Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | Apr. 27, 2018 | |
Document And Entity Information | ||
Entity Registrant Name | New Residential Investment Corp. | |
Entity Central Index Key | 1,556,593 | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2018 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding (in shares) | 336,135,391 | |
Document Fiscal Period Focus | Q1 | |
Document Fiscal Year Focus | 2,018 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Investments in: | |||
Excess mortgage servicing rights, at fair value | $ 515,676 | $ 1,173,713 | |
Excess mortgage servicing rights, equity method investees, at fair value | 164,886 | 171,765 | |
Mortgage servicing rights, at fair value | 2,129,665 | 1,735,504 | |
Mortgage servicing rights financing receivables, at fair value | 1,886,771 | 598,728 | |
Servicer advance investments, at fair value | [1] | 955,364 | 4,027,379 |
Real estate and other securities, available-for-sale | 7,585,323 | 8,071,140 | |
Residential mortgage loans, held-for-investment | 647,960 | 691,155 | |
Residential mortgage loans, held-for-sale | [1] | 1,441,955 | 1,725,534 |
Real estate owned | 115,616 | 128,295 | |
Consumer loans, held-for-investment | [1] | 1,305,793 | 1,374,263 |
Consumer loans, equity method investees | 46,135 | 51,412 | |
Cash and cash equivalents | [1] | 233,233 | 295,798 |
Restricted cash | 179,688 | 150,252 | |
Servicer advances receivable | 3,393,375 | 675,593 | |
Trades receivable | 1,083,558 | 1,030,850 | |
Other assets | 326,943 | 312,181 | |
Total assets | 22,011,941 | 22,213,562 | |
Liabilities | |||
Repurchase agreements | 7,635,494 | 8,662,139 | |
Notes and bonds payable | [1] | 7,031,021 | 7,084,391 |
Trades payable | 1,116,948 | 1,169,896 | |
Due to affiliates | 20,292 | 88,961 | |
Dividends payable | 168,068 | 153,681 | |
Deferred tax liability, net | 10,162 | 19,218 | |
Accrued expenses and other liabilities | 268,269 | 239,114 | |
Total liabilities | 16,250,254 | 17,417,400 | |
Commitments and Contingencies | |||
Equity | |||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 336,135,391 and 307,361,309 issued and outstanding at March 31, 2018 and December 31, 2017, respectively | 3,362 | 3,074 | |
Additional paid-in capital | 4,245,573 | 3,763,188 | |
Retained earnings | 995,661 | 559,476 | |
Accumulated other comprehensive income (loss) | 419,340 | 364,467 | |
Total New Residential stockholders’ equity | 5,663,936 | 4,690,205 | |
Noncontrolling interests in equity of consolidated subsidiaries | 97,751 | 105,957 | |
Total equity | 5,761,687 | 4,796,162 | |
Total Liabilities And Stockholders Equity | $ 22,011,941 | $ 22,213,562 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - $ / shares | Mar. 31, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 2,000,000,000 | 2,000,000,000 |
Common stock, shares issued (in shares) | 336,135,391 | 307,361,309 |
Common stock, shares outstanding (in shares) | 336,135,391 | 307,361,309 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Income Statement [Abstract] | ||
Interest income | $ 383,573 | $ 292,538 |
Interest expense | 124,387 | 98,229 |
Net interest income (expense) | 259,186 | 194,309 |
Impairment | ||
Other-than-temporary impairment (OTTI) on securities | 6,670 | 2,112 |
Valuation and loss provision (reversal) on loans and real estate owned | 19,007 | 17,910 |
Total Impairment Charges | 25,677 | 20,022 |
Net interest income after impairment | 233,509 | 174,287 |
Servicing revenue, net | 217,236 | 40,602 |
Other Income | ||
Change in fair value of investments in excess mortgage servicing rights | (45,691) | 821 |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | 523 | (244) |
Change in fair value of investments in mortgage servicing rights financing receivables | 271,076 | 0 |
Change in fair value of servicer advance investments | (79,476) | 2,559 |
Gain (loss) on settlement of investments, net | 103,302 | (13,674) |
Earnings from investments in consumer loans, equity method investees | 4,806 | 0 |
Other income (loss), net | 9,984 | 6,844 |
Other Income | 264,524 | (3,694) |
Operating Expenses | ||
General and administrative expenses | 20,007 | 11,827 |
Management fee to affiliate | 15,110 | 13,074 |
Incentive compensation to affiliate | 14,589 | 12,460 |
Loan servicing expense | 11,514 | 13,376 |
Subservicing expense | 46,597 | 17,704 |
Total Operating Expenses | 107,817 | 68,441 |
Income (Loss) Before Income Taxes | 607,452 | 142,754 |
Income tax expense (benefit) | (6,912) | 5,596 |
Net Income (Loss) | 614,364 | 137,158 |
Noncontrolling Interests in Income of Consolidated Subsidiaries | 10,111 | 15,780 |
Net income (loss) attributable to common stockholders | $ 604,253 | $ 121,378 |
Net Income Per Share of Common Stock | ||
Basic (in dollars per share) | $ 1.83 | $ 0.42 |
Diluted (in dollars per share) | $ 1.81 | $ 0.42 |
Weighted Average Number of Shares of Common Stock Outstanding | ||
Basic (in shares) | 330,384,856 | 286,600,324 |
Diluted (in shares) | 333,380,436 | 288,241,188 |
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.5 | $ 0.48 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Comprehensive income (loss), net of tax | ||
Net income | $ 614,364 | $ 137,158 |
Other comprehensive income (loss) | ||
Net unrealized gain (loss) on securities | 18,976 | 31,638 |
Reclassification of net realized (gain) loss on securities into earnings | 35,897 | 1,119 |
Total other comprehensive income (loss) | 54,873 | 32,757 |
Total comprehensive income (loss) | 669,237 | 169,915 |
Comprehensive income attributable to noncontrolling interests | 10,111 | 15,780 |
Comprehensive income attributable to common stockholders | $ 659,126 | $ 154,135 |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - 3 months ended Mar. 31, 2018 - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Total New Residential Stockholders’ Equity | Noncontrolling Interests in Equity of Consolidated Subsidiaries |
Equity, beginning balance (in shares) at Dec. 31, 2017 | 307,361,309 | ||||||
Equity, beginning balance at Dec. 31, 2017 | $ 4,796,162 | $ 3,074 | $ 3,763,188 | $ 559,476 | $ 364,467 | $ 4,690,205 | $ 105,957 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Dividends declared | (168,068) | (168,068) | (168,068) | ||||
Capital contributions | 0 | 0 | |||||
Capital distributions | (18,317) | (18,317) | |||||
Issuance of common stock (in shares) | 28,750,000 | ||||||
Issuance of common stock | 482,253 | $ 288 | 481,965 | 482,253 | |||
Director share grants (in shares) | 24,081.5688073394 | ||||||
Director share grants | 420 | $ 0 | 420 | 420 | 0 | ||
Comprehensive income (loss) | |||||||
Net income (loss) | 614,364 | 604,253 | 604,253 | 10,111 | |||
Net unrealized gain (loss) on securities | 18,976 | 18,976 | 18,976 | ||||
Reclassification of net realized (gain) loss on securities into earnings | 35,897 | 35,897 | 35,897 | ||||
Total comprehensive income (loss) | 669,237 | 659,126 | 10,111 | ||||
Equity, ending balance (in shares) at Mar. 31, 2018 | 336,135,391 | ||||||
Equity, ending balance at Mar. 31, 2018 | $ 5,761,687 | $ 3,362 | $ 4,245,573 | $ 995,661 | $ 419,340 | $ 5,663,936 | $ 97,751 |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Cash Flows From Operating Activities | ||
Net income | $ 614,364 | $ 137,158 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Change in fair value of investments in excess mortgage servicing rights | 45,691 | (821) |
Change in fair value of investments in excess mortgage servicing rights, equity method investees | (523) | 244 |
Change in fair value of investments in mortgage servicing rights financing receivables | (271,076) | 0 |
Change in fair value of servicer advance investments | 79,476 | (2,559) |
(Gain) / loss on settlement of investments (net) | (103,302) | 13,674 |
Earnings from investments in consumer loans, equity method investees | (4,806) | 0 |
Unrealized (gain) / loss on derivative instruments | (2,446) | (4,326) |
Unrealized (gain) / loss on other ABS | 313 | (758) |
(Gain) / loss on transfer of loans to REO | (4,170) | (6,634) |
(Gain) / loss on transfer of loans to other assets | (55) | (212) |
(Gain) / loss on Excess MSRs | (2,905) | (627) |
(Gain) / loss on Ocwen common stock | (5,772) | 0 |
Accretion and other amortization | (177,371) | (192,424) |
Other-than-temporary impairment | 6,670 | 2,112 |
Valuation and loss provision (reversal) on loans and real estate owned | 19,007 | 17,910 |
Non-cash portions of servicing revenue, net | (74,666) | 27,055 |
Non-cash directors’ compensation | 420 | 243 |
Deferred tax provision | (9,056) | 3,418 |
Changes in: | ||
Servicer advances receivable | 189,207 | 9,233 |
Other assets | (19,593) | 6,906 |
Due to affiliates | (68,669) | (24,229) |
Accrued expenses and other liabilities | 25,590 | (33,337) |
Other operating cash flows: | ||
Interest received from excess mortgage servicing rights | 9,702 | 21,413 |
Interest received from servicer advance investments | 9,130 | 52,124 |
Interest received from Non-Agency RMBS | 45,104 | 40,801 |
Interest received from residential mortgage loans, held-for-investment | 1,728 | 3,762 |
Interest received from PCD consumer loans, held-for-investment | 7,190 | 14,824 |
Distributions of earnings from equity method investees | 4,938 | 5,805 |
Purchases of residential mortgage loans, held-for-sale | (494,207) | (1,223,734) |
Proceeds from sales of purchased residential mortgage loans, held-for-sale | 659,559 | 739,640 |
Principal repayments from purchased residential mortgage loans, held-for-sale | 32,738 | 14,497 |
Net cash provided by (used in) operating activities | 513,659 | (378,842) |
Cash Flows From Investing Activities | ||
Purchase of servicer advance investments | (853,672) | (3,302,794) |
Purchase of Agency RMBS | (1,116,130) | (1,867,168) |
Purchase of Non-Agency RMBS | (461,358) | (850,046) |
Purchase of residential mortgage loans | (194) | 0 |
Purchase of derivatives | 0 | 0 |
Purchase of real estate owned and other assets | (4,160) | (9,730) |
Purchase of investment in consumer loans, equity method investees | (83,227) | (41,314) |
Draws on revolving consumer loans | (8,020) | (12,877) |
Payments for settlement of derivatives | (32,487) | (15,732) |
Return of investments in excess mortgage servicing rights | 16,358 | 41,566 |
Principal repayments from servicer advance investments | 752,663 | 3,998,693 |
Principal repayments from Agency RMBS | 19,757 | 18,779 |
Principal repayments from Non-Agency RMBS | 200,077 | 159,247 |
Principal repayments from residential mortgage loans | 28,337 | 4,481 |
Proceeds from sale of residential mortgage loans | 780 | 0 |
Principal repayments from consumer loans | 62,805 | 110,200 |
Proceeds from sale of Agency RMBS | 1,876,403 | 1,682,689 |
Proceeds from sale of Non-Agency RMBS | 0 | 28,339 |
Proceeds from settlement of derivatives | 77,165 | 24,570 |
Proceeds from sale of real estate owned | 30,598 | 17,999 |
Net cash provided by (used in) investing activities | 216,242 | (1,013,879) |
Cash Flows From Financing Activities | ||
Repayments of repurchase agreements | (16,316,397) | (8,788,534) |
Margin deposits under repurchase agreements and derivatives | (309,178) | (285,881) |
Repayments of notes and bonds payable | (2,556,961) | (2,653,967) |
Payment of deferred financing fees | (7,109) | (4,494) |
Common stock dividends paid | (153,681) | (115,356) |
Borrowings under repurchase agreements | 15,286,068 | 9,874,154 |
Return of margin deposits under repurchase agreements and derivatives | 321,626 | 276,805 |
Borrowings under notes and bonds payable | 2,508,665 | 2,220,907 |
Issuance of common stock | 482,696 | 835,465 |
Costs related to issuance of common stock | (442) | (936) |
Noncontrolling interest in equity of consolidated subsidiaries - contributions | 0 | 0 |
Noncontrolling interest in equity of consolidated subsidiaries - distributions | (18,317) | (24,209) |
Purchase of noncontrolling interests in the Buyer | 0 | 0 |
Net cash provided by (used in) financing activities | (763,030) | 1,333,954 |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | (33,129) | (58,767) |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 446,050 | 453,697 |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 412,921 | 394,930 |
Supplemental Disclosure of Cash Flow Information | ||
Cash paid during the period for interest | 124,748 | 94,494 |
Cash paid during the period for income taxes | 335 | 3 |
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Dividends declared but not paid | 168,068 | 147,520 |
Transfer from residential mortgage loans to real estate owned and other assets | 18,228 | 43,763 |
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale | 20,842 | 0 |
Real estate securities retained from loan securitizations | 75,950 | 81,888 |
Ocwen transaction - excess mortgage servicing rights | 638,567 | 0 |
Ocwen transaction - servicer advance investments | 3,175,891 | 0 |
Ocwen transaction - mortgage servicing rights financing receivables | 1,017,993 | 0 |
Mortgage Servicing Rights and Servicer Advances | ||
Cash Flows From Investing Activities | ||
Purchase of MSRs, MSR financing receivables and servicer advances receivable | (371,165) | (1,003,650) |
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
MSR purchase price holdback | 174 | 60,001 |
Agency RMBS | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Purchase of Agency and Non-Agency RMBS, settled after quarter end | 1,116,948 | 1,446,276 |
Sale of investments, primarily Agency RMBS, settled after quarter end | 1,083,558 | 1,857,537 |
Consumer Loans | ||
Other operating cash flows: | ||
Distributions of earnings from equity method investees | 1,449 | 0 |
Cash Flows From Investing Activities | ||
Return of investments, equity method investees | 79,248 | 0 |
Excess MSRs Investees | ||
Cash Flows From Investing Activities | ||
Return of investments, equity method investees | 2,464 | 2,869 |
LoanCo | ||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Non-cash distributions from LoanCo | $ 12,613 | $ 0 |
ORGANIZATION AND BASIS OF PRESE
ORGANIZATION AND BASIS OF PRESENTATION | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION AND BASIS OF PRESENTATION | ORGANIZATION AND BASIS OF PRESENTATION New Residential Investment Corp. (together with its subsidiaries, “New Residential”) is a Delaware corporation that was formed as a limited liability company in September 2011 for the purpose of making real estate related investments and commenced operations on December 8, 2011. On December 20, 2012, New Residential was converted to a corporation. Drive Shack Inc. (“Drive Shack”), formerly Newcastle Investment Corp., was the sole stockholder of New Residential until the spin-off, which was completed on May 15, 2013. Following the spin-off, New Residential is an independent publicly traded real estate investment trust (“REIT”) primarily focused on investing in residential mortgage related assets. New Residential is listed on the New York Stock Exchange (“NYSE”) under the symbol “NRZ.” New Residential has elected and intends to qualify to be taxed as a REIT for U.S. federal income tax purposes. As such, New Residential will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. See Note 17 regarding New Residential’s taxable REIT subsidiaries. New Residential has entered into a management agreement (the “Management Agreement”) with FIG LLC (the “Manager”), an affiliate of Fortress Investment Group LLC (“Fortress”), pursuant to which the Manager provides a management team and other professionals who are responsible for implementing New Residential’s business strategy, subject to the supervision of New Residential’s board of directors. For its services, the Manager is entitled to management fees and incentive compensation, both defined in, and in accordance with the terms of, the Management Agreement. The Manager also managed Drive Shack and manages investment funds that indirectly own approximately 40.5% of the outstanding interests in Nationstar Mortgage LLC (“Nationstar”), a leading residential mortgage servicer, and investment funds that own a majority of the outstanding common stock of OneMain Holdings, Inc. (formerly Springleaf Holdings, Inc.) (together with its subsidiaries, “OneMain”), former managing member of the Consumer Loan Companies (Note 9). As of March 31, 2018 , New Residential conducted its business through the following segments: (i) investments in excess mortgage servicing rights (“Excess MSRs”), (ii) investments in mortgage servicing rights (“MSRs”), (iii) Servicer Advance Investments (including the basic fee component of the related MSRs), (iv) investments in real estate securities, (v) investments in residential mortgage loans, (vi) investments in consumer loans and (vii) corporate. Approximately 0.5 million shares of New Residential’s common stock were held by Fortress, through its affiliates, as of March 31, 2018 . In addition, Fortress, through its affiliates, held options relating to approximately 18.1 million shares of New Residential’s common stock as of March 31, 2018 . Interim Financial Statements The accompanying condensed consolidated financial statements and related notes of New Residential have been prepared in accordance with accounting principles generally accepted in the United States for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, certain information and note disclosures normally included in financial statements prepared under U.S. generally accepted accounting principles have been condensed or omitted. In the opinion of management, all adjustments considered necessary for a fair presentation of New Residential’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. These condensed consolidated financial statements should be read in conjunction with New Residential’s consolidated financial statements for the year ended December 31, 2017 and notes thereto included in New Residential’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”). Capitalized terms used herein, and not otherwise defined, are defined in New Residential’s consolidated financial statements for the year ended December 31, 2017 . Recent Accounting Pronouncements In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-09, Revenues from Contracts with Customers (Topic 606) . The standard’s core principle is that a company will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the company expects to be entitled in exchange for those goods or services. In effect, companies are required to exercise further judgment and make more estimates prospectively. These may include identifying performance obligations in the contract, estimating the amount of variable consideration to include in the transaction price and allocating the transaction price to each separate performance obligation. ASU No. 2014-09 was effective for New Residential in the first quarter of 2018. New Residential has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, New Residential considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the adoption of ASU No. 2014-09 did not have a material impact on the condensed consolidated financial statements. In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities. The standard: (i) requires that certain equity investments be measured at fair value, and modifies the assessment of impairment for certain other equity investments, (ii) changes certain disclosure requirements related to the fair value of financial instruments measured at amortized cost, (iii) changes certain disclosure requirements related to liabilities measured at fair value, (iv) requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset, and (v) clarifies that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. ASU No. 2016-01 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-01 did not have a material impact on the condensed consolidated financial statements. In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments . The standard requires that a financial asset measured at amortized cost basis be presented at the net amount expected to be collected, net of an allowance for all expected (rather than incurred) credit losses. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectibility of the reported amount. The standard also changes the accounting for purchased credit deteriorated assets and available-for-sale securities, which will require the recognition of credit losses through a valuation allowance when fair value is less than amortized cost, regardless of whether the impairment is considered to be other-than-temporary. ASU No. 2016-13 is effective for New Residential in the first quarter of 2020. Early adoption is permitted beginning in 2019. An entity should apply ASU No. 2016-13 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings. In October 2016, the FASB issued ASU No. 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory . The standard requires recognition of the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. ASU No. 2016-16 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-16 did not have a material impact on the condensed consolidated financial statements. |
OTHER INCOME, ASSETS AND LIABIL
OTHER INCOME, ASSETS AND LIABILITIES | 3 Months Ended |
Mar. 31, 2018 | |
Other Income Assets And Liabilities | |
OTHER INCOME, ASSETS AND LIABILITIES | OTHER INCOME, ASSETS AND LIABILITIES Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended 2018 2017 Gain (loss) on sale of real estate securities, net $ (29,227 ) $ 993 Gain (loss) on sale of residential mortgage loans, net (14,651 ) 2,565 Gain (loss) on settlement of derivatives 37,363 (11,836 ) Gain (loss) on liquidated residential mortgage loans (385 ) (2,216 ) Gain (loss) on sale of REO (2,800 ) (2,610 ) Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments 113,002 — Other gains (losses) — (570 ) $ 103,302 $ (13,674 ) Other income (loss), net, is comprised of the following: Three Months Ended 2018 2017 Unrealized gain (loss) on derivative instruments $ 2,446 $ 4,326 Unrealized gain (loss) on other ABS (313 ) 758 Gain (loss) on transfer of loans to REO 4,170 6,634 Gain (loss) on transfer of loans to other assets 55 212 Gain (loss) on Excess MSRs 2,905 627 Gain (loss) on Ocwen common stock 5,772 — Other income (loss) (5,051 ) (5,713 ) $ 9,984 $ 6,844 Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities March 31, 2018 December 31, 2017 March 31, 2018 December 31, 2017 Margin receivable, net $ 40,702 $ 53,150 Interest payable $ 26,124 $ 28,821 Other receivables 62,109 10,635 Accounts payable 47,877 73,017 Principal and interest receivable 45,548 48,373 Derivative liabilities (Note 10) 4,091 697 Receivable from government agency 30,863 41,429 Current taxes payable — — Call rights 327 327 Due to servicers 72,705 24,571 Derivative assets (Note 10) 588 2,423 MSR purchase price holdback 101,464 101,290 Servicing fee receivables 63,199 60,520 Other liabilities 16,008 10,718 Ginnie Mae EBO servicer advances receivable, net 3,554 8,916 $ 268,269 $ 239,114 Due from servicers 26,595 38,601 Ocwen common stock, at fair value 25,031 19,259 Prepaid expenses 6,449 7,308 Other assets 21,978 21,240 $ 326,943 $ 312,181 As reflected on the Condensed Consolidated Statements of Cash Flows, accretion and other amortization is comprised of the following: Three Months Ended 2018 2017 Accretion of servicer advance investment and receivable interest income $ 77,640 $ 76,043 Accretion of excess mortgage servicing rights income 9,359 31,418 Accretion of net discount on securities and loans (A) 92,708 88,984 Amortization of deferred financing costs (1,874 ) (3,574 ) Amortization of discount on notes and bonds payable (462 ) (447 ) $ 177,371 $ 192,424 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING
SEGMENT REPORTING | 3 Months Ended |
Mar. 31, 2018 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING New Residential conducts its business through the following segments: (i) investments in Excess MSRs, (ii) investments in MSRs, (iii) Servicer Advance Investments, (iv) investments in real estate securities, (v) investments in residential mortgage loans, (vi) investments in consumer loans, and (vii) corporate. The corporate segment consists primarily of (i) general and administrative expenses, (ii) the management fees and incentive compensation related to the Management Agreement and (iii) corporate cash and related interest income. Securities owned by New Residential (Note 7) that are collateralized by servicer advances and consumer loans are included in the Servicer Advances and Consumer Loans segments, respectively. Secured corporate loans effectively collateralized by Excess MSRs are included in the Excess MSRs segment. Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended March 31, 2018 Interest income $ 9,359 $ 166,518 $ 18,891 $ 101,133 $ 34,392 $ 52,648 $ 632 $ 383,573 Interest expense 4,489 44,111 6,430 41,530 16,311 11,516 — 124,387 Net interest income (expense) 4,870 122,407 12,461 59,603 18,081 41,132 632 259,186 Impairment — — — 6,670 5,183 13,824 — 25,677 Servicing revenue, net — 217,236 — — — — — 217,236 Other income (loss) (1,889 ) 271,777 (6,577 ) 10,569 (20,217 ) 5,090 5,771 264,524 Operating expenses 61 52,278 144 297 8,947 9,437 36,653 107,817 Income (Loss) Before Income Taxes 2,920 559,142 5,740 63,205 (16,266 ) 22,961 (30,250 ) 607,452 Income tax expense (benefit) — (6,729 ) (427 ) — — 244 — (6,912 ) Net Income (Loss) $ 2,920 $ 565,871 $ 6,167 $ 63,205 $ (16,266 ) $ 22,717 $ (30,250 ) $ 614,364 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ — $ 1,383 $ — $ — $ 8,728 $ — $ 10,111 Net income (loss) attributable to common stockholders $ 2,920 $ 565,871 $ 4,784 $ 63,205 $ (16,266 ) $ 13,989 $ (30,250 ) $ 604,253 Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total March 31, 2018 Investments $ 680,562 $ 4,016,436 $ 955,364 $ 7,585,323 $ 2,205,531 $ 1,351,928 $ — $ 16,795,144 Cash and cash equivalents 187 147,305 35,829 1,673 2,532 25,382 20,325 233,233 Restricted cash 3,624 114,152 10,664 — — 51,248 — 179,688 Other assets 4,343 3,465,768 3,614 1,136,075 92,496 26,177 75,403 4,803,876 Total assets $ 688,716 $ 7,743,661 $ 1,005,471 $ 8,723,071 $ 2,300,559 $ 1,454,735 $ 95,728 $ 22,011,941 Debt $ 197,563 $ 4,864,332 $ 729,539 $ 6,053,287 $ 1,549,489 $ 1,272,305 $ — $ 14,666,515 Other liabilities 1,555 225,321 (14,129 ) 1,137,019 23,577 13,852 196,544 1,583,739 Total liabilities 199,118 5,089,653 715,410 7,190,306 1,573,066 1,286,157 196,544 16,250,254 Total equity 489,598 2,654,008 290,061 1,532,765 727,493 168,578 (100,816 ) 5,761,687 Noncontrolling interests in equity of consolidated subsidiaries — — 65,392 — — 32,359 — 97,751 Total New Residential stockholders’ equity $ 489,598 $ 2,654,008 $ 224,669 $ 1,532,765 $ 727,493 $ 136,219 $ (100,816 ) $ 5,663,936 Investments in equity method investees $ 164,886 $ — $ — $ — $ — $ 46,135 $ — $ 211,021 Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended March 31, 2017 Interest income $ 31,418 $ 25 $ 76,704 $ 93,808 $ 17,993 $ 72,406 $ 184 $ 292,538 Interest expense 10,072 987 43,876 20,881 7,540 14,873 — 98,229 Net interest income (expense) 21,346 (962 ) 32,828 72,927 10,453 57,533 184 194,309 Impairment — — — 2,112 (2,018 ) 19,928 — 20,022 Servicing revenue, net — 40,602 — — — — — 40,602 Other income (loss) 1,204 213 1,801 (5,596 ) (1,336 ) 20 — (3,694 ) Operating expenses 86 19,723 824 331 5,853 11,438 30,186 68,441 Income (Loss) Before Income Taxes 22,464 20,130 33,805 64,888 5,282 26,187 (30,002 ) 142,754 Income tax expense (benefit) — (1,279 ) 9,192 — (2,317 ) — — 5,596 Net Income (Loss) $ 22,464 $ 21,409 $ 24,613 $ 64,888 $ 7,599 $ 26,187 $ (30,002 ) $ 137,158 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ — $ 5,820 $ — $ — $ 9,960 $ — $ 15,780 Net income (loss) attributable to common stockholders $ 22,464 $ 21,409 $ 18,793 $ 64,888 $ 7,599 $ 16,227 $ (30,002 ) $ 121,378 |
INVESTMENTS IN EXCESS MORTGAGE
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS | 3 Months Ended |
Mar. 31, 2018 | |
Transfers and Servicing [Abstract] | |
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS | INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 9,354 5 — 9,359 Other income 2,905 — — 2,905 Proceeds from repayments (26,290 ) (170 ) — (26,460 ) Proceeds from sales — — — — Change in fair value (5,326 ) 52 (40,417 ) (45,691 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of March 31, 2018 $ 512,876 $ 2,800 $ — $ 515,676 (A) Specialized Loan Servicing LLC (“SLS”). (B) Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advance Investments acquired from HLSS. In January 2018, New Residential entered into the New Ocwen Agreements as described in Note 5. Subsequent to the New Ocwen Agreements, the Excess MSRs serviced by Ocwen became reclassified, as described in Note 5. Nationstar, SLS, or Ocwen, as applicable, as servicer, performs all of the servicing and advancing functions, and retains the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in the portfolio. New Residential has entered into a “recapture agreement” with respect to each of the Excess MSR investments serviced by Nationstar and SLS. Under such arrangements, New Residential is generally entitled to a pro rata interest in the Excess MSRs on any initial or subsequent refinancing by Nationstar of a loan in the original portfolio. These recapture agreements do not apply to New Residential’s Servicer Advance Investments (Note 6). New Residential elected to record its investments in Excess MSRs at fair value pursuant to the fair value option for financial instruments in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. The following is a summary of New Residential’s direct investments in Excess MSRs: March 31, 2018 December 31, 2017 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) New Residential (D) Fortress-managed funds Nationstar Agency Original and Recaptured Pools $ 62,526,609 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.8 $ 242,028 $ 271,623 $ 280,033 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 12.5 17,836 41,762 44,603 62,526,609 6.3 259,864 313,385 324,636 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 62,374,141 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 5.3 $ 149,606 $ 184,094 $ 190,696 Recapture Agreements — 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 12.4 6,708 18,197 19,814 Ocwen Serviced Pools — 100.0% —% —% — — — 638,567 62,374,141 5.6 156,314 202,291 849,077 Total $ 124,900,750 6.0 $ 416,178 $ 515,676 $ 1,173,713 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Carrying Value represents the fair value of the pools or recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of March 31, 2018 (Note 6) on $47.8 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is comprised of the following: Three Months Ended 2018 2017 Original and Recaptured Pools $ (43,122 ) $ (7,248 ) Recapture Agreements (2,569 ) 8,069 $ (45,691 ) $ 821 As of March 31, 2018 , a weighted average discount rate of 8.8% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). New Residential entered into investments in joint ventures (“Excess MSR joint ventures”) jointly controlled by New Residential and Fortress-managed funds investing in Excess MSRs. New Residential elected to record these investments at fair value pursuant to the fair value option for financial instruments to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors. The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: March 31, 2018 December 31, 2017 Excess MSR assets $ 309,322 $ 321,197 Other assets 21,137 22,333 Other liabilities (687 ) — Equity $ 329,772 $ 343,530 New Residential’s investment $ 164,886 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended 2018 2017 Interest income $ 5,227 $ 4,182 Other income (loss) (4,181 ) (4,646 ) Expenses — (25 ) Net income (loss) $ 1,046 $ (489 ) New Residential’s investments in equity method investees changed during the three months ended March 31, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (4,938 ) Distributions of capital from equity method investees (2,464 ) Change in fair value of investments in equity method investees 523 Balance at March 31, 2018 $ 164,886 The following is a summary of New Residential’s Excess MSR investments made through equity method investees: March 31, 2018 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 49,435,804 66.7 % 50.0 % $ 203,978 $ 262,014 5.4 Recapture Agreements — 66.7 % 50.0 % 22,503 47,308 12.3 Total $ 49,435,804 $ 226,481 $ 309,322 6.1 (A) The remaining interests are held by Nationstar. (B) Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or recapture agreements, as applicable. (D) The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments: Aggregate Direct and Equity Method Investees Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 California 24.6 % 24.0 % Florida 8.0 % 8.7 % New York 6.4 % 8.5 % Texas 4.5 % 4.6 % New Jersey 3.9 % 4.1 % Maryland 3.7 % 3.7 % Illinois 3.5 % 3.5 % Georgia 3.5 % 3.1 % Virginia 3.2 % 3.0 % Arizona 2.6 % 2.5 % Washington 2.6 % 2.4 % Pennsylvania 2.4 % 2.6 % Other U.S. 31.1 % 29.3 % 100.0 % 100.0 % Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the Excess MSRs. See Note 11 regarding the financing of Excess MSRs. |
INVESTMENTS IN MORTGAGE SERVICI
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES | 3 Months Ended |
Mar. 31, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES | INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES Mortgage Servicing Rights In 2016, a subsidiary of New Residential, New Residential Mortgage LLC (“NRM”), became a licensed or otherwise eligible mortgage servicer. NRM is presently licensed or otherwise eligible to hold MSRs in all states within the United States and the District of Columbia. Additionally, NRM has received approval from the Federal Housing Administration (“FHA”) to hold MSRs associated with FHA-insured mortgage loans, from the Federal National Mortgage Association (“Fannie Mae”) to hold MSRs associated with loans owned by Fannie Mae, and from the Federal Home Loan Mortgage Corporation (“Freddie Mac”) to hold MSRs associated with loans owned by Freddie Mac. Fannie Mae and Freddie Mac are collectively referred to as the Government Sponsored Enterprises (“GSEs”). As an approved Fannie Mae Servicer, Freddie Mac Servicer and FHA-approved mortgagee, NRM is required to conduct aspects of its operations in accordance with applicable policies and guidelines published by FHA, Fannie Mae and Freddie Mac in order to maintain those approvals. NRM engages third party licensed mortgage servicers as subservicers to perform the operational servicing duties in connection with the MSRs it acquires, in exchange for a subservicing fee which is recorded as “Subservicing expense” on New Residential’s Condensed Consolidated Statements of Income. As of March 31, 2018 , these subservicers include Ocwen, Nationstar, Ditech , PHH, Shellpoint, and Flagstar, which subservice 28.6% , 27.7% , 23.4% , 13.9% , 5.6% , and 0.8% of the underlying UPB of the related mortgages, respectively (includes both Mortgage Servicing Rights and Mortgage Servicing Rights Financing Receivables). New Residential has entered into recapture agreements with respect to each of its MSR investments subserviced by Ditech (defined below), Nationstar, and Shellpoint (defined below). Under the recapture agreements, New Residential is generally entitled to the MSRs on any initial or subsequent refinancing by Ditech, Nationstar, or Shellpoint of a loan in the original portfolios. Walter MSRs On August 8, 2016, NRM entered into a flow and bulk agreement for the purchase and sale of mortgage servicing rights (the “Walter Purchase Agreement”) with Ditech Financial LLC (“Ditech”), a subsidiary of Walter Investment Management Corp. During the three months ended March 31, 2018 , pursuant to the Walter Purchase Agreement, NRM purchased Walter Flow MSRs with respect to certain Fannie Mae and Freddie Mac residential mortgage loans with a total UPB of $1.0 billion for a purchase price of approximately $8.1 million . Ditech subservices the related residential mortgage loans. On January 16, 2018, pursuant to the Walter Purchase Agreement, NRM purchased MSRs and related servicer advances receivable with respect to certain Freddie Mac residential mortgage loans with a total UPB of $11.5 billion , for a purchase price of approximately $101.5 million . Shellpoint On November 29, 2017, NRM Acquisition LLC (the “Shellpoint Purchaser”), a Delaware limited liability company and a wholly owned subsidiary of New Residential, entered into a Securities Purchase Agreement (the “Shellpoint SPA”) with Shellpoint Partners LLC, a Delaware limited liability company (“Shellpoint”), the sellers party thereto and Shellpoint Services LLC, a Delaware limited liability company, as the representative of the sellers. The Shellpoint SPA provides that, upon the terms and subject to the conditions set forth therein, the Shellpoint Purchaser will purchase all of the outstanding equity interests of Shellpoint (the “Shellpoint Acquisition”) for a purchase price (currently expected to be approximately $150.0 million , in addition to the approximately $81.0 million for the Shellpoint MSR Purchase discussed below) to be determined at the closing of the Shellpoint Acquisition (the “Shellpoint Closing”) based on the tangible book value of Shellpoint, subject to certain customary closing and post-closing adjustments. As additional consideration for the Shellpoint Acquisition, the Shellpoint Purchaser will make up to three cash earnout payments, which will be calculated following each of the first three anniversaries of the Shellpoint Closing as a percentage of the amount by which the pre-tax income of certain of Shellpoint’s businesses exceeds certain specified thresholds, up to an aggregate maximum amount of $60.0 million (the “Shellpoint Earnout Payments”), and allocated approximately 92% to the sellers and approximately 8% to a long-term employee incentive plan of Shellpoint. In connection with the Shellpoint Acquisition, New Residential also entered into a guaranty in favor of the sellers in respect of all of the Shellpoint Purchaser’s payment obligations under the Shellpoint SPA. In connection with the Shellpoint SPA, NRM also entered into certain other agreements, including a Shellpoint MSR Purchase Agreement and a Shellpoint Subservicing Agreement (each described below). Shellpoint is a vertically integrated mortgage platform with operations across mortgage origination and servicing, and is an approved Fannie Mae and Freddie Mac seller and servicer and a Ginnie Mae issuer. The Shellpoint SPA contains certain customary representations and warranties made by each party, which are qualified by the confidential disclosures provided to the Shellpoint Purchaser in connection with the Shellpoint SPA. The Shellpoint Purchaser and Shellpoint have agreed to various customary covenants, including, among others, covenants regarding the conduct of Shellpoint’s business prior to the Shellpoint Closing and covenants requiring the Shellpoint Purchaser and Shellpoint to use commercially reasonable efforts to obtain certain third-party and governmental consents, approvals or other authorizations required in connection with the Shellpoint Acquisition. The Shellpoint SPA also contains certain indemnification provisions. A portion of the closing purchase price will be held back by the Shellpoint Purchaser, which holdback amount, together with a right of offset against the Shellpoint Earnout Payments, will be available to the Shellpoint Purchaser to satisfy certain indemnification claims. Each party’s obligation to consummate the Shellpoint Acquisition is subject to certain closing conditions, including among others, (i) the accuracy of the other party’s representations and warranties (subject to certain qualifications); (ii) the other party’s compliance with its covenants contained in the Shellpoint SPA (subject to certain qualifications); (iii) the applicable waiting periods under the HSR Act shall have expired or been terminated; (iv) no judgment, decree or judicial order shall have been entered or might be entered which would materially and adversely affect the consummation of the Shellpoint Acquisition; and (v) certain conditions relating to litigation and regulatory matters. In addition, the obligations of the Shellpoint Purchaser to consummate the Shellpoint Acquisition are subject to (i) the absence of any Material Adverse Effect (as defined in the Shellpoint SPA); (ii) the receipt of certain approvals from governmental entities, government-sponsored entities and other third parties; and (iii) the consummation of the transactions contemplated by the Shellpoint MSR Purchase Agreement. The Shellpoint SPA may be terminated by either party under certain circumstances, including, among others: (i) if the Shellpoint Closing has not occurred on or before October 31, 2018 (unless extended under certain circumstances by the Shellpoint Purchaser); (ii) if a court or other governmental entity has issued a final and non-appealable order prohibiting the Shellpoint Closing; (iii) upon a material uncured breach by the other party that would result in a failure of the conditions to the Shellpoint Closing to be satisfied; or (iv) certain circumstances relating to litigation and regulatory matters. On November 29, 2017, concurrently with the Shellpoint Purchaser’s entry into the Shellpoint SPA, NRM entered into (i) a Bulk Agreement for the Purchase and Sale of Mortgage Servicing Rights (the “Shellpoint MSR Purchase Agreement”) with New Penn Financial LLC (“New Penn”), a Delaware limited liability company and a wholly owned subsidiary of Shellpoint, pursuant to which NRM has agreed to purchase from New Penn the mortgage servicing rights relating to a portfolio of Fannie Mae and Freddie Mac mortgage loans having an aggregate UPB of approximately $7.8 billion for a purchase price of approximately $81.0 million (the “Shellpoint MSR Purchase”), which closed on January 16, 2018, and (ii) a Subservicing Agreement (the “Shellpoint Subservicing Agreement”) with New Penn, pursuant to which New Penn has agreed to subservice Fannie Mae and Freddie Mac mortgage loans for which NRM has acquired the right to service such loans. Each party’s obligation to consummate the Shellpoint MSR Purchase is subject to certain customary closing conditions, including among others, the applicable waiting periods under the HSR Act shall have expired or been terminated and the receipt of certain approvals from government-sponsored entities, and the consummation of the Shellpoint Acquisition is not a condition to the closing of the Shellpoint MSR Purchase. Under the Shellpoint Subservicing Agreement, New Penn is entitled to certain monthly and other servicing compensation, and both NRM and New Penn may terminate the Shellpoint Subservicing Agreement, subject to certain specified terms, notice periods and other requirements. Other MSRs On February 28, 2018, NRM entered into an agreement to purchase the MSRs, and related servicer advances receivable, with respect to a pool of existing Freddie Mac and Fannie Mae residential mortgage loans with an aggregate total UPB of approximately $3.3 billion for a purchase price of approximately $33.5 million . The Freddie Mac and Fannie Mae residential mortgage loans were interim subserviced by the seller until they were transferred to Shellpoint, as NRM’s designated subservicer, on March 16, 2018 and April 1, 2018, respectively. On March 28, 2018, NRM entered into an agreement to purchase the MSRs, and related servicer advances receivable, with respect to a pool of existing Fannie Mae residential mortgage loans with an aggregate total UPB of approximately $7.9 billion for a purchase price of approximately $95.2 million . The Fannie Mae residential mortgage loans are being interim subserviced by the seller until they are transferred to Shellpoint as NRM’s designated subservicer. New Residential records its investments in MSRs at fair value at acquisition and has elected to subsequently measure at fair value pursuant to the fair value measurement method. Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following: Three Months Ended 2018 2017 Servicing fee revenue $ 119,223 $ 65,469 Ancillary and other fees 23,347 2,188 Servicing fee revenue and fees 142,570 67,657 Amortization of servicing rights (55,127 ) (26,296 ) Change in valuation inputs and assumptions 129,793 (759 ) Servicing revenue, net $ 217,236 $ 40,602 The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 319,495 Amortization of servicing rights (A) (55,127 ) Change in valuation inputs and assumptions 129,793 Balance as of March 31, 2018 $ 2,129,665 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in MSRs as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 197,403,568 6.4 $ 1,740,698 $ 2,129,665 Non-Agency 59,381 6.3 — — Total $ 197,462,949 6.4 $ 1,740,698 $ 2,129,665 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 9.1% was used to value New Residential’s investments in MSRs. Mortgage Servicing Rights Financing Receivable PHH Transaction As of March 31, 2018 , MSRs purchased from PHH, and related servicer advances receivables, with respect to private-label residential mortgage loans of approximately $5.7 billion in total UPB with a purchase price of approximately $33.6 million had not been settled. New Residential has entered into a recapture agreement with respect to each of its MSR investments subserviced by PHH. Under the recapture agreement, New Residential is generally entitled to the MSRs on any initial or subsequent refinancing by PHH of a loan in the original portfolio. Ocwen Transaction As of March 31, 2018 , MSRs representing approximately $15.5 billion UPB of underlying loans have been transferred pursuant to the Ocwen Transaction. Economics related to the remaining MSRs subject to the Ocwen Transaction were transferred pursuant to the New Ocwen Agreements (described below). Through March 31, 2018 , $334.2 million of related lump sum payments have been made or accrued by New Residential to Ocwen. Upon such transfer, or subsequent to the New Ocwen Agreements (described below), any interests already held by New Residential are reclassified (from Excess MSRs or Servicer Advance Investments) to become part of the basis of the MSR financing receivables or servicer advances receivable, as appropriate, held by NRM. As a result of the length of the initial term of the related subservicing agreement between NRM and Ocwen, although the MSRs transferred pursuant to the Ocwen Transaction were legally sold, solely for accounting purposes New Residential determined that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to NRM, and that the purchase agreement would not be treated as a sale under GAAP. Therefore, rather than recording an investment in MSRs, New Residential has recorded an investment in mortgage servicing rights financing receivables. Income from this investment (net of subservicing fees) is recorded as interest income, and New Residential has elected to measure the investment at fair value, with changes in fair value flowing through Change in fair value of investments in mortgage servicing rights financing receivables in the Condensed Consolidated Statements of Income. MSRs whose economics have been transferred pursuant to the New Ocwen Agreements have been accounted for similarly. During July 2017, New Residential and Ocwen entered into the Ocwen Transaction. While New Residential continues the process of obtaining the third party consents necessary to transfer the related MSRs to New Residential’s subsidiary, NRM, Ocwen and New Residential have entered into new agreements, which have accelerated the implementation of certain parts of the Ocwen Transaction in order to achieve its intent sooner. These new agreements are described in further detail below. On January 18, 2018, New Residential entered into a new agreement regarding the rights to MSRs (the “New Ocwen RMSR Agreement”) including a servicing addendum thereto (the “Ocwen Servicing Addendum”), Amendment No. 1 to Transfer Agreement (the “New Ocwen Transfer Agreement”) and a Brokerage Services Agreement (the “Ocwen Brokerage Services Agreement” and, collectively, the “New Ocwen Agreements”) with Ocwen. The New Ocwen Agreements modify and supplement the arrangements among the parties set forth in the Original Ocwen Agreements, the Ocwen Master Agreement, the Ocwen Transfer Agreement, and the Ocwen Subservicing Agreement (together with the Original Ocwen Agreements, the Ocwen Master Agreement, and the Ocwen Transfer Agreement, the “Existing Ocwen Agreements”). NRM made a lump-sum “Fee Restructuring Payment” of $279.6 million to Ocwen on January 18, 2018, the date of the New Ocwen RMSR Agreement, with respect to such Existing Ocwen Subject MSRs. Under the Existing Ocwen Agreements, Ocwen sold and transferred to New Residential certain “Rights to MSRs” and other assets related to mortgage servicing rights for loans with an unpaid principal balance of approximately $86.8 billion as of the opening balances in January 2018 (the “Existing Ocwen Subject MSRs”). Pursuant to the New Ocwen Agreements, Ocwen will continue to service the mortgage loans related to the Existing Ocwen Subject MSRs until the necessary third party consents are obtained in order to transfer the Existing Ocwen Subject MSRs in accordance with the New Ocwen Agreements. The New Ocwen RMSR Agreement provides, among other things: • the Existing Ocwen Subject MSRs will remain in the parties’ ownership structure under the Existing Ocwen Agreements while they continue to seek third party consents to transfer Ocwen’s remaining rights to the Existing Ocwen Subject MSRs to New Residential or any permitted assignee of New Residential; • Ocwen will continue to service the related mortgage loans pursuant to the terms of the Ocwen Servicing Addendum until the transfer of the Existing Ocwen Subject MSRs; • under the arrangements contemplated by the New Ocwen RMSR Agreement, Ocwen will receive substantially identical compensation for servicing the related mortgage loans underlying the Existing Ocwen Subject MSRs that it would receive if the Existing Ocwen Subject MSRs had been transferred to NRM as named servicer and Ocwen subserviced such mortgage loans for NRM as named servicer; • in the event that the required third party consents are not obtained with respect to any Existing Ocwen Subject MSRs by certain dates specified in the New Ocwen RMSR Agreement, in accordance with the process set forth in the New Ocwen RMSR Agreement, the Rights to MSRs (as defined in the Existing Ocwen Agreements) related to such Existing Ocwen Subject MSRs could either: (i) remain subject to the New Ocwen RMSR Agreement at the option of New Residential, (ii) if New Residential does not opt for the New Ocwen RMSR Agreement to remain in place with respect to certain Existing Ocwen Subject MSRs, Ocwen may acquire such Existing Ocwen Subject MSRs at a price determined in accordance with the terms of the New Ocwen RMSR Agreement, or (iii) if Ocwen does not acquire such Existing Ocwen Subject MSRs, be sold to a third party in accordance with the terms of the New Ocwen RMSR Agreement, as determined pursuant to the terms of the New Ocwen RMSR Agreement; and • New Residential agreed to waive any rights New Residential may have had under the Existing Ocwen Agreements to replace Ocwen as named servicer with respect to the Existing Ocwen Subject MSRs based on Ocwen’s residential servicer rating agency related downgrades. Pursuant to the Ocwen Servicing Addendum, Ocwen will service the mortgage loans related to the Existing Ocwen Subject MSRs. In consideration of servicing such mortgage loans, Ocwen will receive a servicing fee based on the unpaid principal balance as of the first of each month as set forth in the Ocwen Servicing Addendum. The initial term of the Ocwen Servicing Addendum is for the five years following July 23, 2017. At any time during the initial term, New Residential may terminate the Ocwen Servicing Addendum for convenience, subject to Ocwen’s right to receive a termination fee calculated in accordance with the Ocwen Servicing Addendum and specified notice. Following the initial term, (i) New Residential may extend the term of the Ocwen Servicing Addendum for additional three-month periods by delivering written notice to Ocwen of its desire to extend such contract thirty days prior to the end of such three -month period and (ii) the Ocwen Servicing Addendum may be terminated by Ocwen on an annual basis. In addition, New Residential and Ocwen will have the right to terminate the Ocwen Servicing Addendum for cause if certain conditions specified in the Ocwen Servicing Addendum occur. If the Ocwen Servicing Addendum is terminated or not renewed in accordance with these provisions, New Residential will have the right to direct the transfer of servicing to a third party, subject to Ocwen’s option to purchase the Existing Ocwen Subject MSRs and related assets in certain cases. To the extent that servicing of the loans cannot be transferred in accordance with these provisions, the Ocwen Servicing Addendum will remain in place with respect to the servicing of any remaining loans. Pursuant to the Ocwen Brokerage Services Agreement, Ocwen will engage NRZ Brokerage to perform brokerage and marketing services for all REO properties serviced by Ocwen pursuant to the Subject Servicing Agreements as defined in the New Ocwen RMSR Agreement. Such REO properties are subject to the Altisource Brokerage Agreement and Altisource Letter Agreement. Interest income from investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Servicing fee revenue $ 201,952 Ancillary and other fees 30,235 Less: subservicing expense (65,706 ) Interest income, investments in mortgage servicing rights financing receivables $ 166,481 Change in fair value of investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Amortization of servicing rights $ (48,703 ) Change in valuation inputs and assumptions 319,779 Change in fair value of investments in mortgage servicing rights financing receivables $ 271,076 The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made — New Ocwen Agreements 1,017,993 Proceeds from sales (1,026 ) Amortization of servicing rights (A) (48,703 ) Change in valuation inputs and assumptions 319,779 Balance as of March 31, 2018 $ 1,886,771 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 47,739,062 6.0 $ 414,116 $ 485,860 Non-Agency 98,426,090 6.3 1,043,292 1,400,911 Total $ 146,165,152 6.2 $ 1,457,408 $ 1,886,771 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 10.5% was used to value New Residential’s investments in mortgage servicing rights financing receivables. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs and mortgage servicing rights financing receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 California 20.3 % 19.0 % New York 7.9 % 6.3 % Florida 6.9 % 6.0 % Texas 5.3 % 5.7 % New Jersey 4.9 % 5.2 % Illinois 3.8 % 4.1 % Massachusetts 3.6 % 3.8 % Maryland 3.4 % 2.8 % Virginia 3.2 % 3.1 % Pennsylvania 3.2 % 3.3 % Other U.S. 37.5 % 40.7 % 100.0 % 100.0 % Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the MSRs. In connection with its investments in MSRs and MSR financing receivables, New Residential generally acquires any related outstanding servicer advances (not included in the purchase prices described above), which it records at fair value within servicer advances receivable upon acquisition. In addition to receiving cash flows from the MSRs, NRM as servicer has the obligation to fund future servicer advances on the underlying pool of mortgages (Note 14). These servicer advances are recorded when advanced and are included in servicer advances receivable. See Note 11 regarding the financing of MSRs. |
SERVICER ADVANCE INVESTMENTS
SERVICER ADVANCE INVESTMENTS | 3 Months Ended |
Mar. 31, 2018 | |
Investments, All Other Investments [Abstract] | |
SERVICER ADVANCE INVESTMENTS | SERVICER ADVANCE INVESTMENTS All of New Residential’s Servicer Advance Investments are comprised of outstanding servicer advances, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans, and the basic fee component of the related MSR. New Residential elected to record its Servicer Advance Investments, including the right to the basic fee component of the related MSRs, at fair value pursuant to the fair value option for financial instruments to provide users of the financial statements with better information regarding the effects of market factors. A taxable wholly-owned subsidiary of New Residential is the managing member of the Buyer and owned an approximately 72.8% interest in the Buyer as of March 31, 2018 . As of March 31, 2018 , third-party co-investors, owning the remaining interest in the Buyer, have funded capital commitments to the Buyer of $389.6 million and New Residential has funded capital commitments to the Buyer of $312.7 million . The Buyer may call capital up to the commitment amount on unfunded commitments and recall capital to the extent the Buyer makes a distribution to the co-investors, including New Residential. As of March 31, 2018 , the noncontrolling third-party co-investors and New Residential had previously funded their commitments, however the Buyer may recall $314.3 million and $268.9 million of capital distributed to the third-party co-investors and New Residential, respectively. Neither the third-party co-investors nor New Residential is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. See Note 5 regarding the New Ocwen Agreements. Subsequent to the New Ocwen Agreements, the Servicer Advance Investments serviced by Ocwen became reclassified, as described in Note 5. The following is a summary of New Residential’s Servicer Advance Investments, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) March 31, 2018 Servicer Advance Investments $ 931,465 $ 955,364 5.8 % 5.8 % 5.0 As of December 31, 2017 Servicer Advance Investments $ 3,924,003 $ 4,027,379 6.8 % 7.3 % 5.1 (A) Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs. (B) Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment. Three Months Ended 2018 2017 Change in Fair Value of Servicer Advance Investments $ (79,476 ) $ 2,559 The following is additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Notes and Bonds Payable Gross Net (B) Gross Net March 31, 2018 Servicer Advance Investments (D) $ 47,831,952 $ 818,431 1.7 % $ 753,158 88.5 % 87.5 % 3.7 % 3.2 % December 31, 2017 Servicer Advance Investments (D) $ 139,460,371 $ 3,581,876 2.6 % $ 3,461,718 93.2 % 92.0 % 3.3 % 3.0 % (A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (B) Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. (C) Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees. (D) The following types of advances are included in the Servicer Advance Investments: March 31, 2018 December 31, 2017 Principal and interest advances $ 121,089 $ 909,133 Escrow advances (taxes and insurance advances) 371,452 1,636,381 Foreclosure advances 325,890 1,036,362 Total $ 818,431 $ 3,581,876 Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following: Three Months Ended 2018 2017 Interest income, gross of amounts attributable to servicer compensation $ 20,387 $ 73,856 Amounts attributable to base servicer compensation (1,972 ) (4,147 ) Amounts attributable to incentive servicer compensation 474 6,334 Interest income from Servicer Advance Investments $ 18,889 $ 76,043 New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE. As of March 31, 2018 December 31, 2017 Assets Servicer advance investments, at fair value $ 914,287 $ 1,002,102 Cash and cash equivalents 35,018 40,929 All other assets 13,046 13,011 Total assets (A) $ 962,351 $ 1,056,042 Liabilities Notes and bonds payable $ 718,844 $ 789,979 All other liabilities 3,166 3,308 Total liabilities (A) $ 722,010 $ 793,287 (A) The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. Others’ interests in the equity of the Buyer is computed as follows: March 31, 2018 December 31, 2017 Total Advance Purchaser LLC equity $ 240,340 $ 262,755 Others’ ownership interest 27.2 % 27.2 % Others’ interest in equity of consolidated subsidiary $ 65,392 $ 71,491 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended 2018 2017 Net Advance Purchaser LLC income $ 5,085 $ 10,736 Others’ ownership interest as a percent of total (A) 27.2 % 54.2 % Others’ interest in net income of consolidated subsidiaries $ 1,383 $ 5,820 (A) As a result, New Residential owned 72.8% and 45.8% of the Buyer, on average during the three months ended March 31, 2018 and 2017 , respectively. See Note 11 regarding the financing of Servicer Advance Investments. |
INVESTMENTS IN REAL ESTATE AND
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES | INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES “Agency” residential mortgage backed securities (“RMBS”) are RMBS issued by a government sponsored enterprise, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”). “Non-Agency” RMBS are issued by either public trusts or private label securitization entities. Activities related to New Residential’s investments in real estate and other securities were as follows: Three Months Ended March 31, 2018 (in millions) Treasury Agency Non-Agency Purchases Face $ — $ 1,107.1 $ 1,328.5 Purchase Price $ — $ 1,093.7 $ 523.8 Sales Face $ 862.0 $ 1,068.9 $ — Amortized Cost $ 858.0 $ 1,101.4 $ — Sale Price $ 849.8 $ 1,079.8 $ — Gain (Loss) on Sale $ (8.2 ) $ (21.6 ) $ — As of March 31, 2018 , New Residential had sold and purchased $1.1 billion and $1.1 billion face amount of Agency RMBS for $1.1 billion and $1.1 billion , respectively, and purchased $29.1 million face amount of Non-Agency RMBS for $14.1 million , which had not yet been settled. These unsettled sales and purchases were recorded on the balance sheet on trade date as Trades Receivable and Trades Payable. New Residential has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, New Residential sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, New Residential received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. Refer to Note 8 for further details on these transactions. The following is a summary of New Residential’s real estate and other securities, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired and except for securities which New Residential elected to carry at fair value and record changes to valuation through the income statement. March 31, 2018 December 31, 2017 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Treasury $ — $ — $ — $ — $ — — N/A — % — % — N/A $ 852,734 Agency RMBS (F) (G) 1,221,259 1,217,176 847 (3,908 ) 1,214,115 91 AAA 3.28 % 3.14 % 9.5 N/A 1,243,617 Non-Agency RMBS (H) (I) 13,556,931 5,947,212 477,813 (53,817 ) 6,371,208 773 CCC 2.56 % 5.73 % 7.8 9.9 % 5,974,789 Total/ Weighted Average $ 14,778,190 $ 7,164,388 $ 478,660 $ (57,725 ) $ 7,585,323 864 B 2.67 % 5.29 % 8.1 $ 8,071,140 (A) Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 210 bonds with a carrying value of $461.5 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $195.6 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. (G) The total outstanding face amount was $1.1 billion for fixed rate securities and $0.1 billion for floating rate securities as of March 31, 2018 . (H) The total outstanding face amount was $1.3 billion (including $0.6 billion of residual and fair value option notional amount) for fixed rate securities and $12.3 billion (including $4.9 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2018 . (I) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by MSRs and (iii) bonds backed by consumer loans. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Consumer loan bonds $ 43,303 $ 41,077 $ — $ (1,008 ) $ 40,069 4 N/A N/A 21.50 % 1.0 N/A MSR bonds 100,000 100,000 375 — 100,375 1 BBB- 4.72 % 4.30 % 9.6 N/A Fair Value Option Securities: Interest-only securities 4,846,532 227,709 10,446 (10,133 ) 228,022 55 AA 1.55 % 6.47 % 3.1 N/A Servicing Strips 390,144 4,813 1,500 (218 ) 6,095 21 N/A 0.27 % 21.24 % 6.6 N/A Unrealized losses that are considered other-than-temporary and are attributable to credit losses are recognized currently in earnings. During the three months ended March 31, 2018 , New Residential recorded OTTI charges of $6.7 million with respect to real estate securities. Any remaining unrealized losses on New Residential’s securities were primarily the result of changes in market factors, rather than issue-specific credit impairment. New Residential performed analyses in relation to such securities, using its best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. New Residential has no intent to sell, and is not more likely than not to be required to sell, these securities. The following table summarizes New Residential’s securities in an unrealized loss position as of March 31, 2018 . Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Impairment Other-Than- Temporary Impairment (A) After Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating (B) Coupon Yield Life (Years) Less than 12 Months $ 4,106,582 $ 1,591,636 $ (4,712 ) $ 1,586,924 $ (42,313 ) $ 1,544,611 159 BB- 2.53 % 4.89 % 7.6 12 or More Months 1,043,681 291,116 (1,958 ) 289,158 (15,412 ) 273,746 103 A 2.41 % 4.63 % 5.2 Total/Weighted Average $ 5,150,263 $ 1,882,752 $ (6,670 ) $ 1,876,082 $ (57,725 ) $ 1,818,357 262 BB 2.51 % 4.85 % 7.2 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of March 31, 2018 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 20 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 49 bonds which either have never been rated or for which rating information is no longer provided. New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following: March 31, 2018 Gross Unrealized Losses Fair Value Amortized Cost Basis After Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell (C) $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (D) — — — N/A Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 524,597 548,149 (6,670 ) (23,552 ) Non-credit impaired securities 1,293,760 1,327,933 — (34,173 ) Total debt securities in an unrealized loss position $ 1,818,357 $ 1,876,082 $ (6,670 ) $ (57,725 ) (A) This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate. (B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income. (C) A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment, and, therefore do no t have unrealized losses reflected in other comprehensive income as of March 31, 2018 . (D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales. The following table summarizes the activity related to credit losses on debt securities: Three Months Ended March 31, 2018 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 23,821 Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income 5,677 Additions for credit losses on securities for which an OTTI was not previously recognized 993 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date — Reduction for securities sold during the period (355 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 30,136 The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: March 31, 2018 December 31, 2017 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 4,930,956 36.5 % $ 4,882,136 38.4 % Southeastern U.S. 3,255,867 24.1 % 3,005,519 23.6 % Northeastern U.S. 2,716,696 20.1 % 2,555,514 20.1 % Midwestern U.S. 1,483,452 11.0 % 1,337,980 10.5 % Southwestern U.S. 1,002,858 7.4 % 927,647 7.3 % Other (B) 123,789 0.9 % 18,871 0.1 % $ 13,513,618 100.0 % $ 12,727,667 100.0 % (A) Excludes $43.3 million and $29.7 million face amount of bonds backed by consumer loans as of March 31, 2018 and December 31, 2017 , respectively. (B) Represents collateral for which New Residential was unable to obtain geographic information. New Residential evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, New Residential identified a population of real estate securities for which it was determined that it was probable that New Residential would be unable to collect all contractually required payments. For securities acquired during the three months ended March 31, 2018 , excluding residual and fair value option securities, the face amount of these real estate securities was $553.7 million , with total expected cash flows of $456.1 million and a fair value of $334.7 million on the dates that New Residential purchased the respective securities. The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and fair value option securities: Outstanding Face Amount Carrying Value March 31, 2018 $ 5,753,822 $ 3,752,014 December 31, 2017 5,364,847 3,493,723 The following is a summary of the changes in accretable yield for these securities: Three Months Ended March 31, 2018 Balance at December 31, 2017 $ 2,000,266 Additions 121,442 Accretion (56,964 ) Reclassifications from (to) non-accretable difference 63,131 Disposals — Balance at March 31, 2018 $ 2,127,875 See Note 11 regarding the financing of real estate securities. |
INVESTMENTS IN RESIDENTIAL MORT
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | 3 Months Ended |
Mar. 31, 2018 | |
Receivables [Abstract] | |
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS | INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS Loans are accounted for based on New Residential’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. New Residential accounts for loans based on the following categories: • Loans Held-for-Investment (which may include PCD Loans) • Loans Held-for-Sale • Real Estate Owned (“REO”) The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO: March 31, 2018 December 31, 2017 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Floating Rate Loans as a % of Face Amount Loan to Value Ratio (“LTV”) (B) Weighted Avg. Delinquency (C) Weighted Average FICO (D) Carrying Value Loan Type Performing Loans (G) $ 534,823 $ 489,493 8,619 8.0 % 5.3 22.3 % 79.3 % 5.9 % 649 $ 507,615 Purchased Credit Deteriorated Loans (H) 216,332 158,467 1,936 7.3 % 3.1 16.1 % 86.4 % 76.2 % 597 183,540 Total Residential Mortgage Loans, held-for-investment $ 751,155 $ 647,960 10,555 7.7 % 4.8 17.3 % 79.6 % 30.7 % 634 $ 691,155 Reverse Mortgage Loans (E) (F) $ 17,181 $ 7,635 47 7.5 % 5.0 14.3 % 130.2 % 68.1 % N/A $ 6,870 Performing Loans (G) (I) 728,083 741,903 10,813 4.1 % 4.7 8.5 % 57.8 % 4.4 % 661 1,071,371 Non-Performing Loans (H) (I) 895,724 692,417 5,905 6.2 % 5.3 19.8 % 91.4 % 53.0 % 581 647,293 Total Residential Mortgage Loans, held-for-sale $ 1,640,988 $ 1,441,955 16,765 4.8 % 4.6 18.9 % 82.4 % 33.0 % 622 $ 1,725,534 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property. (C) Represents the percentage of the total principal balance that is 60+ days delinquent. (D) The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis. (E) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Nationstar holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.4 million . Approximately 44% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (F) FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan. (G) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (H) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of March 31, 2018 , New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below. (I) Includes $32.5 million and $64.5 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. New Residential generally considers the delinquency status, loan-to-value ratios, and geographic area of residential mortgage loans as its credit quality indicators. Delinquency status is a primary credit quality indicator as loans that are more than 60 days past due provide an early warning of borrowers who may be experiencing financial difficulties. Current LTV ratio is an indicator of the potential loss severity in the event of default. Finally, the geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events will affect credit quality. The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 New York 13.6 % 12.8 % California 11.8 % 9.1 % Florida 7.3 % 8.2 % Texas 6.6 % 6.6 % New Jersey 5.5 % 5.2 % Illinois 3.6 % 3.9 % Pennsylvania 3.5 % 3.4 % Maryland 3.0 % 2.7 % Massachusetts 2.8 % 2.7 % Washington 1.9 % 1.7 % Other U.S. 40.4 % 43.7 % 100.0 % 100.0 % See Note 11 regarding the financing of residential mortgage loans and related assets. Call Rights New Residential has executed calls with respect to the following Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO assets contained in such trusts prior to their termination. In certain cases, New Residential sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, New Residential received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. The following table summarizes these transactions (dollars in millions). Securities Owned Prior Assets Acquired Loans Sold (C) Retained Bonds Retained Assets (C) Date of Call (A) Number of Trusts Called Face Amount Amortized Cost Basis Loan UPB Loan Price (B) REO & Other Price (B) Date of Securitization UPB Gain (Loss) Basis Loan UPB Loan Price REO & Other Price January 2018 — $ — $ — $ — $ — $ — Jan 2018 $ 726.5 $ (17.8 ) $ 76.8 $ 265.3 $ 239.0 $ 14.4 January 2018 7 0.4 0.2 32.5 32.8 0.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) March 2018 25 85.9 75.4 458.8 461.4 4.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. (B) Price includes par amount paid for all underlying residential mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights. (C) Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The loans from the fourth quarter of 2017 calls were securitized in January 2018. No loans from the December 2016 call, January 2017 calls, the last two June 2017 calls, the January 2018 call, or the March 2018 calls were securitized by March 31, 2018. Performing Loans The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 84.9 % 30-59 5.8 % 60-89 2.3 % 90-119 (B) 1.0 % 120+ (C) 6.0 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual loans. Activities related to the carrying value of residential mortgage loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 507,615 Purchases/additional fundings — Proceeds from repayments (21,256 ) Accretion of loan discount (premium) and other amortization (A) 3,590 Provision for loan losses (140 ) Transfer of loans to other assets (B) — Transfer of loans to real estate owned (316 ) Balance at March 31, 2018 $ 489,493 (A) Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets. (B) Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 140 Charge-offs (B) (336 ) Balance at March 31, 2018 $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. Purchased Credit Deteriorated Loans New Residential determined at acquisition that the PCD loans acquired would be aggregated into pools based on common risk characteristics (FICO score, delinquency status, collateral type, loan-to-value ratio). Loans aggregated into pools are accounted for as if each pool were a single loan with a single composite interest rate and an aggregate expectation of cash flows, including consideration of involuntary prepayments. Activities related to the carrying value of PCD loans held-for-investment were as follows: Balance at December 31, 2017 $ 183,540 Purchases/additional fundings — Sales — Proceeds from repayments (6,343 ) Accretion of loan discount and other amortization 6,929 (Allowance) reversal for loan losses (A) — Transfer of loans to real estate owned (4,817 ) Transfer of loans to held-for-sale (20,842 ) Balance at March 31, 2018 $ 158,467 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value March 31, 2018 $ 216,332 $ 158,467 December 31, 2017 249,254 183,540 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 88,631 Additions — Accretion (6,929 ) Change in accretable yield for non-credit related changes in expected cash flows (A) (3,413 ) Disposals (B) (1,034 ) Transfer of loans to held-for-sale (C) (4,566 ) Balance at March 31, 2018 $ 72,689 (A) Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible. (B) Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. Loans Held-for-Sale Activities related to the carrying value of loans held-for-sale were as follows: Balance at December 31, 2017 $ 1,725,534 Purchases (A) 494,207 Transfer of loans from held-for-investment (B) 20,842 Sales (750,324 ) Transfer of loans to other assets (C) (885 ) Transfer of loans to real estate owned (8,301 ) Proceeds from repayments (35,121 ) Valuation (provision) reversal on loans (D) (3,997 ) Balance at March 31, 2018 $ 1,441,955 (A) Represents loans acquired with the intent to sell. (B) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. (C) Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (D) Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including an aggregate of $4.2 million of provision related to the call transactions executed during the three months ended March 31, 2018 . Real estate owned (REO) New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value. Real Estate Owned Balance at December 31, 2017 $ 128,295 Purchases 4,160 Transfer of loans to real estate owned 17,604 Sales (33,398 ) Valuation (provision) reversal on REO (1,045 ) Balance at March 31, 2018 $ 115,616 As of March 31, 2018 , New Residential had residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $418.3 million . In addition, New Residential has recognized $30.9 million in unpaid claims receivable from FHA on Ginnie Mae EBO loans and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim. Variable Interest Entities New Residential formed entities (the “RPL Borrowers”) that issued securitized debt collateralized by reperforming residential mortgage loans. The RPL Borrowers are VIEs of which subsidiaries of New Residential are the primary beneficiaries, as a result of controlling the related optional redemption feature and owning certain notes issued by the RPL Borrowers. The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Residential mortgage loans $ 185,758 $ 188,957 Other assets — — Total assets (A) $ 185,758 $ 188,957 Liabilities Notes and bonds payable (B) $ 180,243 $ 184,490 Accounts payable and accrued expenses 16 16 Total liabilities (A) $ 180,259 $ 184,506 (A) The creditors of the RPL Borrowers do not have recourse to the general credit of New Residential, and the assets of the RPL Borrowers are not directly available to satisfy New Residential’s obligations. (B) Includes $78.2 million of bonds retained by New Residential issued by these VIEs. As described in “Call Rights” above, New Residential has issued securitizations which were treated as sales under GAAP. New Residential has no obligation to repurchase any loans from these securitizations and its exposure to loss is limited to the carrying amount of its retained interests in the securitization entities. These securitizations are conducted through variable interest entities, of which New Residential is not the primary beneficiary. The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of March 31, 2018 : Residential mortgage loan UPB $ 5,499,491 Weighted average delinquency (A) 2.64 % Net credit losses for the three months ended March 31, 2018 $ 1,776 Face amount of debt held by third parties (B) $ 5,129,663 Carrying value of bonds retained by New Residential (C) $ 522,549 Cash flows received by New Residential on these bonds for the three months ended March 31, 2018 $ 30,611 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. |
INVESTMENTS IN CONSUMER LOANS
INVESTMENTS IN CONSUMER LOANS | 3 Months Ended |
Mar. 31, 2018 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
