|
New Residential Investment Corp.
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(Exact name of registrant as specified in its charter)
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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
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New York
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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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||
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(212)
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798-3150
|
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(Registrant’s telephone number, including area code)
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Title of each class:
|
Trading Symbol:
|
Name of each exchange on which registered:
|
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Common Stock, $0.01 par value per share
|
NRZ
|
New York Stock Exchange
|
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7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
NRZ PR A
|
New York Stock Exchange
|
|
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
NRZ PR B
|
New York Stock Exchange
|
|
Large accelerated filer
|
☒
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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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•
|
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, residential mortgage-backed securities (“RMBS”), residential mortgage loans and consumer loan portfolios;
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•
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the risks related to our acquisitions of Shellpoint Partners LLC and Ditech, as well as 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, 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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•
|
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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•
|
competition within the finance and real estate industries;
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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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|
•
|
the risk that Government Sponsored Enterprises or other regulatory initiatives or actions may adversely affect returns from investments in MSRs and Excess MSRs;
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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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|
•
|
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;
|
|
•
|
the risks related to Home Loan Servicing Solutions (“HLSS”) liabilities that we have assumed;
|
|
•
|
the impact of current or future legal proceedings and regulatory investigations and inquiries;
|
|
•
|
the impact of any material transactions with FIG LLC (the “Manager”) or one of its affiliates, including the impact of any actual, potential or perceived conflicts of interest; and
|
|
•
|
effects of the completed merger of Fortress Investment Group LLC with affiliates of SoftBank Group Corp.
|
|
•
|
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;
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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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|
•
|
were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments.
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PAGE
|
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Part I. Financial Information
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Part II. Other Information
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONDENSED CONSOLIDATED BALANCE SHEETS
|
|
(dollars in thousands)
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
|
(Unaudited)
|
|
|||||
|
Assets
|
|
|
|
||||
|
Investments in:
|
|
|
|
||||
|
Excess mortgage servicing rights, at fair value
|
$
|
398,064
|
|
|
$
|
447,860
|
|
|
Excess mortgage servicing rights, equity method investees, at fair value
|
132,259
|
|
|
147,964
|
|
||
|
Mortgage servicing rights, at fair value
|
3,431,968
|
|
|
2,884,100
|
|
||
|
Mortgage servicing rights financing receivables, at fair value
|
1,811,261
|
|
|
1,644,504
|
|
||
|
Servicer advance investments, at fair value(A)
|
600,547
|
|
|
735,846
|
|
||
|
Real estate and other securities, available-for-sale
|
16,853,910
|
|
|
11,636,581
|
|
||
|
Residential mortgage loans, held-for-investment (includes $113,133 and $121,088 at fair value at September 30, 2019 and December 31, 2018, respectively)(A)
|
613,657
|
|
|
735,329
|
|
||
|
Residential mortgage loans, held-for-sale
|
1,349,997
|
|
|
932,480
|
|
||
|
Residential mortgage loans, held-for-sale, at fair value
|
5,206,251
|
|
|
2,808,529
|
|
||
|
Consumer loans, held-for-investment(A)
|
881,183
|
|
|
1,072,202
|
|
||
|
Cash and cash equivalents(A)
|
738,219
|
|
|
251,058
|
|
||
|
Restricted cash
|
163,148
|
|
|
164,020
|
|
||
|
Servicer advances receivable
|
2,911,798
|
|
|
3,277,796
|
|
||
|
Trades receivable
|
4,487,772
|
|
|
3,925,198
|
|
||
|
Deferred tax asset, net
|
43,372
|
|
|
65,832
|
|
||
|
Other assets (includes $168,532 and $121,602 in residential mortgage loan subject to repurchase at September 30, 2019 and December 31,2018, respectively)
|
1,724,519
|
|
|
961,714
|
|
||
|
|
$
|
41,347,925
|
|
|
$
|
31,691,013
|
|
|
Liabilities and Equity
|
|
|
|
||||
|
Liabilities
|
|
|
|
||||
|
Repurchase agreements
|
$
|
23,110,359
|
|
|
$
|
15,553,969
|
|
|
Notes and bonds payable (includes $474,309 and $117,048 at fair value at September 30, 2019 and December 31, 2018, respectively)(A)
|
7,405,872
|
|
|
7,102,266
|
|
||
|
Trades payable
|
2,536,188
|
|
|
2,048,348
|
|
||
|
Dividends payable
|
213,098
|
|
|
184,552
|
|
||
|
Accrued expenses and other liabilities(A) (includes $168,532 and $121,602 in residential mortgage loans repurchase liabilities at September 30, 2019 and December 31,2018, respectively)
|
820,291
|
|
|
713,583
|
|
||
|
|
34,085,808
|
|
|
25,602,718
|
|
||
|
Commitments and Contingencies
|
|
|
|
|
|
||
|
Equity
|
|
|
|
||||
|
Preferred Stock, par value of $0.01 per share, 23,000,000 shares authorized:
|
|
|
|
||||
|
7.50% Series A Preferred Stock, $0.01 par value, 11,500,000 shares authorized, 6,210,000 and 0 issued and outstanding at September 30, 2019 and December 31, 2018, respectively
|
150,026
|
|
|
—
|
|
||
|
7.125% Series B Preferred Stock, $0.01 par value, 11,500,000 shares authorized, 11,300,000 and 0 issued and outstanding at September 30, 2019 and December 31, 2018, respectively
|
273,418
|
|
|
—
|
|
||
|
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 415,520,780 and 369,104,429 issued and outstanding at September 30, 2019 and December 31, 2018, respectively
|
4,156
|
|
|
3,692
|
|
||
|
Additional paid-in capital
|
5,498,226
|
|
|
4,746,242
|
|
||
|
Retained earnings
|
545,713
|
|
|
830,713
|
|
||
|
Accumulated other comprehensive income (loss)
|
706,926
|
|
|
417,023
|
|
||
|
Total New Residential stockholders’ equity
|
7,178,465
|
|
|
5,997,670
|
|
||
|
Noncontrolling interests in equity of consolidated subsidiaries
|
83,652
|
|
|
90,625
|
|
||
|
Total Equity
|
7,262,117
|
|
|
6,088,295
|
|
||
|
|
$
|
41,347,925
|
|
|
$
|
31,691,013
|
|
|
(A)
|
New Residential’s Condensed Consolidated Balance Sheets include the assets and liabilities of certain consolidated VIEs, Advance Purchaser LLC (the “Buyer”) (Note 6), the RPL Borrowers (defined in Note 8), Shellpoint Asset Funding Trust 2013-1 (“SAFT 2013-1”) and the Shelter retail mortgage origination joint ventures (“Shelter JVs”) (Note 8) and the Consumer Loan SPVs (Note 9), which primarily hold investments in Servicer Advance Investments, residential mortgage loans and consumer loans, respectively, financed with notes and bonds payable. The balance sheets of the Buyer, the RPL Borrowers, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are included in Notes 6, 8 and 9, respectively. The creditors of the Buyer, the RPL Borrowers, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs do not have recourse to the general credit of New Residential and the assets of the Buyer, the RPL Borrowers, SAFT 2013-1, Shelter JVs and the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations.
|
|
CONDENSED CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)
|
|
(dollars in thousands, except per share data)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Interest income
|
$
|
448,127
|
|
|
$
|
425,524
|
|
|
$
|
1,303,041
|
|
|
$
|
1,212,902
|
|
|
Interest expense
|
245,902
|
|
|
162,806
|
|
|
686,738
|
|
|
421,109
|
|
||||
|
Net Interest Income
|
202,225
|
|
|
262,718
|
|
|
616,303
|
|
|
791,793
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Impairment
|
|
|
|
|
|
|
|
||||||||
|
Other-than-temporary impairment (OTTI) on securities
|
5,567
|
|
|
3,889
|
|
|
21,942
|
|
|
23,190
|
|
||||
|
Valuation and loss provision (reversal) on loans and real estate owned (REO)
|
(10,690
|
)
|
|
5,471
|
|
|
8,042
|
|
|
28,136
|
|
||||
|
|
(5,123
|
)
|
|
9,360
|
|
|
29,984
|
|
|
51,326
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Net interest income after impairment
|
207,348
|
|
|
253,358
|
|
|
586,319
|
|
|
740,467
|
|
||||
|
Servicing revenue, net of change in fair value of $(228,405), $(26,741), $(619,914), and $35,118, respectively
|
53,050
|
|
|
175,355
|
|
|
133,366
|
|
|
538,784
|
|
||||
|
Gain on sale of originated mortgage loans, net
|
100,541
|
|
|
45,732
|
|
|
194,029
|
|
|
45,732
|
|
||||
|
Other Income
|
|
|
|
|
|
|
|
||||||||
|
Change in fair value of investments in excess mortgage servicing rights
|
2,407
|
|
|
(4,744
|
)
|
|
(1,421
|
)
|
|
(55,711
|
)
|
||||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
4,751
|
|
|
3,396
|
|
|
4,087
|
|
|
5,624
|
|
||||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
(41,410
|
)
|
|
(88,345
|
)
|
|
(133,200
|
)
|
|
63,628
|
|
||||
|
Change in fair value of servicer advance investments
|
6,641
|
|
|
(5,353
|
)
|
|
15,932
|
|
|
(86,581
|
)
|
||||
|
Change in fair value of investments in residential mortgage loans
|
(19,037
|
)
|
|
647
|
|
|
90,551
|
|
|
647
|
|
||||
|
Change in fair value of derivative instruments
|
58,508
|
|
|
24,299
|
|
|
(1,988
|
)
|
|
27,985
|
|
||||
|
Gain (loss) on settlement of investments, net
|
154,752
|
|
|
(11,893
|
)
|
|
157,013
|
|
|
106,064
|
|
||||
|
Earnings from investments in consumer loans, equity method investees
|
(2,547
|
)
|
|
4,555
|
|
|
(890
|
)
|
|
12,343
|
|
||||
|
Other income (loss), net
|
(35,219
|
)
|
|
(5,860
|
)
|
|
(16,451
|
)
|
|
10,415
|
|
||||
|
|
128,846
|
|
|
(83,298
|
)
|
|
113,633
|
|
|
84,414
|
|
||||
|
Operating Expenses
|
|
|
|
|
|
|
|
||||||||
|
General and administrative expenses
|
133,513
|
|
|
98,587
|
|
|
351,359
|
|
|
139,169
|
|
||||
|
Management fee to affiliate
|
20,678
|
|
|
15,464
|
|
|
58,261
|
|
|
46,027
|
|
||||
|
Incentive compensation to affiliate
|
36,307
|
|
|
23,848
|
|
|
49,265
|
|
|
65,169
|
|
||||
|
Loan servicing expense
|
7,192
|
|
|
11,060
|
|
|
26,167
|
|
|
33,609
|
|
||||
|
Subservicing expense
|
52,875
|
|
|
43,148
|
|
|
147,763
|
|
|
135,703
|
|
||||
|
|
250,565
|
|
|
192,107
|
|
|
632,815
|
|
|
419,677
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Income (Loss) Before Income Taxes
|
239,220
|
|
|
199,040
|
|
|
394,532
|
|
|
989,720
|
|
||||
|
Income tax expense (benefit)
|
(5,440
|
)
|
|
3,563
|
|
|
18,980
|
|
|
(5,957
|
)
|
||||
|
Net Income (Loss)
|
$
|
244,660
|
|
|
$
|
195,477
|
|
|
$
|
375,552
|
|
|
$
|
995,677
|
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
$
|
14,738
|
|
|
$
|
10,869
|
|
|
$
|
31,979
|
|
|
$
|
32,058
|
|
|
Dividends on Preferred Stock
|
$
|
5,338
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
$
|
—
|
|
|
Net Income (Loss) Attributable to Common Stockholders
|
$
|
224,584
|
|
|
$
|
184,608
|
|
|
$
|
338,235
|
|
|
$
|
963,619
|
|
|
Net Income (Loss) Per Share of Common Stock
|
|
|
|
|
|
|
|
||||||||
|
Basic
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.83
|
|
|
$
|
2.87
|
|
|
Diluted
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.83
|
|
|
$
|
2.86
|
|
|
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
|
|
|
||||||||
|
Basic
|
415,520,780
|
|
|
340,044,440
|
|
|
406,521,273
|
|
|
335,615,566
|
|
||||
|
Diluted
|
415,588,238
|
|
|
340,868,403
|
|
|
406,671,972
|
|
|
337,078,824
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Dividends Declared per Share of Common Stock
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
1.50
|
|
|
$
|
1.50
|
|
|
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)
|
|
(dollars in thousands)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Comprehensive income (loss), net of tax
|
|
|
|
|
|
|
|
||||||||
|
Net (loss) income
|
$
|
244,660
|
|
|
$
|
195,477
|
|
|
$
|
375,552
|
|
|
$
|
995,677
|
|
|
Other comprehensive income (loss)
|
|
|
|
|
|
|
|
||||||||
|
Net unrealized gain (loss) on securities
|
109,668
|
|
|
(22,445
|
)
|
|
469,183
|
|
|
14,600
|
|
||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
(89,436
|
)
|
|
32,626
|
|
|
(179,280
|
)
|
|
89,885
|
|
||||
|
|
20,232
|
|
|
10,181
|
|
|
289,903
|
|
|
104,485
|
|
||||
|
Total comprehensive income
|
$
|
264,892
|
|
|
$
|
205,658
|
|
|
$
|
665,455
|
|
|
$
|
1,100,162
|
|
|
Comprehensive income attributable to noncontrolling interests
|
$
|
14,738
|
|
|
$
|
10,869
|
|
|
$
|
31,979
|
|
|
$
|
32,058
|
|
|
Dividends on preferred stock
|
$
|
5,338
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
$
|
—
|
|
|
Comprehensive income attributable to common stockholders
|
$
|
244,816
|
|
|
$
|
194,789
|
|
|
$
|
628,138
|
|
|
$
|
1,068,104
|
|
|
(dollars in thousands)
|
|
|
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
|
Preferred 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, 2018
|
$
|
—
|
|
|
369,104,429
|
|
|
$
|
3,692
|
|
|
$
|
4,746,242
|
|
|
$
|
830,713
|
|
|
$
|
417,023
|
|
|
$
|
5,997,670
|
|
|
$
|
90,625
|
|
|
$
|
6,088,295
|
|
|
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(623,235
|
)
|
|
—
|
|
|
(623,235
|
)
|
|
—
|
|
|
(623,235
|
)
|
||||||||
|
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,338
|
)
|
|
—
|
|
|
(5,338
|
)
|
|
—
|
|
|
(5,338
|
)
|
||||||||
|
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(38,952
|
)
|
|
(38,952
|
)
|
||||||||
|
Issuance of common stock
|
—
|
|
|
46,000,000
|
|
|
460
|
|
|
750,933
|
|
|
—
|
|
|
—
|
|
|
751,393
|
|
|
—
|
|
|
751,393
|
|
||||||||
|
Issuance of preferred stock
|
423,444
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
423,444
|
|
|
—
|
|
|
423,444
|
|
||||||||
|
Option exercise
|
—
|
|
|
348,613
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Purchase of noncontrolling interests in the Buyer
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Other dilution
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Director share grants
|
—
|
|
|
67,738
|
|
|
1
|
|
|
1,054
|
|
|
—
|
|
|
—
|
|
|
1,055
|
|
|
—
|
|
|
1,055
|
|
||||||||
|
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
343,573
|
|
|
—
|
|
|
343,573
|
|
|
31,979
|
|
|
375,552
|
|
||||||||
|
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
469,183
|
|
|
469,183
|
|
|
—
|
|
|
469,183
|
|
||||||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(179,280
|
)
|
|
(179,280
|
)
|
|
—
|
|
|
(179,280
|
)
|
||||||||
|
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
633,476
|
|
|
31,979
|
|
|
665,455
|
|
||||||||||||||
|
Equity - September 30, 2019
|
$
|
423,444
|
|
|
415,520,780
|
|
|
$
|
4,156
|
|
|
$
|
5,498,226
|
|
|
$
|
545,713
|
|
|
$
|
706,926
|
|
|
$
|
7,178,465
|
|
|
$
|
83,652
|
|
|
$
|
7,262,117
|
|
|
(dollars in thousands)
|
|
|
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, 2017
|
307,361,309
|
|
|
$
|
3,074
|
|
|
$
|
3,763,188
|
|
|
$
|
559,476
|
|
|
$
|
364,467
|
|
|
$
|
4,690,205
|
|
|
$
|
105,957
|
|
|
$
|
4,796,162
|
|
|
Dividends declared on common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
(508,176
|
)
|
|
—
|
|
|
(508,176
|
)
|
|
—
|
|
|
(508,176
|
)
|
|||||||
|
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
|
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(51,735
|
)
|
|
(51,735
|
)
|
|||||||
|
Issuance of common stock
|
29,241,659
|
|
|
292
|
|
|
491,312
|
|
|
—
|
|
|
—
|
|
|
491,604
|
|
|
—
|
|
|
491,604
|
|
|||||||
|
Option exercise
|
3,694,228
|
|
|
37
|
|
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
|
Other dilution
|
—
|
|
|
—
|
|
|
(63
|
)
|
|
—
|
|
|
—
|
|
|
(63
|
)
|
|
—
|
|
|
(63
|
)
|
|||||||
|
Purchase of Noncontrolling Interests
|
—
|
|
|
—
|
|
|
627
|
|
|
—
|
|
|
—
|
|
|
627
|
|
|
7,448
|
|
|
8,075
|
|
|||||||
|
Director share grants
|
57,233
|
|
|
1
|
|
|
1,018
|
|
|
—
|
|
|
—
|
|
|
1,019
|
|
|
—
|
|
|
1,019
|
|
|||||||
|
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
963,619
|
|
|
—
|
|
|
963,619
|
|
|
32,058
|
|
|
995,677
|
|
|||||||
|
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,600
|
|
|
14,600
|
|
|
—
|
|
|
14,600
|
|
|||||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
89,885
|
|
|
89,885
|
|
|
—
|
|
|
89,885
|
|
|||||||
|
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
1,068,104
|
|
|
32,058
|
|
|
1,100,162
|
|
||||||||||||
|
Equity - September 30, 2018
|
340,354,429
|
|
|
$
|
3,404
|
|
|
$
|
4,256,045
|
|
|
$
|
1,014,919
|
|
|
$
|
468,952
|
|
|
$
|
5,743,320
|
|
|
$
|
93,728
|
|
|
$
|
5,837,048
|
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
|
|
(dollars in thousands)
|
|
|
Nine Months Ended
September 30, |
||||||
|
|
2019
|
|
2018
|
||||
|
Cash Flows From Operating Activities
|
|
|
|
||||
|
Net income
|
$
|
375,552
|
|
|
$
|
995,677
|
|
|
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
|
1,421
|
|
|
55,711
|
|
||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
(4,087
|
)
|
|
(5,624
|
)
|
||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
133,200
|
|
|
(63,628
|
)
|
||
|
Change in fair value of servicer advance investments
|
(15,932
|
)
|
|
86,581
|
|
||
|
Change in fair value of residential mortgage loans, at fair value, and notes and bonds payable, at fair value
|
(85,303
|
)
|
|
1,462
|
|
||
|
(Gain) / loss on settlement of investments (net)
|
(157,013
|
)
|
|
(106,064
|
)
|
||
|
(Gain) / loss on sale of originated mortgage loans (net)
|
(194,029
|
)
|
|
(45,732
|
)
|
||
|
Earnings from investments in consumer loans, equity method investees
|
890
|
|
|
(12,343
|
)
|
||
|
Change in fair value of derivative instruments
|
1,988
|
|
|
(27,985
|
)
|
||
|
Changes in fair value of contingent consideration
|
7,430
|
|
|
—
|
|
||
|
Unrealized (gain) / loss on other ABS
|
(9,010
|
)
|
|
(12,001
|
)
|
||
|
(Gain) / loss on transfer of loans to REO
|
(7,814
|
)
|
|
(16,609
|
)
|
||
|
(Gain) / loss on transfer of loans to other assets
|
378
|
|
|
1,648
|
|
||
|
(Gain) / loss on Excess MSR recapture agreements
|
(1,771
|
)
|
|
(5,257
|
)
|
||
|
(Gain) / loss on Ocwen common stock
|
(3,134
|
)
|
|
(4,655
|
)
|
||
|
Accretion and other amortization
|
(298,933
|
)
|
|
(528,981
|
)
|
||
|
Other-than-temporary impairment
|
21,942
|
|
|
23,190
|
|
||
|
Valuation and loss provision on loans and real estate owned
|
8,042
|
|
|
28,136
|
|
||
|
Non-cash portions of servicing revenue, net
|
619,914
|
|
|
(35,118
|
)
|
||
|
Non-cash directors’ compensation
|
1,055
|
|
|
1,019
|
|
||
|
Deferred tax provision
|
18,080
|
|
|
(12,680
|
)
|
||
|
Changes in:
|
|
|
|
||||
|
Servicer advances receivable
|
366,426
|
|
|
441,351
|
|
||
|
Other assets
|
(516,107
|
)
|
|
(168,862
|
)
|
||
|
Due to affiliates
|
(41,920
|
)
|
|
(14,826
|
)
|
||
|
Accrued expenses and other liabilities
|
263,420
|
|
|
161,246
|
|
||
|
Other operating cash flows:
|
|
|
|
||||
|
Interest received from excess mortgage servicing rights
|
19,180
|
|
|
33,521
|
|
||
|
Interest received from servicer advance investments
|
22,212
|
|
|
25,901
|
|
||
|
Interest received from Non-Agency RMBS
|
203,309
|
|
|
156,420
|
|
||
|
Interest received from PCD residential mortgage loans, held-for-investment
|
6,697
|
|
|
6,656
|
|
||
|
Interest received from PCD consumer loans, held-for-investment
|
23,789
|
|
|
27,681
|
|
||
|
Distributions of earnings from excess mortgage servicing rights, equity method investees
|
7,762
|
|
|
7,976
|
|
||
|
Distributions of earnings from consumer loan equity method investees
|
1,178
|
|
|
6,176
|
|
||
|
Purchases of residential mortgage loans, held-for-sale
|
(6,002,975
|
)
|
|
(3,295,378
|
)
|
||
|
Origination of residential mortgage loans, held-for-sale
|
(10,424,325
|
)
|
|
(1,678,606
|
)
|
||
|
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale
|
13,046,546
|
|
|
3,752,066
|
|
||
|
Principal repayments from purchased residential mortgage loans, held-for-sale
|
295,584
|
|
|
146,170
|
|
||
|
Net cash provided by (used in) operating activities
|
(2,316,358
|
)
|
|
(75,761
|
)
|
||
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
|
(dollars in thousands)
|
|
|
Nine Months Ended
September 30, |
||||
|
|
2019
|
|
2018
|
||
|
Cash Flows From Investing Activities
|
|
|
|
||
|
Acquisition of Shellpoint, net of cash required
|
—
|
|
|
(118,285
|
)
|
|
Purchase of servicer advance investments
|
(1,255,306
|
)
|
|
(1,790,635
|
)
|
|
Purchase of MSRs, MSR financing receivables and servicer advances receivable
|
(1,365,333
|
)
|
|
(971,079
|
)
|
|
Purchase of Agency RMBS
|
(25,212,307
|
)
|
|
(6,574,783
|
)
|
|
Purchase of Non-Agency RMBS
|
(689,308
|
)
|
|
(2,714,991
|
)
|
|
Purchase of residential mortgage loans
|
—
|
|
|
(85,778
|
)
|
|
Purchase of real estate owned and other assets
|
(44,539
|
)
|
|
(26,807
|
)
|
|
Purchase of investment in consumer loans, equity method investees
|
(63,969
|
)
|
|
(292,616
|
)
|
|
Draws on revolving consumer loans
|
(42,231
|
)
|
|
(45,017
|
)
|
|
Payments for settlement of derivatives
|
(283,037
|
)
|
|
(59,113
|
)
|
|
Return of investments in excess mortgage servicing rights
|
43,938
|
|
|
43,690
|
|
|
Return of investments in excess mortgage servicing rights, equity method investees
|
12,030
|
|
|
14,474
|
|
|
Return of investments in consumer loans, equity method investees
|
55,848
|
|
|
279,669
|
|
|
Principal repayments from servicer advance investments
|
1,402,187
|
|
|
1,845,411
|
|
|
Principal repayments from Agency RMBS
|
987,523
|
|
|
76,515
|
|
|
Principal repayments from Non-Agency RMBS
|
996,396
|
|
|
565,460
|
|
|
Principal repayments from residential mortgage loans
|
83,483
|
|
|
110,770
|
|
|
Proceeds from sale of residential mortgage loans
|
41,308
|
|
|
21,278
|
|
|
Principal repayments from consumer loans
|
203,607
|
|
|
237,129
|
|
|
Principal repayments from MSRs and MSR financing receivables
|
21,306
|
|
|
—
|
|
|
Proceeds from sale of mortgage servicing rights
|
1,047
|
|
|
—
|
|
|
Proceeds from sale of mortgage servicing rights financing receivables
|
15,575
|
|
|
—
|
|
|
Proceeds from sale of excess mortgage servicing rights
|
114
|
|
|
—
|
|
|
Proceeds from sale of Agency RMBS
|
17,998,736
|
|
|
4,121,325
|
|
|
Proceeds from sale of Non-Agency RMBS
|
1,664,017
|
|
|
81,325
|
|
|
Proceeds from settlement of derivatives
|
74,724
|
|
|
146,146
|
|
|
Proceeds from sale of real estate owned
|
103,258
|
|
|
111,459
|
|
|
Net cash provided by (used in) investing activities
|
(5,250,933
|
)
|
|
(5,024,453
|
)
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
|
(dollars in thousands)
|
|
|
Nine Months Ended
September 30, |
||||||
|
|
2019
|
|
2018
|
||||
|
Cash Flows From Financing Activities
|
|
|
|
||||
|
Repayments of repurchase agreements
|
(144,545,608
|
)
|
|
(58,414,966
|
)
|
||
|
Margin deposits under repurchase agreements and derivatives
|
(2,913,627
|
)
|
|
(1,374,374
|
)
|
||
|
Repayments of notes and bonds payable
|
(7,306,541
|
)
|
|
(7,512,484
|
)
|
||
|
Payment of deferred financing fees
|
(7,821
|
)
|
|
(12,838
|
)
|
||
|
Common stock dividends paid
|
(600,027
|
)
|
|
(491,680
|
)
|
||
|
Borrowings under repurchase agreements
|
152,101,817
|
|
|
63,696,426
|
|
||
|
Return of margin deposits under repurchase agreements and derivatives
|
2,589,160
|
|
|
1,263,220
|
|
||
|
Borrowings under notes and bonds payable
|
7,600,342
|
|
|
7,547,541
|
|
||
|
Issuance of preferred stock
|
423,444
|
|
|
—
|
|
||
|
Issuance of common stock
|
752,217
|
|
|
492,285
|
|
||
|
Costs related to issuance of common stock
|
(824
|
)
|
|
(681
|
)
|
||
|
Noncontrolling interest in equity of consolidated subsidiaries - contributions
|
—
|
|
|
—
|
|
||
|
Noncontrolling interest in equity of consolidated subsidiaries - distributions
|
(38,952
|
)
|
|
(51,735
|
)
|
||
|
Purchase of noncontrolling interests
|
—
|
|
|
(653
|
)
|
||
|
Net cash provided by (used in) financing activities
|
8,053,580
|
|
|
5,140,061
|
|
||
|
|
|
|
|
||||
|
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash
|
486,289
|
|
|
39,847
|
|
||
|
|
|
|
|
||||
|
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period
|
415,078
|
|
|
446,050
|
|
||
|
|
|
|
|
||||
|
Cash, Cash Equivalents, and Restricted Cash, End of Period
|
$
|
901,367
|
|
|
$
|
485,897
|
|
|
|
|
|
|
||||
|
Supplemental Disclosure of Cash Flow Information
|
|
|
|
||||
|
Cash paid during the period for interest
|
$
|
643,349
|
|
|
$
|
405,672
|
|
|
Cash paid during the period for income taxes
|
1,208
|
|
|
3,176
|
|
||
|
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
|
|
|
||||
|
Dividends declared but not paid
|
$
|
213,098
|
|
|
$
|
170,177
|
|
|
Purchase of Agency and Non-Agency RMBS, settled after quarter end
|
2,536,188
|
|
|
1,791,191
|
|
||
|
Sale of investments, primarily Agency RMBS, settled after quarter end
|
4,487,772
|
|
|
3,424,865
|
|
||
|
Transfer from residential mortgage loans to real estate owned and other assets
|
70,080
|
|
|
88,376
|
|
||
|
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale
|
38,842
|
|
|
—
|
|
||
|
Non-cash distributions from LoanCo
|
21,314
|
|
|
25,739
|
|
||
|
MSR purchase price holdback
|
1,963
|
|
|
8,692
|
|
||
|
Shellpoint Acquisition purchase price holdback
|
—
|
|
|
10,173
|
|
||
|
Shellpoint Acquisition contingent consideration
|
—
|
|
|
42,770
|
|
||
|
Real estate securities retained from loan securitizations
|
454,310
|
|
|
762,056
|
|
||
|
Residential mortgage loans subject to repurchase
|
168,532
|
|
|
110,181
|
|
||
|
Ocwen transaction (Note 5) - excess mortgage servicing rights
|
—
|
|
|
638,567
|
|
||
|
Ocwen transaction (Note 5) - servicer advance investments
|
—
|
|
|
3,175,891
|
|
||
|
Ocwen transaction (Note 5) - mortgage servicing rights financing receivables, at fair value
|
—
|
|
|
1,017,993
|
|
||
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
1.
