Company allocated the basis difference in a manner consistent with business combination accounting resulting in goodwill of $11.8 million, and intangible assets primarily in the form of customer backlog and trade name of $3.6 million. Goodwill and intangibles are included as part of equity investments within Other Assets on the Consolidated Balance Sheets. |
SEGMENT REPORTING
SEGMENT REPORTING | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING At December 31, 2021, New Residential’s reportable segments include (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities, Properties and Loans, (v) Consumer Loans, (vi) Mortgage Loans Receivable and (vii) 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 13) and related interest expense. In 2021, New Residential reevaluated the composition and number of its reportable segments based on the significance of certain business activities to its operations and performance evaluation, which drive resource allocation. Based on this reevaluation, the Company revised its presentation and composition of reportable segments. In the beginning of the third quarter of 2021, MSR assets serviced by Newrez (previously reflected within the MSR Related Segment) and Caliber are reflected within Servicing. MSRs owned by third-parties but serviced by the Company’s subsidiaries are also reflected within Servicing. MSR assets sub-serviced by third-parties (PHH, LoanCare, Flagstar, Valon and Mr. Cooper) continue to be reflected as part of the MSR Related Investments. During the fourth quarter of 2021, the Mortgage Loans Receivable segment was added to reflect Genesis and consists of a platform that originates construction, renovation and bridge loans. Segment information for prior periods have been restated to reflect these changes. The following tables summarize segment financial information, which in total reconciles to the same data for New Residential as a whole: Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (4,089) $ 1,025,888 $ 537,755 $ 1,559,554 $ — $ — $ — $ — $ — $ 1,559,554 Change in fair value of MSRs and MSR financing receivables — (313,655) (261,698) (575,353) — — — — — (575,353) Servicing revenue, net (4,089) 712,233 276,057 984,201 — — — — — 984,201 Interest income 188,053 20,629 49,162 257,844 293,989 139,658 93,847 4,219 21,339 810,896 Gain on originated residential mortgage loans, held-for-sale, net 1,704,363 101,764 (138,505) 1,781,204 9,878 35,827 — — — 1,826,909 Total revenues 1,888,327 834,626 186,714 3,023,249 303,867 175,485 93,847 4,219 21,339 3,622,006 Interest expense 121,392 97,696 104,838 323,926 47,037 76,273 10,999 1,000 38,073 497,308 G&A and other 1,223,668 395,007 273,748 1,892,423 4,620 90,377 10,856 1,802 119,686 2,119,764 Total operating expenses 1,345,060 492,703 378,586 2,216,349 51,657 166,650 21,855 2,802 157,759 2,617,072 Change in fair value of investments — — (22,336) (22,336) (101,566) 155,758 (20,133) — — 11,723 Gain (loss) on settlement of investments, net — (4,766) (35,116) (39,882) (254,672) 60,164 — — (171) (234,561) Other income (loss), net 2,346 742 79,355 82,443 (1,686) 52,222 1,935 — (946) 133,968 Total other income (loss) 2,346 (4,024) 21,903 20,225 (357,924) 268,144 (18,198) — (1,117) (88,870) Impairment charges (reversals) — — — — (5,201) (42,543) — — — (47,744) Income (loss) before income taxes 545,613 337,899 (169,969) 827,125 (100,513) 319,522 53,794 1,417 (137,537) 963,808 Income tax (benefit) expense 115,289 17,828 (26,553) 106,564 — 51,579 83 — — 158,226 Net income (loss) $ 430,324 $ 320,071 $ (143,416) $ 720,561 $ (100,513) $ 267,943 $ 53,711 $ 1,417 $ (137,537) $ 805,582 Noncontrolling interests in income (loss) of consolidated subsidiaries 11,298 — (1,800) 9,498 — — 23,858 — — $ 33,356 Dividends on preferred stock — — — — — — — — 66,744 66,744 Net income (loss) attributable to common stockholders $ 419,026 $ 320,071 $ (141,616) $ 711,063 $ (100,513) $ 267,943 $ 29,853 $ 1,417 $ (204,281) $ 705,482 (A) Includes elimination of intercompany transactions of $113.6 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total December 31, 2021 Investments $ 8,829,598 $ 5,439,613 $ 2,776,078 $ 17,045,289 $ 9,396,539 $ 3,099,294 $ 507,291 $ 1,515,762 $ — $ 31,564,175 Cash and cash equivalents 587,685 250,294 288,900 1,126,879 197,559 22 1,437 5,653 1,025 1,332,575 Restricted cash 32,803 95,785 27,182 155,770 15,342 2,482 21,961 — 312 195,867 Other assets 969,338 2,728,253 1,926,482 5,624,073 389,309 125,647 39,662 106,615 279,068 6,564,374 Goodwill 11,836 12,540 5,092 29,468 — — — 55,731 — 85,199 Total assets $ 10,431,260 $ 8,526,485 $ 5,023,734 $ 23,981,479 $ 9,998,749 $ 3,227,445 $ 570,351 $ 1,683,761 $ 280,405 $ 39,742,190 Debt $ 8,251,702 $ 4,131,297 $ 3,561,342 $ 15,944,341 $ 9,040,309 $ 2,440,693 $ 460,314 $ 1,252,660 $ 642,670 $ 29,780,987 Other liabilities 425,582 2,323,315 182,460 2,931,357 6,991 179,260 583 8,541 165,091 3,291,823 Total liabilities 8,677,284 6,454,612 3,743,802 18,875,698 9,047,300 2,619,953 460,897 1,261,201 807,761 33,072,810 Total equity 1,753,976 2,071,873 1,279,932 5,105,781 951,449 607,492 109,454 422,560 (527,356) 6,669,380 Noncontrolling interests in equity of consolidated subsidiaries 15,683 — 10,251 25,934 — — 39,414 — — 65,348 Total New Residential stockholders’ equity $ 1,738,293 $ 2,071,873 $ 1,269,681 $ 5,079,847 $ 951,449 $ 607,492 $ 70,040 $ 422,560 $ (527,356) $ 6,604,032 Investments in equity method investees $ — $ — $ 105,592 $ 105,592 $ — $ — $ — $ — $ — $ 105,592 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2020 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (11,519) $ 891,191 $ 762,600 $ 1,642,272 $ — $ — $ — $ — $ — $ 1,642,272 Change in fair value of MSRs and MSR financing receivables — (1,094,339) (1,074,570) (2,168,909) — — — — — (2,168,909) Servicing revenue, net (11,519) (203,148) (311,970) (526,637) — — — — — (526,637) Interest income 63,160 16,897 58,517 138,574 355,916 175,963 124,512 — — 794,965 Gain on originated residential mortgage loans, held-for-sale, net 1,289,584 47,277 23,860 1,400,552 (13,398) 11,938 — — — 1,399,092 Total revenues 1,341,225 (138,974) (229,593) 1,012,489 342,518 187,901 124,512 — — 1,667,420 Interest expense 45,676 76,884 157,230 279,790 157,371 87,958 22,587 — 36,763 584,469 G&A and other 494,398 368,208 155,882 1,018,488 7,639 62,900 10,301 — 109,893 1,209,221 Total operating expenses 540,074 445,092 313,112 1,298,278 165,010 150,858 32,888 — 146,656 1,793,690 Change in fair value of investments — — (18,958) (18,958) (25,012) (107,604) 2,816 — — (148,758) Gain (loss) on settlement of investments, net — (5,486) (11,227) (16,713) (828,525) (19,655) (4,183) — (61,055) (930,131) Other income (loss), net 433 (1,738) 39,690 38,385 2,333 (3,220) (8,386) — (41,109) (11,997) Total other income (loss) 433 (7,224) 9,505 2,714 (851,204) (130,479) (9,753) — (102,164) (1,090,886) Impairment charges (reversals) — — — — 13,404 110,208 — — — 123,612 Income (loss) before income taxes 801,584 (591,290) (533,200) (283,075) (687,100) (203,644) 81,871 — (248,820) (1,340,768) Income tax (benefit) expense 211,359 (58,288) (71,719) 81,352 — (65,215) 779 — — 16,916 Net income (loss) $ 590,225 $ (533,002) $ (461,481) $ (364,427) $ (687,100) $ (138,429) $ 81,092 $ — $ (248,820) $ (1,357,684) Noncontrolling interests in income (loss) of consolidated subsidiaries 15,625 — 891 16,516 — — 36,158 — — 52,674 Dividends on preferred stock — — — — — — — — 54,295 54,295 Net income (loss) attributable to common stockholders $ 574,600 $ (533,002) $ (462,372) $ (380,943) $ (687,100) $ (138,429) $ 44,934 $ — $ (303,115) $ (1,464,653) (A) Includes elimination of intercompany transactions of $39.8 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total December 31, 2020 Investments $ 2,947,113 $ 1,974,679 $ 3,560,073 $ 8,481,865 $ 14,244,558 $ 3,029,339 $ 685,575 $ — $ — $ 26,441,337 Cash and cash equivalents 123,124 59,798 412,578 595,500 222,372 7,472 3,182 — 116,328 944,854 Restricted cash 14,826 53,438 24,603 92,867 15,652 96 27,004 — — 135,619 Other assets 551,910 2,338,837 2,405,854 5,296,601 232,837 86,762 38,465 — 46,171 5,700,836 Goodwill 11,836 12,540 5,092 29,468 — — — — — 29,468 Total assets $ 3,648,809 $ 4,439,292 $ 6,408,200 $ 14,496,301 $ 14,715,419 $ 3,123,669 $ 754,226 $ — $ 162,499 $ 33,252,114 Debt $ 2,700,962 $ 1,462,335 $ 4,539,661 $ 8,702,958 $ 13,473,239 $ 2,386,919 $ 628,759 $ — $ 541,516 $ 25,733,391 Other liabilities 298,106 1,552,793 57,879 1,908,778 20,863 28,577 622 — 130,199 2,089,039 Total liabilities 2,999,068 3,015,128 4,597,540 10,611,736 13,494,102 2,415,496 629,381 — 671,715 27,822,430 Total equity 649,741 1,424,164 1,810,660 3,884,565 1,221,317 708,173 124,845 — (509,216) 5,429,684 Noncontrolling interests in equity of consolidated subsidiaries 19,402 — 43,882 63,284 — — 45,384 — — 108,668 Total New Residential stockholders’ equity $ 630,339 $ 1,424,164 $ 1,766,778 $ 3,821,281 $ 1,221,317 $ 708,173 $ 79,461 $ — $ (509,216) $ 5,321,016 Investments in equity method investees $ — $ — $ 129,873 $ 129,873 $ — $ — $ — $ — $ — $ 129,873 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2019 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (1,605) $ 525,104 $ 1,010,626 $ 1,534,125 $ — $ — $ — $ — $ — $ 1,534,125 Change in fair value of MSRs and MSR financing receivables — (313,134) (588,839) (901,973) — — — — — (901,973) Servicing revenue, net (1,605) 211,970 421,787 632,152 — — — — — 632,152 Interest income 42,166 31,846 96,376 170,388 744,145 249,673 165,877 — 31 1,330,114 Gain on originated residential mortgage loans, held-for-sale, net 390,981 1,029 43,914 384,564 — 75,543 — — — 460,107 Total revenues 431,542 244,845 562,077 1,187,104 744,145 325,216 165,877 — 31 2,422,373 Interest expense 41,949 32,735 214,602 289,286 453,609 158,298 32,558 — — 933,751 G&A and other 252,458 221,018 211,634 685,110 3,160 52,745 22,540 — 189,780 953,335 Total operating expenses 294,407 253,753 426,236 974,396 456,769 211,043 55,098 — 189,780 1,887,086 Change in fair value of investments — — 6,583 6,583 (54,042) (70,914) — — — (118,373) Gain (loss) on settlement of investments, net — — 8,030 8,030 74,927 153,449 (8,425) — — 227,981 Other income (loss), net 9,340 5,343 30,760 45,443 44 (7,150) (1,574) — 1,618 38,381 Total other income (loss) 9,340 5,343 45,373 60,056 20,929 75,385 (9,999) — 1,618 147,989 Impairment charges (reversals) — — — — 25,174 (20,607) 31,010 — — 35,577 Income (loss) before income taxes 146,475 (3,565) 181,214 272,764 283,131 210,165 69,770 — (188,131) 647,699 Income tax (benefit) expense 39,768 (874) 31,835 70,729 — (28,461) (502) — — 41,766 Net income (loss) $ 106,707 $ (2,691) $ 149,379 $ 202,035 $ 283,131 $ 238,626 $ 70,272 $ — $ (188,131) $ 605,933 Noncontrolling interests in income (loss) of consolidated subsidiaries 6,231 — 4,255 10,486 — — 32,151 — — 42,637 Dividends on preferred stock — — — — — — — — 13,281 13,281 Net income (loss) attributable to common stockholders $ 100,476 $ (2,691) $ 145,124 $ 191,549 $ 283,131 $ 238,626 $ 38,121 $ — $ (201,412) $ 550,015 (A) Includes elimination of intercompany transactions of $51.4 million primarily related to loan sales. Servicing Segment Revenues The table below summarizes the components of servicing segment revenues: Year Ended December 31, 2021 2020 2019 Base servicing MSR assets $ 731,924 $ 611,669 $ 367,419 Residential whole loans 16,448 16,081 8,074 Third party 103,617 139,480 71,145 851,989 767,230 446,638 Other fees Ancillary and other fees (A) 173,899 123,961 78,466 Change in fair value due to: Realization of cash flows (783,349) (792,680) (243,147) Change in valuation inputs and assumptions and other 469,694 (301,659) (69,987) Total servicing fees $ 712,233 $ (203,148) $ 211,970 Servicing Data (period end) (in millions) UPB - MSR assets $ 389,852 $ 220,880 $ 140,244 UPB - Residential whole loans 14,097 9,993 7,919 UPB - Third party 78,814 66,892 71,264 |
EXCESS MORTGAGE SERVICING RIGHT
EXCESS MORTGAGE SERVICING RIGHTS | 12 Months Ended |
Dec. 31, 2021 | |
Transfers and Servicing [Abstract] | |
EXCESS MORTGAGE SERVICING RIGHTS | EXCESS MORTGAGE SERVICING RIGHTS 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 MSRs as presented on the Consolidated Balance Sheets: Year Ended December 31, 2021 2020 Direct investments in Excess MSRs $ 259,198 $ 310,938 Excess MSR Joint Ventures 85,749 99,917 Excess mortgage servicing rights assets, at fair value $ 344,947 $ 410,855 Direct Investments in Excess MSRs The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 28,217 135 28,352 Other income (12,123) — (12,123) Proceeds from repayments (67,340) (405) (67,745) Proceeds from sales (1,061) — (1,061) Change in fair value (16,376) 144 (16,232) Balance as of December 31, 2020 309,009 1,929 310,938 Interest income 20,355 (59) 20,296 Other income 403 (325) 78 Proceeds from repayments (55,702) (350) (56,052) Proceeds from sales (984) — (984) Change in fair value (15,508) 430 (15,078) Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 (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 7). The following summarizes direct investments in Excess MSRs: December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 26,856,946 32.5% - 66.7% (53.3%) —% - 40.0% 20.0% - 35.0% 6.0 $ 118,631 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 30,565,231 33.3% - 100.0% (59.4%) —% - 50.0% —% - 33.3% 6.6 95,608 127,201 Total $ 57,422,177 $ 214,239 $ 259,198 December 31, 2020 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 34,593,406 32.5% - 66.7% (53.3)% —% - 40.0% 20.0% - 35.0% 5.9 $ 141,204 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 38,095,499 33.3% - 100.0% (59.4)% —% - 50.0% —% - 33.3% 6.5 109,697 148,293 Total $ 72,688,905 $ 250,901 $ 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 December 31, 2021 and 2020 (Note 7) on $20.3 billion and $26.1 billion UPB, respectively, underlying these Excess MSRs. Changes in fair value of investments consists of the following: Year Ended December 31, 2021 2020 2019 Original and Recaptured Pools $ (15,078) $ (16,232) $ (10,505) As of December 31, 2021 and 2020, weighted average discount rates of 7.8% (range 7.5%-8.0%) and 7.8% (range 7.5%-8.0%), respectively, were 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. The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees: December 31, 2021 2020 Excess MSRs $ 152,383 $ 179,762 Other assets 19,802 20,759 Other liabilities (687) (687) Equity $ 171,498 $ 199,834 New Residential’s investment $ 85,749 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Year Ended December 31, 2021 2020 2019 Interest income $ 7,574 $ 22,507 $ 23,872 Other income (loss) (3,906) (29,461) (10,208) Expenses (32) (24) (64) Net income (loss) $ 3,636 $ (6,978) $ 13,600 The following table summarizes the activity of investments in equity method investees: December 31, 2021 2020 Balance at beginning of period $ 99,917 $ 125,596 Contributions to equity method investees — — Distributions of earnings from equity method investees — (1,170) Distributions of capital from equity method investees (15,986) (21,020) Change in fair value of investments in equity method investees 1,818 (3,489) Balance at end of period $ 85,749 $ 99,917 The following table summarizes Excess MSR investments made through equity method investees: December 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 $ 23,039,453 66.7% 50.0% $ 112,840 $ 152,383 5.7 December 31, 2020 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 28,453,512 66.7% 50.0% $ 139,251 $ 179,762 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. The following table summarizes activity related to MSRs and MSR Financing Receivables: Total Balance as of December 31, 2019 $ 5,686,233 Purchases, net (A) 431,608 Originations (B) 666,414 Proceeds from sales (15,341) Change in fair value due to: Realization of cash flows (C) (1,592,281) Change in valuation inputs and assumptions (591,439) (Gain) loss realized 647 Balance as of December 31, 2020 $ 4,585,841 Caliber acquisition (Note 3) 1,507,524 Purchases, net (A) 10,949 Originations (B) 1,331,626 Proceeds from sales (63,451) Change in fair value due to: Realization of cash flows (C) (1,196,527) Change in valuation inputs and assumptions 680,431 (Gain) loss realized 2,410 Balance as of December 31, 2021 $ 6,858,803 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs retained on the sale of originated residential mortgage loans. (C) Based on the paydown of the underlying residential mortgage loans. The following table summarizes components of Servicing Revenue, Net: Year Ended December 31, 2021 2020 2019 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 1,446,509 $ 1,457,211 $ 1,216,069 Ancillary and other fees 113,045 185,061 318,056 Servicing fee revenue and fees, net 1,559,554 1,642,272 1,534,125 Change in fair value due to: Realization of cash flows (A) (1,192,646) (1,583,628) (733,763) Change in valuation inputs and assumptions (B) 680,088 (585,928) (165,110) Change in fair value of derivative instruments (30,481) — — (Gain) loss realized 2,410 647 (3,100) Gain (loss) on settlement of derivative instruments (34,724) — — Servicing revenue, net $ 984,201 $ (526,637) $ 632,152 (A) Includes $3.9 million, $8.7 million and $7.1 million of fair value adjustment due to realization of cash flows to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. (B) Includes $0.3 million, $5.5 million and $1.3 million of fair value adjustment due to changes in valuation inputs and assumptions to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) 2021 Agency $ 374,815,579 6.1 $ 4,443,713 Non-Agency 63,851,154 8.3 943,210 Ginnie Mae (c) 109,946,356 5.7 1,471,880 Total $ 548,613,089 6.3 $ 6,858,803 2020 Agency $ 305,718,556 5.1 $ 2,849,003 Non-Agency 72,610,446 7.9 1,064,403 Ginnie Mae (c) 57,106,825 4.1 672,435 Total $ 435,435,827 5.4 $ 4,585,841 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) As of December 31, 2021 and 2020, New Residential holds approximately $1.8 billion and $1.5 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Residential Mortgage Loans Subject to Repurchase New Residential, through its wholly owned subsidiaries as approved issuers of Ginnie Mae MBS, originates and securitizes government-insured residential mortgage loans. As the issuer of the Ginnie Mae-guaranteed securitizations, New Residential 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, New Residential 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 New Residential intends to repurchase the loans. As of December 31, 2021 and 2020, New Residential holds approximately $1,787.3 million and $1,452.0 million, respectively, in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. New Residential may re-pool repurchased loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. The Company does not change the accounting for MSRs related to previously sold loans upon recognizing loans eligible for repurchase. Rather, upon repurchase of a loan, the MSR is written off. As of December 31, 2021 and 2020, New Residential holds approximately $1,082.3 million and $810.9 million, respectively, of reacquired residential mortgage loans and is reflected in Residential Mortgage Loans, Held-for-Sale, at Fair Value on the 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 MSRs 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 residential 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 residential 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. Of the “Rights to MSRs” sold and transferred to NRM and Newrez, consents and all other conditions to transfer have been received with respect to approximately $66.7 billion UPB of underlying loans. Although legally sold and entitled to the economics of the transfer, as of December 31, 2021 and 2020 , with respect to MSRs representing approximately $14.0 billion and $16.3 billion UPB of underlying loans, respectively, it was determined for accounting purposes that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to Newrez and therefore are not treated as a sale under GAAP and are classified as MSR Financing Receivables. 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 December 31, 2021 December 31, 2020 California 18.1 % 21.2 % Florida 8.6 % 7.4 % Texas 6.2 % 5.6 % New York 6.0 % 7.0 % Washington 5.6 % 2.9 % New Jersey 4.5 % 4.8 % Virginia 3.4 % 2.9 % Illinois 3.4 % 3.6 % Maryland 3.4 % 3.1 % Georgia 3.0 % 3.3 % Other U.S. 37.8 % 38.2 % 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. Residential Mortgage Loan Subservicing The Mortgage Company performs servicing of residential mortgage loans for third parties under subservicing agreements. The subservicing does not meet the criteria to be recognized as a 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 December 31, 2021 and 2020 was $78.8 billion and $66.9 billion, respectively. Subservicing revenue of $158.5 million and $201.6 million was included within Servicing Revenue, Net in the Consolidated Statements of Income for the year ended December 31, 2021 and 2020, respectively. NRM engages third party licensed mortgage servicers as subservicers and, in relation to certain MSR purchases, including to perform the operational servicing duties, including recapture activities, 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 December 31, 2021, these subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which subservice 10.4%, 9.4%, 8.1%, 0.9% and 0.3% of the MSRs held by New Residential. The remaining 70.9% of the underlying UPB of the related mortgages is subserviced by the Mortgage Company (Note 1 to the Consolidated Financial Statements). Servicer Advances Receivable In connection with New Residential’s ownership of MSRs, the Company assumes the obligation to serve as a liquidity provider to initially fund servicer advances on the underlying pool of mortgages (Note 17) it services. 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: December 31, 2021 2020 Principal and interest advances $ 562,418 $ 665,538 Escrow advances (taxes and insurance advances) 1,523,154 1,547,796 Foreclosure advances 793,098 816,400 Total (A)(B)(C) $ 2,878,670 $ 3,029,734 (A) Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $212.9 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 non reimbursable advance loss assumption. (C) Net of $23.5 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 $32.1 million and $22.8 million for expected non-recovery of advances as of December 31, 2021 and 2020, respectively. The following table summarizes the activity of the servicer advances reserve: Balance as of December 31, 2019 $ 1,680 Provision 21,619 Write-offs (450) Balance as of December 31, 2020 $ 22,849 Caliber acquisition (Note 3) 15,068 Provision 11,560 Write-offs (17,355) Balance as of December 31, 2021 $ 32,122 See Note 13 regarding the financing of MSRs and Servicer Advances Receivable. |
MORTGAGE SERVICING RIGHTS AND M
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | 12 Months Ended |
Dec. 31, 2021 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | EXCESS MORTGAGE SERVICING RIGHTS 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 MSRs as presented on the Consolidated Balance Sheets: Year Ended December 31, 2021 2020 Direct investments in Excess MSRs $ 259,198 $ 310,938 Excess MSR Joint Ventures 85,749 99,917 Excess mortgage servicing rights assets, at fair value $ 344,947 $ 410,855 Direct Investments in Excess MSRs The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 28,217 135 28,352 Other income (12,123) — (12,123) Proceeds from repayments (67,340) (405) (67,745) Proceeds from sales (1,061) — (1,061) Change in fair value (16,376) 144 (16,232) Balance as of December 31, 2020 309,009 1,929 310,938 Interest income 20,355 (59) 20,296 Other income 403 (325) 78 Proceeds from repayments (55,702) (350) (56,052) Proceeds from sales (984) — (984) Change in fair value (15,508) 430 (15,078) Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 (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 7). The following summarizes direct investments in Excess MSRs: December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 26,856,946 32.5% - 66.7% (53.3%) —% - 40.0% 20.0% - 35.0% 6.0 $ 118,631 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 30,565,231 33.3% - 100.0% (59.4%) —% - 50.0% —% - 33.3% 6.6 95,608 127,201 Total $ 57,422,177 $ 214,239 $ 259,198 December 31, 2020 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 34,593,406 32.5% - 66.7% (53.3)% —% - 40.0% 20.0% - 35.0% 5.9 $ 141,204 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 38,095,499 33.3% - 100.0% (59.4)% —% - 50.0% —% - 33.3% 6.5 109,697 148,293 Total $ 72,688,905 $ 250,901 $ 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 December 31, 2021 and 2020 (Note 7) on $20.3 billion and $26.1 billion UPB, respectively, underlying these Excess MSRs. Changes in fair value of investments consists of the following: Year Ended December 31, 2021 2020 2019 Original and Recaptured Pools $ (15,078) $ (16,232) $ (10,505) As of December 31, 2021 and 2020, weighted average discount rates of 7.8% (range 7.5%-8.0%) and 7.8% (range 7.5%-8.0%), respectively, were 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. The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees: December 31, 2021 2020 Excess MSRs $ 152,383 $ 179,762 Other assets 19,802 20,759 Other liabilities (687) (687) Equity $ 171,498 $ 199,834 New Residential’s investment $ 85,749 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Year Ended December 31, 2021 2020 2019 Interest income $ 7,574 $ 22,507 $ 23,872 Other income (loss) (3,906) (29,461) (10,208) Expenses (32) (24) (64) Net income (loss) $ 3,636 $ (6,978) $ 13,600 The following table summarizes the activity of investments in equity method investees: December 31, 2021 2020 Balance at beginning of period $ 99,917 $ 125,596 Contributions to equity method investees — — Distributions of earnings from equity method investees — (1,170) Distributions of capital from equity method investees (15,986) (21,020) Change in fair value of investments in equity method investees 1,818 (3,489) Balance at end of period $ 85,749 $ 99,917 The following table summarizes Excess MSR investments made through equity method investees: December 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 $ 23,039,453 66.7% 50.0% $ 112,840 $ 152,383 5.7 December 31, 2020 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 28,453,512 66.7% 50.0% $ 139,251 $ 179,762 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. The following table summarizes activity related to MSRs and MSR Financing Receivables: Total Balance as of December 31, 2019 $ 5,686,233 Purchases, net (A) 431,608 Originations (B) 666,414 Proceeds from sales (15,341) Change in fair value due to: Realization of cash flows (C) (1,592,281) Change in valuation inputs and assumptions (591,439) (Gain) loss realized 647 Balance as of December 31, 2020 $ 4,585,841 Caliber acquisition (Note 3) 1,507,524 Purchases, net (A) 10,949 Originations (B) 1,331,626 Proceeds from sales (63,451) Change in fair value due to: Realization of cash flows (C) (1,196,527) Change in valuation inputs and assumptions 680,431 (Gain) loss realized 2,410 Balance as of December 31, 2021 $ 6,858,803 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs retained on the sale of originated residential mortgage loans. (C) Based on the paydown of the underlying residential mortgage loans. The following table summarizes components of Servicing Revenue, Net: Year Ended December 31, 2021 2020 2019 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 1,446,509 $ 1,457,211 $ 1,216,069 Ancillary and other fees 113,045 185,061 318,056 Servicing fee revenue and fees, net 1,559,554 1,642,272 1,534,125 Change in fair value due to: Realization of cash flows (A) (1,192,646) (1,583,628) (733,763) Change in valuation inputs and assumptions (B) 680,088 (585,928) (165,110) Change in fair value of derivative instruments (30,481) — — (Gain) loss realized 2,410 647 (3,100) Gain (loss) on settlement of derivative instruments (34,724) — — Servicing revenue, net $ 984,201 $ (526,637) $ 632,152 (A) Includes $3.9 million, $8.7 million and $7.1 million of fair value adjustment due to realization of cash flows to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. (B) Includes $0.3 million, $5.5 million and $1.3 million of fair value adjustment due to changes in valuation inputs and assumptions to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) 2021 Agency $ 374,815,579 6.1 $ 4,443,713 Non-Agency 63,851,154 8.3 943,210 Ginnie Mae (c) 109,946,356 5.7 1,471,880 Total $ 548,613,089 6.3 $ 6,858,803 2020 Agency $ 305,718,556 5.1 $ 2,849,003 Non-Agency 72,610,446 7.9 1,064,403 Ginnie Mae (c) 57,106,825 4.1 672,435 Total $ 435,435,827 5.4 $ 4,585,841 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. (C) As of December 31, 2021 and 2020, New Residential holds approximately $1.8 billion and $1.5 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Residential Mortgage Loans Subject to Repurchase New Residential, through its wholly owned subsidiaries as approved issuers of Ginnie Mae MBS, originates and securitizes government-insured residential mortgage loans. As the issuer of the Ginnie Mae-guaranteed securitizations, New Residential 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, New Residential 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 New Residential intends to repurchase the loans. As of December 31, 2021 and 2020, New Residential holds approximately $1,787.3 million and $1,452.0 million, respectively, in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. New Residential may re-pool repurchased loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. The Company does not change the accounting for MSRs related to previously sold loans upon recognizing loans eligible for repurchase. Rather, upon repurchase of a loan, the MSR is written off. As of December 31, 2021 and 2020, New Residential holds approximately $1,082.3 million and $810.9 million, respectively, of reacquired residential mortgage loans and is reflected in Residential Mortgage Loans, Held-for-Sale, at Fair Value on the 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 MSRs 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 residential 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 residential 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. Of the “Rights to MSRs” sold and transferred to NRM and Newrez, consents and all other conditions to transfer have been received with respect to approximately $66.7 billion UPB of underlying loans. Although legally sold and entitled to the economics of the transfer, as of December 31, 2021 and 2020 , with respect to MSRs representing approximately $14.0 billion and $16.3 billion UPB of underlying loans, respectively, it was determined for accounting purposes that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to Newrez and therefore are not treated as a sale under GAAP and are classified as MSR Financing Receivables. 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 December 31, 2021 December 31, 2020 California 18.1 % 21.2 % Florida 8.6 % 7.4 % Texas 6.2 % 5.6 % New York 6.0 % 7.0 % Washington 5.6 % 2.9 % New Jersey 4.5 % 4.8 % Virginia 3.4 % 2.9 % Illinois 3.4 % 3.6 % Maryland 3.4 % 3.1 % Georgia 3.0 % 3.3 % Other U.S. 37.8 % 38.2 % 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. Residential Mortgage Loan Subservicing The Mortgage Company performs servicing of residential mortgage loans for third parties under subservicing agreements. The subservicing does not meet the criteria to be recognized as a 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 December 31, 2021 and 2020 was $78.8 billion and $66.9 billion, respectively. Subservicing revenue of $158.5 million and $201.6 million was included within Servicing Revenue, Net in the Consolidated Statements of Income for the year ended December 31, 2021 and 2020, respectively. NRM engages third party licensed mortgage servicers as subservicers and, in relation to certain MSR purchases, including to perform the operational servicing duties, including recapture activities, 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 December 31, 2021, these subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which subservice 10.4%, 9.4%, 8.1%, 0.9% and 0.3% of the MSRs held by New Residential. The remaining 70.9% of the underlying UPB of the related mortgages is subserviced by the Mortgage Company (Note 1 to the Consolidated Financial Statements). Servicer Advances Receivable In connection with New Residential’s ownership of MSRs, the Company assumes the obligation to serve as a liquidity provider to initially fund servicer advances on the underlying pool of mortgages (Note 17) it services. 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: December 31, 2021 2020 Principal and interest advances $ 562,418 $ 665,538 Escrow advances (taxes and insurance advances) 1,523,154 1,547,796 Foreclosure advances 793,098 816,400 Total (A)(B)(C) $ 2,878,670 $ 3,029,734 (A) Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $212.9 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 non reimbursable advance loss assumption. (C) Net of $23.5 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 $32.1 million and $22.8 million for expected non-recovery of advances as of December 31, 2021 and 2020, respectively. The following table summarizes the activity of the servicer advances reserve: Balance as of December 31, 2019 $ 1,680 Provision 21,619 Write-offs (450) Balance as of December 31, 2020 $ 22,849 Caliber acquisition (Note 3) 15,068 Provision 11,560 Write-offs (17,355) Balance as of December 31, 2021 $ 32,122 See Note 13 regarding the financing of MSRs and Servicer Advances Receivable. |
SERVICER ADVANCE INVESTMENTS
SERVICER ADVANCE INVESTMENTS | 12 Months Ended |
Dec. 31, 2021 | |
Investments, All Other Investments [Abstract] | |
SERVICER ADVANCE INVESTMENTS | SERVICER ADVANCE INVESTMENTS New Residential’s Servicer Advance Investments consist of arrangements to fund existing outstanding servicer advances and the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans in exchange for 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 December 31, 2020. In July 2021, New Residential entered into a purchase and sales agreement with certain third-party co-investors whereby New Residential agreed to purchase from certain third-party co-investors approximately 16.1% of aggregate interest in the Buyer, increasing New Residential’s ownership of the Buyer to approximately 89.3% as of December 31, 2021. As of December 31, 2021, third-party co-investors, owning the remaining interest in the Buyer, have funded capital commitments to the Buyer of $75.0 million and New Residential has funded capital commitments to the Buyer of $627.4 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 December 31, 2021, the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however, the Buyer may recall $70.8 million and $592.5 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 Buyer has purchased servicer advances from Mr. Cooper, is required to purchase all future servicer advances made with respect to this portfolio of loans from Mr. Cooper, and receives cash flows from advance recoveries and the basic fee component of the related MSRs, net of compensation paid back to Mr. Cooper in consideration of Mr. Cooper’s servicing activities. The compensation paid to Mr. Cooper as of December 31, 2021 was approximately 9.2% of the basic fee component of the related MSRs plus a performance fee that represents a portion (up to 100%) of the cash flows in excess of those required for the Buyer to obtain a specified return on its equity. New Residential has determined that the Buyer is a VIE. See Note 15 for information regarding the assets and liabilities related to this consolidated VIE. New Residential also acquired a portion of the call rights related to this portfolio of loans. The following table summarizes 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) December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 December 31, 2020 Servicer Advance Investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (A) Represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs. (B) Represents the weighted average expected timing of the receipt of expected net cash flows for this investment. The following table provides additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Gross Net (B) Gross Net December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % 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 table summarizes the types of advances included in Servicer Advance Investments: December 31, 2021 2020 Principal and interest advances $ 67,014 $ 84,976 Escrow advances (taxes and insurance advances) 174,681 186,426 Foreclosure advances 127,745 177,748 Total $ 369,440 $ 449,150 The following table summarizes interest income related to Servicer Advance Investments: Year Ended December 31, 2021 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 12,501 $ 34,262 $ 51,940 Amounts attributable to basic servicer compensation (1,798) (3,248) (6,209) Amounts attributable to incentive servicer compensation (9,025) (12,832) (18,065) Interest income from servicer advance investments $ 1,678 $ 18,182 $ 27,666 See Note 13 regarding the financing of Servicer Advance Investments. |
REAL ESTATE AND OTHER SECURITIE
REAL ESTATE AND OTHER SECURITIES | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
REAL ESTATE AND OTHER SECURITIES | REAL ESTATE AND OTHER SECURITIES “Agency” residential mortgage backed securities (“RMBS”) are RMBS issued by a government sponsored enterprise, such as Fannie Mae or Freddie Mac. “Non-Agency” RMBS are issued by either public trusts or private label securitization entities. The following table summarizes Real Estate and Other Securities by designation: December 31, 2021 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) RMBS designated as available for sale (AFS): Agency (F) $ 91,572 $ 7,008 $ — $ 98,367 1 AAA 3.50 % 3.50 % 4.4 N/A Non-Agency (G)(H) 2,956,066 84,494 (117) 522,416 334 AA 3.29 % 3.18 % 3.4 26.6 % RMBS measured at fair value through net income (FVO): Agency (F) 8,307,771 204 (226,309) 8,346,230 40 AAA 2.13 % 2.13 % 7.0 N/A Non-Agency (G)(H) 12,958,891 32,814 (51,892) 429,526 271 AA+ 2.15 % 3.91 % 3.2 20.3 % Total/ $ 24,314,300 $ 124,520 $ (278,318) $ 9,396,539 646 AAA 2.19 % 2.27 % 6.6 December 31, 2020 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) RMBS designated as available for sale (AFS): Agency (F) $ 110,360 $ 10,612 $ — $ 121,761 1 AAA 3.50 % 3.50 % 5.9 N/A Non-Agency (G)(H) 3,628,870 62,890 (7,394) 752,004 364 AA 3.40 % 3.50 % 4.9 19.7 % RMBS measured at fair value through net income (FVO): Agency (F) 12,380,792 101,414 — 12,941,873 57 AAA 2.20 % 2.20 % 4.3 N/A Non-Agency (G)(H) 15,749,660 25,208 (53,423) 428,920 225 AA+ 1.90 % 5.00 % 4.4 19.0 % Total/ $ 31,869,682 $ 200,124 $ (60,817) $ 14,244,558 647 AAA 2.3 % 2.4 % 4.3 (A) Fair value is equal to carrying value for all securities. (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 298 bonds with a carrying value of $346.1 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 $23.5 million and $2.8 million, respectively, for which no coupon payment is expected. (D) 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) The total outstanding face amount was $8.4 billion and $12.5 billion for fixed rate securities and $0.0 billion and $0.0 billion for floating rate securities as of December 31, 2021 and 2020, respectively. (G) The total outstanding face amount was $9.6 billion (including $8.7 billion of residual and fair value option notional amount) and $11.9 billion (including $10.9 billion of residual and fair value option notional amount) for fixed rate securities and $6.4 billion (including $6.2 billion of residual and fair value option notional amount) and $7.5 billion (including $7.2 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2021 and 2020, respectively. (H) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips which New Residential elected to carry at fair value (fair value option securities) and record changes to valuation through the income statement, (ii) bonds backed by consumer loans and (iii) corporate debt. The following table summarizes these securities: Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) December 31, 2021 Corporate debt $ 414 $ 9 $ — $ 423 1 B- 8.25 % 8.25 % 3.3 Consumer loan bonds 2,960 878 — 2,974 3 N/A N/A N/A 0.0 Fair value option securities Interest-only securities 7,368,874 8,099 (43,626) 152,489 127 AA+ 1.19 % 1.54 % 2.0 Servicing strips 4,413,700 6,869 (7,758) 59,120 59 N/A 1.40 % 13.12 % 2.6 December 31, 2020 Corporate Debt $ 500 $ 23 $ — $ 523 1 B- 8.25 % 8.25 % 4.3 Consumer loan bonds 13,022 503 — 12,862 6 N/A N/A N/A 0.0 Fair value option securities Interest-only securities 9,457,488 6,600 (43,781) 211,073 124 AA+ 1.22 % 5.09 % 2.1 Servicing strips 4,979,723 5,865 (9,476) 46,378 58 N/A 0.42 % 8.38 % 3.9 The following table summarizes purchases and sales of Real Estate and Other Securities: Year Ended December 31, 2021 2020 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 5,907.2 $ 2,999.3 $ 21,593.3 $ 5,083.1 Purchase price 6,098.8 174.3 22,290.3 575.0 Sales Face $ 7,830.8 $ 1,686.9 $ 19,321.7 $ 8,450.1 Amortized cost 8,135.6 193.2 19,666.2 6,242.0 Sale price 8,074.3 164.7 19,886.8 5,288.5 Gain (loss) on sale (61.3) (28.5) 220.5 (953.5) As of December 31, 2021 and 2020, there were no unsettled trades. Unsettled sales and purchases are recorded on a trade date basis and grouped and presented within Receivable for Investments Sold and Payable for Investments Purchased on the Consolidated Balance Sheets. 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 9 and 18 for further details on these transactions. Unrealized losses attributable to credit impairment associated with securities designated as AFS are recognized in net income. During the year ended December 31, 2021, 2020 and 2019, New Residential recorded a reversal of credit impairment of $5.2 million, a credit impairment of $13.4 million and a credit impairment of $25.2 million, respectively. Any remaining unrealized losses on New Residential’s securities were primarily the result of changes in market factors, rather than issue-specific credit impairment. New Residential performed analyses in relation to such securities, using its best estimate of cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. New Residential has no intent to sell, and is not more likely than not to be required to sell, these securities. The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of December 31, 2021. Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Credit Impairment Credit Impairment (A) After Credit Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating Coupon Yield Life Less than 12 Months $ 3,755 $ 3,535 $ (20) $ 3,514 $ (24) $ 3,490 2 AAA 1.60 % 1.34 % 2.4 12 or More Months 19,723 10,563 (3,451) 7,111 (93) 7,018 13 AA+ — % 0.89 % 0.4 Total/Weighted Average $ 23,478 $ 14,098 $ (3,471) $ 10,625 $ (117) $ 10,508 15 AAA 0.53 % 1.04 % 1.0 (A) Represents credit impairment on securities in an unrealized loss position as of December 31, 2021. New Residential performed an assessment of all RMBS designated as AFS 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: December 31, 2021 December 31, 2020 Gross Unrealized Losses Gross Unrealized Losses RMBS Designated as AFS 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) — — — — — — — — Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 6,581 6,581 (3,471) — 21,326 21,326 (8,672) — Non-credit impaired securities 3,927 4,044 — (117) 270,821 331,638 — (60,817) Total debt securities in an unrealized loss position $ 10,508 $ 10,625 $ (3,471) $ (117) $ 292,147 $ 352,964 $ (8,672) $ (60,817) (A) 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) 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 RMBS designated as AFS (excluding credit impairment relating to securities New Residential intends to sell or is more likely than not required to sell): RMBS Designated as AFS Purchased Credit Deteriorated Non-Purchased Credit Deteriorated Total Allowance for credit losses on available-for-sale debt securities at December 31, 2019 $ — $ — $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — — — Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration — — — Reductions for securities sold during the period — — — Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — — — Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period 8,672 — 8,672 Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — 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 (2,182) — (2,182) 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 (3,019) — (3,019) Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at December 31, 2021 $ 3,471 $ — $ 3,471 The following table summarizes the activity related to credit losses on debt securities: Year Ended December 31, 2019 Beginning balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income $ 52,803 Increases to credit losses on securities for which an other-than-temporary impairment was previously recognized and a portion of an other-than-temporary impairment was recognized in other comprehensive income 23,059 Additions for credit losses on securities for which an other-than-temporary impairment was not previously recognized 2,115 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no other-than-temporary impairment was recognized in other comprehensive income at the current measurement date — Reduction for securities sold/paid off during the period (18,914) Ending balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income $ 59,063 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 December 31, 2021 $ 512,731 $ 180,890 December 31, 2020 727,216 280,876 The following is a summary of the changes in accretable yield for these securities: Year Ended December 31, 2021 2020 Beginning balance $ 189,562 $ 1,882,477 Additions 8,324 76,960 Accretion (4,720) (60,868) Reclassifications from (to) non-accretable difference (8,015) (167,793) Disposals (149,058) (1,541,214) Ending balance $ 36,093 $ 189,562 See Note 13 regarding the financing of Real Estate and Other Securities. |
RESIDENTIAL MORTGAGE LOANS
RESIDENTIAL MORTGAGE LOANS | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
RESIDENTIAL MORTGAGE LOANS | RESIDENTIAL MORTGAGE LOANS New Residential accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. New Residential, through its Mortgage Company, 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 December 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 summarizes residential mortgage loans outstanding by loan type: December 31, 2021 2020 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) $ 623,937 $ 569,933 9,718 7.1 % 5.1 $ 674,179 Acquired reverse residential mortgage loans $ — $ — — — % 0.0 $ 5,884 Acquired performing loans (C) 142,142 130,634 2,839 6.6 % 4.6 129,345 Acquired non-performing loans (D) 2,825 2,287 34 7.5 % 4.7 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 144,967 $ 132,921 2,873 6.6 % 4.6 $ 509,887 Acquired performing loans (C)(E) $ 2,046,945 $ 2,070,262 12,757 3.5 % 12.4 $ 1,423,159 Acquired non-performing loans (D)(E) 343,133 315,063 2,249 4.8 % 6.1 335,544 Originated loans 8,565,456 8,829,599 12,479 3.2 % 28.0 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 10,955,534 $ 11,214,924 27,485 3.3 % 24.4 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 11,100,501 $ 11,347,845 $ 5,215,703 (A) For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan. (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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (D) As of December 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $860.4 million and $221.9 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 following table summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount December 31, State Concentration 2021 2020 California 15.7 % 11.9 % Florida 10.1 % 7.1 % Washington 7.5 % 1.8 % New York 7.1 % 7.1 % Texas 6.7 % 10.1 % New Jersey 3.8 % 4.2 % Virginia 3.3 % 2.5 % Georgia 3.1 % 5.8 % Maryland 3.1 % 2.3 % Illinois 2.8 % 3.0 % Other U.S. 36.8 % 44.2 % 100.0 % 100.0 % See Note 13 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: December 31, 2021 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 Less than 120 $ 11,101,345 $ 11,323,443 $ 222,098 $ 5,131,755 $ 5,099,094 $ (32,661) 120+ 623,093 594,335 (28,758) 950,564 790,788 (159,776) $ 11,724,438 $ 11,917,778 $ 193,340 $ 6,082,319 $ 5,889,882 $ (192,437) 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 year ended December 31, 2021, New Residential executed calls on a total of 75 trusts and recognized $3.3 million of interest income on securities held in the collapsed trusts and $29.0 million of gain on securitizations accounted for as sales. For the year ended December 31, 2020, New Residential executed calls on a total of 13 trusts and recognized $48.5 million of interest income on securities held in the collapsed trusts and $16.0 million of gain on securitizations accounted for as sales. Refer to Note 18 for transactions with affiliates. The following table summarizes the activity for residential mortgage loans: Loans Held-for-Investment Loans Held-for-Sale, at Lower Cost or Fair Value Loans Held-for-Sale, at Fair Value Total Balance at December 31, 2019 $ 925,706 $ 1,429,052 $ 4,613,612 $ 6,968,370 Fair value adjustment due to fair value option (6,020) — — (6,020) Originations — — 61,684,462 61,684,462 Sales — (791,974) (64,692,996) (65,484,970) Purchases/additional fundings — 110,741 3,322,369 3,433,110 Proceeds from repayments (145,767) (99,845) (177,723) (423,335) Transfer of loans to other assets (A) — (3,449) (22,255) (25,704) Transfer of loans to real estate owned (6,754) (21,681) (7,035) (35,470) Transfers of loans to held-for-sale (62,274) — — (62,274) Transfers of loans to from held-for-investment — — 62,274 62,274 Valuation provision on loans — (112,957) — (112,957) Fair value adjustments due to: Changes in instrument-specific credit risk 27,036 — (12,323) 14,713 Other factors (57,748) — (64,569) (122,317) Balance at December 31, 2020 $ 674,179 $ 509,887 $ 4,705,816 $ 5,889,882 Caliber acquisition (Note 3) — — 7,685,681 7,685,681 Originations — — 123,059,895 123,059,895 Sales — (374,683) (131,960,935) (132,335,618) Purchases/additional fundings — — 8,102,055 8,102,055 Proceeds from repayments (120,247) (32,826) (520,334) (673,407) Transfer of loans to other assets (A) — (585) 22,112 21,527 Transfer of loans to real estate owned (15,165) (7,145) (3,958) (26,268) Valuation provision on loans — 38,273 — 38,273 Fair value adjustments due to: Changes in instrument-specific credit risk (2,020) — (18,099) (20,119) Other factors 33,186 — 142,691 175,877 Balance at December 31, 2021 $ 569,933 $ 132,921 $ 11,214,924 $ 11,917,778 (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 grouped and presented as part of claims receivable in Other Assets (Note 2). Net Interest Income The following table summarizes the net interest income for residential mortgage loans: December 31, 2021 2020 2019 Interest income: Loans held-for-investment, at fair value $ 44,369 $ 53,264 $ 60,301 Loans held-for-sale, at lower of cost or fair value 23,280 50,130 65,926 Loans held-for-sale, at fair value 260,062 135,729 175,926 Total interest income 327,711 239,123 302,153 Interest expense: Loans held-for-investment, at fair value 16,919 21,029 19,381 Loans held-for-sale, at lower of cost or fair value 21,333 22,541 40,067 Loans held-for-sale, at fair value 159,413 90,064 109,723 Total interest expense 197,665 133,634 169,171 Net interest income $ 130,046 $ 105,489 $ 132,982 Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net The Mortgage Company 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 the Mortgage Company 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 Residential Mortgage Loans, Held-for-Sale, Net in the Consolidated Statements of Income. The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net: Year Ended December 31, 2021 2020 2019 Gain on residential mortgage loans originated and sold, net (A) $ 460,062 $ 811,288 $ 53,554 Gain (loss) on settlement of residential mortgage loan origination derivative instruments (B) 240,610 (361,755) (53,374) MSRs retained on transfer of residential mortgage loans (C) 1,331,626 666,414 374,450 Other (D) 107,249 49,270 27,564 Realized gain on sale of originated residential mortgage loans, net $ 2,139,547 $ 1,165,217 $ 402,194 Change in fair value of residential mortgage loans (137,503) 99,908 28,761 Change in fair value of interest rate lock commitments (Note 12) (293,699) 249,183 26,151 Change in fair value of derivative instruments (Note 12) 118,564 (115,216) 3,001 Gain on originated residential mortgage loans, held-for-sale, net $ 1,826,909 $ 1,399,092 $ 460,107 (A) Includes residential mortgage loan origination fees of $2.3 billion and $1.7 billion in the year ended December 31, 2021 and 2020, respectively. (B) Represents settlement of forward securities delivery commitments utilized as an economic hedge for residential 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 residential mortgage loan origination process. |
CONSUMER LOANS
CONSUMER LOANS | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
CONSUMER LOANS | CONSUMER LOANS New Residential, through limited liability companies (together, the “Consumer Loan Companies”), has a co-investment in a portfolio of consumer loans. The portfolio includes personal unsecured loans and personal homeowner loans. OneMain is the servicer of the loans and provides all servicing and advancing functions for the portfolio. As of December 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. The following table summarizes the credit composition of consumer loans: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) December 31, 2021 Performing $ 358,181 53.5 % $ 413,377 18.5 % 3.2 3.6 % Purchased credit deteriorated (C) 91,580 53.5 % 93,914 13.8 % 3.1 7.7 % Other - performing 114 100.0 % — 15.5 % 0.3 28.4 % Total consumer loans $ 449,875 $ 507,291 17.5 % 3.2 4.5 % December 31, 2020 Performing $ 490,222 53.5 % $ 553,419 18.3 % 3.6 3.7 % Purchased credit deteriorated (C) 127,899 53.5 % 129,513 14.1 % 3.5 7.4 % Other - performing 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, which are accounted for as PCD loans. See Note 13 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: December 31, 2021 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 $ 442,481 $ 499,059 $ 56,578 $ 611,978 $ 675,691 $ 63,713 90+ 7,394 8,232 838 9,005 9,884 879 Total $ 449,875 $ 507,291 $ 57,416 $ 620,983 $ 685,575 $ 64,592 The following table summarizes activities related to the carrying value of consumer loans: Balance at December 31, 2019 $ 827,545 Fair value adjustment due to fair value option 36,472 Additional fundings (A) 33,041 Proceeds from repayments (229,218) Accretion of loan discount and premium amortization, net 24,120 Fair value adjustments due to: Changes in instrument-specific credit risk 5,195 Other factors (11,580) Balance at December 31, 2020 $ 685,575 Additional fundings (A) 29,002 Proceeds from repayments (206,078) Accretion of loan discount and premium amortization, net 18,925 Fair value adjustments due to: Changes in instrument-specific credit risk 22,915 Other factors (43,048) Balance at December 31, 2021 $ 507,291 (A) Represents draws on consumer loans with revolving privileges. |
MORTGAGE LOANS RECEIVABLE
MORTGAGE LOANS RECEIVABLE | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
MORTGAGE LOANS RECEIVABLE | MORTGAGE LOANS RECEIVABLE New Residential completed the Genesis acquisition in December 2021. Genesis specializes in originating and managing a portfolio of primarily short-term mortgage loans to fund the construction and development of, or investment in, residential properties. See Note 3 for further discussion regarding the Genesis acquisition. The following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of December 31, 2021: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 610,446 40.3 % 486 33.2 % 8.3 % 16.0 75.6% / 65.0% Bridge 716,764 47.3 % 632 43.2 % 7.8 % 14.5 73.8 % Renovation 188,552 12.4 % 346 23.6 % 8.1 % 13.4 78.5% / 67.1% $ 1,515,762 100.0 % 1,464 100.0 % 8.1 % 15.2 (A) Represents fair value. (B) Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) or loan-to-after-repair-value (“LTARV”) for construction and renovation loans. The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2020 $ — Genesis acquisition (Note 3) 1,505,635 Initial loan advances 60,125 Construction holdbacks and draws 12,856 Paydowns and payoffs (60,867) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors (1,987) Balance at December 31, 2021 $ 1,515,762 The Company is subject to credit risk in connection with its investments in mortgage loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable as of December 31, 2021: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — $ 1,473,894 $ 1,515,762 $ 41,868 The following table summarizes the geographic distribution of the underlying Mortgage Loans Receivable as of December 31, 2021: State Concentration Percentage of Total California 58.9 % Washington 12.2 % New York 5.6 % Other U.S. 23.3 % 100.0 % |
DERIVATIVES
