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x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the fiscal year ended December 31, 2018
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or
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from
to
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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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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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Title of each class:
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Name of each exchange on which registered:
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Common Stock, $0.01 par value per share
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New York Stock Exchange (NYSE)
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Large accelerated filer
x
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Accelerated filer
¨
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Non-accelerated filer
¨
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Smaller reporting company
¨
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Emerging growth company
¨
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•
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reductions in the value of, or cash flows received from, our investments;
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•
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the quality and size of the investment pipeline and our ability to take advantage of investment opportunities at attractive risk-adjusted prices;
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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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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, Ditech, PHH and other third parties;
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•
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events, conditions or actions that might occur at Nationstar, Ocwen, OneMain, Ditech, PHH and other third parties, as well as the continued effect of prior events;
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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 mortgage servicing rights (“MSRs”), Excess MSRs, Servicer Advance Investments, RMBS, residential mortgage loans and consumer loan portfolios;
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•
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the risks related to our acquisition of Shellpoint Partners LLC and ownership of entities that perform origination and servicing operations;
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•
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the risks that default and recovery rates on our MSRs, Excess MSRs, Servicer Advance Investments, residential mortgage-backed securities (“RMBS”), 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 MSRs or Excess MSRs;
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•
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the risk that projected recapture rates on the loan pools underlying our MSRs or Excess MSRs are not achieved;
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•
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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 Servicer Advance Investments or MSRs;
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•
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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;
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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;
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•
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adverse changes in the financing markets we access affecting our ability to finance our investments on attractive terms, or at all;
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•
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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;
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•
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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;
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•
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the availability and terms of capital for future investments;
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•
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changes in economic conditions generally and the real estate and bond markets specifically;
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•
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competition within the finance and real estate industries;
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•
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the legislative/regulatory environment, including, but not limited to, the impact of the Dodd-Frank Act, U.S. government programs intended to grow the economy, future changes to tax laws, the federal conservatorship of Fannie Mae and Freddie Mac and legislation that permits modification of the terms of residential mortgage loans;
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•
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the risk that Government Sponsored Enterprises (“GSE”) or other regulatory initiatives or actions may adversely affect returns from investments in MSRs and Excess MSRs;
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•
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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;
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•
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our ability to maintain our exclusion from registration under the Investment Company Act of 1940 (the “1940 Act”) and the fact that maintaining such exclusion imposes limits on our operations;
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•
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the risks related to Home Loan Servicing Solutions (“HLSS”) liabilities that we have assumed;
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•
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the impact of current or future legal proceedings and regulatory investigations and inquiries;
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•
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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
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•
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effects of the completed merger of Fortress Investment Group LLC with affiliates of SoftBank Group Corp.
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•
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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;
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•
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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;
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•
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may apply standards of materiality in a way that is different from what may be viewed as material to you or other investors; and
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•
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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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NEW RESIDENTIAL INVESTMENT CORP.
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FORM 10-K
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INDEX
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Page
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Item 1.
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Item 1A.
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Item 1B.
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Item 2.
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Item 3.
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Item 4.
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Item 5.
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Item 6.
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Item 7.
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Item 7A.
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Item 8.
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Note 1.
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Note 2.
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Note 3.
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Note 4.
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Note 5.
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Note 6.
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Note 7.
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Note 8.
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Note 9.
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Note 10.
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Note 11.
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Note 12.
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Note 13.
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Note 14.
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Note 15.
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Note 16.
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Note 17.
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Note 18.
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Note 19.
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Item 9.
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Item 9A.
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Item 9B.
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Item 10.
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Item 11.
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Item 12.
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Item 13.
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Item 14.
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Item 15.
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Item 16.
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•
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Government-Sponsored Enterprise and Government Guaranteed Loans.
This category of residential mortgage loans includes “conforming loans,” which are first lien residential mortgage loans that are secured by single-family residences that meet or “conform” to the underwriting standards established by the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac,” and collectively with Fannie Mae, the “GSEs”). The conforming loan limit is established by statute and currently is $453,100 with certain exceptions for high-priced real estate markets. This category also includes residential mortgage loans issued to borrowers that do not meet conforming loan standards, but who qualify for a loan that is insured or guaranteed by the government through the Government National Mortgage Association (“Ginnie Mae” and, collectively with the GSEs, the “Agencies” (with each of Fannie Mae, Freddie Mac and Ginnie Mae an “Agency”)), primarily through federal programs operated by the Federal Housing Administration (“FHA”) and the Department of Veterans Affairs.
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•
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Non-GSE or Government Guaranteed Loans.
Residential mortgage loans that are not guaranteed by the GSEs or the government are generally referred to as “non-conforming loans” and fall into one of the following categories: jumbo, subprime, Alt-A, second lien or non-qualifying loans. The loans may be non-conforming due to various factors, including
|
•
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Jumbo
. Jumbo mortgage loans have original principal amounts that exceed the statutory conforming limit for GSE loans. Jumbo borrowers generally have strong credit histories and provide full loan documentation, including verification of income and assets.
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•
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Subprime
. Subprime mortgage loans are generally issued to borrowers with weak credit histories, who make low or no down payments on the properties they purchase or have limited documentation of their income or assets. Subprime borrowers generally pay higher interest rates and fees than prime borrowers.
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•
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Alt-A
. Alt-A mortgage loans are generally issued to borrowers with risk profiles that fall between prime and subprime. These loans have one or more high-risk features, such as the borrower having a high debt-to-income ratio, limited documentation verifying the borrower’s income or assets, or the option of making monthly payments that are lower than required for a fully amortizing loan. Alt-A mortgage loans generally have interest rates that fall between the interest rates on conforming loans and subprime loans.
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•
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Second Lien
. Second mortgages and home equity lines are often referred to as second liens and fall into a separate category of the residential mortgage market. These loans typically have higher interest rates than loans secured by first liens because the lender generally will only receive proceeds from a foreclosure of a property after the first lien holder is paid in full. In addition, these loans often feature higher loan-to-value ratios and are less secure than first lien mortgages.
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•
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Non-QM
. Non-QM loans are loans that do not meet the Qualified Mortgage rules per the Consumer Financial Protection Bureau. These loans commonly have features including, but not limited to, debt-to-income ratios exceeding 43%, interest only payment terms, loan terms exceeding 30 years and ability to repay based on stated income and asset verification. Non-QM loans are generally issued to borrowers that are self-employed, have high debt-to-income ratio or have high net worth with liquid assets.
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•
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Servicer Advances Receivable.
The outstanding Servicer Advances related to a specified pool of mortgage loans.
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•
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Servicer Advance Investments.
These investments are associated with specified pools of mortgage loans and include the related outstanding servicer advances, the requirement to purchase future servicer advances and the rights to the basic fee component of the related MSR. We have purchased Servicer Advance Investments on certain loan pools underlying our Excess MSRs.
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•
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Principal and Interest Advances
: Cash payments made by the servicer to cover scheduled payments of principal of, and interest on, a residential mortgage loan that have not been paid on a timely basis by the borrower.
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•
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Escrow Advances (Taxes and Insurance Advances)
: Cash payments made by the servicer to third parties on behalf of the borrower for real estate taxes and insurance premiums on the property that have not been paid on a timely basis by the borrower.
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•
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Foreclosure Advances
: Cash payments made by the servicer to third parties for the costs and expenses incurred in connection with the foreclosure, preservation and sale of the mortgaged property, including attorneys’ and other professional fees.
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•
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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;
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•
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re-securitizing or selling performing loans for a gain; and
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•
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retaining distressed loans to modify or liquidate over time at a premium to our basis (which results in increases in our portfolio of residential mortgage loans and REO).
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•
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“Servicing Related Assets”:
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◦
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Acquired and Originated MSRs, including mortgage servicing rights financing receivables (which are MSRs where our subsidiary, NRM, is the named servicer and we acquired the entire economic interest in the MSR but, solely for accounting purposes, the acquisition was not treated as a sale);
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◦
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Excess MSRs;
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◦
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Servicer Advance Investments (which include the related servicer advances receivable, the requirement to make future servicer advances, and the rights to receive the base fee portion of the related MSR, each of which on the loans underlying such investments); and
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◦
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Servicer advances receivable (and the requirement under our MSRs to make future servicer advances);
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•
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“Residential Securities and Loans”:
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◦
|
Real estate securities, or RMBS; and
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◦
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Residential mortgage loans; and
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•
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Consumer loans.
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Outstanding
Face Amount
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|
Amortized
Cost Basis
|
|
Percentage of
Total
Amortized
Cost Basis
|
|
Carrying Value
|
|
Weighted
Average Life
(years)
(A)
|
|||||||
Investments in:
|
|
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|||||||
Excess MSRs
(B)
|
$
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148,134,326
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|
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$
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460,458
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2.1
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%
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|
$
|
595,824
|
|
|
6.1
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MSRs
(B) (C)
|
258,462,703
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2,566,694
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11.7
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%
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2,884,100
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|
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6.5
|
|||
Mortgage Servicing Rights Financing Receivables
(B) (C)
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130,516,565
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|
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1,303,738
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|
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5.9
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%
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|
1,644,504
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|
|
6.8
|
|||
Servicer Advance Investments
(B) (D)
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620,050
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|
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721,801
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3.3
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%
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|
735,846
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|
5.7
|
|||
Agency RMBS
(E)
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2,613,395
|
|
|
2,657,917
|
|
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12.1
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%
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2,665,618
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|
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8.1
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|||
Non-Agency RMBS
(E)
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19,539,450
|
|
|
8,554,511
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39.0
|
%
|
|
8,970,963
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|
|
6.9
|
|||
Residential Mortgage Loans
|
4,806,115
|
|
|
4,475,029
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|
|
20.4
|
%
|
|
4,476,338
|
|
|
9.1
|
|||
Real Estate Owned
|
N/A
|
|
|
125,719
|
|
|
0.6
|
%
|
|
113,410
|
|
|
N/A
|
|||
Consumer Loans
|
1,072,577
|
|
|
1,076,871
|
|
|
4.9
|
%
|
|
1,072,202
|
|
|
3.5
|
|||
Consumer Loans, Equity Method Investees
|
231,560
|
|
|
N/A
|
|
|
N/A
|
|
|
38,294
|
|
|
1.3
|
|||
Total / Weighted Average
|
|
|
|
$
|
21,942,738
|
|
|
100.0
|
%
|
|
$
|
23,197,099
|
|
|
7.2
|
|
Reconciliation to GAAP total assets:
|
|
|
|
|
|
|
|
|
|
|||||||
Cash and restricted cash
|
|
|
|
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415,078
|
|
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|
||||||
Residential mortgage loans subject to repurchase
|
|
|
|
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121,602
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|
||||||
Servicer advances receivable
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|
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|
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3,277,796
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|
||||||
Trades receivable
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|
|
|
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3,925,198
|
|
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|
||||||
Deferred tax asset, net
|
|
|
|
|
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|
65,832
|
|
|
|
||||||
Other assets
|
|
|
|
|
|
|
688,408
|
|
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|
||||||
GAAP total assets
|
|
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|
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$
|
31,691,013
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(A)
|
Weighted average life is based on the timing of our expected principal reduction on the asset.
|
(B)
|
The outstanding face amount of Excess MSRs, MSRs, Mortgage Servicing Rights Financing Receivables, and Servicer Advance Investments is based on 100% of the face amount of the underlying residential mortgage loans and currently outstanding advances, as applicable.
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(C)
|
Represents MSRs where our subsidiary, NRM, is the named servicer.
|
(D)
|
The value of our Servicer Advance Investments also includes the rights to a portion of the related MSR.
|
(E)
|
Amortized cost basis is net of impairment.
|
•
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interest rate swap agreements, interest rate cap agreements, exchange-traded derivatives and swaptions;
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•
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puts and calls on securities or indices of securities;
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•
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U.S. Treasury securities and options on U.S. Treasury securities;
|
•
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TBAs; and
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•
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other similar transactions.
|
•
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rates of prepayment and repayment of the underlying loans;
|
•
|
potential fluctuations in prevailing interest rates and credit spreads;
|
•
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rates of delinquencies and defaults, and related loss severities;
|
•
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costs of engaging a subservicer to service MSRs;
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•
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market discount rates;
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•
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in the case of MSRs and Excess MSRs, recapture rates; and
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•
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in the case of Servicer Advance Investments and servicer advances receivable, the amount and timing of servicer advances and recoveries.
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•
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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 residential mortgage loan, while others are also reimbursable out of principal and interest collections with respect to all residential mortgage loans serviced under the related servicing agreement, and as a consequence, the timing of such reimbursement is highly uncertain);
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•
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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;
|
•
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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;
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•
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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
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•
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the ability of the related servicer to sell delinquent residential mortgage loans to third parties prior to a sale of the underlying real estate, resulting in the early reimbursement of outstanding unreimbursed servicer advances in respect of such residential mortgage loans.
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•
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its failure to comply with applicable laws and regulations;
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•
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its failure to comply with contractual and financing obligations and covenants;
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•
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a downgrade in, or failure to maintain, any of its servicer ratings;
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•
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its failure to maintain sufficient liquidity or access to sources of liquidity;
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•
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its failure to perform its loss mitigation obligations;
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•
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its failure to perform adequately in its external audits;
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•
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a failure in or poor performance of its operational systems or infrastructure;
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•
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regulatory or legal scrutiny or regulatory actions regarding any aspect of a servicer’s operations, including, but not limited to, servicing practices and foreclosure processes lengthening foreclosure timelines;
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•
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an Agency’s or a whole-loan owner’s transfer of servicing to another party; or
|
•
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any other reason.
|
•
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By regulatory actions taken against our Servicing Partners;
|
•
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By a default by one of our Servicing Partners under their debt agreements;
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•
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By downgrades in our Servicing Partners’ servicer ratings;
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•
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If our Servicing Partners fail to ensure their servicer advances comply with the terms of their PSAs;
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•
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If our Servicing Partners were terminated as servicer under certain PSAs;
|
•
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If our Servicing Partners become subject to a bankruptcy proceeding; or
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•
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If our Servicing Partners fail to meet their obligations or are deemed to be in default under the indenture governing notes issued under any servicer advance facility with respect to which such Servicing Partner is the servicer.
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•
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Was made to or for the benefit of a creditor;
|
•
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Was for or on account of an antecedent debt owed by such servicer before that transfer was made;
|
•
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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);
|
•
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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;
|
•
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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
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•
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Was a payment as to which none of the statutory defenses to a preference action apply.
|
•
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risks related to compliance with federal regulatory regimes, such as the Dodd-Frank Act, Equal Credit Opportunity Act, Fair Debt Collection Practices Act, Fair Credit Reporting Act, Truth in Lending Act, Real Estate Settlement Procedures
|
•
|
risks related to changes in prevailing interest rates;
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•
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risks related to employing, attracting and retaining highly skilled servicing, lending, finance, risk, compliance, technical and other personnel;
|
•
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risks related to originating loans, including, among others: maintaining the volume of the origination business; financing the origination business; compliance with FHA underwriting guidelines; and termination of government mortgage refinancing programs;
|
•
|
risks related to securitizing any loans originated and/or serviced by Shellpoint entities, including, among others: compliance with the terms of the agreements governing the securitized pools of loans, including any indemnification and repurchase provisions; reliance on programs administered by Fannie Mae, Freddie Mac, and Ginnie Mae that facilitate the issuance of mortgage-backed securities in the secondary market and the effect of any changes or modifications thereto; and federal and state legislative initiatives in securitizations, such as the risk retention requirements under the Dodd-Frank Act;
|
•
|
risks related to servicing loans, including, among others, those pertaining to: significant increases in delinquencies for the loans; compliance with the terms of related servicing agreements; financing related servicer advances; expenses related to servicing high risk loans; unrecovered or delayed recovery of servicing advances; a general risk in foreclosure rates; maintaining the size of the related servicing portfolio; and a downgrade in servicer ratings; and
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•
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risks related to the assumption of Shellpoint’s existing legal and regulatory proceedings, government investigations and inquiries as well as any similar proceedings, investigations and/or inquiries that may occur in the future as a result of conducting origination and servicing operations.
|
•
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interest rates and credit spreads;
|
•
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the availability of credit, including the price, terms and conditions under which it can be obtained;
|
•
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the quality, pricing and availability of suitable investments;
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•
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the ability to obtain accurate market-based valuations;
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•
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the ability of securities dealers to make markets in relevant securities and loans;
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•
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loan values relative to the value of the underlying real estate assets;
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•
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default rates on the loans underlying our investments and the amount of the related losses, and credit losses with respect to our investments;
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•
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prepayment and repayment rates, delinquency rates and legislative/regulatory changes with respect to our investments, and the timing and amount of servicer advances;
|
•
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the availability and cost of quality Servicing Partners, and advance, recovery and recapture rates;
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•
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competition;
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•
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the actual and perceived state of the real estate markets, bond markets, market for dividend-paying stocks and public capital markets generally;
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•
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unemployment rates; and
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•
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the attractiveness of other types of investments relative to investments in real estate or REITs generally.
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•
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the integration of the portfolio into our subservicer’s information technology platforms and servicing systems;
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•
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the quality of servicing during any interim servicing period after we purchase the portfolio but before our subservicer assumes servicing obligations from the seller or its agents;
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•
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the disruption to our ongoing businesses and distraction of our management teams from ongoing business concerns;
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•
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incomplete or inaccurate files and records;
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•
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the retention of existing customers;
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•
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the creation of uniform standards, controls, procedures, policies and information systems;
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•
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the occurrence of unanticipated expenses; and
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•
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potential unknown liabilities associated with the transactions, including legal liability related to origination and servicing prior to the acquisition.
|
•
|
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.
|
•
|
As of today, we rely on subservicers to subservice the mortgage loans underlying our MSRs on our behalf. We are generally responsible under the applicable Servicing Guidelines for any subservicer’s non-compliance with any such applicable Servicing Guideline. In addition, there is a risk that our current subservicers will be unwilling or unable to continue subservicing on our behalf on terms favorable to us in the future. In such a situation, we may be unable to locate a replacement subservicer on favorable terms.
|
•
|
NRM’s existing approvals from government-related entities or federal agencies are subject to compliance with their respective servicing guidelines, minimum capital requirements, reporting 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 existing approvals or pending applications by one or more entities or agencies.
|
•
|
NRM is presently licensed or otherwise eligible to hold MSRs in all states within the United States and the District of Columbia. 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.
|
•
|
Changes in minimum servicing compensation for Agency loans could occur at any time and could negatively impact the value of the income derived from any MSRs that we hold or may acquire in the future.
|
•
|
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.
|
•
|
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;
|
•
|
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
|
•
|
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.
|
•
|
a shift in our investor base;
|
•
|
our quarterly or annual earnings and cash flows, or those of other comparable companies;
|
•
|
actual or anticipated fluctuations in our operating results;
|
•
|
changes in accounting standards, policies, guidance, interpretations or principles;
|
•
|
announcements by us or our competitors of significant investments, acquisitions or dispositions;
|
•
|
the failure of securities analysts to cover our common stock;
|
•
|
changes in earnings estimates by securities analysts or our ability to meet those estimates;
|
•
|
market performance of affiliates and other counterparties with whom we conduct business;
|
•
|
the operating and stock price performance of other comparable companies;
|
•
|
our failure to qualify as a REIT, maintain our exemption under the 1940 Act or satisfy the NYSE listing requirements;
|
•
|
negative public perception of us, our competitors or industry;
|
•
|
overall market fluctuations; and
|
•
|
general economic conditions.
|
•
|
a classified board of directors with staggered three-year terms;
|
•
|
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;
|
•
|
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;
|
•
|
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;
|
•
|
our board of directors to determine the powers, preferences and rights of our preferred stock and to issue such preferred stock without stockholder approval;
|
•
|
advance notice requirements applicable to stockholders for director nominations and actions to be taken at annual meetings;
|
•
|
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
|
•
|
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.
|
|
|
Period Ended
|
||||||||||||||||
Index
|
|
5/16/2013
|
|
12/31/2014
|
|
12/31/2015
|
|
12/31/2016
|
|
12/31/2017
|
|
12/31/2018
|
||||||
New Residential Investment Corp.
|
|
100.00
|
|
|
111.19
|
|
|
119.90
|
|
|
177.47
|
|
|
226.72
|
|
|
203.10
|
|
NAREIT All REIT
|
|
|
|
121.66
|
|
|
124.44
|
|
|
135.99
|
|
|
148.60
|
|
|
142.50
|
|
|
Russell 2000
|
|
100.00
|
|
|
124.95
|
|
|
119.43
|
|
|
144.88
|
|
|
166.10
|
|
|
147.81
|
|
NAREIT Mortgage REIT
|
|
|
|
111.31
|
|
|
101.43
|
|
|
124.60
|
|
|
149.26
|
|
|
145.50
|
|
|
S&P 500
|
|
100.00
|
|
|
128.98
|
|
|
130.77
|
|
|
146.41
|
|
|
178.37
|
|
|
170.55
|
|
Plan Category
|
Number of
Securities to
be Issued
Upon
Exercise of
Outstanding
Options
|
|
Weighted
Average
Exercise
Price of
Outstanding
Options
|
|
Number of Securities Remaining Available for Future Issuance Under the 2013 Equity Compensation Plan
|
|
||||
Equity Compensation Plans Approved by Security Holders:
|
|
|
|
|
|
|
||||
Nonqualified Stock Option and Incentive Award Plan
|
23,440,783
|
|
|
$
|
15.10
|
|
|
14,826,054
|
|
|
Total
|
23,440,783
|
|
|
$
|
15.10
|
|
|
14,826,054
|
|
(A)
|
Equity Compensation Plans Not Approved by Security Holders:
|
|
|
|
|
|
|
||||
None
|
|
|
|
|
|
|
(A)
|
No award shall be granted on or after May 15, 2023 (but awards granted may extend beyond this date). The number of securities remaining available for future issuance is net of an aggregate of
167,946
shares of our common stock and
6,000
options awarded to our directors, the shares being awarded in lieu of contractual cash compensation. The number of securities remaining available for future issuance is adjusted on the first day of each fiscal year beginning during the ten-year term of the plan and in and after calendar year 2014, by a number of shares of our common stock equal to 10% of the number of shares of our common stock newly issued by us during the immediately preceding fiscal year (and, in the case of fiscal year 2013, after the effective date of the Plan). No adjustment was made on January 1, 2014. On January 1,
2019
,
2018
,
2017
and
2016
,
5,799,166
shares,
5,654,578
shares,
2,000,000
shares and
8,543,539
shares, respectively, were added to the number of securities remaining available for future issuance; all of these amounts have been included in the table above.
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2018
|
|
2017
|
|
2016
|
|
2015
|
|
2014
|
||||||||||
Statement of Income Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income
|
$
|
1,664,223
|
|
|
$
|
1,519,679
|
|
|
$
|
1,076,735
|
|
|
$
|
645,072
|
|
|
$
|
346,857
|
|
Interest expense
|
606,433
|
|
|
460,865
|
|
|
373,424
|
|
|
274,013
|
|
|
140,708
|
|
|||||
Net Interest Income
|
1,057,790
|
|
|
1,058,814
|
|
|
703,311
|
|
|
371,059
|
|
|
206,149
|
|
|||||
Impairment
|
90,641
|
|
|
86,092
|
|
|
87,980
|
|
|
24,384
|
|
|
11,282
|
|
|||||
Net interest income after impairment
|
967,149
|
|
|
972,722
|
|
|
615,331
|
|
|
346,675
|
|
|
194,867
|
|
|||||
Servicing revenue, net
|
528,595
|
|
|
424,349
|
|
|
118,169
|
|
|
—
|
|
|
—
|
|
|||||
Gain on sale of originated mortgage loans, net
|
89,017
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Other Income (Loss)
|
(44,257
|
)
|
|
207,786
|
|
|
62,337
|
|
|
42,029
|
|
|
375,088
|
|
|||||
Operating Expenses
|
609,404
|
|
|
422,577
|
|
|
174,210
|
|
|
117,823
|
|
|
104,899
|
|
|||||
Income Before Income Taxes
|
931,100
|
|
|
1,182,280
|
|
|
621,627
|
|
|
270,881
|
|
|
465,056
|
|
|||||
Income tax (benefit) expense
|
(73,431
|
)
|
|
167,628
|
|
|
38,911
|
|
|
(11,001
|
)
|
|
22,957
|
|
|||||
Net Income
|
$
|
1,004,531
|
|
|
$
|
1,014,652
|
|
|
$
|
582,716
|
|
|
$
|
281,882
|
|
|
$
|
442,099
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
40,564
|
|
|
$
|
57,119
|
|
|
$
|
78,263
|
|
|
$
|
13,246
|
|
|
$
|
89,222
|
|
Net Income Attributable to Common Stockholders
|
$
|
963,967
|
|
|
$
|
957,533
|
|
|
$
|
504,453
|
|
|
$
|
268,636
|
|
|
$
|
352,877
|
|
Net Income per Share of Common Stock, Basic
|
$
|
2.82
|
|
|
$
|
3.17
|
|
|
$
|
2.12
|
|
|
$
|
1.34
|
|
|
$
|
2.59
|
|
Net Income per Share of Common Stock, Diluted
|
$
|
2.81
|
|
|
$
|
3.15
|
|
|
$
|
2.12
|
|
|
$
|
1.32
|
|
|
$
|
2.53
|
|
Weighted Average Number of Shares of Common Stock Outstanding, Basic
|
341,268,923
|
|
|
302,238,065
|
|
|
238,122,665
|
|
|
200,739,809
|
|
|
136,472,865
|
|
|||||
Weighted Average Number of Shares of Common Stock Outstanding, Diluted
|
343,137,361
|
|
|
304,381,388
|
|
|
238,486,772
|
|
|
202,907,605
|
|
|
139,565,709
|
|
|||||
Dividends Declared per Share of Common Stock
|
$
|
2.00
|
|
|
$
|
1.98
|
|
|
$
|
1.84
|
|
|
$
|
1.75
|
|
|
$
|
1.58
|
|
|
December 31,
|
||||||||||||||||||
|
2018
|
|
2017
|
|
2016
|
|
2015
|
|
2014
|
||||||||||
Balance Sheet Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in:
|
|
|
|
|
|
|
|
|
|
||||||||||
Excess mortgage servicing rights, at fair value
|
$
|
447,860
|
|
|
$
|
1,173,713
|
|
|
$
|
1,399,455
|
|
|
$
|
1,581,517
|
|
|
$
|
417,733
|
|
Excess mortgage servicing rights, equity method investees, at fair value
|
147,964
|
|
|
171,765
|
|
|
194,788
|
|
|
217,221
|
|
|
330,876
|
|
|||||
Mortgage servicing rights, at fair value
|
2,884,100
|
|
|
1,735,504
|
|
|
659,483
|
|
|
—
|
|
|
—
|
|
|||||
Mortgage servicing rights financing receivables, at fair value
|
1,644,504
|
|
|
598,728
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Servicer advance investments, at fair value
|
735,846
|
|
|
4,027,379
|
|
|
5,706,593
|
|
|
7,426,794
|
|
|
3,270,839
|
|
|||||
Real estate and other securities, available-for-sale
|
11,636,581
|
|
|
8,071,140
|
|
|
5,073,858
|
|
|
2,501,881
|
|
|
2,463,163
|
|
|||||
Residential mortgage loans, held-for-investment
|
735,329
|
|
|
691,155
|
|
|
190,761
|
|
|
330,178
|
|
|
47,838
|
|
|||||
Residential mortgage loans, held-for-sale
|
932,480
|
|
|
1,725,534
|
|
|
696,665
|
|
|
776,681
|
|
|
1,126,439
|
|
|||||
Residential mortgage loans, held-for-sale, at fair value
|
2,808,529
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Real estate owned
|
113,410
|
|
|
128,295
|
|
|
59,591
|
|
|
50,574
|
|
|
61,933
|
|
|||||
Residential mortgage loans subject to repurchase
|
121,602
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Consumer loans, held-for-investment
|
1,072,202
|
|
|
1,374,263
|
|
|
1,799,486
|
|
|
—
|
|
|
—
|
|
|||||
Consumer loans, equity method investees
|
38,294
|
|
|
51,412
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Cash and cash equivalents
|
251,058
|
|
|
295,798
|
|
|
290,602
|
|
|
249,936
|
|
|
212,985
|
|
|||||
Total assets
|
31,691,013
|
|
|
22,213,562
|
|
|
18,399,529
|
|
|
15,192,722
|
|
|
8,089,244
|
|
|||||
Total debt
|
22,656,235
|
|
|
15,746,530
|
|
|
13,181,236
|
|
|
11,292,622
|
|
|
6,057,853
|
|
|||||
Total liabilities
|
25,602,718
|
|
|
17,417,400
|
|
|
14,931,352
|
|
|
12,206,142
|
|
|
6,239,319
|
|
|||||
Total New Residential stockholders’ equity
|
5,997,670
|
|
|
4,690,205
|
|
|
3,260,100
|
|
|
2,795,933
|
|
|
1,596,089
|
|
|||||
Noncontrolling interests in equity of consolidated subsidiaries
|
90,625
|
|
|
105,957
|
|
|
208,077
|
|
|
190,647
|
|
|
253,836
|
|
|||||
Total equity
|
6,088,295
|
|
|
4,796,162
|
|
|
3,468,177
|
|
|
2,986,580
|
|
|
1,849,925
|
|
|||||
Supplemental Balance Sheet Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares outstanding
|
369,104,429
|
|
|
307,361,309
|
|
|
250,773,117
|
|
|
230,471,202
|
|
|
141,434,905
|
|
|||||
Book value per share of common stock
|
$
|
16.25
|
|
|
$
|
15.26
|
|
|
$
|
13.00
|
|
|
$
|
12.13
|
|
|
$
|
11.28
|
|
Other Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Core earnings
(A)
|
$
|
815,158
|
|
|
$
|
861,381
|
|
|
$
|
510,821
|
|
|
$
|
388,756
|
|
|
$
|
219,261
|
|
(A)
|
We have four primary variables that impact our operating performance: (i) the current yield earned on our investments, (ii) the interest expense under the debt incurred to finance our investments, (iii) our operating expenses and taxes and (iv) our realized and unrealized gains or losses, including any impairment, on our investments. “Core earnings” is a non-GAAP measure of our operating performance, excluding the fourth variable above, and adjusts the earnings from the consumer loan investment to a level yield basis. Core earnings is used by management to evaluate our performance without taking into account: (i) realized and unrealized gains and losses, which although they represent a part of our recurring operations, are subject to significant variability and are generally limited to a potential indicator of future economic performance; (ii) incentive compensation paid to our Manager; (iii) non-capitalized transaction-related expenses; and (iv) deferred taxes, which are not representative of current operations.
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2018
|
|
2017
|
|
2016
|
|
2015
|
|
2014
|
||||||||||
Net income attributable to common stockholders
|
$
|
963,967
|
|
|
$
|
957,533
|
|
|
$
|
504,453
|
|
|
$
|
268,636
|
|
|
$
|
352,877
|
|
Impairment
|
90,641
|
|
|
86,092
|
|
|
87,980
|
|
|
24,384
|
|
|
11,282
|
|
|||||
Other Income adjustments:
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Income
|
|
|
|
|
|
|
|
|
|
||||||||||
Change in fair value of investments in excess mortgage servicing rights
|
58,656
|
|
|
(4,322
|
)
|
|
7,297
|
|
|
(38,643
|
)
|
|
(41,615
|
)
|
|||||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
(8,357
|
)
|
|
(12,617
|
)
|
|
(16,526
|
)
|
|
(31,160
|
)
|
|
(57,280
|
)
|
|||||
Change in fair value of investments in mortgage servicing rights financing receivables
|
(229,253
|
)
|
|
(109,584
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Change in fair value of servicer advance investments
|
89,332
|
|
|
(84,418
|
)
|
|
7,768
|
|
|
57,491
|
|
|
(84,217
|
)
|
|||||
Change in fair value of investments in residential mortgage loans
|
(73,515
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Gain on consumer loans investment
|
—
|
|
|
—
|
|
|
(9,943
|
)
|
|
(43,954
|
)
|
|
(92,020
|
)
|
|||||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
(71,250
|
)
|
|
—
|
|
|
—
|
|
|||||
(Gain) loss on settlement of investments, net
|
(103,842
|
)
|
|
(10,310
|
)
|
|
48,800
|
|
|
19,626
|
|
|
(31,297
|
)
|
|||||
Earnings from investments in consumer loans, equity method investees
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(53,840
|
)
|
|||||
Unrealized (gain) loss on derivative instruments
|
113,558
|
|
|
2,190
|
|
|
(5,774
|
)
|
|
3,538
|
|
|
8,847
|
|
|||||
Unrealized (gain) loss on other ABS
|
(10,283
|
)
|
|
(2,883
|
)
|
|
2,322
|
|
|
(879
|
)
|
|
—
|
|
|||||
(Gain) loss on transfer of loans to REO
|
(19,519
|
)
|
|
(22,938
|
)
|
|
(18,356
|
)
|
|
(2,065
|
)
|
|
(17,489
|
)
|
|||||
(Gain) loss on transfer of loans to other assets
|
1,977
|
|
|
(488
|
)
|
|
(2,938
|
)
|
|
690
|
|
|
—
|
|
|||||
(Gain) loss on Excess MSR recapture agreements
|
(979
|
)
|
|
(2,384
|
)
|
|
(2,802
|
)
|
|
(2,999
|
)
|
|
(1,157
|
)
|
|||||
(Gain) loss on Ocwen common stock
|
10,860
|
|
|
(5,346
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fee earned on deal termination
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,000
|
)
|
|||||
Other (income) loss
|
28,722
|
|
|
27,741
|
|
|
9,437
|
|
|
5,529
|
|
|
(20
|
)
|
|||||
Total Other Income Adjustments
|
(142,643
|
)
|
|
(225,359
|
)
|
|
(51,965
|
)
|
|
(32,826
|
)
|
|
(375,088
|
)
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Income and Impairment attributable to non-controlling interests
|
(22,247
|
)
|
|
(30,416
|
)
|
|
(26,303
|
)
|
|
(22,102
|
)
|
|
44,961
|
|
|||||
Change in fair value of investments in mortgage servicing rights
|
(65,670
|
)
|
|
(155,495
|
)
|
|
(103,679
|
)
|
|
—
|
|
|
—
|
|
|||||
(Gain) loss on settlement of mortgage loan origination derivative instruments
|
(1,234
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Gain (loss) on securitization of originated mortgage loans
|
8,757
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Non-capitalized transaction-related expenses
|
21,946
|
|
|
21,723
|
|
|
9,493
|
|
|
31,002
|
|
|
10,281
|
|
|||||
Incentive compensation to affiliate
|
94,900
|
|
|
81,373
|
|
|
42,197
|
|
|
16,017
|
|
|
54,334
|
|
|||||
Deferred taxes
|
(80,054
|
)
|
|
168,518
|
|
|
34,846
|
|
|
(6,633
|
)
|
|
16,421
|
|
|||||
Interest income on residential mortgage loans, held-for sale
|
13,374
|
|
|
13,623
|
|
|
18,356
|
|
|
22,484
|
|
|
—
|
|
|||||
Limit on RMBS discount accretion related to called deals
|
(58,581
|
)
|
|
(28,652
|
)
|
|
(30,233
|
)
|
|
(9,129
|
)
|
|
—
|
|
|||||
Adjust consumer loans to level yield
|
(21,181
|
)
|
|
(41,250
|
)
|
|
7,470
|
|
|
71,070
|
|
|
70,394
|
|
|||||
Core earnings of equity method investees:
|
|
|
|
|
|
|
|
|
|
||||||||||
Excess mortgage servicing rights
|
13,183
|
|
|
13,691
|
|
|
18,206
|
|
|
25,853
|
|
|
33,799
|
|
|||||
Core Earnings
|
$
|
815,158
|
|
|
$
|
861,381
|
|
|
$
|
510,821
|
|
|
$
|
388,756
|
|
|
$
|
219,261
|
|
|
Outstanding
Face Amount
|
|
Amortized
Cost Basis
|
|
Percentage of
Total
Amortized
Cost Basis
|
|
Carrying Value
|
|
Weighted
Average Life
(years)
(A)
|
|||||||
Investments in:
|
|
|
|
|
|
|
|
|
|
|||||||
Excess MSRs
(B)
|
$
|
148,134,326
|
|
|
$
|
460,458
|
|
|
2.1
|
%
|
|
$
|
595,824
|
|
|
6.1
|
MSRs
(B) (C)
|
258,462,703
|
|
|
2,566,694
|
|
|
11.7
|
%
|
|
2,884,100
|
|
|
6.5
|
|||
Mortgage Servicing Rights Financing Receivables
(B) (C)
|
130,516,565
|
|
|
1,303,738
|
|
|
5.9
|
%
|
|
1,644,504
|
|
|
6.8
|
|||
Servicer Advance Investments
(B) (D)
|
620,050
|
|
|
721,801
|
|
|
3.3
|
%
|
|
735,846
|
|
|
5.7
|
|||
Agency RMBS
(E)
|
2,613,395
|
|
|
2,657,917
|
|
|
12.1
|
%
|
|
2,665,618
|
|
|
8.1
|
|||
Non-Agency RMBS
(E)
|
19,539,450
|
|
|
8,554,511
|
|
|
39.0
|
%
|
|
8,970,963
|
|
|
6.9
|
|||
Residential Mortgage Loans
|
4,806,115
|
|
|
4,475,029
|
|
|
20.4
|
%
|
|
4,476,338
|
|
|
9.1
|
|||
Real Estate Owned
|
N/A
|
|
|
125,719
|
|
|
0.6
|
%
|
|
113,410
|
|
|
N/A
|
|||
Consumer Loans
|
1,072,577
|
|
|
1,076,871
|
|
|
4.9
|
%
|
|
1,072,202
|
|
|
3.5
|
|||
Consumer Loans, Equity Method Investees
|
231,560
|
|
|
N/A
|
|
|
N/A
|
|
|
38,294
|
|
|
1.3
|
|||
Total/Weighted Average
|
|
|
|
$
|
21,942,738
|
|
|
100.0
|
%
|
|
$
|
23,197,099
|
|
|
7.2
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Reconciliation to GAAP total assets:
|
|
|
|
|
|
|
|
|
|
|||||||
Cash and restricted cash
|
|
|
|
|
|
|
415,078
|
|
|
|
||||||
Residential mortgage loans subject to repurchase
|
|
|
|
|
|
|
121,602
|
|
|
|
||||||
Servicer advances receivable
|
|
|
|
|
|
|
3,277,796
|
|
|
|
||||||
Trades receivable
|
|
|
|
|
|
|
3,925,198
|
|
|
|
||||||
Deferred tax asset, net
|
|
|
|
|
|
|
65,832
|
|
|
|
||||||
Other assets
|
|
|
|
|
|
|
688,408
|
|
|
|
||||||
GAAP total assets
|
|
|
|
|
|
|
$
|
31,691,013
|
|
|
|
(A)
|
Weighted average life is based on the timing of expected principal reduction on the asset.
|
(B)
|
The outstanding face amount of Excess MSRs, MSRs, Mortgage Servicing Rights Financing Receivables, and Servicer Advance Investments is based on 100% of the face amount of the underlying residential mortgage loans and currently outstanding advances, as applicable.
|
(C)
|
Includes certain MSRs where our subsidiary, NRM, is the named servicer.
|
(D)
|
The value of our Servicer Advance Investments also includes the rights to a portion of the related MSR.
|
(E)
|
Amortized cost basis is net of impairment.
|
|
Current UPB (bn)
|
|
Weighted Average MSR (bps)
|
|
|
Carrying Value (mm)
|
|||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|||||
Agency
(A)
|
$
|
226.3
|
|
|
26
|
|
bps
|
|
$
|
2,506.7
|
|
Non-Agency
|
2.1
|
|
|
25
|
|
|
|
22.4
|
|
||
Ginnie Mae
|
30.0
|
|
|
33
|
|
|
|
355.0
|
|
||
Mortgage Servicing Rights Financing Receivables
|
|
|
|
|
|
|
|||||
Agency
|
42.3
|
|
|
27
|
|
|
|
434.1
|
|
||
Non-Agency
|
88.3
|
|
|
45
|
|
|
|
1,210.4
|
|
||
Total
|
$
|
389.0
|
|
|
31
|
|
bps
|
|
$
|
4,528.6
|
|
(A)
|
Represents Fannie Mae and Freddie Mac MSRs.
