New Residential Investment Corp.
|
(Exact name of registrant as specified in its charter)
|
Delaware
|
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45-3449660
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(State or other jurisdiction of
incorporation or organization)
|
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(I.R.S. Employer Identification No.)
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|
|
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1345 Avenue of the Americas, New York, NY
|
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10105
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(Address of principal executive offices)
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(Zip Code)
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(212) 798-3150
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(Registrant’s telephone number, including area code)
|
•
|
reductions in cash flows received from our investments;
|
•
|
the quality and size of the investment pipeline and our ability to take advantage of investment opportunities at attractive risk-adjusted prices;
|
•
|
servicer advances may not be recoverable or may take longer to recover than we expect, which could cause us to fail to achieve our targeted return on our investment in servicer advances;
|
•
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our ability to deploy capital accretively and the timing of such deployment;
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•
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our counterparty concentration and default risks in Nationstar, Ocwen, OneMain and other third parties;
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•
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a lack of liquidity surrounding our investments, which could impede our ability to vary our portfolio in an appropriate manner;
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•
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the impact that risks associated with subprime mortgage loans and consumer loans, as well as deficiencies in servicing and foreclosure practices, may have on the value of our Excess MSRs, servicer advances, RMBS and loan portfolios;
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•
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the risks that default and recovery rates on our Excess MSRs, servicer advances, real estate securities, residential mortgage loans and consumer loans deteriorate compared to our underwriting estimates;
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•
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changes in prepayment rates on the loans underlying certain of our assets, including, but not limited to, our Excess MSRs;
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•
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the risk that projected recapture rates on the loan pools underlying our Excess MSRs are not achieved;
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•
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the relationship between yields on assets which are paid off and yields on assets in which such monies can be reinvested;
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•
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the relative spreads between the yield on the assets in which we invest and the cost of financing;
|
•
|
changes in economic conditions generally and the real estate and bond markets specifically;
|
•
|
adverse changes in the financing markets we access affecting our ability to finance our investments on attractive terms, or at all;
|
•
|
changing risk assessments by lenders that potentially lead to increased margin calls, not extending our repurchase agreements or other financings in accordance with their current terms or not entering into new financings with us;
|
•
|
changes in interest rates and/or credit spreads, as well as the success of any hedging strategy we may undertake in relation to such changes;
|
•
|
impairments in the value of the collateral underlying our investments and the relation of any such impairments to our judgments as to whether changes in the market value of our securities or loans are temporary or not and whether circumstances bearing on the value of such assets warrant changes in carrying values;
|
•
|
the availability and terms of capital for future investments;
|
•
|
competition within the finance and real estate industries;
|
•
|
the legislative/regulatory environment, including, but not limited to, the impact of the Dodd-Frank Act, U.S. government programs intended to stabilize the economy, the federal conservatorship of Fannie Mae and Freddie Mac and legislation that permits modification of the terms of residential mortgage loans;
|
•
|
our ability to maintain our qualification as a real estate investment trust (“REIT”) for U.S. federal income tax purposes and the potentially onerous consequences that any failure to maintain such qualification would have on our business;
|
•
|
our ability to maintain our exclusion from registration under Investment Company Act of 1940 (the “1940 Act”) and the fact that maintaining such exclusion imposes limits on our operations;
|
•
|
the risks related to HLSS liabilities that we have assumed;
|
•
|
the impact of current or future legal proceedings and regulatory investigations and inquiries;
|
•
|
the impact of any material transactions with FIG LLC (the “Manager”) or one of its affiliates, including the impact of any actual, potential or perceived conflicts of interest; and
|
•
|
events, conditions or actions that might occur at Ocwen.
|
•
|
should not in all instances be treated as categorical statements of fact, but rather as a way of allocating the risk to one of the parties if those statements proved to be inaccurate;
|
•
|
have been qualified by disclosures that were made to the other party in connection with the negotiation of the applicable agreement, which disclosures are not necessarily reflected in the agreement;
|
•
|
may apply standards of materiality in a way that is different from what may be viewed as material to you or other investors; and
|
•
|
were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments.
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PAGE
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Part I. Financial Information
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Part II. Other Information
|
|
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|
|
|
|
|
|
|
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|
|
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|
|
CONDENSED CONSOLIDATED BALANCE SHEETS
|
(dollars in thousands, except share data)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
|
(Unaudited)
|
|
|||||
Assets
|
|
|
|
||||
Investments in:
|
|
|
|
||||
Excess mortgage servicing rights, at fair value
|
$
|
1,475,418
|
|
|
$
|
1,581,517
|
|
Excess mortgage servicing rights, equity method investees, at fair value
|
199,145
|
|
|
217,221
|
|
||
Servicer advances, at fair value
(A)
|
6,513,274
|
|
|
7,426,794
|
|
||
Real estate securities, available-for-sale
|
4,554,657
|
|
|
2,501,881
|
|
||
Residential mortgage loans, held-for-investment
|
—
|
|
|
330,178
|
|
||
Residential mortgage loans, held-for-sale
|
824,002
|
|
|
776,681
|
|
||
Real estate owned
|
61,909
|
|
|
50,574
|
|
||
Consumer loans, held-for-investment
(A)
|
1,830,436
|
|
|
—
|
|
||
Cash and cash equivalents
(A)
|
233,845
|
|
|
249,936
|
|
||
Restricted cash
|
168,043
|
|
|
94,702
|
|
||
Trades receivable
|
1,549,795
|
|
|
1,538,481
|
|
||
Deferred tax asset, net
|
189,641
|
|
|
185,311
|
|
||
Other assets
|
304,983
|
|
|
239,446
|
|
||
|
$
|
17,905,148
|
|
|
$
|
15,192,722
|
|
|
|
|
|
||||
Liabilities and Equity
|
|
|
|
||||
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Repurchase agreements
|
$
|
4,625,403
|
|
|
$
|
4,043,054
|
|
Notes and bonds payable
(A)
|
8,295,331
|
|
|
7,249,568
|
|
||
Trades payable
|
1,624,130
|
|
|
725,672
|
|
||
Due to affiliates
|
11,983
|
|
|
23,785
|
|
||
Dividends payable
|
106,027
|
|
|
106,017
|
|
||
Accrued expenses and other liabilities
|
129,013
|
|
|
58,046
|
|
||
|
14,791,887
|
|
|
12,206,142
|
|
||
|
|
|
|
||||
Commitments and Contingencies
|
|
|
|
|
|
||
|
|
|
|
||||
Equity
|
|
|
|
||||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 230,493,006 and 230,471,202 issued and outstanding at June 30, 2016 and December 31, 2015, respectively
|
2,304
|
|
|
2,304
|
|
||
Additional paid-in capital
|
2,641,193
|
|
|
2,640,893
|
|
||
Retained earnings
|
117,144
|
|
|
148,800
|
|
||
Accumulated other comprehensive income (loss)
|
50,799
|
|
|
3,936
|
|
||
Total New Residential stockholders’ equity
|
2,811,440
|
|
|
2,795,933
|
|
||
Noncontrolling interests in equity of consolidated subsidiaries
|
301,821
|
|
|
190,647
|
|
||
Total Equity
|
3,113,261
|
|
|
2,986,580
|
|
||
|
$
|
17,905,148
|
|
|
$
|
15,192,722
|
|
(A)
|
New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, the Buyer (Note 6) and the Consumer Loan SPVs (Note 9), which primarily hold investments in servicer advances and consumer loans, respectively, financed with notes and bonds payable. The Buyer’s balance sheet is included in Note 6 and the Consumer Loan SPVs’ balance sheet is included in Note 9. The creditors of the Buyer and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations.
|
CONDENSED CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)
|
(dollars in thousands, except share data)
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income
|
$
|
277,477
|
|
|
$
|
178,177
|
|
|
$
|
467,513
|
|
|
$
|
262,550
|
|
Interest expense
|
100,685
|
|
|
81,871
|
|
|
181,913
|
|
|
115,850
|
|
||||
Net Interest Income
|
176,792
|
|
|
96,306
|
|
|
285,600
|
|
|
146,700
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Impairment
|
|
|
|
|
|
|
|
||||||||
Other-than-temporary impairment (OTTI) on securities
|
2,819
|
|
|
649
|
|
|
6,073
|
|
|
1,720
|
|
||||
Valuation and loss provision on loans and real estate owned
|
16,825
|
|
|
4,772
|
|
|
23,570
|
|
|
5,749
|
|
||||
|
19,644
|
|
|
5,421
|
|
|
29,643
|
|
|
7,469
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Net interest income after impairment
|
157,148
|
|
|
90,885
|
|
|
255,957
|
|
|
139,231
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income
|
|
|
|
|
|
|
|
||||||||
Change in fair value of investments in excess mortgage servicing rights
|
(15,263
|
)
|
|
356
|
|
|
(7,337
|
)
|
|
(1,405
|
)
|
||||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
(675
|
)
|
|
3,095
|
|
|
2,347
|
|
|
8,016
|
|
||||
Change in fair value of investments in servicer advances
|
13,946
|
|
|
24,562
|
|
|
(17,278
|
)
|
|
16,893
|
|
||||
Gain on consumer loans investment
|
—
|
|
|
8,510
|
|
|
9,943
|
|
|
18,957
|
|
||||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
71,250
|
|
|
—
|
|
||||
Gain (loss) on settlement of investments, net
|
(12,711
|
)
|
|
1,201
|
|
|
(27,211
|
)
|
|
15,968
|
|
||||
Other income (loss), net
|
(5,020
|
)
|
|
(74
|
)
|
|
(19,515
|
)
|
|
(8,484
|
)
|
||||
|
(19,723
|
)
|
|
37,650
|
|
|
12,199
|
|
|
49,945
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Operating Expenses
|
|
|
|
|
|
|
|
||||||||
General and administrative expenses
|
7,224
|
|
|
21,239
|
|
|
19,305
|
|
|
29,799
|
|
||||
Management fee to affiliate
|
10,008
|
|
|
8,371
|
|
|
20,016
|
|
|
13,497
|
|
||||
Incentive compensation to affiliate
|
4,929
|
|
|
2,391
|
|
|
6,125
|
|
|
6,084
|
|
||||
Loan servicing expense
|
14,119
|
|
|
2,951
|
|
|
15,850
|
|
|
7,842
|
|
||||
|
36,280
|
|
|
34,952
|
|
|
61,296
|
|
|
57,222
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income Before Income Taxes
|
101,145
|
|
|
93,583
|
|
|
206,860
|
|
|
131,954
|
|
||||
Income tax expense (benefit)
|
7,518
|
|
|
14,306
|
|
|
(2,705
|
)
|
|
10,879
|
|
||||
Net Income
|
$
|
93,627
|
|
|
$
|
79,277
|
|
|
$
|
209,565
|
|
|
$
|
121,075
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
24,975
|
|
|
$
|
4,158
|
|
|
$
|
29,177
|
|
|
$
|
9,981
|
|
Net Income Attributable to Common Stockholders
|
$
|
68,652
|
|
|
$
|
75,119
|
|
|
$
|
180,388
|
|
|
$
|
111,094
|
|
|
|
|
|
|
|
|
|
||||||||
Net Income Per Share of Common Stock
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
0.30
|
|
|
$
|
0.37
|
|
|
$
|
0.78
|
|
|
$
|
0.65
|
|
Diluted
|
$
|
0.30
|
|
|
$
|
0.37
|
|
|
$
|
0.78
|
|
|
$
|
0.63
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
|
|
||||||||
Basic
|
230,478,390
|
|
|
200,910,040
|
|
|
230,474,796
|
|
|
171,336,768
|
|
||||
Diluted
|
230,839,753
|
|
|
205,169,099
|
|
|
230,689,233
|
|
|
175,206,662
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Dividends Declared per Share of Common Stock
|
$
|
0.46
|
|
|
$
|
0.45
|
|
|
$
|
0.92
|
|
|
$
|
0.83
|
|
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)
|
(dollars in thousands)
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Comprehensive income (loss), net of tax
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
93,627
|
|
|
$
|
79,277
|
|
|
$
|
209,565
|
|
|
$
|
121,075
|
|
Other comprehensive income (loss)
|
|
|
|
|
|
|
|
||||||||
Net unrealized gain (loss) on securities
|
60,510
|
|
|
(21,164
|
)
|
|
56,541
|
|
|
(6,032
|
)
|
||||
Reclassification of net realized (gain) loss on securities into earnings
|
3,201
|
|
|
18,570
|
|
|
(9,678
|
)
|
|
(5,056
|
)
|
||||
|
63,711
|
|
|
(2,594
|
)
|
|
46,863
|
|
|
(11,088
|
)
|
||||
Total comprehensive income
|
$
|
157,338
|
|
|
$
|
76,683
|
|
|
$
|
256,428
|
|
|
$
|
109,987
|
|
Comprehensive income attributable to noncontrolling interests
|
$
|
24,975
|
|
|
$
|
4,158
|
|
|
$
|
29,177
|
|
|
$
|
9,981
|
|
Comprehensive income attributable to common stockholders
|
$
|
132,363
|
|
|
$
|
72,525
|
|
|
$
|
227,251
|
|
|
$
|
100,006
|
|
(dollars in thousands, except share data)
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Shares
|
|
Amount
|
|
Additional Paid-in Capital
|
|
Retained Earnings
|
|
Accumulated Other Comprehensive Income (Loss)
|
|
Total New Residential Stockholders’ Equity
|
|
Noncontrolling
Interests in Equity of Consolidated Subsidiaries
|
|
Total Equity
|
|||||||||||||||
Equity - December 31, 2015
|
230,471,202
|
|
|
$
|
2,304
|
|
|
$
|
2,640,893
|
|
|
$
|
148,800
|
|
|
$
|
3,936
|
|
|
$
|
2,795,933
|
|
|
$
|
190,647
|
|
|
$
|
2,986,580
|
|
Dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
(212,044
|
)
|
|
—
|
|
|
(212,044
|
)
|
|
—
|
|
|
(212,044
|
)
|
|||||||
SpringCastle Transaction (Note 1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
110,438
|
|
|
110,438
|
|
|||||||
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(28,441
|
)
|
|
(28,441
|
)
|
|||||||
Director share grant
|
21,804
|
|
|
—
|
|
|
300
|
|
|
—
|
|
|
—
|
|
|
300
|
|
|
—
|
|
|
300
|
|
|||||||
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
180,388
|
|
|
—
|
|
|
180,388
|
|
|
29,177
|
|
|
209,565
|
|
|||||||
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
56,541
|
|
|
56,541
|
|
|
—
|
|
|
56,541
|
|
|||||||
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,678
|
)
|
|
(9,678
|
)
|
|
—
|
|
|
(9,678
|
)
|
|||||||
Total comprehensive income
|
|
|
|
|
|
|
|
|
|
|
227,251
|
|
|
29,177
|
|
|
256,428
|
|
||||||||||||
Equity - June 30, 2016
|
230,493,006
|
|
|
$
|
2,304
|
|
|
$
|
2,641,193
|
|
|
$
|
117,144
|
|
|
$
|
50,799
|
|
|
$
|
2,811,440
|
|
|
$
|
301,821
|
|
|
$
|
3,113,261
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
|
(dollars in thousands)
|
|
Six Months Ended June 30,
|
||||||
|
2016
|
|
2015
|
||||
Cash Flows From Operating Activities
|
|
|
|
||||
Net income
|
$
|
209,565
|
|
|
$
|
121,075
|
|
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
|
7,337
|
|
|
1,405
|
|
||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
(2,347
|
)
|
|
(8,016
|
)
|
||
Change in fair value of investments in servicer advances
|
17,278
|
|
|
(16,893
|
)
|
||
(Gain) / loss on remeasurement of consumer loans investment
|
(71,250
|
)
|
|
—
|
|
||
(Gain) / loss on settlement of investments (net)
|
27,211
|
|
|
(16,425
|
)
|
||
Unrealized (gain) / loss on derivative instruments
|
35,466
|
|
|
8,259
|
|
||
Unrealized (gain) / loss on other ABS
|
950
|
|
|
368
|
|
||
(Gain) / loss on transfer of loans to REO
|
(10,287
|
)
|
|
197
|
|
||
(Gain) / loss on transfer of loans to other assets
|
(277
|
)
|
|
457
|
|
||
(Gain) / loss on Excess MSR recapture agreements
|
(1,420
|
)
|
|
(1,577
|
)
|
||
Accretion and other amortization
|
(331,915
|
)
|
|
(209,137
|
)
|
||
Other-than-temporary impairment
|
6,073
|
|
|
1,720
|
|
||
Valuation and loss provision on loans and real estate owned
|
23,570
|
|
|
5,749
|
|
||
Non-cash directors’ compensation
|
300
|
|
|
300
|
|
||
Deferred tax provision
|
(4,131
|
)
|
|
11,341
|
|
||
|
|
|
|
||||
Changes in:
|
|
|
|
||||
Restricted cash
|
1,263
|
|
|
(32,737
|
)
|
||
Other assets
|
39,080
|
|
|
145,461
|
|
||
Due to affiliates
|
(11,802
|
)
|
|
(47,754
|
)
|
||
Accrued expenses and other liabilities
|
29,271
|
|
|
31,288
|
|
||
Other operating cash flows:
|
|
|
|
||||
Interest received from excess mortgage servicing rights
|
82,163
|
|
|
43,367
|
|
||
Interest received from servicer advance investments
|
94,870
|
|
|
73,480
|
|
||
Interest received from Non-Agency RMBS
|
50,074
|
|
|
16,657
|
|
||
Interest payments from residential mortgage loans, held-for-investment
|
2,815
|
|
|
—
|
|
||
Interest payments from PCD consumer loans, held-for-investment
|
18,567
|
|
|
—
|
|
||
Distributions of earnings from excess mortgage servicing rights, equity method investees
|
15,532
|
|
|
19,920
|
|
||
Purchases of residential mortgage loans, held-for-sale
|
(469,665
|
)
|
|
(388,805
|
)
|
||
Proceeds from sales of purchased residential mortgage loans, held-for-sale
|
519,615
|
|
|
722,961
|
|
||
Principal repayments from purchased residential mortgage loans, held-for-sale
|
64,963
|
|
|
34,614
|
|
||
Net cash provided by (used in) operating activities
|
342,869
|
|
|
517,275
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
(dollars in thousands)
|
|
Six Months Ended June 30,
|
||||
|
2016
|
|
2015
|
||
Cash Flows From Investing Activities
|
|
|
|
||
Acquisition of investments in excess mortgage servicing rights
|
(2,022
|
)
|
|
(129,098
|
)
|
Acquisition of HLSS, net of cash acquired
|
—
|
|
|
(959,616
|
)
|
SpringCastle Transaction (Note 1), net of cash acquired
|
(49,943
|
)
|
|
—
|
|
Purchase of servicer advance investments
|
(7,814,541
|
)
|
|
(6,306,745
|
)
|
Purchase of Agency RMBS
|
(3,227,130
|
)
|
|
(1,026,586
|
)
|
Purchase of Non-Agency RMBS
|
(1,273,231
|
)
|
|
(468,197
|
)
|
Purchase of residential mortgage loans
|
(319
|
)
|
|
—
|
|
Purchase of derivatives
|
(4,457
|
)
|
|
(2,877
|
)
|
Purchase of real estate owned and other assets
|
(9,602
|
)
|
|
(1,289
|
)
|
Draws on revolving consumer loans
|
(16,483
|
)
|
|
—
|
|
Payments for settlement of derivatives
|
(52,612
|
)
|
|
(36,212
|
)
|
Return of investments in excess mortgage servicing rights
|
94,250
|
|
|
66,400
|
|
Return of investments in excess mortgage servicing rights, equity method investees
|
4,891
|
|
|
4,602
|
|
Principal repayments from servicer advance investments
|
8,772,662
|
|
|
6,587,781
|
|
Principal repayments from Agency RMBS
|
42,442
|
|
|
85,369
|
|
Principal repayments from Non-Agency RMBS
|
143,837
|
|
|
34,687
|
|
Principal repayments from residential mortgage loans
|
17,825
|
|
|
11,085
|
|
Proceeds from sale of residential mortgage loans
|
—
|
|
|
646,436
|
|
Principal repayments from consumer loans
|
100,751
|
|
|
—
|
|
Proceeds from sale of Agency RMBS
|
3,236,165
|
|
|
1,455,221
|
|
Proceeds from sale of Non-Agency RMBS
|
95,683
|
|
|
389,719
|
|
Proceeds from settlement of derivatives
|
5,445
|
|
|
22,406
|
|
Proceeds from sale of real estate owned
|
30,484
|
|
|
46,341
|
|
Net cash provided by (used in) investing activities
|
94,095
|
|
|
419,427
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
(dollars in thousands)
|
|
Six Months Ended June 30,
|
||||||
|
2016
|
|
2015
|
||||
Cash Flows From Financing Activities
|
|
|
|
||||
Repayments of repurchase agreements
|
(12,026,068
|
)
|
|
(3,480,781
|
)
|
||
Margin deposits under repurchase agreements and derivatives
|
(182,666
|
)
|
|
(284,389
|
)
|
||
Repayments of notes and bonds payable
|
(4,474,167
|
)
|
|
(3,073,963
|
)
|
||
Payment of deferred financing fees
|
(37,144
|
)
|
|
(34,096
|
)
|
||
Common stock dividends paid
|
(212,034
|
)
|
|
(107,490
|
)
|
||
Borrowings under repurchase agreements
|
12,605,745
|
|
|
2,651,587
|
|
||
Return of margin deposits under repurchase agreements and derivatives
|
160,055
|
|
|
288,880
|
|
||
Borrowings under notes and bonds payable
|
3,741,665
|
|
|
2,481,379
|
|
||
Issuance of common stock
|
—
|
|
|
882,099
|
|
||
Costs related to issuance of common stock
|
—
|
|
|
(3,580
|
)
|
||
Noncontrolling interest in equity of consolidated subsidiaries - contributions
|
—
|
|
|
—
|
|
||
Noncontrolling interest in equity of consolidated subsidiaries - distributions
|
(28,441
|
)
|
|
(37,326
|
)
|
||
Net cash provided by (used in) financing activities
|
(453,055
|
)
|
|
(717,680
|
)
|
||
|
|
|
|
||||
Net Increase (Decrease) in Cash and Cash Equivalents
|
(16,091
|
)
|
|
219,022
|
|
||
|
|
|
|
||||
Cash and Cash Equivalents, Beginning of Period
|
249,936
|
|
|
212,985
|
|
||
|
|
|
|
||||
Cash and Cash Equivalents, End of Period
|
$
|
233,845
|
|
|
$
|
432,007
|
|
|
|
|
|
||||
Supplemental Disclosure of Cash Flow Information
|
|
|
|
||||
Cash paid during the period for interest
|
$
|
169,343
|
|
|
$
|
103,548
|
|
Cash paid during the period for income taxes
|
769
|
|
|
535
|
|
||
|
|
|
|
||||
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
|
|
|
||||
Dividends declared but not paid
|
$
|
106,027
|
|
|
$
|
89,521
|
|
Reclassification resulting from the application of ASU No. 2014-11
|
—
|
|
|
85,955
|
|
||
Purchase of Agency and Non-Agency RMBS, settled after quarter end
|
1,624,130
|
|
|
778,528
|
|
||
Sale of investments, primarily Agency RMBS, settled after quarter end
|
1,549,795
|
|
|
986,532
|
|
||
Transfer from residential mortgage loans to real estate owned and other assets
|
90,263
|
|
|
19,875
|
|
||
Non-cash distributions from Consumer Loan Companies
|
25
|
|
|
585
|
|
||
Portion of HLSS Acquisition paid in common stock
|
—
|
|
|
434,092
|
|
||
Non-cash contingent consideration
|
5,581
|
|
|
50,000
|
|
||
Real estate securities retained from loan securitizations
|
76,864
|
|
|
14,990
|
|
||
Remeasurement of Consumer Loan Companies noncontrolling interest
|
110,438
|
|
|
—
|
|
||
Transfer of loans from held-for-investment to held-for sale
|
316,199
|
|
|
—
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Total Consideration ($ in millions)
|
$
|
237.5
|
|
Assets
|
|
||
Consumer loans, held-for-investment
|
$
|
1,934.7
|
|
Cash and cash equivalents
|
0.3
|
|
|
Restricted cash
|
74.6
|
|
|
Other assets
|
35.9
|
|
|
Total Assets Acquired
|
$
|
2,045.5
|
|
|
|
||
Liabilities
|
|
||
Notes and bonds payable
|
1,803.2
|
|
|
Accrued expenses and other liabilities
|
4.8
|
|
|
Total Liabilities Assumed
|
$
|
1,808.0
|
|
|
|
||
Net Assets
|
$
|
237.5
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
||||||||
Pro Forma
|
|
|
|
|
|
|
|
||||||||
Interest Income
|
$
|
277,477
|
|
|
$
|
276,022
|
|
|
$
|
554,426
|
|
|
$
|
462,770
|
|
Income Before Income Taxes
|
101,145
|
|
|
128,213
|
|
|
167,158
|
|
|
288,498
|
|
||||
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
24,975
|
|
|
24,218
|
|
|
47,766
|
|
|
50,347
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Unrealized gain (loss) on derivative instruments
|
$
|
(13,163
|
)
|
|
$
|
(1,229
|
)
|
|
$
|
(35,466
|
)
|
|
$
|
(8,259
|
)
|
Unrealized gain (loss) on other ABS
|
(1,218
|
)
|
|
(77
|
)
|
|
(950
|
)
|
|
(368
|
)
|
||||
Gain (loss) on transfer of loans to REO
|
7,804
|
|
|
347
|
|
|
10,287
|
|
|
(197
|
)
|
||||
Gain on Excess MSR recapture agreements
|
688
|
|
|
848
|
|
|
1,420
|
|
|
1,577
|
|
||||
Other income (loss)
|
869
|
|
|
37
|
|
|
5,194
|
|
|
(1,237
|
)
|
||||
|
$
|
(5,020
|
)
|
|
$
|
(74
|
)
|
|
$
|
(19,515
|
)
|
|
$
|
(8,484
|
)
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Gain (loss) on sale of real estate securities, net
|
$
|
(382
|
)
|
|
$
|
(17,921
|
)
|
|
$
|
15,751
|
|
|
$
|
6,776
|
|
Gain (loss) on sale of residential mortgage loans, net
|
1,866
|
|
|
11,795
|
|
|
1,975
|
|
|
32,625
|
|
||||
Gain (loss) on settlement of derivatives
|
(12,835
|
)
|
|
13,769
|
|
|
(45,468
|
)
|
|
(8,821
|
)
|
||||
Gain (loss) on liquidated residential mortgage loans
|
—
|
|
|
(277
|
)
|
|
—
|
|
|
123
|
|
||||
Gain (loss) on sale of REO
|
2,835
|
|
|
(2,201
|
)
|
|
2,986
|
|
|
(7,837
|
)
|
||||
Other gains (losses)
|
(4,195
|
)
|
|
(3,964
|
)
|
|
(2,455
|
)
|
|
(6,898
|
)
|
||||
|
$
|
(12,711
|
)
|
|
$
|
1,201
|
|
|
$
|
(27,211
|
)
|
|
$
|
15,968
|
|
|
Other Assets
|
|
|
|
Accrued Expenses
and Other Liabilities
|
||||||||||||
|
June 30, 2016
|
|
December 31, 2015
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||
Margin receivable, net
|
$
|
77,070
|
|
|
$
|
54,459
|
|
|
Interest payable
|
|
$
|
21,965
|
|
|
$
|
18,268
|
|
Other receivables
|
29,711
|
|
|
10,893
|
|
|
Accounts payable
|
|
38,208
|
|
|
18,650
|
|
||||
Principal paydown receivable
|
1,552
|
|
|
795
|
|
|
Derivative liabilities (Note 10)
|
|
42,506
|
|
|
13,443
|
|
||||
Receivable from government agency
|
74,956
|
|
|
68,833
|
|
|
Current taxes payable
|
|
2,496
|
|
|
1,573
|
|
||||
Call rights
|
414
|
|
|
414
|
|
|
Other liabilities
|
|
23,838
|
|
|
6,112
|
|
||||
Derivative assets (Note 10)
|
1,626
|
|
|
2,689
|
|
|
|
|
$
|
129,013
|
|
|
$
|
58,046
|
|
||
Interest receivable
|
67,885
|
|
|
36,963
|
|
|
|
|
|
|
|
||||||
Ginnie Mae EBO servicer advance receivable, net
|
32,428
|
|
|
49,725
|
|
|
|
|
|
|
|
||||||
Other assets
|
19,341
|
|
|
14,675
|
|
|
|
|
|
|
|
||||||
|
$
|
304,983
|
|
|
$
|
239,446
|
|
|
|
|
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Six Months Ended June 30,
|
||||||
|
|
2016
|
|
2015
|
||||
Accretion of servicer advance interest income
|
|
$
|
156,749
|
|
|
$
|
150,937
|
|
Accretion of excess mortgage servicing rights income
|
|
76,231
|
|
|
49,397
|
|
||
Accretion of net discount on securities and loans
(A)
|
|
109,228
|
|
|
19,703
|
|
||
Amortization of deferred financing costs
|
|
(9,320
|
)
|
|
(10,900
|
)
|
||
Amortization of discount on notes and bonds payable
|
|
(973
|
)
|
|
—
|
|
||
|
|
$
|
331,915
|
|
|
$
|
209,137
|
|
(A)
|
Includes accretion of the accretable yield on PCD loans.