DERIVATIVES | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES New Residential enters into economic hedges including interest rate swaps and TBAs 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 December 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 residential 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 residential mortgage loans that are not covered by residential mortgage loan sale commitments. Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows: December 31, Balance Sheet Location 2021 2020 Derivative assets Interest rate swaps (A) Other assets $ 52 $ — Interest rate lock commitments Other assets 114,871 289,355 Treasury futures and options on treasury futures Other assets 7,778 — TBAs Other assets 15,472 789 $ 138,173 $ 290,144 Derivative liabilities Interest rate swaps (A) Accrued expenses and other liabilities $ — $ 25 Interest rate lock commitments Accrued expenses and other liabilities 3,093 281 TBAs Accrued expenses and other liabilities 31,490 119,456 $ 34,583 $ 119,762 (A) Net of $60.7 million and $237.7 million of related variation margin accounts as of December 31, 2021 and December 31, 2020, respectively. The following table summarizes notional amounts related to derivatives: December 31, 2021 2020 Interest rate swaps (A) $ 11,490,000 $ 6,515,000 Interest rate lock commitments 10,653,850 15,031,345 TBAs, short position (B) 22,697,706 23,529,408 Treasury futures 314,500 — Options on treasury futures 3,200,000 — (A) Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.1% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.2% and $$0.0 billion notional of received fixed of 0.0% 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 gain (loss) on derivatives and the related location on the Consolidated Statements of Income: Year Ended December 31, 2021 2020 2019 Servicing revenue, net (A) TBAs $ 10,483 $ — $ — Treasury futures (23,961) — — Options on treasury futures (17,003) — — (30,481) — — Gain on originated residential mortgage loans, held for sale, net (A) Interest rate lock commitments (293,699) 249,183 26,151 TBAs 118,564 (115,243) 3,067 Forward loan sale commitments — 27 (66) (175,135) 133,967 29,152 Change in fair value of investments (A) Interest rate swaps 298,803 (53,467) (58,918) Interest rate caps — — (3) TBAs — — 2,778 298,803 (53,467) (56,143) Gain (loss) on settlement of investments, net (B) Interest rate swaps (136,073) (2,685) (8,671) TBAs (C) (36,508) (72,127) (121,252) (172,581) (74,812) (129,923) Total gain (loss) $ (79,394) $ 5,688 $ (156,914) (A) Represents unrealized gain (loss). (B) Excludes $34.7 million , $0.0 million, and $0.0 million in loss included within Servicing Revenue, Net (Note 6) for the year ended December 31, 2021, 2020 and 2019, respectively. (C) Excludes $240.6 million in gain on settlement and $361.8 million and $53.4 million in loss on settlement included within Gain on Sale of Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 9) for the year ended December 31, 2021, 2020 and 2019, respectively. |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table summarizes Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: December 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) $ 10,135,658 $ 10,131,700 Feb-22 to Sep-25 1.92 % 0.7 $ 10,904,545 $ 10,936,752 $ 10,977,338 23.0 $ 4,039,564 Warehouse Credit Facility- Mortgage Loans Receivable (G) 1,252,660 1,252,660 Dec-23 2.15 % 2.0 1,473,894 1,473,894 1,515,762 1.3 — Agency RMBS (D) 8,386,538 8,386,538 Jan-22 to Apr-22 0.16 % 0.1 8,396,800 8,661,005 8,442,009 6.9 12,682,427 Non-Agency RMBS (E) 656,874 656,874 Jan-22 to Aug-22 2.43 % 0.1 13,370,966 869,226 924,948 3.3 817,209 Other (G)(H) 165,112 165,112 Mar-22 to Sep-25 2.95 % 1.0 N/A 234,501 230,062 4.4 8,480 Total Secured Financing Agreements 20,596,842 20,592,884 1.25 % 0.6 17,547,680 Secured Notes and Bonds Payable Excess MSRs (I) 237,835 237,835 Aug-25 3.74 % 3.7 80,461,630 268,102 333,845 6.3 275,088 MSRs (J) 4,245,401 4,234,771 Mar-22 to Dec-26 3.47 % 3.3 524,065,651 6,049,595 6,609,171 6.3 2,691,791 Servicer Advance Investments (K) 356,580 355,722 Apr-22 to Dec-22 1.27 % 0.9 369,440 405,786 421,807 6.9 423,144 Servicer Advances (K) 2,362,080 2,355,969 Feb-22 to Nov-24 2.19 % 1.3 2,812,974 2,855,148 2,855,148 0.7 2,585,575 Residential Mortgage Loans (L) 1,020,206 1,001,933 Mar-23 to Jul-43 1.82 % 3.2 889,840 1,158,669 1,147,245 23.9 1,039,838 Consumer Loans (M) 454,542 458,580 Sep-37 2.05 % 8.6 449,713 461,026 507,242 3.3 628,759 Total Secured Notes and Bonds Payable 8,676,644 8,644,810 2.77 % 2.9 7,644,195 Total/Weighted Average $ 29,273,486 $ 29,237,694 1.71 % 1.3 $ 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) Includes approximately $20.9 million of associated interest payable as of December 31, 2021. (D) All fixed interest rates. (E) All LIBOR-based floating interest rates. (F) Includes $252.2 million which bear interest at a fixed interest rate of 4.0% with the remaining having LIBOR-based floating interest rates. (G) All LIBOR-based floating interest rates. (H) Includes $158.5 million of financing collateralized by a portion of our SFR portfolio as well as financing collateralized by REOs. (I) Includes $237.8 million of corporate loans which bear interest at a fixed interest rate of 3.7%. (J) Includes $1.9 billion of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin ranging from 2.5% to 4.5%; and $2.3 billion of capital market 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 securing these notes. (K) $1.8 billion face amount of the notes has 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 1.1% to 3.5%. Collateral includes servicer advance investments, as well as servicer advances receivable related to the MSRs and MSR Financing Receivables owned by NRM. (L) Represents (i) $27.6 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.8%, (ii) $42.9 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.6%, (iii) a $199.7 million note payable collateralized by SFR properties with a fixed interest rate of 2.8%, and (iv) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate residential mortgage loans which bears interest equal to one-month LIBOR plus 1.1%. (M) Includes the SpringCastle debt, comprising the following classes of asset-backed notes held by third parties: $401.5 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 (collectively, “SCFT 2020-A”). As of December 31, 2021, New Residential had no outstanding secured financing agreements where the amount at risk with any individual counterparty or group of related counterparties exceeded 10% of New Residential’s stockholders’ equity. The amount at risk under secured financing agreements is defined as the excess of carrying amount (or market value, if higher than the carrying amount) of the securities or other assets sold under agreement to repurchase, including accrued interest plus any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability (adjusted for accrued interest). General Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of New Residential. New Residential has margin exposure on $20.6 billion of secured financing agreements as of December 31, 2021. 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. The following table summarizes activities related to the carrying value of debt obligations: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Mortgage Loans Receivable Total Balance at December 31, 2019 $ 217,300 $ 2,640,036 $ 3,181,672 $ 22,799,196 $ 5,981,480 $ 816,689 $ — $ 35,636,373 Secured Financing Agreements Borrowings — — — 113,228,180 63,453,603 — — 176,681,783 Repayments — — — (122,526,887) (64,520,481) — — (187,047,368) Capitalized deferred financing costs, net of amortization — — — (853) (2,107) — — (2,960) Secured Notes and Bonds Payable Borrowings 193,357 3,575,811 4,072,560 — 875,758 663,047 — 9,380,533 Repayments (135,569) (3,517,429) (4,245,295) — (697,789) (851,688) — (9,447,770) Discount on borrowings, net of amortization — — — — — (2,882) — (2,882) Unrealized (gain) loss on notes, fair value — — — — (2,627) 3,593 — 966 Capitalized deferred financing costs, net of amortization — (6,627) (218) — 45 — — (6,800) 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 Acquired borrowings, net of discount (Note 3) — — — — 7,090,577 — — 7,090,577 Borrowings — — — 64,749,425 129,876,689 — 1,278,647 195,904,761 Repayments — — — (69,206,600) (130,719,004) — (25,987) (199,951,591) Capitalized deferred financing costs, net of amortization — — — 951 506 — — 1,457 Secured Notes and Bonds Payable — Acquired borrowings, net of discount — 1,045,000 76,772 — — — — 1,121,772 Borrowings — 4,042,325 2,971,974 — 949,778 — — 7,964,077 Repayments (37,253) (3,549,148) (3,346,873) — (974,176) (170,623) — (8,078,073) Unrealized (gain) loss on notes, fair value — — — — (13,435) 444 — (12,991) Capitalized deferred financing costs, net of amortization — 4,803 1,099 — (72) — — 5,830 Balance at December 31, 2021 $ 237,835 $ 4,234,771 $ 2,711,691 $ 9,043,412 $ 11,298,745 $ 458,580 $ 1,252,660 $ 29,237,694 (A) New Residential net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances. Maturities Contractual maturities of debt obligations as of December 31, 2021: Year Ending Nonrecourse (A) Recourse (B) Total 2022 $ 1,088,882 $ 17,402,381 $ 18,491,263 2023 1,380,352 3,824,659 5,205,011 2024 750,000 1,211,791 1,961,791 2025 — 2,043,989 2,043,989 2026 and thereafter 525,036 1,596,396 2,121,432 $ 3,744,270 $ 26,079,216 $ 29,823,486 (A) Includes secured notes and bonds payable of $3.7 billion. (B) Includes secured financing agreements and secured notes and bonds payable of $20.6 billion and $5.5 billion, respectively. Borrowing Capacity The following table summarizes borrowing capacity as of December 31, 2021: Debt Obligations/ Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 5,178,992 $ 3,478,514 $ 1,700,478 Loan originations 21,564,856 8,824,916 12,739,940 Secured Notes and Bonds Payable Excess MSRs 286,380 237,835 48,546 MSRs 4,999,244 4,245,401 753,843 Servicer advances 4,002,644 2,718,660 1,283,984 Residential mortgage loans 200,000 199,713 287 $ 36,232,116 $ 19,705,039 $ 16,527,078 (A) Although available financing is uncommitted, New Residential’s unused borrowing capacity is available if it 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. Additionally, with the expected phase out of LIBOR, the Company expects the calculated rate on certain debt obligations will be changed to another published reference standard before the planned cessation of LIBOR quotations in 2023. However, the Company does not anticipate this change will have a significant effect on the terms and conditions, ability to access credit, or on its financial condition. New Residential was in compliance with all of its debt covenants as of December 31, 2021. 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 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 year ended December 31, 2021 , the Company recognized $34.4 million of interest expense. As of December 31, 2021 , the unamortized debt issuance costs was approximately $6.7 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 December 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 MEASUREMENTS
FAIR VALUE MEASUREMENTS | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS U.S. GAAP requires the categorization of fair value measurement into three broad levels which form a hierarchy based on the transparency of inputs to the valuation. Level 1 - Quoted prices in active markets for identical instruments. Level 2 - Valuations based principally on other observable market parameters, including: • Quoted prices in active markets for similar instruments, • Quoted prices in less active or inactive markets for identical or similar instruments, • Other observable inputs (such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates), and • Market corroborated inputs (derived principally from or corroborated by observable market data). Level 3 - Valuations based significantly on unobservable inputs. New Residential follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement. The carrying values and fair values of 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 December 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) $ 80,461,630 $ 344,947 $ — $ — $ 344,947 $ 344,947 MSRs and MSR financing receivables (A) 548,613,089 6,858,803 — — 6,858,803 6,858,803 Servicer advance investments 369,440 421,807 — — 421,807 421,807 Real estate and other securities 24,314,300 9,396,539 — 8,444,597 951,942 9,396,539 Residential mortgage loans, held-for-sale 144,967 132,921 — — 134,655 134,655 Residential mortgage loans, held-for-sale, at fair value 10,955,534 11,214,924 — 9,361,520 1,853,404 11,214,924 Residential mortgage loans, held-for-investment, at fair value 623,937 569,933 — — 569,933 569,933 Residential mortgage loans subject to repurchase 1,787,314 1,787,314 — 1,787,314 — 1,787,314 Consumer loans 449,875 507,291 — — 507,291 507,291 Derivative assets 47,080,263 138,173 — 23,302 114,871 138,173 Mortgage loans receivable 1,473,894 1,515,762 — — 1,515,762 1,515,762 Note receivable 60,373 60,549 — — 60,549 60,549 Loans receivable 228,692 229,631 — — 229,631 229,631 Cash and cash equivalents 1,332,575 1,332,575 1,332,575 — — 1,332,575 Restricted cash 195,867 195,867 195,867 — — 195,867 Other assets (B) N/A 39,229 3,134 — 36,095 39,229 $ 34,746,265 $ 1,531,576 $ 19,616,733 $ 13,599,690 $ 34,747,999 Liabilities: Secured financing agreements $ 20,596,842 $ 20,592,884 $ — $ 20,596,842 $ — $ 20,596,842 Secured notes and bonds payable (C) 8,676,644 8,644,810 — — 8,662,463 8,662,463 Unsecured senior notes, net of issuance costs 543,293 543,293 — — 553,581 553,581 Residential mortgage loan repurchase liability 1,787,314 1,787,314 — 1,787,314 — 1,787,314 Derivative liabilities 1,275,793 34,583 — 31,490 3,093 34,583 Contingent consideration N/A 4,951 — — 4,951 4,951 $ 31,607,835 $ — $ 22,415,646 $ 9,224,088 $ 31,639,734 (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 $28.7 million as of December 31, 2021. (C) Includes the SAFT 2013-1, MDST 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 $511.1 million as of December 31, 2021. The carrying values and fair values of 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 December 31, 2020 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets: Excess MSRs (A) $ 72,688,905 $ 310,938 $ — $ — $ 310,938 $ 310,938 Excess MSRs, equity method investees (A) 28,453,512 99,917 — — 99,917 99,917 MSRs and MSR financing receivables (A) 435,435,827 4,585,841 — — 4,585,841 4,585,841 Servicer advance investments 449,150 538,056 — — 538,056 538,056 Real estate and other securities 31,869,681 14,244,558 — 13,063,634 1,180,924 14,244,558 Residential mortgage loans, held-for-sale 637,138 509,887 — — 509,887 509,887 Residential mortgage loans, held-for-sale, at fair value 4,675,833 4,705,816 — 3,059,611 1,646,205 4,705,816 Residential mortgage loans, held-for-investment, at fair value 769,348 674,179 — — 674,179 674,179 Residential mortgage loans subject to repurchase 1,452,005 1,452,005 — 1,452,005 — 1,452,005 Consumer loans 620,983 685,575 — — 685,575 685,575 Derivative assets 38,427,601 290,144 — 789 289,355 290,144 Note receivable 51,575 52,389 — — 49,889 49,889 Cash and cash equivalents 944,854 944,854 944,854 — — 944,854 Restricted cash 135,619 135,619 135,619 — — 135,619 Other assets (B) N/A 48,032 11,187 — 36,845 48,032 $ 29,277,810 $ 1,091,660 $ 17,576,039 $ 10,607,611 $ 29,275,310 Liabilities: Secured financing agreements $ 17,552,126 $ 17,547,680 $ — $ 17,552,126 $ — $ 17,552,126 Secured notes and bonds payable (C) 7,667,239 7,644,195 — — 7,651,325 7,651,325 Unsecured senior notes, net of issuance costs 541,516 541,516 — — 541,516 541,516 Residential mortgage loan repurchase liability 1,452,005 1,452,005 — 1,452,005 — 1,452,005 Derivative liabilities 6,648,152 119,762 — 119,481 281 119,762 Excess spread financing 2,190,991 18,420 — — 18,420 18,420 Contingent consideration N/A 14,247 — — 14,247 14,247 $ 27,337,825 $ — $ 19,123,612 $ 8,225,789 $ 27,349,401 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR Financing Receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.8 million as of December 31, 2020. (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 $1.7 billion as of December 31, 2020. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. The following table summarizes assets measured at fair value on a recurring basis using Level 3 inputs: Level 3 Excess MSRs (A)(B) MSRs and MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Notes and Loans Receivable Mortgage Loans Receivable Total Balance at December 31, 2019 $ 505,343 $ 5,686,233 $ 581,777 $ 7,957,785 $ 39,891 $ 3,998,825 $ 827,545 $ 37,001 $ — $ 20,139,743 Transfers Transfers from Level 3 — — — — — (718,892) — — — (718,892) Transfers to Level 3 — — — — — 445,040 — — — 445,040 Gains (losses) included in net income Reversal (provision) for credit losses on securities (D) — — — (13,404) — — — — — (13,404) Change in fair value of Excess MSRs (D) (16,232) — — — — — — — — (32,464) Change in fair value of Excess MSRs, equity method investees (D) (3,489) — — — — — — — — (6,978) Servicing revenue, net (E) — (2,183,073) — — — — — — — (2,183,073) Change in fair value of servicer advance investments — — 763 — — — — — — 763 Change in fair value of residential mortgage loans — — — — — (107,604) — — — (107,604) Gain (loss) on settlement of investments, net 67 — — (953,541) — — — — — (953,407) Other income (loss), net (D) (12,190) — — (42,506) — (8,276) (6,385) 814 — (80,733) Gains (losses) included in other comprehensive income (F) — — — (580,102) 249,183 (6,020) 36,472 — — (300,467) Interest income 28,352 — 18,182 105,373 — — 24,120 3,074 — 207,453 Purchases, sales and repayments Purchases, net (G) — 431,608 1,294,757 575,030 — 2,415,084 33,041 11,500 — 4,761,020 Proceeds from sales (1,061) (15,341) — (5,288,480) — (3,391,887) — — — (8,697,830) Proceeds from repayments (89,935) — (1,357,423) (577,543) — (305,886) (229,218) — — (2,649,940) Originations and other — 666,414 — (1,688) — — — — — 664,726 Balance at December 31, 2020 $ 410,855 $ 4,585,841 $ 538,056 $ 1,180,924 $ 289,074 $ 2,320,384 $ 685,575 $ 52,389 $ — $ 10,473,953 Transfers Transfers from Level 3 — — — — — — — — — — Transfers to Level 3 — — — — — 2,386 — — — 2,386 Acquisitions (Note 3) — 1,507,524 — — 116,403 — — — 1,505,635 3,129,562 Gains (losses) included in net income Reversal (provision) for credit losses on securities (D) — — — 5,201 — — — — — 5,201 Change in fair value of excess MSRs (D) (15,078) — — — — — — — — (15,078) Change in fair value of excess MSRs, equity method investees (D) 1,818 — — — — — — — — 1,818 Servicing revenue, net (E) — (513,686) — — — — — — — (513,686) Change in fair value of servicer advance investments — — (9,076) — — — — — — (9,076) Change in fair value of residential mortgage loans — — — — — 155,758 — — — 155,758 Gain (loss) on settlement of investments, net 404 — — (28,550) — — — — — (28,146) Included in other income (loss), net (D) (326) — — 9,136 (293,699) (1,357) (20,133) 301 — (306,078) Gains (losses) included in other comprehensive income (F) — — — 28,882 — — — — — 28,882 Interest income 20,296 — 1,678 13,740 — — 18,925 9,433 — 64,072 Purchases, sales and repayments Purchases, net (G) — 10,949 1,286,526 174,340 — 4,128,097 29,002 6,688 — 5,635,602 Proceeds from sales (984) (63,451) — (164,630) — (3,675,071) — — — (3,904,136) Proceeds from repayments (72,038) — (1,395,377) (267,101) — (487,830) (206,078) (28,631) (60,867) (2,517,922) Originations and other — 1,331,626 — — — (19,030) — 250,000 70,994 1,633,590 Balance at December 31, 2021 $ 344,947 $ 6,858,803 $ 421,807 $ 951,942 $ 111,778 $ 2,423,337 $ 507,291 $ 290,180 $ 1,515,762 $ 13,425,847 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Includes 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) Gains (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 6. (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. Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Mortgage-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2019 $ 31,777 $ 659,738 $ 55,222 $ 746,737 Gains (losses) included in net income Included in servicing revenue, net (A) (14,164) — — (14,164) Included in other income (B) — 966 4,844 5,810 Purchases, sales and payments — Purchases — 1,520,382 — 1,520,382 Payments — (516,769) (45,819) (562,588) Other 807 (1,465) — (658) Balance at December 31, 2020 $ 18,420 $ 1,662,852 $ 14,247 $ 1,695,519 Gains (losses) included in net income Included in servicing revenue, net (A) (3,538) — — (3,538) Included in other income (B) — (12,991) 1,037 (11,954) Interest income — — — — Purchases, sales and payments Purchases — — — — Proceeds from sales (15,378) — — (15,378) Payments — (1,138,754) (10,333) (1,149,087) Other 496 — — 496 Balance at December 31, 2021 $ — $ 511,107 $ 4,951 $ 516,058 (A) Components of Servicing Revenue, Net are disclosed in Note 6. (B) Gains (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period. Excess MSRs, Excess MSRs Equity Method Investees, MSRs and MSR Financing Receivables Valuation Fair value estimates of New Residential’s MSRs and Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates, the mortgage servicing amount or excess mortgage servicing amount of the underlying residential mortgage loans, as applicable, and discount rates that market participants would use in determining the fair values of mortgage servicing rights on similar pools of residential mortgage loans. In addition, for MSRs, significant inputs included the market-level estimated cost of servicing. Significant increases (decreases) in the discount rates, prepayment or delinquency rates, or costs of servicing, in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or mortgage servicing amount or excess mortgage servicing amount, as applicable, in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment rate. The following tables summarize certain information regarding the ranges and weighted averages of significant inputs used: December 31, 2021 Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 5) Agency Original Pools 5.1% - 8.7% (6.7%) 0.2% - 6.9% (0.9%) 3.2% - 20.6% (6.4%) 15 - 32 (21) 11 - 21 (18) Recaptured Pools 4.5% - 9.4% (6.5%) 0.1% - 2.2% (0.8%) —% - 25.2% (9.3%) 20 - 27 (23) 19 - 24 (22) 4.5% - 9.4% (6.6%) 0.1% - 6.9% (0.9%) —% - 25.2% (7.7%) 15 - 32 (22) 11 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 5.8% - 12.4% (7.7%) 5.5% - 9.6% (7) —% - 11.3% (7.2%) 6 - 25 (15) 18 - 28 (23) Recaptured Pools 3.6% - 4.9% (4%) 0.1% - 0.3 (0.2) 4% - 10.1% (5.5%) 22 - 25 (24) 21 - 23 (23) 3.6% - 12.4% (7%) 0.1% - 9.6% (7) —% - 11.3% (6.9%) 6 - 25 (17) 18 - 28 (23) Total/Weighted Average — Excess MSRs Directly Held 3.6% - 12.4% (6.8%) 0.1% - 9.6% (3.2%) —% - 25.2% (7.3%) 6 - 32 (19) 11 - 28 (21) Excess MSRs Held through Equity Method Investees (Note 5) Agency Original Pools 6.6% - 8.5% (7%) 0.6% - 1.5% (0.9%) 3.2% - 9.5% (5.1%) 15 - 25 (19) 16 - 18 (17) Recaptured Pools 5.4% - 7.5% (6.5%) 0.3% - 1.6% (0.8%) 3% - 9.2% (6.2%) 22 - 26 (24) 20 - 23 (21) Total/Weighted Average—Excess MSRs Held through Investees 5.4% - 8.5% (6.7%) 0.3% - 1.6% (0.9%) 3.0% - 9.5% (5.7%) 15 - 26 (22) 16 - 23 (19) Total/Weighted Average—Excess MSRs All Pools 3.6% - 12.4% (6.8%) 0.1% - 9.6% (2.4%) —% - 25.2% (6.7%) 6 - 32 (20) 11 - 28 (21) MSRs and MSR Financing Receivables (Note 6) (H) Agency 6.0% - 14.6% (10.2%) 0.1% - 2.2% (0.9%) —% - 31.4% (10.7%) 25 - 30 (28) 0 - 40 (23) Non-Agency 6.7% - 50.4% (6.7%) 0.7% - 64.6% (11.8%) 4.0% - 27.0% (6.8%) 26 - 86 (48) 0 - 30 (24) Ginnie Mae 5.3% - 14.3% (12.6%) 1.4% - 6.3% (4.1%) 4.8% - 24.5% (12.7%) 31 - 45 (39) 0 - 30 (28) Total/Weighted Average—MSRs and MSR Financing Receivables 5.3% - 50.4% (10.2%) 0.1% - 64.6% (3.1%) —% - 31.4% (10.0%) 25 - 86 (33) 0 - 40 (24) December 31, 2020 Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 5) Agency Original Pools 7.1% - 10.9% (7.8%) —% - 3.5% (1.4%) 4.4% - 23.3% (10.3%) 15 - 31 (21) 13 - 21 (19) Recaptured Pools 7.0% - 11.9% (9.6%) —% - 4.0% (0.9%) —% - 35.0% (20.4%) 21 - 29 (24) 19 - 19 (22) 7.0% - 11.9% (8.4%) —% - 4.0% (1.2%) —% - 35.0% (13.8%) 15 - 31 (22) 13 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 6.6% - 11.9% (9.0%) 2.6% - 13.9% (10.2%) —% - 13.1% (10.0%) 5 - 25 (15) 18 - 29 (23) Recaptured Pools 5.6% - 7.4% (6.1%) 0.2% - 0.5% (0.4%) 12.1% - 21.4% (14.2%) 23 - 27 (25) 21 - 23 (23) 5.6% - 11.9% (8.5%) 0.2% - 13.9% (10.2%) —% - 21.4% (10.7%) 5 - 27 (17) 18 - 29 (23) Total/Weighted Average—Excess MSRs Directly Held 5.6% - 11.9% (8.5%) —% - 13.9% (4.8%) —% - 35.0% (12.3%) 5 - 31 (19) 13 - 29 (21) Excess MSRs Held through Equity Method Investees (Note 5) Agency Original Pools 7.1% - 10.2% (8.0%) 1.2% - 2.5% (1.6%) 5.2% - 23.3% (8.9%) 15 - 25 (19) 18 - 19 (18) Recaptured Pools 8.6% - 10.5% (9.3%) 0.6% - 1.7% (1.2%) 11.7% - 28.9% (15.0%) 22 - 28 (25) 20 - 23 (22) Total/Weighted Average- Excess MSRs Held through Investees 7.5% - 10.7% (9.0%) 0.6% - 2.2% (1.2%) 5.5% - 29.8% (12.9%) 15 - 28 (22) 18 - 23 (20) Total/Weighted Average—Excess MSRs All Pools 5.6% - 11.9% (8.5%) —% - 13.9% (3.6%) —% - 35.0% (12.2%) 5 - 31 (20) 13 - 29 (21) MSRs and MSR Financing Receivables (Note 6) (H) Agency 7.9% - 23.3% (13.1%) 0.4% - 2.1% (0.9%) 2.5% - 35.5% (20.5%) 25 - 31 (28) 0 - 30 (22) Non-Agency 7.6% - 16.4% (7.7%) 0.9% - 13.0% (12.9%) 4.3% - 31.6% (8.1%) 26 - 88 (48) 0 - 30 (25) Ginnie Mae 9.0% - 24.1% (20.3%) 2.3% - 5.6% (4.7%) 16.2% - 35.0% (24.9%) 32 - 50 (45) 0 - 30 (27) Total/Weighted Average—MSRs and MSR Financing Receivables 7.6% - 24.1% (12.9%) 0.4% - 13.0% (4.2%) 2.5% - 35.5% (20.0%) 25 - 88 (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 bps. As of December 31, 2021 and 2020, weighted average costs of subservicing of $6.40-$7.20 ($7.00) and $6.20-$7.50 ($7.00), respectively, per loan per month was used to value the agency MSRs, including MSR Financing Receivables. Weighted average costs of subservicing of $10.60-$15.80 ($10.70) and $10.90, respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.80-$8.90 ($8.80) and $8.90, respectively, per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. With respect to valuing the Ocwen-serviced MSR Financing Receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be LIBOR plus 2.1%. As of December 31, 2021 and 2020, weighted average discount rates of 7.8% (range 7.5%-8.0%) and 7.8% (range 7.5%-8.0%), respectively, were used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%) were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. All of the assumptions listed have some degree of market observability, based on New Residential’s knowledge of the market, relationships with market participants, and use of common market data sources. New Residential uses assumptions that generate its best estimate of future cash flows for each investment in MSRs and Excess MSRs. When valuing MSRs and Excess MSRs, New Residential uses the following criteria to determine the significant inputs: • Prepayment Rate : Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions like home price appreciation, current level of interest rates as well as loan level factors such as the borrower’s interest rate, FICO score, loan-to-value ratio, debt-to-income ratio, vintage on a loan level basis. New Residential considers historical prepayment experience associated with the collateral when determining this vector and also reviews industry research on the prepayment experience of similar loan pools. This data is obtained from remittance reports, market data services and other market sources. • Delinquency Rates : For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed their latest mortgage payments. Delinquency rate projections are in the form of a “vector” that varies over the expected life of the pool. The delinquency vector specifies the percentage of the unpaid principal balance that is expected to be delinquent each month. The delinquency vector is based on assumptions that reflect macroeconomic conditions, the historical delinquency rates for the pools and the underlying borrower characteristics such as the FICO score and loan-to-value ratio. For the recapture agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by New Residential’s servicers and subservicers, and delinquency experience over the past year. New Residential believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become 30 or more days delinquent. • Recapture Rates : Recapture rates are based on actual average recapture rates experienced by New Residential’s servicers and subservicers on similar residential mortgage loan pools. Generally, New Residential looks to three • Mortgage Servicing Amount or Excess Mortgage Servicing Amount : For existing mortgage pools, mortgage servicing amount and excess mortgage servicing amount projections are based on the actual total mortgage servicing amount, in excess of a basic fee as applicable. For loans expected to be refinanced by the related servicer or subservicer and subject to a recapture agreement, New Residential considers the mortgage servicing amount or excess mortgage servicing amount on loans recently originated by the related servicer over the past three months and other general market considerations. New Residential believes this time period provides a reasonable sample for projecting future mortgage servicing amounts and excess mortgage servicing amounts while taking into account current market conditions. • Discount Rate : The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral. • Cost of subservicing : The costs of subservicing used by New Residential are based on available market data for various loan types and delinquency statuses. New Residential uses different prepayment and delinquency assumptions in valuing the MSRs and Excess MSRs relating to the original loan pools, the recapture agreements and the MSRs and Excess MSRs relating to recaptured loans. The prepayment rate and delinquency rate assumptions differ because of differences in the collateral characteristics, refinance potential and expected borrower behavior for original loans and loans which have been refinanced. The assumptions for recapture and discount rates when valuing MSRs and Excess MSRs and recapture agreements are based on historical recapture experience and market pricing. Servicer Advance Investments Valuation New Residential uses internal pricing models to estimate the future cash flows related to the Servicer Advance Investments that incorporate significant unobservable inputs and include assumptions that are inherently subjective and imprecise. New Residential’s estimations of future cash flows include the combined cash flows of all of the components that comprise the Servicer Advance Investments: existing advances, the requirement to purchase future advances, the recovery of advances and the right to the basic fee component of the related MSR. The factors that most significantly impact the fair value include (i) the rate at which the servicer advance balance changes over the term of the investment, (ii) the UPB of the underlying loans with respect to which New Residential has the obligation to make advances and owns the basic fee component of the related MSR which, in turn, is driven by prepayment rates and (iii) the percentage of delinquent loans with respect to which New Residential owns the basic fee component of the related MSR. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included the assumptions used to establish the aforementioned cash flows and discount rates that market participants would use in determining the fair values of Servicer Advance Investments. Significant increases (decreases) in the advance balance-to-UPB ratio, prepayment rate, delinquency rate, or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the advance balance-to-UPB ratio. The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Outstanding Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Collateral Weighted Average Maturity (Years) (C) December 31, 2021 0.7% - 1.8% (1.7%) 6.5% - 7.7% (7.7%) 8.2% - 15.0% (14.8%) 17.6 - 19.8 (19.7) bps 5.2% - 5.7% (5.2%) 22.1 December 31, 2020 1.1% - 1.7% (1.7%) 9.3% - 9.3% (9.3%) 6.9% - 9.1% (9.0%) 17.1 - 19.8 (19.7) bps 5.2% - 5.7% (5.2%) 22.3 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.6 bps and 10.0 bps which represent the amounts New Residential paid its servicers as a monthly servicing fee as of December 31, 2021 and 2020, respectively. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. The valuation of the Servicer Advance Investments also takes into account the performance fee paid to the servicer, which in the case of the Buyer is based on its equity returns and therefore is impacted by relevant financing assumptions such as loan-to-value ratio and interest rate as well as advance-to-UPB ratio. All of the assumptions listed have some degree of market observability, based on New Residential’s knowledge of the market, relationships with market participants, and use of common market data sources. The prepayment rate, the delinquency rate and the advance-to-UPB ratio projections are in the form of “curves” or “vectors” that vary over the expected life of the underlying mortgages and related servicer advances. New Residential uses assumptions that generate its best estimate of future cash flows for each Servicer Advance Investment, including the basic fee component of the related MSR. When valuing Servicer Advance Investments, New Residential uses the following criteria to determine the significant inputs: • Servicer advance balance : Servicer advance balance projections are in the form of a “vector” that varies over the expected life of the residential mortgage loan pool. The servicer advance balance projection is based on assumptions that reflect factors such as the borrower’s expected delinquency status, the rate at which delinquent borrowers re-perform or become current again, servicer modification offer and acceptance rates, liquidation timelines and the servicers’ stop advance and clawback policies. • Prepayment Rate : Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions and factors such as the borrower’s FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. New Residential considers collateral-specific prepayment experience when determining this vector. • Delinquency Rates : For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed recent mortgage payment(s) as well as loan- and borrower-specific characteristics such as the borrower’s FICO score, the loan-to-value ratio, debt-to-income ratio, occupancy status, loan documentation, payment history and previous loan modifications. New Residential believes the time period utilized provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. • Mortgage Servicing Amount : Mortgage servicing amounts are contractually determined on a pool-by-pool basis. New Residential projects the weighted average mortgage servicing amount based on its projections for prepayment rates. • LIBOR : The performance-based incentive fees on Mr. Cooper-serviced Servicer Advance Investments portfolios are driven by LIBOR-based factors. The LIBOR curves used are widely used by market participants as reference rates for many financial instruments. • Discount Rate : The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral and the advances made thereon. Real Estate and Other Securities Valuation 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 December 31, 2021 Agency RMBS $ 8,399,343 $ 8,663,693 $ 8,444,597 $ — $ 8,444,597 2 Non-Agency RMBS (C) 15,914,957 886,643 951,942 — 951,942 3 Total $ 24,314,300 $ 9,550,336 $ 9,396,539 $ — $ 9,396,539 December 31, 2020 Agency RMBS $ 12,491,152 $ 12,951,608 $ 13,063,634 $ — $ 13,063,634 2 Non-Agency RMBS (C) 19,378,530 1,153,643 1,171,209 9,715 1,180,924 3 Total $ 31,869,682 $ 14,105,251 $ 14,234,843 $ 9,715 $ 14,244,558 (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 gi |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | VARIABLE INTEREST ENTITIES In the normal course of business, New Residential enters into transactions with special purpose entities (SPEs), which primarily consist of trusts established for a limited purpose. The SPEs have been formed for the purpose of transactions in which the Company transfers assets into an SPE in return for various forms of debt obligations supported by those assets. In these transactions, the Company typically receives cash and/or other interests in the SPE as proceeds for the transferred assets. The Company retains the right to service the transferred receivables. The Company evaluates its interests in each SPE for classification as a variable interest entity (VIE). 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. When an SPE meets the definition of a VIE and the Company determines that it is the primary beneficiary, the Company includes the SPE in its consolidated financial statements. Consolidated VIEs Servicer Advances New Residential, through a taxable wholly owned subsidiary, is the managing member of the Buyer and owned approximately 89.3% of the Buyer as of December 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 residential 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 December 31, 2021, the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $70.8 million and $592.5 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 several entities that separately issued securitized debt collateralized by non-performing and reperforming residential mortgage loans (the “NPL/RPL Securitization Trusts”). New Residential determined that these 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 securitizations and 2) significant variable interests in each of the securitizations, through their control of the related optional redemption feature and their ownership of certain notes issued by the securitizations and, therefore, met the primary beneficiary criterion and, accordingly, the Company consolidated the securitizations. As of December 31, 2021, no securitizations remained outstanding. On October 1, 2019, as a result of New Residential’s acquisition of servicing assets from 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. In May 2021, Newrez issued $750.0 million in notes through a securitization facility (the “2021-1 Securitization Facility”) that bear interest at 30-day LIBOR plus a margin. The 2021-1 Securitization Facility is secured by newly originated, first-lien, fixed- and adjustable-rate residential mortgage loans eligible for purchase by the GSEs and Ginnie Mae. Through a master repurchase agreement, Newrez sells its originated loans to the 2021-1 Securitization Facility, which then issues notes to third party qualified investors, with Newrez retaining the trust certificate. The loans serve as collateral with the proceeds from the note issuance ultimately financing the originations. The 2021-1 Securitization Facility will terminate on the earlier of (i) the three-year anniversary of the initial closing date, (ii) the Company exercising its right to optional prepayment in full, or (iii) a repurchase triggering event. The Company determined it is the primary beneficiary of the 2021-1 Securitization Facility as it has both (i) the power to direct the activities of a VIE that most significantly impact its economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could be potentially significant to the VIE. Caliber Mortgage Participant I, LLC was formed to acquire, receive, participate, hold, release, and dispose of participation interests in certain of Caliber’s residential mortgage loans held for sale (“MLHFS PC”). The Caliber Mortgage Participant I, LLC transfers the MLHFS PC in exchange for cash. Caliber is the primary beneficiary of the VIE and therefore, consolidates the SPE. The transferred MLHFS PC is classified on the Consolidated Balance Sheets as Residential Mortgage Loans, Held-for-Sale, at Fair Value and the related warehouse credit facility liabilities as part of Secured Financing Agreements. Caliber retains the risks and benefits associated with the assets transferred to the SPEs. Caliber remains the servicer of the underlying residential mortgage loans and has the power to direct the SPE’s activities. Holders of the term notes issued by the Trust can look only to the assets of the Trust for satisfaction of the debt and have no recourse against Caliber. Consumer Loan Companies New Residential has a co-investment in a portfolio of consumer loans held through the Consumer Loan Companies. As of December 31, 2021, New Residential owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. On September 25, 2020, certain entities comprising the Consumer Loan Companies, in a private transaction, issued $663.0 million of asset-backed notes (“SCFT 2020-A”) securitized by a portfolio of consumer loans. The Consumer Loan Companies consolidate certain entities that issued securitized debt collateralized by the consumer loans (the “Consumer Loan SPVs”). The Consumer Loan SPVs are VIEs of which the Consumer Loan Companies are the primary beneficiaries. MSR Financing Facilities CHL GMSR Issuer Trust is an SPE created for the purpose of transferring a participation certificate (“MSR PC”) representing a beneficial interest in Caliber’s GNMA MSRs in exchange for a variable funding note (“MSR Financing VFN”) and a trust certificate with Caliber, as well for the issuance of term notes in exchange for cash. Caliber consolidates this SPE because it is the primary beneficiary of the VIE. The MSR PC is classified in Mortgage Servicing Rights and MSR Financing Receivables, at Fair Value and the MSR Financing VFN and term notes are classified as Secured Notes and Bonds Payable on the Consolidated Balance Sheets. The SPE uses collections from a specified portion of GNMA MSR net service fees collected to repay principal and interest and to pay the expenses of the entity. Additionally, Caliber has also transferred a participation certificate representing a beneficial interest certain of Caliber’s GNMA servicer advances (“Servicer Advance PC”) to CHL GMSR Issuer Trust in exchange for a VFN (“Servicer Advance VFN”). The transferred Servicer Advance PC is classified on the Consolidated Balance Sheets as Servicing Advances Receivable and the related liabilities as part of Accrued Expenses and Other Liabilities. CHL GMSR Issuer Trust uses collections of the pledged advances to repay principal and interest and to pay the expenses of the Servicer Advance VFN. The following table summarizes the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Servicer Advance Facilities MSR Financing Facilities Total December 31, 2021 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 403,301 $ 403,301 Servicer advance investments, at fair value 409,475 — — — — — 409,475 Residential mortgage loans, held-for-investment, at fair value — — 93,226 — — — 93,226 Residential mortgage loans, held-for-sale — — — — — — — Residential mortgage loans, held-for-sale, at fair value — — 798,644 — — — 798,644 Consumer loans — — — 507,291 — — 507,291 Cash and cash equivalents 33,777 37,369 2,882 — — — 74,028 Restricted cash 2,210 — 171 7,249 — — 9,630 Servicer advance facilities — — — — 94,306 — 94,306 Other assets 9 903 2,902 6,851 24,699 332,521 367,885 Total Assets 445,471 38,272 897,825 521,391 119,005 735,822 2,757,786 Liabilities Secured financing agreements (A) — — 24,683 — — — 24,683 Secured notes and bonds payable (A) 348,670 — 802,526 458,580 93,145 367,871 2,070,792 Accrued expenses and other liabilities 806 6,588 10,163 862 27,771 134 46,324 Total Liabilities $ 349,476 $ 6,588 $ 837,372 $ 459,442 $ 120,916 $ 368,005 $ 2,141,799 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 — — — 682,932 — — 682,932 Cash and cash equivalents 53,012 39,031 — — — — 92,043 Restricted cash 2,808 — — 8,090 — — 10,898 Other assets 5 9,151 30,621 9,201 — — 48,978 Total Assets 578,726 48,182 1,350,368 700,223 — — 2,677,499 Liabilities Secured notes and bonds payable (A) 413,701 — 1,034,093 628,759 — — 2,076,553 Accrued expenses and other liabilities 1,081 9,455 1,661 764 — — 12,961 Total Liabilities $ 414,782 $ 9,455 $ 1,035,754 $ 629,523 $ — $ — $ 2,089,514 (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. Non-Consolidated VIEs The following table comprises unconsolidated bonds retained pursuant to required risk retention regulations: As of and for the 2021 2020 Residential mortgage loan UPB $ 10,752,079 $ 14,211,351 Weighted average delinquency (A) 4.45% 10.06% Net credit losses $ 130,392 $ 76,725 Face amount of debt held by third parties (B) $ 9,897,879 $ 12,671,168 Carrying value of bonds retained by New Residential (C)(D) $ 927,490 $ 1,361,624 Cash flows received by New Residential on these bonds $ 330,197 $ 315,939 (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 14 for details on unobservable inputs. 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 7), the Shelter JVs, (Note 9) and Consumer Loans (Note 10). Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows: December 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 $ 95,995 $ 31,684 $ 83,597 $ 163,944 $ 38,727 $ 96,418 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 50.1 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 10,251 $ 15,683 $ 39,414 $ 43,882 $ 19,402 $ 45,384 Others’ interests in the New Residential’s net income (loss) is computed as follows: Year Ended December 31, 2021 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ (13,937) $ 22,839 $ 51,307 $ 3,326 $ 31,188 $ 77,760 $ 15,892 $ 12,717 $ 69,143 Others’ ownership interest as a percent of total 12.9 % 49.5 % 46.5 % 26.8 % 50.1 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ (1,800) $ 11,298 $ 23,858 $ 891 $ 15,625 $ 36,158 $ 4,255 $ 6,231 $ 32,151 (A) As a result, New Residential owned 89.3% (since July 2021, see Note 7), 73.2% and 73.2% of the Buyer as of the year ended December 31, 2021, 2020 and 2019, respectively. See Note 13 regarding the financing of Servicer Advance Investments. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends New Residential’s certificate of incorporation authorizes 2.0 billion shares of common stock, par value $0.01 per share, and 100.0 million shares of preferred stock, par value $0.01 per share. On February 11, 2020, the Company priced its underwritten public offering of 14,000,000 of its 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $389.5 million. The offering closed on February 14, 2020. In connection with the offering, the underwriters exercised an option to purchase up to an additional 2,100,000 shares of preferred stock. 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. On November 2, 2020, New Residential announced that its board of directors had authorized the repurchase of up to $100.0 million of its preferred stock, which includes its 7.500% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred 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. The share repurchase program may be suspended or discontinued at any time. During 2020, the Company repurchased 1.0 million shares at a weighted average price of $7.46 per share. No share repurchases were made for the year ended December 31, 2021. 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. 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. The offering closed on April 19, 2021. 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. On May 19, 2021, New Residential entered into a Distribution Agreement to sell shares of its common stock, par value $0.01 per share (the “ATM Shares”), having an aggregate offering price of up to $500.0 million, from time to time, through an “at-the-market” equity offering program (the “ATM Program”). During the year ended December 31, 2021, New Residential issued an aggregate of 178 thousand shares of our common stock at an average price of $11.51 per share, net of fees. On September 14, 2021, the Company priced its underwritten public offering of 17,000,000 of its 7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $449.5 million. The offering closed on September 17, 2021. In connection with the offering, New Residential granted the underwriters an option for a period of 30 days to purchase up to an additional 2,550,000 shares of preferred stock at a price of $24.2125 per share. On September 22, 2021, the underwriters exercised their option, in part, to purchase an additional 1,600,000 shares of preferred stock. To compensate the Manager for its successful efforts in raising capital for New Residential, the Company granted options to the Manager relating to approximately 1.9 million shares of New Residential’s common stock at $10.89 per share. In December 2021, New Residential’s board of directors authorized the repurchase of up to $200.0 million of its common stock and $100.0 million of its preferred stock through December 31, 2022. 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. No share repurchases have been made as of the date of issuance of these Consolidated Financial Statements. The share repurchase programs may be suspended or discontinued at any time. The table below summarizes preferred shares: Number of Shares Liquidation Preference (A) Dividends Declared per Share December 31, Year Ended December 31, Series 2021 2020 2021 2020 Issuance Discount Carrying Value (B) 2021 2020 2019 Series A, 7.50% issued July 2019 (C) $ 6,210 $ 6,210 $ 155,250 $ 155,250 3.15 % $ 150,026 $ 1.88 $ 1.88 $ 1.16 Series B, 7.125% issued August 2019 (C) 11,300 11,300 282,500 282,500 3.15 % 273,418 1.78 1.78 0.89 Series C, 6.375% issued February 2020 (C) 16,100 16,100 402,500 402,500 3.15 % 389,548 1.59 1.60 — Series D, 7.00% issued September 2021 (D) 18,600 — 465,000 — 3.15 % 449,489 0.72 — — Total $ 52,210 $ 33,610 $ 1,305,250 $ 840,250 $ 1,262,481 $ 5.97 $ 5.26 $ 2.05 (A) Each series has a liquidation preference of $25.00 per share. (B) Carrying value reflects par value less discount and issuance costs. (C) Fixed-to-floating rate cumulative redeemable preferred. (D) Fixed-rate reset cumulative redeemable preferred. On December 15, 2021, New Residential’s board of directors declared fourth quarter 2021 preferred dividends of $0.47 per share of Preferred Series A, $0.45 per share of Preferred Series B, $0.40 per share of Preferred Series C, and $0.44 per share of Preferred Series D or approximately $2.9 million, $5.0 million, $6.4 million, and $8.1 million, respectively. Common dividends have been declared as follows: Per Share Declaration Date Payment Date Quarterly Dividend Total Amounts Distributed (millions) March 25, 2019 April 2019 $ 0.50 $ 207.7 June 18, 2019 July 2019 0.50 207.8 September 23, 2019 October 2019 0.50 207.8 December 16, 2019 January 2020 0.50 207.8 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 June 16, 2021 August 2021 0.20 93.3 August 23, 2021 October 2021 0.25 116.6 December 15, 2021 January 2022 0.25 116.7 Approximately 2.4 million shares of New Residential’s common stock were held by Fortress, through its affiliates, and its principals at December 31, 2021. Common Stock Purchase Warrants During the second quarter of 2020, the Company issued warrants (the “2020 Warrants”) in conjunction with the issuance of a term loan, which was fully repaid in the third quarter of 2020, that provide the holders 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 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 and book value 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: Number of Warrants Weighted Average Exercise Price Outstanding warrants - December 31, 2020 43.4 $ 6.79 Granted — — Exercised — — Expired — — Outstanding warrants - December 31, 2021 43.4 $ 6.49 (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 New Residential has a Nonqualified Stock Option and Incentive Award Plan, as amended (the “Plan”) which provides for the grant of equity-based awards, including restricted stock, options, stock appreciation rights, performance awards, tandem awards and other equity-based and non-equity based awards, in each case to the Manager, and to the directors, officers, employees, service providers, consultants and advisor of the Manager who perform services for New Residential, and to New Residential’s directors, officers, service providers, consultants and advisors. New Residential initially reserved 15,000,000 shares of its common stock for issuance under the Plan; on the first day of each fiscal year beginning during the 10-year term of the Plan in and after calendar year 2014, that number will be increased by a number of shares of New Residential’s common stock equal to 10% of the number of shares of common stock newly issued by New Residential during the immediately preceding fiscal year (and, in the case of fiscal year 2013, after the effective date of the Plan). No adjustment was made on January 1, 2014. Increases of 5,190,335, 9,739 and 4,600,000 were made on January 1, 2022, 2021 and 2020, respectively. New Residential’s board of directors may also determine to issue options to the Manager that are not subject to the Plan, provided that the number of shares underlying any options granted to the Manager in connection with capital raising efforts would not exceed 10% of the shares sold in such offering and would be subject to NYSE rules. Upon exercise, all options will be settled in an amount of cash equal to the excess of the fair market value of a share of common stock on the date of exercise over the exercise price per share unless advance approval is made to settle options in shares of common stock. Upon joining the board, non-employee directors were, in accordance with the Plan, granted options relating to an aggregate of 7,000 shares of common stock. The fair value of such options was not material at the date of grant. The following table summarizes outstanding options for the periods presented: December 31, 2021 2020 Held by the Manager 19,877,843 11,991,622 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 1,594,147 2,430,033 Issued to the independent directors 7,000 7,000 Total 21,478,990 14,428,655 The following table summarizes outstanding options as of December 31, 2021. The last sales price on the New York Stock Exchange for New Residential’s common stock for the year ended December 31, 2021 was $10.71 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of December 31, 2021 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of December 31, 2021 Directors Various 7,000 7,000 $ 13.08 $ — Manager (C) 2017 1,130,916 1,130,916 13.78 — Manager (C) 2018 5,320,000 5,320,000 16.50 — Manager (C) 2019 6,351,000 6,000,800 15.93 — Manager (C) 2020 1,619,739 1,187,809 17.23 — Manager (C) 2021 7,050,335 1,565,928 10.19 810 Outstanding 21,478,990 15,212,453 14.17 (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 Prices Total Unexercised 2019 $14.96 to $16.50 1,270,200 2020 $16.84 to $17.23 323,947 2021 $10.10 to $11.51 — Total 1,594,147 The following table summarizes activity related to outstanding options for the periods presented: Amount Weighted Average Exercise Price Outstanding options - December 31, 2019 12,808,916 Granted 1,619,739 $ 17.41 Exercised — — Expired — — Outstanding options - December 31, 2020 14,428,655 Granted 7,051,335 10.31 Exercised — — Expired (1,000) 12.36 Outstanding options - December 31, 2021 21,478,990 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: Year Ended December 31, 2021 2020 2019 Net income (loss) $ 805,582 $ (1,357,684) $ 605,933 Noncontrolling interests in income of consolidated subsidiaries 33,356 52,674 42,637 Dividends on preferred stock 66,744 54,295 13,281 Net income (loss) attributable to common stockholders $ 705,482 $ (1,464,653) $ 550,015 Basic weighted average shares of common stock outstanding 451,276,742 415,513,187 408,789,642 Dilutive effect of stock options and common stock purchase warrants (A) 16,388,264 — 200,465 Diluted weighted average shares of common stock outstanding 467,665,006 415,513,187 408,990,107 Basic earnings per share attributable to common stockholders $ 1.56 $ (3.52) $ 1.35 Diluted earnings per share attributable to common stockholders $ 1.51 $ (3.52) $ 1.34 (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: Year Ended December 31, 2021 2020 2019 Stock options and common stock purchase warrants — 7,328,961 — Noncontrolling Interests Noncontrolling interests is comprised of the interests held by third parties in consolidated entities that hold New Residential’s Servicer Advance Investments (Note 7), Shelter JVs (Note 9) and Consumer Loans (Note 10). |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES Litigation — New Residential is or may become, from time to time, involved in various disputes, litigation and regulatory inquiry and investigation matters that arise in the ordinary course of business. Given the inherent unpredictability of these types of proceedings, it is possible that future adverse outcomes could have a material adverse effect on its business, financial position or results of operations. New Residential is not aware of any unasserted claims that it believes are material and probable of assertion where the risk of loss is expected to be reasonably possible. New Residential is, from time to time, subject to inquiries by government entities. New Residential currently does not believe any of these inquiries would result in a material adverse effect on its 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 December 31, 2021, New Residential had outstanding capital commitments related to investments in the following investment types (also refer to Note 7 for MSR investment commitments): • 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 residential 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 6 and 7 for discussion on New Residential’s MSRs and Servicer Advance Investments, respectively. • Mortgage Origination Reserves — The Mortgage Company 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 the Mortgage Company generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, the Mortgage Company 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, the Mortgage Company generally has an obligation to cure the breach. If the Mortgage Company is unable to cure the breach, the purchaser may require the Mortgage Company, as applicable, to repurchase the loan. In addition, as issuers of Ginnie Mae guaranteed securitizations, the Mortgage Company holds the right to repurchase loans that are at least 90 days’ delinquent from the securitizations at their discretion. Loans in forbearance that are three or more consecutive payments delinquent are included as delinquent loans permitted to be repurchased. While the Mortgage Company is not obligated to repurchase the delinquent loans, the Mortgage Company generally exercises its respective option to repurchase loans that will result in an economic benefit. As of December 31, 2021, New Residential’s estimated liability associated with representations and warranties and Ginnie Mae repurchases was $36.5 million and $1.8 billion, respectively. See Notes 6 and 9 for information on regarding the right to repurchase delinquent loans from Ginnie Mae securities and mortgage origination. • Residential Mortgage Origination Unfunded Commitments — As of December 31, 2021, the Mortgage Company was committed to fund approximately $10.7 billion of residential mortgage loans and had no forward loan sale commitments. • 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 9 for information on New Residential’s residential mortgage loans. • Consumer Loans — The Consumer Loan Companies have invested in loans with an aggregate of $244.1 million of unfunded and available revolving credit privileges as of December 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. • Mortgage Loans Receivable — Genesis had commitments to fund up to $539.4 million of additional advances on existing mortgage loans as of December 31, 2021. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the customer and other terms regarding advances that must be met before Genesis funds the commitment. Leases — New Residential, through its wholly-owned subsidiaries, has leases on office space expiring through 2033. Rent expense, net of sublease income for the year ended December 31, 2021, 2020 and 2019 totaled $26.1 million, $13.5 million and $10.3 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 December 31, 2021, future commitments under the non-cancelable leases are as follows: Year Ending Amount 2022 $ 42,018 2023 31,169 2024 23,881 2025 18,470 2026 10,933 2027 and thereafter 34,661 Total remaining undiscounted lease payments 161,132 Less: imputed interest 18,512 Total remaining discounted lease payments $ 142,620 The future commitments under the non-cancelable leases have not been reduced by the sublease rentals of $1.2 million due in the future periods. Other information related to operating leases is summarized below: December 31, 2021 2020 Weighted-average remaining lease term (years) 5.5 3.2 Weighted-average discount rate 4.1 % 4.5 % Environmental Costs — As a residential real estate owner, New Residential is subject to potential environmental costs. At December 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 13. |
TRANSACTIONS WITH AFFILIATES AN