|
|
Collateral Characteristics
|
||||||||||||||||||||||||||||||||||||
|
Current Carrying Amount
|
|
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
|
||||||||||||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency
(F)
|
$
|
2,506,676
|
|
|
$
|
226,295,778
|
|
|
1,441,093
|
|
|
751
|
|
|
4.3
|
%
|
|
266
|
|
|
62
|
|
|
2.8
|
%
|
|
9.2
|
%
|
|
9.0
|
%
|
|
0.2
|
%
|
|
18.6
|
%
|
Non-Agency
|
22,438
|
|
|
2,143,212
|
|
|
4,910
|
|
|
758
|
|
|
3.9
|
%
|
|
305
|
|
|
40
|
|
|
6.0
|
%
|
|
8.4
|
%
|
|
0.5
|
%
|
|
7.8
|
%
|
|
—
|
%
|
||
Ginnie Mae
|
354,986
|
|
|
30,023,713
|
|
|
141,905
|
|
|
683
|
|
|
3.8
|
%
|
|
324
|
|
|
31
|
|
|
7.3
|
%
|
|
12.0
|
%
|
|
11.7
|
%
|
|
0.2
|
%
|
|
15.3
|
%
|
||
Mortgage Servicing Rights Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Agency
|
434,110
|
|
|
42,265,547
|
|
|
317,696
|
|
|
745
|
|
|
4.2
|
%
|
|
238
|
|
|
84
|
|
|
6.6
|
%
|
|
10.1
|
%
|
|
9.6
|
%
|
|
0.4
|
%
|
|
7.8
|
%
|
||
Non-Agency
|
1,210,394
|
|
|
88,251,018
|
|
|
633,281
|
|
|
647
|
|
|
4.5
|
%
|
|
308
|
|
|
157
|
|
|
15.5
|
%
|
|
10.5
|
%
|
|
7.3
|
%
|
|
3.3
|
%
|
|
—
|
%
|
||
Total
|
$
|
4,528,604
|
|
|
$
|
388,979,268
|
|
|
2,538,885
|
|
|
721
|
|
|
4.3
|
%
|
|
277
|
|
|
83
|
|
|
6.5
|
%
|
|
9.8
|
%
|
|
8.8
|
%
|
|
1.0
|
%
|
|
12.8
|
%
|
|
Collateral Characteristics
|
||||||||||||||||
|
Delinquency 30 Days
(G)
|
|
Delinquency 60 Days
(G)
|
|
Delinquency 90+ Days
(G)
|
|
Loans in Foreclosure
|
|
Real Estate Owned
|
|
Loans in Bankruptcy
|
||||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency
(F)
|
1.5
|
%
|
|
0.4
|
%
|
|
0.5
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
0.2
|
%
|
Non-Agency
|
1.0
|
%
|
|
0.2
|
%
|
|
0.3
|
%
|
|
0.7
|
%
|
|
—
|
%
|
|
0.1
|
%
|
Ginnie Mae
|
4.4
|
%
|
|
1.4
|
%
|
|
1.7
|
%
|
|
1.4
|
%
|
|
0.1
|
%
|
|
1.1
|
%
|
Mortgage Servicing Rights Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency
|
1.7
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
|
0.5
|
%
|
|
—
|
%
|
|
0.4
|
%
|
Non-Agency
|
8.3
|
%
|
|
5.1
|
%
|
|
7.7
|
%
|
|
4.1
|
%
|
|
1.7
|
%
|
|
2.7
|
%
|
Total
|
3.3
|
%
|
|
1.5
|
%
|
|
2.2
|
%
|
|
1.2
|
%
|
|
0.4
|
%
|
|
0.9
|
%
|
(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 when loans are refinanced or become delinquent.
|
(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)
|
Represents Fannie Mae and Freddie Mac 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.
|
|
|
|
MSR Component
(A)
|
|
|
|
Excess MSR
|
||||||||
|
Current UPB (bn)
|
|
Weighted Average MSR (bps)
|
|
Weighted Average Excess MSR (bps)
|
|
Interest in Excess MSR (%)
|
|
Carrying Value (mm)
|
||||||
Agency
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
52.4
|
|
|
29
|
|
bps
|
21
|
|
bps
|
32.5% - 66.7%
|
|
$
|
226.5
|
|
Recapture Agreements
|
—
|
|
|
29
|
|
|
22
|
|
|
32.5% - 66.7%
|
|
30.9
|
|
||
|
52.4
|
|
|
29
|
|
|
21
|
|
|
|
|
257.4
|
|
||
Non-Agency
(B)
|
|
|
|
|
|
|
|
|
|
||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
54.1
|
|
|
34
|
|
|
15
|
|
|
33.3% - 100.0%
|
|
$
|
172.7
|
|
Recapture Agreements
|
—
|
|
|
26
|
|
|
20
|
|
|
33.3% - 100.0%
|
|
17.8
|
|
||
|
54.1
|
|
|
33
|
|
|
15
|
|
|
|
|
190.5
|
|
||
Total/Weighted Average
|
$
|
106.5
|
|
|
31
|
|
bps
|
18
|
|
bps
|
|
|
$
|
447.9
|
|
(A)
|
The MSR is a weighted average as of
December 31, 2018
, 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 related Servicer Advance Investments, including the basic fee component of the related MSR (Note 6 to our Consolidated Financial Statements) on
$40.1 billion
UPB underlying these Excess MSRs.
|
|
|
|
|
MSR Component
(A)
|
|
|
|
|
|
|
|
||||||||||||
|
|
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
|
|
$
|
41.7
|
|
|
32
|
|
bps
|
21
|
|
bps
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
$
|
228.8
|
|
Recapture Agreements
|
|
—
|
|
|
33
|
|
|
23
|
|
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
40.4
|
|
||
Total/Weighted Average
|
|
$
|
41.7
|
|
|
32
|
|
bps
|
21
|
|
bps
|
|
|
|
|
|
|
|
$
|
269.2
|
|
(A)
|
The MSR is a weighted average as of
December 31, 2018
, 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
|
|
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
|
$
|
160,516
|
|
|
$
|
39,599,428
|
|
|
277,692
|
|
|
718
|
|
|
4.6
|
%
|
|
258
|
|
|
108
|
|
|
7.9
|
%
|
|
12.1
|
%
|
|
11.5
|
%
|
|
0.8
|
%
|
|
21.8
|
%
|
Recaptured Loans
|
65,936
|
|
|
12,768,862
|
|
|
75,569
|
|
|
724
|
|
|
4.3
|
%
|
|
284
|
|
|
36
|
|
|
0.6
|
%
|
|
8.8
|
%
|
|
8.6
|
%
|
|
0.3
|
%
|
|
29.8
|
%
|
||
Recapture Agreement
|
30,935
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||
|
$
|
257,387
|
|
|
$
|
52,368,290
|
|
|
353,261
|
|
|
719
|
|
|
4.6
|
%
|
|
265
|
|
|
89
|
|
|
6.1
|
%
|
|
11.3
|
%
|
|
10.7
|
%
|
|
0.6
|
%
|
|
23.5
|
%
|
Non-Agency
(F)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Original Pools
|
$
|
152,649
|
|
|
$
|
50,202,703
|
|
|
278,228
|
|
|
673
|
|
|
4.7
|
%
|
|
284
|
|
|
153
|
|
|
33.5
|
%
|
|
14.2
|
%
|
|
11.4
|
%
|
|
3.2
|
%
|
|
14.7
|
%
|
Recaptured Loans
|
20,064
|
|
|
3,855,370
|
|
|
17,252
|
|
|
741
|
|
|
4.2
|
%
|
|
289
|
|
|
24
|
|
|
2.8
|
%
|
|
8.1
|
%
|
|
8.1
|
%
|
|
—
|
%
|
|
30.8
|
%
|
||
Recapture Agreement
|
17,761
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||
|
$
|
190,474
|
|
|
$
|
54,058,073
|
|
|
295,480
|
|
|
678
|
|
|
4.7
|
%
|
|
285
|
|
|
145
|
|
|
31.3
|
%
|
|
13.9
|
%
|
|
11.2
|
%
|
|
3.0
|
%
|
|
15.3
|
%
|
Total/Weighted Average
(I)
|
$
|
447,861
|
|
|
$
|
106,426,363
|
|
|
648,741
|
|
|
698
|
|
|
4.6
|
%
|
|
275
|
|
|
118
|
|
|
18.9
|
%
|
|
12.7
|
%
|
|
11.0
|
%
|
|
1.9
|
%
|
|
19.1
|
%
|
|
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
|
%
|
|
1.2
|
%
|
|
0.9
|
%
|
|
0.9
|
%
|
|
0.2
|
%
|
|
0.2
|
%
|
Recaptured Loans
|
1.9
|
%
|
|
0.5
|
%
|
|
0.3
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
—
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.3
|
%
|
|
1.0
|
%
|
|
0.7
|
%
|
|
0.7
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
Non-Agency
(F)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original Pools
|
10.8
|
%
|
|
3.0
|
%
|
|
2.5
|
%
|
|
6.2
|
%
|
|
1.1
|
%
|
|
1.9
|
%
|
Recaptured Loans
|
1.4
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
10.1
|
%
|
|
2.8
|
%
|
|
2.4
|
%
|
|
5.8
|
%
|
|
1.0
|
%
|
|
1.8
|
%
|
Total/Weighted Average
(H)
|
6.8
|
%
|
|
1.9
|
%
|
|
1.6
|
%
|
|
3.3
|
%
|
|
0.6
|
%
|
|
1.0
|
%
|
(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 when loans are refinanced or become delinquent.
|
(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 related Servicer Advance Investments, including the basic fee component of the related MSR (Note 6 to our Consolidated Financial Statements) on
$40.1 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)
|
Weighted averages exclude collateral information for which collateral data was not available as of the report date.
|
|
Collateral Characteristics
|
|||||||||||||||||||||||||||||||||||||||
|
Current Carrying Amount
|
|
Current
Principal
Balance
|
|
New Residential 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
|
$
|
124,745
|
|
|
$
|
26,662,585
|
|
|
33.3
|
%
|
|
249,880
|
|
|
699
|
|
|
5.2
|
%
|
|
251
|
|
|
127
|
|
|
9.2
|
%
|
|
13.5
|
%
|
|
13.2
|
%
|
|
1.5
|
%
|
|
24.8
|
%
|
Recaptured Loans
|
104,034
|
|
|
15,045,378
|
|
|
33.3
|
%
|
|
105,322
|
|
|
708
|
|
|
4.3
|
%
|
|
278
|
|
|
42
|
|
|
0.6
|
%
|
|
10.0
|
%
|
|
9.6
|
%
|
|
0.5
|
%
|
|
39.0
|
%
|
||
Recapture Agreement
|
40,424
|
|
|
—
|
|
|
33.3
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
||
Total/Weighted Average
|
$
|
269,203
|
|
|
$
|
41,707,963
|
|
|
|
|
355,202
|
|
|
702
|
|
|
4.9
|
%
|
|
261
|
|
|
96
|
|
|
6.1
|
%
|
|
12.3
|
%
|
|
12.0
|
%
|
|
1.2
|
%
|
|
29.1
|
%
|
|
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
|
5.4
|
%
|
|
1.7
|
%
|
|
1.0
|
%
|
|
1.3
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
Recaptured Loans
|
3.3
|
%
|
|
0.9
|
%
|
|
0.5
|
%
|
|
0.4
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
Recapture Agreement
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
Total/Weighted Average
(G)
|
4.6
|
%
|
|
1.4
|
%
|
|
0.8
|
%
|
|
1.0
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
(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.
|
(G)
|
Weighted averages exclude collateral information for which collateral data was not available as of the report date.
|
|
December 31, 2018
|
|||||||||||||||||
|
Amortized Cost Basis
|
|
Carrying Value
(A)
|
|
UPB of Underlying Residential Mortgage Loans
|
|
Outstanding Servicer Advances
|
|
Servicer Advances to UPB of Underlying Residential Mortgage Loans
|
|||||||||
Servicer Advance Investments
|
|
|
|
|
|
|
|
|
|
|||||||||
Nationstar and SLS serviced pools
|
$
|
721,801
|
|
|
$
|
735,846
|
|
|
$
|
40,096,998
|
|
|
$
|
620,050
|
|
|
1.5
|
%
|
Total
|
$
|
721,801
|
|
|
$
|
735,846
|
|
|
$
|
40,096,998
|
|
|
$
|
620,050
|
|
|
1.5
|
%
|
(A)
|
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
|
|
|
|
|
|
|
Year Ended December 31, 2018
|
|
|
|
Loan-to-Value (“LTV”)
(A)
|
|
Cost of Funds
(B)
|
|||||||||||||
|
|
Weighted Average Discount Rate
|
|
Weighted Average Life (Years)
(C)
|
|
Change in Fair Value Recorded in Other Income
|
|
Face Amount of Notes and Bonds Payable
|
|
Gross
|
|
Net
(D)
|
|
Gross
|
|
Net
|
|||||||||
Servicer Advance Investments
(E)
|
|
5.9
|
%
|
|
5.7
|
|
$
|
(89,332
|
)
|
|
$
|
574,117
|
|
|
88.3
|
%
|
|
87.2
|
%
|
|
3.7
|
%
|
|
3.1
|
%
|
(A)
|
Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
|
(B)
|
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.
|
(C)
|
Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.
|
(D)
|
Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
|
(E)
|
The following types of advances are included in Servicer Advance Investments:
|
|
|
December 31, 2018
|
||
Principal and interest advances
|
|
$
|
108,317
|
|
Escrow advances (taxes and insurance advances)
|
|
238,349
|
|
|
Foreclosure advances
|
|
273,384
|
|
|
Total
|
|
$
|
620,050
|
|
|
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Percentage of Total Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value
(A)
|
|
Count
|
|
Weighted Average Life (Years)
|
|
3-Month CPR
|
|
Outstanding Repurchase Agreements
|
|||||||||||||||
Agency Specified Pools
|
|
$
|
2,613,395
|
|
|
$
|
2,657,917
|
|
|
100.0
|
%
|
|
$
|
7,744
|
|
|
$
|
(43
|
)
|
|
$
|
2,665,618
|
|
|
31
|
|
|
8.1
|
|
1.1
|
%
|
|
$
|
588,644
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
Net Interest Spread
(A)
|
||
Weighted Average Asset Yield
|
3.70
|
%
|
Weighted Average Funding Cost
|
2.66
|
%
|
Net Interest Spread
|
1.04
|
%
|
(A)
|
The Agency RMBS portfolio consists of
100.0%
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
|
|
$
|
19,539,450
|
|
|
$
|
8,554,511
|
|
|
$
|
517,861
|
|
|
$
|
(101,409
|
)
|
|
$
|
8,970,963
|
|
|
$
|
7,433,043
|
|
(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 2006
|
|
CCC-
|
|
391
|
|
|
$
|
2,197,417
|
|
|
$
|
1,645,005
|
|
|
19.6
|
%
|
|
$
|
1,790,985
|
|
|
13.0
|
%
|
|
0.7
|
%
|
|
7.3
|
|
|
3.8
|
%
|
2006
|
|
CC
|
|
147
|
|
|
3,319,048
|
|
|
2,115,520
|
|
|
25.1
|
%
|
|
2,239,836
|
|
|
6.6
|
%
|
|
1.4
|
%
|
|
7.5
|
|
|
2.9
|
%
|
|||
2007
|
|
CCC-
|
|
97
|
|
|
3,269,712
|
|
|
2,018,598
|
|
|
24.0
|
%
|
|
2,145,696
|
|
|
5.9
|
%
|
|
1.0
|
%
|
|
7.0
|
|
|
3.1
|
%
|
|||
2008 and later
|
|
A
|
|
255
|
|
|
10,611,427
|
|
|
2,632,908
|
|
|
31.3
|
%
|
|
2,671,333
|
|
|
22.8
|
%
|
|
0.3
|
%
|
|
6.2
|
|
|
3.7
|
%
|
|||
Total/Weighted
Average
|
|
B
|
|
890
|
|
|
$
|
19,397,604
|
|
|
$
|
8,412,031
|
|
|
100.0
|
%
|
|
$
|
8,847,850
|
|
|
12.4
|
%
|
|
0.8
|
%
|
|
6.9
|
|
|
3.4
|
%
|
|
|
Collateral Characteristics
(A) (G)
|
|||||||||||||
Vintage
(B)
|
|
Average Loan Age (years)
|
|
Collateral Factor
(H)
|
|
3-Month CPR
(I)
|
|
Delinquency
(J)
|
|
Cumulative Losses to Date
|
|||||
Pre 2006
|
|
14.0
|
|
|
0.08
|
|
|
10.3
|
%
|
|
10.7
|
%
|
|
13.2
|
%
|
2006
|
|
12.6
|
|
|
0.13
|
|
|
9.4
|
%
|
|
11.5
|
%
|
|
32.1
|
%
|
2007
|
|
11.9
|
|
|
0.23
|
|
|
10.9
|
%
|
|
12.1
|
%
|
|
38.5
|
%
|
2008 and later
|
|
7.8
|
|
|
0.88
|
|
|
9.0
|
%
|
|
1.5
|
%
|
|
1.2
|
%
|
Total/Weighted Average
|
|
11.2
|
|
|
0.38
|
|
|
9.8
|
%
|
|
8.4
|
%
|
|
20.3
|
%
|
(A)
|
Excludes
$56.8 million
face amount of bonds backed by consumer loans and
$85.0 million
face amount of bonds backed by corporate debt.
|
(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
252
bonds with a carrying value of
$722.1 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
December 31, 2018
.
|
(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
December 31, 2018
.
|
(F)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of
$299.7 million
and
$1.9 million
, respectively, for which no coupon payment is expected.
|
(G)
|
The weighted average loan size of the underlying collateral is
$200.7 thousand
.
|
(H)
|
The ratio of original UPB of loans still outstanding.
|
(I)
|
Three month average constant prepayment rate and default rates.
|
(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
|
5.63
|
%
|
Weighted Average Funding Cost
|
3.54
|
%
|
Net Interest Spread
|
2.09
|
%
|
(A)
|
The Non-Agency RMBS portfolio consists of
72.8%
floating rate securities and
27.2%
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
|
|
LTV
Ratio
(B)
|
|
Weighted Avg. Delinquency
(C)
|
|
Weighted Average FICO
(D)
|
|||||||||||
Performing Loans
(G) (J)
|
$
|
636,874
|
|
|
$
|
591,264
|
|
|
8,424
|
|
|
8.0
|
%
|
|
4.8
|
|
|
20.3
|
%
|
|
77.7
|
%
|
|
8.9
|
%
|
|
649
|
|
Purchased Credit Deteriorated Loans
(H)
|
191,497
|
|
|
144,065
|
|
|
1,556
|
|
|
7.6
|
%
|
|
3.1
|
|
|
16.4
|
%
|
|
84.6
|
%
|
|
71.5
|
%
|
|
596
|
|
||
Total Residential Mortgage Loans, held-for-investment
|
$
|
828,371
|
|
|
$
|
735,329
|
|
|
9,980
|
|
|
7.9
|
%
|
|
4.4
|
|
|
19.4
|
%
|
|
79.3
|
%
|
|
23.3
|
%
|
|
637
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Reverse Mortgage Loans
(E) (F)
|
$
|
13,807
|
|
|
$
|
6,557
|
|
|
37
|
|
|
8.1
|
%
|
|
4.8
|
|
|
10.6
|
%
|
|
142.5
|
%
|
|
67.8
|
%
|
|
N/A
|
|
Performing Loans
(G) (I)
|
408,724
|
|
|
413,883
|
|
|
7,144
|
|
|
4.4
|
%
|
|
3.9
|
|
|
56.6
|
%
|
|
61.3
|
%
|
|
9.0
|
%
|
|
670
|
|
||
Non-Performing Loans
(H) (I)
|
621,700
|
|
|
512,040
|
|
|
5,029
|
|
|
5.5
|
%
|
|
3.0
|
|
|
14.9
|
%
|
|
88.1
|
%
|
|
72.6
|
%
|
|
588
|
|
||
Total Residential Mortgage Loans, held-for-sale
|
$
|
1,044,231
|
|
|
$
|
932,480
|
|
|
12,210
|
|
|
5.1
|
%
|
|
3.4
|
|
|
31.2
|
%
|
|
78.3
|
%
|
|
47.6
|
%
|
|
621
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Acquired Loans
|
$
|
2,295,340
|
|
|
$
|
2,153,269
|
|
|
12,873
|
|
|
4.5
|
%
|
|
8.0
|
|
|
7.7
|
%
|
|
75.7
|
%
|
|
14.0
|
%
|
|
626
|
|
Originated Loans
|
638,173
|
|
|
655,260
|
|
|
2,307
|
|
|
5.2
|
%
|
|
28.5
|
|
|
96.3
|
%
|
|
80.0
|
%
|
|
3.8
|
%
|
|
714
|
|
||
Total Residential Mortgage Loans, held-for-sale, at fair value
(K)
|
$
|
2,933,513
|
|
|
$
|
2,808,529
|
|
|
15,180
|
|
|
4.6
|
%
|
|
12.5
|
|
|
27.0
|
%
|
|
76.6
|
%
|
|
11.8
|
%
|
|
645
|
|
(A)
|
The weighted average life is based on the expected timing of the receipt of cash flows.
|
(B)
|
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
|
(C)
|
Represents the percentage of the total principal balance that is 60+ days delinquent.
|
(D)
|
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
|
(E)
|
Represents a
70%
participation interest we hold in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB was
$0.5 million
at
December 31, 2018
. Approximately
54.9%
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)
|
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
|
(H)
|
Includes loans with evidence of credit deterioration since origination where it is probable that we will not collect all contractually required principal and interest payments. As of
December 31, 2018
, we have placed all Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (J) below.
|
(I)
|
Includes
$24.3 million
and
$51.9 million
UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
|
(J)
|
Includes
$122.3 million
UPB of non-agency mortgage loans underlying the SAFT 2013-1 securitization, which are carried at fair value based on New Residential’s election of the fair value option.
|
(K)
|
New Residential elected the fair value option to measure these loans at fair value on a recurring basis.
|
|
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)
|
|
12-Month CRR
(C)
|
|
12-Month CDR
(D)
|
|||||||||||||||
Consumer loans, held-for-investment
|
$
|
1,072,577
|
|
|
61.8
|
%
|
|
38.2
|
%
|
|
148,476
|
|
|
671
|
|
|
18.2
|
%
|
|
11.5
|
%
|
|
160
|
|
|
3.5
|
|
|
2.0
|
%
|
|
1.3
|
%
|
|
2.1
|
%
|
|
18.1
|
%
|
|
5.5
|
%
|
(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)
|
12-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.
|
(D)
|
12-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.
|
|
Unpaid Principal Balance
|
|
Interest in Consumer Loans
|
|
Carrying Value
|
|
Weighted Average Coupon
|
|
Weighted Average Expected Life (Years)
(A)
|
|
Weighted Average Delinquency
(B)
|
|||||||
December 31, 2018
(C)
|
$
|
231,560
|
|
|
25.0
|
%
|
|
$
|
231,560
|
|
|
14.2
|
%
|
|
1.3
|
|
0.4
|
%
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties.
|
(C)
|
Data as of November 30,
2018
as a result of the one month reporting lag.
|
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 and other securities, available-for-sale
|
|
Residential mortgage loans, held-for-investment
|
Excess MSRs, equity method investees
|
|
|
|
Residential mortgage loans, held-for-sale, at lower of cost or fair value
|
MSRs
|
|
|
|
Real estate owned (REO)
|
MSR Financing Receivables
|
|
|
|
Consumer loans, held-for-investment
|
Servicer Advance Investments
|
|
|
|
Consumer loans, equity method investees
|
Certain assets within Other Assets, primarily derivatives and equity investments
|
|
|
|
Servicer advances receivable
|
Residential mortgage loans, held-for-sale at fair value
|
|
|
|
Trades receivable
|
Certain loans within Residential mortgage loans, held-for-investments
|
|
|
|
Deferred tax asset, net
|
Certain debt within Notes and bonds payable
|
|
|
|
Other assets, except as described above
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
|||||||||||
|
2018
|
|
2017
|
|
Amount
|
|
%
|
|||||||
Interest income
|
$
|
1,664,223
|
|
|
$
|
1,519,679
|
|
|
$
|
144,544
|
|
|
9.5
|
%
|
Interest expense
|
606,433
|
|
|
460,865
|
|
|
145,568
|
|
|
31.6
|
%
|
|||
Net Interest Income
|
1,057,790
|
|
|
1,058,814
|
|
|
(1,024
|
)
|
|
(0.1
|
)%
|
|||
Impairment
|
|
|
|
|
|
|
|
|||||||
Other-than-temporary impairment (OTTI) on securities
|
30,017
|
|
|
10,334
|
|
|
19,683
|
|
|
190.5
|
%
|
|||
Valuation and loss provision (reversal) on loans and real estate owned
|
60,624
|
|
|
75,758
|
|
|
(15,134
|
)
|
|
(20.0
|
)%
|
|||
|
90,641
|
|
|
86,092
|
|
|
4,549
|
|
|
5.3
|
%
|
|||
Net interest income after impairment
|
967,149
|
|
|
972,722
|
|
|
(5,573
|
)
|
|
(0.6
|
)%
|
|||
Servicing revenue, net
|
528,595
|
|
|
424,349
|
|
|
104,246
|
|
|
24.6
|
%
|
|||
Gain on sale of originated mortgage loans, net
|
89,017
|
|
|
—
|
|
|
89,017
|
|
|
100.0
|
%
|
|||
Other Income
|
|
|
|
|
|
|
|
|||||||
Change in fair value of investments in excess mortgage servicing rights
|
(58,656
|
)
|
|
4,322
|
|
|
(62,978
|
)
|
|
(1,457.1
|
)%
|
|||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
8,357
|
|
|
12,617
|
|
|
(4,260
|
)
|
|
(33.8
|
)%
|
|||
Change in fair value of investments in mortgage servicing rights financing receivables
|
31,550
|
|
|
66,394
|
|
|
(34,844
|
)
|
|
(52.5
|
)%
|
|||
Change in fair value of servicer advance investments
|
(89,332
|
)
|
|
84,418
|
|
|
(173,750
|
)
|
|
(205.8
|
)%
|
|||
Change in fair value of investments in residential mortgage loans
|
73,515
|
|
|
—
|
|
|
73,515
|
|
|
100.0
|
%
|
|||
Gain (loss) on settlement of investments, net
|
103,842
|
|
|
10,310
|
|
|
93,532
|
|
|
907.2
|
%
|
|||
Earnings from investments in consumer loans, equity method investees
|
10,803
|
|
|
25,617
|
|
|
(14,814
|
)
|
|
(57.8
|
)%
|
|||
Other income (loss), net
|
(124,336
|
)
|
|
4,108
|
|
|
(128,444
|
)
|
|
(3,126.7
|
)%
|
|||
|
(44,257
|
)
|
|
207,786
|
|
|
(252,043
|
)
|
|
(121.3
|
)%
|
|||
Operating Expenses
|
|
|
|
|
|
|
|
|||||||
General and administrative expenses
|
231,579
|
|
|
67,159
|
|
|
164,420
|
|
|
244.8
|
%
|
|||
Management fee to affiliate
|
62,594
|
|
|
55,634
|
|
|
6,960
|
|
|
12.5
|
%
|
|||
Incentive compensation to affiliate
|
94,900
|
|
|
81,373
|
|
|
13,527
|
|
|
16.6
|
%
|
|||
Loan servicing expense
|
43,547
|
|
|
52,330
|
|
|
(8,783
|
)
|
|
(16.8
|
)%
|
|||
Subservicing expense
|
176,784
|
|
|
166,081
|
|
|
10,703
|
|
|
6.4
|
%
|
|||
|
609,404
|
|
|
422,577
|
|
|
186,827
|
|
|
44.2
|
%
|
|||
Income Before Income Taxes
|
931,100
|
|
|
1,182,280
|
|
|
(251,180
|
)
|
|
(21.2
|
)%
|
|||
Income tax (benefit) expense
|
(73,431
|
)
|
|
167,628
|
|
|
(241,059
|
)
|
|
(143.8
|
)%
|
|||
Net Income
|
$
|
1,004,531
|
|
|
$
|
1,014,652
|
|
|
$
|
(10,121
|
)
|
|
(1.0
|
)%
|
Noncontrolling Interests in Income of Consolidated
Subsidiaries
|
$
|
40,564
|
|
|
$
|
57,119
|
|
|
$
|
(16,555
|
)
|
|
(29.0
|
)%
|
Net Income Attributable to Common Stockholders
|
$
|
963,967
|
|
|
$
|
957,533
|
|
|
$
|
6,434
|
|
|
0.7
|
%
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2018
|
|
2017
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
31,298
|
|
|
$
|
(38,848
|
)
|
|
$
|
70,146
|
|
Changes in discount rates
|
|
43,887
|
|
|
165,496
|
|
|
(121,609
|
)
|
|||
Changes in other factors
|
|
(6,598
|
)
|
|
28,847
|
|
|
(35,445
|
)
|
|||
Total
|
|
$
|
68,587
|
|
|
$
|
155,495
|
|
|
$
|
(86,908
|
)
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2018
|
|
2017
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(20,350
|
)
|
|
$
|
(41,410
|
)
|
|
$
|
21,060
|
|
Changes in discount rates
|
|
—
|
|
|
41,526
|
|
|
(41,526
|
)
|
|||
Changes in other factors
|
|
(38,306
|
)
|
|
4,206
|
|
|
(42,512
|
)
|
|||
Total
|
|
$
|
(58,656
|
)
|
|
$
|
4,322
|
|
|
$
|
(62,978
|
)
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2018
|
|
2017
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(7,183
|
)
|
|
$
|
(3,420
|
)
|
|
$
|
(3,763
|
)
|
Changes in discount rates
|
|
—
|
|
|
4,840
|
|
|
(4,840
|
)
|
|||
Changes in other factors
|
|
15,540
|
|
|
11,197
|
|
|
4,343
|
|
|||
Total
|
|
$
|
8,357
|
|
|
$
|
12,617
|
|
|
$
|
(4,260
|
)
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2018
|
|
2017
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(22,164
|
)
|
|
$
|
(259
|
)
|
|
$
|
(21,905
|
)
|
Changes in discount rates
|
|
212,273
|
|
|
115,840
|
|
|
96,433
|
|
|||
Changes in other factors
|
|
39,927
|
|
|
(5,997
|
)
|
|
45,924
|
|
|||
Total
|
|
$
|
230,036
|
|
|
$
|
109,584
|
|
|
$
|
120,452
|
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2018
|
|
2017
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
1,629
|
|
|
$
|
(16,109
|
)
|
|
$
|
17,738
|
|
Changes in discount rates
|
|
(12,829
|
)
|
|
(128,336
|
)
|
|
115,507
|
|
|||
Changes in other factors
|
|
(78,132
|
)
|
|
228,863
|
|
|
(306,995
|
)
|
|||
Total
|
|
$
|
(89,332
|
)
|
|
$
|
84,418
|
|
|
$
|
(173,750
|
)
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
|||||||||||
|
2017
|
|
2016
|
|
Amount
|
|
%
|
|||||||
Interest income
|
$
|
1,519,679
|
|
|
$
|
1,076,735
|
|
|
$
|
442,944
|
|
|
41.1
|
%
|
Interest expense
|
460,865
|
|
|
373,424
|
|
|
87,441
|
|
|
23.4
|
%
|
|||
Net Interest Income
|
1,058,814
|
|
|
703,311
|
|
|
355,503
|
|
|
50.5
|
%
|
|||
Impairment
|
|
|
|
|
|
|
|
|||||||
Other-than-temporary impairment (OTTI) on securities
|
10,334
|
|
|
10,264
|
|
|
70
|
|
|
0.7
|
%
|
|||
Valuation and loss provision (reversal) on loans and real estate owned
|
75,758
|
|
|
77,716
|
|
|
(1,958
|
)
|
|
(2.5
|
)%
|
|||
|
86,092
|
|
|
87,980
|
|
|
(1,888
|
)
|
|
(2.1
|
)%
|
|||
Net interest income after impairment
|
972,722
|
|
|
615,331
|
|
|
357,391
|
|
|
58.1
|
%
|
|||
Servicing revenue, net
|
424,349
|
|
|
118,169
|
|
|
306,180
|
|
|
259.1
|
%
|
|||
Other Income
|
|
|
|
|
|
|
|
|||||||
Change in fair value of investments in excess mortgage servicing rights
|
4,322
|
|
|
(7,297
|
)
|
|
11,619
|
|
|
(159.2
|
)%
|
|||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
12,617
|
|
|
16,526
|
|
|
(3,909
|
)
|
|
(23.7
|
)%
|
|||
Change in fair value of investments in mortgage servicing rights financing receivables
|
66,394
|
|
|
—
|
|
|
66,394
|
|
|
100.0
|
%
|
|||
Change in fair value of servicer advance investments
|
84,418
|
|
|
(7,768
|
)
|
|
92,186
|
|
|
(1,186.7
|
)%
|
|||
Gain on consumer loans investment
|
—
|
|
|
9,943
|
|
|
(9,943
|
)
|
|
(100.0
|
)%
|
|||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
71,250
|
|
|
(71,250
|
)
|
|
(100.0
|
)%
|
|||
Gain (loss) on settlement of investments, net
|
10,310
|
|
|
(48,800
|
)
|
|
59,110
|
|
|
(121.1
|
)%
|
|||
Earnings from investments in consumer loans, equity method investees
|
25,617
|
|
|
—
|
|
|
25,617
|
|
|
100.0
|
%
|
|||
Other income (loss), net
|
4,108
|
|
|
28,483
|
|
|
(24,375
|
)
|
|
(85.6
|
)%
|
|||
|
207,786
|
|
|
62,337
|
|
|
145,449
|
|
|
233.3
|
%
|
|||
Operating Expenses
|
|
|
|
|
|
|
|
|||||||
General and administrative expenses
|
67,159
|
|
|
38,570
|
|
|
28,589
|
|
|
74.1
|
%
|
|||
Management fee to affiliate
|
55,634
|
|
|
41,610
|
|
|
14,024
|
|
|
33.7
|
%
|
|||
Incentive compensation to affiliate
|
81,373
|
|
|
42,197
|
|
|
39,176
|
|
|
92.8
|
%
|
|||
Loan servicing expense
|
52,330
|
|
|
44,001
|
|
|
8,329
|
|
|
18.9
|
%
|
|||
Subservicing expense
|
166,081
|
|
|
7,832
|
|
|
158,249
|
|
|
2,020.5
|
%
|
|||
|
422,577
|
|
|
174,210
|
|
|
248,367
|
|
|
142.6
|
%
|
|||
Income Before Income Taxes
|
1,182,280
|
|
|
621,627
|
|
|
560,653
|
|
|
90.2
|
%
|
|||
Income tax expense
|
167,628
|
|
|
38,911
|
|
|
128,717
|
|
|
330.8
|
%
|
|||
Net Income
|
$
|
1,014,652
|
|
|
$
|
582,716
|
|
|
$
|
431,936
|
|
|
74.1
|
%
|
Noncontrolling Interests in Income of Consolidated
Subsidiaries
|
$
|
57,119
|
|
|
$
|
78,263
|
|
|
$
|
(21,144
|
)
|
|
(27.0
|
)%
|
Net Income Attributable to Common Stockholders
|
$
|
957,533
|
|
|
$
|
504,453
|
|
|
$
|
453,080
|
|
|
89.8
|
%
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2017
|
|
2016
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(38,848
|
)
|
|
$
|
120,602
|
|
|
$
|
(159,450
|
)
|
Changes in discount rates
|
|
165,496
|
|
|
(1,767
|
)
|
|
167,263
|
|
|||
Changes in other factors
|
|
28,847
|
|
|
(15,156
|
)
|
|
44,003
|
|
|||
Total
|
|
$
|
155,495
|
|
|
$
|
103,679
|
|
|
$
|
51,816
|
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2017
|
|
2016
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(41,410
|
)
|
|
$
|
(2,080
|
)
|
|
$
|
(39,330
|
)
|
Changes in discount rates
|
|
41,526
|
|
|
—
|
|
|
41,526
|
|
|||
Changes in other factors
|
|
4,206
|
|
|
(5,217
|
)
|
|
9,423
|
|
|||
Total
|
|
$
|
4,322
|
|
|
$
|
(7,297
|
)
|
|
$
|
11,619
|
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2017
|
|
2016
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(3,420
|
)
|
|
$
|
2,669
|
|
|
$
|
(6,089
|
)
|
Changes in discount rates
|
|
4,840
|
|
|
—
|
|
|
4,840
|
|
|||
Changes in other factors
|
|
11,197
|
|
|
13,857
|
|
|
(2,660
|
)
|
|||
Total
|
|
$
|
12,617
|
|
|
$
|
16,526
|
|
|
$
|
(3,909
|
)
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2017
|
|
2016
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(259
|
)
|
|
$
|
—
|
|
|
$
|
(259
|
)
|
Changes in discount rates
|
|
115,840
|
|
|
—
|
|
|
115,840
|
|
|||
Changes in other factors
|
|
(5,997
|
)
|
|
—
|
|
|
(5,997
|
)
|
|||
Total
|
|
$
|
109,584
|
|
|
$
|
—
|
|
|
$
|
109,584
|
|
|
|
Year Ended December 31,
|
|
Increase (Decrease)
|
||||||||
|
|
2017
|
|
2016
|
|
Amount
|
||||||
Changes in interest rates and prepayment rates
|
|
$
|
(16,109
|
)
|
|
$
|
(23,806
|
)
|
|
$
|
7,697
|
|
Changes in discount rates
|
|
(128,336
|
)
|
|
7,864
|
|
|
(136,200
|
)
|
|||
Changes in other factors
|
|
228,863
|
|
|
8,174
|
|
|
220,689
|
|
|||
Total
|
|
$
|
84,418
|
|
|
$
|
(7,768
|
)
|
|
$
|
92,186
|
|
•
|
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.
|
|
December 31, 2018
|
||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Collateral
|
|||||||||||||||||
Debt Obligations/Collateral
|
|
Outstanding Face Amount
|
|
Carrying Value
(A)
|
|
Final Stated Maturity
(B)
|
|
Weighted Average Funding Cost
|
|
Weighted Average Life (Years)
|
|
Outstanding Face
|
|
Amortized Cost Basis
|
|
Carrying Value
|
|
Weighted Average Life (Years)
|
|||||||||||
Repurchase Agreements
(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Agency RMBS
(D)
|
|
$
|
4,346,070
|
|
|
$
|
4,346,070
|
|
|
Jan-19 to Feb-19
|
|
2.66
|
%
|
|
0.1
|
|
$
|
4,462,104
|
|
|
$
|
4,492,912
|
|
|
$
|
4,533,921
|
|
|
2.1
|
Non-Agency RMBS
(E)
|
|
7,434,950
|
|
|
7,434,785
|
|
|
Jan-19 to Aug-19
|
|
3.54
|
%
|
|
0.1
|
|
17,057,929
|
|
|
8,459,512
|
|
|
8,877,653
|
|
|
7.0
|
|||||
Residential Mortgage Loans
(F)
|
|
3,679,239
|
|
|
3,678,246
|
|
|
Feb-19 to Dec-20
|
|
4.24
|
%
|
|
0.6
|
|
4,498,036
|
|
|
4,222,366
|
|
|
4,218,615
|
|
|
11.9
|
|||||
Real Estate Owned
(G) (H)
|
|
94,897
|
|
|
94,868
|
|
|
Feb-19 to Dec-20
|
|
4.38
|
%
|
|
0.8
|
|
N/A
|
|
|
N/A
|
|
|
116,381
|
|
|
N/A
|
|||||
Total Repurchase Agreements
|
|
15,555,156
|
|
|
15,553,969
|
|
|
|
|
3.46
|
%
|
|
0.3
|
|
|
|
|
|
|
|
|
||||||||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Excess MSRs
(I)
|
|
297,759
|
|
|
297,563
|
|
|
Feb-20 to Jul-22
|
|
5.15
|
%
|
|
2.7
|
|
119,363,054
|
|
|
372,901
|
|
|
470,498
|
|
|
5.7
|
|||||
MSRs
(J)
|
|
2,368,885
|
|
|
2,360,856
|
|
|
Feb-19 to Jul-24
|
|
4.32
|
%
|
|
2.8
|
|
365,610,961
|
|
|
3,496,265
|
|
|
4,241,604
|
|
|
6.7
|
|||||
Servicer Advances
(K)
|
|
3,386,234
|
|
|
3,382,455
|
|
|
Mar-19 to Dec-21
|
|
3.52
|
%
|
|
1.7
|
|
3,824,237
|
|
|
3,999,597
|
|
|
4,013,642
|
|
|
1.5
|
|||||
Residential Mortgage Loans
(L)
|
|
122,816
|
|
|
122,465
|
|
|
Jan-19 to Jul-43
|
|
3.74
|
%
|
|
7.6
|
|
130,399
|
|
|
127,021
|
|
|
124,593
|
|
|
7.8
|
|||||
Consumer Loans
(M)
|
|
939,735
|
|
|
936,447
|
|
|
Dec-21 to Mar-24
|
|
3.41
|
%
|
|
2.8
|
|
1,072,431
|
|
|
1,076,725
|
|
|
1,072,056
|
|
|
3.5
|
|||||
Receivable from government agency
(L)
|
|
2,480
|
|
|
2,480
|
|
|
Jan-19
|
|
4.54
|
%
|
|
0.1
|
|
N/A
|
|
|
N/A
|
|
|
1,736
|
|
|
N/A
|
|||||
Total Notes and Bonds Payable
|
|
7,117,909
|
|
|
7,102,266
|
|
|
|
|
3.84
|
%
|
|
2.4
|
|
|
|
|
|
|
|
|
||||||||
Total/Weighted Average
|
|
$
|
22,673,065
|
|
|
$
|
22,656,235
|
|
|
|
|
3.58
|
%
|
|
0.9
|
|
|
|
|
|
|
|
|
(A)
|
Net of deferred financing costs.
|
(B)
|
All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid.
|
(C)
|
These repurchase agreements had approximately
$38.8 million
of associated accrued interest payable as of
December 31, 2018
.
