|
New Residential Investment Corp.
|
|
(Exact name of registrant as specified in its charter)
|
|
Delaware
|
|
45-3449660
|
||
|
(State or other jurisdiction of incorporation or organization)
|
|
(I.R.S. Employer Identification No.)
|
||
|
1345 Avenue of the Americas
|
New York
|
NY
|
|
10105
|
|
(Address of principal executive offices)
|
|
(Zip Code)
|
||
|
(212)
|
798-3150
|
|
(Registrant’s telephone number, including area code)
|
|
|
Title of each class:
|
|
Name of each exchange on which registered:
|
|
Common Stock, $0.01 par value per share
|
NRZ
|
New York Stock Exchange
|
|
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
|
|
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
|
NRZ PR C
|
New York Stock Exchange
|
|
Large accelerated filer
|
☒
|
Accelerated filer
|
☐
|
Non-accelerated filer
|
☐
|
|
Smaller reporting company
|
☐
|
Emerging growth company
|
☐
|
|
|
|
•
|
the uncertainty and economic impact of the ongoing coronavirus (“COVID-19”) pandemic and of responsive measures implemented by various governmental authorities, businesses and other third parties;
|
|
•
|
changes in general economic conditions, in our industry and in the commercial finance and real estate markets, including the impact on the value of our assets;
|
|
•
|
changes to our business and investment strategy;
|
|
•
|
our ability to obtain and maintain financing arrangements on terms favorable to us or at all, particularly in light of the current disruption in the financial markets;
|
|
•
|
how COVID-19 may affect us, our operations and personnel;
|
|
•
|
the forbearance program included in the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”) and related funding for servicing advances, the sources, adequacy and availability of financing to fund advances;
|
|
•
|
reductions in the value of, or cash flows received from, our investments;
|
|
•
|
the quality and size of the investment pipeline and our ability to take advantage of investment opportunities at attractive risk-adjusted prices;
|
|
•
|
the relationship between yields on assets which are paid off and yields on assets in which such monies can be reinvested;
|
|
•
|
our ability to deploy capital accretively and the timing of such deployment;
|
|
•
|
our counterparty concentration and default risks in Nationstar Mortgage LLC (d/b/a Mr. Cooper, “Mr. Cooper”), LoanCare, LLC (“LoanCare”), OneMain Holdings, Inc. (“OneMain”), PHH Mortgage Corporation (“PHH”) and other third parties;
|
|
•
|
events, conditions or actions that might occur at Mr. Cooper, LoanCare, OneMain, PHH and other third parties, as well as the continued effect of prior events;
|
|
•
|
a lack of liquidity surrounding our investments, which could impede our ability to vary our portfolio in an appropriate manner;
|
|
•
|
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 mortgage servicing rights (“Excess MSRs”), servicer advance investments, residential mortgage-backed securities (“RMBS”), residential mortgage loans and consumer loan portfolios;
|
|
•
|
the risks related to our origination and servicing operations;
|
|
•
|
the risks that default and recovery rates on our MSRs, Excess MSRs, servicer advance investments, servicer advance receivables, RMBS, residential mortgage loans and consumer loans deteriorate compared to our underwriting estimates;
|
|
•
|
changes in prepayment rates on the loans underlying certain of our assets, including, but not limited to, our MSRs or Excess MSRs;
|
|
•
|
the risk that projected recapture rates on the loan pools underlying our MSRs or Excess MSRs are not achieved;
|
|
•
|
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;
|
|
•
|
impairments in the value of the collateral underlying our investments and the relation of any such impairments to our judgments as to whether changes in the market value of our securities or loans are temporary or not and whether circumstances bearing on the value of such assets warrant changes in carrying values;
|
|
•
|
the relative spreads between the yield on the assets in which we invest and the cost of financing;
|
|
•
|
adverse changes in the financing markets we access affecting our ability to finance our investments on attractive terms, or at all;
|
|
•
|
changing risk assessments by lenders that potentially lead to increased margin calls, not extending our repurchase agreements or other financings in accordance with their current terms or not entering into new financings with us;
|
|
•
|
changes in interest rates and/or credit spreads, as well as the success of any hedging strategy we may undertake in relation to such changes;
|
|
•
|
the availability and terms of capital for future investments;
|
|
•
|
changes in economic conditions generally and the real estate and bond markets specifically;
|
|
•
|
competition within the finance and real estate industries;
|
|
•
|
the legislative/regulatory environment, including, but not limited to, the impact of the Dodd-Frank Act, U.S. government programs intended to 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;
|
|
•
|
the risk that the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and collectively with Fannie Mae, the Government Sponsored Enterprises (“GSEs”) or other regulatory initiatives or actions may adversely affect returns from investments in MSRs and Excess MSRs;
|
|
•
|
our ability to maintain our qualification as a real estate investment trust (“REIT”) for U.S. federal income tax purposes and the potentially onerous consequences that any failure to maintain such qualification would have on our business;
|
|
•
|
our ability to maintain our exclusion from registration under the Investment Company Act of 1940 (the “1940 Act”) and the fact that maintaining such exclusion imposes limits on our operations;
|
|
•
|
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;
|
|
•
|
may apply standards of materiality in a way that is different from what may be viewed as material to you or other investors; and
|
|
•
|
were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments.
|
|
|
PAGE
|
|
Part I. Financial Information
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Part II. Other Information
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NEW RESIDENTIAL INVESTMENT CORP. AND SUBSIDIARIES
|
|
CONDENSED CONSOLIDATED BALANCE SHEETS
|
|
(dollars in thousands, except per share data)
|
|
|
March 31, 2020
(Unaudited)
|
|
December 31, 2019
|
||||
|
Assets
|
|
|
|
||||
|
Investments in:
|
|
|
|
||||
|
Excess mortgage servicing rights (“MSRs”), at fair value
|
$
|
363,932
|
|
|
$
|
379,747
|
|
|
Excess mortgage servicing rights, equity method investees, at fair value
|
119,609
|
|
|
125,596
|
|
||
|
Mortgage servicing rights, at fair value
|
3,934,384
|
|
|
3,967,960
|
|
||
|
Mortgage servicing rights financing receivables, at fair value
|
1,604,431
|
|
|
1,718,273
|
|
||
|
Servicer advance investments, at fair value(A)
|
515,574
|
|
|
581,777
|
|
||
|
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020)
|
2,479,603
|
|
|
19,477,728
|
|
||
|
Residential mortgage loans, held-for-investment(A) (includes $824,183 and $484,443 at fair value at March 31, 2020 and December 31, 2019, respectively)
|
824,183
|
|
|
925,706
|
|
||
|
Residential mortgage loans, held-for-sale
|
1,264,533
|
|
|
1,429,052
|
|
||
|
Residential mortgage loans, held-for-sale, at fair value
|
3,283,973
|
|
|
4,613,612
|
|
||
|
Consumer loans, held-for-investment(A) ($780,821 and $0 held at fair value at March 31, 2020 and December 31, 2019, respectively)
|
780,821
|
|
|
827,545
|
|
||
|
Cash and cash equivalents(A)
|
360,453
|
|
|
528,737
|
|
||
|
Restricted cash
|
147,435
|
|
|
162,197
|
|
||
|
Servicer advances receivable
|
3,072,863
|
|
|
3,301,374
|
|
||
|
Trades receivable
|
3,293,976
|
|
|
5,256,014
|
|
||
|
Deferred tax asset, net
|
176,238
|
|
|
8,669
|
|
||
|
Other assets (includes $197,715 and $172,336 in residential mortgage loan subject to repurchase at March 31, 2020 and December 31,2019, respectively)
|
1,971,467
|
|
|
1,559,467
|
|
||
|
|
$
|
24,193,475
|
|
|
$
|
44,863,454
|
|
|
Liabilities and Equity
|
|
|
|
||||
|
Liabilities
|
|
|
|
||||
|
Repurchase agreements
|
$
|
10,814,130
|
|
|
$
|
27,916,225
|
|
|
Notes and bonds payable (includes $272,292 and $659,738 at fair value at March 31, 2020 and December 31, 2019, respectively)(A)
|
7,014,579
|
|
|
7,720,148
|
|
||
|
Trades payable
|
20,913
|
|
|
902,081
|
|
||
|
Due to affiliates
|
17,216
|
|
|
103,882
|
|
||
|
Dividends payable
|
28,033
|
|
|
211,732
|
|
||
|
Accrued expenses and other liabilities(A) (includes $197,715 and $172,336 in residential mortgage loans repurchase liabilities at March 31, 2020 and December 31,2019, respectively)
|
968,140
|
|
|
773,126
|
|
||
|
|
18,863,011
|
|
|
37,627,194
|
|
||
|
Commitments and Contingencies
|
|
|
|
|
|
||
|
Equity
|
|
|
|
||||
|
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
|
|
|
|
||||
|
7.50% Series A Preferred Stock, $0.01 par value, 11,500,000 shares authorized, 6,210,000 and 6,210,000 issued and outstanding at March 31, 2020 and December 31, 2019, respectively
|
150,026
|
|
|
150,026
|
|
||
|
7.125% Series B Preferred Stock, $0.01 par value, 11,500,000 shares authorized, 11,300,000 and 11,300,000 issued and outstanding at March 31, 2020 and December 31, 2019, respectively
|
273,418
|
|
|
273,418
|
|
||
|
6.375% Series C Preferred Stock, $0.01 par value, 16,100,000 shares authorized, 16,100,000 and 0 issued and outstanding at March 31, 2020 and December 31, 2019, respectively
|
389,548
|
|
|
—
|
|
||
|
Common Stock, $0.01 par value, 2,000,000,000 shares authorized, 415,649,214 and 415,520,780 issued and outstanding at March 31, 2020 and December 31, 2019, respectively
|
4,157
|
|
|
4,156
|
|
||
|
Additional paid-in capital
|
5,500,308
|
|
|
5,498,226
|
|
||
|
Retained earnings (accumulated deficit)
|
(1,059,706
|
)
|
|
549,733
|
|
||
|
Accumulated other comprehensive income (loss)
|
6,135
|
|
|
682,151
|
|
||
|
Total New Residential stockholders’ equity
|
5,263,886
|
|
|
7,157,710
|
|
||
|
Noncontrolling interests in equity of consolidated subsidiaries
|
66,578
|
|
|
78,550
|
|
||
|
Total Equity
|
5,330,464
|
|
|
7,236,260
|
|
||
|
|
$
|
24,193,475
|
|
|
$
|
44,863,454
|
|
|
(A)
|
See Note 13 regarding consolidated VIEs.
|
|
CONDENSED CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)
|
|
(dollars in thousands, except per share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Interest income
|
|
$
|
402,373
|
|
|
$
|
438,867
|
|
|
Interest expense
|
|
216,855
|
|
|
212,832
|
|
||
|
Net Interest Income
|
|
185,518
|
|
|
226,035
|
|
||
|
|
|
|
|
|
||||
|
Impairment
|
|
|
|
|
||||
|
Provision (reversal) for credit losses on securities
|
|
44,149
|
|
|
7,516
|
|
||
|
Valuation and credit loss provision (reversal) on loans and real estate owned (“REO”)
|
|
100,496
|
|
|
5,280
|
|
||
|
|
|
144,645
|
|
|
12,796
|
|
||
|
|
|
|
|
|
||||
|
Net interest income after impairment
|
|
40,873
|
|
|
213,239
|
|
||
|
Servicing revenue, net of change in fair value of $(649,375) and $(56,910), respectively
|
|
(289,115
|
)
|
|
165,853
|
|
||
|
Gain on originated mortgage loans, held-for-sale, net
|
|
179,698
|
|
|
67,170
|
|
||
|
Other Income
|
|
|
|
|
||||
|
Change in fair value of investments in excess mortgage servicing rights
|
|
(11,024
|
)
|
|
4,627
|
|
||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
|
(457
|
)
|
|
2,612
|
|
||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
|
(104,111
|
)
|
|
(36,379
|
)
|
||
|
Change in fair value of servicer advance investments
|
|
(18,749
|
)
|
|
7,903
|
|
||
|
Change in fair value of investments in real estate and other securities
|
|
(86,792
|
)
|
|
6,679
|
|
||
|
Change in fair value of investments in residential mortgage loans
|
|
(265,244
|
)
|
|
9,214
|
|
||
|
Change in fair value of derivative instruments
|
|
(39,982
|
)
|
|
(25,760
|
)
|
||
|
Gain (loss) on settlement of investments, net
|
|
(799,572
|
)
|
|
(43,168
|
)
|
||
|
Earnings from investments in consumer loans, equity method investees
|
|
—
|
|
|
4,311
|
|
||
|
Other income (loss), net
|
|
(76,730
|
)
|
|
5,995
|
|
||
|
|
|
(1,402,661
|
)
|
|
(63,966
|
)
|
||
|
Operating Expenses
|
|
|
|
|
||||
|
General and administrative expenses
|
|
206,363
|
|
|
98,940
|
|
||
|
Management fee to affiliate
|
|
21,721
|
|
|
17,960
|
|
||
|
Incentive compensation to affiliate
|
|
—
|
|
|
12,958
|
|
||
|
Loan servicing expense
|
|
7,853
|
|
|
9,603
|
|
||
|
Subservicing expense
|
|
66,981
|
|
|
40,926
|
|
||
|
|
|
302,918
|
|
|
180,387
|
|
||
|
|
|
|
|
|
||||
|
Income (Loss) Before Income Taxes
|
|
(1,774,123
|
)
|
|
201,909
|
|
||
|
Income tax expense (benefit)
|
|
(166,868
|
)
|
|
45,997
|
|
||
|
Net Income (Loss)
|
|
$
|
(1,607,255
|
)
|
|
$
|
155,912
|
|
|
Noncontrolling Interests in Income of Consolidated Subsidiaries
|
|
$
|
(16,162
|
)
|
|
$
|
10,318
|
|
|
Dividends on Preferred Stock
|
|
$
|
11,222
|
|
|
$
|
—
|
|
|
Net Income (Loss) Attributable to Common Stockholders
|
|
$
|
(1,602,315
|
)
|
|
$
|
145,594
|
|
|
Net Income (Loss) Per Share of Common Stock
|
|
|
|
|
||||
|
Basic
|
|
$
|
(3.86
|
)
|
|
$
|
0.37
|
|
|
Diluted
|
|
$
|
(3.86
|
)
|
|
$
|
0.37
|
|
|
Weighted Average Number of Shares of Common Stock Outstanding
|
|
|
|
|
||||
|
Basic
|
|
415,589,155
|
|
|
388,279,931
|
|
||
|
Diluted
|
|
415,589,155
|
|
|
388,601,075
|
|
||
|
|
|
|
|
|
||||
|
Dividends Declared per Share of Common Stock
|
|
$
|
0.05
|
|
|
$
|
0.50
|
|
|
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)
|
|
(dollars in thousands)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Comprehensive income (loss), net of tax
|
|
|
|
|
||||
|
Net (loss) income
|
|
$
|
(1,607,255
|
)
|
|
$
|
155,912
|
|
|
Other comprehensive income (loss)
|
|
|
|
|
||||
|
Net unrealized gain (loss) on securities
|
|
34,375
|
|
|
192,353
|
|
||
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
(710,391
|
)
|
|
(57,680
|
)
|
||
|
|
|
(676,016
|
)
|
|
134,673
|
|
||
|
Total comprehensive income (loss)
|
|
$
|
(2,283,271
|
)
|
|
$
|
290,585
|
|
|
Comprehensive income (loss) attributable to noncontrolling interests
|
|
$
|
(16,162
|
)
|
|
$
|
10,318
|
|
|
Dividends on preferred stock
|
|
$
|
11,222
|
|
|
$
|
—
|
|
|
Comprehensive income (loss) attributable to common stockholders
|
|
$
|
(2,278,331
|
)
|
|
$
|
280,267
|
|
|
(dollars in thousands, except per share data)
|
|
|
Preferred Stock
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
Additional Paid-in Capital
|
|
Retained Earnings (Accumulated Deficit)
|
|
Accumulated Other Comprehensive Income
|
|
Total New Residential Stockholders’ Equity
|
|
Noncontrolling
Interests in Equity of Consolidated Subsidiaries
|
|
Total Equity
|
|||||||||||||||||||
|
Balance at December 31, 2019
|
17,510,000
|
|
|
$
|
423,444
|
|
|
415,520,780
|
|
|
$
|
4,156
|
|
|
$
|
5,498,226
|
|
|
$
|
549,733
|
|
|
$
|
682,151
|
|
|
$
|
7,157,710
|
|
|
$
|
78,550
|
|
|
$
|
7,236,260
|
|
|
|
Cumulative adjustment for the adoption of ASU 2016-13 (See Note 1)
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
13,658
|
|
|
—
|
|
|
13,658
|
|
|
16,795
|
|
|
30,453
|
|
|||||||||
|
Dividends declared on common stock, $0.05 per share
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|
(20,782
|
)
|
|
—
|
|
|
(20,782
|
)
|
|
—
|
|
|
(20,782
|
)
|
||||||||
|
Dividends declared on preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
|
(11,222
|
)
|
|
—
|
|
|
(11,222
|
)
|
|
—
|
|
|
(11,222
|
)
|
||||||||
|
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(12,605
|
)
|
|
(12,605
|
)
|
|||||||||
|
Issuance of common stock
|
—
|
|
|
—
|
|
|
97,394
|
|
|
1
|
|
|
1,582
|
|
|
—
|
|
|
—
|
|
|
1,583
|
|
|
—
|
|
|
1,583
|
|
|||||||||
|
Issuance of preferred stock
|
16,100,000
|
|
|
389,548
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
389,548
|
|
|
—
|
|
|
389,548
|
|
|||||||||
|
Director share grants
|
—
|
|
|
—
|
|
|
31,040
|
|
|
—
|
|
|
500
|
|
|
—
|
|
|
—
|
|
|
500
|
|
|
—
|
|
|
500
|
|
|||||||||
|
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,591,093
|
)
|
|
—
|
|
|
(1,591,093
|
)
|
|
(16,162
|
)
|
|
(1,607,255
|
)
|
|||||||||
|
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
34,375
|
|
|
34,375
|
|
|
—
|
|
|
34,375
|
|
|||||||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(710,391
|
)
|
|
(710,391
|
)
|
|
—
|
|
|
(710,391
|
)
|
|||||||||
|
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,267,109
|
)
|
|
(16,162
|
)
|
|
(2,283,271
|
)
|
||||||||||||||||