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES New Residential is party to a Management Agreement with its Manager which provides for automatically renewing one-year terms subject to certain termination rights. The Manager’s performance is reviewed annually and the Management Agreement may be terminated by New Residential by payment of a termination fee, as defined in the Management Agreement, equal to the amount of management fees earned by the Manager during the 12 consecutive calendar months immediately preceding the termination, upon the affirmative vote of at least two-thirds of the independent directors, or by a majority vote of the holders of common stock. If the Management Agreement is terminated, the Manager may require New Residential to purchase from the Manager the right of the Manager to receive the Incentive Compensation. In exchange therefor, New Residential would be obligated to pay the Manager a cash purchase price equal to the amount of the Incentive Compensation that would be paid to the Manager if all of New Residential’s assets were sold for cash at their then current fair market value (taking into account, among other things, expected future performance of the underlying investments). Pursuant to the Management Agreement, the Manager, under the supervision of New Residential’s board of directors, formulates investment strategies, arranges for the acquisition of assets and associated financing, monitors the performance of New Residential’s assets and provides certain advisory, administrative and managerial services in connection with the operations of New Residential. The Manager is entitled to receive a management fee in an amount equal to 1.5% per annum of New Residential’s gross equity calculated and payable monthly in arrears in cash. Gross equity is generally (i) the equity transferred by Drive Shack, 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 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-year senior secured term loan facility agreement in the principal amount of $600.0 million and also issued common stock purchase warrants providing the lenders with the right to acquire up to 43.4 million shares of the Company’s common stock, par value $0.01 per share. Approximately 48% of the lenders and recipients of the warrants are funds managed by an affiliate of the Manager. 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 term loan facility. See Notes 13 and 16 to the Consolidated Financial Statements for further details. On June 30, 2021, the Company entered into a senior credit agreement and a senior subordinated credit agreement whereby the Company, and the other lenders party thereto, made term loans to an entity affiliated with funds managed by an affiliate of the Manager. The senior loan bears cash interest at a fixed rate equal to 10.5% per annum and the senior subordinated loan bears paid-in-kind interest at a rate equal to 16.0% per annum, subject to certain adjustments as set forth in the respective credit agreements. As of December 31, 2021, the principal balance of the Company’s portion of the senior loan and the senior subordinated loan was $174.6 million and $54.1 million, respectively. Due to affiliates consists of the following: December 31, 2021 2020 Management fees $ 95,926 $ 89,134 Expense reimbursements and other 500 500 Total $ 96,426 $ 89,634 Affiliate expenses and fees consists of the following: Year Ended December 31, 2021 2020 2019 Management fees $ 17,188 $ 7,478 $ 7,076 Incentive compensation — — 91,892 Expense reimbursements (A) 631 1,972 4,914 Total $ 17,819 $ 9,450 $ 103,882 (A) Included in General and Administrative expenses in the Consolidated Statements of Income. See Note 5 regarding co-investments with Fortress-managed funds. See Note 16 regarding options granted to the Manager. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax (benefit) expense consists of the following: Year Ended December 31, 2021 2020 2019 Current: Federal $ 5,556 $ (2,197) $ 148 State and Local 1,470 4,084 3,411 Total Current Income Tax Expense (Benefit) 7,026 1,887 3,559 Deferred: Federal 130,696 17,516 28,939 State and Local 20,504 (2,487) 9,268 Total Deferred Income Tax Expense (Benefit) 151,200 15,029 38,207 Total Income Tax (Benefit) Expense $ 158,226 $ 16,916 $ 41,766 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 4 (Segment Reporting) for further details. The increase in income tax expense for the year ended December 31, 2021 is primarily driven by current and deferred tax expense resulting from changes in the fair value of loans, MSRs, and swaps held within taxable entities as well as income generated by the servicing and origination business segments. The decrease in income tax expense for the year ended December 31, 2020 is primarily driven by deferred tax benefits resulting from changes in the fair value of loans and MSRs during the first quarter of 2020, offset by deferred and current tax expense generated from income in the servicing an origination business segments. The difference between New Residential’s reported provision for income taxes and the U.S. federal statutory rate of 21% is as follows: December 31, 2021 2020 2019 Provision at the statutory rate 21.00 % 21.00 % 21.00 % Non-taxable REIT income (7.38) % (26.44) % (16.26) % State and local taxes 3.86 % 3.70 % 2.36 % Return to provision (1.10) % 0.12 % 0.57 % Other 0.04 % 0.45 % 0.09 % Total provision 16.42 % (1.17) % 7.76 % The tax effects of temporary differences that give rise to significant portions of the deferred tax assets and liability are presented below: December 31, 2021 2020 Deferred tax assets: Net operating losses and tax credit carryforwards (A) $ 76,642 $ 5,636 Basis differences related to assets and investments 85,104 18,868 Goodwill 30,485 — Accrued Expenses 20,171 — Other 4,632 705 Total deferred tax assets 217,034 25,209 Less valuation allowance — — Net deferred tax assets $ 217,034 $ 25,209 Deferred tax liabilities: Mortgage servicing rights $ (594,801) $ (16,189) Basis differences related to assets and investments (21,672) (12,539) Fixed asset depreciation (14,495) (1,231) Unrealized mark to market (26,021) — Other (735) (3,109) Total deferred tax (liability) $ (657,724) $ (33,068) Net deferred tax assets (liability) $ (440,690) $ (7,859) (A) As of December 31, 2021, New Residential’s TRSs had approximately $266.8 million of net operating loss carryforwards for federal and state income tax purposes which may be available to offset future taxable income, if and when it arises. Approximately, $33.8 million of federal net operating losses are subject to an annual Internal Revenue Code Section 382 limitation. The federal and state net operating loss carryforwards will begin to expire between 2034 and 2040. The utilization of the net operating loss carryforwards to reduce future income taxes will depend on the TRSs ability to generate sufficient taxable income prior to the expiration of the carryforward period. In assessing the realizability of deferred tax assets, New Residential considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which temporary differences become deductible. As of December 31, 2021, the Company believes it is more likely than not that it will fully realize its deferred tax assets. New Residential and its TRSs file income tax returns with the U.S. federal government and various state and local jurisdictions. Generally, New Residential is no longer subject to tax examinations by tax authorities for tax years ended prior to December 31, 2018. New Residential recognizes tax benefits for uncertain tax positions only if it is more likely than not that the position is sustainable based on its technical merits. Interest and penalties on uncertain tax positions are included as a component of the provision for income taxes on the consolidated statements of operations. As of December 31, 2021, New Residential has no material uncertainties to be recognized. New Residential does not believe that it is reasonably possible that the total amount of unrecognized tax benefits will significantly change within 12 months of the reporting date. Common stock distributions were taxable as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 0.50 58.84 % — % 41.16 % 2020 (B) $ 0.62 78.01 % — % 21.99 % 2019 (C) $ 1.87 77.53 % 15.82 % 6.65 % (A) The entire $0.25 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.20 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. (C) The entire $0.50 per share dividend declared in December 2019 and paid in January 2020 is treated as received by stockholders in 2020. Series A Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.88 100 % — % — % 2020 (B) $ 1.88 100 % — % — % (A) The entire $0.47 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.47 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series B Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.78 100 % — % — % 2020 (B) $ 1.78 100 % — % — % (A) The entire $0.45 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.45 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series C Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.59 100 % — % — % 2020 (B) $ 1.20 100 % — % — % (A) The entire $0.40 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.40 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series D Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 0.28 100 % — % — % (A) The entire $0.28 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTSThese financial statements include a discussion of material events that have occurred subsequent to December 31, 2021 (referred to as “subsequent events”) through the issuance of these consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. |
SUMMARY OF SIGNIFICANT ACCOUN_2
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Income Taxes | 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 Notes 2 and 19 for further discussion regarding New Residential’s taxable REIT subsidiaries.New Residential operates so as to qualify as a REIT under the requirements of the Internal Revenue Code of 1986, as amended. Requirements for qualification as a REIT include various restrictions on ownership of New Residential’s stock, requirements concerning distribution of taxable income and certain restrictions on the nature of assets and sources of income. A REIT must distribute at least 90% of its taxable income to its stockholders (subject to certain adjustments). Distributions may extend until timely filing of New Residential’s tax return in the subsequent taxable year. Qualifying distributions of taxable income are deductible by a REIT in computing taxable income. Certain activities of New Residential are conducted through taxable REIT subsidiaries (“TRSs”) and therefore are subject to federal and state income taxes. Accordingly, deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases upon the change in tax status. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that includes the enactment date. New Residential recognizes tax benefits for uncertain tax positions only if it is more likely than not that the position is sustainable based on its technical merits. Interest and penalties on uncertain tax positions are included as a component of the provision for income taxes in the Consolidated Statements of Income. |
Segment Reporting | As of December 31, 2021, New Residential conducted its business through the following segments (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities, Properties and Loans, (v) Consumer Loans, (vi) Mortgage Loans Receivable and (vii) Corporate. |
Basis of Accounting | The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “US GAAP”). The consolidated financial statements include the accounts of New Residential and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. |
Consolidation, Variable Interest Entities | New Residential consolidates those entities in which it has control over significant operating, financial 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 Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. |
Reclassifications | Beginning in the third quarter of 2021, New Residential changed its presentation of certain balance sheet and income statement line items to better reflect how New Residential is managed. Specifically, MSR Financing Receivables is presented together with Mortgage Servicing Rights, at Fair Value on the Consolidated Balance Sheets. Prior period amounts in New Residential’s Consolidated Financial Statements and respective notes have been reclassified to conform to the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity.In addition to above, certain other prior period amounts in New Residential’s Consolidated Financial Statements and respective notes 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 MSRs and MSR Financing Receivables, Excess MSRs, 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 ongoing COVID-19 pandemic continues to impact the U.S. and world economies and has contributed to volatility in global financial and credit markets. Furthermore, disruptions caused by COVID-19 have slowed many commercial activities in the U.S., resulting in a reduced business revenues and 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. |
Income Tax Uncertainties | 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 preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. |
Business Combinations and Assets Acquisitions | When the assets acquired and liabilities assumed constitute a business, then the acquisition is a business combination. If substantially all of the fair value of the gross asset acquired is concentrated in a single identifiable asset or group of similar identifiable assets, the asset is not considered a business. Business combinations are accounted for under ASC 805, Business Combinations , (“ASC 805”) using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for |
Investment Consolidation and Transfers of Financial Assets | For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis is performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, Consolidation . In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10, Transfers and Servicing . In VIEs, an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale-legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control-an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. |
Excess MSRs | Excess MSRs refer to the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust. Upon acquisition, New Residential has elected to record each of such investments at fair value. New Residential elected to record its investments at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on Excess MSRs. Under this election, New Residential records a valuation adjustment on its Excess MSRs on a quarterly basis to recognize the changes in fair value in net income. Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into earnings on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount through the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. In addition, New Residential’s policy is to recognize interest income only on its Excess MSRs in existing eligible underlying mortgages. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded as Change in Fair Value of Investments. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs, and therefore may differ from their effective yields. |
MSRs | MSRs represent the contractual right to service residential mortgage loans. The Company recognizes MSRs created through the sale of loans it originates. Under the accounting guidance for transfers and servicing, the Company initially measures a mortgage servicing asset that qualifies for separate recognition at fair value on the date of transfer. New Residential elected to record its investments at fair value in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on MSRs. Under this election, New Residential records a valuation adjustment on its MSRs on a quarterly basis to recognize the changes in fair value in net income. MSRs are aggregated into pools as applicable; each pool of MSRs is accounted for in the aggregate. Income from MSRs is recorded in Servicing Revenue, Net and comprises (i) income from the MSRs, plus or minus (ii) the mark-to-market on the MSRs including change in fair value due to realization of cash flows. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs. |
MSR Financing Receivables | In certain cases, New Residential has legally purchased MSRs or the right to the economic interest in MSRs; however, New Residential has determined that the purchase agreement would not be treated as a sale under GAAP. Therefore, rather than recording an investment in MSRs, New Residential records an investment in MSR Financing Receivables. Income from this investment (net of subservicing fees) is recorded as interest income and is grouped and presented as part of Servicing Revenue, Net in the Consolidated Statements of Income. Additionally, New Residential has elected to measure MSR Financing Receivables at fair value, with changes in fair value flowing through Servicing Revenue, Net in the Consolidated Statements of Income. |
Servicer Advance Investments | New Residential accounts for its Servicer Advance Investments similarly to its Excess MSRs. Interest income for Servicer Advance Investments is accreted into earnings on an effective yield or “interest” method, based upon the expected aggregate cash flows of the Servicer Advance Investments, including the basic fee component of the related MSR (but excluding any Excess MSR component) through the expected life of the underlying mortgages, net of a portion of the basic fee component of the MSR that New Residential remits to the servicer as compensation for the servicer’s servicing activities. Changes to expected cash flows result in a cumulative retrospective adjustment, which is recorded in the period in which the change in expected cash flows occurs. Refer to “—Excess MSRs” for a description of the retrospective method. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Servicer Advance Investments, and therefore may differ from their effective yields. |
Real Estate and Other Securities | Agency and Non-Agency RMBS are classified as either available-for-sale or accounted for under the fair value option. The Company determines the appropriate classification of its securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. If classified as available-for-sale, investments are carried at fair value, with net unrealized gains or losses reported as a component of accumulated other comprehensive income. If classified under the fair value option, changes in fair value are recorded in the Consolidated Statements of Income as a component of Change in Fair Value of Investments. Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures . Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 14. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in net income. There are several different accounting models that may be applicable for purposes of the recognition of interest income on RMBS depending on whether the security is designated as available-for-sale or fair value option. The following accounting models apply to RMBS classified as available-for-sale: (i) RMBS of high credit quality rated ‘AA’ or higher that, at the time of purchase, the Company expects to collect all contractual cash flows and the security cannot be contractually prepaid in such a way that the Company would not recover substantially all of its recorded investment. (ii) Non-Agency RMBS which are not of high credit quality at the time of purchase or that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. For RMBS of high credit quality accounted for under (i) above, the Company recognizes interest income by applying the permitted “interest method,” whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in RMBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. For Non-Agency RMBS accounted for under (ii) above, the Company recognizes interest income by applying the required prospective level-yield methodology. Interest income under this methodology is impacted by management judgments around both the amount and timing of credit losses (defaults) and prepayments. Consequently, interest income on these Non-Agency RMBS is recognized based on the timing and amount of cash flows expected to be collected, as opposed to being based on contractual cash flows. These securities are generally purchased at a discount to the principal amount. At the original acquisition date, the Company estimates the timing and amount of cash flows expected to be collected and calculates the present value of those amounts to the Company’s purchase price. In each subsequent balance sheet date, the Company revises its estimates of the remaining timing and amount of cash flows expected to be collected. If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from reductions in estimates of future defaults). If there is a negative or adverse change in the amount and timing of future cash flows expected to be collected from the previous estimate, and the security's fair value is below its amortized cost, an impairment loss equal to the adverse change in cash flows expected to be collected, discounted using the security's effective rate before impairment, is required to be recorded in current period earnings. Additionally, while the effective interest rate used to accrete interest income after an impairment has been recognized will generally be the same, the amount of interest income recorded in future periods will decline because of the reduced balance of the amortized cost basis of the investment to which such effective interest rate is applied. The following accounting models apply to RMBS accounted for under the fair value option: (iii) RMBS of high credit quality rated ‘AA’ or higher that, at the time of purchase, the Company expects to collect all contractual cash flows and the security cannot be contractually prepaid in such a way that the Company would not recover substantially all of its recorded investment. (iv) Non-Agency RMBS which are not of high credit quality at the time of purchase or that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on RMBS accounted for in (iii) above is recognized based on the stated coupon rate and the outstanding principal amount. The original purchase premium or discount is not amortized or accreted as part of interest income but rather reflected as part of the security’s fair value. Interest income on Non-Agency RMBS accounted for in (iv) above is recognized in accordance with the model described in (ii) above. In June 2016, FASB issued ASU 2016-13, Financial Instruments - Credit Losses (“CECL”). This new guidance changed how entities measure credit losses for most financial assets that are not measured at fair value with changes in fair value recognized through net income. The Company adopted the new guidance as of January 1, 2020. Subsequent to the adoption of CECL on January 1, 2020, the Company evaluates its RMBS classified as available-for-sale on a quarterly basis to assess whether a decline in the fair value below the amortized cost basis should be recognized in net income or other comprehensive income. The presence of an impairment is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. A security is considered to be impaired if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before recovering its cost basis, or (iii) does not expect to recover the security’s entire amortized cost basis, even if the Company does not intend to sell the security, or the Company believes it is more likely than not that it will be required to sell the security before recovering its cost basis. Under these scenarios, the full amount of impairment is recognized currently in net income and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the impairment is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Credit related impairment is recognized as an allowance on the balance sheet with a corresponding adjustment to net income, with the remainder of the loss recognized in accumulated other comprehensive income (loss). The allowance for credit loss as well as adjustment to net income can be reversed for subsequent changes in the estimate of expected credit loss. Impairment has been classified within Provision (Reversal) for Credit Losses on Securities in the Consolidated Statements of Income. Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or “other-than-temporary.” When a real estate security was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it was more likely than not that the Company was required to sell the security before recovery of its amortized cost basis. If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, was recognized in net income as a realized loss and the cost basis of the security was adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), was compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflected those a “market participant” would use and included observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows were discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments were reflected in the Provision (Reversal) for Credit Losses on Securities in the Consolidated Statements of Income. The determination as to whether an OTTI existed was subjective, given that such determination was based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constituted an accounting estimate that could change materially over time. Increases in interest income could have been recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improved. |
Residential Mortgage Loans and Consumers Loans | The Company's loan portfolio primarily consists of residential mortgage and consumer loans. The Company’s loans are classified as (i) held-for-investment at fair value, (ii) held-for-sale at fair value or (iii) held-for-sale at lower of cost or fair value. Loans are also eligible to be accounted for under the fair value option which are recorded on the Consolidated Balance Sheets at fair value and the periodic changes in fair value is recorded as a component of Change in Fair Value of Investments in the Consolidated Statements of Income. When the Company has the intent and ability to hold loans for the foreseeable future or to maturity/payoff, such loans are classified as held for investment. When the Company has the intent to sell loans, such loans are classified as held for sale. For originated residential mortgage loans measured at fair value, New Residential reports the change in the fair value within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net in the Consolidated Statements of Income. Fair value is generally determined using a market approach by utilizing either (i) the fair value of securities backed by similar residential mortgage loans, adjusted for certain factors to approximate the fair value of a whole residential 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. For acquired residential mortgage loans measured at fair value, New Residential reports the change in the fair value within Change in Fair Value of Investments in the Consolidated Statements of Income. Fair value is generally determined by discounting the expected future cash flows using inputs such as default rates, prepayment speeds and discount rates. For loans measured at the lower of cost or fair value, the Company accounts for any excess of cost over fair value as a valuation allowance and include changes in the valuation allowance in Valuation and Credit Loss Provision (Reversal) on Loans and Real Estate Owned in the Consolidated Statements of Income in the period in which the change occurs. Purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred discounts or premiums are an adjustment to the basis of the loan and are included in the quarterly determination of the lower of cost or fair value adjustments and/or the gain or loss recognized at the time of sale. Interest earned on residential mortgage loans is reported in Interest Income in the Consolidated Statements of Income. New Residential elected to apply the fair value option for all consumer loans. The fair value option provides an election which allows a company to irrevocably elect fair value for certain financial asset and liabilities on an instrument-by-instrument basis. The Company elected the fair value option for these loans to better align reported results with the underlying economic changes in value of the loans on the Company’s Consolidated Balance Sheets. Unrealized gains (losses) from the change in fair value of consumer loans are recognized in Change in Fair Value of Investments in the Consolidated Statements of Income. Realized gains (losses) are recorded in Gain on Settlement of Investments, Net in the Consolidated Statements of Income. Interest income is recognized over the life of the loan using the effective interest method and is recorded on the accrual basis. The Company’s residential mortgage loans and consumer loans are carried at fair value or the lower of cost or fair value. As a result, these loans are not subject to an allowance for credit losses under the CECL impairment model. |
Single-Family Rental (“SFR”) Properties, Net | Purchases of SFR properties are accounted for as asset acquisitions and recorded at their purchase price, which is allocated between land, building and improvements, and in-place lease intangibles (when a resident is in place at the acquisition date) based upon their relative fair values at the date of acquisition. The purchase price for purposes of this allocation is inclusive of acquisition costs which typically include legal fees, title fees, payments made to cure tax, utility, HOA, as well as other closing costs. SFR Properties, Net is grouped and presented as part of Other Assets on the Consolidated Balance Sheets. SFR properties are classified as held for investment and carried at cost less accumulated depreciation expense and impairment. From time to time, the Company may identify SFR properties to be sold. If the Company identifies a property to be sold, depreciation on the property is ceased, the property is measured at the lower of its carrying amount or its fair value less estimated costs to sell, and is presented separately from SFR properties classified as held for investment. Costs to acquire, renovate, and prepare SFR properties to be leased are capitalized as a component of each residential rental real estate property using specific identification and relative allocation methodologies, including renovation costs and other costs associated with activities that are directly related to preparing the properties for use as rental real estate. Other costs include interest costs, property taxes, property insurance, utilities, and HOA fees. The capitalization period associated with renovation activities begins at the time that such activities commence and conclude at the time that an SFR property is available to be leased. Once a property is ready for its intended use, expenditures for ordinary maintenance and repairs thereafter are expensed to operations as incurred, while expenditures that improve or extend the life of a property, such as certain furniture and fixtures additions, are capitalized. The determination of which costs to capitalize requires judgment and can involve many factors with no one factor necessarily determinative. Expenditures for repairs and maintenance recognized immediately are included in General and Administrative expenses in the Company’s Consolidated Statements of Income. Except for land, costs capitalized in connection with SFR property acquisitions are depreciated over their estimated useful lives on a straight-line basis. The depreciation period commences upon the completion of renovation-related activities or upon the completion of improvements made on an ongoing basis. For those costs capitalized in connection with residential property acquisitions and renovation activities and those capitalized on an ongoing basis, the average useful life is approximately 15 years. SFR properties are continuously monitored to assess whether there have been any events or changes in circumstances indicating that the carrying amount may be impaired and not recoverable. Significant indicators of impairment may include, but are not limited to, declines in home values, rental rates and occupancy percentages, as well as significant changes in the economy. To the extent an event or change in circumstance is identified, an SFR property is considered to be impaired only if its carrying value cannot be recovered through estimated future undiscounted cash flows from the use and eventual disposition of the property. To the extent an impairment has occurred, the carrying amount is adjusted to its estimated fair value. Impairment charges are included in Other Income (Loss) in the Company’s Consolidated Statements of Income. Under ASC 842, Leases , an allowance for doubtful accounts for estimated losses is not permitted. Rather, when collectability is not deemed probable, the Company writes-off the tenant’s receivables and limits lease income to cash received. Revenues associated with SFR properties consist of rents collected under lease agreements, net of any concessions and bad debt (including write-offs, credit reserves, and uncollectible amounts) and other income, including tenant reimbursements for utilities and other charge-backs such as late fees and non-refundable deposits. Leases typically have a term of one to two years. Rental revenues are included in Other Income in the Company’s Consolidated Statements of Income. All of the Company’s SFR properties are managed by an external property manager. |
Mortgage Loans Receivable | New Residential, through its wholly owned subsidiary Genesis, originates and manages a portfolio of primarily short-term mortgage loans to fund the construction and development of, or investment in, residential properties. New Residential elected to apply the fair value option for all mortgage loans receivable. The fair value option provides an election which allows a company to irrevocably elect fair value for certain financial asset and liabilities on an instrument-by-instrument basis. The Company elected the fair value option for these loans to better align reported results with the underlying economic changes in value of the loans on the Company’s Consolidated Balance Sheets. Furthermore, as a result of the election to apply the fair value option, these loans are not subject to an allowance for credit losses under the CECL impairment model. New Residential reports the change in the fair value within Change in Fair Value of Investments in the Consolidated Statements of Income. Fair value is generally determined by discounting the expected future cash flows using inputs such as default rates, prepayment speeds and discount rates. Mortgage loans receivable are presented net of construction holdbacks and interest reserves on the Consolidated Balance Sheets. The construction holdback represents amounts withheld from the funding of construction loans and released as the project progresses. The interest reserve represents amounts withheld from the funding of certain mortgage loans in order to satisfy monthly interest payments for all or part of the term of the related loan. Accrued interest is paid out of the interest reserve and recognized as interest income on a monthly basis. Mortgage loans receivable can be placed in contractual default status for (i) an interest payment is more than 30 days past due or sooner, if collection is considered doubtful, (ii) a loan matures and the borrower fails to make payment of all amounts owed or extend the loan, or (iii) the collateral becomes impaired in such a way that the ultimate collection of the loan receivable is doubtful. The accrual of interest income is suspended when a loan is in contractual default unless the interest is paid in cash or collectability of all amounts due is reasonably assured. In addition, in certain instances, where the interest reserve on a current loan has been fully depleted and the interest payment is not expected to be collected from the borrower, the Company may place a current loan on non-accrual status and recognize interest income on a cash basis. Interest previously accrued may be reversed at that time, and such reversal is offset against interest income. The accrual of interest income resumes only when the suspended loan becomes contractually current or a credit analysis supports the ability to collect in accordance with the terms of the loan. In addition to interest income, the Company generates loan fee income, including loan origination fees, loan renewal fees and inspection fees. The majority of fee income is composed of loan origination fees, or “points,” with interest rates based on the total commitment at origination. In addition to origination fees, the Company earns loan extension fees when maturing loans are renewed or extended and amendment fees when loan terms are modified, such as increases in interest reserves and construction holdbacks. Loans are generally only renewed or extended if the loan is not in default and satisfies the Company’s underwriting criteria. Loan fee income is recognized as interest income at origination or amendment given the Company’s election of the fair value option. Both interest and loan fee income earned on mortgage loans is reported in Interest Income in the Consolidated Statements of Income. |
Residential Mortgage Loan Repurchases | The Mortgage Company, as approved issuer of Ginnie Mae MBS, originate and securitize government-insured residential mortgage loans. As issuer of Ginnie Mae-guaranteed securitizations, the Mortgage Company 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, the Mortgage Company 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 the Mortgage Company intends to repurchase the loans. 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. |
Cash, Cash Equivalents and Restricted Cash | New Residential considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. |
Servicer Advances Receivable | Represents servicer advances due to New Residential’s servicer subsidiary, NRM (Note 6). The servicer advances receivable purchased in conjunction with MSRs are recorded with purchase discounts. Subsequent advances are recorded at cost, subject to impairment. Any related purchase discounts are accreted into Servicing Revenue, Net on a straight-line basis over the estimated weighted average life of the advances. |
Real estate owned (REO) | REO assets are those individual properties acquired by New Residential or where New Residential receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession). New Residential measures REO assets at the lower of cost or fair value, with valuation changes recorded in Other Income or Valuation and Credit Loss Provision (Reversal) on Loans and Real Estate Owned in the Consolidated Statements of Income. REO assets are managed for prompt sale and disposition at the best possible economic value. |
Goodwill and Intangible Assets | New Residential qualitatively assesses its goodwill assigned to each of its reporting units during the fourth quarter of each year. This qualitative assessment evaluates various events and circumstances, such as macro-economic conditions, industry and market conditions, cost factors, relevant events and financial trends, that may impact a reporting unit's fair value. Using this qualitative assessment, the Company determines whether it is more-likely-than-not the reporting unit's fair value exceeds its carrying value. If it is determined that it is not more-likely-than-not the reporting unit's fair value exceeds the carrying value, or upon consideration of other factors, including recent acquisition, restructuring or divestiture activity, the Company performs a quantitative, “step one,” goodwill impairment analysis. In addition, the Company may test goodwill in between annual test dates if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying value. New Residential did not recognize any impairment for the year ended December 31, 2021.As a result of the various acquisitions (see Note 3), New Residential identified intangible assets in the form of licenses, customer relationships, business relationships, and trade names. New Residential recorded the intangible assets at fair value at the acquisition date and amortizes the value of finite-lived intangibles into expense over the expected useful life. Amortization of acquired intangible assets is included in General and Administrative expenses in New Residential’s Consolidated Statements of Income. If impairment events occur, they could accelerate the timing of acquired intangible asset charges. Licenses and certain trade names acquired are deemed to have an indefinite useful life and are evaluated for impairment annual during the fourth quarter and in interim periods if indicators of impairment exist. |
Leases | New Residential determines if an arrangement is a lease at inception. Operating lease right-of-use (“ROU”) assets represent the right to use an underlying asset for the lease term and lease liabilities represent obligations to make lease payments arising from the lease. Operating lease ROU assets and lease liabilities are recognized at commencement date based on the net present value of lease payments over the lease term. The majority of New Residential’s lease agreements do not provide an implicit rate. As a result, New Residential used an incremental borrowing rate based on the information available as of the lease commencement dates in determining the present value of lease payments. The operating lease ROU asset reflects any upfront lease payments made as well as lease incentives received. The lease terms may include options to extend or terminate the lease and these are factored into the determination of the ROU asset and lease liability at lease inception when and if it is reasonably certain that New Residential will exercise that option. Lease expense for fixed lease payments is recognized on a straight-line basis over the lease term. New Residential has certain lease agreements with nonlease components such as maintenance and executory costs, which are accounted for separately and not included in ROU assets. ROU assets are tested for impairment whenever changes in facts or circumstances indicate that the carrying amount of an asset may not be recoverable. Modification of a lease term would result in re-measurement of the lease liability and a corresponding adjustment to the ROU asset. |
Secured Financing Agreements and Secured Notes and Bonds Payable | The Company finances the acquisition of certain assets within its investment portfolio using secured financing agreements, including repurchase agreements and warehouse credit facilities. Repurchase agreements and warehouse credit facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s secured financing agreements and warehouse credit facilities approximates fair value. The Company pledges certain securities, loans or other assets as collateral under secured financing agreements and warehouse credit facilities with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and warehouse credit facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. |
Residential Mortgage Origination Reserves | The Mortgage Company originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. In connection with the transfer of loans to the GSEs or mortgage investors, the Mortgage Company provides 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, the Mortgage Company generally has an obligation to cure the breach. If the Mortgage Company is unable to cure the breach, the purchaser may require the Mortgage Company to repurchase the loan. New Residential records a reserve for sales recourse at the time of sale to cover all potential recourse obligations based on the outstanding balance of residential mortgage loans subject to recourse as well as historical and estimated future loss rates. New Residential evaluates the ongoing adequacy of the reserve based on actual experience and changing circumstances, making adjustments to the reserve as deemed necessary. |
Interest Expense | New Residential finances certain investments using floating rate secured financing agreements and loans. Interest is expensed as incurred. See Note 13 for additional information. |
Management Fee and Incentive Compensation to Affiliate | These represent amounts due to the Manager pursuant to the Management Agreement. |
Offering Costs | The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. |
Earnings (Loss) Per Share | In accordance with the provisions of ASC 260, Earnings Per Share, New Residential calculates basic income (loss) per share by dividing net income (loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options and warrants but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. In periods in which the Company records a net loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. |
Comprehensive Income | Comprehensive income is defined as the change in equity of a business enterprise during a period from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For New Residential’s purposes, comprehensive income represents net income, as presented in the Consolidated Statements of Income, adjusted for unrealized gains or losses on certain securities classified as available for sale. |
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. In preparation for the phase-out of LIBOR, the Company has adopted and implemented the SOFR index for our Freddie Mac and Fannie Mae adjustable-rate mortgages (“ARMs”). For debt facilities that do not mature prior to the phase-out of LIBOR, the Company has begun amending terms to transition to an alternative benchmark. The Company continues to evaluate the transitional impact to serviced ARMs. 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 In October 2021, the FASB issued ASU 2021-08, Business Combinations (Topic 805): Accounting for Contract Assets and Contract Liabilities from Contracts with Customers. The standard requires entities to recognize and measure contract assets and contract liabilities acquired in a business combination in accordance with ASC 2014-09, Revenue from Contracts with Customers (Topic 606) |
SUMMARY OF SIGNIFICANT ACCOUN_3
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Schedule of Other Assets and Other Liabilities | The following table summarizes the composition of other assets and accrued expenses and other liabilities: Other Assets Accrued Expenses and Other Liabilities December 31, December 31, 2021 2020 2021 2020 Margin receivable, net (A) $ 358,041 $ 271,753 Margin payable $ 9,821 $ — Servicing fee receivables 117,935 137,426 MSRs purchase price holdback 14,985 25,121 Due from servicers 34,771 67,854 Interest payable 30,931 44,623 Principal and interest receivable 85,084 41,589 Accounts payable 298,901 87,406 Equity investments (B) 81,052 55,504 Derivative liabilities (Note 12) 34,583 119,762 Other receivables 188,298 109,111 Due to servicers 47,000 59,671 REO 21,641 45,299 Due to agencies 12,530 26,748 SFR properties 579,607 41,271 Contingent consideration 4,951 14,247 Goodwill (C) 85,199 29,468 Accrued compensation and benefits 201,057 67,025 Notes receivable, at fair value (D) 60,549 52,389 Excess spread financing, at fair value — 18,420 Warrants, at fair value 27,354 23,218 Operating lease liabilities (Note 17) 142,620 31,270 Recovery asset 19,251 13,006 Reserve for sales recourse 36,476 9,799 Property and equipment 56,617 26,999 Reserve for servicing losses 19,857 9,288 Receivable from government agency (E) 10,273 14,369 Deferred tax liability 440,690 7,859 Intangible assets 143,133 34,125 Other liabilities 64,366 16,063 Prepaid expenses 115,110 30,949 $ 1,358,768 $ 537,302 Operating lease right-of-use assets 117,131 26,913 Derivative assets (Note 12) 138,173 290,144 Ocwen common stock, at fair value 2,559 11,187 Loans receivable, at fair value (F) 229,631 — Credit facilities receivable (G) 41,351 — Loans in process and settlements in process (H) 11,681 — Other assets 83,918 35,848 $ 2,608,359 $ 1,358,422 (A) Represents collateral posted primarily 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 and (ii) operating companies in the single-family housing industry. The commercial redevelopment project is accounted for at fair value based on the net asset value of New Residential’s investment. 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, preferred stock in Valon Mortgage, Inc. (“Valon”), a residential mortgage servicing and technology company, and preferred stock in Credijusto Ltd. (“Covalto”), a financial services company. (C) Includes goodwill derived from the acquisitions of Shellpoint Partners LLC (“Shellpoint”), Guardian Asset Management LLC (“Guardian”) and Genesis. See note 3 for details. (D) Represents a subordinated debt facility to Covius and a private note with Matic Insurance Services, Inc. (“Matic”). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (E) Represents claims receivable from the FHA on early buyout (“EBO”) for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. (F) Represents loans made pursuant to a senior credit agreement and a senior subordinated credit agreement to an entity affiliated with funds managed by an affiliate of the Manager (Note 18). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (G) Represents cash deposits and collections associated with certain collateral assets which are held by the lender trust until settled each month. |
Schedule of Real Estate Owned | The following table summarizes activity related to the carrying value of investments in REO: Balance at December 31, 2019 $ 93,672 Purchases 6,502 Transfer of loans to real estate owned 43,409 Sales (A) (101,035) Valuation (provision) reversal 2,751 Balance at December 31, 2020 45,299 Purchases 2,464 Transfer of loans to real estate owned 30,015 Sales (A) (60,407) Valuation (provision) reversal 4,270 Balance at December 31, 2021 $ 21,641 (A) Recognized when control of the property has transferred to the buyer. The following table summarizes the activity related to the net carrying value of investments in SFR: Balance at December 31, 2019 $ 24,133 Acquisitions and capital improvements 17,763 Dispositions — Reclassifications to SFR properties, held for sale, net of dispositions — Write-offs — Accumulated depreciation (625) Balance at December 31, 2020 $ 41,271 Acquisitions and capital improvements 544,850 Dispositions (442) Reclassifications to SFR properties, held for sale — Write-offs — Accumulated depreciation (6,072) Balance at December 31, 2021 $ 579,607 |
Schedule of Accounts, Notes and Loans Receivable | The following table summarizes the activity related to notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2019 $ 37,001 $ — $ 37,001 Fundings 11,500 — 11,500 Accrued interest paid-in-kind 3,074 — 3,074 Proceeds from repayments — — — Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors 814 — 814 Balance at December 31, 2020 $ 52,389 $ — $ 52,389 Fundings 6,688 250,000 256,688 Accrued interest paid-in-kind 5,298 4,135 9,433 Proceeds from repayments (3,188) (25,443) (28,631) Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors (638) 939 301 Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 The following table summarizes residential mortgage loans outstanding by loan type: December 31, 2021 2020 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) $ 623,937 $ 569,933 9,718 7.1 % 5.1 $ 674,179 Acquired reverse residential mortgage loans $ — $ — — — % 0.0 $ 5,884 Acquired performing loans (C) 142,142 130,634 2,839 6.6 % 4.6 129,345 Acquired non-performing loans (D) 2,825 2,287 34 7.5 % 4.7 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 144,967 $ 132,921 2,873 6.6 % 4.6 $ 509,887 Acquired performing loans (C)(E) $ 2,046,945 $ 2,070,262 12,757 3.5 % 12.4 $ 1,423,159 Acquired non-performing loans (D)(E) 343,133 315,063 2,249 4.8 % 6.1 335,544 Originated loans 8,565,456 8,829,599 12,479 3.2 % 28.0 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 10,955,534 $ 11,214,924 27,485 3.3 % 24.4 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 11,100,501 $ 11,347,845 $ 5,215,703 (A) For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan. (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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (D) As of December 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $860.4 million and $221.9 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 following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of December 31, 2021: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 610,446 40.3 % 486 33.2 % 8.3 % 16.0 75.6% / 65.0% Bridge 716,764 47.3 % 632 43.2 % 7.8 % 14.5 73.8 % Renovation 188,552 12.4 % 346 23.6 % 8.1 % 13.4 78.5% / 67.1% $ 1,515,762 100.0 % 1,464 100.0 % 8.1 % 15.2 The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2020 $ — Genesis acquisition (Note 3) 1,505,635 Initial loan advances 60,125 Construction holdbacks and draws 12,856 Paydowns and payoffs (60,867) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors (1,987) Balance at December 31, 2021 $ 1,515,762 |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: December 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 Current $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 90+ — — — — — — $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: December 31, 2021 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 Less than 120 $ 11,101,345 $ 11,323,443 $ 222,098 $ 5,131,755 $ 5,099,094 $ (32,661) 120+ 623,093 594,335 (28,758) 950,564 790,788 (159,776) $ 11,724,438 $ 11,917,778 $ 193,340 $ 6,082,319 $ 5,889,882 $ (192,437) The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable as of December 31, 2021: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — $ 1,473,894 $ 1,515,762 $ 41,868 |
Schedule of Goodwill | The following table summarizes the carrying value of goodwill by reportable segment: Origination Servicing MSR Mortgage Loans Receivable Total Balance at December 31, 2019 $ 11,836 $ 12,540 $ 5,092 $ — $ 29,468 Goodwill acquired — — — — — Accumulated impairment loss — — — — — Other adjustments — — — — — Balance at December 31, 2020 $ 11,836 $ 12,540 $ 5,092 $ — $ 29,468 Goodwill acquired (A) — — — 55,731 55,731 Accumulated impairment loss — — — — — Other adjustments — — — — — Balance at December 31, 2021 $ 11,836 $ 12,540 $ 5,092 $ 55,731 $ 85,199 (A) Refer to Note 3 for discussion regarding the Genesis acquisition. |
Schedule of Finite-Lived Intangible Assets | The following table summarizes the acquired identifiable intangible assets: As of December 31, Estimated Useful Lives (Years) 2021 2020 Gross Intangible Assets Customer relationships 3 to 9 $ 57,949 $ 13,247 Purchased technology 3 to 5 93,241 26,896 Trademarks / Trade names 1 to 5 10,259 1,876 161,449 42,019 Accumulated Amortization Customer relationships 6,574 2,489 Purchased technology 10,578 5,053 Trademarks / Trade names 1,164 352 18,316 7,894 Intangible Assets, Net Customer relationships 51,375 10,758 Purchased technology 82,663 21,843 Trademarks / Trade names 9,095 1,524 $ 143,133 $ 34,125 |
Schedule of Intangible Assets, Future Amortization Expense | The following table summarizes the expected future amortization expense for acquired intangible assets as of December 31, 2021: Year Ending Amortization Expense 2022 $ 25,738 2023 22,148 2024 21,215 2025 17,694 2026 and thereafter 33,097 $ 119,892 |
Schedule of Accretion and Other Amortization | As reflected on the Consolidated Statements of Cash Flows, Accretion and Other Amortization consists of the following: Year Ended December 31, 2021 2020 2019 Accretion of net discount on securities and loans (A) $ 32,670 $ 96,148 $ 323,652 Accretion of servicer advances receivable discount and investments 1,822 55,664 28,094 Accretion of Excess MSRs income 30,855 28,352 32,647 Amortization of deferred financing costs (14,174) (22,733) (4,019) Amortization of discount on secured notes and bonds payable (13) (388) (1,245) Amortization of discount on term loan (1,778) (5,503) — Total accretion and other amortization $ 49,382 $ 151,540 $ 379,129 (A) Includes accretion of the accretable yield on PCD loans. |
Change in Fair Value of Investments | The following table summarizes the composition of Change in Fair of Investments: Year Ended December 31, 2021 2020 2019 Excess MSRs $ (15,078) $ (16,232) $ (10,505) Excess MSRs, equity method investees 1,818 (3,489) 6,800 Servicer advance investments (9,076) 763 10,288 Real estate and other securities (400,369) 28,455 2,101 Residential mortgage loans 155,758 (107,604) (70,914) Consumer loans (20,133) 2,816 — Derivative instruments 298,803 (53,467) (56,143) Total change in fair value of investments $ 11,723 $ (148,758) $ (118,373) |
Schedule of Gain (Loss) on Settlement of Investments, Net | The following table summarizes the composition of Gain (Loss) on Settlement of Investments, Net: Year Ended December 31, 2021 2020 2019 Sale of real estate securities $ (89,811) $ (753,713) $ 205,989 Sale of acquired residential mortgage loans 120,680 (5,662) 153,174 Settlement of derivatives (172,581) (74,812) (129,923) Liquidated residential mortgage loans (5,946) 4,644 (4,872) Sale of REO (6,622) (21,925) (11,521) Extinguishment of debt (1,485) (66,233) (8,532) Other (78,796) (12,430) 23,666 Total gain (loss) on settlement of investments, net $ (234,561) $ (930,131) $ 227,981 |
Schedule of Other Income (Loss), Net | The following table summarizes the composition of Other Income (Loss), Net: Year Ended December 31, 2021 2020 2019 Unrealized gain (loss) on secured notes and bonds payable $ 12,991 $ (966) $ (1,236) Unrealized gain (loss) on contingent consideration (1,037) (6,568) (10,487) Unrealized gain (loss) on equity investments 5,986 (54,455) (3,096) Gain (loss) on transfer of loans to REO 3,752 7,945 11,842 Gain (loss) on transfer of loans to other assets (9) (939) (1,144) Gain (loss) on Ocwen common stock 2,181 3,235 174 Provision for servicing losses (41,038) (15,330) (9,102) Bargain purchase gain 6,024 — 49,539 Rental revenue 13,750 2,422 194 Ancillary income 53,358 22,987 6,538 Property and maintenance revenue 104,797 70,527 14,449 Other income (loss) (26,787) (40,855) (17,852) Total other income (loss), net $ 133,968 $ (11,997) $ 39,819 |
Schedule of General and Administrative Expenses | The following table summarizes the composition of General and Administrative expenses: Year Ended December 31, 2021 2020 2019 Legal and professional $ 102,114 $ 70,502 $ 89,489 Loan origination 196,989 92,081 59,418 Occupancy 70,616 36,799 19,388 Subservicing 224,138 201,444 227,482 Loan servicing 16,440 14,126 31,737 Property and maintenance 69,083 42,508 8,112 Other 184,648 90,981 60,855 Total general and administrative expenses $ 864,028 $ 548,441 $ 496,481 |
BUSINESS ACQUISITIONS (Tables)
BUSINESS ACQUISITIONS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Business Combinations [Abstract] | |
Schedule of Purchase Price Allocation | The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of companies acquired: 2021 2019 ($ in millions) Caliber Genesis Total Ditech Guardian Total Total Consideration $ 1,318.5 $ 1,634.6 $ 2,953.1 $ 1,218.2 $ 21.5 $ 1,239.7 Assets Mortgage servicing rights, at fair value $ 1,507.5 $ — $ 1,507.5 $ 387.2 $ — $ 387.2 Residential mortgage loans, held-for-sale, at fair value 7,685.7 — 7,685.7 627.4 — 627.4 Mortgage loans receivable, at fair value — 1,505.6 1,505.6 — — — Residential mortgage loans subject to repurchase 666.8 — 666.8 — — — Cash and cash equivalents 472.7 16.4 489.1 — 1.8 1.8 Restricted cash 30.6 — 30.6 — — — Servicer advance receivable 108.3 — 108.3 238.0 — 238.0 Intangible assets (A)(B)(C)(D) 41.0 56.8 97.8 10.5 11.7 22.2 Other assets (E) 609.7 14.5 624.2 64.8 6.6 71.4 Total Assets Acquired $ 11,122.3 $ 1,593.3 $ 12,715.6 $ 1,327.9 $ 20.1 $ 1,348.0 Liabilities Secured financing agreements $ 7,090.6 $ — $ 7,090.6 $ — $ — $ — Secured notes and bonds payable 1,121.8 — 1,121.8 — — — Residential mortgage loans repurchase liability 666.8 — 666.8 — — — Accrued expenses and other liabilities 918.6 14.4 933.0 60.2 3.7 63.9 Total Liabilities Assumed $ 9,797.8 $ 14.4 $ 9,812.2 $ 60.2 $ 3.7 $ 63.9 Net Assets $ 1,324.5 $ 1,578.9 $ 2,903.4 $ 1,267.7 $ 16.4 $ 1,284.1 Goodwill (bargain purchase gain) $ (6.0) $ 55.7 $ 49.7 $ (49.5) $ 5.1 $ (44.4) (A) Includes intangible assets acquired as part of the Caliber acquisition in the form of purchased technology and trade name/trademarks. These intangibles are being amortized over a finite life of up to five years. (B) Includes intangible assets acquired as part of the Genesis acquisition in the form of customer relationships, trade name and a license. Customer relationships and the trade name are being amortized over a finite life of nine years and five years, respectively. New Residential has determined that the license has an indefinite useful life. (C) Includes intangible assets acquired as part of the Ditech acquisition in the form of correspondent customer relationships and servicing contracts tied to the recovery of defaulted loans. These intangibles are being amortized over a finite life of three years. (D) Includes intangible assets acquired as part of the Guardian acquisition in the form of customer relationships and a trade name. Customer relationships are being amortized over a finite life of seven years. New Residential has determined that the trade name has an indefinite useful life and will be evaluated for impairment given no legal, regulatory, contractual, competitive or economic factors that would limit the useful life. (E) Includes post loan charge off deficiency balances acquired through the Ditech Acquisition. ($ in millions) Acquisition Date Amounts Recognized as of September 30, 2021 Subsequent Adjustments to Fair Value Acquisition Date Amounts Recognized as of December 31, 2021 Total Consideration $ 1,318.5 $ — $ 1,318.5 Assets Mortgage servicing rights, at fair value $ 1,507.5 $ — $ 1,507.5 Residential mortgage loans, held-for-sale, at fair value 7,685.7 — 7,685.7 Residential mortgage loans subject to repurchase 666.8 — 666.8 Cash and cash equivalents 472.7 — 472.7 Restricted cash 30.6 — 30.6 Servicer advance receivable 108.3 — 108.3 Intangible assets 41.0 — 41.0 Other assets (A) 605.4 4.3 609.7 Total Assets Acquired $ 11,118.0 $ 4.3 $ 11,122.3 Liabilities Secured financing agreements $ 7,090.6 $ — $ 7,090.6 Secured notes and bonds payable 1,121.8 — 1,121.8 Residential mortgage loans repurchase liability 666.8 — 666.8 Accrued expenses and other liabilities (A) 917.0 1.6 918.6 Total Liabilities Assumed $ 9,796.2 $ 1.6 $ 9,797.8 Net Assets $ 1,321.8 $ 2.7 $ 1,324.5 Goodwill (bargain purchase gain) $ (3.3) $ (2.7) $ (6.0) (A) The adjustments to Other assets and Accrued expenses and other liabilities primarily reflect the impact on deferred tax assets and related liabilities attributable to certain return to provision adjustments. |
Schedule of Total Consideration | The total consideration is summarized as follows: Total Consideration (in millions) Amount Cash consideration $ 1,213.3 Effective settlement of preexisting relationships (A) 4.9 Total consideration $ 1,218.2 (A) Represents the effective settlement of preexisting relationships between New Residential and Ditech related to operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s Consolidated Statements of Income. New Residential recognized the effective settlement of preexisting relationships separately from the acquisition of assets and assumption of liabilities in the business combination. The acquisition date fair value of the consideration transferred includes $7.6 million in cash consideration and $13.9 million in contingent consideration. The total consideration is summarized as follows: Total Consideration (in millions) Amount Cash consideration $ 7.6 Earnout payment (A) 13.9 Total consideration $ 21.5 |