|
|
Servicing Related Assets
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||
|
Excess MSRs
|
|
Servicer Advances
|
|
Real Estate Securities
|
|
Real Estate Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||
Three Months Ended June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest income
|
$
|
33,263
|
|
|
$
|
82,793
|
|
|
$
|
68,214
|
|
|
$
|
14,272
|
|
|
$
|
78,309
|
|
|
$
|
626
|
|
|
$
|
277,477
|
|
Interest expense
|
5,181
|
|
|
58,795
|
|
|
10,933
|
|
|
6,904
|
|
|
18,872
|
|
|
—
|
|
|
100,685
|
|
|||||||
Net interest income (expense)
|
28,082
|
|
|
23,998
|
|
|
57,281
|
|
|
7,368
|
|
|
59,437
|
|
|
626
|
|
|
176,792
|
|
|||||||
Impairment
|
—
|
|
|
—
|
|
|
2,819
|
|
|
855
|
|
|
15,970
|
|
|
—
|
|
|
19,644
|
|
|||||||
Other income
|
(15,875
|
)
|
|
15,064
|
|
|
(24,403
|
)
|
|
5,491
|
|
|
—
|
|
|
—
|
|
|
(19,723
|
)
|
|||||||
Operating expenses
|
298
|
|
|
944
|
|
|
477
|
|
|
2,718
|
|
|
12,614
|
|
|
19,229
|
|
|
36,280
|
|
|||||||
Income (Loss) Before Income Taxes
|
11,909
|
|
|
38,118
|
|
|
29,582
|
|
|
9,286
|
|
|
30,853
|
|
|
(18,603
|
)
|
|
101,145
|
|
|||||||
Income tax expense (benefit)
|
—
|
|
|
7,397
|
|
|
—
|
|
|
42
|
|
|
75
|
|
|
4
|
|
|
7,518
|
|
|||||||
Net Income (Loss)
|
$
|
11,909
|
|
|
$
|
30,721
|
|
|
$
|
29,582
|
|
|
$
|
9,244
|
|
|
$
|
30,778
|
|
|
$
|
(18,607
|
)
|
|
$
|
93,627
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
$
|
—
|
|
|
$
|
10,345
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
14,630
|
|
|
$
|
—
|
|
|
$
|
24,975
|
|
Net income (loss) attributable to common stockholders
|
$
|
11,909
|
|
|
$
|
20,376
|
|
|
$
|
29,582
|
|
|
$
|
9,244
|
|
|
$
|
16,148
|
|
|
$
|
(18,607
|
)
|
|
$
|
68,652
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Servicing Related Assets
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||
|
Excess MSRs
|
|
Servicer Advances
|
|
Real Estate Securities
|
|
Real Estate Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||
Six Months Ended June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest income
|
$
|
76,231
|
|
|
$
|
163,760
|
|
|
$
|
114,127
|
|
|
$
|
33,765
|
|
|
$
|
78,310
|
|
|
$
|
1,320
|
|
|
$
|
467,513
|
|
Interest expense
|
8,115
|
|
|
121,870
|
|
|
18,417
|
|
|
14,294
|
|
|
19,217
|
|
|
—
|
|
|
181,913
|
|
|||||||
Net interest income (expense)
|
68,116
|
|
|
41,890
|
|
|
95,710
|
|
|
19,471
|
|
|
59,093
|
|
|
1,320
|
|
|
285,600
|
|
|||||||
Impairment
|
—
|
|
|
—
|
|
|
6,073
|
|
|
7,600
|
|
|
15,970
|
|
|
—
|
|
|
29,643
|
|
|||||||
Other income
|
(4,182
|
)
|
|
(12,327
|
)
|
|
(60,864
|
)
|
|
8,364
|
|
|
81,193
|
|
|
15
|
|
|
12,199
|
|
|||||||
Operating expenses
|
530
|
|
|
2,047
|
|
|
938
|
|
|
6,943
|
|
|
14,218
|
|
|
36,620
|
|
|
61,296
|
|
|||||||
Income (Loss) Before Income Taxes
|
63,404
|
|
|
27,516
|
|
|
27,835
|
|
|
13,292
|
|
|
110,098
|
|
|
(35,285
|
)
|
|
206,860
|
|
|||||||
Income tax expense (benefit)
|
—
|
|
|
(2,605
|
)
|
|
—
|
|
|
(179
|
)
|
|
75
|
|
|
4
|
|
|
(2,705
|
)
|
|||||||
Net Income (Loss)
|
$
|
63,404
|
|
|
$
|
30,121
|
|
|
$
|
27,835
|
|
|
$
|
13,471
|
|
|
$
|
110,023
|
|
|
$
|
(35,289
|
)
|
|
$
|
209,565
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
$
|
—
|
|
|
$
|
14,547
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
14,630
|
|
|
$
|
—
|
|
|
$
|
29,177
|
|
Net income (loss) attributable to common stockholders
|
$
|
63,404
|
|
|
$
|
15,574
|
|
|
$
|
27,835
|
|
|
$
|
13,471
|
|
|
$
|
95,393
|
|
|
$
|
(35,289
|
)
|
|
$
|
180,388
|
|
|
Servicing Related Assets
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||
|
Excess MSRs
|
|
Servicer Advances
|
|
Real Estate Securities
|
|
Real Estate Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||
June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Investments
|
$
|
1,674,563
|
|
|
$
|
6,919,791
|
|
|
$
|
4,148,140
|
|
|
$
|
885,911
|
|
|
$
|
1,830,436
|
|
|
$
|
—
|
|
|
$
|
15,458,841
|
|
Cash and cash equivalents
|
4,037
|
|
|
111,041
|
|
|
8,659
|
|
|
24,765
|
|
|
20,281
|
|
|
65,062
|
|
|
233,845
|
|
|||||||
Restricted cash
|
6,830
|
|
|
95,984
|
|
|
—
|
|
|
—
|
|
|
65,229
|
|
|
—
|
|
|
168,043
|
|
|||||||
Other assets
|
2,418
|
|
|
202,268
|
|
|
1,627,328
|
|
|
141,177
|
|
|
35,682
|
|
|
35,546
|
|
|
2,044,419
|
|
|||||||
Total assets
|
$
|
1,687,848
|
|
|
$
|
7,329,084
|
|
|
$
|
5,784,127
|
|
|
$
|
1,051,853
|
|
|
$
|
1,951,628
|
|
|
$
|
100,608
|
|
|
$
|
17,905,148
|
|
Debt
|
$
|
323,645
|
|
|
$
|
6,790,257
|
|
|
$
|
3,310,512
|
|
|
$
|
772,550
|
|
|
$
|
1,723,770
|
|
|
$
|
—
|
|
|
$
|
12,920,734
|
|
Other liabilities
|
1,784
|
|
|
33,069
|
|
|
1,673,603
|
|
|
22,126
|
|
|
15,996
|
|
|
124,575
|
|
|
1,871,153
|
|
|||||||
Total liabilities
|
325,429
|
|
|
6,823,326
|
|
|
4,984,115
|
|
|
794,676
|
|
|
1,739,766
|
|
|
124,575
|
|
|
14,791,887
|
|
|||||||
Total equity
|
1,362,419
|
|
|
505,758
|
|
|
800,012
|
|
|
257,177
|
|
|
211,862
|
|
|
(23,967
|
)
|
|
3,113,261
|
|
|||||||
Noncontrolling interests in equity of consolidated subsidiaries
|
—
|
|
|
187,719
|
|
|
—
|
|
|
—
|
|
|
114,102
|
|
|
—
|
|
|
301,821
|
|
|||||||
Total New Residential stockholders’ equity
|
$
|
1,362,419
|
|
|
$
|
318,039
|
|
|
$
|
800,012
|
|
|
$
|
257,177
|
|
|
$
|
97,760
|
|
|
$
|
(23,967
|
)
|
|
$
|
2,811,440
|
|
Investments in equity method investees
|
$
|
199,145
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
199,145
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Servicing Related Assets
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||
|
Excess MSRs
|
|
Servicer Advances
|
|
Real Estate Securities
|
|
Real Estate Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||
Three Months Ended June 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest income
|
$
|
34,359
|
|
|
$
|
108,588
|
|
|
$
|
23,454
|
|
|
$
|
10,795
|
|
|
$
|
—
|
|
|
$
|
981
|
|
|
$
|
178,177
|
|
Interest expense
|
9,172
|
|
|
63,450
|
|
|
3,540
|
|
|
5,185
|
|
|
524
|
|
|
—
|
|
|
81,871
|
|
|||||||
Net interest income (expense)
|
25,187
|
|
|
45,138
|
|
|
19,914
|
|
|
5,610
|
|
|
(524
|
)
|
|
981
|
|
|
96,306
|
|
|||||||
Impairment
|
—
|
|
|
—
|
|
|
650
|
|
|
4,771
|
|
|
—
|
|
|
—
|
|
|
5,421
|
|
|||||||
Other income
|
4,298
|
|
|
24,115
|
|
|
(4,211
|
)
|
|
7,817
|
|
|
8,510
|
|
|
(2,879
|
)
|
|
37,650
|
|
|||||||
Operating expenses
|
260
|
|
|
1,688
|
|
|
105
|
|
|
5,610
|
|
|
54
|
|
|
27,235
|
|
|
34,952
|
|
|||||||
Income (Loss) Before Income Taxes
|
29,225
|
|
|
67,565
|
|
|
14,948
|
|
|
3,046
|
|
|
7,932
|
|
|
(29,133
|
)
|
|
93,583
|
|
|||||||
Income tax expense (benefit)
|
—
|
|
|
15,657
|
|
|
—
|
|
|
(1,351
|
)
|
|
—
|
|
|
—
|
|
|
14,306
|
|
|||||||
Net Income (Loss)
|
$
|
29,225
|
|
|
$
|
51,908
|
|
|
$
|
14,948
|
|
|
$
|
4,397
|
|
|
$
|
7,932
|
|
|
$
|
(29,133
|
)
|
|
$
|
79,277
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
$
|
—
|
|
|
$
|
9,279
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(5,121
|
)
|
|
$
|
4,158
|
|
Net income (loss) attributable to common stockholders
|
$
|
29,225
|
|
|
$
|
42,629
|
|
|
$
|
14,948
|
|
|
$
|
4,397
|
|
|
$
|
7,932
|
|
|
$
|
(24,012
|
)
|
|
$
|
75,119
|
|
|
Servicing Related Assets
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||
|
Excess MSRs
|
|
Servicer Advances
|
|
Real Estate Securities
|
|
Real Estate Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||
Six Months Ended June 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest income
|
$
|
49,397
|
|
|
$
|
150,937
|
|
|
$
|
37,715
|
|
|
$
|
23,520
|
|
|
$
|
—
|
|
|
$
|
981
|
|
|
$
|
262,550
|
|
Interest expense
|
9,941
|
|
|
87,086
|
|
|
7,021
|
|
|
11,278
|
|
|
524
|
|
|
—
|
|
|
115,850
|
|
|||||||
Net interest income (expense)
|
39,456
|
|
|
63,851
|
|
|
30,694
|
|
|
12,242
|
|
|
(524
|
)
|
|
981
|
|
|
146,700
|
|
|||||||
Impairment
|
—
|
|
|
—
|
|
|
1,720
|
|
|
5,749
|
|
|
—
|
|
|
—
|
|
|
7,469
|
|
|||||||
Other income
|
8,188
|
|
|
13,389
|
|
|
(9,302
|
)
|
|
21,592
|
|
|
18,957
|
|
|
(2,879
|
)
|
|
49,945
|
|
|||||||
Operating expenses
|
349
|
|
|
2,263
|
|
|
3
|
|
|
11,712
|
|
|
111
|
|
|
42,784
|
|
|
57,222
|
|
|||||||
Income (Loss) Before Income Taxes
|
47,295
|
|
|
74,977
|
|
|
19,669
|
|
|
16,373
|
|
|
18,322
|
|
|
(44,682
|
)
|
|
131,954
|
|
|||||||
Income tax expense (benefit)
|
—
|
|
|
12,417
|
|
|
—
|
|
|
(1,538
|
)
|
|
—
|
|
|
—
|
|
|
10,879
|
|
|||||||
Net Income (Loss)
|
$
|
47,295
|
|
|
$
|
62,560
|
|
|
$
|
19,669
|
|
|
$
|
17,911
|
|
|
$
|
18,322
|
|
|
$
|
(44,682
|
)
|
|
$
|
121,075
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
$
|
—
|
|
|
$
|
15,102
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(5,121
|
)
|
|
$
|
9,981
|
|
Net income (loss) attributable to common stockholders
|
$
|
47,295
|
|
|
$
|
47,458
|
|
|
$
|
19,669
|
|
|
$
|
17,911
|
|
|
$
|
18,322
|
|
|
$
|
(39,561
|
)
|
|
$
|
111,094
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Servicer
|
||||||||||||||
|
|
Nationstar
|
|
SLS
(A)
|
|
Ocwen
(B)
|
|
Total
|
||||||||
Balance as of December 31, 2015
|
|
$
|
698,304
|
|
|
$
|
5,307
|
|
|
$
|
877,906
|
|
|
$
|
1,581,517
|
|
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Interest income
|
|
31,851
|
|
|
7
|
|
|
44,373
|
|
|
76,231
|
|
||||
Other income
|
|
1,420
|
|
|
—
|
|
|
—
|
|
|
1,420
|
|
||||
Proceeds from repayments
|
|
(77,115
|
)
|
|
(547
|
)
|
|
(98,751
|
)
|
|
(176,413
|
)
|
||||
Change in fair value
|
|
(6,830
|
)
|
|
(26
|
)
|
|
(481
|
)
|
|
(7,337
|
)
|
||||
Balance as of June 30, 2016
|
|
$
|
647,630
|
|
|
$
|
4,741
|
|
|
$
|
823,047
|
|
|
$
|
1,475,418
|
|
(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 Advances acquired from HLSS.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||
|
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
|
$
|
86,059,850
|
|
|
32.5% - 66.7% (53.2%)
|
|
0.0% - 40.0%
|
|
|
20.0% - 35.0%
|
|
|
5.9
|
|
$
|
310,047
|
|
|
$
|
339,795
|
|
|
$
|
378,083
|
|
Recapture Agreements
|
—
|
|
|
32.5% - 66.7% (53.4%)
|
|
0.0% - 40.0%
|
|
|
20.0% - 35.0%
|
|
|
11.8
|
|
31,467
|
|
|
59,386
|
|
|
59,118
|
|
||||
|
86,059,850
|
|
|
|
|
|
|
|
|
6.4
|
|
341,514
|
|
|
399,181
|
|
|
437,201
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Non-Agency
(E)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Original and Recaptured Pools
|
$
|
86,966,711
|
|
|
33.3% - 80.0% (59.2%)
|
|
0.0% - 50.0%
|
|
|
0.0% - 33.3%
|
|
|
5.2
|
|
$
|
197,976
|
|
|
$
|
238,288
|
|
|
$
|
250,662
|
|
Recapture Agreements
|
—
|
|
|
33.3% - 80.0% (56.8%)
|
|
0.0% - 50.0%
|
|
|
0.0% - 33.3%
|
|
|
12.2
|
|
13,052
|
|
|
14,902
|
|
|
15,748
|
|
||||
Ocwen Serviced Pools
|
131,271,263
|
|
|
100.0%
|
|
—
|
%
|
|
—
|
%
|
|
6.3
|
|
782,051
|
|
|
823,047
|
|
|
877,906
|
|
||||
|
218,237,974
|
|
|
|
|
|
|
|
|
6.2
|
|
993,079
|
|
|
1,076,237
|
|
|
1,144,316
|
|
||||||
Total
|
$
|
304,297,824
|
|
|
|
|
|
|
|
|
6.3
|
|
$
|
1,334,593
|
|
|
$
|
1,475,418
|
|
|
$
|
1,581,517
|
|
(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 the related Servicer Advances, including the basic fee component of the related MSR as of
June 30, 2016
(Note 6) on
$204.2 billion
UPB underlying these Excess MSRs.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Original and Recaptured Pools
|
|
$
|
(18,694
|
)
|
|
$
|
(3,441
|
)
|
|
$
|
(12,997
|
)
|
|
$
|
(5,418
|
)
|
Recapture Agreements
|
|
3,431
|
|
|
3,797
|
|
|
5,660
|
|
|
4,013
|
|
||||
|
|
$
|
(15,263
|
)
|
|
$
|
356
|
|
|
$
|
(7,337
|
)
|
|
$
|
(1,405
|
)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Percentage of Total Outstanding Unpaid Principal Amount as of
|
||||
State Concentration
|
|
June 30, 2016
|
|
December 31, 2015
|
||
California
|
|
26.7
|
%
|
|
26.7
|
%
|
Florida
|
|
8.9
|
%
|
|
8.9
|
%
|
New York
|
|
8.0
|
%
|
|
7.8
|
%
|
Texas
|
|
4.3
|
%
|
|
4.3
|
%
|
New Jersey
|
|
4.2
|
%
|
|
4.1
|
%
|
Maryland
|
|
3.8
|
%
|
|
3.8
|
%
|
Illinois
|
|
3.4
|
%
|
|
3.4
|
%
|
Virginia
|
|
3.1
|
%
|
|
3.1
|
%
|
Massachusetts
|
|
2.7
|
%
|
|
2.7
|
%
|
Washington
|
|
2.7
|
%
|
|
2.7
|
%
|
Other U.S.