|
Balance at March 31, 2020
|
33,610,000
|
|
|
$
|
812,992
|
|
|
415,649,214
|
|
|
$
|
4,157
|
|
|
$
|
5,500,308
|
|
|
$
|
(1,059,706
|
)
|
|
$
|
6,135
|
|
|
$
|
5,263,886
|
|
|
$
|
66,578
|
|
|
$
|
5,330,464
|
|
|
|
(dollars in thousands, per share data)
|
|
|
Preferred Stock
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
|
Shares
|
|
Amount
|
|
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
|
||||||||||||||||||
|
Balance at 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, $0.50 per share
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(207,715
|
)
|
|
—
|
|
|
(207,715
|
)
|
|
—
|
|
|
(207,715
|
)
|
||||||||
|
Capital contributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Capital distributions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,015
|
)
|
|
(11,015
|
)
|
||||||||
|
Issuance of common stock
|
—
|
|
|
—
|
|
|
46,000,000
|
|
|
460
|
|
|
751,199
|
|
|
—
|
|
|
—
|
|
|
751,659
|
|
|
—
|
|
|
751,659
|
|
||||||||
|
Issuance of preferred stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Option exercise
|
—
|
|
|
—
|
|
|
297,096
|
|
|
3
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Purchase of noncontrolling interests in the Buyer
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Other dilution
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
|
Director share grants
|
—
|
|
|
—
|
|
|
28,152
|
|
|
—
|
|
|
400
|
|
|
—
|
|
|
—
|
|
|
400
|
|
|
—
|
|
|
400
|
|
||||||||
|
Comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Net income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
145,594
|
|
|
—
|
|
|
145,594
|
|
|
10,318
|
|
|
155,912
|
|
||||||||
|
Net unrealized gain (loss) on securities
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
192,353
|
|
|
192,353
|
|
|
—
|
|
|
192,353
|
|
||||||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(57,680
|
)
|
|
(57,680
|
)
|
|
—
|
|
|
(57,680
|
)
|
||||||||
|
Total comprehensive income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
280,267
|
|
|
10,318
|
|
|
290,585
|
|
|||||||||||||||
|
Balance at March 31, 2019
|
—
|
|
|
$
|
—
|
|
|
415,429,677
|
|
|
$
|
4,155
|
|
|
$
|
5,497,838
|
|
|
$
|
768,592
|
|
|
$
|
551,696
|
|
|
$
|
6,822,281
|
|
|
$
|
89,928
|
|
|
$
|
6,912,209
|
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
|
|
(dollars in thousands)
|
|
|
Three Months Ended
March 31, |
||||||
|
|
2020
|
|
2019
|
||||
|
Cash Flows From Operating Activities
|
|
|
|
||||
|
Net income
|
$
|
(1,607,255
|
)
|
|
$
|
155,912
|
|
|
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
|
11,024
|
|
|
(4,627
|
)
|
||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
457
|
|
|
(2,612
|
)
|
||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
104,111
|
|
|
36,379
|
|
||
|
Change in fair value of servicer advance investments
|
18,749
|
|
|
(7,903
|
)
|
||
|
Change in fair value of residential mortgage loans, at fair value, and notes and bonds payable, at fair value
|
248,202
|
|
|
(8,077
|
)
|
||
|
Change in fair value of investments in real estate and other securities
|
86,792
|
|
|
(6,679
|
)
|
||
|
(Gain) loss on settlement of investments, net
|
799,572
|
|
|
43,168
|
|
||
|
(Gain) loss on sale of originated mortgage loans, net
|
(179,698
|
)
|
|
(67,171
|
)
|
||
|
Earnings from investments in consumer loans, equity method investees
|
—
|
|
|
(4,311
|
)
|
||
|
Change in fair value of derivative instruments
|
39,982
|
|
|
25,760
|
|
||
|
Changes in fair value of contingent consideration
|
1,614
|
|
|
2,045
|
|
||
|
Unrealized (gain) loss on consumer loans held-for-investment, at fair value
|
39,917
|
|
|
—
|
|
||
|
(Gain) loss on transfer of loans to REO
|
(2,595
|
)
|
|
(4,984
|
)
|
||
|
(Gain) loss on transfer of loans to other assets
|
241
|
|
|
521
|
|
||
|
(Gain) loss on Excess MSR recapture agreements
|
(628
|
)
|
|
(307
|
)
|
||
|
(Gain) loss on Ocwen common stock
|
5,050
|
|
|
(2,786
|
)
|
||
|
Accretion and other amortization
|
(41,104
|
)
|
|
(152,894
|
)
|
||
|
Provision for credit losses on securities
|
44,149
|
|
|
7,516
|
|
||
|
Valuation and credit loss provision on loans and real estate owned
|
100,496
|
|
|
5,280
|
|
||
|
Non-cash portions of servicing revenue, net
|
649,375
|
|
|
56,910
|
|
||
|
Non-cash directors’ compensation
|
500
|
|
|
400
|
|
||
|
Deferred tax provision
|
(166,917
|
)
|
|
46,331
|
|
||
|
Changes in:
|
|
|
|
||||
|
Servicer advances receivable
|
235,685
|
|
|
241,531
|
|
||
|
Other assets
|
21,602
|
|
|
(148,797
|
)
|
||
|
Due to affiliates
|
(86,666
|
)
|
|
(73,586
|
)
|
||
|
Accrued expenses and other liabilities
|
189,283
|
|
|
(6,728
|
)
|
||
|
Other operating cash flows:
|
|
|
|
||||
|
Interest received from excess mortgage servicing rights
|
13,575
|
|
|
5,327
|
|
||
|
Interest received from servicer advance investments
|
5,203
|
|
|
7,361
|
|
||
|
Interest received from Non-Agency RMBS
|
66,479
|
|
|
69,838
|
|
||
|
Interest received from residential mortgage loans, held-for-investment
|
—
|
|
|
12,226
|
|
||
|
Interest received from consumer loans, held-for-investment
|
6,013
|
|
|
8,329
|
|
||
|
Distributions of earnings from excess mortgage servicing rights, equity method investees
|
387
|
|
|
2,807
|
|
||
|
Distributions of earnings from consumer loan equity method investees
|
—
|
|
|
552
|
|
||
|
Purchases of residential mortgage loans, held-for-sale
|
(988,183
|
)
|
|
(1,328,148
|
)
|
||
|
Origination of residential mortgage loans, held-for-sale
|
(11,456,291
|
)
|
|
(2,010,029
|
)
|
||
|
Proceeds from sales of purchased and originated residential mortgage loans, held-for-sale
|
13,045,107
|
|
|
2,727,071
|
|
||
|
Principal repayments from purchased residential mortgage loans, held-for-sale
|
107,188
|
|
|
73,982
|
|
||
|
Net cash provided by (used in) operating activities
|
1,311,416
|
|
|
(300,393
|
)
|
||
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
|
(dollars in thousands)
|
|
|
Three Months Ended
March 31, |
||||
|
|
2020
|
|
2019
|
||
|
Cash Flows From Investing Activities
|
|
|
|
||
|
Purchase of servicer advance investments
|
(330,140
|
)
|
|
(483,772
|
)
|
|
Purchase of MSRs, MSR financing receivables and servicer advances receivable
|
(417,861
|
)
|
|
(272,696
|
)
|
|
Purchase of Agency RMBS
|
(5,263,722
|
)
|
|
(6,971,839
|
)
|
|
Purchase of Non-Agency RMBS
|
(56,520
|
)
|
|
(249,520
|
)
|
|
Purchase of real estate owned and other assets
|
(6,438
|
)
|
|
(9,823
|
)
|
|
Purchase of investment in consumer loans, equity method investees
|
—
|
|
|
(23,442
|
)
|
|
Draws on revolving consumer loans
|
(11,002
|
)
|
|
(15,241
|
)
|
|
Payments for settlement of derivatives
|
(60,554
|
)
|
|
(48,769
|
)
|
|
Return of investments in excess mortgage servicing rights
|
4,934
|
|
|
16,445
|
|
|
Return of investments in excess mortgage servicing rights, equity method investees
|
5,143
|
|
|
4,569
|
|
|
Return of investments in consumer loans, equity method investees
|
—
|
|
|
13,967
|
|
|
Principal repayments from servicer advance investments
|
354,302
|
|
|
529,616
|
|
|
Principal repayments from Agency RMBS
|
740,043
|
|
|
74,037
|
|
|
Principal repayments from Non-Agency RMBS
|
260,221
|
|
|
330,185
|
|
|
Principal repayments from residential mortgage loans
|
31,272
|
|
|
27,970
|
|
|
Proceeds from sale of residential mortgage loans
|
387
|
|
|
34,494
|
|
|
Principal repayments from consumer loans
|
55,201
|
|
|
68,948
|
|
|
Proceeds from MSRs and MSR financing receivables
|
22,217
|
|
|
—
|
|
|
Proceeds from sale of mortgage servicing rights
|
8,504
|
|
|
—
|
|
|
Proceeds from sale of mortgage servicing rights financing receivables
|
3,708
|
|
|
6,913
|
|
|
Proceeds from sale of excess mortgage servicing rights
|
117
|
|
|
—
|
|
|
Proceeds from sale of Agency RMBS
|
20,191,706
|
|
|
3,911,838
|
|
|
Proceeds from sale of Non-Agency RMBS
|
1,069,493
|
|
|
228,000
|
|
|
Proceeds from settlement of derivatives
|
23,899
|
|
|
36,362
|
|
|
Proceeds from sale of real estate owned
|
35,914
|
|
|
38,825
|
|
|
Net cash provided by (used in) investing activities
|
16,660,824
|
|
|
(2,752,933
|
)
|
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED), CONTINUED
|
|
(dollars in thousands)
|
|
|
Three Months Ended
March 31, |
||||||
|
|
2020
|
|
2019
|
||||
|
Cash Flows From Financing Activities
|
|
|
|
||||
|
Repayments of repurchase agreements
|
(93,283,204
|
)
|
|
(40,803,763
|
)
|
||
|
Margin deposits under repurchase agreements and derivatives
|
(2,674,807
|
)
|
|
(841,807
|
)
|
||
|
Repayments of notes and bonds payable
|
(2,167,435
|
)
|
|
(2,210,352
|
)
|
||
|
Deferred financing fees
|
—
|
|
|
(115
|
)
|
||
|
Common stock dividends paid
|
(207,760
|
)
|
|
(184,552
|
)
|
||
|
Preferred Stock Dividend paid
|
(7,943
|
)
|
|
—
|
|
||
|
Borrowings under repurchase agreements
|
76,181,064
|
|
|
43,688,820
|
|
||
|
Return of margin deposits under repurchase agreements and derivatives
|
2,147,596
|
|
|
701,370
|
|
||
|
Borrowings under notes and bonds payable
|
1,478,677
|
|
|
2,057,042
|
|
||
|
Issuance of preferred stock
|
389,548
|
|
|
—
|
|
||
|
Issuance of common stock
|
1,655
|
|
|
752,112
|
|
||
|
Costs related to issuance of common stock
|
(72
|
)
|
|
(453
|
)
|
||
|
Noncontrolling interests in equity of consolidated subsidiaries - distributions
|
(12,605
|
)
|
|
(11,015
|
)
|
||
|
Payment of contingent consideration
|
—
|
|
|
—
|
|
||
|
Net cash provided by (used in) financing activities
|
(18,155,286
|
)
|
|
3,147,287
|
|
||
|
|
|
|
|
||||
|
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash
|
(183,046
|
)
|
|
93,961
|
|
||
|
|
|
|
|
||||
|
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period
|
690,934
|
|
|
415,078
|
|
||
|
|
|
|
|
||||
|
Cash, Cash Equivalents, and Restricted Cash, End of Period
|
$
|
507,888
|
|
|
$
|
509,039
|
|
|
|
|
|
|
||||
|
Supplemental Disclosure of Cash Flow Information
|
|
|
|
||||
|
Cash paid during the period for interest
|
$
|
198,437
|
|
|
$
|
194,241
|
|
|
Cash paid during the period for income taxes
|
84
|
|
|
79
|
|
||
|
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
|
|
|
||||
|
Common dividends declared but not paid
|
$
|
20,782
|
|
|
$
|
207,715
|
|
|
Preferred dividends declared but not paid
|
7,250
|
|
|
—
|
|
||
|
Purchase of investments, primarily Agency RMBS, settled after quarter-end
|
20,913
|
|
|
206,638
|
|
||
|
Sale of investments, primarily Non-Agency RMBS, settled after quarter-end
|
3,293,976
|
|
|
7,049,723
|
|
||
|
Transfer from residential mortgage loans to real estate owned and other assets
|
16,304
|
|
|
29,058
|
|
||
|
Transfer from residential mortgage loans, held-for-investment to residential mortgage loans, held-for-sale
|
—
|
|
|
33,134
|
|
||
|
MSR purchase price holdback
|
18,534
|
|
|
(289
|
)
|
||
|
Real estate securities retained from loan securitizations
|
482,444
|
|
|
96,799
|
|
||
|
Residential mortgage loans subject to repurchase
|
197,715
|
|
|
140,135
|
|
||
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
1.
|
ORGANIZATION AND BASIS OF PRESENTATION
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
2.
|
OTHER INCOME, GENERAL AND ADMINISTRATIVE, OTHER ASSETS AND LIABILITIES
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Gain (loss) on sale of real estate securities, net
|
|
$
|
(754,540
|
)
|
|
$
|
65,196
|
|
|
Gain (loss) on sale of acquired residential mortgage loans, net
|
|
35,236
|
|
|
3,183
|
|
||
|
Gain (loss) on settlement of derivatives
|
|
(84,712
|
)
|
|
(93,076
|
)
|
||
|
Gain (loss) on liquidated residential mortgage loans
|
|
(839
|
)
|
|
(2,489
|
)
|
||
|
Gain (loss) on sale of REO
|
|
1,173
|
|
|
(1,725
|
)
|
||
|
Other gains (losses)
|
|
4,110
|
|
|
(14,257
|
)
|
||
|
|
|
$
|
(799,572
|
)
|
|
$
|
(43,168
|
)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Unrealized gain (loss) on notes and bonds payable
|
|
$
|
17,002
|
|
|
$
|
(1,137
|
)
|
|
Unrealized gain (loss) on contingent consideration
|
|
(1,614
|
)
|
|
(2,045
|
)
|
||
|
Unrealized gain (loss) on consumer loans held-for-investment, at fair value
|
|
(39,917
|
)
|
|
—
|
|
||
|
Unrealized gain (loss) on equity investments
|
|
(45,023
|
)
|
|
(73
|
)
|
||
|
Gain (loss) on transfer of loans to REO
|
|
2,595
|
|
|
4,984
|
|
||
|
Gain (loss) on transfer of loans to other assets
|
|
(241
|
)
|
|
(521
|
)
|
||
|
Gain (loss) on Excess MSR recapture agreements
|
|
628
|
|
|
307
|
|
||
|
Gain (loss) on Ocwen common stock
|
|
(5,050
|
)
|
|
2,786
|
|
||
|
Rental and ancillary revenue
|
|
19,607
|
|
|
—
|
|
||
|
Other income (loss)
|
|
(24,717
|
)
|
|
1,694
|
|
||
|
|
|
$
|
(76,730
|
)
|
|
$
|
5,995
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Compensation and benefits expense, servicing
|
|
$
|
51,341
|
|
|
$
|
25,301
|
|
|
Compensation and benefits expense, origination
|
|
61,278
|
|
|
31,310
|
|
||
|
Legal and professional expense
|
|
26,037
|
|
|
13,292
|
|
||
|
Loan origination expense
|
|
22,400
|
|
|
10,269
|
|
||
|
Occupancy expense
|
|
8,064
|
|
|
4,179
|
|
||
|
Other(A)
|
|
37,243
|
|
|
14,589
|
|
||
|
|
|
$
|
206,363
|
|
|
$
|
98,940
|
|
|
(A)
|
Represents miscellaneous general and administrative expenses.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
Other Assets
|
|
|
|
Accrued Expenses
and Other Liabilities
|
||||||||||||
|
|
March 31, 2020
|
|
December 31, 2019
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
|
Margin receivable, net(A)
|
$
|
733,624
|
|
|
$
|
280,176
|
|
|
MSR purchase price holdback
|
|
$
|
93,882
|
|
|
$
|
75,348
|
|
|
Servicing fee receivables
|
153,137
|
|
|
159,607
|
|
|
Interest payable
|
|
37,585
|
|
|
68,668
|
|
||||
|
Due from servicers
|
140,024
|
|
|
163,961
|
|
|
Accounts payable
|
|
138,585
|
|
|
119,771
|
|
||||
|
Principal and interest receivable
|
48,895
|
|
|
85,191
|
|
|
Derivative liabilities (Note 10)
|
|
160,353
|
|
|
6,885
|
|
||||
|
Equity investments(B)
|
69,533
|
|
|
114,763
|
|
|
Due to servicers
|
|
119,285
|
|
|
127,846
|
|
||||
|
Other receivables
|
84,287
|
|
|
117,045
|
|
|
Residential mortgage loan repurchase liability
|
|
197,715
|
|
|
172,336
|
|
||||
|
Real Estate Owned
|
81,289
|
|
|
93,672
|
|
|
Contingent Consideration
|
|
56,836
|
|
|
55,222
|
|
||||
|
Single-family rental properties
|
26,661
|
|
|
24,133
|
|
|
Accrued compensation and benefits
|
|
28,644
|
|
|
41,228
|
|
||||
|
Goodwill(C)
|
29,468
|
|
|
29,737
|
|
|
Excess spread financing, at fair value
|
|
25,614
|
|
|
31,777
|
|
||||
|
Notes Receivable(D)
|
45,287
|
|
|
37,001
|
|
|
Operating lease liabilities
|
|
38,568
|
|
|
38,520
|
|
||||
|
Warrants, at fair value
|
25,519
|
|
|
28,042
|
|
|
Reserve for sales recourse
|
|
11,144
|
|
|
12,549
|
|
||||
|
Recovery asset
|
20,921
|
|
|
23,100
|
|
|
Other liabilities
|
|
59,929
|
|
|
22,976
|
|
||||
|
Residential mortgage loans subject to repurchase
|
197,715
|
|
|
172,336
|
|
|
|
|
$
|
968,140
|
|
|
$
|
773,126
|
|
||
|
Property and equipment
|
23,271
|
|
|
18,018
|
|
|
|
|
|
|
|
||||||
|
Receivable from government agency(E)
|
18,020
|
|
|
19,670
|
|
|
|
|
|
|
|
||||||
|
Intangible assets
|
36,496
|
|
|
40,963
|
|
|
|
|
|
|
|
||||||
|
Prepaid expenses
|
20,862
|
|
|
19,249
|
|
|
|
|
|
|
|
||||||
|
Operating lease right-of-use asset
|
32,544
|
|
|
32,120
|
|
|
|
|
|
|
|
||||||
|
Derivative assets (Note 10)
|
132,616
|
|
|
41,501
|
|
|
|
|
|
|
|
||||||
|
Ocwen common stock, at fair value
|
2,902
|
|
|
7,952
|
|
|
|
|
|
|
|
||||||
|
Other assets
|
48,396
|
|
|
51,230
|
|
|
|
|
|
|
|
||||||
|
|
$
|
1,971,467
|
|
|
$
|
1,559,467
|
|
|
|
|
|
|
|
||||
|
(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 acquisition of Shellpoint Partners LLC (“Shellpoint”) as well as Guardian Asset Management, a leading national provider of field services and property management to government agencies, financial institutions and asset management firms.
|
|
(D)
|
Represents a subordinated debt facility to Covius.
|
|
(E)
|
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)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Accretion of net discount on securities and loans(A)
|
|
$
|
40,052
|
|
|
$
|
141,586
|
|
|
Accretion of servicer advances receivable discount and servicer advance investments
|
|
(10,915
|
)
|
|
7,511
|
|
||
|
Accretion of excess mortgage servicing rights income
|
|
13,226
|
|
|
5,115
|
|
||
|
Amortization of deferred financing costs
|
|
(1,136
|
)
|
|
(863
|
)
|
||
|
Amortization of discount on notes and bonds payable
|
|
(123
|
)
|
|
(455
|
)
|
||
|
|
|
$
|
41,104
|
|
|
$
|
152,894
|
|
|
(A)
|
Includes accretion of the accretable yield on PCD loans.
|
|
3.