Schedule of Unaudited Supplemental Pro Forma Financial Information | The following table presents unaudited pro forma combined revenues and income before income taxes for the year ended December 31, 2021 and 2020 prepared as if the Caliber acquisition had been consummated on January 1, 2020: Year Ended December 31, Pro Forma (in millions) 2021 2020 Revenues $ 5,422.7 $ 4,453.4 Income (loss) before income taxes 1,258.6 (529.9) Year Ended December 31, Pro Forma (in millions) 2021 2020 Revenues $ 3,643.4 $ 1,693.0 Income (loss) before income taxes 981.8 (1,316.1) Pro Forma (in millions) Amount Servicing and origination revenue $ 1,104.0 Income before income taxes 552.8 Pro Forma (in millions) Amount Income before income taxes $ 651.5 |
Schedule of Acquired Finite-Lived Intangible Assets by Major Class | The following table presents the details of identifiable intangible assets acquired: Estimated Useful Life Amount Purchased technology 5 $ 38,545 Trademarks/trade names 1 2,483 Total identifiable intangible assets $ 41,028 Estimated Useful Life Amount Customer relationships 9 $ 44,700 Trade name 5 5,900 License Indefinite 5,500 Total identifiable intangible assets $ 56,100 |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
Summary of Segment Financial Data | The following tables summarize segment financial information, which in total reconciles to the same data for New Residential as a whole: Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (4,089) $ 1,025,888 $ 537,755 $ 1,559,554 $ — $ — $ — $ — $ — $ 1,559,554 Change in fair value of MSRs and MSR financing receivables — (313,655) (261,698) (575,353) — — — — — (575,353) Servicing revenue, net (4,089) 712,233 276,057 984,201 — — — — — 984,201 Interest income 188,053 20,629 49,162 257,844 293,989 139,658 93,847 4,219 21,339 810,896 Gain on originated residential mortgage loans, held-for-sale, net 1,704,363 101,764 (138,505) 1,781,204 9,878 35,827 — — — 1,826,909 Total revenues 1,888,327 834,626 186,714 3,023,249 303,867 175,485 93,847 4,219 21,339 3,622,006 Interest expense 121,392 97,696 104,838 323,926 47,037 76,273 10,999 1,000 38,073 497,308 G&A and other 1,223,668 395,007 273,748 1,892,423 4,620 90,377 10,856 1,802 119,686 2,119,764 Total operating expenses 1,345,060 492,703 378,586 2,216,349 51,657 166,650 21,855 2,802 157,759 2,617,072 Change in fair value of investments — — (22,336) (22,336) (101,566) 155,758 (20,133) — — 11,723 Gain (loss) on settlement of investments, net — (4,766) (35,116) (39,882) (254,672) 60,164 — — (171) (234,561) Other income (loss), net 2,346 742 79,355 82,443 (1,686) 52,222 1,935 — (946) 133,968 Total other income (loss) 2,346 (4,024) 21,903 20,225 (357,924) 268,144 (18,198) — (1,117) (88,870) Impairment charges (reversals) — — — — (5,201) (42,543) — — — (47,744) Income (loss) before income taxes 545,613 337,899 (169,969) 827,125 (100,513) 319,522 53,794 1,417 (137,537) 963,808 Income tax (benefit) expense 115,289 17,828 (26,553) 106,564 — 51,579 83 — — 158,226 Net income (loss) $ 430,324 $ 320,071 $ (143,416) $ 720,561 $ (100,513) $ 267,943 $ 53,711 $ 1,417 $ (137,537) $ 805,582 Noncontrolling interests in income (loss) of consolidated subsidiaries 11,298 — (1,800) 9,498 — — 23,858 — — $ 33,356 Dividends on preferred stock — — — — — — — — 66,744 66,744 Net income (loss) attributable to common stockholders $ 419,026 $ 320,071 $ (141,616) $ 711,063 $ (100,513) $ 267,943 $ 29,853 $ 1,417 $ (204,281) $ 705,482 (A) Includes elimination of intercompany transactions of $113.6 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total December 31, 2021 Investments $ 8,829,598 $ 5,439,613 $ 2,776,078 $ 17,045,289 $ 9,396,539 $ 3,099,294 $ 507,291 $ 1,515,762 $ — $ 31,564,175 Cash and cash equivalents 587,685 250,294 288,900 1,126,879 197,559 22 1,437 5,653 1,025 1,332,575 Restricted cash 32,803 95,785 27,182 155,770 15,342 2,482 21,961 — 312 195,867 Other assets 969,338 2,728,253 1,926,482 5,624,073 389,309 125,647 39,662 106,615 279,068 6,564,374 Goodwill 11,836 12,540 5,092 29,468 — — — 55,731 — 85,199 Total assets $ 10,431,260 $ 8,526,485 $ 5,023,734 $ 23,981,479 $ 9,998,749 $ 3,227,445 $ 570,351 $ 1,683,761 $ 280,405 $ 39,742,190 Debt $ 8,251,702 $ 4,131,297 $ 3,561,342 $ 15,944,341 $ 9,040,309 $ 2,440,693 $ 460,314 $ 1,252,660 $ 642,670 $ 29,780,987 Other liabilities 425,582 2,323,315 182,460 2,931,357 6,991 179,260 583 8,541 165,091 3,291,823 Total liabilities 8,677,284 6,454,612 3,743,802 18,875,698 9,047,300 2,619,953 460,897 1,261,201 807,761 33,072,810 Total equity 1,753,976 2,071,873 1,279,932 5,105,781 951,449 607,492 109,454 422,560 (527,356) 6,669,380 Noncontrolling interests in equity of consolidated subsidiaries 15,683 — 10,251 25,934 — — 39,414 — — 65,348 Total New Residential stockholders’ equity $ 1,738,293 $ 2,071,873 $ 1,269,681 $ 5,079,847 $ 951,449 $ 607,492 $ 70,040 $ 422,560 $ (527,356) $ 6,604,032 Investments in equity method investees $ — $ — $ 105,592 $ 105,592 $ — $ — $ — $ — $ — $ 105,592 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2020 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (11,519) $ 891,191 $ 762,600 $ 1,642,272 $ — $ — $ — $ — $ — $ 1,642,272 Change in fair value of MSRs and MSR financing receivables — (1,094,339) (1,074,570) (2,168,909) — — — — — (2,168,909) Servicing revenue, net (11,519) (203,148) (311,970) (526,637) — — — — — (526,637) Interest income 63,160 16,897 58,517 138,574 355,916 175,963 124,512 — — 794,965 Gain on originated residential mortgage loans, held-for-sale, net 1,289,584 47,277 23,860 1,400,552 (13,398) 11,938 — — — 1,399,092 Total revenues 1,341,225 (138,974) (229,593) 1,012,489 342,518 187,901 124,512 — — 1,667,420 Interest expense 45,676 76,884 157,230 279,790 157,371 87,958 22,587 — 36,763 584,469 G&A and other 494,398 368,208 155,882 1,018,488 7,639 62,900 10,301 — 109,893 1,209,221 Total operating expenses 540,074 445,092 313,112 1,298,278 165,010 150,858 32,888 — 146,656 1,793,690 Change in fair value of investments — — (18,958) (18,958) (25,012) (107,604) 2,816 — — (148,758) Gain (loss) on settlement of investments, net — (5,486) (11,227) (16,713) (828,525) (19,655) (4,183) — (61,055) (930,131) Other income (loss), net 433 (1,738) 39,690 38,385 2,333 (3,220) (8,386) — (41,109) (11,997) Total other income (loss) 433 (7,224) 9,505 2,714 (851,204) (130,479) (9,753) — (102,164) (1,090,886) Impairment charges (reversals) — — — — 13,404 110,208 — — — 123,612 Income (loss) before income taxes 801,584 (591,290) (533,200) (283,075) (687,100) (203,644) 81,871 — (248,820) (1,340,768) Income tax (benefit) expense 211,359 (58,288) (71,719) 81,352 — (65,215) 779 — — 16,916 Net income (loss) $ 590,225 $ (533,002) $ (461,481) $ (364,427) $ (687,100) $ (138,429) $ 81,092 $ — $ (248,820) $ (1,357,684) Noncontrolling interests in income (loss) of consolidated subsidiaries 15,625 — 891 16,516 — — 36,158 — — 52,674 Dividends on preferred stock — — — — — — — — 54,295 54,295 Net income (loss) attributable to common stockholders $ 574,600 $ (533,002) $ (462,372) $ (380,943) $ (687,100) $ (138,429) $ 44,934 $ — $ (303,115) $ (1,464,653) (A) Includes elimination of intercompany transactions of $39.8 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total December 31, 2020 Investments $ 2,947,113 $ 1,974,679 $ 3,560,073 $ 8,481,865 $ 14,244,558 $ 3,029,339 $ 685,575 $ — $ — $ 26,441,337 Cash and cash equivalents 123,124 59,798 412,578 595,500 222,372 7,472 3,182 — 116,328 944,854 Restricted cash 14,826 53,438 24,603 92,867 15,652 96 27,004 — — 135,619 Other assets 551,910 2,338,837 2,405,854 5,296,601 232,837 86,762 38,465 — 46,171 5,700,836 Goodwill 11,836 12,540 5,092 29,468 — — — — — 29,468 Total assets $ 3,648,809 $ 4,439,292 $ 6,408,200 $ 14,496,301 $ 14,715,419 $ 3,123,669 $ 754,226 $ — $ 162,499 $ 33,252,114 Debt $ 2,700,962 $ 1,462,335 $ 4,539,661 $ 8,702,958 $ 13,473,239 $ 2,386,919 $ 628,759 $ — $ 541,516 $ 25,733,391 Other liabilities 298,106 1,552,793 57,879 1,908,778 20,863 28,577 622 — 130,199 2,089,039 Total liabilities 2,999,068 3,015,128 4,597,540 10,611,736 13,494,102 2,415,496 629,381 — 671,715 27,822,430 Total equity 649,741 1,424,164 1,810,660 3,884,565 1,221,317 708,173 124,845 — (509,216) 5,429,684 Noncontrolling interests in equity of consolidated subsidiaries 19,402 — 43,882 63,284 — — 45,384 — — 108,668 Total New Residential stockholders’ equity $ 630,339 $ 1,424,164 $ 1,766,778 $ 3,821,281 $ 1,221,317 $ 708,173 $ 79,461 $ — $ (509,216) $ 5,321,016 Investments in equity method investees $ — $ — $ 129,873 $ 129,873 $ — $ — $ — $ — $ — $ 129,873 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Properties and Residential Mortgage Loans Consumer Mortgage Loans Receivable Corporate Total Year Ended December 31, 2019 Servicing fee revenue, net and interest income from MSRs and MSR financing $ (1,605) $ 525,104 $ 1,010,626 $ 1,534,125 $ — $ — $ — $ — $ — $ 1,534,125 Change in fair value of MSRs and MSR financing receivables — (313,134) (588,839) (901,973) — — — — — (901,973) Servicing revenue, net (1,605) 211,970 421,787 632,152 — — — — — 632,152 Interest income 42,166 31,846 96,376 170,388 744,145 249,673 165,877 — 31 1,330,114 Gain on originated residential mortgage loans, held-for-sale, net 390,981 1,029 43,914 384,564 — 75,543 — — — 460,107 Total revenues 431,542 244,845 562,077 1,187,104 744,145 325,216 165,877 — 31 2,422,373 Interest expense 41,949 32,735 214,602 289,286 453,609 158,298 32,558 — — 933,751 G&A and other 252,458 221,018 211,634 685,110 3,160 52,745 22,540 — 189,780 953,335 Total operating expenses 294,407 253,753 426,236 974,396 456,769 211,043 55,098 — 189,780 1,887,086 Change in fair value of investments — — 6,583 6,583 (54,042) (70,914) — — — (118,373) Gain (loss) on settlement of investments, net — — 8,030 8,030 74,927 153,449 (8,425) — — 227,981 Other income (loss), net 9,340 5,343 30,760 45,443 44 (7,150) (1,574) — 1,618 38,381 Total other income (loss) 9,340 5,343 45,373 60,056 20,929 75,385 (9,999) — 1,618 147,989 Impairment charges (reversals) — — — — 25,174 (20,607) 31,010 — — 35,577 Income (loss) before income taxes 146,475 (3,565) 181,214 272,764 283,131 210,165 69,770 — (188,131) 647,699 Income tax (benefit) expense 39,768 (874) 31,835 70,729 — (28,461) (502) — — 41,766 Net income (loss) $ 106,707 $ (2,691) $ 149,379 $ 202,035 $ 283,131 $ 238,626 $ 70,272 $ — $ (188,131) $ 605,933 Noncontrolling interests in income (loss) of consolidated subsidiaries 6,231 — 4,255 10,486 — — 32,151 — — 42,637 Dividends on preferred stock — — — — — — — — 13,281 13,281 Net income (loss) attributable to common stockholders $ 100,476 $ (2,691) $ 145,124 $ 191,549 $ 283,131 $ 238,626 $ 38,121 $ — $ (201,412) $ 550,015 (A) Includes elimination of intercompany transactions of $51.4 million primarily related to loan sales. Servicing Segment Revenues The table below summarizes the components of servicing segment revenues: Year Ended December 31, 2021 2020 2019 Base servicing MSR assets $ 731,924 $ 611,669 $ 367,419 Residential whole loans 16,448 16,081 8,074 Third party 103,617 139,480 71,145 851,989 767,230 446,638 Other fees Ancillary and other fees (A) 173,899 123,961 78,466 Change in fair value due to: Realization of cash flows (783,349) (792,680) (243,147) Change in valuation inputs and assumptions and other 469,694 (301,659) (69,987) Total servicing fees $ 712,233 $ (203,148) $ 211,970 Servicing Data (period end) (in millions) UPB - MSR assets $ 389,852 $ 220,880 $ 140,244 UPB - Residential whole loans 14,097 9,993 7,919 UPB - Third party 78,814 66,892 71,264 |
EXCESS MORTGAGE SERVICING RIG_2
EXCESS MORTGAGE SERVICING RIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Transfers and Servicing [Abstract] | |
Schedule of Servicing Assets at Fair Value | The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets: Year Ended December 31, 2021 2020 Direct investments in Excess MSRs $ 259,198 $ 310,938 Excess MSR Joint Ventures 85,749 99,917 Excess mortgage servicing rights assets, at fair value $ 344,947 $ 410,855 The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 28,217 135 28,352 Other income (12,123) — (12,123) Proceeds from repayments (67,340) (405) (67,745) Proceeds from sales (1,061) — (1,061) Change in fair value (16,376) 144 (16,232) Balance as of December 31, 2020 309,009 1,929 310,938 Interest income 20,355 (59) 20,296 Other income 403 (325) 78 Proceeds from repayments (55,702) (350) (56,052) Proceeds from sales (984) — (984) Change in fair value (15,508) 430 (15,078) Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 (A) Specialized Loan Servicing LLC (“SLS”). Changes in fair value of investments consists of the following: Year Ended December 31, 2021 2020 2019 Original and Recaptured Pools $ (15,078) $ (16,232) $ (10,505) The following table summarizes activity related to MSRs and MSR Financing Receivables: Total Balance as of December 31, 2019 $ 5,686,233 Purchases, net (A) 431,608 Originations (B) 666,414 Proceeds from sales (15,341) Change in fair value due to: Realization of cash flows (C) (1,592,281) Change in valuation inputs and assumptions (591,439) (Gain) loss realized 647 Balance as of December 31, 2020 $ 4,585,841 Caliber acquisition (Note 3) 1,507,524 Purchases, net (A) 10,949 Originations (B) 1,331,626 Proceeds from sales (63,451) Change in fair value due to: Realization of cash flows (C) (1,196,527) Change in valuation inputs and assumptions 680,431 (Gain) loss realized 2,410 Balance as of December 31, 2021 $ 6,858,803 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs retained on the sale of originated residential mortgage loans. (C) Based on the paydown of the underlying residential mortgage loans. The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) 2021 Agency $ 374,815,579 6.1 $ 4,443,713 Non-Agency 63,851,154 8.3 943,210 Ginnie Mae (c) 109,946,356 5.7 1,471,880 Total $ 548,613,089 6.3 $ 6,858,803 2020 Agency $ 305,718,556 5.1 $ 2,849,003 Non-Agency 72,610,446 7.9 1,064,403 Ginnie Mae (c) 57,106,825 4.1 672,435 Total $ 435,435,827 5.4 $ 4,585,841 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. |
Servicing Asset at Amortized Cost | The following summarizes direct investments in Excess MSRs: December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 26,856,946 32.5% - 66.7% (53.3%) —% - 40.0% 20.0% - 35.0% 6.0 $ 118,631 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 30,565,231 33.3% - 100.0% (59.4%) —% - 50.0% —% - 33.3% 6.6 95,608 127,201 Total $ 57,422,177 $ 214,239 $ 259,198 December 31, 2020 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) New Residential (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 34,593,406 32.5% - 66.7% (53.3)% —% - 40.0% 20.0% - 35.0% 5.9 $ 141,204 $ 162,645 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 38,095,499 33.3% - 100.0% (59.4)% —% - 50.0% —% - 33.3% 6.5 109,697 148,293 Total $ 72,688,905 $ 250,901 $ 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. |
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees | The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees: December 31, 2021 2020 Excess MSRs $ 152,383 $ 179,762 Other assets 19,802 20,759 Other liabilities (687) (687) Equity $ 171,498 $ 199,834 New Residential’s investment $ 85,749 $ 99,917 New Residential’s percentage ownership 50.0 % 50.0 % Year Ended December 31, 2021 2020 2019 Interest income $ 7,574 $ 22,507 $ 23,872 Other income (loss) (3,906) (29,461) (10,208) Expenses (32) (24) (64) Net income (loss) $ 3,636 $ (6,978) $ 13,600 The following table summarizes the activity of investments in equity method investees: December 31, 2021 2020 Balance at beginning of period $ 99,917 $ 125,596 Contributions to equity method investees — — Distributions of earnings from equity method investees — (1,170) Distributions of capital from equity method investees (15,986) (21,020) Change in fair value of investments in equity method investees 1,818 (3,489) Balance at end of period $ 85,749 $ 99,917 |
Summary of Excess MSR Investments made through Equity Method Investees | The following table summarizes Excess MSR investments made through equity method investees: December 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 $ 23,039,453 66.7% 50.0% $ 112,840 $ 152,383 5.7 December 31, 2020 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 28,453,512 66.7% 50.0% $ 139,251 $ 179,762 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) | 12 Months Ended |
Dec. 31, 2021 | |
Transfers and Servicing [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets: Year Ended December 31, 2021 2020 Direct investments in Excess MSRs $ 259,198 $ 310,938 Excess MSR Joint Ventures 85,749 99,917 Excess mortgage servicing rights assets, at fair value $ 344,947 $ 410,855 The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2019 $ 377,692 $ 2,055 $ 379,747 Interest income 28,217 135 28,352 Other income (12,123) — (12,123) Proceeds from repayments (67,340) (405) (67,745) Proceeds from sales (1,061) — (1,061) Change in fair value (16,376) 144 (16,232) Balance as of December 31, 2020 309,009 1,929 310,938 Interest income 20,355 (59) 20,296 Other income 403 (325) 78 Proceeds from repayments (55,702) (350) (56,052) Proceeds from sales (984) — (984) Change in fair value (15,508) 430 (15,078) Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 (A) Specialized Loan Servicing LLC (“SLS”). Changes in fair value of investments consists of the following: Year Ended December 31, 2021 2020 2019 Original and Recaptured Pools $ (15,078) $ (16,232) $ (10,505) The following table summarizes activity related to MSRs and MSR Financing Receivables: Total Balance as of December 31, 2019 $ 5,686,233 Purchases, net (A) 431,608 Originations (B) 666,414 Proceeds from sales (15,341) Change in fair value due to: Realization of cash flows (C) (1,592,281) Change in valuation inputs and assumptions (591,439) (Gain) loss realized 647 Balance as of December 31, 2020 $ 4,585,841 Caliber acquisition (Note 3) 1,507,524 Purchases, net (A) 10,949 Originations (B) 1,331,626 Proceeds from sales (63,451) Change in fair value due to: Realization of cash flows (C) (1,196,527) Change in valuation inputs and assumptions 680,431 (Gain) loss realized 2,410 Balance as of December 31, 2021 $ 6,858,803 (A) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (B) Represents MSRs retained on the sale of originated residential mortgage loans. (C) Based on the paydown of the underlying residential mortgage loans. The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) 2021 Agency $ 374,815,579 6.1 $ 4,443,713 Non-Agency 63,851,154 8.3 943,210 Ginnie Mae (c) 109,946,356 5.7 1,471,880 Total $ 548,613,089 6.3 $ 6,858,803 2020 Agency $ 305,718,556 5.1 $ 2,849,003 Non-Agency 72,610,446 7.9 1,064,403 Ginnie Mae (c) 57,106,825 4.1 672,435 Total $ 435,435,827 5.4 $ 4,585,841 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively. |
Fees Earned in Exchange for Servicing Financial Assets | The following table summarizes components of Servicing Revenue, Net: Year Ended December 31, 2021 2020 2019 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 1,446,509 $ 1,457,211 $ 1,216,069 Ancillary and other fees 113,045 185,061 318,056 Servicing fee revenue and fees, net 1,559,554 1,642,272 1,534,125 Change in fair value due to: Realization of cash flows (A) (1,192,646) (1,583,628) (733,763) Change in valuation inputs and assumptions (B) 680,088 (585,928) (165,110) Change in fair value of derivative instruments (30,481) — — (Gain) loss realized 2,410 647 (3,100) Gain (loss) on settlement of derivative instruments (34,724) — — Servicing revenue, net $ 984,201 $ (526,637) $ 632,152 (A) Includes $3.9 million, $8.7 million and $7.1 million of fair value adjustment due to realization of cash flows to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. (B) Includes $0.3 million, $5.5 million and $1.3 million of fair value adjustment due to changes in valuation inputs and assumptions to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration December 31, 2021 December 31, 2020 California 18.1 % 21.2 % Florida 8.6 % 7.4 % Texas 6.2 % 5.6 % New York 6.0 % 7.0 % Washington 5.6 % 2.9 % New Jersey 4.5 % 4.8 % Virginia 3.4 % 2.9 % Illinois 3.4 % 3.6 % Maryland 3.4 % 3.1 % Georgia 3.0 % 3.3 % Other U.S. 37.8 % 38.2 % 100.0 % 100.0 % |
Schedule of Investment in Servicer Advances | The following types of advances are included in the Servicer Advances Receivable: December 31, 2021 2020 Principal and interest advances $ 562,418 $ 665,538 Escrow advances (taxes and insurance advances) 1,523,154 1,547,796 Foreclosure advances 793,098 816,400 Total (A)(B)(C) $ 2,878,670 $ 3,029,734 (A) Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $212.9 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 non reimbursable advance loss assumption. (C) Net of $23.5 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 table summarizes 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) December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 December 31, 2020 Servicer Advance Investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (A) Represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs. (B) Represents the weighted average expected timing of the receipt of expected net cash flows for this investment. The following table provides additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Gross Net (B) Gross Net December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % 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 table summarizes the types of advances included in Servicer Advance Investments: December 31, 2021 2020 Principal and interest advances $ 67,014 $ 84,976 Escrow advances (taxes and insurance advances) 174,681 186,426 Foreclosure advances 127,745 177,748 Total $ 369,440 $ 449,150 |
Schedule of Servicer Advances Reserve | The following table summarizes the activity of the servicer advances reserve: Balance as of December 31, 2019 $ 1,680 Provision 21,619 Write-offs (450) Balance as of December 31, 2020 $ 22,849 Caliber acquisition (Note 3) 15,068 Provision 11,560 Write-offs (17,355) Balance as of December 31, 2021 $ 32,122 |
SERVICER ADVANCE INVESTMENTS (T
SERVICER ADVANCE INVESTMENTS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, All Other Investments [Abstract] | |
Schedule of Investment in Servicer Advances | The following types of advances are included in the Servicer Advances Receivable: December 31, 2021 2020 Principal and interest advances $ 562,418 $ 665,538 Escrow advances (taxes and insurance advances) 1,523,154 1,547,796 Foreclosure advances 793,098 816,400 Total (A)(B)(C) $ 2,878,670 $ 3,029,734 (A) Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $212.9 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 non reimbursable advance loss assumption. (C) Net of $23.5 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 table summarizes 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) December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 December 31, 2020 Servicer Advance Investments $ 512,958 $ 538,056 5.2 % 5.7 % 6.0 (A) Represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs. (B) Represents the weighted average expected timing of the receipt of expected net cash flows for this investment. The following table provides additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Gross Net (B) Gross Net December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % 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 table summarizes the types of advances included in Servicer Advance Investments: December 31, 2021 2020 Principal and interest advances $ 67,014 $ 84,976 Escrow advances (taxes and insurance advances) 174,681 186,426 Foreclosure advances 127,745 177,748 Total $ 369,440 $ 449,150 |
Schedule of Interest Income Related to Investments in Servicer Advances | The following table summarizes interest income related to Servicer Advance Investments: Year Ended December 31, 2021 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 12,501 $ 34,262 $ 51,940 Amounts attributable to basic servicer compensation (1,798) (3,248) (6,209) Amounts attributable to incentive servicer compensation (9,025) (12,832) (18,065) Interest income from servicer advance investments $ 1,678 $ 18,182 $ 27,666 Net Interest Income The following table summarizes the net interest income for residential mortgage loans: December 31, 2021 2020 2019 Interest income: Loans held-for-investment, at fair value $ 44,369 $ 53,264 $ 60,301 Loans held-for-sale, at lower of cost or fair value 23,280 50,130 65,926 Loans held-for-sale, at fair value 260,062 135,729 175,926 Total interest income 327,711 239,123 302,153 Interest expense: Loans held-for-investment, at fair value 16,919 21,029 19,381 Loans held-for-sale, at lower of cost or fair value 21,333 22,541 40,067 Loans held-for-sale, at fair value 159,413 90,064 109,723 Total interest expense 197,665 133,634 169,171 Net interest income $ 130,046 $ 105,489 $ 132,982 |
REAL ESTATE AND OTHER SECURIT_2
REAL ESTATE AND OTHER SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Real Estate Securities | The following table summarizes Real Estate and Other Securities by designation: December 31, 2021 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) RMBS designated as available for sale (AFS): Agency (F) $ 91,572 $ 7,008 $ — $ 98,367 1 AAA 3.50 % 3.50 % 4.4 N/A Non-Agency (G)(H) 2,956,066 84,494 (117) 522,416 334 AA 3.29 % 3.18 % 3.4 26.6 % RMBS measured at fair value through net income (FVO): Agency (F) 8,307,771 204 (226,309) 8,346,230 40 AAA 2.13 % 2.13 % 7.0 N/A Non-Agency (G)(H) 12,958,891 32,814 (51,892) 429,526 271 AA+ 2.15 % 3.91 % 3.2 20.3 % Total/ $ 24,314,300 $ 124,520 $ (278,318) $ 9,396,539 646 AAA 2.19 % 2.27 % 6.6 December 31, 2020 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) RMBS designated as available for sale (AFS): Agency (F) $ 110,360 $ 10,612 $ — $ 121,761 1 AAA 3.50 % 3.50 % 5.9 N/A Non-Agency (G)(H) 3,628,870 62,890 (7,394) 752,004 364 AA 3.40 % 3.50 % 4.9 19.7 % RMBS measured at fair value through net income (FVO): Agency (F) 12,380,792 101,414 — 12,941,873 57 AAA 2.20 % 2.20 % 4.3 N/A Non-Agency (G)(H) 15,749,660 25,208 (53,423) 428,920 225 AA+ 1.90 % 5.00 % 4.4 19.0 % Total/ $ 31,869,682 $ 200,124 $ (60,817) $ 14,244,558 647 AAA 2.3 % 2.4 % 4.3 (A) Fair value is equal to carrying value for all securities. (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 298 bonds with a carrying value of $346.1 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 $23.5 million and $2.8 million, respectively, for which no coupon payment is expected. (D) 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) The total outstanding face amount was $8.4 billion and $12.5 billion for fixed rate securities and $0.0 billion and $0.0 billion for floating rate securities as of December 31, 2021 and 2020, respectively. (G) The total outstanding face amount was $9.6 billion (including $8.7 billion of residual and fair value option notional amount) and $11.9 billion (including $10.9 billion of residual and fair value option notional amount) for fixed rate securities and $6.4 billion (including $6.2 billion of residual and fair value option notional amount) and $7.5 billion (including $7.2 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2021 and 2020, respectively. (H) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips which New Residential elected to carry at fair value (fair value option securities) and record changes to valuation through the income statement, (ii) bonds backed by consumer loans and (iii) corporate debt. The following table summarizes these securities: Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) December 31, 2021 Corporate debt $ 414 $ 9 $ — $ 423 1 B- 8.25 % 8.25 % 3.3 Consumer loan bonds 2,960 878 — 2,974 3 N/A N/A N/A 0.0 Fair value option securities Interest-only securities 7,368,874 8,099 (43,626) 152,489 127 AA+ 1.19 % 1.54 % 2.0 Servicing strips 4,413,700 6,869 (7,758) 59,120 59 N/A 1.40 % 13.12 % 2.6 December 31, 2020 Corporate Debt $ 500 $ 23 $ — $ 523 1 B- 8.25 % 8.25 % 4.3 Consumer loan bonds 13,022 503 — 12,862 6 N/A N/A N/A 0.0 Fair value option securities Interest-only securities 9,457,488 6,600 (43,781) 211,073 124 AA+ 1.22 % 5.09 % 2.1 Servicing strips 4,979,723 5,865 (9,476) 46,378 58 N/A 0.42 % 8.38 % 3.9 The following table summarizes purchases and sales of Real Estate and Other Securities: Year Ended December 31, 2021 2020 (in millions) Agency Non-Agency Agency Non-Agency Purchases Face $ 5,907.2 $ 2,999.3 $ 21,593.3 $ 5,083.1 Purchase price 6,098.8 174.3 22,290.3 575.0 Sales Face $ 7,830.8 $ 1,686.9 $ 19,321.7 $ 8,450.1 Amortized cost 8,135.6 193.2 19,666.2 6,242.0 Sale price 8,074.3 164.7 19,886.8 5,288.5 Gain (loss) on sale (61.3) (28.5) 220.5 (953.5) |
Summary of Real Estate Securities in an Unrealized Loss Position | The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of December 31, 2021. Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Credit Impairment Credit Impairment (A) After Credit Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating Coupon Yield Life Less than 12 Months $ 3,755 $ 3,535 $ (20) $ 3,514 $ (24) $ 3,490 2 AAA 1.60 % 1.34 % 2.4 12 or More Months 19,723 10,563 (3,451) 7,111 (93) 7,018 13 AA+ — % 0.89 % 0.4 Total/Weighted Average $ 23,478 $ 14,098 $ (3,471) $ 10,625 $ (117) $ 10,508 15 AAA 0.53 % 1.04 % 1.0 (A) Represents credit impairment on securities in an unrealized loss position as of December 31, 2021. New Residential performed an assessment of all RMBS designated as AFS 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: December 31, 2021 December 31, 2020 Gross Unrealized Losses Gross Unrealized Losses RMBS Designated as AFS 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) — — — — — — — — Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 6,581 6,581 (3,471) — 21,326 21,326 (8,672) — Non-credit impaired securities 3,927 4,044 — (117) 270,821 331,638 — (60,817) Total debt securities in an unrealized loss position $ 10,508 $ 10,625 $ (3,471) $ (117) $ 292,147 $ 352,964 $ (8,672) $ (60,817) (A) 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) 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. |
Summary of Activity Related to Credit Losses on Debt Securities | The following table summarizes the activity related to credit losses on debt securities: Year Ended December 31, 2019 Beginning balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income $ 52,803 Increases to credit losses on securities for which an other-than-temporary impairment was previously recognized and a portion of an other-than-temporary impairment was recognized in other comprehensive income 23,059 Additions for credit losses on securities for which an other-than-temporary impairment was not previously recognized 2,115 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no other-than-temporary impairment was recognized in other comprehensive income at the current measurement date — Reduction for securities sold/paid off during the period (18,914) Ending balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income $ 59,063 |
Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible | The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and fair value option securities: Outstanding Face Amount Carrying Value December 31, 2021 $ 512,731 $ 180,890 December 31, 2020 727,216 280,876 |
Summary of Changes in Accretable Yield for Securities | The following is a summary of the changes in accretable yield for these securities: Year Ended December 31, 2021 2020 Beginning balance $ 189,562 $ 1,882,477 Additions 8,324 76,960 Accretion (4,720) (60,868) Reclassifications from (to) non-accretable difference (8,015) (167,793) Disposals (149,058) (1,541,214) Ending balance $ 36,093 $ 189,562 |
RESIDENTIAL MORTGAGE LOANS (Tab
RESIDENTIAL MORTGAGE LOANS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
Schedule of Accounts, Notes and Loans Receivable | The following table summarizes the activity related to notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2019 $ 37,001 $ — $ 37,001 Fundings 11,500 — 11,500 Accrued interest paid-in-kind 3,074 — 3,074 Proceeds from repayments — — — Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors 814 — 814 Balance at December 31, 2020 $ 52,389 $ — $ 52,389 Fundings 6,688 250,000 256,688 Accrued interest paid-in-kind 5,298 4,135 9,433 Proceeds from repayments (3,188) (25,443) (28,631) Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors (638) 939 301 Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 The following table summarizes residential mortgage loans outstanding by loan type: December 31, 2021 2020 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) $ 623,937 $ 569,933 9,718 7.1 % 5.1 $ 674,179 Acquired reverse residential mortgage loans $ — $ — — — % 0.0 $ 5,884 Acquired performing loans (C) 142,142 130,634 2,839 6.6 % 4.6 129,345 Acquired non-performing loans (D) 2,825 2,287 34 7.5 % 4.7 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 144,967 $ 132,921 2,873 6.6 % 4.6 $ 509,887 Acquired performing loans (C)(E) $ 2,046,945 $ 2,070,262 12,757 3.5 % 12.4 $ 1,423,159 Acquired non-performing loans (D)(E) 343,133 315,063 2,249 4.8 % 6.1 335,544 Originated loans 8,565,456 8,829,599 12,479 3.2 % 28.0 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 10,955,534 $ 11,214,924 27,485 3.3 % 24.4 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 11,100,501 $ 11,347,845 $ 5,215,703 (A) For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan. (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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (D) As of December 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $860.4 million and $221.9 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 following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of December 31, 2021: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 610,446 40.3 % 486 33.2 % 8.3 % 16.0 75.6% / 65.0% Bridge 716,764 47.3 % 632 43.2 % 7.8 % 14.5 73.8 % Renovation 188,552 12.4 % 346 23.6 % 8.1 % 13.4 78.5% / 67.1% $ 1,515,762 100.0 % 1,464 100.0 % 8.1 % 15.2 The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2020 $ — Genesis acquisition (Note 3) 1,505,635 Initial loan advances 60,125 Construction holdbacks and draws 12,856 Paydowns and payoffs (60,867) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors (1,987) Balance at December 31, 2021 $ 1,515,762 |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The following table summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount December 31, State Concentration 2021 2020 California 15.7 % 11.9 % Florida 10.1 % 7.1 % Washington 7.5 % 1.8 % New York 7.1 % 7.1 % Texas 6.7 % 10.1 % New Jersey 3.8 % 4.2 % Virginia 3.3 % 2.5 % Georgia 3.1 % 5.8 % Maryland 3.1 % 2.3 % Illinois 2.8 % 3.0 % Other U.S. 36.8 % 44.2 % 100.0 % 100.0 % |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: December 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 Current $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 90+ — — — — — — $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: December 31, 2021 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 Less than 120 $ 11,101,345 $ 11,323,443 $ 222,098 $ 5,131,755 $ 5,099,094 $ (32,661) 120+ 623,093 594,335 (28,758) 950,564 790,788 (159,776) $ 11,724,438 $ 11,917,778 $ 193,340 $ 6,082,319 $ 5,889,882 $ (192,437) The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable as of December 31, 2021: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — $ 1,473,894 $ 1,515,762 $ 41,868 |
Schedule of Loans Held For Sale, Fair Value | The following table summarizes the activity for residential mortgage loans: Loans Held-for-Investment Loans Held-for-Sale, at Lower Cost or Fair Value Loans Held-for-Sale, at Fair Value Total Balance at December 31, 2019 $ 925,706 $ 1,429,052 $ 4,613,612 $ 6,968,370 Fair value adjustment due to fair value option (6,020) — — (6,020) Originations — — 61,684,462 61,684,462 Sales — (791,974) (64,692,996) (65,484,970) Purchases/additional fundings — 110,741 3,322,369 3,433,110 Proceeds from repayments (145,767) (99,845) (177,723) (423,335) Transfer of loans to other assets (A) — (3,449) (22,255) (25,704) Transfer of loans to real estate owned (6,754) (21,681) (7,035) (35,470) Transfers of loans to held-for-sale (62,274) — — (62,274) Transfers of loans to from held-for-investment — — 62,274 62,274 Valuation provision on loans — (112,957) — (112,957) Fair value adjustments due to: Changes in instrument-specific credit risk 27,036 — (12,323) 14,713 Other factors (57,748) — (64,569) (122,317) Balance at December 31, 2020 $ 674,179 $ 509,887 $ 4,705,816 $ 5,889,882 Caliber acquisition (Note 3) — — 7,685,681 7,685,681 Originations — — 123,059,895 123,059,895 Sales — (374,683) (131,960,935) (132,335,618) Purchases/additional fundings — — 8,102,055 8,102,055 Proceeds from repayments (120,247) (32,826) (520,334) (673,407) Transfer of loans to other assets (A) — (585) 22,112 21,527 Transfer of loans to real estate owned (15,165) (7,145) (3,958) (26,268) Valuation provision on loans — 38,273 — 38,273 Fair value adjustments due to: Changes in instrument-specific credit risk (2,020) — (18,099) (20,119) Other factors 33,186 — 142,691 175,877 Balance at December 31, 2021 $ 569,933 $ 132,921 $ 11,214,924 $ 11,917,778 (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 grouped and presented as part of claims receivable in Other Assets (Note 2). |
Schedule of Net Interest Income | The following table summarizes interest income related to Servicer Advance Investments: Year Ended December 31, 2021 2020 2019 Interest income, gross of amounts attributable to servicer compensation $ 12,501 $ 34,262 $ 51,940 Amounts attributable to basic servicer compensation (1,798) (3,248) (6,209) Amounts attributable to incentive servicer compensation (9,025) (12,832) (18,065) Interest income from servicer advance investments $ 1,678 $ 18,182 $ 27,666 Net Interest Income The following table summarizes the net interest income for residential mortgage loans: December 31, 2021 2020 2019 Interest income: Loans held-for-investment, at fair value $ 44,369 $ 53,264 $ 60,301 Loans held-for-sale, at lower of cost or fair value 23,280 50,130 65,926 Loans held-for-sale, at fair value 260,062 135,729 175,926 Total interest income 327,711 239,123 302,153 Interest expense: Loans held-for-investment, at fair value 16,919 21,029 19,381 Loans held-for-sale, at lower of cost or fair value 21,333 22,541 40,067 Loans held-for-sale, at fair value 159,413 90,064 109,723 Total interest expense 197,665 133,634 169,171 Net interest income $ 130,046 $ 105,489 $ 132,982 |
Schedule of Originated Mortgage Loans | The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net: Year Ended December 31, 2021 2020 2019 Gain on residential mortgage loans originated and sold, net (A) $ 460,062 $ 811,288 $ 53,554 Gain (loss) on settlement of residential mortgage loan origination derivative instruments (B) 240,610 (361,755) (53,374) MSRs retained on transfer of residential mortgage loans (C) 1,331,626 666,414 374,450 Other (D) 107,249 49,270 27,564 Realized gain on sale of originated residential mortgage loans, net $ 2,139,547 $ 1,165,217 $ 402,194 Change in fair value of residential mortgage loans (137,503) 99,908 28,761 Change in fair value of interest rate lock commitments (Note 12) (293,699) 249,183 26,151 Change in fair value of derivative instruments (Note 12) 118,564 (115,216) 3,001 Gain on originated residential mortgage loans, held-for-sale, net $ 1,826,909 $ 1,399,092 $ 460,107 (A) Includes residential mortgage loan origination fees of $2.3 billion and $1.7 billion in the year ended December 31, 2021 and 2020, respectively. (B) Represents settlement of forward securities delivery commitments utilized as an economic hedge for residential 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 residential mortgage loan origination process. |
CONSUMER LOANS (Tables)
CONSUMER LOANS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investments in Consumer Loan Equity Method Investees | The following table summarizes the credit composition of consumer loans: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) December 31, 2021 Performing $ 358,181 53.5 % $ 413,377 18.5 % 3.2 3.6 % Purchased credit deteriorated (C) 91,580 53.5 % 93,914 13.8 % 3.1 7.7 % Other - performing 114 100.0 % — 15.5 % 0.3 28.4 % Total consumer loans $ 449,875 $ 507,291 17.5 % 3.2 4.5 % December 31, 2020 Performing $ 490,222 53.5 % $ 553,419 18.3 % 3.6 3.7 % Purchased credit deteriorated (C) 127,899 53.5 % 129,513 14.1 % 3.5 7.4 % Other - performing 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, which are accounted for as PCD loans. |
Schedule Of Consumer Loans, Held-For-Investment | The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans: December 31, 2021 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 $ 442,481 $ 499,059 $ 56,578 $ 611,978 $ 675,691 $ 63,713 90+ 7,394 8,232 838 9,005 9,884 879 Total $ 449,875 $ 507,291 $ 57,416 $ 620,983 $ 685,575 $ 64,592 |
Schedule of Carrying Value of Performing Consumer Loans | The following table summarizes activities related to the carrying value of consumer loans: Balance at December 31, 2019 $ 827,545 Fair value adjustment due to fair value option 36,472 Additional fundings (A) 33,041 Proceeds from repayments (229,218) Accretion of loan discount and premium amortization, net 24,120 Fair value adjustments due to: Changes in instrument-specific credit risk 5,195 Other factors (11,580) Balance at December 31, 2020 $ 685,575 Additional fundings (A) 29,002 Proceeds from repayments (206,078) Accretion of loan discount and premium amortization, net 18,925 Fair value adjustments due to: Changes in instrument-specific credit risk 22,915 Other factors (43,048) Balance at December 31, 2021 $ 507,291 (A) Represents draws on consumer loans with revolving privileges. |
MORTGAGE LOANS RECEIVABLE (Tabl
MORTGAGE LOANS RECEIVABLE (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
Schedule of Accounts, Notes and Loans Receivable | The following table summarizes the activity related to notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2019 $ 37,001 $ — $ 37,001 Fundings 11,500 — 11,500 Accrued interest paid-in-kind 3,074 — 3,074 Proceeds from repayments — — — Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors 814 — 814 Balance at December 31, 2020 $ 52,389 $ — $ 52,389 Fundings 6,688 250,000 256,688 Accrued interest paid-in-kind 5,298 4,135 9,433 Proceeds from repayments (3,188) (25,443) (28,631) Fair value adjustments due to: Changes in instrument-specific credit risk — — — Other factors (638) 939 301 Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 The following table summarizes residential mortgage loans outstanding by loan type: December 31, 2021 2020 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) $ 623,937 $ 569,933 9,718 7.1 % 5.1 $ 674,179 Acquired reverse residential mortgage loans $ — $ — — — % 0.0 $ 5,884 Acquired performing loans (C) 142,142 130,634 2,839 6.6 % 4.6 129,345 Acquired non-performing loans (D) 2,825 2,287 34 7.5 % 4.7 374,658 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 144,967 $ 132,921 2,873 6.6 % 4.6 $ 509,887 Acquired performing loans (C)(E) $ 2,046,945 $ 2,070,262 12,757 3.5 % 12.4 $ 1,423,159 Acquired non-performing loans (D)(E) 343,133 315,063 2,249 4.8 % 6.1 335,544 Originated loans 8,565,456 8,829,599 12,479 3.2 % 28.0 2,947,113 Total residential mortgage loans, held-for-sale, at fair value $ 10,955,534 $ 11,214,924 27,485 3.3 % 24.4 $ 4,705,816 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 11,100,501 $ 11,347,845 $ 5,215,703 (A) For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan. (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) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (D) As of December 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $860.4 million and $221.9 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 following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of December 31, 2021: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 610,446 40.3 % 486 33.2 % 8.3 % 16.0 75.6% / 65.0% Bridge 716,764 47.3 % 632 43.2 % 7.8 % 14.5 73.8 % Renovation 188,552 12.4 % 346 23.6 % 8.1 % 13.4 78.5% / 67.1% $ 1,515,762 100.0 % 1,464 100.0 % 8.1 % 15.2 The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2020 $ — Genesis acquisition (Note 3) 1,505,635 Initial loan advances 60,125 Construction holdbacks and draws 12,856 Paydowns and payoffs (60,867) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors (1,987) Balance at December 31, 2021 $ 1,515,762 |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: December 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 Current $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 90+ — — — — — — $ 289,065 $ 290,180 $ 1,115 $ 51,575 $ 52,389 $ 814 The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: December 31, 2021 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 Less than 120 $ 11,101,345 $ 11,323,443 $ 222,098 $ 5,131,755 $ 5,099,094 $ (32,661) 120+ 623,093 594,335 (28,758) 950,564 790,788 (159,776) $ 11,724,438 $ 11,917,778 $ 193,340 $ 6,082,319 $ 5,889,882 $ (192,437) The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable as of December 31, 2021: Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — $ 1,473,894 $ 1,515,762 $ 41,868 |
Schedule of Geographic Distribution of Mortgage Loans Receivable | The following table summarizes the geographic distribution of the underlying Mortgage Loans Receivable as of December 31, 2021: State Concentration Percentage of Total California 58.9 % Washington 12.2 % New York 5.6 % Other U.S. 23.3 % 100.0 % |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivatives | Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows: December 31, Balance Sheet Location 2021 2020 Derivative assets Interest rate swaps (A) Other assets $ 52 $ — Interest rate lock commitments Other assets 114,871 289,355 Treasury futures and options on treasury futures Other assets 7,778 — TBAs Other assets 15,472 789 $ 138,173 $ 290,144 Derivative liabilities Interest rate swaps (A) Accrued expenses and other liabilities $ — $ 25 Interest rate lock commitments Accrued expenses and other liabilities 3,093 281 TBAs Accrued expenses and other liabilities 31,490 119,456 $ 34,583 $ 119,762 (A) Net of $60.7 million and $237.7 million of related variation margin accounts as of December 31, 2021 and December 31, 2020, respectively. The following table summarizes notional amounts related to derivatives: December 31, 2021 2020 Interest rate swaps (A) $ 11,490,000 $ 6,515,000 Interest rate lock commitments 10,653,850 15,031,345 TBAs, short position (B) 22,697,706 23,529,408 Treasury futures 314,500 — Options on treasury futures 3,200,000 — (A) Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.1% and $0.0 billion notional of receive fixed of 0.0%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021. Includes $6.5 billion notional of receive LIBOR/pay fixed of 2.2% and $$0.0 billion notional of received fixed of 0.0% 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 gain (loss) on derivatives and the related location on the Consolidated Statements of Income: Year Ended December 31, 2021 2020 2019 Servicing revenue, net (A) TBAs $ 10,483 $ — $ — Treasury futures (23,961) — — Options on treasury futures (17,003) — — (30,481) — — Gain on originated residential mortgage loans, held for sale, net (A) Interest rate lock commitments (293,699) 249,183 26,151 TBAs 118,564 (115,243) 3,067 Forward loan sale commitments — 27 (66) (175,135) 133,967 29,152 Change in fair value of investments (A) Interest rate swaps 298,803 (53,467) (58,918) Interest rate caps — — (3) TBAs — — 2,778 298,803 (53,467) (56,143) Gain (loss) on settlement of investments, net (B) Interest rate swaps (136,073) (2,685) (8,671) TBAs (C) (36,508) (72,127) (121,252) (172,581) (74,812) (129,923) Total gain (loss) $ (79,394) $ 5,688 $ (156,914) (A) Represents unrealized gain (loss). (B) Excludes $34.7 million , $0.0 million, and $0.0 million in loss included within Servicing Revenue, Net (Note 6) for the year ended December 31, 2021, 2020 and 2019, respectively. (C) Excludes $240.6 million in gain on settlement and $361.8 million and $53.4 million in loss on settlement included within Gain on Sale of Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 9) for the year ended December 31, 2021, 2020 and 2019, respectively. |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | The following table summarizes Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: December 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) $ 10,135,658 $ 10,131,700 Feb-22 to Sep-25 1.92 % 0.7 $ 10,904,545 $ 10,936,752 $ 10,977,338 23.0 $ 4,039,564 Warehouse Credit Facility- Mortgage Loans Receivable (G) 1,252,660 1,252,660 Dec-23 2.15 % 2.0 1,473,894 1,473,894 1,515,762 1.3 — Agency RMBS (D) 8,386,538 8,386,538 Jan-22 to Apr-22 0.16 % 0.1 8,396,800 8,661,005 8,442,009 6.9 12,682,427 Non-Agency RMBS (E) 656,874 656,874 Jan-22 to Aug-22 2.43 % 0.1 13,370,966 869,226 924,948 3.3 817,209 Other (G)(H) 165,112 165,112 Mar-22 to Sep-25 2.95 % 1.0 N/A 234,501 230,062 4.4 8,480 Total Secured Financing Agreements 20,596,842 20,592,884 1.25 % 0.6 17,547,680 Secured Notes and Bonds Payable Excess MSRs (I) 237,835 237,835 Aug-25 3.74 % 3.7 80,461,630 268,102 333,845 6.3 275,088 MSRs (J) 4,245,401 4,234,771 Mar-22 to Dec-26 3.47 % 3.3 524,065,651 6,049,595 6,609,171 6.3 2,691,791 Servicer Advance Investments (K) 356,580 355,722 Apr-22 to Dec-22 1.27 % 0.9 369,440 405,786 421,807 6.9 423,144 Servicer Advances (K) 2,362,080 2,355,969 Feb-22 to Nov-24 2.19 % 1.3 2,812,974 2,855,148 2,855,148 0.7 2,585,575 Residential Mortgage Loans (L) 1,020,206 1,001,933 Mar-23 to Jul-43 1.82 % 3.2 889,840 1,158,669 1,147,245 23.9 1,039,838 Consumer Loans (M) 454,542 458,580 Sep-37 2.05 % 8.6 449,713 461,026 507,242 3.3 628,759 Total Secured Notes and Bonds Payable 8,676,644 8,644,810 2.77 % 2.9 7,644,195 Total/Weighted Average $ 29,273,486 $ 29,237,694 1.71 % 1.3 $ 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) Includes approximately $20.9 million of associated interest payable as of December 31, 2021. (D) All fixed interest rates. (E) All LIBOR-based floating interest rates. (F) Includes $252.2 million which bear interest at a fixed interest rate of 4.0% with the remaining having LIBOR-based floating interest rates. (G) All LIBOR-based floating interest rates. (H) Includes $158.5 million of financing collateralized by a portion of our SFR portfolio as well as financing collateralized by REOs. (I) Includes $237.8 million of corporate loans which bear interest at a fixed interest rate of 3.7%. (J) Includes $1.9 billion of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin ranging from 2.5% to 4.5%; and $2.3 billion of capital market 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 securing these notes. (K) $1.8 billion face amount of the notes has 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 1.1% to 3.5%. Collateral includes servicer advance investments, as well as servicer advances receivable related to the MSRs and MSR Financing Receivables owned by NRM. (L) Represents (i) $27.6 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.8%, (ii) $42.9 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.6%, (iii) a $199.7 million note payable collateralized by SFR properties with a fixed interest rate of 2.8%, and (iv) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate residential mortgage loans which bears interest equal to one-month LIBOR plus 1.1%. (M) Includes the SpringCastle debt, comprising the following classes of asset-backed notes held by third parties: $401.5 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 (collectively, “SCFT 2020-A”). The following table summarizes activities related to the carrying value of debt obligations: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Mortgage Loans Receivable Total Balance at December 31, 2019 $ 217,300 $ 2,640,036 $ 3,181,672 $ 22,799,196 $ 5,981,480 $ 816,689 $ — $ 35,636,373 Secured Financing Agreements Borrowings — — — 113,228,180 63,453,603 — — 176,681,783 Repayments — — — (122,526,887) (64,520,481) — — (187,047,368) Capitalized deferred financing costs, net of amortization — — — (853) (2,107) — — (2,960) Secured Notes and Bonds Payable Borrowings 193,357 3,575,811 4,072,560 — 875,758 663,047 — 9,380,533 Repayments (135,569) (3,517,429) (4,245,295) — (697,789) (851,688) — (9,447,770) Discount on borrowings, net of amortization — — — — — (2,882) — (2,882) Unrealized (gain) loss on notes, fair value — — — — (2,627) 3,593 — 966 Capitalized deferred financing costs, net of amortization — (6,627) (218) — 45 — — (6,800) 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 Acquired borrowings, net of discount (Note 3) — — — — 7,090,577 — — 7,090,577 Borrowings — — — 64,749,425 129,876,689 — 1,278,647 195,904,761 Repayments — — — (69,206,600) (130,719,004) — (25,987) (199,951,591) Capitalized deferred financing costs, net of amortization — — — 951 506 — — 1,457 Secured Notes and Bonds Payable — Acquired borrowings, net of discount — 1,045,000 76,772 — — — — 1,121,772 Borrowings — 4,042,325 2,971,974 — 949,778 — — 7,964,077 Repayments (37,253) (3,549,148) (3,346,873) — (974,176) (170,623) — (8,078,073) Unrealized (gain) loss on notes, fair value — — — — (13,435) 444 — (12,991) Capitalized deferred financing costs, net of amortization — 4,803 1,099 — (72) — — 5,830 Balance at December 31, 2021 $ 237,835 $ 4,234,771 $ 2,711,691 $ 9,043,412 $ 11,298,745 $ 458,580 $ 1,252,660 $ 29,237,694 (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 Obligations | Contractual maturities of debt obligations as of December 31, 2021: Year Ending Nonrecourse (A) Recourse (B) Total 2022 $ 1,088,882 $ 17,402,381 $ 18,491,263 2023 1,380,352 3,824,659 5,205,011 2024 750,000 1,211,791 1,961,791 2025 — 2,043,989 2,043,989 2026 and thereafter 525,036 1,596,396 2,121,432 $ 3,744,270 $ 26,079,216 $ 29,823,486 (A) Includes secured notes and bonds payable of $3.7 billion. (B) Includes secured financing agreements and secured notes and bonds payable of $20.6 billion and $5.5 billion, respectively. |
Schedule of Borrowing Capacity | The following table summarizes borrowing capacity as of December 31, 2021: Debt Obligations/ Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 5,178,992 $ 3,478,514 $ 1,700,478 Loan originations 21,564,856 8,824,916 12,739,940 Secured Notes and Bonds Payable Excess MSRs 286,380 237,835 48,546 MSRs 4,999,244 4,245,401 753,843 Servicer advances 4,002,644 2,718,660 1,283,984 Residential mortgage loans 200,000 199,713 287 $ 36,232,116 $ 19,705,039 $ 16,527,078 |
Schedule of Debt Redemption | 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% |
FAIR VALUE MEASURMENTS (Tables)
FAIR VALUE MEASURMENTS (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Carrying Values and Fair Values of Financial Assets and Liabilities Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of 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 December 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) $ 80,461,630 $ 344,947 $ — $ — $ 344,947 $ 344,947 MSRs and MSR financing receivables (A) 548,613,089 6,858,803 — — 6,858,803 6,858,803 Servicer advance investments 369,440 421,807 — — 421,807 421,807 Real estate and other securities 24,314,300 9,396,539 — 8,444,597 951,942 9,396,539 Residential mortgage loans, held-for-sale 144,967 132,921 — — 134,655 134,655 Residential mortgage loans, held-for-sale, at fair value 10,955,534 11,214,924 — 9,361,520 1,853,404 11,214,924 Residential mortgage loans, held-for-investment, at fair value 623,937 569,933 — — 569,933 569,933 Residential mortgage loans subject to repurchase 1,787,314 1,787,314 — 1,787,314 — 1,787,314 Consumer loans 449,875 507,291 — — 507,291 507,291 Derivative assets 47,080,263 138,173 — 23,302 114,871 138,173 Mortgage loans receivable 1,473,894 1,515,762 — — 1,515,762 1,515,762 Note receivable 60,373 60,549 — — 60,549 60,549 Loans receivable 228,692 229,631 — — 229,631 229,631 Cash and cash equivalents 1,332,575 1,332,575 1,332,575 — — 1,332,575 Restricted cash 195,867 195,867 195,867 — — 195,867 Other assets (B) N/A 39,229 3,134 — 36,095 39,229 $ 34,746,265 $ 1,531,576 $ 19,616,733 $ 13,599,690 $ 34,747,999 Liabilities: Secured financing agreements $ 20,596,842 $ 20,592,884 $ — $ 20,596,842 $ — $ 20,596,842 Secured notes and bonds payable (C) 8,676,644 8,644,810 — — 8,662,463 8,662,463 Unsecured senior notes, net of issuance costs 543,293 543,293 — — 553,581 553,581 Residential mortgage loan repurchase liability 1,787,314 1,787,314 — 1,787,314 — 1,787,314 Derivative liabilities 1,275,793 34,583 — 31,490 3,093 34,583 Contingent consideration N/A 4,951 — — 4,951 4,951 $ 31,607,835 $ — $ 22,415,646 $ 9,224,088 $ 31,639,734 (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 $28.7 million as of December 31, 2021. (C) Includes the SAFT 2013-1, MDST 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 $511.1 million as of December 31, 2021. The carrying values and fair values of 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 December 31, 2020 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets: Excess MSRs (A) $ 72,688,905 $ 310,938 $ — $ — $ 310,938 $ 310,938 Excess MSRs, equity method investees (A) 28,453,512 99,917 — — 99,917 99,917 MSRs and MSR financing receivables (A) 435,435,827 4,585,841 — — 4,585,841 4,585,841 Servicer advance investments 449,150 538,056 — — 538,056 538,056 Real estate and other securities 31,869,681 14,244,558 — 13,063,634 1,180,924 14,244,558 Residential mortgage loans, held-for-sale 637,138 509,887 — — 509,887 509,887 Residential mortgage loans, held-for-sale, at fair value 4,675,833 4,705,816 — 3,059,611 1,646,205 4,705,816 Residential mortgage loans, held-for-investment, at fair value 769,348 674,179 — — 674,179 674,179 Residential mortgage loans subject to repurchase 1,452,005 1,452,005 — 1,452,005 — 1,452,005 Consumer loans 620,983 685,575 — — 685,575 685,575 Derivative assets 38,427,601 290,144 — 789 289,355 290,144 Note receivable 51,575 52,389 — — 49,889 49,889 Cash and cash equivalents 944,854 944,854 944,854 — — 944,854 Restricted cash 135,619 135,619 135,619 — — 135,619 Other assets (B) N/A 48,032 11,187 — 36,845 48,032 $ 29,277,810 $ 1,091,660 $ 17,576,039 $ 10,607,611 $ 29,275,310 Liabilities: Secured financing agreements $ 17,552,126 $ 17,547,680 $ — $ 17,552,126 $ — $ 17,552,126 Secured notes and bonds payable (C) 7,667,239 7,644,195 — — 7,651,325 7,651,325 Unsecured senior notes, net of issuance costs 541,516 541,516 — — 541,516 541,516 Residential mortgage loan repurchase liability 1,452,005 1,452,005 — 1,452,005 — 1,452,005 Derivative liabilities 6,648,152 119,762 — 119,481 281 119,762 Excess spread financing 2,190,991 18,420 — — 18,420 18,420 Contingent consideration N/A 14,247 — — 14,247 14,247 $ 27,337,825 $ — $ 19,123,612 $ 8,225,789 $ 27,349,401 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR Financing Receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.8 million as of December 31, 2020. (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 $1.7 billion as of December 31, 2020. |