|
|
32.2
|
%
|
|
32.5
|
%
|
|
|
100.0
|
%
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Excess MSR assets
|
|
$
|
382,253
|
|
|
$
|
421,999
|
|
Other assets
|
|
16,037
|
|
|
12,442
|
|
||
Other liabilities
|
|
—
|
|
|
—
|
|
||
Equity
|
|
$
|
398,290
|
|
|
$
|
434,441
|
|
New Residential’s investment
|
|
$
|
199,145
|
|
|
$
|
217,221
|
|
|
|
|
|
|
||||
New Residential’s ownership
|
|
50.0
|
%
|
|
50.0
|
%
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income
|
|
$
|
4,240
|
|
|
$
|
9,216
|
|
|
$
|
12,321
|
|
|
$
|
20,917
|
|
Other income (loss)
|
|
(5,569
|
)
|
|
(3,005
|
)
|
|
(7,583
|
)
|
|
(4,840
|
)
|
||||
Expenses
|
|
(21
|
)
|
|
(22
|
)
|
|
(44
|
)
|
|
(46
|
)
|
||||
Net income
|
|
$
|
(1,350
|
)
|
|
$
|
6,189
|
|
|
$
|
4,694
|
|
|
$
|
16,031
|
|
Balance at December 31, 2015
|
$
|
217,221
|
|
Contributions to equity method investees
|
—
|
|
|
Distributions of earnings from equity method investees
|
(15,532
|
)
|
|
Distributions of capital from equity method investees
|
(4,891
|
)
|
|
Change in fair value of investments in equity method investees
|
2,347
|
|
|
Balance at June 30, 2016
|
$
|
199,145
|
|
|
June 30, 2016
|
||||||||||||||||||
|
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
|
$
|
66,748,310
|
|
|
66.7
|
%
|
|
50.0
|
%
|
|
$
|
252,082
|
|
|
$
|
315,553
|
|
|
5.7
|
Recapture Agreements
|
—
|
|
|
66.7
|
%
|
|
50.0
|
%
|
|
37,448
|
|
|
66,700
|
|
|
11.5
|
|||
Total
|
$
|
66,748,310
|
|
|
|
|
|
|
$
|
289,530
|
|
|
$
|
382,253
|
|
|
6.5
|
(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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Percentage of Total Outstanding Unpaid Principal Amount as of
|
||||
State Concentration
|
|
June 30, 2016
|
|
December 31, 2015
|
||
California
|
|
12.8
|
%
|
|
12.9
|
%
|
Florida
|
|
7.3
|
%
|
|
7.4
|
%
|
Texas
|
|
6.1
|
%
|
|
6.1
|
%
|
New York
|
|
5.9
|
%
|
|
5.8
|
%
|
Georgia
|
|
5.7
|
%
|
|
5.7
|
%
|
New Jersey
|
|
4.2
|
%
|
|
4.3
|
%
|
Illinois
|
|
4.0
|
%
|
|
4.0
|
%
|
Maryland
|
|
3.3
|
%
|
|
3.2
|
%
|
Virginia
|
|
3.2
|
%
|
|
3.2
|
%
|
Pennsylvania
|
|
3.1
|
%
|
|
3.1
|
%
|
Other U.S.
|
|
44.4
|
%
|
|
44.3
|
%
|
|
|
100.0
|
%
|
|
100.0
|
%
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Amortized Cost Basis
|
|
Carrying Value
(A)
|
|
Weighted Average Discount Rate
|
|
Weighted Average Yield
|
|
Weighted Average Life (Years)
(B)
|
||||||
June 30, 2016
|
|
|
|
|
|
|
|
|
|
||||||
Servicer Advances
(C)
|
$
|
6,503,825
|
|
|
$
|
6,513,274
|
|
|
5.4
|
%
|
|
5.2
|
%
|
|
4.5
|
As of December 31, 2015
|
|
|
|
|
|
|
|
|
|
||||||
Servicer Advances
(C)
|
$
|
7,400,068
|
|
|
$
|
7,426,794
|
|
|
5.6
|
%
|
|
5.5
|
%
|
|
4.4
|
(A)
|
Carrying value represents the fair value of the investments in Servicer Advances, 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.
|
(C)
|
Excludes New Residential asset-backed securities collateralized by Servicer Advances, which have aggregate face amounts of
$406.0 million
and
$431.0 million
and aggregate carrying values of
$406.0 million
and
$430.3 million
as of
June 30, 2016
and
December 31, 2015
, respectively. See Note 7 for details related to these securities.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Changes in Fair Value Recorded in Other Income
|
|
$
|
13,946
|
|
|
$
|
24,562
|
|
|
$
|
(17,278
|
)
|
|
$
|
16,893
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
|
|
|
|
|
|
Loan-to-Value
(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
|
|||||||||||
June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Servicer Advances
(D)
|
|
$
|
204,178,326
|
|
|
$
|
6,608,084
|
|
|
3.2
|
%
|
|
$
|
6,277,128
|
|
|
92.4
|
%
|
|
91.2
|
%
|
|
3.6
|
%
|
|
2.8
|
%
|
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Servicer Advances
(D)
|
|
$
|
220,256,804
|
|
|
$
|
7,578,110
|
|
|
3.4
|
%
|
|
$
|
7,058,094
|
|
|
91.2
|
%
|
|
90.2
|
%
|
|
3.4
|
%
|
|
2.6
|
%
|
(A)
|
Based on outstanding Servicer Advances, excluding purchased but unsettled Servicer Advances and certain deferred servicing fees (“DSF”) on which New Residential receives financing. If New Residential were to include these DSF in the servicer advance balance, gross and net LTV as of
June 30, 2016
would be
87.7%
and
86.7%
, respectively. Also excludes retained non-agency bonds with a current face amount of
$196.7 million
from the outstanding Servicer Advances debt. If New Residential were to sell these bonds, gross and net LTV as of
June 30, 2016
would be
95.3%
and
94.1%
, respectively.
|
(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 comprise the investments in Servicer Advances:
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Principal and interest advances
|
|
$
|
1,789,049
|
|
|
$
|
2,229,468
|
|
Escrow advances (taxes and insurance advances)
|
|
3,161,458
|
|
|
3,687,559
|
|
||
Foreclosure advances
|
|
1,657,577
|
|
|
1,661,083
|
|
||
Total
|
|
$
|
6,608,084
|
|
|
$
|
7,578,110
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest income, gross of amounts attributable to servicer compensation
|
|
$
|
192,342
|
|
|
$
|
226,961
|
|
|
$
|
419,630
|
|
|
$
|
290,318
|
|
Amounts attributable to base servicer compensation
|
|
(23,399
|
)
|
|
(31,957
|
)
|
|
(52,908
|
)
|
|
(38,558
|
)
|
||||
Amounts attributable to incentive servicer compensation
|
|
(90,831
|
)
|
|
(86,416
|
)
|
|
(209,973
|
)
|
|
(100,823
|
)
|
||||
Interest income from investments in Servicer Advances
|
|
$
|
78,112
|
|
|
$
|
108,588
|
|
|
$
|
156,749
|
|
|
$
|
150,937
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
As of
|
||||||
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Assets
|
|
|
|
|
||||
Servicer advance investments, at fair value
|
|
$
|
2,103,099
|
|
|
$
|
2,344,245
|
|
Cash and cash equivalents
|
|
49,687
|
|
|
40,761
|
|
||
All other assets
|
|
23,877
|
|
|
25,092
|
|
||
Total assets
(A)
|
|
$
|
2,176,663
|
|
|
$
|
2,410,098
|
|
Liabilities
|
|
|
|
|
||||
Notes and bonds payable
|
|
$
|
1,831,769
|
|
|
$
|
2,060,347
|
|
All other liabilities
|
|
6,532
|
|
|
6,111
|
|
||
Total liabilities
(A)
|
|
$
|
1,838,301
|
|
|
$
|
2,066,458
|
|
(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.
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Total Advance Purchaser LLC equity
|
|
$
|
338,362
|
|
|
$
|
343,640
|
|
Others’ ownership interest
|
|
55.5
|
%
|
|
55.5
|
%
|
||
Others’ interest in equity of consolidated subsidiary
|
|
$
|
187,719
|
|
|
$
|
190,647
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net Advance Purchaser LLC income
|
|
$
|
18,647
|
|
|
$
|
16,725
|
|
|
$
|
26,222
|
|
|
$
|
27,222
|
|
Others’ ownership interest as a percent of total
(A)
|
|
55.5
|
%
|
|
55.5
|
%
|
|
55.5
|
%
|
|
55.5
|
%
|
||||
Others’ interest in net income of consolidated subsidiaries
|
|
$
|
10,345
|
|
|
$
|
9,279
|
|
|
$
|
14,547
|
|
|
$
|
15,102
|
|
(A)
|
As a result, New Residential owned
44.5%
and
44.5%
of the Buyer, on average during the
three months ended June 30, 2016
and
2015
, respectively, and
44.5%
and
44.5%
of the Buyer, on average during the
six months ended June 30, 2016
and
2015
, respectively.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Six Months Ended June 30,
|
||||||
|
(in millions)
|
||||||
|
Agency
|
|
Non Agency
|
||||
Purchases
|
|
|
|
||||
Face
|
$
|
3,871.7
|
|
|
$
|
2,671.5
|
|
Purchase Price
|
$
|
4,048.3
|
|
|
$
|
1,429.7
|
|
|
|
|
|
||||
Sales
|
|
|
|
||||
Face
|
$
|
3,089.8
|
|
|
$
|
129.8
|
|
Amortized Cost
|
$
|
3,199.6
|
|
|
$
|
121.7
|
|
Sale Price
|
$
|
3,236.7
|
|
|
$
|
100.4
|
|
Gain (Loss) on Sale
|
$
|
37.1
|
|
|
$
|
(21.3
|
)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
|
Weighted Average
|
|
|
||||||||||||||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying Value
(A)
|
|
Number of Securities
|
|
Rating
(B)
|
|
Coupon
(C)
|
|
Yield
|
|
Life (Years)
(D)
|
|
Principal Subordination
(E)
|
|
Carrying Value
|
||||||||||||||||
Agency
RMBS
(F) (G)
|
|
$
|
1,624,103
|
|
|
$
|
1,719,286
|
|
|
$
|
—
|
|
|
$
|
(5,127
|
)
|
|
$
|
1,714,159
|
|
|
35
|
|
|
AAA
|
|
3.41
|
%
|
|
1.61
|
%
|
|
3.6
|
|
N/A
|
|
|
$
|
917,598
|
|
Non-Agency
RMBS
(H) (I)
|
|
5,625,334
|
|
|
2,783,973
|
|
|
72,807
|
|
|
(16,282
|
)
|
|
2,840,498
|
|
|
329
|
|
|
CCC+
|
|
1.72
|
%
|
|
5.33
|
%
|
|
6.6
|
|
10.1
|
%
|
|
1,584,283
|
|
||||||
Total/
Weighted
Average
|
|
$
|
7,249,437
|
|
|
$
|
4,503,259
|
|
|
$
|
72,807
|
|
|
$
|
(21,409
|
)
|
|
$
|
4,554,657
|
|
|
364
|
|
|
BB+
|
|
2.33
|
%
|
|
3.91
|
%
|
|
5.4
|
|
|
|
$
|
2,501,881
|
|
(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
97
bonds with a carrying value of
$443.6 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
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
(C)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of
$235.9 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 interest-only bonds and servicer advance bonds.
|
(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
$1.5 billion
for fixed rate securities and
$164.7 million
for floating rate securities as of
June 30, 2016
.
|
(H)
|
The total outstanding face amount was
$1.0 billion
(including
$0.3 billion
of residual and interest-only notional amount) for fixed rate securities and
$4.6 billion
(including
$1.9 billion
of residual and interest-only notional amount) for floating rate securities as of
June 30, 2016
.
|
(I)
|
Includes other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and (ii) bonds backed by servicer advances.
|
|
|
|
|
|
|
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
|
|||||||||||||
Other ABS
|
|
$
|
1,816,171
|
|
|
$
|
98,947
|
|
|
$
|
5,940
|
|
|
$
|
(5,543
|
)
|
|
$
|
99,344
|
|
|
19
|
|
|
AA
|
|
1.88
|
%
|
|
5.70
|
%
|
|
3.4
|
|
N/A
|
Servicer Advance Bonds
|
|
$
|
406,000
|
|
|
$
|
405,592
|
|
|
$
|
469
|
|
|
$
|
(14
|
)
|
|
$
|
406,047
|
|
|
5
|
|
|
AA+
|
|
2.70
|
%
|
|
2.38
|
%
|
|
0.5
|
|
N/A
|
|
|
|
|
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
|
|
$
|
3,798,199
|
|
|
$
|
2,320,891
|
|
|
$
|
(1,762
|
)
|
|
$
|
2,319,129
|
|
|
$
|
(17,704
|
)
|
|
$
|
2,301,425
|
|
|
152
|
|
|
A
|
|
2.84
|
%
|
|
2.88
|
%
|
|
4.6
|
12 or More Months
|
|
260,497
|
|
|
198,595
|
|
|
(1,057
|
)
|
|
197,538
|
|
|
(3,705
|
)
|
|
193,833
|
|
|
39
|
|
|
A
|
|
2.26
|
%
|
|
2.34
|
%
|
|
5.3
|
||||||
Total/Weighted Average
|
|
$
|
4,058,696
|
|
|
$
|
2,519,486
|
|
|
$
|
(2,819
|
)
|
|
$
|
2,516,667
|
|
|
$
|
(21,409
|
)
|
|
$
|
2,495,258
|
|
|
191
|
|
|
A
|
|
2.80
|
%
|
|
2.84
|
%
|
|
4.7
|
(A)
|
This amount represents OTTI recorded on securities that are in an unrealized loss position as of
June 30, 2016
.
|
(B)
|
The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of
44
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
5
bonds which either have never been rated or for which rating information is no longer provided.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
June 30, 2016
|
||||||||||||||
|
|
|
|
|
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
|
302,330
|
|
|
306,280
|
|
|
(2,819
|
)
|
|
(3,950
|
)
|
||||
Non-credit impaired securities
|
2,192,928
|
|
|
2,210,387
|
|
|
—
|
|
|
(17,459
|
)
|
||||
Total debt securities in an unrealized loss position
|
$
|
2,495,258
|
|
|
$
|
2,516,667
|
|
|
$
|
(2,819
|
)
|
|
$
|
(21,409
|
)
|
(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
June 30, 2016
.
|
(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.
|
|
Six Months Ended June 30, 2016
|
||
Beginning balance of credit losses on debt securities for which a portion of an OTTI was
recognized in other comprehensive income
|
$
|
6,239
|
|
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
|
2,129
|
|
|
Additions for credit losses on securities for which an OTTI was not previously recognized
|
3,944
|
|
|
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
|
(995
|
)
|
|
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized
in other comprehensive income
|
$
|
11,317
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
Geographic Location
(A)
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
||||||
Western U.S.
|
|
$
|
1,877,755
|
|
|
36.0
|
%
|
|
$
|
1,097,609
|
|
|
35.3
|
%
|
Southeastern U.S.
|
|
1,218,436
|
|
|
23.3
|
%
|
|
758,167
|
|
|
24.4
|
%
|
||
Northeastern U.S.
|
|
1,066,861
|
|
|
20.4
|
%
|
|
583,366
|
|
|
18.8
|
%
|
||
Midwestern U.S.
|
|
573,616
|
|
|
11.0
|
%
|
|
335,406
|
|
|
10.8
|
%
|
||
Southwestern U.S.
|
|
430,924
|
|
|
8.3
|
%
|
|
309,236
|
|
|
10.0
|
%
|
||
Other
(B)
|
|
51,742
|
|
|
1.0
|
%
|
|
19,189
|
|
|
0.7
|
%
|
||
|
|
$
|
5,219,334
|
|
|
100.0
|
%
|
|
$
|
3,102,973
|
|
|
100.0
|
%
|
(A)
|
Excludes
$406.0 million
face amount of bonds backed by servicer advances.
|
(B)
|
Represents collateral for which New Residential was unable to obtain geographic information.
|
|
Outstanding Face Amount
|
|
Carrying Value
|
||||
June 30, 2016
|
$
|
2,415,947
|
|
|
$
|
1,458,548
|
|
December 31, 2015
|
873,763
|
|
|
504,659
|
|
|
Six Months Ended June 30, 2016
|
||
Balance at December 31, 2015
|
$
|
316,521
|
|
Additions
|
668,339
|
|
|
Accretion
|
(62,375
|
)
|
|
Reclassifications from (to) non-accretable difference
|
(56,870
|
)
|
|
Disposals
|
(1,127
|
)
|
|
Balance at June 30, 2016
|
$
|
864,488
|
|
•
|
Loans Held-for-Investment:
|
◦
|
Reverse Mortgage Loans
|
◦
|
Performing Loans
|
◦
|
Purchased Credit Deteriorated (“PCD”) Loans
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
•
|
Loans Held-for-Sale (“HFS”)
|
•
|
Real Estate Owned (“REO”)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||||
|
|
Outstanding Face Amount
|
|
Carrying
Value |
|
Loan
Count |
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Reverse Mortgage Loans
(E)(F)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
N/A
|
|
|
$
|
19,560
|
|
Performing Loans
(G)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
19,964
|
|
|||
Purchased Credit Deteriorated Loans
(H)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
290,654
|
|
|||
Total Residential Mortgage Loans, held-for-investment
|
|
$
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
|
$
|
330,178
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Reverse Mortgage Loans
(E)(F)
|
|
$
|
26,679
|
|
|
$
|
14,458
|
|
|
87
|
|
|
7.1
|
%
|
|
4.5
|
|
15.8
|
%
|
|
135.1
|
%
|
|
67.6
|
%
|
|
N/A
|
|
|
$
|
—
|
|
Performing Loans
(G) (H)
|
|
83,662
|
|
|
87,556
|
|
|
1,557
|
|
|
4.0
|
%
|
|
3.5
|
|
4.6
|
%
|
|
85.9
|
%
|
|
5.9
|
%
|
|
598
|
|
|
277,084
|
|
|||
Non-performing Loans
(I) (J)
|
|
956,503
|
|
|
721,988
|
|
|
5,234
|
|
|
5.5
|
%
|
|
2.8
|
|
16.3
|
%
|
|
104.1
|
%
|
|
80.6
|
%
|
|
579
|
|
|
499,597
|
|
|||
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,066,844
|
|
|
$
|
824,002
|
|
|
6,878
|
|
|
5.5
|
%
|
|
2.9
|
|
15.4
|
%
|
|
103.5
|
%
|
|
74.4
|
%
|
|
581
|
|
|
$
|
776,681
|
|
(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 are 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. The average loan balance outstanding based on total UPB is
$0.4 million
. Approximately
59%
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)
|
Includes loans that are current or less than
30
days past due at acquisition where New Residential expects to collect all contractually required principal and interest payments. Presented net of unamortized
premiums
of
$20.7 million
.
|
(H)
|
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
|
(I)
|
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
June 30, 2016
, New Residential has placed all of these loans on nonaccrual status, except as described in (J) below.
|
(J)
|
Includes
$180.3 million
UPB of Ginnie Mae EBO non-performing loans on accrual status because contractual cash flows are guaranteed by the FHA.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Percentage of Total Outstanding Unpaid Principal Amount as of
|
||||
State Concentration
|
|
June 30, 2016
|
|
December 31, 2015
|
||
New York
|
|
16.8
|
%
|
|
14.5
|
%
|
New Jersey
|
|
12.8
|
%
|
|
13.1
|
%
|
Florida
|
|
9.7
|
%
|
|
10.7
|
%
|
California
|
|
8.2
|
%
|
|
12.3
|
%
|
Texas
|
|
5.3
|
%
|
|
3.3
|
%
|
Illinois
|
|
4.2
|
%
|
|
4.3
|
%
|
Maryland
|
|
3.8
|
%
|
|
3.5
|
%
|
Massachusetts
|
|
3.6
|
%
|
|
3.3
|
%
|
Pennsylvania
|
|
3.2
|
%
|
|
2.8
|
%
|
Washington
|
|
3.0
|
%
|
|
3.2
|
%
|
Other U.S.
|
|
29.4
|
%
|
|
29.0
|
%
|
|
|
100.0
|
%
|
|
100.0
|
%
|
|
|
|
|
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)
|
|
UPB
|
|
Gain (Loss)
|
|
Basis
|
|
Type
|
|
Loan UPB
|
|
Loan Price
|
|
REO & Other Price
|
|||||||||||||||||||||||
December 23, 2015
|
|
14
|
|
|
$
|
61.4
|
|
|
$
|
48.0
|
|
|
$
|
309.1
|
|
|
$
|
315.1
|
|
|
$
|
3.1
|
|
|
$
|
261.3
|
|
|
$
|
2.2
|
|
|
$
|
36.6
|
|
|
Various
|
|
$
|
35.8
|
|
|
$
|
26.6
|
|
|
$
|
2.9
|
|
March 25, 2016
|
|
13
|
|
|
58.4
|
|
|
41.0
|
|
|
167.2
|
|
|
173.3
|
|
|
3.1
|
|
|
N/A
(C)
|
|
|
N/A
(C)
|
|
|
N/A
(C)
|
|
|
N/A
(C)
|
|
65.0
|
|
|
61.8
|
|
|
3.4
|
|
|||||||||||
May 25, 2016
|
|
12
|
|
|
60.0
|
|
|
44.0
|
|
|
290.6
|
|
|
298.7
|
|
|
0.6
|
|
|
306.9
|
|
|
(3.5
|
)
|
|
40.0
|
|
|
Various
|
|
85.9
|
|
|
78.2
|
|
|
1.1
|
|
(A)
|
Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call.
|
(B)
|
Price includes par amount paid for all underlying 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. The securitization that occurred in March 2016 primarily included loans from the
December 23, 2015
call, but also included previously acquired loans. The retained assets disclosed for the
December 23, 2015
call are net of the related loans sold in the March 2016 securitization. The securitization that occurred in May 2016 primarily included loans from the March 25, 2016 and
May 25, 2016
calls. The retained assets disclosed for the March 25, 2016 call are net of the related loans sold in the May 2016 securitization.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Reverse Mortgage Loans
|
|
Performing Loans
|
||||
Balance at December 31, 2015
|
$
|
19,560
|
|
|
$
|
19,964
|
|
Purchases/additional fundings
|
319
|
|
|
—
|
|
||
Proceeds from repayments
|
(1,352
|
)
|
|
(811
|
)
|
||
Accretion of loan discount (premium) and other amortization
(A)
|
2,002
|
|
|
123
|
|
||
Provision for loan losses
|
(73
|
)
|
|
(4
|
)
|
||
Transfer of loans to other assets
(B)
|
(4,203
|
)
|
|
—
|
|
||
Sales
|
(1,795
|
)
|
|
—
|
|
||
Transfer of loans to held-for-sale
(C)
|
(14,458
|
)
|
|
(19,272
|
)
|
||
Balance at June 30, 2016
|
$
|
—
|
|
|
$
|
—
|
|
(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 during the
six months ended June 30, 2016
and for which New Residential has made, or intends to make, a claim on, and are now recognized as claims receivable in Other Assets.
|
(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.
|
|
Reverse Mortgage Loans
|
|
Performing Loans
|
||||
Balance at December 31, 2015
|
$
|
1,553
|
|
|
$
|
119
|
|
Provision for loan losses
(A)
|
73
|
|
|
4
|
|
||
Charge-offs
(B)
|
—
|
|
|
—
|
|
||
Sales
|
(171
|
)
|
|
—
|
|
||
Transfer of loans to held-for-sale
(C)
|
(1,455
|
)
|
|
(123
|
)
|
||
Balance at June 30, 2016
|
$
|
—
|
|
|
$
|
—
|
|
(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.