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately
$3.9 billion
of related trade and other receivables.
|
(E)
|
$7,193.4 million
face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining
$241.5 million
face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This includes repurchase agreements of
$163.6 million
on retained servicer advance and consumer loan bonds.
|
(F)
|
All of these repurchase agreements have LIBOR-based floating interest rates.
|
(G)
|
All of these repurchase agreements have LIBOR-based floating interest rates.
|
(H)
|
Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which we have made or intend to make a claim on the FHA guarantee.
|
(I)
|
Includes
$197.8 million
of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
3.00%
, and includes
$100.0 million
of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
2.50%
. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes.
|
(J)
|
Includes: (A)
$645.3 million
of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin ranging from
2.25%
to 2.75%, and (B)
$1,723.6 million
of public notes with fixed interest rates ranging from
3.55%
to
4.62%
. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes.
|
(K)
|
$2.9 billion
face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from
2.0%
to
2.2%
. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM.
|
(L)
|
Represents: (i) a
$7.7 million
note payable to Nationstar that bears interest equal to one-month LIBOR plus
2.88%
, and (ii)
$117.0 million
fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from
3.50%
to
3.76%
(see Note 12 for details).
|
(M)
|
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties:
$671.0 million
UPB of Class A notes with a coupon of
3.05%
and a stated maturity date in November 2023;
$210.8 million
UPB of Class B notes with a coupon of
4.10%
and a stated maturity date in March 2024;
$18.3 million
UPB of Class C-1 notes with a coupon of
5.63%
and a stated maturity date in March 2024;
$18.3 million
UPB of Class C-2 notes with a coupon of
5.63%
and a stated maturity date in March 2024. Also includes a
$21.3 million
face amount note which bears interest equal to
4.00%
.
|
|
|
|
Year Ended December 31, 2018
|
|||||||||||
|
Outstanding
Balance at December 31, 2018
|
|
Average Daily Amount Outstanding
(A)
|
|
Maximum Amount Outstanding
|
|
Weighted Average Daily Interest Rate
|
|||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
|||||||
Agency RMBS
|
$
|
4,346,070
|
|
|
$
|
2,135,798
|
|
|
$
|
4,346,070
|
|
|
2.15
|
%
|
Non-Agency RMBS
|
7,434,950
|
|
|
5,942,055
|
|
|
7,540,460
|
|
|
3.31
|
%
|
|||
Residential mortgage loans
|
3,597,880
|
|
|
1,422,363
|
|
|
3,617,289
|
|
|
4.00
|
%
|
|||
Real estate owned
|
94,414
|
|
|
82,293
|
|
|
137,095
|
|
|
4.00
|
%
|
|||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|||||||
MSRs
|
645,319
|
|
|
389,400
|
|
|
749,520
|
|
|
4.35
|
%
|
|||
Servicer advances
|
877,335
|
|
|
366,242
|
|
|
905,012
|
|
|
3.15
|
%
|
|||
Residential mortgage loans
|
5,417
|
|
|
6,153
|
|
|
7,597
|
|
|
4.53
|
%
|
|||
Real estate owned
|
2,480
|
|
|
2,333
|
|
|
3,231
|
|
|
4.54
|
%
|
|||
Total/Weighted Average
|
$
|
17,003,865
|
|
|
$
|
10,346,637
|
|
|
|
|
|
3.19
|
%
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
Average Daily Amount Outstanding
(A)
|
||||||||||||||
|
Three Months Ended
|
||||||||||||||
|
March 31, 2018
|
|
June 30, 2018
|
|
September 30, 2018
|
|
December 31, 2018
|
||||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
$
|
1,280,639
|
|
|
$
|
1,165,909
|
|
|
$
|
2,639,286
|
|
|
$
|
3,428,226
|
|
Non-Agency RMBS
|
4,946,706
|
|
|
5,259,463
|
|
|
6,094,029
|
|
|
7,444,959
|
|
||||
Residential mortgage loans
|
1,178,834
|
|
|
1,617,382
|
|
|
2,154,943
|
|
|
1,675,353
|
|
||||
Real estate owned
|
102,198
|
|
|
85,368
|
|
|
73,656
|
|
|
68,416
|
|
|
Average Daily Amount Outstanding
(A)
|
||||||||||||||
|
Three Months Ended
|
||||||||||||||
|
March 31, 2017
|
|
June 30, 2017
|
|
September 30, 2017
|
|
December 31, 2017
|
||||||||
Repurchase Agreements
|
|
|
|
|
|
|
|
||||||||
Agency RMBS
|
$
|
1,905,559
|
|
|
$
|
2,531,373
|
|
|
$
|
1,961,597
|
|
|
$
|
1,900,271
|
|
Non-Agency RMBS
|
2,891,179
|
|
|
3,713,734
|
|
|
4,319,758
|
|
|
4,584,859
|
|
||||
Residential mortgage loans
|
785,283
|
|
|
1,020,082
|
|
|
1,170,488
|
|
|
1,596,385
|
|
||||
Real estate owned
|
92,169
|
|
|
83,235
|
|
|
75,870
|
|
|
102,464
|
|
(A)
|
Represents the average for the period the debt was outstanding.
|
Servicer Advance Note Amount
|
|
Revolving Period Ends
(A)
|
||
$
|
514,337
|
|
|
March 2019
|
95,227
|
|
|
June 2019
|
|
250,000
|
|
|
October 2019
|
|
17,771
|
|
|
November 2019
|
|
395,336
|
|
|
February 2020
|
|
376,246
|
|
|
December 2020
|
|
374,207
|
|
|
February 2021
|
|
599,906
|
|
|
March 2021
|
|
399,999
|
|
|
October 2021
|
|
363,205
|
|
|
December 2021
|
|
$
|
3,386,234
|
|
|
|
(A)
|
On the earlier of this date or the occurrence of an early amortization event or a target amortization event.
|
Transaction
|
|
Outstanding
Note Amount
|
|
Maturity Date
|
||
PLS1
|
|
$
|
100,000
|
|
|
February 2020
(A)
|
Agency MSRs Loan
|
|
197,759
|
|
|
July 2022
(B)
|
|
|
|
$
|
297,759
|
|
|
|
(A)
|
The PLS1 Excess Spread Notes may be paid off on any payment date occurring on or after December
2018
upon 180 days written notice from the Borrowers or Noteholders.
|
(B)
|
The Agency MSRs Loan has a loan repayment date of
July 11, 2022
.
|
Year
|
|
Nonrecourse
(A)
|
|
Recourse
(B)
|
|
Total
|
||||||
2019
|
|
$
|
879,241
|
|
|
$
|
16,124,611
|
|
|
$
|
17,003,852
|
|
2020
|
|
771,582
|
|
|
181,854
|
|
|
953,436
|
|
|||
2021
|
|
1,758,663
|
|
|
736,368
|
|
|
2,495,031
|
|
|||
2022
|
|
—
|
|
|
197,759
|
|
|
197,759
|
|
|||
2023
|
|
671,013
|
|
|
487,323
|
|
|
1,158,336
|
|
|||
2024 and thereafter
|
|
364,770
|
|
|
499,881
|
|
|
864,651
|
|
|||
|
|
$
|
4,445,269
|
|
|
$
|
18,227,796
|
|
|
$
|
22,673,065
|
|
(A)
|
Includes repurchase agreements and notes and bonds payable of
$1.9 million
and
$4,443.4 million
, respectively.
|
(B)
|
Includes repurchase agreements and notes and bonds payable of
$15,553.2 million
and
$2,674.5 million
, respectively.
|
Debt Obligations/ Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
Repurchase Agreements
|
|
|
|
|
|
|
||||||
Residential mortgage loans and REO
|
|
$
|
5,575,197
|
|
|
$
|
3,774,136
|
|
|
$
|
1,801,061
|
|
Non-Agency RMBS
|
|
250,000
|
|
|
241,535
|
|
|
8,465
|
|
|||
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
Excess MSRs
|
|
150,000
|
|
|
100,000
|
|
|
50,000
|
|
|||
MSRs
|
|
990,000
|
|
|
645,319
|
|
|
344,681
|
|
|||
Servicer advances
(A)
|
|
1,678,541
|
|
|
1,372,576
|
|
|
305,965
|
|
|||
Consumer loans
|
|
150,000
|
|
|
21,303
|
|
|
128,697
|
|
|||
|
|
$
|
8,793,738
|
|
|
$
|
6,154,869
|
|
|
$
|
2,638,869
|
|
(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
0.1%
fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of
$86.3 million
.
|
Held by the Manager
|
6,961,222
|
|
Issued to the Manager and subsequently transferred to certain of the Manager’s employees
|
1,530,916
|
|
Issued to the independent directors
|
6,000
|
|
Total
|
8,498,138
|
|
|
Total Accumulated Other Comprehensive Income
|
||
Accumulated other comprehensive income, December 31, 2017
|
$
|
364,467
|
|
Net unrealized gain (loss) on securities
|
(7,397
|
)
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
59,953
|
|
|
Accumulated other comprehensive income, December 31, 2018
|
$
|
417,023
|
|
Common Dividends Declared for the Period Ended
|
|
Paid/Payable
|
|
Amount Per Share
|
||
March 31, 2016
|
|
April 2016
|
|
$
|
0.46
|
|
June 30, 2016
|
|
July 2016
|
|
$
|
0.46
|
|
September 30, 2016
|
|
October 2016
|
|
$
|
0.46
|
|
December 31, 2016
|
|
January 2017
|
|
$
|
0.46
|
|
March 31, 2017
|
|
April 2017
|
|
$
|
0.48
|
|
June 30, 2017
|
|
July 2017
|
|
$
|
0.50
|
|
September 30, 2017
|
|
October 2017
|
|
$
|
0.50
|
|
December 31, 2017
|
|
January 2018
|
|
$
|
0.50
|
|
March 22, 2018
|
|
April 2018
|
|
$
|
0.50
|
|
June 21, 2018
|
|
July 2018
|
|
$
|
0.50
|
|
September 20, 2018
|
|
October 2018
|
|
$
|
0.50
|
|
December 20, 2018
|
|
January 2019
|
|
$
|
0.50
|
|
Contract
|
|
Terms
|
|
|
|
Debt Obligations
|
|
|
|
|
|
Repurchase Agreements
|
|
Described under Note 11 to our Consolidated Financial Statements.
|
|
|
|
Notes and Bonds Payable
|
|
Described under Note 11 to our Consolidated Financial Statements.
|
|
|
|
Other Contractual Obligations
|
|
|
|
|
|
Management Agreement
|
|
For its services, our Manager is entitled to management fees, incentive fees, and reimbursement for certain expenses, as defined in, and in accordance with the terms of, the Management Agreement. Such terms are described in Note 15 to our Consolidated Financial Statements.
|
|
|
|
Interest Rate Swaps
|
|
Described under Note 10 to our Consolidated Financial Statements.
|
|
Fixed and Determinable Payments Due by Period
|
||||||||||||||||||
Contract
|
2019
|
|
2020 - 2021
|
|
2022 - 2023
|
|
Thereafter
|
|
Total
|
||||||||||
Debt Obligations
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase Agreements
(A)
|
$
|
15,616,295
|
|
|
$
|
85,150
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,701,445
|
|
Notes and Bonds Payable
(A)
|
1,758,594
|
|
|
3,690,851
|
|
|
1,759,789
|
|
|
716,066
|
|
|
7,925,300
|
|
|||||
Other Contractual Obligations
|
|
|
|
|
|
|
|
|
|
||||||||||
Management Agreement
(B)
|
164,684
|
|
|
139,568
|
|
|
139,568
|
|
|
1,744,602
|
|
|
2,188,422
|
|
|||||
Total
|
$
|
17,539,573
|
|
|
$
|
3,915,569
|
|
|
$
|
1,899,357
|
|
|
$
|
2,460,668
|
|
|
$
|
25,815,167
|
|
(A)
|
Interest is included based on the expected LIBOR curve that existed at
December 31, 2018
and the scheduled maturities of our debt obligations.
|
(B)
|
Amounts reflect management fees and full expense reimbursements for the next 30 years, assuming no change in gross equity. Incentive fee is included for the amount currently outstanding as of
December 31, 2018
.
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2018
|
|
2017
|
|
2016
|
||||||
Net income attributable to common stockholders
|
|
$
|
963,967
|
|
|
$
|
957,533
|
|
|
$
|
504,453
|
|
Impairment
|
|
90,641
|
|
|
86,092
|
|
|
87,980
|
|
|||
Other Income adjustments:
|
|
|
|
|
|
|
||||||
Other Income
|
|
|
|
|
|
|
||||||
Change in fair value of investments in excess mortgage servicing rights
|
|
58,656
|
|
|
(4,322
|
)
|
|
7,297
|
|
|||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
|
(8,357
|
)
|
|
(12,617
|
)
|
|
(16,526
|
)
|
|||
Change in fair value of investments in mortgage servicing rights financing receivables
|
|
(229,253
|
)
|
|
(109,584
|
)
|
|
—
|
|
|||
Change in fair value of servicer advance investments
|
|
89,332
|
|
|
(84,418
|
)
|
|
7,768
|
|
|||
Change in fair value of investments in residential mortgage loans
|
|
(73,515
|
)
|
|
—
|
|
|
—
|
|
|||
Gain on consumer loans investment
|
|
—
|
|
|
—
|
|
|
(9,943
|
)
|
|||
Gain on remeasurement of consumer loans investment
|
|
—
|
|
|
—
|
|
|
(71,250
|
)
|
|||
(Gain) loss on settlement of investments, net
|
|
(103,842
|
)
|
|
(10,310
|
)
|
|
48,800
|
|
|||
Unrealized (gain) loss on derivative instruments
|
|
113,558
|
|
|
2,190
|
|
|
(5,774
|
)
|
|||
Unrealized (gain) loss on other ABS
|
|
(10,283
|
)
|
|
(2,883
|
)
|
|
2,322
|
|
|||
(Gain) loss on transfer of loans to REO
|
|
(19,519
|
)
|
|
(22,938
|
)
|
|
(18,356
|
)
|
|||
(Gain) loss on transfer of loans to other assets
|
|
1,977
|
|
|
(488
|
)
|
|
(2,938
|
)
|
|||
(Gain) loss on Excess MSR recapture agreements
|
|
(979
|
)
|
|
(2,384
|
)
|
|
(2,802
|
)
|
|||
(Gain) loss on Ocwen common stock
|
|
10,860
|
|
|
(5,346
|
)
|
|
—
|
|
|||
Other (income) loss
|
|
28,722
|
|
|
27,741
|
|
|
9,437
|
|
|||
Total Other Income Adjustments
|
|
(142,643
|
)
|
|
(225,359
|
)
|
|
(51,965
|
)
|
|||
|
|
|
|
|
|
|
||||||
Other Income and Impairment attributable to non-controlling interests
|
|
(22,247
|
)
|
|
(30,416
|
)
|
|
(26,303
|
)
|
|||
Change in fair value of investments in mortgage servicing rights
|
|
(65,670
|
)
|
|
(155,495
|
)
|
|
(103,679
|
)
|
|||
(Gain) loss on settlement of mortgage loan origination derivative instruments
|
|
(1,234
|
)
|
|
—
|
|
|
—
|
|
|||
Gain (loss) on securitization of originated mortgage loans
|
|
8,757
|
|
|
—
|
|
|
—
|
|
|||
Non-capitalized transaction-related expenses
|
|
21,946
|
|
|
21,723
|
|
|
9,493
|
|
|||
Incentive compensation to affiliate
|
|
94,900
|
|
|
81,373
|
|
|
42,197
|
|
|||
Deferred taxes
|
|
(80,054
|
)
|
|
168,518
|
|
|
34,846
|
|
|||
Interest income on residential mortgage loans, held-for sale
|
|
13,374
|
|
|
13,623
|
|
|
18,356
|
|
|||
Limit on RMBS discount accretion related to called deals
|
|
(58,581
|
)
|
|
(28,652
|
)
|
|
(30,233
|
)
|
|||
Adjust consumer loans to level yield
|
|
(21,181
|
)
|
|
(41,250
|
)
|
|
7,470
|
|
|||
Core earnings of equity method investees:
|
|
|
|
|
|
|
||||||
Excess mortgage servicing rights
|
|
13,183
|
|
|
13,691
|
|
|
18,206
|
|
|||
Core Earnings
|
|
$
|
815,158
|
|
|
$
|
861,381
|
|
|
$
|
510,821
|
|
Fair value at December 31, 2018
|
|
$
|
257,387
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
||||||||
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
278,453
|
|
|
$
|
267,497
|
|
|
$
|
248,045
|
|
|
$
|
239,382
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
21,066
|
|
|
$
|
10,110
|
|
|
$
|
(9,342
|
)
|
|
$
|
(18,005
|
)
|
%
|
|
8.2
|
%
|
|
3.9
|
%
|
|
(3.6
|
)%
|
|
(7.0
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
276,045
|
|
|
$
|
266,509
|
|
|
$
|
248,675
|
|
|
$
|
240,346
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
18,658
|
|
|
$
|
9,122
|
|
|
$
|
(8,712
|
)
|
|
$
|
(17,041
|
)
|
%
|
|
7.2
|
%
|
|
3.5
|
%
|
|
(3.4
|
)%
|
|
(6.6
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
259,354
|
|
|
$
|
258,343
|
|
|
$
|
256,322
|
|
|
$
|
255,311
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
1,967
|
|
|
$
|
956
|
|
|
$
|
(1,065
|
)
|
|
$
|
(2,076
|
)
|
%
|
|
0.8
|
%
|
|
0.4
|
%
|
|
(0.4
|
)%
|
|
(0.8
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
250,729
|
|
|
$
|
254,028
|
|
|
$
|
260,820
|
|
|
$
|
264,317
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
(6,658
|
)
|
|
$
|
(3,359
|
)
|
|
$
|
3,433
|
|
|
$
|
6,930
|
|
%
|
|
(2.6
|
)%
|
|
(1.3
|
)%
|
|
1.3
|
%
|
|
2.7
|
%
|
Fair value at December 31, 2018
|
|
$
|
2,940,786
|
|
|
|
|
|
|
|
||||||
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
3,167,638
|
|
|
$
|
3,049,942
|
|
|
$
|
2,839,400
|
|
|
$
|
2,744,963
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
226,852
|
|
|
$
|
109,156
|
|
|
$
|
(101,386
|
)
|
|
$
|
(195,823
|
)
|
%
|
|
7.7
|
%
|
|
3.7
|
%
|
|
(3.4
|
)%
|
|
(6.7
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
3,144,885
|
|
|
$
|
3,040,255
|
|
|
$
|
2,846,294
|
|
|
$
|
2,756,416
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
204,099
|
|
|
$
|
99,469
|
|
|
$
|
(94,492
|
)
|
|
$
|
(184,370
|
)
|
%
|
|
6.9
|
%
|
|
3.4
|
%
|
|
(3.2
|
)%
|
|
(6.3
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
2,963,388
|
|
|
$
|
2,952,100
|
|
|
$
|
2,929,524
|
|
|
$
|
2,918,235
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
22,602
|
|
|
$
|
11,314
|
|
|
$
|
(11,262
|
)
|
|
$
|
(22,551
|
)
|
%
|
|
0.8
|
%
|
|
0.4
|
%
|
|
(0.4
|
)%
|
|
(0.8
|
)%
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
Estimated fair value
|
|
$
|
2,881,857
|
|
|
$
|
2,911,330
|
|
|
$
|
2,970,290
|
|
|
$
|
2,999,783
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
Amount
|
|
$
|
(58,929
|
)
|
|
$
|
(29,456
|
)
|
|
$
|
29,504
|
|
|
$
|
58,997
|
|
%
|
|
(2.0
|
)%
|
|
(1.0
|
)%
|
|
1.0
|
%
|
|
2.0
|
%
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Assets
|
|
|
|
||||
Investments in:
|
|
|
|
||||
Excess mortgage servicing rights, at fair value
|
$
|
447,860
|
|
|
$
|
1,173,713
|
|
Excess mortgage servicing rights, equity method investees, at fair value
|
147,964
|
|
|
171,765
|
|
||
Mortgage servicing rights, at fair value
|
2,884,100
|
|
|
1,735,504
|
|
||
Mortgage servicing rights financing receivables, at fair value
|
1,644,504
|
|
|
598,728
|
|
||
Servicer advance investments, at fair value
(A)
|
735,846
|
|
|
4,027,379
|
|
||
Real estate and other securities, available-for-sale
|
11,636,581
|
|
|
8,071,140
|
|
||
Residential mortgage loans, held-for-investment (includes $121,088 and $0 at fair value at December 31, 2018 and December 31, 2017, respectively)
(A)
|
735,329
|
|
|
691,155
|
|
||
Residential mortgage loans, held-for-sale
|
932,480
|
|
|
1,725,534
|
|
||
Residential mortgage loans, held-for-sale, at fair value
|
2,808,529
|
|
|
—
|
|
||
Real estate owned
|
113,410
|
|
|
128,295
|
|
||
Residential mortgage loans subject to repurchase
|
121,602
|
|
|
—
|
|
||
Consumer loans, held-for-investment
(A)
|
1,072,202
|
|
|
1,374,263
|
|
||
Consumer loans, equity method investees
|
38,294
|
|
|
51,412
|
|
||
Cash and cash equivalents
(A)
|
251,058
|
|
|
295,798
|
|
||
Restricted cash
|
164,020
|
|
|
150,252
|
|
||
Servicer advances receivable
|
3,277,796
|
|
|
675,593
|
|
||
Trades receivable
|
3,925,198
|
|
|
1,030,850
|
|
||
Deferred tax asset, net
|
65,832
|
|
|
—
|
|
||
Other assets
|
688,408
|
|
|
312,181
|
|
||
|
$
|
31,691,013
|
|
|
$
|
22,213,562
|
|
|
|
|
|
||||
Liabilities and Equity
|
|
|
|
|
|||
|
|
|
|
||||
Liabilities
|
|
|
|
|
|||
Repurchase agreements
|
$
|
15,553,969
|
|
|
$
|
8,662,139
|
|
Notes and bonds payable (includes $117,048 and $0 at fair value at December 31, 2018 and December 31, 2017, respectively)
(A)
|
7,102,266
|
|
|
7,084,391
|
|
||
Trades payable
|
2,048,348
|
|
|
1,169,896
|
|
||
Residential mortgage loans repurchase liability
|
121,602
|
|
|
—
|
|
||
Due to affiliates
|
101,471
|
|
|
88,961
|
|
||
Dividends payable
|
184,552
|
|
|
153,681
|
|
||
Deferred tax liability, net
|
—
|
|
|
19,218
|
|
||
Accrued expenses and other liabilities
(A)
|
490,510
|
|
|
239,114
|
|
||
|
25,602,718
|
|
|
17,417,400
|
|
||
|
|
|
|
||||
Commitments and Contingencies
|
|
|
|
|
|
||
|
|
|
|
||||
Equity
|
|
|
|
|
|||
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 369,104,429 and 307,361,309 issued and outstanding at December 31, 2018 and December 31, 2017, respectively
|
3,692
|
|
|
3,074
|
|
||
Additional paid-in capital
|
4,746,242
|
|
|
3,763,188
|
|
||
Retained earnings
|
830,713
|
|
|
559,476
|
|
||
Accumulated other comprehensive income (loss)
|
417,023
|
|
|
364,467
|
|
||
Total New Residential stockholders’ equity
|
5,997,670
|
|
|
4,690,205
|
|
||
Noncontrolling interests in equity of consolidated subsidiaries
|
90,625
|
|
|
105,957
|
|
||
Total Equity
|
6,088,295
|
|
|
4,796,162
|
|
||
|
$
|
31,691,013
|
|
|
$
|
22,213,562
|
|
(A)
|
New Residential’s Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), the RPL Borrowers, Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”)
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Interest income
|
$
|
1,664,223
|
|
|
$
|
1,519,679
|
|
|
$
|
1,076,735
|
|
Interest expense
|
606,433
|
|
|
460,865
|
|
|
373,424
|
|
|||
Net Interest Income
|
1,057,790
|
|
|
1,058,814
|
|
|
703,311
|
|
|||
|
|
|
|
|
|
||||||
Impairment
|
|
|
|
|
|
||||||
Other-than-temporary impairment (OTTI) on securities
|
30,017
|
|
|
10,334
|
|
|
10,264
|
|
|||
Valuation and loss provision (reversal) on loans and real estate owned
|
60,624
|
|
|
75,758
|
|
|
77,716
|
|
|||
|
90,641
|
|
|
86,092
|
|
|
87,980
|
|
|||
|
|
|
|
|
|
||||||
Net interest income after impairment
|
967,149
|
|
|
972,722
|
|
|
615,331
|
|
|||
|
|
|
|
|
|
||||||
Servicing revenue, net
|
528,595
|
|
|
424,349
|
|
|
118,169
|
|
|||
Gain on sale of originated mortgage loans, net
|
89,017
|
|
|
—
|
|
|
—
|
|
|||
Other Income
|
|
|
|
|
|
||||||
Change in fair value of investments in excess mortgage servicing rights
|
(58,656
|
)
|
|
4,322
|
|
|
(7,297
|
)
|
|||
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
8,357
|
|
|
12,617
|
|
|
16,526
|
|
|||
Change in fair value of investments in mortgage servicing rights financing receivables
|
31,550
|
|
|
66,394
|
|
|
—
|
|
|||
Change in fair value of servicer advance investments
|
(89,332
|
)
|
|
84,418
|
|
|
(7,768
|
)
|
|||
Change in fair value of investments in residential mortgage loans
|
73,515
|
|
|
—
|
|
|
—
|
|
|||
Gain on consumer loans investment
|
—
|
|
|
—
|
|
|
9,943
|
|
|||
Gain on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
71,250
|
|
|||
Gain (loss) on settlement of investments, net
|
103,842
|
|
|
10,310
|
|
|
(48,800
|
)
|
|||
Earnings from investments in consumer loans, equity method investees
|
10,803
|
|
|
25,617
|
|
|
—
|
|
|||
Other income (loss), net
|
(124,336
|
)
|
|
4,108
|
|
|
28,483
|
|
|||
|
(44,257
|
)
|
|
207,786
|
|
|
62,337
|
|
|||
|
|
|
|
|
|
||||||
Operating Expenses
|
|
|
|
|
|
||||||
General and administrative expenses
|
231,579
|
|
|
67,159
|
|
|
38,570
|
|
|||
Management fee to affiliate
|
62,594
|
|
|
55,634
|
|
|
41,610
|
|
|||
Incentive compensation to affiliate
|
94,900
|
|
|
81,373
|
|
|
42,197
|
|
|||
Loan servicing expense
|
43,547
|
|
|
52,330
|
|
|
44,001
|
|
|||
Subservicing expense
|
176,784
|
|
|
166,081
|
|
|
7,832
|
|
|||
|
609,404
|
|
|
422,577
|
|
|
174,210
|
|
|||
|
|
|
|
|
|
||||||
Income Before Income Taxes
|
931,100
|
|
|
1,182,280
|
|
|
621,627
|
|
|||
Income tax (benefit) expense
|
(73,431
|
)
|
|
167,628
|
|
|
38,911
|
|
|||
Net Income
|
$
|
1,004,531
|
|
|
$
|
1,014,652
|
|
|
$
|
582,716
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
40,564
|
|
|
$
|
57,119
|
|
|
$
|
78,263
|
|
Net Income Attributable to Common Stockholders
|
$
|
963,967
|
|
|
$
|
957,533
|
|
|
$
|
504,453
|
|
|
|
|
|
|
|
||||||
Net Income Per Share of Common Stock
|
|
|
|
|
|
||||||
Basic
|
$
|
2.82
|
|
|
$
|
3.17
|
|
|
$
|
2.12
|
|
Diluted
|
$
|
2.81
|
|
|
$
|
3.15
|
|
|
$
|
2.12
|
|
|
|
|
|
|
|
||||||
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
||||||
Basic
|
341,268,923
|
|
|
302,238,065
|
|
|
238,122,665
|
|
|||
Diluted
|
343,137,361
|
|
|
304,381,388
|
|
|
238,486,772
|
|
|||
|
|
|
|
|
|
||||||
Dividends Declared per Share of Common Stock
|
$
|
2.00
|
|
|
$
|
1.98
|
|
|
$
|
1.84
|
|
|
December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Comprehensive income (loss), net of tax
|
|
|
|
|
|
||||||
Net income
|
$
|
1,004,531
|
|
|
$
|
1,014,652
|
|
|
$
|
582,716
|
|
Other comprehensive income (loss)
|
|
|
|
|
|
||||||
Net unrealized (loss) gain on securities
|
(7,397
|
)
|
|
248,412
|
|
|
84,703
|
|
|||
Reclassification of net realized (gain) loss on securities into earnings
|
59,953
|
|
|
(10,308
|
)
|
|
37,724
|
|
|||
|
52,556
|
|
|
238,104
|
|
|
122,427
|
|
|||
Total comprehensive income
|
$
|
1,057,087
|
|
|
$
|
1,252,756
|
|
|
$
|
705,143
|
|
Comprehensive income attributable to noncontrolling interests
|
$
|
40,564
|
|
|
$
|
57,119
|
|
|
$
|
78,263
|
|
Comprehensive income attributable to common stockholders
|
$
|
1,016,523
|
|
|
$
|
1,195,637
|
|
|
$
|
626,880
|
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Shares
|
|
Amount
|
|
Additional
Paid-in
Capital
|
|
Retained
Earnings
|
|
Accumulated
Other
Comprehensive
Income
|
|
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
|
—
|
|
|
—
|
|
|
—
|
|
|
(442,753
|
)
|
|
—
|
|
|
(442,753
|
)
|
|
—
|
|
|
(442,753
|
)
|
|||||||
SpringCastle Transaction (Note 9)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
110,438
|
|
|
110,438
|
|
|||||||
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(167,026
|
)
|
|
(167,026
|
)
|
|||||||
Issuance of common stock
|
20,000,000
|
|
|
200
|
|
|
278,575
|
|
|
—
|
|
|
—
|
|
|
278,775
|
|
|
—
|
|
|
278,775
|
|
|||||||
Option exercise
|
280,111
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Director share grants
|
—
|
|
|
—
|
|
|
965
|
|
|
—
|
|
|
—
|
|
|
965
|
|
|
(4,245
|
)
|
|
(3,280
|
)
|
|||||||
Modified retrospective adjustment for the adoption of ASU No. 2014-11
|
21,804
|
|
|
—
|
|
|
300
|
|
|
—
|
|
|
—
|
|
|
300
|
|
|
—
|
|
|
300
|
|
|||||||
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
504,453
|
|
|
—
|
|
|
504,453
|
|
|
78,263
|
|
|
582,716
|
|
|||||||
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
84,703
|
|
|
84,703
|
|
|
—
|
|
|
84,703
|
|
|||||||
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
37,724
|
|
|
37,724
|
|
|
—
|
|
|
37,724
|
|
|||||||
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
626,880
|
|
|
78,263
|
|
|
705,143
|
|
||||||||||||
Equity - December 31, 2016
|
250,773,117
|
|
|
$
|
2,507
|
|
|
$
|
2,920,730
|
|
|
$
|
210,500
|
|
|
$
|
126,363
|
|
|
$
|
3,260,100
|
|
|
$
|
208,077
|
|
|
$
|
3,468,177
|
|
Dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
(608,557
|
)
|
|
—
|
|
|
(608,557
|
)
|
|
—
|
|
|
(608,557
|
)
|
|||||||
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(84,196
|
)
|
|
(84,196
|
)
|
|||||||
Issuance of common stock
|
56,545,787
|
|
|
566
|
|
|
833,963
|
|
|
—
|
|
|
—
|
|
|
834,529
|
|
|
—
|
|
|
834,529
|
|
|||||||
Purchase of noncontrolling interests in the Buyer
|
—
|
|
|
—
|
|
|
9,183
|
|
|
—
|
|
|
—
|
|
|
9,183
|
|
|
(75,043
|
)
|
|
(65,860
|
)
|
|||||||
Other dilution
|
—
|
|
|
—
|
|
|
(1,386
|
)
|
|
—
|
|
|
—
|
|
|
(1,386
|
)
|
|
—
|
|
|
(1,386
|
)
|
|||||||
Director share grants
|
42,405
|
|
|
1
|
|
|
698
|
|
|
—
|
|
|
—
|
|
|
699
|
|
|
—
|
|
|
699
|
|
|||||||
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
957,533
|
|
|
—
|
|
|
957,533
|
|
|
57,119
|
|
|
1,014,652
|
|
|||||||
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
248,412
|
|
|
248,412
|
|
|
—
|
|
|
248,412
|
|
|||||||
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,308
|
)
|
|
(10,308
|
)
|
|
—
|
|
|
(10,308
|
)
|
|||||||
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
1,195,637
|
|
|
57,119
|
|
|
1,252,756
|
|
||||||||||||
Equity - December 31, 2017
|
307,361,309
|
|
|
$
|
3,074
|
|
|
$
|
3,763,188
|
|
|
$
|
559,476
|
|
|
$
|
364,467
|
|
|
$
|
4,690,205
|
|
|
$
|
105,957
|
|
|
$
|
4,796,162
|
|
Dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
(692,730
|
)
|
|
—
|
|
|
(692,730
|
)
|
|
—
|
|
|
(692,730
|
)
|
|||||||
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(64,559
|
)
|
|
(64,559
|
)
|
|||||||
Issuance of common stock
|
57,991,659
|
|
|
580
|
|
|
981,482
|
|
|
—
|
|
|
—
|
|
|
982,062
|
|
|
—
|
|
|
982,062
|
|
|||||||
Option exercise
|
3,694,228
|
|
|
37
|
|
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Purchase of noncontrolling interests in the Buyer
|
—
|
|
|
—
|
|
|
653
|
|
|
—
|
|
|
—
|
|
|
653
|
|
|
8,663
|
|
|
9,316
|
|
|||||||
Other dilution
|
—
|
|
|
—
|
|
|
(63
|
)
|
|
—
|
|
|
—
|
|
|
(63
|
)
|
|
—
|
|
|
(63
|
)
|
|||||||
Director share grants
|
57,233
|
|
|
1
|
|
|
1,019
|
|
|
—
|
|
|
—
|
|
|
1,020
|
|
|
—
|
|
|
1,020
|
|
|||||||
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
963,967
|
|
|
—
|
|
|
963,967
|
|
|
40,564
|
|
|
1,004,531
|
|
|||||||
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,397
|
)
|
|
(7,397
|
)
|
|
—
|
|
|
(7,397
|
)
|
|||||||
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
59,953
|
|
|
59,953
|
|
|
—
|
|
|
59,953
|
|
|||||||
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
1,016,523
|
|
|
40,564
|
|
|
1,057,087
|
|
||||||||||||
Equity - December 31, 2018
|
369,104,429
|
|
|
$
|
3,692
|
|
|
$
|
4,746,242
|
|
|
$
|
830,713
|
|
|
$
|
417,023
|
|
|
$
|
5,997,670
|
|
|
$
|
90,625
|
|
|
$
|
6,088,295
|
|
NEW RESIDENTIAL INVESTMENT CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
|
|||||||||||
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
|
|
|
|
|
|
||||||
Cash Flows From Operating Activities
|
|
|
|
|
|
||||||
Net income
|
$
|
1,004,531
|
|
|
$
|
1,014,652
|
|
|
$
|
582,716
|
|
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
|
58,656
|
|
|
(4,322
|
)
|
|
7,297
|
|
|||
Change in fair value of investments in excess mortgage servicer rights, equity method investees
|
(8,357
|
)
|
|
(12,617
|
)
|
|
(16,526
|
)
|
|||
Change in fair value of investments in mortgage servicing rights financing receivables
|
(31,550
|
)
|
|
(66,394
|
)
|
|
—
|
|
|||
Change in fair value of servicer advance investments
|
89,332
|
|
|
(84,418
|
)
|
|
7,768
|
|
|||
Change in fair value of residential mortgage loans, at fair value, and notes and bonds payable, at fair value
|
(72,624
|
)
|
|
—
|
|
|
—
|
|
|||
(Gain) / loss on remeasurement of consumer loans investment
|
—
|
|
|
—
|
|
|
(71,250
|
)
|
|||
(Gain) / loss on settlement of investments (net)
|
(103,842
|
)
|
|
(10,310
|
)
|
|
48,800
|
|
|||
(Gain) / loss on sale of originated mortgage loans (net)
|
(89,017
|
)
|
|
—
|
|
|
—
|
|
|||
Earnings from investments consumer loans, equity method investees
|
(10,803
|
)
|
|
(25,617
|
)
|
|
—
|
|
|||
Unrealized (gain) / loss on derivative instruments
|
113,558
|
|
|
2,190
|
|
|
(5,774
|
)
|
|||
Changes in fair value of contingent consideration
|
1,581
|
|
|
—
|
|
|
—
|
|
|||
Unrealized (gain) / loss on other ABS
|
(10,283
|
)
|
|
(2,883
|
)
|
|
2,322
|
|
|||
(Gain) / loss on transfer of loans to REO
|
(19,519
|
)
|
|
(22,938
|
)
|
|
(18,356
|
)
|
|||
(Gain) / loss on transfer of loans to other assets
|
1,977
|
|
|
(488
|
)
|
|
(2,938
|
)
|
|||
(Gain) / loss on Excess MSR recapture agreements
|
(979
|
)
|
|
(2,384
|
)
|
|
(2,802
|
)
|
|||
(Gain) / loss on Ocwen common stock
|
10,860
|
|
|
(5,346
|
)
|
|
—
|
|
|||
Accretion and other amortization
|
(701,967
|
)
|
|
(1,031,384
|
)
|
|
(747,932
|
)
|
|||
Other-than-temporary impairment
|
30,017
|
|
|
10,334
|
|
|
10,264
|
|
|||
Valuation and loss provision on loans and real estate owned
|
60,624
|
|
|
75,758
|
|
|
77,716
|
|
|||
Non-cash portions of servicing revenue, net
|
191,245
|
|
|
67,672
|
|
|
(88,325
|
)
|
|||
Non-cash directors’ compensation
|
1,020
|
|
|
699
|
|
|
300
|
|
|||
Deferred tax provision
|
(80,054
|
)
|
|
168,518
|
|
|
34,846
|
|
|||
Changes in:
|
|
|
|
|
|
||||||
Servicer advances receivable
|
381,400
|
|
|
(30,688
|
)
|
|
(2,503
|
)
|
|||
Other assets
|
(193,681
|
)
|
|
(32,174
|
)
|
|
229,916
|
|
|||
Due to affiliates
|
12,510
|
|
|
41,613
|
|
|
23,563
|
|
|||
Accrued expenses and other liabilities
|
186,311
|
|
|
26,081
|
|
|
3,223
|
|
|||
Other operating cash flows:
|
|
|
|
|
|
||||||
Interest received from excess mortgage servicing rights
|
45,947
|
|
|
79,612
|
|
|
152,589
|
|
|||
Interest received from servicer advance investments
|
33,821
|
|
|
168,595
|
|
|
185,204
|
|
|||
Interest received from Non-Agency RMBS
|
219,704
|
|
|
211,599
|
|
|
100,883
|
|
|||
Interest received from residential mortgage loans, held-for-investment
|
8,962
|
|
|
8,021
|
|
|
2,815
|
|
|||
Interest received from PCD consumer loans, held-for-investment
|
36,660
|
|
|
52,372
|
|
|
49,582
|
|
|||
Distributions of earnings from excess mortgage servicing rights, equity method investees
|
11,059
|
|
|
13,668
|
|
|
22,046
|
|
|||
Distributions of earnings from consumer loan equity method investees
|
6,176
|
|
|
6,240
|
|
|
—
|
|
|||
Purchases of residential mortgage loans, held-for-sale
|
(5,767,172
|
)
|
|
(5,135,700
|
)
|
|
(1,196,018
|
)
|
|||
Origination of residential mortgage loans, held-for-sale
|
(3,385,868
|
)
|
|
—
|
|
|
—
|
|
|||
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale
|
6,546,613
|
|
|
3,514,108
|
|
|
1,109,876
|
|
|||
Principal repayments from purchased residential mortgage loans, held-for-sale
|
194,038
|
|
|
106,213
|
|
|
61,494
|
|
|||
Net cash provided by (used in) operating activities
|
(1,229,114
|
)
|
|
(899,718
|
)
|
|
560,796
|
|
|||
|
|
|
|
|
|
NEW RESIDENTIAL INVESTMENT CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
|
|||||||||||
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
|
|
|
|
|
|
||||||
Cash Flows From Investing Activities
|
|
|
|
|
|
||||||
Acquisition of investments in excess mortgage servicing rights
|
—
|
|
|
—
|
|
|
(2,146
|
)
|
|||
Acquisition of Shellpoint, net of cash acquired
|
(123,185
|
)
|
|
—
|
|
|
—
|
|
|||
SpringCastle Transaction (Note 9), net of cash acquired
|
—
|
|
|
—
|
|
|
(55,523
|
)
|
|||
Restricted cash acquired from SpringCastle Transaction
|
—
|
|
|
—
|
|
|
74,604
|
|
|||
Purchase of servicer advance investments
|
(2,306,043
|
)
|
|
(12,168,519
|
)
|
|
(15,266,816
|
)
|
|||
Purchase of MSRs, MSR financing receivables and servicer advances receivable
|
(1,194,467
|
)
|
|
(1,661,608
|
)
|
|
(526,653
|
)
|
|||
Purchase of Agency RMBS
|
(10,200,299
|
)
|
|
(9,165,868
|
)
|
|
(6,812,258
|
)
|
|||
Purchase of Non-Agency RMBS
|
(2,969,308
|
)
|
|
(2,570,753
|
)
|
|
(2,577,625
|
)
|
|||
Purchase of residential mortgage loans
|
(85,778
|
)
|
|
(609,627
|
)
|
|
(191,081
|
)
|
|||
Purchase of derivatives
|
—
|
|
|
(2,350
|
)
|
|
(8,292
|
)
|
|||
Purchase of real estate owned and other assets
|
(33,377
|
)
|
|
(38,127
|
)
|
|
(14,097
|
)
|
|||
Purchase of consumer loans
|
—
|
|
|
—
|
|
|
(176,107
|
)
|
|||
Purchase of investment in consumer loans, equity method investees
|
(308,050
|
)
|
|
(470,344
|
)
|
|
—
|
|
|||
Purchase of commercial real estate, equity method investees
|
(75,000
|
)
|
|
—
|
|
|
—
|
|
|||
Draws on revolving consumer loans
|
(63,971
|
)
|
|
(56,321
|
)
|
|
(49,289
|
)
|
|||
Payments for settlement of derivatives
|
(172,152
|
)
|
|
(164,025
|
)
|
|
(84,587
|
)
|
|||
Return of investments in excess mortgage servicing rights
|
53,055
|
|
|
172,395
|
|
|
175,243
|
|
|||
Return of investments in excess mortgage servicing rights, equity method investees
|
21,099
|
|
|
21,972
|
|
|
16,913
|
|
|||
Return of investments in consumer loans, equity method investees
|
300,056
|
|
|
393,722
|
|
|
—
|
|
|||
Principal repayments from servicer advance investments
|
2,421,334
|
|
|
13,820,019
|
|
|
17,158,395
|
|
|||
Principal repayments from Agency RMBS
|
111,202
|
|
|
107,666
|
|
|
95,030
|
|
|||
Principal repayments from Non-Agency RMBS
|
939,690
|
|
|
815,451
|
|
|
726,176
|
|
|||
Principal repayments from residential mortgage loans
|
147,403
|
|
|
94,807
|
|
|
38,700
|
|
|||
Proceeds from sale of residential mortgage loans
|
25,511
|
|
|
13,313
|
|
|
11,176
|
|
|||
Principal repayments from consumer loans
|
311,222
|
|
|
401,403
|
|
|
301,876
|
|
|||
Proceeds from sale of mortgage servicing rights
|
5,776
|
|
|
—
|
|
|
—
|
|
|||
Proceeds from sale of mortgage servicing rights financing receivables
|
7,472
|
|
|
—
|
|
|
—
|
|
|||
Proceeds from sale of excess mortgage servicing rights
|
19,064
|
|
|
13,505
|
|
|
—
|
|
|||
Proceeds from sale of Agency RMBS
|
7,528,490
|
|
|
8,880,766
|
|
|
6,594,868
|
|
|||
Proceeds from sale of Non-Agency RMBS
|
86,443
|
|
|
182,384
|
|
|
261,489
|
|
|||
Proceeds from settlement of derivatives
|
242,422
|
|
|
126,319
|
|
|
55,851
|
|
|||
Proceeds from sale of real estate owned
|
140,301
|
|
|
86,241
|
|
|
71,570
|
|
|||
Net cash provided by (used in) investing activities
|
(5,171,090
|
)
|
|
(1,777,579
|
)
|
|
(182,583
|
)
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Cash Flows From Financing Activities
|
|
|
|
|
|
||||||
Repayments of repurchase agreements
|
(93,214,286
|
)
|
|
(54,289,124
|
)
|
|
(29,866,052
|
)
|
|||
Margin deposits under repurchase agreements and derivatives
|
(1,934,868
|
)
|
|
(1,056,408
|
)
|
|
(487,072
|
)
|
|||
Repayments of notes and bonds payable
|
(9,892,659
|
)
|
|
(8,971,523
|
)
|
|
(10,843,732
|
)
|
|||
Payment of deferred financing fees
|
(12,498
|
)
|
|
(6,610
|
)
|
|
(37,908
|
)
|
|||
Common stock dividends paid
|
(661,859
|
)
|
|
(570,232
|
)
|
|
(433,414
|
)
|
|||
Borrowings under repurchase agreements
|
99,662,678
|
|
|
57,762,563
|
|
|
31,015,797
|
|
|||
Return of margin deposits under repurchase agreements and derivatives
|
1,733,387
|
|
|
1,058,791
|
|
|
486,050
|
|
|||
Borrowings under notes and bonds payable
|
9,770,909
|
|
|
8,057,720
|
|
|
9,719,242
|
|
|||
Issuance of common stock
|
983,149
|
|
|
835,465
|
|
|
279,600
|
|
|||
Costs related to issuance of common stock
|
(1,087
|
)
|
|
(936
|
)
|
|
(825
|
)
|
|||
Noncontrolling interest in equity of consolidated subsidiaries - contributions
|
—
|
|
|
—
|
|
|
—
|
|
|||
Noncontrolling interest in equity of consolidated subsidiaries - distributions
|
(64,559
|
)
|
|
(84,196
|
)
|
|
(97,560
|
)
|
|||
Purchase of noncontrolling interests in the Buyer
|
925
|
|
|
(65,860
|
)
|
|
(3,280
|
)
|
|||
Net cash provided by (used in) financing activities
|
6,369,232
|
|
|
2,669,650
|
|
|
(269,154
|
)
|
|||
|
|
|
|
|
|
||||||
Net (Decrease) Increase in Cash, Cash Equivalents, and Restricted Cash
|
(30,972
|
)
|
|
(7,647
|
)
|
|
109,059
|
|
|||
|
|
|
|
|
|
||||||
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period
|
446,050
|
|
|
453,697
|
|
|
344,638
|
|
|||
|
|
|
|
|
|
||||||
Cash, Cash Equivalents, and Restricted Cash, End of Period
|
$
|
415,078
|
|
|
$
|
446,050
|
|
|
$
|
453,697
|
|
|
|
|
|
|
|
||||||
Supplemental Disclosure of Cash Flow Information
|
|
|
|
|
|
||||||
Cash paid during the period for interest
|
$
|
564,722
|
|
|
$
|
442,287
|
|
|
$
|
350,028
|
|
Cash paid during the period for income taxes
|
5,012
|
|
|
5,021
|
|
|
1,109
|
|
|||
|
|
|
|
|
|
||||||
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
|||||||||||
Dividends declared but not paid
|
$
|
184,552
|
|
|
$
|
153,681
|
|
|
$
|
115,356
|
|
Purchase of Agency and Non-Agency RMBS, settled after year end
|
2,048,348
|
|
|
1,169,896
|
|
|
1,381,968
|
|
|||
Sale of investments, primarily Agency RMBS, settled after year end
|
3,925,198
|
|
|
1,030,850
|
|
|
1,687,788
|
|
|||
Transfer from residential mortgage loans to real estate owned and other assets
|
109,527
|
|
|
141,968
|
|
|
249,497
|
|
|||
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale
|
23,080
|
|
|
23,080
|
|
|
316,199
|
|
|||
Non-cash distributions from Consumer Loan Companies
|
—
|
|
|
—
|
|
|
25
|
|
|||
Non-cash distributions from LoanCo
|
25,739
|
|
|
44,587
|
|
|
—
|
|
|||
Non-cash distributions to noncontrolling interest
|
—
|
|
|
—
|
|
|
69,466
|
|
|||
MSR purchase price holdback
|
(697
|
)
|
|
40,854
|
|
|
90,058
|
|
|||
Shellpoint Acquisition purchase price holdback
|
8,173
|
|
|
—
|
|
|
—
|
|
|||
Shellpoint Acquisition contingent consideration
|
39,300
|
|
|
—
|
|
|
—
|
|
|||
Real estate securities retained from loan securitizations
|
900,491
|
|
|
403,270
|
|
|
165,782
|
|
|||
Residential mortgage loans subject to repurchase
|
121,602
|
|
|
—
|
|
|
—
|
|
|||
Remeasurement of Consumer Loan Companies noncontrolling interest
|
—
|
|
|
—
|
|
|
110,438
|
|
|||
Ocwen transaction (Note 5) - excess mortgage servicing rights
|
638,567
|
|
|
71,982
|
|
|
—
|
|
|||
Ocwen transaction (Note 5) - servicer advance investments
|
3,175,891
|
|
|
481,220
|
|
|
—
|
|
|||
Ocwen transaction (Note 5) - mortgage servicing rights financing receivables, at fair value
|
1,017,993
|
|
|
64,450
|
|
|
—
|
|
Total Consideration
|
|
Amount
|
||
Cash Consideration
|
|
$
|
212.3
|
|
Earnout Payment
(A)
|
|
39.3
|
|
|
Effective Settlement of Preexisting Relationships
(B)
|
|
173.9
|
|
|
Total Consideration
|
|
$
|
425.5
|
|
(A)
|
The range of outcomes for this contingent consideration is from
$0
to
$60.0 million
, dependent on the performance of Shellpoint. New Residential derived a fair value of the contingent consideration payment in
three
years of
$39.3 million
. This amount excludes contingent payments to the long-term employee incentive plans that require continuing employment and are recognized as compensation expense within General and Administrative expenses in the post-acquisition consolidated financial statements separate from New Residential’s acquisition of assets and assumption of liabilities in the business combination. As of
December 31, 2018
, the contingent consideration had a fair value of
$40.8 million
.