INVESTMENTS IN CONSUMER LOANS | INVESTMENTS IN CONSUMER LOANS New Residential, through newly formed limited liability companies (together, the “Consumer Loan Companies”), has a co-investment in a portfolio of consumer loans. The portfolio includes personal unsecured loans and personal homeowner loans. OneMain is the servicer of the loans and provides all servicing and advancing functions for the portfolio. As of March 31, 2018 , New Residential owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. New Residential also purchased certain newly originated consumer loans from a third party (“Consumer Loan Seller”). These loans are not held in the Consumer Loan Companies and have been designated as performing consumer loans, held-for-investment. In addition, see “Equity Method Investees” below. The following table summarizes the investment in consumer loans, held-for-investment held by New Residential: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) March 31, 2018 Consumer Loan Companies Performing Loans $ 966,553 53.5 % $ 1,009,187 18.7 % 3.8 6.1 % Purchased Credit Deteriorated Loans (C) 271,329 53.5 % 228,319 16.2 % 3.4 12.6 % Other - Performing Loans 73,007 100.0 % 68,287 14.1 % 0.9 4.6 % Total Consumer Loans, held-for-investment $ 1,310,889 $ 1,305,793 17.9 % 3.5 7.3 % December 31, 2017 Consumer Loan Companies Performing Loans $ 1,005,570 53.5 % $ 1,052,561 18.7 % 3.7 6.0 % Purchased Credit Deteriorated Loans (C) 282,540 53.5 % 236,449 16.2 % 3.3 12.5 % Other - Performing Loans 89,682 100.0 % 85,253 14.1 % 1.0 4.5 % Total Consumer Loans, held-for-investment $ 1,377,792 $ 1,374,263 17.9 % 3.5 7.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (C) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans. See Note 11 regarding the financing of consumer loans. Performing Loans The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 94.0 % 30-59 2.4 % 60-89 1.3 % 90-119 (B) 0.9 % 120+ (B) (C) 1.4 % 100.0 % (A) Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans more than 90 days past due and still accruing interest. (C) Interest is accrued up to the date of charge-off at 180 days past due. Activities related to the carrying value of performing consumer loans, held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 1,137,814 Purchases — Additional fundings (A) 8,020 Proceeds from repayments (52,799 ) Accretion of loan discount and premium amortization, net 358 Gross charge-offs (15,600 ) Additions to the allowance for loan losses, net (319 ) Balance at March 31, 2018 $ 1,077,474 (A) Represents draws on consumer loans with revolving privileges. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 13,718 28 13,746 Net charge-offs (C) (13,427 ) — (13,427 ) Balance at March 31, 2018 $ 4,720 $ 1,704 $ 6,424 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of March 31, 2018 , there are $11.5 million in UPB and $10.1 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $2.2 million in recoveries of previously charged-off UPB. Purchased Credit Deteriorated Loans A portion of the consumer loans are considered PCD loans. Activities related to the carrying value of PCD consumer loans, held-for-investment were as follows: Balance at December 31, 2017 $ 236,449 (Allowance) reversal for loan losses (A) — Proceeds from repayments (17,196 ) Accretion of loan discount and other amortization 9,066 Balance at March 31, 2018 $ 228,319 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. The following is the unpaid principal balance and carrying value for consumer loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value March 31, 2018 $ 271,329 $ 228,319 December 31, 2017 282,540 236,449 The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 132,291 Accretion (9,066 ) Reclassifications from (to) non-accretable difference (A) 9,700 Balance at March 31, 2018 $ 132,925 (A) Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible. Noncontrolling Interests Others’ interests in the equity of the Consumer Loan Companies is computed as follows: March 31, 2018 December 31, 2017 Total Consumer Loan Companies equity $ 69,589 $ 74,071 Others’ ownership interest 46.5 % 46.5 % Others’ interests in equity of consolidated subsidiary $ 32,359 $ 34,466 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended 2018 2017 Net Consumer Loan Companies income (loss) $ 18,769 $ 21,420 Others’ ownership interest as a percent of total 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 8,728 $ 9,960 Variable Interest Entities The Consumer Loan Companies consolidate certain entities that issued securitized debt collateralized by the consumer loans (the “Consumer Loan SPVs”). The Consumer Loan SPVs are VIEs of which the Consumer Loan Companies are the primary beneficiaries. The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,237,506 $ 1,289,010 Restricted cash 11,189 11,563 Accrued interest receivable 17,859 19,360 Total assets (A) $ 1,266,554 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,234,288 $ 1,284,436 Accounts payable and accrued expenses 4,178 4,007 Total liabilities (A) $ 1,238,466 $ 1,288,443 (A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. Equity Method Investees In February 2017, New Residential completed a co-investment, through a newly formed entity, PF LoanCo Funding LLC (“LoanCo”), to purchase up to $5.0 billion worth of newly originated consumer loans from Consumer Loan Seller over a two year term. New Residential, along with three co-investors, each acquired 25% membership interests in LoanCo. New Residential accounts for its investment in LoanCo pursuant to the equity method of accounting because it can exercise significant influence over LoanCo but the requirements for consolidation are not met. New Residential’s investment in LoanCo is recorded as Investment in Consumer Loans, Equity Method Investees. LoanCo has elected to account for its investments in consumer loans at fair value. New Residential has elected to record LoanCo’s activity on a one month lag. In addition, New Residential and the LoanCo co-investors agreed to purchase warrants to purchase up to 177.7 million shares of Series F convertible preferred stock in the Consumer Loan Seller’s parent company (“ParentCo”), which were valued at approximately $75.0 million in the aggregate as of February 2017, through a newly formed entity, PF WarrantCo Holdings, LP (“WarrantCo”). New Residential acquired a 23.57% interest in WarrantCo, the remaining interest being acquired by three co-investors. WarrantCo has agreed to purchase a pro rata portion of the warrants each time LoanCo closes on a portion of its consumer loan purchase agreement from Consumer Loan Seller. The holder of the warrants has the option to purchase an equivalent number of shares of Series F convertible preferred stock in ParentCo at a price of $0.01 per share. WarrantCo is vested in the warrants to purchase an aggregate of 83.4 million Series F convertible preferred stock in ParentCo as of February 28, 2018 . The Series F convertible preferred stock holders have the right to convert such preferred stock to common stock at any time, are entitled to the number of votes equal to the number of shares of common stock into which such shares of convertible preferred stock could be converted, and will have liquidation rights in the event of liquidation. New Residential accounts for its investment in WarrantCo pursuant to the equity method of accounting because it can exercise significant influence over WarrantCo but the requirements for consolidation are not met. New Residential’s investment in WarrantCo is recorded as Investment in Consumer Loans, Equity Method Investees. WarrantCo has elected to account for its investments in warrants at fair value. New Residential has elected to record WarrantCo’s activity on a one month lag. The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: March 31, 2018 (A) December 31, 2017 (A) Consumer loans, at fair value $ 523,714 $ 178,422 Warrants, at fair value 94,680 80,746 Other assets 55,721 46,342 Warehouse financing (400,000 ) (117,944 ) Other liabilities (3,566 ) (13,059 ) Equity $ 270,549 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 66,285 $ 42,473 New Residential’s ownership 24.5 % 24.3 % Three Months Ended March 31, 2018 (B) 2017 (B) (C) Interest income $ 12,792 $ — Interest expense (3,368 ) — Change in fair value of consumer loans and warrants 13,552 — Gain on sale of consumer loans (420 ) — Other expenses (3,207 ) — Net income $ 19,349 $ — New Residential’s equity in net income $ 4,806 $ — New Residential’s ownership 24.8 % — % (A) Data as of February 28, 2018 and November 30, 2017 , respectively, as a result of the one month reporting lag. (B) Data for the periods ended February 28, 2018 and 2017 , respectively, as a result of the one month reporting lag. (C) No activity due to LoanCo operations and distribution of income beginning March 2017. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) March 31, 2018 (C) $ 523,714 25.0 % $ 523,714 14.4 % 1.4 0.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (C) Data as of February 28, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 83,227 Distributions of earnings from equity method investees (1,449 ) Distributions of capital from equity method investees (91,861 ) Earnings from investments in consumer loans, equity method investees 4,806 Balance at March 31, 2018 $ 46,135 |
DERIVATIVES
DERIVATIVES | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES As of March 31, 2018 , New Residential’s derivative instruments included economic hedges that were not designated as hedges for accounting purposes. New Residential uses economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. New Residential’s credit risk with respect to economic hedges is the risk of default on New Residential’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. As of March 31, 2018 , New Residential held to-be-announced forward contract positions (“TBAs”) of $2.2 billion in a short notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of set-off with the TBA counterparty. New Residential’s net short position in TBAs was entered into as an economic hedge in order to mitigate New Residential’s interest rate risk on certain specified mortgage backed securities. As of March 31, 2018 , New Residential separately held TBAs of $1.1 billion in a long notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of set-off with the TBA counterparty. As part of executing these trades, New Residential has entered into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. New Residential has fulfilled all obligations and requirements entered into under these agreements. New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location March 31, 2018 December 31, 2017 Derivative assets Interest Rate Swaps (A) Other assets $ 3 $ — Interest Rate Caps Other assets 585 2,423 TBAs Other assets — — $ 588 $ 2,423 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ — $ — TBAs Accrued expenses and other liabilities 4,091 697 $ 4,091 $ 697 (A) Net of less than $0.1 million of related variation margin accounts as of March 31, 2018 . As of December 31, 2017 , no variation margin accounts existed. The following table summarizes notional amounts related to derivatives: March 31, 2018 December 31, 2017 TBAs, short position (A) $ 2,176,700 $ 3,101,100 TBAs, long position (A) 1,066,300 1,014,000 Interest Rate Caps (B) 347,500 772,500 Interest Rate Swaps (C) 430,000 — (A) Represents the notional amount of Agency RMBS, classified as derivatives. (B) As of March 31, 2018 , caps LIBOR at 2.00% for $185.0 million of notional, at 4.00% for $12.5 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of March 31, 2018 was 13 months. (C) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of March 31, 2018 was 37 months and the weighted average fixed pay rate was 2.67% . The following table summarizes all income (losses) recorded in relation to derivatives: For the 2018 2017 Other income (loss), net (A) TBAs $ 1,994 $ 123 Interest Rate Caps 486 573 Interest Rate Swaps (34 ) 3,630 2,446 4,326 Gain (loss) on settlement of investments, net TBAs 15,436 (6,801 ) Interest Rate Caps (733 ) (562 ) Interest Rate Swaps 22,660 (4,473 ) 37,363 (11,836 ) Total income (losses) $ 39,809 $ (7,510 ) (A) Represents unrealized gains (losses). |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 3 Months Ended |
Mar. 31, 2018 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table presents certain information regarding New Residential’s debt obligations: March 31, 2018 December 31, 2017 Collateral Debt Obligations/Collateral Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Repurchase Agreements (C) Agency RMBS (D) $ 1,143,995 $ 1,143,995 Apr-18 to May-18 1.87 % 0.1 $ 1,174,559 $ 1,194,658 $ 1,191,311 0.4 $ 1,974,164 Non-Agency RMBS (E) 5,078,084 5,078,084 Apr-18 to Aug-18 3.19 % 0.1 12,806,279 5,876,597 6,299,657 7.8 4,720,290 Residential Mortgage Loans (F) 1,311,527 1,310,315 Jul-18 to Dec-19 3.96 % 0.9 1,730,220 1,590,315 1,556,309 4.8 1,849,004 Real Estate Owned (G)(H) 103,195 103,100 Jul-18 to Dec-19 4.02 % 0.5 N/A N/A 132,788 N/A 118,681 Total Repurchase Agreements 7,636,801 7,635,494 3.14 % 0.2 8,662,139 Notes and Bonds Payable Excess MSRs (I) 197,759 197,563 Feb-20 to Jul-22 4.88 % 4.3 157,136,623 424,942 545,851 5.6 483,978 MSRs (J) 1,752,489 1,747,218 Feb-19 to Dec-22 4.03 % 2.9 343,628,101 3,198,106 4,016,436 6.3 1,157,179 Servicer Advances (K) 3,784,178 3,776,597 May-18 to Dec-21 3.52 % 2.4 4,298,166 4,324,840 4,348,739 1.3 4,060,156 Residential Mortgage Loans (L) 132,844 132,844 Oct-18 to Apr-20 3.60 % 2.0 225,044 176,795 175,170 7.9 137,196 Consumer Loans (M) 1,178,425 1,173,568 Dec-21 to Mar-24 3.36 % 3.1 1,310,728 1,312,055 1,305,631 3.5 1,242,756 Receivable from government agency (L) 3,231 3,231 Oct-18 3.78 % 0.6 N/A N/A 2,025 N/A 3,126 Total Notes and Bonds Payable 7,048,926 7,031,021 3.66 % 2.7 7,084,391 Total/ Weighted Average $ 14,685,727 $ 14,666,515 3.39 % 1.4 $ 15,746,530 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through April 24, 2018 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $16.4 million of associated accrued interest payable as of March 31, 2018 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.1 billion of related trade and other receivables. (E) All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $168.8 million on retained servicer advance and consumer loan bonds. (F) All of these repurchase agreements have LIBOR-based floating interest rates. (G) All of these repurchase agreements have LIBOR-based floating interest rates. (H) Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. (I) Includes $197.8 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% , and includes corporate loans with no balance currently outstanding which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes. (J) Includes: $313.9 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.25% ; $480.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% ; $73.4 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% ; and $885.2 million of corporate loans with fixed interest rates ranging from 3.55% to 3.68% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes. (K) $3.5 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.0% to 2.4% . Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM. (L) Represents: (i) a $10.3 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88% and (ii) $125.8 million of asset-backed notes held by third parties which bear interest equal to 3.60% . (M) Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $876.5 million UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024. Also includes a $54.5 million face amount note which bears interest equal to 4.00% . As of March 31, 2018 , New Residential had no outstanding repurchase agreements where the amount at risk with any individual counterparty or group of related counterparties exceeded 10% of New Residential’s stockholders' equity. The amount at risk under repurchase agreements is defined as the excess of carrying amount (or market value, if higher than the carrying amount) of the securities or other assets sold under agreement to repurchase, including accrued interest plus any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability (adjusted for accrued interest). General Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of New Residential. New Residential has margin exposure on $7.6 billion of repurchase agreements as of March 31, 2018 . To the extent that the value of the collateral underlying these repurchase agreements declines, New Residential may be required to post margin, which could significantly impact its liquidity. Activities related to the carrying value of New Residential’s debt obligations were as follows: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Total Balance at December 31, 2017 $ 483,978 $ 1,157,179 $ 4,060,156 $ 6,694,454 $ 2,108,007 $ 1,242,756 $ 15,746,530 Repurchase Agreements: Borrowings — — — 15,141,907 144,161 — 15,286,068 Repayments — — — (15,614,282 ) (698,732 ) — (16,313,014 ) Capitalized deferred financing costs, net of amortization — — — — 301 — 301 Notes and Bonds Payable: Borrowings — 1,130,000 1,378,665 — — — 2,508,665 Repayments (286,440 ) (535,596 ) (1,661,053 ) — (4,247 ) (69,625 ) (2,556,961 ) Discount on borrowings, net of amortization — — 10 — — — 10 Capitalized deferred financing costs, net of amortization 25 (4,365 ) (1,180 ) — — 437 (5,083 ) Balance at March 31, 2018 $ 197,563 $ 1,747,218 $ 3,776,597 $ 6,222,079 $ 1,549,490 $ 1,173,568 $ 14,666,515 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. Maturities New Residential’s debt obligations as of March 31, 2018 had contractual maturities as follows: Year Nonrecourse Recourse Total April 1 through December 31, 2018 $ 56,793 $ 7,108,217 $ 7,165,010 2019 1,063,238 852,754 1,915,992 2020 952,691 — 952,691 2021 1,891,699 885,163 2,776,862 2022 73,442 677,770 751,212 2023 and thereafter 1,123,960 — 1,123,960 $ 5,161,823 $ 9,523,904 $ 14,685,727 Borrowing Capacity The following table represents New Residential’s borrowing capacity as of March 31, 2018 : Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential mortgage loans and REO $ 2,065,000 $ 1,414,722 $ 650,278 Notes and Bonds Payable Excess MSRs 150,000 — 150,000 MSRs 875,000 387,313 487,687 Servicer advances (A) 1,780,120 1,302,681 477,439 Consumer loans 150,000 54,466 95,534 $ 5,020,120 $ 3,159,182 $ 1,860,938 (A) New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of $93.5 million . Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in New Residential’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. New Residential was in compliance with all of its debt covenants as of March 31, 2018 . |
FAIR VALUE MEASUREMENT
FAIR VALUE MEASUREMENT | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENT | FAIR VALUE MEASUREMENT The carrying values and fair values of New Residential’s assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of March 31, 2018 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Investments in: Excess mortgage servicing rights, at fair value (A) $ 124,900,750 $ 515,676 $ — $ — $ 515,676 $ 515,676 Excess mortgage servicing rights, equity method investees, at fair value (A) 49,435,804 164,886 — — 164,886 164,886 Mortgage servicing rights, at fair value (A) 197,462,949 2,129,665 — — 2,129,665 2,129,665 Mortgage servicing rights financing receivables, at fair value 146,165,152 1,886,771 — — — 1,886,771 1,886,771 Servicer advance investments, at fair value 818,431 955,364 — — 955,364 955,364 Real estate and other securities, available-for-sale 14,778,190 7,585,323 — 1,214,115 6,371,208 7,585,323 Residential mortgage loans, held-for-investment 751,155 647,960 — — 640,769 640,769 Residential mortgage loans, held-for-sale 1,640,988 1,441,955 — — 1,512,223 1,512,223 Consumer loans, held-for-investment 1,310,889 1,305,793 — — 1,299,054 1,299,054 Derivative assets 777,500 588 — 588 — 588 Cash and cash equivalents 233,233 233,233 233,233 — — 233,233 Restricted cash 179,688 179,688 179,688 — — 179,688 Other assets 35,377 25,031 — 10,346 35,377 $ 17,082,279 $ 437,952 $ 1,214,703 $ 15,485,962 $ 17,138,617 Liabilities Repurchase agreements $ 7,636,801 $ 7,635,494 $ — $ 7,636,801 $ — $ 7,636,801 Notes and bonds payable 7,048,926 7,031,021 — — 7,005,197 7,005,197 Derivative liabilities 3,243,000 4,091 — 4,091 — 4,091 $ 14,670,606 $ — $ 7,640,892 $ 7,005,197 $ 14,646,089 (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. New Residential’s assets measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess MSRs (A) Excess MSRs in Equity Method Investees (A)(B) MSRs (A) Mortgage Servicing Rights Financing Receivable (A) Servicer Advance Investments Non-Agency RMBS Agency Non-Agency Total Balance at December 31, 2017 $ 324,636 $ 849,077 $ 171,765 $ 1,735,504 $ 598,728 $ 4,027,379 $ 5,974,789 $ 13,681,878 Transfers (C) Transfers from Level 3 — — — — — — — — Transfers to Level 3 — — — — — — — — Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — — — (6,670 ) (6,670 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (3,169 ) (42,522 ) — — — — — (45,691 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — 523 — — — — 523 Included in servicing revenue, net (E) — — — 74,666 — — — 74,666 Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — 271,076 — — 271,076 Included in change in fair value of servicer advance investments — — — — (79,476 ) — (79,476 ) Included in gain (loss) on settlement of investments, net — 40,417 — — — 72,585 — 113,002 Included in other income (loss), net (D) 2,879 26 — — — — (313 ) 2,592 Gains (losses) included in other comprehensive income (F) — — — — — — 49,164 49,164 Interest income 4,240 5,119 — — — 18,889 75,678 103,926 Purchases, sales and repayments Purchases — — — 319,495 — 880,618 523,785 1,723,898 Proceeds from sales — — — — (1,026 ) — — (1,026 ) Proceeds from repayments (15,201 ) (11,259 ) (7,402 ) — — (761,793 ) (245,225 ) (1,040,880 ) New Ocwen Agreements (Note 5) — (638,567 ) — — 1,017,993 (3,202,838 ) — (2,823,412 ) Balance at March 31, 2018 $ 313,385 $ 202,291 $ 164,886 $ 2,129,665 $ 1,886,771 $ 955,364 $ 6,371,208 $ 12,023,570 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest. (C) Transfers are assumed to occur at the beginning of the respective period. (D) The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates and realized gains (losses) recorded during the period. (E) The components of Servicing revenue, net are disclosed in Note 5. (F) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. Investments in Excess MSRs, Excess MSRs Equity Method Investees, MSRs and MSR Financing Receivables Valuation The following table summarizes certain information regarding the weighted average inputs used as of March 31, 2018 : Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 9.8 % 3.0 % 32.1 % 21 23 Recaptured Pools 7.4 % 4.4 % 23.8 % 22 24 Recapture Agreement 7.4 % 4.4 % 24.9 % 22 — 9.0 % 3.5 % 29.5 % 21 23 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 12.1 % N/A 15.5 % 15 24 Recaptured Pools 7.0 % N/A 19.8 % 22 24 Recapture Agreement 7.0 % N/A 19.7 % 20 — 11.3 % N/A 16.1 % 16 24 Total/Weighted Average--Excess MSRs Directly Held 9.9 % 3.5 % 24.2 % 19 23 Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 11.1 % 4.9 % 34.9 % 19 22 Recaptured Pools 7.4 % 4.6 % 24.1 % 23 24 Recapture Agreement 7.4 % 4.6 % 24.4 % 23 — Total/Weighted Average--Excess MSRs Held through Investees 9.2 % 4.7 % 29.5 % 21 23 Total/Weighted Average--Excess MSRs All Pools 9.7 % 4.0 % 26.2 % 20 23 MSRs Agency Mortgage Servicing Rights (H) 9.3 % 1.4 % 24.7 % 27 22 Mortgage Servicing Rights Financing Receivables 9.2 % 1.2 % 15.0 % 27 20 Non-Agency Mortgage Servicing Rights Financing Receivables 9.1 % 15.2 % — % 45 26 (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $7.43 per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $12.80 per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. (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 mortgage servicing rights financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be LIBOR plus 0.9% . As of March 31, 2018 , a weighted average discount rate of 8.8% was used to value New Residential’s investments in Excess MSRs (directly and through equity method investees). As of March 31, 2018 , a weighted average discount rate of 9.1% was used to value New Residential’s investments in MSRs and a weighted average discount rate of 10.5% was used to value New Residential’s investments in MSR financing receivables. Servicer Advance Investments Valuation The following table summarizes certain information regarding the inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Weighted Average Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) March 31, 2018 1.5 % 12.8 % 19.7 % 19.5 bps 5.8 % 23.2 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 9.1 bps which represents the amount New Residential paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. Real Estate and Other Securities Valuation As of March 31, 2018 , New Residential’s securities valuation methodology and results are further detailed as follows: Fair Value Asset Type Outstanding Face Amount Amortized Cost Basis Multiple Quotes (A) Single Quote (B) Total Level Agency RMBS $ 1,221,259 $ 1,217,176 $ 1,214,115 $ — $ 1,214,115 2 Non-Agency RMBS (C) 13,556,931 5,947,212 6,364,120 7,088 6,371,208 3 Total $ 14,778,190 $ 7,164,388 $ 7,578,235 $ 7,088 $ 7,585,323 (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 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 81.8% of New Residential’s Non-Agency RMBS, the ranges of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 5,210,885 2.66% to 28.00% 0.25% to 22.00% 0.15% to 9.00% 5.0 % to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) New Residential was unable to obtain quotations from more than one source on these securities. For approximately $6.7 million , the one source was the party that sold New Residential the security. (C) Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. Derivative Valuation New Residential enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. New Residential generally values such derivatives using quotations, similarly to the method of valuation used for New Residential’s other assets that are categorized as Level 2. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans held-for-sale and foreclosed real estate accounted for as REO, New Residential applies the lower of cost or fair value accounting and may be required, from time to time, to record a nonrecurring fair value adjustment. At March 31, 2018 , assets measured at fair value on a nonrecurring basis were $0.3 billion . The $0.3 billion of assets include approximately $265.2 million of residential mortgage loans held-for-sale and $70.6 million of REO. The fair value of New Residential’s residential mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these residential mortgage loans as of March 31, 2018 : Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 215,406 4.0 % 5.1 10.3 % 1.5 % 31.6 % Non-Performing Loans 49,837 6.6 % 3.2 3.0 % 3.0 % 30.0 % Total/Weighted Average $ 265,243 4.0 % 4.9 8.9 % 1.3 % 36.6 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. The fair value of REO is estimated using a broker’s price opinion discounted based upon New Residential’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10% to 25% , depending on the information available to the broker. The total change in the recorded value of assets for which a fair value adjustment has been included in the Condensed Consolidated Statement of Income for the three months ended March 31, 2018 was an increase in net valuation allowance of approximately $5.1 million , consisting of an approximately $4.1 million increase for residential mortgage loans and $1.0 million for REO. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 3 Months Ended |
Mar. 31, 2018 | |
Equity and Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends In January 2018, New Residential issued 28.8 million shares of its common stock in a public offering at a price to the public of $17.10 per share for net proceeds of approximately $482.3 million . To compensate the Manager for its successful efforts in raising capital for New Residential, in connection with this offering, New Residential granted options to the Manager relating to 2.9 million shares of New Residential’s common stock at the public offering price, which had a fair value of approximately $3.8 million as of the grant date. The assumptions used in valuing the options were: a 2.58% risk-free rate, a 9.86% dividend yield, 23.16% volatility and a 10 -year term. On March 22, 2018 , New Residential’s board of directors declared a first quarter 2018 dividend of $0.50 per common share or $168.1 million , which was paid on April 27, 2018 to stockholders of record as of April 2, 2018 . Approximately 0.5 million shares of New Residential’s common stock were held by Fortress, through its affiliates, at March 31, 2018 . Option Plan As of March 31, 2018 , New Residential’s outstanding options were summarized as follows: Held by the Manager 18,131,564 Issued to the Manager and subsequently transferred to certain of the Manager’s employees 3,239,624 Issued to the independent directors 6,000 Total 21,377,188 The following table summarizes New Residential’s outstanding options as of March 31, 2018 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended March 31, 2018 was $16.45 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of March 31, 2018 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) Directors Various 6,000 6,000 $ 13.49 $ — Manager (C) 2012 25,000 25,000 6.70 0.2 Manager (C) 2013 835,571 835,571 10.98 4.6 Manager (C) 2014 1,437,500 1,437,500 11.70 6.8 Manager (C) 2015 8,543,539 8,543,539 14.96 12.7 Manager (C) 2016 2,000,000 1,266,667 13.70 3.5 Manager (C) 2017 5,654,578 2,450,317 14.50 4.8 Manager (C) 2018 2,875,000 191,667 17.10 — Outstanding 21,377,188 14,756,261 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. A portion of New Residential’s 2017 dividends was deemed to be a return of capital and the exercise prices were adjusted accordingly. (C) The Manager assigned certain of its options to Fortress’s employees as follows: Date of Grant to Manager Range of Exercise Prices Total Unexercised Inception to Date 2015 $14.75 to $15.38 1,708,708 2016 $13.70 400,000 2017 $14.50 1,130,916 Total 3,239,624 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2017 outstanding options 18,502,188 Options granted 2,875,000 $ 17.10 Options exercised — $ — Options expired unexercised — March 31, 2018 outstanding options 21,377,188 See table above Income and Earnings Per Share New Residential is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income by the weighted average number of shares of common stock outstanding. Diluted EPS is computed by dividing net income by the weighted average number of shares of common stock outstanding plus the additional dilutive effect, if any, of common stock equivalents during each period. New Residential’s common stock equivalents are its outstanding options. During the three months ended March 31, 2018 , based on the treasury stock method, New Residential had 2,995,580 dilutive common stock equivalents outstanding. During the three months ended March 31, 2017 , based on the treasury stock method, New Residential had 1,640,864 dilutive common stock equivalents outstanding. Noncontrolling Interests Noncontrolling interests is comprised of the interests held by third parties in consolidated entities that hold New Residential’s Servicer Advance Investments (Note 6) and Consumer Loans (Note 9). |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 3 Months Ended |
Mar. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES Litigation – New Residential is or may become, from time to time, involved in various disputes, litigation and regulatory inquiry and investigation matters that arise in the ordinary course of business. Given the inherent unpredictability of these types of proceedings, it is possible that future adverse outcomes could have a material adverse effect on its business, financial position or results of operations. New Residential is not aware of any unasserted claims that it believes are material and probable of assertion where the risk of loss is expected to be reasonably possible. New Residential is, from time to time, subject to inquiries by government entities. New Residential currently does not believe any of these inquiries would result in a material adverse effect on New Residential’s business. Indemnifications – In the normal course of business, New Residential and its subsidiaries enter into contracts that contain a variety of representations and warranties and that provide general indemnifications. New Residential’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against New Residential that have not yet occurred. However, based on its experience, New Residential expects the risk of material loss to be remote. Capital Commitments — As of March 31, 2018 , New Residential had outstanding capital commitments related to investments in the following investment types (also refer to Note 5 for MSR investment commitments and to Note 18 for additional capital commitments entered into subsequent to March 31, 2018 , if any): MSRs and servicer advances — New Residential and, in some cases, third-party co-investors agreed to purchase future servicer advances related to certain Non-Agency mortgage loans. In addition, New Residential’s subsidiary, NRM, is generally obligated to fund future servicer advances related to the loans it is obligated to service. The actual amount of future advances purchased will be based on: (a) the credit and prepayment performance of the underlying loans, (b) the amount of advances recoverable prior to liquidation of the related collateral and (c) the percentage of the loans with respect to which no additional advance obligations are made. The actual amount of future advances is subject to significant uncertainty. See Notes 5 and 6 for information on New Residential’s investments in MSRs and Servicer Advance Investments, respectively. Residential Mortgage Loans — As part of its investment in residential mortgage loans, New Residential may be required to outlay capital. These capital outflows primarily consist of advance escrow and tax payments, residential maintenance and property disposition fees. The actual amount of these outflows is subject to significant uncertainty. See Note 8 for information on New Residential’s investments in residential mortgage loans. Consumer Loans — The Consumer Loan Companies have invested in loans with an aggregate of $162.2 million of unfunded and available revolving credit privileges as of March 31, 2018 . However, under the terms of these loans, requests for draws may be denied and unfunded availability may be terminated at New Residential’s discretion. Environmental Costs — As a residential real estate owner, through its REO, New Residential is subject to potential environmental costs. At March 31, 2018 , New Residential is not aware of any environmental concerns that would have a material adverse effect on its consolidated financial position or results of operations. Debt Covenants — New Residential’s debt obligations contain various customary loan covenants (Note 11). Certain Tax-Related Covenants — If New Residential is treated as a successor to Drive Shack under applicable U.S. federal income tax rules, and if Drive Shack failed to qualify as a REIT for a taxable year ending on or before December 31, 2014, New Residential could be prohibited from electing to be a REIT. Accordingly, in the separation and distribution agreement executed in connection with New Residential’s spin-off from Drive Shack, Drive Shack (i) represented that it had no knowledge of any fact or circumstance that would cause New Residential to fail to qualify as a REIT, (ii) covenanted to use commercially reasonable efforts to cooperate with New Residential as necessary to enable New Residential to qualify for taxation as a REIT and receive customary legal opinions concerning REIT status, including providing information and representations to New Residential and its tax counsel with respect to the composition of Drive Shack’s income and assets, the composition of its stockholders, and its operation as a REIT; and (iii) covenanted to use its reasonable best efforts to maintain its REIT status for each of Drive Shack’s taxable years ending on or before December 31, 2014 (unless Drive Shack obtains an opinion from a nationally recognized tax counsel or a private letter ruling from the U.S. Internal Revenue Service (“IRS”) to the effect that Drive Shack’s failure to maintain its REIT status will not cause New Residential to fail to qualify as a REIT under the successor REIT rule referred to above). Additionally, New Residential covenanted to use its reasonable best efforts to qualify for taxation as a REIT for its taxable year ended December 31, 2013. |
TRANSACTIONS WITH AFFILIATES AN
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 3 Months Ended |
Mar. 31, 2018 | |
Transactions With Affiliates And Affiliated Entities | |