|
(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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Balance at December 31, 2015
|
$
|
290,654
|
|
Purchases/additional fundings
|
—
|
|
|
Sales
|
—
|
|
|
Proceeds from repayments
|
(8,897
|
)
|
|
Accretion of loan discount and other amortization
|
8,295
|
|
|
Transfer of loans to real estate owned
|
(7,583
|
)
|
|
Transfer of loans to held-for-sale
|
(282,469
|
)
|
|
Balance at June 30, 2016
|
$
|
—
|
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||
June 30, 2016
|
$
|
—
|
|
|
$
|
—
|
|
December 31, 2015
|
$
|
450,229
|
|
|
$
|
290,654
|
|
Balance at December 31, 2015
|
$
|
71,063
|
|
Additions
|
—
|
|
|
Accretion
|
(8,876
|
)
|
|
Reclassifications from non-accretable difference
(A)
|
29,569
|
|
|
Disposals
(B)
|
(2,680
|
)
|
|
Transfer of loans to held-for-sale
(C)
|
(89,076
|
)
|
|
Balance at June 30, 2016
|
$
|
—
|
|
(A)
|
Represents a probable and significant increase 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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
For the
Six Months Ended June 30, 2016 |
||
|
|
Loans Held-for-Sale
|
||
Balance at December 31, 2015
|
|
$
|
776,681
|
|
Purchases
(A)
|
|
469,665
|
|
|
Transfer of loans from held-for-investment
(B)
|
|
316,199
|
|
|
Sales
|
|
(597,849
|
)
|
|
Transfer of loans to other assets
(C)
|
|
(45,178
|
)
|
|
Transfer of loans to real estate owned
|
|
(22,735
|
)
|
|
Proceeds from repayments
|
|
(73,819
|
)
|
|
Valuation provision on loans
(D)
|
|
1,038
|
|
|
Balance at June 30, 2016
|
|
$
|
824,002
|
|
(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 during the
six months ended June 30, 2016
and for which New Residential has made, or intends to make, a claim on, and are now recognized as claims receivable in Other Assets.
|
(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
$2.6 million
and
$3.6 million
of provision related to the call transactions executed on March 25, 2016 and
May 25, 2016
, respectively.
|
|
|
Real Estate Owned
|
||
Balance at December 31, 2015
|
|
$
|
50,574
|
|
Purchases
|
|
6,789
|
|
|
Transfer of loans to real estate owned
|
|
40,605
|
|
|
Sales
|
|
(27,498
|
)
|
|
Valuation provision on REO
|
|
(8,561
|
)
|
|
Balance at June 30, 2016
|
|
$
|
61,909
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
•
|
Loans Held-for-Investment:
|
◦
|
Performing Loans
|
◦
|
PCD Loans
|
|
Unpaid Principal Balance
(A)
|
|
Interest in Consumer Loan Companies
|
|
Carrying Value
(B)
|
|
Weighted Average Coupon
(C)
|
|
Weighted Average Expected Life (Years)
(D)
|
|
Weighted Average Delinquency
(E)
|
|||||||
June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Performing Loans
|
$
|
1,418,225
|
|
|
53.5
|
%
|
|
$
|
1,459,638
|
|
|
18.7
|
%
|
|
4.3
|
|
5.3
|
%
|
Purchased Credit Deteriorated Loans
(F)
|
422,524
|
|
|
53.5
|
%
|
|
370,798
|
|
|
16.7
|
%
|
|
3.6
|
|
12.1
|
%
|
||
Total Consumer Loans, held-for-investment
|
$
|
1,840,749
|
|
|
53.5
|
%
|
|
$
|
1,830,436
|
|
|
18.3
|
%
|
|
4.2
|
|
6.9
|
%
|
December 31, 2015
(G)
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total Consumer Loans, held-for-investment
|
$
|
2,094,904
|
|
|
30.0
|
%
|
|
$
|
1,698,130
|
|
|
18.2
|
%
|
|
4.4
|
|
7.2
|
%
|
(A)
|
Represents the balances as of
June 30, 2016
and November 30, 2015, respectively.
|
(B)
|
Represents the carrying value of the consumer loans held by the Consumer Loan Companies.
|
(C)
|
Substantially all of the cash flows received on the loans was required to be used to make payments on the notes described above.
|
(D)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(E)
|
Represents the percentage of the total 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.
|
(F)
|
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.
|
(G)
|
Held through an equity method investee, which had a carrying value of zero, at such time.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
June 30, 2016
|
|||
Days Past Due
|
|
Delinquency Status
(A)
|
|
Current
|
|
94.7
|
%
|
30-59
|
|
2.3
|
%
|
60-89
|
|
1.1
|
%
|
90-119
(B)
|
|
0.7
|
%
|
120+
(B) (C)
|
|
1.2
|
%
|
|
|
100.0
|
%
|
(A)
|
Represents the percentage of the total 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.
|
|
|
Performing Loans
|
||
Balance at December 31, 2015
|
|
$
|
—
|
|
SpringCastle Transaction
|
|
1,536,138
|
|
|
Additional fundings
(A)
|
|
16,483
|
|
|
Proceeds from repayments
|
|
(79,158
|
)
|
|
Accretion of loan discount and premium amortization, net
|
|
2,145
|
|
|
Net charge-offs
|
|
(15,438
|
)
|
|
Provision for loan losses
|
|
(532
|
)
|
|
Balance at June 30, 2016
|
|
$
|
1,459,638
|
|
(A)
|
Represents draws on consumer loans with revolving privileges.
|
|
|
Collectively Evaluated
(A)
|
|
Individually Impaired
(B)
|
|
Total
|
||||||
Balance at March 31, 2016
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Provision for loan losses
|
|
15,438
|
|
|
532
|
|
|
15,970
|
|
|||
Net charge-offs
(C)
|
|
(15,438
|
)
|
|
—
|
|
|
(15,438
|
)
|
|||
Balance at June 30, 2016
|
|
$
|
—
|
|
|
$
|
532
|
|
|
$
|
532
|
|
(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 who are experiencing financial difficulty. As of
June 30, 2016
, there are
$1.8 million
in UPB and
$1.3 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 180 days past due. Charge-offs are presented net of
$2.8 million
in recoveries of previously charged-off UPB.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Balance at December 31, 2015
|
|
$
|
—
|
|
SpringCastle Transaction
|
|
398,560
|
|
|
Proceeds from repayments
|
|
(40,160
|
)
|
|
Accretion of loan discount and other amortization
|
|
12,398
|
|
|
Balance at June 30, 2016
|
|
$
|
370,798
|
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||
June 30, 2016
|
$
|
422,524
|
|
|
$
|
370,798
|
|
March 31, 2016
|
450,611
|
|
|
398,560
|
|
Balance at December 31, 2015
|
|
$
|
—
|
|
SpringCastle Transaction
|
|
187,120
|
|
|
Accretion
|
|
(12,398
|
)
|
|
Reclassifications from non-accretable difference
(A)
|
|
—
|
|
|
Balance at June 30, 2016
|
|
$
|
174,722
|
|
(A)
|
Represents a probable and significant increase in cash flows previously expected to be uncollectible.
|
Total Consumer Loan Companies equity
|
|
$
|
245,405
|
|
Others’ ownership interest
|
|
46.5
|
%
|
|
Others’ interests in equity of consolidated subsidiary
|
|
$
|
114,102
|
|
|
|
Six Months Ended
June 30, 2016 |
||
Net Consumer Loan Companies income (loss)
|
|
$
|
31,464
|
|
Others’ ownership interest as a percent of total
|
|
46.5
|
%
|
|
Others’ interest in net income (loss) of consolidated subsidiaries
|
|
$
|
14,630
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
As of
|
||
|
|
June 30, 2016
|
||
Assets
|
|
|
||
Consumer loans, held-for-investment
|
|
$
|
1,830,262
|
|
Restricted cash
|
|
14,375
|
|
|
Accrued interest receivable
|
|
27,361
|
|
|
Total assets
(A)
|
|
$
|
1,871,998
|
|
Liabilities
|
|
|
||
Notes and bonds payable
|
|
$
|
1,692,160
|
|
Accounts payable and accrued expenses
|
|
1,196
|
|
|
Total liabilities
(A)
|
|
$
|
1,693,356
|
|
(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.
|
|
Balance Sheet Location
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Derivative assets
|
|
|
|
|
|
||||
Interest Rate Caps
|
Other assets
|
|
$
|
1,626
|
|
|
$
|
2,689
|
|
|
|
|
$
|
1,626
|
|
|
$
|
2,689
|
|
Derivative liabilities
|
|
|
|
|
|
||||
TBAs
|
Accrued expenses and other liabilities
|
|
$
|
10,325
|
|
|
$
|
2,058
|
|
Interest Rate Swaps
|
Accrued expenses and other liabilities
|
|
32,181
|
|
|
11,385
|
|
||
|
|
|
$
|
42,506
|
|
|
$
|
13,443
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
TBAs, short position
(A)
|
$
|
2,918,000
|
|
|
$
|
1,450,000
|
|
TBAs, long position
(A)
|
1,459,000
|
|
|
750,000
|
|
||
Interest Rate Caps
(B)
|
2,893,333
|
|
|
3,400,000
|
|
||
Interest Rate Swaps, short positions
(C)
|
2,444,000
|
|
|
2,444,000
|
|
(A)
|
Represents the notional amount of Agency RMBS, classified as derivatives.
|
(B)
|
Caps LIBOR at
0.50%
for
$1,108.3 million
of notional, at
0.75%
for
$1,450.0 million
of notional, at
2.00%
for
$185.0 million
of notional, and at
4.00%
for
$150.0 million
of notional. The weighted average maturity of the interest rate caps as of
June 30, 2016
was
13
months.
|
(C)
|
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of
June 30, 2016
was
19
months and the weighted average fixed pay rate was
1.20%
.
|
|
|
For the
Three Months Ended June 30, |
|
For the
Six Months Ended June 30, |
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Other income (loss), net
(A)
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
$
|
(4,993
|
)
|
|
$
|
1,754
|
|
|
(10,524
|
)
|
|
(1,800
|
)
|
||
Interest Rate Swaps
|
|
(4,975
|
)
|
|
(1,737
|
)
|
|
(20,796
|
)
|
|
(5,089
|
)
|
||||
Interest Rate Caps
|
|
(3,195
|
)
|
|
(1,246
|
)
|
|
(4,146
|
)
|
|
(1,370
|
)
|
||||
|
|
(13,163
|
)
|
|
(1,229
|
)
|
|
(35,466
|
)
|
|
(8,259
|
)
|
||||
Gain (loss) on settlement of investments, net
|
|
|
|
|
|
|
|
|
||||||||
TBAs
|
|
(11,066
|
)
|
|
12,529
|
|
|
(39,237
|
)
|
|
(3,504
|
)
|
||||
Interest Rate Caps
|
|
—
|
|
|
—
|
|
|
(1,124
|
)
|
|
—
|
|
||||
Interest Rate Swaps
|
|
(1,769
|
)
|
|
1,240
|
|
|
(5,107
|
)
|
|
(5,317
|
)
|
||||
|
|
(12,835
|
)
|
|
13,769
|
|
|
(45,468
|
)
|
|
(8,821
|
)
|
||||
Total income (losses)
|
|
$
|
(25,998
|
)
|
|
$
|
12,540
|
|
|
$
|
(80,934
|
)
|
|
$
|
(17,080
|
)
|
(A)
|
Represents unrealized gains (losses).
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
|||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral
|
|
|
|||||||||||||||||||
Debt Obligations/Collateral
|
|
Month Issued
|
|
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)
|
|
Various
|
|
$
|
1,648,780
|
|
|
$
|
1,648,780
|
|
|
Jul-16
|
|
0.66
|
%
|
|
0.1
|
|
$
|
1,620,835
|
|
|
$
|
1,701,426
|
|
|
$
|
1,710,974
|
|
|
0.5
|
|
$
|
1,683,305
|
|
Non-Agency RMBS
(E)
|
|
Various
|
|
2,188,801
|
|
|
2,188,801
|
|
|
Jul-16 to Oct-16
|
|
2.06
|
%
|
|
0.1
|
|
5,198,564
|
|
|
2,670,095
|
|
|
2,724,372
|
|
|
6.4
|
|
1,333,852
|
|
||||||
Residential Mortgage Loans
(F)
|
|
Various
|
|
655,550
|
|
|
653,796
|
|
|
Aug-16 to Mar-17
|
|
2.95
|
%
|
|
0.4
|
|
1,041,907
|
|
|
809,116
|
|
|
793,816
|
|
|
2.9
|
|
907,993
|
|
||||||
Real Estate Owned
(G)(H)
|
|
Various
|
|
102,690
|
|
|
102,416
|
|
|
Aug-16 to Mar-17
|
|
3.14
|
%
|
|
0.5
|
|
N/A
|
|
|
N/A
|
|
|
119,236
|
|
|
N/A
|
|
77,458
|
|
||||||
Consumer Loan Investment
(I)
|
|
Apr-15
|
|
31,610
|
|
|
31,610
|
|
|
Aug-16
|
|
4.08
|
%
|
|
0.1
|
|
N/A
|
|
|
N/A
|
|
|
73,621
|
|
|
4.2
|
|
40,446
|
|
||||||
Total Repurchase Agreements
|
|
|
|
4,627,431
|
|
|
4,625,403
|
|
|
|
|
1.73
|
%
|
|
0.2
|
|
|
|
|
|
|
|
|
|
4,043,054
|
|
|||||||||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Secured Corporate Notes
(J)
|
|
Various
|
|
326,229
|
|
|
323,645
|
|
|
Apr-18 to Jun-19
|
|
5.22
|
%
|
|
2.2
|
|
259,364,676
|
|
|
835,094
|
|
|
979,924
|
|
|
5.8
|
|
182,978
|
|
||||||
Servicer Advances
(K)
|
|
Various
|
|
6,277,128
|
|
|
6,263,188
|
|
|
Aug-16 to Jun-19
|
|
3.60
|
%
|
|
1.2
|
|
6,608,084
|
|
|
6,503,825
|
|
|
6,513,274
|
|
|
4.5
|
|
7,047,061
|
|
||||||
Residential Mortgage Loans
(L)
|
|
Oct-15
|
|
13,134
|
|
|
13,134
|
|
|
Oct-16
|
|
3.32
|
%
|
|
0.3
|
|
15,876
|
|
|
9,138
|
|
|
8,273
|
|
|
4.5
|
|
19,529
|
|
||||||
Consumer Loans
(M)
|
|
Oct-14
|
|
1,697,031
|
|
|
1,692,160
|
|
|
May-23 to Apr-34
|
|
4.23
|
%
|
|
3.1
|
|
1,840,575
|
|
|
1,830,794
|
|
|
1,830,262
|
|
|
4.2
|
|
—
|
|
||||||
Receivable from government agency
(L)
|
|
Oct-15
|
|
3,204
|
|
|
3,204
|
|
|
Oct-16
|
|
3.32
|
%
|
|
0.3
|
|
N/A
|
|
|
N/A
|
|
|
4,161
|
|
|
N/A
|
|
—
|
|
||||||
Total Notes and Bonds Payable
|
|
|
|
8,316,726
|
|
|
8,295,331
|
|
|
|
|
3.79
|
%
|
|
1.6
|
|
|
|
|
|
|
|
|
|
7,249,568
|
|
|||||||||
Total/ Weighted Average
|
|
|
|
$
|
12,944,157
|
|
|
$
|
12,920,734
|
|
|
|
|
3.05
|
%
|
|
1.1
|
|
|
|
|
|
|
|
|
|
$
|
11,292,622
|
|
(A)
|
Net of deferred financing costs.
|
(B)
|
All debt obligations with a stated maturity of
July 2016
were refinanced, extended, or repaid.
|
(C)
|
These repurchase agreements had approximately
$8.5 million
of associated accrued interest payable as of
June 30, 2016
.
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately
$1.5 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
$162.3 million
on retained servicer advance 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)
|
The repurchase agreement bears interest equal to three-month LIBOR plus
3.50%
and is collateralized by
56%
of New Residential’s interest in the Consumer Loan Companies (Note 9).
|
(J)
|
The loans bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
4.75%
. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure these notes.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
(K)
|
$3.0 billion
face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from
2.1%
to
2.2%
.
|
(L)
|
The note is payable to Nationstar and bears interest equal to one-month LIBOR plus
2.875%
.
|
(M)
|
Represents the debt assumed in the SpringCastle Transaction (Note 1), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties:
$739.0 million
UPB of Class A notes with a coupon of
2.7%
and a stated maturity date in May 2023 (the “Class A Notes”);
$427.0 million
UPB of Class B notes with a coupon of
4.61%
and a stated maturity date in October 2027 (the “Class B Notes”);
$331.2 million
UPB of Class C notes with a coupon of
5.59%
and a stated maturity date in October 2033 (the “Class C Notes”); and
$199.8 million
UPB of Class D notes with a coupon of
6.82%
and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i)
100%
of the outstanding principal balance of the 2014-A Notes of the applicable class to be redeemed, plus (ii) the applicable Specified Call Premium Amount (as defined below) for such 2014-A Notes, plus (iii) accrued and unpaid interest and fees in respect of such 2014-A Notes. On or after the payment date occurring in October 2016, the redemption price for any class of 2014-A Notes shall be the sum of (i)
100%
of the outstanding principal balance of the 2014-A Notes of the applicable class to be redeemed, plus (ii) accrued and unpaid interest and fees in respect of such 2014-A Notes. The “Specified Call Premium Amount” on any payment date for any class of 2014-A Notes shall mean (i) in the case of Class A Notes, an amount equal to
1.00%
of the outstanding principal balance of the Class A Notes to be redeemed and (ii) in the case of the Class B Notes, the Class C Notes and the Class D Notes, an amount equal to (a) the product of (1) with respect to the Class B Notes,
0.75%
, with respect to the Class C Notes,
1.00%
and with respect to the Class D Notes,
2.00%
, times (2) the outstanding principal balance of the 2014-A Notes of such class to be redeemed on such payment date, times (3) the number of days, computed on a 30/360 basis, from and including such payment date to but excluding the payment date occurring in October 2016, divided by (b) 360.
|
|
Excess MSRs
|
|
Servicer Advances
(A)
|
|
Real Estate Securities
|
|
Real Estate Loans and REO
|
|
Consumer Loans
|
|
Total
|
||||||||||||
Balance at December 31, 2015
|
$
|
182,978
|
|
|
$
|
7,047,061
|
|
|
$
|
3,017,157
|
|
|
$
|
1,004,980
|
|
|
40,446
|
|
|
$
|
11,292,622
|
|
|
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Borrowings
|
—
|
|
|
—
|
|
|
12,356,350
|
|
|
253,204
|
|
|
—
|
|
|
12,609,554
|
|
||||||
Repayments
|
—
|
|
|
—
|
|
|
(11,535,926
|
)
|
|
(481,305
|
)
|
|
(8,836
|
)
|
|
(12,026,067
|
)
|
||||||
Capitalized deferred financing costs, net of amortization
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,138
|
)
|
|
—
|
|
|
(1,138
|
)
|
||||||
Notes and Bonds Payable:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Acquired borrowings, net of discount
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,803,192
|
|
|
1,803,192
|
|
||||||
Borrowings
|
351,229
|
|
|
3,369,587
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,720,816
|
|
||||||
Repayments
|
(209,432
|
)
|
|
(4,150,512
|
)
|
|
—
|
|
|
(3,191
|
)
|
|
(111,032
|
)
|
|
(4,474,167
|
)
|
||||||
Discount on borrowings, net of amortization
|
1,420
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,420
|
|
||||||
Capitalized deferred financing costs, net of amortization
|
(2,550
|
)
|
|
(2,948
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,498
|
)
|
||||||
Balance at June 30, 2016
|
$
|
323,645
|
|
|
$
|
6,263,188
|
|
|
$
|
3,837,581
|
|
|
$
|
772,550
|
|
|
$
|
1,723,770
|
|
|
$
|
12,920,734
|
|
(A)
|
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Year
|
|
Nonrecourse
|
|
Recourse
|
|
Total
|
||||||
July 1 through December 31, 2016
|
|
$
|
713,431
|
|
|
$
|
4,331,495
|
|
|
$
|
5,044,926
|
|
2017
|
|
4,735,037
|
|
|
238,682
|
|
|
4,973,719
|
|
|||
2018
|
|
523,143
|
|
|
225,000
|
|
|
748,143
|
|
|||
2019
|
|
379,109
|
|
|
101,229
|
|
|
480,338
|
|
|||
2020
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
2021 and thereafter
|
|
1,697,031
|
|
|
—
|
|
|
1,697,031
|
|
|||
|
|
$
|
8,047,751
|
|
|
$
|
4,896,406
|
|
|
$
|
12,944,157
|
|
Debt Obligations / Collateral
|
|
Collateral Type
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
|
||||||
Residential Mortgage Loans
|
|
Real Estate Loans and REO
|
|
$
|
2,090,000
|
|
|
$
|
758,240
|
|
|
$
|
1,331,760
|
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
||||||
Secured Corporate Loan
|
|
Excess MSRs
|
|
300,000
|
|
|
101,229
|
|
|
198,771
|
|
|||
Servicer Advances
(A)
|
|
Servicer Advances
|
|
7,988,292
|
|
|
6,277,128
|
|
|
1,711,164
|
|
|||
|
|
|
|
$
|
10,378,292
|
|
|
$
|
7,136,597
|
|
|
$
|
3,241,695
|
|
(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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
|
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)
|
$
|
304,297,824
|
|
|
$
|
1,475,418
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,475,418
|
|
|
$
|
1,475,418
|
|
Excess mortgage servicing rights, equity method investees, at fair value
(A)
|
66,748,310
|
|
|
199,145
|
|
|
—
|
|
|
—
|
|
|
199,145
|
|
|
199,145
|
|
||||||
Servicer advances
|
6,608,084
|
|
|
6,513,274
|
|
|
—
|
|
|
—
|
|
|
6,513,274
|
|
|
6,513,274
|
|
||||||
Real estate securities, available-for-sale
|
7,249,437
|
|
|
4,554,657
|
|
|
—
|
|
|
1,714,159
|
|
|
2,840,498
|
|
|
4,554,657
|
|
||||||
Residential mortgage loans, held-for-investment
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Residential mortgage loans, held-for-sale
|
1,066,844
|
|
|
824,002
|
|
|
—
|
|
|
—
|
|
|
840,903
|
|
|
840,903
|
|
||||||
Consumer loans, held-for-investment
|
1,840,749
|
|
|
1,830,436
|
|
|
—
|
|
|
—
|
|
|
1,865,979
|
|
|
1,865,979
|
|
||||||
Derivative assets
|
2,893,333
|
|
|
1,626
|
|
|
—
|
|
|
1,626
|
|
|
—
|
|
|
1,626
|
|
||||||
Cash and cash equivalents
|
233,845
|
|
|
233,845
|
|
|
233,845
|
|
|
—
|
|
|
—
|
|
|
233,845
|
|
||||||
Restricted cash
|
168,043
|
|
|
168,043
|
|
|
168,043
|
|
|
—
|
|
|
—
|
|
|
168,043
|
|
||||||
Other Assets
|
574,587
|
|
|
2,195
|
|
|
—
|
|
|
—
|
|
|
2,195
|
|
|
2,195
|
|
||||||
|
|
|
$
|
15,802,641
|
|
|
$
|
401,888
|
|
|
$
|
1,715,785
|
|
|
$
|
13,737,412
|
|
|
$
|
15,855,085
|
|
||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
4,627,431
|
|
|
$
|
4,625,403
|
|
|
$
|
—
|
|
|
$
|
4,627,431
|
|
|
$
|
—
|
|
|
$
|
4,627,431
|
|
Notes and bonds payable
|
8,316,726
|
|
|
8,295,331
|
|
|
—
|
|
|
—
|
|
|
8,334,533
|
|
|
8,334,533
|
|
||||||
Derivative liabilities
|
6,821,000
|
|
|
42,506
|
|
|
—
|
|
|
42,506
|
|
|
—
|
|
|
42,506
|
|
||||||
|
|
|
$
|
12,963,240
|
|
|
$
|
—
|
|
|
$
|
4,669,937
|
|
|
$
|
8,334,533
|
|
|
$
|
13,004,470
|
|
(A)
|
The notional amount represents the total unpaid principal balance of the mortgage loans underlying the Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Level 3
|
|
|
||||||||||||||||||||
|
Excess MSRs
(A)
|
|
Excess MSRs in Equity Method Investees
(A)(B)
|
|
|
|
|
|
|
||||||||||||||
|
Agency
|
|
Non-Agency
|
|
Agency
|
|
Servicer Advances
|
|
Non-Agency RMBS
|
|
Total
|
||||||||||||
Balance at December 31, 2015
|
$
|
437,201
|
|
|
$
|
1,144,316
|
|
|
$
|
217,221
|
|
|
$
|
7,426,794
|
|
|
$
|
1,584,283
|
|
|
$
|
10,809,815
|
|
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)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,073
|
)
|
|
(6,073
|
)
|
||||||
Included in change in fair value of investments in excess mortgage servicing rights
(D)
|
(7,430
|
)
|
|
93
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,337
|
)
|
||||||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees
(D)
|
—
|
|
|
—
|
|
|
2,347
|
|
|
—
|
|
|
—
|
|
|
2,347
|
|
||||||
Included in change in fair value of investments in Servicer Advances
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,278
|
)
|
|
—
|
|
|
(17,278
|
)
|
||||||
Included in gain (loss) on settlement of investments, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,372
|
)
|
|
(21,372
|
)
|
||||||
Included in other income (loss), net
(D)
|
1,271
|
|
|
149
|
|
|
—
|
|
|
—
|
|
|
(950
|
)
|
|
470
|
|
||||||
Gains (losses) included in other comprehensive income
(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
52,168
|
|
|
52,168
|
|
||||||
Interest income
|
15,438
|
|
|
60,793
|
|
|
—
|
|
|
156,749
|
|
|
92,081
|
|
|
325,061
|
|
||||||
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
7,814,541
|
|
|
1,429,712
|
|
|
9,244,253
|
|
||||||
Proceeds from sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(95,430
|
)
|
|
(95,430
|
)
|
||||||
Proceeds from repayments
|
(47,299
|
)
|
|
(129,114
|
)
|
|
(20,423
|
)
|
|
(8,867,532
|
)
|
|
(193,921
|
)
|
|
(9,258,289
|
)
|
||||||
Balance at June 30, 2016
|
$
|
399,181
|
|
|
$
|
1,076,237
|
|
|
$
|
199,145
|
|
|
$
|
6,513,274
|
|
|
$
|
2,840,498
|
|
|
$
|
11,028,335
|
|
(A)
|
Includes the recapture agreement for each respective pool.