|
SEGMENT REPORTING
|
|
|
|
Servicing and Origination
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
|
|
Origination
|
|
Servicing
|
|
MSR Related Investments
|
|
Elimination(A)
|
|
Total Servicing and Origination
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||||||||
|
Three Months Ended March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Interest income
|
|
$
|
16,735
|
|
|
$
|
7,487
|
|
|
$
|
99,353
|
|
|
$
|
—
|
|
|
$
|
123,575
|
|
|
$
|
184,005
|
|
|
$
|
59,921
|
|
|
$
|
34,872
|
|
|
$
|
—
|
|
|
$
|
402,373
|
|
|
Interest expense
|
|
13,427
|
|
|
196
|
|
|
57,783
|
|
|
—
|
|
|
71,406
|
|
|
108,009
|
|
|
30,773
|
|
|
6,667
|
|
|
—
|
|
|
216,855
|
|
||||||||||
|
Net interest income
|
|
3,308
|
|
|
7,291
|
|
|
41,570
|
|
|
—
|
|
|
52,169
|
|
|
75,996
|
|
|
29,148
|
|
|
28,205
|
|
|
—
|
|
|
185,518
|
|
||||||||||
|
Impairment
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44,149
|
|
|
100,496
|
|
|
—
|
|
|
—
|
|
|
144,645
|
|
||||||||||
|
Servicing revenue, net
|
|
(1,078
|
)
|
|
86,742
|
|
|
(350,587
|
)
|
|
(24,192
|
)
|
|
(289,115
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(289,115
|
)
|
||||||||||
|
Gain on originated mortgage loans, held-for-sale, net
|
|
158,215
|
|
|
259
|
|
|
22,088
|
|
|
(9,375
|
)
|
|
171,187
|
|
|
—
|
|
|
8,511
|
|
|
—
|
|
|
—
|
|
|
179,698
|
|
||||||||||
|
Other income (loss)
|
|
(16
|
)
|
|
499
|
|
|
(156,933
|
)
|
|
—
|
|
|
(156,450
|
)
|
|
(966,039
|
)
|
|
(192,271
|
)
|
|
(40,751
|
)
|
|
(47,150
|
)
|
|
(1,402,661
|
)
|
||||||||||
|
Operating expenses
|
|
100,212
|
|
|
64,352
|
|
|
108,072
|
|
|
(24,192
|
)
|
|
248,444
|
|
|
6,854
|
|
|
16,756
|
|
|
3,883
|
|
|
26,981
|
|
|
302,918
|
|
||||||||||
|
Income (loss) before income taxes
|
|
60,217
|
|
|
30,439
|
|
|
(551,934
|
)
|
|
(9,375
|
)
|
|
(470,653
|
)
|
|
(941,046
|
)
|
|
(271,864
|
)
|
|
(16,429
|
)
|
|
(74,131
|
)
|
|
(1,774,123
|
)
|
||||||||||
|
Income tax expense (benefit)
|
|
11,958
|
|
|
6,045
|
|
|
(109,785
|
)
|
|
—
|
|
|
(91,782
|
)
|
|
—
|
|
|
(75,201
|
)
|
|
115
|
|
|
—
|
|
|
(166,868
|
)
|
||||||||||
|
Net income (loss)
|
|
$
|
48,259
|
|
|
$
|
24,394
|
|
|
$
|
(442,149
|
)
|
|
$
|
(9,375
|
)
|
|
$
|
(378,871
|
)
|
|
$
|
(941,046
|
)
|
|
$
|
(196,663
|
)
|
|
$
|
(16,544
|
)
|
|
$
|
(74,131
|
)
|
|
$
|
(1,607,255
|
)
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
1,283
|
|
|
$
|
—
|
|
|
$
|
(11,247
|
)
|
|
$
|
—
|
|
|
$
|
(9,964
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(6,198
|
)
|
|
$
|
—
|
|
|
$
|
(16,162
|
)
|
|
Dividends on preferred stock
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,222
|
|
|
$
|
11,222
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
46,976
|
|
|
$
|
24,394
|
|
|
$
|
(430,902
|
)
|
|
$
|
(9,375
|
)
|
|
$
|
(368,907
|
)
|
|
$
|
(941,046
|
)
|
|
$
|
(196,663
|
)
|
|
$
|
(10,346
|
)
|
|
$
|
(85,353
|
)
|
|
$
|
(1,602,315
|
)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Servicing and Origination
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
|
|
Origination
|
|
Servicing
|
|
MSR Related Investments
|
|
Elimination(A)
|
|
Total Servicing and Origination
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Investments
|
|
$
|
1,491,206
|
|
|
$
|
—
|
|
|
$
|
6,537,930
|
|
|
$
|
—
|
|
|
$
|
8,029,136
|
|
|
$
|
2,479,603
|
|
|
$
|
4,187,148
|
|
|
$
|
780,821
|
|
|
$
|
—
|
|
|
$
|
15,476,708
|
|
|
Cash and cash equivalents
|
|
76,752
|
|
|
14,032
|
|
|
161,778
|
|
|
—
|
|
|
252,562
|
|
|
101,646
|
|
|
560
|
|
|
4,382
|
|
|
1,303
|
|
|
360,453
|
|
||||||||||
|
Restricted cash
|
|
4,907
|
|
|
4,881
|
|
|
105,611
|
|
|
—
|
|
|
115,399
|
|
|
—
|
|
|
—
|
|
|
32,036
|
|
|
—
|
|
|
147,435
|
|
||||||||||
|
Other assets
|
|
403,277
|
|
|
274,883
|
|
|
3,023,482
|
|
|
—
|
|
|
3,701,642
|
|
|
4,064,232
|
|
|
310,095
|
|
|
65,602
|
|
|
37,840
|
|
|
8,179,411
|
|
||||||||||
|
Goodwill
|
|
11,836
|
|
|
12,540
|
|
|
5,092
|
|
|
—
|
|
|
29,468
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,468
|
|
||||||||||
|
Total assets
|
|
$
|
1,987,978
|
|
|
$
|
306,336
|
|
|
$
|
9,833,893
|
|
|
$
|
—
|
|
|
$
|
12,128,207
|
|
|
$
|
6,645,481
|
|
|
$
|
4,497,803
|
|
|
$
|
882,841
|
|
|
$
|
39,143
|
|
|
$
|
24,193,475
|
|
|
Debt
|
|
$
|
1,352,846
|
|
|
$
|
21,157
|
|
|
$
|
6,332,172
|
|
|
$
|
—
|
|
|
$
|
7,706,175
|
|
|
$
|
5,892,709
|
|
|
$
|
3,455,028
|
|
|
$
|
774,797
|
|
|
$
|
—
|
|
|
$
|
17,828,709
|
|
|
Other liabilities
|
|
244,137
|
|
|
73,889
|
|
|
384,496
|
|
|
—
|
|
|
702,522
|
|
|
218,654
|
|
|
53,854
|
|
|
7,389
|
|
|
51,883
|
|
|
1,034,302
|
|
||||||||||
|
Total liabilities
|
|
1,596,983
|
|
|
95,046
|
|
|
6,716,668
|
|
|
—
|
|
|
8,408,697
|
|
|
6,111,363
|
|
|
3,508,882
|
|
|
782,186
|
|
|
51,883
|
|
|
18,863,011
|
|
||||||||||
|
Total equity
|
|
390,995
|
|
|
211,290
|
|
|
3,117,225
|
|
|
—
|
|
|
3,719,510
|
|
|
534,118
|
|
|
988,921
|
|
|
100,655
|
|
|
(12,740
|
)
|
|
5,330,464
|
|
||||||||||
|
Noncontrolling interests in equity of consolidated subsidiaries
|
|
11,323
|
|
|
—
|
|
|
31,743
|
|
|
—
|
|
|
43,066
|
|
|
—
|
|
|
—
|
|
|
23,512
|
|
|
—
|
|
|
66,578
|
|
||||||||||
|
Total New Residential stockholders’ equity
|
|
$
|
379,672
|
|
|
$
|
211,290
|
|
|
$
|
3,085,482
|
|
|
$
|
—
|
|
|
$
|
3,676,444
|
|
|
$
|
534,118
|
|
|
$
|
988,921
|
|
|
$
|
77,143
|
|
|
$
|
(12,740
|
)
|
|
$
|
5,263,886
|
|
|
Investments in equity method investees
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
|
|
Servicing and Origination
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
|
|
Origination
|
|
Servicing
|
|
MSR Related Investments
|
|
Elimination(A)
|
|
Total Servicing and Origination
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||||||||
|
Three Months Ended March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Interest income
|
|
$
|
5,584
|
|
|
$
|
6,183
|
|
|
$
|
120,033
|
|
|
$
|
—
|
|
|
$
|
131,800
|
|
|
$
|
204,473
|
|
|
$
|
58,189
|
|
|
$
|
44,405
|
|
|
$
|
—
|
|
|
$
|
438,867
|
|
|
Interest expense
|
|
5,158
|
|
|
197
|
|
|
61,131
|
|
|
—
|
|
|
66,486
|
|
|
101,300
|
|
|
35,851
|
|
|
9,195
|
|
|
—
|
|
|
212,832
|
|
||||||||||
|
Net interest income
|
|
426
|
|
|
5,986
|
|
|
58,902
|
|
|
—
|
|
|
65,314
|
|
|
103,173
|
|
|
22,338
|
|
|
35,210
|
|
|
—
|
|
|
226,035
|
|
||||||||||
|
Impairment
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,516
|
|
|
(5,804
|
)
|
|
11,084
|
|
|
—
|
|
|
12,796
|
|
||||||||||
|
Servicing revenue, net
|
|
(270
|
)
|
|
43,521
|
|
|
128,737
|
|
|
(6,135
|
)
|
|
165,853
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
165,853
|
|
||||||||||
|
Gain on sale of originated mortgage loans, net
|
|
50,812
|
|
|
89
|
|
|
9,510
|
|
|
(9,085
|
)
|
|
51,326
|
|
|
—
|
|
|
15,844
|
|
|
—
|
|
|
—
|
|
|
67,170
|
|
||||||||||
|
Other income (loss)
|
|
1,059
|
|
|
—
|
|
|
(21,865
|
)
|
|
—
|
|
|
(20,806
|
)
|
|
(46,958
|
)
|
|
(3,445
|
)
|
|
4,531
|
|
|
2,712
|
|
|
(63,966
|
)
|
||||||||||
|
Operating expenses
|
|
46,363
|
|
|
36,123
|
|
|
50,491
|
|
|
(6,135
|
)
|
|
126,842
|
|
|
1,189
|
|
|
9,320
|
|
|
7,427
|
|
|
35,609
|
|
|
180,387
|
|
||||||||||
|
Income (loss) before income taxes
|
|
5,664
|
|
|
13,473
|
|
|
124,793
|
|
|
(9,085
|
)
|
|
134,845
|
|
|
47,510
|
|
|
31,221
|
|
|
21,230
|
|
|
(32,897
|
)
|
|
201,909
|
|
||||||||||
|
Income tax expense (benefit)
|
|
1,549
|
|
|
3,686
|
|
|
34,139
|
|
|
—
|
|
|
39,374
|
|
|
—
|
|
|
6,544
|
|
|
79
|
|
|
—
|
|
|
45,997
|
|
||||||||||
|
Net income (loss)
|
|
$
|
4,115
|
|
|
$
|
9,787
|
|
|
$
|
90,654
|
|
|
$
|
(9,085
|
)
|
|
$
|
95,471
|
|
|
$
|
47,510
|
|
|
$
|
24,677
|
|
|
$
|
21,151
|
|
|
$
|
(32,897
|
)
|
|
$
|
155,912
|
|
|
Noncontrolling interests in income (loss) of consolidated subsidiaries
|
|
$
|
407
|
|
|
$
|
—
|
|
|
$
|
2,451
|
|
|
$
|
—
|
|
|
$
|
2,858
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,460
|
|
|
$
|
—
|
|
|
$
|
10,318
|
|
|
Dividends on Preferred Stock
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Net income (loss) attributable to common stockholders
|
|
$
|
3,708
|
|
|
$
|
9,787
|
|
|
$
|
88,203
|
|
|
$
|
(9,085
|
)
|
|
$
|
92,613
|
|
|
$
|
47,510
|
|
|
$
|
24,677
|
|
|
$
|
13,691
|
|
|
$
|
(32,897
|
)
|
|
$
|
145,594
|
|
|
4.
|
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS
|
|
|
|
Servicer
|
||||||||||
|
|
|
Mr. Cooper
|
|
SLS(A)
|
|
Total
|
||||||
|
Balance as of December 31, 2019
|
|
$
|
377,692
|
|
|
$
|
2,055
|
|
|
$
|
379,747
|
|
|
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Interest income
|
|
13,150
|
|
|
76
|
|
|
13,226
|
|
|||
|
Other income
|
|
636
|
|
|
—
|
|
|
636
|
|
|||
|
Proceeds from repayments
|
|
(18,503
|
)
|
|
(116
|
)
|
|
(18,619
|
)
|
|||
|
Proceeds from sales
|
|
(34
|
)
|
|
—
|
|
|
(34
|
)
|
|||
|
Change in fair value
|
|
(11,059
|
)
|
|
35
|
|
|
(11,024
|
)
|
|||
|
Balance as of March 31, 2020
|
|
$
|
361,882
|
|
|
$
|
2,050
|
|
|
$
|
363,932
|
|
|
(A)
|
Specialized Loan Servicing LLC (“SLS”).
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||
|
|
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
|
|
Mr. Cooper
|
|
|
|
|
|
|
|
|
||||||||
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Original and Recaptured Pools
|
$
|
41,702,867
|
|
|
32.5% - 66.7% (53.3%)
|
|
0.0% - 40.0%
|
|
20.0% - 35.0%
|
|
5.7
|
|
$
|
174,694
|
|
|
$
|
200,167
|
|
|
$
|
209,633
|
|
|
Non-Agency(E)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Mr. Cooper and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Original and Recaptured Pools
|
$
|
43,306,519
|
|
|
33.3% - 100.0% (59.4%)
|
|
0.0% - 50.0%
|
|
0.0% - 33.3%
|
|
6.7
|
|
$
|
123,992
|
|
|
$
|
163,765
|
|
|
$
|
170,114
|
|
|
Total
|
$
|
85,009,386
|
|
|
|
|
|
|
|
|
6.1
|
|
$
|
298,686
|
|
|
$
|
363,932
|
|
|
$
|
379,747
|
|
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
|
(B)
|
The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(C)
|
Carrying value represents the fair value of the pools and recapture agreements, as applicable.
|
|
(D)
|
Amounts in parentheses represent weighted averages.
|
|
(E)
|
New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of March 31, 2020 (Note 6) on $30.0 billion UPB underlying these Excess MSRs.
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Original and Recaptured Pools
|
|
$
|
(11,024
|
)
|
|
$
|
4,627
|
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Excess MSR assets
|
|
$
|
214,950
|
|
|
$
|
226,843
|
|
|
Other assets
|
|
24,954
|
|
|
25,035
|
|
||
|
Other liabilities
|
|
(687
|
)
|
|
(687
|
)
|
||
|
Equity
|
|
$
|
239,217
|
|
|
$
|
251,191
|
|
|
New Residential’s investment
|
|
$
|
119,609
|
|
|
$
|
125,596
|
|
|
|
|
|
|
|
||||
|
New Residential’s ownership
|
|
50.0
|
%
|
|
50.0
|
%
|
||
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Interest income
|
|
$
|
7,313
|
|
|
$
|
4,070
|
|
|
Other income (loss)
|
|
(8,219
|
)
|
|
1,170
|
|
||
|
Expenses
|
|
(8
|
)
|
|
(16
|
)
|
||
|
Net income (loss)
|
|
$
|
(914
|
)
|
|
$
|
5,224
|
|
|
Balance at December 31, 2019
|
$
|
125,596
|
|
|
Contributions to equity method investees
|
—
|
|
|
|
Distributions of earnings from equity method investees
|
(387
|
)
|
|
|
Distributions of capital from equity method investees
|
(5,143
|
)
|
|
|
Change in fair value of investments in equity method investees
|
(457
|
)
|
|
|
Balance at March 31, 2020
|
$
|
119,609
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
March 31, 2020
|
||||||||||||||||||
|
|
Unpaid Principal Balance
|
|
Investee Interest in Excess MSR(A)
|
|
New Residential Interest in Investees
|
|
Amortized Cost Basis(B)
|
|
Carrying Value(C)
|
|
Weighted Average Life (Years)(D)
|
||||||||
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Original and Recaptured Pools
|
$
|
33,251,300
|
|
|
66.7
|
%
|
|
50.0
|
%
|
|
$
|
165,403
|
|
|
$
|
214,950
|
|
|
5.6
|
|
(A)
|
The remaining interests are held by Mr. Cooper.
|
|
(B)
|
Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.
|
|
(C)
|
Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools and recapture agreements, as applicable.
|
|
(D)
|
Represents the weighted average expected timing of the receipt of cash flows of each investment.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
MSRs
|
|
MSR Financing Receivables
|
|
Total
|
||||||
|
Balance as of December 31, 2019
|
|
$
|
3,967,960
|
|
|
$
|
1,718,273
|
|
|
$
|
5,686,233
|
|
|
Purchases, net(A)
|
|
436,395
|
|
|
—
|
|
|
436,395
|
|
|||
|
Originations(B)
|
|
195,896
|
|
|
—
|
|
|
195,896
|
|
|||
|
Prepayments(C)
|
|
(1,563
|
)
|
|
(6,023
|
)
|
|
(7,586
|
)
|
|||
|
Proceeds from sales
|
|
(8,504
|
)
|
|
(3,708
|
)
|
|
(12,212
|
)
|
|||
|
Amortization of servicing rights(D)
|
|
(193,243
|
)
|
|
(68,752
|
)
|
|
(261,995
|
)
|
|||
|
Change in valuation inputs and assumptions(E)
|
|
(468,260
|
)
|
|
(33,610
|
)
|
|
(501,870
|
)
|
|||
|
(Gain)/loss on sales
|
|
5,703
|
|
|
(1,749
|
)
|
|
3,954
|
|
|||
|
Balance as of March 31, 2020
|
|
$
|
3,934,384
|
|
|
$
|
1,604,431
|
|
|
$
|
5,538,815
|
|
|
(A)
|
Net of purchase price adjustments.
|
|
(B)
|
Represents MSRs retained on the sale of originated mortgage loans.
|
|
(C)
|
Represents purchase price fully reimbursable from sellers as a result of prepayment protection.
|
|
(D)
|
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.
|
|
(E)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model.
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Servicing fee revenue
|
|
$
|
328,122
|
|
|
$
|
183,026
|
|
|
Ancillary and other fees
|
|
32,138
|
|
|
39,737
|
|
||
|
Servicing fee revenue and fees
|
|
360,260
|
|
|
222,763
|
|
||
|
Amortization of servicing rights
|
|
(191,367
|
)
|
|
(72,675
|
)
|
||
|
Change in valuation inputs and assumptions(A) (B)
|
|
(463,711
|
)
|
|
15,765
|
|
||
|
(Gain)/loss on sales
|
|
5,703
|
|
|
—
|
|
||
|
Servicing revenue, net
|
|
$
|
(289,115
|
)
|
|
$
|
165,853
|
|
|
(A)
|
Includes changes in inputs or assumptions used in the valuation model.
|
|
(B)
|
Includes $4.5 million and $0.4 million of fair value adjustment to excess spread financing for the three months ended March 31, 2020 and 2019, respectively.