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES New Residential is party to a Management Agreement with its Manager which provides for automatically renewing one -year terms subject to certain termination rights. The Manager’s performance is reviewed annually and the Management Agreement may be terminated by New Residential by payment of a termination fee, as defined in the Management Agreement, equal to the amount of management fees earned by the Manager during the 12 consecutive calendar months immediately preceding the termination, upon the affirmative vote of at least two-thirds of the independent directors, or by a majority vote of the holders of common stock. If the Management Agreement is terminated, the Manager may require New Residential to purchase from the Manager the right of the Manager to receive the Incentive Compensation. In exchange therefor, New Residential would be obligated to pay the Manager a cash purchase price equal to the amount of the Incentive Compensation that would be paid to the Manager if all of New Residential’s assets were sold for cash at their then current fair market value (taking into account, among other things, expected future performance of the underlying investments). Pursuant to the Management Agreement, the Manager, under the supervision of New Residential’s board of directors, formulates investment strategies, arranges for the acquisition of assets and associated financing, monitors the performance of New Residential’s assets and provides certain advisory, administrative and managerial services in connection with the operations of New Residential. The Manager is entitled to receive a management fee in an amount equal to 1.5% per annum of New Residential’s gross equity calculated and payable monthly in arrears in cash. Gross equity is generally the equity transferred by Drive Shack on the date of the spin-off, plus total net proceeds from stock offerings, plus certain capital contributions to subsidiaries, less capital distributions and repurchases of common stock. In addition, the Manager is entitled to receive annual incentive compensation in an amount equal to the product of (A) 25% of the dollar amount by which (1) (a) New Residential’s funds from operations before the incentive compensation, excluding funds from operations from investments in the Consumer Loan Companies and any unrealized gains or losses from mark-to-market valuation changes on investments and debt (and any deferred tax impact thereof), per share of common stock, plus (b) earnings (or losses) from the Consumer Loan Companies computed on a level-yield basis (such that the loans are treated as if they qualified as loans acquired with a discount for credit quality as set forth in ASC No. 310-30, as such codification was in effect on June 30, 2013) as if the Consumer Loan Companies had been acquired at their GAAP basis on May 15, 2013, plus earnings (or losses) from equity method investees invested in Excess MSRs as if such equity method investees had not made a fair value election, plus gains (or losses) from debt restructuring and gains (or losses) from sales of property, and plus non-routine items, minus amortization of non-routine items, in each case per share of common stock, exceed (2) an amount equal to (a) the weighted average of the book value per share of the equity transferred by Drive Shack on the date of the spin-off and the prices per share of New Residential’s common stock in any offerings (adjusted for prior capital dividends or capital distributions) multiplied by (b) a simple interest rate of 10% per annum, multiplied by (B) the weighted average number of shares of common stock outstanding. “Funds from operations” means net income (computed in accordance with GAAP), excluding gains (or losses) from debt restructuring and gains (or losses) from sales of property, plus depreciation on real estate assets, and after adjustments for unconsolidated partnerships and joint ventures. Funds from operations will be computed on an unconsolidated basis. The computation of funds from operations may be adjusted at the direction of New Residential’s independent directors based on changes in, or certain applications of, GAAP. Funds from operations is determined from the date of the spin-off and without regard to Drive Shack’s prior performance. In addition to the management fee and incentive compensation, New Residential is responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of New Residential. Due to affiliates is comprised of the following amounts: March 31, 2018 December 31, 2017 Management fees $ 5,156 $ 4,734 Incentive compensation 14,589 81,373 Expense reimbursements and other 547 2,854 Total $ 20,292 $ 88,961 Affiliate expenses and fees were comprised of: Three Months Ended 2018 2017 Management fees $ 15,110 $ 13,074 Incentive compensation 14,589 12,460 Expense reimbursements (A) 125 125 Total $ 29,824 $ 25,659 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. See Notes 4, 5, 6, 8, 11 and 14 for a discussion of transactions with Nationstar. As of March 31, 2018 , 99.2% , 27.7% and 97.0% of the UPB of the loans underlying New Residential’s investments in Excess MSRs, MSRs and Servicer Advance Investments, respectively, was serviced, subserviced or master serviced by Nationstar. As of March 31, 2018 , a total face amount of $3.2 billion of New Residential’s Non-Agency RMBS portfolio and approximately $32.8 million of New Residential’s Agency RMBS portfolio was serviced or master serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced Non-Agency RMBS was approximately $17.6 billion as of March 31, 2018 . New Residential holds a limited right to cleanup call options with respect to certain securitization trusts serviced or master serviced by Nationstar whereby, when the outstanding balance of the underlying residential mortgage loans falls below a pre-determined threshold, it can effectively purchase the underlying residential mortgage loans at par, plus unreimbursed servicer advances, and repay all of the outstanding securitization financing at par, in exchange for a fee of 0.75% of UPB paid to Nationstar at the time of exercise. In connection with New Residential’s exercise of certain of these call rights, and certain other call rights acquired by New Residential, New Residential has made, and expects to continue to make, payments to funds managed by an affiliate of Fortress in respect of Excess MSRs held by the funds affected by the exercise of the call rights (“MSR Fund Payments”). During 2018 , New Residential accrued for MSR Fund Payments in an aggregate amount of approximately $0.0 million and has also caused an aggregate of $0.1 million of securities to be transferred to such funds in 2018 . New Residential continues to evaluate the call rights it purchased from Nationstar, and its ability to exercise such rights and realize the benefits therefrom are subject to a number of risks. The actual UPB of the residential mortgage loans on which New Residential can successfully exercise call rights and realize the benefits therefrom may differ materially from its initial assumptions. As of March 31, 2018 , $912.4 million UPB of New Residential’s residential mortgage loans and $14.9 million of New Residential’s REO were being serviced or master serviced by Nationstar. Additionally, in the ordinary course of business, New Residential engages Nationstar to administer the termination of securitization trusts that it collapses pursuant to its call rights. As a result of these relationships, New Residential routinely has receivables from, and payables to, Nationstar, which are included in Other Assets and Accrued Expenses and Other Liabilities, respectively. See Note 9 for a discussion of a transaction with OneMain and Note 4 regarding co-investments with Fortress-managed funds. |
RECLASSIFICATION FROM ACCUMULAT
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | 3 Months Ended |
Mar. 31, 2018 | |
Equity [Abstract] | |
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME | RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: Three Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2018 2017 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ 29,227 $ (993 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 6,670 2,112 Total reclassifications $ 35,897 $ 1,119 New Residential did not allocate any income tax expense or benefit to any component of other comprehensive income for any period presented, as no taxable subsidiary generated other comprehensive income. |
INCOME TAXES
INCOME TAXES | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended 2018 2017 Current: Federal $ 1,708 $ 2,108 State and Local 436 70 Total Current Income Tax Expense (Benefit) 2,144 2,178 Deferred: Federal (8,673 ) 2,746 State and Local (383 ) 672 Total Deferred Income Tax Expense (Benefit) (9,056 ) 3,418 Total Income Tax Expense (Benefit) $ (6,912 ) $ 5,596 New Residential intends to qualify as a REIT for each of its tax years through December 31, 2018 . A REIT is generally not subject to U.S. federal corporate income tax on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. New Residential operates various securitization vehicles and has made certain investments, particularly its investments in MSRs (Note 5), Servicer Advance Investments (Note 6) and REO (Note 8), through taxable REIT subsidiaries (“TRSs”) that are subject to regular corporate income taxes which have been provided for in the provision for income taxes, as applicable. New Residential has recorded a net deferred tax liability of approximately $10.2 million as of March 31, 2018 , primarily related to unrealized gains and discount accruals offset by net operating loss carry forwards. On December 22, 2017, the Tax Cuts and Jobs Act (the “TCJA”) was signed into law. The TCJA includes a number of significant changes to existing U.S. corporate income tax laws, most notably a reduction of the U.S. corporate income tax rate from 35 percent to 21 percent, effective January 1, 2018. New Residential measures deferred tax assets and liabilities using enacted tax rates that will apply in the years in which the temporary differences are expected to be recovered or paid. New Residential is still analyzing certain aspects of the TCJA and refining its calculations, which could potentially affect the measurement of these balances or give rise to new deferred tax amounts. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2018 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to March 31, 2018 (referred to as “subsequent events”) through the issuance of these condensed consolidated financial statements. Events subsequent to that date have not been considered in these financial statements. Corporate Activities On March 22, 2018 , New Residential’s board of directors declared a first quarter 2018 dividend of $0.50 per common share or $168.1 million , which was paid on April 27, 2018 to stockholders of record as of April 2, 2018 . |
ORGANIZATION AND BASIS OF PRE26
ORGANIZATION AND BASIS OF PRESENTATION (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Interim Financial Statements | The accompanying condensed consolidated financial statements and related notes of New Residential have been prepared in accordance with accounting principles generally accepted in the United States for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, certain information and note disclosures normally included in financial statements prepared under U.S. generally accepted accounting principles have been condensed or omitted. In the opinion of management, all adjustments considered necessary for a fair presentation of New Residential’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. These condensed consolidated financial statements should be read in conjunction with New Residential’s consolidated financial statements for the year ended December 31, 2017 and notes thereto included in New Residential’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”). Capitalized terms used herein, and not otherwise defined, are defined in New Residential’s consolidated financial statements for the year ended December 31, 2017 . |
Recent Accounting Pronouncements | In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-09, Revenues from Contracts with Customers (Topic 606) . The standard’s core principle is that a company will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the company expects to be entitled in exchange for those goods or services. In effect, companies are required to exercise further judgment and make more estimates prospectively. These may include identifying performance obligations in the contract, estimating the amount of variable consideration to include in the transaction price and allocating the transaction price to each separate performance obligation. ASU No. 2014-09 was effective for New Residential in the first quarter of 2018. New Residential has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, New Residential considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the adoption of ASU No. 2014-09 did not have a material impact on the condensed consolidated financial statements. In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities. The standard: (i) requires that certain equity investments be measured at fair value, and modifies the assessment of impairment for certain other equity investments, (ii) changes certain disclosure requirements related to the fair value of financial instruments measured at amortized cost, (iii) changes certain disclosure requirements related to liabilities measured at fair value, (iv) requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset, and (v) clarifies that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. ASU No. 2016-01 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-01 did not have a material impact on the condensed consolidated financial statements. In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments . The standard requires that a financial asset measured at amortized cost basis be presented at the net amount expected to be collected, net of an allowance for all expected (rather than incurred) credit losses. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectibility of the reported amount. The standard also changes the accounting for purchased credit deteriorated assets and available-for-sale securities, which will require the recognition of credit losses through a valuation allowance when fair value is less than amortized cost, regardless of whether the impairment is considered to be other-than-temporary. ASU No. 2016-13 is effective for New Residential in the first quarter of 2020. Early adoption is permitted beginning in 2019. An entity should apply ASU No. 2016-13 by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. New Residential is currently evaluating the new guidance to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings. In October 2016, the FASB issued ASU No. 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory . The standard requires recognition of the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. ASU No. 2016-16 was effective for New Residential in the first quarter of 2018. The adoption of ASU No. 2016-16 did not have a material impact on the condensed consolidated financial statements. |
OTHER INCOME, ASSETS AND LIAB27
OTHER INCOME, ASSETS AND LIABILITIES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Other Income Assets And Liabilities | |
Schedule of Gain (Loss) on Settlement of Investments | Gain (loss) on settlement of investments, net is comprised of the following: Three Months Ended 2018 2017 Gain (loss) on sale of real estate securities, net $ (29,227 ) $ 993 Gain (loss) on sale of residential mortgage loans, net (14,651 ) 2,565 Gain (loss) on settlement of derivatives 37,363 (11,836 ) Gain (loss) on liquidated residential mortgage loans (385 ) (2,216 ) Gain (loss) on sale of REO (2,800 ) (2,610 ) Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments 113,002 — Other gains (losses) — (570 ) $ 103,302 $ (13,674 ) |
Schedule of Other Income | Other income (loss), net, is comprised of the following: Three Months Ended 2018 2017 Unrealized gain (loss) on derivative instruments $ 2,446 $ 4,326 Unrealized gain (loss) on other ABS (313 ) 758 Gain (loss) on transfer of loans to REO 4,170 6,634 Gain (loss) on transfer of loans to other assets 55 212 Gain (loss) on Excess MSRs 2,905 627 Gain (loss) on Ocwen common stock 5,772 — Other income (loss) (5,051 ) (5,713 ) $ 9,984 $ 6,844 |
Schedule of Other Assets and Liabilities | Other assets and liabilities are comprised of the following: Other Assets Accrued Expenses and Other Liabilities March 31, 2018 December 31, 2017 March 31, 2018 December 31, 2017 Margin receivable, net $ 40,702 $ 53,150 Interest payable $ 26,124 $ 28,821 Other receivables 62,109 10,635 Accounts payable 47,877 73,017 Principal and interest receivable 45,548 48,373 Derivative liabilities (Note 10) 4,091 697 Receivable from government agency 30,863 41,429 Current taxes payable — — Call rights 327 327 Due to servicers 72,705 24,571 Derivative assets (Note 10) 588 2,423 MSR purchase price holdback 101,464 101,290 Servicing fee receivables 63,199 60,520 Other liabilities 16,008 10,718 Ginnie Mae EBO servicer advances receivable, net 3,554 8,916 $ 268,269 $ 239,114 Due from servicers 26,595 38,601 Ocwen common stock, at fair value 25,031 19,259 Prepaid expenses 6,449 7,308 Other assets 21,978 21,240 $ 326,943 $ 312,181 |
Schedule of Accretion and Other Amortization | As reflected on the Condensed Consolidated Statements of Cash Flows, accretion and other amortization is comprised of the following: Three Months Ended 2018 2017 Accretion of servicer advance investment and receivable interest income $ 77,640 $ 76,043 Accretion of excess mortgage servicing rights income 9,359 31,418 Accretion of net discount on securities and loans (A) 92,708 88,984 Amortization of deferred financing costs (1,874 ) (3,574 ) Amortization of discount on notes and bonds payable (462 ) (447 ) $ 177,371 $ 192,424 (A) Includes accretion of the accretable yield on PCD loans. |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Segment Reporting [Abstract] | |
Summary of Segment Financial Data | Summary financial data on New Residential’s segments is given below, together with a reconciliation to the same data for New Residential as a whole: Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended March 31, 2018 Interest income $ 9,359 $ 166,518 $ 18,891 $ 101,133 $ 34,392 $ 52,648 $ 632 $ 383,573 Interest expense 4,489 44,111 6,430 41,530 16,311 11,516 — 124,387 Net interest income (expense) 4,870 122,407 12,461 59,603 18,081 41,132 632 259,186 Impairment — — — 6,670 5,183 13,824 — 25,677 Servicing revenue, net — 217,236 — — — — — 217,236 Other income (loss) (1,889 ) 271,777 (6,577 ) 10,569 (20,217 ) 5,090 5,771 264,524 Operating expenses 61 52,278 144 297 8,947 9,437 36,653 107,817 Income (Loss) Before Income Taxes 2,920 559,142 5,740 63,205 (16,266 ) 22,961 (30,250 ) 607,452 Income tax expense (benefit) — (6,729 ) (427 ) — — 244 — (6,912 ) Net Income (Loss) $ 2,920 $ 565,871 $ 6,167 $ 63,205 $ (16,266 ) $ 22,717 $ (30,250 ) $ 614,364 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ — $ 1,383 $ — $ — $ 8,728 $ — $ 10,111 Net income (loss) attributable to common stockholders $ 2,920 $ 565,871 $ 4,784 $ 63,205 $ (16,266 ) $ 13,989 $ (30,250 ) $ 604,253 Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total March 31, 2018 Investments $ 680,562 $ 4,016,436 $ 955,364 $ 7,585,323 $ 2,205,531 $ 1,351,928 $ — $ 16,795,144 Cash and cash equivalents 187 147,305 35,829 1,673 2,532 25,382 20,325 233,233 Restricted cash 3,624 114,152 10,664 — — 51,248 — 179,688 Other assets 4,343 3,465,768 3,614 1,136,075 92,496 26,177 75,403 4,803,876 Total assets $ 688,716 $ 7,743,661 $ 1,005,471 $ 8,723,071 $ 2,300,559 $ 1,454,735 $ 95,728 $ 22,011,941 Debt $ 197,563 $ 4,864,332 $ 729,539 $ 6,053,287 $ 1,549,489 $ 1,272,305 $ — $ 14,666,515 Other liabilities 1,555 225,321 (14,129 ) 1,137,019 23,577 13,852 196,544 1,583,739 Total liabilities 199,118 5,089,653 715,410 7,190,306 1,573,066 1,286,157 196,544 16,250,254 Total equity 489,598 2,654,008 290,061 1,532,765 727,493 168,578 (100,816 ) 5,761,687 Noncontrolling interests in equity of consolidated subsidiaries — — 65,392 — — 32,359 — 97,751 Total New Residential stockholders’ equity $ 489,598 $ 2,654,008 $ 224,669 $ 1,532,765 $ 727,493 $ 136,219 $ (100,816 ) $ 5,663,936 Investments in equity method investees $ 164,886 $ — $ — $ — $ — $ 46,135 $ — $ 211,021 Servicing Related Assets Residential Securities and Loans Excess MSRs MSRs Servicer Advances Real Estate Securities Residential Mortgage Loans Consumer Loans Corporate Total Three Months Ended March 31, 2017 Interest income $ 31,418 $ 25 $ 76,704 $ 93,808 $ 17,993 $ 72,406 $ 184 $ 292,538 Interest expense 10,072 987 43,876 20,881 7,540 14,873 — 98,229 Net interest income (expense) 21,346 (962 ) 32,828 72,927 10,453 57,533 184 194,309 Impairment — — — 2,112 (2,018 ) 19,928 — 20,022 Servicing revenue, net — 40,602 — — — — — 40,602 Other income (loss) 1,204 213 1,801 (5,596 ) (1,336 ) 20 — (3,694 ) Operating expenses 86 19,723 824 331 5,853 11,438 30,186 68,441 Income (Loss) Before Income Taxes 22,464 20,130 33,805 64,888 5,282 26,187 (30,002 ) 142,754 Income tax expense (benefit) — (1,279 ) 9,192 — (2,317 ) — — 5,596 Net Income (Loss) $ 22,464 $ 21,409 $ 24,613 $ 64,888 $ 7,599 $ 26,187 $ (30,002 ) $ 137,158 Noncontrolling interests in income (loss) of consolidated subsidiaries $ — $ — $ 5,820 $ — $ — $ 9,960 $ — $ 15,780 Net income (loss) attributable to common stockholders $ 22,464 $ 21,409 $ 18,793 $ 64,888 $ 7,599 $ 16,227 $ (30,002 ) $ 121,378 |
INVESTMENTS IN EXCESS MORTGAG29
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Transfers and Servicing [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 9,354 5 — 9,359 Other income 2,905 — — 2,905 Proceeds from repayments (26,290 ) (170 ) — (26,460 ) Proceeds from sales — — — — Change in fair value (5,326 ) 52 (40,417 ) (45,691 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of March 31, 2018 $ 512,876 $ 2,800 $ — $ 515,676 (A) Specialized Loan Servicing LLC (“SLS”). (B) Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advance Investments acquired from HLSS. The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made — New Ocwen Agreements 1,017,993 Proceeds from sales (1,026 ) Amortization of servicing rights (A) (48,703 ) Change in valuation inputs and assumptions 319,779 Balance as of March 31, 2018 $ 1,886,771 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 47,739,062 6.0 $ 414,116 $ 485,860 Non-Agency 98,426,090 6.3 1,043,292 1,400,911 Total $ 146,165,152 6.2 $ 1,457,408 $ 1,886,771 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 10.5% was used to value New Residential’s investments in mortgage servicing rights financing receivables. The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 319,495 Amortization of servicing rights (A) (55,127 ) Change in valuation inputs and assumptions 129,793 Balance as of March 31, 2018 $ 2,129,665 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in MSRs as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 197,403,568 6.4 $ 1,740,698 $ 2,129,665 Non-Agency 59,381 6.3 — — Total $ 197,462,949 6.4 $ 1,740,698 $ 2,129,665 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 9.1% was used to value New Residential’s investments in MSRs. |
Summary of Direct Investments in Excess MSRs | The following is a summary of New Residential’s direct investments in Excess MSRs: March 31, 2018 December 31, 2017 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) New Residential (D) Fortress-managed funds Nationstar Agency Original and Recaptured Pools $ 62,526,609 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 5.8 $ 242,028 $ 271,623 $ 280,033 Recapture Agreements — 32.5% - 66.7% (53.3%) 0.0% - 40.0% 20.0% - 35.0% 12.5 17,836 41,762 44,603 62,526,609 6.3 259,864 313,385 324,636 Non-Agency (E) Nationstar and SLS Serviced: Original and Recaptured Pools $ 62,374,141 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 5.3 $ 149,606 $ 184,094 $ 190,696 Recapture Agreements — 33.3% - 100.0% (59.4%) 0.0% - 50.0% 0.0% - 33.3% 12.4 6,708 18,197 19,814 Ocwen Serviced Pools — 100.0% —% —% — — — 638,567 62,374,141 5.6 156,314 202,291 849,077 Total $ 124,900,750 6.0 $ 416,178 $ 515,676 $ 1,173,713 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Carrying Value represents the fair value of the pools or recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) New Residential also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of March 31, 2018 (Note 6) on $47.8 billion UPB underlying these Excess MSRs. Changes in fair value recorded in other income is comprised of the following: Three Months Ended 2018 2017 Original and Recaptured Pools $ (43,122 ) $ (7,248 ) Recapture Agreements (2,569 ) 8,069 $ (45,691 ) $ 821 |
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees | The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: March 31, 2018 December 31, 2017 Excess MSR assets $ 309,322 $ 321,197 Other assets 21,137 22,333 Other liabilities (687 ) — Equity $ 329,772 $ 343,530 New Residential’s investment $ 164,886 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended 2018 2017 Interest income $ 5,227 $ 4,182 Other income (loss) (4,181 ) (4,646 ) Expenses — (25 ) Net income (loss) $ 1,046 $ (489 ) New Residential’s investments in equity method investees changed during the three months ended March 31, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (4,938 ) Distributions of capital from equity method investees (2,464 ) Change in fair value of investments in equity method investees 523 Balance at March 31, 2018 $ 164,886 The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: March 31, 2018 (A) December 31, 2017 (A) Consumer loans, at fair value $ 523,714 $ 178,422 Warrants, at fair value 94,680 80,746 Other assets 55,721 46,342 Warehouse financing (400,000 ) (117,944 ) Other liabilities (3,566 ) (13,059 ) Equity $ 270,549 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 66,285 $ 42,473 New Residential’s ownership 24.5 % 24.3 % Three Months Ended March 31, 2018 (B) 2017 (B) (C) Interest income $ 12,792 $ — Interest expense (3,368 ) — Change in fair value of consumer loans and warrants 13,552 — Gain on sale of consumer loans (420 ) — Other expenses (3,207 ) — Net income $ 19,349 $ — New Residential’s equity in net income $ 4,806 $ — New Residential’s ownership 24.8 % — % (A) Data as of February 28, 2018 and November 30, 2017 , respectively, as a result of the one month reporting lag. (B) Data for the periods ended February 28, 2018 and 2017 , respectively, as a result of the one month reporting lag. (C) No activity due to LoanCo operations and distribution of income beginning March 2017. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) March 31, 2018 (C) $ 523,714 25.0 % $ 523,714 14.4 % 1.4 0.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (C) Data as of February 28, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 83,227 Distributions of earnings from equity method investees (1,449 ) Distributions of capital from equity method investees (91,861 ) Earnings from investments in consumer loans, equity method investees 4,806 Balance at March 31, 2018 $ 46,135 |
Summary of Excess MSR Investments made through Equity Method Investees | The following is a summary of New Residential’s Excess MSR investments made through equity method investees: March 31, 2018 Unpaid Principal Balance Investee Interest in Excess MSR (A) New Residential Interest in Investees Amortized Cost Basis (B) Carrying Value (C) Weighted Average Life (Years) (D) Agency Original and Recaptured Pools $ 49,435,804 66.7 % 50.0 % $ 203,978 $ 262,014 5.4 Recapture Agreements — 66.7 % 50.0 % 22,503 47,308 12.3 Total $ 49,435,804 $ 226,481 $ 309,322 6.1 (A) The remaining interests are held by Nationstar. (B) Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or recapture agreements, as applicable. (D) The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in Excess MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments: Aggregate Direct and Equity Method Investees Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 California 24.6 % 24.0 % Florida 8.0 % 8.7 % New York 6.4 % 8.5 % Texas 4.5 % 4.6 % New Jersey 3.9 % 4.1 % Maryland 3.7 % 3.7 % Illinois 3.5 % 3.5 % Georgia 3.5 % 3.1 % Virginia 3.2 % 3.0 % Arizona 2.6 % 2.5 % Washington 2.6 % 2.4 % Pennsylvania 2.4 % 2.6 % Other U.S. 31.1 % 29.3 % 100.0 % 100.0 % |
INVESTMENTS IN MORTGAGE SERVI30
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Fees Earned in Exchange for Servicing Financial Assets | Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following: Three Months Ended 2018 2017 Servicing fee revenue $ 119,223 $ 65,469 Ancillary and other fees 23,347 2,188 Servicing fee revenue and fees 142,570 67,657 Amortization of servicing rights (55,127 ) (26,296 ) Change in valuation inputs and assumptions 129,793 (759 ) Servicing revenue, net $ 217,236 $ 40,602 Interest income from investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Servicing fee revenue $ 201,952 Ancillary and other fees 30,235 Less: subservicing expense (65,706 ) Interest income, investments in mortgage servicing rights financing receivables $ 166,481 Change in fair value of investments in mortgage servicing rights financing receivables was comprised of the following: Three Months Ended Amortization of servicing rights $ (48,703 ) Change in valuation inputs and assumptions 319,779 Change in fair value of investments in mortgage servicing rights financing receivables $ 271,076 |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs: Servicer Nationstar SLS (A) Ocwen (B) Total Balance as of December 31, 2017 $ 532,233 $ 2,913 $ 638,567 $ 1,173,713 Purchases — — — — Interest income 9,354 5 — 9,359 Other income 2,905 — — 2,905 Proceeds from repayments (26,290 ) (170 ) — (26,460 ) Proceeds from sales — — — — Change in fair value (5,326 ) 52 (40,417 ) (45,691 ) New Ocwen Agreements (Note 5) — — (598,150 ) (598,150 ) Balance as of March 31, 2018 $ 512,876 $ 2,800 $ — $ 515,676 (A) Specialized Loan Servicing LLC (“SLS”). (B) Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advance Investments acquired from HLSS. The following table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables: Balance as of December 31, 2017 $ 598,728 Investments made — New Ocwen Agreements 1,017,993 Proceeds from sales (1,026 ) Amortization of servicing rights (A) (48,703 ) Change in valuation inputs and assumptions 319,779 Balance as of March 31, 2018 $ 1,886,771 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in mortgage servicing rights financing receivables as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 47,739,062 6.0 $ 414,116 $ 485,860 Non-Agency 98,426,090 6.3 1,043,292 1,400,911 Total $ 146,165,152 6.2 $ 1,457,408 $ 1,886,771 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 10.5% was used to value New Residential’s investments in mortgage servicing rights financing receivables. The following table presents activity related to the carrying value of New Residential’s investments in MSRs: Balance as of December 31, 2017 $ 1,735,504 Purchases 319,495 Amortization of servicing rights (A) (55,127 ) Change in valuation inputs and assumptions 129,793 Balance as of March 31, 2018 $ 2,129,665 (A) Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans. The following is a summary of New Residential’s investments in MSRs as of March 31, 2018 : UPB of Underlying Mortgages Weighted Average Life (Years) (A) Amortized Cost Basis Carrying Value (B) Agency $ 197,403,568 6.4 $ 1,740,698 $ 2,129,665 Non-Agency 59,381 6.3 — — Total $ 197,462,949 6.4 $ 1,740,698 $ 2,129,665 (A) Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying Value represents fair value. As of March 31, 2018 , a weighted average discount rate of 9.1% was used to value New Residential’s investments in MSRs. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs and mortgage servicing rights financing receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 California 20.3 % 19.0 % New York 7.9 % 6.3 % Florida 6.9 % 6.0 % Texas 5.3 % 5.7 % New Jersey 4.9 % 5.2 % Illinois 3.8 % 4.1 % Massachusetts 3.6 % 3.8 % Maryland 3.4 % 2.8 % Virginia 3.2 % 3.1 % Pennsylvania 3.2 % 3.3 % Other U.S. 37.5 % 40.7 % 100.0 % 100.0 % |
SERVICER ADVANCE INVESTMENTS (T
SERVICER ADVANCE INVESTMENTS (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments, All Other Investments [Abstract] | |
Summary of Investments in Servicer Advances | The following is a summary of New Residential’s Servicer Advance Investments, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) March 31, 2018 Servicer Advance Investments $ 931,465 $ 955,364 5.8 % 5.8 % 5.0 As of December 31, 2017 Servicer Advance Investments $ 3,924,003 $ 4,027,379 6.8 % 7.3 % 5.1 (A) Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs. (B) Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment. Three Months Ended 2018 2017 Change in Fair Value of Servicer Advance Investments $ (79,476 ) $ 2,559 The following is additional information regarding the Servicer Advance Investments and related financing: Loan-to-Value (“LTV”) (A) Cost of Funds (C) UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Notes and Bonds Payable Gross Net (B) Gross Net March 31, 2018 Servicer Advance Investments (D) $ 47,831,952 $ 818,431 1.7 % $ 753,158 88.5 % 87.5 % 3.7 % 3.2 % December 31, 2017 Servicer Advance Investments (D) $ 139,460,371 $ 3,581,876 2.6 % $ 3,461,718 93.2 % 92.0 % 3.3 % 3.0 % (A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (B) Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. (C) Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees. (D) The following types of advances are included in the Servicer Advance Investments: March 31, 2018 December 31, 2017 Principal and interest advances $ 121,089 $ 909,133 Escrow advances (taxes and insurance advances) 371,452 1,636,381 Foreclosure advances 325,890 1,036,362 Total $ 818,431 $ 3,581,876 |
Schedule of Interest Income Related to Investments in Servicer Advances | Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following: Three Months Ended 2018 2017 Interest income, gross of amounts attributable to servicer compensation $ 20,387 $ 73,856 Amounts attributable to base servicer compensation (1,972 ) (4,147 ) Amounts attributable to incentive servicer compensation 474 6,334 Interest income from Servicer Advance Investments $ 18,889 $ 76,043 New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE. As of March 31, 2018 December 31, 2017 Assets Servicer advance investments, at fair value $ 914,287 $ 1,002,102 Cash and cash equivalents 35,018 40,929 All other assets 13,046 13,011 Total assets (A) $ 962,351 $ 1,056,042 Liabilities Notes and bonds payable $ 718,844 $ 789,979 All other liabilities 3,166 3,308 Total liabilities (A) $ 722,010 $ 793,287 (A) The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations. Others’ interests in the equity of the Buyer is computed as follows: March 31, 2018 December 31, 2017 Total Advance Purchaser LLC equity $ 240,340 $ 262,755 Others’ ownership interest 27.2 % 27.2 % Others’ interest in equity of consolidated subsidiary $ 65,392 $ 71,491 Others’ interests in the Buyer’s net income is computed as follows: Three Months Ended 2018 2017 Net Advance Purchaser LLC income $ 5,085 $ 10,736 Others’ ownership interest as a percent of total (A) 27.2 % 54.2 % Others’ interest in net income of consolidated subsidiaries $ 1,383 $ 5,820 (A) As a result, New Residential owned 72.8% and 45.8% of the Buyer, on average during the three months ended March 31, 2018 and 2017 , respectively. |
INVESTMENTS IN REAL ESTATE AN32
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Real Estate Securities | The following is a summary of New Residential’s real estate and other securities, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired and except for securities which New Residential elected to carry at fair value and record changes to valuation through the income statement. March 31, 2018 December 31, 2017 Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying Value Treasury $ — $ — $ — $ — $ — — N/A — % — % — N/A $ 852,734 Agency RMBS (F) (G) 1,221,259 1,217,176 847 (3,908 ) 1,214,115 91 AAA 3.28 % 3.14 % 9.5 N/A 1,243,617 Non-Agency RMBS (H) (I) 13,556,931 5,947,212 477,813 (53,817 ) 6,371,208 773 CCC 2.56 % 5.73 % 7.8 9.9 % 5,974,789 Total/ Weighted Average $ 14,778,190 $ 7,164,388 $ 478,660 $ (57,725 ) $ 7,585,323 864 B 2.67 % 5.29 % 8.1 $ 8,071,140 (A) Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 210 bonds with a carrying value of $461.5 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $195.6 million and $0.0 million , respectively, for which no coupon payment is expected. (D) The weighted average life is based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac. (G) The total outstanding face amount was $1.1 billion for fixed rate securities and $0.1 billion for floating rate securities as of March 31, 2018 . (H) The total outstanding face amount was $1.3 billion (including $0.6 billion of residual and fair value option notional amount) for fixed rate securities and $12.3 billion (including $4.9 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2018 . (I) Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by MSRs and (iii) bonds backed by consumer loans. Gross Unrealized Weighted Average Asset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal Subordination Consumer loan bonds $ 43,303 $ 41,077 $ — $ (1,008 ) $ 40,069 4 N/A N/A 21.50 % 1.0 N/A MSR bonds 100,000 100,000 375 — 100,375 1 BBB- 4.72 % 4.30 % 9.6 N/A Fair Value Option Securities: Interest-only securities 4,846,532 227,709 10,446 (10,133 ) 228,022 55 AA 1.55 % 6.47 % 3.1 N/A Servicing Strips 390,144 4,813 1,500 (218 ) 6,095 21 N/A 0.27 % 21.24 % 6.6 N/A Activities related to New Residential’s investments in real estate and other securities were as follows: Three Months Ended March 31, 2018 (in millions) Treasury Agency Non-Agency Purchases Face $ — $ 1,107.1 $ 1,328.5 Purchase Price $ — $ 1,093.7 $ 523.8 Sales Face $ 862.0 $ 1,068.9 $ — Amortized Cost $ 858.0 $ 1,101.4 $ — Sale Price $ 849.8 $ 1,079.8 $ — Gain (Loss) on Sale $ (8.2 ) $ (21.6 ) $ — |
Summary of Real Estate Securities in an Unrealized Loss Position | The following table summarizes New Residential’s securities in an unrealized loss position as of March 31, 2018 . Amortized Cost Basis Weighted Average Securities in an Unrealized Loss Position Outstanding Face Amount Before Impairment Other-Than- Temporary Impairment (A) After Impairment Gross Unrealized Losses Carrying Value Number of Securities Rating (B) Coupon Yield Life (Years) Less than 12 Months $ 4,106,582 $ 1,591,636 $ (4,712 ) $ 1,586,924 $ (42,313 ) $ 1,544,611 159 BB- 2.53 % 4.89 % 7.6 12 or More Months 1,043,681 291,116 (1,958 ) 289,158 (15,412 ) 273,746 103 A 2.41 % 4.63 % 5.2 Total/Weighted Average $ 5,150,263 $ 1,882,752 $ (6,670 ) $ 1,876,082 $ (57,725 ) $ 1,818,357 262 BB 2.51 % 4.85 % 7.2 (A) This amount represents OTTI recorded on securities that are in an unrealized loss position as of March 31, 2018 . (B) The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 20 bonds which either have never been rated or for which rating information is no longer provided. The weighted average rating of securities in an unrealized loss position for 12 or more months excludes the rating of 49 bonds which either have never been rated or for which rating information is no longer provided. New Residential performed an assessment of all of its debt securities that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of OTTI, exceeds its fair value) and determined the following: March 31, 2018 Gross Unrealized Losses Fair Value Amortized Cost Basis After Impairment Credit (A) Non-Credit (B) Securities New Residential intends to sell (C) $ — $ — $ — $ — Securities New Residential is more likely than not to be required to sell (D) — — — N/A Securities New Residential has no intent to sell and is not more likely than not to be required to sell: Credit impaired securities 524,597 548,149 (6,670 ) (23,552 ) Non-credit impaired securities 1,293,760 1,327,933 — (34,173 ) Total debt securities in an unrealized loss position $ 1,818,357 $ 1,876,082 $ (6,670 ) $ (57,725 ) (A) This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate. (B) This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income. (C) A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment, and, therefore do no t have unrealized losses reflected in other comprehensive income as of March 31, 2018 . (D) New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales. |
Summary of Activity Related to Credit Losses on Debt Securities | The following table summarizes the activity related to credit losses on debt securities: Three Months Ended March 31, 2018 Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 23,821 Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income 5,677 Additions for credit losses on securities for which an OTTI was not previously recognized 993 Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis — Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date — Reduction for securities sold during the period (355 ) Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income $ 30,136 |
Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS | The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS: March 31, 2018 December 31, 2017 Geographic Location (A) Outstanding Face Amount Percentage of Total Outstanding Outstanding Face Amount Percentage of Total Outstanding Western U.S. $ 4,930,956 36.5 % $ 4,882,136 38.4 % Southeastern U.S. 3,255,867 24.1 % 3,005,519 23.6 % Northeastern U.S. 2,716,696 20.1 % 2,555,514 20.1 % Midwestern U.S. 1,483,452 11.0 % 1,337,980 10.5 % Southwestern U.S. 1,002,858 7.4 % 927,647 7.3 % Other (B) 123,789 0.9 % 18,871 0.1 % $ 13,513,618 100.0 % $ 12,727,667 100.0 % (A) Excludes $43.3 million and $29.7 million face amount of bonds backed by consumer loans as of March 31, 2018 and December 31, 2017 , respectively. (B) Represents collateral for which New Residential was unable to obtain geographic information. |
Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible | The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and fair value option securities: Outstanding Face Amount Carrying Value March 31, 2018 $ 5,753,822 $ 3,752,014 December 31, 2017 5,364,847 3,493,723 |
Summary of Changes in Accretable Yield for Securities | The following is a summary of the changes in accretable yield for these securities: Three Months Ended March 31, 2018 Balance at December 31, 2017 $ 2,000,266 Additions 121,442 Accretion (56,964 ) Reclassifications from (to) non-accretable difference 63,131 Disposals — Balance at March 31, 2018 $ 2,127,875 |
INVESTMENTS IN RESIDENTIAL MO33
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Receivables [Abstract] | |