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | ssets measured at fair value on a recurring basis using Level 3 inputs: Level 3 Excess MSRs (A)(B) MSRs and MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Notes and Loans Receivable Mortgage Loans Receivable Total Balance at December 31, 2019 $ 505,343 $ 5,686,233 $ 581,777 $ 7,957,785 $ 39,891 $ 3,998,825 $ 827,545 $ 37,001 $ — $ 20,139,743 Transfers Transfers from Level 3 — — — — — (718,892) — — — (718,892) Transfers to Level 3 — — — — — 445,040 — — — 445,040 Gains (losses) included in net income Reversal (provision) for credit losses on securities (D) — — — (13,404) — — — — — (13,404) Change in fair value of Excess MSRs (D) (16,232) — — — — — — — — (32,464) Change in fair value of Excess MSRs, equity method investees (D) (3,489) — — — — — — — — (6,978) Servicing revenue, net (E) — (2,183,073) — — — — — — — (2,183,073) Change in fair value of servicer advance investments — — 763 — — — — — — 763 Change in fair value of residential mortgage loans — — — — — (107,604) — — — (107,604) Gain (loss) on settlement of investments, net 67 — — (953,541) — — — — — (953,407) Other income (loss), net (D) (12,190) — — (42,506) — (8,276) (6,385) 814 — (80,733) Gains (losses) included in other comprehensive income (F) — — — (580,102) 249,183 (6,020) 36,472 — — (300,467) Interest income 28,352 — 18,182 105,373 — — 24,120 3,074 — 207,453 Purchases, sales and repayments Purchases, net (G) — 431,608 1,294,757 575,030 — 2,415,084 33,041 11,500 — 4,761,020 Proceeds from sales (1,061) (15,341) — (5,288,480) — (3,391,887) — — — (8,697,830) Proceeds from repayments (89,935) — (1,357,423) (577,543) — (305,886) (229,218) — — (2,649,940) Originations and other — 666,414 — (1,688) — — — — — 664,726 Balance at December 31, 2020 $ 410,855 $ 4,585,841 $ 538,056 $ 1,180,924 $ 289,074 $ 2,320,384 $ 685,575 $ 52,389 $ — $ 10,473,953 Transfers Transfers from Level 3 — — — — — — — — — — Transfers to Level 3 — — — — — 2,386 — — — 2,386 Acquisitions (Note 3) — 1,507,524 — — 116,403 — — — 1,505,635 3,129,562 Gains (losses) included in net income Reversal (provision) for credit losses on securities (D) — — — 5,201 — — — — — 5,201 Change in fair value of excess MSRs (D) (15,078) — — — — — — — — (15,078) Change in fair value of excess MSRs, equity method investees (D) 1,818 — — — — — — — — 1,818 Servicing revenue, net (E) — (513,686) — — — — — — — (513,686) Change in fair value of servicer advance investments — — (9,076) — — — — — — (9,076) Change in fair value of residential mortgage loans — — — — — 155,758 — — — 155,758 Gain (loss) on settlement of investments, net 404 — — (28,550) — — — — — (28,146) Included in other income (loss), net (D) (326) — — 9,136 (293,699) (1,357) (20,133) 301 — (306,078) Gains (losses) included in other comprehensive income (F) — — — 28,882 — — — — — 28,882 Interest income 20,296 — 1,678 13,740 — — 18,925 9,433 — 64,072 Purchases, sales and repayments Purchases, net (G) — 10,949 1,286,526 174,340 — 4,128,097 29,002 6,688 — 5,635,602 Proceeds from sales (984) (63,451) — (164,630) — (3,675,071) — — — (3,904,136) Proceeds from repayments (72,038) — (1,395,377) (267,101) — (487,830) (206,078) (28,631) (60,867) (2,517,922) Originations and other — 1,331,626 — — — (19,030) — 250,000 70,994 1,633,590 Balance at December 31, 2021 $ 344,947 $ 6,858,803 $ 421,807 $ 951,942 $ 111,778 $ 2,423,337 $ 507,291 $ 290,180 $ 1,515,762 $ 13,425,847 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Includes 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) Gains (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 6. (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 Inputs | Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess Spread Financing Mortgage-Backed Securities Issued Contingent Consideration Total Balance at December 31, 2019 $ 31,777 $ 659,738 $ 55,222 $ 746,737 Gains (losses) included in net income Included in servicing revenue, net (A) (14,164) — — (14,164) Included in other income (B) — 966 4,844 5,810 Purchases, sales and payments — Purchases — 1,520,382 — 1,520,382 Payments — (516,769) (45,819) (562,588) Other 807 (1,465) — (658) Balance at December 31, 2020 $ 18,420 $ 1,662,852 $ 14,247 $ 1,695,519 Gains (losses) included in net income Included in servicing revenue, net (A) (3,538) — — (3,538) Included in other income (B) — (12,991) 1,037 (11,954) Interest income — — — — Purchases, sales and payments Purchases — — — — Proceeds from sales (15,378) — — (15,378) Payments — (1,138,754) (10,333) (1,149,087) Other 496 — — 496 Balance at December 31, 2021 $ — $ 511,107 $ 4,951 $ 516,058 (A) Components of Servicing Revenue, Net are disclosed in Note 6. (B) Gains (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period. |
Summary of Certain Information Regarding Weighted Average Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees | The following tables summarize certain information regarding the ranges and weighted averages of significant inputs used: December 31, 2021 Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 5) Agency Original Pools 5.1% - 8.7% (6.7%) 0.2% - 6.9% (0.9%) 3.2% - 20.6% (6.4%) 15 - 32 (21) 11 - 21 (18) Recaptured Pools 4.5% - 9.4% (6.5%) 0.1% - 2.2% (0.8%) —% - 25.2% (9.3%) 20 - 27 (23) 19 - 24 (22) 4.5% - 9.4% (6.6%) 0.1% - 6.9% (0.9%) —% - 25.2% (7.7%) 15 - 32 (22) 11 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 5.8% - 12.4% (7.7%) 5.5% - 9.6% (7) —% - 11.3% (7.2%) 6 - 25 (15) 18 - 28 (23) Recaptured Pools 3.6% - 4.9% (4%) 0.1% - 0.3 (0.2) 4% - 10.1% (5.5%) 22 - 25 (24) 21 - 23 (23) 3.6% - 12.4% (7%) 0.1% - 9.6% (7) —% - 11.3% (6.9%) 6 - 25 (17) 18 - 28 (23) Total/Weighted Average — Excess MSRs Directly Held 3.6% - 12.4% (6.8%) 0.1% - 9.6% (3.2%) —% - 25.2% (7.3%) 6 - 32 (19) 11 - 28 (21) Excess MSRs Held through Equity Method Investees (Note 5) Agency Original Pools 6.6% - 8.5% (7%) 0.6% - 1.5% (0.9%) 3.2% - 9.5% (5.1%) 15 - 25 (19) 16 - 18 (17) Recaptured Pools 5.4% - 7.5% (6.5%) 0.3% - 1.6% (0.8%) 3% - 9.2% (6.2%) 22 - 26 (24) 20 - 23 (21) Total/Weighted Average—Excess MSRs Held through Investees 5.4% - 8.5% (6.7%) 0.3% - 1.6% (0.9%) 3.0% - 9.5% (5.7%) 15 - 26 (22) 16 - 23 (19) Total/Weighted Average—Excess MSRs All Pools 3.6% - 12.4% (6.8%) 0.1% - 9.6% (2.4%) —% - 25.2% (6.7%) 6 - 32 (20) 11 - 28 (21) MSRs and MSR Financing Receivables (Note 6) (H) Agency 6.0% - 14.6% (10.2%) 0.1% - 2.2% (0.9%) —% - 31.4% (10.7%) 25 - 30 (28) 0 - 40 (23) Non-Agency 6.7% - 50.4% (6.7%) 0.7% - 64.6% (11.8%) 4.0% - 27.0% (6.8%) 26 - 86 (48) 0 - 30 (24) Ginnie Mae 5.3% - 14.3% (12.6%) 1.4% - 6.3% (4.1%) 4.8% - 24.5% (12.7%) 31 - 45 (39) 0 - 30 (28) Total/Weighted Average—MSRs and MSR Financing Receivables 5.3% - 50.4% (10.2%) 0.1% - 64.6% (3.1%) —% - 31.4% (10.0%) 25 - 86 (33) 0 - 40 (24) December 31, 2020 Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 5) Agency Original Pools 7.1% - 10.9% (7.8%) —% - 3.5% (1.4%) 4.4% - 23.3% (10.3%) 15 - 31 (21) 13 - 21 (19) Recaptured Pools 7.0% - 11.9% (9.6%) —% - 4.0% (0.9%) —% - 35.0% (20.4%) 21 - 29 (24) 19 - 19 (22) 7.0% - 11.9% (8.4%) —% - 4.0% (1.2%) —% - 35.0% (13.8%) 15 - 31 (22) 13 - 24 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 6.6% - 11.9% (9.0%) 2.6% - 13.9% (10.2%) —% - 13.1% (10.0%) 5 - 25 (15) 18 - 29 (23) Recaptured Pools 5.6% - 7.4% (6.1%) 0.2% - 0.5% (0.4%) 12.1% - 21.4% (14.2%) 23 - 27 (25) 21 - 23 (23) 5.6% - 11.9% (8.5%) 0.2% - 13.9% (10.2%) —% - 21.4% (10.7%) 5 - 27 (17) 18 - 29 (23) Total/Weighted Average—Excess MSRs Directly Held 5.6% - 11.9% (8.5%) —% - 13.9% (4.8%) —% - 35.0% (12.3%) 5 - 31 (19) 13 - 29 (21) Excess MSRs Held through Equity Method Investees (Note 5) Agency Original Pools 7.1% - 10.2% (8.0%) 1.2% - 2.5% (1.6%) 5.2% - 23.3% (8.9%) 15 - 25 (19) 18 - 19 (18) Recaptured Pools 8.6% - 10.5% (9.3%) 0.6% - 1.7% (1.2%) 11.7% - 28.9% (15.0%) 22 - 28 (25) 20 - 23 (22) Total/Weighted Average- Excess MSRs Held through Investees 7.5% - 10.7% (9.0%) 0.6% - 2.2% (1.2%) 5.5% - 29.8% (12.9%) 15 - 28 (22) 18 - 23 (20) Total/Weighted Average—Excess MSRs All Pools 5.6% - 11.9% (8.5%) —% - 13.9% (3.6%) —% - 35.0% (12.2%) 5 - 31 (20) 13 - 29 (21) MSRs and MSR Financing Receivables (Note 6) (H) Agency 7.9% - 23.3% (13.1%) 0.4% - 2.1% (0.9%) 2.5% - 35.5% (20.5%) 25 - 31 (28) 0 - 30 (22) Non-Agency 7.6% - 16.4% (7.7%) 0.9% - 13.0% (12.9%) 4.3% - 31.6% (8.1%) 26 - 88 (48) 0 - 30 (25) Ginnie Mae 9.0% - 24.1% (20.3%) 2.3% - 5.6% (4.7%) 16.2% - 35.0% (24.9%) 32 - 50 (45) 0 - 30 (27) Total/Weighted Average—MSRs and MSR Financing Receivables 7.6% - 24.1% (12.9%) 0.4% - 13.0% (4.2%) 2.5% - 35.5% (20.0%) 25 - 88 (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 bps. As of December 31, 2021 and 2020, weighted average costs of subservicing of $6.40-$7.20 ($7.00) and $6.20-$7.50 ($7.00), respectively, per loan per month was used to value the agency MSRs, including MSR Financing Receivables. Weighted average costs of subservicing of $10.60-$15.80 ($10.70) and $10.90, respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.80-$8.90 ($8.80) and $8.90, respectively, per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. Fair Value Discount Rate Prepayment Rate CDR Loss Severity Acquired $ 1,713,662 2.2% - 7.5% (3.7%) 1.7% - 18.6% (11.3%) —% - 16.7% (1.2%) 3.1% - 67.2% (37.7%) Originated 139,742 4.0% 6.0% 3.0% 50.0% Residential mortgage loans held-for-sale, at fair value $ 1,853,404 The following table summarizes certain information regarding the ranges and weighted averages of significant 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 $ 569,933 3.3% - 7.5% (7.2%) 1.7% - 20.0% (9.7%) 0.3% - 16.7% (4.8%) 20.0% - 95.4% (71.5%) The following table summarizes certain information regarding the ranges and weighted averages of significant 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 $ 507,291 (7.5%) (22.9%) (4.1%) (64.0%) Fair Value Loan Funding Probability Fair Value of initial servicing rights (bps) IRLCs, net $ 111,778 0.0% - 100.0% (80.9%) 1.2 - 311.0 (160.1) 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 $ 511,107 1.7% - 7.5% (2.0%) 13.2% - 40.0% (23.4%) 0.3% - 5.4% (4.0%) 20.0% - 95.4% (90.3%) |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Outstanding Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Collateral Weighted Average Maturity (Years) (C) December 31, 2021 0.7% - 1.8% (1.7%) 6.5% - 7.7% (7.7%) 8.2% - 15.0% (14.8%) 17.6 - 19.8 (19.7) bps 5.2% - 5.7% (5.2%) 22.1 December 31, 2020 1.1% - 1.7% (1.7%) 9.3% - 9.3% (9.3%) 6.9% - 9.1% (9.0%) 17.1 - 19.8 (19.7) bps 5.2% - 5.7% (5.2%) 22.3 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.6 bps and 10.0 bps which represent the amounts New Residential paid its servicers as a monthly servicing fee as of December 31, 2021 and 2020, respectively. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. |
Schedule of Securities Valuation Methodology and Results | 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 December 31, 2021 Agency RMBS $ 8,399,343 $ 8,663,693 $ 8,444,597 $ — $ 8,444,597 2 Non-Agency RMBS (C) 15,914,957 886,643 951,942 — 951,942 3 Total $ 24,314,300 $ 9,550,336 $ 9,396,539 $ — $ 9,396,539 December 31, 2020 Agency RMBS $ 12,491,152 $ 12,951,608 $ 13,063,634 $ — $ 13,063,634 2 Non-Agency RMBS (C) 19,378,530 1,153,643 1,171,209 9,715 1,180,924 3 Total $ 31,869,682 $ 14,105,251 $ 14,234,843 $ 9,715 $ 14,244,558 (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 99.3% of 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 Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 945,168 1.0% - 15.0% (5.8%) —% - 25.0% (10.3%) —% - 12.0% (0.9%) —% - 100.0% (13.9%) (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 interest-only notes for which the fair value option for financial instruments was elected. |
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the ranges and weighted averages of significant inputs used in valuing these residential mortgage loans: Fair Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) December 31, 2021 Performing $ 113,196 3.8% - 7.0% (6.8%) 4.8 - 8.8 (4.9) 4.8% - 7.4% (6.0%) 0.9% - 9.4% (5.9%) 40.9% - 54.7% (45.5%) Non-performing 2,287 7.5% - 7.5% (7.5%) 4.7 - 4.7 (4.7) 1.7% - 1.7% (1.7%) 16.7% - 16.7% (16.7%) 41.9% - 41.9% (41.9%) Total/weighted average $ 115,483 6.8% 4.9 5.9% 6.1% 45.4% December 31, 2020 Performing $ 129,345 4.8% - 8.5% (6.7%) 3.1 - 9.1 (4.5) 5.1% - 9.9% (8.8%) 0.2% - 7.8% (2.0%) 28.7% - 100.0% (46.2%) Non-performing 380,542 7.5% - 9.0% (7.5%) 2.9 - 3.8 (3.3) 2.0% - 2.0% (2.0%) 2.9% - 2.9% (2.9%) 8.5% - 30.0% (29.5%) Total/weighted average $ 509,887 7.3% 3.6 3.7% 2.6% 33.7% (A) 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) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The following table summarizes the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Servicer Advance Facilities MSR Financing Facilities Total December 31, 2021 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 403,301 $ 403,301 Servicer advance investments, at fair value 409,475 — — — — — 409,475 Residential mortgage loans, held-for-investment, at fair value — — 93,226 — — — 93,226 Residential mortgage loans, held-for-sale — — — — — — — Residential mortgage loans, held-for-sale, at fair value — — 798,644 — — — 798,644 Consumer loans — — — 507,291 — — 507,291 Cash and cash equivalents 33,777 37,369 2,882 — — — 74,028 Restricted cash 2,210 — 171 7,249 — — 9,630 Servicer advance facilities — — — — 94,306 — 94,306 Other assets 9 903 2,902 6,851 24,699 332,521 367,885 Total Assets 445,471 38,272 897,825 521,391 119,005 735,822 2,757,786 Liabilities Secured financing agreements (A) — — 24,683 — — — 24,683 Secured notes and bonds payable (A) 348,670 — 802,526 458,580 93,145 367,871 2,070,792 Accrued expenses and other liabilities 806 6,588 10,163 862 27,771 134 46,324 Total Liabilities $ 349,476 $ 6,588 $ 837,372 $ 459,442 $ 120,916 $ 368,005 $ 2,141,799 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 — — — 682,932 — — 682,932 Cash and cash equivalents 53,012 39,031 — — — — 92,043 Restricted cash 2,808 — — 8,090 — — 10,898 Other assets 5 9,151 30,621 9,201 — — 48,978 Total Assets 578,726 48,182 1,350,368 700,223 — — 2,677,499 Liabilities Secured notes and bonds payable (A) 413,701 — 1,034,093 628,759 — — 2,076,553 Accrued expenses and other liabilities 1,081 9,455 1,661 764 — — 12,961 Total Liabilities $ 414,782 $ 9,455 $ 1,035,754 $ 629,523 $ — $ — $ 2,089,514 (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. The following table comprises unconsolidated bonds retained pursuant to required risk retention regulations: As of and for the 2021 2020 Residential mortgage loan UPB $ 10,752,079 $ 14,211,351 Weighted average delinquency (A) 4.45% 10.06% Net credit losses $ 130,392 $ 76,725 Face amount of debt held by third parties (B) $ 9,897,879 $ 12,671,168 Carrying value of bonds retained by New Residential (C)(D) $ 927,490 $ 1,361,624 Cash flows received by New Residential on these bonds $ 330,197 $ 315,939 (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 14 for details on unobservable inputs. |
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows: December 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 $ 95,995 $ 31,684 $ 83,597 $ 163,944 $ 38,727 $ 96,418 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 50.1 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 10,251 $ 15,683 $ 39,414 $ 43,882 $ 19,402 $ 45,384 Others’ interests in the New Residential’s net income (loss) is computed as follows: Year Ended December 31, 2021 2020 2019 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income $ (13,937) $ 22,839 $ 51,307 $ 3,326 $ 31,188 $ 77,760 $ 15,892 $ 12,717 $ 69,143 Others’ ownership interest as a percent of total 12.9 % 49.5 % 46.5 % 26.8 % 50.1 % 46.5 % 26.8 % 49.0 % 46.5 % Others’ interest in net income of consolidated subsidiaries $ (1,800) $ 11,298 $ 23,858 $ 891 $ 15,625 $ 36,158 $ 4,255 $ 6,231 $ 32,151 (A) As a result, New Residential owned 89.3% (since July 2021, see Note 7), 73.2% and 73.2% of the Buyer as of the year ended December 31, 2021, 2020 and 2019, respectively. See Note 13 regarding the financing of Servicer Advance Investments. |
EQUITY AND ENARNINGS PER SHARE
EQUITY AND ENARNINGS PER SHARE (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Preferred Shares | The table below summarizes preferred shares: Number of Shares Liquidation Preference (A) Dividends Declared per Share December 31, Year Ended December 31, Series 2021 2020 2021 2020 Issuance Discount Carrying Value (B) 2021 2020 2019 Series A, 7.50% issued July 2019 (C) $ 6,210 $ 6,210 $ 155,250 $ 155,250 3.15 % $ 150,026 $ 1.88 $ 1.88 $ 1.16 Series B, 7.125% issued August 2019 (C) 11,300 11,300 282,500 282,500 3.15 % 273,418 1.78 1.78 0.89 Series C, 6.375% issued February 2020 (C) 16,100 16,100 402,500 402,500 3.15 % 389,548 1.59 1.60 — Series D, 7.00% issued September 2021 (D) 18,600 — 465,000 — 3.15 % 449,489 0.72 — — Total $ 52,210 $ 33,610 $ 1,305,250 $ 840,250 $ 1,262,481 $ 5.97 $ 5.26 $ 2.05 (A) Each series has a liquidation preference of $25.00 per share. (B) Carrying value reflects par value less discount and issuance costs. (C) Fixed-to-floating rate cumulative redeemable preferred. (D) Fixed-rate reset cumulative redeemable preferred. |
Schedule of Dividends Declared | Common dividends have been declared as follows: Per Share Declaration Date Payment Date Quarterly Dividend Total Amounts Distributed (millions) March 25, 2019 April 2019 $ 0.50 $ 207.7 June 18, 2019 July 2019 0.50 207.8 September 23, 2019 October 2019 0.50 207.8 December 16, 2019 January 2020 0.50 207.8 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 June 16, 2021 August 2021 0.20 93.3 August 23, 2021 October 2021 0.25 116.6 December 15, 2021 January 2022 0.25 116.7 |
Schedule of Stockholders' Equity Note, Warrants or Rights | The table below summarizes the 2020 Warrants: Number of Warrants Weighted Average Exercise Price Outstanding warrants - December 31, 2020 43.4 $ 6.79 Granted — — Exercised — — Expired — — Outstanding warrants - December 31, 2021 43.4 $ 6.49 (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. |
Summary of Outstanding Options | The following table summarizes outstanding options for the periods presented: December 31, 2021 2020 Held by the Manager 19,877,843 11,991,622 Issued to the Manager and subsequently assigned to certain of the Manager’s employees 1,594,147 2,430,033 Issued to the independent directors 7,000 7,000 Total 21,478,990 14,428,655 The following table summarizes outstanding options as of December 31, 2021. The last sales price on the New York Stock Exchange for New Residential’s common stock for the year ended December 31, 2021 was $10.71 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of December 31, 2021 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of December 31, 2021 Directors Various 7,000 7,000 $ 13.08 $ — Manager (C) 2017 1,130,916 1,130,916 13.78 — Manager (C) 2018 5,320,000 5,320,000 16.50 — Manager (C) 2019 6,351,000 6,000,800 15.93 — Manager (C) 2020 1,619,739 1,187,809 17.23 — Manager (C) 2021 7,050,335 1,565,928 10.19 810 Outstanding 21,478,990 15,212,453 14.17 (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 Prices Total Unexercised 2019 $14.96 to $16.50 1,270,200 2020 $16.84 to $17.23 323,947 2021 $10.10 to $11.51 — Total 1,594,147 The following table summarizes activity related to outstanding options for the periods presented: Amount Weighted Average Exercise Price Outstanding options - December 31, 2019 12,808,916 Granted 1,619,739 $ 17.41 Exercised — — Expired — — Outstanding options - December 31, 2020 14,428,655 Granted 7,051,335 10.31 Exercised — — Expired (1,000) 12.36 Outstanding options - December 31, 2021 21,478,990 See table above |
Schedule of Basic and Diluted Earnings Per Share | The following table summarizes the basic and diluted earnings per share calculations: Year Ended December 31, 2021 2020 2019 Net income (loss) $ 805,582 $ (1,357,684) $ 605,933 Noncontrolling interests in income of consolidated subsidiaries 33,356 52,674 42,637 Dividends on preferred stock 66,744 54,295 13,281 Net income (loss) attributable to common stockholders $ 705,482 $ (1,464,653) $ 550,015 Basic weighted average shares of common stock outstanding 451,276,742 415,513,187 408,789,642 Dilutive effect of stock options and common stock purchase warrants (A) 16,388,264 — 200,465 Diluted weighted average shares of common stock outstanding 467,665,006 415,513,187 408,990,107 Basic earnings per share attributable to common stockholders $ 1.56 $ (3.52) $ 1.35 Diluted earnings per share attributable to common stockholders $ 1.51 $ (3.52) $ 1.34 (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 Share | The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Year Ended December 31, 2021 2020 2019 Stock options and common stock purchase warrants — 7,328,961 — |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Future Commitments for Non-Cancelable Leases | As of December 31, 2021, future commitments under the non-cancelable leases are as follows: Year Ending Amount 2022 $ 42,018 2023 31,169 2024 23,881 2025 18,470 2026 10,933 2027 and thereafter 34,661 Total remaining undiscounted lease payments 161,132 Less: imputed interest 18,512 Total remaining discounted lease payments $ 142,620 |
Other Information Related to Operating Leases | Other information related to operating leases is summarized below: December 31, 2021 2020 Weighted-average remaining lease term (years) 5.5 3.2 Weighted-average discount rate 4.1 % 4.5 % |
TRANSACTIONS WITH AFFILIATES _2
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Affiliate Transactions | Due to affiliates consists of the following: December 31, 2021 2020 Management fees $ 95,926 $ 89,134 Expense reimbursements and other 500 500 Total $ 96,426 $ 89,634 Affiliate expenses and fees consists of the following: Year Ended December 31, 2021 2020 2019 Management fees $ 17,188 $ 7,478 $ 7,076 Incentive compensation — — 91,892 Expense reimbursements (A) 631 1,972 4,914 Total $ 17,819 $ 9,450 $ 103,882 (A) Included in General and Administrative expenses in the Consolidated Statements of Income. |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax (benefit) expense consists of the following: Year Ended December 31, 2021 2020 2019 Current: Federal $ 5,556 $ (2,197) $ 148 State and Local 1,470 4,084 3,411 Total Current Income Tax Expense (Benefit) 7,026 1,887 3,559 Deferred: Federal 130,696 17,516 28,939 State and Local 20,504 (2,487) 9,268 Total Deferred Income Tax Expense (Benefit) 151,200 15,029 38,207 Total Income Tax (Benefit) Expense $ 158,226 $ 16,916 $ 41,766 |
Schedule of Reported Provision for Income Taxes and the U.S. Federal Statutory Rate | The difference between New Residential’s reported provision for income taxes and the U.S. federal statutory rate of 21% is as follows: December 31, 2021 2020 2019 Provision at the statutory rate 21.00 % 21.00 % 21.00 % Non-taxable REIT income (7.38) % (26.44) % (16.26) % State and local taxes 3.86 % 3.70 % 2.36 % Return to provision (1.10) % 0.12 % 0.57 % Other 0.04 % 0.45 % 0.09 % Total provision 16.42 % (1.17) % 7.76 % |
Schedule of Deferred Tax Assets and Liabilities | The tax effects of temporary differences that give rise to significant portions of the deferred tax assets and liability are presented below: December 31, 2021 2020 Deferred tax assets: Net operating losses and tax credit carryforwards (A) $ 76,642 $ 5,636 Basis differences related to assets and investments 85,104 18,868 Goodwill 30,485 — Accrued Expenses 20,171 — Other 4,632 705 Total deferred tax assets 217,034 25,209 Less valuation allowance — — Net deferred tax assets $ 217,034 $ 25,209 Deferred tax liabilities: Mortgage servicing rights $ (594,801) $ (16,189) Basis differences related to assets and investments (21,672) (12,539) Fixed asset depreciation (14,495) (1,231) Unrealized mark to market (26,021) — Other (735) (3,109) Total deferred tax (liability) $ (657,724) $ (33,068) Net deferred tax assets (liability) $ (440,690) $ (7,859) (A) As of December 31, 2021, New Residential’s TRSs had approximately $266.8 million of net operating loss carryforwards for federal and state income tax purposes which may be available to offset future taxable income, if and when it arises. Approximately, $33.8 million of federal net operating losses are subject to an annual Internal Revenue Code Section 382 limitation. The federal and state net operating loss carryforwards will begin to expire between 2034 and 2040. The utilization of the net operating loss carryforwards to reduce future income taxes will depend on the TRSs ability to generate sufficient taxable income prior to the expiration of the carryforward period. |
Schedule of Taxable Common Stock Distributions | Common stock distributions were taxable as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 0.50 58.84 % — % 41.16 % 2020 (B) $ 0.62 78.01 % — % 21.99 % 2019 (C) $ 1.87 77.53 % 15.82 % 6.65 % (A) The entire $0.25 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.20 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. (C) The entire $0.50 per share dividend declared in December 2019 and paid in January 2020 is treated as received by stockholders in 2020. Series A Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.88 100 % — % — % 2020 (B) $ 1.88 100 % — % — % (A) The entire $0.47 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.47 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series B Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.78 100 % — % — % 2020 (B) $ 1.78 100 % — % — % (A) The entire $0.45 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.45 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series C Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 1.59 100 % — % — % 2020 (B) $ 1.20 100 % — % — % (A) The entire $0.40 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. (B) The entire $0.40 per share dividend declared in December 2020 and paid in January 2021 is treated as received by stockholders in 2021. Series D Preferred stock distributions were as follows: Year Dividends Ordinary Long-term Return 2021 (A) $ 0.28 100 % — % — % (A) The entire $0.28 per share dividend declared in December 2021 and paid in January 2022 is treated as received by stockholders in 2022. |
ORGANIZATION (Details)
ORGANIZATION (Details) - shares | Dec. 31, 2021 | Dec. 31, 2020 |
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 466,758,266 | 414,744,518 |
Stock options outstanding (in shares) | 21,478,990 | |
Fortress-managed funds | ||
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 2,400,000 | |
Stock options outstanding (in shares) | 19,900,000 | |
Warrants outstanding (in shares) | 22,300,000 |
SUMMARY OF SIGNIFICANT ACCOUN_4
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021USD ($)property | Dec. 31, 2020USD ($)property | ||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | [1] | $ 195,867 | $ 135,619 |
Unpaid Principal Balance | $ 289,065 | $ 51,575 | |
Number of units in real estate property | property | 2,551 | 257 | |
Number of units in real estate property acquired during period | property | 2,294 | 257 | |
Property acquired, useful life | 15 years | ||
Government Guaranteed Mortgage Loans upon Foreclosure Receivable | |||
Cash and Cash Equivalents [Line Items] | |||
Unpaid Principal Balance | $ 9,600 | ||
Ginnie Mae | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 4,700 | $ 4,700 | |
Real Estate Securities | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 15,300 | 15,700 | |
Single Family Rental Properties | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 2,500 | 100 | |
MSRs | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 117,700 | 51,900 | |
Mortgage Loans Receivable | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 300 | 0 | |
Servicer Advance Investments | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 33,400 | 36,300 | |
Consumer Loan | |||
Cash and Cash Equivalents [Line Items] | |||
Restricted cash | 21,900 | $ 27,000 | |
Residential Mortgage Loans | |||
Cash and Cash Equivalents [Line Items] | |||
Unpaid principal balance | $ 97,900 | ||
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
SUMMARY OF SIGNIFICANT ACCOUN_5
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Other Assets and Other Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Other Assets | ||||
Margin receivable, net | $ 358,041 | $ 271,753 | ||
Servicing fee receivables | 117,935 | 137,426 | ||
Due from servicers | 34,771 | 67,854 | ||
Principal and interest receivable | 85,084 | 41,589 | ||
Equity investments | 81,052 | 55,504 | ||
Other receivables | 188,298 | 109,111 | ||
REO | 21,641 | 45,299 | ||
SFR properties | 579,607 | 41,271 | $ 24,133 | |
Goodwill | 85,199 | 29,468 | $ 29,468 | |
Notes receivable, at fair value | 60,549 | 52,389 | ||
Warrants, at fair value | 27,354 | 23,218 | ||
Recovery asset | 19,251 | 13,006 | ||
Property and equipment | 56,617 | 26,999 | ||
Receivable from government agency | 10,273 | 14,369 | ||
Intangible assets | 143,133 | 34,125 | ||
Prepaid expenses | $ 115,110 | $ 30,949 | ||
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | Total other assets | Total other assets | ||
Operating lease right-of-use assets (Note 17) | $ 117,131 | $ 26,913 | ||
Derivative assets (Note 12) | 138,173 | 290,144 | ||
Ocwen common stock, at fair value | 2,559 | 11,187 | ||
Loans receivable, at fair value | 229,631 | 0 | ||
Credit facilities receivable | 41,351 | 0 | ||
Loans in process and settlements in process | 11,681 | 0 | ||
Other assets | 83,918 | 35,848 | ||
Total other assets | [1] | 2,608,359 | 1,358,422 | |
Accrued Expenses and Other Liabilities | ||||
Margin payable | 9,821 | 0 | ||
MSRs purchase price holdback | 14,985 | 25,121 | ||
Interest payable | 30,931 | 44,623 | ||
Accounts payable | 298,901 | 87,406 | ||
Derivative liabilities (Note 12) | 34,583 | 119,762 | ||
Due to servicers | 47,000 | 59,671 | ||
Due to agencies | 12,530 | 26,748 | ||
Contingent consideration | 4,951 | 14,247 | ||
Accrued compensation and benefits | 201,057 | 67,025 | ||
Excess spread financing, at fair value | $ 0 | $ 18,420 | ||
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Total accrued expenses and other liabilities | Total accrued expenses and other liabilities | ||
Operating lease liabilities (Note 17) | $ 142,620 | $ 31,270 | ||
Reserve for sales recourse | 36,476 | 9,799 | ||
Reserve for servicing losses | 19,857 | 9,288 | ||
Deferred tax liability | 440,690 | 7,859 | ||
Other liabilities | 64,366 | 16,063 | ||
Total accrued expenses and other liabilities | [1] | $ 1,358,768 | $ 537,302 | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
SUMMARY OF SIGNIFICANT ACCOUN_6
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Real Estate Owned (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Real Estate Owned [Roll Forward] | ||
Beginning balance | $ 45,299 | $ 93,672 |
Purchases | 2,464 | 6,502 |
Transfer of loans to real estate owned | 30,015 | 43,409 |
Sales | (60,407) | (101,035) |
Valuation (provision) reversal | 4,270 | 2,751 |
Ending balance | $ 21,641 | $ 45,299 |
SUMMARY OF SIGNIFICANT ACCOUN_7
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Single-Family Rental Properties (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Single-Family Rental Properties [Roll Forward] | ||
Beginning balance | $ 41,271 | $ 24,133 |
Acquisitions and capital improvements | 544,850 | 17,763 |
Dispositions | (442) | 0 |
Reclassifications to SFR properties, held for sale, net of dispositions | 0 | 0 |
Write-offs | 0 | 0 |
Accumulated depreciation | (6,072) | (625) |
Ending balance | $ 579,607 | $ 41,271 |
SUMMARY OF SIGNIFICANT ACCOUN_8
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Notes and Loans Receivable (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Financing Receivable [Roll Forward] | ||
Beginning balance | $ 41,589 | |
Ending balance | 85,084 | $ 41,589 |
Notes Receivable | ||
Financing Receivable [Roll Forward] | ||
Beginning balance | 52,389 | 37,001 |
Fundings | 6,688 | 11,500 |
Accrued interest paid-in-kind | 5,298 | 3,074 |
Proceeds from repayments | (3,188) | 0 |
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (638) | 814 |
Ending balance | 60,549 | 52,389 |
Loans Receivable | ||
Financing Receivable [Roll Forward] | ||
Beginning balance | 0 | 0 |
Fundings | 250,000 | 0 |
Accrued interest paid-in-kind | 4,135 | 0 |
Proceeds from repayments | (25,443) | 0 |
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 939 | 0 |
Ending balance | 229,631 | 0 |
Notes and Loans Receivable | ||
Financing Receivable [Roll Forward] | ||
Beginning balance | 52,389 | 37,001 |
Fundings | 256,688 | 11,500 |
Accrued interest paid-in-kind | 9,433 | 3,074 |
Proceeds from repayments | (28,631) | 0 |
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 301 | 814 |
Ending balance | $ 290,180 | $ 52,389 |
SUMMARY OF SIGNIFICANT ACCOUN_9
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Past Due Notes and Loans Receivable (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 289,065 | $ 51,575 |
Fair Value | 290,180 | 52,389 |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 289,065 | 51,575 |
Fair Value | 290,180 | 52,389 |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 |
90+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Fair Value | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | $ 0 | $ 0 |
SUMMARY OF SIGNIFICANT ACCOU_10
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Summary of Goodwill (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Goodwill [Roll Forward] | ||
Beginning balance | $ 29,468 | $ 29,468 |
Goodwill acquired | 55,731 | 0 |
Accumulated impairment loss | 0 | 0 |
Other adjustments | 0 | 0 |
Ending balance | 85,199 | 29,468 |
Origination | ||
Goodwill [Roll Forward] | ||
Beginning balance | 11,836 | 11,836 |
Goodwill acquired | 0 | 0 |
Accumulated impairment loss | 0 | 0 |
Other adjustments | 0 | 0 |
Ending balance | 11,836 | 11,836 |
Servicing | ||
Goodwill [Roll Forward] | ||
Beginning balance | 12,540 | 12,540 |
Goodwill acquired | 0 | 0 |
Accumulated impairment loss | 0 | 0 |
Other adjustments | 0 | 0 |
Ending balance | 12,540 | 12,540 |
MSR Related Investments | ||
Goodwill [Roll Forward] | ||
Beginning balance | 5,092 | 5,092 |
Goodwill acquired | 0 | 0 |
Accumulated impairment loss | 0 | 0 |
Other adjustments | 0 | 0 |
Ending balance | 5,092 | 5,092 |
Mortgage Loans Receivable | ||
Goodwill [Roll Forward] | ||
Beginning balance | 0 | 0 |
Goodwill acquired | 55,731 | 0 |
Accumulated impairment loss | 0 | 0 |
Other adjustments | 0 | 0 |
Ending balance | $ 55,731 | $ 0 |
SUMMARY OF SIGNIFICANT ACCOU_11
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Acquired Intangible Assets (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 161,449 | $ 42,019 |
Accumulated Amortization | 18,316 | 7,894 |
Intangible Assets, Net | 143,133 | 34,125 |
Customer relationships | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | 57,949 | 13,247 |
Accumulated Amortization | 6,574 | 2,489 |
Intangible Assets, Net | $ 51,375 | 10,758 |
Customer relationships | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 3 years | |
Customer relationships | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 9 years | |
Purchased technology | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 93,241 | 26,896 |
Accumulated Amortization | 10,578 | 5,053 |
Intangible Assets, Net | $ 82,663 | 21,843 |
Purchased technology | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 3 years | |
Purchased technology | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 5 years | |
Trademarks/trade names | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 10,259 | 1,876 |
Accumulated Amortization | 1,164 | 352 |
Intangible Assets, Net | $ 9,095 | $ 1,524 |
Trademarks/trade names | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 1 year | |
Trademarks/trade names | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 5 years |
SUMMARY OF SIGNIFICANT ACCOU_12
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Amortization Expense (Details) $ in Thousands | Dec. 31, 2021USD ($) |
Accounting Policies [Abstract] | |
2022 | $ 25,738 |
2023 | 22,148 |
2024 | 21,215 |
2025 | 17,694 |
2026 and thereafter | 33,097 |
Intangible Assets, Net | $ 119,892 |
SUMMARY OF SIGNIFICANT ACCOU_13
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||
Accretion of net discount on securities and loans | $ 32,670 | $ 96,148 | $ 323,652 |
Accretion of servicer advances receivable discount and investments | 1,822 | 55,664 | 28,094 |
Accretion of Excess MSRs income | 30,855 | 28,352 | 32,647 |
Amortization of deferred financing costs | (14,174) | (22,733) | (4,019) |
Total accretion and other amortization | 49,382 | 151,540 | 379,129 |
Secured Notes And Bonds Payable | |||
Debt Instrument [Line Items] | |||
Amortization of discount | (13) | (388) | (1,245) |
Term Loan | |||
Debt Instrument [Line Items] | |||
Amortization of discount | $ (1,778) | $ (5,503) | $ 0 |
SUMMARY OF SIGNIFICANT ACCOU_14
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Change in Fair Value of Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Other Income Assets And Liabilities | |||
Excess MSRs | $ (15,078) | $ (16,232) | $ (10,505) |
Excess MSRs, equity method investees | 1,818 | (3,489) | 6,800 |
Servicer advance investments | (9,076) | 763 | 10,288 |
Real estate and other securities | (400,369) | 28,455 | 2,101 |
Residential mortgage loans | 155,758 | (107,604) | (70,914) |
Consumer loans | (20,133) | 2,816 | 0 |
Derivative instruments | 298,803 | (53,467) | (56,143) |
Total change in fair value of investments | $ 11,723 | $ (148,758) | $ (118,373) |
SUMMARY OF SIGNIFICANT ACCOU_15
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Gain (Loss) on Settlement of Investments, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | |||
Sale of real estate securities | $ (89,811) | $ (753,713) | $ 205,989 |
Sale of acquired residential mortgage loans | 120,680 | (5,662) | 153,174 |
Settlement of derivatives | (172,581) | (74,812) | (129,923) |
Liquidated residential mortgage loans | (5,946) | 4,644 | (4,872) |
Sale of REO | (6,622) | (21,925) | (11,521) |
Extinguishment of debt | (1,485) | (66,233) | (8,532) |
Other | (78,796) | (12,430) | 23,666 |
Total gain (loss) on settlement of investments, net | $ (234,561) | $ (930,131) | $ 227,981 |
SUMMARY OF SIGNIFICANT ACCOU_16
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of Other Income (Loss), Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Other income (loss), net | |||
Unrealized gain (loss) on secured notes and bonds payable | $ 12,991 | $ (966) | $ (1,236) |
Unrealized gain (loss) on contingent consideration | (1,037) | (6,568) | (10,487) |
Unrealized gain (loss) on equity investments | 5,986 | (54,455) | (3,096) |
Gain (loss) on transfer of loans to REO | 3,752 | 7,945 | 11,842 |
Gain (loss) on transfer of loans to other assets | (9) | (939) | (1,144) |
Gain (loss) on Ocwen common stock | 2,181 | 3,235 | 174 |
Provision for servicing losses | (41,038) | (15,330) | (9,102) |
Bargain purchase gain | 6,024 | 0 | 49,539 |
Rental revenue | 13,750 | 2,422 | 194 |
Ancillary income | 53,358 | 22,987 | 6,538 |
Property and maintenance revenue | 104,797 | 70,527 | 14,449 |
Other income (loss) | (26,787) | (40,855) | (17,852) |
Total other income (loss), net | $ 133,968 | $ (11,997) | $ 39,819 |
SUMMARY OF SIGNIFICANT ACCOU_17
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Schedule of General and Administrative Expenses (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | |||
Legal and professional | $ 102,114 | $ 70,502 | $ 89,489 |
Loan origination | 196,989 | 92,081 | 59,418 |
Occupancy | 70,616 | 36,799 | 19,388 |
Subservicing | 224,138 | 201,444 | 227,482 |
Loan servicing | 16,440 | 14,126 | 31,737 |
Property and maintenance | 69,083 | 42,508 | 8,112 |
Other | 184,648 | 90,981 | 60,855 |
General and administrative | $ 864,028 | $ 548,441 | $ 496,481 |
BUSINESS ACQUISITIONS - Schedul
BUSINESS ACQUISITIONS - Schedule of Purchase Price Allocation (Details) - USD ($) $ in Millions | Dec. 20, 2021 | Aug. 23, 2021 | Oct. 01, 2019 | Sep. 03, 2019 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2019 |
Business Acquisition [Line Items] | |||||||
Total Consideration | $ 1,239.7 | ||||||
Assets | |||||||
Mortgage servicing rights, at fair value | 387.2 | ||||||
Residential mortgage loans, held-for-sale, at fair value | 627.4 | ||||||
Mortgage loans receivable, at fair value | 0 | ||||||
Residential mortgage loans subject to repurchase | 0 | ||||||
Cash and cash equivalents | 1.8 | ||||||
Restricted cash | 0 | ||||||
Servicer advance receivable | 238 | ||||||
Intangible assets | 22.2 | ||||||
Other assets | 71.4 | ||||||
Total Assets Acquired | 1,348 | ||||||
Liabilities | |||||||
Secured financing agreements | 0 | ||||||
Secured notes and bonds payable | 0 | ||||||
Residential mortgage loans repurchase liability | 0 | ||||||
Accrued expenses and other liabilities | 63.9 | ||||||
Total Liabilities Assumed | 63.9 | ||||||
Net Assets | 1,284.1 | ||||||
Bargain purchase gain | $ 49.7 | (44.4) | |||||
Trademarks/trade names | Maximum | |||||||
Liabilities | |||||||
Estimated Useful Life | 5 years | ||||||
Total Acquisitions | |||||||
Business Acquisition [Line Items] | |||||||
Total Consideration | $ 2,953.1 | ||||||
Assets | |||||||
Mortgage servicing rights, at fair value | 1,507.5 | ||||||
Residential mortgage loans, held-for-sale, at fair value | 7,685.7 | ||||||
Mortgage loans receivable, at fair value | 1,505.6 | ||||||
Residential mortgage loans subject to repurchase | 666.8 | ||||||
Cash and cash equivalents | 489.1 | ||||||
Restricted cash | 30.6 | ||||||
Servicer advance receivable | 108.3 | ||||||
Intangible assets | 97.8 | ||||||
Other assets | 624.2 | ||||||
Total Assets Acquired | 12,715.6 | ||||||
Liabilities | |||||||
Secured financing agreements | 7,090.6 | ||||||
Secured notes and bonds payable | 1,121.8 | ||||||
Residential mortgage loans repurchase liability | 666.8 | ||||||
Accrued expenses and other liabilities | 933 | ||||||
Total Liabilities Assumed | 9,812.2 | ||||||
Net Assets | 2,903.4 | ||||||
Caliber Home Loans Inc | |||||||
Business Acquisition [Line Items] | |||||||
Total Consideration | $ 1,318.5 | 1,318.5 | |||||
Assets | |||||||
Mortgage servicing rights, at fair value | 1,507.5 | 1,507.5 | |||||
Residential mortgage loans, held-for-sale, at fair value | 7,685.7 | 7,685.7 | |||||
Mortgage loans receivable, at fair value | 0 | ||||||
Residential mortgage loans subject to repurchase | 666.8 | 666.8 | |||||
Cash and cash equivalents | 472.7 | 472.7 | |||||
Restricted cash | 30.6 | 30.6 | |||||
Servicer advance receivable | 108.3 | 108.3 | |||||
Intangible assets | 41 | 41 | |||||
Other assets | 605.4 | 609.7 | |||||
Total Assets Acquired | 11,118 | 11,122.3 | |||||
Liabilities | |||||||
Secured financing agreements | 7,090.6 | 7,090.6 | |||||
Secured notes and bonds payable | 1,121.8 | 1,121.8 | |||||
Residential mortgage loans repurchase liability | 666.8 | 666.8 | |||||
Accrued expenses and other liabilities | 917 | 918.6 | |||||
Total Liabilities Assumed | 9,796.2 | 9,797.8 | |||||
Net Assets | $ 1,321.8 | 1,324.5 | |||||
Bargain purchase gain | (6) | ||||||
Finite-lived intangible assets, useful life | 4 years 9 months 18 days | ||||||
Caliber Home Loans Inc | Maximum | |||||||
Liabilities | |||||||
Finite-lived intangible assets, useful life | 5 years | ||||||
Caliber Home Loans Inc | Purchased technology | |||||||
Liabilities | |||||||
Estimated Useful Life | 5 years | ||||||
Caliber Home Loans Inc | Trademarks/trade names | |||||||
Liabilities | |||||||
Estimated Useful Life | 1 year | ||||||
Genesis | |||||||
Business Acquisition [Line Items] | |||||||
Total Consideration | 1,634.6 | ||||||
Assets | |||||||
Mortgage servicing rights, at fair value | 0 | ||||||
Residential mortgage loans, held-for-sale, at fair value | 0 | ||||||
Mortgage loans receivable, at fair value | 1,505.6 | ||||||
Residential mortgage loans subject to repurchase | 0 | ||||||
Cash and cash equivalents | 16.4 | ||||||
Restricted cash | 0 | ||||||
Servicer advance receivable | 0 | ||||||
Intangible assets | 56.8 | ||||||
Other assets | 14.5 | ||||||
Total Assets Acquired | 1,593.3 | ||||||
Liabilities | |||||||
Secured financing agreements | 0 | ||||||
Secured notes and bonds payable | 0 | ||||||
Residential mortgage loans repurchase liability | 0 | ||||||
Accrued expenses and other liabilities | 14.4 | ||||||
Total Liabilities Assumed | 14.4 | ||||||
Net Assets | 1,578.9 | ||||||
Bargain purchase gain | $ 55.7 | ||||||
Finite-lived intangible assets, useful life | 8 years 6 months | ||||||
Genesis | Purchased technology | |||||||
Liabilities | |||||||
Estimated Useful Life | 9 years | ||||||
Genesis | Trademarks/trade names | |||||||
Liabilities | |||||||
Estimated Useful Life | 5 years | ||||||
Ditech | |||||||
Business Acquisition [Line Items] | |||||||
Total Consideration | $ 1,218.2 | 1,218.2 | |||||
Assets | |||||||
Mortgage servicing rights, at fair value | 387.2 | ||||||
Residential mortgage loans, held-for-sale, at fair value | 627.4 | ||||||
Mortgage loans receivable, at fair value | 0 | ||||||
Residential mortgage loans subject to repurchase | 0 | ||||||
Cash and cash equivalents | 0 | ||||||
Restricted cash | 0 | ||||||
Servicer advance receivable | 238 | ||||||
Intangible assets | 10.5 | ||||||
Other assets | 64.8 | ||||||
Total Assets Acquired | 1,327.9 | ||||||
Liabilities | |||||||
Secured financing agreements | 0 | ||||||
Secured notes and bonds payable | 0 | ||||||
Residential mortgage loans repurchase liability | 0 | ||||||
Accrued expenses and other liabilities | 60.2 | ||||||
Total Liabilities Assumed | 60.2 | ||||||
Net Assets | 1,267.7 | ||||||
Bargain purchase gain | (49.5) | ||||||
Ditech | Customer relationships and servicing contracts | |||||||
Liabilities | |||||||
Finite-lived intangible assets, useful life | 3 years | ||||||
Guardian | |||||||
Business Acquisition [Line Items] | |||||||
Total Consideration | $ 21.5 | 21.5 | |||||
Assets | |||||||
Mortgage servicing rights, at fair value | 0 | ||||||
Residential mortgage loans, held-for-sale, at fair value | 0 | ||||||
Mortgage loans receivable, at fair value | 0 | ||||||
Residential mortgage loans subject to repurchase | 0 | ||||||
Cash and cash equivalents | 1.8 | ||||||
Restricted cash | 0 | ||||||
Servicer advance receivable | 0 | ||||||
Intangible assets | 11.7 | ||||||
Other assets | 6.6 | ||||||
Total Assets Acquired | 20.1 | ||||||
Liabilities | |||||||
Secured financing agreements | 0 | ||||||
Secured notes and bonds payable | 0 | ||||||
Residential mortgage loans repurchase liability | 0 | ||||||
Accrued expenses and other liabilities | 3.7 | ||||||
Total Liabilities Assumed | 3.7 | ||||||
Net Assets | 16.4 | ||||||
Bargain purchase gain | $ 5.1 | ||||||
Guardian | Customer relationships and trade names | |||||||
Liabilities | |||||||
Finite-lived intangible assets, useful life | 7 years |
BUSINESS ACQUISITIONS - Narrati
BUSINESS ACQUISITIONS - Narrative (Details) $ in Thousands | Dec. 20, 2021USD ($) | Aug. 23, 2021USD ($) | Apr. 10, 2020USD ($) | Oct. 01, 2019USD ($)employee | Sep. 03, 2019USD ($)earnoutPayment | May 01, 2019USD ($) | Dec. 31, 2021USD ($) | Sep. 30, 2021USD ($) | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Aug. 19, 2019 |
Business Acquisition [Line Items] | ||||||||||||
Bargain purchase gain | $ 6,024 | $ 0 | $ 49,539 | |||||||||
Effective settlement of preexisting relationships | 0 | 0 | 4,919 | |||||||||
Contingent consideration | $ 4,951 | 4,951 | 14,247 | |||||||||
Goodwill | 85,199 | 85,199 | 29,468 | 29,468 | ||||||||
Intangible assets | 143,133 | 143,133 | 34,125 | |||||||||
Covius Holdings Inc. | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Goodwill | $ 11,800 | |||||||||||
Strategic investment | 27,300 | |||||||||||
Subordinated debt facility | $ 35,000 | |||||||||||
Note receivable, term | 4 years | |||||||||||
Intangible assets | $ 3,600 | |||||||||||
Caliber Home Loans Inc | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cash consideration | $ 1,318,000 | |||||||||||
Bargain purchase gain | $ 3,300 | $ 3,300 | 6,000 | |||||||||
Goodwill (bargain purchase gain) | $ 2,700 | |||||||||||
Revenue of acquiree | 659,800 | |||||||||||
Net income of acquiree | 25,900 | |||||||||||
Transition, integration, relocation, and training costs incurred | 9,600 | |||||||||||
Finite-lived intangible assets, useful life | 4 years 9 months 18 days | |||||||||||
Genesis | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cash consideration | $ 1,630,000 | |||||||||||
Revenue of acquiree | 4,200 | |||||||||||
Net income of acquiree | $ 1,400 | |||||||||||
Equity interest acquired | 100.00% | 100.00% | ||||||||||
Transition, integration, relocation, and training costs incurred | $ 6,700 | |||||||||||
Finite-lived intangible assets, useful life | 8 years 6 months | |||||||||||
Goodwill | $ 55,700 | |||||||||||
Ditech Acquisition | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cash consideration | $ 1,213,300 | |||||||||||
Bargain purchase gain | 49,500 | |||||||||||
Transition, integration, relocation, and training costs incurred | 22,900 | |||||||||||
Number of employees | employee | 1,100 | |||||||||||
Effective settlement of preexisting relationships | $ 4,900 | |||||||||||
Guardian | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cash consideration | $ 7,600 | |||||||||||
Contingent consideration, high | 17,500 | |||||||||||
Contingent consideration | 13,900 | $ 0 | $ 0 | $ 0 | $ 13,893 | |||||||
Goodwill | 5,100 | |||||||||||
Goodwill, expected tax deductible amount | 5,100 | |||||||||||
Guardian | NRZ Guardian Purchaser LLC | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cash consideration | $ 1,900 | $ 7,600 | ||||||||||
Equity interest acquired | 100.00% | 100.00% | ||||||||||
Number of earnout payments | earnoutPayment | 4 | |||||||||||
Contingent consideration, high | $ 17,500 |
BUSINESS ACQUISITIONS - Summary
BUSINESS ACQUISITIONS - Summary of Intangible Assets Acquired (Details) - USD ($) $ in Thousands | Dec. 20, 2021 | Aug. 23, 2021 |
Caliber Home Loans Inc | ||
Finite-Lived Intangible Assets [Line Items] | ||
Amount | $ 41,028 | |
Caliber Home Loans Inc | Purchased technology | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 5 years | |
Amount | $ 38,545 | |
Caliber Home Loans Inc | Trademarks/trade names | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 1 year | |
Amount | $ 2,483 | |
Genesis | ||
Finite-Lived Intangible Assets [Line Items] | ||
Amount | $ 56,100 | |
Genesis | Purchased technology | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 9 years | |
Amount | $ 44,700 | |
Genesis | Trademarks/trade names | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Life | 5 years | |
Amount | $ 5,900 | |
Genesis | License | ||
Finite-Lived Intangible Assets [Line Items] | ||
Amount | $ 5,500 |
BUSINESS ACQUISITIONS - Sched_2
BUSINESS ACQUISITIONS - Schedule of Measurement Period Adjustments (Details) - USD ($) $ in Thousands | Aug. 23, 2021 | Dec. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Business Acquisition [Line Items] | ||||||
Total Consideration | $ 1,239,700 | |||||
Assets | ||||||
Mortgage servicing rights, at fair value | 387,200 | |||||
Residential mortgage loans, held-for-sale, at fair value | 627,400 | |||||
Residential mortgage loans subject to repurchase | 0 | |||||
Cash and cash equivalents | 1,800 | |||||
Restricted cash | 0 | |||||
Servicer advance receivable | 238,000 | |||||
Intangible assets | 22,200 | |||||
Other assets | 71,400 | |||||
Total Assets Acquired | 1,348,000 | |||||
Liabilities | ||||||
Secured financing agreements | 0 | |||||
Secured notes and bonds payable | 0 | |||||
Residential mortgage loans repurchase liability | 0 | |||||
Accrued expenses and other liabilities | 63,900 | |||||
Total Liabilities Assumed | 63,900 | |||||
Net Assets | 1,284,100 | |||||
Bargain purchase gain | $ (6,024) | $ 0 | $ (49,539) | |||
Caliber Home Loans Inc | ||||||
Business Acquisition [Line Items] | ||||||
Total Consideration | $ 1,318,500 | 1,318,500 | ||||
Assets | ||||||
Mortgage servicing rights, at fair value | $ 1,507,500 | 1,507,500 | 1,507,500 | |||
Residential mortgage loans, held-for-sale, at fair value | 7,685,700 | 7,685,700 | 7,685,700 | |||
Residential mortgage loans subject to repurchase | 666,800 | 666,800 | 666,800 | |||
Cash and cash equivalents | 472,700 | 472,700 | 472,700 | |||
Restricted cash | 30,600 | 30,600 | 30,600 | |||
Servicer advance receivable | 108,300 | 108,300 | 108,300 | |||
Intangible assets | 41,000 | 41,000 | 41,000 | |||
Increase to other assets | 4,300 | |||||
Other assets | 609,700 | 605,400 | 609,700 | |||
Total Assets Acquired | 11,122,300 | 11,118,000 | 11,122,300 | |||
Total Assets Acquired | 4,300 | |||||
Liabilities | ||||||
Secured financing agreements | 7,090,600 | 7,090,600 | 7,090,600 | |||
Secured notes and bonds payable | 1,121,800 | 1,121,800 | 1,121,800 | |||
Residential mortgage loans repurchase liability | 666,800 | 666,800 | 666,800 | |||
Accrued expenses and other liabilities | 918,600 | 917,000 | 918,600 | |||
Accrued expenses and other liabilities | 1,600 | |||||
Total Liabilities Assumed | 9,797,800 | 9,796,200 | 9,797,800 | |||
Total Liabilities Assumed | 1,600 | |||||
Net Assets | 1,324,500 | 1,321,800 | 1,324,500 | |||
Net Assets | 2,700 | |||||
Bargain purchase gain | $ (3,300) | $ (3,300) | $ (6,000) | |||
Goodwill (bargain purchase gain) | $ (2,700) |
BUSINESS ACQUISITIONS - Sched_3
BUSINESS ACQUISITIONS - Schedule of Unaudited Supplemental Pro Forma Financial Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Caliber Home Loans Inc | |||
Pro Forma (in millions) | |||
Revenues | $ 5,422.7 | $ 4,453.4 | |
Income (loss) before income taxes | 1,258.6 | (529.9) | |
Ditech Acquisition | |||
Pro Forma (in millions) | |||
Revenues | $ 1,104 | ||
Income (loss) before income taxes | 552.8 | ||
Guardian | |||
Pro Forma (in millions) | |||
Income (loss) before income taxes | $ 651.5 | ||
Genesis | |||
Pro Forma (in millions) | |||
Revenues | 3,643.4 | 1,693 | |
Income (loss) before income taxes | $ 981.8 | $ (1,316.1) |
BUSINESS ACQUISITIONS - Sched_4
BUSINESS ACQUISITIONS - Schedule of Total Consideration (Details) - USD ($) $ in Thousands | Oct. 01, 2019 | Sep. 03, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Business Acquisition [Line Items] | |||||
Effective settlement of preexisting relationships | $ 0 | $ 0 | $ 4,919 | ||
Total consideration | 1,239,700 | ||||
Ditech Acquisition | |||||
Business Acquisition [Line Items] | |||||
Cash consideration | $ 1,213,300 | ||||
Effective settlement of preexisting relationships | 4,900 | ||||
Total consideration | $ 1,218,200 | 1,218,200 | |||
Guardian | |||||
Business Acquisition [Line Items] | |||||
Cash consideration | $ 7,600 | ||||
Earnout payment | 13,900 | ||||
Total consideration | 21,500 | $ 21,500 | |||
Contingent consideration, low | 0 | ||||
Contingent consideration, high | $ 17,500 |
SEGMENT REPORTING - Segment Fin
SEGMENT REPORTING - Segment Financial Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | $ 1,559,554 | $ 1,642,272 | $ 1,534,125 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | (575,353) | (2,168,909) | (901,973) | ||
Servicing revenue, net | 984,201 | (526,637) | 632,152 | ||
Interest income | 810,896 | 794,965 | 1,330,114 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 1,826,909 | 1,399,092 | 460,107 | ||
Revenues | 3,622,006 | 1,667,420 | 2,422,373 | ||
Interest expense and warehouse line fees | 497,308 | 584,469 | 933,751 | ||
G&A and other | 2,119,764 | 1,209,221 | 953,335 | ||
Total expenses | 2,617,072 | 1,793,690 | 1,887,086 | ||
Change in fair value of investments | 11,723 | (148,758) | (118,373) | ||
Gain (loss) on settlement of investments, net | (234,561) | (930,131) | 227,981 | ||
Other income (loss), net | 133,968 | (11,997) | 38,381 | ||
Total other income (loss) | (88,870) | (1,090,886) | 147,989 | ||
Impairment charges (reversals) | (47,744) | 123,612 | 35,577 | ||
Income (loss) before income taxes | 963,808 | (1,340,768) | 647,699 | ||
Income tax (benefit) expense | 158,226 | 16,916 | 41,766 | ||
Net income (loss) | 805,582 | (1,357,684) | 605,933 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 33,356 | 52,674 | 42,637 | ||
Dividends on preferred stock | 66,744 | 54,295 | 13,281 | ||
Net income (loss) attributable to common stockholders, basic | 705,482 | (1,464,653) | 550,015 | ||
Investments | 31,564,175 | 26,441,337 | |||
Cash and cash equivalents | 1,332,575 | 944,854 | |||
Restricted cash | [1] | 195,867 | 135,619 | ||
Other assets | 6,564,374 | 5,700,836 | |||
Goodwill | 85,199 | 29,468 | 29,468 | ||
Total assets | 39,742,190 | 33,252,114 | |||
Debt | 29,780,987 | 25,733,391 | |||
Other liabilities | 3,291,823 | 2,089,039 | |||
Total liabilities | 33,072,810 | 27,822,430 | |||
Total equity | 6,669,380 | 5,429,684 | 7,236,260 | $ 6,088,295 | |
Noncontrolling interests in equity of consolidated subsidiaries | 65,348 | 108,668 | |||
Total New Residential stockholders’ equity | 6,604,032 | 5,321,016 | |||
Investments in equity method investees | 105,592 | 129,873 | |||
Origination | |||||
Segment Reporting Information [Line Items] | |||||
Goodwill | 11,836 | 11,836 | 11,836 | ||
Servicing | |||||
Segment Reporting Information [Line Items] | |||||
Servicing revenue, net | 712,233 | (203,148) | 211,970 | ||
Goodwill | 12,540 | 12,540 | 12,540 | ||
MSR Related Investments | |||||
Segment Reporting Information [Line Items] | |||||
Goodwill | 5,092 | 5,092 | 5,092 | ||
Origination and Servicing | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 1,559,554 | 1,642,272 | 1,534,125 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | (575,353) | (2,168,909) | (901,973) | ||
Servicing revenue, net | 984,201 | (526,637) | 632,152 | ||
Interest income | 257,844 | 138,574 | 170,388 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 1,781,204 | 1,400,552 | 384,564 | ||
Revenues | 3,023,249 | 1,012,489 | 1,187,104 | ||
Interest expense and warehouse line fees | 323,926 | 279,790 | 289,286 | ||
G&A and other | 1,892,423 | 1,018,488 | 685,110 | ||
Total expenses | 2,216,349 | 1,298,278 | 974,396 | ||
Change in fair value of investments | (22,336) | (18,958) | 6,583 | ||
Gain (loss) on settlement of investments, net | (39,882) | (16,713) | 8,030 | ||
Other income (loss), net | 82,443 | 38,385 | 45,443 | ||
Total other income (loss) | 20,225 | 2,714 | 60,056 | ||
Impairment charges (reversals) | 0 | 0 | 0 | ||
Income (loss) before income taxes | 827,125 | (283,075) | 272,764 | ||
Income tax (benefit) expense | 106,564 | 81,352 | 70,729 | ||
Net income (loss) | 720,561 | (364,427) | 202,035 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 9,498 | 16,516 | 10,486 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | 711,063 | (380,943) | 191,549 | ||
Investments | 17,045,289 | 8,481,865 | |||
Cash and cash equivalents | 1,126,879 | 595,500 | |||
Restricted cash | 155,770 | 92,867 | |||
Other assets | 5,624,073 | 5,296,601 | |||
Goodwill | 29,468 | 29,468 | |||
Total assets | 23,981,479 | 14,496,301 | |||
Debt | 15,944,341 | 8,702,958 | |||
Other liabilities | 2,931,357 | 1,908,778 | |||
Total liabilities | 18,875,698 | 10,611,736 | |||
Total equity | 5,105,781 | 3,884,565 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 25,934 | 63,284 | |||
Total New Residential stockholders’ equity | 5,079,847 | 3,821,281 | |||
Investments in equity method investees | 105,592 | 129,873 | |||
Residential Securities, Properties and Loans | Real Estate Securities | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | 0 | ||
Servicing revenue, net | 0 | 0 | 0 | ||
Interest income | 293,989 | 355,916 | 744,145 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 9,878 | (13,398) | 0 | ||
Revenues | 303,867 | 342,518 | 744,145 | ||
Interest expense and warehouse line fees | 47,037 | 157,371 | 453,609 | ||
G&A and other | 4,620 | 7,639 | 3,160 | ||
Total expenses | 51,657 | 165,010 | 456,769 | ||
Change in fair value of investments | (101,566) | (25,012) | (54,042) | ||
Gain (loss) on settlement of investments, net | (254,672) | (828,525) | 74,927 | ||
Other income (loss), net | (1,686) | 2,333 | 44 | ||
Total other income (loss) | (357,924) | (851,204) | 20,929 | ||
Impairment charges (reversals) | (5,201) | 13,404 | 25,174 | ||
Income (loss) before income taxes | (100,513) | (687,100) | 283,131 | ||
Income tax (benefit) expense | 0 | 0 | 0 | ||
Net income (loss) | (100,513) | (687,100) | 283,131 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | (100,513) | (687,100) | 283,131 | ||
Investments | 9,396,539 | 14,244,558 | |||
Cash and cash equivalents | 197,559 | 222,372 | |||
Restricted cash | 15,342 | 15,652 | |||
Other assets | 389,309 | 232,837 | |||
Goodwill | 0 | 0 | |||
Total assets | 9,998,749 | 14,715,419 | |||
Debt | 9,040,309 | 13,473,239 | |||
Other liabilities | 6,991 | 20,863 | |||
Total liabilities | 9,047,300 | 13,494,102 | |||
Total equity | 951,449 | 1,221,317 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||
Total New Residential stockholders’ equity | 951,449 | 1,221,317 | |||
Investments in equity method investees | 0 | 0 | |||
Residential Securities, Properties and Loans | Properties and Residential Mortgage Loans | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | 0 | ||
Servicing revenue, net | 0 | 0 | 0 | ||
Interest income | 139,658 | 175,963 | 249,673 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 35,827 | 11,938 | 75,543 | ||
Revenues | 175,485 | 187,901 | 325,216 | ||
Interest expense and warehouse line fees | 76,273 | 87,958 | 158,298 | ||
G&A and other | 90,377 | 62,900 | 52,745 | ||
Total expenses | 166,650 | 150,858 | 211,043 | ||
Change in fair value of investments | 155,758 | (107,604) | (70,914) | ||