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Servicing fee revenue
|
|
$
|
113,582
|
|
|
$
|
126,244
|
|
|
Ancillary and other fees
|
|
26,000
|
|
|
31,324
|
|
||
|
Less: subservicing expense
|
|
(41,903
|
)
|
|
(55,662
|
)
|
||
|
Interest income, investments in MSR financing receivables
|
|
$
|
97,679
|
|
|
$
|
101,906
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Amortization of servicing rights
|
|
$
|
(68,752
|
)
|
|
$
|
(42,876
|
)
|
|
Change in valuation inputs and assumptions(A)
|
|
(33,610
|
)
|
|
6,938
|
|
||
|
(Gain)/loss on sales(B)
|
|
(1,749
|
)
|
|
(441
|
)
|
||
|
Change in fair value of investments in MSR financing receivables
|
|
$
|
(104,111
|
)
|
|
$
|
(36,379
|
)
|
|
(A)
|
Change in valuation inputs and assumptions includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
|
|
(B)
|
Represents the realization of unrealized gain/(loss) as a result of sales.
|
|
|
UPB of Underlying Mortgages
|
|
Weighted Average Life (Years)(A)
|
|
Carrying Value(B)
|
||||
|
MSRs:
|
|
|
|
|
|
||||
|
Agency(C)
|
$
|
339,416,358
|
|
|
5.3
|
|
$
|
3,227,788
|
|
|
Non-Agency
|
6,630,753
|
|
|
5.5
|
|
16,669
|
|
||
|
Ginnie Mae(D)
|
57,658,948
|
|
|
4.8
|
|
689,927
|
|
||
|
|
403,706,059
|
|
|
5.2
|
|
3,934,384
|
|
||
|
MSR Financing Receivables:
|
|
|
|
|
|
||||
|
Agency
|
49,533,672
|
|
|
5.2
|
|
491,681
|
|
||
|
Non-Agency
|
73,533,090
|
|
|
7.8
|
|
1,112,750
|
|
||
|
|
123,066,762
|
|
|
6.8
|
|
1,604,431
|
|
||
|
Total
|
$
|
526,772,821
|
|
|
5.6
|
|
$
|
5,538,815
|
|
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
|
(B)
|
Carrying value represents fair value. As of March 31, 2020, weighted average discount rates of 8.2% and 9.4% were used to value New Residential’s investments in MSRs and MSR financing receivables, respectively.
|
|
(C)
|
Represents Fannie Mae and Freddie Mac MSRs.
|
|
(D)
|
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 March 31, 2020, New Residential holds approximately $197.7 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)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Principal and interest advances
|
|
$
|
678,588
|
|
|
$
|
660,807
|
|
|
Escrow advances (taxes and insurance advances)
|
|
2,284,094
|
|
|
2,427,384
|
|
||
|
Foreclosure advances
|
|
151,485
|
|
|
163,054
|
|
||
|
Total(A) (B) (C)
|
|
$
|
3,114,167
|
|
|
$
|
3,251,245
|
|
|
(A)
|
Includes $636.9 million and $562.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
|
|
(B)
|
Includes $69.9 million and $166.5 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 $41.3 million and $50.1 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries.
|
|
6.
|
SERVICER ADVANCE INVESTMENTS
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(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)
|
||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
||||||
|
Servicer Advance Investments
|
$
|
509,989
|
|
|
$
|
515,574
|
|
|
5.8
|
%
|
|
5.6
|
%
|
|
6.7
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
||||||
|
Servicer Advance Investments
|
$
|
557,444
|
|
|
$
|
581,777
|
|
|
5.3
|
%
|
|
5.7
|
%
|
|
6.3
|
|
(A)
|
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
|
|
(B)
|
Weighted average life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Change in fair value of Servicer Advance Investments
|
|
$
|
(18,749
|
)
|
|
$
|
7,903
|
|
|
|
|
|
|
|
|
|
|
|
Loan-to-Value (“LTV”)(A)
|
|
Cost of Funds(C)
|
|||||||||||||||
|
|
UPB of Underlying Residential Mortgage Loans
|
|
Outstanding Servicer Advances
|
|
Servicer Advances to UPB of Underlying Residential Mortgage Loans
|
|
Face Amount of Notes and Bonds Payable
|
|
Gross
|
|
Net(B)
|
|
Gross
|
|
Net
|
|||||||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Servicer Advance Investments(D)
|
$
|
30,043,832
|
|
|
$
|
461,723
|
|
|
1.5
|
%
|
|
$
|
423,910
|
|
|
88.0
|
%
|
|
87.1
|
%
|
|
1.7
|
%
|
|
1.7
|
%
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Servicer Advance Investments(D)
|
$
|
31,442,267
|
|
|
$
|
462,843
|
|
|
1.5
|
%
|
|
$
|
443,248
|
|
|
88.3
|
%
|
|
87.2
|
%
|
|
3.4
|
%
|
|
2.8
|
%
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(D)
|
The following types of advances are included in the Servicer Advance Investments:
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Principal and interest advances
|
|
$
|
87,292
|
|
|
$
|
71,574
|
|
|
Escrow advances (taxes and insurance advances)
|
|
173,617
|
|
|
180,047
|
|
||
|
Foreclosure advances
|
|
200,814
|
|
|
211,222
|
|
||
|
Total
|
|
$
|
461,723
|
|
|
$
|
462,843
|
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Interest income, gross of amounts attributable to servicer compensation
|
|
$
|
(10,250
|
)
|
|
$
|
15,076
|
|
|
Amounts attributable to base servicer compensation
|
|
882
|
|
|
(1,565
|
)
|
||
|
Amounts attributable to incentive servicer compensation
|
|
(8,721
|
)
|
|
(6,427
|
)
|
||
|
Interest income from Servicer Advance Investments
|
|
$
|
(18,089
|
)
|
|
$
|
7,084
|
|
|
7.
|
INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended March 31, 2020
|
|
Three Months Ended March 31, 2019
|
||||||||||||
|
|
|
(in millions)
|
|
(in millions)
|
||||||||||||
|
|
|
Agency
|
|
Non-Agency
|
|
Agency
|
|
Non-Agency
|
||||||||
|
Purchases
|
|
|
|
|
|
|
|
|
||||||||
|
Face
|
|
$
|
7,140.0
|
|
|
$
|
4,563.2
|
|
|
$
|
5,024.3
|
|
|
$
|
2,444.0
|
|
|
Purchase price
|
|
7,290.0
|
|
|
539.0
|
|
|
5,129.4
|
|
|
349.7
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Sales
|
|
|
|
|
|
|
|
|
||||||||
|
Face
|
|
$
|
17,395.0
|
|
|
$
|
7,200.0
|
|
|
$
|
6,778.8
|
|
|
$
|
228.0
|
|
|
Amortized cost
|
|
17,679.3
|
|
|
5,283.8
|
|
|
6,914.3
|
|
|
228.0
|
|
||||
|
Sale price
|
|
17,869.1
|
|
|
4,358.9
|
|
|
6,979.4
|
|
|
228.0
|
|
||||
|
Gain (loss) on sale
|
|
189.8
|
|
|
(924.9
|
)
|
|
65.1
|
|
|
—
|
|
||||
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
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)
|
|
$
|
306,566
|
|
|
$
|
308,486
|
|
|
$
|
10,082
|
|
|
$
|
—
|
|
|
$
|
318,568
|
|
|
27
|
|
|
AAA
|
|
2.95
|
%
|
|
2.79
|
%
|
|
6.8
|
|
N/A
|
|
|
$
|
11,519,943
|
|
|
Non-Agency
RMBS(H) (I)
|
|
20,528,139
|
|
|
2,239,021
|
|
|
69,347
|
|
|
(147,333
|
)
|
|
2,161,035
|
|
|
593
|
|
|
A-
|
|
3.16
|
%
|
|
5.00
|
%
|
|
8.0
|
|
13.3
|
%
|
|
7,957,785
|
|
||||||
|
Total/
Weighted
Average
|
|
$
|
20,834,705
|
|
|
$
|
2,547,507
|
|
|
$
|
79,429
|
|
|
$
|
(147,333
|
)
|
|
$
|
2,479,603
|
|
|
620
|
|
|
A
|
|
3.11
|
%
|
|
4.74
|
%
|
|
7.8
|
|
|
|
$
|
19,477,728
|
|
|
|
(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 337 bonds with a carrying value of $971.6 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current.
|
|
(C)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $29.5 million and $4.3 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 $0.3 billion for fixed rate securities as of March 31, 2020.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(H)
|
The total outstanding face amount was $11.1 billion (including $9.7 billion of residual and fair value option notional amount) for fixed rate securities and $9.4 billion (including $8.2 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2020.
|
|
(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
|
|
$
|
23,250
|
|
|
$
|
18,484
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
18,484
|
|
|
1
|
|
|
B-
|
|
8.25
|
%
|
|
8.25
|
%
|
|
5.0
|
|
N/A
|
|
Consumer loan bonds
|
|
20,114
|
|
|
13,268
|
|
|
232
|
|
|
(458
|
)
|
|
13,042
|
|
|
6
|
|
|
N/A
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
N/A
|
|||||
|
Fair value option securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Interest-only securities
|
|
11,698,718
|
|
|
305,697
|
|
|
22,129
|
|
|
(23,984
|
)
|
|
303,842
|
|
|
130
|
|
|
AA
|
|
1.30
|
%
|
|
9.36
|
%
|
|
3.1
|
|
N/A
|
|||||
|
Servicing strips
|
|
4,984,912
|
|
|
56,798
|
|
|
2,480
|
|
|
(11,292
|
)
|
|
47,986
|
|
|
53
|
|
|
N/A
|
|
0.90
|
%
|
|
8.11
|
%
|
|
5.5
|
|
N/A
|
|||||
|
|
|
|
|
Amortized Cost Basis
|
|
|
|
|
|
|
|
Weighted Average
|
|||||||||||||||||||||||||
|
Securities in an Unrealized Loss Position
|
|
Outstanding Face Amount
|
|
Before Credit Impairment
|
|
Credit Impairment(A)
|
|
After Credit Impairment
|
|
Gross Unrealized Losses
|
|
Carrying Value
|
|
Number of Securities
|
|
Rating
|
|
Coupon
|
|
Yield
|
|
Life
(Years)
|
|||||||||||||||
|
Less than 12 Months
|
|
$
|
8,525,893
|
|
|
$
|
1,482,309
|
|
|
$
|
(30,161
|
)
|
|
$
|
1,452,148
|
|
|
$
|
(133,907
|
)
|
|
$
|
1,318,241
|
|
|
262
|
|
|
A-
|
|
3.57
|
%
|
|
4.45
|
%
|
|
10.0
|
|
12 or More Months
|
|
1,903,679
|
|
|
119,591
|
|
|
(13,988
|
)
|
|
105,603
|
|
|
(13,426
|
)
|
|
92,177
|
|
|
59
|
|
|
A-
|
|
2.63
|
%
|
|
5.26
|
%
|
|
3.3
|
||||||
|
Total/Weighted Average
|
|
$
|
10,429,572
|
|
|
$
|
1,601,900
|
|
|
$
|
(44,149
|
)
|
|
$
|
1,557,751
|
|
|
$
|
(147,333
|
)
|
|
$
|
1,410,418
|
|
|
321
|
|
|
A-
|
|
3.50
|
%
|
|
4.51
|
%
|
|
9.5
|
|
(A)
|
Represents credit impairment on securities in an unrealized loss position as of March 31, 2020.
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
|
|
|
|
|
Gross Unrealized Losses
|
|
|
|
|
|
Gross Unrealized Losses
|
||||||||||||||||||||
|
|
Fair Value
|
|
Amortized Cost Basis After Credit Impairment
|
|
Credit(A)
|
|
Non-Credit(B)
|
|
Fair Value
|
|
Amortized Cost Basis After Credit Impairment
|
|
Credit(A)
|
|
Non-Credit(B)
|
||||||||||||||||
|
Securities New Residential intends to sell
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Securities New Residential is more likely than not to be required to sell(C)
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
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
|
560,375
|
|
|
598,610
|
|
|
(44,149
|
)
|
|
(38,235
|
)
|
|
228,228
|
|
|
237,626
|
|
|
(3,232
|
)
|
|
(9,398
|
)
|
||||||||
|
Non-credit impaired securities
|
850,043
|
|
|
959,141
|
|
|
—
|
|
|
(109,098
|
)
|
|
4,726,409
|
|
|
4,767,837
|
|
|
—
|
|
|
(41,428
|
)
|
||||||||
|
Total debt securities in an unrealized loss position
|
$
|
1,410,418
|
|
|
$
|
1,557,751
|
|
|
$
|
(44,149
|
)
|
|
$
|
(147,333
|
)
|
|
$
|
4,954,637
|
|
|
$
|
5,005,463
|
|
|
$
|
(3,232
|
)
|
|
$
|
(50,826
|
)
|
|
(A)
|
This amount is required to be recorded through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(B)
|
This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income.
|
|
(C)
|
New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.
|
|
|
Purchased Credit Deteriorated
|
|
Non-Purchased Credit Deteriorated
|
|
Total
|
||||||
|
Beginning balance of the allowance for credit losses on available-for-sale debt securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Reductions for securities sold during the period
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period
|
24,121
|
|
|
20,028
|
|
|
44,149
|
|
|||
|
Write-offs charged against the allowance
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Recoveries of amounts previously written off
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Ending balance of the allowance for credit losses on available-for-sale debt securities
|
$
|
24,121
|
|
|
$
|
20,028
|
|
|
44,149
|
|
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||
|
Geographic Location(A)
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
|
Outstanding Face Amount
|
|
Percentage of Total Outstanding
|
||||||
|
Western U.S.
|
|
$
|
7,276,817
|
|
|
35.5
|
%
|
|
$
|
9,048,847
|
|
|
36.6
|
%
|
|
Southeastern U.S.
|
|
5,337,487
|
|
|
26.1
|
%
|
|
5,983,966
|
|
|
24.2
|
%
|
||
|
Northeastern U.S.
|
|
4,532,153
|
|
|
22.1
|
%
|
|
5,416,137
|
|
|
21.9
|
%
|
||
|
Midwestern U.S.
|
|
2,176,968
|
|
|
10.6
|
%
|
|
2,562,269
|
|
|
10.4
|
%
|
||
|
Southwestern U.S.
|
|
1,143,615
|
|
|
5.6
|
%
|
|
1,440,467
|
|
|
5.8
|
%
|
||
|
Other(B)
|
|
17,735
|
|
|
0.1
|
%
|
|
296,273
|
|
|
1.1
|
%
|
||
|
|
|
$
|
20,484,775
|
|
|
100.0
|
%
|
|
$
|
24,747,959
|
|
|
100.0
|
%
|
|
(A)
|
Excludes $20.1 million and $25.0 million face amount of bonds backed by consumer loans and $23.3 million and $85.0 million face amount of bonds backed by corporate debt as of March 31, 2020 and December 31, 2019, respectively.
|
|
(B)
|
Represents collateral for which New Residential was unable to obtain geographic information.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
Outstanding Face Amount
|
|
Carrying Value
|
||||
|
March 31, 2020
|
$
|
1,179,074
|
|
|
$
|
528,741
|
|
|
December 31, 2019
|
5,701,736
|
|
|
3,830,369
|
|
||
|
|
Three Months Ended March 31, 2020
|
||
|
Balance at December 31, 2019
|
$
|
1,882,476
|
|
|
Additions
|
67,194
|
|
|
|
Accretion
|
(46,906
|
)
|
|
|
Reclassifications from (to) non-accretable difference
|
(2,841,574
|
)
|
|
|
Disposals
|
1,287,097
|
|
|
|
Balance at March 31, 2020
|
$
|
348,287
|
|
|
8.
|
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS AND REAL ESTATE OWNED
|
|
•
|
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
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
•
|
Real Estate Owned (“REO”)
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||||||||||
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Total Residential Mortgage Loans, held-for-investment, at fair value
|
|
$
|
919,461
|
|
|
$
|
824,183
|
|
|
14,164
|
|
|
8.2
|
%
|
|
6.5
|
|
9.0
|
%
|
|
72.1
|
%
|
|
17.8
|
%
|
|
642
|
|
|
$
|
925,706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Acquired Reverse Mortgage Loans(E) (F)
|
|
$
|
12,333
|
|
|
$
|
6,220
|
|
|
29
|
|
|
7.9
|
%
|
|
5.0
|
|
5.5
|
%
|
|
153.3
|
%
|
|
70.7
|
%
|
|
N/A
|
|
|
$
|
5,844
|
|
|
Acquired Performing Loans(G) (I)
|
|
828,323
|
|
|
753,288
|
|
|
11,853
|
|
|
6.1
|
%
|
|
4.2
|
|
65.9
|
%
|
|
51.1
|
%
|
|
8.6
|
%
|
|
684
|
|
|
857,821
|
|
|||
|
Acquired Non-Performing Loans(H) (I)
|
|
629,948
|
|
|
505,025
|
|
|
4,822
|
|
|
8.3
|
%
|
|
3.2
|
|
10.9
|
%
|
|
76.6
|
%
|
|
73.1
|
%
|
|
581
|
|
|
565,387
|
|
|||
|
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,470,604
|
|
|
$
|
1,264,533
|
|
|
16,704
|
|
|
7.1
|
%
|
|
3.8
|
|
41.8
|
%
|
|
62.9
|
%
|
|
36.8
|
%
|
|
639
|
|
|
$
|
1,429,052
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Acquired Performing Loans(G) (I)
|
|
$
|
2,046,090
|
|
|
$
|
1,804,443
|
|
|
12,925
|
|
|
5.9
|
%
|
|
7.9
|
|
6.9
|
%
|
|
67.3
|
%
|
|
30.5
|
%
|
|
644
|
|
|
$
|
3,024,288
|
|
|
Originated Loans
|
|
1,430,577
|
|
|
1,479,530
|
|
|
4,769
|
|
|
3.7
|
%
|
|
28.0
|
|
2.9
|
%
|
|
72.7
|
%
|
|
0.1
|
%
|
|
732
|
|
|
1,589,324
|
|
|||
|
Total Residential Mortgage Loans, held-for-sale, at fair value
|
|
$
|
3,476,667
|
|
|
$
|
3,283,973
|
|
|
17,694
|
|
|
5.0
|
%
|
|
16.2
|
|
5.3
|
%
|
|
69.5
|
%
|
|
18.0
|
%
|
|
680
|
|
|
$
|
4,613,612
|
|
|
(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. Mr. Cooper holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.6 million. Approximately 47% 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)
|
As of March 31, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
|
|
(I)
|
Includes $35.1 million and $26.6 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Percentage of Total Outstanding Unpaid Principal Amount
|
||||
|
State Concentration
|
|
March 31, 2020
|
|
December 31, 2019
|
||
|
California
|
|
16.8
|
%
|
|
16.1
|
%
|
|
New York
|
|
9.9
|
%
|
|
9.0
|
%
|
|
Florida
|
|
7.7
|
%
|
|
8.4
|
%
|
|
Texas
|
|
7.5
|
%
|
|
7.1
|
%
|
|
Georgia
|
|
4.6
|
%
|
|
4.8
|
%
|
|
New Jersey
|
|
4.6
|
%
|
|
4.2
|
%
|
|
Illinois
|
|
3.4
|
%
|
|
3.6
|
%
|
|
Maryland
|
|
3.1
|
%
|
|
3.3
|
%
|
|
Pennsylvania
|
|
3.1
|
%
|
|
2.9
|
%
|
|
Virginia
|
|
2.7
|
%
|
|
2.7
|
%
|
|
Other U.S.