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO | The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO: March 31, 2018 December 31, 2017 Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Floating Rate Loans as a % of Face Amount Loan to Value Ratio (“LTV”) (B) Weighted Avg. Delinquency (C) Weighted Average FICO (D) Carrying Value Loan Type Performing Loans (G) $ 534,823 $ 489,493 8,619 8.0 % 5.3 22.3 % 79.3 % 5.9 % 649 $ 507,615 Purchased Credit Deteriorated Loans (H) 216,332 158,467 1,936 7.3 % 3.1 16.1 % 86.4 % 76.2 % 597 183,540 Total Residential Mortgage Loans, held-for-investment $ 751,155 $ 647,960 10,555 7.7 % 4.8 17.3 % 79.6 % 30.7 % 634 $ 691,155 Reverse Mortgage Loans (E) (F) $ 17,181 $ 7,635 47 7.5 % 5.0 14.3 % 130.2 % 68.1 % N/A $ 6,870 Performing Loans (G) (I) 728,083 741,903 10,813 4.1 % 4.7 8.5 % 57.8 % 4.4 % 661 1,071,371 Non-Performing Loans (H) (I) 895,724 692,417 5,905 6.2 % 5.3 19.8 % 91.4 % 53.0 % 581 647,293 Total Residential Mortgage Loans, held-for-sale $ 1,640,988 $ 1,441,955 16,765 4.8 % 4.6 18.9 % 82.4 % 33.0 % 622 $ 1,725,534 (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property. (C) Represents the percentage of the total principal balance that is 60+ days delinquent. (D) The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis. (E) Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Nationstar holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.4 million . Approximately 44% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans. (F) FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan. (G) Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due. (H) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of March 31, 2018 , New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below. (I) Includes $32.5 million and $64.5 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The table below summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration March 31, 2018 December 31, 2017 New York 13.6 % 12.8 % California 11.8 % 9.1 % Florida 7.3 % 8.2 % Texas 6.6 % 6.6 % New Jersey 5.5 % 5.2 % Illinois 3.6 % 3.9 % Pennsylvania 3.5 % 3.4 % Maryland 3.0 % 2.7 % Massachusetts 2.8 % 2.7 % Washington 1.9 % 1.7 % Other U.S. 40.4 % 43.7 % 100.0 % 100.0 % |
Schedule of Residential Mortgage Loan Transactions | The following table summarizes these transactions (dollars in millions). Securities Owned Prior Assets Acquired Loans Sold (C) Retained Bonds Retained Assets (C) Date of Call (A) Number of Trusts Called Face Amount Amortized Cost Basis Loan UPB Loan Price (B) REO & Other Price (B) Date of Securitization UPB Gain (Loss) Basis Loan UPB Loan Price REO & Other Price January 2018 — $ — $ — $ — $ — $ — Jan 2018 $ 726.5 $ (17.8 ) $ 76.8 $ 265.3 $ 239.0 $ 14.4 January 2018 7 0.4 0.2 32.5 32.8 0.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) March 2018 25 85.9 75.4 458.8 461.4 4.1 N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) N/A (C) (A) Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. (B) Price includes par amount paid for all underlying residential mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights. (C) Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The loans from the fourth quarter of 2017 calls were securitized in January 2018. No loans from the December 2016 call, January 2017 calls, the last two June 2017 calls, the January 2018 call, or the March 2018 calls were securitized by March 31, 2018. |
Past Due Financing Receivable | The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 84.9 % 30-59 5.8 % 60-89 2.3 % 90-119 (B) 1.0 % 120+ (C) 6.0 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual loans. The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 94.0 % 30-59 2.4 % 60-89 1.3 % 90-119 (B) 0.9 % 120+ (B) (C) 1.4 % 100.0 % (A) Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans more than 90 days past due and still accruing interest. (C) Interest is accrued up to the date of charge-off at 180 days past due. |
Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCD Loans Held-for-Investment | Activities related to the carrying value of PCD loans held-for-investment were as follows: Balance at December 31, 2017 $ 183,540 Purchases/additional fundings — Sales — Proceeds from repayments (6,343 ) Accretion of loan discount and other amortization 6,929 (Allowance) reversal for loan losses (A) — Transfer of loans to real estate owned (4,817 ) Transfer of loans to held-for-sale (20,842 ) Balance at March 31, 2018 $ 158,467 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. Activities related to the carrying value of residential mortgage loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 507,615 Purchases/additional fundings — Proceeds from repayments (21,256 ) Accretion of loan discount (premium) and other amortization (A) 3,590 Provision for loan losses (140 ) Transfer of loans to other assets (B) — Transfer of loans to real estate owned (316 ) Balance at March 31, 2018 $ 489,493 (A) Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets. (B) Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). |
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans Held-for-Investment | Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 140 Charge-offs (B) (336 ) Balance at March 31, 2018 $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 13,718 28 13,746 Net charge-offs (C) (13,427 ) — (13,427 ) Balance at March 31, 2018 $ 4,720 $ 1,704 $ 6,424 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of March 31, 2018 , there are $11.5 million in UPB and $10.1 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $2.2 million in recoveries of previously charged-off UPB. |
Summary of Unpaid Principal Balance and Carrying Value for Loans Uncollectible | The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value March 31, 2018 $ 216,332 $ 158,467 December 31, 2017 249,254 183,540 |
Summary of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 88,631 Additions — Accretion (6,929 ) Change in accretable yield for non-credit related changes in expected cash flows (A) (3,413 ) Disposals (B) (1,034 ) Transfer of loans to held-for-sale (C) (4,566 ) Balance at March 31, 2018 $ 72,689 (A) Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible. (B) Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount. (C) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. |
Summary of Activities Related to the Carrying Value of Loans Held-for-sale | Activities related to the carrying value of loans held-for-sale were as follows: Balance at December 31, 2017 $ 1,725,534 Purchases (A) 494,207 Transfer of loans from held-for-investment (B) 20,842 Sales (750,324 ) Transfer of loans to other assets (C) (885 ) Transfer of loans to real estate owned (8,301 ) Proceeds from repayments (35,121 ) Valuation (provision) reversal on loans (D) (3,997 ) Balance at March 31, 2018 $ 1,441,955 (A) Represents loans acquired with the intent to sell. (B) Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff. (C) Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2). (D) Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including an aggregate of $4.2 million of provision related to the call transactions executed during the three months ended March 31, 2018 . |
Schedule of Real Estate Owned | New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value. Real Estate Owned Balance at December 31, 2017 $ 128,295 Purchases 4,160 Transfer of loans to real estate owned 17,604 Sales (33,398 ) Valuation (provision) reversal on REO (1,045 ) Balance at March 31, 2018 $ 115,616 |
Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities | The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Residential mortgage loans $ 185,758 $ 188,957 Other assets — — Total assets (A) $ 185,758 $ 188,957 Liabilities Notes and bonds payable (B) $ 180,243 $ 184,490 Accounts payable and accrued expenses 16 16 Total liabilities (A) $ 180,259 $ 184,506 (A) The creditors of the RPL Borrowers do not have recourse to the general credit of New Residential, and the assets of the RPL Borrowers are not directly available to satisfy New Residential’s obligations. (B) Includes $78.2 million of bonds retained by New Residential issued by these VIEs. As described in “Call Rights” above, New Residential has issued securitizations which were treated as sales under GAAP. New Residential has no obligation to repurchase any loans from these securitizations and its exposure to loss is limited to the carrying amount of its retained interests in the securitization entities. These securitizations are conducted through variable interest entities, of which New Residential is not the primary beneficiary. The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of March 31, 2018 : Residential mortgage loan UPB $ 5,499,491 Weighted average delinquency (A) 2.64 % Net credit losses for the three months ended March 31, 2018 $ 1,776 Face amount of debt held by third parties (B) $ 5,129,663 Carrying value of bonds retained by New Residential (C) $ 522,549 Cash flows received by New Residential on these bonds for the three months ended March 31, 2018 $ 30,611 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,237,506 $ 1,289,010 Restricted cash 11,189 11,563 Accrued interest receivable 17,859 19,360 Total assets (A) $ 1,266,554 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,234,288 $ 1,284,436 Accounts payable and accrued expenses 4,178 4,007 Total liabilities (A) $ 1,238,466 $ 1,288,443 (A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. |
INVESTMENTS IN CONSUMER LOANS (
INVESTMENTS IN CONSUMER LOANS (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
Summary of the Investment in Consumer Loan Companies | The following table summarizes the investment in consumer loans, held-for-investment held by New Residential: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) March 31, 2018 Consumer Loan Companies Performing Loans $ 966,553 53.5 % $ 1,009,187 18.7 % 3.8 6.1 % Purchased Credit Deteriorated Loans (C) 271,329 53.5 % 228,319 16.2 % 3.4 12.6 % Other - Performing Loans 73,007 100.0 % 68,287 14.1 % 0.9 4.6 % Total Consumer Loans, held-for-investment $ 1,310,889 $ 1,305,793 17.9 % 3.5 7.3 % December 31, 2017 Consumer Loan Companies Performing Loans $ 1,005,570 53.5 % $ 1,052,561 18.7 % 3.7 6.0 % Purchased Credit Deteriorated Loans (C) 282,540 53.5 % 236,449 16.2 % 3.3 12.5 % Other - Performing Loans 89,682 100.0 % 85,253 14.1 % 1.0 4.5 % Total Consumer Loans, held-for-investment $ 1,377,792 $ 1,374,263 17.9 % 3.5 7.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (C) Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans. |
Past Due Financing Receivable | The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 84.9 % 30-59 5.8 % 60-89 2.3 % 90-119 (B) 1.0 % 120+ (C) 6.0 % 100.0 % (A) Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due. (C) Represents nonaccrual loans. The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses: March 31, 2018 Days Past Due Delinquency Status (A) Current 94.0 % 30-59 2.4 % 60-89 1.3 % 90-119 (B) 0.9 % 120+ (B) (C) 1.4 % 100.0 % (A) Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status. (B) Includes loans more than 90 days past due and still accruing interest. (C) Interest is accrued up to the date of charge-off at 180 days past due. |
Schedule of Carrying Value of Performing Consumer Loans | Activities related to the carrying value of performing consumer loans, held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 1,137,814 Purchases — Additional fundings (A) 8,020 Proceeds from repayments (52,799 ) Accretion of loan discount and premium amortization, net 358 Gross charge-offs (15,600 ) Additions to the allowance for loan losses, net (319 ) Balance at March 31, 2018 $ 1,077,474 (A) Represents draws on consumer loans with revolving privileges. |
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses | Activities related to the valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows: Performing Loans Balance at December 31, 2017 $ 196 Provision for loan losses (A) 140 Charge-offs (B) (336 ) Balance at March 31, 2018 $ — (A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level. (B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible. Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows: Collectively Evaluated (A) Individually Impaired (B) Total Balance at December 31, 2017 $ 4,429 $ 1,676 $ 6,105 Provision (reversal) for loan losses 13,718 28 13,746 Net charge-offs (C) (13,427 ) — (13,427 ) Balance at March 31, 2018 $ 4,720 $ 1,704 $ 6,424 (A) Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. (B) Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of March 31, 2018 , there are $11.5 million in UPB and $10.1 million in carrying value of consumer loans classified as TDRs. (C) Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $2.2 million in recoveries of previously charged-off UPB. |
Schedule of Carrying Value of Purchased Credit Deteriorated Loans | Activities related to the carrying value of PCD consumer loans, held-for-investment were as follows: Balance at December 31, 2017 $ 236,449 (Allowance) reversal for loan losses (A) — Proceeds from repayments (17,196 ) Accretion of loan discount and other amortization 9,066 Balance at March 31, 2018 $ 228,319 (A) An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance. |
Impaired Financing Receivables | The following is the unpaid principal balance and carrying value for consumer loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments: Unpaid Principal Balance Carrying Value March 31, 2018 $ 271,329 $ 228,319 December 31, 2017 282,540 236,449 |
Schedule of Changes in Accretable Yield | The following is a summary of the changes in accretable yield for these loans: Balance at December 31, 2017 $ 132,291 Accretion (9,066 ) Reclassifications from (to) non-accretable difference (A) 9,700 Balance at March 31, 2018 $ 132,925 (A) Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible. |
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | Others’ interests in the equity of the Consumer Loan Companies is computed as follows: March 31, 2018 December 31, 2017 Total Consumer Loan Companies equity $ 69,589 $ 74,071 Others’ ownership interest 46.5 % 46.5 % Others’ interests in equity of consolidated subsidiary $ 32,359 $ 34,466 Others’ interests in the Consumer Loan Companies’ net income (loss) is computed as follows: Three Months Ended 2018 2017 Net Consumer Loan Companies income (loss) $ 18,769 $ 21,420 Others’ ownership interest as a percent of total 46.5 % 46.5 % Others’ interest in net income (loss) of consolidated subsidiaries $ 8,728 $ 9,960 |
Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities | The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Residential mortgage loans $ 185,758 $ 188,957 Other assets — — Total assets (A) $ 185,758 $ 188,957 Liabilities Notes and bonds payable (B) $ 180,243 $ 184,490 Accounts payable and accrued expenses 16 16 Total liabilities (A) $ 180,259 $ 184,506 (A) The creditors of the RPL Borrowers do not have recourse to the general credit of New Residential, and the assets of the RPL Borrowers are not directly available to satisfy New Residential’s obligations. (B) Includes $78.2 million of bonds retained by New Residential issued by these VIEs. As described in “Call Rights” above, New Residential has issued securitizations which were treated as sales under GAAP. New Residential has no obligation to repurchase any loans from these securitizations and its exposure to loss is limited to the carrying amount of its retained interests in the securitization entities. These securitizations are conducted through variable interest entities, of which New Residential is not the primary beneficiary. The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of March 31, 2018 : Residential mortgage loan UPB $ 5,499,491 Weighted average delinquency (A) 2.64 % Net credit losses for the three months ended March 31, 2018 $ 1,776 Face amount of debt held by third parties (B) $ 5,129,663 Carrying value of bonds retained by New Residential (C) $ 522,549 Cash flows received by New Residential on these bonds for the three months ended March 31, 2018 $ 30,611 (A) Represents the percentage of the UPB that is 60 + days delinquent. (B) Excludes bonds retained by New Residential. (C) Includes bonds retained pursuant to required risk retention regulations. The following table presents information on the combined assets and liabilities related to these consolidated VIEs. As of March 31, 2018 December 31, 2017 Assets Consumer loans, held-for-investment $ 1,237,506 $ 1,289,010 Restricted cash 11,189 11,563 Accrued interest receivable 17,859 19,360 Total assets (A) $ 1,266,554 $ 1,319,933 Liabilities Notes and bonds payable (B) $ 1,234,288 $ 1,284,436 Accounts payable and accrued expenses 4,178 4,007 Total liabilities (A) $ 1,238,466 $ 1,288,443 (A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. (B) Includes $121.0 million face amount of bonds retained by New Residential issued by these VIEs. |
Equity Method Investments | The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential: March 31, 2018 December 31, 2017 Excess MSR assets $ 309,322 $ 321,197 Other assets 21,137 22,333 Other liabilities (687 ) — Equity $ 329,772 $ 343,530 New Residential’s investment $ 164,886 $ 171,765 New Residential’s ownership 50.0 % 50.0 % Three Months Ended 2018 2017 Interest income $ 5,227 $ 4,182 Other income (loss) (4,181 ) (4,646 ) Expenses — (25 ) Net income (loss) $ 1,046 $ (489 ) New Residential’s investments in equity method investees changed during the three months ended March 31, 2018 as follows: Balance at December 31, 2017 $ 171,765 Contributions to equity method investees — Distributions of earnings from equity method investees (4,938 ) Distributions of capital from equity method investees (2,464 ) Change in fair value of investments in equity method investees 523 Balance at March 31, 2018 $ 164,886 The following tables summarize the investment in LoanCo and WarrantCo held by New Residential: March 31, 2018 (A) December 31, 2017 (A) Consumer loans, at fair value $ 523,714 $ 178,422 Warrants, at fair value 94,680 80,746 Other assets 55,721 46,342 Warehouse financing (400,000 ) (117,944 ) Other liabilities (3,566 ) (13,059 ) Equity $ 270,549 $ 174,507 Undistributed retained earnings $ — $ — New Residential’s investment $ 66,285 $ 42,473 New Residential’s ownership 24.5 % 24.3 % Three Months Ended March 31, 2018 (B) 2017 (B) (C) Interest income $ 12,792 $ — Interest expense (3,368 ) — Change in fair value of consumer loans and warrants 13,552 — Gain on sale of consumer loans (420 ) — Other expenses (3,207 ) — Net income $ 19,349 $ — New Residential’s equity in net income $ 4,806 $ — New Residential’s ownership 24.8 % — % (A) Data as of February 28, 2018 and November 30, 2017 , respectively, as a result of the one month reporting lag. (B) Data for the periods ended February 28, 2018 and 2017 , respectively, as a result of the one month reporting lag. (C) No activity due to LoanCo operations and distribution of income beginning March 2017. The following is a summary of LoanCo’s consumer loan investments: Unpaid Principal Balance Interest in Consumer Loans Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) Weighted Average Delinquency (B) March 31, 2018 (C) $ 523,714 25.0 % $ 523,714 14.4 % 1.4 0.3 % (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties. (C) Data as of February 28, 2018 as a result of the one month reporting lag. New Residential’s investment in LoanCo and WarrantCo changed as follows: Balance at December 31, 2017 $ 51,412 Contributions to equity method investees 83,227 Distributions of earnings from equity method investees (1,449 ) Distributions of capital from equity method investees (91,861 ) Earnings from investments in consumer loans, equity method investees 4,806 Balance at March 31, 2018 $ 46,135 |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivatives | New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows: Balance Sheet Location March 31, 2018 December 31, 2017 Derivative assets Interest Rate Swaps (A) Other assets $ 3 $ — Interest Rate Caps Other assets 585 2,423 TBAs Other assets — — $ 588 $ 2,423 Derivative liabilities Interest Rate Swaps (A) Accrued expenses and other liabilities $ — $ — TBAs Accrued expenses and other liabilities 4,091 697 $ 4,091 $ 697 (A) Net of less than $0.1 million of related variation margin accounts as of March 31, 2018 . As of December 31, 2017 , no variation margin accounts existed. The following table summarizes notional amounts related to derivatives: March 31, 2018 December 31, 2017 TBAs, short position (A) $ 2,176,700 $ 3,101,100 TBAs, long position (A) 1,066,300 1,014,000 Interest Rate Caps (B) 347,500 772,500 Interest Rate Swaps (C) 430,000 — (A) Represents the notional amount of Agency RMBS, classified as derivatives. (B) As of March 31, 2018 , caps LIBOR at 2.00% for $185.0 million of notional, at 4.00% for $12.5 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of March 31, 2018 was 13 months. (C) Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of March 31, 2018 was 37 months and the weighted average fixed pay rate was 2.67% . The following table summarizes all income (losses) recorded in relation to derivatives: For the 2018 2017 Other income (loss), net (A) TBAs $ 1,994 $ 123 Interest Rate Caps 486 573 Interest Rate Swaps (34 ) 3,630 2,446 4,326 Gain (loss) on settlement of investments, net TBAs 15,436 (6,801 ) Interest Rate Caps (733 ) (562 ) Interest Rate Swaps 22,660 (4,473 ) 37,363 (11,836 ) Total income (losses) $ 39,809 $ (7,510 ) (A) Represents unrealized gains (losses). |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | The following table presents certain information regarding New Residential’s debt obligations: March 31, 2018 December 31, 2017 Collateral Debt Obligations/Collateral Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Repurchase Agreements (C) Agency RMBS (D) $ 1,143,995 $ 1,143,995 Apr-18 to May-18 1.87 % 0.1 $ 1,174,559 $ 1,194,658 $ 1,191,311 0.4 $ 1,974,164 Non-Agency RMBS (E) 5,078,084 5,078,084 Apr-18 to Aug-18 3.19 % 0.1 12,806,279 5,876,597 6,299,657 7.8 4,720,290 Residential Mortgage Loans (F) 1,311,527 1,310,315 Jul-18 to Dec-19 3.96 % 0.9 1,730,220 1,590,315 1,556,309 4.8 1,849,004 Real Estate Owned (G)(H) 103,195 103,100 Jul-18 to Dec-19 4.02 % 0.5 N/A N/A 132,788 N/A 118,681 Total Repurchase Agreements 7,636,801 7,635,494 3.14 % 0.2 8,662,139 Notes and Bonds Payable Excess MSRs (I) 197,759 197,563 Feb-20 to Jul-22 4.88 % 4.3 157,136,623 424,942 545,851 5.6 483,978 MSRs (J) 1,752,489 1,747,218 Feb-19 to Dec-22 4.03 % 2.9 343,628,101 3,198,106 4,016,436 6.3 1,157,179 Servicer Advances (K) 3,784,178 3,776,597 May-18 to Dec-21 3.52 % 2.4 4,298,166 4,324,840 4,348,739 1.3 4,060,156 Residential Mortgage Loans (L) 132,844 132,844 Oct-18 to Apr-20 3.60 % 2.0 225,044 176,795 175,170 7.9 137,196 Consumer Loans (M) 1,178,425 1,173,568 Dec-21 to Mar-24 3.36 % 3.1 1,310,728 1,312,055 1,305,631 3.5 1,242,756 Receivable from government agency (L) 3,231 3,231 Oct-18 3.78 % 0.6 N/A N/A 2,025 N/A 3,126 Total Notes and Bonds Payable 7,048,926 7,031,021 3.66 % 2.7 7,084,391 Total/ Weighted Average $ 14,685,727 $ 14,666,515 3.39 % 1.4 $ 15,746,530 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through April 24, 2018 were refinanced, extended or repaid. (C) These repurchase agreements had approximately $16.4 million of associated accrued interest payable as of March 31, 2018 . (D) All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.1 billion of related trade and other receivables. (E) All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $168.8 million on retained servicer advance and consumer loan bonds. (F) All of these repurchase agreements have LIBOR-based floating interest rates. (G) All of these repurchase agreements have LIBOR-based floating interest rates. (H) Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee. (I) Includes $197.8 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% , and includes corporate loans with no balance currently outstanding which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes. (J) Includes: $313.9 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.25% ; $480.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.00% ; $73.4 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50% ; and $885.2 million of corporate loans with fixed interest rates ranging from 3.55% to 3.68% . The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes. (K) $3.5 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 2.0% to 2.4% . Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM. (L) Represents: (i) a $10.3 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88% and (ii) $125.8 million of asset-backed notes held by third parties which bear interest equal to 3.60% . (M) Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $876.5 million UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024. Also includes a $54.5 million face amount note which bears interest equal to 4.00% . Activities related to the carrying value of New Residential’s debt obligations were as follows: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans Total Balance at December 31, 2017 $ 483,978 $ 1,157,179 $ 4,060,156 $ 6,694,454 $ 2,108,007 $ 1,242,756 $ 15,746,530 Repurchase Agreements: Borrowings — — — 15,141,907 144,161 — 15,286,068 Repayments — — — (15,614,282 ) (698,732 ) — (16,313,014 ) Capitalized deferred financing costs, net of amortization — — — — 301 — 301 Notes and Bonds Payable: Borrowings — 1,130,000 1,378,665 — — — 2,508,665 Repayments (286,440 ) (535,596 ) (1,661,053 ) — (4,247 ) (69,625 ) (2,556,961 ) Discount on borrowings, net of amortization — — 10 — — — 10 Capitalized deferred financing costs, net of amortization 25 (4,365 ) (1,180 ) — — 437 (5,083 ) Balance at March 31, 2018 $ 197,563 $ 1,747,218 $ 3,776,597 $ 6,222,079 $ 1,549,490 $ 1,173,568 $ 14,666,515 (A) New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances. |
Schedule of Contractual Maturities of Debt Obligations | New Residential’s debt obligations as of March 31, 2018 had contractual maturities as follows: Year Nonrecourse Recourse Total April 1 through December 31, 2018 $ 56,793 $ 7,108,217 $ 7,165,010 2019 1,063,238 852,754 1,915,992 2020 952,691 — 952,691 2021 1,891,699 885,163 2,776,862 2022 73,442 677,770 751,212 2023 and thereafter 1,123,960 — 1,123,960 $ 5,161,823 $ 9,523,904 $ 14,685,727 |
Schedule of Borrowing Capacity | The following table represents New Residential’s borrowing capacity as of March 31, 2018 : Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing Repurchase Agreements Residential mortgage loans and REO $ 2,065,000 $ 1,414,722 $ 650,278 Notes and Bonds Payable Excess MSRs 150,000 — 150,000 MSRs 875,000 387,313 487,687 Servicer advances (A) 1,780,120 1,302,681 477,439 Consumer loans 150,000 54,466 95,534 $ 5,020,120 $ 3,159,182 $ 1,860,938 (A) New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of $93.5 million . |
FAIR VALUE MEASUREMENT (Tables)
FAIR VALUE MEASUREMENT (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of New Residential’s assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of March 31, 2018 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Investments in: Excess mortgage servicing rights, at fair value (A) $ 124,900,750 $ 515,676 $ — $ — $ 515,676 $ 515,676 Excess mortgage servicing rights, equity method investees, at fair value (A) 49,435,804 164,886 — — 164,886 164,886 Mortgage servicing rights, at fair value (A) 197,462,949 2,129,665 — — 2,129,665 2,129,665 Mortgage servicing rights financing receivables, at fair value 146,165,152 1,886,771 — — — 1,886,771 1,886,771 Servicer advance investments, at fair value 818,431 955,364 — — 955,364 955,364 Real estate and other securities, available-for-sale 14,778,190 7,585,323 — 1,214,115 6,371,208 7,585,323 Residential mortgage loans, held-for-investment 751,155 647,960 — — 640,769 640,769 Residential mortgage loans, held-for-sale 1,640,988 1,441,955 — — 1,512,223 1,512,223 Consumer loans, held-for-investment 1,310,889 1,305,793 — — 1,299,054 1,299,054 Derivative assets 777,500 588 — 588 — 588 Cash and cash equivalents 233,233 233,233 233,233 — — 233,233 Restricted cash 179,688 179,688 179,688 — — 179,688 Other assets 35,377 25,031 — 10,346 35,377 $ 17,082,279 $ 437,952 $ 1,214,703 $ 15,485,962 $ 17,138,617 Liabilities Repurchase agreements $ 7,636,801 $ 7,635,494 $ — $ 7,636,801 $ — $ 7,636,801 Notes and bonds payable 7,048,926 7,031,021 — — 7,005,197 7,005,197 Derivative liabilities 3,243,000 4,091 — 4,091 — 4,091 $ 14,670,606 $ — $ 7,640,892 $ 7,005,197 $ 14,646,089 (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. |
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | New Residential’s assets measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Excess MSRs (A) Excess MSRs in Equity Method Investees (A)(B) MSRs (A) Mortgage Servicing Rights Financing Receivable (A) Servicer Advance Investments Non-Agency RMBS Agency Non-Agency Total Balance at December 31, 2017 $ 324,636 $ 849,077 $ 171,765 $ 1,735,504 $ 598,728 $ 4,027,379 $ 5,974,789 $ 13,681,878 Transfers (C) Transfers from Level 3 — — — — — — — — Transfers to Level 3 — — — — — — — — Gains (losses) included in net income Included in other-than-temporary impairment on securities (D) — — — — — — (6,670 ) (6,670 ) Included in change in fair value of investments in excess mortgage servicing rights (D) (3,169 ) (42,522 ) — — — — — (45,691 ) Included in change in fair value of investments in excess mortgage servicing rights, equity method investees (D) — 523 — — — — 523 Included in servicing revenue, net (E) — — — 74,666 — — — 74,666 Included in change in fair value of investments in mortgage servicing rights financing receivables (D) — — — — 271,076 — — 271,076 Included in change in fair value of servicer advance investments — — — — (79,476 ) — (79,476 ) Included in gain (loss) on settlement of investments, net — 40,417 — — — 72,585 — 113,002 Included in other income (loss), net (D) 2,879 26 — — — — (313 ) 2,592 Gains (losses) included in other comprehensive income (F) — — — — — — 49,164 49,164 Interest income 4,240 5,119 — — — 18,889 75,678 103,926 Purchases, sales and repayments Purchases — — — 319,495 — 880,618 523,785 1,723,898 Proceeds from sales — — — — (1,026 ) — — (1,026 ) Proceeds from repayments (15,201 ) (11,259 ) (7,402 ) — — (761,793 ) (245,225 ) (1,040,880 ) New Ocwen Agreements (Note 5) — (638,567 ) — — 1,017,993 (3,202,838 ) — (2,823,412 ) Balance at March 31, 2018 $ 313,385 $ 202,291 $ 164,886 $ 2,129,665 $ 1,886,771 $ 955,364 $ 6,371,208 $ 12,023,570 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest. (C) Transfers are assumed to occur at the beginning of the respective period. (D) The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates and realized gains (losses) recorded during the period. (E) The components of Servicing revenue, net are disclosed in Note 5. (F) These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income. |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the weighted average inputs used as of March 31, 2018 : Significant Inputs (A) Prepayment Rate (B) Delinquency (C) Recapture Rate (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 9.8 % 3.0 % 32.1 % 21 23 Recaptured Pools 7.4 % 4.4 % 23.8 % 22 24 Recapture Agreement 7.4 % 4.4 % 24.9 % 22 — 9.0 % 3.5 % 29.5 % 21 23 Non-Agency (G) Nationstar and SLS Serviced: Original Pools 12.1 % N/A 15.5 % 15 24 Recaptured Pools 7.0 % N/A 19.8 % 22 24 Recapture Agreement 7.0 % N/A 19.7 % 20 — 11.3 % N/A 16.1 % 16 24 Total/Weighted Average--Excess MSRs Directly Held 9.9 % 3.5 % 24.2 % 19 23 Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 11.1 % 4.9 % 34.9 % 19 22 Recaptured Pools 7.4 % 4.6 % 24.1 % 23 24 Recapture Agreement 7.4 % 4.6 % 24.4 % 23 — Total/Weighted Average--Excess MSRs Held through Investees 9.2 % 4.7 % 29.5 % 21 23 Total/Weighted Average--Excess MSRs All Pools 9.7 % 4.0 % 26.2 % 20 23 MSRs Agency Mortgage Servicing Rights (H) 9.3 % 1.4 % 24.7 % 27 22 Mortgage Servicing Rights Financing Receivables 9.2 % 1.2 % 15.0 % 27 20 Non-Agency Mortgage Servicing Rights Financing Receivables 9.1 % 15.2 % — % 45 26 (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $7.43 per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $12.80 per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. (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. |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Weighted Average Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) March 31, 2018 1.5 % 12.8 % 19.7 % 19.5 bps 5.8 % 23.2 (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 9.1 bps which represents the amount New Residential paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. |
Schedule of Securities Valuation Methodology and Results | As of March 31, 2018 , New Residential’s securities valuation methodology and results are further detailed as follows: Fair Value Asset Type Outstanding Face Amount Amortized Cost Basis Multiple Quotes (A) Single Quote (B) Total Level Agency RMBS $ 1,221,259 $ 1,217,176 $ 1,214,115 $ — $ 1,214,115 2 Non-Agency RMBS (C) 13,556,931 5,947,212 6,364,120 7,088 6,371,208 3 Total $ 14,778,190 $ 7,164,388 $ 7,578,235 $ 7,088 $ 7,585,323 (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 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 81.8% of New Residential’s Non-Agency RMBS, the ranges of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 5,210,885 2.66% to 28.00% 0.25% to 22.00% 0.15% to 9.00% 5.0 % to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) New Residential was unable to obtain quotations from more than one source on these securities. For approximately $6.7 million , the one source was the party that sold New Residential the security. (C) Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected. |
Summary of Valuation Techniques | The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 5,210,885 2.66% to 28.00% 0.25% to 22.00% 0.15% to 9.00% 5.0 % to 100% (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. |
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs used in valuing these residential mortgage loans as of March 31, 2018 : Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing Loans $ 215,406 4.0 % 5.1 10.3 % 1.5 % 31.6 % Non-Performing Loans 49,837 6.6 % 3.2 3.0 % 3.0 % 30.0 % Total/Weighted Average $ 265,243 4.0 % 4.9 8.9 % 1.3 % 36.6 % (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. |
EQUITY AND EARNINGS PER SHARE (
EQUITY AND EARNINGS PER SHARE (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Equity and Earnings Per Share [Abstract] | |
Summary of Outstanding Options | As of March 31, 2018 , New Residential’s outstanding options were summarized as follows: Held by the Manager 18,131,564 Issued to the Manager and subsequently transferred to certain of the Manager’s employees 3,239,624 Issued to the independent directors 6,000 Total 21,377,188 The following table summarizes New Residential’s outstanding options as of March 31, 2018 . The last sales price on the New York Stock Exchange for New Residential’s common stock in the quarter ended March 31, 2018 was $16.45 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Options Exercisable as of March 31, 2018 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) Directors Various 6,000 6,000 $ 13.49 $ — Manager (C) 2012 25,000 25,000 6.70 0.2 Manager (C) 2013 835,571 835,571 10.98 4.6 Manager (C) 2014 1,437,500 1,437,500 11.70 6.8 Manager (C) 2015 8,543,539 8,543,539 14.96 12.7 Manager (C) 2016 2,000,000 1,266,667 13.70 3.5 Manager (C) 2017 5,654,578 2,450,317 14.50 4.8 Manager (C) 2018 2,875,000 191,667 17.10 — Outstanding 21,377,188 14,756,261 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. A portion of New Residential’s 2017 dividends was deemed to be a return of capital and the exercise prices were adjusted accordingly. (C) The Manager assigned certain of its options to Fortress’s employees as follows: Date of Grant to Manager Range of Exercise Prices Total Unexercised Inception to Date 2015 $14.75 to $15.38 1,708,708 2016 $13.70 400,000 2017 $14.50 1,130,916 Total 3,239,624 The following table summarizes activity in New Residential’s outstanding options: Amount Weighted Average Exercise Price December 31, 2017 outstanding options 18,502,188 Options granted 2,875,000 $ 17.10 Options exercised — $ — Options expired unexercised — March 31, 2018 outstanding options 21,377,188 See table above |
TRANSACTIONS WITH AFFILIATES 39
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Transactions With Affiliates And Affiliated Entities | |
Schedule of Affiliate Transactions | Due to affiliates is comprised of the following amounts: March 31, 2018 December 31, 2017 Management fees $ 5,156 $ 4,734 Incentive compensation 14,589 81,373 Expense reimbursements and other 547 2,854 Total $ 20,292 $ 88,961 Affiliate expenses and fees were comprised of: Three Months Ended 2018 2017 Management fees $ 15,110 $ 13,074 Incentive compensation 14,589 12,460 Expense reimbursements (A) 125 125 Total $ 29,824 $ 25,659 (A) Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income. |
RECLASSIFICATION FROM ACCUMUL40
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Equity [Abstract] | |
Summary of Amounts Reclassified out of Accumulated Other Comprehensive Income into Net Income | The following table summarizes the amounts reclassified out of accumulated other comprehensive income into net income: Three Months Ended Accumulated Other Comprehensive Income Components Statement of Income Location 2018 2017 Reclassification of net realized (gain) loss on securities into earnings Gain (loss) on settlement of investments, net $ 29,227 $ (993 ) Reclassification of net realized (gain) loss on securities into earnings Other-than-temporary impairment on securities 6,670 2,112 Total reclassifications $ 35,897 $ 1,119 |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax expense (benefit) consists of the following: Three Months Ended 2018 2017 Current: Federal $ 1,708 $ 2,108 State and Local 436 70 Total Current Income Tax Expense (Benefit) 2,144 2,178 Deferred: Federal (8,673 ) 2,746 State and Local (383 ) 672 Total Deferred Income Tax Expense (Benefit) (9,056 ) 3,418 Total Income Tax Expense (Benefit) $ (6,912 ) $ 5,596 |
ORGANIZATION AND BASIS OF PRE42
ORGANIZATION AND BASIS OF PRESENTATION (Details) - shares | Mar. 31, 2018 | Dec. 31, 2017 |
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 336,135,391 | 307,361,309 |
Common stock options, outstanding (in shares) | 21,377,188 | 18,502,188 |
Fortress-managed funds | ||
Related Party Transaction [Line Items] | ||
Common stock, shares outstanding (in shares) | 500,000 | |
Common stock options, outstanding (in shares) | 18,100,000 | |
Nationstar Mortgage LLC | FIG LLC | ||
Related Party Transaction [Line Items] | ||
Interest in Consumer Loans | 40.50% |
OTHER INCOME, ASSETS AND LIAB43
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Gain (Loss) on Settlement of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Gain on Settlement of Investments, Net | ||
Gain (loss) on sale of real estate securities, net | $ (29,227) | $ 993 |
Gain (loss) on sale of residential mortgage loans, net | (14,651) | 2,565 |
Gain (loss) on settlement of derivatives | 37,363 | (11,836) |
Gain (loss) on liquidated residential mortgage loans | (385) | (2,216) |
Gain (loss) on sale of REO | (2,800) | (2,610) |
Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments | 113,002 | 0 |
Other gains (losses) | 0 | (570) |
Gain (loss) on settlement of investments, net | $ 103,302 | $ (13,674) |
OTHER INCOME, ASSETS AND LIAB44
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Other income (loss), net | ||
Unrealized gain (loss) on derivative instruments | $ 2,446 | $ 4,326 |
Unrealized gain (loss) on other ABS | (313) | 758 |
Gain (loss) on transfer of loans to REO | 4,170 | 6,634 |
Gain (loss) on transfer of loans to other assets | 55 | 212 |
Gain (loss) on Excess MSRs | 2,905 | 627 |
Gain (loss) on Ocwen common stock | 5,772 | 0 |
Other income (loss) | (5,051) | (5,713) |
Total other income (loss), net | $ 9,984 | $ 6,844 |
OTHER INCOME, ASSETS AND LIAB45
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Other Assets | ||
Margin receivable, net | $ 40,702 | $ 53,150 |
Other receivables | 62,109 | 10,635 |
Principal and interest receivable | 45,548 | 48,373 |
Receivable from government agency | 30,863 | 41,429 |
Call rights | 327 | 327 |
Derivative assets | 588 | 2,423 |
Servicing fee receivables | 63,199 | 60,520 |
Ginnie Mae EBO servicer advances receivable, net | 3,554 | 8,916 |
Due from servicers | 26,595 | 38,601 |
Ocwen common stock, at fair value | 25,031 | 19,259 |
Prepaid expenses | 6,449 | 7,308 |
Other assets | 21,978 | 21,240 |
Prepaid expense and other assets | 326,943 | 312,181 |
Accrued Expenses and Other Liabilities | ||
Interest payable | 26,124 | 28,821 |
Accounts payable | 47,877 | 73,017 |
Derivative liabilities | 4,091 | 697 |
Current taxes payable | 0 | 0 |
Due to servicers | 72,705 | 24,571 |
MSR purchase price holdback | 101,464 | 101,290 |