|
ORGANIZATION AND BASIS OF PRESENTATION
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Total Consideration (in millions)
|
|
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 remaining 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. On September 5, 2019, New Residential paid $10.0 million as the first of three potential earnout payments. As of September 30, 2019, the contingent consideration had a fair value of $38.3 million.
|
|
(B)
|
Represents the effective settlement of preexisting relationships between New Residential and Shellpoint including 1) MSR acquisitions, 2) a note payable and 3) operating accounts receivable and payable existing prior to the acquisition date. The effective settlement of these preexisting relationships had no impact to New Residential’s condensed consolidated statements of income.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Total Consideration ($ 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 will be amortized over a finite useful life of five years and tradenames were fully amortized over 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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Pro Forma
|
|
|
|
|
|
|
|
|
||||||||
|
Servicing and Originations Revenue
|
|
$
|
153,591
|
|
|
$
|
221,087
|
|
|
$
|
327,395
|
|
|
$
|
733,901
|
|
|
Income Before Income Taxes
|
|
239,220
|
|
|
199,040
|
|
|
394,532
|
|
|
1,003,378
|
|
||||
|
2.
|
OTHER INCOME, GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Gain (loss) on sale of real estate securities, net
|
$
|
95,003
|
|
|
$
|
(28,737
|
)
|
|
$
|
201,222
|
|
|
$
|
(66,695
|
)
|
|
Gain (loss) on sale of acquired residential mortgage loans, net
|
43,648
|
|
|
4,065
|
|
|
53,405
|
|
|
(1,358
|
)
|
||||
|
Gain (loss) on settlement of derivatives
|
(14,147
|
)
|
|
19,459
|
|
|
(152,424
|
)
|
|
76,092
|
|
||||
|
Gain (loss) on liquidated residential mortgage loans
|
(198
|
)
|
|
(1,113
|
)
|
|
(3,320
|
)
|
|
(2,267
|
)
|
||||
|
Gain (loss) on sale of REO
|
(3,169
|
)
|
|
(4,971
|
)
|
|
(9,445
|
)
|
|
(12,114
|
)
|
||||
|
Gains on settlement of investments in excess MSRs and servicer advance investments
|
—
|
|
|
—
|
|
|
—
|
|
|
113,002
|
|
||||
|
Gain (loss) on sale or securitization of originated mortgage loans(A)
|
21,611
|
|
|
—
|
|
|
62,399
|
|
|
—
|
|
||||
|
Other gains (losses)
|
12,004
|
|
|
(596
|
)
|
|
5,176
|
|
|
(596
|
)
|
||||
|
|
$
|
154,752
|
|
|
$
|
(11,893
|
)
|
|
$
|
157,013
|
|
|
$
|
106,064
|
|
|
(A)
|
Represents gains on securitizations of Non-QM residential mortgage loans originated by NewRez.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Unrealized gain (loss) on other ABS
|
$
|
(5,054
|
)
|
|
$
|
7,197
|
|
|
$
|
9,010
|
|
|
$
|
12,001
|
|
|
Unrealized gain (loss) on notes and bonds payable
|
(2,647
|
)
|
|
900
|
|
|
(5,248
|
)
|
|
900
|
|
||||
|
Unrealized gain (loss) on contingent consideration
|
(2,703
|
)
|
|
—
|
|
|
(7,430
|
)
|
|
—
|
|
||||
|
Gain (loss) on transfer of loans to REO
|
1,230
|
|
|
6,119
|
|
|
7,814
|
|
|
16,609
|
|
||||
|
Gain (loss) on transfer of loans to other assets
|
(101
|
)
|
|
(1,528
|
)
|
|
(378
|
)
|
|
(1,648
|
)
|
||||
|
Gain (loss) on Excess MSR recapture agreements
|
529
|
|
|
987
|
|
|
1,771
|
|
|
5,257
|
|
||||
|
Gain (loss) on Ocwen common stock
|
(1,103
|
)
|
|
(145
|
)
|
|
3,134
|
|
|
4,655
|
|
||||
|
Other income (loss)
|
(25,370
|
)
|
|
(19,390
|
)
|
|
(25,124
|
)
|
|
(27,359
|
)
|
||||
|
|
$
|
(35,219
|
)
|
|
$
|
(5,860
|
)
|
|
$
|
(16,451
|
)
|
|
$
|
10,415
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Compensation and benefits expense, servicing
|
$
|
30,494
|
|
|
$
|
22,498
|
|
|
$
|
87,219
|
|
|
$
|
22,498
|
|
|
Compensation and benefits expense, origination
|
44,270
|
|
|
32,822
|
|
|
112,977
|
|
|
32,822
|
|
||||
|
Legal and professional expense
|
16,442
|
|
|
11,749
|
|
|
46,352
|
|
|
35,378
|
|
||||
|
Loan origination expense
|
17,882
|
|
|
7,801
|
|
|
42,349
|
|
|
7,801
|
|
||||
|
Occupancy expense
|
5,114
|
|
|
4,394
|
|
|
14,079
|
|
|
4,394
|
|
||||
|
Other(A)
|
19,311
|
|
|
19,323
|
|
|
48,383
|
|
|
36,276
|
|
||||
|
|
$
|
133,513
|
|
|
$
|
98,587
|
|
|
$
|
351,359
|
|
|
$
|
139,169
|
|
|
(A)
|
Represents miscellaneous general and administrative expenses.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Other Assets
|
|
|
|
Accrued Expenses
and Other Liabilities
|
||||||||||||
|
|
September 30, 2019
|
|
December 31, 2018
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||
|
Margin receivable, net(A)
|
$
|
409,526
|
|
|
$
|
145,857
|
|
|
MSR purchase price holdback
|
|
$
|
102,556
|
|
|
$
|
100,593
|
|
|
Servicing fee receivables
|
144,550
|
|
|
105,563
|
|
|
Accounts payable
|
|
89,372
|
|
|
75,591
|
|
||||
|
Due from servicers
|
171,916
|
|
|
95,261
|
|
|
Derivative liabilities (Note 10)
|
|
1,842
|
|
|
29,389
|
|
||||
|
Principal and interest receivable
|
98,067
|
|
|
76,015
|
|
|
Interest payable
|
|
80,892
|
|
|
49,352
|
|
||||
|
Equity investments(B)
|
117,375
|
|
|
74,323
|
|
|
Due to servicers
|
|
144,156
|
|
|
95,419
|
|
||||
|
Ditech deposit
|
70,000
|
|
|
—
|
|
|
Residential mortgage loan repurchase liability
|
|
168,532
|
|
|
121,602
|
|
||||
|
Other receivables
|
103,933
|
|
|
23,723
|
|
|
Due to affiliates
|
|
59,551
|
|
|
101,471
|
|
||||
|
Real Estate Owned
|
105,968
|
|
|
113,410
|
|
|
Contingent Consideration
|
|
52,761
|
|
|
40,842
|
|
||||
|
Residential mortgage loans subject to repurchase
|
168,532
|
|
|
121,602
|
|
|
Excess spread financing, at fair value
|
|
30,377
|
|
|
39,304
|
|
||||
|
Consumer loans, equity method investees (Note 9)
|
23,033
|
|
|
38,294
|
|
|
Operating lease liability
|
|
24,532
|
|
|
—
|
|
||||
|
Goodwill(C)
|
41,986
|
|
|
24,645
|
|
|
Reserve for sales recourse
|
|
9,173
|
|
|
5,880
|
|
||||
|
Receivable from government agency(D)
|
20,505
|
|
|
20,795
|
|
|
Other liabilities
|
|
56,547
|
|
|
54,140
|
|
||||
|
Intangible assets
|
19,346
|
|
|
18,708
|
|
|
|
|
$
|
820,291
|
|
|
$
|
713,583
|
|
||
|
Prepaid expenses
|
33,120
|
|
|
29,165
|
|
|
|
|
|
|
|
||||||
|
Operating lease right-of-use asset
|
18,773
|
|
|
—
|
|
|
|
|
|
|
|
||||||
|
Derivative assets (Note 10)
|
36,712
|
|
|
10,893
|
|
|
|
|
|
|
|
|
|
||||
|
Ocwen common stock, at fair value
|
10,912
|
|
|
7,778
|
|
|
|
|
|
|
|
||||||
|
Other assets
|
130,265
|
|
|
55,682
|
|
|
|
|
|
|
|
||||||
|
|
$
|
1,724,519
|
|
|
$
|
961,714
|
|
|
|
|
|
|
|
||||
|
(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 equity investments in funds that invest in 1) a commercial redevelopment project and 2) operating companies in the single family housing industry. The indirect investments are accounted for at fair value based on the net asset value (“NAV”) of New Residential’s investment and as an equity method investment, respectively.
|
|
(C)
|
Includes goodwill derived from the Shellpoint Acquisition (see Note 1 for details) and the Company’s acquisition of Guardian Asset Management, a leading national provider of field services and property management to government agencies, financial institutions and asset management firms.
|
|
(D)
|
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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Nine Months Ended
September 30, |
||||||
|
|
|
2019
|
|
2018
|
||||
|
Accretion of net discount on securities and loans(A)
|
|
$
|
266,467
|
|
|
$
|
296,961
|
|
|
Accretion of servicer advances receivable discount and servicer advance investments
|
|
18,290
|
|
|
207,428
|
|
||
|
Accretion of excess mortgage servicing rights income
|
|
18,203
|
|
|
32,371
|
|
||
|
Amortization of deferred financing costs
|
|
(2,984
|
)
|
|
(6,180
|
)
|
||
|
Amortization of discount on notes and bonds payable
|
|
(1,043
|
)
|
|
(1,599
|
)
|
||
|
|
|
$
|
298,933
|
|
|
$
|
528,981
|
|
|
(A)
|
Includes accretion of the accretable yield on PCD loans.
|
|
3.
|
SEGMENT REPORTING
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
Servicing and Originations
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||
|
Three Months Ended September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest income
|
|
$
|
135,892
|
|
|
$
|
184,933
|
|
|
$
|
86,971
|
|
|
$
|
40,331
|
|
|
$
|
—
|
|
|
$
|
448,127
|
|
|
Interest expense
|
|
69,679
|
|
|
123,023
|
|
|
45,707
|
|
|
7,493
|
|
|
—
|
|
|
245,902
|
|
||||||
|
Net interest income (expense)
|
|
66,213
|
|
|
61,910
|
|
|
41,264
|
|
|
32,838
|
|
|
—
|
|
|
202,225
|
|
||||||
|
Impairment
|
|
—
|
|
|
5,567
|
|
|
(16,553
|
)
|
|
5,863
|
|
|
—
|
|
|
(5,123
|
)
|
||||||
|
Servicing revenue, net
|
|
53,050
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
53,050
|
|
||||||
|
Gain on sale of originated mortgage loans, net
|
|
100,541
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100,541
|
|
||||||
|
Other income (loss)
|
|
(38,547
|
)
|
|
116,081
|
|
|
55,152
|
|
|
(2,651
|
)
|
|
(1,189
|
)
|
|
128,846
|
|
||||||
|
Operating expenses
|
|
168,100
|
|
|
1,839
|
|
|
14,006
|
|
|
3,965
|
|
|
62,655
|
|
|
250,565
|
|
||||||
|
Income (Loss) Before Income Taxes
|
|
13,157
|
|
|
170,585
|
|
|
98,963
|
|
|
20,359
|
|
|
(63,844
|
)
|
|
239,220
|
|
||||||
|
Income tax expense (benefit)
|
|
10,749
|
|
|
—
|
|
|
(15,546
|
)
|
|
(643
|
)
|
|
—
|
|
|
(5,440
|
)
|
||||||
|
Net Income (Loss)
|
|
$
|
2,408
|
|
|
$
|
170,585
|
|
|
$
|
114,509
|
|
|
$
|
21,002
|
|
|
$
|
(63,844
|
)
|
|
$
|
244,660
|
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
4,141
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,597
|
|
|
$
|
—
|
|
|
$
|
14,738
|
|
|
Dividends on Preferred Stock
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
$
|
5,338
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
(1,733
|
)
|
|
$
|
170,585
|
|
|
$
|
114,509
|
|
|
$
|
10,405
|
|
|
$
|
(69,182
|
)
|
|
$
|
224,584
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
Servicing and Originations
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||
|
Nine Months Ended September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest income
|
|
$
|
396,662
|
|
|
$
|
557,895
|
|
|
$
|
219,909
|
|
|
$
|
128,575
|
|
|
$
|
—
|
|
|
$
|
1,303,041
|
|
|
Interest expense
|
|
203,940
|
|
|
330,992
|
|
|
126,288
|
|
|
25,518
|
|
|
—
|
|
|
686,738
|
|
||||||
|
Net interest income (expense)
|
|
192,722
|
|
|
226,903
|
|
|
93,621
|
|
|
103,057
|
|
|
—
|
|
|
616,303
|
|
||||||
|
Impairment
|
|
—
|
|
|
21,942
|
|
|
(16,557
|
)
|
|
24,599
|
|
|
—
|
|
|
29,984
|
|
||||||
|
Servicing revenue, net
|
|
133,366
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
133,366
|
|
||||||
|
Gain on sale of originated mortgage loans, net
|
|
194,029
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
194,029
|
|
||||||
|
Other income (loss)
|
|
(92,878
|
)
|
|
31,677
|
|
|
180,643
|
|
|
(10,324
|
)
|
|
4,515
|
|
|
113,633
|
|
||||||
|
Operating expenses
|
|
457,276
|
|
|
4,124
|
|
|
31,289
|
|
|
18,396
|
|
|
121,730
|
|
|
632,815
|
|
||||||
|
Income (Loss) Before Income Taxes
|
|
(30,037
|
)
|
|
232,514
|
|
|
259,532
|
|
|
49,738
|
|
|
(117,215
|
)
|
|
394,532
|
|
||||||
|
Income tax expense (benefit)
|
|
8,474
|
|
|
—
|
|
|
11,048
|
|
|
(542
|
)
|
|
—
|
|
|
18,980
|
|
||||||
|
Net Income (Loss)
|
|
$
|
(38,511
|
)
|
|
$
|
232,514
|
|
|
$
|
248,484
|
|
|
$
|
50,280
|
|
|
$
|
(117,215
|
)
|
|
$
|
375,552
|
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
8,873
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
23,106
|
|
|
$
|
—
|
|
|
$
|
31,979
|
|
|
Dividends on Preferred Stock
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
$
|
5,338
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
(47,384
|
)
|
|
$
|
232,514
|
|
|
$
|
248,484
|
|
|
$
|
27,174
|
|
|
$
|
(122,553
|
)
|
|
$
|
338,235
|
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
Servicing and Originations
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||
|
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Investments
|
|
$
|
6,374,099
|
|
|
$
|
16,853,910
|
|
|
$
|
7,444,405
|
|
|
$
|
904,216
|
|
|
$
|
—
|
|
|
$
|
31,576,630
|
|
|
Cash and cash equivalents
|
|
197,607
|
|
|
43,604
|
|
|
7,281
|
|
|
12,091
|
|
|
477,636
|
|
|
738,219
|
|
||||||
|
Restricted cash
|
|
129,504
|
|
|
—
|
|
|
—
|
|
|
33,644
|
|
|
—
|
|
|
163,148
|
|
||||||
|
Other assets
|
|
3,378,631
|
|
|
4,939,205
|
|
|
247,431
|
|
|
34,384
|
|
|
228,291
|
|
|
8,827,942
|
|
||||||
|
Goodwill
|
|
41,986
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
41,986
|
|
||||||
|
Total assets
|
|
$
|
10,121,827
|
|
|
$
|
21,836,719
|
|
|
$
|
7,699,117
|
|
|
$
|
984,335
|
|
|
$
|
705,927
|
|
|
$
|
41,347,925
|
|
|
Debt
|
|
$
|
6,192,811
|
|
|
$
|
17,196,772
|
|
|
$
|
6,248,142
|
|
|
$
|
878,506
|
|
|
$
|
—
|
|
|
$
|
30,516,231
|
|
|
Other liabilities
|
|
600,622
|
|
|
2,608,316
|
|
|
68,838
|
|
|
14,897
|
|
|
276,904
|
|
|
3,569,577
|
|
||||||
|
Total liabilities
|
|
6,793,433
|
|
|
19,805,088
|
|
|
6,316,980
|
|
|
893,403
|
|
|
276,904
|
|
|
34,085,808
|
|
||||||
|
Total equity
|
|
3,328,394
|
|
|
2,031,631
|
|
|
1,382,137
|
|
|
90,932
|
|
|
429,023
|
|
|
7,262,117
|
|
||||||
|
Noncontrolling interests in equity of consolidated subsidiaries
|
|
61,132
|
|
|
—
|
|
|
—
|
|
|
22,520
|
|
|
—
|
|
|
83,652
|
|
||||||
|
Total New Residential stockholders’ equity
|
|
$
|
3,267,262
|
|
|
$
|
2,031,631
|
|
|
$
|
1,382,137
|
|
|
$
|
68,412
|
|
|
$
|
429,023
|
|
|
$
|
7,178,465
|
|
|
Investments in equity method investees
|
|
$
|
249,134
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
23,033
|
|
|
$
|
—
|
|
|
$
|
272,167
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
Servicing and Originations
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||
|
Three Months Ended September 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest income
|
|
$
|
187,584
|
|
|
$
|
138,197
|
|
|
$
|
48,782
|
|
|
$
|
50,961
|
|
|
$
|
—
|
|
|
$
|
425,524
|
|
|
Interest expense
|
|
61,706
|
|
|
67,117
|
|
|
23,662
|
|
|
10,321
|
|
|
—
|
|
|
162,806
|
|
||||||
|
Net interest income (expense)
|
|
125,878
|
|
|
71,080
|
|
|
25,120
|
|
|
40,640
|
|
|
—
|
|
|
262,718
|
|
||||||
|
Impairment
|
|
—
|
|
|
3,889
|
|
|
(4,436
|
)
|
|
9,907
|
|
|
—
|
|
|
9,360
|
|
||||||
|
Servicing revenue, net
|
|
175,355
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
175,355
|
|
||||||
|
Gain on sale of originated mortgage loans, net
|
|
45,732
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45,732
|
|
||||||
|
Other income (loss)
|
|
(92,243
|
)
|
|
17,994
|
|
|
(12,729
|
)
|
|
3,795
|
|
|
(115
|
)
|
|
(83,298
|
)
|
||||||
|
Operating expenses
|
|
132,542
|
|
|
63
|
|
|
6,436
|
|
|
8,467
|
|
|
44,599
|
|
|
192,107
|
|
||||||
|
Income (Loss) Before Income Taxes
|
|
122,180
|
|
|
85,122
|
|
|
10,391
|
|
|
26,061
|
|
|
(44,714
|
)
|
|
199,040
|
|
||||||
|
Income tax expense (benefit)
|
|
495
|
|
|
—
|
|
|
3,100
|
|
|
(32
|
)
|
|
—
|
|
|
3,563
|
|
||||||
|
Net Income (Loss)
|
|
$
|
121,685
|
|
|
$
|
85,122
|
|
|
$
|
7,291
|
|
|
$
|
26,093
|
|
|
$
|
(44,714
|
)
|
|
$
|
195,477
|
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
1,086
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,783
|
|
|
$
|
—
|
|
|
$
|
10,869
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
120,599
|
|
|
$
|
85,122
|
|
|
$
|
7,291
|
|
|
$
|
16,310
|
|
|
$
|
(44,714
|
)
|
|
$
|
184,608
|
|
|
|
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
|||||||||||||||
|
|
|
Servicing and Originations
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||
|
Nine Months Ended September 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest income
|
|
$
|
574,379
|
|
|
$
|
354,922
|
|
|
$
|
123,464
|
|
|
$
|
158,631
|
|
|
$
|
1,506
|
|
|
$
|
1,212,902
|
|
|
Interest expense
|
|
172,471
|
|
|
157,195
|
|
|
58,587
|
|
|
32,856
|
|
|
—
|
|
|
421,109
|
|
||||||
|
Net interest income (expense)
|
|
401,908
|
|
|
197,727
|
|
|
64,877
|
|
|
125,775
|
|
|
1,506
|
|
|
791,793
|
|
||||||
|
Impairment
|
|
—
|
|
|
23,190
|
|
|
(8,683
|
)
|
|
36,819
|
|
|
—
|
|
|
51,326
|
|
||||||
|
Servicing revenue, net
|
|
538,784
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
538,784
|
|
||||||
|
Gain on sale of originated mortgage loans, net
|
|
45,732
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45,732
|
|
||||||
|
Other income (loss)
|
|
48,128
|
|
|
45,346
|
|
|
(27,219
|
)
|
|
13,363
|
|
|
4,796
|
|
|
84,414
|
|
||||||
|
Operating expenses
|
|
235,417
|
|
|
1,003
|
|
|
25,658
|
|
|
26,743
|
|
|
130,856
|
|
|
419,677
|
|
||||||
|
Income (Loss) Before Income Taxes
|
|
799,135
|
|
|
218,880
|
|
|
20,683
|
|
|
75,576
|
|
|
(124,554
|
)
|
|
989,720
|
|
||||||
|
Income tax expense (benefit)
|
|
(6,458
|
)
|
|
—
|
|
|
289
|
|
|
212
|
|
|
—
|
|
|
(5,957
|
)
|
||||||
|
Net Income (Loss)
|
|
$
|
805,593
|
|
|
$
|
218,880
|
|
|
$
|
20,394
|
|
|
$
|
75,364
|
|
|
$
|
(124,554
|
)
|
|
$
|
995,677
|
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
3,525
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
28,533
|
|
|
$
|
—
|
|
|
$
|
32,058
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
802,068
|
|
|
$
|
218,880
|
|
|
$
|
20,394
|
|
|
$
|
46,831
|
|
|
$
|
(124,554
|
)
|
|
$
|
963,619
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
4.
|
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS
|
|
|
|
Servicer
|
||||||||||
|
|
|
Nationstar
|
|
SLS(A)
|
|
Total
|
||||||
|
Balance as of December 31, 2018
|
|
$
|
445,328
|
|
|
$
|
2,532
|
|
|
$
|
447,860
|
|
|
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Interest income
|
|
18,159
|
|
|
44
|
|
|
18,203
|
|
|||
|
Other income
|
|
2,092
|
|
|
—
|
|
|
2,092
|
|
|||
|
Proceeds from repayments
|
|
(63,794
|
)
|
|
(295
|
)
|
|
(64,089
|
)
|
|||
|
Proceeds from sales
|
|
(4,581
|
)
|
|
—
|
|
|
(4,581
|
)
|
|||
|
Change in fair value
|
|
(1,258
|
)
|
|
(163
|
)
|
|
(1,421
|
)
|
|||
|
Balance as of September 30, 2019
|
|
$
|
395,946
|
|
|
$
|
2,118
|
|
|
$
|
398,064
|
|
|
(A)
|
Specialized Loan Servicing LLC (“SLS”).