|
(B)
|
Represents the effective settlement of preexisting relationships between New Residential and Shellpoint including 1) MSR acquisitions, 2) a note payable and 3) operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s consolidated statements of income.
|
Total Consideration ($ in millions)
|
|
$
|
425.5
|
|
Assets
|
|
|
||
Cash and cash equivalents
|
|
$
|
79.2
|
|
Restricted cash
|
|
9.9
|
|
|
Residential mortgage loans, held-for-sale, at fair value
|
|
488.2
|
|
|
Mortgage servicing rights, at fair value
(A)
|
|
286.6
|
|
|
Residential mortgage loans, held-for-investment, at fair value
|
|
125.3
|
|
|
Residential mortgage loans subject to repurchase
|
|
121.4
|
|
|
Intangible assets
(B)
|
|
18.4
|
|
|
Other assets
|
|
81.5
|
|
|
Total Assets Acquired
|
|
$
|
1,210.5
|
|
|
|
|
||
Liabilities
|
|
|
||
Repurchase agreements
|
|
$
|
439.6
|
|
Notes and bonds payable
|
|
20.7
|
|
|
Mortgage-backed securities issued, at fair value
|
|
120.7
|
|
|
Residential mortgage loans repurchase liability
|
|
121.4
|
|
|
Excess spread financing, at fair value
|
|
48.3
|
|
|
Accrued expenses and other liabilities
|
|
50.6
|
|
|
Total Liabilities Assumed
|
|
$
|
801.3
|
|
|
|
|
||
Noncontrolling Interest
|
|
$
|
8.3
|
|
|
|
|
||
Net Assets
|
|
$
|
400.9
|
|
|
|
|
||
Goodwill
|
|
$
|
24.6
|
|
(A)
|
Includes
$135.3 million
of Ginnie Mae MSRs where New Residential acquired the rights to the economic value of the servicing rights from Shellpoint prior to the acquisition date.
|
(B)
|
Includes intangible assets in the form of mortgage origination and servicing licenses, internally developed software and a tradename. New Residential determined that mortgage origination and servicing licenses have an indefinite useful life and will be evaluated for impairment given no legal, regulatory, contractual, competitive or economic factors that would limit the useful life. Internally developed software and tradenames will be amortized over finite useful lives of
five
years and
six
months, respectively, based on the expected software development timeline and New Residential’s determination of the time to change a tradename with limited value.
|
|
|
|
December 31,
|
||||||
|
|
|
2018
|
|
2017
|
||||
Pro Forma
|
|
|
|
|
|
||||
Servicing and Originations Revenue
|
|
|
$
|
766,997
|
|
|
$
|
749,031
|
|
Income Before Income Taxes
|
|
|
948,086
|
|
|
1,197,485
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Accretion of servicer advances receivable discount and servicer advance investments
|
$
|
214,876
|
|
|
$
|
542,983
|
|
|
$
|
364,350
|
|
Accretion of excess mortgage servicing rights income
|
44,440
|
|
|
103,053
|
|
|
150,141
|
|
|||
Accretion of net discount on securities and loans
(A)
|
452,500
|
|
|
398,213
|
|
|
253,243
|
|
|||
Amortization of deferred financing costs
|
(7,795
|
)
|
|
(12,076
|
)
|
|
(18,326
|
)
|
|||
Amortization of discount on notes and bonds payable
|
(2,054
|
)
|
|
(789
|
)
|
|
(1,476
|
)
|
|||
|
$
|
701,967
|
|
|
$
|
1,031,384
|
|
|
$
|
747,932
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Unrealized gain (loss) on derivative instruments
|
$
|
(113,558
|
)
|
|
$
|
(2,190
|
)
|
|
$
|
5,774
|
|
Unrealized gain (loss) on other ABS
|
10,283
|
|
|
2,883
|
|
|
(2,322
|
)
|
|||
Unrealized gain (loss) on notes and bonds payable
|
(684
|
)
|
|
—
|
|
|
—
|
|
|||
Unrealized gain (loss) on contingent consideration
|
(1,581
|
)
|
|
—
|
|
|
—
|
|
|||
Gain (loss) on transfer of loans to REO
|
19,519
|
|
|
22,938
|
|
|
18,356
|
|
|||
Gain (loss) on transfer of loans to other assets
|
(1,977
|
)
|
|
488
|
|
|
2,938
|
|
|||
Gain (loss) on Excess MSR recapture agreements
|
979
|
|
|
2,384
|
|
|
2,802
|
|
|||
Gain (loss) on Ocwen common stock
|
(10,860
|
)
|
|
5,346
|
|
|
—
|
|
|||
Other income (loss)
|
(26,457
|
)
|
|
(27,741
|
)
|
|
935
|
|
|||
|
$
|
(124,336
|
)
|
|
$
|
4,108
|
|
|
$
|
28,483
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Gain (loss) on sale of real estate securities, net
|
$
|
(29,936
|
)
|
|
$
|
20,642
|
|
|
$
|
(27,460
|
)
|
Gain (loss) on sale of acquired residential mortgage loans, net
|
(7,677
|
)
|
|
39,731
|
|
|
12,142
|
|
|||
Gain (loss) on settlement of derivatives
|
54,867
|
|
|
(39,214
|
)
|
|
(27,491
|
)
|
|||
Gain (loss) on liquidated residential mortgage loans
|
5,023
|
|
|
(10,201
|
)
|
|
(1,810
|
)
|
|||
Gain (loss) on sale of REO
|
(12,424
|
)
|
|
(9,215
|
)
|
|
4,690
|
|
|||
Gains reclassified from change in fair value of investments in excess MSRs and servicer advance investments
|
113,002
|
|
|
11,320
|
|
|
—
|
|
|||
Other gains (losses)
|
(19,013
|
)
|
|
(2,753
|
)
|
|
(8,871
|
)
|
|||
|
$
|
103,842
|
|
|
$
|
10,310
|
|
|
$
|
(48,800
|
)
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Compensation and benefits expense
|
$
|
109,870
|
|
|
$
|
—
|
|
|
$
|
663
|
|
Legal and professional expense
|
45,234
|
|
|
40,182
|
|
|
23,983
|
|
|||
Loan origination expense
|
16,050
|
|
|
—
|
|
|
—
|
|
|||
Occupancy expense
|
8,868
|
|
|
—
|
|
|
—
|
|
|||
Other
(A)
|
51,557
|
|
|
26,977
|
|
|
13,924
|
|
|||
|
$
|
231,579
|
|
|
$
|
67,159
|
|
|
$
|
38,570
|
|
|
Other Assets
|
|
|
Accrued Expenses and Other Liabilities
|
||||||||||||
|
December 31,
|
|
|
December 31,
|
||||||||||||
|
2018
|
|
2017
|
|
|
2018
|
|
2017
|
||||||||
Margin receivable, net
(A)
|
$
|
145,857
|
|
|
$
|
53,150
|
|
|
Interest payable
|
$
|
49,352
|
|
|
$
|
28,821
|
|
Other receivables
|
23,723
|
|
|
10,635
|
|
|
Accounts payable
|
75,591
|
|
|
73,017
|
|
||||
Principal and interest receivable
|
76,015
|
|
|
48,373
|
|
|
Derivative liabilities (Note 10)
|
29,389
|
|
|
697
|
|
||||
Receivable from government agency
(B)
|
20,795
|
|
|
41,429
|
|
|
Due to servicers
|
95,419
|
|
|
24,571
|
|
||||
Call rights
|
290
|
|
|
327
|
|
|
MSRs purchase price holdback
|
100,593
|
|
|
101,290
|
|
||||
Derivative assets (Note 10)
|
10,893
|
|
|
2,423
|
|
|
Excess spread financing, at fair value
|
39,304
|
|
|
—
|
|
||||
Servicing fee receivables
|
105,563
|
|
|
60,520
|
|
|
Contingent Consideration
|
40,842
|
|
|
—
|
|
||||
Ginnie Mae EBO servicer advances receivable, net
(C)
|
2,750
|
|
|
8,916
|
|
|
Reserve for sales recourse
|
5,880
|
|
|
—
|
|
||||
Due from servicers
|
95,261
|
|
|
38,601
|
|
|
Other liabilities
|
54,140
|
|
|
10,718
|
|
||||
Goodwill
|
24,645
|
|
|
—
|
|
|
|
$
|
490,510
|
|
|
$
|
239,114
|
|
||
Intangible assets
|
18,708
|
|
|
—
|
|
|
|
|
|
|
||||||
Ocwen common stock, at fair value
|
7,778
|
|
|
19,259
|
|
|
|
|
|
|
||||||
Prepaid expenses
|
29,165
|
|
|
7,308
|
|
|
|
|
|
|
||||||
Equity investment
(D)
|
74,323
|
|
|
—
|
|
|
|
|
|
|
||||||
Other assets
|
52,642
|
|
|
21,240
|
|
|
|
|
|
|
||||||
|
$
|
688,408
|
|
|
$
|
312,181
|
|
|
|
|
|
|
(A)
|
Represents collateral posted primarily as a result of changes in fair value of our 1) real estate securities securing our repurchase agreements and 2) derivative instruments.
|
(B)
|
Represents claims receivable from the FHA on EBO and reverse mortgage loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee.
|
(C)
|
Represents an HLSS (Note 1) loan to a counterparty collateralized by servicer advances on Ginnie Mae EBO loans.
|
(D)
|
Represents an indirect equity investment in a commercial redevelopment project. The investment is accounted for at fair value based on the net asset value (“NAV”) of New Residential’s investment.
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||
|
|
Servicing and Originations
|
|
Real Estate
Securities
|
|
Residential Mortgage Loans
|
|
Consumer
Loans
|
|
Corporate
|
|
Total
|
||||||||||||
Year Ended December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest income
|
|
$
|
723,965
|
|
|
$
|
573,539
|
|
|
$
|
158,892
|
|
|
$
|
206,321
|
|
|
$
|
1,506
|
|
|
$
|
1,664,223
|
|
Interest expense
|
|
242,345
|
|
|
240,615
|
|
|
80,910
|
|
|
42,563
|
|
|
—
|
|
|
606,433
|
|
||||||
Net interest income
|
|
481,620
|
|
|
332,924
|
|
|
77,982
|
|
|
163,758
|
|
|
1,506
|
|
|
1,057,790
|
|
||||||
Impairment
|
|
—
|
|
|
30,017
|
|
|
12,061
|
|
|
48,563
|
|
|
—
|
|
|
90,641
|
|
||||||
Servicing revenue, net
|
|
528,595
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
528,595
|
|
||||||
Gain on sale of originated mortgage loans, net
|
|
89,017
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
89,017
|
|
||||||
Other income (loss)
|
|
12,654
|
|
|
(72,926
|
)
|
|
16,456
|
|
|
9,965
|
|
|
(10,406
|
)
|
|
(44,257
|
)
|
||||||
Operating expenses
|
|
360,889
|
|
|
1,554
|
|
|
32,424
|
|
|
35,230
|
|
|
179,307
|
|
|
609,404
|
|
||||||
Income (Loss) Before Income Taxes
|
|
750,997
|
|
|
228,427
|
|
|
49,953
|
|
|
89,930
|
|
|
(188,207
|
)
|
|
931,100
|
|
||||||
Income tax (benefit) expense
|
|
(8,364
|
)
|
|
—
|
|
|
(65,279
|
)
|
|
212
|
|
|
—
|
|
|
(73,431
|
)
|
||||||
Net Income (Loss)
|
|
$
|
759,361
|
|
|
$
|
228,427
|
|
|
$
|
115,232
|
|
|
$
|
89,718
|
|
|
$
|
(188,207
|
)
|
|
$
|
1,004,531
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
3,577
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
36,987
|
|
|
$
|
—
|
|
|
$
|
40,564
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
755,784
|
|
|
$
|
228,427
|
|
|
$
|
115,232
|
|
|
$
|
52,731
|
|
|
$
|
(188,207
|
)
|
|
$
|
963,967
|
|
|
|
|
|
Residential Securities
and Loans
|
|
|
|
|
|
|
||||||||||||||
|
|
Servicing and Originations
|
|
Real Estate
Securities
|
|
Residential Mortgage Loans
|
|
Consumer
Loans
|
|
Corporate
|
|
Total
|
||||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investments
|
|
$
|
6,738,923
|
|
|
$
|
11,636,581
|
|
|
$
|
3,832,701
|
|
|
$
|
1,110,496
|
|
|
$
|
—
|
|
|
$
|
23,318,701
|
|
Cash and cash equivalents
|
|
236,871
|
|
|
49
|
|
|
927
|
|
|
8,279
|
|
|
4,932
|
|
|
251,058
|
|
||||||
Restricted cash
|
|
126,401
|
|
|
—
|
|
|
—
|
|
|
37,619
|
|
|
—
|
|
|
164,020
|
|
||||||
Other assets
|
|
3,510,192
|
|
|
4,080,202
|
|
|
131,282
|
|
|
64,802
|
|
|
146,111
|
|
|
7,932,589
|
|
||||||
Goodwill
|
|
24,645
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24,645
|
|
||||||
Total assets
|
|
$
|
10,637,032
|
|
|
$
|
15,716,832
|
|
|
$
|
3,964,910
|
|
|
$
|
1,221,196
|
|
|
$
|
151,043
|
|
|
$
|
31,691,013
|
|
Debt
|
|
$
|
6,815,112
|
|
|
$
|
11,615,364
|
|
|
$
|
3,191,859
|
|
|
$
|
1,033,900
|
|
|
$
|
—
|
|
|
$
|
22,656,235
|
|
Other liabilities
|
|
520,215
|
|
|
2,111,868
|
|
|
8,916
|
|
|
13,572
|
|
|
291,912
|
|
|
2,946,483
|
|
||||||
Total liabilities
|
|
7,335,327
|
|
|
13,727,232
|
|
|
3,200,775
|
|
|
1,047,472
|
|
|
291,912
|
|
|
25,602,718
|
|
||||||
Total equity
|
|
3,301,705
|
|
|
1,989,600
|
|
|
764,135
|
|
|
173,724
|
|
|
(140,869
|
)
|
|
6,088,295
|
|
||||||
Noncontrolling interests in equity of consolidated subsidiaries
|
|
60,064
|
|
|
—
|
|
|
—
|
|
|
30,561
|
|
|
—
|
|
|
90,625
|
|
||||||
Total New Residential stockholders’ equity
|
|
$
|
3,241,641
|
|
|
$
|
1,989,600
|
|
|
$
|
764,135
|
|
|
$
|
143,163
|
|
|
$
|
(140,869
|
)
|
|
$
|
5,997,670
|
|
Investments in equity method investees
|
|
$
|
147,964
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
38,294
|
|
|
$
|
—
|
|
|
$
|
186,258
|
|
|
|
|
|
Residential Securities
and Loans
|
|
|
|
|
|
|
||||||||||||||
|
|
Servicing and Originations
|
|
Real Estate
Securities
|
|
Residential Mortgage Loans
|
|
Consumer
Loans
|
|
Corporate
|
|
Total
|
||||||||||||
Year Ended December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest income
|
|
$
|
713,413
|
|
|
$
|
431,706
|
|
|
$
|
110,087
|
|
|
$
|
263,844
|
|
|
$
|
629
|
|
|
$
|
1,519,679
|
|
Interest expense
|
|
233,587
|
|
|
122,997
|
|
|
51,473
|
|
|
52,808
|
|
|
—
|
|
|
460,865
|
|
||||||
Net interest income (expense)
|
|
479,826
|
|
|
308,709
|
|
|
58,614
|
|
|
211,036
|
|
|
629
|
|
|
1,058,814
|
|
||||||
Impairment
|
|
—
|
|
|
10,334
|
|
|
12,593
|
|
|
63,165
|
|
|
—
|
|
|
86,092
|
|
||||||
Servicing revenue, net
|
|
424,349
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
424,349
|
|
||||||
Gain on sale of originated mortgage loans, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other income (loss)
|
|
174,561
|
|
|
(16,371
|
)
|
|
16,175
|
|
|
28,075
|
|
|
5,346
|
|
|
207,786
|
|
||||||
Operating expenses
|
|
186,330
|
|
|
1,471
|
|
|
31,529
|
|
|
43,552
|
|
|
159,695
|
|
|
422,577
|
|
||||||
Income (Loss) Before Income Taxes
|
|
892,406
|
|
|
280,533
|
|
|
30,667
|
|
|
132,394
|
|
|
(153,720
|
)
|
|
1,182,280
|
|
||||||
Income tax (benefit) expense
|
|
166,186
|
|
|
—
|
|
|
1,272
|
|
|
170
|
|
|
—
|
|
|
167,628
|
|
||||||
Net Income (Loss)
|
|
$
|
726,220
|
|
|
$
|
280,533
|
|
|
$
|
29,395
|
|
|
$
|
132,224
|
|
|
$
|
(153,720
|
)
|
|
$
|
1,014,652
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
11,227
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
45,892
|
|
|
$
|
—
|
|
|
$
|
57,119
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
714,993
|
|
|
$
|
280,533
|
|
|
$
|
29,395
|
|
|
$
|
86,332
|
|
|
$
|
(153,720
|
)
|
|
$
|
957,533
|
|
|
|
|
|
Residential Securities
and Loans
|
|
|
|
|
|
|
||||||||||||||
|
|
Servicing and Originations
|
|
Real Estate
Securities
|
|
Residential Mortgage Loans
|
|
Consumer
Loans
|
|
Corporate
|
|
Total
|
||||||||||||
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investments
|
|
$
|
7,707,089
|
|
|
$
|
8,071,140
|
|
|
$
|
2,544,984
|
|
|
$
|
1,425,675
|
|
|
$
|
—
|
|
|
$
|
19,748,888
|
|
Cash and cash equivalents
|
|
183,306
|
|
|
38,728
|
|
|
15,483
|
|
|
40,687
|
|
|
17,594
|
|
|
295,798
|
|
||||||
Restricted cash
|
|
104,123
|
|
|
—
|
|
|
—
|
|
|
46,129
|
|
|
—
|
|
|
150,252
|
|
||||||
Other assets
|
|
747,997
|
|
|
1,098,921
|
|
|
113,035
|
|
|
28,621
|
|
|
30,050
|
|
|
2,018,624
|
|
||||||
Goodwill
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total assets
|
|
$
|
8,742,515
|
|
|
$
|
9,208,789
|
|
|
$
|
2,673,502
|
|
|
$
|
1,541,112
|
|
|
$
|
47,644
|
|
|
$
|
22,213,562
|
|
Debt
|
|
$
|
5,771,369
|
|
|
$
|
6,534,300
|
|
|
$
|
2,108,007
|
|
|
$
|
1,332,854
|
|
|
$
|
—
|
|
|
$
|
15,746,530
|
|
Other liabilities
|
|
189,840
|
|
|
1,200,905
|
|
|
23,917
|
|
|
6,596
|
|
|
249,612
|
|
|
1,670,870
|
|
||||||
Total liabilities
|
|
5,961,209
|
|
|
7,735,205
|
|
|
2,131,924
|
|
|
1,339,450
|
|
|
249,612
|
|
|
17,417,400
|
|
||||||
Total equity
|
|
2,781,306
|
|
|
1,473,584
|
|
|
541,578
|
|
|
201,662
|
|
|
(201,968
|
)
|
|
4,796,162
|
|
||||||
Noncontrolling interests in equity of consolidated subsidiaries
|
|
71,491
|
|
|
—
|
|
|
—
|
|
|
34,466
|
|
|
—
|
|
|
105,957
|
|
||||||
Total New Residential stockholders’ equity
|
|
$
|
2,709,815
|
|
|
$
|
1,473,584
|
|
|
$
|
541,578
|
|
|
$
|
167,196
|
|
|
$
|
(201,968
|
)
|
|
$
|
4,690,205
|
|
Investments in equity method investees
|
|
$
|
171,765
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
51,412
|
|
|
$
|
—
|
|
|
$
|
223,177
|
|
|
|
|
Residential Securities
and Loans
|
|
|
|
|
|
|
||||||||||||||
|
Servicing and Originations
|
|
Real Estate
Securities
|
|
Residential Mortgage Loans
|
|
Consumer
Loans
|
|
Corporate
|
|
Total
|
||||||||||||
Year Ended December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest income
|
$
|
519,950
|
|
|
$
|
265,862
|
|
|
$
|
56,249
|
|
|
$
|
232,750
|
|
|
$
|
1,924
|
|
|
$
|
1,076,735
|
|
Interest expense
|
244,039
|
|
|
49,283
|
|
|
25,675
|
|
|
54,427
|
|
|
—
|
|
|
373,424
|
|
||||||
Net interest income (expense)
|
275,911
|
|
|
216,579
|
|
|
30,574
|
|
|
178,323
|
|
|
1,924
|
|
|
703,311
|
|
||||||
Impairment
|
—
|
|
|
10,264
|
|
|
23,870
|
|
|
53,846
|
|
|
—
|
|
|
87,980
|
|
||||||
Servicing revenue, net
|
118,169
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
118,169
|
|
||||||
Gain on sale of originated mortgage loans, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other income (loss)
|
6,774
|
|
|
(47,747
|
)
|
|
26,779
|
|
|
76,518
|
|
|
13
|
|
|
62,337
|
|
||||||
Operating expenses
|
15,676
|
|
|
1,480
|
|
|
14,961
|
|
|
39,466
|
|
|
102,627
|
|
|
174,210
|
|
||||||
Income (Loss) Before Income Taxes
|
385,178
|
|
|
157,088
|
|
|
18,522
|
|
|
161,529
|
|
|
(100,690
|
)
|
|
621,627
|
|
||||||
Income tax (benefit) expense
|
36,719
|
|
|
—
|
|
|
2,117
|
|
|
75
|
|
|
—
|
|
|
38,911
|
|
||||||
Net Income (Loss)
|
$
|
348,459
|
|
|
$
|
157,088
|
|
|
$
|
16,405
|
|
|
$
|
161,454
|
|
|
$
|
(100,690
|
)
|
|
$
|
582,716
|
|
Noncontrolling interests in income of consolidated subsidiaries
|
$
|
40,136
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
38,127
|
|
|
$
|
—
|
|
|
$
|
78,263
|
|
Net income (loss) attributable to common stockholders
|
$
|
308,323
|
|
|
$
|
157,088
|
|
|
$
|
16,405
|
|
|
$
|
123,327
|
|
|
$
|
(100,690
|
)
|
|
$
|
504,453
|
|
|
|
Servicer
|
||||||||||||||
|
|
Nationstar
|
|
SLS
(A)
|
|
Ocwen
(B)
|
|
Total
|
||||||||
Balance as of December 31, 2016
|
|
$
|
611,293
|
|
|
$
|
3,935
|
|
|
$
|
784,227
|
|
|
$
|
1,399,455
|
|
Purchases
|
|
—
|
|
|
—
|
|
|
(71,982
|
)
|
|
(71,982
|
)
|
||||
Interest income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Other income
|
|
46,393
|
|
|
(191
|
)
|
|
56,851
|
|
|
103,053
|
|
||||
Proceeds from repayments
|
|
2,384
|
|
|
—
|
|
|
1,993
|
|
|
4,377
|
|
||||
Proceeds from sales
|
|
(120,485
|
)
|
|
(1,400
|
)
|
|
(130,122
|
)
|
|
(252,007
|
)
|
||||
Change in fair value
|
|
(13,505
|
)
|
|
—
|
|
|
—
|
|
|
(13,505
|
)
|
||||
Ocwen Transaction (Note 5)
|
|
6,153
|
|
|
569
|
|
|
(2,400
|
)
|
|
4,322
|
|
||||
Balance as of December 31, 2017
|
|
532,233
|
|
|
2,913
|
|
|
638,567
|
|
|
1,173,713
|
|
||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Interest income
|
|
44,386
|
|
|
54
|
|
|
—
|
|
|
44,440
|
|
||||
Other income
|
|
6,444
|
|
|
—
|
|
|
40,417
|
|
|
46,861
|
|
||||
Proceeds from repayments
|
|
(100,215
|
)
|
|
(632
|
)
|
|
(26,946
|
)
|
|
(127,793
|
)
|
||||
Proceeds from sales
|
|
(19,084
|
)
|
|
—
|
|
|
—
|
|
|
(19,084
|
)
|
||||
Change in fair value
|
|
(18,436
|
)
|
|
197
|
|
|
(40,417
|
)
|
|
(58,656
|
)
|
||||
Ocwen Transaction (Note 5)
|
|
—
|
|
|
—
|
|
|
(611,621
|
)
|
|
(611,621
|
)
|
||||
Balance as of December 31, 2018
|
|
$
|
445,328
|
|
|
$
|
2,532
|
|
|
$
|
—
|
|
|
$
|
447,860
|
|
(A)
|
Specialized Loan Servicing LLC (“SLS”).
|
(B)
|
Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advance Investments.
|
|
December 31, 2018
|
||||||||||||||||||
|
UPB of Underlying Mortgages
|
|
Interest in Excess MSR
|
|
Weighted Average Life Years
(A)
|
|
Amortized Cost Basis
(B)
|
|
Carrying Value
(C)
|
||||||||||
|
|
|
New Residential
(D)
|
|
Fortress-managed funds
|
|
Nationstar
|
|
|
|
|
|
|
||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Original and Recaptured Pools
|
$
|
52,368,290
|
|
|
32.5% - 66.7% (53.3%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
5.6
|
|
$
|
203,675
|
|
|
$
|
226,452
|
|
Recapture Agreements
|
—
|
|
|
32.5% - 66.7% (53.3%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
12.8
|
|
15,122
|
|
|
30,935
|
|
|||
|
52,368,290
|
|
|
|
|
|
|
|
|
6.1
|
|
218,797
|
|
|
257,387
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-Agency
(E)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
54,058,073
|
|
|
33.3% - 100.0% (59.4%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
5.8
|
|
$
|
138,314
|
|
|
$
|
172,712
|
|
Recapture Agreements
|
—
|
|
|
33.3% - 100.0% (59.4%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
12.8
|
|
4,216
|
|
|
17,761
|
|
|||
|
54,058,073
|
|
|
|
|
|
|
|
|
6.0
|
|
142,530
|
|
|
190,473
|
|
|||
Total
|
$
|
106,426,363
|
|
|
|
|
|
|
|
|
6.1
|
|
$
|
361,327
|
|
|
$
|
447,860
|
|
|
December 31, 2017
|
||||||||||||||||||
|
UPB of Underlying Mortgages
|
|
Interest in Excess MSR
|
|
Weighted Average Life Years
(A)
|
|
Amortized Cost Basis
(B)
|
|
Carrying Value
(C)
|
||||||||||
|
|
|
New Residential
(D)
|
|
Fortress-managed funds
|
|
Nationstar
|
|
|
|
|
|
|
||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
63,839,281
|
|
|
32.5% - 66.7% (53.5%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
5.8
|
|
$
|
249,003
|
|
|
$
|
280,033
|
|
Recapture Agreements
|
—
|
|
|
32.5% - 66.7% (53.5%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
11.4
|
|
18,944
|
|
|
44,603
|
|
|||
|
63,839,281
|
|
|
|
|
|
|
|
|
6.2
|
|
267,947
|
|
|
324,636
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-Agency
(E)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
64,146,430
|
|
|
33.3% - 100.0% (59.6%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
5.4
|
|
$
|
154,938
|
|
|
$
|
190,696
|
|
Recapture Agreements
|
—
|
|
|
33.3% - 100.0% (59.6%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
11.3
|
|
7,489
|
|
|
19,814
|
|
|||
Ocwen Serviced Pools
|
89,135,588
|
|
|
100.0%
|
|
—%
|
|
—%
|
|
6.5
|
|
598,149
|
|
|
638,567
|
|
|||
|
153,282,018
|
|
|
|
|
|
|
|
|
6.4
|
|
760,576
|
|
|
849,077
|
|
|||
Total
|
$
|
217,121,299
|
|
|
|
|
|
|
|
|
6.4
|
|
$
|
1,028,523
|
|
|
$
|
1,173,713
|
|
(A)
|
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.
|
(C)
|
Carrying Value represents the fair value of the pools or recapture agreements, as applicable.
|
(D)
|
Amounts in parentheses represent weighted averages.
|
(E)
|
New Residential also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of
December 31, 2018
and
2017
(Note 6) on
$40.1 billion
and
$139.5 billion
UPB, respectively, underlying these Excess MSRs.
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Original and Recaptured Pools
|
$
|
(50,030
|
)
|
|
$
|
(5,630
|
)
|
|
$
|
(11,221
|
)
|
Recapture Agreements
|
(8,626
|
)
|
|
9,952
|
|
|
3,924
|
|
|||
|
$
|
(58,656
|
)
|
|
$
|
4,322
|
|
|
$
|
(7,297
|
)
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Excess MSR assets
|
$
|
269,203
|
|
|
$
|
321,197
|
|
Other assets
|
27,411
|
|
|
22,333
|
|
||
Other liabilities
|
(687
|
)
|
|
—
|
|
||
Equity
|
$
|
295,927
|
|
|
$
|
343,530
|
|
New Residential’s investment
|
$
|
147,964
|
|
|
$
|
171,765
|
|
|
|
|
|
||||
New Residential’s ownership
|
50.0
|
%
|
|
50.0
|
%
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Interest income
|
$
|
26,363
|
|
|
$
|
27,450
|
|
|
$
|
36,502
|
|
Other income (loss)
|
(9,649
|
)
|
|
(2,149
|
)
|
|
(3,359
|
)
|
|||
Expenses
|
—
|
|
|
(68
|
)
|
|
(91
|
)
|
|||
Net income
|
$
|
16,714
|
|
|
$
|
25,233
|
|
|
$
|
33,052
|
|
|
2018
|
|
2017
|
||||
Balance at beginning of period
|
$
|
171,765
|
|
|
$
|
194,788
|
|
Contributions to equity method investees
|
—
|
|
|
—
|
|
||
Distributions of earnings from equity method investees
|
(11,059
|
)
|
|
(13,668
|
)
|
||
Distributions of capital from equity method investees
|
(21,099
|
)
|
|
(21,972
|
)
|
||
Change in fair value of investments in equity method investees
|
8,357
|
|
|
12,617
|
|
||
Balance at end of period
|
$
|
147,964
|
|
|
$
|
171,765
|
|
|
December 31, 2018
|
||||||||||||||||
|
Unpaid Principal Balance
|
|
Investee Interest in Excess MSR
(A)
|
|
New Residential Interest in Investees
|
|
Amortized Cost Basis
(B)
|
|
Carrying Value
(C)
|
|
Weighted Average Life (Years)
(D)
|
||||||
Agency
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Original and Recaptured Pools
|
$
|
41,707,963
|
|
|
66.7%
|
|
50.0%
|
|
$
|
178,560
|
|
|
$
|
228,779
|
|
|
5.5
|
Recapture Agreements
|
—
|
|
|
66.7%
|
|
50.0%
|
|
19,701
|
|
|
40,424
|
|
|
12.7
|
|||
Total
|
$
|
41,707,963
|
|
|
|
|
|
|
$
|
198,261
|
|
|
$
|
269,203
|
|
|
6.2
|
|
December 31, 2017
|
||||||||||||||||
|
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
|
$
|
50,501,054
|
|
|
66.7%
|
|
50.0%
|
|
$
|
209,924
|
|
|
$
|
271,785
|
|
|
5.7
|
Recapture Agreements
|
—
|
|
|
66.7%
|
|
50.0%
|
|
23,571
|
|
|
49,412
|
|
|
11.4
|
|||
|
$
|
50,501,054
|
|
|
|
|
|
|
$
|
233,495
|
|
|
$
|
321,197
|
|
|
6.3
|
(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.
|
Date of Acquisition
|
|
Collateral Type
(A)
|
|
UPB
(in billions)
|
|
Purchase Price
(in millions)
|
||||
January 16, 2018
|
|
Agency
|
|
$
|
11.5
|
|
|
$
|
101.5
|
|
January 16, 2018
|
|
Agency
|
|
7.8
|
|
|
81.0
|
|
||
February 28, 2018
|
|
Agency
|
|
3.3
|
|
|
33.5
|
|
||
March 28, 2018
|
|
Agency & Ginnie Mae
|
|
8.1
|
|
|
96.6
|
|
||
May 1, 2018
|
|
Ginnie Mae
|
|
4.6
|
|
|
36.2
|
|
||
May 25, 2018
|
|
Agency
|
|
2.1
|
|
|
26.3
|
|
||
May 31, 2018
|
|
Agency & Ginnie Mae
|
|
6.1
|
|
|
79.9
|
|
||
June 1, 2018
|
|
Ginnie Mae
|
|
0.5
|
|
|
6.1
|
|
||
June 4, 2018
|
|
Agency
|
|
2.1
|
|
|
19.3
|
|
||
June 28, 2018
|
|
Ginnie Mae
|
|
4.7
|
|
|
66.5
|
|
||
August 31, 2018
|
|
Agency & Ginnie Mae
|
|
18.5
|
|
|
220.5
|
|
||
September 28, 2018
|
|
Agency
|
|
1.1
|
|
|
13.6
|
|
||
September 28, 2018
|
|
Agency
|
|
10.1
|
|
|
126.4
|
|
||
November 8, 2018
|
|
Ginnie Mae
|
|
0.1
|
|
|
1.5
|
|
||
December 31, 2018
|
|
Agency & Ginnie Mae
|
|
7.0
|
|
|
81.4
|
|
||
December 31, 2018
|
|
Agency
|
|
9.8
|
|
|
135.7
|
|
||
Various
(B)
|
|
Agency
|
|
5.6
|
|
|
60.0
|
|
||
Total
|
|
|
|
$
|
103.0
|
|
|
$
|
1,186.0
|
|
(A)
|
“Agency” represents Fannie Mae and Freddie Mac MSRs.
|
(B)
|
Represents Flow MSR acquisitions primarily from Ditech and Shellpoint for the year ended
December 31, 2018
.