Other liabilities | 16,008 | 10,718 |
Accrued Expenses and Other Liabilities | $ 268,269 | $ 239,114 |
OTHER INCOME, ASSETS AND LIAB46
OTHER INCOME, ASSETS AND LIABILITIES - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Accretion and other amortization: | ||
Accretion of servicer advance investment and receivable interest income | $ 77,640 | $ 76,043 |
Accretion of excess mortgage servicing rights income | 9,359 | 31,418 |
Accretion of net discount on securities and loans | 92,708 | 88,984 |
Amortization of deferred financing costs | (1,874) | (3,574) |
Amortization of discount on notes and bonds payable | (462) | (447) |
Accretion of loan discount and premium amortization, net | $ 177,371 | $ 192,424 |
SEGMENT REPORTING (Details)
SEGMENT REPORTING (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Segment Reporting Information [Line Items] | |||
Interest income | $ 383,573 | $ 292,538 | |
Interest expense | 124,387 | 98,229 | |
Net interest income (expense) | 259,186 | 194,309 | |
Impairment | 25,677 | 20,022 | |
Servicing revenue, net | 217,236 | 40,602 | |
Other income (loss) | 264,524 | (3,694) | |
Operating expenses | 107,817 | 68,441 | |
Income (Loss) Before Income Taxes | 607,452 | 142,754 | |
Income tax expense (benefit) | (6,912) | 5,596 | |
Net Income (Loss) | 614,364 | 137,158 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 10,111 | 15,780 | |
Net income (loss) attributable to common stockholders | 604,253 | 121,378 | |
Investments | 16,795,144 | ||
Cash and cash equivalents | 233,233 | ||
Restricted cash | 179,688 | $ 150,252 | |
Other assets | 4,803,876 | ||
Total assets | 22,011,941 | 22,213,562 | |
Debt | 14,666,515 | 15,746,530 | |
Other liabilities | 1,583,739 | ||
Total liabilities | 16,250,254 | 17,417,400 | |
Total equity | 5,761,687 | 4,796,162 | |
Noncontrolling interests in equity of consolidated subsidiaries | 97,751 | 105,957 | |
Total New Residential stockholders’ equity | 5,663,936 | $ 4,690,205 | |
Investments in equity method investees | 211,021 | ||
Excess MSRs | |||
Segment Reporting Information [Line Items] | |||
Interest income | 9,359 | 31,418 | |
Interest expense | 4,489 | 10,072 | |
Net interest income (expense) | 4,870 | 21,346 | |
Impairment | 0 | 0 | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | (1,889) | 1,204 | |
Operating expenses | 61 | 86 | |
Income (Loss) Before Income Taxes | 2,920 | 22,464 | |
Income tax expense (benefit) | 0 | 0 | |
Net Income (Loss) | 2,920 | 22,464 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |
Net income (loss) attributable to common stockholders | 2,920 | 22,464 | |
Investments | 680,562 | ||
Cash and cash equivalents | 187 | ||
Restricted cash | 3,624 | ||
Other assets | 4,343 | ||
Total assets | 688,716 | ||
Debt | 197,563 | ||
Other liabilities | 1,555 | ||
Total liabilities | 199,118 | ||
Total equity | 489,598 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | ||
Total New Residential stockholders’ equity | 489,598 | ||
Investments in equity method investees | 164,886 | ||
MSRs | |||
Segment Reporting Information [Line Items] | |||
Interest income | 166,518 | 25 | |
Interest expense | 44,111 | 987 | |
Net interest income (expense) | 122,407 | (962) | |
Impairment | 0 | 0 | |
Servicing revenue, net | 217,236 | 40,602 | |
Other income (loss) | 271,777 | 213 | |
Operating expenses | 52,278 | 19,723 | |
Income (Loss) Before Income Taxes | 559,142 | 20,130 | |
Income tax expense (benefit) | (6,729) | (1,279) | |
Net Income (Loss) | 565,871 | 21,409 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |
Net income (loss) attributable to common stockholders | 565,871 | 21,409 | |
Investments | 4,016,436 | ||
Cash and cash equivalents | 147,305 | ||
Restricted cash | 114,152 | ||
Other assets | 3,465,768 | ||
Total assets | 7,743,661 | ||
Debt | 4,864,332 | ||
Other liabilities | 225,321 | ||
Total liabilities | 5,089,653 | ||
Total equity | 2,654,008 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | ||
Total New Residential stockholders’ equity | 2,654,008 | ||
Investments in equity method investees | 0 | ||
Servicer Advances | |||
Segment Reporting Information [Line Items] | |||
Interest income | 18,891 | 76,704 | |
Interest expense | 6,430 | 43,876 | |
Net interest income (expense) | 12,461 | 32,828 | |
Impairment | 0 | 0 | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | (6,577) | 1,801 | |
Operating expenses | 144 | 824 | |
Income (Loss) Before Income Taxes | 5,740 | 33,805 | |
Income tax expense (benefit) | (427) | 9,192 | |
Net Income (Loss) | 6,167 | 24,613 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 1,383 | 5,820 | |
Net income (loss) attributable to common stockholders | 4,784 | 18,793 | |
Investments | 955,364 | ||
Cash and cash equivalents | 35,829 | ||
Restricted cash | 10,664 | ||
Other assets | 3,614 | ||
Total assets | 1,005,471 | ||
Debt | 729,539 | ||
Other liabilities | (14,129) | ||
Total liabilities | 715,410 | ||
Total equity | 290,061 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 65,392 | ||
Total New Residential stockholders’ equity | 224,669 | ||
Investments in equity method investees | 0 | ||
Real Estate Securities | |||
Segment Reporting Information [Line Items] | |||
Interest income | 101,133 | 93,808 | |
Interest expense | 41,530 | 20,881 | |
Net interest income (expense) | 59,603 | 72,927 | |
Impairment | 6,670 | 2,112 | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | 10,569 | (5,596) | |
Operating expenses | 297 | 331 | |
Income (Loss) Before Income Taxes | 63,205 | 64,888 | |
Income tax expense (benefit) | 0 | 0 | |
Net Income (Loss) | 63,205 | 64,888 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |
Net income (loss) attributable to common stockholders | 63,205 | 64,888 | |
Investments | 7,585,323 | ||
Cash and cash equivalents | 1,673 | ||
Restricted cash | 0 | ||
Other assets | 1,136,075 | ||
Total assets | 8,723,071 | ||
Debt | 6,053,287 | ||
Other liabilities | 1,137,019 | ||
Total liabilities | 7,190,306 | ||
Total equity | 1,532,765 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | ||
Total New Residential stockholders’ equity | 1,532,765 | ||
Investments in equity method investees | 0 | ||
Residential Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Interest income | 34,392 | 17,993 | |
Interest expense | 16,311 | 7,540 | |
Net interest income (expense) | 18,081 | 10,453 | |
Impairment | 5,183 | (2,018) | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | (20,217) | (1,336) | |
Operating expenses | 8,947 | 5,853 | |
Income (Loss) Before Income Taxes | (16,266) | 5,282 | |
Income tax expense (benefit) | 0 | (2,317) | |
Net Income (Loss) | (16,266) | 7,599 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |
Net income (loss) attributable to common stockholders | (16,266) | 7,599 | |
Investments | 2,205,531 | ||
Cash and cash equivalents | 2,532 | ||
Restricted cash | 0 | ||
Other assets | 92,496 | ||
Total assets | 2,300,559 | ||
Debt | 1,549,489 | ||
Other liabilities | 23,577 | ||
Total liabilities | 1,573,066 | ||
Total equity | 727,493 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | ||
Total New Residential stockholders’ equity | 727,493 | ||
Investments in equity method investees | 0 | ||
Consumer Loans | |||
Segment Reporting Information [Line Items] | |||
Interest income | 52,648 | 72,406 | |
Interest expense | 11,516 | 14,873 | |
Net interest income (expense) | 41,132 | 57,533 | |
Impairment | 13,824 | 19,928 | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | 5,090 | 20 | |
Operating expenses | 9,437 | 11,438 | |
Income (Loss) Before Income Taxes | 22,961 | 26,187 | |
Income tax expense (benefit) | 244 | 0 | |
Net Income (Loss) | 22,717 | 26,187 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 8,728 | 9,960 | |
Net income (loss) attributable to common stockholders | 13,989 | 16,227 | |
Investments | 1,351,928 | ||
Cash and cash equivalents | 25,382 | ||
Restricted cash | 51,248 | ||
Other assets | 26,177 | ||
Total assets | 1,454,735 | ||
Debt | 1,272,305 | ||
Other liabilities | 13,852 | ||
Total liabilities | 1,286,157 | ||
Total equity | 168,578 | ||
Noncontrolling interests in equity of consolidated subsidiaries | 32,359 | ||
Total New Residential stockholders’ equity | 136,219 | ||
Investments in equity method investees | 46,135 | ||
Corporate | |||
Segment Reporting Information [Line Items] | |||
Interest income | 632 | 184 | |
Interest expense | 0 | 0 | |
Net interest income (expense) | 632 | 184 | |
Impairment | 0 | 0 | |
Servicing revenue, net | 0 | 0 | |
Other income (loss) | 5,771 | 0 | |
Operating expenses | 36,653 | 30,186 | |
Income (Loss) Before Income Taxes | (30,250) | (30,002) | |
Income tax expense (benefit) | 0 | 0 | |
Net Income (Loss) | (30,250) | (30,002) | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | |
Net income (loss) attributable to common stockholders | (30,250) | $ (30,002) | |
Investments | 0 | ||
Cash and cash equivalents | 20,325 | ||
Restricted cash | 0 | ||
Other assets | 75,403 | ||
Total assets | 95,728 | ||
Debt | 0 | ||
Other liabilities | 196,544 | ||
Total liabilities | 196,544 | ||
Total equity | (100,816) | ||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | ||
Total New Residential stockholders’ equity | (100,816) | ||
Investments in equity method investees | $ 0 |
INVESTMENTS IN EXCESS MORTGAG48
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) - Excess MSRs $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | $ 1,173,713 |
Purchases | 0 |
Interest income | 9,359 |
Other income | 2,905 |
Proceeds from repayments | (26,460) |
Proceeds from sales | 0 |
Change in fair value | (45,691) |
New Ocwen Agreements | (598,150) |
Ending balance | 515,676 |
Nationstar | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 532,233 |
Purchases | 0 |
Interest income | 9,354 |
Other income | 2,905 |
Proceeds from repayments | (26,290) |
Proceeds from sales | 0 |
Change in fair value | (5,326) |
New Ocwen Agreements | 0 |
Ending balance | 512,876 |
SLS | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 2,913 |
Purchases | 0 |
Interest income | 5 |
Other income | 0 |
Proceeds from repayments | (170) |
Proceeds from sales | 0 |
Change in fair value | 52 |
New Ocwen Agreements | 0 |
Ending balance | 2,800 |
Ocwen | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 638,567 |
Purchases | 0 |
Interest income | 0 |
Other income | 0 |
Proceeds from repayments | 0 |
Proceeds from sales | 0 |
Change in fair value | (40,417) |
New Ocwen Agreements | (598,150) |
Ending balance | $ 0 |
INVESTMENTS IN EXCESS MORTGAG49
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Direct Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Investment [Line Items] | |||
Weighted Average Life (Years) | 1 year 4 months 30 days | ||
Principal investment gain (loss) | $ (45,691) | $ 821 | |
Servicer Advance Investments | Servicer Advances | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | 47,831,952 | $ 139,460,371 | |
MSRs | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 197,462,949 | ||
Weighted Average Life (Years) | 6 years 5 months 4 days | ||
Amortized Cost Basis | $ 1,740,698 | ||
Carrying Value | 2,129,665 | ||
Original and Recaptured Pools | |||
Investment [Line Items] | |||
Principal investment gain (loss) | (43,122) | (7,248) | |
Recapture Agreements | |||
Investment [Line Items] | |||
Principal investment gain (loss) | (2,569) | $ 8,069 | |
Agency | MSRs | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 197,403,568 | ||
Weighted Average Life (Years) | 6 years 5 months 4 days | ||
Amortized Cost Basis | $ 1,740,698 | ||
Carrying Value | 2,129,665 | ||
Non-Agency | MSRs | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 59,381 | ||
Weighted Average Life (Years) | 6 years 3 months 14 days | ||
Amortized Cost Basis | $ 0 | ||
Carrying Value | 0 | ||
Excess MSRs | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 124,900,750 | ||
Weighted Average Life (Years) | 6 years | ||
Amortized Cost Basis | $ 416,178 | ||
Carrying Value | 515,676 | 1,173,713 | |
Excess MSRs | Ocwen | |||
Investment [Line Items] | |||
Carrying Value | 0 | 638,567 | |
Excess MSRs | Nationstar | |||
Investment [Line Items] | |||
Carrying Value | 512,876 | 532,233 | |
Excess MSRs | Agency | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 62,526,609 | ||
Weighted Average Life (Years) | 6 years 3 months 18 days | ||
Amortized Cost Basis | $ 259,864 | ||
Carrying Value | 313,385 | 324,636 | |
Excess MSRs | Agency | Original and Recaptured Pools | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 62,526,609 | ||
Weighted Average Life (Years) | 5 years 9 months 18 days | ||
Amortized Cost Basis | $ 242,028 | ||
Carrying Value | $ 271,623 | 280,033 | |
Excess MSRs | Agency | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 32.50% | ||
Excess MSRs | Agency | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 66.70% | ||
Excess MSRs | Agency | Original and Recaptured Pools | Weighted Average | |||
Investment [Line Items] | |||
Interest in Excess MSR | 53.30% | ||
Excess MSRs | Agency | Recapture Agreements | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 0 | ||
Weighted Average Life (Years) | 12 years 6 months | ||
Amortized Cost Basis | $ 17,836 | ||
Carrying Value | $ 41,762 | 44,603 | |
Excess MSRs | Agency | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 32.50% | ||
Excess MSRs | Agency | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 66.70% | ||
Excess MSRs | Agency | Recapture Agreements | Weighted Average | |||
Investment [Line Items] | |||
Interest in Excess MSR | 53.30% | ||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 40.00% | ||
Excess MSRs | Agency | Fortress-managed funds | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Agency | Fortress-managed funds | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 40.00% | ||
Excess MSRs | Agency | Nationstar | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 20.00% | ||
Excess MSRs | Agency | Nationstar | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 35.00% | ||
Excess MSRs | Agency | Nationstar | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 20.00% | ||
Excess MSRs | Agency | Nationstar | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 35.00% | ||
Excess MSRs | Non-Agency | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 62,374,141 | ||
Weighted Average Life (Years) | 5 years 7 months 6 days | ||
Amortized Cost Basis | $ 156,314 | ||
Carrying Value | 202,291 | 849,077 | |
Excess MSRs | Non-Agency | Original and Recaptured Pools | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 62,374,141 | ||
Weighted Average Life (Years) | 5 years 3 months 18 days | ||
Amortized Cost Basis | $ 149,606 | ||
Carrying Value | $ 184,094 | 190,696 | |
Excess MSRs | Non-Agency | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 33.30% | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 100.00% | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Weighted Average | |||
Investment [Line Items] | |||
Interest in Excess MSR | 59.40% | ||
Excess MSRs | Non-Agency | Recapture Agreements | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 0 | ||
Weighted Average Life (Years) | 12 years 4 months 24 days | ||
Amortized Cost Basis | $ 6,708 | ||
Carrying Value | $ 18,197 | 19,814 | |
Excess MSRs | Non-Agency | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 33.30% | ||
Excess MSRs | Non-Agency | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 100.00% | ||
Excess MSRs | Non-Agency | Recapture Agreements | Weighted Average | |||
Investment [Line Items] | |||
Interest in Excess MSR | 59.40% | ||
Excess MSRs | Non-Agency | Ocwen Serviced Pools | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 0 | ||
Interest in Excess MSR | 100.00% | ||
Weighted Average Life (Years) | 0 years | ||
Amortized Cost Basis | $ 0 | ||
Carrying Value | $ 0 | $ 638,567 | |
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 50.00% | ||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Non-Agency | Fortress-managed funds | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 50.00% | ||
Excess MSRs | Non-Agency | Fortress-managed funds | Ocwen Serviced Pools | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Non-Agency | Nationstar | Original and Recaptured Pools | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Non-Agency | Nationstar | Original and Recaptured Pools | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 33.30% | ||
Excess MSRs | Non-Agency | Nationstar | Recapture Agreements | Minimum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs | Non-Agency | Nationstar | Recapture Agreements | Maximum | |||
Investment [Line Items] | |||
Interest in Excess MSR | 33.30% | ||
Excess MSRs | Non-Agency | Nationstar | Ocwen Serviced Pools | |||
Investment [Line Items] | |||
Interest in Excess MSR | 0.00% | ||
Excess MSRs Investees | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 49,435,804 | ||
Weighted Average Life (Years) | 6 years 1 month 11 days | ||
Amortized Cost Basis | $ 226,481 | ||
Carrying Value | 309,322 | ||
Excess MSRs Investees | Agency | Original and Recaptured Pools | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 49,435,804 | ||
Weighted Average Life (Years) | 5 years 5 months 4 days | ||
Amortized Cost Basis | $ 203,978 | ||
Carrying Value | 262,014 | ||
Excess MSRs Investees | Agency | Recapture Agreements | |||
Investment [Line Items] | |||
UPB of Underlying Mortgages | $ 0 | ||
Weighted Average Life (Years) | 12 years 3 months 30 days | ||
Amortized Cost Basis | $ 22,503 | ||
Carrying Value | $ 47,308 |
INVESTMENTS IN EXCESS MORTGAG50
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - Excess MSRs Investees - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Excess MSR assets | $ 309,322 | $ 321,197 | |
Other assets | 21,137 | 22,333 | |
Other liabilities | (687) | 0 | |
Equity | 329,772 | 343,530 | |
New Residential’s investment | $ 164,886 | $ 171,765 | |
New Residential’s ownership | 50.00% | 50.00% | |
Interest income | $ 5,227 | $ 4,182 | |
Other income (loss) | (4,181) | (4,646) | |
Expenses | 0 | (25) | |
Net income | $ 1,046 | $ (489) | |
MSRs | |||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | |||
Weighted average discount rate, used to value investments in excess MSRs | 8.80% |
INVESTMENTS IN EXCESS MORTGAG51
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Equity Method Investees Changed - Roll Forward (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Distributions of earnings from equity method investees | $ (4,938) | $ (5,805) |
Recurring Basis | ||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||
Beginning balance | 171,765 | |
Contributions to equity method investees | 0 | |
Distributions of earnings from equity method investees | (4,938) | |
Distributions of capital from equity method investees | (2,464) | |
Change in fair value of investments in equity method investees | 523 | |
Ending balance | $ 164,886 |
INVESTMENTS IN EXCESS MORTGAG52
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Excess MSRs Investees | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 49,435,804 | |
New Residential Interest in Investees | 50.00% | 50.00% |
Amortized Cost Basis | $ 226,481 | |
Carrying Value | $ 309,322 | |
Weighted Average Life (Years) | 6 years 1 month 11 days | |
Excess MSRs Investees | Agency | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
New Residential Interest in Investees | 50.00% | |
Excess MSRs Investees | Agency | Original and Recaptured Pools | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 49,435,804 | |
Investee Interest in Excess MSR | 66.70% | |
New Residential Interest in Investees | 50.00% | |
Amortized Cost Basis | $ 203,978 | |
Carrying Value | $ 262,014 | |
Weighted Average Life (Years) | 5 years 5 months 4 days | |
Excess MSRs Investees | Agency | Recapture Agreements | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 0 | |
Investee Interest in Excess MSR | 66.70% | |
New Residential Interest in Investees | 50.00% | |
Amortized Cost Basis | $ 22,503 | |
Carrying Value | $ 47,308 | |
Weighted Average Life (Years) | 12 years 3 months 30 days |
INVESTMENTS IN EXCESS MORTGAG53
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investments in Excess MSRs (Details) - Excess MSRs - Mortgage Loans | Mar. 31, 2018 | Dec. 31, 2017 |
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 24.60% | 24.00% |
Florida | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.00% | 8.70% |
New York | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.40% | 8.50% |
Texas | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.50% | 4.60% |
New Jersey | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.90% | 4.10% |
Maryland | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.70% | 3.70% |
Illinois | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.50% |
Georgia | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.10% |
Virginia | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.00% |
Arizona | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.60% | 2.50% |
Washington | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.60% | 2.40% |
Pennsylvania | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.40% | 2.60% |
Other U.S. | ||
Concentration Risk [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 31.10% | 29.30% |
INVESTMENTS IN MORTGAGE SERVI54
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Narrative (Details) $ in Millions | Mar. 28, 2018USD ($) | Feb. 28, 2018USD ($) | Jan. 18, 2018USD ($) | Jan. 16, 2018USD ($) | Nov. 29, 2017USD ($) | Jul. 23, 2017 | Mar. 31, 2018USD ($)earnout_payment | Jan. 01, 2018USD ($) |
Schedule of MSRs [Line Items] | ||||||||
Number Of earnout payments | earnout_payment | 3 | |||||||
Initial contract term (in years) | 5 years | |||||||
Contract extension term with thirty day notice (in months) | 3 months | |||||||
Ocwen | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 86,800 | |||||||
Payments to acquire MSRs | $ 279.6 | |||||||
Ocwen | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 28.60% | |||||||
Ocwen | New Residential Mortgage LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Payments to acquire MSRs | $ 334.2 | |||||||
UPB of underlying loans, transferred | $ 15,500 | |||||||
Nationstar | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 27.70% | |||||||
Ditech Financial LLC | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 23.40% | |||||||
Ditech Financial LLC | New Residential Mortgage LLC | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Payments to acquire MSRs | $ 8.1 | |||||||
Ditech Financial LLC | New Residential Mortgage LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 1,000 | |||||||
PHH Mortgage Corporation | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 13.90% | |||||||
PHH Mortgage Corporation | New Residential Mortgage LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of underlying mortgages, amount unsettled | $ 5,700 | |||||||
PHH Mortgage Corporation | New Residential Mortgage LLC | Seasoned Agency Loans | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Payments to acquire MSRs, amount unsettled | $ 33.6 | |||||||
ShellPoint | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 5.60% | |||||||
ShellPoint | NRM Acquisition LLC | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Payments to acquire businesses, gross | $ 150 | |||||||
Earnout payment, maximum amount | $ 60 | |||||||
Earnout payments, percent allocated to sellers | 92.00% | |||||||
Earnout payments, percent allocated to long-term employee incentive plan | 8.00% | |||||||
ShellPoint | NRM Acquisition LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 7,800 | |||||||
Payments to acquire MSRs | $ 81 | |||||||
Flagstar | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Subservicer percent of UPB | 0.80% | |||||||
Walter Capital Opportunity | New Residential Mortgage LLC | ||||||||
Schedule of MSRs [Line Items] | ||||||||
Payments to acquire MSRs | $ 101.5 | |||||||
Walter Capital Opportunity | New Residential Mortgage LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 11,500 | |||||||
Other Seller 1 | NRM Acquisition LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 3,300 | |||||||
Payments to acquire MSRs | $ 33.5 | |||||||
Other Seller 2 | NRM Acquisition LLC | MSRs | ||||||||
Schedule of MSRs [Line Items] | ||||||||
UPB of Underlying Mortgages | $ 7,900 | |||||||
Payments to acquire MSRs | $ 95.2 |
INVESTMENTS IN MORTGAGE SERVI55
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Servicing Asset at Amortized Cost [Line Items] | ||
Less: subservicing expense | $ (46,597) | $ (17,704) |
Servicing revenue, net | 217,236 | 40,602 |
Change in fair value of investments in mortgage servicing rights financing receivables | 271,076 | 0 |
MSRs | ||
Servicing Asset at Amortized Cost [Line Items] | ||
Servicing fee revenue | 119,223 | 65,469 |
Ancillary and other fees | 23,347 | 2,188 |
Servicing fee revenue and fees | 142,570 | 67,657 |
Amortization of servicing rights | (55,127) | (26,296) |
Change in valuation inputs and assumptions | 129,793 | (759) |
Servicing revenue, net | 217,236 | $ 40,602 |
MSRs | Mortgage Servicing Rights Financing Receivable | New Residential Mortgage LLC | ||
Servicing Asset at Amortized Cost [Line Items] | ||
Servicing fee revenue | 201,952 | |
Ancillary and other fees | 30,235 | |
Less: subservicing expense | (65,706) | |
Servicing fee revenue and fees | 166,481 | |
Amortization of servicing rights | (48,703) | |
Change in valuation inputs and assumptions | 319,779 | |
Change in fair value of investments in mortgage servicing rights financing receivables | $ 271,076 |
INVESTMENTS IN MORTGAGE SERVI56
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Rollforward of Carrying Value of Investments In MSRs (Details) - MSRs - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||
Beginning balance | $ 1,735,504 | |
Purchases | 319,495 | |
Amortization of servicing rights | (55,127) | $ (26,296) |
Change in valuation inputs and assumptions | 129,793 | $ (759) |
Ending balance | $ 2,129,665 |
INVESTMENTS IN MORTGAGE SERVI57
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Investment in MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Servicing Asset at Amortized Cost [Line Items] | ||
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Carrying value of mortgage servicing rights financing receivable | $ 1,886,771 | $ 598,728 |
MSRs | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 197,462,949 | |
Weighted Average Life (Years) | 6 years 5 months 4 days | |
Amortized Cost Basis | $ 1,740,698 | |
Carrying Value | $ 2,129,665 | |
Discount rate | 9.10% | |
Mortgage Servicing Rights Financing Receivable | ||
Servicing Asset at Amortized Cost [Line Items] | ||
Discount rate | 10.50% | |
Agency | MSRs | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 197,403,568 | |
Weighted Average Life (Years) | 6 years 5 months 4 days | |
Amortized Cost Basis | $ 1,740,698 | |
Carrying Value | 2,129,665 | |
Non-Agency | MSRs | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 59,381 | |
Weighted Average Life (Years) | 6 years 3 months 14 days | |
Amortized Cost Basis | $ 0 | |
Carrying Value | 0 | |
MSRs | ||
Servicing Asset at Amortized Cost [Line Items] | ||
Carrying Value | 2,129,665 | $ 1,735,504 |
MSRs | Mortgage Servicing Rights Financing Receivable | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 146,165,152 | |
Weighted Average Life (Years) | 6 years 2 months 5 days | |
Amortized Cost Basis | $ 1,457,408 | |
Carrying value of mortgage servicing rights financing receivable | 1,886,771 | |
MSRs | Agency | Mortgage Servicing Rights Financing Receivable | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 47,739,062 | |
Weighted Average Life (Years) | 5 years 11 months 16 days | |
Amortized Cost Basis | $ 414,116 | |
Carrying value of mortgage servicing rights financing receivable | 485,860 | |
MSRs | Non-Agency | Mortgage Servicing Rights Financing Receivable | ||
Servicing Asset at Amortized Cost [Line Items] | ||
UPB of Underlying Mortgages | $ 98,426,090 | |
Weighted Average Life (Years) | 6 years 3 months 14 days | |
Amortized Cost Basis | $ 1,043,292 | |
Carrying value of mortgage servicing rights financing receivable | $ 1,400,911 |
INVESTMENTS IN MORTGAGE SERVI58
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Schedule of Activity Related to the Carrying Value of Investments in MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||
Beginning Balance | $ 598,728 | |
Ending Balance | 1,886,771 | |
MSRs | ||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||
Investments made | 319,495 | |
Amortization of servicing rights | (55,127) | $ (26,296) |
Change in valuation inputs and assumptions | 129,793 | $ (759) |
Mortgage Servicing Rights Financing Receivable | MSRs | ||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||
Ending Balance | 1,886,771 | |
Mortgage Servicing Rights Financing Receivable | New Residential Mortgage LLC | MSRs | ||
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | ||
Beginning Balance | 598,728 | |
Investments made | 0 | |
New Ocwen Agreements | 1,017,993 | |
Proceeds from sales | (1,026) | |
Amortization of servicing rights | (48,703) | |
Change in valuation inputs and assumptions | 319,779 | |
Ending Balance | $ 1,886,771 |
INVESTMENTS IN MORTGAGE SERVI59
INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - MSRs - Mortgage Loans | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
California | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 20.30% | 19.00% |
New York | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.90% | 6.30% |
Florida | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.90% | 6.00% |
Texas | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.30% | 5.70% |
New Jersey | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.90% | 5.20% |
Illinois | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.80% | 4.10% |
Massachusetts | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.60% | 3.80% |
Maryland | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 2.80% |
Virginia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.10% |
Pennsylvania | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.20% | 3.30% |
Other U.S. | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 37.50% | 40.70% |
SERVICER ADVANCE INVESTMENTS -
SERVICER ADVANCE INVESTMENTS - Narrative (Details) $ in Millions | Mar. 31, 2018USD ($) |
Advance Purchaser LLC | |
Investment [Line Items] | |
Capital distributed to third-party co-investors | $ 314.3 |
Capital distributed to New Residential | $ 268.9 |
Servicer Advance Investments | |
Investment [Line Items] | |
New Residential’s ownership | 72.80% |
Funded capital commitments | $ 312.7 |
Servicer Advance Investments | Noncontrolling Third-party Investors | |
Investment [Line Items] | |
Funded capital commitments | $ 389.6 |
SERVICER ADVANCE INVESTMENTS 61
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Investments in and Advances to Affiliates [Line Items] | |||
Amortized Cost Basis | $ 931,465 | $ 3,924,003 | |
Carrying Value | $ 955,364 | $ 4,027,379 | |
Weighted Average Discount Rate | 5.80% | 6.80% | |
Weighted Average Yield | 5.80% | 7.30% | |
Weighted Average Life (Years) | 4 years 11 months 23 days | 5 years 1 month 2 days | |
Change in Fair Value of Servicer Advance Investments | $ (79,476) | $ 2,559 |
SERVICER ADVANCE INVESTMENTS 62
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Investments in and Advances to Affiliates [Line Items] | |||
Outstanding Servicer Advances | [1] | $ 955,364 | $ 4,027,379 |
Face Amount of Notes and Bonds Payable | 14,685,727 | ||
Servicer Advance Investments | Servicer Advances | |||
Investments in and Advances to Affiliates [Line Items] | |||
UPB of Underlying Mortgages | 47,831,952 | 139,460,371 | |
Outstanding Servicer Advances | $ 818,431 | $ 3,581,876 | |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.70% | 2.60% | |
Face Amount of Notes and Bonds Payable | $ 753,158 | $ 3,461,718 | |
Gross Loan-to-Value | 88.50% | 93.20% | |
Net Loan-to-Value | 87.50% | 92.00% | |
Gross Cost of Funds | 3.70% | 3.30% | |
Net Cost of Funds | 3.20% | 3.00% | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
SERVICER ADVANCE INVESTMENTS 63
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Investment [Line Items] | |||
Total | [1] | $ 955,364 | $ 4,027,379 |
Servicer Advance Investments | Servicer Advances | |||
Investment [Line Items] | |||
Principal and interest advances | 121,089 | 909,133 | |
Escrow advances (taxes and insurance advances) | 371,452 | 1,636,381 | |
Foreclosure advances | 325,890 | 1,036,362 | |
Total | $ 818,431 | $ 3,581,876 | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
SERVICER ADVANCE INVESTMENTS 64
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Investment [Line Items] | ||
Interest income, gross of amounts attributable to servicer compensation | $ 20,387 | $ 73,856 |
Amounts attributable to base servicer compensation | (1,972) | (4,147) |
Amounts attributable to incentive servicer compensation | 474 | 6,334 |
Interest income from Servicer Advance Investments | $ 18,889 | $ 76,043 |
SERVICER ADVANCE INVESTMENTS 65
SERVICER ADVANCE INVESTMENTS - Summary of Information on the Assets and Liabilities related to Consolidated VIE (Details) - VIE, consolidated - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Servicer advance investments, at fair value | $ 914,287 | $ 1,002,102 |
Cash and cash equivalents | 35,018 | 40,929 |
All other assets | 13,046 | 13,011 |
Total assets | 962,351 | 1,056,042 |
Liabilities | ||
Notes and bonds payable | 718,844 | 789,979 |
All other liabilities | 3,166 | 3,308 |
Total liabilities | $ 722,010 | $ 793,287 |
SERVICER ADVANCE INVESTMENTS 66
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances - Others' Interests (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Others | |||
Investment [Line Items] | |||
Investment in equity | $ 65,392 | $ 71,491 | |
Ownership interest | 27.20% | 27.20% | |
Net income | $ 1,383 | $ 5,820 | |
Others' ownership interest as a percent of total | 27.20% | 54.20% | |
Servicer Advance Investments | |||
Investment [Line Items] | |||
Investment in equity | $ 240,340 | $ 262,755 | |
Ownership interest | 72.80% | ||
Net income | $ 5,085 | $ 10,736 | |
Average ownership percentage | 72.80% | 45.80% |
INVESTMENTS IN REAL ESTATE AN67
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018USD ($)securitybond | Dec. 31, 2017USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 14,778,190 | |
Amortized Cost Basis | 7,164,388 | |
Carrying Value | $ 7,585,323 | $ 8,071,140 |
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Investments | $ 16,795,144 | |
Bonds | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 461,500 | |
Number of bonds which New Residential was unable to obtain rating information | bond | 210 | |
Residual Bonds | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Investments | $ 195,600 | |
Non-Agency Bonds | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Investments | 0 | |
Treasury | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face | 0 | |
Purchase Price | 0 | |
Face | 862,000 | |
Amortized Cost | 858,000 | |
Sale Price | 849,800 | |
Gain (Loss) on Sale | (8,200) | |
Outstanding Face Amount | 0 | |
Amortized Cost Basis | 0 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 0 | 852,734 |
Number of Securities | security | 0 | |
Weighted Average Rating | N/A | |
Weighted Average Coupon | 0.00% | |
Weighted Average Yield | 0.00% | |
Agency RMBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face | $ 1,107,100 | |
Purchase Price | 1,093,700 | |
Face | 1,068,900 | |
Amortized Cost | 1,101,400 | |
Sale Price | 1,079,800 | |
Gain (Loss) on Sale | (21,600) | |
Outstanding Face Amount | 1,221,259 | |
Amortized Cost Basis | 1,217,176 | |
Gross Unrealized Gains | 847 | |
Gross Unrealized Losses | (3,908) | |
Carrying Value | $ 1,214,115 | 1,243,617 |
Number of Securities | security | 91 | |
Weighted Average Rating | AAA | |
Weighted Average Coupon | 3.28% | |
Weighted Average Yield | 3.14% | |
Weighted Average Life (Years) | 9 years 6 months 4 days | |
Agency RMBS | Fixed Rate Residential Mortgage | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 1,100,000 | |
Agency RMBS | Adjustable Rate Residential Mortgage | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | 100,000 | |
Non-Agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face | 1,328,500 | |
Purchase Price | 523,800 | |
Face | 0 | |
Amortized Cost | 0 | |
Sale Price | 0 | |
Gain (Loss) on Sale | 0 | |
Outstanding Face Amount | 13,556,931 | |
Amortized Cost Basis | 5,947,212 | |
Gross Unrealized Gains | 477,813 | |
Gross Unrealized Losses | (53,817) | |
Carrying Value | $ 6,371,208 | 5,974,789 |
Number of Securities | security | 773 | |
Weighted Average Rating | CCC | |
Weighted Average Coupon | 2.56% | |
Weighted Average Yield | 5.73% | |
Weighted Average Life (Years) | 7 years 9 months 8 days | |
Weighted Average Principal Subordination | 9.90% | |
Non-Agency | Fixed Rate Residential Mortgage | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 1,300,000 | |
Residual and interest - only notional amount | 600,000 | |
Non-Agency | Adjustable Rate Residential Mortgage | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | 12,300,000 | |
Residual and interest - only notional amount | 4,900,000 | |
Investments in Real Estate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | 14,778,190 | |
Amortized Cost Basis | 7,164,388 | |
Gross Unrealized Gains | 478,660 | |
Gross Unrealized Losses | (57,725) | |
Carrying Value | $ 7,585,323 | $ 8,071,140 |
Number of Securities | security | 864 | |
Weighted Average Rating | B | |
Weighted Average Coupon | 2.67% | |
Weighted Average Yield | 5.29% | |
Weighted Average Life (Years) | 8 years 25 days | |
Consumer Loan | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 43,303 | |
Amortized Cost Basis | 41,077 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (1,008) | |
Carrying Value | $ 40,069 | |
Number of Securities | security | 4 | |
Weighted Average Rating | N/A | |
Weighted Average Yield | 21.50% | |
Weighted Average Life (Years) | 1 year 10 days | |
MSRs | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 100,000 | |
Amortized Cost Basis | 100,000 | |
Gross Unrealized Gains | 375 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 100,375 | |
Number of Securities | security | 1 | |
Weighted Average Rating | BBB- | |
Weighted Average Coupon | 4.72% | |
Weighted Average Yield | 4.30% | |
Weighted Average Life (Years) | 9 years 6 months 22 days | |
Interest-Only Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 4,846,532 | |
Amortized Cost Basis | 227,709 | |
Gross Unrealized Gains | 10,446 | |
Gross Unrealized Losses | (10,133) | |
Carrying Value | $ 228,022 | |
Number of Securities | security | 55 | |
Weighted Average Rating | AA | |
Weighted Average Coupon | 1.55% | |
Weighted Average Yield | 6.47% | |
Weighted Average Life (Years) | 3 years 1 month 8 days | |
Servicing Strip | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 390,144 | |
Amortized Cost Basis | 4,813 | |
Gross Unrealized Gains | 1,500 | |
Gross Unrealized Losses | (218) | |
Carrying Value | $ 6,095 | |
Number of Securities | security | 21 | |
Weighted Average Rating | N/A | |
Weighted Average Coupon | 0.27% | |
Weighted Average Yield | 21.24% | |
Weighted Average Life (Years) | 6 years 7 months 1 day |
INVESTMENTS IN REAL ESTATE AN68
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Other-than-temporary impairment | $ 6,670 | $ 2,112 |
Real estate securities acquired with credit quality deterioration, face amount | 553,700 | |
Real estate securities acquired with credit quality deterioration, expected cash flows | 456,100 | |
Real estate securities acquired with credit quality deterioration, fair value | 334,700 | |
Agency RMBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face amount of securities sold, unsettled | 1,100,000 | |
Face amount of securities purchased | 1,100,000 | |
Proceeds from sale of AFS, unsettled | 1,100,000 | |
Purchase of real estate securities, unsettled | 1,100,000 | |