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||
|
|
UPB of Underlying Mortgages
|
|
Interest in Excess MSR
|
|
Weighted Average Life Years(A)
|
|
Amortized Cost Basis(B)
|
|
Carrying Value(C)
|
|
Carrying Value(C)
|
||||||||||||
|
|
|
|
New Residential(D)
|
|
Fortress-managed funds
|
|
Nationstar
|
|
|
|
|
|
|
|
|
||||||||
|
Agency
|
$
|
45,900,654
|
|
|
32.5% - 66.7% (53.3%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
5.4
|
|
$
|
183,064
|
|
|
$
|
221,560
|
|
|
$
|
257,387
|
|
|
Non-Agency(E)
|
$
|
47,124,536
|
|
|
33.3% - 100.0% (59.4%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
6.5
|
|
$
|
129,647
|
|
|
$
|
176,504
|
|
|
$
|
190,473
|
|
|
Total
|
$
|
93,025,190
|
|
|
|
|
|
|
|
|
5.9
|
|
$
|
312,711
|
|
|
$
|
398,064
|
|
|
$
|
447,860
|
|
|
(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)
|
Serviced by Nationstar and SLS, New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of September 30, 2019 (Note 6) on $33.4 billion UPB underlying these Excess MSRs.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Original and Recaptured Pools
|
|
$
|
2,407
|
|
|
$
|
(4,744
|
)
|
|
$
|
(1,421
|
)
|
|
$
|
(55,711
|
)
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Excess MSR assets
|
|
$
|
236,786
|
|
|
$
|
269,203
|
|
|
Other assets
|
|
28,418
|
|
|
27,411
|
|
||
|
Other liabilities
|
|
(687
|
)
|
|
(687
|
)
|
||
|
Equity
|
|
$
|
264,517
|
|
|
$
|
295,927
|
|
|
New Residential’s investment
|
|
$
|
132,259
|
|
|
$
|
147,964
|
|
|
|
|
|
|
|
||||
|
New Residential’s ownership
|
|
50.0
|
%
|
|
50.0
|
%
|
||
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Interest income
|
|
$
|
7,990
|
|
|
$
|
8,935
|
|
|
$
|
12,251
|
|
|
$
|
21,026
|
|
|
Other income (loss)
|
|
1,528
|
|
|
(2,143
|
)
|
|
(4,029
|
)
|
|
(9,778
|
)
|
||||
|
Expenses
|
|
(16
|
)
|
|
—
|
|
|
(48
|
)
|
|
—
|
|
||||
|
Net income (loss)
|
|
$
|
9,502
|
|
|
$
|
6,792
|
|
|
$
|
8,174
|
|
|
$
|
11,248
|
|
|
Balance at December 31, 2018
|
$
|
147,964
|
|
|
Contributions to equity method investees
|
—
|
|
|
|
Distributions of earnings from equity method investees
|
(7,762
|
)
|
|
|
Distributions of capital from equity method investees
|
(12,030
|
)
|
|
|
Change in fair value of investments in equity method investees
|
4,087
|
|
|
|
Balance at September 30, 2019
|
$
|
132,259
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
September 30, 2019
|
||||||||||||||||||
|
|
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
|
$
|
35,632,429
|
|
|
66.7
|
%
|
|
50.0
|
%
|
|
$
|
171,553
|
|
|
$
|
236,786
|
|
|
5.3
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
MSRs
|
|
MSR Financing Receivables
|
|
Total
|
||||||
|
Balance as of December 31, 2018
|
|
$
|
2,884,100
|
|
|
$
|
1,644,504
|
|
|
$
|
4,528,604
|
|
|
Purchases, net(A)
|
|
632,144
|
|
|
735,152
|
|
|
1,367,296
|
|
|||
|
Transfers(B)
|
|
367,121
|
|
|
(367,121
|
)
|
|
—
|
|
|||
|
Other transfers(C)
|
|
(410
|
)
|
|
—
|
|
|
(410
|
)
|
|||
|
Originations(D)
|
|
190,666
|
|
|
—
|
|
|
190,666
|
|
|||
|
Prepayments(E)
|
|
(11,210
|
)
|
|
(52,499
|
)
|
|
(63,709
|
)
|
|||
|
Proceeds from sales
|
|
(1,047
|
)
|
|
(15,575
|
)
|
|
(16,622
|
)
|
|||
|
Amortization of servicing rights(F)
|
|
(351,867
|
)
|
|
(131,417
|
)
|
|
(483,284
|
)
|
|||
|
Change in valuation inputs and assumptions(G)
|
|
(279,758
|
)
|
|
1,437
|
|
|
(278,321
|
)
|
|||
|
(Gain)/loss on sales
|
|
2,229
|
|
|
(3,220
|
)
|
|
(991
|
)
|
|||
|
Balance as of September 30, 2019
|
|
$
|
3,431,968
|
|
|
$
|
1,811,261
|
|
|
$
|
5,243,229
|
|
|
(A)
|
Net of purchase price adjustments.
|
|
(B)
|
Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and PHH, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through June 30, 2019.
|
|
(C)
|
Represents Ginnie Mae MSRs repurchased.
|
|
(D)
|
Represents MSRs retained on the sale of originated mortgage loans.
|
|
(E)
|
Represents purchase price fully reimbursable from sellers as a result of prepayment protection.
|
|
(F)
|
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.
|
|
(G)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model.
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Servicing fee revenue
|
$
|
222,966
|
|
|
$
|
158,458
|
|
|
$
|
602,241
|
|
|
$
|
408,967
|
|
|
Ancillary and other fees
|
58,489
|
|
|
43,638
|
|
|
151,039
|
|
|
94,699
|
|
||||
|
Servicing fee revenue and fees
|
281,455
|
|
|
202,096
|
|
|
753,280
|
|
|
503,666
|
|
||||
|
Amortization of servicing rights
|
(168,776
|
)
|
|
(70,933
|
)
|
|
(346,772
|
)
|
|
(191,499
|
)
|
||||
|
Change in valuation inputs and assumptions(A) (B)
|
(61,858
|
)
|
|
44,192
|
|
|
(275,371
|
)
|
|
226,617
|
|
||||
|
(Gain)/loss on sales
|
2,229
|
|
|
—
|
|
|
2,229
|
|
|
—
|
|
||||
|
Servicing revenue, net
|
$
|
53,050
|
|
|
$
|
175,355
|
|
|
$
|
133,366
|
|
|
$
|
538,784
|
|
|
(A)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model.
|
|
(B)
|
Includes $3.6 million and $4.4 million of fair value adjustment to Excess spread financing for the three and nine months ended September 30, 2019, respectively.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Servicing fee revenue
|
$
|
128,936
|
|
|
$
|
181,495
|
|
|
$
|
385,306
|
|
|
$
|
575,909
|
|
|
Ancillary and other fees
|
21,417
|
|
|
39,257
|
|
|
82,695
|
|
|
109,852
|
|
||||
|
Less: subservicing expense
|
(40,410
|
)
|
|
(61,454
|
)
|
|
(145,649
|
)
|
|
(192,275
|
)
|
||||
|
Interest income, investments in mortgage servicing rights financing receivables
|
$
|
109,943
|
|
|
$
|
159,298
|
|
|
$
|
322,352
|
|
|
$
|
493,486
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Amortization of servicing rights
|
$
|
(48,340
|
)
|
|
$
|
(49,016
|
)
|
|
$
|
(131,417
|
)
|
|
$
|
(154,559
|
)
|
|
Change in valuation inputs and assumptions(A)
|
9,349
|
|
|
(39,329
|
)
|
|
1,437
|
|
|
218,187
|
|
||||
|
(Gain)/loss on sales(B)
|
(2,419
|
)
|
|
—
|
|
|
(3,220
|
)
|
|
—
|
|
||||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
$
|
(41,410
|
)
|
|
$
|
(88,345
|
)
|
|
$
|
(133,200
|
)
|
|
$
|
63,628
|
|
|
(A)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model.
|
|
(B)
|
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)
|
||||||
|
MSRs:
|
|
|
|
|
|
|
|
||||||
|
Agency
|
$
|
288,673,487
|
|
|
4.9
|
|
$
|
2,968,392
|
|
|
$
|
3,038,721
|
|
|
Non-Agency
|
2,350,471
|
|
|
5.6
|
|
12,294
|
|
|
20,321
|
|
|||
|
Ginnie Mae(C)
|
28,903,327
|
|
|
4.0
|
|
383,454
|
|
|
372,926
|
|
|||
|
MSR Financing Receivables:
|
|
|
|
|
|
|
|
||||||
|
Agency
|
61,162,569
|
|
|
4.3
|
|
659,950
|
|
|
597,990
|
|
|||
|
Non-Agency
|
79,360,666
|
|
|
7.7
|
|
840,279
|
|
|
1,213,271
|
|
|||
|
Total
|
$
|
460,450,520
|
|
|
5.2
|
|
$
|
4,864,369
|
|
|
$
|
5,243,229
|
|
|
(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 September 30, 2019, a weighted average discount rate of 7.5% and 8.8% was used to value New Residential’s investments in MSRs and MSR Financing Receivables, respectively.
|
|
(C)
|
NewRez, as an approved issuer of Ginnie Mae MBS, originates, sells and securitizes government-insured residential mortgage loans into Ginnie Mae guaranteed securitizations and NewRez retains the right to service the underlying residential mortgage loans. As the servicer, NewRez holds an option to repurchase delinquent loans from the securitization at its discretion. As of September 30, 2019, New Residential holds approximately $168.5 million in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its condensed consolidated balance sheets.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Principal and interest advances
|
|
$
|
723,155
|
|
|
$
|
793,790
|
|
|
Escrow advances (taxes and insurance advances)
|
|
1,945,271
|
|
|
2,186,831
|
|
||
|
Foreclosure advances
|
|
173,032
|
|
|
199,203
|
|
||
|
Total(A) (B) (C)
|
|
$
|
2,841,458
|
|
|
$
|
3,179,824
|
|
|
(A)
|
Includes $243.0 million and $231.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
|
|
(B)
|
Includes $62.7 million and $41.6 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 $70.3 million and $98.0 million, respectively, in accrual for advance recoveries.
|
|
6.
|
SERVICER ADVANCE INVESTMENTS
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Amortized Cost Basis
|
|
Carrying Value(A)
|
|
Weighted Average Discount Rate
|
|
Weighted Average Yield
|
|
Weighted Average Life (Years)(B)
|
||||||
|
September 30, 2019
|
|
|
|
|
|
|
|
|
|
||||||
|
Servicer Advance Investments
|
$
|
570,570
|
|
|
$
|
600,547
|
|
|
5.1
|
%
|
|
5.7
|
%
|
|
6.3
|
|
As of December 31, 2018
|
|
|
|
|
|
|
|
|
|
||||||
|
Servicer Advance Investments
|
$
|
721,801
|
|
|
$
|
735,846
|
|
|
5.9
|
%
|
|
5.8
|
%
|
|
5.7
|
|
(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
|
|||||||||||
|
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Servicer Advance Investments(D)
|
$
|
33,406,320
|
|
|
$
|
492,480
|
|
|
1.5
|
%
|
|
$
|
449,731
|
|
|
87.3
|
%
|
|
86.1
|
%
|
|
3.8
|
%
|
|
3.1
|
%
|
|
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Servicer Advance Investments(D)
|
$
|
40,096,998
|
|
|
$
|
620,050
|
|
|
1.5
|
%
|
|
$
|
574,117
|
|
|
88.3
|
%
|
|
87.2
|
%
|
|
3.7
|
%
|
|
3.1
|
%
|
|
(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:
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Principal and interest advances
|
|
$
|
82,999
|
|
|
$
|
108,317
|
|
|
Escrow advances (taxes and insurance advances)
|
|
185,774
|
|
|
238,349
|
|
||
|
Foreclosure advances
|
|
223,707
|
|
|
273,384
|
|
||
|
Total
|
|
$
|
492,480
|
|
|
$
|
620,050
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Interest income, gross of amounts attributable to servicer compensation
|
|
$
|
14,212
|
|
|
$
|
21,183
|
|
|
$
|
43,220
|
|
|
$
|
63,731
|
|
|
Amounts attributable to base servicer compensation
|
|
(1,606
|
)
|
|
(2,347
|
)
|
|
(4,578
|
)
|
|
(6,354
|
)
|
||||
|
Amounts attributable to incentive servicer compensation
|
|
(7,273
|
)
|
|
(7,095
|
)
|
|
(20,780
|
)
|
|
(14,255
|
)
|
||||
|
Interest income from Servicer Advance Investments
|
|
$
|
5,333
|
|
|
$
|
11,741
|
|
|
$
|
17,862
|
|
|
$
|
43,122
|
|
|
|
|
As of
|
||||||
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Assets
|
|
|
|
|
||||
|
Servicer advance investments, at fair value
|
|
$
|
580,829
|
|
|
$
|
713,239
|
|
|
Cash and cash equivalents
|
|
36,457
|
|
|
29,833
|
|
||
|
All other assets
|
|
8,662
|
|
|
10,223
|
|
||
|
Total assets(A)
|
|
$
|
625,948
|
|
|
$
|
753,295
|
|
|
Liabilities
|
|
|
|
|
||||
|
Notes and bonds payable
|
|
$
|
435,935
|
|
|
$
|
556,340
|
|
|
All other liabilities
|
|
2,021
|
|
|
2,442
|
|
||
|
Total liabilities(A)
|
|
$
|
437,956
|
|
|
$
|
558,782
|
|
|
(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.
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Total Advance Purchaser LLC equity
|
|
$
|
187,992
|
|
|
$
|
194,513
|
|
|
Others’ ownership interest
|
|
26.8
|
%
|
|
26.8
|
%
|
||
|
Others’ interest in equity of consolidated subsidiary
|
|
$
|
50,319
|
|
|
$
|
52,066
|
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Net Advance Purchaser LLC income
|
|
$
|
6,288
|
|
|
$
|
(299
|
)
|
|
$
|
16,678
|
|
|
$
|
8,667
|
|
|
Others’ ownership interest as a percent of total
|
|
26.8
|
%
|
|
27.1
|
%
|
|
26.8
|
%
|
|
27.2
|
%
|
||||
|
Others’ interest in net income of consolidated subsidiaries
|
|
$
|
1,684
|
|
|
$
|
(81
|
)
|
|
$
|
4,466
|
|
|
$
|
2,358
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
7.
|
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES
|
|
|
|
Three Months Ended September 30, 2019
|
|
Nine Months Ended September 30, 2019
|
||||||||||||
|
|
|
(in millions)
|
|
(in millions)
|
||||||||||||
|
|
|
Agency
|
|
Non-Agency
|
|
Agency
|
|
Non-Agency
|
||||||||
|
Purchases
|
|
|
|
|
|
|
|
|
||||||||
|
Face
|
|
$
|
12,306.4
|
|
|
$
|
3,324.9
|
|
|
$
|
25,123.5
|
|
|
$
|
7,899.1
|
|
|
Purchase Price
|
|
12,610.9
|
|
|
247.0
|
|
|
25,700.0
|
|
|
1,164.9
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Sales
|
|
|
|
|
|
|
|
|
||||||||
|
Face
|
|
$
|
6,073.4
|
|
|
$
|
1,325.2
|
|
|
$
|
17,898.5
|
|
|
$
|
2,162.7
|
|
|
Amortized Cost
|
|
6,233.5
|
|
|
832.4
|
|
|
18,339.1
|
|
|
1,571.0
|
|
||||
|
Sale Price
|
|
6,252.8
|
|
|
910.9
|
|
|
18,451.4
|
|
|
1,662.9
|
|
||||
|
Gain (Loss) on Sale
|
|
19.3
|
|
|
78.5
|
|
|
112.3
|
|
|
91.9
|
|
||||
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
|
Weighted Average
|
|
|
||||||||||||||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying Value(A)
|
|
Number of Securities
|
|
Rating(B)
|
|
Coupon(C)
|
|
Yield
|
|
Life (Years)(D)
|
|
Principal Subordination(E)
|
|
Carrying Value
|
||||||||||||||||
|
Agency
RMBS(F) (G)
|
|
$
|
8,797,199
|
|
|
$
|
8,950,763
|
|
|
$
|
56,939
|
|
|
$
|
(9,636
|
)
|
|
$
|
8,998,066
|
|
|
39
|
|
|
AAA
|
|
3.66
|
%
|
|
3.06
|
%
|
|
4.6
|
|
N/A
|
|
|
$
|
2,665,618
|
|
|
Non-Agency
RMBS(H) (I)
|
|
21,845,814
|
|
|
7,175,703
|
|
|
711,078
|
|
|
(30,937
|
)
|
|
7,855,844
|
|
|
950
|
|
|
B+
|
|
3.03
|
%
|
|
4.84
|
%
|
|
6.3
|
|
10.6
|
%
|
|
8,970,963
|
|
||||||
|
Total/
Weighted
Average
|
|
$
|
30,643,013
|
|
|
$
|
16,126,466
|
|
|
$
|
768,017
|
|
|
$
|
(40,573
|
)
|
|
$
|
16,853,910
|
|
|
989
|
|
|
BBB+
|
|
3.35
|
%
|
|
3.85
|
%
|
|
5.3
|
|
|
|
$
|
11,636,581
|
|
|
|
(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 312 bonds with a carrying value of $1,064.1 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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(C)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $225.2 million and $3.5 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 $8.8 billion for fixed rate securities and $0.0 billion for floating rate securities as of September 30, 2019.
|
|
(H)
|
The total outstanding face amount was $10.2 billion (including $7.9 billion of residual and fair value option notional amount) for fixed rate securities and $11.7 billion (including $4.9 billion of residual and fair value option notional amount) for floating rate securities as of September 30, 2019.
|
|
(I)
|
Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by consumer loans, and (iii) corporate debt.
|
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying Value
|
|
Number of Securities
|
|
Rating
|
|
Coupon
|
|
Yield
|
|
Life (Years)
|
|
Principal Subordination
|
|||||||||||||
|
Corporate debt
|
|
$
|
85,000
|
|
|
$
|
85,000
|
|
|
$
|
—
|
|
|
$
|
(7,013
|
)
|
|
$
|
77,987
|
|
|
1
|
|
|
B-
|
|
8.25
|
%
|
|
8.25
|
%
|
|
5.5
|
|
N/A
|
|
Consumer loan bonds
|
|
30,945
|
|
|
29,990
|
|
|
566
|
|
|
(5,073
|
)
|
|
25,483
|
|
|
6
|
|
|
N/A
|
|
N/A
|
|
|
8.09
|
%
|
|
1.5
|
|
N/A
|
|||||
|
Fair Value Option Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Interest-only securities
|
|
9,574,284
|
|
|
290,481
|
|
|
33,963
|
|
|
(13,890
|
)
|
|
310,554
|
|
|
111
|
|
|
AA
|
|
1.44
|
%
|
|
7.43
|
%
|
|
3.2
|
|
N/A
|
|||||
|
Servicing Strips
|
|
2,568,427
|
|
|
32,216
|
|
|
4,306
|
|
|
(3,178
|
)
|
|
33,344
|
|
|
37
|
|
|
N/A
|
|
0.39
|
%
|
|
5.88
|
%
|
|
5.3
|
|
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
|
|
$
|
7,069,880
|
|
|
$
|
2,162,118
|
|
|
$
|
(3,768
|
)
|
|
$
|
2,158,350
|
|
|
$
|
(20,406
|
)
|
|
$
|
2,137,944
|
|
|
77
|
|
|
BBB
|
|
4.27
|
%
|
|
4.24
|
%
|
|
6.4
|
|
12 or More Months
|
|
1,297,245
|
|
|
190,556
|
|
|
(1,799
|
)
|
|
188,757
|
|
|
(20,167
|
)
|
|
168,590
|
|
|
63
|
|
|
BB
|
|
4.58
|
%
|
|
5.74
|
%
|
|
5.1
|
||||||
|
Total/Weighted Average
|
|
$
|
8,367,125
|
|
|
$
|
2,352,674
|
|
|
$
|
(5,567
|
)
|
|
$
|
2,347,107
|
|
|
$
|
(40,573
|
)
|
|
$
|
2,306,534
|
|
|
140
|
|
|
BB+
|
|
4.29
|
%
|
|
4.36
|
%
|
|
6.3
|
|
(A)
|
This amount represents OTTI recorded on securities that are in an unrealized loss position as of September 30, 2019.
|
|
(B)
|
The weighted average rating of securities in an unrealized loss position for less than 12 months excludes the rating of 43 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 24 bonds which either have never been rated or for which rating information is no longer provided.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
September 30, 2019
|
||||||||||||||
|
|
|
|
|
|
Gross Unrealized Losses
|
||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis After Impairment
|
|
Credit(A)
|
|
Non-Credit(B)
|
||||||||
|
Securities New Residential intends to sell(C)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Securities New Residential is more likely than not to be required to sell(D)
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
||||
|
Securities New Residential has no intent to sell and is not more likely than not to be required to sell:
|
|
|
|
|
|
|
|
||||||||
|
Credit impaired securities
|
159,172
|
|
|
165,780
|
|
|
(5,567
|
)
|
|
(6,608
|
)
|
||||
|
Non-credit impaired securities
|
2,147,362
|
|
|
2,181,327
|
|
|
—
|
|
|
(33,965
|
)
|
||||
|
Total debt securities in an unrealized loss position
|
$
|
2,306,534
|
|
|
$
|
2,347,107
|
|
|
$
|
(5,567
|
)
|
|
$
|
(40,573
|
)
|
|
(A)
|
This amount is required to be recorded as OTTI through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation includes a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows include New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses are measured as the decline in the present value of the expected future cash flows discounted at the investment’s effective interest rate.
|
|
(B)
|
This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income.
|
|
(C)
|
A portion of securities New Residential intends to sell have a fair value equal to their amortized cost basis after impairment, and, therefore do not have unrealized losses reflected in other comprehensive income as of September 30, 2019.
|
|
(D)
|
New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.
|
|
|
Nine Months Ended September 30, 2019
|
||
|
Beginning balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
$
|
52,803
|
|
|
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
|
20,034
|
|
|
|
Additions for credit losses on securities for which an OTTI was not previously recognized
|
1,908
|
|
|
|
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/paid off during the period
|
(18,431
|
)
|
|
|
Ending balance of credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income
|
$
|
56,314
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||
|
Geographic Location(A)
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
||||||
|
Western U.S.
|
|
$
|
8,348,465
|
|
|
38.4
|
%
|
|
$
|
7,318,616
|
|
|
37.7
|
%
|
|
Southeastern U.S.
|
|
5,232,919
|
|
|
24.1
|
%
|
|
4,613,314
|
|
|
23.8
|
%
|
||
|
Northeastern U.S.
|
|
4,615,081
|
|
|
21.2
|
%
|
|
3,829,725
|
|
|
19.7
|
%
|
||
|
Midwestern U.S.
|
|
2,134,577
|
|
|
9.8
|
%
|
|
2,063,263
|
|
|
10.6
|
%
|
||
|
Southwestern U.S.
|
|
1,378,512
|
|
|
6.4
|
%
|
|
1,321,853
|
|
|
6.8
|
%
|
||
|
Other(B)
|
|
20,315
|
|
|
0.1
|
%
|
|
250,833
|
|
|
1.4
|
%
|
||
|
|
|
$
|
21,729,869
|
|
|
100.0
|
%
|
|
$
|
19,397,604
|
|
|
100.0
|
%
|
|
(A)
|
Excludes $30.9 million and $56.8 million face amount of bonds backed by consumer loans and $85.0 million and $85.0 million face amount of bonds backed by corporate debt as of September 30, 2019 and December 31, 2018, respectively.
|
|
(B)
|
Represents collateral for which New Residential was unable to obtain geographic information.
|
|
|
Outstanding Face Amount
|
|
Carrying Value
|
||||
|
September 30, 2019
|
$
|
5,317,777
|
|
|
$
|
3,641,142
|
|
|
December 31, 2018
|
6,385,306
|
|
|
4,217,242
|
|
||
|
|
Nine Months Ended September 30, 2019
|
||
|
Balance at December 31, 2018
|
$
|
2,245,983
|
|
|
Additions
|
190,482
|
|
|
|
Accretion
|
(191,559
|
)
|
|
|
Reclassifications from (to) non-accretable difference
|
(430,080
|
)
|
|
|
Disposals
|
(266,552
|
)
|
|
|
Balance at September 30, 2019
|
$
|
1,548,274
|
|
|
8.