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Servicing fee revenue
|
$
|
589,546
|
|
|
$
|
412,971
|
|
|
$
|
29,168
|
|
Ancillary and other fees
|
130,294
|
|
|
79,050
|
|
|
676
|
|
|||
Servicing fee revenue and fees
|
719,840
|
|
|
492,021
|
|
|
29,844
|
|
|||
Amortization of servicing rights
(A)
|
(256,915
|
)
|
|
(223,167
|
)
|
|
(15,354
|
)
|
|||
Change in valuation inputs and assumptions
(B) (C)
|
68,587
|
|
|
155,495
|
|
|
103,679
|
|
|||
(Gain)/loss on sales
(D)
|
(2,917
|
)
|
|
—
|
|
|
—
|
|
|||
Servicing revenue, net
|
$
|
528,595
|
|
|
$
|
424,349
|
|
|
$
|
118,169
|
|
(A)
|
Includes
$1.2 million
,
$0.0 million
and
$0.0 million
of amortization to Excess spread financing for the years ended
December 31, 2018
,
2017
, and
2016
, respectively.
|
(B)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
|
(C)
|
Includes
$7.4 million
,
$0.0 million
and
$0.0 million
of fair value adjustment to Excess spread financing for the years ended
December 31, 2018
,
2017
, and
2016
, respectively.
|
(D)
|
Represents the realization of unrealized gain/(loss) as a result of sales.
|
Balance as of December 31, 2016
|
|
$
|
659,483
|
|
Purchases
|
|
1,143,693
|
|
|
Amortization of servicing rights
(A)
|
|
(223,167
|
)
|
|
Change in valuation inputs and assumptions
(B)
|
|
155,495
|
|
|
Balance as of December 31, 2017
|
|
$
|
1,735,504
|
|
Purchases
|
|
1,042,933
|
|
|
Transfer In
(C)
|
|
124,652
|
|
|
Shellpoint Acquisition
(D) (E)
|
|
151,312
|
|
|
Originations
(F)
|
|
35,311
|
|
|
Proceeds from sales
|
|
(5,776
|
)
|
|
Amortization of servicing rights
(A)
|
|
(258,068
|
)
|
|
Change in valuation inputs and assumptions
(B)
|
|
61,149
|
|
|
(Gain)/loss on sales
(G)
|
|
(2,917
|
)
|
|
Balance as of December 31, 2018
|
|
$
|
2,884,100
|
|
(A)
|
Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans.
|
(B)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
|
(C)
|
Represents Ginnie Mae MSRs previously accounted for as Mortgage Servicing Rights Financing Receivable.
|
(D)
|
Represents MSRs acquired through New Residential’s acquisition of Shellpoint Partners LLC.
|
(E)
|
Includes
$48.3 million
of MSRs legally sold by New Penn treated as a secured borrowing as it did not meet the criteria for sale treatment. New Residential elected to record the excess spread financing liability at fair value pursuant to the fair value option.
|
(F)
|
Represents MSRs retained on the sale of originated mortgage loans.
|
(G)
|
Represents the realization of unrealized gain/(loss) as a result of sales.
|
|
UPB of Underlying Mortgages
|
|
Weighted Average Life (Years)
(A)
|
|
Amortized Cost Basis
|
|
Carrying Value
(B)
|
||||||
2018
|
|
|
|
|
|
|
|
||||||
Agency
(C)
|
$
|
226,295,778
|
|
|
6.4
|
|
$
|
2,189,039
|
|
|
$
|
2,506,676
|
|
Non-Agency
|
2,143,212
|
|
|
6.6
|
|
19,982
|
|
|
22,438
|
|
|||
Ginnie Mae
|
30,023,713
|
|
|
7.4
|
|
357,673
|
|
|
354,986
|
|
|||
Total
|
$
|
258,462,703
|
|
|
6.5
|
|
$
|
2,566,694
|
|
|
$
|
2,884,100
|
|
2017
|
|
|
|
|
|
|
|
||||||
Agency
|
$
|
172,392,496
|
|
|
6.3
|
|
$
|
1,476,330
|
|
|
$
|
1,735,504
|
|
Non-Agency
|
61,654
|
|
|
5.6
|
|
—
|
|
|
—
|
|
|||
Total
|
$
|
172,454,150
|
|
|
6.3
|
|
$
|
1,476,330
|
|
|
$
|
1,735,504
|
|
(A)
|
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
Carrying Value represents fair value. As of
December 31, 2018
and
2017
, weighted average discount rates of
8.7%
and
9.1%
, respectively, were used to value New Residential’s investments in MSRs.
|
(C)
|
Represents Fannie Mae and Freddie Mac MSRs.
|
•
|
the Existing Ocwen Subject MSRs will remain in the parties’ ownership structure under the Existing Ocwen Agreements while they continue to seek third party consents to transfer Ocwen’s remaining rights to the Existing Ocwen Subject MSRs to New Residential or any permitted assignee of New Residential;
|
•
|
Ocwen will continue to service the related mortgage loans pursuant to the terms of the Ocwen Servicing Addendum until the transfer of the Existing Ocwen Subject MSRs;
|
•
|
under the arrangements contemplated by the New Ocwen RMSR Agreement, Ocwen will receive substantially identical compensation for servicing the related mortgage loans underlying the Existing Ocwen Subject MSRs that it would receive if the Existing Ocwen Subject MSRs had been transferred to NRM as named servicer and Ocwen subserviced such mortgage loans for NRM as named servicer;
|
•
|
in the event that the required third party consents are not obtained with respect to any Existing Ocwen Subject MSRs by certain dates specified in the New Ocwen RMSR Agreement, in accordance with the process set forth in the New Ocwen RMSR Agreement, the Rights to MSRs (as defined in the Existing Ocwen Agreements) related to such Existing Ocwen Subject MSRs could either: (i) remain subject to the New Ocwen RMSR Agreement at the option of New Residential, (ii) if New Residential does not opt for the New Ocwen RMSR Agreement to remain in place with respect to certain Existing Ocwen Subject MSRs, Ocwen may acquire such Existing Ocwen Subject MSRs at a price determined in accordance with the terms of the New Ocwen RMSR Agreement, or (iii) if Ocwen does not acquire such Existing Ocwen Subject MSRs, be sold to a third party in accordance with the terms of the New Ocwen RMSR Agreement, as determined pursuant to the terms of the New Ocwen RMSR Agreement;
|
•
|
New Residential agreed to waive any rights New Residential may have had under the Existing Ocwen Agreements to replace Ocwen as named servicer with respect to the Existing Ocwen Subject MSRs based on Ocwen’s residential servicer rating agency related downgrades; and
|
•
|
Ocwen will offer refinancing opportunities to borrowers and New Residential is entitled to the MSRs on any initial or subsequent refinancing by Ocwen of a loan in the original portfolio.
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
||||
Servicing fee revenue
|
$
|
705,812
|
|
|
$
|
94,945
|
|
Ancillary and other fees
|
146,829
|
|
|
17,313
|
|
||
Less: subservicing expense
|
(251,184
|
)
|
|
(33,686
|
)
|
||
Interest income, investments in mortgage servicing rights financing receivables
|
$
|
601,457
|
|
|
$
|
78,572
|
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
||||
Amortization of servicing rights
|
$
|
(197,703
|
)
|
|
$
|
(43,190
|
)
|
Change in valuation inputs and assumptions
(A)
|
230,036
|
|
|
109,584
|
|
||
(Gain)/loss on sales
(B)
|
(783
|
)
|
|
—
|
|
||
Change in fair value of investments in mortgage servicing rights financing receivables
|
$
|
31,550
|
|
|
$
|
66,394
|
|
(A)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
|
(B)
|
Represents the realization of unrealized gain/(loss) as a result of sales.
|
Balance as of December 31, 2016
|
|
$
|
—
|
|
Purchases
|
|
467,884
|
|
|
Ocwen Transaction
|
|
64,450
|
|
|
Amortization of servicing rights
(A)
|
|
(43,190
|
)
|
|
Change in valuation inputs and assumptions
(B)
|
|
109,584
|
|
|
Balance as of December 31, 2017
|
|
$
|
598,728
|
|
Purchases
|
|
128,357
|
|
|
Transfer Out
(C)
|
|
(124,652
|
)
|
|
New Ocwen Agreements
|
|
1,017,993
|
|
|
Proceeds from sales
|
|
(7,472
|
)
|
|
Amortization of servicing rights
(A)
|
|
(197,703
|
)
|
|
Change in valuation inputs and assumptions
(B)
|
|
230,036
|
|
|
(Gain)/loss on sales
(D)
|
|
(783
|
)
|
|
Balance as of December 31, 2018
|
|
$
|
1,644,504
|
|
(A)
|
Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans.
|
(B)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
|
(C)
|
Represents Ginnie Mae MSRs owned by New Penn accounted for as Mortgage Servicing Rights as a result of the Shellpoint Acquisition.
|
(D)
|
Represents the realization of unrealized gain/(loss) as a result of sales.
|
|
UPB of Underlying Mortgages
|
|
Weighted Average Life (Years)
(A)
|
|
Amortized Cost Basis
|
|
Carrying Value
(B)
|
||||||
December 31, 2018
|
|
|
|
|
|
|
|
||||||
Agency
|
$
|
42,265,547
|
|
|
5.9
|
|
$
|
366,946
|
|
|
$
|
434,110
|
|
Non-Agency
|
88,251,018
|
|
|
7.2
|
|
936,792
|
|
|
1,210,394
|
|
|||
Total
|
$
|
130,516,565
|
|
|
6.8
|
|
$
|
1,303,738
|
|
|
$
|
1,644,504
|
|
December 31, 2017
|
|
|
|
|
|
|
|
||||||
Agency
|
$
|
49,498,415
|
|
|
5.9
|
|
$
|
428,657
|
|
|
$
|
476,206
|
|
Non-Agency
|
14,846,478
|
|
|
5.6
|
|
60,487
|
|
|
122,522
|
|
|||
Total
|
$
|
64,344,893
|
|
|
5.8
|
|
$
|
489,144
|
|
|
$
|
598,728
|
|
(A)
|
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
Carrying Value represents fair value. As of
December 31, 2018
and
2017
, weighted average discount rates of
10.3%
and
9.4%
, respectively, were used to value New Residential’s investments in mortgage servicing rights financing receivables.
|
|
|
Percentage of Total Outstanding Unpaid Principal Amount
|
||||
State Concentration
|
|
December 31, 2018
|
|
December 31, 2017
|
||
California
|
|
21.7
|
%
|
|
19.0
|
%
|
New York
|
|
7.8
|
%
|
|
6.3
|
%
|
Florida
|
|
6.9
|
%
|
|
6.0
|
%
|
Texas
|
|
5.3
|
%
|
|
5.7
|
%
|
New Jersey
|
|
5.0
|
%
|
|
5.2
|
%
|
Illinois
|
|
3.7
|
%
|
|
4.1
|
%
|
Massachusetts
|
|
3.5
|
%
|
|
3.8
|
%
|
Maryland
|
|
3.4
|
%
|
|
2.8
|
%
|
Pennsylvania
|
|
3.1
|
%
|
|
3.3
|
%
|
Virginia
|
|
3.1
|
%
|
|
3.1
|
%
|
Other U.S.
|
|
36.5
|
%
|
|
40.7
|
%
|
|
|
100.0
|
%
|
|
100.0
|
%
|
|
|
December 31, 2018
|
|
December 31, 2017
|
||||
Principal and interest advances
|
|
$
|
793,790
|
|
|
$
|
172,467
|
|
Escrow advances (taxes and insurance advances)
|
|
2,186,831
|
|
|
482,884
|
|
||
Foreclosure advances
|
|
199,203
|
|
|
16,017
|
|
||
Total
(A) (B) (C)
|
|
$
|
3,179,824
|
|
|
$
|
671,368
|
|
(A)
|
Includes
$231.2 million
and
$167.9 million
of servicer advances receivable related to Fannie Mae and Freddie Mac MSRs, respectively, recoverable from such agencies.
|
(B)
|
Includes
$41.6 million
and
$0.0 million
of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. Reserves for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption.
|
(C)
|
Net of
$98.0 million
in accrued advance recoveries and
$4.2 million
in unamortized discount and accrual for advance recoveries, respectively.
|
|
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 for Year then Ended
|
||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Servicer Advance Investments
|
$
|
721,801
|
|
|
$
|
735,846
|
|
|
5.9
|
%
|
|
5.8
|
%
|
|
5.7
|
|
$
|
(89,332
|
)
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Servicer Advance Investments
|
$
|
3,924,003
|
|
|
$
|
4,027,379
|
|
|
6.8
|
%
|
|
7.3
|
%
|
|
5.1
|
|
$
|
84,418
|
|
(A)
|
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
|
(B)
|
Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.
|
|
|
|
|
|
|
|
|
|
Loan-to-Value (“LTV”)
(A)
|
|
Cost of Funds
(C)
|
|||||||||||||||
|
UPB of Underlying Residential Mortgage Loans
|
|
Outstanding Servicer Advances
|
|
Servicer Advances to UPB of Underlying Residential Mortgage Loans
|
|
Face Amount of Notes and Bonds Payable
|
|
Gross
|
|
Net
(B)
|
|
Gross
|
|
Net
|
|||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Servicer Advance Investments
(D)
|
$
|
40,096,998
|
|
|
$
|
620,050
|
|
|
1.5
|
%
|
|
$
|
574,117
|
|
|
88.3
|
%
|
|
87.2
|
%
|
|
3.7
|
%
|
|
3.1
|
%
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Servicer Advance Investments
(D)
|
$
|
139,460,371
|
|
|
$
|
3,581,876
|
|
|
2.6
|
%
|
|
$
|
3,461,718
|
|
|
93.2
|
%
|
|
92.0
|
%
|
|
3.3
|
%
|
|
3.0
|
%
|
(A)
|
Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
|
(B)
|
Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
|
(C)
|
Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees.
|
(D)
|
The following types of advances are included in the Servicer Advance Investments:
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Principal and interest advances
|
$
|
108,317
|
|
|
$
|
909,133
|
|
Escrow advances (taxes and insurance advances)
|
238,349
|
|
|
1,636,381
|
|
||
Foreclosure advances
|
273,384
|
|
|
1,036,362
|
|
||
Total
|
$
|
620,050
|
|
|
$
|
3,581,876
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Interest income, gross of amounts attributable to servicer compensation
|
$
|
83,807
|
|
|
$
|
871,506
|
|
|
$
|
922,006
|
|
Amounts attributable to base servicer compensation
|
(8,491
|
)
|
|
(227,585
|
)
|
|
(127,631
|
)
|
|||
Amounts attributable to incentive servicer compensation
|
(25,098
|
)
|
|
(115,565
|
)
|
|
(430,025
|
)
|
|||
Interest income from Servicer Advance Investments
|
$
|
50,218
|
|
|
$
|
528,356
|
|
|
$
|
364,350
|
|
|
|
As of December 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Assets
|
|
|
|
|
||||
Servicer advance investments, at fair value
|
|
$
|
713,239
|
|
|
$
|
1,002,102
|
|
Cash and cash equivalents
|
|
29,833
|
|
|
40,929
|
|
||
All other assets
|
|
10,223
|
|
|
13,011
|
|
||
Total assets
(A)
|
|
$
|
753,295
|
|
|
$
|
1,056,042
|
|
Liabilities
|
|
|
|
|
||||
Notes and bonds payable
|
|
$
|
556,340
|
|
|
$
|
789,979
|
|
All other liabilities
|
|
2,442
|
|
|
3,308
|
|
||
Total liabilities
(A)
|
|
$
|
558,782
|
|
|
$
|
793,287
|
|
(A)
|
The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations.
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Total Advance Purchaser LLC equity
|
$
|
194,513
|
|
|
$
|
262,755
|
|
Others’ ownership interest
|
26.8
|
%
|
|
27.2
|
%
|
||
Others’ interest in equity of consolidated subsidiary
|
$
|
52,066
|
|
|
$
|
71,491
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Net Advance Purchaser LLC income
|
$
|
7,209
|
|
|
$
|
23,604
|
|
|
$
|
72,159
|
|
Others’ ownership interest as a percent of total
(A)
|
27.4
|
%
|
|
47.6
|
%
|
|
55.6
|
%
|
|||
Others’ interest in net income of consolidated subsidiaries
|
$
|
1,978
|
|
|
$
|
11,227
|
|
|
$
|
40,136
|
|
(A)
|
As a result, New Residential owned
72.6%
,
52.4%
and
44.4%
of the Buyer, on average during the years ended
December 31, 2018
,
2017
and
2016
, respectively.
|
|
Year Ended December 31, 2018
|
|
Year Ended December 31, 2017
|
||||||||||||||||||||
|
(in millions)
|
|
(in millions)
|
||||||||||||||||||||
|
Treasury
|
|
Agency
|
|
Non-Agency
|
|
Treasury
|
|
Agency
|
|
Non-Agency
|
||||||||||||
Purchases
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Face
|
$
|
—
|
|
|
$
|
11,006.7
|
|
|
$
|
9,194.8
|
|
|
$
|
1,552.0
|
|
|
$
|
7,135.2
|
|
|
$
|
7,606.5
|
|
Purchase Price
|
—
|
|
|
11,121.6
|
|
|
3,854.4
|
|
|
1,545.3
|
|
|
7,367.8
|
|
|
3,053.0
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Sales
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Face
|
$
|
862.0
|
|
|
$
|
9,485.0
|
|
|
$
|
115.0
|
|
|
$
|
690.0
|
|
|
$
|
7,310.7
|
|
|
$
|
235.1
|
|
Amortized Cost
|
858.0
|
|
|
9,590.6
|
|
|
87.7
|
|
|
687.2
|
|
|
7,536.6
|
|
|
164.3
|
|
||||||
Sale Price
|
849.8
|
|
|
9,569.2
|
|
|
86.4
|
|
|
686.7
|
|
|
7,539.6
|
|
|
182.4
|
|
||||||
Gain (Loss) on Sale
|
(8.2
|
)
|
|
(21.4
|
)
|
|
(1.3
|
)
|
|
(0.5
|
)
|
|
3.0
|
|
|
18.0
|
|
|
|
|
|
|
|
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)
|
||||||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Agency RMBS
(F)(G)
|
|
$
|
2,613,395
|
|
|
$
|
2,657,917
|
|
|
$
|
7,744
|
|
|
$
|
(43
|
)
|
|
$
|
2,665,618
|
|
|
31
|
|
|
AAA
|
|
4.01
|
%
|
|
3.70
|
%
|
|
8.1
|
|
N/A
|
|
Non-Agency RMBS
(H) (I)
|
|
19,539,450
|
|
|
8,554,511
|
|
|
517,861
|
|
|
(101,409
|
)
|
|
8,970,963
|
|
|
897
|
|
|
B+
|
|
3.40
|
%
|
|
5.63
|
%
|
|
6.9
|
|
12.4
|
%
|
|||||
Total/Weighted Average
|
|
$
|
22,152,845
|
|
|
$
|
11,212,428
|
|
|
$
|
525,605
|
|
|
$
|
(101,452
|
)
|
|
$
|
11,636,581
|
|
|
928
|
|
|
BB+
|
|
3.53
|
%
|
|
5.17
|
%
|
|
7.2
|
|
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Treasury
|
|
$
|
862,000
|
|
|
$
|
858,028
|
|
|
$
|
—
|
|
|
$
|
(5,294
|
)
|
|
$
|
852,734
|
|
|
3
|
|
|
AAA
|
|
2.21
|
%
|
|
2.27
|
%
|
|
8.1
|
|
N/A
|
|
Agency RMBS
(F)(G)
|
|
1,203,629
|
|
|
1,247,093
|
|
|
1,176
|
|
|
(4,652
|
)
|
|
1,243,617
|
|
|
98
|
|
|
AAA
|
|
3.49
|
%
|
|
2.83
|
%
|
|
7.0
|
|
N/A
|
|
|||||
Non-Agency RMBS
(H) (I)
|
|
12,757,357
|
|
|
5,599,644
|
|
|
423,504
|
|
|
(48,359
|
)
|
|
5,974,789
|
|
|
751
|
|
|
CCC-
|
|
2.27
|
%
|
|
5.66
|
%
|
|
7.7
|
|
8.5
|
%
|
|||||
Total/Weighted Average
|
|
$
|
14,822,986
|
|
|
$
|
7,704,765
|
|
|
$
|
424,680
|
|
|
$
|
(58,305
|
)
|
|
$
|
8,071,140
|
|
|
852
|
|
|
B+
|
|
2.44
|
%
|
|
4.83
|
%
|
|
7.6
|
|
|
(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
252
bonds with a carrying value of
$722.1 million
which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies, and represent the most recent credit ratings available as of the reporting date and may not be current.
|
(C)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of
$299.7 million
and
$1.9 million
, respectively, for which no coupon payment is expected.
|
(D)
|
The weighted average life is based on the timing of expected principal reduction on the assets.
|
(E)
|
Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities.
|
(F)
|
Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac.
|
(G)
|
The total outstanding face amount was
$2.6 billion
and
$1.1 billion
for fixed rate securities and
$0.0 billion
and
$0.1 billion
for floating rate securities as of
December 31, 2018
and
2017
, respectively.
|
(H)
|
The total outstanding face amount was
$3.8 billion
(including
$1.5 billion
of residual and fair value option notional amount) and
$1.3 billion
(including
$0.7 billion
of residual and fair value option notional amount) for fixed rate securities and
$15.7 billion
(including
$7.4 billion
of residual and fair value option notional amount) and
$11.5 billion
(including
$4.5 billion
of residual and fair value option notional amount) for floating rate securities as of
December 31, 2018
and
2017
, respectively.
|
(I)
|
Includes (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by MSRs, (iii) bonds backed by consumer loans and (iv) corporate debt.
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying Value
|
|
Number of Securities
|
|
Rating
|
|
Coupon
|
|
Yield
|
|
Life (Years)
|
|
Principal Subordination
|
|||||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Corporate debt
|
|
$
|
85,000
|
|
|
$
|
85,000
|
|
|
$
|
—
|
|
|
$
|
(12,325
|
)
|
|
$
|
72,675
|
|
|
1
|
|
|
B-
|
|
8.25
|
%
|
|
8.25
|
%
|
|
6.3
|
|
N/A
|
Consumer loan bonds
|
|
56,846
|
|
|
57,480
|
|
|
33
|
|
|
(7,075
|
)
|
|
50,438
|
|
|
6
|
|
|
B
|
|
5.50
|
%
|
|
20.26
|
%
|
|
1.6
|
|
N/A
|
|||||
MSR bond
|
|
228,000
|
|
|
228,000
|
|
|
—
|
|
|
(400
|
)
|
|
227,600
|
|
|
2
|
|
|
BBB-
|
|
5.24
|
%
|
|
4.89
|
%
|
|
8.8
|
|
N/A
|
|||||
Fair Value Option Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Interest-only Securities
|
|
6,832,353
|
|
|
259,725
|
|
|
23,694
|
|
|
(13,025
|
)
|
|
270,394
|
|
|
79
|
|
|
AA+
|
|
1.38
|
%
|
|
6.58
|
%
|
|
3.0
|
|
N/A
|
|||||
Servicing Strips
|
|
975,048
|
|
|
8,588
|
|
|
1,720
|
|
|
(198
|
)
|
|
10,110
|
|
|
31
|
|
|
N/A
|
|
0.21
|
%
|
|
13.23
|
%
|
|
6.0
|
|
N/A
|
|||||
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Consumer loan bonds
|
|
$
|
29,690
|
|
|
$
|
29,780
|
|
|
$
|
971
|
|
|
$
|
(528
|
)
|
|
$
|
30,223
|
|
|
3
|
|
|
N/A
|
|
N/A
|
|
|
17.17
|
%
|
|
1.5
|
|
N/A
|
Fair Value Option Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Interest-only Securities
|
|
4,475,794
|
|
|
205,740
|
|
|
10,407
|
|
|
(9,887
|
)
|
|
206,260
|
|
|
49
|
|
|
AA-
|
|
1.51
|
%
|
|
5.33
|
%
|
|
3.2
|
|
N/A
|
|||||
Servicing Strips
|
|
450,974
|
|
|
4,958
|
|
|
1,613
|
|
|
(225
|
)
|
|
6,346
|
|
|
20
|
|
|
N/A
|
|
0.27
|
%
|
|
21.62
|
%
|
|
6.7
|
|
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
|
|
$
|
4,843,505
|
|
|
$
|
1,996,349
|
|
|
$
|
(5,996
|
)
|
|
$
|
1,990,353
|
|
|
$
|
(67,215
|
)
|
|
$
|
1,923,138
|
|
|
181
|
|
|
CCC+
|
|
3.46
|
%
|
|
5.02
|
%
|
|
6.3
|
12 or More Months
|
|
1,411,991
|
|
|
450,391
|
|
|
(831
|
)
|
|
449,560
|
|
|
(34,237
|
)
|
|
415,323
|
|
|
76
|
|
|
BB-
|
|
1.90
|
%
|
|
6.66
|
%
|
|
5.3
|
||||||
Total/Weighted Average
|
|
$
|
6,255,496
|
|
|
$
|
2,446,740
|
|
|
$
|
(6,827
|
)
|
|
$
|
2,439,913
|
|
|
$
|
(101,452
|
)
|
|
$
|
2,338,461
|
|
|
257
|
|
|
B-
|
|
3.17
|
%
|
|
5.32
|
%
|
|
6.1
|
(A)
|
This amount represents OTTI recorded on securities that are in an unrealized loss position as of
December 31, 2018
.
|
(B)
|
The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of
40
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
19
bonds which either have never been rated or for which rating information is no longer provided.
|
|
December 31, 2018
|
||||||||||||||
|
|
|
|
|
Gross Unrealized Losses
|
||||||||||
|
Fair Value
|
|
Amortized Cost Basis After Impairment
|
|
Credit
(A)
|
|
Non-Credit
(B)
|
||||||||
Securities New Residential intends to sell
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Securities New Residential is more likely than not to be required to sell
|
—
|
|
|
—
|
|
|
—
|
|
|
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
|
1,155,566
|
|
|
1,204,729
|
|
|
(6,827
|
)
|
|
(49,163
|
)
|
||||
Non-credit impaired securities
|
1,182,895
|
|
|
1,235,184
|
|
|
—
|
|
|
(52,289
|
)
|
||||
Total debt securities in an unrealized loss position
|
$
|
2,338,461
|
|
|
$
|
2,439,913
|
|
|
$
|
(6,827
|
)
|
|
$
|
(101,452
|
)
|
(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.
|
|
Year Ended December 31,
|
||||||
|
2018
|
|
2017
|
||||
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
$
|
23,821
|
|
|
$
|
15,495
|
|
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
|
16,924
|
|
|
3,903
|
|
||
Additions for credit losses on securities for which an OTTI was not previously recognized
|
13,093
|
|
|
6,431
|
|
||
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
|
(1,035
|
)
|
|
(2,008
|
)
|
||
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
$
|
52,803
|
|
|
$
|
23,821
|
|
|
|
December 31,
|
||||||||||||
|
|
2018
|
|
2017
|
||||||||||
Geographic Location
(A)
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
||||||
Western U.S.
|
|
$
|
7,318,616
|
|
|
37.7
|
%
|
|
$
|
4,882,136
|
|
|
38.4
|
%
|
Southeastern U.S.
|
|
4,613,314
|
|
|
23.8
|
%
|
|
3,005,519
|
|
|
23.6
|
%
|
||
Northeastern U.S.
|
|
3,829,725
|
|
|
19.7
|
%
|
|
2,555,514
|
|
|
20.1
|
%
|
||
Midwestern U.S.
|
|
2,063,263
|
|
|
10.6
|
%
|
|
1,337,980
|
|
|
10.5
|
%
|
||
Southwestern U.S.
|
|
1,321,853
|
|
|
6.8
|
%
|
|
927,647
|
|
|
7.3
|
%
|
||
Other
(B)
|
|
250,833
|
|
|
1.4
|
%
|
|
18,871
|
|
|
0.1
|
%
|
||
|
|
$
|
19,397,604
|
|
|
100.0
|
%
|
|
$
|
12,727,667
|
|
|
100.0
|
%
|
(A)
|
Excludes
$56.8 million
and
$29.7 million
face amount of bonds backed by consumer loans and
$85.0 million
and
$0.0 million
face amount of bonds backed by corporate debt as of
December 31, 2018
and
December 31, 2017
, respectively.
|
(B)
|
Represents collateral for which New Residential was unable to obtain geographic information.
|
|
Outstanding Face Amount
|
|
Carrying Value
|
||||
December 31, 2018
|
$
|
6,385,306
|
|
|
$
|
4,217,242
|
|
December 31, 2017
|
5,364,847
|
|
|
3,493,723
|
|
|
Year Ended December 31,
|
||||||
|
2018
|
|
2017
|
||||
Beginning Balance
|
$
|
2,000,266
|
|
|
$
|
1,200,125
|
|
Additions
|
397,934
|
|
|
863,681
|
|
||
Accretion
|
(290,014
|
)
|
|
(215,018
|
)
|
||
Reclassifications from (to) non-accretable difference
|
156,070
|
|
|
218,675
|
|
||
Disposals
|
(18,273
|
)
|
|
(67,197
|
)
|
||
Ending Balance
|
$
|
2,245,983
|
|
|
$
|
2,000,266
|
|
•
|
Loans Held-for-Investment (which may include PCD Loans)
|
•
|
Loans Held-for-Investment, at fair value
|
•
|
Loans Held-for-Sale, at lower of cost or fair value
|
•
|
Loans Held-for-Sale, at fair value
|
•
|
Real Estate Owned (“REO”)
|
December 31, 2018
|
Outstanding Face Amount
|
|
Carrying
Value |
|
Loan
Count |
|
Weighted Average Yield
|
|
Weighted Average Life (Years)
(A)
|
|
Floating Rate Loans as a % of Face Amount
|
|
LTV Ratio
(B)
|
|
Weighted Avg. Delinquency
(C)
|
|
Weighted Average FICO
(D)
|
||||||||||
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Performing Loans
(G) (J)
|
$
|
636,874
|
|
|
$
|
591,264
|
|
|
8,424
|
|
|
8.0
|
%
|
|
4.8
|
|
20.3
|
%
|
|
77.7
|
%
|
|
8.9
|
%
|
|
649
|
|
Purchased Credit Deteriorated Loans
(H)
|
191,497
|
|
|
144,065
|
|
|
1,556
|
|
|
7.6
|
%
|
|
3.1
|
|
16.4
|
%
|
|
84.6
|
%
|
|
71.5
|
%
|
|
596
|
|
||
Total Residential Mortgage Loans, held-for-investment
|
$
|
828,371
|
|
|
$
|
735,329
|
|
|
9,980
|
|
|
7.9
|
%
|
|
4.4
|
|
19.4
|
%
|
|
79.3
|
%
|
|
23.3
|
%
|
|
637
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reverse Mortgage Loans
(E) (F)
|
$
|
13,807
|
|
|
$
|
6,557
|
|
|
37
|
|
|
8.1
|
%
|
|
4.8
|
|
10.6
|
%
|
|
142.5
|
%
|
|
67.8
|
%
|
|
N/A
|
|
Performing Loans
(G) (I)
|
408,724
|
|
|
413,883
|
|
|
7,144
|
|
|
4.4
|
%
|
|
3.9
|
|
56.6
|
%
|
|
61.3
|
%
|
|
9.0
|
%
|
|
670
|
|
||
Non-Performing Loans
(H) (I)
|
621,700
|
|
|
512,040
|
|
|
5,029
|
|
|
5.5
|
%
|
|
3.0
|
|
14.9
|
%
|
|
88.1
|
%
|
|
72.6
|
%
|
|
588
|
|
||
Total Residential Mortgage Loans, held-for-sale
|
$
|
1,044,231
|
|
|
$
|
932,480
|
|
|
12,210
|
|
|
5.1
|
%
|
|
3.4
|
|
31.2
|
%
|
|
78.3
|
%
|
|
47.6
|
%
|
|
621
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Acquired Loans
|
2,295,340
|
|
|
2,153,269
|
|
|
12,873
|
|
|
4.5
|
%
|
|
8.0
|
|
7.7
|
%
|
|
75.7
|
%
|
|
14.0
|
%
|
|
626
|
|
||
Originated Loans
|
638,173
|
|
|
655,260
|
|
|
2,307
|
|
|
5.2
|
%
|
|
28.5
|
|
96.3
|
%
|
|
80.0
|
%
|
|
3.8
|
%
|
|
714
|
|
||
Total Residential Mortgage Loans, held-for-sale, at fair value
(K)
|
$
|
2,933,513
|
|
|
$
|
2,808,529
|
|
|
15,180
|
|
|
4.6
|
%
|
|
12.5
|
|
27.0
|
%
|
|
76.6
|
%
|
|
11.8
|
%
|
|
645
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Performing Loans
(G)
|
$
|
557,381
|
|
|
$
|
507,615
|
|
|
8,876
|
|
|
8.0
|
%
|
|
5.5
|
|
22.1
|
%
|
|
76.4
|
%
|
|
8.7
|
%
|
|
649
|
|
Purchased Credit Deteriorated Loans
(H)
|
249,254
|
|
|
183,540
|
|
|
2,142
|
|
|
7.2
|
%
|
|
3.1
|
|
14.7
|
%
|
|
84.2
|
%
|
|
75.8
|
%
|
|
597
|
|
||
Total Residential Mortgage Loans, held-for-investment
|
$
|
806,635
|
|
|
$
|
691,155
|
|
|
11,018
|
|
|
7.7
|
%
|
|
4.8
|
|
19.8
|
%
|
|
78.8
|
%
|
|
29.4
|
%
|
|
633
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reverse Mortgage Loans
(E) (F)
|
$
|
16,755
|
|
|
$
|
6,870
|
|
|
48
|
|
|
7.5
|
%
|
|
4.5
|
|
15.9
|
%
|
|
141.2
|
%
|
|
77.8
|
%
|
|
N/A
|
|
Performing Loans
(G) (I)
|
1,044,116
|
|
|
1,071,371
|
|
|
15,464
|
|
|
4.0
|
%
|
|
4.8
|
|
10.2
|
%
|
|
53.2
|
%
|
|
7.0
|
%
|
|
654
|
|
||
Non-Performing Loans
(H) (I)
|
846,181
|
|
|
647,293
|
|
|
5,597
|
|
|
5.6
|
%
|
|
4.3
|
|
18.7
|
%
|
|
94.4
|
%
|
|
63.3
|
%
|
|
581
|
|
||
Total Residential Mortgage Loans, held-for-sale
|
$
|
1,907,052
|
|
|
$
|
1,725,534
|
|
|
21,109
|
|
|
4.8
|
%
|
|
4.6
|
|
14.0
|
%
|
|
72.2
|
%
|
|
32.6
|
%
|
|
622
|
|
(A)
|
The weighted average life is based on the expected timing of the receipt of cash flows.
|
(B)
|
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
|
(C)
|
Represents the percentage of the total principal balance that is 60+ days delinquent.
|
(D)
|
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
|
(E)
|
Represents a
70%
participation interest that New Residential holds in a portfolio of reverse mortgage loans. Nationstar holds the other
30%
interest and services the loans. The average loan balance outstanding based on total UPB was
$0.5 million
and
$0.5 million
at
December 31, 2018
and
2017
, respectively. Approximately
54.9%
and
54.3%
of these loans have reached a termination event at
December 31, 2018
and
2017
, respectively. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
|
(F)
|
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
|
(G)
|
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
|
(H)
|
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of
December 31, 2018
, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (J) below.
|
(I)
|
Includes
$24.3 million
and
$51.9 million
UPB of Ginnie Mae EBO performing and non-performing loans as of
December 31, 2018
, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. As of
December 31, 2017
, these amounts were
$33.7 million
and
$66.5 million
, respectively.
|
(J)
|
Includes
$122.3 million
UPB of non-agency mortgage loans underlying the SAFT 2013-1 securitization, which are carried at fair value based on New Residential’s election of the fair value option. Interest earned on loans measured at fair value are reported in other income.
|
(K)
|
New Residential elected the fair value option to measure these loans at fair value on a recurring basis. Interest earned on loans measured at fair value are reported in interest income.
|
December 31, 2018
|
|||
Days Past Due
|
|
Delinquency Status
(A)
|
|
Current
|
|
83.3
|
%
|
30-59
|
|
7.4
|
%
|
60-89
|
|
2.2
|
%
|
90-119
(B)
|
|
0.8
|
%
|
120+
(C)
|
|
6.3
|
%
|
|
|
100.0
|
%
|
(A)
|
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
|
(B)
|
Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due.
|
(C)
|
Represents nonaccrual loans.
|
|
|
Performing Loans
|
||
Balance at December 31, 2016
|
|
$
|
—
|
|
Purchases/additional fundings
|
|
550,742
|
|
|
Proceeds from repayments
|
|
(50,562
|
)
|
|
Accretion of loan discount (premium) and other amortization
(A)
|
|
8,101
|
|
|
Provision for loan losses
|
|
(646
|
)
|
|
Transfer of loans to other assets
(B)
|
|
—
|
|
|
Transfer of loans to real estate owned
|
|
(20
|
)
|
|
Balance at December 31, 2017
|
|
$
|
507,615
|
|
Shellpoint Acquisition
|
|
125,350
|
|
|
Purchases/additional fundings
|
|
55,993
|
|
|
Proceeds from repayments
|
|
(106,236
|
)
|
|
Accretion of loan discount (premium) and other amortization
(A)
|
|
15,773
|
|
|
Provision for loan losses
|
|
(1,028
|
)
|
|
Transfer of loans to other assets
(B)
|
|
—
|
|
|
Transfer of loans to real estate owned
|
|
(5,131
|
)
|
|
Transfers of loans to held for sale
|
|
(1,555
|
)
|
|
Fair value adjustment
|
|
472
|
|
|
Balance at December 31, 2018
|
|
$
|
591,253
|
|
(A)
|
Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets.
|
(B)
|
Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2).
|
|
|
Performing Loans
|
||
Balance at December 31, 2016
|
|
$
|
—
|
|
Provision for loan losses
(A)
|
|
646
|
|
|
Charge-offs
(B)
|
|
(450
|
)
|
|
Balance at December 31, 2017
|
|
$
|
196
|
|
Provision for loan losses
(A)
|
|
1,028
|
|
|
Charge-offs
(B)
|
|
(1,224
|
)
|
|
Balance at December 31, 2018
|
|
$
|
—
|
|
(A)
|
Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level.
|
(B)
|
Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible.
|
Balance at December 31, 2016
|
$
|
190,761
|
|
Purchases/additional fundings
|
58,884
|
|
|
Sales
|
—
|
|
|
Proceeds from repayments
|
(32,455
|
)
|
|
Accretion of loan discount and other amortization
|
20,217
|
|
|
(Allowance) reversal for loan losses
(A)
|
(1,488
|
)
|
|
Transfer of loans to real estate owned
|
(29,299
|
)
|
|
Transfer of loans to held-for-sale
|
(23,080
|
)
|
|
Balance at December 31, 2017
|
$
|
183,540
|
|
Purchases/additional fundings
|
29,785
|
|
|
Sales
|
—
|
|
|
Proceeds from repayments
|
(38,276
|
)
|
|
Accretion of loan discount and other amortization
|
24,124
|
|
|
(Allowance) reversal for loan losses
|
—
|
|
|
Transfer of loans to real estate owned
|
(28,060
|
)
|
|
Transfer of loans to held-for-sale
|
(27,048
|
)
|
|
Balance at December 31, 2018
|
$
|
144,065
|
|
(A)
|
An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance.
|
|
Contractually Required Payments Receivable
|
|
Cash Flows Expected to be Collected
|
|
Fair Value
|
|||
As of Acquisition Date
|
65,902
|
|
|
45,429
|
|
|
29,785
|
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||
December 31, 2018
|
$
|
191,497
|
|
|
$
|
144,065
|
|
December 31, 2017
|
249,254
|
|
|
183,540
|
|
Balance at December 31, 2016
|
$
|
23,688
|
|
Additions
|
21,860
|
|
|
Accretion
|
(20,217
|
)
|
|
Reclassifications from non-accretable difference
(A)
|
66,751
|
|
|
Disposals
(B)
|
(3,451
|
)
|
|
Transfer of loans to held-for-sale
(C)
|
—
|
|
|
Balance at December 31, 2017
|
$
|
88,631
|
|
Additions
|
15,644
|
|
|
Accretion
|
(24,124
|
)
|
|
Reclassifications from non-accretable difference
(A)
|
5,493
|
|
|
Disposals
(B)
|
(7,257
|
)
|
|
Transfer of loans to held-for-sale
(C)
|
(9,755
|
)
|
|
Balance at December 31, 2018
|
$
|
68,632
|
|
(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.