|
|
36.6
|
%
|
|
37.9
|
%
|
|
|
|
100.0
|
%
|
|
100.0
|
%
|
|
Days Past Due
|
|
Unpaid Principal Balance
|
|
Fair Value
|
|
Fair Value Over (Under) Unpaid Principal Balance
|
||||||
|
90 to 119
|
|
$
|
336,910
|
|
|
$
|
275,597
|
|
|
$
|
(61,313
|
)
|
|
120+
|
|
291,390
|
|
|
267,673
|
|
|
(23,717
|
)
|
|||
|
|
|
$
|
628,300
|
|
|
$
|
543,270
|
|
|
$
|
(85,030
|
)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
December 31, 2019
|
|
|
Days Past Due
|
Delinquency Status(A)
|
||
|
Current
|
|
86.5
|
%
|
|
30-59
|
|
7.0
|
%
|
|
60-89
|
|
2.7
|
%
|
|
90-119(B)
|
|
0.7
|
%
|
|
120+(C)
|
|
3.1
|
%
|
|
|
|
100.0
|
%
|
|
(A)
|
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
|
|
(B)
|
Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due.
|
|
(C)
|
Represents nonaccrual loans.
|
|
Balance at December 31, 2019
|
$
|
925,706
|
|
|
Fair value adjustment due to fair value option
|
(6,020
|
)
|
|
|
Purchases/additional fundings
|
—
|
|
|
|
Proceeds from repayments
|
(31,233
|
)
|
|
|
Transfer of loans to other assets(A)
|
—
|
|
|
|
Transfer of loans to real estate owned
|
(2,410
|
)
|
|
|
Transfers of loans to held for sale
|
—
|
|
|
|
Fair value adjustment
|
(61,860
|
)
|
|
|
Balance at March 31, 2020
|
$
|
824,183
|
|
|
(A)
|
Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2).
|
|
Balance at December 31, 2019
|
|
$
|
1,414,528
|
|
|
Originations
|
|
11,440,093
|
|
|
|
Sales
|
|
(11,358,767
|
)
|
|
|
Proceeds from repayments
|
|
(170
|
)
|
|
|
Transfer of loans to real estate owned
|
|
—
|
|
|
|
Transfer of loans to other assets
|
|
(1,707
|
)
|
|
|
Fair value adjustment
|
|
(14,447
|
)
|
|
|
Balance at March 31, 2020
|
|
$
|
1,479,530
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
Balance at December 31, 2019
|
|
$
|
3,199,084
|
|
|
Purchases(A)
|
|
878,049
|
|
|
|
Sales
|
|
(2,028,620
|
)
|
|
|
Proceeds from repayments
|
|
(47,200
|
)
|
|
|
Transfer of loans to real estate owned
|
|
(2,997
|
)
|
|
|
Transfer of loans to other assets
|
|
(4,936
|
)
|
|
|
Fair value adjustment
|
|
(188,937
|
)
|
|
|
Balance at March 31, 2020
|
|
$
|
1,804,443
|
|
|
(A)
|
Includes an acquisition date fair value adjustment increase of $0.4 million on loans acquired through call transactions executed during the three months ended March 31, 2020.
|
|
Balance at December 31, 2019
|
|
$
|
1,429,052
|
|
|
Purchases
|
|
109,666
|
|
|
|
Transfer of loans from held-for-investment
|
|
—
|
|
|
|
Sales
|
|
(103,327
|
)
|
|
|
Transfer of loans to real estate owned
|
|
(12,238
|
)
|
|
|
Transfer of loans to other assets
|
|
(390
|
)
|
|
|
Proceeds from repayments
|
|
(59,526
|
)
|
|
|
Valuation provision on loans
|
|
(98,704
|
)
|
|
|
Balance at March 31, 2020
|
|
$
|
1,264,533
|
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Interest Income:
|
|
|
|
|
||||
|
Acquired Residential Mortgage Loans, held-for-investment
|
|
$
|
15,109
|
|
|
$
|
17,203
|
|
|
Acquired Residential Mortgage Loans, held-for-sale
|
|
17,780
|
|
|
15,179
|
|
||
|
Acquired Residential Mortgage Loans, held-for-sale, at fair value
|
|
27,032
|
|
|
25,807
|
|
||
|
Originated Residential Mortgage Loans, held-for-sale, at fair value
|
|
16,735
|
|
|
5,584
|
|
||
|
Total Interest Income on Residential Mortgage Loans
|
|
76,656
|
|
|
63,773
|
|
||
|
|
|
|
|
|
||||
|
Interest Expense:
|
|
|
|
|
||||
|
Acquired Residential Mortgage Loans, held-for-investment
|
|
5,200
|
|
|
6,005
|
|
||
|
Acquired Residential Mortgage Loans, held-for-sale
|
|
8,530
|
|
|
8,808
|
|
||
|
Acquired Residential Mortgage Loans, held-for-sale, at fair value
|
|
17,043
|
|
|
21,038
|
|
||
|
Originated Residential Mortgage Loans, held-for-sale, at fair value
|
|
13,427
|
|
|
5,158
|
|
||
|
Total Interest Expense on Residential Mortgage Loans
|
|
44,200
|
|
|
41,009
|
|
||
|
|
|
|
|
|
||||
|
Total Net Interest Income on Residential Mortgage Loans
|
|
$
|
32,456
|
|
|
$
|
22,764
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Gain on loans originated and sold, net(A)
|
|
$
|
39,289
|
|
|
$
|
27,542
|
|
|
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
|
|
(46,314
|
)
|
|
(11,423
|
)
|
||
|
MSRs retained on transfer of loans(C)
|
|
195,896
|
|
|
36,429
|
|
||
|
Other(D)
|
|
16,627
|
|
|
7,280
|
|
||
|
Realized gain on sale of originated mortgage loans, net
|
|
$
|
205,498
|
|
|
$
|
59,828
|
|
|
Change in fair value of loans
|
|
22,275
|
|
|
5,349
|
|
||
|
Change in fair value of interest rate lock commitments (Note 10)
|
|
91,249
|
|
|
3,208
|
|
||
|
Change in fair value of derivative instruments (Note 10)
|
|
(139,324
|
)
|
|
(1,215
|
)
|
||
|
Gain on originated mortgage loans, held-for-sale, net
|
|
$
|
179,698
|
|
|
$
|
67,170
|
|
|
(A)
|
Includes loan origination fees of $277.0 million and $25.0 million in the three months ended March 31, 2020 and 2019, respectively.
|
|
(B)
|
Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments.
|
|
(C)
|
Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained.
|
|
(D)
|
Includes fees for services associated with the loan origination process.
|
|
|
|
Real Estate Owned
|
||
|
Balance at December 31, 2019
|
|
$
|
93,672
|
|
|
Purchases
|
|
3,910
|
|
|
|
Transfer of loans to real estate owned
|
|
20,240
|
|
|
|
Sales(A)
|
|
(34,741
|
)
|
|
|
Valuation (provision) reversal on REO
|
|
(1,792
|
)
|
|
|
Balance at March 31, 2020
|
|
$
|
81,289
|
|
|
(A)
|
Recognized when control of the property has transferred to the buyer.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
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)
|
|||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Consumer Loan Companies
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Performing Loans
|
$
|
606,120
|
|
|
53.5
|
%
|
|
$
|
627,001
|
|
|
18.8
|
%
|
|
4.0
|
|
4.7
|
%
|
|
Purchased Credit Deteriorated Loans(C)
|
158,920
|
|
|
53.5
|
%
|
|
147,606
|
|
|
15.3
|
%
|
|
3.7
|
|
9.7
|
%
|
||
|
Other - Performing Loans
|
6,958
|
|
|
100.0
|
%
|
|
6,214
|
|
|
15.1
|
%
|
|
0.7
|
|
5.1
|
%
|
||
|
Total Consumer Loans, held-for-investment
|
$
|
771,998
|
|
|
|
|
$
|
780,821
|
|
|
18.0
|
%
|
|
3.9
|
|
5.7
|
%
|
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Consumer Loan Companies
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Performing Loans
|
$
|
644,676
|
|
|
53.5
|
%
|
|
$
|
682,310
|
|
|
18.8
|
%
|
|
4.0
|
|
4.7
|
%
|
|
Purchased Credit Deteriorated Loans(C)
|
170,083
|
|
|
53.5
|
%
|
|
136,633
|
|
|
15.5
|
%
|
|
3.7
|
|
10.1
|
%
|
||
|
Other - Performing Loans
|
9,158
|
|
|
100.0
|
%
|
|
8,602
|
|
|
15.1
|
%
|
|
0.7
|
|
6.1
|
%
|
||
|
Total Consumer Loans, held-for-investment
|
$
|
823,917
|
|
|
|
|
$
|
827,545
|
|
|
18.0
|
%
|
|
3.9
|
|
5.9
|
%
|
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
Days Past Due
|
|
Unpaid Principal Balance
|
|
Fair Value
|
|
Fair Value Over (Under) Unpaid Principal Balance
|
|||
|
Under 90 Days
|
|
755,681
|
|
|
764,479
|
|
|
8,798
|
|
|
90 days or more past due
|
|
16,317
|
|
|
16,342
|
|
|
25
|
|
|
Total
|
|
771,998
|
|
|
780,821
|
|
|
8,823
|
|
|
|
|
December 31, 2019
|
|
|
Days Past Due
|
|
Delinquency Status(A)
|
|
|
Current
|
|
95.3
|
%
|
|
30-59
|
|
1.8
|
%
|
|
60-89
|
|
1.2
|
%
|
|
90-119(B)
|
|
0.7
|
%
|
|
120+(B) (C)
|
|
1.0
|
%
|
|
|
|
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.
|
|
Balance at December 31, 2019
|
|
$
|
827,545
|
|
|
Fair value adjustment due to fair value option
|
|
36,472
|
|
|
|
Purchases
|
|
—
|
|
|
|
Additional fundings(A)
|
|
11,002
|
|
|
|
Proceeds from repayments
|
|
(61,213
|
)
|
|
|
Accretion of loan discount and premium amortization, net
|
|
6,932
|
|
|
|
Fair value adjustment
|
|
(39,917
|
)
|
|
|
Balance at March 31, 2020
|
|
$
|
780,821
|
|
|
(A)
|
Represents draws on consumer loans with revolving privileges.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||
|
|
|
2019(A)
|
||
|
Interest income
|
|
$
|
7,977
|
|
|
Interest expense
|
|
(2,822
|
)
|
|
|
Change in fair value of consumer loans and warrants
|
|
14,536
|
|
|
|
Gain on sale of consumer loans(B)
|
|
(446
|
)
|
|
|
Other expenses
|
|
(1,456
|
)
|
|
|
Net income
|
|
$
|
17,789
|
|
|
New Residential’s equity in net income
|
|
$
|
4,311
|
|
|
New Residential’s ownership
|
|
24.2
|
%
|
|
|
(A)
|
Data for the period ended February 28, 2019 as a result of the one month reporting lag.
|
|
(B)
|
During the three months ended March 31, 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)
|
|||||||
|
March 31, 2019(C)
|
$
|
259,618
|
|
|
25.0
|
%
|
|
$
|
259,618
|
|
|
14.0
|
%
|
|
1.3
|
|
1.4
|
%
|
|
(A)
|
Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
|
|
(B)
|
Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties.
|
|
(C)
|
Data as of February 28, 2019 as a result of the one month reporting lag.
|
|
10.
|
DERIVATIVES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
Balance Sheet Location
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Derivative assets
|
|
|
|
|
|
||||
|
Interest Rate Swaps(A)
|
Other assets
|
|
$
|
48
|
|
|
$
|
155
|
|
|
Interest Rate Lock Commitments
|
Other assets
|
|
132,568
|
|
|
41,346
|
|
||
|
|
|
|
$
|
132,616
|
|
|
$
|
41,501
|
|
|
Derivative liabilities
|
|
|
|
|
|
||||
|
Interest Rate Lock Commitments
|
Accrued expenses and other liabilities
|
|
$
|
1,428
|
|
|
$
|
1,455
|
|
|
Forward Loan Sale Commitments
|
Accrued expenses and other liabilities
|
|
—
|
|
|
27
|
|
||
|
TBAs
|
Accrued expenses and other liabilities
|
|
158,925
|
|
|
5,403
|
|
||
|
|
|
|
$
|
160,353
|
|
|
$
|
6,885
|
|
|
(A)
|
Net of $245.4 million and $171.8 million of related variation margin accounts as of March 31, 2020 and December 31, 2019, respectively.
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Interest Rate Caps(A)
|
$
|
12,500
|
|
|
$
|
12,500
|
|
|
Interest Rate Swaps(B)
|
9,070,000
|
|
|
4,900,000
|
|
||
|
Interest Rate Lock Commitments
|
5,861,166
|
|
|
4,043,935
|
|
||
|
Forward Loan Sale Commitments
|
—
|
|
|
43,654
|
|
||
|
TBAs, short position(C)
|
4,245,000
|
|
|
5,048,000
|
|
||
|
TBAs, long position(C)
|
13,705,341
|
|
|
11,692,212
|
|
||
|
(A)
|
As of March 31, 2020, caps LIBOR at 4.00% for $12.5 million of notional. The weighted average maturity of the interest rate caps as of March 31, 2020 was 8 months.
|
|
(B)
|
Includes $4.4 billion notional of Receive LIBOR/Pay Fixed of 2.96% and $4.7 billion notional of Receive Fixed of 0.80%/Pay LIBOR with weighted average maturities of 37 months and 36 months, respectively, as of March 31, 2020. Includes $4.0 billion notional of Receive LIBOR/Pay Fixed of 3.21% and $0.9 billion notional of Receive Fixed of 1.89%/Pay LIBOR with weighted average maturities of 36 months and 87 months, respectively, as of December 31, 2019.
|
|
(C)
|
Represents the notional amount of Agency RMBS, classified as derivatives.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
For the
Three Months Ended March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Change in fair value of derivative investments(A)
|
|
|
|
|
||||
|
Interest Rate Caps
|
|
$
|
—
|
|
|
$
|
2,776
|
|
|
Interest Rate Swaps
|
|
(39,982
|
)
|
|
(3
|
)
|
||
|
Unrealized gains (losses) on Interest Rate Lock Commitments
|
|
—
|
|
|
(28,533
|
)
|
||
|
|
|
(39,982
|
)
|
|
(25,760
|
)
|
||
|
Gain (loss) on settlement of investments, net
|
|
|
|
|
||||
|
Interest Rate Swaps
|
|
(13,652
|
)
|
|
(16,378
|
)
|
||
|
TBAs(B)
|
|
(71,060
|
)
|
|
(76,698
|
)
|
||
|
|
|
(84,712
|
)
|
|
(93,076
|
)
|
||
|
Gain on originated mortgage loans, held-for-sale, net(A)
|
|
|
|
|
||||
|
Interest Rate Lock Commitments
|
|
91,249
|
|
|
3,208
|
|
||
|
TBAs
|
|
(139,351
|
)
|
|
(1,194
|
)
|
||
|
Forward Loan Sale Commitments
|
|
27
|
|
|
(21
|
)
|
||
|
|
|
(48,075
|
)
|
|
1,993
|
|
||
|
|
|
|
|
|
||||
|
Total income (losses)
|
|
$
|
(172,769
|
)
|
|
$
|
(116,843
|
)
|
|
(A)
|
Represents unrealized gains (losses).
|
|
(B)
|
Excludes $46.3 million and $11.4 million in loss on settlement included within gain on originated mortgage loans, held-for-sale, net (Note 8), for the three months ended March 31, 2020 and 2019, respectively.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
11.
|
DEBT OBLIGATIONS
|
|
|
|
March 31, 2020
|
|
December 31, 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)
|
|
Carrying Value(A)
|
|||||||||||||
|
Repurchase Agreements(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Agency RMBS(D)
|
|
$
|
302,508
|
|
|
$
|
302,508
|
|
|
Apr-20 to Jun-20
|
|
1.68
|
%
|
|
0.1
|
|
$
|
306,566
|
|
|
$
|
308,486
|
|
|
$
|
318,567
|
|
|
6.8
|
|
$
|
15,481,677
|
|
|
Non-Agency RMBS (E)
|
|
6,131,955
|
|
|
6,131,955
|
|
|
Apr-20 to Sep-20
|
|
2.77
|
%
|
|
0.1
|
|
25,071,311
|
|
|
6,413,847
|
|
|
5,389,267
|
|
|
2.8
|
|
7,317,519
|
|
||||||
|
Residential Mortgage Loans(F)
|
|
4,311,309
|
|
|
4,309,869
|
|
|
May-20 to May-21
|
|
2.70
|
%
|
|
0.8
|
|
5,003,435
|
|
|
5,411,739
|
|
|
4,612,611
|
|
|
12.4
|
|
5,053,207
|
|
||||||
|
Real Estate Owned(G)(H)
|
|
69,798
|
|
|
69,798
|
|
|
May-20 to May-21
|
|
2.70
|
%
|
|
0.7
|
|
N/A
|
|
|
N/A
|
|
|
88,221
|
|
|
N/A
|
|
63,822
|
|
||||||
|
Total Repurchase Agreements
|
|
10,815,570
|
|
|
10,814,130
|
|
|
|
|
2.71
|
%
|
|
0.4
|
|
|
|
|
|
|
|
|
|
27,916,225
|
|
|||||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Excess MSRs(I)
|
|
308,800
|
|
|
308,800
|
|
|
Feb-22 to Jul-22
|
|
4.29
|
%
|
|
2.2
|
|
94,182,895
|
|
|
302,878
|
|
|
377,649
|
|
|
6.1
|
|
217,300
|
|
||||||
|
MSRs(J)
|
|
2,546,879
|
|
|
2,541,089
|
|
|
Jun-20 to Jul-24
|
|
3.76
|
%
|
|
1.4
|
|
424,610,405
|
|
|
4,450,640
|
|
|
4,603,915
|
|
|
5.8
|
|
2,640,036
|
|
||||||
|
Servicer Advances(K)
|
|
2,976,208
|
|
|
2,969,209
|
|
|
Jun-20 to Aug-23
|
|
2.49
|
%
|
|
2.0
|
|
3,388,387
|
|
|
3,582,852
|
|
|
3,588,437
|
|
|
1.5
|
|
3,181,672
|
|
||||||
|
Residential Mortgage Loans(L)
|
|
431,953
|
|
|
428,218
|
|
|
Apr-20 to Dec-45
|
|
4.68
|
%
|
|
8.4
|
|
685,168
|
|
|
987,623
|
|
|
633,205
|
|
|
4.6
|
|
864,451
|
|
||||||
|
Consumer Loans(M)
|
|
764,259
|
|
|
767,263
|
|
|
May-36
|
|
3.26
|
%
|
|
3.9
|
|
764,960
|
|
|
772,715
|
|
|
774,527
|
|
|
3.9
|
|
816,689
|
|
||||||
|
Total Notes and Bonds Payable
|
|
7,028,099
|
|
|
7,014,579
|
|
|
|
|
3.25
|
%
|
|
2.4
|
|
|
|
|
|
|
|
|
|
7,720,148
|
|
|||||||||
|
Total/ Weighted Average
|
|
$
|
17,843,669
|
|
|
$
|
17,828,709
|
|
|
|
|
2.92
|
%
|
|
1.2
|
|
|
|
|
|
|
|
|
|
$
|
35,636,373
|
|
||||||
|
(A)
|
Net of deferred financing costs.
|
|
(B)
|
All debt obligations with a stated maturity through April 30, 2020 were refinanced, extended or repaid.
|
|
(C)
|
These repurchase agreements had approximately $80.4 million of associated accrued interest payable as of March 31, 2020.