|
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
•
|
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”)
|
|
|
|
September 30, 2019
|
|
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
|
|
Loan to Value Ratio (“LTV”)(B)
|
|
Weighted Avg. Delinquency(C)
|
|
Weighted Average FICO(D)
|
|
Carrying Value
|
||||||||||||
|
Loan Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Performing Loans(G) (J)
|
|
$
|
557,762
|
|
|
$
|
524,387
|
|
|
7,695
|
|
|
7.8
|
%
|
|
4.6
|
|
20.2
|
%
|
|
72.3
|
%
|
|
10.2
|
%
|
|
647
|
|
|
$
|
591,264
|
|
|
Purchased Credit Deteriorated Loans(H)
|
|
124,238
|
|
|
89,270
|
|
|
1,106
|
|
|
7.9
|
%
|
|
3.2
|
|
19.3
|
%
|
|
88.1
|
%
|
|
60.7
|
%
|
|
590
|
|
|
144,065
|
|
|||
|
Total Residential Mortgage Loans, held-for-investment
|
|
$
|
682,000
|
|
|
$
|
613,657
|
|
|
8,801
|
|
|
7.8
|
%
|
|
4.4
|
|
20.1
|
%
|
|
75.2
|
%
|
|
19.4
|
%
|
|
636
|
|
|
$
|
735,329
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Reverse Mortgage Loans(E) (F)
|
|
$
|
13,032
|
|
|
$
|
6,450
|
|
|
32
|
|
|
7.8
|
%
|
|
5.3
|
|
10.1
|
%
|
|
151.6
|
%
|
|
65.1
|
%
|
|
N/A
|
|
|
$
|
6,557
|
|
|
Performing Loans(G) (I)
|
|
709,867
|
|
|
726,935
|
|
|
10,798
|
|
|
4.3
|
%
|
|
4.0
|
|
62.4
|
%
|
|
54.3
|
%
|
|
5.9
|
%
|
|
688
|
|
|
413,883
|
|
|||
|
Non-Performing Loans(H) (I)
|
|
726,570
|
|
|
616,612
|
|
|
5,562
|
|
|
5.1
|
%
|
|
3.3
|
|
12.0
|
%
|
|
80.7
|
%
|
|
68.7
|
%
|
|
594
|
|
|
512,040
|
|
|||
|
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,449,469
|
|
|
$
|
1,349,997
|
|
|
16,392
|
|
|
4.8
|
%
|
|
3.6
|
|
36.7
|
%
|
|
68.4
|
%
|
|
37.9
|
%
|
|
641
|
|
|
$
|
932,480
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Acquired Loans
|
|
$
|
4,024,252
|
|
|
$
|
3,916,826
|
|
|
26,236
|
|
|
4.2
|
%
|
|
7.4
|
|
2.0
|
%
|
|
71.1
|
%
|
|
15.3
|
%
|
|
622
|
|
|
$
|
2,153,269
|
|
|
Originated Loans
|
|
1,248,711
|
|
|
1,289,425
|
|
|
4,465
|
|
|
4.0
|
%
|
|
28.6
|
|
4.0
|
%
|
|
77.6
|
%
|
|
29.2
|
%
|
|
672
|
|
|
655,260
|
|
|||
|
Total Residential Mortgage Loans, held-for-sale, at fair value(K)
|
|
$
|
5,272,963
|
|
|
$
|
5,206,251
|
|
|
30,701
|
|
|
4.1
|
%
|
|
12.5
|
|
2.5
|
%
|
|
72.7
|
%
|
|
18.6
|
%
|
|
634
|
|
|
$
|
2,808,529
|
|
|
(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 $0.6 million. Approximately 51% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
|
|
(F)
|
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
|
|
(G)
|
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
|
|
(H)
|
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of September 30, 2019, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
|
|
(I)
|
Includes $37.8 million and $27.7 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 $112.1 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 other income.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
September 30, 2019
|
|||
|
Days Past Due
|
|
Delinquency Status(A)
|
|
|
Current
|
|
84.1
|
%
|
|
30-59
|
|
8.2
|
%
|
|
60-89
|
|
2.7
|
%
|
|
90-119(B)
|
|
0.7
|
%
|
|
120+(C)
|
|
4.3
|
%
|
|
|
|
100.0
|
%
|
|
(A)
|
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(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, 2018
|
$
|
591,253
|
|
|
Purchases/additional fundings
|
—
|
|
|
|
Proceeds from repayments
|
(73,397
|
)
|
|
|
Accretion of loan discount (premium) and other amortization(A)
|
9,998
|
|
|
|
Provision for loan losses
|
(800
|
)
|
|
|
Transfer of loans to other assets(B)
|
—
|
|
|
|
Transfer of loans to real estate owned
|
(4,739
|
)
|
|
|
Transfers of loans to held for sale
|
(168
|
)
|
|
|
Fair value adjustment
|
2,240
|
|
|
|
Balance at September 30, 2019
|
$
|
524,387
|
|
|
(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, 2018
|
$
|
—
|
|
|
Provision for loan losses(A)
|
800
|
|
|
|
Charge-offs(B)
|
(800
|
)
|
|
|
Balance at September 30, 2019
|
$
|
—
|
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Balance at December 31, 2018
|
$
|
144,065
|
|
|
Purchases/additional fundings
|
—
|
|
|
|
Sales
|
—
|
|
|
|
Proceeds from repayments
|
(13,935
|
)
|
|
|
Accretion of loan discount and other amortization
|
12,961
|
|
|
|
(Allowance) reversal for loan losses(A)
|
(2,332
|
)
|
|
|
Transfer of loans to real estate owned
|
(12,815
|
)
|
|
|
Transfer of loans to held-for-sale
|
(38,674
|
)
|
|
|
Balance at September 30, 2019
|
$
|
89,270
|
|
|
(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.
|
|
Balance at December 31, 2018
|
$
|
68,632
|
|
|
Additions
|
—
|
|
|
|
Accretion
|
(12,961
|
)
|
|
|
Reclassifications from (to) non-accretable difference(A)
|
8,188
|
|
|
|
Disposals(B)
|
(10,965
|
)
|
|
|
Transfer of loans to held-for-sale(C)
|
(8,406
|
)
|
|
|
Balance at September 30, 2019
|
$
|
44,488
|
|
|
(A)
|
Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible.
|
|
(B)
|
Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount.
|
|
(C)
|
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
|
|
Balance at December 31, 2018
|
|
$
|
932,480
|
|
|
Purchases(A)
|
|
842,752
|
|
|
|
Transfer of loans from held-for-investment(B)
|
|
38,842
|
|
|
|
Sales
|
|
(307,004
|
)
|
|
|
Transfer of loans to other assets(C)
|
|
(8,564
|
)
|
|
|
Transfer of loans to real estate owned
|
|
(35,326
|
)
|
|
|
Proceeds from repayments
|
|
(133,279
|
)
|
|
|
Valuation (provision) reversal on loans(D)
|
|
20,096
|
|
|
|
Balance at September 30, 2019
|
|
$
|
1,349,997
|
|
|
(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).
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(D)
|
Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including an aggregate of $4.8 million of provision related to the call transactions executed during the nine months ended September 30, 2019.
|
|
Balance at December 31, 2018
|
|
$
|
655,260
|
|
|
Originations
|
|
10,427,690
|
|
|
|
Sales
|
|
(9,784,536
|
)
|
|
|
Proceeds from repayments
|
|
(24,035
|
)
|
|
|
Transfer of loans to other assets
|
|
(412
|
)
|
|
|
Change in fair value
|
|
15,458
|
|
|
|
Balance at September 30, 2019
|
|
$
|
1,289,425
|
|
|
Balance at December 31, 2018
|
|
$
|
2,153,269
|
|
|
Purchases(A)
|
|
5,170,388
|
|
|
|
Sales
|
|
(3,338,140
|
)
|
|
|
Proceeds from repayments
|
|
(141,109
|
)
|
|
|
Transfer of loans to real estate owned
|
|
(435
|
)
|
|
|
Accretion of loan discount and other amortization
|
|
—
|
|
|
|
Change in fair value
|
|
72,853
|
|
|
|
Balance at September 30, 2019
|
|
$
|
3,916,826
|
|
|
(A)
|
Includes an acquisition date fair value adjustment increase of $10.2 million on loans acquired through call transactions executed during the nine months ended September 30, 2019.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Interest Income:
|
|
|
|
|
|
|
|
||||||||
|
Acquired Residential Mortgage Loans, held-for-investment
|
$
|
14,532
|
|
|
$
|
19,466
|
|
|
$
|
47,167
|
|
|
$
|
58,689
|
|
|
Acquired Residential Mortgage Loans, held-for-sale
|
15,966
|
|
|
7,433
|
|
|
43,423
|
|
|
30,001
|
|
||||
|
Acquired Residential Mortgage Loans, held-for-sale, at fair value
|
43,288
|
|
|
15,453
|
|
|
96,393
|
|
|
28,344
|
|
||||
|
Originated Residential Mortgage Loans, held-for-sale, at fair value
|
13,185
|
|
|
6,430
|
|
|
32,926
|
|
|
6,430
|
|
||||
|
Total Interest Income on Residential Mortgage Loans
|
86,971
|
|
|
48,782
|
|
|
219,909
|
|
|
123,464
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Interest Expense:
|
|
|
|
|
|
|
|
||||||||
|
Acquired Residential Mortgage Loans, held-for-investment
|
3,953
|
|
|
6,537
|
|
|
15,717
|
|
|
17,447
|
|
||||
|
Acquired Residential Mortgage Loans, held-for-sale
|
9,357
|
|
|
8,306
|
|
|
26,873
|
|
|
26,264
|
|
||||
|
Acquired Residential Mortgage Loans, held-for-sale, at fair value
|
30,053
|
|
|
7,531
|
|
|
77,247
|
|
|
13,588
|
|
||||
|
Originated Residential Mortgage Loans, held-for-sale,at fair value
|
2,344
|
|
|
1,288
|
|
|
6,451
|
|
|
1,288
|
|
||||
|
Total Interest Expense on Residential Mortgage Loans
|
45,707
|
|
|
23,662
|
|
|
126,288
|
|
|
58,587
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
|
Total Net Interest Income on Residential Mortgage Loans
|
$
|
41,264
|
|
|
$
|
25,120
|
|
|
$
|
93,621
|
|
|
$
|
64,877
|
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Gain on loans originated and sold(A)
|
|
$
|
24,312
|
|
|
$
|
24,684
|
|
|
$
|
36,413
|
|
|
$
|
24,684
|
|
|
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
|
|
(32,138
|
)
|
|
(2,757
|
)
|
|
(61,879
|
)
|
|
(2,757
|
)
|
||||
|
MSRs retained on transfer of loans(C)
|
|
96,317
|
|
|
17,282
|
|
|
190,666
|
|
|
17,282
|
|
||||
|
Other(D)
|
|
12,050
|
|
|
6,523
|
|
|
28,829
|
|
|
6,523
|
|
||||
|
Gain on sale of originated mortgage loans, net
|
|
$
|
100,541
|
|
|
$
|
45,732
|
|
|
$
|
194,029
|
|
|
$
|
45,732
|
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Real Estate Owned
|
||
|
Balance at December 31, 2018
|
|
$
|
113,410
|
|
|
Purchases
|
|
44,539
|
|
|
|
Transfer of loans to real estate owned
|
|
61,129
|
|
|
|
Sales
|
|
(112,703
|
)
|
|
|
Valuation (provision) reversal on REO
|
|
(407
|
)
|
|
|
Balance at September 30, 2019
|
|
$
|
105,968
|
|
|
|
|
Three Months Ended
September 30, |
||
|
|
|
2019
|
||
|
Assets
|
|
|
||
|
Residential mortgage loans
|
|
$
|
430,461
|
|
|
Other assets
|
|
—
|
|
|
|
Total assets(A)
|
|
$
|
430,461
|
|
|
Liabilities
|
|
|
||
|
Notes and bonds payable
|
|
$
|
364,380
|
|
|
Accounts payable and accrued expenses
|
|
3,562
|
|
|
|
Total liabilities(A)
|
|
$
|
367,942
|
|
|
(A)
|
The creditors of the RPL Borrowers do not have recourse to the general credit of New Residential, and the assets of the RPL Borrowers are not directly available to satisfy New Residential’s obligations.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Assets
|
|
|
|
|
||||
|
Cash and cash equivalents
|
|
$
|
21,604
|
|
|
$
|
17,346
|
|
|
Property and equipment, net
|
|
128
|
|
|
137
|
|
||
|
Intangible assets, net
|
|
58
|
|
|
70
|
|
||
|
Prepaid expenses and other assets
|
|
4,903
|
|
|
411
|
|
||
|
Total assets
|
|
$
|
26,693
|
|
|
$
|
17,964
|
|
|
|
|
|
|
|
||||
|
Liabilities
|
|
|
|
|
||||
|
Accounts payable and accrued expenses
|
|
$
|
3,065
|
|
|
$
|
1,315
|
|
|
Reserve for sales recourse
|
|
1,192
|
|
|
967
|
|
||
|
Total liabilities
|
|
$
|
4,257
|
|
|
$
|
2,282
|
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Total consolidated equity of JVs
|
|
$
|
22,436
|
|
|
$
|
15,682
|
|
|
Noncontrolling ownership interest
|
|
48.2
|
%
|
|
51.0
|
%
|
||
|
Noncontrolling equity interest in consolidated JVs
|
|
$
|
10,813
|
|
|
$
|
7,998
|
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Total consolidated net income of JVs
|
|
$
|
5,098
|
|
|
$
|
2,306
|
|
|
$
|
9,144
|
|
|
$
|
2,306
|
|
|
Noncontrolling ownership interest in net income
|
|
48.2
|
%
|
|
50.6
|
%
|
|
48.2
|
%
|
|
50.6
|
%
|
||||
|
Noncontrolling interest in net income of consolidated JVs
|
|
$
|
2,457
|
|
|
$
|
1,167
|
|
|
$
|
4,407
|
|
|
$
|
1,167
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Residential mortgage loan UPB
|
|
$
|
11,183,024
|
|
|
Weighted average delinquency(A)
|
|
1.97
|
%
|
|
|
Net credit losses for the nine months ended September 30, 2019
|
|
$
|
5,738
|
|
|
Face amount of debt held by third parties(B)
|
|
$
|
10,074,690
|
|
|
|
|
|
||
|
Carrying value of bonds retained by New Residential(C) (D)
|
|
$
|
1,258,292
|
|
|
Cash flows received by New Residential on these bonds for the nine months ended September 30, 2019
|
|
$
|
161,794
|
|
|
(A)
|
Represents the percentage of the UPB that is 60+ days delinquent.
|
|
(B)
|
Excludes bonds retained by New Residential.
|
|
(C)
|
Includes bonds retained pursuant to required risk retention regulations.
|
|
(D)
|
Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 12 for details on unobservable inputs.
|
|
9.
|
INVESTMENTS IN CONSUMER LOANS
|
|
|
Unpaid Principal Balance
|
|
Interest in Consumer Loans
|
|
Carrying Value
|
|
Weighted Average Coupon
|
|
Weighted Average Expected Life (Years)(A)
|
|
Weighted Average Delinquency(B)
|
|||||||
|
September 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Consumer Loan Companies
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Performing Loans
|
$
|
684,064
|
|
|
53.5
|
%
|
|
$
|
722,826
|
|
|
18.9
|
%
|
|
4.0
|
|
4.5
|
%
|
|
Purchased Credit Deteriorated Loans(C)
|
182,171
|
|
|
53.5
|
%
|
|
147,059
|
|
|
15.6
|
%
|
|
3.5
|
|
10.0
|
%
|
||
|
Other - Performing Loans
|
12,196
|
|
|
100.0
|
%
|
|
11,298
|
|
|
14.9
|
%
|
|
0.8
|
|
5.5
|
%
|
||
|
Total Consumer Loans, held-for-investment
|
$
|
878,431
|
|
|
|
|
$
|
881,183
|
|
|
18.1
|
%
|
|
3.9
|
|
5.6
|
%
|
|
|
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
|
%
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(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.
|
|
September 30, 2019
|
|||
|
Days Past Due
|
|
Delinquency Status(A)
|
|
|
Current
|
|
95.5
|
%
|
|
30-59
|
|
1.7
|
%
|
|
60-89
|
|
1.0
|
%
|
|
90-119(B)
|
|
0.7
|
%
|
|
120+(B) (C)
|
|
1.1
|
%
|
|
|
|
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, 2018
|
|
$
|
889,285
|
|
|
Purchases
|
|
—
|
|
|
|
Additional fundings(A)
|
|
42,231
|
|
|
|
Proceeds from repayments
|
|
(166,897
|
)
|
|
|
Accretion of loan discount and premium amortization, net
|
|
272
|
|
|
|
Gross charge-offs
|
|
(30,325
|
)
|
|
|
Additions to the allowance for loan losses, net
|
|
(442
|
)
|
|
|
Balance at September 30, 2019
|
|
$
|
734,124
|
|
|
(A)
|
Represents draws on consumer loans with revolving privileges.
|
|
|
|
Collectively Evaluated(A)
|
|
Individually Impaired(B)
|
|
Total
|
||||||
|
Balance at December 31, 2018
|
|
$
|
2,604
|
|
|
$
|
2,064
|
|
|
$
|
4,668
|
|
|
Provision (reversal) for loan losses
|
|
23,966
|
|
|
442
|
|
|
24,408
|
|
|||
|
Net charge-offs(C)
|
|
(25,672
|
)
|
|
—
|
|
|
(25,672
|
)
|
|||
|
Balance at September 30, 2019
|
|
$
|
898
|
|
|
$
|
2,506
|
|
|
$
|
3,404
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(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 September 30, 2019, there are $17.3 million in UPB and $15.5 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 $6.4 million in recoveries of previously charged-off UPB.
|
|
Balance at December 31, 2018
|
|
$
|
182,917
|
|
|
(Allowance) reversal for loan losses(A)
|
|
(40
|
)
|
|
|
Proceeds from repayments
|
|
(60,499
|
)
|
|
|
Accretion of loan discount and other amortization
|
|
24,681
|
|
|
|
Balance at September 30, 2019
|
|
$
|
147,059
|
|
|
(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
|
||||
|
September 30, 2019
|
$
|
182,171
|
|
|
$
|
147,059
|
|
|
December 31, 2018
|
221,910
|
|
|
182,917
|
|
||
|
Balance at December 31, 2018
|
|
$
|
126,518
|
|
|
Accretion
|
|
(24,681
|
)
|
|
|
Reclassifications from (to) non-accretable difference(A)
|
|
10,344
|
|
|
|
Balance at September 30, 2019
|
|
$
|
112,181
|
|
|
(A)
|
Represents a probable and significant increase (decrease) in cash flows previously expected to be uncollectible.
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Total Consumer Loan Companies equity
|
|
$
|
47,314
|
|
|
$
|
66,105
|
|
|
Others’ ownership interest
|
|
46.5
|
%
|
|
46.5
|
%
|
||
|
Others’ interests in equity of consolidated subsidiary
|
|
$
|
22,520
|
|
|
$
|
30,561
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Net Consumer Loan Companies income (loss)
|
$
|
22,790
|
|
|
$
|
21,038
|
|
|
$
|
49,690
|
|
|
$
|
61,359
|
|
|
Others’ ownership interest as a percent of total
|
46.5
|
%
|
|
46.5
|
%
|
|
46.5
|
%
|
|
46.5
|
%
|
||||
|
Others’ interest in net income (loss) of consolidated subsidiaries
|
$
|
10,597
|
|
|
$
|
9,783
|
|
|
$
|
23,106
|
|
|
$
|
28,533
|
|
|
|
|
As of
|
||||||
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Assets
|
|
|
|
|
||||
|
Consumer loans, held-for-investment
|
|
$
|
869,885
|
|
|
$
|
1,039,480
|
|
|
Restricted cash
|
|
9,338
|
|
|
10,186
|
|
||
|
Accrued interest receivable
|
|
13,148
|
|
|
15,627
|
|
||
|
Total assets(A)
|
|
$
|
892,371
|
|
|
$
|
1,065,293
|
|
|
Liabilities
|
|
|
|
|
||||
|
Notes and bonds payable(B)
|
|
$
|
873,724
|
|
|
$
|
1,030,096
|
|
|
Accounts payable and accrued expenses
|
|
4,034
|
|
|
3,814
|
|
||
|
Total liabilities(A)
|
|
$
|
877,758
|
|
|
$
|
1,033,910
|
|
|
(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 $10.0 million face amount of bonds retained by New Residential issued by these VIEs.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
September 30, 2019(A)
|
|
December 31, 2018(A)
|
||||
|
Consumer loans, at fair value
|
|
$
|
1,632
|
|
|
$
|
231,560
|
|
|
Warrants, at fair value
|
|
106,378
|
|
|
103,067
|
|
||
|
Other assets
|
|
1,685
|
|
|
25,971
|
|
||
|
Warehouse financing
|
|
—
|
|
|
(182,065
|
)
|
||
|
Other liabilities
|
|
(118
|
)
|
|
(1,142
|
)
|
||
|
Equity
|
|
$
|
109,577
|
|
|
$
|
177,391
|
|
|
Undistributed retained earnings
|
|
$
|
—
|
|
|
$
|
—
|
|
|
New Residential’s investment
|
|
$
|
25,875
|
|
|
$
|
42,875
|
|
|
New Residential’s ownership
|
|
23.6
|
%
|
|
24.2
|
%
|
||
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019(B)
|
|
2018(B)
|
|
2019(B)
|
|
2018(B)
|
||||||||
|
Interest income
|
|
$
|
636
|
|
|
$
|
16,513
|
|
|
$
|
20,003
|
|
|
$
|
38,032
|
|
|
Interest expense
|
|
—
|
|
|
(4,364
|
)
|
|
(6,487
|
)
|
|
(10,082
|
)
|
||||
|
Change in fair value of consumer loans and warrants
|
|
(2,933
|
)
|
|
5,676
|
|
|
(4,390
|
)
|
|
24,750
|
|
||||
|
Gain on sale of consumer loans(C)
|
|
(7,525
|
)
|
|
2,379
|
|
|
(9,193
|
)
|
|
3,512
|
|
||||
|
Other expenses
|
|
(576
|
)
|
|
(1,604
|
)
|
|
(3,494
|
)
|
|
(6,201
|
)
|
||||
|
Net income
|
|
$
|
(10,398
|
)
|
|
$
|
18,600
|
|
|
$
|
(3,561
|
)
|
|
$
|
50,011
|
|
|
New Residential’s equity in net income
|
|
$
|
(2,547
|
)
|
|
$
|
4,555
|
|
|
$
|
(890
|
)
|
|
$
|
12,343
|
|
|
New Residential’s ownership
|
|
24.5
|
%
|
|
24.5
|
%
|
|
25.0
|
%
|
|
24.7
|
%
|
||||
|
(A)
|
Data as of August 31, 2019 and November 30, 2018, respectively, as a result of the one month reporting lag.
|
|
(B)
|
Data for the periods ended August 31, 2019 and 2018, respectively, as a result of the one month reporting lag.
|
|
(C)
|
During the nine months ended September 30, 2019, LoanCo sold, through securitizations which were treated as sales for accounting purposes, $406.1 million in UPB of consumer loans. LoanCo retained $83.9 million of residual interest 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)
|
|||||||
|
September 30, 2019(C)
|
$
|
1,226
|
|
|
25.0
|
%
|
|
$
|
1,632
|
|
|
18.7
|
%
|
|
1.0
|
|
—
|
%
|
|
(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 August 31, 2019 as a result of the one month reporting lag.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Balance at December 31, 2018
|
$
|
38,294
|
|
|
Contributions to equity method investees
|
63,969
|
|
|
|
Distributions of earnings from equity method investees
|
(1,178
|
)
|
|
|
Distributions of capital from equity method investees
|
(77,162
|
)
|
|
|
Earnings from investments in consumer loans, equity method investees
|
(890
|
)
|
|
|
Balance at September 30, 2019
|
$
|
23,033
|
|
|
10.
|
DERIVATIVES
|
|
|
Balance Sheet Location
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Derivative assets
|
|
|
|
|
|
||||
|
Interest Rate Caps
|
Other assets
|
|
$
|
—
|
|
|
$
|
3
|
|
|
Interest Rate Lock Commitments
|
Other assets
|
|
26,214
|
|
|
10,851
|
|
||
|
Forward Loan Sale Commitments
|
Other assets
|
|
—
|
|
|
39
|
|
||
|
TBAs
|
Other assets
|
|
10,498
|
|
|
—
|
|
||
|
|
|
|
$
|
36,712
|
|
|
$
|
10,893
|
|
|
Derivative liabilities
|
|
|
|
|
|
||||
|
Interest Rate Swaps(A)
|
Accrued expenses and other liabilities
|
|
$
|
135
|
|
|
$
|
5,245
|
|
|
Interest Rate Lock Commitments
|
Accrued expenses and other liabilities
|
|
1,676
|
|
|
223
|
|
||
|
Forward Loan Sale Commitments
|
Accrued expenses and other liabilities
|
|
31
|
|
|
|
|
||
|
TBAs
|
Accrued expenses and other liabilities
|
|
—
|
|
|
23,921
|
|
||
|
|
|
|
$
|
1,842
|
|
|
$
|
29,389
|
|
|
(A)
|
Net of $165.7 million of related variation margin accounts as of September 30, 2019. As of December 31, 2018, net of $106.1 million of related variation margin accounts existed.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Interest Rate Caps(A)
|
$
|
50,000
|
|
|
$
|
50,000
|
|
|
Interest Rate Swaps(B)
|
7,780,000
|
|
|
4,725,000
|
|
||
|
Interest Rate Lock Commitments
|
2,735,387
|
|
|
823,187
|
|
||
|
Forward Loan Sale Commitments
|
6,893
|
|
|
30,274
|
|
||
|
TBAs, short position(C)
|
5,488,000
|
|
|
5,904,300
|
|
||
|
TBAs, long position(C)
|
9,709,894
|
|
|
5,067,200
|
|
||
|
(A)
|
As of September 30, 2019, caps LIBOR at 4.00% for $50.0 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2019 was 14 months.
|
|
(B)
|
Includes $4.5 billion notional of Receive LIBOR/Pay Fixed of 3.16% and $3.3 billion notional of Receive Fixed of 1.51%/Pay LIBOR with weighted average maturities of 43 months and 65 months, respectively, as of September 30, 2019.
|
|
(C)
|
Represents the notional amount of Agency RMBS, classified as derivatives.
|
|
|
|
For the
Three Months Ended September 30, |
|
For the
Nine Months Ended September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Change in fair value of derivative instruments(A)
|
|
|
|
|
|
|
|
|
||||||||
|
Interest Rate Caps
|
|
$
|
—
|
|
|
$
|
(2
|
)
|
|
$
|
(3
|
)
|
|
$
|
436
|
|
|
Interest Rate Swaps
|
|
42,306
|
|
|
18,785
|
|
|
(26,893
|
)
|
|
19,668
|
|
||||
|
Unrealized gains (losses) on Interest Rate Lock Commitments
|
|
3,002
|
|
|
(2,247
|
)
|
|
13,911
|
|
|
(2,247
|
)
|
||||
|
Forward Loan Sale Commitments
|
|
(272
|
)
|
|
(17
|
)
|
|
(70
|
)
|
|
(17
|
)
|
||||
|
TBAs
|
|
13,472
|
|
|
7,780
|
|
|
11,067
|
|
|
10,145
|
|
||||
|
|
|
58,508
|
|
|
24,299
|
|
|
(1,988
|
)
|
|
27,985
|
|
||||
|
Gain (loss) on settlement of investments, net
|
|
|
|
|
|
|
|
|
||||||||
|
Interest Rate Caps
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(603
|
)
|
||||
|
Interest Rate Swaps
|
|
(10,338
|
)
|
|
(656
|
)
|
|
(32,529
|
)
|
|
37,287
|
|
||||
|
TBAs(B)
|
|
(3,809
|
)
|
|
20,115
|
|
|
(119,895
|
)
|
|
39,408
|
|
||||
|
|
|
(14,147
|
)
|
|
19,459
|
|
|
(152,424
|
)
|
|
76,092
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Total income (losses)
|
|
$
|
44,361
|
|
|
$
|
43,758
|
|
|
$
|
(154,412
|
)
|
|
$
|
104,077
|
|
|
(A)
|
Represents unrealized gains (losses).
|
|
(B)
|
Excludes $32.1 million and $61.9 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8) for the three and nine months ended September 30, 2019, respectively.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
11.