|
(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 each 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)
|
These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Significant Inputs
(A)
|
||||||||||||
Directly Held (Note 4)
|
|
Prepayment
Rate
(B)
|
|
Delinquency
(C)
|
|
Recapture Rate
(D)
|
|
Excess Mortgage Servicing Amount
(bps)
(E)
|
|
Collateral Weighted Average Maturity (Years)
(F)
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
|
11.0
|
%
|
|
3.4
|
%
|
|
32.3
|
%
|
|
21
|
|
|
24
|
Recaptured Pools
|
|
7.5
|
%
|
|
4.8
|
%
|
|
20.6
|
%
|
|
21
|
|
|
25
|
Recapture Agreement
|
|
7.6
|
%
|
|
4.9
|
%
|
|
20.0
|
%
|
|
22
|
|
|
—
|
|
|
10.1
|
%
|
|
3.8
|
%
|
|
29.1
|
%
|
|
21
|
|
|
24
|
Non-Agency
(G)
|
|
|
|
|
|
|
|
|
|
|
||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
|
11.9
|
%
|
|
N/A
|
|
|
10.6
|
%
|
|
14
|
|
|
24
|
Recaptured Pools
|
|
7.7
|
%
|
|
N/A
|
|
|
20.0
|
%
|
|
20
|
|
|
24
|
Recapture Agreement
|
|
7.5
|
%
|
|
N/A
|
|
|
20.0
|
%
|
|
20
|
|
|
—
|
Ocwen Serviced Pools
|
|
9.3
|
%
|
|
N/A
|
|
|
—
|
%
|
|
14
|
|
|
25
|
|
|
9.8
|
%
|
|
N/A
|
|
|
2.7
|
%
|
|
14
|
|
|
25
|
Total/Weighted Average--Directly Held
|
|
9.9
|
%
|
|
3.8
|
%
|
|
9.8
|
%
|
|
16
|
|
|
25
|
|
|
|
|
|
|
|
|
|
|
|
||||
Held through Equity Method Investees (Note 5)
|
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
|
13.0
|
%
|
|
5.6
|
%
|
|
35.0
|
%
|
|
19
|
|
|
23
|
Recaptured Pools
|
|
7.7
|
%
|
|
5.0
|
%
|
|
20.0
|
%
|
|
23
|
|
|
25
|
Recapture Agreement
|
|
7.7
|
%
|
|
4.9
|
%
|
|
20.0
|
%
|
|
23
|
|
|
—
|
Total/Weighted Average--Held through Investees
|
|
10.8
|
%
|
|
5.3
|
%
|
|
28.7
|
%
|
|
21
|
|
|
24
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total/Weighted Average--All Pools
|
|
10.1
|
%
|
|
4.1
|
%
|
|
13.7
|
%
|
|
17
|
|
|
25
|
(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 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.
|
(E)
|
Weighted average total mortgage servicing amount in excess of the basic fee, measured in basis points (bps).
|
(F)
|
Weighted average maturity of the underlying 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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
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)
|
|||||
June 30, 2016
|
2.2
|
%
|
|
10.2
|
%
|
|
14.9
|
%
|
|
8.8
|
|
bps
|
5.4
|
%
|
|
24.5
|
(A)
|
Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
(B)
|
Mortgage servicing amount excludes the amounts New Residential pays its servicers as a monthly servicing fee.
|
(C)
|
Weighted average maturity of the underlying mortgage loans in the pool.
|
|
|
|
|
|
|
Fair Value
|
|||||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Multiple Quotes
(A)
|
|
Single Quote
(B)
|
|
Total
|
|
Level
|
|||||||||||
Agency RMBS
|
|
$
|
1,624,103
|
|
|
$
|
1,719,286
|
|
|
$
|
1,714,159
|
|
|
$
|
—
|
|
|
$
|
1,714,159
|
|
|
2
|
|
Non-Agency RMBS
(C)
|
|
5,625,334
|
|
|
2,783,973
|
|
|
2,604,630
|
|
|
235,868
|
|
|
2,840,498
|
|
|
3
|
|
|||||
Total
|
|
$
|
7,249,437
|
|
|
$
|
4,503,259
|
|
|
$
|
4,318,789
|
|
|
$
|
235,868
|
|
|
$
|
4,554,657
|
|
|
|
(A)
|
New Residential generally obtains pricing service quotations or broker quotations from
two
sources, one of which is 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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
(a)
|
|
CDR
(b)
|
|
Loss Severity
(c)
|
||
Non-Agency RMBS
|
|
$
|
1,867,216
|
|
|
1.46% to 32.75%
|
|
0% to 20%
|
|
0.1% to 12.0%
|
|
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
$215.7 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.
|
June 30, 2016
|
|
Fair Value and Carrying Value
|
|
Discount Rate
|
|
Weighted Average Life (Years)
(A)
|
|
Prepayment Rate
|
|
CDR
(B)
|
|
Loss Severity
(C)
|
||||||
Residential Mortgage Loans
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Performing Loans
|
|
$
|
68,105
|
|
|
2.7
|
%
|
|
3.0
|
|
20.0
|
%
|
|
0.2
|
%
|
|
4.1
|
%
|
Non-performing Loans
|
|
204,459
|
|
|
5.5
|
%
|
|
3.1
|
|
3.2
|
%
|
|
2.9
|
%
|
|
18.1
|
%
|
|
Total/Weighted Average
|
|
$
|
272,564
|
|
|
4.8
|
%
|
|
3.1
|
|
7.4
|
%
|
|
|
|
14.6
|
%
|
(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. Not applicable for PCD Loans that are not 100% in default.
|
(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.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
|
Carrying Value
|
|
Fair Value
|
|
Valuation and Loss Provision/ (Reversal) In Current Year
|
|
Discount Rate
|
|
Weighted Average Life (Years)
(A)
|
|
Prepayment Rate
|
|
CDR
(B)
|
|
Loss Severity
(C)
|
||||||||||
Reverse Mortgage Loans
(D)
|
|
$
|
14,458
|
|
|
$
|
14,458
|
|
|
$
|
73
|
|
|
10.0
|
%
|
|
4.5
|
|
N/A
|
|
|
N/A
|
|
|
12.7
|
%
|
Performing Loans
|
|
19,451
|
|
|
19,876
|
|
|
4
|
|
|
7.9
|
%
|
|
5.3
|
|
5.7
|
%
|
|
2.5
|
%
|
|
58.3
|
%
|
|||
Non-performing Loans
|
|
517,529
|
|
|
534,005
|
|
|
N/A
|
|
|
5.6
|
%
|
|
2.7
|
|
2.2
|
%
|
|
3.0
|
%
|
|
35.4
|
%
|
|||
Total/Weighted Average
|
|
$
|
551,438
|
|
|
$
|
568,339
|
|
|
$
|
77
|
|
|
5.8
|
%
|
|
2.8
|
|
|
|
|
|
35.6
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Consumer Loans
|
|
$
|
1,830,436
|
|
|
$
|
1,865,979
|
|
|
$
|
532
|
|
|
9.5
|
%
|
|
4.2
|
|
14.8
|
%
|
|
5.5
|
%
|
|
88.8
|
%
|
(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.
|
(D)
|
Carrying value and fair value represent a
70%
participation interest New Residential holds in the portfolio of reverse mortgage loans.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
Issued Prior to 2011
|
|
Issued in 2011-2015
|
|
Total
|
|||
Held by the Manager
|
345,720
|
|
|
8,874,152
|
|
|
9,219,872
|
|
Issued to the Manager and subsequently transferred to certain of the Manager’s employees
|
88,280
|
|
|
3,067,955
|
|
|
3,156,235
|
|
Issued to the independent directors
|
—
|
|
|
4,000
|
|
|
4,000
|
|
Total
|
434,000
|
|
|
11,946,107
|
|
|
12,380,107
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Recipient
|
Date of
Grant/
Exercise
(A)
|
|
Number of Unexercised
Options
|
|
Options
Exercisable
as of
June 30, 2016
|
|
Weighted
Average
Exercise
Price
(B)
|
|
Intrinsic
Value of Exercisable Options as of
June 30, 2016
(millions)
|
||||||
Directors
|
Various
|
|
4,000
|
|
|
4,000
|
|
|
$
|
13.58
|
|
|
$
|
—
|
|
Manager
(C)
|
2003 - 2007
|
|
434,000
|
|
|
434,000
|
|
|
31.36
|
|
|
—
|
|
||
Manager
(C)
|
2011 - 2012
|
|
25,000
|
|
|
25,000
|
|
|
7.19
|
|
|
0.2
|
|
||
Manager
(C)
|
2013
|
|
1,936,068
|
|
|
1,936,068
|
|
|
10.98
|
|
|
5.5
|
|
||
Manager
(C)
|
2014
|
|
1,437,500
|
|
|
1,245,833
|
|
|
12.20
|
|
|
2.0
|
|
||
Manager
(C)
|
2015
|
|
8,543,539
|
|
|
3,800,749
|
|
|
15.46
|
|
|
—
|
|
||
Outstanding
|
|
|
12,380,107
|
|
|
7,445,650
|
|
|
|
|
|
(A)
|
Options expire on the tenth anniversary from date of grant.
|
(B)
|
The exercise prices are subject to adjustment in connection with return of capital dividends.
|
(C)
|
The Manager assigned certain of its options to Fortress’s employees as follows:
|
Date of Grant
|
|
Range of Exercise
Prices
|
|
Total Unexercised
Inception to Date
|
|
2006-2007
|
|
$29.92 to $33.80
|
|
88,280
|
|
2013
|
|
$10.24 to $11.48
|
|
1,100,497
|
|
2014
|
|
$12.20
|
|
258,750
|
|
2015
|
|
$15.25 to $15.88
|
|
1,708,708
|
|
Total
|
|
|
|
3,156,235
|
|
|
|
Amount
|
|
Weighted Average Exercise Price
|
|||
December 31, 2015 outstanding options
|
|
12,380,107
|
|
|
|
||
Options granted
|
|
—
|
|
|
$
|
—
|
|
Options exercised
|
|
—
|
|
|
$
|
—
|
|
Options expired unexercised
|
|
—
|
|
|
|
||
June 30, 2016 outstanding options
|
|
12,380,107
|
|
|
See table above
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Management fees
|
$
|
3,336
|
|
|
$
|
6,671
|
|
Incentive compensation
|
6,125
|
|
|
16,017
|
|
||
Expense reimbursements and other
|
2,522
|
|
|
1,097
|
|
||
|
$
|
11,983
|
|
|
$
|
23,785
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Management fees
|
$
|
10,008
|
|
|
$
|
8,371
|
|
|
$
|
20,016
|
|
|
$
|
13,497
|
|
Incentive compensation
|
4,929
|
|
|
2,391
|
|
|
6,125
|
|
|
6,084
|
|
||||
Expense reimbursements
(A)
|
125
|
|
|
125
|
|
|
250
|
|
|
250
|
|
||||
Total
|
$
|
15,062
|
|
|
$
|
10,887
|
|
|
$
|
26,391
|
|
|
$
|
19,831
|
|
(A)
|
Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income.
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
Accumulated Other Comprehensive Income Components
|
|
Statement of Income Location
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Reclassification of net realized (gain) loss on securities into earnings
|
|
Gain on settlement of investments, net
|
|
$
|
382
|
|
|
$
|
17,921
|
|
|
$
|
(15,751
|
)
|
|
$
|
(6,776
|
)
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Other-than-temporary impairment on securities
|
|
2,819
|
|
|
649
|
|
|
6,073
|
|
|
1,720
|
|
||||
Total reclassifications
|
|
|
|
$
|
3,201
|
|
|
$
|
18,570
|
|
|
$
|
(9,678
|
)
|
|
$
|
(5,056
|
)
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Current:
|
|
|
|
|
|
|
|
|
||||||||
Federal
|
|
$
|
810
|
|
|
$
|
(106
|
)
|
|
$
|
1,268
|
|
|
$
|
630
|
|
State and Local
|
|
158
|
|
|
64
|
|
|
158
|
|
|
(1,092
|
)
|
||||
Total Current Income Tax Expense (Benefit)
|
|
968
|
|
|
(42
|
)
|
|
1,426
|
|
|
(462
|
)
|
||||
Deferred:
|
|
|
|
|
|
|
|
|
||||||||
Federal
|
|
5,653
|
|
|
13,281
|
|
|
(3,797
|
)
|
|
11,958
|
|
||||
State and Local
|
|
897
|
|
|
1,067
|
|
|
(334
|
)
|
|
(617
|
)
|
||||
Total Deferred Income Tax Expense (Benefit)
|
|
6,550
|
|
|
14,348
|
|
|
(4,131
|
)
|
|
11,341
|
|
||||
Total Income Tax Expense (Benefit)
|
|
$
|
7,518
|
|
|
$
|
14,306
|
|
|
$
|
(2,705
|
)
|
|
$
|
10,879
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
June 30, 2016
|
(dollars in tables in thousands, except share data)
|
•
|
acquiring bonds issued by the securitization at a discount, prior to initiating the call, such that the portion of the payment we make to the trust which is returned to us as bondholders when the call is exercised exceeds our purchase price for the bonds;
|
•
|
re-securitizing or selling performing loans for a gain; and
|
•
|
retaining distressed loans to modify or liquidate over time at a premium to our basis.
|
|
Outstanding
Face Amount
|
|
Amortized
Cost Basis
|
|
Percentage of
Total
Amortized
Cost Basis
|
|
Carrying
Value
|
|
Weighted
Average
Life (years)
(A)
|
|||||||
Investments in:
|
|
|
|
|
|
|
|
|
|
|||||||
Excess MSRs
(B)
|
$
|
371,046,134
|
|
|
$
|
1,479,358
|
|
|
9.7
|
%
|
|
$
|
1,674,563
|
|
|
6.3
|
Servicer Advances
(B)
|
6,608,084
|
|
|
6,503,825
|
|
|
42.8
|
%
|
|
6,513,274
|
|
|
4.5
|
|||
Agency RMBS
(C)
|
1,624,103
|
|
|
1,719,286
|
|
|
11.3
|
%
|
|
1,714,159
|
|
|
3.6
|
|||
Non-Agency RMBS
(C)
|
5,625,334
|
|
|
2,783,973
|
|
|
18.3
|
%
|
|
2,840,498
|
|
|
6.6
|
|||
Residential Mortgage Loans
|
1,066,844
|
|
|
828,991
|
|
|
5.4
|
%
|
|
824,002
|
|
|
2.9
|
|||
Real Estate Owned
|
N/A
|
|
|
65,430
|
|
|
0.5
|
%
|
|
61,909
|
|
|
N/A
|
|||
Consumer Loans
|
1,840,749
|
|
|
1,830,794
|
|
|
12.0
|
%
|
|
1,830,436
|
|
|
4.2
|
|||
Total/Weighted Average
|
|
|
$
|
15,211,657
|
|
|
100.0
|
%
|
|
$
|
15,458,841
|
|
|
4.8
|
||
|
|
|
|
|
|
|
|
|
|
|||||||
Reconciliation to GAAP total assets:
|
|
|
|
|
|
|
|
|
|
|||||||
Cash and restricted cash
|
|
|
|
|
|
|
401,888
|
|
|
|
||||||
Trades receivable
|
|
|
|
|
|
|
1,549,795
|
|
|
|
||||||
Deferred tax asset
|
|
|
|
|
|
|
189,641
|
|
|
|
||||||
Other assets
|
|
|
|
|
|
|
304,983
|
|
|
|
||||||
GAAP total assets
|
|
|
|
|
|
|
$
|
17,905,148
|
|
|
|
(A)
|
Weighted average life is based on the timing of expected principal reduction on the asset.
|
(B)
|
The outstanding face amount of Excess MSRs and servicer advances is based on 100% of the face amount of the underlying residential mortgage loans and currently outstanding advances, respectively.
|
(C)
|
Amortized cost basis is net of impairment.
|
|
|
|
|
|
MSR Component
(A)
|
|
|
|
Excess MSR
|
||||||||||||||
|
Initial UPB (bn)
|
|
Current UPB
(bn) |
|
Weighted Average MSR (bps)
|
|
Weighted Average Excess MSR (bps)
|
|
Interest in Excess MSR (%)
|
|
Purchase Price (mm)
|
|
Carrying Value (mm)
|
||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Original and Recaptured Pools
|
$
|
118.6
|
|
|
$
|
86.1
|
|
|
29
|
|
bps
|
21
|
|
bps
|
32.5% - 66.7%
|
|
$
|
457.7
|
|
|
$
|
339.8
|
|
Recapture Agreements
|
—
|
|
|
—
|
|
|
29
|
|
|
22
|
|
|
32.5% - 66.7%
|
|
—
|
|
|
59.4
|
|
||||
|
118.6
|
|
|
86.1
|
|
|
29
|
|
|
21
|
|
|
|
|
457.7
|
|
|
399.2
|
|
||||
Non-Agency
(B)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Original and Recaptured Pools
|
$
|
148.8
|
|
|
$
|
87.0
|
|
|
35
|
|
|
14
|
|
|
33.3% - 80.0%
|
|
$
|
328.8
|
|
|
$
|
238.3
|
|
Recapture Agreements
|
—
|
|
|
—
|
|
|
26
|
|
|
20
|
|
|
33.3% - 80.0%
|
|
—
|
|
|
14.9
|
|
||||
Ocwen Serviced Pools
|
156.4
|
|
|
131.3
|
|
|
44
|
|
|
14
|
|
|
100.0%
|
|
917.1
|
|
|
823.0
|
|
||||
|
305.2
|
|
|
218.3
|
|
|
42
|
|
|
14
|
|
|
|
|
1,245.9
|
|
|
1,076.2
|
|
||||
Total/Weighted Average
|
$
|
423.8
|
|
|
$
|
304.4
|
|
|
38
|
|
bps
|
16
|
|
bps
|
|
|
$
|
1,703.6
|
|
|
$
|
1,475.4
|
|
(A)
|
The MSR is a weighted average as of
June 30, 2016
, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
|
(B)
|
We also invested in the related Servicer Advances, including the basic fee component of the related MSR, as of
June 30, 2016
(Note 6 to our Condensed Consolidated Financial Statements) on
$204.2 billion
UPB underlying these Excess MSRs.