|
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $2.9 billion of related trade and other receivables.
|
|
(E)
|
$5,615.0 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $517.0 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements and related collateral of $7.5 million and $10.0 million, respectively, on retained consumer loan bonds and of $533.3 million and $697.6 million, respectively, on retained bonds collateralized by Agency MSRs. Collateral amounts also include approximately $3.3 billion of related trade and other receivables.
|
|
(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 $91.5 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% and $217.3 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 2.75%. 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: $1,232.8 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%; $56.9 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50%; and $1,257.2 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 MSR financing receivables that secure these notes.
|
|
(K)
|
$1.9 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.00%
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(L)
|
Represents: (i) a $5.0 million note payable to Mr. Cooper which includes a $1.5 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $99.9 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from 3.50% to 3.75% (see Note 12 for fair value details), (iii) $176.1 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.60% (see Note 12 for fair value details), and (iv) $150.9 million of asset-backed notes held by third parties which include $1.2 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 composed of the following classes of asset-backed notes held by third parties: $685.1 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.
|
|
|
Excess MSRs
|
|
MSRs
|
|
Servicer Advances(A)
|
|
Real Estate Securities
|
|
Residential Mortgage Loans and REO
|
|
Consumer Loans
|
|
Total
|
||||||||||||||
|
Balance at December 31, 2019
|
$
|
217,300
|
|
|
$
|
2,640,036
|
|
|
$
|
3,181,672
|
|
|
$
|
22,799,196
|
|
|
$
|
5,981,480
|
|
|
$
|
816,689
|
|
|
$
|
35,636,373
|
|
|
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Borrowings
|
—
|
|
|
—
|
|
|
—
|
|
|
64,122,355
|
|
|
12,058,709
|
|
|
—
|
|
|
76,181,064
|
|
|||||||
|
Repayments
|
—
|
|
|
—
|
|
|
—
|
|
|
(80,487,088
|
)
|
|
(12,796,116
|
)
|
|
—
|
|
|
(93,283,204
|
)
|
|||||||
|
Capitalized deferred financing costs, net of amortization
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45
|
|
|
—
|
|
|
45
|
|
|||||||
|
Notes and Bonds Payable:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Borrowings
|
97,173
|
|
|
347,020
|
|
|
1,034,484
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,478,677
|
|
|||||||
|
Repayments
|
(5,673
|
)
|
|
(446,681
|
)
|
|
(1,247,762
|
)
|
|
—
|
|
|
(419,231
|
)
|
|
(49,549
|
)
|
|
(2,168,896
|
)
|
|||||||
|
Discount on borrowings, net of amortization
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
123
|
|
|
123
|
|
|||||||
|
Unrealized loss on notes, fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,002
|
)
|
|
—
|
|
|
(17,002
|
)
|
|||||||
|
Capitalized deferred financing costs, net of amortization
|
—
|
|
|
714
|
|
|
815
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,529
|
|
|||||||
|
Balance at March 31, 2020
|
$
|
308,800
|
|
|
$
|
2,541,089
|
|
|
$
|
2,969,209
|
|
|
$
|
6,434,463
|
|
|
$
|
4,807,885
|
|
|
$
|
767,263
|
|
|
$
|
17,828,709
|
|
|
(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)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
Year Ending
|
|
Nonrecourse
|
|
Recourse
|
|
Total
|
||||||
|
April 1 through December 31, 2020
|
|
$
|
134,958
|
|
|
$
|
11,639,359
|
|
|
$
|
11,774,317
|
|
|
2021
|
|
1,227,143
|
|
|
1,090,798
|
|
|
2,317,941
|
|
|||
|
2022
|
|
1,271,962
|
|
|
308,800
|
|
|
1,580,762
|
|
|||
|
2023
|
|
400,000
|
|
|
361,803
|
|
|
761,803
|
|
|||
|
2024
|
|
—
|
|
|
368,593
|
|
|
368,593
|
|
|||
|
2025 and thereafter
|
|
1,040,253
|
|
|
—
|
|
|
1,040,253
|
|
|||
|
|
|
$
|
4,074,316
|
|
|
$
|
13,769,353
|
|
|
$
|
17,843,669
|
|
|
Debt Obligations / Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing(A)
|
||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
||||||
|
Residential mortgage loans and REO
|
|
$
|
5,731,188
|
|
|
$
|
2,876,008
|
|
|
$
|
2,855,180
|
|
|
New loan originations
|
|
4,083,000
|
|
|
1,505,099
|
|
|
2,577,901
|
|
|||
|
Non-Agency RMBS
|
|
650,000
|
|
|
517,004
|
|
|
132,996
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
|
Excess MSRs
|
|
100,000
|
|
|
91,500
|
|
|
8,500
|
|
|||
|
MSRs
|
|
1,575,000
|
|
|
1,289,637
|
|
|
285,363
|
|
|||
|
Servicer advances
|
|
1,575,000
|
|
|
1,076,243
|
|
|
498,757
|
|
|||
|
Residential mortgage loans
|
|
650,000
|
|
|
150,886
|
|
|
499,114
|
|
|||
|
Consumer loans
|
|
150,000
|
|
|
—
|
|
|
150,000
|
|
|||
|
|
|
$
|
14,514,188
|
|
|
$
|
7,506,377
|
|
|
$
|
7,007,811
|
|
|
(A)
|
New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(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)
|
$
|
85,009,386
|
|
|
$
|
363,932
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
363,932
|
|
|
$
|
363,932
|
|
|
|
Excess mortgage servicing rights, equity method investees, at fair value(A)
|
33,251,300
|
|
|
119,609
|
|
|
—
|
|
|
—
|
|
|
119,609
|
|
|
119,609
|
|
|||||||
|
Mortgage servicing rights, at fair value(A)
|
403,706,059
|
|
|
3,934,384
|
|
|
—
|
|
|
—
|
|
|
3,934,384
|
|
|
3,934,384
|
|
|||||||
|
Mortgage servicing rights financing receivables, at fair value
|
123,066,762
|
|
|
1,604,431
|
|
|
—
|
|
—
|
|
—
|
|
|
1,604,431
|
|
|
1,604,431
|
|
||||||
|
Servicer advance investments, at fair
value
|
461,723
|
|
|
515,574
|
|
|
—
|
|
|
—
|
|
|
515,574
|
|
|
515,574
|
|
|||||||
|
Real estate and other securities, available-for-sale
|
20,834,705
|
|
|
2,479,603
|
|
|
—
|
|
|
318,568
|
|
|
2,161,035
|
|
|
2,479,603
|
|
|||||||
|
Residential mortgage loans, held-for-sale
|
1,470,604
|
|
|
1,264,533
|
|
|
—
|
|
|
—
|
|
|
1,264,533
|
|
|
1,264,533
|
|
|||||||
|
Residential mortgage loans, held-for-sale, at fair value
|
3,476,667
|
|
|
3,283,973
|
|
|
—
|
|
|
1,633,481
|
|
|
1,650,492
|
|
|
3,283,973
|
|
|||||||
|
Residential mortgage loans, held-for-investment, at fair value
|
919,461
|
|
|
824,183
|
|
|
—
|
|
|
—
|
|
|
824,183
|
|
|
824,183
|
|
|||||||
|
Residential mortgage loans subject to repurchase
|
197,715
|
|
|
197,715
|
|
|
—
|
|
|
197,715
|
|
|
—
|
|
|
197,715
|
|
|||||||
|
Consumer loans, held-for-investment, at fair value
|
771,998
|
|
|
780,821
|
|
|
—
|
|
|
—
|
|
|
780,821
|
|
|
780,821
|
|
|||||||
|
Derivative assets
|
14,724,133
|
|
|
132,616
|
|
|
—
|
|
|
48
|
|
|
132,568
|
|
|
132,616
|
|
|||||||
|
Note receivable
|
46,724
|
|
|
42,787
|
|
|
—
|
|
|
—
|
|
|
42,787
|
|
|
42,787
|
|
|||||||
|
Cash and cash equivalents
|
360,453
|
|
|
360,453
|
|
|
360,453
|
|
|
—
|
|
|
—
|
|
|
360,453
|
|
|||||||
|
Restricted cash
|
147,435
|
|
|
147,435
|
|
|
147,435
|
|
|
—
|
|
|
—
|
|
|
147,435
|
|
|||||||
|
Other assets(B)
|
N/A
|
|
|
45,118
|
|
|
2,902
|
|
|
—
|
|
|
42,216
|
|
|
45,118
|
|
|||||||
|
|
|
|
$
|
16,097,167
|
|
|
$
|
510,790
|
|
|
$
|
2,149,812
|
|
|
$
|
13,436,565
|
|
|
$
|
16,097,167
|
|
|||
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Repurchase agreements
|
$
|
10,815,570
|
|
|
$
|
10,814,130
|
|
|
$
|
—
|
|
|
$
|
10,815,570
|
|
|
$
|
—
|
|
|
$
|
10,815,570
|
|
|
|
Notes and bonds payable(C)
|
7,028,099
|
|
|
7,014,579
|
|
|
—
|
|
|
—
|
|
|
6,238,923
|
|
|
6,238,923
|
|
|||||||
|
Residential mortgage loan repurchase liability
|
197,715
|
|
|
197,715
|
|
|
—
|
|
|
197,715
|
|
|
—
|
|
|
197,715
|
|
|||||||
|
Derivative liabilities
|
18,169,875
|
|
|
160,353
|
|
|
—
|
|
|
158,925
|
|
|
1,428
|
|
|
160,353
|
|
|||||||
|
Excess spread financing
|
2,839,463
|
|
|
25,614
|
|
|
—
|
|
|
—
|
|
|
25,614
|
|
|
25,614
|
|
|||||||
|
Contingent consideration
|
N/A
|
|
|
56,836
|
|
|
—
|
|
|
—
|
|
|
56,836
|
|
|
56,836
|
|
|||||||
|
|
|
|
$
|
18,269,227
|
|
|
$
|
—
|
|
|
$
|
11,172,210
|
|
|
$
|
6,322,801
|
|
|
$
|
17,495,011
|
|
|||
|
(A)
|
The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
|
|
(B)
|
Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.9 million as of March 31, 2020.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(C)
|
Includes the SAFT 2013-1 and MDST Trusts mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $272.3 million as of March 31, 2020.
|
|
|
Level 3
|
|
|
|
|
||||||||||||||||||||||||||||||||||||||
|
|
Excess MSRs(A)
|
|
Excess MSRs in Equity Method Investees(A)(B)
|
|
MSRs(A)
|
|
MSR Financing Receivables(A)
|
|
Servicer Advance Investments
|
|
Non-Agency RMBS
|
|
Derivatives(C)
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
|
||||||||||||||||||||||||
|
|
Agency
|
|
Non-Agency
|
|
|
|
|
|
|
Total
|
|||||||||||||||||||||||||||||||||
|
Balance at December 31, 2019
|
$
|
209,633
|
|
|
$
|
170,114
|
|
|
$
|
125,596
|
|
|
$
|
3,967,960
|
|
|
$
|
1,718,273
|
|
|
$
|
581,777
|
|
|
$
|
7,957,785
|
|
|
$
|
39,891
|
|
|
$
|
3,998,825
|
|
|
$
|
—
|
|
|
$
|
18,769,854
|
|
|
Transfers
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Transfers from Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(467,263
|
)
|
|
|
|
|
(467,263
|
)
|
|||||||||||
|
Transfers to Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
440,168
|
|
|
827,545
|
|
|
1,267,713
|
|
|||||||||||
|
Shellpoint Acquisition
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
|
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
|
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Included in provision (reversal) for credit losses on securities(D)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,149
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,149
|
)
|
|||||||||||
|
Included in change in fair value of investments in excess mortgage servicing rights(D)
|
(5,557
|
)
|
|
(5,467
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,024
|
)
|
|||||||||||
|
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees(D)
|
—
|
|
|
—
|
|
|
(457
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(457
|
)
|
|||||||||||
|
Included in servicing revenue, net(E)
|
—
|
|
|
—
|
|
|
—
|
|
|
(655,800
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(655,800
|
)
|
|||||||||||
|
Included in change in fair value of investments in mortgage servicing rights financing receivables(D)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(104,111
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(104,111
|
)
|
|||||||||||
|
Included in change in fair value of servicer advance investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,749
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,749
|
)
|
|||||||||||
|
Included in change in fair value of investments in residential mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(265,244
|
)
|
|
—
|
|
|
(265,244
|
)
|
|||||||||||
|
Included in gain (loss) on settlement of investments, net
|
8
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(924,897
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(924,888
|
)
|
|||||||||||
|
Included in other income (loss), net(D)
|
557
|
|
|
70
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(87,650
|
)
|
|
91,249
|
|
|
730
|
|
|
(39,916
|
)
|
|
(34,960
|
)
|
|||||||||||
|
Gains (losses) included in other comprehensive income(F)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(640,403
|
)
|
|
—
|
|
|
(6,020
|
)
|
|
36,472
|
|
|
(609,951
|
)
|
|||||||||||
|
Interest income
|
6,146
|
|
|
7,080
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,089
|
)
|
|
67,123
|
|
|
—
|
|
|
—
|
|
|
6,932
|
|
|
69,192
|
|
|||||||||||
|
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
436,395
|
|
|
—
|
|
|
330,140
|
|
|
538,964
|
|
|
—
|
|
|
1,250,157
|
|
|
11,002
|
|
|
2,566,658
|
|
|||||||||||
|
Proceeds from sales
|
(31
|
)
|
|
(3
|
)
|
|
—
|
|
|
(8,504
|
)
|
|
(3,708
|
)
|
|
—
|
|
|
(4,358,894
|
)
|
|
—
|
|
|
(2,393,309
|
)
|
|
—
|
|
|
(6,764,449
|
)
|
|||||||||||
|
Proceeds from repayments
|
(10,589
|
)
|
|
(8,030
|
)
|
|
(5,530
|
)
|
|
(1,563
|
)
|
|
(6,023
|
)
|
|
(359,505
|
)
|
|
(346,844
|
)
|
|
—
|
|
|
(83,369
|
)
|
|
(61,214
|
)
|
|
(882,667
|
)
|
|||||||||||
|
Originations and other
|
—
|
|
|
—
|
|
|
—
|
|
|
195,896
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
195,896
|
|
|||||||||||
|
Balance at March 31, 2020
|
$
|
200,167
|
|
|
$
|
163,765
|
|
|
$
|
119,609
|
|
|
$
|
3,934,384
|
|
|
$
|
1,604,431
|
|
|
$
|
515,574
|
|
|
$
|
2,161,035
|
|
|
$
|
131,140
|
|
|
$
|
2,474,675
|
|
|
$
|
780,821
|
|
|
$
|
12,085,601
|
|
|
(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)
|
The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates and realized gains (losses) recorded during the period.
|
|
(E)
|
The components of Servicing revenue, net are disclosed in Note 5.
|
|
(F)
|
These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Level 3
|
|
|
||||||||||||
|
|
|
Excess Spread Financing
|
|
Mortgage-Backed Securities Issued
|
|
Contingent Consideration
|
|
|
||||||||
|
|
|
|
Total
|
|||||||||||||
|
Balance at December 31, 2019
|
|
$
|
31,777
|
|
|
$
|
659,738
|
|
|
$
|
55,222
|
|
|
$
|
746,737
|
|
|
Transfers
|
|
|
|
|
|
|
|
|
||||||||
|
Transfers from Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Transfers to Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Acquisition
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Gains (losses) included in net income
|
|
|
|
|
|
|
|
|
||||||||
|
Included in provision (reversal) for credit losses on securities(A)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
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(A)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Included in servicing revenue, net(B)
|
|
(6,425
|
)
|
|
—
|
|
|
—
|
|
|
(6,425
|
)
|
||||
|
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
|
|
—
|
|
|
(17,002
|
)
|
|
—
|
|
|
(17,002
|
)
|
||||
|
Included in gain (loss) on settlement of investments, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Included in other income(A)
|
|
—
|
|
|
—
|
|
|
1,614
|
|
|
1,614
|
|
||||
|
Gains (losses) included in other comprehensive income, net of tax(C)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Interest income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
||||||||
|
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Proceeds from sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Payments
|
|
—
|
|
|
(368,979
|
)
|
|
—
|
|
|
(368,979
|
)
|
||||
|
Other
|
|
262
|
|
|
(1,465
|
)
|
|
—
|
|
|
(1,203
|
)
|
||||
|
Balance at March 31, 2020
|
|
$
|
25,614
|
|
|
$
|
272,292
|
|
|
$
|
56,836
|
|
|
$
|
354,742
|
|
|
(A)
|
The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period.
|
|
(B)
|
The components of Servicing revenue, net are disclosed in Note 5.
|
|
(C)
|
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)
|
|
March 31, 2020
|
|
(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
|
|
5.7% - 10.2% (8.1%)
|
|
0.0% - 4.8% (1.7%)
|
|
4.4% - 28.7% (18.5%)
|
|
15 - 31 (21)
|
|
15 - 22 (20)
|
|
Recaptured Pools
|
|
6.4% - 11.2% (10.1%)
|
|
0.1% - 4.0% (0.8%)
|
|
0.0% - 35.7% (26.3%)
|
|
20 - 29 (23)
|
|
20 - 24 (23)
|
|
|
|
5.7% - 11.2% (8.7%)
|
|
0.0% - 4.8% (1.4%)
|
|
0.0% - 35.7% (21.0%)
|
|
15 - 31 (22)
|
|
15 - 24 (21)
|
|
Non-Agency(G)
|
|
|
|
|
|
|
|
|
|
|
|
Mr. Cooper and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
Original Pools
|
|
7.8% - 11.9% (8.9%)
|
|
N/A
|
|
0.0% - 14.2% (12.5%)
|
|
5 - 25 (15)
|
|
19 - 31 (23)
|
|
Recaptured Pools
|
|
6.2% - 7.5% (7.1%)
|
|
N/A
|
|
12.3% - 16.5% (14.9%)
|
|
22 - 27 (25)
|
|
21 - 24 (23)
|
|
|
|
6.2% - 11.9% (8.6%)
|
|
N/A
|
|
0.0% - 16.5% (12.9%)
|
|
5 - 27 (16)
|
|
19 - 31 (23)
|
|
Total/Weighted Average—Excess MSRs Directly Held
|
|
5.7% - 11.9% (8.7%)
|
|
N/A
|
|
0.0% - 35.7% (17.2%)
|
|
5 - 31 (19)
|
|
15 - 31 (22)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Excess MSRs Held through Equity Method Investees (Note 4)
|
|
|
|
|
|
|
|
|
||
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
Original Pools
|
|
8.4% - 9.2% (8.6%)
|
|
1.2% - 4.0% (2.1%)
|
|
13.7% - 28.6% (19.8%)
|
|
15 - 25 (19)
|
|
18 - 20 (19)
|
|
Recaptured Pools
|
|
9.4% - 10.2% (9.9%)
|
|
0.7% - 1.7% (1.2%)
|
|
20.8% - 29.3% (24.6%)
|
|
22 - 28 (24)
|
|
21 - 24 (22)
|
|
Total/Weighted Average—Excess MSRs Held through Investees
|
|
8.4% - 10.2% (9.2%)
|
|
0.7% - 4.0% (1.7%)
|
|
13.7% - 29.3% (22.1%)
|
|
15 - 28 (21)
|
|
18 - 24 (20)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total/Weighted Average—Excess MSRs All Pools
|
|
5.7% - 11.9% (8.9%)
|
|
N/A
|
|
0.0% - 35.7% (18.9%)
|
|
5 - 31 (20)
|
|
15 - 31 (21)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MSRs
|
|
|
|
|
|
|
|
|
|
|
|
Agency(H)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing Rights(I) (J)
|
|
10.7% - 16.5% (12.0%)
|
|
0.1% - 3.4% (1.2%)
|
|
5.1% - 25.1% (20.5%)
|
|
25 - 33 (28)
|
|
0 - 30 (22)
|
|
MSR Financing Receivables(I)
|
|
11.8% - 14.9% (13.1%)
|
|
0.5% - 0.8% (0.6%)
|
|
12.4% - 18.6% (15.1%)
|
|
25 - 29 (27)
|
|
0 - 30 (25)
|
|
|
|
10.7% - 16.5% (12.1%)
|
|
0.1% - 3.4% (1.2%)
|
|
5.1% - 25.1% (19.8%)
|
|
25 - 33 (28)
|
|
0 - 30 (22)
|
|
Non-Agency
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing Rights(I)
|
|
8.7% - 11.9% (11.7%)
|
|
0.3% - 13.2% (0.9%)
|
|
1.9% - 24.5% (23.5%)
|
|
26 - 87 (28)
|
|
0 - 30 (16)
|
|
MSR Financing Receivables(I)
|
|
8.1%
|
|
15.1%
|
|
9.4%
|
|
48
|
|
0 - 30 (25)
|
|
|
|
8.1% - 11.9% (8.2%)
|
|
0.3% - 15.1% (14.8%)
|
|
1.9% - 24.5% (9.6%)
|
|
26 - 87 (47)
|
|
0 - 30 (25)
|
|
Ginnie Mae
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing Rights(I) (J)
|
|
14.3% - 17.0% (15.8%)
|
|
2.0% - 6.1% (5.6%)
|
|
15.3% - 35.0% (23.9%)
|
|
32 - 52 (45)
|
|
0 - 30 (27)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total/Weighted Average—MSRs
|
|
8.1% - 17.0% (11.8%)
|
|
0.1% - 15.1% (4.5%)
|
|
1.9% - 35.0% (20.0%)
|
|
25 - 87 (34)
|
|
0 - 30 (23)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(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 $6.2 - $8.8 ($7.6) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.20 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $9.70 per loan per month was used to value the Ginnie Mae MSRs.