|
DEBT OBLIGATIONS
|
|
|
|
September 30, 2019
|
|
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)
|
|
Carrying Value(A)
|
|||||||||||||
|
Repurchase Agreements(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Agency RMBS(D)
|
|
$
|
10,733,236
|
|
|
$
|
10,733,236
|
|
|
Oct-19 to May-20
|
|
2.31
|
%
|
|
0.1
|
|
$
|
10,611,553
|
|
|
$
|
10,825,984
|
|
|
$
|
10,886,787
|
|
|
2.4
|
|
$
|
4,346,070
|
|
|
Non-Agency RMBS (E)
|
|
7,144,329
|
|
|
7,144,329
|
|
|
Oct-19 to Sep-20
|
|
3.08
|
%
|
|
0.1
|
|
21,021,981
|
|
|
7,113,471
|
|
|
7,786,425
|
|
|
6.3
|
|
7,434,785
|
|
||||||
|
Residential Mortgage Loans(F)
|
|
5,165,150
|
|
|
5,164,159
|
|
|
Oct-19 to May-21
|
|
3.74
|
%
|
|
0.6
|
|
5,960,958
|
|
|
6,025,596
|
|
|
5,805,242
|
|
|
13.9
|
|
3,678,246
|
|
||||||
|
Real Estate Owned(G)(H)
|
|
68,651
|
|
|
68,635
|
|
|
Oct-19 to May-21
|
|
3.85
|
%
|
|
0.4
|
|
N/A
|
|
|
N/A
|
|
|
95,410
|
|
|
N/A
|
|
94,868
|
|
||||||
|
Total Repurchase Agreements
|
|
23,111,366
|
|
|
23,110,359
|
|
|
|
|
2.87
|
%
|
|
0.3
|
|
|
|
|
|
|
|
|
|
15,553,969
|
|
|||||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Excess MSRs(I)
|
|
269,759
|
|
|
269,759
|
|
|
Feb-20 to Jul-22
|
|
4.95
|
%
|
|
1.9
|
|
103,514,484
|
|
|
315,847
|
|
|
416,899
|
|
|
5.8
|
|
297,563
|
|
||||||
|
MSRs(J)
|
|
2,360,182
|
|
|
2,352,961
|
|
|
Mar-20 to Jul-24
|
|
4.23
|
%
|
|
2.0
|
|
452,215,330
|
|
|
4,718,333
|
|
|
5,113,271
|
|
|
5.5
|
|
2,360,856
|
|
||||||
|
Servicer Advances(K)
|
|
2,903,093
|
|
|
2,896,819
|
|
|
Jan-20 to Aug-23
|
|
3.22
|
%
|
|
2.0
|
|
3,316,416
|
|
|
3,482,368
|
|
|
3,512,345
|
|
|
1.6
|
|
3,382,455
|
|
||||||
|
Residential Mortgage Loans(L)
|
|
1,012,342
|
|
|
1,015,360
|
|
|
Apr-20 to Jul-43
|
|
4.09
|
%
|
|
3.7
|
|
1,258,875
|
|
|
1,277,193
|
|
|
1,194,186
|
|
|
8.0
|
|
124,945
|
|
||||||
|
Consumer Loans(M)
|
|
868,214
|
|
|
870,973
|
|
|
Dec-21 to May-36
|
|
3.25
|
%
|
|
4.0
|
|
878,317
|
|
|
884,473
|
|
|
881,069
|
|
|
5.6
|
|
936,447
|
|
||||||
|
Total Notes and Bonds Payable
|
|
7,413,590
|
|
|
7,405,872
|
|
|
|
|
3.73
|
%
|
|
2.5
|
|
|
|
|
|
|
|
|
|
7,102,266
|
|
|||||||||
|
Total/ Weighted Average
|
|
$
|
30,524,956
|
|
|
$
|
30,516,231
|
|
|
|
|
3.08
|
%
|
|
0.8
|
|
|
|
|
|
|
|
|
|
$
|
22,656,235
|
|
||||||
|
(A)
|
Net of deferred financing costs.
|
|
(B)
|
All debt obligations with a stated maturity through October 31, 2019 were refinanced, extended or repaid.
|
|
(C)
|
These repurchase agreements had approximately $77.8 million of associated accrued interest payable as of September 30, 2019.
|
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $4.4 billion of related trade and other receivables.
|
|
(E)
|
$6,585.6 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $558.8 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements of $7.5 million on retained servicer advance and consumer loan bonds and of $671.3 million on retained bonds collateralized by Agency MSRs.
|
|
(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 $169.8 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 $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: $940.2 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 $1,419.9 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)
|
$2.6 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.15% to 1.99%. 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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(L)
|
Represents: (i) a $6.0 million note payable to Nationstar which includes a $1.5 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $109.9 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), (iii) $362.1 million of asset-backed notes held by third parties which bear interest equal to 4.59% (see Note 12 for details), and (iv) $535.1 million of asset-backed notes held by third parties which include $1.3 million of REO and bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 1.25%.
|
|
(M)
|
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $787.9 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036, $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036, and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036. Also includes a $1.2 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, 2018
|
$
|
297,563
|
|
|
$
|
2,360,856
|
|
|
$
|
3,382,455
|
|
|
$
|
11,780,855
|
|
|
$
|
3,898,059
|
|
|
$
|
936,447
|
|
|
$
|
22,656,235
|
|
|
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Borrowings
|
—
|
|
|
—
|
|
|
—
|
|
|
131,684,478
|
|
|
20,417,339
|
|
|
—
|
|
|
152,101,817
|
|
|||||||
|
Repayments
|
—
|
|
|
—
|
|
|
—
|
|
|
(125,587,933
|
)
|
|
(18,957,675
|
)
|
|
—
|
|
|
(144,545,608
|
)
|
|||||||
|
Capitalized deferred financing costs, net of amortization
|
—
|
|
|
—
|
|
|
—
|
|
|
165
|
|
|
17
|
|
|
—
|
|
|
182
|
|
|||||||
|
Notes and Bonds Payable:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Borrowings
|
300,000
|
|
|
2,039,949
|
|
|
3,419,265
|
|
|
—
|
|
|
912,445
|
|
|
928,683
|
|
|
7,600,342
|
|
|||||||
|
Repayments
|
(328,000
|
)
|
|
(2,048,653
|
)
|
|
(3,902,406
|
)
|
|
—
|
|
|
(27,279
|
)
|
|
(1,000,203
|
)
|
|
(7,306,541
|
)
|
|||||||
|
Discount on borrowings, net of amortization
|
—
|
|
|
—
|
|
|
29
|
|
|
—
|
|
|
—
|
|
|
6,046
|
|
|
6,075
|
|
|||||||
|
Unrealized gain on notes, fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,248
|
|
|
—
|
|
|
5,248
|
|
|||||||
|
Capitalized deferred financing costs, net of amortization
|
196
|
|
|
809
|
|
|
(2,524
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,519
|
)
|
|||||||
|
Balance at September 30, 2019
|
$
|
269,759
|
|
|
$
|
2,352,961
|
|
|
$
|
2,896,819
|
|
|
$
|
17,877,565
|
|
|
$
|
6,248,154
|
|
|
$
|
870,973
|
|
|
$
|
30,516,231
|
|
|
(A)
|
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Year
|
|
Nonrecourse
|
|
Recourse
|
|
Total
|
||||||
|
October 1 through December 31, 2019
|
|
$
|
1,978
|
|
|
$
|
18,781,709
|
|
|
$
|
18,783,687
|
|
|
2020
|
|
615,733
|
|
|
5,480,786
|
|
|
6,096,519
|
|
|||
|
2021
|
|
1,088,623
|
|
|
1,034,034
|
|
|
2,122,657
|
|
|||
|
2022
|
|
1,162,067
|
|
|
169,759
|
|
|
1,331,826
|
|
|||
|
2023
|
|
400,000
|
|
|
403,433
|
|
|
803,433
|
|
|||
|
2024 and thereafter
|
|
976,300
|
|
|
410,534
|
|
|
1,386,834
|
|
|||
|
|
|
$
|
4,244,701
|
|
|
$
|
26,280,255
|
|
|
$
|
30,524,956
|
|
|
Debt Obligations / Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
||||||
|
Residential mortgage loans and REO
|
|
$
|
9,112,297
|
|
|
$
|
5,233,801
|
|
|
$
|
3,878,496
|
|
|
Non-Agency RMBS
|
|
650,000
|
|
|
558,756
|
|
|
91,244
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
|
Excess MSRs
|
|
150,000
|
|
|
100,000
|
|
|
50,000
|
|
|||
|
MSRs
|
|
1,375,000
|
|
|
940,188
|
|
|
434,812
|
|
|||
|
Servicer advances(A)
|
|
1,204,660
|
|
|
1,053,127
|
|
|
151,533
|
|
|||
|
Residential Mortgage Loans
|
|
650,000
|
|
|
535,063
|
|
|
114,937
|
|
|||
|
Consumer loans
|
|
150,000
|
|
|
1,228
|
|
|
148,772
|
|
|||
|
|
|
$
|
13,291,957
|
|
|
$
|
8,422,163
|
|
|
$
|
4,869,794
|
|
|
(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 0.02% fee on the unused borrowing capacity.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
12.
|
FAIR VALUE MEASUREMENT
|
|
|
|
|
|
|
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)
|
$
|
93,025,190
|
|
|
$
|
398,064
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
398,064
|
|
|
$
|
398,064
|
|
|
|
Excess mortgage servicing rights, equity method investees, at fair value(A)
|
35,632,429
|
|
|
132,259
|
|
|
—
|
|
|
—
|
|
|
132,259
|
|
|
132,259
|
|
|||||||
|
Mortgage servicing rights, at fair value(A)
|
319,927,285
|
|
|
3,431,968
|
|
|
—
|
|
|
—
|
|
|
3,431,968
|
|
|
3,431,968
|
|
|||||||
|
Mortgage servicing rights financing receivables, at fair value
|
140,523,235
|
|
|
1,811,261
|
|
|
—
|
|
—
|
|
—
|
|
|
1,811,261
|
|
|
1,811,261
|
|
||||||
|
Servicer advance investments, at fair
value
|
492,480
|
|
|
600,547
|
|
|
—
|
|
|
—
|
|
|
600,547
|
|
|
600,547
|
|
|||||||
|
Real estate and other securities, available-for-sale
|
30,643,013
|
|
|
16,853,910
|
|
|
—
|
|
|
8,998,066
|
|
|
7,855,844
|
|
|
16,853,910
|
|
|||||||
|
Residential mortgage loans, held-for-investment
|
569,888
|
|
|
500,524
|
|
|
—
|
|
|
—
|
|
|
495,424
|
|
|
495,424
|
|
|||||||
|
Residential mortgage loans, held-for-sale
|
1,449,469
|
|
|
1,349,997
|
|
|
—
|
|
|
—
|
|
|
1,365,262
|
|
|
1,365,262
|
|
|||||||
|
Residential mortgage loans, held-for-sale, at fair value
|
5,272,963
|
|
|
5,206,251
|
|
|
—
|
|
|
872,088
|
|
|
4,334,192
|
|
|
5,206,280
|
|
|||||||
|
Residential mortgage loans, held-for-investment, at fair value
|
112,112
|
|
|
113,133
|
|
|
—
|
|
|
—
|
|
|
113,133
|
|
|
113,133
|
|
|||||||
|
Residential mortgage loans subject to repurchase
|
168,532
|
|
|
168,532
|
|
|
—
|
|
|
168,532
|
|
|
—
|
|
|
168,532
|
|
|||||||
|
Consumer loans, held-for-investment
|
878,431
|
|
|
881,183
|
|
|
—
|
|
|
—
|
|
|
903,805
|
|
|
903,805
|
|
|||||||
|
Derivative assets
|
17,619,076
|
|
|
36,712
|
|
|
—
|
|
|
10,498
|
|
|
26,214
|
|
|
36,712
|
|
|||||||
|
Cash and cash equivalents
|
738,219
|
|
|
738,219
|
|
|
738,219
|
|
|
—
|
|
|
—
|
|
|
738,219
|
|
|||||||
|
Restricted cash
|
163,148
|
|
|
163,148
|
|
|
163,148
|
|
|
—
|
|
|
—
|
|
|
163,148
|
|
|||||||
|
Other assets(B)
|
N/A
|
|
|
25,187
|
|
|
10,912
|
|
|
—
|
|
|
14,275
|
|
|
25,187
|
|
|||||||
|
|
|
|
$
|
32,410,895
|
|
|
$
|
912,279
|
|
|
$
|
10,049,184
|
|
|
$
|
21,482,248
|
|
|
$
|
32,443,711
|
|
|||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Repurchase agreements
|
$
|
23,111,366
|
|
|
$
|
23,110,359
|
|
|
$
|
—
|
|
|
$
|
23,111,366
|
|
|
$
|
—
|
|
|
$
|
23,111,366
|
|
|
|
Notes and bonds payable(C)
|
7,413,590
|
|
|
7,405,872
|
|
|
—
|
|
|
—
|
|
|
7,486,297
|
|
|
7,486,297
|
|
|||||||
|
Residential mortgage loan repurchase liability
|
168,532
|
|
|
168,532
|
|
|
—
|
|
|
168,532
|
|
|
—
|
|
|
168,532
|
|
|||||||
|
Derivative liabilities
|
8,151,098
|
|
|
1,842
|
|
|
—
|
|
|
166
|
|
|
1,676
|
|
|
1,842
|
|
|||||||
|
Excess spread financing
|
3,113,756
|
|
|
30,377
|
|
|
—
|
|
|
—
|
|
|
30,377
|
|
|
30,377
|
|
|||||||
|
Contingent consideration
|
N/A
|
|
|
52,761
|
|
|
—
|
|
|
—
|
|
|
52,761
|
|
|
52,761
|
|
|||||||
|
|
|
|
$
|
30,769,743
|
|
|
$
|
—
|
|
|
$
|
23,280,064
|
|
|
$
|
7,571,111
|
|
|
$
|
30,851,175
|
|
|||
|
(A)
|
The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
|
|
(B)
|
Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $74.1 million as of September 30, 2019.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(C)
|
Includes the SAFT 2013-1 mortgage-backed securities and the 2019-RPL1 asset-backed notes issued for which the fair value option for financial instruments was elected and resulted in a fair value of $474.3 million as of September 30, 2019.
|
|
|
Level 3
|
|
|
||||||||||||||||||||||||||||||||||||
|
|
Excess MSRs(A)
|
|
Excess MSRs in Equity Method Investees(A)(B)
|
|
MSRs(A)
|
|
Mortgage Servicing Rights Financing Receivable(A)
|
|
Servicer Advance Investments
|
|
Non-Agency RMBS
|
|
Derivatives(C)
|
|
Residential Mortgage Loans
|
|
|
||||||||||||||||||||||
|
|
Agency
|
|
Non-Agency
|
|
|
|
|
|
Total
|
||||||||||||||||||||||||||||||
|
Balance at December 31, 2018
|
$
|
257,387
|
|
|
$
|
190,473
|
|
|
$
|
147,964
|
|
|
$
|
2,884,100
|
|
|
$
|
1,644,504
|
|
|
$
|
735,846
|
|
|
$
|
8,970,963
|
|
|
$
|
10,628
|
|
|
$
|
2,330,627
|
|
|
$
|
17,172,492
|
|
|
Transfers(D)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Transfers from Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19,726
|
)
|
|
(19,726
|
)
|
||||||||||
|
Transfers to Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
301,174
|
|
|
301,174
|
|
||||||||||
|
Shellpoint Acquisition (Note 1)
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
805
|
|
|
805
|
|
||||||||||
|
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights
|
—
|
|
|
—
|
|
|
—
|
|
|
367,121
|
|
|
(367,121
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||
|
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Included in other-than-temporary impairment on securities(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,942
|
)
|
|
—
|
|
|
—
|
|
|
(21,942
|
)
|
||||||||||
|
Included in change in fair value of investments in excess mortgage servicing rights(E)
|
(946
|
)
|
|
(475
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,421
|
)
|
||||||||||
|
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees(E)
|
—
|
|
|
—
|
|
|
4,087
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,087
|
|
||||||||||
|
Included in servicing revenue, net(F)
|
—
|
|
|
—
|
|
|
—
|
|
|
(629,396
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(629,396
|
)
|
||||||||||
|
Included in change in fair value of investments in mortgage servicing rights financing receivables(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(133,200
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(133,200
|
)
|
||||||||||
|
Included in change in fair value of servicer advance investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,932
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,932
|
|
||||||||||
|
Included in change in fair value of investments in residential mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
82,559
|
|
|
82,559
|
|
||||||||||
|
Included in gain (loss) on settlement of investments, net
|
231
|
|
|
90
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
91,895
|
|
|
—
|
|
|
—
|
|
|
92,216
|
|
||||||||||
|
Included in other income (loss), net(E)
|
1,036
|
|
|
735
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,010
|
|
|
13,910
|
|
|
—
|
|
|
24,691
|
|
||||||||||
|
Gains (losses) included in other comprehensive income(G)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
254,044
|
|
|
—
|
|
|
—
|
|
|
254,044
|
|
||||||||||
|
Interest income
|
4,452
|
|
|
13,751
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,862
|
|
|
243,538
|
|
|
—
|
|
|
—
|
|
|
279,603
|
|
||||||||||
|
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
632,144
|
|
|
735,152
|
|
|
1,255,306
|
|
|
1,164,853
|
|
|
—
|
|
|
7,634,281
|
|
|
11,421,736
|
|
||||||||||
|
Proceeds from sales
|
(4,579
|
)
|
|
(2
|
)
|
|
—
|
|
|
(1,047
|
)
|
|
(15,575
|
)
|
|
|
|
|
(1,662,900
|
)
|
|
—
|
|
|
(6,559,120
|
)
|
|
(8,243,223
|
)
|
||||||||||
|
Proceeds from repayments
|
(36,021
|
)
|
|
(28,068
|
)
|
|
(19,792
|
)
|
|
(11,210
|
)
|
|
(52,499
|
)
|
|
(1,424,399
|
)
|
|
(1,193,617
|
)
|
|
—
|
|
|
(170,668
|
)
|
|
(2,936,274
|
)
|
||||||||||
|
Originations and other
|
—
|
|
|
—
|
|
|
—
|
|
|
190,256
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
847,393
|
|
|
1,037,649
|
|
||||||||||
|
Balance at September 30, 2019
|
$
|
221,560
|
|
|
$
|
176,504
|
|
|
$
|
132,259
|
|
|
$
|
3,431,968
|
|
|
$
|
1,811,261
|
|
|
$
|
600,547
|
|
|
$
|
7,855,844
|
|
|
$
|
24,538
|
|
|
$
|
4,447,325
|
|
|
$
|
18,701,806
|
|
|
(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 Condensed Consolidated Statements of Comprehensive Income.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Level 3
|
|
|
||||||||||||
|
|
|
Excess Spread Financing
|
|
Mortgage-Backed Securities Issued
|
|
Contingent Consideration
|
|
|
||||||||
|
|
|
|
Total
|
|||||||||||||
|
Balance at December 31, 2018
|
|
$
|
39,304
|
|
|
$
|
117,048
|
|
|
$
|
40,842
|
|
|
$
|
197,194
|
|
|
Transfers(A)
|
|
|
|
|
|
|
|
|
||||||||
|
Transfers from Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Transfers to Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Acquisition
|
|
—
|
|
|
—
|
|
|
14,488
|
|
|
14,488
|
|
||||
|
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)
|
|
(9,482
|
)
|
|
—
|
|
|
—
|
|
|
(9,482
|
)
|
||||
|
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 change in fair value of investments in residential mortgage loans
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Included in gain (loss) on settlement of investments, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Included in other income(B)
|
|
—
|
|
|
5,248
|
|
|
7,431
|
|
|
12,679
|
|
||||
|
Gains (losses) included in other comprehensive income, net of tax(D)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Interest income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
||||||||
|
Purchases
|
|
—
|
|
|
378,569
|
|
|
—
|
|
|
378,569
|
|
||||
|
Proceeds from sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Proceeds from repayments
|
|
—
|
|
|
(26,556
|
)
|
|
—
|
|
|
(26,556
|
)
|
||||
|
Other
|
|
555
|
|
|
—
|
|
|
(10,000
|
)
|
|
(9,445
|
)
|
||||
|
Balance at September 30, 2019
|
|
$
|
30,377
|
|
|
$
|
474,309
|
|
|
$
|
52,761
|
|
|
$
|
557,447
|
|
|
(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 Condensed Consolidated Statements of Comprehensive Income.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
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
|
|
9.3
|
%
|
|
1.2
|
%
|
|
23.5
|
%
|
|
21
|
|
|
20
|
|
|
Recaptured Pools
|
|
12.3
|
%
|
|
0.5
|
%
|
|
35.0
|
%
|
|
22
|
|
|
23
|
|
|
|
|
10.0
|
%
|
|
1.0
|
%
|
|
26.3
|
%
|
|
21
|
|
|
21
|
|
|
Non-Agency(G)
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Original Pools
|
|
9.9
|
%
|
|
N/A
|
|
|
17.5
|
%
|
|
15
|
|
|
24
|
|
|
Recaptured Pools
|
|
8.6
|
%
|
|
N/A
|
|
|
20.9
|
%
|
|
24
|
|
|
24
|
|
|
|
|
9.7
|
%
|
|
N/A
|
|
|
17.9
|
%
|
|
16
|
|
|
24
|
|
|
Total/Weighted Average--Excess MSRs Directly Held
|
|
9.9
|
%
|
|
1.0
|
%
|
|
22.6
|
%
|
|
19
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Excess MSRs Held through Equity Method Investees (Note 4)
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Original Pools
|
|
10.0
|
%
|
|
1.5
|
%
|
|
26.7
|
%
|
|
19
|
|
|
19
|
|
|
Recaptured Pools
|
|
11.7
|
%
|
|
0.9
|
%
|
|
32.6
|
%
|
|
24
|
|
|
23
|
|
|
Total/Weighted Average--Excess MSRs Held through Investees
|
|
10.7
|
%
|
|
1.2
|
%
|
|
29.3
|
%
|
|
21
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Total/Weighted Average--Excess MSRs All Pools
|
|
10.2
|
%
|
|
1.1
|
%
|
|
24.8
|
%
|
|
20
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
MSRs
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Mortgage Servicing Rights(H) (I)
|
|
13.7
|
%
|
|
0.7
|
%
|
|
27.1
|
%
|
|
27
|
|
|
22
|
|
|
MSR Financing Receivables
|
|
17.6
|
%
|
|
0.3
|
%
|
|
14.9
|
%
|
|
27
|
|
|
25
|
|
|
Non-Agency
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Mortgage Servicing Rights
|
|
12.4
|
%
|
|
0.2
|
%
|
|
24.6
|
%
|
|
26
|
|
|
26
|
|
|
MSR Financing Receivables
|
|
8.3
|
%
|
|
14.1
|
%
|
|
10.2
|
%
|
|
47
|
|
|
26
|
|
|
Ginnie Mae
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Mortgage Servicing Rights(I)
|
|
14.8
|
%
|
|
3.6
|
%
|
|
29.7
|
%
|
|
32
|
|
|
27
|
|
|
(A)
|
Weighted by fair value of the portfolio.
|
|
(B)
|
Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
|
(C)
|
Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments.
|
|
(D)
|
Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.
|
|
(E)
|
Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $6.46 per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.23 per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.81 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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
(H)
|
For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.
|
|
(I)
|
Includes valuation of the related Excess spread financing (Note 5).
|
|
|
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)
|
|||||
|
September 30, 2019
|
1.4
|
%
|
|
10.6
|
%
|
|
16.1
|
%
|
|
19.6
|
|
bps
|
5.1
|
%
|
|
23.0
|
|
(A)
|
Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
|
(B)
|
Mortgage servicing amount is net of 10.2 bps which represents the amount New Residential paid its servicers as a monthly servicing fee.
|
|
(C)
|
Weighted average maturity of the underlying residential mortgage loans in the pool.
|
|
|
|
|
|
|
|
Fair Value
|
|||||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Multiple Quotes(A)
|
|
Single Quote(B)
|
|
Total
|
|
Level
|
|||||||||||
|
Agency RMBS
|
|
$
|
8,797,199
|
|
|
$
|
8,950,763
|
|
|
$
|
8,998,066
|
|
|
$
|
—
|
|
|
$
|
8,998,066
|
|
|
2
|
|
|
Non-Agency RMBS(C)
|
|
21,845,814
|
|
|
7,175,703
|
|
|
7,853,955
|
|
|
1,889
|
|
|
7,855,844
|
|
|
3
|
|
|||||
|
Total
|
|
$
|
30,643,013
|
|
|
$
|
16,126,466
|
|
|
$
|
16,852,021
|
|
|
$
|
1,889
|
|
|
$
|
16,853,910
|
|
|
|
|
|
(A)
|
New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for non-agency RMBS, there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate(a)
|
|
CDR(b)
|
|
Loss Severity(c)
|
||
|
Non-Agency RMBS
|
|
$
|
5,262,801
|
|
|
1.03% to 27.44%
|
|
0.5% to 23.00%
|
|
0.25% to 7.00%
|
|
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.
|
|
(C)
|
Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Acquired Loans
|
|
$
|
3,916,826
|
|
|
4.20%
|
|
7.4%
|
|
1.6%
|
|
28.5%
|
|
Originated Loans
|
|
417,366
|
|
|
3.0-4.5%
|
|
6.0-16.0%
|
|
0.0-3.5%
|
|
0.0% - 50.0%
|
|
|
Residential Mortgage Loans Held-for-Sale, at Fair Value
|
|
$
|
4,334,192
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Residential Mortgage Loans Held-for-Investment, at Fair Value
|
|
$
|
113,133
|
|
|
3.75%
|
|
8.0%
|
|
0.5%
|
|
20.0%
|
|
|
|
Fair Value
|
|
Loan Funding Probability
|
|
Fair Value of initial servicing rights (bps)
|
||
|
IRLCs
|
|
$
|
24,538
|
|
|
54% to 100%
|
|
0 to 315
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Mortgage-Backed Securities Issued
|
|
$
|
474,309
|
|
|
3.05% - 6.75%
|
|
7% - 15%
|
|
0.1%-3.5%
|
|
10%-25%
|
|
|
|
Fair Value and Carrying Value
|
|
Discount Rate
|
|
Weighted Average Life (Years)(A)
|
|
Prepayment Rate
|
|
CDR(B)
|
|
Loss Severity(C)
|
||||||
|
Performing Loans
|
|
$
|
715,110
|
|
|
4.4
|
%
|
|
4.0
|
|
13.0
|
%
|
|
2.0
|
%
|
|
35.5
|
%
|
|
Non-Performing Loans
|
|
521,435
|
|
|
5.5
|
%
|
|
3.1
|
|
3.0
|
%
|
|
2.9
|
%
|
|
30.0
|
%
|
|
|
Total/Weighted Average
|
|
$
|
1,236,545
|
|
|
4.9
|
%
|
|
3.6
|
|
8.8
|
%
|
|
2.4
|
%
|
|
33.2
|
%
|
|
(A)
|
The weighted average life is based on the expected timing of the receipt of cash flows.
|
|
(B)
|
Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance.
|
|
(C)
|
Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
13.