|
|
|
|
|
|
MSR Component
(A)
|
|
|
|
|
|
|
|
||||||||||||||
|
Initial UPB (bn)
|
|
Current UPB (bn)
|
|
Weighted Average MSR (bps)
|
|
Weighted Average Excess MSR (bps)
|
|
New Residential Interest in Investee (%)
|
|
Investee Interest in Excess MSR (%)
|
|
New Residential Effective Ownership (%)
|
|
Investee Carrying Value (mm)
|
|||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Original and Recaptured Pools
|
$
|
125.2
|
|
|
$
|
66.7
|
|
|
32
|
|
bps
|
20
|
|
bps
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
$
|
315.6
|
|
Recapture Agreements
|
—
|
|
|
—
|
|
|
32
|
|
|
23
|
|
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
66.7
|
|
|||
Total/Weighted Average
|
$
|
125.2
|
|
|
$
|
66.7
|
|
|
32
|
|
bps
|
21
|
|
bps
|
|
|
|
|
|
|
|
|
|
$
|
382.3
|
|
(A)
|
The MSR is a weighted average as of
June 30, 2016
, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
|
|
Collateral Characteristics
|
||||||||||||||||||||||||||||||||||||||||
|
Current Carrying Amount
|
|
Original Principal Balance
|
|
Current Principal Balance
|
|
Number of Loans
|
|
WA FICO Score
(A)
|
|
WA Coupon
|
|
WA Maturity (months)
|
|
Average Loan Age (months)
|
|
Adjustable Rate Mortgage %
(B)
|
|
Three Month Average CPR
(C)
|
|
Three Month Average CRR
(D)
|
|
Three Month Average CDR
(E)
|
|
Three Month Average Recapture Rate
|
||||||||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Original Pools
|
$
|
292,449
|
|
|
$
|
118,585,641
|
|
|
$
|
76,520,404
|
|
|
485,073
|
|
|
699
|
|
|
4.4
|
%
|
|
288
|
|
|
86
|
|
|
10.8
|
%
|
|
18.4
|
%
|
|
17.2
|
%
|
|
1.4
|
%
|
|
26.9
|
%
|
Recaptured Loans
|
47,346
|
|
|
—
|
|
|
9,539,446
|
|
|
55,839
|
|
|
717
|
|
|
4.4
|
%
|
|
300
|
|
|
22
|
|
|
0.3
|
%
|
|
9.0
|
%
|
|
8.4
|
%
|
|
0.6
|
%
|
|
21.3
|
%
|
|||
Recapture Agreement
|
59,386
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|||
|
$
|
399,181
|
|
|
$
|
118,585,641
|
|
|
$
|
86,059,850
|
|
|
540,912
|
|
|
701
|
|
|
4.4
|
%
|
|
289
|
|
|
78
|
|
|
9.7
|
%
|
|
17.4
|
%
|
|
16.3
|
%
|
|
1.3
|
%
|
|
26.6
|
%
|
Non-Agency
(F)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Original Pools
|
230,132
|
|
|
148,839,262
|
|
|
85,108,155
|
|
|
447,171
|
|
|
665
|
|
|
4.4
|
%
|
|
286
|
|
|
125
|
|
|
44.1
|
%
|
|
15.3
|
%
|
|
10.2
|
%
|
|
5.6
|
%
|
|
7.8
|
%
|
|||
Recaptured Loans
|
8,156
|
|
|
—
|
|
|
1,858,556
|
|
|
8,433
|
|
|
736
|
|
|
4.2
|
%
|
|
292
|
|
|
16
|
|
|
2.9
|
%
|
|
17.8
|
%
|
|
17.7
|
%
|
|
0.1
|
%
|
|
35.7
|
%
|
|||
Recapture Agreement
|
14,902
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|||
Ocwen Serviced Pools
(H)
|
823,047
|
|
|
156,374,134
|
|
|
131,271,263
|
|
|
886,272
|
|
|
614
|
|
|
4.6
|
%
|
|
303
|
|
|
129
|
|
|
22.0
|
%
|
|
10.1
|
%
|
|
6.5
|
%
|
|
3.8
|
%
|
|
—
|
%
|
|||
|
$
|
1,076,237
|
|
|
$
|
305,213,396
|
|
|
$
|
218,237,974
|
|
|
1,341,876
|
|
|
627
|
|
|
4.6
|
%
|
|
253
|
|
|
127
|
|
|
30.4
|
%
|
|
11.4
|
%
|
|
7.5
|
%
|
|
4.2
|
%
|
|
2.4
|
%
|
Total/Weighted Average
|
$
|
1,475,418
|
|
|
$
|
423,799,037
|
|
|
$
|
304,297,824
|
|
|
1,882,788
|
|
|
641
|
|
|
4.5
|
%
|
|
260
|
|
|
118
|
|
|
24.5
|
%
|
|
12.6
|
%
|
|
9.2
|
%
|
|
3.7
|
%
|
|
9.6
|
%
|
|
Collateral Characteristics
|
||||||||||||||||
|
Delinquency 30 Days
(G)
|
|
Delinquency 60 Days
(G)
|
|
Delinquency 90+ Days
(G)
|
|
Loans in
Foreclosure |
|
Real
Estate Owned |
|
Loans in
Bankruptcy |
||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original Pools
|
3.8
|
%
|
|
1.1
|
%
|
|
1.1
|
%
|
|
1.5
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
Recaptured Loans
|
1.3
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
0.4
|
%
|
|
—
|
%
|
|
—
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.5
|
%
|
|
1.0
|
%
|
|
1.0
|
%
|
|
1.4
|
%
|
|
0.3
|
%
|
|
0.3
|
%
|
Non-Agency
(F)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original Pools
|
8.5
|
%
|
|
2.2
|
%
|
|
3.2
|
%
|
|
9.4
|
%
|
|
1.8
|
%
|
|
2.5
|
%
|
Recaptured Loans
|
0.9
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
Ocwen Serviced Pools
(H)
|
7.3
|
%
|
|
4.0
|
%
|
|
5.6
|
%
|
|
8.7
|
%
|
|
2.2
|
%
|
|
2.1
|
%
|
|
7.6
|
%
|
|
3.5
|
%
|
|
5.0
|
%
|
|
8.8
|
%
|
|
2.1
|
%
|
|
2.2
|
%
|
Total/Weighted Average
|
6.8
|
%
|
|
3.0
|
%
|
|
4.2
|
%
|
|
7.4
|
%
|
|
1.7
|
%
|
|
1.8
|
%
|
(A)
|
The WA FICO score is based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score on a monthly basis. Weighted averages exclude collateral information for which collateral data was not available as of the report date.
|
(B)
|
Adjustable Rate Mortgage % represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
|
(C)
|
Three Month Average CPR, or the constant prepayment rate, represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
|
(D)
|
Three Month Average CRR, or the voluntary prepayment rate, represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
|
(E)
|
Three Month Average CDR, or the involuntary prepayment rate, represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
|
(F)
|
We also invested in the related Servicer Advances, including the basic fee component of the related MSR as of
June 30, 2016
(Note 6 to our Condensed Consolidated Financial Statements included herein) on
$204.2 billion
UPB underlying these Excess MSRs .
|
(G)
|
Delinquency 30 Days, Delinquency 60 Days and Delinquency 90+ Days represent the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 30–59 days, 60–89 days or 90 or more days, respectively.
|
(H)
|
Collateral characteristics related to approximately
$3.2 billion
of UPB are as of May 31, 2016.
|
|
Collateral Characteristics
|
|||||||||||||||||||||||||||||||||||||||||||
|
Current Carrying Amount
|
|
Original
Principal
Balance
|
|
Current
Principal
Balance
|
|
NRZ Effective Ownership
%
|
|
Number
of Loans
|
|
WA FICO Score
(A)
|
|
WA Coupon
|
|
WA Maturity (months)
|
|
Average Loan
Age (months)
|
|
Adjustable Rate Mortgage %
(B)
|
|
Three Month Average
CPR
(C)
|
|
Three Month Average
CRR
(D)
|
|
Three Month Average
CDR
(E)
|
|
Three Month Average
Recapture Rate
|
|||||||||||||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Original
Pools
|
$
|
220,859
|
|
|
$
|
125,191,420
|
|
|
$
|
52,956,114
|
|
|
33.3
|
%
|
|
431,792
|
|
|
688
|
|
|
4.9
|
%
|
|
281
|
|
|
99
|
|
|
10.5
|
%
|
|
21.4
|
%
|
|
18.4
|
%
|
|
3.6
|
%
|
|
27.6
|
%
|
Recaptured
Loans
|
94,694
|
|
|
—
|
|
|
13,792,196
|
|
|
33.3
|
%
|
|
90,935
|
|
|
701
|
|
|
4.4
|
%
|
|
298
|
|
|
26
|
|
|
0.5
|
%
|
|
10.3
|
%
|
|
10.3
|
%
|
|
0.3
|
%
|
|
33.1
|
%
|
|||
Recapture
Agreement
|
66,700
|
|
|
—
|
|
|
—
|
|
|
33.3
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|||
Total/
Weighted
Average
|
$
|
382,253
|
|
|
$
|
125,191,420
|
|
|
$
|
66,748,310
|
|
|
|
|
522,727
|
|
|
691
|
|
|
4.8
|
%
|
|
285
|
|
|
84
|
|
|
8.4
|
%
|
|
19.4
|
%
|
|
16.9
|
%
|
|
3.0
|
%
|
|
28.3
|
%
|
|
Collateral Characteristics
|
||||||||||||||||
|
Delinquency 30 Days
(F)
|
|
Delinquency 60 Days
(F)
|
|
Delinquency 90+ Days
(F)
|
|
Loans in
Foreclosure
|
|
Real
Estate
Owned
|
|
Loans in
Bankruptcy
|
||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original Pools
|
5.2
|
%
|
|
1.6
|
%
|
|
0.9
|
%
|
|
2.9
|
%
|
|
1.1
|
%
|
|
0.6
|
%
|
Recaptured Loans
|
2.7
|
%
|
|
0.8
|
%
|
|
0.4
|
%
|
|
0.5
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
Total/Weighted Average
|
4.7
|
%
|
|
1.4
|
%
|
|
0.8
|
%
|
|
2.4
|
%
|
|
0.8
|
%
|
|
0.5
|
%
|
(A)
|
The WA FICO score is based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score on a monthly basis.
|
(B)
|
Adjustable Rate Mortgage % represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
|
(C)
|
Three Month Average CPR, or the constant prepayment rate, represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
|
(D)
|
Three Month Average CRR, or the voluntary prepayment rate, represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
|
(E)
|
Three Month Average CDR, or the involuntary prepayment rate, represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
|
(F)
|
Delinquency 30 Days, Delinquency 60 Days and Delinquency 90+ Days represent the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more days, respectively.
|
|
June 30, 2016
|
|
Six Months Ended June 30, 2016
|
||||||||||||||||
|
Amortized Cost Basis
|
|
Carrying Value
(A)
|
|
Weighted Average Discount Rate
|
|
Weighted Average Yield
|
|
Weighted Average Life (Years)
(B)
|
|
Change in Fair Value Recorded in Other Income
|
||||||||
Servicer Advances
(C)
|
$
|
6,503,825
|
|
|
$
|
6,513,274
|
|
|
5.4
|
%
|
|
5.2
|
%
|
|
4.5
|
|
$
|
(17,278
|
)
|
(A)
|
Carrying Value represents the fair value of the investment in Servicer Advances, 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.
|
(C)
|
Excludes our asset-backed securities collateralized by Servicer Advances, which have an aggregate face amount of
$406.0 million
and an aggregate carrying value of
$406.0 million
as of
June 30, 2016
.
|
|
|
|
|
|
|
|
|
|
|
Loan-to-Value
(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
|
|||||||||||
June 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Servicer Advances
(D)
|
|
$
|
204,178,326
|
|
|
$
|
6,608,084
|
|
|
3.2
|
%
|
|
$
|
6,277,128
|
|
|
92.4
|
%
|
|
91.2
|
%
|
|
3.6
|
%
|
|
2.8
|
%
|
(A)
|
Based on outstanding Servicer Advances, excluding purchased but unsettled Servicer Advances and certain deferred servicing fees (“DSF”) on which we received financing. If we were to include these DSF in the servicer advance balance, gross and net LTV as of
June 30, 2016
would be
87.7%
and
86.7%
, respectively. Also excludes retained non-agency bonds with a current face amount of
$196.7 million
from the outstanding Servicer Advances debt. If we were to sell these bonds, gross and net LTV as of
June 30, 2016
would be
95.3%
and
94.1%
, respectively.
|
(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 comprise the investment in Servicer Advances:
|
|
|
June 30, 2016
|
||
Principal and interest advances
|
|
$
|
1,789,049
|
|
Escrow advances (taxes and insurance advances)
|
|
3,161,458
|
|
|
Foreclosure advances
|
|
1,657,577
|
|
|
Total
|
|
$
|
6,608,084
|
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value
(A)
|
|
Outstanding Repurchase Agreements
|
||||||||||||
Servicer Advance Bonds
|
|
$
|
406,000
|
|
|
$
|
405,592
|
|
|
$
|
469
|
|
|
$
|
(14
|
)
|
|
$
|
406,047
|
|
|
$
|
364,820
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value
(A)
|
|
Outstanding Repurchase Agreements
|
||||||||||||
Agency ARM RMBS
|
|
$
|
164,740
|
|
|
$
|
176,619
|
|
|
$
|
—
|
|
|
$
|
(2,953
|
)
|
|
$
|
173,666
|
|
|
$
|
175,867
|
|
Agency Specified Pools
|
|
1,459,363
|
|
|
1,542,667
|
|
|
—
|
|
|
(2,174
|
)
|
|
1,540,493
|
|
|
—
|
|
||||||
Agency RMBS
|
|
$
|
1,624,103
|
|
|
$
|
1,719,286
|
|
|
$
|
—
|
|
|
$
|
(5,127
|
)
|
|
$
|
1,714,159
|
|
|
$
|
175,867
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Periodic Cap
|
|
|
|
|
|||||||||||||||
Months to Next Reset
(A)
|
|
Number of Securities
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Percentage of Total Amortized Cost Basis
|
|
Carrying Value
|
|
Coupon
|
|
Margin
|
|
1st Coupon Adjustment
(B)
|
|
Subsequent Coupon Adjustment
(C)
|
|
Lifetime Cap
(D)
|
|
Months to Reset
(E)
|
|||||||||||||
1 - 12
|
|
26
|
|
|
$
|
164,740
|
|
|
$
|
176,619
|
|
|
100.0
|
%
|
|
$
|
173,666
|
|
|
2.7
|
%
|
|
1.7
|
%
|
|
N/A
|
|
1.9
|
%
|
|
8.9
|
%
|
|
5
|
|
(A)
|
Of these investments,
95.4%
reset based on 12-month LIBOR index,
2.5%
reset based on one-month LIBOR, and
2.1%
reset based on the one-year Treasury Constant Maturity Rate. After the initial fixed period,
97.5%
of these securities will reset annually and
2.5%
will reset semi-annually.
|
(B)
|
Represents the maximum change in the coupon after the end of the fixed rate period. All securities in this category are past the first coupon adjustment.
|
(C)
|
Represents the maximum change in the coupon at each reset date subsequent to the first coupon adjustment.
|
(D)
|
Represents the maximum coupon on the underlying security over its life.
|
(E)
|
Represents recurrent weighted average months to the next interest rate reset.
|
|
|
Agency RMBS Characteristics
|
|
Collateral Characteristics
|
|||||||||||||||||||
Vintage
(A)
|
|
Number of Securities
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Percentage of Total Amortized Cost Basis
|
|
Carrying Value
|
|
Weighted Average Life (Years)
|
|
3 Month CPR
(B)
|
|||||||||
Pre-2006
|
|
3
|
|
|
$
|
9,070
|
|
|
$
|
9,800
|
|
|
0.5
|
%
|
|
$
|
9,531
|
|
|
4.8
|
|
4.8
|
%
|
2006
|
|
1
|
|
|
2,276
|
|
|
2,408
|
|
|
0.1
|
%
|
|
2,398
|
|
|
3.8
|
|
0.6
|
%
|
|||
2007
|
|
3
|
|
|
4,707
|
|
|
4,980
|
|
|
0.3
|
%
|
|
4,891
|
|
|
4.3
|
|
15.9
|
%
|
|||
2008
|
|
3
|
|
|
6,169
|
|
|
6,691
|
|
|
0.4
|
%
|
|
6,517
|
|
|
4.2
|
|
20.1
|
%
|
|||
2009
|
|
3
|
|
|
13,864
|
|
|
14,923
|
|
|
0.9
|
%
|
|
14,531
|
|
|
4.0
|
|
20.4
|
%
|
|||
2010
|
|
10
|
|
|
78,479
|
|
|
84,391
|
|
|
4.9
|
%
|
|
83,044
|
|
|
4.1
|
|
22.5
|
%
|
|||
2011
|
|
1
|
|
|
4,393
|
|
|
4,393
|
|
|
0.3
|
%
|
|
4,335
|
|
|
5.5
|
|
2.9
|
%
|
|||
2012 and later
|
|
11
|
|
|
1,505,145
|
|
|
1,591,700
|
|
|
92.6
|
%
|
|
1,588,912
|
|
|
3.5
|
|
—
|
%
|
|||
Total/Weighted Average
|
|
35
|
|
|
$
|
1,624,103
|
|
|
$
|
1,719,286
|
|
|
100.0
|
%
|
|
$
|
1,714,159
|
|
|
3.6
|
|
1.4
|
%
|
(A)
|
The year in which the securities were issued.
|
(B)
|
Three month average constant prepayment rate.
|
Net Interest Spread
(A)
|
||
Weighted Average Asset Yield
|
1.61
|
%
|
Weighted Average Funding Cost
|
0.66
|
%
|
Net Interest Spread
|
0.95
|
%
|
(A)
|
The Agency RMBS portfolio consists of
10.3%
floating rate securities and
89.7%
fixed rate securities (based on amortized cost basis). See table above for details on rate resets of the floating rate securities.
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value
(A)
|
|
Outstanding Repurchase Agreements
|
||||||||||||
Non-Agency RMBS
|
|
$
|
5,625,334
|
|
|
$
|
2,783,973
|
|
|
$
|
72,807
|
|
|
$
|
(16,282
|
)
|
|
$
|
2,840,498
|
|
|
$
|
2,188,801
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
|
|
Non-Agency RMBS Characteristics
(A)
|
|
|
|||||||||||||||||||||||||||
Vintage
(B)
|
|
Average Minimum Rating
(C)
|
|
Number of Securities
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Percentage of Total Amortized Cost Basis
|
|
Carrying Value
|
|
Principal Subordination
(D)
|
|
Excess Spread
(E)
|
|
Weighted Average Life (Years)
|
|
Weighted Average Coupon
(F)
|
|||||||||||
Pre 2004
|
|
CCC
|
|
115
|
|
|
$
|
244,751
|
|
|
$
|
166,451
|
|
|
7.0
|
%
|
|
$
|
171,631
|
|
|
8.1
|
%
|
|
0.7
|
%
|
|
6.8
|
|
2.7
|
%
|
2004
|
|
CCC-
|
|
52
|
|
|
336,993
|
|
|
247,665
|
|
|
10.4
|
%
|
|
253,738
|
|
|
13.7
|
%
|
|
1.7
|
%
|
|
8.0
|
|
2.6
|
%
|
|||
2005
|
|
C
|
|
50
|
|
|
699,790
|
|
|
495,332
|
|
|
20.8
|
%
|
|
501,030
|
|
|
11.6
|
%
|
|
2.6
|
%
|
|
7.9
|
|
1.3
|
%
|
|||
2006 and later
|
|
CCC-
|
|
107
|
|
|
3,937,800
|
|
|
1,468,933
|
|
|
61.8
|
%
|
|
1,508,052
|
|
|
9.2
|
%
|
|
2.0
|
%
|
|
7.5
|
|
1.4
|
%
|
|||
Total/Weighted Average
|
|
CCC-
|
|
324
|
|
|
$
|
5,219,334
|
|
|
$
|
2,378,381
|
|
|
100.0
|
%
|
|
$
|
2,434,451
|
|
|
10.1
|
%
|
|
2.0
|
%
|
|
7.6
|
|
1.5
|
%
|
|
|
Collateral Characteristics
(A) (G)
|
|||||||||||||
Vintage
(B)
|
|
Average Loan Age (years)
|
|
Collateral Factor
(H)
|
|
3-month CPR
(I)
|
|
Delinquency
(J)
|
|
Cumulative Losses to Date
|
|||||
Pre 2004
|
|
13.6
|
|
|
0.04
|
|
|
2.3
|
%
|
|
7.4
|
%
|
|
4.8
|
%
|
2004
|
|
12.2
|
|
|
0.12
|
|
|
8.4
|
%
|
|
13.2
|
%
|
|
10.2
|
%
|
2005
|
|
11.1
|
|
|
0.11
|
|
|
5.6
|
%
|
|
16.1
|
%
|
|
31.3
|
%
|
2006 and later
|
|
10.3
|
|
|
0.42
|
|
|
5.1
|
%
|
|
12.7
|
%
|
|
26.2
|
%
|
Total/Weighted Average
|
|
10.9
|
|
|
0.30
|
|
|
6.8
|
%
|
|
13.1
|
%
|
|
20.5
|
%
|
(A)
|
Excludes
$406.0 million
face amount of bonds backed by servicer advances.
|
(B)
|
The year in which the securities were issued.
|
(C)
|
Ratings provided above were determined by third party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current. This excludes the ratings of the collateral underlying
97
bonds with a carrying value of
$443.6 million
, which either have never been rated or for which rating information is no longer provided. We had no assets that were on negative watch for possible downgrade by at least one rating agency as of
June 30, 2016
.
|
(D)
|
The percentage of amortized cost basis of securities and residual interests that is subordinate to our investments. This excludes interest-only bonds.
|
(E)
|
The current amount of interest received on the underlying loans in excess of the interest paid on the securities, as a percentage of the outstanding collateral balance for the quarter ended
June 30, 2016
.
|
(F)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of
$235.9 million
and
$0.0 million
, respectively, for which no coupon payment is expected.
|
(G)
|
The weighted average loan size of the underlying collateral is
$266.0 thousand
.
|
(H)
|
The ratio of original UPB of loans still outstanding.
|
(I)
|
Three month average constant prepayment rate.
|
(J)
|
The percentage of underlying loans that are 90+ days delinquent, or in foreclosure or considered REO.
|
Net Interest Spread
(A)
|
||
Weighted Average Asset Yield
|
5.33
|
%
|
Weighted Average Funding Cost
|
2.06
|
%
|
Net Interest Spread
|
3.27
|
%
|
(A)
|
The Non-Agency RMBS portfolio consists of
71.5%
floating rate securities and
28.5%
fixed rate securities (based on amortized cost basis).
|
|
|
Outstanding Face Amount
|
|
Carrying
Value |
|
Loan
Count |
|
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)
|
||||||||||
Reverse Mortgage Loans
(E)(F)
|
|
$
|
26,679
|
|
|
$
|
14,458
|
|
|
87
|
|
|
7.1
|
%
|
|
4.5
|
|
15.8
|
%
|
|
135.1
|
%
|
|
67.6
|
%
|
|
N/A
|
|
Performing Loans
(G)
|
|
83,662
|
|
|
87,556
|
|
|
1,557
|
|
|
4.0
|
%
|
|
3.5
|
|
4.6
|
%
|
|
85.9
|
%
|
|
5.9
|
%
|
|
598
|
|
||
Non-performing Loans
(H)(I)
|
|
956,503
|
|
|
721,988
|
|
|
5,234
|
|
|
5.5
|
%
|
|
2.8
|
|
16.3
|
%
|
|
104.1
|
%
|
|
80.6
|
%
|
|
579
|
|
||
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,066,844
|
|
|
$
|
824,002
|
|
|
6,878
|
|
|
5.5
|
%
|
|
2.9
|
|
15.4
|
%
|
|
103.5
|
%
|
|
74.4
|
%
|
|
581
|
|
(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 are 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 we hold in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB is
$0.4 million
. Approximately
59%
of these loans outstanding 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)
|
Includes loans that are current or less than
30
days past due at acquisition where we expect to collect all contractually required principal and interest payments. Presented net of unamortized
premiums
of
$20.7 million
.
|
(H)
|
Includes loans with evidence of credit deterioration since origination where it is probable that we will not collect all contractually required principal and interest payments. As of
June 30, 2016
, we have placed all of these loans on nonaccrual status, except as described in (I) below.
|
(I)
|
Includes
$180.3 million
UPB of Ginnie Mae EBO non-performing loans on accrual status because contractual cash flows are guaranteed by the FHA.