|
Balance at December 31, 2016
|
$
|
696,665
|
|
Purchases
(A)
|
5,135,700
|
|
|
Transfer of loans from held-for-investment
(B)
|
23,080
|
|
|
Sales
|
(3,901,161
|
)
|
|
Transfer of loans to other assets
(C)
|
(17,487
|
)
|
|
Transfer of loans to real estate owned
|
(71,756
|
)
|
|
Proceeds from repayments
|
(125,987
|
)
|
|
Valuation (provision) reversal on loans
(D)
|
(13,520
|
)
|
|
Balance at December 31, 2017
|
$
|
1,725,534
|
|
Purchases
(A)
|
3,653,608
|
|
|
Transfer of loans from held-for-investment
(B)
|
28,603
|
|
|
Sales
|
(4,205,375
|
)
|
|
Transfer of loans to other assets
(C)
|
(9,811
|
)
|
|
Transfer of loans to real estate owned
|
(54,114
|
)
|
|
Proceeds from repayments
|
(195,797
|
)
|
|
Valuation (provision) reversal on loans
(D)
|
(10,168
|
)
|
|
Balance at December 31, 2018
|
$
|
932,480
|
|
(A)
|
Represents loans acquired with the intent to sell.
|
(B)
|
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
|
(C)
|
Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2).
|
(D)
|
Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including an aggregate of
$59.2 million
and
$30.1 million
of provision related to the call transactions executed during the years ended
December 31, 2018
and
2017
, respectively.
|
Balance at December 31, 2017
|
|
$
|
—
|
|
Shellpoint acquisition
|
|
488,233
|
|
|
Originations
|
|
3,439,574
|
|
|
Sales
|
|
(3,269,689
|
)
|
|
Proceeds from repayments
|
|
(6,348
|
)
|
|
Change in fair value
|
|
3,490
|
|
|
Balance at December 31, 2018
|
|
$
|
655,260
|
|
Balance at December 31, 2017
|
|
$
|
—
|
|
Purchases
|
|
2,088,638
|
|
|
Sales
|
|
—
|
|
|
Proceeds from repayments
|
|
(3,963
|
)
|
|
Transfer of loans to real estate owned
|
|
(753
|
)
|
|
Change in fair value
|
|
69,347
|
|
|
Balance at December 31, 2018
|
|
$
|
2,153,269
|
|
(A)
|
Includes loan origination fees and direct loan origination costs. Other indirect costs related to loan origination are included within general and administrative expenses.
|
(B)
|
Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments.
|
(C)
|
Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained.
|
(D)
|
Includes fees for services associated with the loan origination process.
|
|
|
Real Estate Owned
|
||
Balance at December 31, 2016
|
|
$
|
59,591
|
|
Purchases
|
|
38,127
|
|
|
Transfer of loans to real estate owned
|
|
124,013
|
|
|
Sales
(A)
|
|
(95,456
|
)
|
|
Valuation provision on REO
|
|
2,020
|
|
|
Balance at December 31, 2017
|
|
$
|
128,295
|
|
Purchases
|
|
33,377
|
|
|
Transfer of loans to real estate owned
|
|
107,577
|
|
|
Sales
(A)
|
|
(152,725
|
)
|
|
Valuation (provision) reversal on REO
|
|
(3,114
|
)
|
|
Balance at December 31, 2018
|
|
$
|
113,410
|
|
(A)
|
Recognized when control of the property has transferred to the buyer.
|
|
|
As of
|
||
|
|
December 31, 2018
|
||
Assets
|
|
|
||
Cash and cash equivalents
|
|
$
|
17,346
|
|
Property and equipment, net
|
|
137
|
|
|
Intangible assets, net
|
|
70
|
|
|
Prepaid expenses and other assets
|
|
411
|
|
|
Total assets
|
|
$
|
17,964
|
|
Liabilities
|
|
|
||
Accounts payable and accrued expenses
|
|
$
|
1,315
|
|
Reserve for sales recourse
|
|
967
|
|
|
Total liabilities
|
|
$
|
2,282
|
|
|
|
December 31, 2018
|
||
Total consolidated equity of JVs
|
|
$
|
15,682
|
|
Noncontrolling ownership interest
|
|
51.0
|
%
|
|
Noncontrolling equity interest in consolidated JVs
|
|
$
|
7,998
|
|
|
|
|
||
Total consolidated net income of JVs
|
|
$
|
3,135
|
|
Noncontrolling ownership interest in net income
|
|
51.0
|
%
|
|
Noncontrolling interest in net income of consolidated JVs
|
|
$
|
1,599
|
|
Residential mortgage loan UPB
|
|
$
|
7,818,221
|
|
Weighted average delinquency
(A)
|
|
1.97
|
%
|
|
Net credit losses for the year ended December 31, 2018
|
|
$
|
9,101
|
|
Face amount of debt held by third parties
(B)
|
|
$
|
6,783,187
|
|
|
|
|
||
Carrying value of bonds retained by New Residential
(C)
|
|
$
|
1,206,402
|
|
Cash flows received by New Residential on these bonds for the year ended December 31, 2018
|
|
$
|
178,301
|
|
(A)
|
Represents the percentage of the UPB that is
60
+ days delinquent.
|
(B)
|
Excludes bonds retained by New Residential.
|
(C)
|
Includes bonds retained pursuant to required risk retention regulations.
|
|
Unpaid Principal Balance
|
|
Interest in Consumer Loans
|
|
Carrying Value
|
|
Weighted Average Coupon
|
|
Weighted Average Expected Life (Years)
(A)
|
|
Weighted Average Delinquency
(B)
|
|||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Consumer Loan Companies
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Performing Loans
|
$
|
815,341
|
|
|
53.5
|
%
|
|
$
|
856,563
|
|
|
18.8
|
%
|
|
3.6
|
|
5.4
|
%
|
Purchased Credit Deteriorated Loans
(C)
|
221,910
|
|
|
53.5
|
%
|
|
182,917
|
|
|
16.0
|
%
|
|
3.4
|
|
11.6
|
%
|
||
Other - Performing Loans
|
35,326
|
|
|
100.0
|
%
|
|
32,722
|
|
|
14.2
|
%
|
|
0.8
|
|
5.6
|
%
|
||
Total Consumer Loans, held-for-investment
|
$
|
1,072,577
|
|
|
|
|
$
|
1,072,202
|
|
|
18.1
|
%
|
|
3.5
|
|
6.7
|
%
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Consumer Loan Companies
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Performing Loans
|
$
|
1,005,570
|
|
|
53.5
|
%
|
|
$
|
1,052,561
|
|
|
18.7
|
%
|
|
3.7
|
|
6.0
|
%
|
Purchased Credit Deteriorated Loans
(C)
|
282,540
|
|
|
53.5
|
%
|
|
236,449
|
|
|
16.2
|
%
|
|
3.3
|
|
12.5
|
%
|
||
Other - Performing Loans
|
89,682
|
|
|
100.0
|
%
|
|
85,253
|
|
|
14.1
|
%
|
|
1.0
|
|
4.5
|
%
|
||
Total Consumer Loans, held-for-investment
|
$
|
1,377,792
|
|
|
|
|
$
|
1,374,263
|
|
|
17.9
|
%
|
|
3.5
|
|
7.3
|
%
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties.
|
(C)
|
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments, which are accounted for as PCD loans.
|
December 31, 2018
|
|||
Days Past Due
|
|
Delinquency Status
(A)
|
|
Current
|
|
94.7
|
%
|
30-59
|
|
2.0
|
%
|
60-89
|
|
1.3
|
%
|
90-119
(B)
|
|
0.8
|
%
|
120+
(B) (C)
|
|
1.2
|
%
|
|
|
100.0
|
%
|
(A)
|
Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status.
|
(B)
|
Includes loans more than 90 days past due and still accruing interest.
|
(C)
|
Interest is accrued up to the date of charge-off at 180 days past due.
|
|
|
Performing Loans
|
||
Balance at December 31, 2016
|
|
$
|
1,482,954
|
|
Purchases
|
|
—
|
|
|
Additional fundings
(A)
|
|
56,321
|
|
|
Proceeds from repayments
|
|
(329,843
|
)
|
|
Accretion of loan discount and premium amortization, net
|
|
4,891
|
|
|
Gross charge-offs
|
|
(73,842
|
)
|
|
Additions to the allowance for loan losses, net
|
|
(2,667
|
)
|
|
Balance at December 31, 2017
|
|
$
|
1,137,814
|
|
Purchases
|
|
|
|
|
Additional fundings
(A)
|
|
63,971
|
|
|
Proceeds from repayments
|
|
(257,182
|
)
|
|
Accretion of loan discount and premium amortization, net
|
|
1,940
|
|
|
Gross charge-offs
|
|
(56,870
|
)
|
|
Additions to the allowance for loan losses, net
|
|
(388
|
)
|
|
Balance at December 31, 2018
|
|
$
|
889,285
|
|
(A)
|
Represents draws on consumer loans with revolving privileges.
|
|
|
Collectively Evaluated
(A)
|
|
Individually Impaired
(B)
|
|
Total
|
||||||
Balance at December 31, 2016
|
|
$
|
2,441
|
|
|
$
|
997
|
|
|
$
|
3,438
|
|
Provision for loan losses
|
|
65,059
|
|
|
679
|
|
|
65,738
|
|
|||
Net charge-offs
(C)
|
|
(63,071
|
)
|
|
—
|
|
|
(63,071
|
)
|
|||
Balance at December 31, 2017
|
|
$
|
4,429
|
|
|
$
|
1,676
|
|
|
$
|
6,105
|
|
Provision (reversal) for loan losses
|
|
47,839
|
|
|
388
|
|
|
48,227
|
|
|||
Net charge-offs
(C)
|
|
(49,664
|
)
|
|
—
|
|
|
(49,664
|
)
|
|||
Balance at December 31, 2018
|
|
$
|
2,604
|
|
|
$
|
2,064
|
|
|
$
|
4,668
|
|
(A)
|
Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount.
|
(B)
|
Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of
December 31, 2018
, there are
$14.2 million
in UPB and
$12.6 million
in carrying value of consumer loans classified as TDRs.
|
(C)
|
Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of
$9.0 million
and
$10.8 million
in recoveries of previously charged-off UPB in
2018
and
2017
, respectively.
|
Balance at December 31, 2016
|
|
$
|
316,532
|
|
(Allowance) reversal for loan losses
(A)
|
|
3,013
|
|
|
Proceeds from repayments
|
|
(123,932
|
)
|
|
Accretion of loan discount and other amortization
|
|
40,836
|
|
|
Balance at December 31, 2017
|
|
$
|
236,449
|
|
(Allowance) reversal for loan losses
(A)
|
|
(31
|
)
|
|
Proceeds from repayments
|
|
(90,700
|
)
|
|
Accretion of loan discount and other amortization
|
|
37,199
|
|
|
Balance at December 31, 2018
|
|
$
|
182,917
|
|
(A)
|
An allowance represents the present value of cash flows expected at acquisition that are no longer expected to be collected. A reversal results from an increase to expected cash flows that reverses a prior allowance.
|
|
Unpaid Principal Balance
|
|
Carrying Value
|
||||
December 31, 2018
|
$
|
221,910
|
|
|
$
|
182,917
|
|
December 31, 2017
|
282,540
|
|
|
236,449
|
|
Balance at December 31, 2016
|
|
$
|
167,928
|
|
Accretion
|
|
(40,836
|
)
|
|
Reclassifications from (to) non-accretable difference
(A)
|
|
5,199
|
|
|
Balance at December 31, 2017
|
|
$
|
132,291
|
|
Accretion
|
|
(37,199
|
)
|
|
Reclassifications from (to) non-accretable difference
(A)
|
|
31,426
|
|
|
Balance at December 31, 2018
|
|
$
|
126,518
|
|
(A)
|
Represents a probable and significant increase in cash flows previously expected to be uncollectible.
|
|
|
December 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Total Consumer Loan Companies equity
|
|
$
|
66,105
|
|
|
$
|
74,071
|
|
Others’ ownership interest
|
|
46.5
|
%
|
|
46.5
|
%
|
||
Others’ interests in equity of consolidated subsidiary
|
|
$
|
30,561
|
|
|
$
|
34,466
|
|
|
Year Ended December 31,
|
||||||
|
2018
|
|
2017
|
||||
Net Consumer Loan Companies income (loss)
|
$
|
79,539
|
|
|
$
|
98,692
|
|
Others’ ownership interest as a percent of total
|
46.5
|
%
|
|
46.5
|
%
|
||
Others’ interest in net income (loss) of consolidated subsidiaries
|
$
|
36,987
|
|
|
$
|
45,892
|
|
|
|
As of December 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Assets
|
|
|
|
|
||||
Consumer loans, held-for-investment
|
|
$
|
1,039,480
|
|
|
$
|
1,289,010
|
|
Restricted cash
|
|
10,186
|
|
|
11,563
|
|
||
Accrued interest receivable
|
|
15,627
|
|
|
19,360
|
|
||
Total assets
(A)
|
|
$
|
1,065,293
|
|
|
$
|
1,319,933
|
|
Liabilities
|
|
|
|
|
||||
Notes and bonds payable
(B)
|
|
$
|
1,030,096
|
|
|
$
|
1,284,436
|
|
Accounts payable and accrued expenses
|
|
3,814
|
|
|
4,007
|
|
||
Total liabilities
(A)
|
|
$
|
1,033,910
|
|
|
$
|
1,288,443
|
|
(A)
|
The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations.
|
(B)
|
Includes
$121.0 million
face amount of bonds retained by New Residential issued by these VIEs.
|
|
December 31, 2018
(A)
|
|
December 31, 2017
|
||||
Consumer loans, at fair value
|
$
|
231,560
|
|
|
$
|
178,422
|
|
Warrants, at fair value
|
103,067
|
|
|
80,746
|
|
||
Other assets
|
25,971
|
|
|
46,342
|
|
||
Warehouse financing
|
(182,065
|
)
|
|
(117,944
|
)
|
||
Other liabilities
|
(1,142
|
)
|
|
(13,059
|
)
|
||
Equity
|
$
|
177,391
|
|
|
$
|
174,507
|
|
Undistributed retained earnings
|
$
|
—
|
|
|
$
|
—
|
|
New Residential’s investment
|
$
|
42,875
|
|
|
$
|
42,473
|
|
New Residential’s ownership
|
24.2
|
%
|
|
24.3
|
%
|
|
Year Ended
|
||
|
December 31, 2018
(A)
|
||
Interest income
|
$
|
42,920
|
|
Interest expense
|
(12,258
|
)
|
|
Change in fair value of consumer loans and warrants
|
17,491
|
|
|
Gain on sale of consumer loans
(B)
|
2,697
|
|
|
Other expenses
|
(7,257
|
)
|
|
Net income
|
$
|
43,593
|
|
New Residential’s equity in net income
|
$
|
10,803
|
|
New Residential’s ownership
|
24.8
|
%
|
(A)
|
Data as of, and for the periods ended, November 30,
2018
, as a result of the one month reporting lag.
|
(B)
|
During the year ended
December 31, 2018
, LoanCo sold, through securitizations which were treated as sales for accounting purposes,
$1.2 billion
in UPB of consumer loans. LoanCo retained
$103.0 million
of residual interests in the securitizations and distributed them to the LoanCo co-investors, including New Residential.
|
|
Unpaid Principal Balance
|
|
Interest in Consumer Loans
|
|
Carrying Value
|
|
Weighted Average Coupon
|
|
Weighted Average Expected Life (Years)
(A)
|
|
Weighted Average Delinquency
(B)
|
|||||||
December 31, 2018
(C)
|
$
|
231,560
|
|
|
25.0
|
%
|
|
$
|
231,560
|
|
|
14.2
|
%
|
|
1.3
|
|
0.4
|
%
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
(B)
|
Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties.
|
(C)
|
Data as of November 30,
2018
as a result of the one month reporting lag.
|
Balance at December 31, 2017
|
$
|
51,412
|
|
Contributions to equity method investees
|
308,050
|
|
|
Distributions of earnings from equity method investees
|
(6,176
|
)
|
|
Distributions of capital from equity method investees
|
(325,795
|
)
|
|
Earnings from investments in consumer loans, equity method investees
|
10,803
|
|
|
Balance at December 31, 2018
|
$
|
38,294
|
|
|
|
|
December 31,
|
||||||
|
Balance Sheet Location
|
|
2018
|
|
2017
|
||||
Derivative assets
|
|
|
|
|
|
||||
Interest Rate Caps
|
Other assets
|
|
$
|
3
|
|
|
$
|
2,423
|
|
Interest Rate Lock Commitments
|
Other assets
|
|
10,851
|
|
|
—
|
|
||
Forward Loan Sale Commitments
|
Other assets
|
|
39
|
|
|
—
|
|
||
|
|
|
$
|
10,893
|
|
|
$
|
2,423
|
|
Derivative liabilities
|
|
|
|
|
|
||||
Interest Rate Swaps
(A)
|
Accrued expenses and other liabilities
|
|
$
|
5,245
|
|
|
$
|
—
|
|
Interest Rate Lock Commitments
|
Accrued expenses and other liabilities
|
|
223
|
|
|
—
|
|
||
TBAs
|
Accrued expenses and other liabilities
|
|
23,921
|
|
|
697
|
|
||
|
|
|
$
|
29,389
|
|
|
$
|
697
|
|
(A)
|
Net of
$106.1 million
of related variation margin accounts as of
December 31, 2018
. As of December 31,
2017
,
no
variation margin accounts existed.
|
|
December 31,
|
|||||||
|
2018
|
|
2017
|
|||||
Interest Rate Caps
(A)
|
$
|
50,000
|
|
|
$
|
772,500
|
|
|
Interest Rate Swaps
(B)
|
4,725,000
|
|
|
—
|
|
|||
Interest Rate Lock Commitments
|
823,187
|
|
|
—
|
|
|||
Forward Loan Sale Commitments
|
30,274
|
|
|
—
|
|
|||
TBAs, short position
(C)
|
5,904,300
|
|
|
3,101,100
|
|
|||
TBAs, long position
(C)
|
5,067,200
|
|
—
|
|
1,014,000
|
|
(A)
|
As of
December 31, 2018
, caps LIBOR at
4.00%
for
$50.0 million
of notional. The weighted average maturity of the interest rate caps as of
December 31, 2018
was
23
months.
|
(B)
|
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps was
52
months and the weighted average fixed pay rate was
3.21%
as of
December 31, 2018
. There were no interest rate swaps outstanding at December 31,
2017
.
|
(C)
|
Represents the notional amount of Agency RMBS, classified as derivatives.
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Other income (loss), net
(A)
|
|
|
|
|
|
||||||
Interest Rate Caps
|
$
|
431
|
|
|
$
|
323
|
|
|
$
|
688
|
|
Interest Rate Swaps
|
(108,098
|
)
|
|
(720
|
)
|
|
5,500
|
|
|||
Unrealized gains(losses) on Interest Rate Lock Commitments
|
23
|
|
|
—
|
|
|
—
|
|
|||
Forward Loan Sale Commitments
|
(283
|
)
|
|
—
|
|
|
—
|
|
|||
TBAs
|
(5,631
|
)
|
|
(1,793
|
)
|
|
(414
|
)
|
|||
|
(113,558
|
)
|
|
(2,190
|
)
|
|
5,774
|
|
|||
Gain (loss) on settlement of investments, net
|
|
|
|
|
|
||||||
Interest Rate Caps
|
$
|
(603
|
)
|
|
$
|
(1,911
|
)
|
|
$
|
(4,754
|
)
|
Interest Rate Swaps
|
65,823
|
|
|
6,921
|
|
|
(4,810
|
)
|
|||
TBAs
(B)
|
(10,353
|
)
|
|
(44,224
|
)
|
|
(17,927
|
)
|
|||
|
54,867
|
|
|
(39,214
|
)
|
|
(27,491
|
)
|
|||
Total income (losses)
|
$
|
(58,691
|
)
|
|
$
|
(41,404
|
)
|
|
$
|
(21,717
|
)
|
(A)
|
Represents unrealized gains (losses).
|
(B)
|
Excludes
$1.2 million
in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8).
|
|
|
December 31, 2018
|
|
December 31, 2017
|
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Collateral
|
|
|
|||||||||||||||||||
Debt Obligations/Collateral
|
|
Outstanding Face Amount
|
|
Carrying Value
(A)
|
|
Final Stated Maturity
(B)
|
|
Weighted Average Funding Cost
|
|
Weighted Average Life (Years)
|
|
Outstanding Face
|
|
Amortized Cost Basis
|
|
Carrying Value
|
|
Weighted Average Life (Years)
|
|
Carrying Value
(A)
|
|||||||||||||
Repurchase Agreements
(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Agency RMBS
(D)
|
|
$
|
4,346,070
|
|
|
$
|
4,346,070
|
|
|
Jan-19 to Feb-19
|
|
2.66
|
%
|
|
0.1
|
|
$
|
4,462,104
|
|
|
$
|
4,492,912
|
|
|
$
|
4,533,921
|
|
|
2.1
|
|
$
|
1,974,164
|
|
Non-Agency RMBS
(E)
|
|
7,434,950
|
|
|
7,434,785
|
|
|
Jan-19 to Aug-19
|
|
3.54
|
%
|
|
0.1
|
|
17,057,929
|
|
|
8,459,512
|
|
|
8,877,653
|
|
|
7.0
|
|
4,720,290
|
|
||||||
Residential Mortgage Loans
(F)
|
|
3,679,239
|
|
|
3,678,246
|
|
|
Feb-19 to Dec-20
|
|
4.24
|
%
|
|
0.6
|
|
4,498,036
|
|
|
4,222,366
|
|
|
4,218,615
|
|
|
11.9
|
|
1,849,004
|
|
||||||
Real Estate Owned
(G) (H)
|
|
94,897
|
|
|
94,868
|
|
|
Feb-19 to Dec-20
|
|
4.38
|
%
|
|
0.8
|
|
N/A
|
|
|
N/A
|
|
|
116,381
|
|
|
N/A
|
|
118,681
|
|
||||||
Total Repurchase Agreements
|
|
15,555,156
|
|
|
15,553,969
|
|
|
|
|
3.46
|
%
|
|
0.3
|
|
|
|
|
|
|
|
|
|
8,662,139
|
|
|||||||||
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Excess MSRs
(I)
|
|
297,759
|
|
|
297,563
|
|
|
Feb-20 to Jul-22
|
|
5.15
|
%
|
|
2.7
|
|
119,363,054
|
|
|
372,901
|
|
|
470,498
|
|
|
5.7
|
|
483,978
|
|
||||||
MSRs
(J)
|
|
2,368,885
|
|
|
2,360,856
|
|
|
Feb-19 to Jul-24
|
|
4.32
|
%
|
|
2.8
|
|
365,610,961
|
|
|
3,496,265
|
|
|
4,241,604
|
|
|
6.7
|
|
1,157,179
|
|
||||||
Servicer Advances
(K)
|
|
3,386,234
|
|
|
3,382,455
|
|
|
Mar-19 to Dec-21
|
|
3.52
|
%
|
|
1.7
|
|
3,824,237
|
|
|
3,999,597
|
|
|
4,013,642
|
|
|
1.5
|
|
4,060,156
|
|
||||||
Residential Mortgage Loans
(L)
|
|
122,816
|
|
|
122,465
|
|
|
Jan-19 to Jul-43
|
|
3.74
|
%
|
|
7.6
|
|
130,399
|
|
|
127,021
|
|
|
124,593
|
|
|
7.8
|
|
137,196
|
|
||||||
Consumer Loans
(M)
|
|
939,735
|
|
|
936,447
|
|
|
Dec-21 to Mar-24
|
|
3.41
|
%
|
|
2.8
|
|
1,072,431
|
|
|
1,076,725
|
|
|
1,072,056
|
|
|
3.5
|
|
1,242,756
|
|
||||||
Receivable from government agency
(L)
|
|
2,480
|
|
|
2,480
|
|
|
Jan-19
|
|
4.54
|
%
|
|
0.1
|
|
N/A
|
|
|
N/A
|
|
|
1,736
|
|
|
N/A
|
|
3,126
|
|
||||||
Total Notes and Bonds Payable
|
|
7,117,909
|
|
|
7,102,266
|
|
|
|
|
3.84
|
%
|
|
2.4
|
|
|
|
|
|
|
|
|
|
7,084,391
|
|
|||||||||
Total/Weighted Average
|
|
$
|
22,673,065
|
|
|
$
|
22,656,235
|
|
|
|
|
3.58
|
%
|
|
0.9
|
|
|
|
|
|
|
|
|
|
$
|
15,746,530
|
|
(A)
|
Net of deferred financing costs.
|
(B)
|
All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid.
|
(C)
|
These repurchase agreements had approximately
$38.8 million
of associated accrued interest payable as of
December 31, 2018
.
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately
$3.9 billion
of related trade and other receivables.
|
(E)
|
$7,193.4 million
face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining
$241.5 million
face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This includes repurchase agreements of
$163.6 million
on retained servicer advance and consumer loan bonds.
|
(F)
|
All of these repurchase agreements have LIBOR-based floating interest rates.
|
(G)
|
All of these repurchase agreements have LIBOR-based floating interest rates.
|
(H)
|
Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee.
|
(I)
|
Includes
$197.8 million
of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
3.00%
, and includes
$100.0 million
of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of
2.50%
. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes.
|
(J)
|
Includes:
$645.3 million
of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin ranging from
2.25%
to
2.75%
, and
$1,723.6 million
of public notes with fixed interest rates ranging from
3.55%
to
4.62%
. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes.
|
(K)
|
$2.9 billion
face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from
2.0%
to
2.2%
. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM.
|
(L)
|
Represents: (i) a
$7.7 million
note payable to Nationstar that bears interest equal to one-month LIBOR plus
2.88%
, and (ii)
$117.0 million
fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from
3.50%
to
3.76%
(see Note 12 for details).
|
(M)
|
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties:
$671.0 million
UPB of Class A notes with a coupon of
3.05%
and a stated maturity date in November 2023;
$210.8 million
UPB of Class B notes with a coupon of
4.10%
and a stated maturity date in March 2024;
$18.3 million
UPB of Class C-1 notes with a coupon of
5.63%
and a stated maturity date in March 2024;
$18.3 million
UPB of Class C-2 notes with a coupon of
5.63%
and a stated maturity date in March 2024. Also includes a
$21.3 million
face amount note which bears interest equal to
4.00%
.
|
|
|
Excess MSRs
|
|
MSRs
|
|
Servicer Advances
(A)
|
|
Real Estate Securities
|
|
Residential Mortgage Loans and REO
|
|
Consumer Loans
|
|
Total
|
||||||||||||||
Balance at December 31, 2016
|
|
$
|
729,145
|
|
|
$
|
—
|
|
|
$
|
5,549,872
|
|
|
$
|
4,419,002
|
|
|
$
|
783,006
|
|
|
$
|
1,700,211
|
|
|
$
|
13,181,236
|
|
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Borrowings
|
|
—
|
|
|
—
|
|
|
—
|
|
|
55,233,007
|
|
|
2,529,556
|
|
|
—
|
|
|
57,762,563
|
|
|||||||
Repayments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(52,957,555
|
)
|
|
(1,334,952
|
)
|
|
—
|
|
|
(54,292,507
|
)
|
|||||||
Capitalized deferred financing costs, net of amortization
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,449
|
|
|
—
|
|
|
1,449
|
|
|||||||
Notes and Bonds Payable:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Borrowings
|
|
1,400,354
|
|
|
1,172,058
|
|
|
5,344,985
|
|
|
—
|
|
|
140,323
|
|
|
—
|
|
|
8,057,720
|
|
|||||||
Repayments
|
|
(1,650,409
|
)
|
|
(13,973
|
)
|
|
(6,838,862
|
)
|
|
—
|
|
|
(11,375
|
)
|
|
(456,904
|
)
|
|
(8,971,523
|
)
|
|||||||
Discount on borrowings, net of amortization
|
|
—
|
|
|
—
|
|
|
(147
|
)
|
|
—
|
|
|
—
|
|
|
(700
|
)
|
|
(847
|
)
|
|||||||
Capitalized deferred financing costs, net of amortization
|
|
4,888
|
|
|
(906
|
)
|
|
4,308
|
|
|
—
|
|
|
—
|
|
|
149
|
|
|
8,439
|
|
|||||||
Balance at December 31, 2017
|
|
$
|
483,978
|
|
|
$
|
1,157,179
|
|
|
$
|
4,060,156
|
|
|
$
|
6,694,454
|
|
|
$
|
2,108,007
|
|
|
$
|
1,242,756
|
|
|
$
|
15,746,530
|
|
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Shellpoint Acquisition
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,957
|
|
|
437,675
|
|
|
—
|
|
|
439,632
|
|
|||||||
Borrowings
|
|
—
|
|
|
—
|
|
|
—
|
|
|
90,996,778
|
|
|
8,665,900
|
|
|
—
|
|
|
99,662,678
|
|
|||||||
Repayments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(85,912,169
|
)
|
|
(7,298,734
|
)
|
|
—
|
|
|
(93,210,903
|
)
|
|||||||
Capitalized deferred financing costs, net of amortization
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(165
|
)
|
|
589
|
|
|
—
|
|
|
424
|
|
|||||||
Notes and Bonds Payable:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Shellpoint Acquisition
|
|
—
|
|
|
20,731
|
|
|
—
|
|
|
—
|
|
|
120,702
|
|
|
—
|
|
|
141,433
|
|
|||||||
Borrowings
|
|
350,787
|
|
|
4,212,855
|
|
|
5,207,084
|
|
|
—
|
|
|
183
|
|
|
—
|
|
|
9,770,909
|
|
|||||||
Repayments
|
|
(537,227
|
)
|
|
(3,022,785
|
)
|
|
(5,887,384
|
)
|
|
—
|
|
|
(136,947
|
)
|
|
(308,316
|
)
|
|
(9,892,659
|
)
|
|||||||
Discount on borrowings, net of amortization
|
|
—
|
|
|
—
|
|
|
41
|
|
|
—
|
|
|
—
|
|
|
1,633
|
|
|
1,674
|
|
|||||||
Unrealized loss on notes, fair value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
684
|
|
|
—
|
|
|
684
|
|
|||||||
Capitalized deferred financing costs, net of amortization
|
|
25
|
|
|
(7,124
|
)
|
|
2,558
|
|
|
—
|
|
|
—
|
|
|
374
|
|
|
(4,167
|
)
|
|||||||
Balance at December 31, 2018
|
|
$
|
297,563
|
|
|
$
|
2,360,856
|
|
|
$
|
3,382,455
|
|
|
$
|
11,780,855
|
|
|
$
|
3,898,059
|
|
|
$
|
936,447
|
|
|
$
|
22,656,235
|
|
(A)
|
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances.
|
Year
|
|
Nonrecourse
|
|
Recourse
|
|
Total
|
||||||
2019
|
|
$
|
879,241
|
|
|
$
|
16,124,611
|
|
|
$
|
17,003,852
|
|
2020
|
|
771,582
|
|
|
181,854
|
|
|
953,436
|
|
|||
2021
|
|
1,758,663
|
|
|
736,368
|
|
|
2,495,031
|
|
|||
2022
|
|
—
|
|
|
197,759
|
|
|
197,759
|
|
|||
2023
|
|
671,013
|
|
|
487,323
|
|
|
1,158,336
|
|
|||
2024 and thereafter
|
|
364,770
|
|
|
499,881
|
|
|
864,651
|
|
|||
|
|
$
|
4,445,269
|
|
|
$
|
18,227,796
|
|
|
$
|
22,673,065
|
|
Debt Obligations/ Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
Repurchase Agreements
|
|
|
|
|
|
|
||||||
Residential mortgage loans and REO
|
|
$
|
5,575,197
|
|
|
$
|
3,774,136
|
|
|
$
|
1,801,061
|
|
Non-Agency RMBS
|
|
250,000
|
|
|
241,535
|
|
|
8,465
|
|
|||
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
Excess MSRs
|
|
150,000
|
|
|
100,000
|
|
|
50,000
|
|
|||
MSRs
|
|
990,000
|
|
|
645,319
|
|
|
344,681
|
|
|||
Servicer advances
(A)
|
|
1,678,541
|
|
|
1,372,576
|
|
|
305,965
|
|
|||
Consumer loans
|
|
150,000
|
|
|
21,303
|
|
|
128,697
|
|
|||
|
|
$
|
8,793,738
|
|
|
$
|
6,154,869
|
|
|
$
|
2,638,869
|
|
(A)
|
New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a
0.1%
fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of
$86.3 million
.
|
•
|
Quoted prices in active markets for similar instruments,
|
•
|
Quoted prices in less active or inactive markets for identical or similar instruments,
|
•
|
Other observable inputs (such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates), and
|
•
|
Market corroborated inputs (derived principally from or corroborated by observable market data).
|
|
|
|
|
|
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)
|
$
|
106,426,363
|
|
|
$
|
447,860
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
447,860
|
|
|
$
|
447,860
|
|
Excess mortgage servicing rights, equity method investees, at fair value
(A)
|
41,707,963
|
|
|
147,964
|
|
|
—
|
|
|
—
|
|
|
147,964
|
|
|
147,964
|
|
||||||
Mortgage servicing rights, at fair value
(A)
|
258,462,703
|
|
|
2,884,100
|
|
|
—
|
|
|
—
|
|
|
2,884,100
|
|
|
2,884,100
|
|
||||||
Mortgage servicing rights financing receivables, at fair value
(A)
|
130,516,565
|
|
|
1,644,504
|
|
|
—
|
|
|
—
|
|
|
1,644,504
|
|
|
1,644,504
|
|
||||||
Servicer advance investments, at fair value
|
620,050
|
|
|
735,846
|
|
|
—
|
|
|
—
|
|
|
735,846
|
|
|
735,846
|
|
||||||
Real estate and other securities, available-for-sale
|
22,152,845
|
|
|
11,636,581
|
|
|
—
|
|
|
2,665,618
|
|
|
8,970,963
|
|
|
11,636,581
|
|
||||||
Residential mortgage loans, held-for-investment
|
706,111
|
|
|
614,241
|
|
|
—
|
|
|
—
|
|
|
625,321
|
|
|
625,321
|
|
||||||
Residential mortgage loans, held-for-sale
|
1,043,550
|
|
|
932,480
|
|
|
—
|
|
|
—
|
|
|
958,970
|
|
|
958,970
|
|
||||||
Residential mortgage loans, held-for-sale, at fair value
(B)
|
2,934,727
|
|
|
2,808,529
|
|
|
—
|
|
|
213,882
|
|
|
2,594,647
|
|
|
2,808,529
|
|
||||||
Residential mortgage loans, held-for-investment, at fair value
(C)
|
122,260
|
|
|
121,088
|
|
|
—
|
|
|
—
|
|
|
121,088
|
|
|
121,088
|
|
||||||
Residential mortgage loans subject to repurchase
|
121,602
|
|
|
121,602
|
|
|
—
|
|
|
121,602
|
|
|
—
|
|
|
121,602
|
|
||||||
Consumer loans, held-for-investment
|
1,072,577
|
|
|
1,072,202
|
|
|
—
|
|
|
—
|
|
|
1,054,820
|
|
|
1,054,820
|
|
||||||
Derivative assets
|
840,179
|
|
|
10,893
|
|
|
—
|
|
|
42
|
|
|
10,851
|
|
|
10,893
|
|
||||||
Cash and cash equivalents
|
251,058
|
|
|
251,058
|
|
|
251,058
|
|
|
—
|
|
|
—
|
|
|
251,058
|
|
||||||
Restricted cash
|
164,020
|
|
|
164,020
|
|
|
164,020
|
|
|
—
|
|
|
—
|
|
|
164,020
|
|
||||||
Other assets
(D)
|
|
|
|
16,991
|
|
|
7,778
|
|
|
—
|
|
|
9,213
|
|
|
16,991
|
|
||||||
|
|
|
$
|
23,609,959
|
|
|
$
|
422,856
|
|
|
$
|
3,001,144
|
|
|
$
|
20,206,147
|
|
|
$
|
23,630,147
|
|
||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
15,555,156
|
|
|
$
|
15,553,969
|
|
|
$
|
—
|
|
|
$
|
15,555,156
|
|
|
$
|
—
|
|
|
$
|
15,555,156
|
|
Notes and bonds payable
(E)
|
7,117,909
|
|
|
7,102,266
|
|
|
—
|
|
|
—
|
|
|
7,076,400
|
|
|
7,076,400
|
|
||||||
Residential mortgage loans repurchase liability
|
121,602
|
|
|
121,602
|
|
|
—
|
|
|
121,602
|
|
|
—
|
|
|
121,602
|
|
||||||
Derivative liabilities
|
15,759,782
|
|
|
29,389
|
|
|
—
|
|
|
29,166
|
|
|
223
|
|
|
29,389
|
|
||||||
Excess spread financing
|
3,492,587
|
|
|
39,304
|
|
|
—
|
|
|
—
|
|
|
39,304
|
|
|
39,304
|
|
||||||
Contingent consideration
|
N/A
|
|
|
40,842
|
|
|
—
|
|
|
—
|
|
|
40,842
|
|
|
40,842
|
|
||||||
|
|
|
$
|
22,887,372
|
|
|
$
|
—
|
|
|
$
|
15,705,924
|
|
|
$
|
7,156,769
|
|
|
$
|
22,862,693
|
|
(A)
|
The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables, and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
|
(B)
|
Includes
$88.7 million
in fair value of loans that are 90 days or more past due.
|
(C)
|
Includes
$0.4 million
in fair value of loans that are 90 days or more past due.
|
(D)
|
Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of
$74.3 million
as of
December 31, 2018
.
|
(E)
|
Includes the SAFT 2013-1 mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of
$117.0 million
as of
December 31, 2018
.