|
EQUITY AND EARNINGS PER SHARE
|
|
Held by the Manager
|
10,511,167
|
|
|
Issued to the Manager and subsequently assigned to certain of the Manager’s employees
|
2,290,749
|
|
|
Issued to the independent directors
|
7,000
|
|
|
Total
|
12,808,916
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
Recipient
|
Date of
Grant/
Exercise(A)
|
|
Number of Unexercised
Options
|
|
Options
Exercisable as of
September 30, 2019
|
|
Weighted
Average
Exercise
Price(B)
|
|
Intrinsic Value of Exercisable Options as of
September 30, 2019
(millions)
|
||||||
|
Directors
|
Various
|
|
7,000
|
|
|
7,000
|
|
|
$
|
13.61
|
|
|
$
|
—
|
|
|
Manager(C)
|
2017
|
|
1,130,916
|
|
|
—
|
|
|
14.09
|
|
|
1.8
|
|
||
|
Manager(C)
|
2018
|
|
5,320,000
|
|
|
2,416,798
|
|
|
16.61
|
|
|
—
|
|
||
|
Manager(C)
|
2019
|
|
6,351,000
|
|
|
1,152,400
|
|
|
16.43
|
|
|
—
|
|
||
|
Outstanding
|
|
|
12,808,916
|
|
|
3,576,198
|
|
|
|
|
|
||||
|
(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 2018 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
|
|
|
2017
|
|
$14.09
|
|
1,130,916
|
|
|
2018
|
|
$16.48 to $17.73
|
|
1,159,833
|
|
|
Total
|
|
|
|
2,290,749
|
|
|
|
|
Amount
|
|
Weighted Average Exercise Price
|
|||
|
December 31, 2018 outstanding options
|
|
8,498,138
|
|
|
|
||
|
Options granted
|
|
6,352,000
|
|
|
$
|
16.20
|
|
|
Options exercised
|
|
(2,041,222
|
)
|
|
$
|
13.88
|
|
|
Options expired unexercised
|
|
—
|
|
|
|
||
|
September 30, 2019 outstanding options
|
|
12,808,916
|
|
|
See table above
|
||
|
14.
|
COMMITMENTS AND CONTINGENCIES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
15.
|
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||
|
Management fees
|
$
|
7,076
|
|
|
$
|
5,779
|
|
|
Incentive compensation
|
49,265
|
|
|
94,900
|
|
||
|
Expense reimbursements and other
|
3,210
|
|
|
792
|
|
||
|
Total
|
$
|
59,551
|
|
|
$
|
101,471
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Management fees
|
$
|
20,678
|
|
|
$
|
15,464
|
|
|
$
|
58,261
|
|
|
$
|
46,027
|
|
|
Incentive compensation
|
36,307
|
|
|
23,848
|
|
|
49,265
|
|
|
65,169
|
|
||||
|
Expense reimbursements(A)
|
125
|
|
|
125
|
|
|
375
|
|
|
375
|
|
||||
|
Total
|
$
|
57,110
|
|
|
$
|
39,437
|
|
|
$
|
107,901
|
|
|
$
|
111,571
|
|
|
(A)
|
Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income.
|
|
16.
|
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME
|
|
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
Accumulated Other Comprehensive Income Components
|
|
Statement of Income Location
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Gain (loss) on settlement of investments, net
|
|
$
|
(95,003
|
)
|
|
$
|
28,737
|
|
|
$
|
(201,222
|
)
|
|
$
|
66,695
|
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Other-than-temporary impairment on securities
|
|
5,567
|
|
|
3,889
|
|
|
21,942
|
|
|
23,190
|
|
||||
|
Total reclassifications
|
|
|
|
$
|
(89,436
|
)
|
|
$
|
32,626
|
|
|
$
|
(179,280
|
)
|
|
$
|
89,885
|
|
|
17.
|
INCOME TAXES
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Current:
|
|
|
|
|
|
|
|
|
||||||||
|
Federal
|
|
$
|
1,198
|
|
|
$
|
5,691
|
|
|
$
|
785
|
|
|
$
|
6,299
|
|
|
State and Local
|
|
14
|
|
|
(263
|
)
|
|
115
|
|
|
424
|
|
||||
|
Total Current Income Tax Expense (Benefit)
|
|
1,212
|
|
|
5,428
|
|
|
900
|
|
|
6,723
|
|
||||
|
Deferred:
|
|
|
|
|
|
|
|
|
||||||||
|
Federal
|
|
(5,385
|
)
|
|
(1,201
|
)
|
|
14,762
|
|
|
(12,829
|
)
|
||||
|
State and Local
|
|
(1,267
|
)
|
|
(664
|
)
|
|
3,318
|
|
|
149
|
|
||||
|
Total Deferred Income Tax Expense (Benefit)
|
|
(6,652
|
)
|
|
(1,865
|
)
|
|
18,080
|
|
|
(12,680
|
)
|
||||
|
Total Income Tax Expense (Benefit)
|
|
$
|
(5,440
|
)
|
|
$
|
3,563
|
|
|
$
|
18,980
|
|
|
$
|
(5,957
|
)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
September 30, 2019
|
|
(dollars in tables in thousands, except share data)
|
|
18.
|
SUBSEQUENT EVENTS
|
|
|
Outstanding
Face Amount
|
|
Amortized
Cost Basis
|
|
Percentage of Total Amortized Cost Basis
|
|
Carrying
Value
|
|
Weighted
Average
Life (years)(A)
|
|||||||
|
Investments in:
|
|
|
|
|
|
|
|
|
|
|||||||
|
Excess MSRs(B)
|
$
|
128,657,619
|
|
|
$
|
398,488
|
|
|
1.3
|
%
|
|
$
|
530,323
|
|
|
5.7
|
|
MSRs(B)
|
319,927,285
|
|
|
3,364,140
|
|
|
11.2
|
%
|
|
3,431,968
|
|
|
4.8
|
|||
|
MSR Financing Receivables(B) (C)
|
140,523,235
|
|
|
1,500,229
|
|
|
5.0
|
%
|
|
1,811,261
|
|
|
6.2
|
|||
|
Servicer Advance Investments(B) (D)
|
492,480
|
|
|
570,570
|
|
|
1.7
|
%
|
|
600,547
|
|
|
6.3
|
|||
|
Agency RMBS(E)
|
8,797,199
|
|
|
8,950,763
|
|
|
29.9
|
%
|
|
8,998,066
|
|
|
4.6
|
|||
|
Non-Agency RMBS(E)
|
21,845,814
|
|
|
7,175,703
|
|
|
24.1
|
%
|
|
7,855,844
|
|
|
6.3
|
|||
|
Residential Mortgage Loans
|
7,404,432
|
|
|
7,067,812
|
|
|
23.7
|
%
|
|
7,169,905
|
|
|
10.0
|
|||
|
Consumer Loans
|
878,431
|
|
|
884,587
|
|
|
3.1
|
%
|
|
881,183
|
|
|
3.9
|
|||
|
Total/Weighted Average
|
|
|
$
|
29,912,292
|
|
|
100.0
|
%
|
|
$
|
31,279,097
|
|
|
6.4
|
||
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Reconciliation to GAAP total assets:
|
|
|
|
|
|
|
|
|
|
|||||||
|
Cash and restricted cash
|
|
|
|
|
|
|
901,367
|
|
|
|
||||||
|
Servicer advances receivable
|
|
|
|
|
|
|
2,911,798
|
|
|
|
||||||
|
Trades receivable
|
|
|
|
|
|
|
4,487,772
|
|
|
|
||||||
|
Deferred tax asset, net
|
|
|
|
|
|
|
43,372
|
|
|
|
||||||
|
Other assets
|
|
|
|
|
|
|
1,724,519
|
|
|
|
||||||
|
GAAP total assets
|
|
|
|
|
|
|
$
|
41,347,925
|
|
|
|
|||||
|
(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, MSR 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
|
$
|
288.7
|
|
|
27
|
|
bps
|
|
$
|
3,038.7
|
|
|
Non-Agency
|
2.3
|
|
|
26
|
|
|
|
20.3
|
|
||
|
Ginnie Mae
|
28.9
|
|
|
32
|
|
|
|
372.9
|
|
||
|
MSR Financing Receivables
|
|
|
|
|
|
|
|||||
|
Agency
|
61.2
|
|
|
27
|
|
|
|
598.0
|
|
||
|
Non-Agency
|
79.4
|
|
|
47
|
|
|
|
1,213.3
|
|
||
|
Total
|
$
|
460.5
|
|
|
31
|
|
bps
|
|
$
|
5,243.2
|
|
|
|
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
|
$
|
3,038,721
|
|
|
$
|
288,673,487
|
|
|
1,820,794
|
|
|
749
|
|
|
4.3
|
%
|
|
263
|
|
|
66
|
|
|
2.8
|
%
|
|
14.6
|
%
|
|
14.4
|
%
|
|
0.2
|
%
|
|
10.1
|
%
|
|
Non-Agency
|
20,321
|
|
|
2,350,471
|
|
|
5,656
|
|
|
743
|
|
|
4.0
|
%
|
|
308
|
|
|
34
|
|
|
3.8
|
%
|
|
14.1
|
%
|
|
14.1
|
%
|
|
—
|
%
|
|
5.8
|
%
|
||
|
Ginnie Mae
|
372,926
|
|
|
28,903,327
|
|
|
137,168
|
|
|
681
|
|
|
3.8
|
%
|
|
319
|
|
|
36
|
|
|
5.6
|
%
|
|
17.6
|
%
|
|
17.0
|
%
|
|
0.7
|
%
|
|
24.1
|
%
|
||
|
MSR Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Agency
|
597,990
|
|
|
61,162,569
|
|
|
249,339
|
|
|
749
|
|
|
4.4
|
%
|
|
305
|
|
|
26
|
|
|
1.1
|
%
|
|
30.8
|
%
|
|
30.8
|
%
|
|
—
|
%
|
|
1.8
|
%
|
||
|
Non-Agency
|
1,213,271
|
|
|
79,360,666
|
|
|
577,024
|
|
|
645
|
|
|
4.5
|
%
|
|
306
|
|
|
164
|
|
|
16.1
|
%
|
|
9.9
|
%
|
|
8.0
|
%
|
|
1.9
|
%
|
|
0.5
|
%
|
||
|
Total
|
$
|
5,243,229
|
|
|
$
|
460,450,520
|
|
|
2,789,981
|
|
|
727
|
|
|
4.3
|
%
|
|
280
|
|
|
76
|
|
|
5.1
|
%
|
|
16.1
|
%
|
|
15.6
|
%
|
|
0.5
|
%
|
|
8.2
|
%
|
|
|
Collateral Characteristics
|
||||||||||||||||
|
|
Delinquency 30 Days(F)
|
|
Delinquency 60 Days(F)
|
|
Delinquency 90+ Days(F)
|
|
Loans in Foreclosure
|
|
Real Estate Owned
|
|
Loans in Bankruptcy
|
||||||
|
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency
|
1.5
|
%
|
|
0.3
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
Non-Agency
|
0.4
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
Ginnie Mae
|
4.1
|
%
|
|
1.2
|
%
|
|
1.1
|
%
|
|
1.4
|
%
|
|
0.1
|
%
|
|
1.2
|
%
|
|
MSR Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency
|
1.6
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
Non-Agency
|
9.5
|
%
|
|
4.9
|
%
|
|
4.2
|
%
|
|
7.7
|
%
|
|
1.9
|
%
|
|
2.9
|
%
|
|
Total
|
3.1
|
%
|
|
1.1
|
%
|
|
1.1
|
%
|
|
1.6
|
%
|
|
0.3
|
%
|
|
0.8
|
%
|
|
(A)
|
The WA FICO score is based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score 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)
|
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
|
$
|
45.9
|
|
|
29
|
|
bps
|
21
|
|
bps
|
32.5% - 66.7%
|
|
$
|
221.6
|
|
|
Non-Agency(B)
|
47.1
|
|
|
35
|
|
|
15
|
|
|
33.3% - 100.0%
|
|
$
|
176.5
|
|
|
|
Total/Weighted Average
|
$
|
93.0
|
|
|
32
|
|
bps
|
18
|
|
bps
|
|
|
$
|
398.1
|
|
|
(A)
|
The MSR is a weighted average as of September 30, 2019, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
|
|
(B)
|
Serviced by Nationstar and SLS, we also invested in related Servicer Advance Investments, including the basic fee component of the related MSR (Note 6 to our Condensed Consolidated Financial Statements) on $33.4 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
|
$
|
35.6
|
|
|
33
|
|
bps
|
21
|
|
bps
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
$
|
236.8
|
|
|
(A)
|
The MSR is a weighted average as of September 30, 2019, 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
|
$
|
168,463
|
|
|
$
|
33,627,899
|
|
|
242,096
|
|
|
723
|
|
|
4.7
|
%
|
|
247
|
|
|
115
|
|
|
1.9
|
%
|
|
13.2
|
%
|
|
12.7
|
%
|
|
0.6
|
%
|
|
11.6
|
%
|
|
Recaptured Loans
|
53,097
|
|
|
12,272,755
|
|
|
73,762
|
|
|
725
|
|
|
4.4
|
%
|
|
278
|
|
|
42
|
|
|
0.1
|
%
|
|
13.0
|
%
|
|
12.6
|
%
|
|
0.5
|
%
|
|
29.1
|
%
|
||
|
|
$
|
221,560
|
|
|
$
|
45,900,654
|
|
|
315,858
|
|
|
724
|
|
|
4.6
|
%
|
|
256
|
|
|
93
|
|
|
1.5
|
%
|
|
13.2
|
%
|
|
12.6
|
%
|
|
0.6
|
%
|
|
16.2
|
%
|
|
Non-Agency(F)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Original Pools
|
$
|
153,927
|
|
|
$
|
43,127,383
|
|
|
242,478
|
|
|
672
|
|
|
4.8
|
%
|
|
281
|
|
|
162
|
|
|
10.1
|
%
|
|
14.4
|
%
|
|
11.6
|
%
|
|
3.2
|
%
|
|
8.8
|
%
|
|
Recaptured Loans
|
22,577
|
|
|
3,997,153
|
|
|
18,203
|
|
|
739
|
|
|
4.3
|
%
|
|
285
|
|
|
29
|
|
|
0.1
|
%
|
|
13.2
|
%
|
|
13.2
|
%
|
|
—
|
%
|
|
25.5
|
%
|
||
|
|
$
|
176,504
|
|
|
$
|
47,124,536
|
|
|
260,681
|
|
|
678
|
|
|
4.7
|
%
|
|
281
|
|
|
151
|
|
|
8.8
|
%
|
|
14.3
|
%
|
|
11.7
|
%
|
|
2.9
|
%
|
|
10.2
|
%
|
|
Total/Weighted Average(H)
|
$
|
398,064
|
|
|
$
|
93,025,190
|
|
|
576,539
|
|
|
700
|
|
|
4.7
|
%
|
|
269
|
|
|
124
|
|
|
4.7
|
%
|
|
13.8
|
%
|
|
12.2
|
%
|
|
1.8
|
%
|
|
13.2
|
%
|
|
|
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
|
2.9
|
%
|
|
0.9
|
%
|
|
0.6
|
%
|
|
0.6
|
%
|
|
0.2
|
%
|
|
0.2
|
%
|
|
Recaptured Loans
|
1.8
|
%
|
|
0.4
|
%
|
|
0.4
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
|
2.6
|
%
|
|
0.7
|
%
|
|
0.5
|
%
|
|
0.5
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
Non-Agency(F)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Nationstar and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Original Pools
|
10.8
|
%
|
|
3.2
|
%
|
|
2.3
|
%
|
|
5.4
|
%
|
|
1.1
|
%
|
|
2.0
|
%
|
|
Recaptured Loans
|
1.5
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
|
10.0
|
%
|
|
3.0
|
%
|
|
2.1
|
%
|
|
4.9
|
%
|
|
1.0
|
%
|
|
1.8
|
%
|
|
Total/Weighted Average(H)
|
6.5
|
%
|
|
1.9
|
%
|
|
1.4
|
%
|
|
2.8
|
%
|
|
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 Condensed Consolidated Financial Statements) on $33.4 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
|
$
|
148,573
|
|
|
$
|
21,303,865
|
|
|
33.3
|
%
|
|
216,012
|
|
|
703
|
|
|
5.2
|
%
|
|
239
|
|
|
134
|
|
|
1.5
|
%
|
|
14.4
|
%
|
|
13.3
|
%
|
|
1.3
|
%
|
|
16.8
|
%
|
|
Recaptured Loans
|
88,213
|
|
|
14,328,564
|
|
|
33.3
|
%
|
|
102,067
|
|
|
710
|
|
|
4.3
|
%
|
|
272
|
|
|
49
|
|
|
0.1
|
%
|
|
12.7
|
%
|
|
11.8
|
%
|
|
1.0
|
%
|
|
35.6
|
%
|
||
|
Total/Weighted Average(G)
|
$
|
236,786
|
|
|
$
|
35,632,429
|
|
|
|
|
318,079
|
|
|
706
|
|
|
4.9
|
%
|
|
252
|
|
|
101
|
|
|
1.5
|
%
|
|
13.7
|
%
|
|
12.7
|
%
|
|
1.2
|
%
|
|
24.2
|
%
|
|
|
|
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
|
4.2
|
%
|
|
1.3
|
%
|
|
0.7
|
%
|
|
0.9
|
%
|
|
0.3
|
%
|
|
0.3
|
%
|
|
Recaptured Loans
|
2.9
|
%
|
|
0.9
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
Total/Weighted Average(G)
|
3.7
|
%
|
|
1.1
|
%
|
|
0.6
|
%
|
|
0.7
|
%
|
|
0.2
|
%
|
|
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.
|
|
|
September 30, 2019
|
|||||||||||||||||
|
|
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
|
$
|
570,570
|
|
|
$
|
600,547
|
|
|
$
|
33,406,320
|
|
|
$
|
492,480
|
|
|
1.5
|
%
|
|
(A)
|
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
|
|
|
|
|
|
|
|
Nine Months Ended
September 30, 2019 |
|
|
|
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)
|
|
5.1
|
%
|
|
6.3
|
|
$
|
15,932
|
|
|
$
|
449,731
|
|
|
87.3
|
%
|
|
86.1
|
%
|
|
3.8
|
%
|
|
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:
|
|
|
|
September 30, 2019
|
||
|
Principal and interest advances
|
|
$
|
82,999
|
|
|
Escrow advances (taxes and insurance advances)
|
|
185,774
|
|
|
|
Foreclosure advances
|
|
223,707
|
|
|
|
Total
|
|
$
|
492,480
|
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Gain on loans originated and sold(A)
|
|
$
|
24,312
|
|
|
$
|
24,684
|
|
|
$
|
36,413
|
|
|
$
|
24,684
|
|
|
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
|
|
(32,138
|
)
|
|
(2,757
|
)
|
|
(61,879
|
)
|
|
(2,757
|
)
|
||||
|
MSRs retained on transfer of loans(C)
|
|
96,317
|
|
|
17,282
|
|
|
190,666
|
|
|
17,282
|
|
||||
|
Other(D)
|
|
12,050
|
|
|
6,523
|
|
|
28,829
|
|
|
6,523
|
|
||||
|
Gain on sale of originated mortgage loans, net
|
|
$
|
100,541
|
|
|
$
|
45,732
|
|
|
$
|
194,029
|
|
|
$
|
45,732
|
|
|
(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.
|
|
|
|
|
|
|
|
|
|
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
|
|
$
|
8,797,199
|
|
|
$
|
8,950,763
|
|
|
100.0
|
%
|
|
$
|
56,939
|
|
|
$
|
(9,636
|
)
|
|
$
|
8,998,066
|
|
|
39
|
|
|
4.6
|
|
|
0.3
|
%
|
|
$
|
7,300,198
|
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
|
Net Interest Spread(A)
|
||
|
Weighted Average Asset Yield
|
3.06
|
%
|
|
Weighted Average Funding Cost
|
2.31
|
%
|
|
Net Interest Spread
|
0.75
|
%
|
|
(A)
|
The Agency RMBS portfolio consists of 100.0% fixed rate securities (based on amortized cost basis).
|
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value(A)
|
|
Outstanding Repurchase Agreements
|
||||||||||||
|
Non-Agency RMBS
|
|
$
|
21,845,814
|
|
|
$
|
7,175,703
|
|
|
$
|
711,078
|
|
|
$
|
(30,937
|
)
|
|
$
|
7,855,844
|
|
|
$
|
7,142,351
|
|
|
(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-
|
|
365
|
|
|
$
|
1,956,007
|
|
|
$
|
1,487,306
|
|
|
21.1
|
%
|
|
$
|
1,663,069
|
|
|
14.2
|
%
|
|
0.8
|
%
|
|
6.8
|
|
3.4
|
%
|
|
2006
|
|
CC
|
|
133
|
|
|
2,774,332
|
|
|
1,746,860
|
|
|
24.7
|
%
|
|
1,979,226
|
|
|
7.1
|
%
|
|
1.2
|
%
|
|
7.6
|
|
2.3
|
%
|
|||
|
2007
|
|
CCC-
|
|
82
|
|
|
2,224,528
|
|
|
1,348,788
|
|
|
19.1
|
%
|
|
1,520,709
|
|
|
5.2
|
%
|
|
0.9
|
%
|
|
7.1
|
|
2.5
|
%
|
|||
|
2008 and later
|
|
BBB
|
|
363
|
|
|
14,775,002
|
|
|
2,477,759
|
|
|
35.1
|
%
|
|
2,589,370
|
|
|
14.0
|
%
|
|
0.1
|
%
|
|
4.8
|
|
3.5
|
%
|
|||
|
Total/Weighted Average
|
|
B-
|
|
943
|
|
|
$
|
21,729,869
|
|
|
$
|
7,060,713
|
|
|
100.0
|
%
|
|
$
|
7,752,374
|
|
|
10.5
|
%
|
|
0.7
|
%
|
|
6.3
|
|
3.0
|
%
|
|
|
|
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
|
|
14.8
|
|
|
0.07
|
|
|
9.7
|
%
|
|
10.8
|
%
|
|
13.0
|
%
|
|
2006
|
|
13.4
|
|
|
0.12
|
|
|
10.0
|
%
|
|
10.6
|
%
|
|
32.2
|
%
|
|
2007
|
|
12.6
|
|
|
0.22
|
|
|
11.2
|
%
|
|
10.6
|
%
|
|
36.7
|
%
|
|
2008 and later
|
|
8.5
|
|
|
0.79
|
|
|
18.9
|
%
|
|
1.7
|
%
|
|
0.5
|
%
|
|
Total/Weighted Average
|
|
11.8
|
|
|
0.36
|
|
|
13.3
|
%
|
|
7.5
|
%
|
|
17.9
|
%
|
|
(A)
|
Excludes $30.9 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 312 bonds with a carrying value of $1,064.1 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 September 30, 2019.
|
|
(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 September 30, 2019.
|
|
(F)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $225.2 million and $3.5 million, respectively, for which no coupon payment is expected.
|
|
(G)
|
The weighted average loan size of the underlying collateral is $204.0 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
|
4.84
|
%
|
|
Weighted Average Funding Cost
|
3.08
|
%
|
|
Net Interest Spread
|
1.76
|
%
|
|
(A)
|
The Non-Agency RMBS portfolio consists of 68.6% floating rate securities and 31.4% 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)
|
|
$
|
557,762
|
|
|
$
|
524,387
|
|
|
7,695
|
|
|
7.8
|
%
|
|
4.6
|
|
20.2
|
%
|
|
72.3
|
%
|
|
10.2
|
%
|
|
647
|
|
|
Purchased Credit Deteriorated Loans(H)
|
|
124,238
|
|
|
89,270
|
|
|
1,106
|
|
|
7.9
|
%
|
|
3.2
|
|
19.3
|
%
|
|
88.1
|
%
|
|
60.7
|
%
|
|
590
|
|
||
|
Total Residential Mortgage Loans, held-for-investment
|
|
$
|
682,000
|
|
|
$
|
613,657
|
|
|
8,801
|
|
|
7.8
|
%
|
|
4.4
|
|
20.1
|
%
|
|
75.2
|
%
|
|
19.4
|
%
|
|
636
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Reverse Mortgage Loans(E) (F)
|
|
$
|
13,032
|
|
|
$
|
6,450
|
|
|
32
|
|
|
7.8
|
%
|
|
5.3
|
|
10.1
|
%
|
|
151.6
|
%
|
|
65.1
|
%
|
|
N/A
|
|
|
Performing Loans(G) (I)
|
|
709,867
|
|
|
726,935
|
|
|
10,798
|
|
|
4.3
|
%
|
|
4.0
|
|
62.4
|
%
|
|
54.3
|
%
|
|
5.9
|
%
|
|
688
|
|
||
|
Non-Performing Loans(H) (I)
|
|
726,570
|
|
|
616,612
|
|
|
5,562
|
|
|
5.1
|
%
|
|
3.3
|
|
12.0
|
%
|
|
80.7
|
%
|
|
68.7
|
%
|
|
594
|
|
||
|
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,449,469
|
|
|
$
|
1,349,997
|
|
|
16,392
|
|
|
4.8
|
%
|
|
3.6
|
|
36.7
|
%
|
|
68.4
|
%
|
|
37.9
|
%
|
|
641
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Acquired Loans
|
|
$
|
4,024,252
|
|
|
$
|
3,916,826
|
|
|
26,236
|
|
|
4.2
|
%
|
|
7.4
|
|
2.0
|
%
|
|
71.1
|
%
|
|
15.3
|
%
|
|
622
|
|
|
Originated Loans
|
|
1,248,711
|
|
|
1,289,425
|
|
|
4,465
|
|
|
4.0
|
%
|
|
28.6
|
|
4.0
|
%
|
|
77.6
|
%
|
|
29.2
|
%
|
|
672
|
|
||
|
Total Residential Mortgage Loans, held-for-sale, at fair value(K)
|
|
$
|
5,272,963
|
|
|
$
|
5,206,251
|
|
|
30,701
|
|
|
4.1
|
%
|
|
12.5
|
|
2.5
|
%
|
|
72.7
|
%
|
|
18.6
|
%
|
|
634
|
|
|
(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 $0.6 million. Approximately 51% 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 September 30, 2019, we have placed all Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
|
|
(I)
|
Includes $37.8 million and $27.7 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 $112.1 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
|
$
|
878,431
|
|
|
59.6
|
%
|
|
40.4
|
%
|
|
117,312
|
|
|
675
|
|
|
18.3
|
%
|
|
12.0
|
%
|
|
172
|
|
|
3.9
|
|
|
1.7
|
%
|
|
1.0
|
%
|
|
1.8
|
%
|
|
16.4
|
%
|
|
5.0
|
%
|
|
(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)
|
|||||||
|
September 30, 2019(C)
|
$
|
1,226
|
|
|
25.0
|
%
|
|
$
|
1,632
|
|
|
18.7
|
%
|
|
1.0
|
|
—
|
%
|
|
(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 August 31, 2019 as a result of the one month reporting lag.