|
|
Collateral Characteristics
|
|||||||||||||||||||||||||||||||||||||||||
|
UPB
|
|
Personal Unsecured Loans %
|
|
Personal Homeowner Loans %
|
|
Number of Loans
|
|
Weighted Average Original FICO Score
(A)
|
|
Weighted Average Coupon
|
|
Adjustable Rate Loan %
|
|
Average Loan Age (months)
|
|
Average Expected Life (Years)
|
|
Delinquency 30 Days
(B)
|
|
Delinquency 60 Days
(B)
|
|
Delinquency 90+ Days
(B)
|
|
3-Month CRR
(C)
|
|
3-Month CDR
(D)
|
|||||||||||||||
Consumer loans, held-for-investment
|
$
|
1,840,749
|
|
|
67.4
|
%
|
|
32.6
|
%
|
|
213,070
|
|
|
635
|
|
|
18.3
|
%
|
|
11.1
|
%
|
|
134
|
|
|
4.2
|
|
|
2.9
|
%
|
|
1.6
|
%
|
|
2.3
|
%
|
|
19.3
|
%
|
|
5.3
|
%
|
(A)
|
Weighted average original FICO score represents the FICO score at the time the loan was originated.
|
(B)
|
Delinquency 30 Days, Delinquency 60 Days and Delinquency 90+ Days represent the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more days, respectively.
|
(C)
|
3-Month CRR, or the voluntary prepayment rate, represents the annualized rate of the voluntary prepayments during the three months as a percentage of the total principal balance of the pool, net of draws on revolving loans.
|
(D)
|
3-Month CDR, or the involuntary prepayment rate, represents the annualized rate of the involuntary prepayments (defaults) during the three months as a percentage of the total principal balance of the pool.
|
Fair value at June 30, 2016
|
|
$
|
1,475,418
|
|
|
|
|
|
|
|
||||||
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
1,600,775
|
|
|
$
|
1,535,451
|
|
|
$
|
1,420,092
|
|
|
$
|
1,368,967
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
125,357
|
|
|
$
|
60,033
|
|
|
$
|
(55,326
|
)
|
|
$
|
(106,451
|
)
|
%
|
|
8.5
|
%
|
|
4.1
|
%
|
|
(3.7
|
)%
|
|
(7.2
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
1,604,715
|
|
|
$
|
1,537,837
|
|
|
$
|
1,417,076
|
|
|
$
|
1,362,464
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
129,297
|
|
|
$
|
62,419
|
|
|
$
|
(58,342
|
)
|
|
$
|
(112,954
|
)
|
%
|
|
8.8
|
%
|
|
4.2
|
%
|
|
(4.0
|
)%
|
|
(7.7
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
1,480,234
|
|
|
$
|
1,477,826
|
|
|
$
|
1,473,009
|
|
|
$
|
1,470,599
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
4,816
|
|
|
$
|
2,408
|
|
|
$
|
(2,409
|
)
|
|
$
|
(4,819
|
)
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
(0.2
|
)%
|
|
(0.3
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
1,459,769
|
|
|
$
|
1,467,541
|
|
|
$
|
1,483,401
|
|
|
$
|
1,491,494
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
(15,649
|
)
|
|
$
|
(7,877
|
)
|
|
$
|
7,983
|
|
|
$
|
16,076
|
|
%
|
|
(1.1
|
)%
|
|
(0.5
|
)%
|
|
0.5
|
%
|
|
1.1
|
%
|
1)
|
Marked to Market Assets (“MTM Assets”): Assets that are marked to market through the statement of income. Changes in the value of these assets (a) are recorded on the statement of income, as unrealized gains or losses that impact net income, and (b) impact our Total New Residential Stockholders’ Equity (net book value).
|
2)
|
Other Comprehensive Income Assets (“OCI Assets”): Assets that are marked to market through the statement of comprehensive income. Changes in the value of these assets (a) are recorded on the statement of comprehensive income, as unrealized gains or losses, and therefore do not impact net income on the statement of income, and (b) impact our Total New Residential Stockholders’ Equity (net book value).
|
3)
|
Cost Assets: Assets that are not marked to market. Changes in value of these assets do not impact net income on the statement of income nor do they impact our Total New Residential Stockholders’ Equity (net book value).
|
MTM Assets
|
|
OCI Assets
|
|
Cost Assets
|
Excess MSRs
|
|
Real estate securities, available-for-sale
|
|
Residential mortgage loans, held-for-investment
|
Excess MSRs, equity method investees
|
|
|
|
Residential mortgage loans, held-for-sale
|
Servicer Advances
|
|
|
|
Real estate owned (REO)
|
Certain assets within Other Assets, primarily derivatives
|
|
|
|
Consumer loans, held-for-investment
|
|
|
|
|
Trades receivable
|
|
|
|
|
Deferred tax asset, net
|
|
|
|
|
Other assets, except as described above
|
|
Three Months Ended June 30,
|
|
Increase (Decrease)
|
|
Six Months Ended
June 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
2016
|
|
2015
|
|
Amount
|
|
2016
|
|
2015
|
|
Amount
|
||||||||||||
Interest income
|
$
|
277,477
|
|
|
$
|
178,177
|
|
|
$
|
99,300
|
|
|
$
|
467,513
|
|
|
$
|
262,550
|
|
|
$
|
204,963
|
|
Interest expense
|
100,685
|
|
|
81,871
|
|
|
18,814
|
|
|
181,913
|
|
|
115,850
|
|
|
66,063
|
|
||||||
Net Interest Income
|
176,792
|
|
|
96,306
|
|
|
80,486
|
|
|
285,600
|
|
|
146,700
|
|
|
138,900
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Impairment
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Other-than-temporary impairment (OTTI) on securities
|
2,819
|
|
|
649
|
|
|
2,170
|
|
|
6,073
|
|
|
1,720
|
|
|
4,353
|
|
||||||
Valuation and loss provision (reversal) on loans and real estate owned
|
16,825
|
|
|
4,772
|
|
|
12,053
|
|
|
23,570
|
|
|
5,749
|
|
|
17,821
|
|
||||||
|
19,644
|
|
|
5,421
|
|
|
14,223
|
|
|
29,643
|
|
|
7,469
|
|
|
22,174
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Net interest income after impairment
|
157,148
|
|
|
90,885
|
|
|
66,263
|
|
|
255,957
|
|
|
139,231
|
|
|
116,726
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Other Income
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Change in fair value of investments in excess mortgage servicing rights
|
(15,263
|
)
|
|
356
|
|
|
(15,619
|
)
|
|
(7,337
|
)
|
|
(1,405
|
)
|
|
(5,932
|
)
|
||||||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
(675
|
)
|
|
3,095
|
|
|
(3,770
|
)
|
|
2,347
|
|
|
8,016
|
|
|
(5,669
|
)
|
||||||
Change in fair value of investments in servicer advances
|
13,946
|
|
|
24,562
|
|
|
(10,616
|
)
|
|
(17,278
|
)
|
|
16,893
|
|
|
(34,171
|
)
|
||||||
Gain on consumer loans investment
|
—
|
|
|
8,510
|
|
|
(8,510
|
)
|
|
9,943
|
|
|
18,957
|
|
|
(9,014
|
)
|
||||||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
—
|
|
|
71,250
|
|
|
—
|
|
|
71,250
|
|
||||||
Gain (loss) on settlement of investments, net
|
(12,711
|
)
|
|
1,201
|
|
|
(13,912
|
)
|
|
(27,211
|
)
|
|
15,968
|
|
|
(43,179
|
)
|
||||||
Other income (loss), net
|
(5,020
|
)
|
|
(74
|
)
|
|
(4,946
|
)
|
|
(19,515
|
)
|
|
(8,484
|
)
|
|
(11,031
|
)
|
||||||
|
(19,723
|
)
|
|
37,650
|
|
|
(57,373
|
)
|
|
12,199
|
|
|
49,945
|
|
|
(37,746
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Operating Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
General and administrative expenses
|
7,224
|
|
|
21,239
|
|
|
(14,015
|
)
|
|
19,305
|
|
|
29,799
|
|
|
(10,494
|
)
|
||||||
Management fee to affiliate
|
10,008
|
|
|
8,371
|
|
|
1,637
|
|
|
20,016
|
|
|
13,497
|
|
|
6,519
|
|
||||||
Incentive compensation to affiliate
|
4,929
|
|
|
2,391
|
|
|
2,538
|
|
|
6,125
|
|
|
6,084
|
|
|
41
|
|
||||||
Loan servicing expense
|
14,119
|
|
|
2,951
|
|
|
11,168
|
|
|
15,850
|
|
|
7,842
|
|
|
8,008
|
|
||||||
|
36,280
|
|
|
34,952
|
|
|
1,328
|
|
|
61,296
|
|
|
57,222
|
|
|
4,074
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Income (Loss) Before Income Taxes
|
101,145
|
|
|
93,583
|
|
|
7,562
|
|
|
206,860
|
|
|
131,954
|
|
|
74,906
|
|
||||||
Income tax expense (benefit)
|
7,518
|
|
|
14,306
|
|
|
(6,788
|
)
|
|
(2,705
|
)
|
|
10,879
|
|
|
(13,584
|
)
|
||||||
Net Income (Loss)
|
$
|
93,627
|
|
|
$
|
79,277
|
|
|
$
|
14,350
|
|
|
$
|
209,565
|
|
|
$
|
121,075
|
|
|
$
|
88,490
|
|
Noncontrolling Interests in Income (Loss) of Consolidated Subsidiaries
|
$
|
24,975
|
|
|
$
|
4,158
|
|
|
$
|
20,817
|
|
|
$
|
29,177
|
|
|
$
|
9,981
|
|
|
$
|
19,196
|
|
Net Income (Loss) Attributable to Common Stockholders
|
$
|
68,652
|
|
|
$
|
75,119
|
|
|
$
|
(6,467
|
)
|
|
$
|
180,388
|
|
|
$
|
111,094
|
|
|
$
|
69,294
|
|
•
|
Access to Financing from Counterparties
– Decisions by investors, counterparties and lenders to enter into transactions with us will depend upon a number of factors, such as our historical and projected financial performance, compliance with the terms of our current credit arrangements, industry and market trends, the availability of capital and our investors’, counterparties’ and lenders’ policies and rates applicable thereto, and the relative attractiveness of alternative investment or lending opportunities. Our business strategy is dependent upon our ability to finance certain of our investments at rates that provide a positive net spread.
|
•
|
Impact of Expected Repayment or Forecasted Sale on Cash Flows
– The timing of and proceeds from the repayment or sale of certain investments may be different than expected or may not occur as expected. Proceeds from sales of assets are unpredictable and may vary materially from their estimated fair value and their carrying value. Further, the availability of investments that provide similar returns to those repaid or sold investments is unpredictable and returns on new investments may vary materially from those on existing investments.
|
|
|
June 30, 2016
|
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral
|
|||||||||||||||||
Debt Obligations/Collateral
|
|
Month Issued
|
|
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)
|
|||||||||||
Repurchase Agreements
(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Agency RMBS
(D)
|
|
Various
|
|
$
|
1,648,780
|
|
|
$
|
1,648,780
|
|
|
Jul-16
|
|
0.66
|
%
|
|
0.1
|
|
$
|
1,620,835
|
|
|
$
|
1,701,426
|
|
|
$
|
1,710,974
|
|
|
0.5
|
Non-Agency RMBS
(E)
|
|
Various
|
|
2,188,801
|
|
|
2,188,801
|
|
|
Jul-16 to Oct-16
|
|
2.06
|
%
|
|
0.1
|
|
5,198,564
|
|
|
2,670,095
|
|
|
2,724,372
|
|
|
6.4
|
|||||
Residential Mortgage Loans
(F)
|
|
Various
|
|
655,550
|
|
|
653,796
|
|
|
Aug-16 to Mar-17
|
|
2.95
|
%
|
|
0.4
|
|
1,041,907
|
|
|
809,116
|
|
|
793,816
|
|
|
2.9
|
|||||
Real Estate Owned
(G)(H)
|
|
Various
|
|
102,690
|
|
|
102,416
|
|
|
Aug-16 to Mar-17
|
|
3.14
|
%
|
|
0.5
|
|
N/A
|
|
|
N/A
|
|
|
119,236
|
|
|
N/A
|
|||||
Consumer Loan Investment
(I)
|
|
Apr-15
|
|
31,610
|
|
|
31,610
|
|
|
Aug-16
|
|
4.08
|
%
|
|
0.1
|
|
N/A
|
|
|
N/A
|
|
|
73,621
|
|
|
4.2
|
|||||
Total Repurchase Agreements
|
|
|
|
4,627,431
|
|
|
4,625,403
|
|
|
|
|
1.73
|
%
|
|
0.2
|
|
|
|
|
|
|
|
|
||||||||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Secured Corporate Notes
(J)
|
|
Various
|
|
326,229
|
|
|
323,645
|
|
|
Apr-18 to Jun-19
|
|
5.22
|
%
|
|
2.2
|
|
259,364,676
|
|
|
835,094
|
|
|
979,924
|
|
|
5.8
|
|||||
Servicer Advances
(K)
|
|
Various
|
|
6,277,128
|
|
|
6,263,188
|
|
|
Aug-16 to Jun-19
|
|
3.60
|
%
|
|
1.2
|
|
6,608,084
|
|
|
6,503,825
|
|
|
6,513,274
|
|
|
4.5
|
|||||
Residential Mortgage Loans
(L)
|
|
Oct-15
|
|
13,134
|
|
|
13,134
|
|
|
Oct-16
|
|
3.32
|
%
|
|
0.3
|
|
15,876
|
|
|
9,138
|
|
|
8,273
|
|
|
4.5
|
|||||
Consumer Loans
(M)
|
|
Oct-14
|
|
1,697,031
|
|
|
1,692,160
|
|
|
May-23 to Apr-34
|
|
4.23
|
%
|
|
3.1
|
|
1,840,575
|
|
|
1,830,794
|
|
|
1,830,262
|
|
|
4.2
|
|||||
Receivable from government agency
(L)
|
|
Oct-15
|
|
3,204
|
|
|
3,204
|
|
|
Oct-16
|
|
3.32
|
%
|
|
0.3
|
|
N/A
|
|
|
N/A
|
|
|
4,161
|
|
|
N/A
|
|||||
Total Notes and Bonds Payable
|
|
|
|
8,316,726
|
|
|
8,295,331
|
|
|
|
|
3.79
|
%
|
|
1.6
|
|
|
|
|
|
|
|
|
||||||||
Total/ Weighted Average
|
|
|
|
$
|
12,944,157
|
|
|
$
|
12,920,734
|
|
|
|
|
3.05
|
%
|
|
1.1
|
|
|
|
|
|
|
|
|
(A)
|
Net of deferred financing costs.
|
(B)
|
All debt obligations with a stated maturity of
July 2016
were refinanced, extended, or repaid.
|
(C)
|
These repurchase agreements had approximately
$8.5 million
of associated accrued interest payable as of
June 30, 2016
.
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately
$1.5 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
$162.3 million
on retained servicer advance 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 we have made or intend to make a claim on the FHA guarantee.
|
(I)
|
The repurchase agreement bears interest equal to three-month LIBOR plus
3.50%
and is collateralized by
56%
of our interest in the Consumer Loan Companies (Note 9 to our Condensed Consolidated Financial Statements).
|
(J)
|
The loans bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
4.75%
. The outstanding face amount of the collateral represents the UPB of our residential mortgage loans underlying our Excess MSRs that secure these notes.
|
(K)
|
$3.0 billion
face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from
2.1%
to
2.2%
.
|
(L)
|
The note is payable to Nationstar and bears interest equal to one-month LIBOR plus
2.875%
.
|
(M)
|
Represents the debt assumed in the SpringCastle Transaction (Note 1 to our Condensed Consolidated Financial Statements), which is comprised of the following classes of asset-backed notes (collectively, the “2014-A Notes”) held by third parties:
$739.0 million
UPB of Class A notes with a coupon of
2.7%
and a stated maturity date in May 2023 (the “Class A Notes”);
$427.0 million
UPB of Class B notes with a coupon of
4.61%
and a stated maturity date in October 2027 (the “Class B Notes”);
$331.2 million
UPB of Class C notes with a coupon of
5.59%
and a stated maturity date in October 2033 (the “Class C Notes”); and
$199.8 million
UPB of Class D notes with a coupon of
6.82%
and a stated maturity date in April 2034 (the “Class D Notes”). Prior to the payment date in October 2016, the redemption price for any class of the outstanding 2014-A Notes shall be the sum of (i)
100%
of the outstanding principal balance of the 2014-
|
|
|
|
Six Months Ended June 30, 2016
|
|||||||||||
|
Outstanding
Balance at
June 30, 2016
|
|
Average Daily Amount Outstanding
(A)
|
|
Maximum Amount Outstanding
|
|
Weighted Average Daily Interest Rate
|
|||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
|||||||
Agency RMBS
|
$
|
1,648,780
|
|
|
$
|
1,644,122
|
|
|
$
|
1,683,305
|
|
|
0.67
|
%
|
Non-Agency RMBS
|
2,188,801
|
|
|
1,662,712
|
|
|
2,188,801
|
|
|
1.96
|
%
|
|||
Residential Mortgage Loans
|
655,550
|
|
|
781,089
|
|
|
974,408
|
|
|
2.87
|
%
|
|||
Real Estate Owned
|
102,690
|
|
|
93,533
|
|
|
105,973
|
|
|
3.00
|
%
|
|||
Consumer Loans
|
31,610
|
|
|
35,089
|
|
|
40,446
|
|
|
4.08
|
%
|
|||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|||||||
Servicer Advances
|
2,978,311
|
|
|
3,094,403
|
|
|
4,000,289
|
|
|
2.53
|
%
|
|||
Residential Mortgage Loans
|
13,134
|
|
|
13,755
|
|
|
15,652
|
|
|
3.29
|
%
|
|||
Real Estate Owned
|
3,204
|
|
|
3,434
|
|
|
3,877
|
|
|
3.29
|
%
|
|||
Total/Weighted Average
|
$
|
7,622,080
|
|
|
$
|
7,328,137
|
|
|
$
|
9,012,751
|
|
|
2.01
|
%
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
Average Daily Amount Outstanding
(A)
|
||||||
|
Three Months Ended
March 31, 2016
|
|
Three Months Ended
June 30, 2016 |
||||
Repurchase Agreements
|
|
|
|
||||
Agency RMBS
|
$
|
1,637,506
|
|
|
$
|
1,650,738
|
|
Non-Agency RMBS
|
1,369,703
|
|
|
1,959,069
|
|
||
Residential Mortgage Loans
|
889,834
|
|
|
672,344
|
|
||
Real Estate Owned
|
87,270
|
|
|
99,796
|
|
||
Consumer Loans
|
34,569
|
|
|
35,609
|
|
(A)
|
Represents the average for the period the debt was outstanding.
|
Year
|
|
Nonrecourse
(A)
|
|
Recourse
(B)
|
|
Total
|
||||||
July 1 through December 31, 2016
|
|
$
|
713,431
|
|
|
$
|
4,331,495
|
|
|
$
|
5,044,926
|
|
2017
|
|
4,735,037
|
|
|
238,682
|
|
|
4,973,719
|
|
|||
2018
|
|
523,143
|
|
|
225,000
|
|
|
748,143
|
|
|||
2019
|
|
379,109
|
|
|
101,229
|
|
|
480,338
|
|
|||
2020
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
2021 and thereafter
|
|
1,697,031
|
|
|
—
|
|
|
1,697,031
|
|
|||
|
|
$
|
8,047,751
|
|
|
$
|
4,896,406
|
|
|
$
|
12,944,157
|
|
(A)
|
Includes repurchase agreements and notes and bonds payable of
$73.6 million
and
$7,974.2 million
, respectively.
|
(B)
|
Includes repurchase agreements and notes and bonds payable of
$4,553.8 million
and
$342.6 million
, respectively.
|
Debt Obligations/ Collateral
|
|
Collateral Type
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
|
||||||
Residential Mortgage Loans
|
|
Real Estate Loans and REO
|
|
$
|
2,090,000
|
|
|
$
|
758,240
|
|
|
$
|
1,331,760
|
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
||||||
Secured Corporate Loan
|
|
Excess MSRs
|
|
300,000
|
|
|
101,229
|
|
|
198,771
|
|
|||
Servicer Advances
(A)
|
|
Servicer Advances
|
|
7,988,292
|
|
|
6,277,128
|
|
|
1,711,164
|
|
|||
|
|
|
|
$
|
10,378,292
|
|
|
$
|
7,136,597
|
|
|
$
|
3,241,695
|
|
(A)
|
Our unused borrowing capacity is available to us if we have additional eligible collateral to pledge and meet other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. We pay a
0.4%
fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained non-agency bonds with a current face amount of
$196.7 million
.
|
|
June 30, 2016
|
|||||||
|
Issued Prior to 2011
|
|
Issued in 2011 - 2015
|
|
Total
|
|||
Held by the Manager
|
345,720
|
|
|
8,874,152
|
|
|
9,219,872
|
|
Issued to the Manager and subsequently transferred to certain of the Manager’s employees
|
88,280
|
|
|
3,067,955
|
|
|
3,156,235
|
|
Issued to the independent directors
|
—
|
|
|
4,000
|
|
|
4,000
|
|
Total
|
434,000
|
|
|
11,946,107
|
|
|
12,380,107
|
|
|
Total Accumulated Other Comprehensive Income
|
||
Accumulated other comprehensive income, December 31, 2015
|
$
|
3,936
|
|
Net unrealized gain (loss) on securities
|
56,541
|
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
(9,678
|
)
|
|
Accumulated other comprehensive income (loss), June 30, 2016
|
$
|
50,799
|
|
Common Dividends Declared for the Period Ended
|
|
Paid
|
|
Amount Per Share
|
||
December 31, 2015
|
|
January 2016
|
|
$
|
0.46
|
|
March 31, 2016
|
|
April 2016
|
|
$
|
0.46
|
|
June 30, 2016
|
|
July 2016
|
|
$
|
0.46
|
|
•
|
Derivatives –
as described in Note 10 to our Condensed Consolidated Financial Statements, we have altered the composition of our economic hedges during the period.