|
|
|
|
|
|
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)
|
$
|
217,121,299
|
|
|
$
|
1,173,713
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,173,713
|
|
|
$
|
1,173,713
|
|
Excess mortgage servicing rights, equity method investees, at fair value
(A)
|
50,501,054
|
|
|
171,765
|
|
|
—
|
|
|
—
|
|
|
171,765
|
|
|
171,765
|
|
||||||
Mortgage servicing rights, at fair value
(A)
|
172,454,150
|
|
|
1,735,504
|
|
|
—
|
|
|
—
|
|
|
1,735,504
|
|
|
1,735,504
|
|
||||||
Mortgage servicing rights financing receivables, at fair value
(A)
|
64,344,893
|
|
|
598,728
|
|
|
—
|
|
|
—
|
|
|
598,728
|
|
|
598,728
|
|
||||||
Servicer advance investments, at fair value
|
3,581,876
|
|
|
4,027,379
|
|
|
—
|
|
|
—
|
|
|
4,027,379
|
|
|
4,027,379
|
|
||||||
Real estate and other securities, available-for-sale
|
14,822,986
|
|
|
8,071,140
|
|
|
—
|
|
|
2,096,351
|
|
|
5,974,789
|
|
|
8,071,140
|
|
||||||
Residential mortgage loans, held-for-investment
|
806,635
|
|
|
691,155
|
|
|
—
|
|
|
—
|
|
|
694,692
|
|
|
694,692
|
|
||||||
Residential mortgage loans, held-for-sale
|
1,907,052
|
|
|
1,725,534
|
|
|
—
|
|
|
—
|
|
|
1,794,210
|
|
|
1,794,210
|
|
||||||
Consumer loans, held-for-investment
|
1,377,792
|
|
|
1,374,263
|
|
|
—
|
|
|
—
|
|
|
1,379,746
|
|
|
1,379,746
|
|
||||||
Derivative assets
|
772,500
|
|
|
2,423
|
|
|
—
|
|
|
2,423
|
|
|
—
|
|
|
2,423
|
|
||||||
Cash and cash equivalents
|
295,798
|
|
|
295,798
|
|
|
295,798
|
|
|
—
|
|
|
—
|
|
|
295,798
|
|
||||||
Restricted cash
|
150,252
|
|
|
150,252
|
|
|
150,252
|
|
|
—
|
|
|
—
|
|
|
150,252
|
|
||||||
Other assets
|
1,788,354
|
|
|
28,802
|
|
|
19,259
|
|
|
—
|
|
|
9,543
|
|
|
28,802
|
|
||||||
|
|
|
$
|
20,046,456
|
|
|
$
|
465,309
|
|
|
$
|
2,098,774
|
|
|
$
|
17,560,069
|
|
|
$
|
20,124,152
|
|
||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements
|
$
|
8,663,747
|
|
|
$
|
8,662,139
|
|
|
$
|
—
|
|
|
$
|
8,663,747
|
|
|
$
|
—
|
|
|
$
|
8,663,747
|
|
Notes and bonds payable
|
7,097,223
|
|
|
7,084,391
|
|
|
—
|
|
|
—
|
|
|
7,109,803
|
|
|
7,109,803
|
|
||||||
Derivative liabilities
|
4,115,100
|
|
|
697
|
|
|
—
|
|
|
697
|
|
|
—
|
|
|
697
|
|
||||||
|
|
|
$
|
15,747,227
|
|
|
$
|
—
|
|
|
$
|
8,664,444
|
|
|
$
|
7,109,803
|
|
|
$
|
15,774,247
|
|
(A)
|
The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
|
|
Level 3
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
|
Excess MSRs
(A)
|
|
Excess MSRs in Equity Method Investees
(A)(B)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Agency
|
|
Non-Agency
|
|
|
MSRs
(A)
|
|
Mortgage Servicing Rights Financing Receivables
(A)
|
|
Servicer Advance Investments
|
|
Non-Agency RMBS
|
|
Derivatives
(C)
|
|
Residential Mortgage Loans
|
|
Total
|
|||||||||||||||||||||
Balance at December 31, 2016
|
$
|
381,757
|
|
|
$
|
1,017,698
|
|
|
$
|
194,788
|
|
|
$
|
659,483
|
|
|
$
|
—
|
|
|
$
|
5,706,593
|
|
|
$
|
3,543,560
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,503,879
|
|
Transfers
(D)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Transfers from Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Transfers to Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Included in other-than-temporary impairment on securities
(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,334
|
)
|
|
—
|
|
|
—
|
|
|
(10,334
|
)
|
||||||||||
Included in change in fair value of investments in excess mortgage servicing rights
(E)
|
(3,037
|
)
|
|
7,359
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,322
|
|
||||||||||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees
(E)
|
—
|
|
|
—
|
|
|
12,617
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,617
|
|
||||||||||
Included in servicing revenue, net
(F)
|
—
|
|
|
—
|
|
|
—
|
|
|
(67,672
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(67,672
|
)
|
||||||||||
Included in change in fair value of investments in mortgage servicing rights financing receivables
(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
66,394
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
66,394
|
|
||||||||||
Included in change in fair value of servicer advance investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
84,418
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
84,418
|
|
||||||||||
Included in gain (loss) on settlement of investments, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,327
|
|
|
18,050
|
|
|
—
|
|
|
—
|
|
|
27,377
|
|
||||||||||
Included in other income (loss), net
(E)
|
2,150
|
|
|
2,227
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,883
|
|
|
—
|
|
|
—
|
|
|
7,260
|
|
||||||||||
Gains (losses) included in other comprehensive income
(G)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
244,608
|
|
|
—
|
|
|
—
|
|
|
244,608
|
|
||||||||||
Interest income
|
28,351
|
|
|
74,702
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
528,356
|
|
|
333,297
|
|
|
—
|
|
|
—
|
|
|
964,706
|
|
||||||||||
Purchases, sales, repayments and transfers
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
1,143,693
|
|
|
467,884
|
|
|
12,168,519
|
|
|
3,052,965
|
|
|
—
|
|
|
—
|
|
|
16,833,061
|
|
||||||||||
Proceeds from sales
|
(13,505
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(182,325
|
)
|
|
—
|
|
|
—
|
|
|
(195,830
|
)
|
||||||||||
Proceeds from repayments
|
(71,080
|
)
|
|
(180,927
|
)
|
|
(35,640
|
)
|
|
—
|
|
|
—
|
|
|
(13,988,614
|
)
|
|
(1,027,915
|
)
|
|
—
|
|
|
—
|
|
|
(15,304,176
|
)
|
||||||||||
Ocwen Transaction (Note 5)
|
—
|
|
|
(71,982
|
)
|
|
—
|
|
|
—
|
|
|
64,450
|
|
|
(481,220
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(488,752
|
)
|
||||||||||
Balance at December 31, 2017
|
$
|
324,636
|
|
|
$
|
849,077
|
|
|
$
|
171,765
|
|
|
$
|
1,735,504
|
|
|
$
|
598,728
|
|
|
$
|
4,027,379
|
|
|
$
|
5,974,789
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13,681,878
|
|
Transfers
(D)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Transfers from Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Transfers to Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
Shellpoint Acquisition (Note 1)
|
—
|
|
|
—
|
|
|
—
|
|
|
275,964
|
|
|
(124,652
|
)
|
|
—
|
|
|
—
|
|
|
10,604
|
|
|
179,644
|
|
|
341,560
|
|
||||||||||
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Included in other-than-temporary impairment on securities
(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24,940
|
)
|
|
—
|
|
|
—
|
|
|
(24,940
|
)
|
||||||||||
Included in change in fair value of investments in excess mortgage servicing rights
(E)
|
(18,099
|
)
|
|
(40,557
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(58,656
|
)
|
||||||||||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees
(E)
|
—
|
|
|
—
|
|
|
8,357
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,357
|
|
||||||||||
Included in servicing revenue, net
(F)
|
—
|
|
|
—
|
|
|
—
|
|
|
(199,836
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(199,836
|
)
|
||||||||||
Included in change in fair value of investments in mortgage servicing rights financing receivables
(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,550
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,550
|
|
||||||||||
Included in change in fair value of servicer advance investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(89,332
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(89,332
|
)
|
||||||||||
Included in gain (loss) on settlement of investments, net
|
—
|
|
|
40,417
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
72,585
|
|
|
(1,288
|
)
|
|
—
|
|
|
—
|
|
|
111,714
|
|
||||||||||
Included in other income (loss), net
(E)
|
6,137
|
|
|
307
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,283
|
|
|
24
|
|
|
(175
|
)
|
|
16,576
|
|
||||||||||
Gains (losses) included in other comprehensive income
(G)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,031
|
|
|
—
|
|
|
—
|
|
|
31,031
|
|
||||||||||
Interest income
|
21,936
|
|
|
22,504
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
50,218
|
|
|
377,018
|
|
|
—
|
|
|
—
|
|
|
471,676
|
|
||||||||||
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
1,042,933
|
|
|
128,357
|
|
|
2,332,989
|
|
|
3,854,439
|
|
|
—
|
|
|
—
|
|
|
7,358,718
|
|
||||||||||
Proceeds from sales
|
(19,084
|
)
|
|
—
|
|
|
—
|
|
|
(5,776
|
)
|
|
(7,472
|
)
|
|
—
|
|
|
(86,448
|
)
|
|
—
|
|
|
—
|
|
|
(118,780
|
)
|
||||||||||
Proceeds from repayments
|
(58,139
|
)
|
|
(69,654
|
)
|
|
(32,158
|
)
|
|
—
|
|
|
—
|
|
|
(2,455,155
|
)
|
|
(1,163,921
|
)
|
|
—
|
|
|
(2,111
|
)
|
|
(3,781,138
|
)
|
||||||||||
Originations
|
—
|
|
|
—
|
|
|
—
|
|
|
35,311
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,311
|
|
||||||||||
Ocwen Transaction (Note 5)
|
—
|
|
|
(611,621
|
)
|
|
—
|
|
|
—
|
|
|
1,017,993
|
|
|
(3,202,838
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,796,466
|
)
|
||||||||||
Balance at December 31, 2018
|
$
|
257,387
|
|
|
$
|
190,473
|
|
|
$
|
147,964
|
|
|
$
|
2,884,100
|
|
|
$
|
1,644,504
|
|
|
$
|
735,846
|
|
|
$
|
8,970,963
|
|
|
$
|
10,628
|
|
|
$
|
177,358
|
|
|
$
|
15,019,223
|
|
(A)
|
Includes the recapture agreement for each respective pool, as applicable.
|
(B)
|
Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a
50%
interest.
|
(C)
|
For the purpose of this table, the IRLC asset and liability positions are shown net.
|
(D)
|
Transfers are assumed to occur at the beginning of the respective period.
|
(E)
|
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.
|
(F)
|
The components of Servicing revenue, net are disclosed in Note 5.
|
(G)
|
These gains (losses) were included in net unrealized gain (loss) on securities in the Consolidated Statements of Comprehensive Income.
|
|
|
Level 3
|
|
|
||||||||||||
|
|
Excess Spread Financing
|
|
Mortgage-Backed Securities Issued
|
|
Contingent Consideration
|
|
|
||||||||
|
|
|
Total
|
|||||||||||||
Balance at December 31, 2017
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Transfers
(A)
|
|
|
|
|
|
|
|
|
||||||||
Transfers from Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers to Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Shellpoint Acquisition (Note 1)
|
|
48,262
|
|
|
120,702
|
|
|
39,262
|
|
|
208,226
|
|
||||
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
||||||||
Included in other-than-temporary impairment on securities
(B)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in change in fair value of investments in excess mortgage servicing rights
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees
(B)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in servicing revenue, net
(C)
|
|
(8,591
|
)
|
|
—
|
|
|
—
|
|
|
(8,591
|
)
|
||||
Included in change in fair value of investments in notes receivable - rights to MSRs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in change in fair value of servicer advance investments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in gain (loss) on settlement of investments, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Included in other income
(B)
|
|
—
|
|
|
684
|
|
|
1,580
|
|
|
2,264
|
|
||||
Gains (losses) included in other comprehensive income, net of tax
(D)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Interest income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
||||||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Proceeds from sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Proceeds from repayments
|
|
—
|
|
|
(4,338
|
)
|
|
—
|
|
|
(4,338
|
)
|
||||
Other
|
|
(367
|
)
|
|
—
|
|
|
—
|
|
|
(367
|
)
|
||||
Ocwen Transaction
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance at December 31, 2018
|
|
$
|
39,304
|
|
|
$
|
117,048
|
|
|
$
|
40,842
|
|
|
$
|
197,194
|
|
(A)
|
Transfers are assumed to occur at the beginning of the respective period.
|
(B)
|
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.
|
(C)
|
The components of Servicing revenue, net are disclosed in Note 5.
|
(D)
|
These gains (losses) were included in net unrealized gain (loss) on securities in the Consolidated Statements of Comprehensive Income.
|
|
December 31, 2018
|
||||||||||||
|
Significant Inputs
(A)
|
||||||||||||
|
Prepayment
Rate
(B)
|
|
Delinquency
(C)
|
|
Recapture Rate
(D)
|
|
Mortgage Servicing Amount
or Excess Mortgage Servicing Amount (bps) (E) |
|
Collateral Weighted Average Maturity Years
(F)
|
||||
Excess MSRs Directly Held (Note 4)
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
9.8
|
%
|
|
2.5
|
%
|
|
26.3
|
%
|
|
21
|
|
|
21
|
Recaptured Pools
|
8.0
|
%
|
|
2.1
|
%
|
|
23.6
|
%
|
|
22
|
|
|
24
|
Recapture Agreement
|
7.9
|
%
|
|
2.2
|
%
|
|
24.8
|
%
|
|
22
|
|
|
—
|
|
9.1
|
%
|
|
2.4
|
%
|
|
25.4
|
%
|
|
21
|
|
|
22
|
Non-Agency
(G)
|
|
|
|
|
|
|
|
|
|
||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
10.4
|
%
|
|
N/A
|
|
|
15.4
|
%
|
|
15
|
|
|
24
|
Recaptured Pools
|
8.0
|
%
|
|
N/A
|
|
|
19.9
|
%
|
|
23
|
|
|
24
|
Recapture Agreement
|
7.9
|
%
|
|
N/A
|
|
|
19.8
|
%
|
|
20
|
|
|
—
|
|
9.9
|
%
|
|
N/A
|
|
|
16.3
|
%
|
|
16
|
|
|
24
|
Total/Weighted Average--Excess MSRs Directly Held
|
9.4
|
%
|
|
2.4
|
%
|
|
21.5
|
%
|
|
19
|
|
|
23
|
|
|
|
|
|
|
|
|
|
|
||||
Excess MSRs Held through Equity Method Investees (Note 4)
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
10.9
|
%
|
|
3.9
|
%
|
|
29.6
|
%
|
|
19
|
|
|
20
|
Recaptured Pools
|
8.5
|
%
|
|
2.6
|
%
|
|
28.8
|
%
|
|
23
|
|
|
23
|
Recapture Agreement
|
8.6
|
%
|
|
2.7
|
%
|
|
30.4
|
%
|
|
23
|
|
|
—
|
Total/Weighted Average--Excess MSRs Held through Investees
|
9.6
|
%
|
|
3.2
|
%
|
|
29.4
|
%
|
|
21
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
||||
Total/Weighted Average--Excess MSRs All Pools
|
9.5
|
%
|
|
2.7
|
%
|
|
24.5
|
%
|
|
20
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
||||
MSRs
|
|
|
|
|
|
|
|
|
|
||||
Agency
(H)
|
|
|
|
|
|
|
|
|
|
||||
Mortgage Servicing Rights
(I)
|
9.4
|
%
|
|
1.0
|
%
|
|
22.2
|
%
|
|
26
|
|
|
22
|
Mortgage Servicing Rights Financing Receivables
(I)
|
9.5
|
%
|
|
0.9
|
%
|
|
14.7
|
%
|
|
27
|
|
|
20
|
Non-Agency
|
|
|
|
|
|
|
|
|
|
||||
Mortgage Servicing Rights
|
13.2
|
%
|
|
0.9
|
%
|
|
10.0
|
%
|
|
25
|
|
|
25
|
Mortgage Servicing Rights Financing Receivables
(I)
|
8.2
|
%
|
|
17.2
|
%
|
|
5.0
|
%
|
|
45
|
|
|
26
|
Ginnie Mae
|
|
|
|
|
|
|
|
|
|
||||
Mortgage Servicing Rights
(J)
|
11.2
|
%
|
|
3.9
|
%
|
|
24.2
|
%
|
|
33
|
|
|
27
|
|
December 31, 2017
|
||||||||||||
|
Significant Inputs
(A)
|
||||||||||||
|
Prepayment
Rate
(B)
|
|
Delinquency
(C)
|
|
Recapture Rate
(D)
|
|
Mortgage Servicing Amount
or Excess Mortgage Servicing Amount (bps) (E) |
|
Collateral Weighted Average Maturity Years
(F)
|
||||
Excess MSRs Directly Held (Note 4)
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
9.7
|
%
|
|
3.0
|
%
|
|
31.6
|
%
|
|
21
|
|
|
23
|
Recaptured Pools
|
7.1
|
%
|
|
4.4
|
%
|
|
23.1
|
%
|
|
22
|
|
|
24
|
Recapture Agreement
|
7.1
|
%
|
|
4.3
|
%
|
|
26.2
|
%
|
|
21
|
|
|
—
|
|
8.8
|
%
|
|
3.5
|
%
|
|
29.1
|
%
|
|
21
|
|
|
23
|
Non-Agency
(G)
|
|
|
|
|
|
|
|
|
|
||||
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
12.2
|
%
|
|
N/A
|
|
|
15.4
|
%
|
|
15
|
|
|
24
|
Recaptured Pools
|
6.9
|
%
|
|
N/A
|
|
|
19.8
|
%
|
|
22
|
|
|
24
|
Recapture Agreement
|
6.9
|
%
|
|
N/A
|
|
|
19.7
|
%
|
|
20
|
|
|
—
|
Ocwen Serviced Pools
|
8.8
|
%
|
|
N/A
|
|
|
—
|
%
|
|
14
|
|
|
26
|
|
9.4
|
%
|
|
N/A
|
|
|
4.0
|
%
|
|
15
|
|
|
26
|
Total/Weighted Average--Excess MSRs Directly Held
|
9.2
|
%
|
|
3.5
|
%
|
|
10.9
|
%
|
|
16
|
|
|
25
|
|
|
|
|
|
|
|
|
|
|
||||
Excess MSRs Held through Equity Method Investees (Note 4)
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
||||
Original Pools
|
11.3
|
%
|
|
5.0
|
%
|
|
34.8
|
%
|
|
19
|
|
|
22
|
Recaptured Pools
|
7.3
|
%
|
|
4.7
|
%
|
|
24.3
|
%
|
|
23
|
|
|
24
|
Recapture Agreement
|
7.3
|
%
|
|
4.7
|
%
|
|
24.2
|
%
|
|
23
|
|
|
—
|
Total/Weighted Average--Excess MSRs Held through Investees
|
9.3
|
%
|
|
4.8
|
%
|
|
29.5
|
%
|
|
21
|
|
|
23
|
|
|
|
|
|
|
|
|
|
|
||||
Total/Weighted Average--Excess MSRs All Pools
|
9.2
|
%
|
|
3.8
|
%
|
|
14.9
|
%
|
|
17
|
|
|
25
|
|
|
|
|
|
|
|
|
|
|
||||
MSRs
|
|
|
|
|
|
|
|
|
|
||||
Agency
|
|
|
|
|
|
|
|
|
|
||||
Mortgage Servicing Rights
(I)
|
10.5
|
%
|
|
0.9
|
%
|
|
25.4
|
%
|
|
27
|
|
|
21
|
Mortgage Servicing Rights Financing Receivables
(I)
|
10.3
|
%
|
|
0.9
|
%
|
|
14.8
|
%
|
|
27
|
|
|
20
|
Non-Agency
|
|
|
|
|
|
|
|
|
|
||||
Mortgage Servicing Rights Financing Receivables
(I)
|
10.0
|
%
|
|
10.9
|
%
|
|
—
|
%
|
|
34
|
|
|
22
|
(A)
|
Weighted by fair value of the portfolio.
|
(B)
|
Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
(C)
|
Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments.
|
(D)
|
Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.
|
(E)
|
Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in bps. As of
December 31, 2018
and
2017
, weighted average costs of subservicing of
$7.30
and
$7.23
, respectively, per loan per month was used to value the Fannie Mae and Freddie Mac MSRs, including MSR Financing Receivables. Weighted average costs of subservicing of
$11.45
and
$12.45
, respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. As of
December 31, 2018
, a weighted average cost of subservicing of
$10.06
per loan per month was used to value the Ginnie Mae MSRs.
|
(F)
|
Weighted average maturity of the underlying residential mortgage loans in the pool.
|
(G)
|
For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used.
|
(H)
|
Represents Fannie Mae and Freddie Mac MSRs.
|
(I)
|
For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.
|
(J)
|
Includes valuation of the related Excess spread financing (Note 5).
|
•
|
Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions like home price appreciation, current level of interest rates as well as loan level factors such as the borrower’s interest rate, FICO score, loan-to-value ratio, debt-to-income ratio, vintage on a loan level basis. New Residential considers historical prepayment experience associated with the collateral when determining this vector and also reviews industry research on the prepayment experience of similar loan pools. This data is obtained from remittance reports, market data services and other market sources.
|
•
|
Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed their latest mortgage payments. Delinquency rate projections are in the form of a “vector” that varies over the expected life of the pool. The delinquency vector specifies the percentage of the unpaid principal balance that is expected to be delinquent each month. The delinquency vector is based on assumptions that reflect macroeconomic conditions, the historical delinquency rates for the pools and the underlying borrower characteristics such as the FICO score and loan-to-value ratio. For the recapture agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by New Residential’s servicers and subservicers, and delinquency experience over the past year. New Residential believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become
30
or more days delinquent.
|
•
|
Recapture Rates: Recapture rates are based on actual average recapture rates experienced by New Residential’s servicers and subservicers on similar residential mortgage loan pools. Generally, New Residential looks to
three
to
six
months’ worth of actual recapture rates, which it believes provides a reasonable sample for projecting future recapture rates while taking into account current market conditions. Recapture rate projections are in the form of a “vector” that varies over the expected life of the pool. The recapture vector specifies the percentage of the refinanced loans that have been recaptured within the pool by the servicer or subservicer. The recapture vector takes into account the nature and timeline of the relationship between the borrowers in the pool and the servicer or subservicer, the customer retention programs offered by the servicer or subservicer and the historical recapture rates.
|
•
|
Mortgage Servicing Amount or Excess Mortgage Servicing Amount: For existing mortgage pools, mortgage servicing amount and excess mortgage servicing amount projections are based on the actual total mortgage servicing amount, in excess of a base fee as applicable. For loans expected to be refinanced by the related servicer or subservicer and subject to a recapture agreement, New Residential considers the mortgage servicing amount or excess mortgage servicing amount on loans recently originated by the related servicer over the past three months and other general market considerations. New Residential believes this time period provides a reasonable sample for projecting future mortgage servicing amounts and excess mortgage servicing amounts while taking into account current market conditions.
|
•
|
Discount Rate: The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral.
|
•
|
Cost of subservicing: The costs of subservicing used by New Residential are based on available market data for various loan types and delinquency statuses.
|
|
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)
|
|||||
December 31, 2018
|
1.4
|
%
|
|
10.9
|
%
|
|
17.7
|
%
|
|
19.6
|
bps
|
|
5.9
|
%
|
|
23.4
|
December 31, 2017
|
1.7
|
%
|
|
10.0
|
%
|
|
13.8
|
%
|
|
18.2
|
bps
|
|
6.8
|
%
|
|
25.6
|
(A)
|
Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
(B)
|
Mortgage servicing amount is net of
9.6
bps and
12.5
bps which represent the amounts New Residential paid its servicers as a monthly servicing fee as of
December 31, 2018
and
2017
, respectively.
|
(C)
|
Weighted average maturity of the underlying residential mortgage loans in the pool.
|
•
|
Servicer advance balance: Servicer advance balance projections are in the form of a “vector” that varies over the expected life of the residential mortgage loan pool. The servicer advance balance projection is based on assumptions that reflect factors such as the borrower’s expected delinquency status, the rate at which delinquent borrowers re-perform or become current again, servicer modification offer and acceptance rates, liquidation timelines and the servicers’ stop advance and clawback policies.
|
•
|
Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions and factors such as the borrower’s FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. New Residential considers collateral-specific prepayment experience when determining this vector.
|
•
|
Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed recent mortgage payment(s) as well as loan- and borrower-specific characteristics such as the borrower’s FICO score, the loan-to-value ratio, debt-to-income ratio, occupancy status, loan documentation, payment history and previous loan modifications. New Residential believes the time period utilized provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions.
|
•
|
Mortgage Servicing Amount: Mortgage servicing amounts are contractually determined on a pool-by-pool basis. New Residential projects the weighted average mortgage servicing amount based on its projections for prepayment rates.
|
•
|
LIBOR: The performance-based incentive fees on Nationstar-serviced Servicer Advance Investments portfolios are driven by LIBOR-based factors. The LIBOR curves used are widely used by market participants as reference rates for many financial instruments.
|
•
|
Discount Rate: The discount rates used by New Residential are derived from market data on pricing of mortgage servicing rights backed by similar collateral and the advances made thereon.
|
|
|
|
|
|
|
Fair Value
|
|||||||||||||||||
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Multiple Quotes
(A)
|
|
Single Quote
(B)
|
|
Total
|
|
Level
|
|||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Agency RMBS
|
|
$
|
2,613,395
|
|
|
$
|
2,657,917
|
|
|
$
|
2,665,618
|
|
|
$
|
—
|
|
|
$
|
2,665,618
|
|
|
2
|
|
Non-Agency RMBS
(C)
|
|
19,539,450
|
|
|
8,554,511
|
|
|
8,959,845
|
|
|
11,118
|
|
|
8,970,963
|
|
|
3
|
|
|||||
Total
|
|
$
|
22,152,845
|
|
|
$
|
11,212,428
|
|
|
$
|
11,625,463
|
|
|
$
|
11,118
|
|
|
$
|
11,636,581
|
|
|
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Agency RMBS
|
|
$
|
1,203,629
|
|
|
$
|
1,247,093
|
|
|
$
|
1,243,617
|
|
|
$
|
—
|
|
|
$
|
1,243,617
|
|
|
2
|
|
Treasury
|
|
862,000
|
|
|
858,028
|
|
|
852,734
|
|
|
—
|
|
|
852,734
|
|
|
2
|
|
|||||
Non-Agency RMBS
(C)
|
|
12,757,357
|
|
|
5,599,644
|
|
|
5,963,577
|
|
|
11,212
|
|
|
5,974,789
|
|
|
3
|
|
|||||
Total
|
|
$
|
14,822,986
|
|
|
$
|
7,704,765
|
|
|
$
|
8,059,928
|
|
|
$
|
11,212
|
|
|
$
|
8,071,140
|
|
|
|
(A)
|
New Residential generally obtained pricing service quotations or broker quotations from
two
sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
(a)
|
|
CDR
(b)
|
|
Loss Severity
(c)
|
||
Non-Agency RMBS
|
|
$
|
6,578,455
|
|
|
2.78% to 30%
|
|
0.25% to 25.0%
|
|
0.25% to 9.00%
|
|
5.0% to 100%
|
(a)
|
Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.
|
(b)
|
Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.
|
(c)
|
Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance.
|
(B)
|
New Residential was unable to obtain quotations from more than one source on these securities. For approximately
$11.1 million
in
2018
and
$10.5 million
in
2017
, 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.
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
Acquired Loans
|
|
$
|
2,153,269
|
|
|
4.5%
|
|
8.2%
|
|
1.5%
|
|
39.4%
|
Originated Loans
|
|
655,260
|
|
|
3.50% - 4.50%
|
|
10.0% - 15.0%
|
|
0.0% - 4.0%
|
|
0.0% - 50.0%
|
|
Residential Mortgage Loans Held-for-Sale, at Fair Value
|
|
$
|
2,808,529
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
Residential Mortgage Loans Held-for-Investment, at Fair Value
|
|
$
|
121,088
|
|
|
4.00%
|
|
7.0%
|
|
0.1%
|
|
20.0%
|
|
|
Fair Value
|
|
Loan Funding Probability
|
|
Fair Value of initial servicing rights (bps)
|
||
IRLCs
|
|
$
|
10,628
|
|
|
54% to 100%
|
|
0 to 320
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
Mortgage-Backed Securities Issued
|
|
$
|
117,903
|
|
|
3.5% to 5.25%
|
|
6.0% to 12.0%
|
|
0.0% to 0.25%
|
|
0.0% to 10.0%
|
|
|
Fair Value and Carrying Value
|
|
Discount Rate
|
|
Weighted Average Life (Years)
(A)
|
|
Prepayment Rate
|
|
CDR
(B)
|
|
Loss Severity
(C)
|
||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Performing Loans
|
|
$
|
307,135
|
|
|
4.4
|
%
|
|
4.0
|
|
10.5
|
%
|
|
3.0
|
%
|
|
33.2
|
%
|
Non-Performing Loans
|
|
381,940
|
|
|
5.5
|
%
|
|
3.1
|
|
2.9
|
%
|
|
2.8
|
%
|
|
30.0
|
%
|
|
Total/Weighted Average
|
|
$
|
689,075
|
|
|
5.0
|
%
|
|
3.5
|
|
6.3
|
%
|
|
|
|
31.4
|
%
|
|
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Performing Loans
|
|
$
|
721,121
|
|
|
3.8
|
%
|
|
4.8
|
|
11.5
|
%
|
|
1.1
|
%
|
|
36.9
|
%
|
Non-Performing Loans
|
|
4,203
|
|
|
7.5
|
%
|
|
3.8
|
|
3.0
|
%
|
|
3.0
|
%
|
|
30.0
|
%
|
|
Total/Weighted Average
|
|
$
|
725,324
|
|
|
3.8
|
%
|
|
4.8
|
|
11.5
|
%
|
|
|
|
36.9
|
%
|
(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.
|
|
|
|
|
Per Share
|
|
|
||
Declaration Date
|
|
Payment Date
|
|
Quarterly Dividend
|
|
Total Amounts Distributed (millions)
|
||
March 22, 2016
|
|
April 2016
|
|
0.46
|
|
|
106.0
|
|
June 27, 2016
|
|
July 2016
|
|
0.46
|
|
|
106.0
|
|
September 23, 2016
|
|
October 2016
|
|
0.46
|
|
|
115.4
|
|
December 16, 2016
|
|
January 2017
|
|
0.46
|
|
|
115.4
|
|
January 26, 2017
|
|
April 2017
|
|
0.48
|
|
|
147.5
|
|
June 21, 2017
|
|
July 2017
|
|
0.50
|
|
|
153.7
|
|
September 22, 2017
|
|
October 2017
|
|
0.50
|
|
|
153.7
|
|
December 18, 2017
|
|
January 2018
|
|
0.50
|
|
|
153.7
|
|
March 22, 2018
|
|
April 2018
|
|
0.50
|
|
|
168.1
|
|
June 21, 2018
|
|
July 2018
|
|
0.50
|
|
|
169.9
|
|
September 20, 2018
|
|
October 2018
|
|
0.50
|
|
|
170.2
|
|
December 20, 2018
|
|
January 2019
|
|
0.50
|
|
|
184.6
|
|
|
December 31,
|
||||
|
2018
|
|
2017
|
||
Held by the Manager
|
6,961,222
|
|
|
16,387,480
|
|
Issued to the Manager and subsequently assigned to certain of the Manager’s employees
|
1,530,916
|
|
|
2,108,708
|
|
Issued to the independent directors
|
6,000
|
|
|
6,000
|
|
Total
|
8,498,138
|
|
|
18,502,188
|
|
Recipient
|
Date of
Grant/
Exercise
(A)
|
|
Number of Unexercised Options
|
|
Options
Exercisable
as of
December 31,
2018
|
|
Weighted
Average
Exercise
Price
(B)
|
|
Intrinsic Value of Exercisable Options as of December 31, 2018
(millions)
|
||||||
Directors
|
Various
|
|
6,000
|
|
|
6,000
|
|
|
$
|
13.99
|
|
|
$
|
—
|
|
Manager
(C)
|
2012
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Manager
(C)
|
2013
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Manager
(C)
|
2014
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Manager
(C)
|
2015
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Manager
(C)
|
2016
|
|
533,334
|
|
|
200,000
|
|
|
13.70
|
|
|
0.1
|
|
||
Manager
(C)
|
2017
|
|
2,638,804
|
|
|
1,130,917
|
|
|
14.50
|
|
|
—
|
|
||
Manager
(C)
|
2018
|
|
5,320,000
|
|
|
581,215
|
|
|
17.12
|
|
|
—
|
|
||
Outstanding
|
|
|
8,498,138
|
|
|
1,918,132
|
|
|
|
|
|
(A)
|
Options expire on the tenth anniversary from date of grant.
|
(B)
|
The exercise prices are subject to adjustment in connection with return of capital dividends. A portion of New Residential’s 2017 dividends was deemed to be a return of capital and the exercise prices were adjusted accordingly.
|
(C)
|
The Manager assigned certain of its options to its employees as follows:
|
Date of Grant to Manager
|
|
Range of Exercise Prices
|
|
Total Unexercised
Inception to Date
|
|
2016
|
|
$13.70
|
|
400,000
|
|
2017
|
|
$14.50
|
|
1,130,916
|
|
Total
|
|
|
|
1,530,916
|
|
|
|
Amount
|
|
Weighted Average Exercise Price
|
|||
December 31, 2016 outstanding options
|
|
13,196,610
|
|
|
|
||
Options granted
|
|
5,654,578
|
|
|
$
|
14.50
|
|
Options exercised
(A)
|
|
—
|
|
|
$
|
—
|
|
Options expired unexercised
|
|
(349,000
|
)
|
|
|
||
December 31, 2017 outstanding options
|
|
18,502,188
|
|
|
|
||
Options granted
|
|
5,799,166
|
|
|
$
|
17.23
|
|
Options exercised
|
|
(15,803,216
|
)
|
|
$
|
14.30
|
|
Options expired unexercised
|
|
—
|
|
|
|
||
December 31, 2018 outstanding options
|
|
8,498,138
|
|
|
See table above
|
(A)
|
The
15.8 million
options that were exercised in
2018
had an intrinsic value of approximately
$68.9 million
at the date of exercise.
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Management fees
|
$
|
5,779
|
|
|
$
|
4,734
|
|
Incentive compensation
|
94,900
|
|
|
81,373
|
|
||
Expense reimbursements and other
|
792
|
|
|
2,854
|
|
||
Total
|
$
|
101,471
|
|
|
$
|
88,961
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Management fees
|
$
|
62,594
|
|
|
$
|
55,634
|
|
|
$
|
41,610
|
|
Incentive compensation
|
94,900
|
|
|
81,373
|
|
|
42,197
|
|
|||
Expense reimbursements
(A)
|
500
|
|
|
500
|
|
|
500
|
|
|||
Total
|
$
|
157,994
|
|
|
$
|
137,507
|
|
|
$
|
84,307
|
|
Accumulated Other Comprehensive Income Components
|
|
Statement of Income Location
|
|
Year Ended December 31,
|
||||||||||
2018
|
|
2017
|
|
2016
|
||||||||||
Reclassification of net realized (gain) loss on securities into earnings
|
|
Gain (loss) on settlement of investments, net
|
|
$
|
29,936
|
|
|
$
|
(20,642
|
)
|
|
$
|
27,460
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Other-than-temporary impairment on securities
|
|
30,017
|
|
|
10,334
|
|
|
10,264
|
|
|||
Total reclassifications
|
|
|
|
$
|
59,953
|
|
|
$
|
(10,308
|
)
|
|
$
|
37,724
|
|
|
Year Ended December 31,
|
||||||||||
|
2018
|
|
2017
|
|
2016
|
||||||
Current:
|
|
|
|
|
|
||||||
Federal
|
$
|
6,146
|
|
|
$
|
(1,250
|
)
|
|
$
|
3,813
|
|
State and Local
|
477
|
|
|
360
|
|
|
252
|
|
|||
Total Current Income Tax Expense (Benefit)
|
6,623
|
|
|
(890
|
)
|
|
4,065
|
|
|||
Deferred:
|
|
|
|
|
|
||||||
Federal
|
(68,907
|
)
|
|
148,997
|
|
|
33,999
|
|
|||
State and Local
|
(11,147
|
)
|
|
19,521
|
|
|
847
|
|
|||
Total Deferred Income Tax Expense (Benefit)
|
(80,054
|
)
|
|
168,518
|
|
|
34,846
|
|
|||
Total Income Tax (Benefit) Expense
|
$
|
(73,431
|
)
|
|
$
|
167,628
|
|
|
$
|
38,911
|
|
|
December 31,
|
|||||||
|
2018
|
|
2017
|
|
2016
|
|||
Provision at the statutory rate
|
21.00
|
%
|
|
35.00
|
%
|
|
35.00
|
%
|
Non-taxable REIT income
|
(25.44
|
)%
|
|
(21.72
|
)%
|
|
(28.22
|
)%
|
State and local taxes
|
(1.19
|
)%
|
|
1.76
|
%
|
|
0.18
|
%
|
Change in valuation allowance
|
(2.31
|
)%
|
|
0.85
|
%
|
|
0.67
|
%
|
Change in federal tax rate
|
—
|
%
|
|
(0.92
|
)%
|
|
—
|
%
|
Other
|
(0.30
|
)%
|
|
(0.17
|
)%
|
|
(0.48
|
)%
|
Total provision
|
(8.24
|
)%
|
|
14.80
|
%
|
|
7.15
|
%
|
|
December 31,
|
||||||
|
2018
|
|
2017
|
||||
Deferred tax assets:
|
|
|
|
||||
Net operating losses and tax credit carryforwards
(B)
|
$
|
41,713
|
|
|
$
|
20,682
|
|
Interest accruals not currently deductible for tax purposes
|
—
|
|
|
2,628
|
|
||
Basis differences for REO and other assets
|
8,453
|
|
|
8,034
|
|
||
Unrealized mark to market
|
36,758
|
|
|
—
|
|
||
Other
|
3,087
|
|
|
2,279
|
|
||
Total deferred tax assets
|
90,011
|
|
|
33,623
|
|
||
Less valuation allowance
|
—
|
|
|
(12,404
|
)
|
||
Net deferred tax assets
|
$
|
90,011
|
|
|
$
|
21,219
|
|
|
|
|
|
||||
Deferred tax liabilities:
|
|
|
|
||||
Basis difference for partnership and other investments
|
$
|
(24,179
|
)
|
|
$
|
(3,873
|
)
|
Interest accruals not currently includible in income for tax purposes
|
—
|
|
|
(6,979
|
)
|
||
Unrealized mark to market
|
—
|
|
|
(29,585
|
)
|
||
Total deferred tax (liability)
|
$
|
(24,179
|
)
|
|
$
|
(40,437
|
)
|
|
|
|
|
||||
Net deferred tax assets (liability)
|
$
|
65,832
|
|
|
$
|
(19,218
|
)
|
(A)
|
As of
December 31, 2018
, New Residential’s TRSs had approximately
$131.3 million
of net operating loss carryforwards for federal and state income tax purposes which may be available to offset future taxable income, if and when it arises. Approximately,
$131.3 million
of these federal and state net operating loss carryforwards will begin to expire in 2034. The utilization of the net operating loss carryforwards to reduce future income taxes will depend on the TRSs ability to generate sufficient taxable income prior to the expiration of the carryforward period.
|
Valuation allowance at December 31, 2016
|
|
$
|
10,054
|
|
Increase related to net operating losses and loan loss reserves
|
|
4,720
|
|
|
Decrease related to changes in tax rates
|
|
(3,845
|
)
|
|
Other increase (decrease)
|
|
1,475
|
|
|
Valuation allowance at December 31, 2017
|
|
12,404
|
|
|
Increase related to net operating losses and loan loss reserves
|
|
18,769
|
|
|
Decrease related to changes in tax rates
|
|
—
|
|
|
Other increase (decrease)
|
|
(31,173
|
)
|
|
Valuation allowance at December 31, 2018
|
|
$
|
—
|
|
Year
|
Dividends
per Share
|
|
Ordinary
Income
|
|
Long-term
Capital
Gain
|
|
Return
of
Capital
|
|||||
2018
(A)
|
$
|
1.60
|
|
|
78.03
|
%
|
|
1.03
|
%
|
|
20.94
|
%
|
2017
(B)
|
1.94
|
|
|
66.64
|
%
|
|
7.83
|
%
|
|
25.53
|
%
|
|
2016
|
1.38
|
|
|
96.13
|
%
|
|
3.87
|
%
|
|
—
|
%
|
(A)
|
The entire
$0.50
per share dividend declared in December
2018
and paid in January
2019
is treated as received by stockholders in
2019
.
|
(B)
|
The entire
$0.50
per share dividend declared in December
2017
and paid in January
2018
is treated as received by stockholders in
2018
.
|
2018
|
Quarter Ended
|
|
Year Ended
December 31
|
||||||||||||||||
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
|
|||||||||||
Interest income
|
$
|
383,573
|
|
|
$
|
403,805
|
|
|
$
|
425,524
|
|
|
$
|
451,321
|
|
|
$
|
1,664,223
|
|
Interest expense
|
124,387
|
|
|
133,916
|
|
|
162,806
|
|
|
185,324
|
|
|
606,433
|
|
|||||
Net interest income
|
259,186
|
|
|
269,889
|
|
|
262,718
|
|
|
265,997
|
|
|
1,057,790
|
|
|||||
Impairment
|
|
|
|
|
|
|
|
|
|
||||||||||
Other-than-temporary impairment (OTTI) on securities
|
6,670
|
|
|
12,631
|
|
|
3,889
|
|
|
6,827
|
|
|
30,017
|
|
|||||
Valuation and loss provision (reversal) on loans and real estate owned
|
19,007
|
|
|
3,658
|
|
|
5,471
|
|
|
32,488
|
|
|
60,624
|
|
|||||
|
25,677
|
|
|
16,289
|
|
|
9,360
|
|
|
39,315
|
|
|
90,641
|
|
|||||
Net interest income after impairment
|
233,509
|
|
|
253,600
|
|
|
253,358
|
|
|
226,682
|
|
|
967,149
|
|
|||||
Servicing revenue, net
|
217,236
|
|
|
146,193
|
|
|
175,355
|
|
|
(10,189
|
)
|
|
528,595
|
|
|||||
Gain on sale of originated mortgage loans, net
|
—
|
|
|
—
|
|
|
45,732
|
|
|
43,285
|
|
|
89,017
|
|
|||||
Other income (loss)
(A)
|
264,524
|
|
|
(96,812
|
)
|
|
(83,298
|
)
|
|
(128,671
|
)
|
|
(44,257
|
)
|
|||||
Operating Expenses
|
107,817
|
|
|
119,753
|
|
|
192,107
|
|
|
189,727
|
|
|
609,404
|
|
|||||
Income Before Income Taxes
|
607,452
|
|
|
183,228
|
|
|
199,040
|
|
|
(58,620
|
)
|
|
931,100
|
|
|||||
Income tax (benefit) expense
|
(6,912
|
)
|
|
(2,608
|
)
|
|
3,563
|
|
|
(67,474
|
)
|
|
(73,431
|
)
|
|||||
Net Income
|
$
|
614,364
|
|
|
$
|
185,836
|
|
|
$
|
195,477
|
|
|
$
|
8,854
|
|
|
$
|
1,004,531
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
10,111
|
|
|
$
|
11,078
|
|
|
$
|
10,869
|
|
|
$
|
8,506
|
|
|
$
|
40,564
|
|
Net Income Attributable to Common Stockholders
|
$
|
604,253
|
|
|
$
|
174,758
|
|
|
$
|
184,608
|
|
|
$
|
348
|
|
|
$
|
963,967
|
|
Net Income Per Share of Common Stock
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
$
|
1.83
|
|
|
$
|
0.52
|
|
|
$
|
0.54
|
|
|
$
|
—
|
|
|
$
|
2.82
|
|
Diluted
|
$
|
1.81
|
|
|
$
|
0.51
|
|
|
$
|
0.54
|
|
|
$
|
—
|
|
|
$
|
2.81
|
|
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
330,384,856
|
|
|
336,311,253
|
|
|
340,044,440
|
|
|
358,044,646
|
|
|
341,268,923
|
|
|||||
Diluted
|
333,380,436
|
|
|
339,538,503
|
|
|
340,868,403
|
|
|
358,509,094
|
|
|
343,137,361
|
|
|||||
Dividends Declared per Share of Common Stock
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
2.00
|
|
2017
|
Quarter Ended
|
|
Year Ended
December 31
|
||||||||||||||||
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
|
|||||||||||
Interest income
|
$
|
292,538
|
|
|
$
|
471,952
|
|
|
$
|
397,722
|
|
|
$
|
357,467
|
|
|
$
|
1,519,679
|
|
Interest expense
|
98,229
|
|
|
115,157
|
|
|
125,278
|
|
|
122,201
|
|
|
460,865
|
|
|||||
Net interest income
|
194,309
|
|
|
356,795
|
|
|
272,444
|
|
|
235,266
|
|
|
1,058,814
|
|
|||||
Impairment
|
|
|
|
|
|
|
|
|
|
||||||||||
Other-than-temporary impairment (OTTI) on securities
|
2,112
|
|
|
5,115
|
|
|
1,509
|
|
|
1,598
|
|
|
10,334
|
|
|||||
Valuation and loss provision (reversal) on loans and real estate owned
|
17,910
|
|
|
20,771
|
|
|
26,700
|
|
|
10,377
|
|
|
75,758
|
|
|||||
|
20,022
|
|
|
25,886
|
|
|
28,209
|
|
|
11,975
|
|
|
86,092
|
|
|||||
Net interest income after impairment
|
174,287
|
|
|
330,909
|
|
|
244,235
|
|
|
223,291
|
|
|
972,722
|
|
|||||
Servicing revenue, net
|
40,602
|
|
|
170,851
|
|
|
58,014
|
|
|
154,882
|
|
|
424,349
|
|
|||||
Other (loss) income
(A)
|
(3,694
|
)
|
|
57,847
|
|
|
87,145
|
|
|
66,488
|
|
|
207,786
|
|
|||||
Operating Expenses
|
68,441
|
|
|
139,360
|
|
|
117,060
|
|
|
97,716
|
|
|
422,577
|
|
|||||
Income Before Income Taxes
|
142,754
|
|
|
420,247
|
|
|
272,334
|
|
|
346,945
|
|
|
1,182,280
|
|
|||||
Income tax expense
|
5,596
|
|
|
82,844
|
|
|
32,613
|
|
|
46,575
|
|
|
167,628
|
|
|||||
Net Income
|
$
|
137,158
|
|
|
$
|
337,403
|
|
|
$
|
239,721
|
|
|
$
|
300,370
|
|
|
$
|
1,014,652
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
15,780
|
|
|
$
|
15,671
|
|
|
$
|
13,600
|
|
|
$
|
12,068
|
|
|
$
|
57,119
|
|
Net Income Attributable to Common Stockholders
|
$
|
121,378
|
|
|
$
|
321,732
|
|
|
$
|
226,121
|
|
|
$
|
288,302
|
|
|
$
|
957,533
|
|
Net Income Per Share of Common Stock
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
$
|
0.42
|
|
|
$
|
1.05
|
|
|
$
|
0.74
|
|
|
$
|
0.94
|
|
|
$
|
3.17
|
|
Diluted
|
$
|
0.42
|
|
|
$
|
1.04
|
|
|
$
|
0.73
|
|
|
$
|
0.93
|
|
|
$
|
3.15
|
|
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
|
|
|
|
||||||||||
Basic
|
286,600,324
|
|
|
307,344,874
|
|
|
307,361,309
|
|
|
307,361,309
|
|
|
302,238,065
|
|
|||||
Diluted
|
288,241,188
|
|
|
309,392,512
|
|
|
309,207,345
|
|
|
310,388,102
|
|
|
304,381,388
|
|
|||||
Dividends Declared per Share of Common Stock
|
$
|
0.48
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
1.98
|
|
(A)
|
Earnings from investments in equity method investees is included in other income.