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Interest income
|
$
|
448,127
|
|
|
$
|
425,524
|
|
|
$
|
22,603
|
|
|
$
|
1,303,041
|
|
|
$
|
1,212,902
|
|
|
$
|
90,139
|
|
|
Interest expense
|
245,902
|
|
|
162,806
|
|
|
83,096
|
|
|
686,738
|
|
|
421,109
|
|
|
265,629
|
|
||||||
|
Net Interest Income
|
202,225
|
|
|
262,718
|
|
|
(60,493
|
)
|
|
616,303
|
|
|
791,793
|
|
|
(175,490
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Impairment
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Other-than-temporary impairment (OTTI) on securities
|
5,567
|
|
|
3,889
|
|
|
1,678
|
|
|
21,942
|
|
|
23,190
|
|
|
(1,248
|
)
|
||||||
|
Valuation and loss provision (reversal) on loans and real estate owned (REO)
|
(10,690
|
)
|
|
5,471
|
|
|
(16,161
|
)
|
|
8,042
|
|
|
28,136
|
|
|
(20,094
|
)
|
||||||
|
|
(5,123
|
)
|
|
9,360
|
|
|
(14,483
|
)
|
|
29,984
|
|
|
51,326
|
|
|
(21,342
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net interest income after impairment
|
207,348
|
|
|
253,358
|
|
|
(46,010
|
)
|
|
586,319
|
|
|
740,467
|
|
|
(154,148
|
)
|
||||||
|
Servicing revenue, net of change in fair value of $(228,405), $(26,741), $(619,914), and $35,118, respectively
|
53,050
|
|
|
175,355
|
|
|
(122,305
|
)
|
|
133,366
|
|
|
538,784
|
|
|
(405,418
|
)
|
||||||
|
Gain on sale of originated mortgage loans, net
|
100,541
|
|
|
45,732
|
|
|
54,809
|
|
|
194,029
|
|
|
45,732
|
|
|
148,297
|
|
||||||
|
Other Income
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Change in fair value of investments in excess mortgage servicing rights
|
2,407
|
|
|
(4,744
|
)
|
|
7,151
|
|
|
(1,421
|
)
|
|
(55,711
|
)
|
|
54,290
|
|
||||||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
4,751
|
|
|
3,396
|
|
|
1,355
|
|
|
4,087
|
|
|
5,624
|
|
|
(1,537
|
)
|
||||||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
(41,410
|
)
|
|
(88,345
|
)
|
|
46,935
|
|
|
(133,200
|
)
|
|
63,628
|
|
|
(196,828
|
)
|
||||||
|
Change in fair value of servicer advance investments
|
6,641
|
|
|
(5,353
|
)
|
|
11,994
|
|
|
15,932
|
|
|
(86,581
|
)
|
|
102,513
|
|
||||||
|
Change in fair value of investments in residential mortgage loans
|
(19,037
|
)
|
|
647
|
|
|
(19,684
|
)
|
|
90,551
|
|
|
647
|
|
|
89,904
|
|
||||||
|
Change in fair value of derivative instruments
|
58,508
|
|
|
24,299
|
|
|
34,209
|
|
|
(1,988
|
)
|
|
27,985
|
|
|
(29,973
|
)
|
||||||
|
Gain (loss) on settlement of investments, net
|
154,752
|
|
|
(11,893
|
)
|
|
166,645
|
|
|
157,013
|
|
|
106,064
|
|
|
50,949
|
|
||||||
|
Earnings from investments in consumer loans, equity method investees
|
(2,547
|
)
|
|
4,555
|
|
|
(7,102
|
)
|
|
(890
|
)
|
|
12,343
|
|
|
(13,233
|
)
|
||||||
|
Other income (loss), net
|
(35,219
|
)
|
|
(5,860
|
)
|
|
(29,359
|
)
|
|
(16,451
|
)
|
|
10,415
|
|
|
(26,866
|
)
|
||||||
|
|
128,846
|
|
|
(83,298
|
)
|
|
212,144
|
|
|
113,633
|
|
|
84,414
|
|
|
29,219
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Operating Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
General and administrative expenses
|
133,513
|
|
|
98,587
|
|
|
34,926
|
|
|
351,359
|
|
|
139,169
|
|
|
212,190
|
|
||||||
|
Management fee to affiliate
|
20,678
|
|
|
15,464
|
|
|
5,214
|
|
|
58,261
|
|
|
46,027
|
|
|
12,234
|
|
||||||
|
Incentive compensation to affiliate
|
36,307
|
|
|
23,848
|
|
|
12,459
|
|
|
49,265
|
|
|
65,169
|
|
|
(15,904
|
)
|
||||||
|
Loan servicing expense
|
7,192
|
|
|
11,060
|
|
|
(3,868
|
)
|
|
26,167
|
|
|
33,609
|
|
|
(7,442
|
)
|
||||||
|
Subservicing expense
|
52,875
|
|
|
43,148
|
|
|
9,727
|
|
|
147,763
|
|
|
135,703
|
|
|
12,060
|
|
||||||
|
|
250,565
|
|
|
192,107
|
|
|
58,458
|
|
|
632,815
|
|
|
419,677
|
|
|
213,138
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Income (Loss) Before Income Taxes
|
239,220
|
|
|
199,040
|
|
|
40,180
|
|
|
394,532
|
|
|
989,720
|
|
|
(595,188
|
)
|
||||||
|
Income tax expense (benefit)
|
(5,440
|
)
|
|
3,563
|
|
|
(9,003
|
)
|
|
18,980
|
|
|
(5,957
|
)
|
|
24,937
|
|
||||||
|
Net Income (Loss)
|
$
|
244,660
|
|
|
$
|
195,477
|
|
|
$
|
49,183
|
|
|
$
|
375,552
|
|
|
$
|
995,677
|
|
|
$
|
(620,125
|
)
|
|
Noncontrolling Interests in Income (Loss) of Consolidated Subsidiaries
|
$
|
14,738
|
|
|
$
|
10,869
|
|
|
$
|
3,869
|
|
|
$
|
31,979
|
|
|
$
|
32,058
|
|
|
$
|
(79
|
)
|
|
Dividends on Preferred Stock
|
$
|
5,338
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
$
|
5,338
|
|
|
$
|
—
|
|
|
$
|
5,338
|
|
|
Net Income (Loss) Attributable to Common Stockholders
|
$
|
224,584
|
|
|
$
|
184,608
|
|
|
$
|
39,976
|
|
|
$
|
338,235
|
|
|
$
|
963,619
|
|
|
$
|
(625,384
|
)
|
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(149,413
|
)
|
|
$
|
38,546
|
|
|
$
|
(187,959
|
)
|
|
$
|
(555,765
|
)
|
|
$
|
209,182
|
|
|
$
|
(764,947
|
)
|
|
Changes in discount rates
|
|
57,896
|
|
|
(6,695
|
)
|
|
64,591
|
|
|
127,314
|
|
|
46,264
|
|
|
81,050
|
|
||||||
|
Changes in other factors
|
|
29,659
|
|
|
12,341
|
|
|
17,318
|
|
|
153,080
|
|
|
(28,829
|
)
|
|
181,909
|
|
||||||
|
Total
|
|
$
|
(61,858
|
)
|
|
$
|
44,192
|
|
|
$
|
(106,050
|
)
|
|
$
|
(275,371
|
)
|
|
$
|
226,617
|
|
|
$
|
(501,988
|
)
|
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(2,566
|
)
|
|
$
|
(9,872
|
)
|
|
$
|
7,306
|
|
|
$
|
(20,268
|
)
|
|
$
|
(15,742
|
)
|
|
$
|
(4,526
|
)
|
|
Changes in discount rates
|
|
4,167
|
|
|
—
|
|
|
4,167
|
|
|
13,446
|
|
|
—
|
|
|
13,446
|
|
||||||
|
Changes in other factors
|
|
806
|
|
|
5,128
|
|
|
(4,322
|
)
|
|
5,401
|
|
|
(39,969
|
)
|
|
45,370
|
|
||||||
|
Total
|
|
$
|
2,407
|
|
|
$
|
(4,744
|
)
|
|
$
|
7,151
|
|
|
$
|
(1,421
|
)
|
|
$
|
(55,711
|
)
|
|
$
|
54,290
|
|
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(432
|
)
|
|
$
|
(2,203
|
)
|
|
$
|
1,771
|
|
|
$
|
(7,897
|
)
|
|
$
|
(3,711
|
)
|
|
$
|
(4,186
|
)
|
|
Changes in discount rates
|
|
768
|
|
|
—
|
|
|
768
|
|
|
3,939
|
|
|
—
|
|
|
3,939
|
|
||||||
|
Changes in other factors
|
|
4,415
|
|
|
5,599
|
|
|
(1,184
|
)
|
|
8,045
|
|
|
9,335
|
|
|
(1,290
|
)
|
||||||
|
Total
|
|
$
|
4,751
|
|
|
$
|
3,396
|
|
|
$
|
1,355
|
|
|
$
|
4,087
|
|
|
$
|
5,624
|
|
|
$
|
(1,537
|
)
|
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(44,152
|
)
|
|
$
|
(4,326
|
)
|
|
$
|
(39,826
|
)
|
|
$
|
(138,727
|
)
|
|
$
|
(18,939
|
)
|
|
$
|
(119,788
|
)
|
|
Changes in discount rates
|
|
60,273
|
|
|
—
|
|
|
60,273
|
|
|
99,674
|
|
|
212,273
|
|
|
(112,599
|
)
|
||||||
|
Changes in other factors
|
|
(6,772
|
)
|
|
(35,003
|
)
|
|
28,231
|
|
|
40,490
|
|
|
24,853
|
|
|
15,637
|
|
||||||
|
Total
|
|
$
|
9,349
|
|
|
$
|
(39,329
|
)
|
|
$
|
48,678
|
|
|
$
|
1,437
|
|
|
$
|
218,187
|
|
|
$
|
(216,750
|
)
|
|
|
|
Three Months Ended
September 30, |
|
Increase (Decrease)
|
|
Nine Months Ended
September 30, |
|
Increase (Decrease)
|
||||||||||||||||
|
|
|
2019
|
|
2018
|
|
Amount
|
|
2019
|
|
2018
|
|
Amount
|
||||||||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(675
|
)
|
|
$
|
820
|
|
|
$
|
(1,495
|
)
|
|
$
|
(2,379
|
)
|
|
$
|
2,357
|
|
|
$
|
(4,736
|
)
|
|
Changes in discount rates
|
|
8,419
|
|
|
(4,173
|
)
|
|
12,592
|
|
|
22,045
|
|
|
(12,829
|
)
|
|
34,874
|
|
||||||
|
Changes in other factors
|
|
(1,103
|
)
|
|
(2,000
|
)
|
|
897
|
|
|
(3,734
|
)
|
|
(76,109
|
)
|
|
72,375
|
|
||||||
|
Total
|
|
$
|
6,641
|
|
|
$
|
(5,353
|
)
|
|
$
|
11,994
|
|
|
$
|
15,932
|
|
|
$
|
(86,581
|
)
|
|
$
|
102,513
|
|
|
•
|
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.
|
|
|
|
September 30, 2019
|
|||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
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)
|
|
$
|
10,733,236
|
|
|
$
|
10,733,236
|
|
|
Oct-19 to May-20
|
|
2.31
|
%
|
|
0.1
|
|
$
|
10,611,553
|
|
|
$
|
10,825,984
|
|
|
$
|
10,886,787
|
|
|
2.4
|
|
Non-Agency RMBS (E)
|
|
7,144,329
|
|
|
7,144,329
|
|
|
Oct-19 to Sep-20
|
|
3.08
|
%
|
|
0.1
|
|
21,021,981
|
|
|
7,113,471
|
|
|
7,786,425
|
|
|
6.3
|
|||||
|
Residential Mortgage Loans(F)
|
|
5,165,150
|
|
|
5,164,159
|
|
|
Oct-19 to May-21
|
|
3.74
|
%
|
|
0.6
|
|
5,960,958
|
|
|
6,025,596
|
|
|
5,805,242
|
|
|
13.9
|
|||||
|
Real Estate Owned(G)(H)
|
|
68,651
|
|
|
68,635
|
|
|
Oct-19 to May-21
|
|
3.85
|
%
|
|
0.4
|
|
N/A
|
|
|
N/A
|
|
|
95,410
|
|
|
N/A
|
|||||
|
Total Repurchase Agreements
|
|
23,111,366
|
|
|
23,110,359
|
|
|
|
|
2.87
|
%
|
|
0.3
|
|
|
|
|
|
|
|
|
||||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Excess MSRs(I)
|
|
269,759
|
|
|
269,759
|
|
|
Feb-20 to Jul-22
|
|
4.95
|
%
|
|
1.9
|
|
103,514,484
|
|
|
315,847
|
|
|
416,899
|
|
|
5.8
|
|||||
|
MSRs(J)
|
|
2,360,182
|
|
|
2,352,961
|
|
|
Mar-20 to Jul-24
|
|
4.23
|
%
|
|
2.0
|
|
452,215,330
|
|
|
4,718,333
|
|
|
5,113,271
|
|
|
5.5
|
|||||
|
Servicer Advances(K)
|
|
2,903,093
|
|
|
2,896,819
|
|
|
Jan-20 to Aug-23
|
|
3.22
|
%
|
|
2.0
|
|
3,316,416
|
|
|
3,482,368
|
|
|
3,512,345
|
|
|
1.6
|
|||||
|
Residential Mortgage Loans(L)
|
|
1,012,342
|
|
|
1,015,360
|
|
|
Apr-20 to Jul-43
|
|
4.09
|
%
|
|
3.7
|
|
1,258,875
|
|
|
1,277,193
|
|
|
1,194,186
|
|
|
8.0
|
|||||
|
Consumer Loans(M)
|
|
868,214
|
|
|
870,973
|
|
|
Dec-21 to May-36
|
|
3.25
|
%
|
|
4.0
|
|
878,317
|
|
|
884,473
|
|
|
881,069
|
|
|
5.6
|
|||||
|
Total Notes and Bonds Payable
|
|
7,413,590
|
|
|
7,405,872
|
|
|
|
|
3.73
|
%
|
|
2.5
|
|
|
|
|
|
|
|
|
||||||||
|
Total/ Weighted Average
|
|
$
|
30,524,956
|
|
|
$
|
30,516,231
|
|
|
|
|
3.08
|
%
|
|
0.8
|
|
|
|
|
|
|
|
|
||||||
|
(A)
|
Net of deferred financing costs.
|
|
(B)
|
All debt obligations with a stated maturity through October 31, 2019 were refinanced, extended or repaid.
|
|
(C)
|
These repurchase agreements had approximately $77.8 million of associated accrued interest payable as of September 30, 2019.
|
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $4.4 billion of related trade and other receivables.
|
|
(E)
|
$6,585.6 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $558.8 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements of $7.5 million on retained servicer advance and consumer loan bonds and of $671.3 million on retained bonds collateralized by Agency MSRs.
|
|
(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 $169.8 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 $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 our residential mortgage loans underlying our interests in MSRs that secure these notes.
|
|
(J)
|
Includes: $940.2 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 $1,419.9 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)
|
$2.6 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.15% to 1.99%. 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 $6.0 million note payable to Nationstar which includes a $1.5 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $109.9 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), (iii) $362.1 million of asset-backed notes held by third parties which bear interest equal to 4.59% (see Note 12 for details), and (iv)
|
|
(M)
|
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $787.9 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036, $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036, and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036. Also includes a $1.2 million face amount note which bears interest equal to 4.00%.
|
|
|
|
|
Nine Months Ended September 30, 2019
|
|||||||||||
|
|
Outstanding
Balance at
September 30, 2019
|
|
Average Daily Amount Outstanding(A)
|
|
Maximum Amount Outstanding
|
|
Weighted Average Daily Interest Rate
|
|||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
|
|||||||
|
Agency RMBS
|
$
|
10,733,236
|
|
|
$
|
7,604,281
|
|
|
$
|
16,181,622
|
|
|
2.53
|
%
|
|
Non-Agency RMBS
|
7,144,329
|
|
|
7,681,276
|
|
|
8,864,155
|
|
|
3.46
|
%
|
|||
|
Residential mortgage loans
|
4,742,824
|
|
|
2,403,677
|
|
|
5,155,161
|
|
|
4.24
|
%
|
|||
|
Real estate owned
|
63,831
|
|
|
65,768
|
|
|
101,153
|
|
|
4.40
|
%
|
|||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|||||||
|
Excess MSRs
|
100,000
|
|
|
71,062
|
|
|
100,000
|
|
|
4.87
|
%
|
|||
|
MSRs
|
940,188
|
|
|
728,119
|
|
|
1,256,040
|
|
|
4.71
|
%
|
|||
|
Servicer advances
|
615,733
|
|
|
357,863
|
|
|
773,968
|
|
|
3.15
|
%
|
|||
|
Residential mortgage loans
|
541,040
|
|
|
361,984
|
|
|
542,321
|
|
|
3.56
|
%
|
|||
|
Total/Weighted Average
|
$
|
24,881,181
|
|
|
$
|
19,274,030
|
|
|
|
|
|
3.26
|
%
|
|
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
|
Average Daily Amount Outstanding(A)
|
||||||||||||||
|
|
Three Months Ended
|
||||||||||||||
|
|
December 31, 2018
|
|
March 31, 2019
|
|
June 30, 2019
|
|
September 30, 2019
|
||||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
|
||||||||
|
Agency RMBS
|
$
|
3,428,226
|
|
|
$
|
5,364,480
|
|
|
$
|
6,846,716
|
|
|
$
|
10,544,720
|
|
|
Non-Agency RMBS
|
7,444,959
|
|
|
7,399,226
|
|
|
7,675,607
|
|
|
7,986,868
|
|
||||
|
Residential mortgage loans
|
1,675,353
|
|
|
2,155,752
|
|
|
2,681,220
|
|
|
3,432,062
|
|
||||
|
Real estate owned
|
68,416
|
|
|
91,025
|
|
|
48,247
|
|
|
58,390
|
|
||||
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
Year
|
|
Nonrecourse(A)
|
|
Recourse(B)
|
|
Total
|
||||||
|
October 1 through December 31, 2019
|
|
$
|
1,978
|
|
|
$
|
18,781,709
|
|
|
$
|
18,783,687
|
|
|
2020
|
|
615,733
|
|
|
5,480,786
|
|
|
6,096,519
|
|
|||
|
2021
|
|
1,088,623
|
|
|
1,034,034
|
|
|
2,122,657
|
|
|||
|
2022
|
|
1,162,067
|
|
|
169,759
|
|
|
1,331,826
|
|
|||
|
2023
|
|
400,000
|
|
|
403,433
|
|
|
803,433
|
|
|||
|
2024 and thereafter
|
|
976,300
|
|
|
410,534
|
|
|
1,386,834
|
|
|||
|
|
|
$
|
4,244,701
|
|
|
$
|
26,280,255
|
|
|
$
|
30,524,956
|
|
|
(A)
|
Includes repurchase agreements and notes and bonds payable of $2.0 million and $4,242.7 million, respectively.
|
|
(B)
|
Includes repurchase agreements and notes and bonds payable of $23,109.4 million and $3,170.9 million, respectively.
|
|
Debt Obligations/ Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing
|
||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
||||||
|
Residential mortgage loans and REO
|
|
$
|
9,112,297
|
|
|
$
|
5,233,801
|
|
|
$
|
3,878,496
|
|
|
Non-Agency RMBS
|
|
650,000
|
|
|
558,756
|
|
|
91,244
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
|
Excess MSRs
|
|
150,000
|
|
|
100,000
|
|
|
50,000
|
|
|||
|
MSRs
|
|
1,375,000
|
|
|
940,188
|
|
|
434,812
|
|
|||
|
Servicer advances(A)
|
|
1,204,660
|
|
|
1,053,127
|
|
|
151,533
|
|
|||
|
Residential Mortgage Loans
|
|
650,000
|
|
|
535,063
|
|
|
114,937
|
|
|||
|
Consumer loans
|
|
150,000
|
|
|
1,228
|
|
|
148,772
|
|
|||
|
|
|
$
|
13,291,957
|
|
|
$
|
8,422,163
|
|
|
$
|
4,869,794
|
|
|
(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 0.02% fee on the unused borrowing capacity.
|
|
Held by the Manager
|
10,511,167
|
|
|
Issued to the Manager and subsequently assigned to certain of the Manager’s employees
|
2,290,749
|
|
|
Issued to the independent directors
|
7,000
|
|
|
Total
|
12,808,916
|
|
|
|
Total Accumulated Other Comprehensive Income
|
||
|
Accumulated other comprehensive income, December 31, 2018
|
$
|
417,023
|
|
|
Net unrealized gain (loss) on securities
|
469,183
|
|
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
(179,280
|
)
|
|
|
Accumulated other comprehensive income, September 30, 2019
|
$
|
706,926
|
|
|
•
|
Derivatives – as described in Note 10 to our Condensed Consolidated Financial Statements, we have altered the composition of our economic hedges during the period.
|
|
•
|
Debt obligations – as described in Note 11 to our Condensed Consolidated Financial Statements, we borrowed additional amounts.
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
Net income (loss) attributable to common stockholders
|
$
|
224,584
|
|
|
$
|
184,608
|
|
|
$
|
338,235
|
|
|
$
|
963,619
|
|
|
Adjustments for Non-Core Earnings:
|
|
|
|
|
|
|
|
||||||||
|
Impairment
|
(5,123
|
)
|
|
9,360
|
|
|
29,984
|
|
|
51,326
|
|
||||
|
Change in fair value of investments in mortgage servicing rights
|
45,541
|
|
|
(3,515
|
)
|
|
272,259
|
|
|
(394,717
|
)
|
||||
|
Change in fair value of servicer advance investments
|
(6,641
|
)
|
|
5,353
|
|
|
(15,932
|
)
|
|
86,581
|
|
||||
|
Change in fair value of investments in residential mortgage loans
|
7,290
|
|
|
(647
|
)
|
|
(102,298
|
)
|
|
(647
|
)
|
||||
|
Change in fair value of derivative instruments
|
(41,910
|
)
|
|
(24,299
|
)
|
|
18,586
|
|
|
(27,985
|
)
|
||||
|
(Gain) loss on settlement of investments, net (Note 2)
|
(135,935
|
)
|
|
11,893
|
|
|
(108,455
|
)
|
|
(106,064
|
)
|
||||
|
Other (income) loss (Note 2)
|
35,271
|
|
|
5,860
|
|
|
16,503
|
|
|
(10,415
|
)
|
||||
|
Other Income and Impairment attributable to non-controlling interests
|
(994
|
)
|
|
(4,633
|
)
|
|
(9,052
|
)
|
|
(17,088
|
)
|
||||
|
Gain (loss) on sale or securitization of originated mortgage loans (Note 2)
|
21,611
|
|
|
2,757
|
|
|
62,399
|
|
|
2,757
|
|
||||
|
Non-capitalized transaction-related expenses (Note 2)
|
8,155
|
|
|
5,274
|
|
|
24,305
|
|
|
18,784
|
|
||||
|
Incentive compensation to affiliate (Note 14)
|
36,307
|
|
|
23,848
|
|
|
49,265
|
|
|
65,169
|
|
||||
|
Preferred stock management fee to affiliate
|
1,055
|
|
|
—
|
|
|
1,055
|
|
|
—
|
|
||||
|
Deferred taxes (Note 17)
|
(6,652
|
)
|
|
(1,865
|
)
|
|
18,080
|
|
|
(12,680
|
)
|
||||
|
Interest income on residential mortgage loans, held-for-sale
|
18,852
|
|
|
5,906
|
|
|
45,041
|
|
|
12,774
|
|
||||
|
Limit on RMBS discount accretion related to called deals
|
(34
|
)
|
|
(2,914
|
)
|
|
(19,590
|
)
|
|
(13,108
|
)
|
||||
|
Adjust consumer loans to level yield
|
1,922
|
|
|
(6,760
|
)
|
|
4,884
|
|
|
(21,915
|
)
|
||||
|
Core earnings of equity method investees:
|
|
|
|
|
|
|
|
||||||||
|
Excess mortgage servicing rights (Note 4)
|
3,987
|
|
|
4,468
|
|
|
6,102
|
|
|
10,514
|
|
||||
|
Core Earnings
|
$
|
207,286
|
|
|
$
|
214,694
|
|
|
$
|
631,371
|
|
|
$
|
606,905
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Net Income Per Diluted Share
|
$
|
0.54
|
|
|
$
|
0.54
|
|
|
$
|
0.83
|
|
|
$
|
2.86
|
|
|
Core Earnings Per Diluted Share
|
$
|
0.50
|
|
|
$
|
0.63
|
|
|
$
|
1.55
|
|
|
$
|
1.80
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Weighted Average Number of Shares of Common Stock Outstanding, Diluted
|
415,588,238
|
|
|
340,868,403
|
|
|
406,671,972
|
|
|
337,078,824
|
|
||||
|
|
|
June 30, 2019
|
|
September 30, 2019
|
|
Interest rate change (bps)
|
|
Estimated Change in Fair Value ($mm)
|
|
Estimated Change in Fair Value ($mm)
|
|
+50bps
|
|
+$6.2mm
|
|
-$36.2mm
|
|
+25bps
|
|
+$4.0mm
|
|
-$14.0mm
|
|
-25bps
|
|
-$5.9mm
|
|
+$5.9mm
|
|
-50bps
|
|
-$13.7mm
|
|
+$3.7mm
|
|
|
|
June 30, 2019
|
|
September 30, 2019
|
|
Mortgage Basis change (bps)
|
|
Estimated Change in Fair Value ($mm)
|
|
Estimated Change in Fair Value ($mm)
|
|
+20bps
|
|
+$79.8mm
|
|
+$39.4mm
|
|
+10bps
|
|
+$39.9mm
|
|
+$19.8mm
|
|
-10bps
|
|
-$40.0mm
|
|
-$20.1mm
|
|
-20bps
|
|
-$80.2mm
|
|
-$40.6mm
|
|
Fair value at September 30, 2019
|
|
$
|
221,560
|
|
|
|
|
|
|
|
||||||
|
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
233,576
|
|
|
$
|
227,967
|
|
|
$
|
215,552
|
|
|
$
|
208,747
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
12,016
|
|
|
$
|
6,407
|
|
|
$
|
(6,008
|
)
|
|
$
|
(12,813
|
)
|
|
%
|
|
5.4
|
%
|
|
2.9
|
%
|
|
(2.7
|
)%
|
|
(5.8
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
233,618
|
|
|
$
|
228,908
|
|
|
$
|
214,816
|
|
|
$
|
211,680
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
12,058
|
|
|
$
|
7,348
|
|
|
$
|
(6,744
|
)
|
|
$
|
(9,880
|
)
|
|
%
|
|
5.4
|
%
|
|
3.3
|
%
|
|
(3.0
|
)%
|
|
(4.5
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
221,913
|
|
|
$
|
221,744
|
|
|
$
|
221,404
|
|
|
$
|
221,235
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
353
|
|
|
$
|
184
|
|
|
$
|
(156
|
)
|
|
$
|
(325
|
)
|
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
(0.1
|
)%
|
|
(0.1
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
214,864
|
|
|
$
|
218,219
|
|
|
$
|
224,929
|
|
|
$
|
228,284
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
(6,696
|
)
|
|
$
|
(3,341
|
)
|
|
$
|
3,369
|
|
|
$
|
6,724
|
|
|
%
|
|
(3.0
|
)%
|
|
(1.5
|
)%
|
|
1.5
|
%
|
|
3.0
|
%
|
||||
|
Fair value at September 30, 2019
|
|
$
|
3,636,711
|
|
|
|
|
|
|
|
||||||
|
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,819,885
|
|
|
$
|
3,733,227
|
|
|
$
|
3,545,124
|
|
|
$
|
3,443,678
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
183,174
|
|
|
$
|
96,516
|
|
|
$
|
(91,587
|
)
|
|
$
|
(193,033
|
)
|
|
%
|
|
5.0
|
%
|
|
2.7
|
%
|
|
(2.5
|
)%
|
|
(5.3
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,864,772
|
|
|
$
|
3,743,884
|
|
|
$
|
3,539,852
|
|
|
$
|
3,452,425
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
228,061
|
|
|
$
|
107,173
|
|
|
$
|
(96,859
|
)
|
|
$
|
(184,286
|
)
|
|
%
|
|
6.3
|
%
|
|
2.9
|
%
|
|
(2.7
|
)%
|
|
(5.1
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,650,369
|
|
|
$
|
3,643,454
|
|
|
$
|
3,629,626
|
|
|
$
|
3,622,717
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
13,658
|
|
|
$
|
6,743
|
|
|
$
|
(7,085
|
)
|
|
$
|
(13,994
|
)
|
|
%
|
|
0.4
|
%
|
|
0.2
|
%
|
|
(0.2
|
)%
|
|
(0.4
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,511,603
|
|
|
$
|
3,574,071
|
|
|
$
|
3,699,008
|
|
|
$
|
3,761,477
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
(125,108
|
)
|
|
$
|
(62,640
|
)
|
|
$
|
62,297
|
|
|
$
|
124,766
|
|
|
%
|
|
(3.4
|
)%
|
|
(1.7
|
)%
|
|
1.7
|
%
|
|
3.4
|
%
|
||||
|
•
|
rates of prepayment and repayment of the underlying loans;
|
|
•
|
potential fluctuations in prevailing interest rates and credit spreads;
|
|
•
|
rates of delinquencies and defaults, and related loss severities;
|
|
•
|
costs of engaging a subservicer to service MSRs;
|
|
•
|
market discount rates;
|
|
•
|
in the case of MSRs and Excess MSRs, recapture rates; and
|
|
•
|
in the case of Servicer Advance Investments and servicer advances receivable, the amount and timing of servicer advances and recoveries.