Non-Agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face amount of securities sold, unsettled | 29,100 | |
Purchase of real estate securities, unsettled | $ 14,100 |
INVESTMENTS IN REAL ESTATE AN69
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018USD ($)bondsecurity | Dec. 31, 2017USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 14,778,190 | |
Other Than Temporary Impairment - Amortized Cost Basis | (30,136) | $ (23,821) |
Amortized Cost Basis | $ 7,164,388 | |
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Less than 12 Months | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 4,106,582 | |
Before Impairment - Amortized Cost Basis | 1,591,636 | |
Other Than Temporary Impairment - Amortized Cost Basis | (4,712) | |
Amortized Cost Basis | 1,586,924 | |
Gross Unrealized Losses - Less than Twelve Months | (42,313) | |
Carrying Value - Less than Twelve Months | $ 1,544,611 | |
Number of Securities - Less than Twelve Months | security | 159 | |
Weighted Average Rating | BB- | |
Weighted Average Coupon | 2.53% | |
Weighted Average Yield | 4.89% | |
Weighted Average Life (Years) | 7 years 7 months 10 days | |
Number of bonds which New Residential was unable to obtain rating information | bond | 20 | |
12 or More Months | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 1,043,681 | |
Before Impairment - Amortized Cost Basis | 291,116 | |
Other Than Temporary Impairment - Amortized Cost Basis | (1,958) | |
Amortized Cost Basis | 289,158 | |
Gross Unrealized Losses - Twelve or More Months | (15,412) | |
Carrying Value - Twelve or More Months | $ 273,746 | |
Number of Securities - Twelve or More Months | security | 103 | |
Weighted Average Rating | A | |
Weighted Average Coupon | 2.41% | |
Weighted Average Yield | 4.63% | |
Weighted Average Life (Years) | 5 years 2 months 14 days | |
Number of bonds which New Residential was unable to obtain rating information | bond | 49 | |
Total/Weighted Average | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 5,150,263 | |
Before Impairment - Amortized Cost Basis | 1,882,752 | |
Other Than Temporary Impairment - Amortized Cost Basis | (6,670) | |
Amortized Cost Basis | 1,876,082 | |
Gross Unrealized Losses - Total | (57,725) | |
Carrying Value - Total | $ 1,818,357 | |
Number of Securities - Total | security | 262 | |
Weighted Average Rating | BB | |
Weighted Average Coupon | 2.51% | |
Weighted Average Yield | 4.85% | |
Weighted Average Life (Years) | 7 years 2 months 27 days |
INVESTMENTS IN REAL ESTATE AN70
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | |
Unrealized losses reflected in other comprehensive income | $ 0 |
Securities New Residential intends to sell | |
Schedule of Available-for-sale Securities [Line Items] | |
Fair Value | 0 |
Amortized Cost Basis After Impairment | 0 |
Unrealized Credit Losses | 0 |
Unrealized Non-Credit Losses | 0 |
Securities New Residential is more likely than not to be required to sell | |
Schedule of Available-for-sale Securities [Line Items] | |
Fair Value | 0 |
Amortized Cost Basis After Impairment | 0 |
Unrealized Credit Losses | 0 |
Credit impaired securities | |
Schedule of Available-for-sale Securities [Line Items] | |
Fair Value | 524,597,000 |
Amortized Cost Basis After Impairment | 548,149,000 |
Unrealized Credit Losses | (6,670,000) |
Unrealized Non-Credit Losses | (23,552,000) |
Non-credit impaired securities | |
Schedule of Available-for-sale Securities [Line Items] | |
Fair Value | 1,293,760,000 |
Amortized Cost Basis After Impairment | 1,327,933,000 |
Unrealized Credit Losses | 0 |
Unrealized Non-Credit Losses | (34,173,000) |
Total debt securities in an unrealized loss position | |
Schedule of Available-for-sale Securities [Line Items] | |
Fair Value | 1,818,357,000 |
Amortized Cost Basis After Impairment | 1,876,082,000 |
Unrealized Credit Losses | (6,670,000) |
Unrealized Non-Credit Losses | $ (57,725,000) |
INVESTMENTS IN REAL ESTATE AN71
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income | $ 23,821 |
Increases to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income | 5,677 |
Additions for credit losses on securities for which an OTTI was not previously recognized | 993 |
Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis | 0 |
Reduction for credit losses on securities for which no OTTI was recognized in other comprehensive income at the current measurement date | 0 |
Reduction for securities sold during the period | (355) |
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income | $ 30,136 |
INVESTMENTS IN REAL ESTATE AN72
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Non-Agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 13,513,618 | $ 12,727,667 |
Percentage of Total Outstanding | 100.00% | 100.00% |
Non-Agency | Western U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 4,930,956 | $ 4,882,136 |
Percentage of Total Outstanding | 36.50% | 38.40% |
Non-Agency | Southeastern U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 3,255,867 | $ 3,005,519 |
Percentage of Total Outstanding | 24.10% | 23.60% |
Non-Agency | Northeastern U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 2,716,696 | $ 2,555,514 |
Percentage of Total Outstanding | 20.10% | 20.10% |
Non-Agency | Midwestern U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 1,483,452 | $ 1,337,980 |
Percentage of Total Outstanding | 11.00% | 10.50% |
Non-Agency | Southwestern U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 1,002,858 | $ 927,647 |
Percentage of Total Outstanding | 7.40% | 7.30% |
Non-Agency | Other U.S. | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Outstanding Face Amount | $ 123,789 | $ 18,871 |
Percentage of Total Outstanding | 0.90% | 0.10% |
Consumer Loan | Bonds | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face amount of investment | $ 43,300 | $ 29,700 |
INVESTMENTS IN REAL ESTATE AN73
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 5,753,822 | $ 5,364,847 |
Carrying Value | $ 3,752,014 | $ 3,493,723 |
INVESTMENTS IN REAL ESTATE AN74
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Balance, beginning | $ 2,000,266 |
Additions | 121,442 |
Accretion | (56,964) |
Reclassifications from (to) non-accretable difference | 63,131 |
Disposals | 0 |
Balance, ending | $ 2,127,875 |
INVESTMENTS IN RESIDENTIAL MO75
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018USD ($)loan | Dec. 31, 2017USD ($) | |
Mortgage Loans on Real Estate [Line Items] | ||
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Threshold period past due (in days) | 60 days | |
Performing Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 534,823 | |
Carrying Value | $ 489,493 | $ 507,615 |
Loan Count | loan | 8,619 | |
Weighted Average Yield | 8.00% | |
Weighted Average Life (Years) | 5 years 3 months 22 days | |
Floating Rate Loans as a % of Face Amount | 22.30% | |
Loan to Value Ratio (LTV) | 79.30% | |
Weighted Average Delinquency | 5.90% | |
Weighted Average FICO | 649 | |
Performing Loans | Ginnie Mae | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 32,500 | |
Purchased Credit Deteriorated Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | 216,332 | |
Carrying Value | $ 158,467 | 183,540 |
Loan Count | loan | 1,936 | |
Weighted Average Yield | 7.30% | |
Weighted Average Life (Years) | 3 years 1 month 4 days | |
Floating Rate Loans as a % of Face Amount | 16.10% | |
Loan to Value Ratio (LTV) | 86.40% | |
Weighted Average Delinquency | 76.20% | |
Weighted Average FICO | 597 | |
Residential Mortgage Loans, held-for-investment | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 751,155 | |
Carrying Value | $ 647,960 | 691,155 |
Loan Count | loan | 10,555 | |
Weighted Average Yield | 7.70% | |
Weighted Average Life (Years) | 4 years 9 months 11 days | |
Floating Rate Loans as a % of Face Amount | 17.30% | |
Loan to Value Ratio (LTV) | 79.60% | |
Weighted Average Delinquency | 30.70% | |
Weighted Average FICO | 634 | |
Reverse Mortgage Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 17,181 | |
Carrying Value | $ 7,635 | 6,870 |
Loan Count | loan | 47 | |
Weighted Average Yield | 7.50% | |
Weighted Average Life (Years) | 5 years 1 day | |
Floating Rate Loans as a % of Face Amount | 14.30% | |
Loan to Value Ratio (LTV) | 130.20% | |
Weighted Average Delinquency | 68.10% | |
Performing Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 728,083 | |
Carrying Value | $ 741,903 | 1,071,371 |
Loan Count | loan | 10,813 | |
Weighted Average Yield | 4.10% | |
Weighted Average Life (Years) | 4 years 8 months 15 days | |
Floating Rate Loans as a % of Face Amount | 8.50% | |
Loan to Value Ratio (LTV) | 57.80% | |
Weighted Average Delinquency | 4.40% | |
Weighted Average FICO | 661 | |
Non-Performing Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 895,724 | |
Carrying Value | $ 692,417 | 647,293 |
Loan Count | loan | 5,905 | |
Weighted Average Yield | 6.20% | |
Weighted Average Life (Years) | 5 years 3 months 21 days | |
Floating Rate Loans as a % of Face Amount | 19.80% | |
Loan to Value Ratio (LTV) | 91.40% | |
Weighted Average Delinquency | 53.00% | |
Weighted Average FICO | 581 | |
Residential Mortgage Loans, held-for-sale | ||
Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 1,640,988 | |
Carrying Value | $ 1,441,955 | $ 1,725,534 |
Loan Count | loan | 16,765 | |
Weighted Average Yield | 4.80% | |
Weighted Average Life (Years) | 4 years 6 months 19 days | |
Floating Rate Loans as a % of Face Amount | 18.90% | |
Loan to Value Ratio (LTV) | 82.40% | |
Weighted Average Delinquency | 33.00% | |
Weighted Average FICO | 622 | |
Reverse Mortgage Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest in reverse mortgage loans | 70.00% | |
Unpaid principal balance | $ 400 | |
Percentage of loans that have reached a termination event | 44.00% | |
Reverse Mortgage Loans | Nationstar | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest in reverse mortgage loans | 30.00% | |
Non-Performing Loans | Ginnie Mae | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 64,500 |
INVESTMENTS IN RESIDENTIAL MO76
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans | Mar. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100.00% | 100.00% |
New York | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 13.60% | 12.80% |
Texas | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 11.80% | 9.10% |
Florida | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 7.30% | 8.20% |
Texas | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.60% | 6.60% |
New Jersey | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.50% | 5.20% |
Pennsylvania | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.60% | 3.90% |
Pennsylvania | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.40% |
Maryland | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.00% | 2.70% |
Massachusetts | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.80% | 2.70% |
Washington | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 1.90% | 1.70% |
Other U.S. | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 40.40% | 43.70% |
INVESTMENTS IN RESIDENTIAL MO77
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Call Rights (Details) - Residential Mortgage Loans $ in Millions | 1 Months Ended | |
Jan. 31, 2018USD ($)trust | Mar. 31, 2018USD ($)trust | |
Investment [Line Items] | ||
Number of Trusts Called | trust | 25 | |
Call Right, Batch 1 | ||
Investment [Line Items] | ||
Number of Trusts Called | trust | 0 | |
Call Right, Batch 2 | ||
Investment [Line Items] | ||
Number of Trusts Called | trust | 7 | |
Securities Owned Prior | ||
Investment [Line Items] | ||
Face Amount | $ 85.9 | |
Amortized Cost Basis | 75.4 | |
Securities Owned Prior | Call Right, Batch 1 | ||
Investment [Line Items] | ||
Face Amount | $ 0 | |
Amortized Cost Basis | 0 | |
Securities Owned Prior | Call Right, Batch 2 | ||
Investment [Line Items] | ||
Face Amount | 0.4 | |
Amortized Cost Basis | 0.2 | |
Assets Acquired | ||
Investment [Line Items] | ||
Unpaid Principal Balance | 458.8 | |
Loan Price | 461.4 | |
REO & Other Price | $ 4.1 | |
Assets Acquired | Call Right, Batch 1 | ||
Investment [Line Items] | ||
Unpaid Principal Balance | 0 | |
Loan Price | 0 | |
REO & Other Price | 0 | |
Assets Acquired | Call Right, Batch 2 | ||
Investment [Line Items] | ||
Unpaid Principal Balance | 32.5 | |
Loan Price | 32.8 | |
REO & Other Price | 0.1 | |
Loans Sold | Call Right, Batch 1 | ||
Investment [Line Items] | ||
Unpaid Principal Balance | 726.5 | |
Loans Sold, Gain (Loss) | (17.8) | |
Retained Bonds | Call Right, Batch 1 | ||
Investment [Line Items] | ||
Restricted Bonds, Basis | 76.8 | |
Retained Assets | Call Right, Batch 1 | ||
Investment [Line Items] | ||
Unpaid Principal Balance | 265.3 | |
Loan Price | 239 | |
REO & Other Price | $ 14.4 |
INVESTMENTS IN RESIDENTIAL MO78
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Performing Loans Past Due (Details) - Performing Loans - Residential Portfolio Segment | Mar. 31, 2018 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 100.00% |
Current | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 84.90% |
30-59 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 5.80% |
60-89 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 2.30% |
Financing Receivables, 90 to 119 Days Past Due | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 1.00% |
Financing Receivables, Equal to Greater than 120 Days Past Due | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percent past due | 6.00% |
INVESTMENTS IN RESIDENTIAL MO79
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Carrying Value of Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Accretion of loan discount and premium amortization, net | $ 177,371 | $ 192,424 |
Transfer of loans to real estate owned | (17,604) | |
PCD Loans | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 183,540 | |
Purchases/additional fundings | 0 | |
Sales | 0 | |
Proceeds from repayments | (6,343) | |
Accretion of loan discount and premium amortization, net | 6,929 | |
Provision for loan losses | 0 | |
Transfer of loans to real estate owned | (4,817) | |
Transfer of loans to held-for-sale | (20,842) | |
Balance, ending | 158,467 | |
Residential Portfolio Segment | Performing Loans | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning | 507,615 | |
Purchases/additional fundings | 0 | |
Proceeds from repayments | (21,256) | |
Accretion of loan discount and premium amortization, net | 3,590 | |
Provision for loan losses | (140) | |
Transfer of loans to other assets | 0 | |
Transfer of loans to real estate owned | (316) | |
Balance, ending | $ 489,493 |
INVESTMENTS IN RESIDENTIAL MO80
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Allowance for Loan Losses (Details) - Performing Loans - Residential Portfolio Segment $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |
Balance at December 31, 2017 | $ 196 |
Provision for loan losses | 140 |
Charge-offs | (336) |
Balance at March 31, 2018 | $ 0 |
INVESTMENTS IN RESIDENTIAL MO81
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Unpaid Principal Balance and Carrying Value for Uncollectible Loans (Details) - PCD Loans - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 216,332 | $ 249,254 |
Carrying Value | $ 158,467 | $ 183,540 |
INVESTMENTS IN RESIDENTIAL MO82
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Changes in Accretable Yield (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Beginning balance | $ 88,631 |
Additions | 0 |
Accretion | (6,929) |
Change in accretable yield for non-credit related changes in expected cash flows | (3,413) |
Disposals | (1,034) |
Transfer of loans to held-for-sale | (4,566) |
Ending balance | $ 72,689 |
INVESTMENTS IN RESIDENTIAL MO83
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Loans Held-for-sale (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Loans Held-for-sale, Reconciliation [Roll Forward] | ||
Transfer of loans from held-for-investment | $ 20,842 | $ 0 |
Transfer of loans to real estate owned | (17,604) | |
Loans Held-for-sale | ||
Loans Held-for-sale, Reconciliation [Roll Forward] | ||
Beginning balance, loans held-for-sale | 1,725,534 | |
Purchases | 494,207 | |
Transfer of loans from held-for-investment | 20,842 | |
Sales | (750,324) | |
Transfer of loans to other assets | (885) | |
Transfer of loans to real estate owned | (8,301) | |
Proceeds from repayments | (35,121) | |
Valuation (provision) reversal on loans | (3,997) | |
Ending balance, loans held-for-sale | 1,441,955 | |
Provision for loans held-for-sale | $ 4,200 |
INVESTMENTS IN RESIDENTIAL MO84
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Real Estate Owned (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Real Estate Owned [Roll Forward] | |
Beginning balance | $ 128,295 |
Purchases | 4,160 |
Transfer of loans to real estate owned | 17,604 |
Sales | (33,398) |
Valuation (provision) reversal on REO | (1,045) |
Ending balance | 115,616 |
Early buy-out and reverse mortgage loans, foreclosure completed | |
Mortgage Loans on Real Estate [Line Items] | |
Claims receivable | 30,900 |
Residential Mortgage | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 418,300 |
INVESTMENTS IN RESIDENTIAL MO85
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Variable Interest Entities, Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Assets | |||
Residential mortgage loans | [1] | $ 1,441,955 | $ 1,725,534 |
Other assets | 326,943 | 312,181 | |
Total assets | 22,011,941 | 22,213,562 | |
Liabilities | |||
Notes and bonds payable | [1] | 7,031,021 | 7,084,391 |
Accrued expenses and other liabilities | 268,269 | 239,114 | |
Total liabilities | 16,250,254 | 17,417,400 | |
Real estate and other securities, available-for-sale | 7,585,323 | 8,071,140 | |
RPL Borrowers | VIE, consolidated | |||
Assets | |||
Residential mortgage loans | 185,758 | 188,957 | |
Other assets | 0 | 0 | |
Total assets | 185,758 | 188,957 | |
Liabilities | |||
Notes and bonds payable | 180,243 | 184,490 | |
Accrued expenses and other liabilities | 16 | 16 | |
Total liabilities | 180,259 | $ 184,506 | |
Real estate and other securities, available-for-sale | $ 78,200 | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN RESIDENTIAL MO86
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Variable Interest Entities, Characteristics (Details) - Variable Interest Entity, Not Primary Beneficiary $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Variable Interest Entity [Line Items] | |
Unpaid Principal Balance | $ 5,499,491 |
Weighted Average Delinquency | 2.64% |
Net credit losses for the three months ended March 31, 2018 | $ 1,776 |
Face amount of debt held by third parties | 5,129,663 |
Carrying value of bonds retained by New Residential | 522,549 |
Cash flows received by New Residential on these bonds for the three months ended March 31, 2018 | $ 30,611 |
Number of days delinquent (in days) | 60 days |
INVESTMENTS IN CONSUMER LOANS -
INVESTMENTS IN CONSUMER LOANS - Narrative (Details) $ / shares in Units, shares in Millions | Feb. 28, 2018shares | Feb. 28, 2017USD ($)investor$ / sharesshares | Mar. 31, 2018 |
WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of warrants to be purchased (in shares) | shares | 177.7 | ||
Value of warrants to be purchased | $ | $ 75,000,000 | ||
Exercise price (in dollars per share) | $ / shares | $ 0.01 | ||
Consumer Loan Companies | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 53.50% | ||
LoanCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 25.00% | ||
Total purchase agreement amount | $ | $ 5,000,000,000 | ||
Term of purchase contract (in years) | 2 years | ||
Number of co-investors | investor | 3 | ||
Recording lag (in months) | 1 month | ||
WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
New Residential’s ownership | 23.57% | ||
Number of co-investors | investor | 3 | ||
Consumer Loan Seller | WarrantCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Number of warrants owned (in shares) | shares | 83.4 |
INVESTMENTS IN CONSUMER LOANS88
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | ||
Schedule of Equity Method Investments [Line Items] | |||
Carrying Value | [1] | $ 1,305,793 | $ 1,374,263 |
Weighted Average Life (Years) | 1 year 4 months 30 days | ||
Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 11,500 | ||
Consumer Portfolio Segment | New Residential Investment Corp. | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | 1,310,889 | 1,377,792 | |
Carrying Value | $ 1,305,793 | $ 1,374,263 | |
Weighted Average Coupon | 17.90% | 17.90% | |
Weighted Average Life (Years) | 3 years 6 months 9 days | 3 years 6 months | |
Weighted Average Delinquency | 7.30% | 7.30% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Other - Performing Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 73,007 | $ 89,682 | |
Interest in Consumer Loans | 100.00% | 100.00% | |
Carrying Value | $ 68,287 | $ 85,253 | |
Weighted Average Coupon | 14.10% | 14.10% | |
Weighted Average Life (Years) | 11 months 7 days | 1 year | |
Weighted Average Delinquency | 4.60% | 4.50% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Performing Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 966,553 | $ 1,005,570 | |
Interest in Consumer Loans | 53.50% | 53.50% | |
Carrying Value | $ 1,009,187 | $ 1,052,561 | |
Weighted Average Coupon | 18.70% | 18.70% | |
Weighted Average Life (Years) | 3 years 9 months 4 days | 3 years 8 months 12 days | |
Weighted Average Delinquency | 6.10% | 6.00% | |
Consumer Portfolio Segment | New Residential Investment Corp. | Purchased Credit Deteriorated Loans | |||
Schedule of Equity Method Investments [Line Items] | |||
Unpaid Principal Balance | $ 271,329 | $ 282,540 | |
Interest in Consumer Loans | 53.50% | 53.50% | |
Carrying Value | $ 228,319 | $ 236,449 | |
Weighted Average Coupon | 16.20% | 16.20% | |
Weighted Average Life (Years) | 3 years 4 months 17 days | 3 years 3 months 18 days | |
Weighted Average Delinquency | 12.60% | 12.50% | |
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN CONSUMER LOANS89
INVESTMENTS IN CONSUMER LOANS - Consumer Loans Receivable Past Due (Details) - Performing Loans - Consumer Portfolio Segment | Mar. 31, 2018 |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 100.00% |
Current | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 94.00% |
30-59 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 2.40% |
60-89 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.30% |
90-119 | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 0.90% |
120 or greater | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.40% |
INVESTMENTS IN CONSUMER LOANS90
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Performing Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Loans Receivable [Roll Forward] | ||
Purchases | $ 194 | $ 0 |
Proceeds from repayments | (28,337) | (4,481) |
Accretion of loan discount and premium amortization, net | 177,371 | $ 192,424 |
Consumer Portfolio Segment | Performing Loans | ||
Loans Receivable [Roll Forward] | ||
Beginning balance | 1,137,814 | |
Purchases | 0 | |
Additional fundings | 8,020 | |
Proceeds from repayments | (52,799) | |
Accretion of loan discount and premium amortization, net | 358 | |
Gross charge-offs | (15,600) | |
Additions to the allowance for loan losses, net | (319) | |
Ending balance | $ 1,077,474 |
INVESTMENTS IN CONSUMER LOANS91
INVESTMENTS IN CONSUMER LOANS - Allowance for Loan Losses (Details) - Consumer Portfolio Segment $ in Thousands | Mar. 31, 2018USD ($) | Mar. 31, 2018USD ($) |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Unpaid Principal Balance | $ 11,500 | $ 11,500 |
Carrying value of TDR | 10,100 | |
Performing Loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance, collectively evaluated | 4,429 | |
Beginning balance, individually impaired | 1,676 | |
Balance at December 31, 2017 | 6,105 | |
Provision for loan losses | 13,746 | |
Charge-offs | (13,427) | |
Ending balance, collectively evaluated | 4,720 | 4,720 |
Ending balance, individually impaired | 1,704 | 1,704 |
Balance at March 31, 2018 | $ 6,424 | 6,424 |
Recovery of bad debts | 2,200 | |
Performing Loans | Allowance for Losses on Finance Receivables, Collectively Evaluated | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Provision for loan losses | 13,718 | |
Charge-offs | (13,427) | |
Performing Loans | Allowance for Losses on Finance Receivables, Individually Impaired | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Provision for loan losses | 28 | |
Charge-offs | $ 0 |
INVESTMENTS IN CONSUMER LOANS92
INVESTMENTS IN CONSUMER LOANS - Carrying Value of Purchased Credit Deteriorated Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Loans Receivable [Roll Forward] | ||
Proceeds from repayments | $ (28,337) | $ (4,481) |
Accretion of loan discount and premium amortization, net | 177,371 | $ 192,424 |
Receivables Acquired with Deteriorated Credit Quality | Consumer Portfolio Segment | ||
Loans Receivable [Roll Forward] | ||
Beginning balance | 236,449 | |
Provision for loan losses | 0 | |
Proceeds from repayments | (17,196) | |
Accretion of loan discount and premium amortization, net | 9,066 | |
Ending balance | $ 228,319 |
INVESTMENTS IN CONSUMER LOANS93
INVESTMENTS IN CONSUMER LOANS - Unpaid Principal Balance of Purchased Credit Deteriorated Loans (Details) - Receivables Acquired with Deteriorated Credit Quality - Consumer Portfolio Segment - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Financing Receivable, Impaired [Line Items] | ||
Unpaid Principal Balance | $ 271,329 | $ 282,540 |
Carrying Value | $ 228,319 | $ 236,449 |
INVESTMENTS IN CONSUMER LOANS94
INVESTMENTS IN CONSUMER LOANS - Changes in Accretable Yield (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Loans Receivable [Roll Forward] | |
Beginning balance | $ 88,631 |
Accretion | (6,929) |
Ending balance | 72,689 |
Consumer Portfolio Segment | Receivables Acquired with Deteriorated Credit Quality | |
Loans Receivable [Roll Forward] | |
Beginning balance | 132,291 |
Accretion | (9,066) |
Reclassifications to non-accretable difference | 9,700 |
Ending balance | $ 132,925 |
INVESTMENTS IN CONSUMER LOANS95
INVESTMENTS IN CONSUMER LOANS - Noncontrolling Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Noncontrolling Interest [Line Items] | |||
Total Consumer Loan Companies equity | $ 5,663,936 | $ 4,690,205 | |
Others’ interests in equity of consolidated subsidiary | 97,751 | 105,957 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 10,111 | $ 15,780 | |
Consumer Loan Companies | |||
Noncontrolling Interest [Line Items] | |||
Total Consumer Loan Companies equity | 69,589 | $ 74,071 | |
Net Consumer Loan Companies income (loss) | $ 18,769 | $ 21,420 | |
Consumer Loan Companies | |||
Noncontrolling Interest [Line Items] | |||
Others’ ownership interest | 46.50% | 46.50% | 46.50% |
Others’ interests in equity of consolidated subsidiary | $ 32,359 | $ 34,466 | |
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 8,728 | $ 9,960 |
INVESTMENTS IN CONSUMER LOANS96
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Variable Interest Entities (Details) - VIE, consolidated - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Variable Interest Entity [Line Items] | ||
Total assets | $ 962,351 | $ 1,056,042 |
Notes and bonds payable | 718,844 | 789,979 |
Accounts payable and accrued expenses | 3,166 | 3,308 |
Total liabilities | 722,010 | 793,287 |
Consumer Loan Companies | ||
Variable Interest Entity [Line Items] | ||
Consumer loans, held-for-investment | 1,237,506 | 1,289,010 |
Restricted cash | 11,189 | 11,563 |
Accrued interest receivable | 17,859 | 19,360 |
Total assets | 1,266,554 | 1,319,933 |
Notes and bonds payable | 1,234,288 | 1,284,436 |
Accounts payable and accrued expenses | 4,178 | 4,007 |
Total liabilities | 1,238,466 | $ 1,288,443 |
Face amount of bonds retained | $ 121,000 |
INVESTMENTS IN CONSUMER LOANS97
INVESTMENTS IN CONSUMER LOANS - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |||||
Mar. 31, 2018 | Feb. 28, 2018 | Mar. 31, 2017 | Feb. 28, 2017 | Dec. 31, 2017 | Nov. 30, 2017 | |
Schedule of Equity Method Investments [Line Items] | ||||||
New Residential’s equity in net income | $ 4,806 | $ 0 | ||||
Real estate securities retained from loan securitizations | 75,950 | $ 81,888 | ||||
Consumer Portfolio Segment | LoanCo and WarrantCo | ||||||
Schedule of Equity Method Investments [Line Items] | ||||||
Consumer loans, at fair value | $ 523,714 | $ 178,422 | ||||
Warrants, at fair value | 94,680 | 80,746 | ||||
Other assets | 55,721 | 46,342 | ||||
Warehouse financing | (400,000) | (117,944) | ||||
Other liabilities | (3,566) | (13,059) | ||||
Equity | 270,549 | 174,507 | ||||
Undistributed retained earnings | 0 | 0 | ||||
New Residential’s investment | 46,135 | $ 66,285 | $ 51,412 | $ 42,473 | ||
New Residential’s ownership | 24.50% | 24.30% | ||||
Interest income | $ 12,792 | $ 0 | ||||
Interest expense | (3,368) | 0 | ||||
Change in fair value of consumer loans and warrants | 13,552 | 0 | ||||
Gain on sale of consumer loans | (420) | 0 | ||||
Other expenses | (3,207) | 0 | ||||
Net income | 19,349 | 0 | ||||
New Residential’s equity in net income | $ 4,806 | $ 4,806 | $ 0 | |||
New Residential’s ownership | 24.80% | 0.00% |
INVESTMENTS IN CONSUMER LOANS98
INVESTMENTS IN CONSUMER LOANS - Consumer Loan Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Schedule of Equity Method Investments [Line Items] | |||
Carrying Value | [1] | $ 1,305,793 | $ 1,374,263 |
Weighted Average Life (Years) | 1 year 4 months 30 days | ||
Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
UPB of Underlying Mortgages | $ 11,500 | ||
LoanCo | Consumer Portfolio Segment | |||
Schedule of Equity Method Investments [Line Items] | |||
UPB of Underlying Mortgages | $ 523,714 | ||
Interest in Consumer Loans | 25.00% | ||
Carrying Value | $ 523,714 | ||
Weighted Average Coupon | 14.40% | ||
Weighted Average Life (Years) | 1 year 4 months 23 days | ||
Weighted Average Delinquency | 0.30% | ||
[1] | New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6), the RPL Borrowers (Note 8), and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans, and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations. |
INVESTMENTS IN CONSUMER LOANS99
INVESTMENTS IN CONSUMER LOANS - Changes in Consumer Loan Equity Method Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2018 | Feb. 28, 2018 | Mar. 31, 2017 | Feb. 28, 2017 | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||||
Distributions of earnings from equity method investees | $ (4,938) | $ (5,805) | ||
Earnings from investments in consumer loans, equity method investees | 4,806 | $ 0 | ||
Consumer Portfolio Segment | LoanCo and WarrantCo | ||||
Increase (Decrease) in Equity Method Investments [Roll Forward] | ||||
Beginning balance | 51,412 | $ 42,473 | ||
Contributions to equity method investees | 83,227 | |||
Distributions of earnings from equity method investees | (1,449) | |||
Distributions of capital from equity method investees | (91,861) | |||
Earnings from investments in consumer loans, equity method investees | 4,806 | 4,806 | $ 0 | |
Ending balance | $ 46,135 | $ 66,285 |
DERIVATIVES - Narrative (Detail
DERIVATIVES - Narrative (Details) - TBAs - Not Designated as Hedging Instrument - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Short | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ 2,176,700 | $ 3,101,100 |
Long | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ 1,066,300 | $ 1,014,000 |
DERIVATIVES - Derivatives Recor
DERIVATIVES - Derivatives Recorded at Fair Value (Details) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative assets | $ 588,000 | $ 2,423,000 |
Derivative liabilities | 4,091,000 | 697,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Derivative assets | 3,000 | 0 |
Derivative liabilities | 0 | 0 |
Variation margin accounts | 100,000 | 0 |
Interest Rate Caps | ||
Derivative [Line Items] | ||
Derivative assets | 585,000 | 2,423,000 |
TBAs | ||
Derivative [Line Items] | ||
Derivative assets | 0 | 0 |
Derivative liabilities | $ 4,091,000 | $ 697,000 |
DERIVATIVES - Derivatives Notio
DERIVATIVES - Derivatives Notional Amount (Details) - Not Designated as Hedging Instrument - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
TBAs | Short | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ 2,176,700,000 | $ 3,101,100,000 |
TBAs | Long | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 1,066,300,000 | 1,014,000,000 |
Interest Rate Caps | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 347,500,000 | 772,500,000 |
Weighted average maturity (in months) | 13 months | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 430,000,000 | $ 0 |
Weighted average maturity (in months) | 37 months | |
Weighted average fixed pay rate | 2.67% | |
Interest Rate Cap, Contract One | ||
Derivative [Line Items] | ||
Derivative, cap interest rate | 2.00% | |
Notional amount of derivatives | $ 185,000,000 | |
Interest Rate Cap, Contract Two | ||
Derivative [Line Items] | ||
Derivative, cap interest rate | 4.00% | |
Notional amount of derivatives | $ 12,500,000 | |
Interest Rate Cap, Contract Three | ||
Derivative [Line Items] | ||
Derivative, cap interest rate | 4.00% | |
Notional amount of derivatives | $ 150,000,000 |
DERIVATIVES - Derivatives Gain
DERIVATIVES - Derivatives Gain (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative [Line Items] | ||
Unrealized gain (loss) on derivative instruments | $ 2,446 | $ 4,326 |
Gain (loss) on settlement of investments, net | 37,363 | (11,836) |
Total income (losses) | 39,809 | (7,510) |
TBAs | ||
Derivative [Line Items] | ||
Unrealized gain (loss) on derivative instruments | 1,994 | 123 |
Gain (loss) on settlement of investments, net | 15,436 | (6,801) |
Interest Rate Caps | ||
Derivative [Line Items] | ||
Unrealized gain (loss) on derivative instruments | 486 | 573 |
Gain (loss) on settlement of investments, net | (733) | (562) |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Unrealized gain (loss) on derivative instruments | (34) | 3,630 |
Gain (loss) on settlement of investments, net | $ 22,660 | $ (4,473) |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 14,685,727,000 | |
Carrying Value | $ 14,666,515,000 | $ 15,746,530,000 |
Weighted Average Funding Cost | 3.39% | |
Weighted Average Life (Years) | 1 year 4 months 30 days | |
Interest payable | $ 26,124,000 | 28,821,000 |
Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,143,995,000 | |
Carrying Value | $ 1,143,995,000 | 1,974,164,000 |
Weighted Average Funding Cost | 1.87% | |
Weighted Average Life (Years) | 1 month 21 days | |
Agency RMBS | Repurchase Agreements | Trade And Other Receivables | ||
Debt Instrument [Line Items] | ||
Collateral amount | $ 1,100,000,000 | |
Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 4 months 13 days | |
Outstanding Face of Collateral | $ 1,174,559,000 | |
Amortized Cost Basis of Collateral | 1,194,658,000 | |
Carrying Value of Collateral | 1,191,311,000 | |
Non-Agency RMBS | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 5,078,084,000 | |
Carrying Value | $ 5,078,084,000 | 4,720,290,000 |
Weighted Average Funding Cost | 3.19% | |
Weighted Average Life (Years) | 20 days | |
Non-Agency RMBS | Repurchase Agreements | Retained Servicer Advance and Consumer Bonds | ||
Debt Instrument [Line Items] | ||
Carrying Value | $ 168,800,000 | |
Non-Agency RMBS | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 9 months 25 days | |
Outstanding Face of Collateral | $ 12,806,279,000 | |
Amortized Cost Basis of Collateral | 5,876,597,000 | |
Carrying Value of Collateral | 6,299,657,000 | |
Residential Mortgage | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,311,527,000 | |
Carrying Value | $ 1,310,315,000 | 1,849,004,000 |
Weighted Average Funding Cost | 3.96% | |
Weighted Average Life (Years) | 11 months 12 days | |
Residential Mortgage | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 4 years 10 months 2 days | |
Outstanding Face of Collateral | $ 1,730,220,000 | |
Amortized Cost Basis of Collateral | 1,590,315,000 | |
Carrying Value of Collateral | 1,556,309,000 | |
Residential Mortgage | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 132,844,000 | |
Carrying Value | $ 132,844,000 | 137,196,000 |
Weighted Average Funding Cost | 3.60% | |
Weighted Average Life (Years) | 2 years 6 days | |
Residential Mortgage | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 10 months 12 days | |
Outstanding Face of Collateral | $ 225,044,000 | |
Amortized Cost Basis of Collateral | 176,795,000 | |
Carrying Value of Collateral | 175,170,000 | |
Real Estate Owned | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 103,195,000 | |
Carrying Value | $ 103,100,000 | 118,681,000 |
Weighted Average Funding Cost | 4.02% | |
Weighted Average Life (Years) | 6 months 6 days | |
Real Estate Owned | Repurchase Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Carrying Value of Collateral | $ 132,788,000 | |
Real Estate Owned | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 3,231,000 | |
Carrying Value | $ 3,231,000 | 3,126,000 |
Weighted Average Funding Cost | 3.78% | |
Weighted Average Life (Years) | 7 months 2 days | |
Real Estate Owned | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Carrying Value of Collateral | $ 2,025,000 | |
Total Repurchase Agreements | Repurchase Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 7,636,801,000 | |
Carrying Value | $ 7,635,494,000 | 8,662,139,000 |
Weighted Average Funding Cost | 3.14% | |
Weighted Average Life (Years) | 2 months 22 days | |
Interest payable | $ 16,400,000 | |
Excess MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 197,563,000 | 483,978,000 |
Excess MSRs | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 197,759,000 | |
Carrying Value | $ 197,563,000 | 483,978,000 |
Weighted Average Funding Cost | 4.88% | |
Weighted Average Life (Years) | 4 years 4 months 2 days | |
Excess MSRs | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 5 years 7 months 13 days | |
Outstanding Face of Collateral | $ 157,136,623,000 | |
Amortized Cost Basis of Collateral | 424,942,000 | |
Carrying Value of Collateral | 545,851,000 | |
MSRs | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,752,489,000 | |
Carrying Value | $ 1,747,218,000 | 1,157,179,000 |
Weighted Average Funding Cost | 4.03% | |
Weighted Average Life (Years) | 2 years 10 months 27 days | |
MSRs | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years 3 months 27 days | |
Outstanding Face of Collateral | $ 343,628,101,000 | |
Amortized Cost Basis of Collateral | 3,198,106,000 | |
Carrying Value of Collateral | 4,016,436,000 | |
Servicer Advances | ||
Debt Instrument [Line Items] | ||
Carrying Value | 3,776,597,000 | 4,060,156,000 |
Servicer Advances | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 3,784,178,000 | |
Carrying Value | $ 3,776,597,000 | 4,060,156,000 |
Weighted Average Funding Cost | 3.52% | |
Weighted Average Life (Years) | 2 years 5 months 1 day | |
Face amount of debt at fixed rate | $ 3,500,000,000 | |
Servicer Advances | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.99337% | |
Servicer Advances | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.42087% | |
Servicer Advances | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 1 year 3 months 16 days | |
Outstanding Face of Collateral | $ 4,298,166,000 | |
Amortized Cost Basis of Collateral | 4,324,840,000 | |
Carrying Value of Collateral | 4,348,739,000 | |
Consumer Loans | ||
Debt Instrument [Line Items] | ||
Carrying Value | 1,173,568,000 | 1,242,756,000 |
Consumer Loans | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,178,425,000 | |
Carrying Value | $ 1,173,568,000 | 1,242,756,000 |
Weighted Average Funding Cost | 3.36% | |
Weighted Average Life (Years) | 3 years 1 month 15 days | |
Consumer Loans | Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 3 years 6 months 9 days | |
Outstanding Face of Collateral | $ 1,310,728,000 | |
Amortized Cost Basis of Collateral | 1,312,055,000 | |
Carrying Value of Collateral | 1,305,631,000 | |
Total Notes Payable | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 7,048,926,000 | |
Carrying Value | $ 7,031,021,000 | $ 7,084,391,000 |
Weighted Average Funding Cost | 3.66% | |
Weighted Average Life (Years) | 2 years 8 months 14 days | |