Gain (loss) on settlement of investments, net | 60,164 | (19,655) | 153,449 | ||
Other income (loss), net | 52,222 | (3,220) | (7,150) | ||
Total other income (loss) | 268,144 | (130,479) | 75,385 | ||
Impairment charges (reversals) | (42,543) | 110,208 | (20,607) | ||
Income (loss) before income taxes | 319,522 | (203,644) | 210,165 | ||
Income tax (benefit) expense | 51,579 | (65,215) | (28,461) | ||
Net income (loss) | 267,943 | (138,429) | 238,626 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | 267,943 | (138,429) | 238,626 | ||
Investments | 3,099,294 | 3,029,339 | |||
Cash and cash equivalents | 22 | 7,472 | |||
Restricted cash | 2,482 | 96 | |||
Other assets | 125,647 | 86,762 | |||
Goodwill | 0 | 0 | |||
Total assets | 3,227,445 | 3,123,669 | |||
Debt | 2,440,693 | 2,386,919 | |||
Other liabilities | 179,260 | 28,577 | |||
Total liabilities | 2,619,953 | 2,415,496 | |||
Total equity | 607,492 | 708,173 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||
Total New Residential stockholders’ equity | 607,492 | 708,173 | |||
Investments in equity method investees | 0 | 0 | |||
Consumer Loans | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | 0 | ||
Servicing revenue, net | 0 | 0 | 0 | ||
Interest income | 93,847 | 124,512 | 165,877 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 0 | 0 | 0 | ||
Revenues | 93,847 | 124,512 | 165,877 | ||
Interest expense and warehouse line fees | 10,999 | 22,587 | 32,558 | ||
G&A and other | 10,856 | 10,301 | 22,540 | ||
Total expenses | 21,855 | 32,888 | 55,098 | ||
Change in fair value of investments | (20,133) | 2,816 | 0 | ||
Gain (loss) on settlement of investments, net | 0 | (4,183) | (8,425) | ||
Other income (loss), net | 1,935 | (8,386) | (1,574) | ||
Total other income (loss) | (18,198) | (9,753) | (9,999) | ||
Impairment charges (reversals) | 0 | 0 | 31,010 | ||
Income (loss) before income taxes | 53,794 | 81,871 | 69,770 | ||
Income tax (benefit) expense | 83 | 779 | (502) | ||
Net income (loss) | 53,711 | 81,092 | 70,272 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 23,858 | 36,158 | 32,151 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | 29,853 | 44,934 | 38,121 | ||
Investments | 507,291 | 685,575 | |||
Cash and cash equivalents | 1,437 | 3,182 | |||
Restricted cash | 21,961 | 27,004 | |||
Other assets | 39,662 | 38,465 | |||
Goodwill | 0 | 0 | |||
Total assets | 570,351 | 754,226 | |||
Debt | 460,314 | 628,759 | |||
Other liabilities | 583 | 622 | |||
Total liabilities | 460,897 | 629,381 | |||
Total equity | 109,454 | 124,845 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 39,414 | 45,384 | |||
Total New Residential stockholders’ equity | 70,040 | 79,461 | |||
Investments in equity method investees | 0 | 0 | |||
Mortgage Loans Receivable | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | ||||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | ||||
Servicing revenue, net | 0 | ||||
Interest income | 0 | ||||
Gain on originated residential mortgage loans, held-for-sale, net | 0 | ||||
Revenues | 0 | ||||
Interest expense and warehouse line fees | 0 | ||||
G&A and other | 0 | ||||
Total expenses | 0 | ||||
Change in fair value of investments | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | 0 | ||||
Total other income (loss) | 0 | ||||
Impairment charges (reversals) | 0 | ||||
Income (loss) before income taxes | 0 | ||||
Income tax (benefit) expense | 0 | ||||
Net income (loss) | 0 | ||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | ||||
Dividends on preferred stock | 0 | ||||
Net income (loss) attributable to common stockholders, basic | 0 | ||||
Corporate | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | 0 | ||
Servicing revenue, net | 0 | 0 | 0 | ||
Interest income | 21,339 | 0 | 31 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 0 | 0 | 0 | ||
Revenues | 21,339 | 0 | 31 | ||
Interest expense and warehouse line fees | 38,073 | 36,763 | 0 | ||
G&A and other | 119,686 | 109,893 | 189,780 | ||
Total expenses | 157,759 | 146,656 | 189,780 | ||
Change in fair value of investments | 0 | 0 | 0 | ||
Gain (loss) on settlement of investments, net | (171) | (61,055) | 0 | ||
Other income (loss), net | (946) | (41,109) | 1,618 | ||
Total other income (loss) | (1,117) | (102,164) | 1,618 | ||
Impairment charges (reversals) | 0 | 0 | 0 | ||
Income (loss) before income taxes | (137,537) | (248,820) | (188,131) | ||
Income tax (benefit) expense | 0 | 0 | 0 | ||
Net income (loss) | (137,537) | (248,820) | (188,131) | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | ||
Dividends on preferred stock | 66,744 | 54,295 | 13,281 | ||
Net income (loss) attributable to common stockholders, basic | (204,281) | (303,115) | (201,412) | ||
Investments | 0 | 26,441,337 | |||
Cash and cash equivalents | 1,025 | 944,854 | |||
Restricted cash | 312 | 135,619 | |||
Other assets | 279,068 | 5,700,836 | |||
Goodwill | 0 | 29,468 | |||
Total assets | 280,405 | 33,252,114 | |||
Debt | 642,670 | 25,733,391 | |||
Other liabilities | 165,091 | 2,089,039 | |||
Total liabilities | 807,761 | 27,822,430 | |||
Total equity | (527,356) | 5,429,684 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 108,668 | |||
Total New Residential stockholders’ equity | (527,356) | 5,321,016 | |||
Investments in equity method investees | 0 | 129,873 | |||
Operating Segments | Origination | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | (4,089) | (11,519) | (1,605) | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | 0 | ||
Servicing revenue, net | (4,089) | (11,519) | (1,605) | ||
Interest income | 188,053 | 63,160 | 42,166 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 1,704,363 | 1,289,584 | 390,981 | ||
Revenues | 1,888,327 | 1,341,225 | 431,542 | ||
Interest expense and warehouse line fees | 121,392 | 45,676 | 41,949 | ||
G&A and other | 1,223,668 | 494,398 | 252,458 | ||
Total expenses | 1,345,060 | 540,074 | 294,407 | ||
Change in fair value of investments | 0 | 0 | 0 | ||
Gain (loss) on settlement of investments, net | 0 | 0 | 0 | ||
Other income (loss), net | 2,346 | 433 | 9,340 | ||
Total other income (loss) | 2,346 | 433 | 9,340 | ||
Impairment charges (reversals) | 0 | 0 | 0 | ||
Income (loss) before income taxes | 545,613 | 801,584 | 146,475 | ||
Income tax (benefit) expense | 115,289 | 211,359 | 39,768 | ||
Net income (loss) | 430,324 | 590,225 | 106,707 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 11,298 | 15,625 | 6,231 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | 419,026 | 574,600 | 100,476 | ||
Investments | 8,829,598 | 2,947,113 | |||
Cash and cash equivalents | 587,685 | 123,124 | |||
Restricted cash | 32,803 | 14,826 | |||
Other assets | 969,338 | 551,910 | |||
Goodwill | 11,836 | 11,836 | |||
Total assets | 10,431,260 | 3,648,809 | |||
Debt | 8,251,702 | 2,700,962 | |||
Other liabilities | 425,582 | 298,106 | |||
Total liabilities | 8,677,284 | 2,999,068 | |||
Total equity | 1,753,976 | 649,741 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 15,683 | 19,402 | |||
Total New Residential stockholders’ equity | 1,738,293 | 630,339 | |||
Investments in equity method investees | 0 | 0 | |||
Operating Segments | Servicing | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 1,025,888 | 891,191 | 525,104 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | (313,655) | (1,094,339) | (313,134) | ||
Servicing revenue, net | 712,233 | (203,148) | 211,970 | ||
Interest income | 20,629 | 16,897 | 31,846 | ||
Gain on originated residential mortgage loans, held-for-sale, net | 101,764 | 47,277 | 1,029 | ||
Revenues | 834,626 | (138,974) | 244,845 | ||
Interest expense and warehouse line fees | 97,696 | 76,884 | 32,735 | ||
G&A and other | 395,007 | 368,208 | 221,018 | ||
Total expenses | 492,703 | 445,092 | 253,753 | ||
Change in fair value of investments | 0 | 0 | 0 | ||
Gain (loss) on settlement of investments, net | (4,766) | (5,486) | 0 | ||
Other income (loss), net | 742 | (1,738) | 5,343 | ||
Total other income (loss) | (4,024) | (7,224) | 5,343 | ||
Impairment charges (reversals) | 0 | 0 | 0 | ||
Income (loss) before income taxes | 337,899 | (591,290) | (3,565) | ||
Income tax (benefit) expense | 17,828 | (58,288) | (874) | ||
Net income (loss) | 320,071 | (533,002) | (2,691) | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | 320,071 | (533,002) | (2,691) | ||
Investments | 5,439,613 | 1,974,679 | |||
Cash and cash equivalents | 250,294 | 59,798 | |||
Restricted cash | 95,785 | 53,438 | |||
Other assets | 2,728,253 | 2,338,837 | |||
Goodwill | 12,540 | 12,540 | |||
Total assets | 8,526,485 | 4,439,292 | |||
Debt | 4,131,297 | 1,462,335 | |||
Other liabilities | 2,323,315 | 1,552,793 | |||
Total liabilities | 6,454,612 | 3,015,128 | |||
Total equity | 2,071,873 | 1,424,164 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||
Total New Residential stockholders’ equity | 2,071,873 | 1,424,164 | |||
Investments in equity method investees | 0 | 0 | |||
Operating Segments | MSR Related Investments | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 537,755 | 762,600 | 1,010,626 | ||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | (261,698) | (1,074,570) | (588,839) | ||
Servicing revenue, net | 276,057 | (311,970) | 421,787 | ||
Interest income | 49,162 | 58,517 | 96,376 | ||
Gain on originated residential mortgage loans, held-for-sale, net | (138,505) | 23,860 | 43,914 | ||
Revenues | 186,714 | (229,593) | 562,077 | ||
Interest expense and warehouse line fees | 104,838 | 157,230 | 214,602 | ||
G&A and other | 273,748 | 155,882 | 211,634 | ||
Total expenses | 378,586 | 313,112 | 426,236 | ||
Change in fair value of investments | (22,336) | (18,958) | 6,583 | ||
Gain (loss) on settlement of investments, net | (35,116) | (11,227) | 8,030 | ||
Other income (loss), net | 79,355 | 39,690 | 30,760 | ||
Total other income (loss) | 21,903 | 9,505 | 45,373 | ||
Impairment charges (reversals) | 0 | 0 | 0 | ||
Income (loss) before income taxes | (169,969) | (533,200) | 181,214 | ||
Income tax (benefit) expense | (26,553) | (71,719) | 31,835 | ||
Net income (loss) | (143,416) | (461,481) | 149,379 | ||
Noncontrolling interests in income (loss) of consolidated subsidiaries | (1,800) | 891 | 4,255 | ||
Dividends on preferred stock | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders, basic | (141,616) | (462,372) | 145,124 | ||
Investments | 2,776,078 | 3,560,073 | |||
Cash and cash equivalents | 288,900 | 412,578 | |||
Restricted cash | 27,182 | 24,603 | |||
Other assets | 1,926,482 | 2,405,854 | |||
Goodwill | 5,092 | 5,092 | |||
Total assets | 5,023,734 | 6,408,200 | |||
Debt | 3,561,342 | 4,539,661 | |||
Other liabilities | 182,460 | 57,879 | |||
Total liabilities | 3,743,802 | 4,597,540 | |||
Total equity | 1,279,932 | 1,810,660 | |||
Noncontrolling interests in equity of consolidated subsidiaries | 10,251 | 43,882 | |||
Total New Residential stockholders’ equity | 1,269,681 | 1,766,778 | |||
Investments in equity method investees | 105,592 | 129,873 | |||
Operating Segments | Mortgage Loans Receivable | |||||
Segment Reporting Information [Line Items] | |||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | |||
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(1,192,646), $(1,583,628) and $(733,763), respectively) | 0 | 0 | |||
Servicing revenue, net | 0 | 0 | |||
Interest income | 4,219 | 0 | |||
Gain on originated residential mortgage loans, held-for-sale, net | 0 | 0 | |||
Revenues | 4,219 | 0 | |||
Interest expense and warehouse line fees | 1,000 | 0 | |||
G&A and other | 1,802 | 0 | |||
Total expenses | 2,802 | 0 | |||
Change in fair value of investments | 0 | 0 | |||
Gain (loss) on settlement of investments, net | 0 | 0 | |||
Other income (loss), net | 0 | 0 | |||
Total other income (loss) | 0 | 0 | |||
Impairment charges (reversals) | 0 | 0 | |||
Income (loss) before income taxes | 1,417 | 0 | |||
Income tax (benefit) expense | 0 | 0 | |||
Net income (loss) | 1,417 | 0 | |||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |||
Dividends on preferred stock | 0 | 0 | |||
Net income (loss) attributable to common stockholders, basic | 1,417 | 0 | |||
Investments | 1,515,762 | 0 | |||
Cash and cash equivalents | 5,653 | 116,328 | |||
Restricted cash | 0 | 0 | |||
Other assets | 106,615 | 46,171 | |||
Goodwill | 55,731 | 0 | |||
Total assets | 1,683,761 | 162,499 | |||
Debt | 1,252,660 | 541,516 | |||
Other liabilities | 8,541 | 130,199 | |||
Total liabilities | 1,261,201 | 671,715 | |||
Total equity | 422,560 | (509,216) | |||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||
Total New Residential stockholders’ equity | 422,560 | (509,216) | |||
Investments in equity method investees | 0 | 0 | |||
Elimination | Origination and Servicing | |||||
Segment Reporting Information [Line Items] | |||||
Gain on originated residential mortgage loans, held-for-sale, net | $ 51,400 | ||||
Revenues | $ (113,600) | $ (39,800) | |||
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
SEGMENT REPORTING - Servicing S
SEGMENT REPORTING - Servicing Segment Revenues (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Servicing revenue, net | $ 984,201 | $ (526,637) | $ 632,152 |
Servicing | |||
Segment Reporting Information [Line Items] | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 851,989 | 767,230 | 446,638 |
Ancillary and other fees | 173,899 | 123,961 | 78,466 |
Realization of cash flows | (783,349) | (792,680) | (243,147) |
Change in valuation inputs and assumptions and other | 469,694 | (301,659) | (69,987) |
Servicing revenue, net | 712,233 | (203,148) | 211,970 |
Servicing | MSR assets | |||
Segment Reporting Information [Line Items] | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 731,924 | 611,669 | 367,419 |
UPB of Underlying Mortgages | 389,852 | 220,880 | 140,244 |
Servicing | Residential whole loans | |||
Segment Reporting Information [Line Items] | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 16,448 | 16,081 | 8,074 |
UPB of Underlying Mortgages | 14,097 | 9,993 | 7,919 |
Servicing | Third party | |||
Segment Reporting Information [Line Items] | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 103,617 | 139,480 | 71,145 |
UPB of Underlying Mortgages | $ 78,814 | $ 66,892 | $ 71,264 |
EXCESS MORTGAGE SERVICING RIG_3
EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Excess Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Servicing Assets at Fair Value [Line Items] | |||
Carrying Value | $ 6,858,803 | $ 4,585,841 | $ 5,686,233 |
Excess MSRs | |||
Servicing Assets at Fair Value [Line Items] | |||
Carrying Value | 259,198 | 310,938 | |
Excess MSRs Investees | |||
Servicing Assets at Fair Value [Line Items] | |||
Carrying Value | 85,749 | 99,917 | |
Excess MSRs And Excess Mortgage Servicing Rights Investees | |||
Servicing Assets at Fair Value [Line Items] | |||
Carrying Value | $ 344,947 | $ 410,855 |
EXCESS MORTGAGE SERVICING RIG_4
EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | $ 4,585,841 | $ 5,686,233 |
Ending balance | 6,858,803 | 4,585,841 |
Excess MSRs | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 379,747 | |
Interest income | 20,296 | 28,352 |
Other income | 78 | (12,123) |
Proceeds from repayments | (56,052) | (67,745) |
Proceeds from sales | (984) | (1,061) |
Change in fair value | (15,078) | (16,232) |
Excess MSRs | Mr. Cooper | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 309,009 | 377,692 |
Interest income | 20,355 | 28,217 |
Other income | 403 | (12,123) |
Proceeds from repayments | (55,702) | (67,340) |
Proceeds from sales | (984) | (1,061) |
Change in fair value | (15,508) | (16,376) |
Ending balance | 257,573 | 309,009 |
Excess MSRs | SLS | ||
Carrying Value of Investments in Excess MSRs | ||
Beginning balance | 1,929 | 2,055 |
Interest income | (59) | 135 |
Other income | (325) | 0 |
Proceeds from repayments | (350) | (405) |
Proceeds from sales | 0 | 0 |
Change in fair value | 430 | 144 |
Ending balance | $ 1,625 | $ 1,929 |
EXCESS MORTGAGE SERVICING RIG_5
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Servicing Assets at Fair Value [Line Items] | |||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Carrying Value | $ 6,858,803 | $ 4,585,841 | $ 5,686,233 |
Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Original and Recaptured Pools | (15,078) | (16,232) | $ (10,505) |
Corporate Joint Venture | Servicer Advance Investments | |||
Servicing Assets at Fair Value [Line Items] | |||
UPB of Underlying Mortgages | 20,314,977 | 26,061,499 | |
Excess MSRs | |||
Servicing Assets at Fair Value [Line Items] | |||
UPB of Underlying Mortgages | 57,422,177 | 72,688,905 | |
Amortized Cost Basis | 214,239 | 250,901 | |
Carrying Value | 259,198 | 310,938 | |
Excess MSRs | Agency | |||
Servicing Assets at Fair Value [Line Items] | |||
UPB of Underlying Mortgages | $ 26,856,946 | $ 34,593,406 | |
Weighted Average Life (Years) | 6 years | 5 years 10 months 24 days | |
Amortized Cost Basis | $ 118,631 | $ 141,204 | |
Carrying Value | $ 131,997 | $ 162,645 | |
Excess MSRs | Agency | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 32.50% | 3250.00% | |
Excess MSRs | Agency | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 66.70% | 66.70% | |
Excess MSRs | Agency | Weighted Average | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 53.30% | 53.30% | |
Excess MSRs | Agency | Fortress-managed funds | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 0.00% | 0.00% | |
Excess MSRs | Agency | Fortress-managed funds | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 40.00% | 40.00% | |
Excess MSRs | Agency | Mr. Cooper | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 20.00% | 20.00% | |
Excess MSRs | Agency | Mr. Cooper | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 35.00% | 35.00% | |
Excess MSRs | Non-Agency | |||
Servicing Assets at Fair Value [Line Items] | |||
UPB of Underlying Mortgages | $ 30,565,231 | $ 38,095,499 | |
Weighted Average Life (Years) | 6 years 7 months 6 days | 6 years 6 months | |
Amortized Cost Basis | $ 95,608 | $ 109,697 | |
Carrying Value | $ 127,201 | $ 148,293 | |
Excess MSRs | Non-Agency | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 33.30% | 3330.00% | |
Excess MSRs | Non-Agency | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 100.00% | 100.00% | |
Excess MSRs | Non-Agency | Weighted Average | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 59.40% | 59.40% | |
Excess MSRs | Non-Agency | Fortress-managed funds | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 0.00% | 0.00% | |
Excess MSRs | Non-Agency | Fortress-managed funds | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 50.00% | 50.00% | |
Excess MSRs | Non-Agency | Mr. Cooper | Minimum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 0.00% | 0.00% | |
Excess MSRs | Non-Agency | Mr. Cooper | Maximum | Original and Recaptured Pools | |||
Servicing Assets at Fair Value [Line Items] | |||
Interest in Excess MSR | 33.30% | 33.30% |
EXCESS MORTGAGE SERVICING RIG_6
EXCESS MORTGAGE SERVICING RIGHTS - Narrative (Details) - MSRs | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Weighted Average | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 7.40% | 8.10% |
Minimum | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 6.90% | 7.30% |
Maximum | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 12.50% | 13.00% |
Excess MSRs Investees | Weighted Average | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 7.80% | 7.80% |
Excess MSRs Investees | Minimum | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 7.50% | 7.50% |
Excess MSRs Investees | Maximum | ||
Servicing Assets at Fair Value [Line Items] | ||
Discount rate | 8.00% | 8.00% |
EXCESS MORTGAGE SERVICING RIG_7
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule of MSRs [Line Items] | ||||
Other assets | $ 83,918 | $ 35,848 | ||
Other liabilities | (3,291,823) | (2,089,039) | ||
Total equity | $ 6,669,380 | 5,429,684 | $ 7,236,260 | $ 6,088,295 |
Excess MSRs Investees | ||||
Schedule of MSRs [Line Items] | ||||
New Residential’s percentage ownership | 50.00% | |||
Interest income | $ 7,574 | 22,507 | 23,872 | |
Other income (loss) | (3,906) | (29,461) | (10,208) | |
Expenses | (32) | (24) | (64) | |
Net income (loss) | 3,636 | (6,978) | $ 13,600 | |
Excess MSRs Investees | Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||||
Schedule of MSRs [Line Items] | ||||
Excess MSRs | 152,383 | 179,762 | ||
Other assets | 19,802 | 20,759 | ||
Other liabilities | (687) | (687) | ||
Total equity | $ 171,498 | $ 199,834 | ||
New Residential’s percentage ownership | 50.00% | 50.00% |
EXCESS MORTGAGE SERVICING RIG_8
EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Change in Equity Method Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Mortgage Servicing Rights [Roll Forward] | |||
Distributions of earnings from equity method investees | $ 0 | $ 0 | $ (8,607) |
Distributions of capital from equity method investees | 0 | 0 | (92,748) |
Recurring Basis | |||
Mortgage Servicing Rights [Roll Forward] | |||
Balance at beginning of period | 99,917 | 125,596 | |
Contributions to equity method investees | 0 | 0 | |
Distributions of earnings from equity method investees | 0 | (1,170) | |
Distributions of capital from equity method investees | (15,986) | (21,020) | |
Change in fair value of investments in equity method investees | 1,818 | (3,489) | |
Balance at end of period | $ 85,749 | $ 99,917 | $ 125,596 |
EXCESS MORTGAGE SERVICING RIG_9
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of MSRs [Line Items] | |||
Carrying Value | $ 6,858,803 | $ 4,585,841 | $ 5,686,233 |
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Excess MSRs Investees | |||
Schedule of MSRs [Line Items] | |||
New Residential Interest in Investees | 50.00% | ||
Carrying Value | $ 85,749 | 99,917 | |
Excess MSRs Investees | Agency | |||
Schedule of MSRs [Line Items] | |||
New Residential Interest in Investees | 50.00% | ||
Excess MSRs Investees | Agency | Original and Recaptured Pools | |||
Schedule of MSRs [Line Items] | |||
Unpaid Principal Balance | $ 23,039,453 | $ 28,453,512 | |
Investee Interest in Excess MSR | 66.70% | 66.70% | |
New Residential Interest in Investees | 50.00% | 50.00% | |
Amortized Cost Basis | $ 112,840 | $ 139,251 | |
Carrying Value | $ 152,383 | $ 179,762 | |
Weighted Average Life (Years) | 5 years 8 months 12 days | 5 years 9 months 18 days |
MORTGAGE SERVICING RIGHTS AND_3
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Rollforward of Carrying Value of Investments In MSRs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Servicing Rights [Roll Forward] | ||
Beginning balance | $ 4,585,841 | $ 5,686,233 |
Purchases, net | 10,949 | 431,608 |
Originations | 1,331,626 | 666,414 |
Purchases, net | 63,451 | 15,341 |
Realization of cash flows | (1,196,527) | (1,592,281) |
Change in valuation inputs and assumptions | 680,431 | (591,439) |
(Gain) loss realized | 2,410 | 647 |
Caliber acquisition (Note 3) | 1,507,524 | |
Ending balance | $ 6,858,803 | $ 4,585,841 |
MORTGAGE SERVICING RIGHTS AND_4
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Change in valuation inputs and assumptions | $ (680,431) | $ 591,439 | |
Gain (Loss) On Sale Of Mortgage Servicing Rights Financing Receivables | 2,410 | 647 | |
Settlement of derivatives | (172,581) | (74,812) | $ (129,923) |
Servicing revenue, net | 1,559,554 | 1,642,272 | 1,534,125 |
MSRs | |||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Change in fair value of derivative instruments | (30,481) | 0 | 0 |
Settlement of derivatives | (34,724) | 0 | 0 |
MSRs Excluding Excess Spread Financing | |||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 1,446,509 | 1,457,211 | 1,216,069 |
Ancillary and other fees | 113,045 | 185,061 | 318,056 |
Servicing fee revenue and fees, net | 1,559,554 | 1,642,272 | 1,534,125 |
Realization of cash flows | (1,192,646) | (1,583,628) | (733,763) |
Change in valuation inputs and assumptions | 680,088 | (585,928) | (165,110) |
Gain (Loss) On Sale Of Mortgage Servicing Rights Financing Receivables | (2,410) | (647) | 3,100 |
Servicing revenue, net | 984,201 | (526,637) | 632,152 |
Excess Spread Financing | |||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Realization of cash flows | (3,900) | (8,700) | (7,100) |
Change in valuation inputs and assumptions | $ 300 | $ 5,500 | $ 1,300 |
MORTGAGE SERVICING RIGHTS AND_5
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Investment in MSRs and MSR Financing Receivables (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||||
Carrying Value | $ 6,858,803 | $ 4,585,841 | $ 5,686,233 | ||
Residential mortgage loans subject to repurchase | $ 1,787,314 | [1] | $ 1,452,005 | [1] | $ 172,336 |
MSRs | Weighted Average | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
Discount rate | 7.40% | 8.10% | |||
MSRs | Minimum | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
Discount rate | 6.90% | 7.30% | |||
MSRs | Maximum | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
Discount rate | 12.50% | 13.00% | |||
Mortgage Servicing Rights Financing Receivable | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
UPB of Underlying Mortgages | $ 548,613,089 | $ 435,435,827 | |||
Weighted Average Life (Years) | 6 years 3 months 18 days | 5 years 4 months 24 days | |||
Carrying Value | $ 6,858,803 | $ 4,585,841 | |||
Agency | MSRs | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
UPB of Underlying Mortgages | $ 374,815,579 | $ 305,718,556 | |||
Weighted Average Life (Years) | 6 years 1 month 6 days | 5 years 1 month 6 days | |||
Carrying Value | $ 4,443,713 | $ 2,849,003 | |||
Non-Agency | MSRs | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
UPB of Underlying Mortgages | $ 63,851,154 | $ 72,610,446 | |||
Weighted Average Life (Years) | 8 years 3 months 18 days | 7 years 10 months 24 days | |||
Carrying Value | $ 943,210 | $ 1,064,403 | |||
Ginnie Mae | MSRs | |||||
Schedule of Mortgage Servicing Rights [Line Items] | |||||
UPB of Underlying Mortgages | $ 109,946,356 | $ 57,106,825 | |||
Weighted Average Life (Years) | 5 years 8 months 12 days | 4 years 1 month 6 days | |||
Carrying Value | $ 1,471,880 | $ 672,435 | |||
[1] | See Note 6 for details. |
MORTGAGE SERVICING RIGHTS AND_6
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Jan. 31, 2018 | Jul. 31, 2017 | |||
Schedule of MSRs [Line Items] | |||||||
Residential mortgage loans subject to repurchase | $ 1,787,314 | [1] | $ 1,452,005 | [1] | $ 172,336 | ||
Residential mortgage loans, held-for-sale | 11,347,845 | 5,215,703 | |||||
Reserve for non-recovery advances | 32,122 | 22,849 | $ 1,680 | ||||
Mortgage Loans Subserviced | |||||||
Schedule of MSRs [Line Items] | |||||||
UPB of Underlying Mortgages | 78,800,000 | 66,900,000 | |||||
Subservicing revenue | 158,500 | 201,600 | |||||
Ocwen | New Residential Mortgage LLC | MSRs | |||||||
Schedule of MSRs [Line Items] | |||||||
Unpaid Principal Balance of underlying loans transferred | 66,700,000 | ||||||
Ocwen | New Residential Mortgage LLC | |||||||
Schedule of MSRs [Line Items] | |||||||
UPB of underlying loans, not yet transferred | $ 14,000,000 | 16,300,000 | |||||
PHH Mortgage Corporation | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 10.40% | ||||||
Mr. Cooper | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 9.40% | ||||||
LoanCare | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 8.10% | ||||||
Valon | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 0.90% | ||||||
Flagstar | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 0.30% | ||||||
Mortgage Company | |||||||
Schedule of MSRs [Line Items] | |||||||
Subservicer percent of UPB | 70.90% | ||||||
Ginnie Mae Loans | |||||||
Schedule of MSRs [Line Items] | |||||||
Residential mortgage loans, held-for-sale | $ 1,082,300 | $ 810,900 | |||||
Ocwen | |||||||
Schedule of MSRs [Line Items] | |||||||
UPB of Underlying Mortgages | $ 86,800,000 | $ 110,000,000 | |||||
[1] | See Note 6 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 of the MSRs (Details) - MSRs - Mortgage Loans | Dec. 31, 2021 | Dec. 31, 2020 |
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 18.10% | 21.20% |
Florida | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.60% | 7.40% |
Texas | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.20% | 5.60% |
New York | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.00% | 7.00% |
Washington | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.60% | 2.90% |
New Jersey | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.50% | 4.80% |
Virginia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 2.90% |
Illinois | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 3.60% |
Maryland | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 3.10% |
Georgia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 3.30% |
Other U.S. | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 37.80% | 38.20% |
MORTGAGE SERVICING RIGHTS AND_8
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Advances Included in Servicing Advances Receivable (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Total | [1] | $ 421,807 | $ 538,056 |
Servicer Advances Receivable | |||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Principal and interest advances | 562,418 | 665,538 | |
Escrow advances (taxes and insurance advances) | 1,523,154 | 1,547,796 | |
Foreclosure advances | 793,098 | 816,400 | |
Total | 2,878,670 | 3,029,734 | |
Servicer advances receivable related to Agency MSRs | 593,000 | 583,900 | |
Servicer advances receivable related to Ginnie Mae MSRs | 212,900 | 181,200 | |
Unamortized discount and accrual | $ 23,500 | $ 27,500 | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
MORTGAGE SERVICING RIGHTS AND_9
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Summary of Reserve For Servicer Advances (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Servicer Advances Reserve [Roll Forward] | ||
Beginning balance | $ 22,849 | $ 1,680 |
Caliber acquisition (Note 3) | 15,068 | |
Provision | 11,560 | 21,619 |
Write-offs | (17,355) | (450) |
Ending balance | $ 32,122 | $ 22,849 |
SERVICER ADVANCE INVESTMENTS -
SERVICER ADVANCE INVESTMENTS - Narrative (Details) - USD ($) $ in Millions | 1 Months Ended | ||
Jul. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mr. Cooper | |||
Servicing Assets at Fair Value [Line Items] | |||
Servicer basic fee, percent | 9.20% | ||
Performance fee, percent (up to) | 100.00% | ||
Advance Purchaser LLC | |||
Servicing Assets at Fair Value [Line Items] | |||
Capital distributed to third-party co-investors | $ 70.8 | ||
Capital distributed to New Residential | $ 592.5 | ||
Corporate Joint Venture | |||
Servicing Assets at Fair Value [Line Items] | |||
New Residential’s percentage ownership | 89.30% | ||
Funded capital commitments | $ 627.4 | ||
Corporate Joint Venture | Noncontrolling Third-party Investors | |||
Servicing Assets at Fair Value [Line Items] | |||
Funded capital commitments | $ 75 | ||
Corporate Joint Venture | Advance Purchaser LLC | |||
Servicing Assets at Fair Value [Line Items] | |||
New Residential’s percentage ownership | 89.30% | 73.20% | |
Ownership percentage acquired during period | 16.10% |
SERVICER ADVANCE INVESTMENTS _2
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances (Details) - Corporate Joint Venture - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Investments in and Advances to Affiliates [Line Items] | ||
Amortized Cost Basis | $ 405,786 | $ 512,958 |
Carrying Value | $ 421,807 | $ 538,056 |
Weighted Average Discount Rate | 5.20% | 5.20% |
Weighted Average Yield | 5.50% | 5.70% |
Weighted Average Life (Years) | 6 years 10 months 24 days | 6 years |
SERVICER ADVANCE INVESTMENTS _3
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Investments in and Advances to Affiliates [Line Items] | |||
Outstanding Servicer Advances | [1] | $ 421,807 | $ 538,056 |
Face amount of debt | 29,273,486 | ||
Corporate Joint Venture | |||
Investments in and Advances to Affiliates [Line Items] | |||
Outstanding Servicer Advances | 369,440 | 449,150 | |
Corporate Joint Venture | Servicer Advance Investments | |||
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | 20,314,977 | 26,061,499 | |
Outstanding Servicer Advances | $ 369,440 | $ 449,150 | |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.80% | 1.70% | |
Face amount of debt | $ 356,580 | $ 423,144 | |
Gross Loan-to-Value | 91.40% | 88.40% | |
Net Loan-to-Value | 90.70% | 88.60% | |
Gross Cost of Funds | 1.30% | 1.50% | |
Net Cost of Funds | 1.20% | 1.30% | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
SERVICER ADVANCE INVESTMENTS _4
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Servicing Assets at Fair Value [Line Items] | |||
Total | [1] | $ 421,807 | $ 538,056 |
Corporate Joint Venture | |||
Servicing Assets at Fair Value [Line Items] | |||
Principal and interest advances | 67,014 | 84,976 | |
Escrow advances (taxes and insurance advances) | 174,681 | 186,426 | |
Foreclosure advances | 127,745 | 177,748 | |
Total | $ 369,440 | $ 449,150 | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
SERVICER ADVANCE INVESTMENTS _5
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Servicing Assets at Fair Value [Line Items] | |||
Interest income, gross of amounts attributable to servicer compensation | $ 12,501 | $ 34,262 | $ 51,940 |
Amounts attributable to basic servicer compensation | (1,798) | (3,248) | (6,209) |
Amounts attributable to incentive servicer compensation | (9,025) | (12,832) | (18,065) |
Interest income from servicer advance investments | $ 1,678 | $ 18,182 | $ 27,666 |
REAL ESTATE AND OTHER SECURIT_3
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)securitybond | Dec. 31, 2020USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 24,314,300 | $ 31,869,682 |
Carrying Value | $ 9,396,539 | 14,244,558 |
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Investments | $ 31,564,175 | 26,441,337 |
Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value | $ 346,100 | |
Number of bonds which New Residential was unable to obtain rating information | bond | 298 | |
Residual Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | $ 23,500 | |
Non-Agency Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | 2,800 | |
AFS Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 91,572 | 110,360 |
Gross Unrealized Gains | 7,008 | 10,612 |
Gross Unrealized Losses | 0 | 0 |
Carrying Value | $ 98,367 | $ 121,761 |
Number of Securities | security | 1 | 1 |
Weighted Average Rating | AAA | AAA |
Weighted Average Coupon | 3.50% | 3.50% |
Weighted Average Yield | 3.50% | 3.50% |
Weighted Average Life (Years) | 4 years 4 months 24 days | 5 years 10 months 24 days |
AFS Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 2,956,066 | $ 3,628,870 |
Gross Unrealized Gains | 84,494 | 62,890 |
Gross Unrealized Losses | (117) | (7,394) |
Carrying Value | $ 522,416 | $ 752,004 |
Number of Securities | security | 334 | 364 |
Weighted Average Rating | AA | AA |
Weighted Average Coupon | 3.29% | 3.40% |
Weighted Average Yield | 3.18% | 3.50% |
Weighted Average Life (Years) | 3 years 4 months 24 days | 4 years 10 months 24 days |
Weighted Average Principal Subordination | 26.60% | 19.70% |
FVO Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 8,307,771 | $ 12,380,792 |
Gross Unrealized Gains | 204 | 101,414 |
Gross Unrealized Losses | (226,309) | 0 |
Carrying Value | $ 8,346,230 | $ 12,941,873 |
Number of Securities | security | 40 | 57 |
Weighted Average Rating | AAA | AAA |
Weighted Average Coupon | 2.13% | 2.20% |
Weighted Average Yield | 2.13% | 2.20% |
Weighted Average Life (Years) | 7 years | 4 years 3 months 18 days |
FVO Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 12,958,891 | $ 15,749,660 |
Gross Unrealized Gains | 32,814 | 25,208 |
Gross Unrealized Losses | (51,892) | (53,423) |
Carrying Value | $ 429,526 | $ 428,920 |
Number of Securities | security | 271 | 225 |
Weighted Average Rating | AA+ | AA+ |
Weighted Average Coupon | 2.15% | 1.90% |
Weighted Average Yield | 3.91% | 5.00% |
Weighted Average Life (Years) | 3 years 2 months 12 days | 4 years 4 months 24 days |
Weighted Average Principal Subordination | 20.30% | 19.00% |
Investments in Real Estate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 24,314,300 | $ 31,869,682 |
Gross Unrealized Gains | 124,520 | 200,124 |
Gross Unrealized Losses | (278,318) | (60,817) |
Carrying Value | $ 9,396,539 | $ 14,244,558 |
Number of Securities | security | 646 | 647 |
Weighted Average Rating | AAA | AAA |
Weighted Average Coupon | 2.19% | 2.30% |
Weighted Average Yield | 2.27% | 2.40% |
Weighted Average Life (Years) | 6 years 7 months 6 days | 4 years 3 months 18 days |
Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 15,914,957 | $ 19,378,530 |
Non-Agency | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 9,600,000 | 11,900,000 |
Residual and interest - only notional amount | 8,700,000 | 10,900,000 |
Non-Agency | Floating Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 6,400,000 | 7,500,000 |
Residual and interest - only notional amount | 6,200,000 | 7,200,000 |
Corporate bond | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 414 | 500 |
Gross Unrealized Gains | 9 | 23 |
Gross Unrealized Losses | 0 | 0 |
Carrying Value | $ 423 | $ 523 |
Number of Securities | security | 1 | 1 |
Weighted Average Rating | B- | B- |
Weighted Average Coupon | 8.25% | 8.25% |
Weighted Average Yield | 8.25% | 8.25% |
Weighted Average Life (Years) | 3 years 3 months 18 days | 4 years 3 months 18 days |
Consumer loan bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 2,960 | $ 13,022 |
Gross Unrealized Gains | 878 | 503 |
Gross Unrealized Losses | 0 | 0 |
Carrying Value | $ 2,974 | $ 12,862 |
Number of Securities | security | 3 | 6 |
Weighted Average Life (Years) | 0 years | 0 years |
Interest-only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 7,368,874 | $ 9,457,488 |
Gross Unrealized Gains | 8,099 | 6,600 |
Gross Unrealized Losses | (43,626) | (43,781) |
Carrying Value | $ 152,489 | $ 211,073 |
Number of Securities | security | 127 | 124 |
Weighted Average Rating | AA+ | AA+ |
Weighted Average Coupon | 1.19% | 1.22% |
Weighted Average Yield | 1.54% | 5.09% |
Weighted Average Life (Years) | 2 years | 2 years 1 month 6 days |
Servicing Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 4,413,700 | $ 4,979,723 |
Gross Unrealized Gains | 6,869 | 5,865 |
Gross Unrealized Losses | (7,758) | (9,476) |
Carrying Value | $ 59,120 | $ 46,378 |
Number of Securities | security | 59 | 58 |
Weighted Average Rating | N/A | N/A |
Weighted Average Coupon | 1.40% | 0.42% |
Weighted Average Yield | 13.12% | 8.38% |
Weighted Average Life (Years) | 2 years 7 months 6 days | 3 years 10 months 24 days |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 8,399,343 | $ 12,491,152 |
Agency | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 8,400,000 | 12,500,000 |
Agency | Floating Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 0 | $ 0 |
REAL ESTATE AND OTHER SECURIT_4
REAL ESTATE AND OTHER SECURITIES - Schedule of Investment in Real Estate Securities (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Agency | ||
Purchases | ||
Face | $ 5,907.2 | $ 21,593.3 |
Purchase price | 6,098.8 | 22,290.3 |
Sales | ||
Face | 7,830.8 | 19,321.7 |
Amortized cost | 8,135.6 | 19,666.2 |
Sale price | 8,074.3 | 19,886.8 |
Gain (loss) on sale | (61.3) | 220.5 |
Non-Agency | ||
Purchases | ||
Face | 2,999.3 | 5,083.1 |
Purchase price | 174.3 | 575 |
Sales | ||
Face | 1,686.9 | 8,450.1 |
Amortized cost | 193.2 | 6,242 |
Sale price | 164.7 | 5,288.5 |
Gain (loss) on sale | $ (28.5) | $ (953.5) |
REAL ESTATE AND OTHER SECURIT_5
REAL ESTATE AND OTHER SECURITIES - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Provision (reversal) for credit losses on securities | $ (5,201,000) | $ 13,404,000 | $ 25,174,000 |
Agency | |||
Debt Securities, Available-for-sale [Line Items] | |||
Face amount of securities sold, unsettled | $ 0 | $ 0 |
REAL ESTATE AND OTHER SECURIT_6
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021USD ($)security | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||||
Outstanding Face Amount | $ 24,314,300 | $ 31,869,682 | ||
Credit Impairment - Amortized Cost Basis | $ (59,063) | $ (52,803) | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | |||
Less than 12 Months | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Outstanding Face Amount | $ 3,755 | |||
Before Impairment - Amortized Cost Basis | 3,535 | |||
Credit Impairment - Amortized Cost Basis | (20) | |||
After Credit Impairment - Amortized Cost Basis | 3,514 | |||
Gross Unrealized Losses - Less than Twelve Months | (24) | |||
Carrying Value - Less than Twelve Months | $ 3,490 | |||
Number of Securities - Less than Twelve Months | security | 2 | |||
Weighted Average Rating | AAA | |||
Weighted Average Coupon | 1.60% | |||
Weighted Average Yield | 1.34% | |||
Weighted Average Life (Years) | 2 years 4 months 24 days | |||
12 or More Months | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Outstanding Face Amount | $ 19,723 | |||
Before Impairment - Amortized Cost Basis | 10,563 | |||
Credit Impairment - Amortized Cost Basis | (3,451) | |||
After Credit Impairment - Amortized Cost Basis | 7,111 | |||
Gross Unrealized Losses - Twelve or More Months | (93) | |||
Carrying Value - Twelve or More Months | $ 7,018 | |||
Number of Securities - Twelve or More Months | security | 13 | |||
Weighted Average Rating | AA+ | |||
Weighted Average Coupon | 0.00% | |||
Weighted Average Yield | 0.89% | |||
Weighted Average Life (Years) | 4 months 24 days | |||
Total/Weighted Average | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Outstanding Face Amount | $ 23,478 | |||
Before Impairment - Amortized Cost Basis | 14,098 | |||
Credit Impairment - Amortized Cost Basis | (3,471) | |||
After Credit Impairment - Amortized Cost Basis | 10,625 | |||
Gross Unrealized Losses - Total/Weighted Average | (117) | |||
Carrying Value - Total/Weighted Average | $ 10,508 | |||
Number of Securities - Total/Weighted Average | security | 15 | |||
Weighted Average Rating | AAA | |||
Weighted Average Coupon | 0.53% | |||
Weighted Average Yield | 1.04% | |||
Weighted Average Life (Years) | 1 year |
REAL ESTATE AND OTHER SECURIT_7
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Securities New Residential intends to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 0 | $ 0 |
Amortized Cost Basis After Credit Impairment | 0 | 0 |
Gross Unrealized Credit Losses | 0 | 0 |
Gross Unrealized Non-Credit Losses | 0 | 0 |
Securities New Residential is more likely than not to be required to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 0 | 0 |
Amortized Cost Basis After Credit Impairment | 0 | 0 |
Gross Unrealized Credit Losses | 0 | 0 |
Gross Unrealized Non-Credit Losses | 0 | 0 |
Securities No Intent To Sell - Credit Impaired | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 6,581 | 21,326 |
Amortized Cost Basis After Credit Impairment | 6,581 | 21,326 |
Gross Unrealized Credit Losses | (3,471) | (8,672) |
Gross Unrealized Non-Credit Losses | 0 | 0 |
Securities No Intent To Sell - Non-Credit | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 3,927 | 270,821 |
Amortized Cost Basis After Credit Impairment | 4,044 | 331,638 |
Gross Unrealized Credit Losses | 0 | 0 |
Gross Unrealized Non-Credit Losses | (117) | (60,817) |
Securities in an Unrealized Loss Position | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 10,508 | 292,147 |
Amortized Cost Basis After Credit Impairment | 10,625 | 352,964 |
Gross Unrealized Credit Losses | (3,471) | (8,672) |
Gross Unrealized Non-Credit Losses | $ (117) | $ (60,817) |
REAL ESTATE AND OTHER SECURIT_8
REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities Excluding Credit Impairment (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
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 | $ 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 | 0 |
Reductions for securities sold during the period | (2,182) | 0 |
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | (3,019) | 8,672 |
Write-offs charged against the allowance | 0 | 0 |
Recoveries of amounts previously written off | 0 | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | 3,471 | 8,672 |
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, 2020 | 8,672 | 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 | 0 |
Reductions for securities sold during the period | (2,182) | 0 |
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | (3,019) | 8,672 |
Write-offs charged against the allowance | 0 | 0 |
Recoveries of amounts previously written off | 0 | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | 3,471 | 8,672 |
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, 2020 | 0 | 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 | 0 |
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration | 0 | 0 |
Reductions for securities sold during the period | 0 | 0 |
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 0 | 0 |
Write-offs charged against the allowance | 0 | 0 |
Recoveries of amounts previously written off | 0 | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | $ 0 | $ 0 |
REAL ESTATE AND OTHER SECURIT_9
REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |
Beginning balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income | $ 52,803 |
Increases to credit losses on securities for which an other-than-temporary impairment was previously recognized and a portion of an other-than-temporary impairment was recognized in other comprehensive income | 23,059 |
Additions for credit losses on securities for which an other-than-temporary impairment was not previously recognized | 2,115 |
Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 |
Reduction for credit losses on securities for which no other-than-temporary impairment was recognized in other comprehensive income at the current measurement date | 0 |
Reduction for securities sold/paid off during the period | (18,914) |
Ending balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income | $ 59,063 |
REAL ESTATE AND OTHER SECURI_10
REAL ESTATE AND OTHER SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 512,731 | $ 727,216 |
Carrying Value | $ 180,890 | $ 280,876 |
REAL ESTATE AND OTHER SECURI_11
REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | ||
Beginning balance | $ 189,562 | $ 1,882,477 |
Additions | 8,324 | 76,960 |
Accretion | (4,720) | (60,868) |
Reclassifications from (to) non-accretable difference | (8,015) | (167,793) |
Disposals | (149,058) | (1,541,214) |
Ending balance | $ 36,093 | $ 189,562 |
RESIDENTIAL MORTGAGE LOANS - Re
RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Residential mortgage loans held-for-investment, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 623,937 | |
Carrying Value | $ 569,933 | $ 674,179 |
Loan Count | loan | 9,718,000 | |
Weighted Average Yield | 7.10% | |
Weighted Average Life (Years) | 5 years 1 month 6 days | |
Total residential mortgage loans, held-for-sale, at lower of cost or market | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 144,967 | |
Carrying Value | $ 132,921 | 509,887 |
Loan Count | loan | 2,873,000 | |
Weighted Average Yield | 6.60% | |
Weighted Average Life (Years) | 4 years 7 months 6 days | |
Acquired reverse residential mortgage loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 0 | |
Carrying Value | $ 0 | 5,884 |
Loan Count | loan | 0 | |
Weighted Average Yield | 0.00% | |
Weighted Average Life (Years) | 0 years | |
Acquired performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 142,142 | |
Carrying Value | $ 130,634 | 129,345 |
Loan Count | loan | 2,839,000 | |
Weighted Average Yield | 6.60% | |
Weighted Average Life (Years) | 4 years 7 months 6 days | |
Acquired non-performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 2,825 | |
Carrying Value | $ 2,287 | 374,658 |
Loan Count | loan | 34,000 | |
Weighted Average Yield | 7.50% | |
Weighted Average Life (Years) | 4 years 8 months 12 days | |
Total residential mortgage loans, held-for-sale, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 10,955,534 | |
Carrying Value | $ 11,214,924 | 4,705,816 |
Loan Count | loan | 27,485,000 | |
Weighted Average Yield | 3.30% | |
Weighted Average Life (Years) | 24 years 4 months 24 days | |
Acquired performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 2,046,945 | |
Carrying Value | $ 2,070,262 | 1,423,159 |
Loan Count | loan | 12,757,000 | |
Weighted Average Yield | 3.50% | |
Weighted Average Life (Years) | 12 years 4 months 24 days | |
Acquired non-performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 343,133 | |
Carrying Value | $ 315,063 | 335,544 |
Loan Count | loan | 2,249,000 | |
Weighted Average Yield | 4.80% | |
Weighted Average Life (Years) | 6 years 1 month 6 days | |
Originated loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 8,565,456 | |
Carrying Value | $ 8,829,599 | 2,947,113 |
Loan Count | loan | 12,479,000 | |
Weighted Average Yield | 3.20% | |
Weighted Average Life (Years) | 28 years | |
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 | $ 11,100,501 | |
Carrying Value | 11,347,845 | $ 5,215,703 |
Performing Loans | Ginnie Mae EBO | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | 860,400 | |
Non-Performing Loans | Ginnie Mae EBO | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 221,900 |
RESIDENTIAL MORTGAGE LOANS - Ge
RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans | Dec. 31, 2021 | Dec. 31, 2020 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 15.70% | 11.90% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 10.10% | 7.10% |
Washington | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.50% | 1.80% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.10% | 7.10% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.70% | 10.10% |
New Jersey | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.80% | 4.20% |
Virginia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.30% | 2.50% |
Georgia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.10% | 5.80% |
Maryland | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.10% | 2.30% |
Illinois | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.80% | 3.00% |
Other U.S. | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 36.80% | 44.20% |
RESIDENTIAL MORTGAGE LOANS - Sc
RESIDENTIAL MORTGAGE LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans of unfunded and available revolving credit privileges | $ 289,065 | $ 51,575 |
Fair Value | 290,180 | 52,389 |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 |
Residential Mortgage Loans | Less than 120 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans of unfunded and available revolving credit privileges | 11,101,345 | 5,131,755 |
Fair Value | 11,323,443 | 5,099,094 |
Fair Value Over (Under) Unpaid Principal Balance | 222,098 | (32,661) |
Residential Mortgage Loans | 120+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans of unfunded and available revolving credit privileges | 623,093 | 950,564 |
Fair Value | 594,335 | 790,788 |
Fair Value Over (Under) Unpaid Principal Balance | (28,758) | (159,776) |
Residential Mortgage Loans | Past Due | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans of unfunded and available revolving credit privileges | 11,724,438 | 6,082,319 |
Fair Value | 11,917,778 | 5,889,882 |
Fair Value Over (Under) Unpaid Principal Balance | $ 193,340 | $ (192,437) |
RESIDENTIAL MORTGAGE LOANS - Na
RESIDENTIAL MORTGAGE LOANS - Narrative (Details) - Residential Mortgage Loans $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)trust | Dec. 31, 2020USD ($)trust | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of trusts called | trust | 75 | 13 |
Loans Sold | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Investment income, interest | $ 3.3 | $ 48.5 |
Gain (loss) on sale | $ 29 | $ 16 |
RESIDENTIAL MORTGAGE LOANS - Su
RESIDENTIAL MORTGAGE LOANS - Summary of Activity for Residential Mortgage Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | $ 5,215,703 | |
Transfer of loans to real estate owned | (30,015) | $ (43,409) |
Balance, ending | 11,347,845 | 5,215,703 |
Residential Portfolio Segment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 5,889,882 | 6,968,370 |
Fair value adjustment due to fair value option | (6,020) | |
Caliber acquisition (Note 3) | 7,685,681 | |
Originations | 123,059,895 | 61,684,462 |
Sales | (132,335,618) | (65,484,970) |
Purchases/additional fundings | 8,102,055 | 3,433,110 |
Proceeds from repayments | (673,407) | (423,335) |
Transfer of loans to other assets | 21,527 | (25,704) |
Transfer of loans to real estate owned | (26,268) | (35,470) |
Transfers of loans to held-for-sale | (62,274) | |
Transfers of loans to from held-for-investment | 62,274 | |
Valuation provision on loans | 38,273 | (112,957) |
Changes in instrument-specific credit risk | (20,119) | 14,713 |
Other factors | 175,877 | (122,317) |
Balance, ending | 11,917,778 | 5,889,882 |
Loans Held-for-Investment | Residential Portfolio Segment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 674,179 | 925,706 |
Fair value adjustment due to fair value option | (6,020) | |
Caliber acquisition (Note 3) | 0 | |
Originations | 0 | 0 |
Sales | 0 | 0 |
Purchases/additional fundings | 0 | 0 |
Proceeds from repayments | (120,247) | (145,767) |
Transfer of loans to other assets | 0 | 0 |
Transfer of loans to real estate owned | (15,165) | (6,754) |
Transfers of loans to held-for-sale | (62,274) | |
Transfers of loans to from held-for-investment | 0 | |
Valuation provision on loans | 0 | 0 |
Changes in instrument-specific credit risk | (2,020) | 27,036 |
Other factors | 33,186 | (57,748) |
Balance, ending | 569,933 | 674,179 |
Loans Held-for-Sale | Loans Held-for-Sale, at Lower Cost or Fair Value | Residential Portfolio Segment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 509,887 | 1,429,052 |
Fair value adjustment due to fair value option | 0 | |
Caliber acquisition (Note 3) | 0 | |
Originations | 0 | 0 |
Sales | (374,683) | (791,974) |
Purchases/additional fundings | 0 | 110,741 |
Proceeds from repayments | (32,826) | (99,845) |
Transfer of loans to other assets | (585) | (3,449) |
Transfer of loans to real estate owned | (7,145) | (21,681) |
Transfers of loans to held-for-sale | 0 | |
Transfers of loans to from held-for-investment | 0 | |
Valuation provision on loans | 38,273 | (112,957) |
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 0 | 0 |
Balance, ending | 132,921 | 509,887 |
Loans Held-for-Sale | Loans Held-for-Sale, at Fair Value | Residential Portfolio Segment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 4,705,816 | 4,613,612 |
Fair value adjustment due to fair value option | 0 | |
Caliber acquisition (Note 3) | 7,685,681 | |
Originations | 123,059,895 | 61,684,462 |
Sales | (131,960,935) | (64,692,996) |
Purchases/additional fundings | 8,102,055 | 3,322,369 |
Proceeds from repayments | (520,334) | (177,723) |
Transfer of loans to other assets | 22,112 | (22,255) |
Transfer of loans to real estate owned | (3,958) | (7,035) |
Transfers of loans to held-for-sale | 0 | |
Transfers of loans to from held-for-investment | 62,274 | |
Valuation provision on loans | 0 | 0 |
Changes in instrument-specific credit risk | (18,099) | (12,323) |
Other factors | 142,691 | (64,569) |
Balance, ending | $ 11,214,924 | $ 4,705,816 |
RESIDENTIAL MORTGAGE LOANS - _2
RESIDENTIAL MORTGAGE LOANS - Schedule of Net Interest Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Interest income: | |||
Loans held-for-investment, at fair value | $ 44,369 | $ 53,264 | $ 60,301 |
Loans held-for-sale, at lower of cost or fair value | 23,280 | 50,130 | 65,926 |
Loans held-for-sale, at fair value | 260,062 | 135,729 | 175,926 |
Total interest income | 327,711 | 239,123 | 302,153 |
Interest expense: | |||
Loans held-for-investment, at fair value | 16,919 | 21,029 | 19,381 |
Loans held-for-sale, at lower of cost or fair value | 21,333 | 22,541 | 40,067 |
Loans held-for-sale, at fair value | 159,413 | 90,064 | 109,723 |
Total interest expense | 197,665 | 133,634 | 169,171 |
Net interest income | $ 130,046 | $ 105,489 | $ 132,982 |
RESIDENTIAL MORTGAGE LOANS - _3
RESIDENTIAL MORTGAGE LOANS - Schedule of Gain on Sale of Originated Mortgage Loans, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Long Lived Assets Held-for-sale [Line Items] | |||
Gain on residential mortgage loans originated and sold, net | $ 460,062 | $ 811,288 | $ 53,554 |
Gain (loss) on settlement of residential mortgage loan origination derivative instruments | 240,610 | (361,755) | (53,374) |
MSRs retained on transfer of residential mortgage loans | 1,331,626 | 666,414 | 374,450 |
Other | 107,249 | 49,270 | 27,564 |
Realized gain on sale of originated residential mortgage loans, net | 2,139,547 | 1,165,217 | 402,194 |
Change in fair value | (175,135) | 133,967 | 29,152 |
Gain on originated residential mortgage loans, held-for-sale, net | 1,826,909 | 1,399,092 | 460,107 |
Loan origination fees and direct loan origination costs | 2,300,000 | 1,700,000 | |
Interest rate lock commitments | |||
Long Lived Assets Held-for-sale [Line Items] | |||
Change in fair value | (293,699) | 249,183 | 26,151 |
Derivative Instruments | |||
Long Lived Assets Held-for-sale [Line Items] | |||
Change in fair value | 118,564 | (115,216) | 3,001 |
Originated loans | |||
Long Lived Assets Held-for-sale [Line Items] | |||
Change in fair value of residential mortgage loans | $ (137,503) | $ 99,908 | $ 28,761 |
CONSUMER LOANS - Narrative (Det
CONSUMER LOANS - Narrative (Details) | Dec. 31, 2021 |
Consumer Loan SPVs | |
Schedule of Consumer Loans [Line Items] | |
New Residential’s percentage ownership | 53.50% |
CONSUMER LOANS - Summary of Inv
CONSUMER LOANS - Summary of Investment in Consumer Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Consumer Loans [Line Items] | ||
Weighted Average Expected Life (Years) | 1 year 3 months 18 days | |
Number of days delinquent | 30 days | |
Consumer Portfolio Segment | Parent Company | ||
Schedule of Consumer Loans [Line Items] | ||
UPB of Underlying Mortgages | $ 449,875 | $ 620,983 |
Carrying Value | $ 507,291 | $ 685,575 |
Weighted Average Coupon | 17.50% | 17.40% |
Weighted Average Expected Life (Years) | 3 years 2 months 12 days | 3 years 7 months 6 days |
Weighted average delinquency | 4.50% | 4.40% |
Consumer Portfolio Segment | Parent Company | Other - performing | ||
Schedule of Consumer Loans [Line Items] | ||
UPB of Underlying Mortgages | $ 114 | $ 2,862 |
Carrying Value | $ 0 | $ 2,643 |
Weighted Average Coupon | 15.50% | 15.30% |
Weighted Average Expected Life (Years) | 3 months 18 days | 4 months 24 days |
Weighted average delinquency | 28.40% | 4.30% |
Consumer Portfolio Segment | Parent Company | Other - performing | Entirely Owned Loan Portfolio | ||
Schedule of Consumer Loans [Line Items] | ||
Interest in Consumer Loans | 100.00% | 100.00% |
Consumer Portfolio Segment | Parent Company | Performing | ||
Schedule of Consumer Loans [Line Items] | ||
UPB of Underlying Mortgages | $ 358,181 | $ 490,222 |
Carrying Value | $ 413,377 | $ 553,419 |
Weighted Average Coupon | 18.50% | 18.30% |
Weighted Average Expected Life (Years) | 3 years 2 months 12 days | 3 years 7 months 6 days |
Weighted average delinquency | 3.60% | 3.70% |
Consumer Portfolio Segment | Parent Company | Performing | Consumer Loan SPVs | ||
Schedule of Consumer Loans [Line Items] | ||
Interest in Consumer Loans | 53.50% | 53.50% |
Consumer Portfolio Segment | Parent Company | Purchased credit deteriorated | ||
Schedule of Consumer Loans [Line Items] | ||
UPB of Underlying Mortgages | $ 91,580 | $ 127,899 |
Carrying Value | $ 93,914 | $ 129,513 |
Weighted Average Coupon | 13.80% | 14.10% |
Weighted Average Expected Life (Years) | 3 years 1 month 6 days | 3 years 6 months |
Weighted average delinquency | 7.70% | 7.40% |
Consumer Portfolio Segment | Parent Company | Purchased credit deteriorated | Consumer Loan SPVs | ||
Schedule of Consumer Loans [Line Items] | ||
Interest in Consumer Loans | 53.50% | 53.50% |
CONSUMER LOANS - Schedule of Ag
CONSUMER LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | $ 289,065 | $ 51,575 | |
Fair Value | 290,180 | 52,389 | |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 | |
90+ | |||
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | 0 | 0 | |
Fair Value | 0 | 0 | |
Fair Value Over (Under) Unpaid Principal Balance | 0 | 0 | |
Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | 507,291 | 685,575 | $ 827,545 |
Consumer Portfolio Segment | Under 90 Days | |||
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | 442,481 | 611,978 | |
Fair Value | 499,059 | 675,691 | |
Fair Value Over (Under) Unpaid Principal Balance | 56,578 | 63,713 | |
Consumer Portfolio Segment | 90+ | |||
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | 7,394 | 9,005 | |