|
|
•
|
payments on the servicer advances and the deferred servicing fees depend on the source of repayment, and whether and when the related servicer receives such payment (certain servicer advances are reimbursable only out of late payments and other collections and recoveries on the related 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);
|
|
•
|
the length of time necessary to obtain liquidation proceeds may be affected by conditions in the real estate market or the financial markets generally, the availability of financing for the acquisition of the real estate and other factors, including, but not limited to, government intervention;
|
|
•
|
the length of time necessary to effect a foreclosure may be affected by variations in the laws of the particular jurisdiction in which the related mortgaged property is located, including whether or not foreclosure requires judicial action;
|
|
•
|
the requirements for judicial actions for foreclosure (which can result in substantial delays in reimbursement of servicer advances and payment of deferred servicing fees), which vary from time to time as a result of changes in applicable state law; and
|
|
•
|
the ability of the related servicer to sell delinquent 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.
|
|
•
|
its failure to comply with applicable laws and regulations;
|
|
•
|
its failure to comply with contractual and financing obligations and covenants;
|
|
•
|
a downgrade in, or failure to maintain, any of its servicer ratings;
|
|
•
|
its failure to maintain sufficient liquidity or access to sources of liquidity;
|
|
•
|
its failure to perform its loss mitigation obligations;
|
|
•
|
its failure to perform adequately in its external audits;
|
|
•
|
a failure in or poor performance of its operational systems or infrastructure;
|
|
•
|
regulatory or legal scrutiny or regulatory actions regarding any aspect of a servicer’s operations, including, but not limited to, servicing practices and foreclosure processes lengthening foreclosure timelines;
|
|
•
|
an Agency’s or a whole-loan owner’s transfer of servicing to another party; or
|
|
•
|
any other reason.
|
|
•
|
By regulatory actions taken against our Servicing Partners;
|
|
•
|
By a default by one of our Servicing Partners under their debt agreements;
|
|
•
|
By downgrades in our Servicing Partners’ servicer ratings;
|
|
•
|
If our Servicing Partners fail to ensure their servicer advances comply with the terms of their Pooling and Servicing Agreements (“PSAs”);
|
|
•
|
If our Servicing Partners were terminated as servicer under certain PSAs;
|
|
•
|
If our Servicing Partners become subject to a bankruptcy proceeding; or
|
|
•
|
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.
|
|
•
|
Was made to or for the benefit of a creditor;
|
|
•
|
Was for or on account of an antecedent debt owed by such servicer before that transfer was made;
|
|
•
|
Was made while such servicer was insolvent (a company is presumed to have been insolvent on and during the 90 days preceding the date the company’s bankruptcy petition was filed);
|
|
•
|
Was made on or within 90 days (or if we are determined to be a statutory insider, on or within one year) before such servicer’s bankruptcy filing;
|
|
•
|
Permitted us to receive more than we would have received in a Chapter 7 liquidation case of such servicer under U.S. bankruptcy laws; and
|
|
•
|
Was a payment as to which none of the statutory defenses to a preference action apply.
|
|
•
|
risks related to compliance with applicable laws, regulations and other requirements;
|
|
•
|
significant increases in delinquencies for the loans;
|
|
•
|
compliance with the terms of related servicing agreements;
|
|
•
|
financing related servicer advances and the origination business;
|
|
•
|
expenses related to servicing high risk loans;
|
|
•
|
unrecovered or delayed recovery of servicing advances;
|
|
•
|
a general risk in foreclosure rates, which may ultimately reduce the number of mortgages that we service (also see-“The residential mortgage loans underlying the securities we invest in and the loans we directly invest in are subject to delinquency, foreclosure and loss, which could result in losses to us.”);
|
|
•
|
maintaining the size of the related servicing portfolio and the volume of the origination business;
|
|
•
|
compliance with FHA underwriting guidelines; and
|
|
•
|
termination of government mortgage refinancing programs.
|
|
•
|
the loss or suspension of licenses and approvals necessary to operate our or our subsidiaries’ business;
|
|
•
|
limitations, restrictions or complete bans on our or our subsidiaries’ business or various segments of our business;
|
|
•
|
our or our subsidiaries’ disqualification from participation in governmental programs, including GSE, Ginnie Mae, and VA programs;
|
|
•
|
breaches of covenants and representations under our servicing, debt, or other agreements;
|
|
•
|
negative publicity and damage to our reputation;
|
|
•
|
governmental investigations and enforcement actions;
|
|
•
|
administrative fines and financial penalties;
|
|
•
|
litigation, including class action lawsuits;
|
|
•
|
civil and criminal liability;
|
|
•
|
termination of our servicing and subservicing agreements or other contracts;
|
|
•
|
demands for us to repurchase loans;
|
|
•
|
loss of personnel who are targeted by prosecutions, investigations, enforcement actions or litigation;
|
|
•
|
a significant increase in compliance costs;
|
|
•
|
a significant increase in the resources we and our subsidiaries devote to regulatory compliance and regulatory inquiries;
|
|
•
|
an inability to access new, or a default under or other loss of current, liquidity and funding sources necessary to operate our business;
|
|
•
|
restrictions on our or our subsidiaries’ business activities;
|
|
•
|
impairment of assets; and
|
|
•
|
an inability to execute on our business strategy.
|
|
•
|
adversely affect our ability to maintain our status as an approved servicer by Fannie Mae and Freddie Mac;
|
|
•
|
adversely affect our ability to finance servicing advances and certain other assets;
|
|
•
|
lead to the early termination of existing advance facilities and affect the terms and availability of advance facilities that we may seek in the future;
|
|
•
|
cause our termination as servicer in our servicing agreements that require that we maintain specified servicer ratings; and
|
|
•
|
further impair our ability to consummate future servicing transactions.
|
|
•
|
interest rates and credit spreads;
|
|
•
|
the availability of credit, including the price, terms and conditions under which it can be obtained;
|
|
•
|
the quality, pricing and availability of suitable investments;
|
|
•
|
the ability to obtain accurate market-based valuations;
|
|
•
|
the ability of securities dealers to make markets in relevant securities and loans;
|
|
•
|
loan values relative to the value of the underlying real estate assets;
|
|
•
|
default rates on the loans underlying our investments and the amount of the related losses, and credit losses with respect to our investments;
|
|
•
|
prepayment and repayment rates, delinquency rates and legislative/regulatory changes with respect to our investments, and the timing and amount of servicer advances;
|
|
•
|
the availability and cost of quality Servicing Partners, and advance, recovery and recapture rates;
|
|
•
|
competition;
|
|
•
|
the actual and perceived state of the real estate markets, bond markets, market for dividend-paying stocks and public capital markets generally;
|
|
•
|
unemployment rates; and
|
|
•
|
the attractiveness of other types of investments relative to investments in real estate or REITs generally.
|
|
•
|
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 (see-“GSE initiatives and other actions, including changes to the minimum servicing amount for GSE loans, could occur at any time and could impact us in significantly negative ways that we are unable to predict or protect against” and -“The federal conservatorship of Fannie Mae and Freddie Mac and related efforts, along with any changes in laws and regulations affecting the relationship between these agencies and the U.S. government, may adversely affect our business”); and
|
|
•
|
federal and state legislation in securitizations, such as the risk retention requirements under the Dodd-Frank Act, could result in higher costs of certain lending operations and impose on us additional compliance requirements to meet servicing and originations criteria for securitized mortgage loans.
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the integration of the portfolio into our subservicer’s information technology platforms and servicing systems;
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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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the disruption to our ongoing businesses and distraction of our management teams from ongoing business concerns;
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incomplete or inaccurate files and records;
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the retention of existing customers;
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the creation of uniform standards, controls, procedures, policies and information systems;
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the occurrence of unanticipated expenses; and
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potential unknown liabilities associated with the transactions, including legal liability related to origination and servicing prior to the acquisition.
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We have limited experience acquiring MSRs and operating a servicer. Although ownership of MSRs and the operation of a servicer includes many of the same risks as our other target assets and business activities, including risks related to prepayments, borrower credit, defaults, interest rates, hedging, and regulatory changes, there can be no assurance that we will be able to successfully operate a servicer subsidiary and integrate MSR investments into our business operations.
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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.
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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.
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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.
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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.
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Investments in MSRs are highly illiquid and subject to numerous restrictions on transfer and, as a result, there is risk that we would be unable to locate a willing buyer or get approval to sell any MSRs in the future should we desire to do so.
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part of the income and gain recognized by certain qualified employee pension trusts with respect to our stock may be treated as unrelated business taxable income if shares of our stock are predominantly held by qualified employee pension trusts, and we are required to rely on a special look-through rule for purposes of meeting one of the REIT ownership tests, and we are not operated in a manner to avoid treatment of such income or gain as unrelated business taxable income;
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part of the income and gain recognized by a tax-exempt investor with respect to our stock would constitute unrelated business taxable income if the investor incurs debt in order to acquire the stock; and
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to the extent that we are (or a part of us, or a disregarded subsidiary of ours, is) a “taxable mortgage pool,” or if we hold residual interests in a real estate mortgage investment conduit (“REMIC”), a portion of the distributions paid to a tax exempt stockholder that is allocable to excess inclusion income may be treated as unrelated business taxable income.
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a shift in our investor base;
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our quarterly or annual earnings and cash flows, or those of other comparable companies;
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actual or anticipated fluctuations in our operating results;
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changes in accounting standards, policies, guidance, interpretations or principles;
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announcements by us or our competitors of significant investments, acquisitions or dispositions;
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the failure of securities analysts to cover our common stock;
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changes in earnings estimates by securities analysts or our ability to meet those estimates;
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market performance of affiliates and other counterparties with whom we conduct business;
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the operating and stock price performance of other comparable companies;
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our failure to qualify as a REIT, maintain our exemption under the 1940 Act or satisfy the NYSE listing requirements;
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negative public perception of us, our competitors or industry;
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overall market fluctuations; and
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general economic conditions.
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a classified board of directors with staggered three-year terms;
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provisions regarding the election of directors, classes of directors, the term of office of directors, the filling of director vacancies and the resignation and removal of directors for cause only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
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provisions regarding corporate opportunity only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
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removal of directors only for cause and only with the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote in the election of directors;
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our board of directors to determine the powers, preferences and rights of our preferred stock and to issue such preferred stock without stockholder approval;
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advance notice requirements applicable to stockholders for director nominations and actions to be taken at annual meetings;
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a prohibition, in our certificate of incorporation, stating that no holder of shares of our common stock will have cumulative voting rights in the election of directors, which means that the holders of a majority of the issued and outstanding shares of common stock can elect all the directors standing for election; and
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a requirement in our bylaws specifically denying the ability of our stockholders to consent in writing to take any action in lieu of taking such action at a duly called annual or special meeting of our stockholders.
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Exhibit Number
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Exhibit Description
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2.1†
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Separation and Distribution Agreement, dated 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)
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2.2†
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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)
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2.3†
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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)
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2.4†
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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)
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2.5†
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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)
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2.6†
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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)
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2.7†
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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)
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2.8†
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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)
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2.9†
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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)
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Asset Purchase Agreement among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company, dated June 17, 2019 (incorporated by reference to Exhibit 2.10 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2019)
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Amendment No. 1 to the Asset Purchase Agreement, dated as of July 9, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 2 to the Asset Purchase Agreement, dated as of August 30, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 3 to the Asset Purchase Agreement, dated as of September 4, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 4 to the Asset Purchase Agreement, dated as of September 5, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 5 to the Asset Purchase Agreement, dated as of September 6, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Exhibit Number
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Exhibit Description
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Amendment No. 6 to the Asset Purchase Agreement, dated as of September 9, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 7 to the Asset Purchase Agreement, dated as of September 17, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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Amendment No. 8 to the Asset Purchase Agreement, dated as of September 30, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company
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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)
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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)
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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)
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Certificate of Designations of New Residential Investment Corp., designating the Company’s 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (incorporated by reference to Exhibit 3.4 to New Residential Investment Corp.’s Form 8-A, filed July 2, 2019)
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Certificate of Designations of New Residential Investment Corp., designating the Company’s 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (incorporated by reference to Exhibit 3.5 to New Residential Investment Corp.’s Form 8-A, filed August 15, 2019)
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Specimen Series A Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-A filed July 2, 2019)
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Specimen Series B Preferred Stock Certificate of New Residential Investment Corp. (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-A, filed August 15, 2019)
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Second Amended and Restated Indenture, dated as of September 7, 2018, 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, New Penn Financial, LLC, d/b/a Shellpoint Mortgage Servicing 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 September 7, 2018)
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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)
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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)
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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)
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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)
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Exhibit Number
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Exhibit Description
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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)
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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 7, 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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Omnibus Amendment to Certain Agreements Relating to the NRZ Advance Receivables Trust 2015-ON1, dated as of September 7, 2018, 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, New Penn Financial, LLC, d/b/a Shellpoint Mortgage Servicing 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 September 7, 2018)
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Amendment No. 1 to Series 2018-VF1 Indenture Supplement, dated as of September 7, 2018, 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, New Penn Financial, LLC, d/b/a Shellpoint Mortgage Servicing, JPMorgan Chase Bank, N.A. 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 September 7, 2018)
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Amendment No. 2 to Series 2018-VF1 Indenture Supplement, dated as of September 28, 2018, 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, New Penn Financial, LLC, d/b/a Shellpoint Mortgage Servicing, JPMorgan Chase Bank, N.A. and New Residential Investment Corp. (incorporated by reference to Exhibit 4.11 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q, filed May 2, 2019)
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Amendment No. 3 to Series 2018-VF1 Indenture Supplement, dated as of March 11, 2019, 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, NewRez LLC d/b/a Shellpoint Mortgage Servicing, 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 15, 2019)
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Third Amended and Restated Indenture, dated as of July 25, 2019, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, PHH Mortgage Corporation, HLSS Holdings, LLC, New Residential Mortgage LLC, NewRez LLC, d/b/a Shellpoint Mortgage Servicing and Credit Suisse AG, New York Branch (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-K, filed July 26, 2019)
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Series 2019-T1 Indenture Supplement, dated as of July 25, 2019, to the Third Amended and Restated Indenture, dated as of July 25, 2019, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, PHH Mortgage Corporation, HLSS Holdings, LLC, New Residential Mortgage LLC, NewRez LLC d/b/a Shellpoint Mortgage Servicing, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.2 to New Residential Investment Corp.’s Form 8-K, filed July 26, 2019)
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Series 2019-T2 Indenture Supplement, dated as of August 15, 2019, to the Third Amended and Restated Indenture, dated as of July 25, 2019, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, PHH Mortgage Corporation, HLSS Holdings, LLC, New Residential Mortgage LLC, NewRez LLC d/b/a Shellpoint Mortgage Servicing, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-K, filed August 16, 2019)
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Series 2019-T3 Indenture Supplement, dated as of September 20, 2019, to the Third Amended and Restated Indenture, dated as of July 25, 2019, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, PHH Mortgage Corporation, HLSS Holdings, LLC, New Residential Mortgage LLC, NewRez LLC d/b/a Shellpoint Mortgage Servicing, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-K, filed September 20, 2019)
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Exhibit Number
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Exhibit Description
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Series 2019-T4 Indenture Supplement, dated as of October 15, 2019, to the Third Amended and Restated Indenture, dated as of July 25, 2019, by and among NRZ Advance Receivables Trust 2015-ON1, Deutsche Bank National Trust Company, PHH Mortgage Corporation, HLSS Holdings, LLC, New Residential Mortgage LLC, NewRez LLC d/b/a Shellpoint Mortgage Servicing, Credit Suisse AG, New York Branch and New Residential Investment Corp. (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Form 8-K, filed October 18, 2019)
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Form of Debt Securities Indenture (including Form of Debt Security) (incorporated by reference to Exhibit 4.1 to New Residential Investment Corp.’s Registration Statement on Form S-3, filed May 16, 2014)
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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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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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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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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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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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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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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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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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Exhibit Number
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Exhibit Description
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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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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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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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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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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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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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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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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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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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Exhibit Number
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Exhibit Description
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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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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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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)
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Receivables Pooling Agreement, dated as of August 28, 2015, by and between NRZ Advance Facility Transferor 2015-ON1 LLC and NRZ Advance Receivables Trust 2015-ON1 (incorporated by reference to Exhibit 10.48 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015)
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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)
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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)
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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)
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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)
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Amendment No. 1 to Subservicing Agreement, dated as of August 17, 2018, by and between New Residential Mortgage LLC and Ocwen Loan Servicing, LLC (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, 2018)
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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)
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Exhibit Number
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Exhibit Description
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||
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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Certification of Chief Executive Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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Certification of Chief Financial Officer as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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||
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101
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The following financial information from the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2019, formatted in iXBRL (Inline Extensible Business Reporting Language): (i) Condensed Consolidated Balance Sheets; (ii) Condensed Consolidated Statements of Comprehensive Income; (iii) Condensed Consolidated Statements of Changes in Stockholders’ Equity; (iv) Condensed Consolidated Statements of Cash Flows; and (v) Notes to Condensed Consolidated Financial Statements
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104
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Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
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#
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Portions of this exhibit have been omitted pursuant to a request for confidential treatment.
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*
|
Portions of this exhibit have been omitted.
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•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle America, LLC, dated as of March 31, 2016.
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•
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle Credit, LLC, dated as of March 31, 2016.
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•
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Second Amended and Restated Limited Liability Company Agreement of SpringCastle Finance, LLC, dated as of March 31, 2016.
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|
NEW RESIDENTIAL INVESTMENT CORP.
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By:
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/s/ Michael Nierenberg
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Michael Nierenberg
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Chief Executive Officer and President
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(Principal Executive Officer)
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October 28, 2019
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By:
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/s/ Nicola Santoro, Jr.
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Nicola Santoro, Jr.
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Chief Financial Officer and Treasurer
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(Principal Financial Officer)
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October 28, 2019
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By:
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/s/ David Schneider
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David Schneider
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Chief Accounting Officer
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(Principal Accounting Officer)
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October 28, 2019
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1.
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Independent Accounting Firm. The first sentence in Section 2.14(a) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
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2.
|
No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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3.
|
Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and
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4.
|
Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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5.
|
Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
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1.
|
Termination of Agreement. The proviso at the end of Section 8.1(c)(vi) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
2.
|
Bankruptcy Milestone. Section 5.4(f)(ii) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
3.
|
No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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4.
|
Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions, subject to applicable bankruptcy, insolvency, moratorium, or other similar Laws relating to creditors’ rights and general principles of equity.
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5.
|
Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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6.
|
Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
|
|
1.
|
Termination of Agreement. The proviso at the end of Section 8.1(c)(vi) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
2.
|
Bankruptcy Milestone. Section 5.4(f)(ii) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
3.
|
No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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4.
|
Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions, subject to applicable bankruptcy, insolvency, moratorium, or other similar Laws relating to creditors’ rights and general principles of equity.
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5.
|
Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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6.
|
Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
|
|
1.
|
Termination of Agreement. The proviso at the end of Section 8.1(c)(vi) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
2.
|
Bankruptcy Milestone. Section 5.4(f)(ii) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
3.
|
No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
|
|
4.
|
Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions, subject to applicable bankruptcy, insolvency, moratorium, or other similar Laws relating to creditors’ rights and general principles of equity.
|
|
5.
|
Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
|
|
6.
|
Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
|
|
1.
|
Termination of Agreement. The proviso at the end of Section 8.1(c)(vi) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
2.
|
Bankruptcy Milestone. Section 5.4(f)(ii) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
|
|
3.
|
No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
|
|
4.
|
Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions, subject to applicable bankruptcy, insolvency, moratorium, or other similar Laws relating to creditors’ rights and general principles of equity.
|
|
5.
|
Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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6.
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Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
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1.
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Termination of Agreement. The proviso at the end of Section 8.1(c)(vi) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
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2.
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Bankruptcy Milestone. Section 5.4(f)(ii) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
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3.
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No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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4.
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Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions, subject to applicable bankruptcy, insolvency, moratorium, or other similar Laws relating to creditors’ rights and general principles of equity.
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5.
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Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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6.
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Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
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1.
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Initial Statements. The references in Section 2.10(a), Section 2.11(a) and Section 2.12(a) of the Purchase Agreement to “twenty-one (21) days” are hereby deleted and replaced with “thirty (30) days”, in each case.
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2.
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Review Periods. The references in Section 2.10(b), Section 2.11(b) and Section 2.12(b) of the Purchase Agreement to “fourteen (14) day period” are hereby deleted and replaced with “thirty (30) day period”, in each case.
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3.
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No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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4.
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Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to
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5.
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Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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6.
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Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
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1.
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Accrued Bonuses. Section 6.3(h) of the Purchase Agreement is hereby deleted in its entirety and replaced with the following:
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2.
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No Other Modifications. Except as expressly set forth herein, the Purchase Agreement shall remain unchanged and in full force and effect. This Amendment and the Purchase Agreement shall be read together as one agreement, and all references to “this Agreement” in the Purchase Agreement shall be deemed to refer to the Purchase Agreement as modified and amended by this Amendment other than references to the “date of this Agreement” or similar references which shall continue to refer to June 17, 2019.
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3.
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Representations and Warranties. Each of the Buyer and each Seller hereby represents and warrants to the other party that (a) such party has all necessary power and authority to execute and deliver this Amendment, (b) the execution and delivery of this Amendment have been duly authorized and approved, (c) no other entity or governing body action on the part of such party is necessary to authorize the execution and delivery by such party of this Amendment; and (d) this Amendment has been duly executed and delivered by such party and, assuming due authorization, execution and delivery of this Amendment by the other parties hereto, constitutes a legal, valid and binding obligation of such party, enforceable against such party in accordance with its terms and conditions,
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4.
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Counterparts. This Amendment may be executed in two or more counterparts, each of which shall be deemed to be an original and all of which shall be deemed to constitute the same Amendment. This Amendment may be executed by facsimile or .pdf signature and a facsimile or .pdf signature shall constitute an original for all purposes.
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5.
|
Miscellaneous. Section 1.2 (Interpretation), Section 10.4 (Amendments and Waivers), Section 10.7 (Governing Law), Section 10.8 (Submission to Jurisdiction; Service of Process) and 10.9 (Waiver of Jury Trial) of the Purchase Agreement are hereby incorporated into this Amendment mutatis mutandis.
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1.
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I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
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a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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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):
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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
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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.
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October 28, 2019
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/s/ Michael Nierenberg
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Michael Nierenberg
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Chief Executive Officer
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1.
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I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
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2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
|
4.
|
The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
|
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of 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.
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|
October 28, 2019
|
/s/ Nicola Santoro, Jr.
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|
|
Nicola Santoro, Jr.
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|
|
Chief Financial Officer
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|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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|
(1)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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October 28, 2019
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/s/ Michael Nierenberg
|
|
|
Michael Nierenberg
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|
|
Chief Executive Officer
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|
(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.
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October 28, 2019
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/s/ Nicola Santoro, Jr.
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|
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Nicola Santoro, Jr.
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|
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Chief Financial Officer
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