|
|
(F)
|
Weighted average maturity of the underlying residential mortgage loans in the pool.
|
|
(G)
|
For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used.
|
|
(H)
|
Represents Fannie Mae and Freddie Mac MSRs.
|
|
(I)
|
For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.
|
|
(J)
|
Includes valuation of the related Excess spread financing (Note 5).
|
|
|
Significant Inputs
|
||||||||||
|
|
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans
|
|
Prepayment Rate(A)
|
|
Delinquency
|
|
Mortgage Servicing Amount(B)
|
|
Discount Rate
|
|
Collateral Weighted Average Maturity (Years)(C)
|
|
March 31, 2020
|
0.8% - 1.6% (1.6%)
|
|
8.2% - 8.7% (8.7%)
|
|
5.4% - 17.7% (17.3%)
|
|
15.6 - 19.8 (19.6)
|
bps
|
5.8% - 6.3% (5.8%)
|
|
22.5 - 22.7 (22.7)
|
|
(A)
|
Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
|
|
(B)
|
Mortgage servicing amount is net of 11.0 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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
|
|
|
Fair Value
|
|||||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Multiple Quotes(A)
|
|
Single Quote(B)
|
|
Total
|
|
Level
|
|||||||||||
|
Agency RMBS
|
|
$
|
306,566
|
|
|
$
|
308,486
|
|
|
$
|
318,568
|
|
|
$
|
—
|
|
|
$
|
318,568
|
|
|
2
|
|
|
Non-Agency RMBS(C)
|
|
20,528,139
|
|
|
2,239,021
|
|
|
2,139,579
|
|
|
21,456
|
|
|
2,161,035
|
|
|
3
|
|
|||||
|
Total
|
|
$
|
20,834,705
|
|
|
$
|
2,547,507
|
|
|
$
|
2,458,147
|
|
|
$
|
21,456
|
|
|
$
|
2,479,603
|
|
|
|
|
|
(A)
|
New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for Non-Agency RMBS, there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate(a)
|
|
CDR(b)
|
|
Loss Severity(c)
|
||
|
Non-Agency RMBS
|
|
$
|
1,637,017
|
|
|
1.6% - 11.8% (5.1%)
|
|
2.3% - 27.1% (10.5%)
|
|
0% - 3.0% (1.0%)
|
|
12.9% - 85.6% (43.8%)
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
(C)
|
Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Acquired Loans
|
|
$
|
1,527,770
|
|
|
4.1% - 11.0%
(6.5%) |
|
0.0% - 14.1%
(5.0%) |
|
0.0% - 34.7%
(4.0%) |
|
0.0% - 60.0%
(27.0%) |
|
Originated Loans
|
|
122,722
|
|
|
7.0%
|
|
14.1%
|
|
1.2%
|
|
50.0%
|
|
|
Residential Mortgage Loans Held-for-Sale, at Fair Value
|
|
$
|
1,650,492
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Residential Mortgage Loans Held-for-Investment, at Fair Value
|
|
$
|
824,183
|
|
|
4.0% - 10.5%
(8.2%) |
|
3.0% - 15.0%
(6.6%) |
|
2.0% - 2.9%
(2.4%) |
|
20.0% - 47.9%
(36.6%) |
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Fair Value
|
|
Loan Funding Probability
|
|
Fair Value of initial servicing rights (bps)
|
||
|
IRLCs (net)
|
|
$
|
131,140
|
|
|
43% - 100% (76.5%)
|
|
2.33 - 306 (139.8)
|
|
|
|
Fair Value
|
|
Discount Rate
|
|
Prepayment Rate
|
|
CDR
|
|
Loss Severity
|
||
|
Mortgage-Backed Securities Issued
|
|
$
|
272,292
|
|
|
4.0% - 7.3%
(6.2%) |
|
3.3% - 15.0%
(7.5%) |
|
2.0% - 2.8%
(2.5%) |
|
20.0% - 30.0%
(26.5%) |
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Fair Value and Carrying Value
|
|
Discount Rate
|
|
Weighted Average Life (Years)(A)
|
|
Prepayment Rate
|
|
CDR(B)
|
|
Loss Severity(C)
|
||
|
Performing Loans
|
|
$
|
753,288
|
|
|
5.0% - 11.0%
(6.1%) |
|
2.4 - 4.8
(4.2) |
|
4.3% - 20.0%
(8.5%) |
|
1.3% - 34.7%
(6.9%) |
|
0.0% - 100.0%
(38.5%) |
|
Non-Performing Loans
|
|
511,245
|
|
|
5.8% - 8.5%
(8.3%) |
|
2.3 - 5.1
(3.2) |
|
2.0% - 6.3%
(3.1%) |
|
2.7% - 2.9%
(2.9%) |
|
18.9% - 30.0%
(29.6%) |
|
|
Total/Weighted Average
|
|
$
|
1,264,533
|
|
|
7.0%
|
|
3.8
|
|
6.3%
|
|
5.3%
|
|
34.9%
|
|
(A)
|
The weighted average life is based on the expected timing of the receipt of cash flows.
|
|
(B)
|
Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance.
|
|
(C)
|
Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Residential mortgage loan UPB
|
|
$
|
14,932,876
|
|
|
$
|
9,399,416
|
|
|
Weighted average delinquency(A)
|
|
2.45
|
%
|
|
2.03
|
%
|
||
|
Net credit losses
|
|
$
|
13,898
|
|
|
$
|
3,562
|
|
|
Face amount of debt held by third parties(B)
|
|
$
|
12,907,495
|
|
|
$
|
8,306,631
|
|
|
|
|
|
|
|
||||
|
Carrying value of bonds retained by New Residential(C) (D)
|
|
$
|
1,814,333
|
|
|
$
|
1,271,126
|
|
|
Cash flows received by New Residential on these bonds
|
|
$
|
79,250
|
|
|
$
|
62,845
|
|
|
(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.
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
The Buyer
|
|
Shelter Joint Ventures
|
|
Residential Mortgage Loans
|
|
Consumer Loan SPVs
|
|
Total
|
||||||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Servicer advance investments, at fair value
|
|
$
|
500,447
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
500,447
|
|
|
Residential mortgage loans, held-for-investment, at fair value
|
|
—
|
|
|
—
|
|
|
429,318
|
|
|
—
|
|
|
429,318
|
|
|||||
|
Consumer loans, held-for-investment, at fair value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
774,607
|
|
|
774,607
|
|
|||||
|
Cash and cash equivalents
|
|
29,942
|
|
|
22,517
|
|
|
—
|
|
|
—
|
|
|
52,459
|
|
|||||
|
Restricted cash
|
|
4,808
|
|
|
—
|
|
|
—
|
|
|
8,825
|
|
|
13,633
|
|
|||||
|
Other assets
|
|
7
|
|
|
4,656
|
|
|
1,941
|
|
|
11,279
|
|
|
17,883
|
|
|||||
|
Total Assets
|
|
$
|
535,204
|
|
|
$
|
27,173
|
|
|
$
|
431,259
|
|
|
$
|
794,711
|
|
|
$
|
1,788,347
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Notes and bonds payable(A)
|
|
$
|
415,036
|
|
|
$
|
—
|
|
|
$
|
272,293
|
|
|
$
|
771,232
|
|
|
$
|
1,458,561
|
|
|
Accrued expenses and other liabilities
|
|
1,581
|
|
|
4,481
|
|
|
—
|
|
|
3,885
|
|
|
9,947
|
|
|||||
|
Total Liabilities
|
|
$
|
416,617
|
|
|
$
|
4,481
|
|
|
$
|
272,293
|
|
|
$
|
775,117
|
|
|
$
|
1,468,508
|
|
|
March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Servicer advance investments, at fair value
|
|
$
|
674,607
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
674,607
|
|
|
Residential mortgage loans, held-for-investment, at fair value
|
|
—
|
|
|
—
|
|
|
429,229
|
|
|
—
|
|
|
429,229
|
|
|||||
|
Consumer loans, held-for-investment
|
|
—
|
|
|
—
|
|
|
—
|
|
|
981,931
|
|
|
981,931
|
|
|||||
|
Cash and cash equivalents
|
|
29,943
|
|
|
16,522
|
|
|
—
|
|
|
—
|
|
|
46,465
|
|
|||||
|
Restricted cash
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,899
|
|
|
9,899
|
|
|||||
|
Other assets
|
|
9,608
|
|
|
701
|
|
|
—
|
|
|
14,438
|
|
|
24,747
|
|
|||||
|
Total Assets
|
|
$
|
714,158
|
|
|
$
|
17,223
|
|
|
$
|
429,229
|
|
|
$
|
1,006,268
|
|
|
$
|
2,166,878
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Notes and bonds payable(A)
|
|
$
|
514,246
|
|
|
$
|
2,225
|
|
|
$
|
377,382
|
|
|
$
|
973,158
|
|
|
$
|
1,867,011
|
|
|
Accrued expenses and other liabilities
|
|
2,343
|
|
|
—
|
|
|
2,635
|
|
|
4,106
|
|
|
9,084
|
|
|||||
|
Total Liabilities
|
|
$
|
516,589
|
|
|
$
|
2,225
|
|
|
$
|
380,017
|
|
|
$
|
977,264
|
|
|
$
|
1,876,095
|
|
|
(A)
|
The creditors of the VIEs do not have recourse to the general credit of New Residential, and the assets of the VIEs are not directly available to satisfy New Residential’s obligations.
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||
|
|
The Buyer(A)
|
|
Shelter Joint Ventures
|
|
Consumer Loan Companies
|
|
The Buyer(A)
|
|
Shelter Joint Ventures
|
|
Consumer Loan Companies
|
||||||||||||
|
Total consolidated equity
|
$
|
118,591
|
|
|
$
|
22,692
|
|
|
$
|
49,387
|
|
|
$
|
168,207
|
|
|
$
|
23,171
|
|
|
$
|
46,510
|
|
|
Others’ ownership interest
|
26.8
|
%
|
|
49.9
|
%
|
|
46.5
|
%
|
|
26.8
|
%
|
|
49.0
|
%
|
|
46.5
|
%
|
||||||
|
Others’ interest in equity of consolidated subsidiary
|
$
|
31,743
|
|
|
$
|
11,323
|
|
|
$
|
23,512
|
|
|
$
|
45,025
|
|
|
$
|
11,354
|
|
|
$
|
22,171
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
Three Months Ended March 31, 2020
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||||
|
|
The Buyer(A)
|
|
Shelter Joint Ventures
|
|
Consumer Loan Companies
|
|
The Buyer(A)
|
|
Shelter Joint Ventures
|
|
Consumer Loan Companies
|
||||||||||||
|
Net income
|
$
|
(42,015
|
)
|
|
$
|
2,571
|
|
|
$
|
(13,330
|
)
|
|
$
|
9,155
|
|
|
$
|
798
|
|
|
$
|
16,042
|
|
|
Others’ ownership interest as a percent of total
|
26.8
|
%
|
|
49.9
|
%
|
|
46.5
|
%
|
|
26.8
|
%
|
|
51.0
|
%
|
|
46.5
|
%
|
||||||
|
Others’ interest in net income of consolidated subsidiaries
|
$
|
(11,247
|
)
|
|
$
|
1,283
|
|
|
$
|
(6,198
|
)
|
|
$
|
2,451
|
|
|
$
|
407
|
|
|
$
|
7,460
|
|
|
(A)
|
As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended March 31, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer Advance Investments.
|
|
14.
|
EQUITY AND EARNINGS PER SHARE
|
|
Month
|
|
Number of Common shares
|
|
Average price per share
|
|
Gross Proceeds
|
|
Fees
|
|
Net Proceeds
|
|||||||||
|
January 1, 2020 - March 31, 2020
|
|
97,394
|
|
|
$
|
17.06
|
|
|
$
|
1,662
|
|
|
$
|
12
|
|
|
$
|
1,650
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
March 31, 2020 |
||||||||
|
Series
|
|
Number of Shares
|
|
Liquidation Preference
|
|
Issuance Discount
|
|
Carrying Value
|
|
Dividend
|
||||||||
|
Fixed-to-floating rate cumulative redeemable preferred:
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Preferred Series A, 7.50% Issued July 2019
|
|
6,210
|
|
|
$
|
155,250
|
|
|
3.15
|
%
|
|
$
|
150,026
|
|
|
$
|
0.47
|
|
|
Preferred Series B, 7.125% Issued August 2019
|
|
11,300
|
|
|
282,500
|
|
|
3.15
|
%
|
|
273,418
|
|
|
$
|
0.45
|
|
||
|
Preferred Series C, 6.375% Issued February 2020
|
|
16,100
|
|
|
402,500
|
|
|
3.15
|
%
|
|
389,548
|
|
|
$
|
0.40
|
|
||
|
Total
|
|
33,610
|
|
|
$
|
840,250
|
|
|
|
|
$
|
812,992
|
|
|
|
|||
|
Held by the Manager
|
10,860,706
|
|
|
Issued to the Manager and subsequently assigned to certain of the Manager’s employees
|
3,560,949
|
|
|
Issued to the independent directors
|
7,000
|
|
|
Total
|
14,428,655
|
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
Recipient
|
Date of
Grant/
Exercise(A)
|
|
Number of Unexercised
Options
|
|
Options
Exercisable as of
March 31, 2020
|
|
Weighted
Average
Exercise
Price(B)
|
|
Intrinsic Value of Exercisable Options as of
March 31, 2020
(millions)
|
||||||
|
Directors
|
Various
|
|
7,000
|
|
|
7,000
|
|
|
$
|
13.57
|
|
|
$
|
—
|
|
|
Manager(C)
|
2017
|
|
1,130,916
|
|
|
1,130,916
|
|
|
13.95
|
|
|
—
|
|
||
|
Manager(C)
|
2018
|
|
5,320,000
|
|
|
3,576,631
|
|
|
16.65
|
|
|
—
|
|
||
|
Manager(C)
|
2019
|
|
6,351,000
|
|
|
2,422,600
|
|
|
16.17
|
|
|
—
|
|
||
|
Manager(C)
|
2020
|
|
1,619,739
|
|
|
53,991
|
|
|
17.41
|
|
|
—
|
|
||
|
Outstanding
|
|
|
14,428,655
|
|
|
7,191,138
|
|
|
|
|
|
||||
|
(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
|
|
$13.95
|
|
1,130,916
|
|
|
2018
|
|
$16.54 to $18.01
|
|
1,159,833
|
|
|
2019
|
|
$15.13 to $16.67
|
|
1,270,200
|
|
|
Total
|
|
|
|
3,560,949
|
|
|
|
|
Amount
|
|
Weighted Average Exercise Price
|
|||
|
December 31, 2019 outstanding options
|
|
12,808,916
|
|
|
|
||
|
Options granted
|
|
1,619,739
|
|
|
$
|
17.41
|
|
|
Options exercised
|
|
—
|
|
|
$
|
—
|
|
|
Options expired unexercised
|
|
—
|
|
|
|
||
|
March 31, 2020 outstanding options
|
|
14,428,655
|
|
|
See table above
|
||
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Net income (loss)
|
|
$
|
(1,607,255
|
)
|
|
$
|
155,912
|
|
|
Noncontrolling interests in income of consolidated subsidiaries
|
|
(16,162
|
)
|
|
10,318
|
|
||
|
Dividends on preferred stock
|
|
11,222
|
|
|
—
|
|
||
|
Net income (loss) attributable to common stockholders
|
|
$
|
(1,602,315
|
)
|
|
$
|
145,594
|
|
|
|
|
|
|
|
||||
|
Basic weighted average shares of common stock outstanding
|
|
415,589,155
|
|
|
388,279,931
|
|
||
|
Dilutive effect of stock options(A)
|
|
—
|
|
|
321,144
|
|
||
|
Diluted weighted average shares of common stock outstanding
|
|
415,589,155
|
|
|
388,601,075
|
|
||
|
|
|
|
|
|
||||
|
Basic earnings per share attributable to common stockholders
|
|
$
|
(3.86
|
)
|
|
$
|
0.37
|
|
|
Diluted earnings per share attributable to common stockholders
|
|
$
|
(3.86
|
)
|
|
$
|
0.37
|
|
|
(A)
|
Stock options that could potentially dilute basic earnings per share in the future were not included in the computation of diluted earnings per share, for the periods where a loss has been recorded because they would have been anti-dilutive for the period presented.
|
|
15.
|
COMMITMENTS AND CONTINGENCIES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
16.
|
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
|
Management fees
|
$
|
14,722
|
|
|
$
|
7,076
|
|
|
Incentive compensation
|
—
|
|
|
91,892
|
|
||
|
Expense reimbursements and other
|
2,494
|
|
|
4,914
|
|
||
|
Total
|
$
|
17,216
|
|
|
$
|
103,882
|
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Management fees
|
|
$
|
21,721
|
|
|
$
|
17,960
|
|
|
Incentive compensation
|
|
—
|
|
|
12,958
|
|
||
|
Expense reimbursements(A)
|
|
125
|
|
|
125
|
|
||
|
Total
|
|
$
|
21,846
|
|
|
$
|
31,043
|
|
|
(A)
|
Included in General and Administrative Expenses in the Condensed Consolidated Statements of Income.
|
|
17.