Fair Value | 8,232 | 9,884 | |
Fair Value Over (Under) Unpaid Principal Balance | 838 | 879 | |
Consumer Portfolio Segment | Past Due | |||
Schedule of Equity Method Investments [Line Items] | |||
Loans of unfunded and available revolving credit privileges | 449,875 | 620,983 | |
Fair Value | 507,291 | 685,575 | |
Fair Value Over (Under) Unpaid Principal Balance | $ 57,416 | $ 64,592 |
CONSUMER LOANS - Carrying Value
CONSUMER LOANS - Carrying Value of Consumer Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Loans Receivable [Roll Forward] | |||
Beginning balance | $ 51,575 | ||
Proceeds from Principal Repayments on Loans and Leases Held-for-investment | (119,841) | $ (139,561) | $ (113,602) |
Accretion of loan discount and premium amortization, net | 49,382 | 151,540 | 379,129 |
Ending balance | 289,065 | 51,575 | |
Consumer Portfolio Segment | |||
Loans Receivable [Roll Forward] | |||
Beginning balance | 685,575 | 827,545 | |
Fair value adjustment due to fair value option | 36,472 | ||
Additional fundings | 29,002 | 33,041 | |
Proceeds from Principal Repayments on Loans and Leases Held-for-investment | (206,078) | (229,218) | |
Accretion of loan discount and premium amortization, net | 18,925 | 24,120 | |
Changes in instrument-specific credit risk | 22,915 | 5,195 | |
Other factors | (43,048) | (11,580) | |
Ending balance | $ 507,291 | $ 685,575 | $ 827,545 |
MORTGAGE LOANS RECEIVABLE - Sum
MORTGAGE LOANS RECEIVABLE - Summary of Mortgage Loans Receivable By Purpose (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal and interest receivable | $ 85,084 | $ 41,589 |
Mortgage Loans Receivable | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal and interest receivable | $ 1,515,762 | $ 0 |
% of Portfolio | 100.00% | |
Loan Count | loan | 1,464 | |
% of Portfolio | 100.00% | |
Weighted Average Yield | 8.10% | |
Weighted Average Original Life (Months) | 15 months 6 days | |
Mortgage Loans Receivable | Construction | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal and interest receivable | $ 610,446 | |
% of Portfolio | 40.30% | |
Loan Count | loan | 486 | |
% of Portfolio | 33.20% | |
Weighted Average Yield | 8.30% | |
Weighted Average Original Life (Months) | 16 months | |
Weighted Average Committed Loan Balance to Value, LTC | 75.60% | |
Weighted Average Committed Loan Balance to Value, LTARV | 65.00% | |
Mortgage Loans Receivable | Bridge | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal and interest receivable | $ 716,764 | |
% of Portfolio | 47.30% | |
Loan Count | loan | 632 | |
% of Portfolio | 43.20% | |
Weighted Average Yield | 7.80% | |
Weighted Average Original Life (Months) | 14 months 15 days | |
Weighted Average Committed Loan Balance to Value | 73.80% | |
Mortgage Loans Receivable | Renovation | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal and interest receivable | $ 188,552 | |
% of Portfolio | 12.40% | |
Loan Count | loan | 346 | |
% of Portfolio | 23.60% | |
Weighted Average Yield | 8.10% | |
Weighted Average Original Life (Months) | 13 months 12 days | |
Weighted Average Committed Loan Balance to Value, LTC | 7850.00% | |
Weighted Average Committed Loan Balance to Value, LTARV | 6710.00% |
MORTGAGE LOANS RECEIVABLE - Sch
MORTGAGE LOANS RECEIVABLE - Schedule of Mortgage Loans Receivable (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Financing Receivable [Roll Forward] | |
Beginning balance | $ 41,589 |
Ending balance | 85,084 |
Mortgage Loans Receivable | |
Financing Receivable [Roll Forward] | |
Beginning balance | 0 |
Genesis acquisition (Note 3) | 1,505,635 |
Initial loan advances | 60,125 |
Construction holdbacks and draws | 12,856 |
Paydowns and payoffs | (60,867) |
Changes in instrument-specific credit risk | 0 |
Other factors | (1,987) |
Ending balance | $ 1,515,762 |
MORTGAGE LOANS RECEIVABLE - Pas
MORTGAGE LOANS RECEIVABLE - Past Due Mortgage Loans Receivable (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 289,065 | $ 51,575 |
Fair Value | 290,180 | 52,389 |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 289,065 | 51,575 |
Fair Value | 290,180 | 52,389 |
Fair Value Over (Under) Unpaid Principal Balance | 1,115 | 814 |
90+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Fair Value | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | 0 | $ 0 |
Mortgage Loans Receivable | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,473,894 | |
Fair Value | 1,515,762 | |
Fair Value Over (Under) Unpaid Principal Balance | 41,868 | |
Mortgage Loans Receivable | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,473,894 | |
Fair Value | 1,515,762 | |
Fair Value Over (Under) Unpaid Principal Balance | 41,868 | |
Mortgage Loans Receivable | 90+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Fair Value | 0 | |
Fair Value Over (Under) Unpaid Principal Balance | $ 0 |
MORTGAGE LOANS RECEIVABLE - S_2
MORTGAGE LOANS RECEIVABLE - Summary of the Geographic Distribution of Mortgage Loans Receivable (Details) - Mortgage Loans Receivable - Geographic Concentration Risk - Loan Origination Commitments | 12 Months Ended |
Dec. 31, 2021 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 100.00% |
California | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 58.90% |
Washington | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 12.20% |
New York | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 5.60% |
Other U.S. | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 23.30% |
DERIVATIVES - Schedule of Deriv
DERIVATIVES - Schedule of Derivatives (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Derivative assets | $ 138,173 | $ 290,144 |
Derivative liabilities | 34,583 | 119,762 |
Interest rate swaps | ||
Derivative [Line Items] | ||
Derivative assets | 52 | 0 |
Derivative liabilities | 0 | 25 |
Variation margin accounts | 60,700 | 237,700 |
Interest rate lock commitments | ||
Derivative [Line Items] | ||
Derivative assets | 114,871 | 289,355 |
Derivative liabilities | 3,093 | 281 |
Treasury futures and options on treasury futures | ||
Derivative [Line Items] | ||
Derivative assets | 7,778 | 0 |
TBAs | ||
Derivative [Line Items] | ||
Derivative assets | 15,472 | 789 |
Derivative liabilities | $ 31,490 | $ 119,456 |
DERIVATIVES - Notional Amount (
DERIVATIVES - Notional Amount (Details) - Not Designated as Hedging Instrument - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 11,490,000 | $ 6,515,000 |
Interest rate swaps | Short | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 0 | $ 0 |
Derivative, cap interest rate | 0.00% | 0.00% |
Average remaining maturity (in months) | 0 months | 0 months |
Interest rate swaps | Long | ||
Derivative [Line Items] | ||
Derivative, notional amount | $ 11,500,000 | $ 6,500,000 |
Derivative, cap interest rate | 1.10% | 2.20% |
Average remaining maturity (in months) | 42 months | 47 months |
Interest rate lock commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 10,653,850 | $ 15,031,345 |
TBAs | Short | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 22,697,706 | 23,529,408 |
Treasury futures | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 314,500 | 0 |
Options on treasury futures | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 3,200 | $ 0 |
DERIVATIVES - Gain (Losses) (De
DERIVATIVES - Gain (Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Servicing revenue, net | $ (30,481) | $ 0 | $ 0 |
Gain on originated residential mortgage loans, held for sale, net | (175,135) | 133,967 | 29,152 |
Other income (loss), net | 298,803 | (53,467) | (56,143) |
Gain (loss) on settlement of investments, net | (172,581) | (74,812) | (129,923) |
Total gain (loss) | (79,394) | 5,688 | (156,914) |
Settlement of derivatives | (172,581) | (74,812) | (129,923) |
Gain (loss) on settlement of residential mortgage loan origination derivative instruments | 240,610 | (361,755) | (53,374) |
Mortgage Servicing Rights | |||
Derivative [Line Items] | |||
Settlement of derivatives | (34,724) | 0 | 0 |
TBAs | |||
Derivative [Line Items] | |||
Servicing revenue, net | 10,483 | 0 | 0 |
Gain on originated residential mortgage loans, held for sale, net | 118,564 | (115,243) | 3,067 |
Other income (loss), net | 0 | 0 | 2,778 |
Gain (loss) on settlement of investments, net | (36,508) | (72,127) | (121,252) |
Treasury futures | |||
Derivative [Line Items] | |||
Servicing revenue, net | (23,961) | 0 | 0 |
Options on treasury futures | |||
Derivative [Line Items] | |||
Servicing revenue, net | (17,003) | 0 | 0 |
Interest rate lock commitments | |||
Derivative [Line Items] | |||
Gain on originated residential mortgage loans, held for sale, net | (293,699) | 249,183 | 26,151 |
Other income (loss), net | 0 | 0 | (3) |
Forward Loan Sale Commitments | |||
Derivative [Line Items] | |||
Gain on originated residential mortgage loans, held for sale, net | 0 | 27 | (66) |
Interest rate swaps | |||
Derivative [Line Items] | |||
Other income (loss), net | 298,803 | (53,467) | (58,918) |
Gain (loss) on settlement of investments, net | $ (136,073) | $ (2,685) | $ (8,671) |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 29,273,486,000 | ||
Carrying Value | $ 29,237,694,000 | $ 25,191,875,000 | $ 35,636,373,000 |
Weighted Average Funding Cost | 1.71% | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Interest payable | $ 30,931,000 | 44,623,000 | |
Excess MSRs | |||
Debt Instrument [Line Items] | |||
Carrying Value | 237,835,000 | 275,088,000 | 217,300,000 |
Servicer advances | |||
Debt Instrument [Line Items] | |||
Carrying Value | 2,711,691,000 | 3,008,719,000 | 3,181,672,000 |
Consumer Loans | |||
Debt Instrument [Line Items] | |||
Carrying Value | 458,580,000 | 628,759,000 | $ 816,689,000 |
Secured Notes And Bonds Payable | 2.5% - 3.5% Agency MSR Secured Note And Bond Payable | LIBOR | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 1,900,000,000 | ||
Secured Notes And Bonds Payable | 2.5% - 3.5% Agency MSR Secured Note And Bond Payable | LIBOR | Minimum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 2.50% | ||
Secured Notes And Bonds Payable | 2.5% - 3.5% Agency MSR Secured Note And Bond Payable | LIBOR | Maximum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 4.50% | ||
Secured Notes And Bonds Payable | 3.0% To 5.4% Public Notes | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 2,300,000,000 | ||
Secured Notes And Bonds Payable | 3.0% To 5.4% Public Notes | Minimum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 3.00% | ||
Secured Notes And Bonds Payable | 3.0% To 5.4% Public Notes | Maximum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 5.40% | ||
Secured Notes And Bonds Payable | Servicer Advance Investments | LIBOR | Minimum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 1.10% | ||
Secured Notes And Bonds Payable | Servicer Advance Investments | LIBOR | Maximum | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 3.50% | ||
Secured Financing Agreements | Warehouse Credit Facilities-Residential Mortgage Loans | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 10,135,658,000 | ||
Carrying Value | $ 10,131,700,000 | 4,039,564,000 | |
Weighted Average Funding Cost | 1.92% | ||
Weighted Average Life (Years) | 8 months 12 days | ||
Repurchase agreements | $ 252,200,000 | ||
Interest rate, stated percentage | 4.00% | ||
Secured Financing Agreements | Warehouse Credit Facilities-Residential Mortgage Loans | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 23 years | ||
Outstanding Face | $ 10,904,545,000 | ||
Amortized Cost Basis | 10,936,752,000 | ||
Carrying Value | 10,977,338,000 | ||
Secured Financing Agreements | Warehouse Credit Facilities - Mortgage Loans Receivable | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 1,252,660,000 | ||
Carrying Value | $ 1,252,660,000 | 0 | |
Weighted Average Funding Cost | 2.15% | ||
Weighted Average Life (Years) | 2 years | ||
Secured Financing Agreements | Warehouse Credit Facilities - Mortgage Loans Receivable | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Outstanding Face | $ 1,473,894,000 | ||
Amortized Cost Basis | 1,473,894,000 | ||
Carrying Value | 1,515,762,000 | ||
Secured Financing Agreements | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 20,596,842,000 | ||
Carrying Value | $ 20,592,884,000 | 17,547,680,000 | |
Weighted Average Funding Cost | 1.25% | ||
Weighted Average Life (Years) | 7 months 6 days | ||
Interest payable | $ 20,900,000 | ||
Secured Financing Agreements | Agency RMBS | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 8,386,538,000 | ||
Carrying Value | $ 8,386,538,000 | 12,682,427,000 | |
Weighted Average Funding Cost | 0.16% | ||
Weighted Average Life (Years) | 1 month 6 days | ||
Secured Financing Agreements | Agency RMBS | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 6 years 10 months 24 days | ||
Outstanding Face | $ 8,396,800,000 | ||
Amortized Cost Basis | 8,661,005,000 | ||
Carrying Value | 8,442,009,000 | ||
Secured Financing Agreements | Non-Agency RMBS | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 656,874,000 | ||
Carrying Value | $ 656,874,000 | 817,209,000 | |
Weighted Average Funding Cost | 2.43% | ||
Weighted Average Life (Years) | 1 month 6 days | ||
Secured Financing Agreements | Non-Agency RMBS | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 3 years 3 months 18 days | ||
Outstanding Face | $ 13,370,966,000 | ||
Amortized Cost Basis | 869,226,000 | ||
Carrying Value | 924,948,000 | ||
Secured Financing Agreements | Other | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 165,112,000 | ||
Carrying Value | $ 165,112,000 | 8,480,000 | |
Weighted Average Funding Cost | 2.95% | ||
Weighted Average Life (Years) | 1 year | ||
Secured Financing Agreements | Other | Single Family Rental Collateralized Notes | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 158,500,000 | ||
Secured Financing Agreements | Other | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 4 years 4 months 24 days | ||
Amortized Cost Basis | $ 234,501,000 | ||
Carrying Value | 230,062,000 | ||
Secured Notes And Bonds Payable | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 8,676,644,000 | ||
Carrying Value | $ 8,644,810,000 | 7,644,195,000 | |
Weighted Average Funding Cost | 2.77% | ||
Weighted Average Life (Years) | 2 years 10 months 24 days | ||
Secured Notes And Bonds Payable | Excess MSRs | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 237,835,000 | ||
Carrying Value | $ 237,835,000 | 275,088,000 | |
Weighted Average Funding Cost | 3.74% | ||
Weighted Average Life (Years) | 3 years 8 months 12 days | ||
Secured Notes And Bonds Payable | Excess MSRs | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 6 years 3 months 18 days | ||
Outstanding Face | $ 80,461,630,000 | ||
Amortized Cost Basis | 268,102,000 | ||
Carrying Value | 333,845,000 | ||
Secured Notes And Bonds Payable | MSRs | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 4,245,401,000 | ||
Carrying Value | $ 4,234,771,000 | 2,691,791,000 | |
Weighted Average Funding Cost | 3.47% | ||
Weighted Average Life (Years) | 3 years 3 months 18 days | ||
Secured Notes And Bonds Payable | MSRs | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 6 years 3 months 18 days | ||
Outstanding Face | $ 524,065,651,000 | ||
Amortized Cost Basis | 6,049,595,000 | ||
Carrying Value | 6,609,171,000 | ||
Secured Notes And Bonds Payable | Servicer Advance Investments | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 356,580,000 | ||
Carrying Value | $ 355,722,000 | 423,144,000 | |
Weighted Average Funding Cost | 1.27% | ||
Weighted Average Life (Years) | 10 months 24 days | ||
Secured Notes And Bonds Payable | Servicer Advance Investments | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 6 years 10 months 24 days | ||
Outstanding Face | $ 369,440,000 | ||
Amortized Cost Basis | 405,786,000 | ||
Carrying Value | 421,807,000 | ||
Secured Notes And Bonds Payable | Servicer advances | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 2,362,080,000 | ||
Carrying Value | $ 2,355,969,000 | 2,585,575,000 | |
Weighted Average Funding Cost | 2.19% | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Secured Notes And Bonds Payable | Servicer advances | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 8 months 12 days | ||
Outstanding Face | $ 2,812,974,000 | ||
Amortized Cost Basis | 2,855,148,000 | ||
Carrying Value | 2,855,148,000 | ||
Secured Notes And Bonds Payable | Residential Mortgage Loans | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 1,020,206,000 | ||
Carrying Value | $ 1,001,933,000 | 1,039,838,000 | |
Weighted Average Funding Cost | 1.82% | ||
Weighted Average Life (Years) | 3 years 2 months 12 days | ||
Secured Notes And Bonds Payable | Residential Mortgage Loans | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 23 years 10 months 24 days | ||
Outstanding Face | $ 889,840,000 | ||
Amortized Cost Basis | 1,158,669,000 | ||
Carrying Value | 1,147,245,000 | ||
Secured Notes And Bonds Payable | Consumer Loans | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | 454,542,000 | ||
Carrying Value | $ 458,580,000 | $ 628,759,000 | |
Weighted Average Funding Cost | 2.05% | ||
Weighted Average Life (Years) | 8 years 7 months 6 days | ||
Secured Notes And Bonds Payable | Consumer Loans | Collateral | |||
Debt Instrument [Line Items] | |||
Weighted Average Life (Years) | 3 years 3 months 18 days | ||
Outstanding Face | $ 449,713,000 | ||
Amortized Cost Basis | 461,026,000 | ||
Carrying Value | 507,242,000 | ||
Secured Notes And Bonds Payable | 3.7% Secured Corporate Note | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 237,800,000 | ||
Secured Notes And Bonds Payable | 3.7% Secured Corporate Note | LIBOR | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 3.70% | ||
Secured Notes And Bonds Payable | Servicer Advance Investments | |||
Debt Instrument [Line Items] | |||
Face amount of fixed rate debt | $ 1,800,000,000 | ||
Secured Notes And Bonds Payable | 3.8% Asset-Backed Notes | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 27,600,000 | ||
Secured Notes And Bonds Payable | 3.8% Asset-Backed Notes | Maximum | |||
Debt Instrument [Line Items] | |||
Weighted Average Funding Cost | 3.80% | ||
Secured Notes And Bonds Payable | 6.6% Asset-Backed Notes | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 42,900,000 | ||
Interest rate, stated percentage | 6.60% | ||
Secured Notes And Bonds Payable | 2.8% SFR Rental Property Collateralized Notes | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 199,700,000 | ||
Interest rate, stated percentage | 2.80% | ||
Secured Notes And Bonds Payable | Revolving Warehouse Facility Backed Securitization | |||
Debt Instrument [Line Items] | |||
Outstanding Face Amount | $ 750,000,000 | ||
Secured Notes And Bonds Payable | Revolving Warehouse Facility Backed Securitization | LIBOR | |||
Debt Instrument [Line Items] | |||
Variable interest rate spread | 1.10% | ||
Secured Notes And Bonds Payable | Consumer Loan, UPB Class A | |||
Debt Instrument [Line Items] | |||
Interest rate, stated percentage | 2.00% | ||
UPB of Underlying Mortgages | $ 401,500,000 | ||
Secured Notes And Bonds Payable | Consumer Loan, UPB Class B | |||
Debt Instrument [Line Items] | |||
Interest rate, stated percentage | 2.70% | ||
UPB of Underlying Mortgages | $ 53,000,000 |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) $ in Thousands | Sep. 16, 2020USD ($) | Dec. 31, 2021USD ($)agreement | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) |
Debt Instrument [Line Items] | ||||
Face amount of debt | $ 29,273,486 | |||
Interest expense and warehouse line fees | 497,308 | $ 584,469 | $ 933,751 | |
Secured Financing Agreements | ||||
Debt Instrument [Line Items] | ||||
Face amount of debt | 20,600,000 | |||
Secured Financing Agreements | ||||
Debt Instrument [Line Items] | ||||
Face amount of debt | 20,596,842 | |||
Senior Notes | ||||
Debt Instrument [Line Items] | ||||
Issuance fees | 6,700 | |||
Interest expense and warehouse line fees | $ 34,400 | |||
Senior Notes | 2025 Senior Notes | ||||
Debt Instrument [Line Items] | ||||
Face amount of debt | $ 550,000 | |||
Interest rate, stated percentage | 6.25% | |||
Redemption maximum principal amount percentage | 0.40 | |||
Debt redemption percentage | 106.25% | 101.00% | ||
Borrowings under secured financing agreements | $ 544,500 | |||
Issuance fees | $ 8,300 | |||
Debt instrument, restrictive covenants, minimum total unencumbered assets maintenance requirement | 1.20 | |||
Stockholders' Equity | Counterpary Concentration Risk Exceeding 10% | Secured Financing Agreements | ||||
Debt Instrument [Line Items] | ||||
Number of outstanding repurchase agreements | agreement | 0 |
DEBT OBLIGATIONS - Carrying Val
DEBT OBLIGATIONS - Carrying Value (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Roll Forward] | |||
Beginning balance | $ 25,191,875 | $ 35,636,373 | |
Repayments | (69,206,600) | (122,526,887) | $ (196,120,793) |
Ending balance | 29,237,694 | 25,191,875 | 35,636,373 |
Excess MSRs | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 275,088 | 217,300 | |
Ending balance | 237,835 | 275,088 | 217,300 |
MSRs | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 2,691,791 | 2,640,036 | |
Ending balance | 4,234,771 | 2,691,791 | 2,640,036 |
Servicer advances | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 3,008,719 | 3,181,672 | |
Ending balance | 2,711,691 | 3,008,719 | 3,181,672 |
Real Estate Securities | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 13,499,636 | 22,799,196 | |
Ending balance | 9,043,412 | 13,499,636 | 22,799,196 |
Residential mortgage loans and REO | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 5,087,882 | 5,981,480 | |
Ending balance | 11,298,745 | 5,087,882 | 5,981,480 |
Consumer Loans | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 628,759 | 816,689 | |
Ending balance | 458,580 | 628,759 | 816,689 |
Mortgage Loans Receivable | |||
Debt Instrument [Roll Forward] | |||
Beginning balance | 0 | 0 | |
Ending balance | 1,252,660 | 0 | $ 0 |
Secured Financing Agreements | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 7,090,577 | ||
Borrowings | 195,904,761 | 176,681,783 | |
Repayments | (199,951,591) | (187,047,368) | |
Capitalized deferred financing costs, net of amortization | 1,457 | (2,960) | |
Secured Financing Agreements | Excess MSRs | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Secured Financing Agreements | MSRs | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Secured Financing Agreements | Servicer advances | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Secured Financing Agreements | Real Estate Securities | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 64,749,425 | 113,228,180 | |
Repayments | (69,206,600) | (122,526,887) | |
Capitalized deferred financing costs, net of amortization | 951 | (853) | |
Secured Financing Agreements | Residential mortgage loans and REO | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 7,090,577 | ||
Borrowings | 129,876,689 | 63,453,603 | |
Repayments | (130,719,004) | (64,520,481) | |
Capitalized deferred financing costs, net of amortization | 506 | (2,107) | |
Secured Financing Agreements | Consumer Loans | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Secured Financing Agreements | Mortgage Loans Receivable | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 1,278,647 | 0 | |
Repayments | (25,987) | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Secured Notes and Bonds Payable | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 1,121,772 | ||
Borrowings | 7,964,077 | 9,380,533 | |
Repayments | (8,078,073) | (9,447,770) | |
Capitalized deferred financing costs, net of amortization | 5,830 | (6,800) | |
Discount on borrowings, net of amortization | (2,882) | ||
Unrealized (gain) loss on notes, fair value | (12,991) | 966 | |
Secured Notes and Bonds Payable | Excess MSRs | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 193,357 | |
Repayments | (37,253) | (135,569) | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | 0 | 0 | |
Secured Notes and Bonds Payable | MSRs | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 1,045,000 | ||
Borrowings | 4,042,325 | 3,575,811 | |
Repayments | (3,549,148) | (3,517,429) | |
Capitalized deferred financing costs, net of amortization | 4,803 | (6,627) | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | 0 | 0 | |
Secured Notes and Bonds Payable | Servicer advances | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 76,772 | ||
Borrowings | 2,971,974 | 4,072,560 | |
Repayments | (3,346,873) | (4,245,295) | |
Capitalized deferred financing costs, net of amortization | 1,099 | (218) | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | 0 | 0 | |
Secured Notes and Bonds Payable | Real Estate Securities | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | 0 | 0 | |
Secured Notes and Bonds Payable | Residential mortgage loans and REO | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 949,778 | 875,758 | |
Repayments | (974,176) | (697,789) | |
Capitalized deferred financing costs, net of amortization | (72) | 45 | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | (13,435) | (2,627) | |
Secured Notes and Bonds Payable | Consumer Loans | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 663,047 | |
Repayments | (170,623) | (851,688) | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Discount on borrowings, net of amortization | (2,882) | ||
Unrealized (gain) loss on notes, fair value | 444 | 3,593 | |
Secured Notes and Bonds Payable | Mortgage Loans Receivable | |||
Debt Instrument [Roll Forward] | |||
Acquired borrowings, net of discount | 0 | ||
Borrowings | 0 | 0 | |
Repayments | 0 | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | 0 | |
Discount on borrowings, net of amortization | 0 | ||
Unrealized (gain) loss on notes, fair value | $ 0 | $ 0 |
DEBT OBLIGATIONS - Contractual
DEBT OBLIGATIONS - Contractual Maturities of Debt Obligations (Details) $ in Thousands | Dec. 31, 2021USD ($) |
Debt maturing in: | |
2022 | $ 18,491,263 |
2023 | 5,205,011 |
2024 | 1,961,791 |
2025 | 2,043,989 |
2026 and thereafter | 2,121,432 |
Total long-term debt | 29,823,486 |
Nonrecourse | |
Debt maturing in: | |
2022 | 1,088,882 |
2023 | 1,380,352 |
2024 | 750,000 |
2025 | 0 |
2026 and thereafter | 525,036 |
Total long-term debt | 3,744,270 |
Nonrecourse, Secured Notes And Bonds Payable | |
Debt maturing in: | |
Total long-term debt | 3,700,000 |
Recourse | |
Debt maturing in: | |
2022 | 17,402,381 |
2023 | 3,824,659 |
2024 | 1,211,791 |
2025 | 2,043,989 |
2026 and thereafter | 1,596,396 |
Total long-term debt | 26,079,216 |
Recourse, Secured Financing Agreements | |
Debt maturing in: | |
Total long-term debt | 20,600,000 |
Recourse, Secured Notes And Bonds Payable | |
Debt maturing in: | |
Total long-term debt | $ 5,500,000 |
DEBT OBLIGATIONS - Schedule o_2
DEBT OBLIGATIONS - Schedule of Borrowing Capacity (Details) $ in Thousands | Dec. 31, 2021USD ($) |
Residential mortgage loans and REO | |
Debt Instrument [Line Items] | |
Borrowing Capacity | $ 5,178,992 |
Balance Outstanding | 3,478,514 |
Available Financing | 1,700,478 |
Loan originations | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 21,564,856 |
Balance Outstanding | 8,824,916 |
Available Financing | 12,739,940 |
Excess MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 286,380 |
Balance Outstanding | 237,835 |
Available Financing | 48,546 |
MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 4,999,244 |
Balance Outstanding | 4,245,401 |
Available Financing | 753,843 |
Servicer advances | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 4,002,644 |
Balance Outstanding | 2,718,660 |
Available Financing | 1,283,984 |
Properties and Residential Mortgage Loans | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 200,000 |
Balance Outstanding | 199,713 |
Available Financing | 287 |
Debt Borrowing Capacity | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 36,232,116 |
Balance Outstanding | 19,705,039 |
Available Financing | $ 16,527,078 |
DEBT OBLIGATIONS - Schedule o_3
DEBT OBLIGATIONS - Schedule of Debt Redemption (Details) - 2025 Senior Notes - Senior Notes | Sep. 16, 2020 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Debt redemption percentage | 106.25% | 101.00% |
2022 | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 103.125% | |
2023 | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 101.563% | |
2024 and thereafter | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 100.00% |
FAIR VALUE MEASUREMENTS - Carry
FAIR VALUE MEASUREMENTS - Carrying Values and Fair Values of Financial Assets and Liabilities Recorded at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Investments in: | ||||||
Excess MSRs | $ 344,947 | $ 410,855 | ||||
MSRs and MSR financing receivables | 6,858,803 | 4,585,841 | $ 5,686,233 | |||
Real estate and other securities | 9,396,539 | 14,244,558 | ||||
Residential mortgage loans, held-for-sale, at fair value | 11,214,924 | 4,705,816 | ||||
Residential mortgage loans subject to repurchase | 1,787,314 | [1] | 1,452,005 | [1] | 172,336 | |
Derivative assets | 138,173 | 290,144 | ||||
Note receivable | 290,180 | 52,389 | ||||
Restricted cash | [2] | 195,867 | 135,619 | |||
Liabilities: | ||||||
Residential mortgage loan repurchase liability | 12,530 | 26,748 | ||||
Derivative liabilities | 34,583 | 119,762 | ||||
Excess spread financing, at fair value | 0 | 18,420 | ||||
Recurring Basis | ||||||
Investments in: | ||||||
Excess MSRs, principal balance | 80,461,630 | 72,688,905 | ||||
Excess MSRs, equity method investees, principal balance | 28,453,512 | |||||
MSRs and MSR financing receivables, principal balance | 548,613,089 | 435,435,827 | ||||
Servicer advance investments, principal balance | 369,440 | 449,150 | ||||
Real estate and other securities, principal balance | 24,314,300 | 31,869,681 | ||||
Residential mortgage loans, held-for-sale, principal balance | 144,967 | 637,138 | ||||
Residential mortgage loans, held for sale, at fair value, principal balance | 10,955,534 | 4,675,833 | ||||
Residential mortgage loans, held-for-investment, at fair value, principal balance | 623,937 | 769,348 | ||||
Residential mortgage loans subject to repurchase, principal balance | 1,787,314 | 1,452,005 | ||||
Consumer loans, principal balance | 449,875 | 620,983 | ||||
Derivative assets, principal balance | 47,080,263 | 38,427,601 | ||||
Mortgage loans receivable, principal balance | 1,473,894 | |||||
Notes receivable, principal balance | 60,373 | 51,575 | ||||
Loans receivable, principal balance | 228,692 | |||||
Cash and cash equivalents | 1,332,575 | 944,854 | ||||
Restricted cash | 195,867 | 135,619 | ||||
Liabilities: | ||||||
Secured financing agreements, principal balance | 20,596,842 | 17,552,126 | ||||
Secured notes and bonds payable, principal balance | 8,676,644 | 7,667,239 | ||||
Unsecured senior notes, net of issuance costs, principal balance | 543,293 | 541,516 | ||||
Residential mortgage loan repurchase liability, principal balance | 1,787,314 | 1,452,005 | ||||
Derivative liabilities, principal balance | 1,275,793 | 6,648,152 | ||||
Excess spread financing, principal balance | 2,190,991 | |||||
Recurring Basis | Level 3 | ||||||
Liabilities: | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability value | 516,058 | 1,695,519 | $ 746,737 | |||
Recurring Basis | Level 3 | Asset Backed Securities Issued | ||||||
Liabilities: | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability value | 511,100 | 1,700,000 | ||||
Recurring Basis | Carrying Value | ||||||
Investments in: | ||||||
Excess MSRs | 344,947 | 310,938 | ||||
Excess MSRs, equity method investees | 99,917 | |||||
MSRs and MSR financing receivables | 6,858,803 | 4,585,841 | ||||
Servicer advance investments | 421,807 | 538,056 | ||||
Real estate and other securities | 9,396,539 | 14,244,558 | ||||
Residential mortgage loans, held-for-sale | 132,921 | 509,887 | ||||
Residential mortgage loans, held-for-sale, at fair value | 11,214,924 | 4,705,816 | ||||
Residential mortgage loans, held-for-investment, at fair value | 569,933 | 674,179 | ||||
Residential mortgage loans subject to repurchase | 1,787,314 | 1,452,005 | ||||
Consumer loans | 507,291 | 685,575 | ||||
Derivative assets | 138,173 | 290,144 | ||||
Mortgage loans receivable | 1,515,762 | |||||
Note receivable | 60,549 | 52,389 | ||||
Loans receivable | 229,631 | |||||
Cash and cash equivalents | 1,332,575 | 944,854 | ||||
Restricted cash | 195,867 | 135,619 | ||||
Other assets | 39,229 | 48,032 | ||||
Assets, fair value | 34,746,265 | 29,277,810 | ||||
Liabilities: | ||||||
Secured financing agreements | 20,592,884 | 17,547,680 | ||||
Secured notes and bonds payable | 8,644,810 | 7,644,195 | ||||
Unsecured senior notes, net of issuance costs | 543,293 | 541,516 | ||||
Residential mortgage loan repurchase liability | 1,787,314 | 1,452,005 | ||||
Derivative liabilities | 34,583 | 119,762 | ||||
Excess spread financing, at fair value | 18,420 | |||||
Contingent consideration | 4,951 | 14,247 | ||||
Liabilities, fair value | 31,607,835 | 27,337,825 | ||||
Recurring Basis | Fair Value | ||||||
Investments in: | ||||||
Excess MSRs | 344,947 | 310,938 | ||||
Excess MSRs, equity method investees | 99,917 | |||||
MSRs and MSR financing receivables | 6,858,803 | 4,585,841 | ||||
Servicer advance investments | 421,807 | 538,056 | ||||
Real estate and other securities | 9,396,539 | 14,244,558 | ||||
Residential mortgage loans, held-for-sale | 134,655 | 509,887 | ||||
Residential mortgage loans, held-for-sale, at fair value | 11,214,924 | 4,705,816 | ||||
Residential mortgage loans, held-for-investment, at fair value | 569,933 | 674,179 | ||||
Residential mortgage loans subject to repurchase | 1,787,314 | 1,452,005 | ||||
Consumer loans | 507,291 | 685,575 | ||||
Derivative assets | 138,173 | 290,144 | ||||
Mortgage loans receivable | 1,515,762 | |||||
Note receivable | 60,549 | 49,889 | ||||
Loans receivable | 229,631 | |||||
Cash and cash equivalents | 1,332,575 | 944,854 | ||||
Restricted cash | 195,867 | 135,619 | ||||
Other assets | 39,229 | 48,032 | ||||
Assets, fair value | 34,747,999 | 29,275,310 | ||||
Liabilities: | ||||||
Secured financing agreements | 20,596,842 | 17,552,126 | ||||
Secured notes and bonds payable | 8,662,463 | 7,651,325 | ||||
Unsecured senior notes, net of issuance costs | 553,581 | 541,516 | ||||
Residential mortgage loan repurchase liability | 1,787,314 | 1,452,005 | ||||
Derivative liabilities | 34,583 | 119,762 | ||||
Excess spread financing, at fair value | 18,420 | |||||
Contingent consideration | 4,951 | 14,247 | ||||
Liabilities, fair value | 31,639,734 | 27,349,401 | ||||
Recurring Basis | Fair Value | Level 1 | ||||||
Investments in: | ||||||
Excess MSRs | 0 | 0 | ||||
Excess MSRs, equity method investees | 0 | |||||
MSRs and MSR financing receivables | 0 | 0 | ||||
Servicer advance investments | 0 | 0 | ||||
Real estate and other securities | 0 | 0 | ||||
Residential mortgage loans, held-for-sale | 0 | 0 | ||||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | ||||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | ||||
Residential mortgage loans subject to repurchase | 0 | 0 | ||||
Consumer loans | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Mortgage loans receivable | 0 | |||||
Note receivable | 0 | 0 | ||||
Loans receivable | 0 | |||||
Cash and cash equivalents | 1,332,575 | 944,854 | ||||
Restricted cash | 195,867 | 135,619 | ||||
Other assets | 3,134 | 11,187 | ||||
Assets, fair value | 1,531,576 | 1,091,660 | ||||
Liabilities: | ||||||
Secured financing agreements | 0 | 0 | ||||
Secured notes and bonds payable | 0 | 0 | ||||
Unsecured senior notes, net of issuance costs | 0 | 0 | ||||
Residential mortgage loan repurchase liability | 0 | 0 | ||||
Derivative liabilities | 0 | 0 | ||||
Excess spread financing, at fair value | 0 | |||||
Contingent consideration | 0 | 0 | ||||
Liabilities, fair value | 0 | 0 | ||||
Recurring Basis | Fair Value | Level 2 | ||||||
Investments in: | ||||||
Excess MSRs | 0 | 0 | ||||
Excess MSRs, equity method investees | 0 | |||||
MSRs and MSR financing receivables | 0 | 0 | ||||
Servicer advance investments | 0 | 0 | ||||
Real estate and other securities | 8,444,597 | 13,063,634 | ||||
Residential mortgage loans, held-for-sale | 0 | 0 | ||||
Residential mortgage loans, held-for-sale, at fair value | 9,361,520 | 3,059,611 | ||||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | ||||
Residential mortgage loans subject to repurchase | 1,787,314 | 1,452,005 | ||||
Consumer loans | 0 | 0 | ||||
Derivative assets | 23,302 | 789 | ||||
Mortgage loans receivable | 0 | |||||
Note receivable | 0 | 0 | ||||
Loans receivable | 0 | |||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 0 | 0 | ||||
Assets, fair value | 19,616,733 | 17,576,039 | ||||
Liabilities: | ||||||
Secured financing agreements | 20,596,842 | 17,552,126 | ||||
Secured notes and bonds payable | 0 | 0 | ||||
Unsecured senior notes, net of issuance costs | 0 | 0 | ||||
Residential mortgage loan repurchase liability | 1,787,314 | 1,452,005 | ||||
Derivative liabilities | 31,490 | 119,481 | ||||
Excess spread financing, at fair value | 0 | |||||
Contingent consideration | 0 | 0 | ||||
Liabilities, fair value | 22,415,646 | 19,123,612 | ||||
Recurring Basis | Fair Value | Level 3 | ||||||
Investments in: | ||||||
Excess MSRs | 344,947 | 310,938 | ||||
Excess MSRs, equity method investees | 99,917 | |||||
MSRs and MSR financing receivables | 6,858,803 | 4,585,841 | ||||
Servicer advance investments | 421,807 | 538,056 | ||||
Real estate and other securities | 951,942 | 1,180,924 | ||||
Residential mortgage loans, held-for-sale | 134,655 | 509,887 | ||||
Residential mortgage loans, held-for-sale, at fair value | 1,853,404 | 1,646,205 | ||||
Residential mortgage loans, held-for-investment, at fair value | 569,933 | 674,179 | ||||
Residential mortgage loans subject to repurchase | 0 | 0 | ||||
Consumer loans | 507,291 | 685,575 | ||||
Derivative assets | 114,871 | 289,355 | ||||
Mortgage loans receivable | 1,515,762 | |||||
Note receivable | 60,549 | 49,889 | ||||
Loans receivable | 229,631 | |||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Other assets | 36,095 | 36,845 | ||||
Assets, fair value | 13,599,690 | 10,607,611 | ||||
Liabilities: | ||||||
Secured financing agreements | 0 | 0 | ||||
Secured notes and bonds payable | 8,662,463 | 7,651,325 | ||||
Unsecured senior notes, net of issuance costs | 553,581 | 541,516 | ||||
Residential mortgage loan repurchase liability | 0 | 0 | ||||
Derivative liabilities | 3,093 | 281 | ||||
Excess spread financing, at fair value | 18,420 | |||||
Contingent consideration | 4,951 | 14,247 | ||||
Liabilities, fair value | 9,224,088 | 8,225,789 | ||||
Recurring Basis | Fair Value | Fair Value Measured at Net Asset Value Per Share | ||||||
Investments in: | ||||||
Other assets | $ 28,700 | $ 31,800 | ||||
[1] | See Note 6 for details. | |||||
[2] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
FAIR VALUE MEASUREMENTS - Finan
FAIR VALUE MEASUREMENTS - Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Purchases, sales and repayments | ||
Purchases, net | $ 4,761,020 | |
Non-Agency | ||
Gains (losses) included in net income | ||
Gain (loss) on settlement of investments, net | $ (28,500) | (953,500) |
Excess MSRs Investees | ||
Purchases, sales and repayments | ||
New Residential’s percentage ownership | 50.00% | |
Recurring Basis | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | $ 10,473,953 | 20,139,743 |
Transfers | ||
Transfers from Level 3 | 0 | (718,892) |
Transfers to Level 3 | 2,386 | 445,040 |
Acquisitions (Note 3) | (3,129,562) | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 5,201 | (13,404) |
Change in fair value of Excess MSRs | (15,078) | (32,464) |
Change in fair value of Excess MSRs, equity method investees | 1,818 | (6,978) |
Servicing revenue, net | (513,686) | (2,183,073) |
Change in fair value of servicer advance investments | (9,076) | 763 |
Change in fair value of residential mortgage loans | 155,758 | (107,604) |
Gain (loss) on settlement of investments, net | (28,146) | (953,407) |
Other income (loss), net | (306,078) | (80,733) |
Gains (losses) included in other comprehensive income | 28,882 | (300,467) |
Interest income | 64,072 | 207,453 |
Purchases, sales and repayments | ||
Purchases, net | 5,635,602 | |
Proceeds from sales | (3,904,136) | (8,697,830) |
Proceeds from repayments | (2,517,922) | (2,649,940) |
Originations and other | 1,633,590 | 664,726 |
Balance, ending | 13,425,847 | 10,473,953 |
Recurring Basis | Level 3 | Servicer Advance Investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 538,056 | 581,777 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | (9,076) | 763 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | 0 | 0 |
Gains (losses) included in other comprehensive income | 0 | 0 |
Interest income | 1,678 | 18,182 |
Purchases, sales and repayments | ||
Purchases, net | 1,286,526 | 1,294,757 |
Proceeds from sales | 0 | 0 |
Proceeds from repayments | (1,395,377) | (1,357,423) |
Originations and other | 0 | 0 |
Balance, ending | 421,807 | 538,056 |
Recurring Basis | Level 3 | Excess MSRs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 410,855 | 505,343 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | (15,078) | (16,232) |
Change in fair value of Excess MSRs, equity method investees | 1,818 | (3,489) |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 404 | 67 |
Other income (loss), net | (326) | (12,190) |
Gains (losses) included in other comprehensive income | 0 | 0 |
Interest income | 20,296 | 28,352 |
Purchases, sales and repayments | ||
Purchases, net | 0 | 0 |
Proceeds from sales | (984) | (1,061) |
Proceeds from repayments | (72,038) | (89,935) |
Originations and other | 0 | 0 |
Balance, ending | 344,947 | 410,855 |
Recurring Basis | Level 3 | MSRs And MSR Financing Receivables | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 4,585,841 | 5,686,233 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | (1,507,524) | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | (513,686) | (2,183,073) |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | 0 | 0 |
Gains (losses) included in other comprehensive income | 0 | 0 |
Interest income | 0 | 0 |
Purchases, sales and repayments | ||
Purchases, net | 10,949 | 431,608 |
Proceeds from sales | (63,451) | (15,341) |
Proceeds from repayments | 0 | 0 |
Originations and other | 1,331,626 | 666,414 |
Balance, ending | 6,858,803 | 4,585,841 |
Recurring Basis | Level 3 | Non-Agency | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 1,180,924 | 7,957,785 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 5,201 | (13,404) |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | (28,550) | (953,541) |
Other income (loss), net | 9,136 | (42,506) |
Gains (losses) included in other comprehensive income | 28,882 | (580,102) |
Interest income | 13,740 | 105,373 |
Purchases, sales and repayments | ||
Purchases, net | 174,340 | 575,030 |
Proceeds from sales | (164,630) | (5,288,480) |
Proceeds from repayments | (267,101) | (577,543) |
Originations and other | 0 | (1,688) |
Balance, ending | 951,942 | 1,180,924 |
Recurring Basis | Level 3 | Derivatives | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 289,074 | 39,891 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | (116,403) | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | (293,699) | 0 |
Gains (losses) included in other comprehensive income | 0 | 249,183 |
Interest income | 0 | 0 |
Purchases, sales and repayments | ||
Purchases, net | 0 | 0 |
Proceeds from sales | 0 | 0 |
Proceeds from repayments | 0 | 0 |
Originations and other | 0 | 0 |
Balance, ending | 111,778 | 289,074 |
Recurring Basis | Level 3 | Residential Mortgage Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 2,320,384 | 3,998,825 |
Transfers | ||
Transfers from Level 3 | 0 | (718,892) |
Transfers to Level 3 | 2,386 | 445,040 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 155,758 | (107,604) |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | (1,357) | (8,276) |
Gains (losses) included in other comprehensive income | 0 | (6,020) |
Interest income | 0 | 0 |
Purchases, sales and repayments | ||
Purchases, net | 4,128,097 | 2,415,084 |
Proceeds from sales | (3,675,071) | (3,391,887) |
Proceeds from repayments | (487,830) | (305,886) |
Originations and other | (19,030) | 0 |
Balance, ending | 2,423,337 | 2,320,384 |
Recurring Basis | Level 3 | Consumer Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 685,575 | 827,545 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | (20,133) | (6,385) |
Gains (losses) included in other comprehensive income | 0 | 36,472 |
Interest income | 18,925 | 24,120 |
Purchases, sales and repayments | ||
Purchases, net | 29,002 | 33,041 |
Proceeds from sales | 0 | 0 |
Proceeds from repayments | (206,078) | (229,218) |
Originations and other | 0 | 0 |
Balance, ending | 507,291 | 685,575 |
Recurring Basis | Level 3 | Notes and Loans Receivable | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 52,389 | 37,001 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | 0 | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | 301 | 814 |
Gains (losses) included in other comprehensive income | 0 | 0 |
Interest income | 9,433 | 3,074 |
Purchases, sales and repayments | ||
Purchases, net | 6,688 | 11,500 |
Proceeds from sales | 0 | 0 |
Proceeds from repayments | (28,631) | 0 |
Originations and other | 250,000 | 0 |
Balance, ending | 290,180 | 52,389 |
Recurring Basis | Level 3 | Mortgage Loans Receivable | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 0 | 0 |
Transfers | ||
Transfers from Level 3 | 0 | 0 |
Transfers to Level 3 | 0 | 0 |
Acquisitions (Note 3) | (1,505,635) | |
Gains (losses) included in net income | ||
Reversal (provision) for credit losses on securities | 0 | 0 |
Change in fair value of Excess MSRs | 0 | 0 |
Change in fair value of Excess MSRs, equity method investees | 0 | 0 |
Servicing revenue, net | 0 | 0 |
Change in fair value of servicer advance investments | 0 | 0 |
Change in fair value of residential mortgage loans | 0 | 0 |
Gain (loss) on settlement of investments, net | 0 | 0 |
Other income (loss), net | 0 | 0 |
Gains (losses) included in other comprehensive income | 0 | 0 |
Interest income | 0 | 0 |
Purchases, sales and repayments | ||
Purchases, net | 0 | 0 |
Proceeds from sales | 0 | 0 |
Proceeds from repayments | (60,867) | 0 |
Originations and other | 70,994 | 0 |
Balance, ending | $ 1,515,762 | $ 0 |
FAIR VALUE MEASUREMENTS - Fair
FAIR VALUE MEASUREMENTS - Fair Value Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - Level 3 - Recurring Basis - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair value, liability, beginning balance | $ 1,695,519 | $ 746,737 |
Gains (losses) included in net income | ||
Included in servicing revenue, net | (3,538) | (14,164) |
Included in other income | (11,954) | 5,810 |
Interest income | 0 | |
Purchases, sales and payments | ||
Purchases | 0 | 1,520,382 |
Proceeds from sales | (15,378) | |
Payments | (1,149,087) | (562,588) |
Other | 496 | (658) |
Fair value, liability, ending balance | 516,058 | 1,695,519 |
Excess Spread Financing | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair value, liability, beginning balance | 18,420 | 31,777 |
Gains (losses) included in net income | ||
Included in servicing revenue, net | (3,538) | (14,164) |
Included in other income | 0 | 0 |
Interest income | 0 | |
Purchases, sales and payments | ||
Purchases | 0 | 0 |
Proceeds from sales | (15,378) | |
Payments | 0 | 0 |
Other | 496 | 807 |
Fair value, liability, ending balance | 0 | 18,420 |
Mortgage-Backed Securities Issued | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair value, liability, beginning balance | 1,662,852 | 659,738 |
Gains (losses) included in net income | ||
Included in servicing revenue, net | 0 | 0 |
Included in other income | (12,991) | 966 |
Interest income | 0 | |
Purchases, sales and payments | ||
Purchases | 0 | 1,520,382 |
Proceeds from sales | 0 | |
Payments | (1,138,754) | (516,769) |
Other | 0 | (1,465) |
Fair value, liability, ending balance | 511,107 | 1,662,852 |
Contingent Consideration | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair value, liability, beginning balance | 14,247 | 55,222 |
Gains (losses) included in net income | ||
Included in servicing revenue, net | 0 | 0 |
Included in other income | 1,037 | 4,844 |
Interest income | 0 | |
Purchases, sales and payments | ||
Purchases | 0 | 0 |
Proceeds from sales | 0 | |
Payments | (10,333) | (45,819) |
Other | 0 | 0 |
Fair value, liability, ending balance | $ 4,951 | $ 14,247 |
FAIR VALUE MEASUREMENTS - Weigh
FAIR VALUE MEASUREMENTS - Weighted Average Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 12 Months Ended | |
Dec. 31, 2021$ / Loan | Dec. 31, 2020$ / Loan | |
Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.053 | 0.00076 |
Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.504 | 0.00241 |
Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.102 | 0.00129 |
Prepayment Rate | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.036 | 0.056 |
Prepayment Rate | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.124 | 0.119 |
Prepayment Rate | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.068 | 0.085 |
Prepayment Rate | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.060 | 0.00079 |
Prepayment Rate | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.146 | 0.00233 |
Prepayment Rate | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.102 | 0.00131 |
Prepayment Rate | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.067 | 0.00076 |
Prepayment Rate | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.504 | 0.00164 |
Prepayment Rate | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.067 | 0.00077 |
Prepayment Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.053 | 0.00090 |
Prepayment Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.143 | 0.00241 |
Prepayment Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.126 | 0.00203 |
Prepayment Rate | Directly Held | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.036 | 0.056 |
Prepayment Rate | Directly Held | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.124 | 0.119 |
Prepayment Rate | Directly Held | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.068 | 0.085 |
Prepayment Rate | Directly Held | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.051 | 0.071 |
Prepayment Rate | Directly Held | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.087 | 0.109 |
Prepayment Rate | Directly Held | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.067 | 0.078 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.045 | 0.070 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.094 | 0.119 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.065 | 0.096 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.045 | 0.070 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.094 | 0.119 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.066 | 0.084 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.058 | 0.066 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.124 | 0.119 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.077 | 0.090 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.036 | 0.056 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.049 | 0.074 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.04 | 0.061 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.036 | 0.056 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.124 | 0.119 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.07 | 0.085 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.054 | 0.075 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.085 | 0.107 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.067 | 0.090 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.066 | 0.071 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.085 | 0.102 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.07 | 0.080 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.054 | 0.086 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.075 | 0.105 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.065 | 0.093 |
Delinquency | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0.00004 |
Delinquency | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.646 | 0.00130 |
Delinquency | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.031 | 0.00042 |
Delinquency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0 |
Delinquency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.096 | 0.139 |
Delinquency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.024 | 0.036 |
Delinquency | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0.00004 |
Delinquency | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.022 | 0.00021 |
Delinquency | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.009 | 0.00009 |
Delinquency | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.007 | 0.00009 |
Delinquency | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.646 | 0.00130 |
Delinquency | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.118 | 0.00129 |
Delinquency | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.014 | 0.00023 |
Delinquency | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.063 | 0.00056 |
Delinquency | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.041 | 0.00047 |
Delinquency | Directly Held | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0 |
Delinquency | Directly Held | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.096 | 0.139 |
Delinquency | Directly Held | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.032 | 0.048 |
Delinquency | Directly Held | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.002 | 0 |
Delinquency | Directly Held | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.069 | 0.035 |
Delinquency | Directly Held | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.009 | 0.014 |
Delinquency | Directly Held | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0 |
Delinquency | Directly Held | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.022 | 0.040 |
Delinquency | Directly Held | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.008 | 0.009 |
Delinquency | Directly Held | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0 |
Delinquency | Directly Held | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.069 | 0.040 |
Delinquency | Directly Held | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.009 | 0.012 |
Delinquency | Directly Held | Non-Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.055 | 0.026 |
Delinquency | Directly Held | Non-Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.096 | 0.139 |
Delinquency | Directly Held | Non-Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.07 | 0.102 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0.002 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.003 | 0.005 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.002 | 0.004 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0.002 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.096 | 0.139 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.07 | 0.102 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.003 | 0.006 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.016 | 0.022 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.009 | 0.012 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.006 | 0.012 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.015 | 0.025 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.009 | 0.016 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.003 | 0.006 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.016 | 0.017 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.008 | 0.012 |
Recapture Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0.00025 |
Recapture Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.314 | 0.00355 |
Recapture Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.100 | 0.00200 |
Recapture Rate | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.252 | 0.350 |
Recapture Rate | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.067 | 0.122 |
Recapture Rate | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0.00025 |
Recapture Rate | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.314 | 0.00355 |
Recapture Rate | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.107 | 0.00205 |
Recapture Rate | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.040 | 0.00043 |
Recapture Rate | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.270 | 0.00316 |
Recapture Rate | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.068 | 0.00081 |
Recapture Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.048 | 0.00162 |
Recapture Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.245 | 0.00350 |
Recapture Rate | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.127 | 0.00249 |
Recapture Rate | Directly Held | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Directly Held | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.252 | 0.350 |
Recapture Rate | Directly Held | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.073 | 0.123 |
Recapture Rate | Directly Held | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.032 | 0.044 |
Recapture Rate | Directly Held | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.206 | 0.233 |
Recapture Rate | Directly Held | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.064 | 0.103 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.252 | 0.350 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.093 | 0.204 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.252 | 0.350 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.077 | 0.138 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.113 | 0.131 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.072 | 0.100 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.04 | 0.121 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.101 | 0.214 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.055 | 0.142 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0 | 0 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.113 | 0.214 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.069 | 0.107 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.030 | 0.055 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.095 | 0.298 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.057 | 0.129 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.032 | 0.052 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.095 | 0.233 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.051 | 0.089 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.03 | 0.117 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.092 | 0.289 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.062 | 0.150 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 86 | 88 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 33 | 35 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 6 | 5 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 32 | 31 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 20 | 20 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 30 | 31 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 28 | 28 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 26 | 26 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 86 | 88 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 48 | 48 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 31 | 32 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 45 | 50 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 39 | 45 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 6 | 5 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 32 | 31 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 19 | 19 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15 | 15 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 32 | 31 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 21 | 21 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 20 | 21 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 27 | 29 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 23 | 24 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15 | 15 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 32 | 31 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 22 | 22 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 6 | 5 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15 | 15 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 22 | 23 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 27 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 24 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 6 | 5 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 27 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Directly Held | Non-Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 17 | 17 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15 | 15 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 25 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 19 | 19 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 22 | 22 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 26 | 28 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 24 | 25 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15 | 15 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 26 | 28 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount | Held through Equity Method Investees | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 22 | 22 |