|
•
|
Debt obligations
– as described in Note 11 and Note 18 to our Condensed Consolidated Financial Statements, we borrowed additional amounts, including borrowings to fund servicer advances and Excess MSRs, and to purchase loans and securities.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net income attributable to common stockholders
|
$
|
68,652
|
|
|
$
|
75,119
|
|
|
$
|
180,388
|
|
|
$
|
111,094
|
|
Impairment
|
19,644
|
|
|
5,421
|
|
|
29,643
|
|
|
7,469
|
|
||||
Other Income adjustments:
|
|
|
|
|
|
|
|
||||||||
Other Income
|
|
|
|
|
|
|
|
||||||||
Change in fair value of investments in excess mortgage servicing rights
|
15,263
|
|
|
(356
|
)
|
|
7,337
|
|
|
1,405
|
|
||||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
675
|
|
|
(3,095
|
)
|
|
(2,347
|
)
|
|
(8,016
|
)
|
||||
Change in fair value of investments in servicer advances
|
(13,946
|
)
|
|
(24,562
|
)
|
|
17,278
|
|
|
(16,893
|
)
|
||||
Gain on consumer loans investment
|
—
|
|
|
(8,510
|
)
|
|
(9,943
|
)
|
|
(18,957
|
)
|
||||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
(71,250
|
)
|
|
—
|
|
||||
(Gain) loss on settlement of investments, net
|
12,711
|
|
|
(1,201
|
)
|
|
27,211
|
|
|
(15,968
|
)
|
||||
Unrealized (gain) loss on derivative instruments
|
13,163
|
|
|
1,229
|
|
|
35,466
|
|
|
8,259
|
|
||||
Unrealized (gain) loss on other ABS
|
1,218
|
|
|
77
|
|
|
950
|
|
|
367
|
|
||||
(Gain) loss on transfer of loans to REO
|
(7,804
|
)
|
|
(347
|
)
|
|
(10,287
|
)
|
|
197
|
|
||||
Gain on Excess MSR recapture agreements
|
(688
|
)
|
|
(848
|
)
|
|
(1,420
|
)
|
|
(1,578
|
)
|
||||
Other (income) loss
|
3,651
|
|
|
763
|
|
|
5,179
|
|
|
2,039
|
|
||||
Total Other Income Adjustments
|
24,243
|
|
|
(36,850
|
)
|
|
(1,826
|
)
|
|
(49,145
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Other Income and Impairment attributable to non-controlling interests
|
(4,195
|
)
|
|
(3,294
|
)
|
|
(5,187
|
)
|
|
(7,823
|
)
|
||||
Non-capitalized transaction-related expenses
|
(557
|
)
|
|
9,341
|
|
|
5,413
|
|
|
14,890
|
|
||||
Incentive compensation to affiliate
|
4,929
|
|
|
2,391
|
|
|
6,125
|
|
|
6,084
|
|
||||
Deferred taxes
|
6,547
|
|
|
14,348
|
|
|
(4,134
|
)
|
|
11,341
|
|
||||
Interest income on residential mortgage loans, held-for-sale
|
4,561
|
|
|
3,648
|
|
|
6,473
|
|
|
17,083
|
|
||||
Limit on RMBS discount accretion related to called deals
|
(3,594
|
)
|
|
—
|
|
|
(6,243
|
)
|
|
—
|
|
||||
Adjust consumer loans to level yield
|
(2,744
|
)
|
|
17,458
|
|
|
15,162
|
|
|
34,216
|
|
||||
Core earnings of equity method investees:
|
|
|
|
|
|
|
|
||||||||
Excess mortgage servicing rights
|
2,110
|
|
|
4,597
|
|
|
6,139
|
|
|
10,435
|
|
||||
Core Earnings
|
$
|
119,596
|
|
|
$
|
92,179
|
|
|
$
|
231,953
|
|
|
$
|
155,644
|
|
•
|
rates of prepayment and repayment of the underlying loans;
|
•
|
potential fluctuations in prevailing interest rates;
|
•
|
rates of delinquencies and defaults; and
|
•
|
in the case of MSRs, recapture rates; and
|
•
|
in the case of servicer advances, the amount and timing of servicer advances and recoveries.
|
•
|
payments on the servicer advances and the deferred servicing fees depend on the source of repayment, and whether and when the related servicer receives such payment (certain servicer advances are reimbursable only out of late payments and other collections and recoveries on the related mortgage loan, while others are also reimbursable out of principal and interest collections with respect to all mortgage loans serviced under the related servicing agreement, and as a consequence, the timing of such reimbursement is highly uncertain);
|
•
|
the length of time necessary to obtain liquidation proceeds may be affected by conditions in the real estate market or the financial markets generally, the availability of financing for the acquisition of the real estate and other factors, including, but not limited to, government intervention;
|
•
|
the length of time necessary to effect a foreclosure may be affected by variations in the laws of the particular jurisdiction in which the related mortgaged property is located, including whether or not foreclosure requires judicial action;
|
•
|
the requirements for judicial actions for foreclosure (which can result in substantial delays in reimbursement of servicer advances and payment of deferred servicing fees), which vary from time to time as a result of changes in applicable state law; and
|
•
|
the ability of the related servicer to sell delinquent mortgage loans to third parties prior to liquidation, resulting in the early reimbursement of outstanding unreimbursed servicer advances in respect of such mortgage loans.
|
•
|
its failure to comply with applicable laws and regulation;
|
•
|
a downgrade in its servicer rating;
|
•
|
its failure to maintain sufficient liquidity or access to sources of liquidity;
|
•
|
its failure to perform its loss mitigation obligations;
|
•
|
its failure to perform adequately in its external audits;
|
•
|
a failure in or poor performance of its operational systems or infrastructure;
|
•
|
regulatory or legal scrutiny regarding any aspect of a servicer’s operations, including, but not limited to, servicing practices and foreclosure processes lengthening foreclosure timelines;
|
•
|
a GSE’s or a whole-loan owner’s transfer of servicing to another party; or
|
•
|
any other reason.
|
•
|
A commitment by Ocwen to service loans in accordance with specified servicing guidelines and to be subject to oversight by an independent national monitor for three years;
|
•
|
A payment of $127.3 million to a consumer relief fund to be disbursed by an independent administrator to eligible borrowers. In May 2014, Ocwen satisfied this obligation with regards to the consumer relief fund, $60.4 million of which is the responsibility of former owners of certain servicing portfolios acquired by Ocwen, pursuant to indemnification and loss sharing provisions in the applicable agreements; and
|
•
|
A commitment by Ocwen to continue its principal forgiveness modification programs to delinquent and underwater borrowers, including underwater borrowers at imminent risk of default, in an aggregate amount of at least $2.0 billion over three years from the date of the consent order. Ocwen will only receive credit towards its $2.0 billion commitment for principal reductions that satisfy various criteria set forth in the settlement. In April 2016, Ocwen satisfied these obligations and was credited with over $2.1 billion in consumer relief credits, which exceeded such obligations.
|
•
|
Payment of $100 million to the NY DFS to be used by the State of New York for housing, foreclosure relief and community redevelopment programs;
|
•
|
Payment of $50 million as restitution to certain New York borrowers;
|
•
|
Installation of a NY DFS Operations Monitor to monitor and assess the adequacy and effectiveness of Ocwen’s operations for a period of two years, which may be extended another 12 months at the option of the NY DFS;
|
•
|
Requirements that Ocwen will not share any common officers or employees with any related party and will not share risk, internal audit or vendor oversight functions with any related party;
|
•
|
Requirements that certain Ocwen employees, officers and directors be recused from negotiating or voting to approve certain transactions with a related party;
|
•
|
Resignation of Ocwen’s Chairman of the Board from the Board of Directors of Ocwen and at related companies, including HLSS; and
|
•
|
Restrictions on Ocwen’s ability to acquire new MSRs.
|
•
|
Payment of $2.5 million;
|
•
|
Engagement of an independent auditor to assess Ocwen’s compliance with laws and regulations impacting California’ borrowers for a period of at least two years; and
|
•
|
Prevention of Ocwen from acquiring additional MSRs for loans secured in the State of California until the CA DBO is satisfied that Ocwen can satisfactorily respond to the requests for information and documentation made in the course of a regulatory exam.
|
•
|
Payment of $2.5 million (of which Ocwen had previously accrued $2 million as of September 30, 2015 with respect to the proposed resolution); and
|
•
|
Consent to the entry of an administrative order requiring that Ocwen cease and desist from any violations of Sections 13(a), 13(b)(2)(A), and 13(b)(2)(B) of the Exchange Act and certain related SEC rules promulgated thereunder.
|
•
|
By regulatory actions taken against Ocwen;
|
•
|
By a default by Ocwen under its debt agreements;
|
•
|
By further downgrades in Ocwen’s servicer rating;
|
•
|
If Ocwen fails to ensure its servicer advances comply with the terms of its Pooling and Servicing Agreements (“PSAs”);
|
•
|
If Ocwen were terminated as servicer under certain PSAs;
|
•
|
If Ocwen becomes subject to a bankruptcy proceeding; or
|
•
|
If Ocwen fails to meet its obligations or is deemed to be in default under the indenture governing notes issued under any servicer advance facility with respect to which Ocwen is the servicer.
|
•
|
Was made to or for the benefit of a creditor;
|
•
|
Was for or on account of an antecedent debt owed by such servicer before that transfer was made;
|
•
|
Was made while such servicer was insolvent (a company is presumed to have been insolvent on and during the 90 days preceding the date the company’s bankruptcy petition was filed);
|
•
|
Was made on or within 90 days (or if we are determined to be a statutory insider, on or within one year) before such servicer’s bankruptcy filing;
|
•
|
Permitted us to receive more than we would have received in a Chapter 7 liquidation case of such servicer under U.S. bankruptcy laws; and
|
•
|
Was a payment as to which none of the statutory defenses to a preference action apply.
|
•
|
interest rates and credit spreads;
|
•
|
the availability of credit, including the price, terms and conditions under which it can be obtained;
|
•
|
the quality, pricing and availability of suitable investments and credit losses with respect to our investments;
|
•
|
the ability to obtain accurate market-based valuations;
|
•
|
the ability of securities dealers to make markets in relevant securities and loans;
|
•
|
loan values relative to the value of the underlying real estate assets;
|
•
|
default rates on the loans underlying our investments and the amount of the related losses;
|
•
|
prepayment rates, delinquency rates and legislative/regulatory changes with respect to our investments in Excess MSRs, servicer advances, RMBS, and loans, and the timing and amount of servicer advances;
|
•
|
the actual and perceived state of the real estate markets, market for dividend-paying stocks and public capital markets generally;
|
•
|
unemployment rates; and
|
•
|
the attractiveness of other types of investments relative to investments in real estate or REITs generally.
|
•
|
We have limited experience acquiring MSRs and operating a servicer. Although ownership of MSRs and the operation of a servicer includes many of the same risks as our other target assets and business activities, including risks related to prepayments, borrower credit, defaults, interest rates, hedging, and regulatory changes, there can be no assurance that we will be able to successfully operate a servicer subsidiary and integrate MSR investments into our business operations.
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NRM’s continued or pending approvals from government-related entities or approvals from federal agencies are subject to compliance with their respective servicing guidelines, minimum capital requirements and other conditions that they may impose from time to time at their discretion. Failure to satisfy such guidelines or conditions could result in the unilateral termination of NRM’s approvals or pending applications by one or more entities or agencies.
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NRM is presently licensed or otherwise eligible to hold MSRs in all states other than California. Such state licenses may be suspended or revoked by a state regulatory authority, and we may as a result lose the ability to own MSRs under the regulatory jurisdiction of such state regulatory authority.
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•
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Changes in minimum servicing amounts for agency loans could occur at any time and could negatively impact the value of the income derived from any MSRs that we may acquire in the future.
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Investments in MSRs are highly illiquid and subject to numerous restrictions on transfer and, as a result, there is risk that we would be unable to locate a willing buyer or get approval to sell any MSRs in the future should we desire to do so.
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•
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part of the income and gain recognized by certain qualified employee pension trusts with respect to our stock may be treated as unrelated business taxable income if shares of our stock are predominantly held by qualified employee pension trusts, and we are required to rely on a special look-through rule for purposes of meeting one of the REIT ownership tests, and we are not operated in a manner to avoid treatment of such income or gain as unrelated business taxable income;
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•
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part of the income and gain recognized by a tax-exempt investor with respect to our stock would constitute unrelated business taxable income if the investor incurs debt in order to acquire the stock; and
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to the extent that we are (or a part of us, or a disregarded subsidiary of ours, is) a “taxable mortgage pool,” or if we hold residual interests in a real estate mortgage investment conduit (“REMIC”), a portion of the distributions paid to a tax exempt stockholder that is allocable to excess inclusion income may be treated as unrelated business taxable income.
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a shift in our investor base;
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our quarterly or annual earnings, or those of other comparable companies;
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actual or anticipated fluctuations in our operating results;
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changes in accounting standards, policies, guidance, interpretations or principles;
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announcements by us or our competitors of significant investments, acquisitions or dispositions;
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the failure of securities analysts to cover our common stock;
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changes in earnings estimates by securities analysts or our ability to meet those estimates;
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market performance of affiliates and other counterparties with whom we conduct business;
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the operating and stock price performance of other comparable companies;
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overall market fluctuations; and
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general economic conditions.
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a classified board of directors with staggered three-year terms;
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provisions regarding the election of directors, classes of directors, the term of office of directors, the filling of director vacancies and the resignation and removal of directors for cause only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
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provisions regarding corporate opportunity only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
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removal of directors only for cause and only with the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote in the election of directors;
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our board of directors to determine the powers, preferences and rights of our preferred stock and to issue such preferred stock without stockholder approval;
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advance notice requirements applicable to stockholders for director nominations and actions to be taken at annual meetings;
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a prohibition, in our certificate of incorporation, stating that no holder of shares of our common stock will have cumulative voting rights in the election of directors, which means that the holders of a majority of the issued and outstanding shares of common stock can elect all the directors standing for election; and
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a requirement in our bylaws specifically denying the ability of our stockholders to consent in writing to take any action in lieu of taking such action at a duly called annual or special meeting of our stockholders.
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Exhibit Number
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Exhibit Description
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2.1
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Separation and Distribution Agreement dated April 26, 2013, between New Residential Investment Corp. and Newcastle Investment Corp. (incorporated by reference to Amendment No. 6 of New Residential Investment Corp.’s Registration Statement on Form 10, filed April 29, 2013)
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2.2
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Purchase Agreement, among the Sellers listed therein, HSBC Finance Corporation and SpringCastle Acquisition LLC, dated March 5, 2013 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed March 11, 2013)
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2.3
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Master Servicing Rights Purchase Agreement between Nationstar Mortgage LLC and Advance Purchaser LLC, dated as of December 17, 2013 (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on December 23, 2013)
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2.4
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Sale Supplement (Shuttle 1) between Nationstar Mortgage LLC and Advance Purchaser LLC, dated as of December 17, 2013 (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on December 23, 2013)
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2.5
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Sale Supplement (Shuttle 2) between Nationstar Mortgage LLC and Advance Purchaser LLC, dated as of December 17, 2013 (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on December 23, 2013)
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2.6
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Sale Supplement (First Tennessee) between Nationstar Mortgage LLC and Advance Purchaser LLC, dated as of December 17, 2013 (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on December 23, 2013)
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2.7
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Agreement and Plan of Merger, dated as of February 22, 2015, by and among New Residential Investment Corp., Hexagon Merger Sub, Ltd. and Home Loan Servicing Solutions, Ltd. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on February 24, 2015)
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2.8
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Termination Agreement, dated as of April 6, 2015, by and among New Residential Investment Corp., Home Loan Servicing Solutions, Ltd. and Hexagon Merger Sub Ltd. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on April 10, 2015)
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2.9
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Share and Asset Purchase Agreement, dated as of April 6, 2015, by and among New Residential Investment Corp., HLSS Advances Acquisition Corp., HLSS MSR-EBO Acquisition LLC and Home Loan Servicing Solutions, Ltd. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on April 10, 2015)
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2.10
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Purchase Agreement, dated as of March 31, 3016, by and among SpringCastle Holdings, LLC, Springleaf Acquisition Corporation, Springleaf Finance, Inc., NRZ Consumer LLC, NRZ SC America LLC, NRZ SC Credit Limited, NRZ SC Finance I LLC, NRZ SC Finance II LLC, NRZ SC Finance III LLC, NRZ SC Finance IV LLC, NRZ SC Finance V LLC, BTO Willow Holdings II, L.P. and Blackstone Family Tactical Opportunities Investment Partnership - NQ - ESC L.P., and solely with respect to Section 11(a) and Section 11(g), NRZ SC America Trust 2015-1, NRZ SC Credit Trust 2015-1, NRZ SC Finance Trust 2015-1, and BTO Willow Holdings, L.P. (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016)
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3.1
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Amended and Restated Certificate of Incorporation of New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
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3.2
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Amended and Restated Bylaws of New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
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3.3
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Amendment to Amended and Restated Certificate of Incorporation of New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on October 17, 2014)
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4.1
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Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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4.2
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Amendment No. 1, dated as of June 30, 2016, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed July 7, 2016)
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Exhibit Number
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Exhibit Description
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4.3
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Series 2015-T1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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4.4
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Series 2015-T2 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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4.5
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Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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4.6
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Amendment No. 1, dated as of November 24, 2015, to the Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2015)
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4.7
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Amendment No. 2, dated as of March 22, 2016, to the Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed March 24, 2016)
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4.8
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Amendment No. 3, dated as of May 9, 2016, to the Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 13, 2016)
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4.9
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Amendment No. 4, dated as of May 27, 2016, to the Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed June 3, 2016)
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4.10
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Series 2015-T3 Indenture Supplement, dated as of November 24, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Annual Report on Form 10-K,for the annual period ended December 31, 2015)
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4.11
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Series 2015-T4 Indenture Supplement, dated as of November 24, 2015, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2015)
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4.12
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Series 2016-T1 Indenture Supplement, dated as of June 30, 2016, to the Indenture, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed July 7, 2016)
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4.13
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Series 2014-A Indenture dated as of October 3, 2014, by and among SpringCastle America Funding, LLC, SpringCastle Credit Funding, LLC, and SpringCastle Finance Funding, LLC, as co-issuers, Wilmington Trust, National Association, as loan trustee, Springleaf Finance, Inc., as servicer, Wells Fargo Bank, National Association, as paying agent and note registrar, and U.S. Bank National Association, as indenture trustee (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016)
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Exhibit Number
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Exhibit Description
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10.1
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Third Amended and Restated Management and Advisory Agreement between New Residential Investment Corp. and FIG LLC, dated May 7, 2015 (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2015)
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10.2
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Form of Indemnification Agreement by and between New Residential Investment Corp. and its directors and officers (incorporated by reference to Amendment No. 3 of New Residential Investment Corp.’s Registration Statement on Form 10, filed March 27, 2013)
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10.3
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New Residential Investment Corp. Nonqualified Stock Option and Incentive Award Plan (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
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10.4
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Amended and Restated New Residential Investment Corp. Nonqualified Stock Option and Incentive Plan, adopted as of November 4, 2014 (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2014)
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10.5
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Investment Guidelines (incorporated by reference to Amendment No. 4 of New Residential Investment Corp.’s Registration Statement on Form 10, filed April 9, 2013)
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10.6
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Excess Servicing Spread Sale and Assignment Agreement, by and between Nationstar Mortgage LLC and NIC MSR I LLC, dated December 8, 2011 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2011)
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10.7
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Excess Spread Refinanced Loan Replacement Agreement, by and between Nationstar Mortgage LLC and NIC MSR I LLC, dated December 8, 2011 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2011)
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10.8
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Future Spread Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR IV LLC, dated May 13, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed May 15, 2012)
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10.9
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Future Spread Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR V LLC, dated May 13, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed May 15, 2012)
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10.10
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Future Spread Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR VI LLC, dated May 13, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed May 15, 2012)
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10.11
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Future Spread Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR VII, LLC, dated May 13, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed May 15, 2012)
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10.12
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Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR III LLC, dated May 31, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 6, 2012)
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10.13
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Future Spread Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR III LLC, dated May 31, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 6, 2012)
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10.14
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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10.15
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Amended and Restated Future Spread Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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10.16
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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10.17
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Amended and Restated Future Spread Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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10.18
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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Exhibit Number
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Exhibit Description
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10.19
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Amended and Restated Future Spread Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR II LLC, dated June 7, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed June 7, 2012)
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10.20
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR V LLC, dated June 28, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed July 5, 2012)
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10.21
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR IV LLC, dated June 28, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed July 5, 2012)
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10.22
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR VI LLC, dated June 28, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed July 5, 2012)
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10.23
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and NIC MSR VII LLC, dated June 28, 2012 (incorporated by reference to Newcastle Investment Corp.’s Current Report on Form 8-K, filed July 5, 2012)
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10.24
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Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR VIII LLC, dated December 31, 2012 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.25
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Future Spread Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR VIII LLC, dated December 31, 2012 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.26
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Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and MSR IX LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.27
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Future Spread Agreement for FHLMC Mortgage Loans, between Nationstar Mortgage LLC and MSR IX LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.28
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Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR X LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.29
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Future Spread Agreement for FNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR X LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.30
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Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR XI LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.31
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Future Spread Agreement for GNMA Mortgage Loans, between Nationstar Mortgage LLC and MSR XI LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.32
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Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and MSR XII LLC, dated January 6, 2013, (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.33
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Future Spread Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and MSR XII LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.34
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Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and MSR XIII LLC, dated January 6, 2013, (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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10.35
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Future Spread Agreement for Non-Agency Mortgage Loans, between Nationstar Mortgage LLC and MSR XIII LLC, dated January 6, 2013 (incorporated by reference to Newcastle Investment Corp.’s Annual Report on Form 10-K, for the annual period ended December 31, 2012)
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Exhibit Number
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Exhibit Description
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10.36
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Interim Servicing Agreement, among the Interim Servicers listed therein, HSBC Finance Corporation, as Interim Servicer Representative, HSBC Bank USA, National Association, SpringCastle America, LLC, SpringCastle Credit, LLC, SpringCastle Finance, LLC, Wilmington Trust, National Association, as Loan Trustee, and SpringCastle Finance LLC, as Owner Representative (incorporated by reference to Amendment No. 4 to New Residential Investment Corp.’s Registration Statement on Form 10, filed April 9, 2013)
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10.37
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle Acquisition LLC, dated March 31, 2016 (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016)
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10.38
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Registration Rights Agreement, dated as of April 6, 2015, by and between New Residential Investment Corp and Home Loan Servicing Solutions, Ltd. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on April 10, 2015)
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10.39
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Services Agreement, dated as of April 6, 2015, by and between HLSS Advances Acquisition Corp. and Home Loan Servicing Solutions, Ltd. (incorporated by reference to New Residential Investment Corp.’s Current Report on Form 8-K, filed on April 10, 2015)
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10.40
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Receivables Sale Agreement, dated as of August 28, 2015, by and among Ocwen Loan Servicing, LLC, HLSS Holdings, LLC and NRZ Advance Facility Transferor 2015-ON1 LLC (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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10.41
|
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Receivables Pooling Agreement, dated as of August 28, 2015, by and between NRZ Advance Facility Transferor 2015-ON1 LLC and NRZ Advance Receivables Trust 2015-ON1 (incorporated by reference to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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31.1
|
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Certification of Chief Executive Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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||
31.2
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Certification of Chief Financial Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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||
32.1
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Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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||
32.2
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Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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||
101.INS
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XBRL Instance Document *
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101.SCH
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XBRL Taxonomy Extension Schema Document *
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101.CAL
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XBRL Taxonomy Extension Calculation Linkbase Document *
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101.DEF
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XBRL Taxonomy Extension Definition Linkbase Document *
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101.LAB
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XBRL Taxonomy Extension Label Linkbase Document *
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101.PRE
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XBRL Taxonomy Extension Presentation Linkbase Document *
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*
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Furnished electronically herewith.
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•
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle America, LLC, dated as of March 31, 2016.
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•
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle Credit, LLC, dated as of March 31, 2016.
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•
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle Finance, LLC, dated as of March 31, 2016.
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NEW RESIDENTIAL INVESTMENT CORP.
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By:
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/s/ Michael Nierenberg
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Michael Nierenberg
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Chief Executive Officer and President
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(Principal Executive Officer)
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August 3, 2016
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By:
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/s/ Nicola Santoro, Jr.
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Nicola Santoro, Jr.
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Chief Financial Officer and Treasurer
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(Principal Financial Officer)
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August 3, 2016
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By:
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/s/ Jonathan R. Brown
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Jonathan R. Brown
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Chief Accounting Officer
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(Principal Accounting Officer)
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August 3, 2016
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1.
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I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
|
The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
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a)
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c)
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
|
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
|
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
August 3, 2016
|
/s/ Michael Nierenberg
|
|
Michael Nierenberg
|
|
Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
|
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
August 3, 2016
|
/s/ Nicola Santoro, Jr.
|
|
Nicola Santoro, Jr.
|
|
Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(1)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
August 3, 2016
|
/s/ Michael Nierenberg
|
|
Michael Nierenberg
|
|
Chief Executive Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
August 3, 2016
|
/s/ Nicola Santoro, Jr.
|
|
Nicola Santoro, Jr.
|
|
Chief Financial Officer
|