3.00% Secured Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 197,800,000 | |
3.00% Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.00% | |
Secured Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 0 | |
Secured Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
2.25% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 313,870,000 | |
2.25% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.25% | |
3.00% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 480,020,000 | |
3.00% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.00% | |
2.50% Agency MSR Secured Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 73,400,000 | |
2.50% Agency MSR Secured Note | Secured Debt | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
3.55% Corporate Note | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 885,200,000 | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.55384% | |
3.55% Corporate Note | Secured Debt | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3682.4093% | |
2.88% Residential Mortgage Loans | Notes and Bonds Payable | Nationstar | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 10,300,000 | |
2.88% Residential Mortgage Loans | Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Nationstar | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.875% | |
3.60% Residential Mortgage Asset-backed Notes | Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 125,800,000 | |
Interest rate, stated percentage | 3.5979% | |
Consumer Loan, UPB Class A | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 3.05% | |
UPB of Underlying Mortgages | $ 876,500,000 | |
Consumer Loan, UPB Class B | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 4.10% | |
UPB of Underlying Mortgages | $ 210,800,000 | |
Consumer Loan, UPB Class C-1 | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 5.63% | |
UPB of Underlying Mortgages | $ 18,300,000 | |
Consumer Loan, UPB Class C-2 | Secured Debt | ||
Debt Instrument [Line Items] | ||
Interest rate, stated percentage | 5.63% | |
UPB of Underlying Mortgages | $ 18,300,000 | |
4.00% Consumer Loans | Secured Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 54,500,000 | |
Interest rate, stated percentage | 4.00% |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) $ in Thousands | Mar. 31, 2018USD ($)agreement |
Debt Instrument [Line Items] | |
Face amount of debt | $ 14,685,727 |
Repurchase Agreements | Total Repurchase Agreements | |
Debt Instrument [Line Items] | |
Face amount of debt | $ 7,636,801 |
Repurchase Agreements | Stockholders' Equity, Total | Counterpary Concentration Risk | |
Debt Instrument [Line Items] | |
Number of repurchase agreements, outstanding | agreement | 0 |
DEBT OBLIGATIONS - Carrying Val
DEBT OBLIGATIONS - Carrying Value of Debt Obligations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Debt Instrument [Roll Forward] | ||
Beginning balance | $ 15,746,530 | |
Borrowings | 15,286,068 | $ 9,874,154 |
Repayments | (16,316,397) | $ (8,788,534) |
Ending balance | 14,666,515 | |
Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 483,978 | |
Ending balance | 197,563 | |
MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,157,179 | |
Ending balance | 1,747,218 | |
Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 4,060,156 | |
Ending balance | 3,776,597 | |
Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 6,694,454 | |
Ending balance | 6,222,079 | |
Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 2,108,007 | |
Ending balance | 1,549,490 | |
Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,242,756 | |
Ending balance | 1,173,568 | |
Repurchase Agreements | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 15,286,068 | |
Repayments | (16,313,014) | |
Capitalized deferred financing costs, net of amortization | 301 | |
Repurchase Agreements | Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 15,141,907 | |
Repayments | (15,614,282) | |
Capitalized deferred financing costs, net of amortization | 0 | |
Repurchase Agreements | Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 144,161 | |
Repayments | (698,732) | |
Capitalized deferred financing costs, net of amortization | 301 | |
Repurchase Agreements | Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 2,508,665 | |
Repayments | (2,556,961) | |
Discount on borrowings, net of amortization | 10 | |
Capitalized deferred financing costs, net of amortization | (5,083) | |
Notes Payable | Excess MSRs | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 483,978 | |
Borrowings | 0 | |
Repayments | (286,440) | |
Discount on borrowings, net of amortization | 0 | |
Capitalized deferred financing costs, net of amortization | 25 | |
Ending balance | 197,563 | |
Notes Payable | MSRs | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 1,130,000 | |
Repayments | (535,596) | |
Discount on borrowings, net of amortization | 0 | |
Capitalized deferred financing costs, net of amortization | (4,365) | |
Notes Payable | Servicer Advances | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 4,060,156 | |
Borrowings | 1,378,665 | |
Repayments | (1,661,053) | |
Discount on borrowings, net of amortization | 10 | |
Capitalized deferred financing costs, net of amortization | (1,180) | |
Ending balance | 3,776,597 | |
Notes Payable | Real Estate Securities | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | 0 | |
Discount on borrowings, net of amortization | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | Residential Mortgage Loans and REO | ||
Debt Instrument [Roll Forward] | ||
Borrowings | 0 | |
Repayments | (4,247) | |
Discount on borrowings, net of amortization | 0 | |
Capitalized deferred financing costs, net of amortization | 0 | |
Notes Payable | Consumer Loans | ||
Debt Instrument [Roll Forward] | ||
Beginning balance | 1,242,756 | |
Borrowings | 0 | |
Repayments | (69,625) | |
Discount on borrowings, net of amortization | 0 | |
Capitalized deferred financing costs, net of amortization | 437 | |
Ending balance | $ 1,173,568 |
DEBT OBLIGATIONS - Contractual
DEBT OBLIGATIONS - Contractual Maturities of Debt Obligations (Details) $ in Thousands | Mar. 31, 2018USD ($) |
Debt maturing in: | |
April 1 through December 31, 2018 | $ 7,165,010 |
2,019 | 1,915,992 |
2,020 | 952,691 |
2,021 | 2,776,862 |
2,022 | 751,212 |
2023 and thereafter | 1,123,960 |
Total | 14,685,727 |
Nonrecourse | |
Debt maturing in: | |
April 1 through December 31, 2018 | 56,793 |
2,019 | 1,063,238 |
2,020 | 952,691 |
2,021 | 1,891,699 |
2,022 | 73,442 |
2023 and thereafter | 1,123,960 |
Total | 5,161,823 |
Recourse | |
Debt maturing in: | |
April 1 through December 31, 2018 | 7,108,217 |
2,019 | 852,754 |
2,020 | 0 |
2,021 | 885,163 |
2,022 | 677,770 |
2023 and thereafter | 0 |
Total | $ 9,523,904 |
DEBT OBLIGATIONS - Borrowing Ca
DEBT OBLIGATIONS - Borrowing Capacity (Details) | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Debt Instrument [Line Items] | |
Face amount of debt | $ 14,685,727,000 |
Non-Agency Bonds | |
Debt Instrument [Line Items] | |
Face amount of debt | 93,502,348.66000000 |
Residential Mortgage Loans and REO | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 2,065,000,000 |
Balance Outstanding | 1,414,722,000 |
Available Financing | 650,278,000 |
Excess MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 150,000,000 |
Balance Outstanding | 0 |
Available Financing | 150,000,000 |
MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 875,000,000 |
Balance Outstanding | 387,313,000 |
Available Financing | 487,687,000 |
Servicer Advances | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 1,780,120,000 |
Balance Outstanding | 1,302,681,000 |
Available Financing | $ 477,439,000 |
Unused borrowing capacity fee | 0.10% |
Consumer Loan | |
Debt Instrument [Line Items] | |
Borrowing Capacity | $ 150,000,000 |
Balance Outstanding | 54,466,000 |
Available Financing | 95,534,000 |
Debt Excess Borrowing Capacity | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 5,020,120,000 |
Balance Outstanding | 3,159,182,000 |
Available Financing | $ 1,860,938,000 |
FAIR VALUE MEASUREMENT - Carryi
FAIR VALUE MEASUREMENT - Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Investments in: | ||
Excess mortgage servicing rights, at fair value | $ 515,676 | $ 1,173,713 |
Mortgage servicing rights financing receivables, at fair value | 1,886,771 | 598,728 |
Real estate and other securities, available-for-sale | 7,585,323 | 8,071,140 |
Derivative assets | 588 | 2,423 |
Restricted cash | 179,688 | 150,252 |
Liabilities | ||
Derivative liabilities | 4,091 | $ 697 |
Recurring Basis | ||
Investments in: | ||
Excess mortgage servicing rights, principal balance | 124,900,750 | |
Excess mortgage servicing rights, equity method investees, principal balance | 49,435,804 | |
Mortgage servicing rights, principal balance | 197,462,949 | |
Mortgage servicing rights financing receivables, principal balance | 146,165,152 | |
Servicer advance investments, principal balance | 818,431 | |
Real estate and other securities, available-for-sale, principal balance | 14,778,190 | |
Residential mortgage loans, held-for-investment, principal balance | 751,155 | |
Residential mortgage loans, held-for-sale, principal balance | 1,640,988 | |
Consumer loans, held-for-investment, principal balance | 1,310,889 | |
Derivative assets | 777,500 | |
Cash and cash equivalents, principal balance | 233,233 | |
Restricted cash, principal balance | 179,688 | |
Liabilities | ||
Repurchase agreements, principal balance | 7,636,801 | |
Notes and bonds payable, principal balance | 7,048,926 | |
Derivative liabilities, notional amount | 3,243,000 | |
Recurring Basis | Carrying Value | ||
Investments in: | ||
Excess mortgage servicing rights, at fair value | 515,676 | |
Excess mortgage servicing rights, equity method investees, at fair value | 164,886 | |
Mortgage servicing rights, at fair value | 2,129,665 | |
Mortgage servicing rights financing receivables, at fair value | 1,886,771 | |
Servicer advance investments, at fair value | 955,364 | |
Real estate and other securities, available-for-sale | 7,585,323 | |
Residential mortgage loans, held-for-investment | 647,960 | |
Residential mortgage loans, held-for-sale | 1,441,955 | |
Consumer loans, held-for-investment | 1,305,793 | |
Derivative assets | 588 | |
Cash and cash equivalents | 233,233 | |
Restricted cash | 179,688 | |
Other assets | 35,377 | |
Assets, fair value | 17,082,279 | |
Liabilities | ||
Repurchase agreements | 7,635,494 | |
Notes and bonds payable | 7,031,021 | |
Derivative liabilities | 4,091 | |
Liabilities, fair value | 14,670,606 | |
Recurring Basis | Fair Value | ||
Investments in: | ||
Excess mortgage servicing rights, at fair value | 515,676 | |
Excess mortgage servicing rights, equity method investees, at fair value | 164,886 | |
Mortgage servicing rights, at fair value | 2,129,665 | |
Mortgage servicing rights financing receivables, at fair value | 1,886,771 | |
Servicer advance investments, at fair value | 955,364 | |
Real estate and other securities, available-for-sale | 7,585,323 | |
Residential mortgage loans, held-for-investment | 640,769 | |
Residential mortgage loans, held-for-sale | 1,512,223 | |
Consumer loans, held-for-investment | 1,299,054 | |
Derivative assets | 588 | |
Cash and cash equivalents | 233,233 | |
Restricted cash | 179,688 | |
Other assets | 35,377 | |
Assets, fair value | 17,138,617 | |
Liabilities | ||
Repurchase agreements | 7,636,801 | |
Notes and bonds payable | 7,005,197 | |
Derivative liabilities | 4,091 | |
Liabilities, fair value | 14,646,089 | |
Recurring Basis | Fair Value | Level 1 | ||
Investments in: | ||
Excess mortgage servicing rights, at fair value | 0 | |
Excess mortgage servicing rights, equity method investees, at fair value | 0 | |
Mortgage servicing rights, at fair value | 0 | |
Mortgage servicing rights financing receivables, at fair value | 0 | |
Servicer advance investments, at fair value | 0 | |
Real estate and other securities, available-for-sale | 0 | |
Residential mortgage loans, held-for-investment | 0 | |
Residential mortgage loans, held-for-sale | 0 | |
Consumer loans, held-for-investment | 0 | |
Derivative assets | 0 | |
Cash and cash equivalents | 233,233 | |
Restricted cash | 179,688 | |
Other assets | 25,031 | |
Assets, fair value | 437,952 | |
Liabilities | ||
Repurchase agreements | 0 | |
Notes and bonds payable | 0 | |
Derivative liabilities | 0 | |
Liabilities, fair value | 0 | |
Recurring Basis | Fair Value | Level 2 | ||
Investments in: | ||
Excess mortgage servicing rights, at fair value | 0 | |
Excess mortgage servicing rights, equity method investees, at fair value | 0 | |
Mortgage servicing rights, at fair value | 0 | |
Mortgage servicing rights financing receivables, at fair value | 0 | |
Servicer advance investments, at fair value | 0 | |
Real estate and other securities, available-for-sale | 1,214,115 | |
Residential mortgage loans, held-for-investment | 0 | |
Residential mortgage loans, held-for-sale | 0 | |
Consumer loans, held-for-investment | 0 | |
Derivative assets | 588 | |
Cash and cash equivalents | 0 | |
Restricted cash | 0 | |
Other assets | 0 | |
Assets, fair value | 1,214,703 | |
Liabilities | ||
Repurchase agreements | 7,636,801 | |
Notes and bonds payable | 0 | |
Derivative liabilities | 4,091 | |
Liabilities, fair value | 7,640,892 | |
Recurring Basis | Fair Value | Level 3 | ||
Investments in: | ||
Excess mortgage servicing rights, at fair value | 515,676 | |
Excess mortgage servicing rights, equity method investees, at fair value | 164,886 | |
Mortgage servicing rights, at fair value | 2,129,665 | |
Mortgage servicing rights financing receivables, at fair value | 1,886,771 | |
Servicer advance investments, at fair value | 955,364 | |
Real estate and other securities, available-for-sale | 6,371,208 | |
Residential mortgage loans, held-for-investment | 640,769 | |
Residential mortgage loans, held-for-sale | 1,512,223 | |
Consumer loans, held-for-investment | 1,299,054 | |
Derivative assets | 0 | |
Cash and cash equivalents | 0 | |
Restricted cash | 0 | |
Other assets | 10,346 | |
Assets, fair value | 15,485,962 | |
Liabilities | ||
Repurchase agreements | 0 | |
Notes and bonds payable | 7,005,197 | |
Derivative liabilities | 0 | |
Liabilities, fair value | $ 7,005,197 |
FAIR VALUE MEASUREMENT - Financ
FAIR VALUE MEASUREMENT - Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Non-Agency | ||
Gains (losses) included in net income | ||
Included in gain (loss) on settlement of investments, net | $ 0 | |
Excess MSRs Investees | ||
Purchases, sales and repayments | ||
New Residential’s ownership | 50.00% | 50.00% |
Recurring Basis | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | $ 13,681,878 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | (6,670) | |
Included in change in fair value of investments in excess mortgage servicing rights | (45,691) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 523 | |
Included in servicing revenue, net | 74,666 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 271,076 | |
Included in change in fair value of servicer advance investments | (79,476) | |
Included in gain (loss) on settlement of investments, net | 113,002 | |
Included in other income (loss), net | 2,592 | |
Gains (losses) included in other comprehensive income | 49,164 | |
Interest income | 103,926 | |
Purchases, sales and repayments | ||
Purchases | 1,723,898 | |
Proceeds from sales | (1,026) | |
Proceeds from repayments | (1,040,880) | |
New Ocwen Agreements (Note 5) | (2,823,412) | |
Balance, ending | 12,023,570 | |
Recurring Basis | Level 3 | Servicer Advances | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 4,027,379 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | |
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | (79,476) | |
Included in gain (loss) on settlement of investments, net | 72,585 | |
Included in other income (loss), net | 0 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 18,889 | |
Purchases, sales and repayments | ||
Purchases | 880,618 | |
Proceeds from sales | 0 | |
Proceeds from repayments | (761,793) | |
New Ocwen Agreements (Note 5) | (3,202,838) | |
Balance, ending | 955,364 | |
Recurring Basis | Level 3 | MSRs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 1,735,504 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | |
Included in servicing revenue, net | 74,666 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | 0 | |
Included in gain (loss) on settlement of investments, net | 0 | |
Included in other income (loss), net | 0 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 0 | |
Purchases, sales and repayments | ||
Purchases | 319,495 | |
Proceeds from sales | 0 | |
Proceeds from repayments | 0 | |
New Ocwen Agreements (Note 5) | 0 | |
Balance, ending | 2,129,665 | |
Recurring Basis | Level 3 | Mortgage Servicing Rights Financing Receivable | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 598,728 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | |
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 271,076 | |
Included in change in fair value of servicer advance investments | 0 | |
Included in gain (loss) on settlement of investments, net | 0 | |
Included in other income (loss), net | 0 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 0 | |
Purchases, sales and repayments | ||
Purchases | 0 | |
Proceeds from sales | (1,026) | |
Proceeds from repayments | 0 | |
New Ocwen Agreements (Note 5) | 1,017,993 | |
Balance, ending | 1,886,771 | |
Recurring Basis | Level 3 | Non-Agency | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 5,974,789 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | (6,670) | |
Included in change in fair value of investments in excess mortgage servicing rights | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | |
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | 0 | |
Included in gain (loss) on settlement of investments, net | 0 | |
Included in other income (loss), net | (313) | |
Gains (losses) included in other comprehensive income | 49,164 | |
Interest income | 75,678 | |
Purchases, sales and repayments | ||
Purchases | 523,785 | |
Proceeds from sales | 0 | |
Proceeds from repayments | (245,225) | |
New Ocwen Agreements (Note 5) | 0 | |
Balance, ending | 6,371,208 | |
Recurring Basis | Level 3 | MSRs Agency | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 324,636 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | (3,169) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 0 | |
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | 0 | |
Included in gain (loss) on settlement of investments, net | 0 | |
Included in other income (loss), net | 2,879 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 4,240 | |
Purchases, sales and repayments | ||
Purchases | 0 | |
Proceeds from sales | 0 | |
Proceeds from repayments | (15,201) | |
New Ocwen Agreements (Note 5) | 0 | |
Balance, ending | 313,385 | |
Recurring Basis | Level 3 | MSRs Agency | Excess MSRs Investees | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 171,765 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | 523 | |
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | 0 | |
Included in gain (loss) on settlement of investments, net | 0 | |
Included in other income (loss), net | 0 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 0 | |
Purchases, sales and repayments | ||
Purchases | 0 | |
Proceeds from sales | 0 | |
Proceeds from repayments | (7,402) | |
New Ocwen Agreements (Note 5) | 0 | |
Balance, ending | 164,886 | |
Recurring Basis | Level 3 | MSRs Non-Agency | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning | 849,077 | |
Transfers from Level 3 | 0 | |
Transfers to Level 3 | 0 | |
Gains (losses) included in net income | ||
Included in other-than-temporary impairment (''OTTI'') on securities | 0 | |
Included in change in fair value of investments in excess mortgage servicing rights | (42,522) | |
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees | ||
Included in servicing revenue, net | 0 | |
Included in change in fair value of investments in mortgage servicing rights financing receivables(D) | 0 | |
Included in change in fair value of servicer advance investments | ||
Included in gain (loss) on settlement of investments, net | 40,417 | |
Included in other income (loss), net | 26 | |
Gains (losses) included in other comprehensive income | 0 | |
Interest income | 5,119 | |
Purchases, sales and repayments | ||
Purchases | 0 | |
Proceeds from sales | 0 | |
Proceeds from repayments | (11,259) | |
New Ocwen Agreements (Note 5) | (638,567) | |
Balance, ending | $ 202,291 |
FAIR VALUE MEASUREMENT - Inform
FAIR VALUE MEASUREMENT - Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 3 Months Ended |
Mar. 31, 2018$ / Loan | |
Excess MSRs | |
Directly Held | |
Prepayment Rate | 9.70% |
Delinquency | 4.00% |
Recapture Rate | 26.20% |
Servicing Amount Percentage | 0.0020 |
Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 23 years |
MSRs | |
Directly Held | |
Prepayment Rate | 9.30% |
Delinquency | 1.40% |
Recapture Rate | 24.70% |
Servicing Amount Percentage | 0.0027 |
MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 22 years |
Agency, Mortgage Servicing Rights Financing Receivable | |
Directly Held | |
Prepayment Rate | 9.20% |
Delinquency | 1.20% |
Recapture Rate | 15.00% |
Servicing Amount Percentage | 0.0027 |
Agency, Mortgage Servicing Rights Financing Receivable | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 20 years |
Nonagency, Mortgage Servicing Rights Financing Receivable | |
Directly Held | |
Prepayment Rate | 9.10% |
Delinquency | 15.20% |
Recapture Rate | 0.00% |
Servicing Amount Percentage | 0.0045 |
Nonagency, Mortgage Servicing Rights Financing Receivable | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 26 years |
Agency | Weighted Average | |
Directly Held | |
Monthly cost per loan (in dollars per loan) | 7.43 |
Non-Agency | Weighted Average | |
Directly Held | |
Monthly cost per loan (in dollars per loan) | 12.80 |
Directly Held | Excess MSRs | |
Directly Held | |
Prepayment Rate | 9.90% |
Delinquency | 3.50% |
Recapture Rate | 24.20% |
Servicing Amount Percentage | 0.0019 |
Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 23 years |
Directly Held | Agency | Original Pools | |
Directly Held | |
Prepayment Rate | 9.80% |
Delinquency | 3.00% |
Recapture Rate | 32.10% |
Servicing Amount Percentage | 0.0021 |
Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 23 years |
Directly Held | Agency | Recaptured Pools | |
Directly Held | |
Prepayment Rate | 7.40% |
Delinquency | 4.40% |
Recapture Rate | 23.80% |
Servicing Amount Percentage | 0.0022 |
Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 24 years |
Directly Held | Agency | Recapture Agreements | |
Directly Held | |
Prepayment Rate | 7.40% |
Delinquency | 4.40% |
Recapture Rate | 24.90% |
Servicing Amount Percentage | 0.0022 |
Directly Held | Agency | Excess MSRs | |
Directly Held | |
Prepayment Rate | 9.00% |
Delinquency | 3.50% |
Recapture Rate | 29.50% |
Servicing Amount Percentage | 0.0021 |
Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 23 years |
Directly Held | Non-Agency | Original Pools | |
Directly Held | |
Prepayment Rate | 12.10% |
Recapture Rate | 15.50% |
Servicing Amount Percentage | 0.0015 |
Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 24 years |
Directly Held | Non-Agency | Recaptured Pools | |
Directly Held | |
Prepayment Rate | 7.00% |
Recapture Rate | 19.80% |
Servicing Amount Percentage | 0.0022 |
Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 24 years |
Directly Held | Non-Agency | Recapture Agreements | |
Directly Held | |
Prepayment Rate | 7.00% |
Recapture Rate | 19.70% |
Servicing Amount Percentage | 0.0020 |
Directly Held | Non-Agency | Excess MSRs | |
Directly Held | |
Prepayment Rate | 11.30% |
Recapture Rate | 16.10% |
Servicing Amount Percentage | 0.0016 |
Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 24 years |
Held through Equity Method Investees | Excess MSRs | |
Directly Held | |
Prepayment Rate | 9.20% |
Delinquency | 4.70% |
Recapture Rate | 29.50% |
Servicing Amount Percentage | 0.0021 |
Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 23 years |
Held through Equity Method Investees | Agency | Original Pools | |
Directly Held | |
Prepayment Rate | 11.10% |
Delinquency | 4.90% |
Recapture Rate | 34.90% |
Servicing Amount Percentage | 0.0019 |
Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 22 years |
Held through Equity Method Investees | Agency | Recaptured Pools | |
Directly Held | |
Prepayment Rate | 7.40% |
Delinquency | 4.60% |
Recapture Rate | 24.10% |
Servicing Amount Percentage | 0.0023 |
Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (in years) | 24 years |
Held through Equity Method Investees | Agency | Recapture Agreements | |
Directly Held | |
Prepayment Rate | 7.40% |
Delinquency | 4.60% |
Recapture Rate | 24.40% |
Servicing Amount Percentage | 0.0023 |
FAIR VALUE MEASUREMENT - Narrat
FAIR VALUE MEASUREMENT - Narrative (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Schedule of Equity Method Investments [Line Items] | |
Assets measured at fair value on a nonrecurring basis | $ 300 |
Asset fair value adjustment | $ 5.1 |
Minimum | |
Schedule of Equity Method Investments [Line Items] | |
Broker price discount | 10.00% |
Maximum | |
Schedule of Equity Method Investments [Line Items] | |
Broker price discount | 25.00% |
Residential Mortgage Loans | |
Schedule of Equity Method Investments [Line Items] | |
Assets measured at fair value on a nonrecurring basis | $ 265.2 |
Real Estate Acquired in Satisfaction of Debt | |
Schedule of Equity Method Investments [Line Items] | |
Assets measured at fair value on a nonrecurring basis | 70.6 |
Loans Held-for-sale and Held-for-investment | |
Schedule of Equity Method Investments [Line Items] | |
Asset fair value adjustment | 4.1 |
Real Estate Owned | |
Schedule of Equity Method Investments [Line Items] | |
Asset fair value adjustment | $ 1 |
MSRs | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 9.10% |
MSRs | Excess MSRs Investees | |
Schedule of Equity Method Investments [Line Items] | |
Weighted average discount rate, used to value investments in excess MSRs | 8.80% |
Mortgage Servicing Rights Financing Receivable | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 10.50% |
London Interbank Offered Rate (LIBOR) | Mortgage Servicing Rights Financing Receivable | |
Schedule of Equity Method Investments [Line Items] | |
Variable interest rate spread | 0.90% |
FAIR VALUE MEASUREMENT - Inf113
FAIR VALUE MEASUREMENT - Information Regarding the Inputs used in Valuing the Servicer Advances (Details) - Servicer Advances | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.50% |
Prepayment Rate | 12.80% |
Delinquency | 19.70% |
Mortgage Servicing Amount | 0.00195 |
Discount Rate | 5.80% |
Mortgage servicing amount | 0.91% |
Weighted Average | |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | |
Collateral Weighted Average Maturity (in years) | 23 years 2 months 23 days |
FAIR VALUE MEASUREMENT - Securi
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($)source | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Outstanding Face Amount | $ 14,778,190 |
Amortized Cost Basis | 7,164,388 |
Total Fair Value | $ 7,585,323 |
Number of broker quotation sources | source | 2 |
Percent of securities | 81.80% |
Multiple Quotes | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | $ 7,578,235 |
Single Quote | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 7,088 |
Single Quote | Seller | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 6,700 |
Agency RMBS | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Outstanding Face Amount | 1,221,259 |
Amortized Cost Basis | 1,217,176 |
Agency RMBS | Level 2 | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 1,214,115 |
Agency RMBS | Level 2 | Multiple Quotes | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 1,214,115 |
Agency RMBS | Level 2 | Single Quote | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 0 |
Non-Agency RMBS | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Outstanding Face Amount | 13,556,931 |
Amortized Cost Basis | 5,947,212 |
Fair Value | 5,210,885 |
Non-Agency RMBS | Level 3 | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 6,371,208 |
Non-Agency RMBS | Level 3 | Multiple Quotes | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | 6,364,120 |
Non-Agency RMBS | Level 3 | Single Quote | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Total Fair Value | $ 7,088 |
Minimum | Non-Agency RMBS | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Discount Rate | 2.66% |
Prepayment Speed | 0.25% |
Delinquency | 0.15% |
Loss Severity | 5.00% |
Maximum | Non-Agency RMBS | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Discount Rate | 28.00% |
Prepayment Speed | 22.00% |
Delinquency | 9.00% |
Loss Severity | 100.00% |
FAIR VALUE MEASUREMENT - Schedu
FAIR VALUE MEASUREMENT - Schedule of Inputs Used in Valuing Residential Mortgage Loans (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Weighted Average Life (Years) | 1 year 4 months 30 days |
Performing Loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Weighted Average Life (Years) | 5 years 3 months 22 days |
Fair Value, Measurements, Nonrecurring | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount Rate | 4.00% |
Weighted Average Life (Years) | 4 years 11 months 2 days |
Prepayment Rate | 8.90% |
CDR | 1.30% |
Loss Severity | 36.60% |
Fair Value, Measurements, Nonrecurring | Performing Loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount Rate | 4.00% |
Weighted Average Life (Years) | 5 years 1 month 14 days |
Prepayment Rate | 10.30% |
CDR | 1.50% |
Loss Severity | 31.60% |
Fair Value, Measurements, Nonrecurring | Non-Performing Loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount Rate | 6.60% |
Weighted Average Life (Years) | 3 years 2 months 8 days |
Prepayment Rate | 3.00% |
CDR | 3.00% |
Loss Severity | 30.00% |
Fair Value, Measurements, Nonrecurring | Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 265,243 |
Fair Value, Measurements, Nonrecurring | Fair Value | Performing Loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 215,406 |
Fair Value, Measurements, Nonrecurring | Fair Value | Non-Performing Loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 49,837 |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 22, 2018 | Jan. 31, 2018 | Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||
Issuance of common stock (in shares) | 28,800,000 | ||||
Shares issued, price per share (in dollars per share) | $ 17.10 | ||||
Issuance of common stock | $ 482,300 | $ 482,696 | $ 835,465 | ||
Options granted (in shares) | 2,900,000 | ||||
Stock issued for services, value | $ 3,800 | ||||
Risk free interest rate | 2.58% | ||||
Expected dividend rate | 9.86% | ||||
Expected volatility rate | 23.16% | ||||
Expected term (in years) | 10 years | ||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.48 | ||
Dividends | $ 168,100 | $ 168,068 | |||
Common stock, shares outstanding (in shares) | 336,135,391 | 307,361,309 | |||
Share price (in dollars per share) | $ 16.45 | ||||
Diluted common stock equivalent, shares outstanding, adjustment (in shares) | 2,995,580 | 1,640,864 | |||
Fortress-managed funds | |||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range [Line Items] | |||||
Common stock, shares outstanding (in shares) | 500,000 |
EQUITY AND EARNINGS PER SHAR117
EQUITY AND EARNINGS PER SHARE - Options Outstanding by Issuance (Details) | Mar. 31, 2018shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 21,377,188 |
Held by the Manager | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 18,131,564 |
Issued to the Manager and subsequently transferred to certain of the Manager’s employees | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 3,239,624 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 6,000 |
Total | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of options (in shares) | 21,377,188 |
EQUITY AND EARNINGS PER SHAR118
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options - Period End (Details) $ / shares in Units, $ in Millions | 3 Months Ended |
Mar. 31, 2018USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 21,377,188 |
Options Exercisable (in shares) | 14,756,261 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 6,000 |
Stock Options | Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | Various |
Number of unexercised options (in shares) | 6,000 |
Options Exercisable (in shares) | 6,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.49 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 0 |
Stock Options | Manager | 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,012 |
Number of unexercised options (in shares) | 25,000 |
Options Exercisable (in shares) | 25,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 6.70 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 0.2 |
Stock Options | Manager | 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,013 |
Number of unexercised options (in shares) | 835,571 |
Options Exercisable (in shares) | 835,571 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 10.98 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 4.6 |
Stock Options | Manager | 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,014 |
Number of unexercised options (in shares) | 1,437,500 |
Options Exercisable (in shares) | 1,437,500 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 11.70 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 6.8 |
Stock Options | Manager | 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,015 |
Number of unexercised options (in shares) | 8,543,539 |
Options Exercisable (in shares) | 8,543,539 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.96 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 12.7 |
Stock Options | Manager | 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,016 |
Number of unexercised options (in shares) | 2,000,000 |
Options Exercisable (in shares) | 1,266,667 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.70 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 3.5 |
Stock Options | Manager | 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,017 |
Number of unexercised options (in shares) | 5,654,578 |
Options Exercisable (in shares) | 2,450,317 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.50 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 4.8 |
Stock Options | Manager | 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Date of Grant | 2,018 |
Number of unexercised options (in shares) | 2,875,000 |
Options Exercisable (in shares) | 191,667 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 17.10 |
Intrinsic Value of Exercisable Options as of March 31, 2018 (millions) | $ | $ 0 |
Options Granted in 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,708,708 |
Options Granted in 2015 | Minimum | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.75 |
Options Granted in 2015 | Maximum | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.38 |
Options Granted in 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 400,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.70 |
Options Granted in 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,130,916 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.50 |
Options Assigned | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 3,239,624 |
EQUITY AND EARNINGS PER SHAR119
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options (Details) | 3 Months Ended |
Mar. 31, 2018$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding [Roll Forward] | |
Beginning balance, Outstanding options (in shares) | 18,502,188 |
Options granted (in shares) | 2,875,000 |
Options exercised (in shares) | 0 |
Options expired unexercised (in shares) | 0 |
Ending balance, Outstanding options (in shares) | 21,377,188 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |
Weighted average exercise price, granted (in dollars per share) | $ / shares | $ 17.10 |
Weighted average exercise price, exercised (in dollars per share) | $ / shares | $ 0 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Details) $ in Millions | Mar. 31, 2018USD ($) |
Unfunded Loan Commitment | Consumer Portfolio Segment | Consumer Loan Companies | |
Loss Contingencies [Line Items] | |
Financing receivable | $ 162.2 |
TRANSACTIONS WITH AFFILIATES121
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Related Party Transaction [Line Items] | |
Management agreement, renewal term (in years) | 1 year |
Termination fee, number of months' pay (in months) | 12 months |
Proportion of directors' votes needed to terminate | 0.6667 |
Accruals for MSR Fund Payments | $ 0 |
Amount of securities transferred to MSR Fund Payments | $ 0.1 |
Nationstar | Credit Concentration Risk | Investment Interest Income - Excess MSRs | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 99.20% |
Nationstar | Credit Concentration Risk | Investment Interest Income - MSRs | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 27.70% |
Nationstar | Credit Concentration Risk | Investment Interest Income - Servicer Advances | |
Related Party Transaction [Line Items] | |
Percentage of UPB of loans underlying investments | 97.00% |
Manager | |
Related Party Transaction [Line Items] | |
Management fee rate (percent) | 1.50% |
Incentive compensation percentage | 25.00% |
Interest rate for incentive compensation | 10.00% |
Nationstar | Residential Mortgage | |
Related Party Transaction [Line Items] | |
Unpaid Principal Balance | $ 912.4 |
Nationstar | Real Estate Owned | |
Related Party Transaction [Line Items] | |
Unpaid balance of real estate owned | 14.9 |
Nationstar | Non-Agency | |
Related Party Transaction [Line Items] | |
Face amount of investment | 3,200 |
Unpaid Principal Balance | $ 17,600 |
Redemption premium percentage | 0.75% |
Nationstar | Agency RMBS | |
Related Party Transaction [Line Items] | |
Face amount of investment | $ 32.8 |
TRANSACTIONS WITH AFFILIATES122
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||
Due to affiliates | $ 20,292 | $ 88,961 | |
Management fees | 15,110 | $ 13,074 | |
Incentive compensation | 14,589 | 12,460 | |
Manager | |||
Related Party Transaction [Line Items] | |||
Management fees | 5,156 | 4,734 | |
Incentive compensation | 14,589 | 81,373 | |
Expense reimbursements and other | 547 | 2,854 | |
Due to affiliates | 20,292 | $ 88,961 | |
Management fees | 15,110 | 13,074 | |
Incentive compensation | 14,589 | 12,460 | |
Expense reimbursements | 125 | 125 | |
Total payments to affiliate | $ 29,824 | $ 25,659 |
RECLASSIFICATION FROM ACCUMU123
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Other-than-temporary impairment (OTTI) on securities | $ 6,670 | $ 2,112 |
Reclassification out of Accumulated Other Comprehensive Income | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Total reclassifications | 35,897 | 1,119 |
Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest | Reclassification out of Accumulated Other Comprehensive Income | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Gain (loss) on settlement of investments, net | 29,227 | (993) |
Other-than-temporary impairment (OTTI) on securities | $ 6,670 | $ 2,112 |
INCOME TAXES - Schedule of Inco
INCOME TAXES - Schedule of Income Tax Expense (Benefit) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Current: | ||
Federal | $ 1,708 | $ 2,108 |
State and Local | 436 | 70 |
Total Current Income Tax Expense (Benefit) | 2,144 | 2,178 |
Deferred: | ||
Federal | (8,673) | 2,746 |
State and Local | (383) | 672 |
Total Deferred Income Tax Expense (Benefit) | (9,056) | 3,418 |
Total Income Tax Expense (Benefit) | (6,912) | $ 5,596 |
Deferred income tax asset, net | $ 10,200 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ / shares in Units, $ in Millions | Apr. 27, 2018 | Mar. 22, 2018 | Mar. 31, 2018 | Mar. 31, 2017 |
Subsequent Event [Line Items] | ||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.48 | |
Subsequent Event | ||||
Subsequent Event [Line Items] | ||||
Dividend paid (in dollars per share) | $ 0.50 | |||
Payment of common stock dividends | $ 168.1 |