|
•
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
•
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
•
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.
|
Exhibit
Number |
|
Exhibit Description
|
|
|
|
2.1
†
|
|
Separation and Distribution Agreement, dated as of April 26, 2013, by and between New Residential Investment Corp. and Newcastle Investment Corp. (incorporated by reference to Exhibit 2.1 to Amendment No. 6 of New Residential Investment Corp.’s Registration Statement on Form 10, filed April 29, 2013)
|
|
|
|
2.2
†
|
|
Purchase Agreement, dated as of March 5, 2013, by and among the Sellers listed therein, HSBC Finance Corporation and SpringCastle Acquisition LLC (incorporated by reference to Exhibit 99.1 to Drive Shack Inc.’s Current Report on Form 8-K, filed March 11, 2013)
|
|
|
|
2.3
†
|
|
Master Servicing Rights Purchase Agreement, dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
2.4
†
|
|
Sale Supplement (Shuttle 1), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
2.5
†
|
|
Sale Supplement (Shuttle 2), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.3 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
2.6
†
|
|
Sale Supplement (First Tennessee), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.4 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
2.7
†
|
|
Purchase Agreement, dated as of March 31, 2016, 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 Exhibit 2.10 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016, filed on May 4, 2016)
|
|
|
|
2.8
†
|
|
Securities Purchase Agreement, dated as of November 29, 2017, by and among NRM Acquisition LLC, Shellpoint Partners LLC, the Sellers party thereto and Shellpoint Services LLC, as original representative of the Seller (incorporated by reference to Exhibit 2.8 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2017, filed on February 15, 2018)
|
|
|
|
2.9
†
|
|
Amendment No. 1 to the Securities Purchase Agreement, dated as of July 3, 2018, by and among NRM Acquisition LLC, Shellpoint Partners LLC, the Sellers party thereto and Shellpoint Representative LLC, as replacement representative of the Sellers (incorporated by reference to Exhibit 2.9 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2018)
|
|
|
|
|
Amended and Restated Certificate of Incorporation of New Residential Investment Corp. (incorporated by reference to Exhibit 3.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
|
|
|
|
|
|
Amended and Restated Bylaws of New Residential Investment Corp. (incorporated by reference to Exhibit 3.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
|
|
|
|
|
|
Certificate of Amendment to the Amended and Restated Certificate of Incorporation of New Residential Investment Corp. (incorporated by reference to Exhibit 3.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed October 17, 2014)
|
|
|
|
|
Amended and Restated Indenture, dated as of August 17, 2017, by and among NRZ Advance Receivables Trust 2015-ONI, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, New Residential Mortgage LLC and Credit Suisse AG, New York Branch (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed August 22, 2017)
|
|
|
|
|
|
Omnibus Amendment to Term Note Indenture Supplements, dated as of August 17, 2017, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, New Residential Mortgage LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed August 22, 2017)
|
|
|
|
|
|
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 Exhibit 4.19 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
|
|
|
|
|
|
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 Exhibit 4.20 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
|
|
|
|
|
|
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 Exhibit 4.21 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
|
|
|
|
|
|
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 Exhibit 4.22 to New Residential Investment Corp.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015)
|
|
|
|
|
|
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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed March 24, 2016)
|
|
|
|
|
|
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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 13, 2016)
|
|
|
|
|
|
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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed June 3, 2016)
|
|
|
|
|
|
Amendment No. 5, dated as of December 15, 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 Exhibit 4.3 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 16, 2016)
|
|
|
|
|
|
Amendment No. 6, dated as of August 17, 2017, to Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, to the Amended and Restated Indenture, dated as of August 21, 2017, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, New Residential Mortgage LLC, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.3 to New Residential Investment Corp.’s Current Report on Form 8-K, filed August 22, 2017)
|
|
|
|
|
|
Amendment No. 7, dated as of November 15, 2017, to Series 2015-VF1 Indenture Supplement, dated as of August 28, 2015, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, HLSS Holdings, LLC, Credit Suisse AG, New York Branch, Ocwen Loan Servicing, LLC, New Residential Mortgage LLC, and New Residential Investment Corp and consented to by Credit Suisse and Credit Suisse International (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K filed November 17, 2017)
|
|
|
|
|
|
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 Exhibit 4.23 to New Residential Investment Corp.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015)
|
|
|
|
|
|
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 Exhibit 4.24 to New Residential Investment Corp.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015)
|
|
|
|
|
|
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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed July 7, 2016)
|
|
|
|
|
|
Series 2016-T2 Indenture Supplement, dated as of October 25, 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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed October 31, 2016)
|
|
|
|
|
|
Series 2016-T3 Indenture Supplement, dated as of October 25, 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 Exhibit 4.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed October 31, 2016)
|
|
|
|
|
|
Series 2016-T4 Indenture Supplement, dated as of December 15, 2016, 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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 16, 2016)
|
|
|
|
|
|
Series 2016-T5 Indenture Supplement, dated as of December 15, 2016, 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 Exhibit 4.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 16, 2016)
|
|
|
|
|
|
Series 2017-T1 Indenture Supplement, dated as of February 7, 2017, 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 Exhibit 4.1 to New Residential Investment Corp.’s Current Report on Form 8-K filed February 8, 2017)
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Series 2018-VF1 Indenture Supplement, dated as of March 22, 2018, to the Amended and Restated Indenture, dated as of August 17, 2017, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, New Residential Mortgage LLC, JPMorgan Chase Bank, N.A. and New Residential Investment Corp. (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.'s Current Report on Form 8-K, filed March 28, 2018)
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Third Amended and Restated Management and Advisory Agreement, dated as of May 7, 2015, by and between New Residential Investment Corp. and FIG LLC (incorporated by reference to Exhibit 10.4 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2015)
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Form of Indemnification Agreement by and between New Residential Investment Corp. and its directors and officers (incorporated by reference to Exhibit 10.2 to Amendment No. 3 to New Residential Investment Corp.’s Registration Statement on Form 10, filed March 27, 2013)
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New Residential Investment Corp. Nonqualified Stock Option and Incentive Award Plan, adopted as of April 29, 2013 (incorporated by reference to Exhibit 10.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed May 3, 2013)
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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 Exhibit 10.6 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2014)
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Investment Guidelines (incorporated by reference to Exhibit 10.4 to Amendment No. 4 to New Residential Investment Corp.’s Registration Statement on Form 10, filed April 9, 2013)
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Excess Servicing Spread Sale and Assignment Agreement, dated as of December 8, 2011, by and between Nationstar Mortgage LLC and NIC MSR I LLC (incorporated by reference to Exhibit 10.5 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011)
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|
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Excess Spread Refinanced Loan Replacement Agreement, dated as of December 8, 2011, by and between Nationstar Mortgage LLC and NIC MSR I LLC (incorporated by reference to Exhibit 10.6 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011)
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Future Spread Agreement for FHLMC Mortgage Loans, dated as of May 13, 2012, by and between Nationstar Mortgage LLC and NIC MSR IV LLC (incorporated by reference to Exhibit 10.4 to Drive Shack Inc.’s Current Report on Form 8-K, filed May 15, 2012)
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Future Spread Agreement for FNMA Mortgage Loans, dated as of May 13, 2012, by and between Nationstar Mortgage LLC and NIC MSR V LLC (incorporated by reference to Exhibit 10.2 to Drive Shack Inc.’s Current Report on Form 8-K, filed May 15, 2012)
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|
|
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Future Spread Agreement for Non-Agency Mortgage Loans, dated as of May 13, 2012, by and between Nationstar Mortgage LLC and NIC MSR VI LLC (incorporated by reference to Exhibit 10.6 to Drive Shack Inc.’s Current Report on Form 8-K, filed May 15, 2012)
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|
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Future Spread Agreement for GNMA Mortgage Loans, dated as of May 13, 2012, by and between Nationstar Mortgage LLC and NIC MSR VII, LLC (incorporated by reference to Exhibit 10.8 to Drive Shack Inc.’s Current Report on Form 8-K, filed May 15, 2012)
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|
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Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, dated as of May 31, 2012, by and between Nationstar Mortgage LLC and NIC MSR III LLC (incorporated by reference to Exhibit 10.1 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 6, 2012)
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|
|
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Future Spread Agreement for FHLMC Mortgage Loans, dated as of May 31, 2012, by and between Nationstar Mortgage LLC and NIC MSR III LLC (incorporated by reference to Exhibit 10.2 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 6, 2012)
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|
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.1 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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|
|
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Amended and Restated Future Spread Agreement for FNMA Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.2 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.3 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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|
|
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Amended and Restated Future Spread Agreement for FHLMC Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.4 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.5 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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|
|
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Amended and Restated Future Spread Agreement for Non-Agency Mortgage Loans, dated as of June 7, 2012, by and between Nationstar Mortgage LLC and NIC MSR II LLC (incorporated by reference to Exhibit 10.6 to Drive Shack Inc.’s Current Report on Form 8-K, filed June 7, 2012)
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, dated as of June 28, 2012, by and between Nationstar Mortgage LLC and NIC MSR V LLC (incorporated by reference to Exhibit 10.1 to Drive Shack Inc.’s Current Report on Form 8-K, filed July 5, 2012)
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|
|
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, dated as of June 28, 2012, by and between Nationstar Mortgage LLC and NIC MSR IV LLC (incorporated by reference to Exhibit 10.2 to Drive Shack Inc.’s Current Report on Form 8-K, filed July 5, 2012)
|
|
|
|
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, dated as of June 28, 2012, by and between Nationstar Mortgage LLC and NIC MSR VI LLC (incorporated by reference to Exhibit 10.3 to Drive Shack Inc.’s Current Report on Form 8-K, filed July 5, 2012)
|
|
|
|
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Amended and Restated Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, dated as of June 28, 2012, by and between Nationstar Mortgage LLC and NIC MSR VII LLC (incorporated by reference to Exhibit 10.4 to Drive Shack Inc.’s Current Report on Form 8-K, filed July 5, 2012)
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|
|
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Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, dated as of December 31, 2012, by and between Nationstar Mortgage LLC and MSR VIII LLC (incorporated by reference to Exhibit 10.35 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
|
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Future Spread Agreement for GNMA Mortgage Loans, dated as of December 31, 2012, by and between Nationstar Mortgage LLC and MSR VIII LLC (incorporated by reference to Exhibit 10.36 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
|
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Current Excess Servicing Spread Acquisition Agreement for FHLMC Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR IX LLC (incorporated by reference to Exhibit 10.37 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
|
|
|
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Future Spread Agreement for FHLMC Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR IX LLC (incorporated by reference to Exhibit 10.38 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
|
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Current Excess Servicing Spread Acquisition Agreement for FNMA Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR X LLC (incorporated by reference to Exhibit 10.39 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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Future Spread Agreement for FNMA Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR X LLC (incorporated by reference to Exhibit 10.40 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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Current Excess Servicing Spread Acquisition Agreement for GNMA Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XI LLC (incorporated by reference to Exhibit 10.41 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
|
|
|
|
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Future Spread Agreement for GNMA Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XI LLC (incorporated by reference to Exhibit 10.42 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
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Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XII LLC (incorporated by reference to Exhibit 10.43 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
|
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Future Spread Agreement for Non-Agency Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XII LLC (incorporated by reference to Exhibit 10.44 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
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Current Excess Servicing Spread Acquisition Agreement for Non-Agency Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XIII LLC (incorporated by reference to Exhibit 10.45 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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|
|
|
|
|
Future Spread Agreement for Non-Agency Mortgage Loans, dated as of January 6, 2013, by and between Nationstar Mortgage LLC and MSR XIII LLC (incorporated by reference to Exhibit 10.46 to Drive Shack Inc.’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012)
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Interim Servicing Agreement, dated as of April 1, 2013, by and 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 Exhibit 10.35 to Amendment No. 4 to New Residential Investment Corp.’s Registration Statement on Form 10, filed April 9, 2013)
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|
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|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle Acquisition LLC, dated as of March 31, 2016 (incorporated by reference to Exhibit 10.37 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016)
|
|
|
|
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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 Exhibit 2.4 to New Residential Investment Corp.’s Current Report on Form 8-K, filed April 10, 2015)
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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 Exhibit 10.47 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
|
|
|
|
|
|
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 Exhibit 10.48 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
|
|
|
|
|
|
Master Agreement, dated as July 23, 2017, by and among Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, HLSS MSR - EBO Acquisition LLC and New Residential Mortgage LLC (incorporated by reference to Exhibit 10.41 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
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|
Amendment No. 1 to Master Agreement, dated as of October 12, 2017, by and among Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, HLSS MSR - EBO Acquisition LLC and New Residential Mortgage LLC (incorporated by reference to Exhibit 10.42 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
|
|
Transfer Agreement, dated as of July 23, 2017, by and among Ocwen Loan Servicing, LLC, New Residential Mortgage LLC, Ocwen Financial Corporation and New Residential Investment Corp. (incorporated by reference to Exhibit 10.43 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
|
|
Amendment No. 1 to the Transfer Agreement, dated January 18, 2018, by and among Ocwen Loan Servicing, LLC, New Residential Mortgage LLC, Ocwen Financial Corporation and New Residential Investment Corp. (incorporated by reference to Exhibit 10.44 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2018)
|
|
|
|
|
|
Subservicing Agreement, dated as of July 23, 2017, by and between New Residential Mortgage LLC and Ocwen Loan Servicing, LLC (incorporated by reference to Exhibit 10.44 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
|
|
Amendment No. 1 to Subservicing Agreement, dated as of August 17, 2018, by and between New Residential
|
|
|
|
|
|
Cooperative Brokerage Agreement, dated as of August 28, 2017, by and among REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and New Residential Sales Corp. (incorporated by reference to Exhibit 10.45 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
|
|
First Amendment to Cooperative Brokerage Agreement, dated as of November 16, 2017, by and among REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and New Residential Sales Corp. (incorporated by reference to Exhibit 10.46 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2017, filed on February 14, 2018)
|
|
|
|
|
|
Second Amendment to Cooperative Brokerage Agreement, dated as of January 18, 2018, by and among REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and New Residential Sales Corp. (incorporated by reference to Exhibit 10.47 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2017, filed on February 14, 2018)
|
|
|
|
|
|
Third Amendment to Cooperative Brokerage Agreement, dated as of March 23, 2018, by and among REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and New Residential Sales Corp. (incorporated by reference to Exhibit 10.49 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2018)
|
|
|
|
|
|
Fourth Amendment to Cooperative Brokerage Agreement, dated as of September 11, 2018, by and among REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and New Residential Sales Corp. (incorporated by reference to Exhibit 10.51 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2018)
|
|
|
|
|
|
Letter Agreement, dated as of August 28, 2017, by and among New Residential Investment Corp., New Residential Mortgage LLC, REALHome Services and Solutions, Inc., REALHome Services and Solutions - CT, Inc. and Altisource Solutions S.a.r.l. (incorporated by reference to Exhibit 10.46 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017)
|
|
|
|
|
|
New RMSR Agreement, dated as of January 18, 2018, by and among Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, HLSS MSR - EBO Acquisition LLC, and New Residential Mortgage LLC (incorporated by reference to Exhibit 10.51 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2018)
|
|
|
|
|
|
Amendment No. 1 to New RMSR Agreement, dated as of August 17, 2018, by and among Ocwen Loan Servicing, LLC, HLSS Holdings, LLC, HLSS MSR - EBO Acquisition LLC, and New Residential Mortgage LLC (incorporated by reference to Exhibit 10.54 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2018)
|
|
|
|
|
|
Subservicing Agreement, dated as of August 17, 2018, by and between New Penn Financial, LLC, d/b/a Shellpoint Mortgage Servicing New Residential Mortgage LLC and Ocwen Loan Servicing, LLC (incorporated by reference to Exhibit 10.55 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2018)
|
|
|
|
|
|
List of Subsidiaries of New Residential Investment Corp.
|
|
|
|
|
|
Consent of Ernst & Young LLP, independent registered public accounting firm.
|
|
|
|
|
|
Certification of Chief Executive Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
|
|
|
|
|
Certification of Chief Financial Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
|
|
|
|
|
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
|
|
|
|
|
|
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
|
|
|
|
|
101.INS
|
|
XBRL Instance Document
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
|
|
†
|
Schedules and exhibits may have been omitted pursuant to Item 601(b)(2) of Regulation S-K.
|
|
#
|
Portions of this exhibit have been omitted pursuant to a request for confidential treatment.
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle America, LLC, dated as of March 31, 2016.
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle Credit, LLC, dated as of March 31, 2016.
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle Finance, LLC, dated as of March 31, 2016.
|
•
|
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.
|
|
NEW RESIDENTIAL INVESTMENT CORP.
|
|
|
|
|
|
By:
|
/s/ Michael Nierenberg
|
|
|
Michael Nierenberg
|
|
|
Chairman of the Board
|
|
|
|
|
|
February 15, 2019
|
By:
|
|
/s/ Michael Nierenberg
|
|
By:
|
|
/s/ Nicola Santoro, Jr.
|
Michael Nierenberg
|
|
Nicola Santoro, Jr.
|
||||
Chairman of the Board, Chief Executive Officer and President
|
|
Chief Financial Officer and Treasurer
|
||||
(Principal Executive Officer)
|
|
(Principal Financial Officer)
|
||||
February 15, 2019
|
|
February 15, 2019
|
||||
|
|
|
|
|
|
|
By:
|
|
/s/ Kevin J. Finnerty
|
|
By:
|
|
/s/ David Schneider
|
Kevin J. Finnerty
|
|
David Schneider
|
||||
Director
|
|
Chief Accounting Officer
|
||||
February 15, 2019
|
|
(Principal Accounting Officer)
|
||||
|
|
February 15, 2019
|
||||
|
|
|
|
|
|
|
By:
|
|
/s/ Douglas L. Jacobs
|
|
|
|
|
Douglas L. Jacobs
|
|
|
|
|
||
Director
|
|
|
|
|
||
February 15, 2019
|
|
|
|
|
||
|
|
|
|
|
||
By:
|
|
/s/ Robert J. McGinnis
|
|
|
|
|
Robert J. McGinnis
|
|
|
|
|
||
Director
|
|
|
|
|
||
February 15, 2019
|
|
|
|
|
||
|
|
|
|
|
|
|
By:
|
|
/s/ David Saltzman
|
|
|
|
|
David Saltzman
|
|
|
|
|
||
Director
|
|
|
|
|
||
February 15, 2019
|
|
|
|
|
||
|
|
|
|
|
|
|
By:
|
|
/s/ Andrew Sloves
|
|
|
|
|
Andrew Sloves
|
|
|
|
|
||
Director
|
|
|
|
|
||
February 15, 2019
|
|
|
|
|
||
|
|
|
|
|
||
By:
|
|
/s/ Alan L. Tyson
|
|
|
|
|
Alan L. Tyson
|
|
|
|
|
||
Director
|
|
|
|
|
||
February 15, 2019
|
|
|
|
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
Advance Purchaser LLC
|
|
Delaware
|
Avenue 365 Lender Services, LLC
|
|
Pennsylvania
|
Capital Partners Mortgage, LLC
|
|
Delaware
|
Carolina One Mortgage, LLC
|
|
Delaware
|
Conway Financial Services, LLC
|
|
Delaware
|
Crowne Property Acquisitions LLC
|
|
Delaware
|
E Street Appraisal Management LLC
|
|
Delaware
|
Guaranty Mortgage Services, LLC
|
|
Illinois
|
Hexagon Merger Sub Ltd.
|
|
Cayman Islands
|
HLSS (Cayman) Finco Ltd.
|
|
Cayman Islands
|
HLSS Advances Acquisition Corp.
|
|
Delaware
|
HLSS Holdings, LLC
|
|
Delaware
|
HLSS Management, LLC
|
|
Delaware
|
HLSS Mortgage LP
|
|
Cayman Islands
|
HLSS Mortgage Master Trust
|
|
Delaware
|
HLSS Mortgage Master Trust II
|
|
Delaware
|
HLSS MSR - EBO Acquisition LLC
|
|
Delaware
|
HLSS Roswell, LLC
|
|
Delaware
|
HLSS Servicer Advance Facility Transferor II, LLC
|
|
Delaware
|
HLSS Servicer Advance Receivables Trust II
|
|
Delaware
|
HLSS SEZ LP
|
|
Cayman Islands
|
IRL Participation, LLC
|
|
Delaware
|
Milestone Home Lending, LLC
|
|
Delaware
|
MSR Admin LLC
|
|
Delaware
|
MSR Admin Parent LLC
|
|
Delaware
|
MSR FM Admin LLC
|
|
Delaware
|
MSR FM Admin Parent LLC
|
|
Delaware
|
MSR FN Admin LLC
|
|
Delaware
|
MSR FN Admin Parent LLC
|
|
Delaware
|
MSR Holdings I-A LLC
|
|
Delaware
|
MSR IX Holdings LLC
|
|
Delaware
|
MSR IX LLC
|
|
Delaware
|
MSR IX Parent LLC
|
|
Delaware
|
MSR IX Trust
|
|
Delaware
|
MSR PLS3 1 LLC
|
|
Delaware
|
MSR VIII Holdings LLC
|
|
Delaware
|
MSR VIII LLC
|
|
Delaware
|
MSR VIII Parent LLC
|
|
Delaware
|
MSR VIII Trust
|
|
Delaware
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
MSR WAC LLC
|
|
Delaware
|
MSR X Holdings LLC
|
|
Delaware
|
MSR X LLC
|
|
Delaware
|
MSR X Parent LLC
|
|
Delaware
|
MSR X Trust
|
|
Delaware
|
MSR XI Holdings LLC
|
|
Delaware
|
MSR XI LLC
|
|
Delaware
|
MSR XI Parent LLC
|
|
Delaware
|
MSR XI Trust
|
|
Delaware
|
MSR XII Direct LLC
|
|
Delaware
|
MSR XIII Direct LLC
|
|
Delaware
|
MSR XIV Holdings LLC
|
|
Delaware
|
MSR XIV LLC
|
|
Delaware
|
MSR XIV Parent LLC
|
|
Delaware
|
MSR XIV Trust
|
|
Delaware
|
MSR XV LLC
|
|
Delaware
|
MSR XVI Direct LLC
|
|
Delaware
|
MSR XVII Direct LLC
|
|
Delaware
|
MSR XVIII LLC
|
|
Delaware
|
MSR XXI LLC
|
|
Delaware
|
MSR XXII LLC
|
|
Delaware
|
MSR XXIII LLC
|
|
Delaware
|
MSR XXIV LLC
|
|
Delaware
|
MSR XXIX LLC
|
|
Delaware
|
MSR XXVI LLC
|
|
Delaware
|
MSR XXVII LLC
|
|
Delaware
|
MSR XXVIII LLC
|
|
Delaware
|
MSR XXX LLC
|
|
Delaware
|
MSR XXXI LLC
|
|
Delaware
|
MSR XXXII LLC
|
|
Delaware
|
MSR XXXIII LLC
|
|
Delaware
|
MSR XXXIV LLC
|
|
Delaware
|
MSR XXXV LLC
|
|
Delaware
|
New Penn Community Lending LLC
|
|
Ohio
|
New Penn Financial, LLC
|
|
Delaware
|
New Residential Funding 2016-1 LLC
|
|
Delaware
|
New Residential Funding 2016-2 LLC
|
|
Delaware
|
New Residential Funding 2016-3 LLC
|
|
Delaware
|
New Residential Funding 2016-4 LLC
|
|
Delaware
|
New Residential Funding 2017-1 LLC
|
|
Delaware
|
New Residential Funding 2017-2 LLC
|
|
Delaware
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
New Residential Funding 2017-3 LLC
|
|
Delaware
|
New Residential Funding 2017-4 LLC
|
|
Delaware
|
New Residential Funding 2017-5 LLC
|
|
Delaware
|
New Residential Funding 2017-6 LLC
|
|
Delaware
|
New Residential Funding 2017-RPL1 LLC
|
|
Delaware
|
New Residential Funding 2018-1 LLC
|
|
Delaware
|
New Residential Funding 2018-2 LLC
|
|
Delaware
|
New Residential Funding 2018-3 LLC
|
|
Delaware
|
New Residential Funding 2018-4 LLC
|
|
Delaware
|
New Residential Funding 2018-5 LLC
|
|
Delaware
|
New Residential Funding 2018-NQM1 LLC
|
|
Delaware
|
New Residential Funding 2018-RPL1 LLC
|
|
Delaware
|
New Residential Funding 2019-1 LLC
|
|
Delaware
|
New Residential Funding 2019-NQM1 LLC
|
|
Delaware
|
New Residential Funding I LLC
|
|
Delaware
|
New Residential Funding II LLC
|
|
Delaware
|
New Residential Funding III LLC
|
|
Delaware
|
New Residential Funding IV LLC
|
|
Delaware
|
New Residential Funding V LLC
|
|
Delaware
|
New Residential Investment Corp. (f/k/a NIC MSR LLC)
|
|
Delaware
|
New Residential Mortgage LLC
|
|
Delaware
|
New Residential Mortgage Loan Trust 2014-1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2014-2
|
|
Delaware
|
New Residential Mortgage Loan Trust 2014-3
|
|
Delaware
|
New Residential Mortgage Loan Trust 2015-1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2015-2
|
|
Delaware
|
New Residential Mortgage Loan Trust 2016-1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2016-2
|
|
Delaware
|
New Residential Mortgage Loan Trust 2016-3
|
|
Delaware
|
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-4
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-2
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-3
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-4
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-5
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-6
|
|
Delaware
|
New Residential Mortgage Loan Trust 2017-RPL1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-2
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-3
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-4
|
|
Delaware
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
New Residential Mortgage Loan Trust 2018-5
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-NQM1
|
|
Delaware
|
New Residential Mortgage Loan Trust 2018-RPL1
|
|
Delaware
|
New Residential Sales Corp.
|
|
Delaware
|
New Residential Sales LLC
|
|
Delaware
|
Nextmortgage LLC
|
|
Delaware
|
NIC MSR I LLC
|
|
Delaware
|
NIC MSR II LLC
|
|
Delaware
|
NIC MSR III LLC
|
|
Delaware
|
NIC MSR IX FH LLC
|
|
Delaware
|
NIC MSR VIII LLC
|
|
Delaware
|
NIC MSR X FN LLC
|
|
Delaware
|
NIC MSR XI GN LLC
|
|
Delaware
|
NIC MSR XIV TBW FH LLC
|
|
Delaware
|
NIC Reverse Loan LLC
|
|
Delaware
|
NIC RMBS LLC
|
|
Delaware
|
NPART Depositor 2014-1, LLC
|
|
Delaware
|
NPF EBO I REO LLC
|
|
Delaware
|
NPF Trust EBO I
|
|
Delaware
|
NRM (NSM) Servicer Advance Facility Receivables Trust (Agency) JPMC
|
|
Delaware
|
NRM (NSM) Servicer Advance Facility Transferor (Agency) JPMC LLC
|
|
Delaware
|
NRM Acquisition LLC
|
|
Delaware
|
NRM Acquisition II LLC
|
|
Delaware
|
NRM Holdco LLC
|
|
Delaware
|
NRM PHH Agency SAF Depositor JPMC LLC
|
|
Delaware
|
NRM PHH Agency SAF JPMC Trust
|
|
Delaware
|
NRM PHH PLS SAF Depositor JPMC LLC
|
|
Delaware
|
NRM PHH PLS SAF JPMC Trust
|
|
Delaware
|
NRM Servicer Advance Facility Receivables Trust (Agency) JPMC
|
|
Delaware
|
NRM Servicer Advance Facility Transferor (Agency) JPMC, LLC
|
|
Delaware
|
NRZ 2014-3 Holdings LLC
|
|
Delaware
|
NRZ 2015-1 Holdings LLC
|
|
Delaware
|
NRZ 2015-2 Holdings LLC
|
|
New York
|
NRZ 2016-1 Holdings LLC
|
|
Delaware
|
NRZ 2016-2 Holdings LLC
|
|
Delaware
|
NRZ 2016-3 Holdings LLC
|
|
Delaware
|
NRZ 2016-4 Holdings LLC
|
|
Delaware
|
NRZ 2016-PLS1A Borrower LLC
|
|
New York
|
NRZ 2016-PLS1B Borrower LLC
|
|
New York
|
NRZ 2017-1 Holdings LLC
|
|
New York
|
NRZ Advance Facility Transferor 2015-ON1 LLC
|
|
New York
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
NRZ Advance Funding PLS3 Depositor, LLC
|
|
Delaware
|
NRZ Advance Funding PLS3 Holdings, LLC
|
|
New York
|
NRZ Advance Funding PLS3 Purchaser, LLC
|
|
New York
|
NRZ Advance Funding PLS3 Trust
|
|
Delaware
|
NRZ Advance Receivables Trust 2015-ON1
|
|
Delaware
|
NRZ Advance Sub LLC (f/k/a Advance TRS LLC)
|
|
Delaware
|
NRZ Advances Holdco LLC
|
|
Delaware
|
NRZ Agency MBS LLC
|
|
Delaware
|
NRZ Consumer 2016-1 LLC
|
|
Delaware
|
NRZ Consumer 2016-1 Trust
|
|
Delaware
|
NRZ Consumer LLC
|
|
Delaware
|
NRZ Consumer Receivables Funding Trust
|
|
Delaware
|
NRZ EBO Holdings LLC
|
|
Delaware
|
NRZ EBO I (Series 2017-1) REO LLC
|
|
Delaware
|
NRZ Holdings Parent LLC
|
|
Delaware
|
NRZ Inventory Trust
|
|
Delaware
|
NRZ MBN Issuer Holdings LLC
|
|
Delaware
|
NRZ Mortgage Holdings LLC
|
|
Delaware
|
NRZ MSR CS LLC
|
|
Delaware
|
NRZ Pass-Through IV Parent LLC
|
|
Delaware
|
NRZ Pass-Through Trust EBO I
|
|
Delaware
|
NRZ Pass-Through Trust I
|
|
New York
|
NRZ Pass-Through Trust II
|
|
New York
|
NRZ Pass-Through Trust IV
|
|
New York
|
NRZ Pass-Through Trust IX
|
|
New York
|
NRZ Pass-Through Trust IX-B
|
|
New York
|
NRZ Pass-Through Trust V
|
|
New York
|
NRZ Pass-Through Trust V-B
|
|
New York
|
NRZ Pass-Through Trust VI
|
|
New York
|
NRZ Pass-Through Trust VI-B
|
|
New York
|
NRZ Pass-Through Trust VII
|
|
New York
|
NRZ Pass-Through Trust VII (NPL)
|
|
New York
|
NRZ Pass-Through Trust VII (Pref)
|
|
New York
|
NRZ Pass-Through Trust VII-B (Pref)
|
|
New York
|
NRZ Pass-Through Trust VIII
|
|
New York
|
NRZ Pass-Through Trust VIII-B
|
|
New York
|
NRZ Pass-Through Trust X
|
|
New York
|
NRZ Pass-Through Trust X-B
|
|
New York
|
NRZ Pass-Through Trust XI
|
|
New York
|
NRZ Pass-Through Trust XI-B
|
|
New York
|
NRZ Pass-Through Trust XII
|
|
New York
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
NRZ Pass-Through Trust XII-B
|
|
New York
|
NRZ Pass-Through Trust XIII
|
|
New York
|
NRZ Pass-Through Trust XIII-B
|
|
New York
|
NRZ Pass-Through V Parent LLC
|
|
Delaware
|
NRZ Pass-Through VII Parent LLC
|
|
Delaware
|
NRZ Pro Credit Designated Activity Company
|
|
Ireland
|
NRZ Pro Credit Limited
|
|
Cayman Islands
|
NRZ Pro Credit LP
|
|
Delaware
|
NRZ Pro I LLC
|
|
Delaware
|
NRZ Pro II LLC
|
|
Delaware
|
NRZ Pro III LLC
|
|
Delaware
|
NRZ Pro Warrant LLC
|
|
Delaware
|
NRZ RA Holdings LLC
|
|
Delaware
|
NRZ REO I LLC
|
|
Delaware
|
NRZ REO II LLC
|
|
Delaware
|
NRZ REO III Corp.
|
|
Delaware
|
NRZ REO Inventory II LLC
|
|
Delaware
|
NRZ REO Inventory LLC
|
|
Delaware
|
NRZ REO IV LLC
|
|
Delaware
|
NRZ REO IX LLC
|
|
Delaware
|
NRZ REO V LLC
|
|
Delaware
|
NRZ REO V-2 LLC
|
|
Delaware
|
NRZ REO V-B LLC
|
|
Delaware
|
NRZ REO VI LLC
|
|
Delaware
|
NRZ REO VI-B LLC
|
|
Delaware
|
NRZ REO VII LLC (NPL)
|
|
Delaware
|
NRZ REO VII LLC (Pref)
|
|
Delaware
|
NRZ REO VIII LLC (f/k/a NRZ REO VIII-B LLC)
|
|
Delaware
|
NRZ REO X LLC
|
|
Delaware
|
NRZ REO XI LLC
|
|
Delaware
|
NRZ REO XII LLC
|
|
Delaware
|
NRZ REO XIII LLC
|
|
Delaware
|
NRZ RMBS I L.L.C.
|
|
Marshall Islands
|
NRZ RMBS II L.L.C.
|
|
Marshall Islands
|
NRZ RMBS III L.L.C.
|
|
Marshall Islands
|
NRZ RMBS IV L.L.C.
|
|
Marshall Islands
|
NRZ RMBS V L.L.C.
|
|
Marshall Islands
|
NRZ RPL Sponsor LLC
|
|
Delaware
|
NRZ RS LLC
|
|
Delaware
|
NRZ SC America LLC
|
|
Delaware
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
NRZ SC America Trust 2015-1
|
|
Delaware
|
NRZ SC Credit Limited
|
|
Cayman Islands
|
NRZ SC Credit Trust 2015-1
|
|
Delaware
|
NRZ SC Finance I LLC
|
|
Delaware
|
NRZ SC Finance II LLC
|
|
Delaware
|
NRZ SC Finance III LLC
|
|
Delaware
|
NRZ SC Finance IV LLC
|
|
Delaware
|
NRZ SC Finance Trust 2015-1
|
|
Delaware
|
NRZ SC Finance V LLC
|
|
Delaware
|
NRZ Servicer Advance Facility Transferor (ON) JPMC LLC
|
|
Delaware
|
NRZ Servicer Advance Facility Transferor JPMC, LLC
|
|
Delaware
|
NRZ Servicer Advance Facility Transferor MS, LLC
|
|
Delaware
|
NRZ Servicer Advance Facility Transferor MS2 LLC
|
|
Delaware
|
NRZ Servicer Advance Receivables Trust (ON) JMPC
|
|
Delaware
|
NRZ Servicer Advance Receivables Trust JPMC
|
|
Delaware
|
NRZ Servicer Advance Receivables Trust MS
|
|
Delaware
|
NRZ Servicer Advance Receivables Trust MS2
|
|
Delaware
|
NRZ SPONSOR HOLDCO LLC
|
|
Delaware
|
NRZ Sponsor IX LLC
|
|
Delaware
|
NRZ Sponsor VIII LLC
|
|
Delaware
|
NRZ Sponsor V LLC
|
|
Delaware
|
NRZ Sponsor VI LLC
|
|
Delaware
|
NRZ Sponsor VII LLC
|
|
Delaware
|
NRZ Sponsor VII LLC (NPL)
|
|
Delaware
|
NRZ Sponsor X LLC
|
|
Delaware
|
NRZ Sponsor XI LLC
|
|
Delaware
|
NRZ Sponsor XII LLC
|
|
Delaware
|
NRZ Sponsor XIII LLC
|
|
Delaware
|
NRZ TSX LLC
|
|
Delaware
|
Partners United Financial, LLC
|
|
Delaware
|
PF LoanCo Funding LLC
|
|
Cayman Islands
|
PF LoanCo Trust
|
|
New York
|
PF WarehouseCo Funding LLC
|
|
Cayman Islands
|
PF WarehouseCo Trust
|
|
New York
|
PF WarrantCo Holdings, LP
|
|
Delaware
|
Plus Relocation Mortgage, LLC
|
|
Delaware
|
Reverse REO JV LLC
|
|
Delaware
|
Reverse REO LLC (f/k/a Reverse TRS LLC)
|
|
Delaware
|
Shellpoint Capital LLC
|
|
Delaware
|
Shellpoint Insurance, LLC
|
|
Tennessee
|
Shellpoint Mortgage Acceptance LLC
|
|
Delaware
|
Subsidiary
|
|
Jurisdiction of Incorporation/Organization
|
|
|
|
Shellpoint Partners LLC
|
|
Delaware
|
Shelter Home Mortgage, LLC
|
|
Delaware
|
Shelter Lending Services, LLC
|
|
Illinois
|
Shelter Mortgage Company, LLC
|
|
Illinois
|
Spring Equity, LLC
|
|
Delaware
|
SPRINGCASTLE Acquisition LLC
|
|
Delaware
|
SpringCastle America Funding, LLC
|
|
Delaware
|
SPRINGCASTLE AMERICA, LLC
|
|
Delaware
|
SpringCastle Credit Funding, LLC
|
|
Delaware
|
SPRINGCASTLE CREDIT, LLC
|
|
Delaware
|
SpringCastle Finance Funding, LLC
|
|
Delaware
|
SPRINGCASTLE FINANCE, LLC
|
|
Delaware
|
SPV NP MSR STRIP Acquisition LLC
|
|
Delaware
|
Summit Home Mortgage, LLC
|
|
Delaware
|
Synergy Home Mortgage, LLC
|
|
Delaware
|
|
|
|
|
/s/ Ernst & Young LLP
|
|
|
|
New York, New York
|
|
February 15, 2019
|
1.
|
I have reviewed this annual report on Form 10-K 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 15(d)-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 the 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.
|
February 15, 2019
|
/s/ Michael Nierenberg
|
|
Michael Nierenberg
|
|
Chief Executive Officer
|
1.
|
I have reviewed this annual report on Form 10-K 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 15(d)-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 the 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.
|
February 15, 2019
|
/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
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
February 15, 2019
|
/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.
|
February 15, 2019
|
/s/ Nicola Santoro, Jr.
|
|
Nicola Santoro, Jr.
|
|
Chief Financial Officer
|