Collateral Weighted Average Maturity Years | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 0 years | |
Collateral Weighted Average Maturity Years | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 40 years | 30 years |
Collateral Weighted Average Maturity Years | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years | 23 years |
Collateral Weighted Average Maturity Years | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 11 years | 13 years |
Collateral Weighted Average Maturity Years | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 28 years | 29 years |
Collateral Weighted Average Maturity Years | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 21 years | 21 years |
Collateral Weighted Average Maturity Years | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 0 years | |
Collateral Weighted Average Maturity Years | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 40 years | 30 years |
Collateral Weighted Average Maturity Years | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 22 years |
Collateral Weighted Average Maturity Years | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 0 years | |
Collateral Weighted Average Maturity Years | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 30 years | 30 years |
Collateral Weighted Average Maturity Years | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years | 25 years |
Collateral Weighted Average Maturity Years | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 0 years | |
Collateral Weighted Average Maturity Years | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 30 years | 30 years |
Collateral Weighted Average Maturity Years | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 28 years | 27 years |
Collateral Weighted Average Maturity Years | Directly Held | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 11 years | 13 years |
Collateral Weighted Average Maturity Years | Directly Held | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 28 years | 29 years |
Collateral Weighted Average Maturity Years | Directly Held | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 21 years | 21 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 11 years | 13 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 21 years | 21 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 18 years | 19 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 19 years | 19 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years | 19 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 22 years | 22 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 11 years | 13 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years | 24 years |
Collateral Weighted Average Maturity Years | Directly Held | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 20 years | 20 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 18 years | 18 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 28 years | 29 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 21 years | 21 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 18 years | 18 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 28 years | 29 years |
Collateral Weighted Average Maturity Years | Directly Held | Non-Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Original Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 16 years | 18 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Original Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 18 years | 19 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 17 years | 18 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 20 years | 20 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 21 years | 22 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Excess MSRs | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 16 years | 18 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Excess MSRs | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 23 years | 23 years |
Collateral Weighted Average Maturity Years | Held through Equity Method Investees | Agency | Excess MSRs | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 19 years | 20 years |
Sub-Servicing Cost | Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 6.40 | 6.20 |
Sub-Servicing Cost | Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 7.20 | 7.50 |
Sub-Servicing Cost | Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 7 | 7 |
Sub-Servicing Cost | Non-Agency | MSRs And MSR Financing Receivables | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 10.90 | |
Sub-Servicing Cost | Non-Agency | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 10.60 | |
Sub-Servicing Cost | Non-Agency | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 15.80 | |
Sub-Servicing Cost | Non-Agency | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 10.70 | |
Sub-Servicing Cost | Ginnie Mae | MSRs And MSR Financing Receivables | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 8.90 | |
Sub-Servicing Cost | Ginnie Mae | MSRs And MSR Financing Receivables | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 8.80 | |
Sub-Servicing Cost | Ginnie Mae | MSRs And MSR Financing Receivables | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 8.90 | |
Sub-Servicing Cost | Ginnie Mae | MSRs And MSR Financing Receivables | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 8.80 |
FAIR VALUE MEASUREMENTS - Narra
FAIR VALUE MEASUREMENTS - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Equity Method Investments [Line Items] | ||
Percentage of instruments with ranges of assumptions used available | 99.30% | |
Real Estate Owned | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets, fair value adjustment | $ (4.3) | $ (2.7) |
Properties and Residential Mortgage Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets, fair value adjustment | (38.2) | 113 |
Nonrecurring | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets measured at fair value on a nonrecurring basis | 130.6 | 532.1 |
Nonrecurring | Residential Mortgage Loans Held-for-sale Carried At Lower Cost Or Market | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets measured at fair value on a nonrecurring basis | 115.5 | 504 |
Nonrecurring | Real Estate Owned | ||
Schedule of Equity Method Investments [Line Items] | ||
Assets measured at fair value on a nonrecurring basis | $ 15.1 | $ 28.1 |
Maturity Greater than 30 Days | ||
Schedule of Equity Method Investments [Line Items] | ||
Days delinquent (in days) | 30 days | |
Minimum | ||
Schedule of Equity Method Investments [Line Items] | ||
Recapture rate, term (in months) | 3 months | |
Broker price discount | 10.00% | |
Maximum | ||
Schedule of Equity Method Investments [Line Items] | ||
Recapture rate, term (in months) | 6 months | |
Broker price discount | 25.00% | |
Mortgage Servicing Rights Financing Receivable | LIBOR | ||
Schedule of Equity Method Investments [Line Items] | ||
Variable interest rate spread | 2.10% | |
MSRs | Weighted Average | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 7.40% | 8.10% |
MSRs | Weighted Average | Excess MSRs Investees | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 7.80% | 7.80% |
MSRs | Minimum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 6.90% | 7.30% |
MSRs | Minimum | Excess MSRs Investees | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 7.50% | 7.50% |
MSRs | Maximum | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 12.50% | 13.00% |
MSRs | Maximum | Excess MSRs Investees | ||
Schedule of Equity Method Investments [Line Items] | ||
Discount rate | 8.00% | 8.00% |
FAIR VALUE MEASUREMENTS - Input
FAIR VALUE MEASUREMENTS - Inputs used in Valuing the Servicer Advances (Details) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Cost to service amount | 0.106% | 0.10% |
Servicer Advances | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 0.70% | 1.10% |
Mortgage Servicing Amount | 0.00176 | 0.00171 |
Servicer Advances | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.80% | 1.70% |
Mortgage Servicing Amount | 0.00198 | 0.00198 |
Servicer Advances | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.70% | 1.70% |
Mortgage Servicing Amount | 0.00197 | 0.00197 |
Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.053 | 0.00076 |
Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.504 | 0.00241 |
Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.102 | 0.00129 |
Prepayment Rate | Servicer Advances | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.065 | 0.093 |
Prepayment Rate | Servicer Advances | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.077 | 0.093 |
Prepayment Rate | Servicer Advances | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.077 | 0.093 |
Delinquency | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.001 | 0.00004 |
Delinquency | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.646 | 0.00130 |
Delinquency | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.031 | 0.00042 |
Delinquency | Servicer Advances | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.082 | 0.069 |
Delinquency | Servicer Advances | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.150 | 0.091 |
Delinquency | Servicer Advances | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.148 | 0.090 |
Discount Rate | Servicer Advances | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.052 | 0.052 |
Discount Rate | Servicer Advances | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.057 | 0.057 |
Discount Rate | Servicer Advances | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.052 | 0.052 |
Collateral Weighted Average Maturity Years | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 0 years | |
Collateral Weighted Average Maturity Years | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 40 years | 30 years |
Collateral Weighted Average Maturity Years | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 24 years | 23 years |
Collateral Weighted Average Maturity Years | Servicer Advances | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Collateral Weighted Average Maturity (in years) | 22 years 1 month 6 days | 22 years 3 months 18 days |
FAIR VALUE MEASUREMENTS - Secur
FAIR VALUE MEASUREMENTS - Securities Valuation Methodology and Results (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)source | Dec. 31, 2020USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | $ 24,314,300 | $ 31,869,682 |
Amortized Cost Basis | 9,550,336 | 14,105,251 |
Real estate and other securities | $ 9,396,539 | 14,244,558 |
Number of broker quotation sources | source | 2 | |
Percentage of instruments with ranges of assumptions used available | 99.30% | |
Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | $ 8,399,343 | 12,491,152 |
Amortized Cost Basis | 8,663,693 | 12,951,608 |
Non-Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 15,914,957 | 19,378,530 |
Amortized Cost Basis | 886,643 | 1,153,643 |
Fair Value | $ 945,168 | |
Non-Agency | Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.010 | |
Non-Agency | Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.150 | |
Non-Agency | Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.058 | |
Non-Agency | Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0 | |
Non-Agency | Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.250 | |
Non-Agency | Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.103 | |
Non-Agency | CDR | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0 | |
Non-Agency | CDR | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.120 | |
Non-Agency | CDR | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.009 | |
Non-Agency | Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0 | |
Non-Agency | Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 1 | |
Non-Agency | Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non-Agency RMBS, Measurement Input | 0.139 | |
Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 9,396,539 | 14,234,843 |
Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 0 | 9,715 |
Level 2 | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 8,444,597 | 13,063,634 |
Level 2 | Multiple Quotes | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 8,444,597 | 13,063,634 |
Level 2 | Single Quote | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 0 | 0 |
Level 3 | Non-Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 951,942 | 1,180,924 |
Level 3 | Multiple Quotes | Non-Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 951,942 | 1,171,209 |
Level 3 | Single Quote | Non-Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 0 | $ 9,715 |
FAIR VALUE MEASUREMENTS - Inp_2
FAIR VALUE MEASUREMENTS - Inputs Used in Valuing Investments (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Note receivable | $ 290,180 | $ 52,389 |
Nonrecurring | Fair Value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Note receivable | $ 115,483 | $ 509,887 |
Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.068 | 0.073 |
Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.059 | 0.037 |
CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.061 | 0.026 |
Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.454 | 0.337 |
Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 10 months 24 days | 3 years 7 months 6 days |
Performing Loans | Nonrecurring | Fair Value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Note receivable | $ 113,196 | $ 129,345 |
Performing Loans | Minimum | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.038 | 0.048 |
Performing Loans | Minimum | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.048 | 0.051 |
Performing Loans | Minimum | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.009 | 0.002 |
Performing Loans | Minimum | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.409 | 0.287 |
Performing Loans | Minimum | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 9 months 18 days | 3 years 1 month 6 days |
Performing Loans | Maximum | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.070 | 0.085 |
Performing Loans | Maximum | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.074 | 0.099 |
Performing Loans | Maximum | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.094 | 0.078 |
Performing Loans | Maximum | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.547 | 1 |
Performing Loans | Maximum | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 8 years 9 months 18 days | 9 years 1 month 6 days |
Performing Loans | Weighted Average | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.068 | 0.067 |
Performing Loans | Weighted Average | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.060 | 0.088 |
Performing Loans | Weighted Average | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.059 | 0.020 |
Performing Loans | Weighted Average | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.455 | 0.462 |
Performing Loans | Weighted Average | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 10 months 24 days | 4 years 6 months |
Non-Performing Loans | Nonrecurring | Fair Value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Note receivable | $ 2,287 | $ 380,542 |
Non-Performing Loans | Minimum | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.075 | 0.075 |
Non-Performing Loans | Minimum | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.017 | 0.020 |
Non-Performing Loans | Minimum | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.167 | 0.029 |
Non-Performing Loans | Minimum | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.419 | 0.085 |
Non-Performing Loans | Minimum | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 8 months 12 days | 2 years 10 months 24 days |
Non-Performing Loans | Maximum | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.075 | 0.090 |
Non-Performing Loans | Maximum | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.017 | 0.020 |
Non-Performing Loans | Maximum | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.167 | 0.029 |
Non-Performing Loans | Maximum | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.419 | 0.300 |
Non-Performing Loans | Maximum | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 8 months 12 days | 3 years 9 months 18 days |
Non-Performing Loans | Weighted Average | Discount Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.075 | 0.075 |
Non-Performing Loans | Weighted Average | Prepayment Rate | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.017 | 0.020 |
Non-Performing Loans | Weighted Average | CDR | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.167 | 0.029 |
Non-Performing Loans | Weighted Average | Loss Severity | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, measurement input | 0.419 | 0.295 |
Non-Performing Loans | Weighted Average | Weighted Average Life (Years) | Nonrecurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Financing receivable, term | 4 years 8 months 12 days | 3 years 3 months 18 days |
Residential mortgage loans held-for-sale, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 1,853,404 | |
Residential mortgage loans held-for-investment, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, fair value | $ 569,933 | |
Residential mortgage loans held-for-investment, at fair value | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.033 | |
Residential mortgage loans held-for-investment, at fair value | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.017 | |
Residential mortgage loans held-for-investment, at fair value | Minimum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.003 | |
Residential mortgage loans held-for-investment, at fair value | Minimum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.200 | |
Residential mortgage loans held-for-investment, at fair value | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.075 | |
Residential mortgage loans held-for-investment, at fair value | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.200 | |
Residential mortgage loans held-for-investment, at fair value | Maximum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.167 | |
Residential mortgage loans held-for-investment, at fair value | Maximum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.954 | |
Residential mortgage loans held-for-investment, at fair value | Weighted Average | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.072 | |
Residential mortgage loans held-for-investment, at fair value | Weighted Average | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.097 | |
Residential mortgage loans held-for-investment, at fair value | Weighted Average | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.048 | |
Residential mortgage loans held-for-investment, at fair value | Weighted Average | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans, held-for-investment, measurement input | 0.715 | |
Consumer loans held-for-investment, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Consumer loans | $ 507,291 | |
Consumer loans held-for-investment, at fair value | Weighted Average | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Consumer loans, measurement input | 0.075 | |
Consumer loans held-for-investment, at fair value | Weighted Average | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Consumer loans, measurement input | 0.229 | |
Consumer loans held-for-investment, at fair value | Weighted Average | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Consumer loans, measurement input | 0.041 | |
Consumer loans held-for-investment, at fair value | Weighted Average | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Consumer loans, measurement input | 0.640 | |
IRLCs, net | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, fair value | $ 111,778 | |
IRLCs, net | Minimum | Loan Funding Probability | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0 | |
IRLCs, net | Minimum | Fair Value of initial servicing rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.00012 | |
IRLCs, net | Maximum | Loan Funding Probability | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 1 | |
IRLCs, net | Maximum | Fair Value of initial servicing rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.03110 | |
IRLCs, net | Weighted Average | Loan Funding Probability | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.809 | |
IRLCs, net | Weighted Average | Fair Value of initial servicing rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative, measurement input | 0.01601 | |
Asset-backed securities issued | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, fair value | $ 511,107 | |
Asset-backed securities issued | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.017 | |
Asset-backed securities issued | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.132 | |
Asset-backed securities issued | Minimum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.003 | |
Asset-backed securities issued | Minimum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.200 | |
Asset-backed securities issued | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.075 | |
Asset-backed securities issued | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.400 | |
Asset-backed securities issued | Maximum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.054 | |
Asset-backed securities issued | Maximum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.954 | |
Asset-backed securities issued | Weighted Average | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.020 | |
Asset-backed securities issued | Weighted Average | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.234 | |
Asset-backed securities issued | Weighted Average | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.040 | |
Asset-backed securities issued | Weighted Average | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Asset-backed securities, measurement input | 0.903 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 1,713,662 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.022 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.017 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Minimum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Minimum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.031 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.075 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.186 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Maximum | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.167 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Maximum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.672 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Weighted Average | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.037 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Weighted Average | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.113 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Weighted Average | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.012 | |
Acquired | Residential mortgage loans held-for-sale, at fair value | Weighted Average | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.377 | |
Originated | Residential mortgage loans held-for-sale, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 139,742 | |
Originated | Residential mortgage loans held-for-sale, at fair value | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.040 | |
Originated | Residential mortgage loans held-for-sale, at fair value | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.060 | |
Originated | Residential mortgage loans held-for-sale, at fair value | CDR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.030 | |
Originated | Residential mortgage loans held-for-sale, at fair value | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.500 |
VARIABLE INTEREST ENTITIES - Na
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands, shares in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | May 31, 2021 | Sep. 25, 2020 | |
Variable Interest Entity [Line Items] | ||||
Face amount of debt | $ 29,273,486 | |||
Common Stock | ||||
Variable Interest Entity [Line Items] | ||||
Share repurchases (in shares) | 1 | |||
Consumer Loan SPVs | ||||
Variable Interest Entity [Line Items] | ||||
Owner interest | 53.50% | |||
VIE, consolidated | ||||
Variable Interest Entity [Line Items] | ||||
Capital distributed to third-party co-investors | $ 70,800 | |||
Capital distributed to New Residential | 592,500 | |||
VIE, consolidated | Securitization Notes Payable | ||||
Variable Interest Entity [Line Items] | ||||
Face amount of debt | $ 750,000 | |||
VIE, consolidated | Securitization Notes Payable | Consumer Loan SPVs | ||||
Variable Interest Entity [Line Items] | ||||
Face amount of debt | $ 663,000 | |||
Advance Purchaser LLC | ||||
Variable Interest Entity [Line Items] | ||||
Capital distributed to third-party co-investors | 70,800 | |||
Capital distributed to New Residential | $ 592,500 | |||
Corporate Joint Venture | ||||
Variable Interest Entity [Line Items] | ||||
New Residential’s percentage ownership | 89.30% | |||
Corporate Joint Venture | Advance Purchaser LLC | ||||
Variable Interest Entity [Line Items] | ||||
New Residential’s percentage ownership | 89.30% | 73.20% |
VARIABLE INTEREST ENTITIES - Va
VARIABLE INTEREST ENTITIES - Variable Interest Entities, Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets | |||
Excess mortgage servicing rights, at fair value | $ 344,947 | $ 410,855 | |
Servicer advance investments, at fair value | [1] | 421,807 | 538,056 |
Residential mortgage loans, held-for-investment, at fair value | [1] | 1,077,224 | 1,359,754 |
Residential mortgage loans, held-for-sale | 11,347,845 | 5,215,703 | |
Residential mortgage loans, held-for-sale, at fair value | 11,214,924 | 4,705,816 | |
Cash and cash equivalents | [1] | 1,332,575 | 944,854 |
Restricted cash | [1] | 195,867 | 135,619 |
Other assets | [1] | 2,608,359 | 1,358,422 |
Total assets | 39,742,190 | 33,252,114 | |
Liabilities | |||
Accrued expenses and other liabilities | [1] | 1,358,768 | 537,302 |
Total liabilities | 33,072,810 | 27,822,430 | |
VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 403,301 | ||
Servicer advance investments, at fair value | 409,475 | 522,901 | |
Residential mortgage loans, held-for-investment, at fair value | 93,226 | 358,629 | |
Residential mortgage loans, held-for-sale | 0 | 346,250 | |
Residential mortgage loans, held-for-sale, at fair value | 798,644 | 614,868 | |
Consumer loans | 507,291 | 682,932 | |
Cash and cash equivalents | 74,028 | 92,043 | |
Restricted cash | 9,630 | 10,898 | |
Servicer advance facilities | 94,306 | ||
Other assets | 367,885 | 48,978 | |
Total assets | 2,757,786 | 2,677,499 | |
Liabilities | |||
Secured financing agreements | 24,683 | ||
Secured notes and bonds payable | 2,070,792 | 2,076,553 | |
Accrued expenses and other liabilities | 46,324 | 12,961 | |
Total liabilities | 2,141,799 | 2,089,514 | |
The Buyer | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Servicer advance investments, at fair value | 409,475 | 522,901 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-sale | 0 | 0 | |
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |
Consumer loans | 0 | 0 | |
Cash and cash equivalents | 33,777 | 53,012 | |
Restricted cash | 2,210 | 2,808 | |
Servicer advance facilities | 0 | ||
Other assets | 9 | 5 | |
Total assets | 445,471 | 578,726 | |
Liabilities | |||
Secured financing agreements | 0 | ||
Secured notes and bonds payable | 348,670 | 413,701 | |
Accrued expenses and other liabilities | 806 | 1,081 | |
Total liabilities | 349,476 | 414,782 | |
Shelter Joint Ventures | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-sale | 0 | 0 | |
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |
Consumer loans | 0 | 0 | |
Cash and cash equivalents | 37,369 | 39,031 | |
Restricted cash | 0 | 0 | |
Servicer advance facilities | 0 | ||
Other assets | 903 | 9,151 | |
Total assets | 38,272 | 48,182 | |
Liabilities | |||
Secured financing agreements | 0 | ||
Secured notes and bonds payable | 0 | 0 | |
Accrued expenses and other liabilities | 6,588 | 9,455 | |
Total liabilities | 6,588 | 9,455 | |
Residential Mortgage Loans | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 93,226 | 358,629 | |
Residential mortgage loans, held-for-sale | 0 | 346,250 | |
Residential mortgage loans, held-for-sale, at fair value | 798,644 | 614,868 | |
Consumer loans | 0 | 0 | |
Cash and cash equivalents | 2,882 | 0 | |
Restricted cash | 171 | 0 | |
Servicer advance facilities | 0 | ||
Other assets | 2,902 | 30,621 | |
Total assets | 897,825 | 1,350,368 | |
Liabilities | |||
Secured financing agreements | 24,683 | ||
Secured notes and bonds payable | 802,526 | 1,034,093 | |
Accrued expenses and other liabilities | 10,163 | 1,661 | |
Total liabilities | 837,372 | 1,035,754 | |
Consumer Loan SPVs | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-sale | 0 | 0 | |
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |
Consumer loans | 507,291 | 682,932 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 7,249 | 8,090 | |
Servicer advance facilities | 0 | ||
Other assets | 6,851 | 9,201 | |
Total assets | 521,391 | 700,223 | |
Liabilities | |||
Secured financing agreements | 0 | ||
Secured notes and bonds payable | 458,580 | 628,759 | |
Accrued expenses and other liabilities | 862 | 764 | |
Total liabilities | 459,442 | 629,523 | |
Servicer Advance Facilities | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 0 | ||
Servicer advance investments, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-sale | 0 | 0 | |
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |
Consumer loans | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 0 | 0 | |
Servicer advance facilities | 94,306 | ||
Other assets | 24,699 | 0 | |
Total assets | 119,005 | 0 | |
Liabilities | |||
Secured financing agreements | 0 | ||
Secured notes and bonds payable | 93,145 | 0 | |
Accrued expenses and other liabilities | 27,771 | 0 | |
Total liabilities | 120,916 | 0 | |
MSR Financing Facilities | VIE, consolidated | |||
Assets | |||
Excess mortgage servicing rights, at fair value | 403,301 | ||
Servicer advance investments, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |
Residential mortgage loans, held-for-sale | 0 | 0 | |
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |
Consumer loans | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 0 | 0 | |
Servicer advance facilities | 0 | ||
Other assets | 332,521 | 0 | |
Total assets | 735,822 | 0 | |
Liabilities | |||
Secured financing agreements | 0 | ||
Secured notes and bonds payable | 367,871 | 0 | |
Accrued expenses and other liabilities | 134 | 0 | |
Total liabilities | $ 368,005 | $ 0 | |
[1] | The Company's Consolidated Balance Sheets 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 December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $2.8 billion and $2.7 billion, respectively, and total liabilities of consolidated VIEs were $2.1 billion and $2.1 billion, respectively. See Note 15 for further details. |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Variable Interest Entities, Characteristics (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | ||
Number of days delinquent (in days) | 30 days | |
SAFT 2013-1 Securitization Entity | VIE, consolidated | ||
Variable Interest Entity [Line Items] | ||
UPB of Underlying Mortgages | $ 10,752,079 | $ 14,211,351 |
Weighted average delinquency | 4.45% | 10.06% |
Net credit losses | $ 130,392 | $ 76,725 |
Face amount of debt held by third parties | 9,897,879 | 12,671,168 |
Carrying value of bonds retained by New Residential | 927,490 | 1,361,624 |
Cash flows received by New Residential on these bonds | $ 330,197 | $ 315,939 |
Number of days delinquent (in days) | 60 days |
VARIABLE INTEREST ENTITIES - Ot
VARIABLE INTEREST ENTITIES - Others' Interest in Equity of Consumer Loan Companies (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Noncontrolling Interest [Line Items] | ||||
Total consolidated equity | $ 6,669,380 | $ 5,429,684 | $ 7,236,260 | $ 6,088,295 |
Others’ interest in equity of consolidated subsidiary | 65,348 | 108,668 | ||
Net income (loss) | 805,582 | (1,357,684) | 605,933 | |
Noncontrolling interests in income of consolidated subsidiaries | 33,356 | 52,674 | 42,637 | |
VIE, consolidated | Advance Purchaser LLC | ||||
Noncontrolling Interest [Line Items] | ||||
Total consolidated equity | 95,995 | 163,944 | ||
Others’ interest in equity of consolidated subsidiary | 10,251 | 43,882 | ||
Net income (loss) | (13,937) | 3,326 | 15,892 | |
Noncontrolling interests in income of consolidated subsidiaries | (1,800) | 891 | 4,255 | |
VIE, consolidated | Shelter Joint Ventures | ||||
Noncontrolling Interest [Line Items] | ||||
Total consolidated equity | 31,684 | 38,727 | ||
Others’ interest in equity of consolidated subsidiary | 15,683 | 19,402 | ||
Net income (loss) | 22,839 | 31,188 | 12,717 | |
Noncontrolling interests in income of consolidated subsidiaries | 11,298 | 15,625 | 6,231 | |
VIE, consolidated | Consumer Loan SPVs | ||||
Noncontrolling Interest [Line Items] | ||||
Total consolidated equity | 83,597 | 96,418 | ||
Others’ interest in equity of consolidated subsidiary | 39,414 | 45,384 | ||
Net income (loss) | 51,307 | 77,760 | 69,143 | |
Noncontrolling interests in income of consolidated subsidiaries | $ 23,858 | $ 36,158 | $ 32,151 | |
VIE, consolidated | Advance Purchaser LLC | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 10.70% | 26.80% | ||
Ownership percentage | 89.30% | 73.20% | 73.20% | |
VIE, consolidated | Shelter Joint Ventures | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 49.50% | 50.10% | ||
VIE, consolidated | Consumer Loan SPVs | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 46.50% | 46.50% | ||
Weighted Average | VIE, consolidated | Advance Purchaser LLC | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 12.90% | 26.80% | 26.80% | |
Weighted Average | VIE, consolidated | Shelter Joint Ventures | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 49.50% | 50.10% | 49.00% | |
Weighted Average | VIE, consolidated | Consumer Loan SPVs | ||||
Noncontrolling Interest [Line Items] | ||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) | Jan. 01, 2022 | Dec. 15, 2021 | Sep. 22, 2021 | Sep. 14, 2021 | May 19, 2021 | Apr. 16, 2021 | Apr. 14, 2021 | Jan. 01, 2021 | May 19, 2020 | Feb. 14, 2020 | Jan. 01, 2020 | Jan. 01, 2014 | Sep. 30, 2021 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Nov. 02, 2020 |
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Common stock, shares authorized (in shares) | 2,000,000,000 | 2,000,000,000 | |||||||||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||||
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |||||||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 | |||||||||||||||||||
Number of common shares (in shares) | 52,210,000 | 33,610,000 | |||||||||||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | ||||||||||||||||||||
Option exercise (in shares) | 1,600,000 | 6,725,000 | 2,100,000 | 0 | 0 | ||||||||||||||||
Share price (in dollars per share) | $ 10.89 | $ 10.10 | |||||||||||||||||||
Granted (in shares) | 7,051,335 | 1,619,739 | |||||||||||||||||||
Preferred stock, dividends (in dollars per share) | $ 5.97 | $ 5.26 | $ 2.05 | ||||||||||||||||||
Common stock, shares outstanding (in shares) | 466,758,266 | 414,744,518 | |||||||||||||||||||
Fair value | $ 53,500,000 | ||||||||||||||||||||
Reserved shares of common stock for issuance (in shares) | 15,000,000 | ||||||||||||||||||||
Stock option plan term (in years) | 10 years | ||||||||||||||||||||
Yearly increase in number of shares available for options | 10.00% | ||||||||||||||||||||
Number of additional shares authorized (in shares) | 9,739 | 4,600,000 | 0 | ||||||||||||||||||
Threshold percentage for options that may be issued to the Manager | 10.00% | ||||||||||||||||||||
Stock options outstanding (in shares) | 21,478,990 | ||||||||||||||||||||
Share price (in dollars per share) | $ 10.71 | ||||||||||||||||||||
Subsequent Event | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of additional shares authorized (in shares) | 5,190,335 | ||||||||||||||||||||
Fortress-managed funds | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Common stock, shares outstanding (in shares) | 2,400,000 | ||||||||||||||||||||
Stock options outstanding (in shares) | 19,900,000 | ||||||||||||||||||||
Common Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Option exercise (in shares) | 348,613 | ||||||||||||||||||||
Stock repurchase program, authorized amount | $ 200,000,000 | ||||||||||||||||||||
Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Stock repurchase program, authorized amount | $ 100,000,000 | ||||||||||||||||||||
Share-based Payment Arrangement, Nonemployee | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Granted (in shares) | 1,900,000 | 5,200,000 | |||||||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Granted (in shares) | 43,400,000 | 43,400,000 | |||||||||||||||||||
Exercise price range, lower range limit (in dollars per share) | $ 6.11 | ||||||||||||||||||||
Exercise price range, upper range limit (in dollars per share) | $ 7.94 | ||||||||||||||||||||
Expected term (in years) | 3 years | ||||||||||||||||||||
Risk free interest rate | 0.24% | ||||||||||||||||||||
Expected volatility rate | 35.00% | ||||||||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | Exercise Price One | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Shares exercisable (in shares) | 24,600,000 | ||||||||||||||||||||
Exercise price (in dollars per share) | $ 6.11 | ||||||||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | Exercise Price Two | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Shares exercisable (in shares) | 18,900,000 | ||||||||||||||||||||
Exercise price (in dollars per share) | $ 7.94 | ||||||||||||||||||||
Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Stock repurchase program, authorized amount | $ 100,000,000 | ||||||||||||||||||||
Share repurchases (in shares) | 0 | ||||||||||||||||||||
7.50% Series A Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 6,210,000 | 6,210,000 | |||||||||||||||||||
Dividend interest rate | 7.50% | ||||||||||||||||||||
Preferred stock, dividends (in dollars per share) | $ 0.47 | $ 1.88 | $ 1.88 | $ 1.16 | |||||||||||||||||
Dividends on preferred stock | $ 2,900,000 | ||||||||||||||||||||
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 11,300,000 | 11,300,000 | |||||||||||||||||||
Dividend interest rate | 7.125% | ||||||||||||||||||||
Preferred stock, dividends (in dollars per share) | $ 0.45 | $ 1.78 | $ 1.78 | 0.89 | |||||||||||||||||
Dividends on preferred stock | $ 5,000,000 | ||||||||||||||||||||
6.375% Series C Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | ||||||||||||||||||||
Number of common shares (in shares) | 16,100,000 | 16,100,000 | |||||||||||||||||||
Dividend interest rate | 6.375% | 6.375% | |||||||||||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | ||||||||||||||||||||
Sale of stock, consideration received on transaction | $ 389,500,000 | ||||||||||||||||||||
Preferred stock, dividends (in dollars per share) | $ 0.40 | $ 1.59 | $ 1.60 | 0 | |||||||||||||||||
Dividends on preferred stock | $ 6,400,000 | ||||||||||||||||||||
6.375% Series C Preferred Stock | Share-based Payment Arrangement, Nonemployee | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Fair value of options granted to Manager | $ 1,000,000 | ||||||||||||||||||||
Common Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Share repurchases (in shares) | 1,000,000 | ||||||||||||||||||||
Stock repurchased, average cost per share (in dollars per share) | $ 7.46 | ||||||||||||||||||||
7.00% Series D Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | ||||||||||||||||||||
Number of common shares (in shares) | 18,600,000 | 0 | |||||||||||||||||||
Dividend interest rate | 7.00% | 7.00% | |||||||||||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | ||||||||||||||||||||
Sale of stock, consideration received on transaction | $ 449,500,000 | ||||||||||||||||||||
Preferred stock, dividends (in dollars per share) | $ 0.44 | $ 0.72 | $ 0 | $ 0 | |||||||||||||||||
Dividends on preferred stock | $ 8,100,000 | ||||||||||||||||||||
Underwritten Public Option | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 45,000,000 | 14,000,000 | |||||||||||||||||||
Share price (in dollars per share) | $ 10.10 | ||||||||||||||||||||
Underwritten Public Option | 7.00% Series D Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 17,000,000 | ||||||||||||||||||||
Over-Allotment Option | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 2,550,000 | 6,750,000 | |||||||||||||||||||
Share price (in dollars per share) | $ 24.2125 | $ 10.10 | |||||||||||||||||||
Over-Allotment Option | 6.375% Series C Preferred Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 1,600,000 | ||||||||||||||||||||
Distribution Agreement | Common Stock | |||||||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||||||
Number of common shares (in shares) | 178,000 | ||||||||||||||||||||
Sale of stock, consideration received on transaction | $ 500,000,000 | ||||||||||||||||||||
Average price per share (in dollars per share) | $ 11.51 |
EQUITY AND EARNINGS PER SHARE_2
EQUITY AND EARNINGS PER SHARE - Schedule of Preferred Shares (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Dec. 15, 2021 | Sep. 14, 2021 | Feb. 14, 2020 | Sep. 30, 2021 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Class of Stock [Line Items] | ||||||||||
Number of common shares (in shares) | 52,210 | 33,610 | ||||||||
Preferred stock, aggregate liquidation preference | $ 1,305,250 | $ 840,250 | ||||||||
Carrying Value | $ 1,262,481 | |||||||||
Preferred stock, dividends (in dollars per share) | $ 5.97 | $ 5.26 | $ 2.05 | |||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | |||||||||
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of common shares (in shares) | 6,210 | 6,210 | ||||||||
Preferred stock, aggregate liquidation preference | $ 155,250 | $ 155,250 | ||||||||
Issuance Discount | 3.15% | |||||||||
Carrying Value | $ 150,026 | |||||||||
Preferred stock, dividends (in dollars per share) | $ 0.47 | $ 1.88 | $ 1.88 | 1.16 | ||||||
Dividend interest rate | 7.50% | |||||||||
7.125% Series B Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of common shares (in shares) | 11,300 | 11,300 | ||||||||
Preferred stock, aggregate liquidation preference | $ 282,500 | $ 282,500 | ||||||||
Issuance Discount | 3.15% | |||||||||
Carrying Value | $ 273,418 | |||||||||
Preferred stock, dividends (in dollars per share) | 0.45 | $ 1.78 | $ 1.78 | 0.89 | ||||||
Dividend interest rate | 7.125% | |||||||||
6.375% Series C Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of common shares (in shares) | 16,100 | 16,100 | ||||||||
Preferred stock, aggregate liquidation preference | $ 402,500 | $ 402,500 | ||||||||
Issuance Discount | 3.15% | |||||||||
Carrying Value | $ 389,548 | |||||||||
Preferred stock, dividends (in dollars per share) | 0.40 | $ 1.59 | $ 1.60 | 0 | ||||||
Dividend interest rate | 6.375% | 6.375% | ||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | |||||||||
7.00% Series D Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of common shares (in shares) | 18,600 | 0 | ||||||||
Preferred stock, aggregate liquidation preference | $ 465,000 | $ 0 | ||||||||
Issuance Discount | 3.15% | |||||||||
Carrying Value | $ 449,489 | |||||||||
Preferred stock, dividends (in dollars per share) | $ 0.44 | $ 0.72 | $ 0 | $ 0 | ||||||
Dividend interest rate | 7.00% | 7.00% | ||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 |
EQUITY AND EARNINGS PER SHARE_3
EQUITY AND EARNINGS PER SHARE - Common Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Millions | Dec. 15, 2021 | Aug. 23, 2021 | Jun. 16, 2021 | Mar. 24, 2021 | Dec. 16, 2020 | Sep. 23, 2020 | Jun. 22, 2020 | Mar. 31, 2020 | Dec. 16, 2019 | Sep. 23, 2019 | Jun. 18, 2019 | Mar. 25, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Dividends Payable [Line Items] | ||||||||||||||||||
Dividends declared per share of common stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.90 | $ 0.50 | $ 2 | ||||||||||||
Total Amounts Distributed | $ 116.7 | $ 116.6 | $ 93.3 | $ 82.9 | $ 82.9 | $ 62.4 | $ 41.6 | $ 20.8 | $ 207.8 | $ 207.8 | $ 207.8 | $ 207.7 | ||||||
Quarterly Dividend | ||||||||||||||||||
Dividends Payable [Line Items] | ||||||||||||||||||
Dividends declared per share of common stock (in dollars per share) | $ 0.25 | $ 0.25 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.15 | $ 0.10 | $ 0.05 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 |
EQUITY AND EARNINGS PER SHARE_4
EQUITY AND EARNINGS PER SHARE - Schedule of Warrants (Details) - Share-based Payment Arrangement, Nonemployee - Warrant shares in Millions | 12 Months Ended |
Dec. 31, 2021$ / sharesshares | |
Number of Warrants | |
Beginning balance (in shares) | shares | 43.4 |
Granted (in shares) | shares | 0 |
Exercised (in shares) | shares | 0 |
Expired (in shares) | shares | 0 |
Ending balance (in shares) | shares | 43.4 |
Weighted Average Exercise Price (per share) | |
Beginning balance (in dollars per share) | $ 6.79 |
Granted (in dollars per share) | 0 |
Exercised (in dollars per share) | 0 |
Expired (in dollars per share) | 0 |
Ending balance (in dollars per share) | 6.49 |
Anti-dilutive adjustment (in dollars per share) | $ 0.10 |
EQUITY AND EARNINGS PER SHARE_5
EQUITY AND EARNINGS PER SHARE - Outstanding Options (Details) - shares | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of options (in shares) | 21,478,990 | 14,428,655 | 12,808,916 |
Held by the Manager | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of options (in shares) | 19,877,843 | 11,991,622 | |
Issued to the Manager and subsequently assigned to certain of the Manager’s employees | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of options (in shares) | 1,594,147 | 2,430,033 | |
Issued to the independent directors | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of options (in shares) | 7,000 | 7,000 |
EQUITY AND EARNINGS PER SHARE_6
EQUITY AND EARNINGS PER SHARE - Outstanding Options by Recipient (Details) $ / shares in Units, $ in Thousands | Dec. 31, 2021USD ($)$ / sharesshares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 21,478,990 |
Options exercisable (in shares) | 15,212,453 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.17 |
Director | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 7,000 |
Options exercisable (in shares) | 7,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.08 |
Intrinsic value of exercisable options | $ | $ 0 |
Manager | 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,130,916 |
Options exercisable (in shares) | 1,130,916 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.78 |
Intrinsic value of exercisable options | $ | $ 0 |
Manager | 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 5,320,000 |
Options exercisable (in shares) | 5,320,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.50 |
Intrinsic value of exercisable options | $ | $ 0 |
Manager | 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 6,351,000 |
Options exercisable (in shares) | 6,000,800 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.93 |
Intrinsic value of exercisable options | $ | $ 0 |
Manager | 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,619,739 |
Options exercisable (in shares) | 1,187,809 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 17.23 |
Intrinsic value of exercisable options | $ | $ 0 |
Manager | 2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 7,050,335 |
Options exercisable (in shares) | 1,565,928 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 10.19 |
Intrinsic value of exercisable options | $ | $ 810 |
EQUITY AND EARNINGS PER SHARE_7
EQUITY AND EARNINGS PER SHARE - Options Assigned (Details) | Dec. 31, 2021$ / sharesshares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | $ 14.17 |
Stock options outstanding (in shares) | shares | 21,478,990 |
2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Stock options outstanding (in shares) | shares | 1,270,200 |
2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Stock options outstanding (in shares) | shares | 323,947 |
2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Stock options outstanding (in shares) | shares | 0 |
Options Assigned | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Stock options outstanding (in shares) | shares | 1,594,147 |
Minimum | 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | $ 14.96 |
Minimum | 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | 16.84 |
Minimum | 2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | 10.10 |
Maximum | 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | 16.50 |
Maximum | 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | 17.23 |
Maximum | 2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Range of exercise prices (in dollars per share) | $ 11.51 |
EQUITY AND EARNINGS PER SHARE_8
EQUITY AND EARNINGS PER SHARE - Activity in Outstanding Options (Details) - $ / shares | Sep. 22, 2021 | Apr. 16, 2021 | Feb. 14, 2020 | Dec. 31, 2021 | Dec. 31, 2020 |
Amount | |||||
Beginning balance, Outstanding options (in shares) | 14,428,655 | 12,808,916 | |||
Granted (in shares) | 7,051,335 | 1,619,739 | |||
Exercised (in shares) | (1,600,000) | (6,725,000) | (2,100,000) | 0 | 0 |
Expired (in shares) | (1,000) | 0 | |||
Ending balance, Outstanding options (in shares) | 21,478,990 | 14,428,655 | |||
Weighted Average Exercise Price | |||||
Weighted average exercise price, options granted (in dollars per share) | $ 10.31 | $ 17.41 | |||
Weighted average exercise price, options exercised (in dollars per share) | 0 | 0 | |||
Weighted average exercise price, options expired (in dollars per share) | $ 12.36 | $ 0 |
EQUITY AND EARNINGS PER SHARE_9
EQUITY AND EARNINGS PER SHARE - Schedule of Basic and Diluted Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Earnings Per Share [Abstract] | |||
Net income (loss) | $ 805,582 | $ (1,357,684) | $ 605,933 |
Noncontrolling interests in income of consolidated subsidiaries | 33,356 | 52,674 | 42,637 |
Dividends on preferred stock | 66,744 | 54,295 | 13,281 |
Net income (loss) attributable to common stockholders, basic | 705,482 | (1,464,653) | 550,015 |
Net income (loss) attributable to common stockholders, diluted | $ 705,482 | $ (1,464,653) | $ 550,015 |
Basic weighted average shares of common stock outstanding (in shares) | 451,276,742 | 415,513,187 | 408,789,642 |
Dilutive effect of stock options and common stock purchase warrants (in shares) | 16,388,264 | 0 | 200,465 |
Diluted weighted average shares of common stock outstanding (in shares) | 467,665,006 | 415,513,187 | 408,990,107 |
Basic earnings per share attributable to common stockholders (in dollars per share) | $ 1.56 | $ (3.52) | $ 1.35 |
Diluted earnings per share attributable to common stockholders (in dollars per share) | $ 1.51 | $ (3.52) | $ 1.34 |
Antidilutive shares (in shares) | 0 | 7,328,961 | 0 |
COMMITMENTS AND CONTINGENCIES -
COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Loss Contingencies [Line Items] | ||||
Representation and warranties | $ 36,500 | |||
Residential mortgage loan repurchase liability | [1] | 1,787,314 | $ 1,452,005 | |
Loans of unfunded and available revolving credit privileges | 289,065 | 51,575 | ||
Rent expense, net of sublease income | 26,100 | 13,500 | $ 10,300 | |
Sublease rentals | 1,200 | |||
Consumer Portfolio Segment | ||||
Loss Contingencies [Line Items] | ||||
Loans of unfunded and available revolving credit privileges | 507,291 | $ 685,575 | $ 827,545 | |
New Penn | ||||
Loss Contingencies [Line Items] | ||||
Committed to fund | 10,700,000 | |||
Consumer Loan SPVs | Consumer Portfolio Segment | Unfunded Loan Commitment | ||||
Loss Contingencies [Line Items] | ||||
Loans of unfunded and available revolving credit privileges | 244,100 | |||
Genesis Acquisition | ||||
Loss Contingencies [Line Items] | ||||
Committed to fund | $ 539,400 | |||
[1] | See Note 6 for details. |
COMMITMENTS AND CONTINGENCIES_2
COMMITMENTS AND CONTINGENCIES - Schedule of Future Commitments for Non-Cancelable Leases (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Commitments and Contingencies Disclosure [Abstract] | ||
2022 | $ 42,018 | |
2023 | 31,169 | |
2024 | 23,881 | |
2025 | 18,470 | |
2026 | 10,933 | |
2027 and thereafter | 34,661 | |
Total remaining undiscounted lease payments | 161,132 | |
Less: imputed interest | 18,512 | |
Total remaining discounted lease payments | $ 142,620 | $ 31,270 |
COMMITMENTS AND CONTINGENCIES_3
COMMITMENTS AND CONTINGENCIES - Other Information Related to Operating Leases (Details) | Dec. 31, 2021 | Dec. 31, 2020 |
Commitments and Contingencies Disclosure [Abstract] | ||
Weighted-average remaining lease term (years) | 5 years 6 months | 3 years 2 months 12 days |
Weighted-average discount rate | 4.10% | 4.50% |
TRANSACTIONS WITH AFFILIATES _3
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) $ / shares in Units, $ in Thousands | Sep. 14, 2021shares | Apr. 14, 2021shares | May 19, 2020USD ($)$ / sharesshares | Mar. 31, 2020USD ($)purchaser | Jun. 30, 2020shares | Dec. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2020$ / sharesshares |
Related Party Transaction [Line Items] | |||||||
Management agreement, renewal term (in years) | 1 year | ||||||
Termination fee, number of months' pay (in months) | 12 months | ||||||
Proportion of directors' votes needed to terminate | 0.6667 | ||||||
Number of purchasers | purchaser | 6 | ||||||
Owned mortgages, mortgage-based and asset-backed securities at fair value | $ 6,100,000 | ||||||
Proceeds from sale of mortgage-backed securities | 3,300,000 | ||||||
Options granted (in shares) | shares | 7,051,335 | 1,619,739 | |||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | ||||
Face amount of debt | $ 29,273,486 | ||||||
Share-based Payment Arrangement, Nonemployee | |||||||
Related Party Transaction [Line Items] | |||||||
Options granted (in shares) | shares | 1,900,000 | 5,200,000 | |||||
Warrant | Share-based Payment Arrangement, Nonemployee | |||||||
Related Party Transaction [Line Items] | |||||||
Options granted (in shares) | shares | 43,400,000 | 43,400,000 | |||||
Percentage of lenders and recipients managed by an affiliate of the manager | 0.48 | ||||||
2020 Term Loan | |||||||
Related Party Transaction [Line Items] | |||||||
Debt instrument, term | 3 years | ||||||
Principal amount | $ 600,000 | ||||||
Fortress Purchaser | |||||||
Related Party Transaction [Line Items] | |||||||
Owned mortgages, mortgage-based and asset-backed securities at fair value | 1,850,000 | ||||||
Payments to acquire mortgage-backed securities | $ 1,000,000 | ||||||
Manager | |||||||
Related Party Transaction [Line Items] | |||||||
Management fee rate (percent) | 1.50% | ||||||
Incentive compensation percentage | 25.00% | ||||||
Interest rate for incentive compensation | 10.00% | ||||||
Affiliate of Manager | Senior Loans | |||||||
Related Party Transaction [Line Items] | |||||||
Interest rate, stated percentage | 10.50% | ||||||
Face amount of debt | $ 174,600 | ||||||
Affiliate of Manager | Senior Subordinated Loans | |||||||
Related Party Transaction [Line Items] | |||||||
Interest rate, stated percentage | 16.00% | ||||||
Face amount of debt | $ 54,100 |
TRANSACTIONS WITH AFFILIATES _4
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Due to Related Parties [Abstract] | |||
Total | $ 17,819 | $ 9,450 | |
Management fees | 95,926 | 89,134 | $ 79,472 |
Incentive compensation | 0 | 0 | 91,893 |
Manager | |||
Due to Related Parties [Abstract] | |||
Management fees | 95,926 | 89,134 | |
Expense reimbursements and other | 500 | 500 | |
Total | 96,426 | 89,634 | |
Management fees | 17,188 | 7,478 | 7,076 |
Incentive compensation | 0 | 0 | 91,892 |
Expense reimbursements | 631 | 1,972 | 4,914 |
Total | $ 17,819 | $ 9,450 | $ 103,882 |
INCOME TAXES - Schedule of Inco
INCOME TAXES - Schedule of Income Tax Expense (Benefit) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Current: | |||
Federal | $ 5,556 | $ (2,197) | $ 148 |
State and Local | 1,470 | 4,084 | 3,411 |
Total Current Income Tax Expense (Benefit) | 7,026 | 1,887 | 3,559 |
Deferred: | |||
Federal | 130,696 | 17,516 | 28,939 |
State and Local | 20,504 | (2,487) | 9,268 |
Total Deferred Income Tax Expense (Benefit) | 151,200 | 15,029 | 38,207 |
Total Income Tax (Benefit) Expense | $ 158,226 | $ 16,916 | $ 41,766 |
INCOME TAXES - Schedule of Repo
INCOME TAXES - Schedule of Reported Provision for Income Taxes and the U.S. Federal Statutory Rate (Details) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||
Provision at the statutory rate | 21.00% | 21.00% | 21.00% |
Non-taxable REIT income | (7.38%) | (26.44%) | (16.26%) |
State and local taxes | 3.86% | 3.70% | 2.36% |
Return to provision | (1.10%) | 0.12% | 0.57% |
Other | 0.04% | 0.45% | 0.09% |
Total provision | 16.42% | (1.17%) | 7.76% |
INCOME TAXES - Schedule of Defe
INCOME TAXES - Schedule of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Deferred tax assets: | ||
Net operating losses and tax credit carryforwards | $ 76,642 | $ 5,636 |
Basis differences related to assets and investments | 85,104 | 18,868 |
Goodwill | 30,485 | 0 |
Accrued Expenses | 20,171 | 0 |
Other | 4,632 | 705 |
Total deferred tax assets | 217,034 | 25,209 |
Less valuation allowance | 0 | 0 |
Net deferred tax assets | 217,034 | 25,209 |
Deferred tax liabilities: | ||
Mortgage servicing rights | (594,801) | (16,189) |
Basis differences related to assets and investments | (21,672) | (12,539) |
Fixed asset depreciation | (14,495) | (1,231) |
Unrealized mark to market | (26,021) | 0 |
Other | (735) | (3,109) |
Total deferred tax liability | (657,724) | (33,068) |
Net deferred tax assets (liability) | (440,690) | $ (7,859) |
Federal and State Tax Authority | ||
Operating Loss Carryforwards [Line Items] | ||
Net operating loss carryforwards | 266,800 | |
Net operating loss carryforward that will begin to expire in 2034 | $ 33,800 |
INCOME TAXES - Schedule of Taxa
INCOME TAXES - Schedule of Taxable Common Stock Distributions (Details) - $ / shares | 1 Months Ended | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Class of Stock [Line Items] | ||||||
Dividends per share (in dollars per share) | $ 0.50 | $ 0.62 | $ 1.87 | |||
Ordinary Income | 58.84% | 78.01% | 77.53% | |||
Long-term Capital Gain | 0.00% | 0.00% | 15.82% | |||
Return of Capital | 41.16% | 21.99% | 6.65% | |||
Dividends declared per share of common stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.90 | $ 0.50 | $ 2 |
Preferred stock, dividends (in dollars per share) | 5.97 | 5.26 | $ 2.05 | |||
Series A Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends per share (in dollars per share) | $ 1.88 | $ 1.88 | ||||
Ordinary Income | 100.00% | 100.00% | ||||
Long-term Capital Gain | 0.00% | 0.00% | ||||
Return of Capital | 0.00% | 0.00% | ||||
Preferred stock, dividends (in dollars per share) | 0.47 | 0.47 | ||||
Series B Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends per share (in dollars per share) | $ 1.78 | $ 1.78 | ||||
Ordinary Income | 100.00% | 100.00% | ||||
Long-term Capital Gain | 0.00% | 0.00% | ||||
Return of Capital | 0.00% | 0.00% | ||||
Preferred stock, dividends (in dollars per share) | 0.45 | 0.45 | ||||
Series C Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends per share (in dollars per share) | $ 1.59 | $ 1.20 | ||||
Ordinary Income | 100.00% | 100.00% | ||||
Long-term Capital Gain | 0.00% | 0.00% | ||||
Return of Capital | 0.00% | 0.00% | ||||
Preferred stock, dividends (in dollars per share) | $ 0.40 | $ 0.40 | ||||
Series D Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends per share (in dollars per share) | $ 0.28 | |||||
Ordinary Income | 100.00% | |||||
Long-term Capital Gain | 0.00% | |||||
Return of Capital | 0.00% |