|
RECLASSIFICATION FROM ACCUMULATED OTHER COMPREHENSIVE INCOME INTO NET INCOME
|
|
|
|
|
|
Three Months Ended
March 31, |
||||||
|
Accumulated Other Comprehensive Income Components
|
|
Statement of Income Location
|
|
2020
|
|
2019
|
||||
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Gain (loss) on settlement of investments, net
|
|
$
|
(754,540
|
)
|
|
$
|
(65,196
|
)
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
|
Provision (reversal) for credit losses on securities
|
|
44,149
|
|
|
7,516
|
|
||
|
Total reclassifications
|
|
|
|
$
|
(710,391
|
)
|
|
$
|
(57,680
|
)
|
|
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
March 31, 2020
|
|
(dollars in tables in thousands, except share data)
|
|
18.
|
INCOME TAXES
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Current:
|
|
|
|
|
||||
|
Federal
|
|
$
|
—
|
|
|
$
|
(413
|
)
|
|
State and Local
|
|
49
|
|
|
79
|
|
||
|
Total Current Income Tax Expense (Benefit)
|
|
49
|
|
|
(334
|
)
|
||
|
Deferred:
|
|
|
|
|
||||
|
Federal
|
|
(127,526
|
)
|
|
37,146
|
|
||
|
State and Local
|
|
(39,391
|
)
|
|
9,185
|
|
||
|
Total Deferred Income Tax Expense (Benefit)
|
|
(166,917
|
)
|
|
46,331
|
|
||
|
Total Income Tax (Benefit) Expense
|
|
$
|
(166,868
|
)
|
|
$
|
45,997
|
|
|
19.
|
SUBSEQUENT EVENTS
|
|
|
|
Servicing and Origination
|
|
Residential Securities and Loans
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
|
|
Origination
|
|
Servicing
|
|
MSR Related Investments
|
|
Elimination(A)
|
|
Total Servicing and Origination
|
|
Real Estate Securities
|
|
Residential Mortgage Loans
|
|
Consumer Loans
|
|
Corporate
|
|
Total
|
||||||||||||||||||||
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Investments
|
|
$
|
1,491,206
|
|
|
$
|
—
|
|
|
$
|
6,537,930
|
|
|
$
|
—
|
|
|
$
|
8,029,136
|
|
|
$
|
2,479,603
|
|
|
$
|
4,187,148
|
|
|
$
|
780,821
|
|
|
$
|
—
|
|
|
$
|
15,476,708
|
|
|
Cash and cash equivalents
|
|
76,752
|
|
|
14,032
|
|
|
161,778
|
|
|
—
|
|
|
252,562
|
|
|
101,646
|
|
|
560
|
|
|
4,382
|
|
|
1,303
|
|
|
360,453
|
|
||||||||||
|
Restricted cash
|
|
4,907
|
|
|
4,881
|
|
|
105,611
|
|
|
—
|
|
|
115,399
|
|
|
—
|
|
|
—
|
|
|
32,036
|
|
|
—
|
|
|
147,435
|
|
||||||||||
|
Other assets
|
|
403,277
|
|
|
274,883
|
|
|
3,023,482
|
|
|
—
|
|
|
3,701,642
|
|
|
4,064,232
|
|
|
310,095
|
|
|
65,602
|
|
|
37,840
|
|
|
8,179,411
|
|
||||||||||
|
Goodwill
|
|
11,836
|
|
|
12,540
|
|
|
5,092
|
|
|
—
|
|
|
29,468
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,468
|
|
||||||||||
|
Total assets
|
|
$
|
1,987,978
|
|
|
$
|
306,336
|
|
|
$
|
9,833,893
|
|
|
$
|
—
|
|
|
$
|
12,128,207
|
|
|
$
|
6,645,481
|
|
|
$
|
4,497,803
|
|
|
$
|
882,841
|
|
|
$
|
39,143
|
|
|
$
|
24,193,475
|
|
|
Debt
|
|
$
|
1,352,846
|
|
|
$
|
21,157
|
|
|
$
|
6,332,172
|
|
|
$
|
—
|
|
|
$
|
7,706,175
|
|
|
$
|
5,892,709
|
|
|
$
|
3,455,028
|
|
|
$
|
774,797
|
|
|
$
|
—
|
|
|
$
|
17,828,709
|
|
|
Other liabilities
|
|
244,137
|
|
|
73,889
|
|
|
384,496
|
|
|
—
|
|
|
702,522
|
|
|
218,654
|
|
|
53,854
|
|
|
7,389
|
|
|
51,883
|
|
|
1,034,302
|
|
||||||||||
|
Total liabilities
|
|
1,596,983
|
|
|
95,046
|
|
|
6,716,668
|
|
|
—
|
|
|
8,408,697
|
|
|
6,111,363
|
|
|
3,508,882
|
|
|
782,186
|
|
|
51,883
|
|
|
18,863,011
|
|
||||||||||
|
Total equity
|
|
390,995
|
|
|
211,290
|
|
|
3,117,225
|
|
|
—
|
|
|
3,719,510
|
|
|
534,118
|
|
|
988,921
|
|
|
100,655
|
|
|
(12,740
|
)
|
|
5,330,464
|
|
||||||||||
|
Noncontrolling interests in equity of consolidated subsidiaries
|
|
11,323
|
|
|
—
|
|
|
31,743
|
|
|
—
|
|
|
43,066
|
|
|
—
|
|
|
—
|
|
|
23,512
|
|
|
—
|
|
|
66,578
|
|
||||||||||
|
Total New Residential stockholders’ equity
|
|
$
|
379,672
|
|
|
$
|
211,290
|
|
|
$
|
3,085,482
|
|
|
$
|
—
|
|
|
$
|
3,676,444
|
|
|
$
|
534,118
|
|
|
$
|
988,921
|
|
|
$
|
77,143
|
|
|
$
|
(12,740
|
)
|
|
$
|
5,263,886
|
|
|
Investments in equity method investees
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
156,731
|
|
|
|
Unpaid Principal Balance for the
Three Months Ended
|
|
|
||||||||
|
|
March 31, 2020
|
|
March 31, 2019
|
|
Change
|
||||||
|
Production by Channel (in millions)
|
|
|
|
|
|
||||||
|
Retail / Shelter
|
$
|
581
|
|
|
$
|
331
|
|
|
$
|
250
|
|
|
Direct to Consumer / Retention
|
2,115
|
|
|
570
|
|
|
1,545
|
|
|||
|
Wholesale
|
1,665
|
|
|
738
|
|
|
927
|
|
|||
|
Correspondent
|
7,053
|
|
|
521
|
|
|
6,532
|
|
|||
|
Total Production by Channel
|
$
|
11,414
|
|
|
$
|
2,160
|
|
|
$
|
9,254
|
|
|
|
|
|
|
|
|
||||||
|
Production by Product (in millions)
|
|
|
|
|
|
||||||
|
Agency
|
$
|
5,478
|
|
|
$
|
923
|
|
|
$
|
4,555
|
|
|
Government
|
5,367
|
|
|
815
|
|
|
4,552
|
|
|||
|
Non-QM
|
365
|
|
|
293
|
|
|
72
|
|
|||
|
Non-Agency
|
190
|
|
|
111
|
|
|
79
|
|
|||
|
Other
|
14
|
|
|
18
|
|
|
(4
|
)
|
|||
|
Total Production by Product
|
$
|
11,414
|
|
|
$
|
2,160
|
|
|
$
|
9,254
|
|
|
|
|
|
|
|
|
||||||
|
% Purchase
|
33
|
%
|
|
57
|
%
|
|
(24
|
)%
|
|||
|
% Refinance
|
67
|
%
|
|
43
|
%
|
|
24
|
%
|
|||
|
|
March 31, 2020
|
|
March 31, 2019
|
|
Change
|
||||||
|
Origination Revenue (in thousands)
|
|
|
|
|
|
||||||
|
Gain on loans originated and sold(A)
|
$
|
33,893
|
|
|
$
|
19,070
|
|
|
$
|
14,823
|
|
|
Gain (loss) on settlement of mortgage loan derivative instruments(B)
|
(46,314
|
)
|
|
(11,163
|
)
|
|
(35,151
|
)
|
|||
|
MSRs retained on transfer of loans(C)
|
187,174
|
|
|
34,439
|
|
|
152,735
|
|
|||
|
Other(D)
|
12,122
|
|
|
3,553
|
|
|
8,569
|
|
|||
|
Realized gain on sale of originated mortgage loans, net
|
$
|
186,875
|
|
|
$
|
45,899
|
|
|
$
|
140,976
|
|
|
|
|
|
|
|
|
||||||
|
Change in fair value of loans
|
$
|
20,479
|
|
|
$
|
3,003
|
|
|
$
|
17,476
|
|
|
Change in fair value of interest rate lock commitments
|
91,249
|
|
|
3,208
|
|
|
88,041
|
|
|||
|
Change in fair value of derivative instruments
|
(140,388
|
)
|
|
(1,298
|
)
|
|
(139,090
|
)
|
|||
|
Unrealized origination revenue
|
$
|
(28,660
|
)
|
|
$
|
4,913
|
|
|
$
|
(33,573
|
)
|
|
|
|
|
|
|
|
||||||
|
Gain on originated mortgage loans, held-for-sale, net(E) (F)
|
$
|
158,215
|
|
|
$
|
50,812
|
|
|
$
|
107,403
|
|
|
Pull through adjusted lock volume
|
$
|
12,381,939
|
|
|
$
|
2,468,156
|
|
|
$
|
9,913,783
|
|
|
|
|
|
|
|
|
||||||
|
Revenue as a percentage of pull through adjusted lock volume
|
1.28
|
%
|
|
2.06
|
%
|
|
(0.78
|
)%
|
|||
|
(A)
|
Includes loan origination fees of $277.0 million and $25.0 million for the three months ended March 31, 2020 and 2019, respectively.
|
|
(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, and the provision for repurchase reserves, net of release.
|
|
(E)
|
Excludes $21.5 million and $16.4 million of gain on originated mortgage loans, held-for-sale, net for the three months ended March 31, 2020 and 2019, respectively, related to the MSR Related Investments, Servicing, and Residential Mortgage Loans segments, as well as intercompany eliminations (Note 8 to the Condensed Consolidated Financial Statements).
|
|
(F)
|
Excludes mortgage servicing rights revenue on recaptured loan volume delivered back to NRM.
|
|
|
Unpaid Principal Balance
|
|
|
||||||||
|
|
March 31, 2020
|
|
March 31, 2019
|
|
Change
|
||||||
|
Performing Servicing (in millions)
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
178,108.4
|
|
|
$
|
85,373.9
|
|
|
$
|
92,734.5
|
|
|
Acquired Residential Whole Loans
|
2,473.6
|
|
|
727.2
|
|
|
1,746.4
|
|
|||
|
Total Performing Servicing
|
180,582.0
|
|
|
86,101.1
|
|
|
94,480.9
|
|
|||
|
|
|
|
|
|
|
||||||
|
Special Servicing (in millions)
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
5,509.8
|
|
|
$
|
2,021.0
|
|
|
$
|
3,488.8
|
|
|
Acquired Residential Whole Loans
|
6,699.5
|
|
|
3,727.1
|
|
|
2,972.4
|
|
|||
|
Third Party
|
83,029.2
|
|
|
49,695.7
|
|
|
33,333.5
|
|
|||
|
Total Special Servicing
|
95,238.5
|
|
|
55,443.8
|
|
|
39,794.7
|
|
|||
|
Total Servicing Portfolio
|
$
|
275,820.5
|
|
|
$
|
141,544.9
|
|
|
$
|
134,275.6
|
|
|
Agency Servicing (in millions)
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
129,180.6
|
|
|
$
|
59,470.2
|
|
|
$
|
69,710.4
|
|
|
Acquired Residential Whole Loans
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Third Party
|
20,384.1
|
|
|
3,993.7
|
|
|
16,390.4
|
|
|||
|
Total Agency Servicing
|
149,564.7
|
|
|
63,463.9
|
|
|
86,100.8
|
|
|||
|
|
|
|
|
|
|
||||||
|
Government Servicing (in millions)
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
53,904.9
|
|
|
$
|
27,300.3
|
|
|
$
|
26,604.6
|
|
|
Acquired Residential Whole Loans
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Third Party
|
1,718.3
|
|
|
2,110.1
|
|
|
(391.8
|
)
|
|||
|
Total Government Servicing
|
55,623.2
|
|
|
29,410.4
|
|
|
26,212.8
|
|
|||
|
|
|
|
|
|
|
||||||
|
Non-Agency (Private Label) Servicing (in millions)
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
532.8
|
|
|
$
|
624.4
|
|
|
$
|
(91.6
|
)
|
|
Acquired Residential Whole Loans
|
9,173.1
|
|
|
4,454.4
|
|
|
4,718.7
|
|
|||
|
Third Party
|
60,926.7
|
|
|
43,591.8
|
|
|
17,334.9
|
|
|||
|
Total Non-Agency (Private Label) Servicing
|
70,632.6
|
|
|
48,670.6
|
|
|
21,962.0
|
|
|||
|
Total Servicing Portfolio
|
$
|
275,820.5
|
|
|
$
|
141,544.9
|
|
|
$
|
134,275.6
|
|
|
|
Three Months Ended
|
|
|
||||||||
|
|
March 31, 2020
|
|
March 31, 2019
|
|
Change
|
||||||
|
Base Servicing Fees (in thousands):
|
|
|
|
|
|
||||||
|
MSR Assets
|
$
|
26,948
|
|
|
$
|
8,713
|
|
|
$
|
18,235
|
|
|
Acquired Residential Whole Loans
|
2,191
|
|
|
1,458
|
|
|
733
|
|
|||
|
Third Party
|
31,407
|
|
|
17,231
|
|
|
14,176
|
|
|||
|
Total Base Servicing Fees
|
$
|
60,546
|
|
|
$
|
27,402
|
|
|
$
|
33,144
|
|
|
|
|
|
|
|
|
||||||
|
Other Fees (in thousands):
|
|
|
|
|
|
||||||
|
Incentive fees
|
$
|
8,666
|
|
|
$
|
7,795
|
|
|
$
|
871
|
|
|
Ancillary fees
|
9,034
|
|
|
6,658
|
|
|
2,376
|
|
|||
|
Boarding fees
|
4,889
|
|
|
1,173
|
|
|
3,716
|
|
|||
|
Other fees
|
4,111
|
|
|
516
|
|
|
3,595
|
|
|||
|
Total Other Fees
|
$
|
26,700
|
|
|
$
|
16,142
|
|
|
$
|
10,558
|
|
|
|
|
|
|
|
|
||||||
|
Total Servicing Fees
|
$
|
87,246
|
|
|
$
|
43,544
|
|
|
$
|
43,702
|
|
|
|
Current UPB (mm)
|
|
Weighted Average MSR (bps)
|
|
|
Carrying Value (mm)
|
|||||
|
MSRs
|
|
|
|
|
|
|
|||||
|
GSE
|
$
|
339,416.4
|
|
|
28
|
|
bps
|
|
$
|
3,227.7
|
|
|
Non-Agency
|
6,630.7
|
|
|
28
|
|
|
|
16.7
|
|
||
|
Ginnie Mae
|
57,658.9
|
|
|
45
|
|
|
|
689.9
|
|
||
|
MSR Financing Receivables
|
|
|
|
|
|
|
|||||
|
GSE
|
49,533.7
|
|
|
27
|
|
|
|
491.7
|
|
||
|
Non-Agency
|
73,533.1
|
|
|
48
|
|
|
|
1,112.8
|
|
||
|
Total
|
$
|
526,772.8
|
|
|
33
|
|
bps
|
|
$
|
5,538.8
|
|
|
|
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
|
||||||||||||||
|
MSRs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
GSE
|
$
|
3,227,788
|
|
|
$
|
339,416,358
|
|
|
2,122,194
|
|
|
747
|
|
|
4.3
|
%
|
|
268
|
|
|
66
|
|
|
3.2
|
%
|
|
14.6
|
%
|
|
14.4
|
%
|
|
0.2
|
%
|
|
12.1
|
%
|
|
Non-Agency
|
16,669
|
|
|
6,630,753
|
|
|
144,045
|
|
|
662
|
|
|
7.4
|
%
|
|
191
|
|
|
166
|
|
|
3.6
|
%
|
|
18.5
|
%
|
|
18.0
|
%
|
|
0.5
|
%
|
|
2.1
|
%
|
||
|
Ginnie Mae
|
689,927
|
|
|
57,658,948
|
|
|
291,213
|
|
|
686
|
|
|
3.9
|
%
|
|
322
|
|
|
34
|
|
|
3.1
|
%
|
|
18.7
|
%
|
|
18.2
|
%
|
|
0.5
|
%
|
|
20.2
|
%
|
||
|
MSR Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
GSE
|
491,681
|
|
|
49,533,672
|
|
|
213,815
|
|
|
748
|
|
|
4.3
|
%
|
|
295
|
|
|
34
|
|
|
1.1
|
%
|
|
30.7
|
%
|
|
30.6
|
%
|
|
0.1
|
%
|
|
3.9
|
%
|
||
|
Non-Agency
|
1,112,750
|
|
|
73,533,090
|
|
|
539,047
|
|
|
644
|
|
|
4.4
|
%
|
|
305
|
|
|
170
|
|
|
15.0
|
%
|
|
9.4
|
%
|
|
7.4
|
%
|
|
2.0
|
%
|
|
2.8
|
%
|
||
|
Total
|
$
|
5,538,815
|
|
|
$
|
526,772,821
|
|
|
3,310,314
|
|
|
725
|
|
|
4.3
|
%
|
|
281
|
|
|
75
|
|
|
4.6
|
%
|
|
15.9
|
%
|
|
15.4
|
%
|
|
0.5
|
%
|
|
10.8
|
%
|
|
|
Collateral Characteristics
|
||||||||||||||||
|
|
Delinquency 30 Days(F)
|
|
Delinquency 60 Days(F)
|
|
Delinquency 90+ Days(F)
|
|
Loans in Foreclosure
|
|
Real Estate Owned
|
|
Loans in Bankruptcy
|
||||||
|
MSRs
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
GSE
|
1.7
|
%
|
|
0.4
|
%
|
|
0.5
|
%
|
|
0.5
|
%
|
|
—
|
%
|
|
3.2
|
%
|
|
Non-Agency
|
7.5
|
%
|
|
2.7
|
%
|
|
7.7
|
%
|
|
2.2
|
%
|
|
0.6
|
%
|
|
3.2
|
%
|
|
Ginnie Mae
|
4.5
|
%
|
|
1.4
|
%
|
|
1.1
|
%
|
|
1.2
|
%
|
|
0.1
|
%
|
|
4.6
|
%
|
|
MSR Financing Receivables
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
GSE
|
1.1
|
%
|
|
0.2
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
Non-Agency
|
10.5
|
%
|
|
4.7
|
%
|
|
2.9
|
%
|
|
8.1
|
%
|
|
1.9
|
%
|
|
3.0
|
%
|
|
Total
|
3.2
|
%
|
|
1.1
|
%
|
|
0.9
|
%
|
|
1.6
|
%
|
|
0.3
|
%
|
|
3.0
|
%
|
|
(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)
|
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
|
$
|
41.7
|
|
|
29
|
|
bps
|
21
|
|
bps
|
32.5% - 66.7%
|
|
$
|
200.2
|
|
|
Non-Agency(B)
|
43.3
|
|
|
35
|
|
|
15
|
|
|
33.3% - 100.0%
|
|
$
|
163.8
|
|
|
|
Total/Weighted Average
|
$
|
85.0
|
|
|
32
|
|
bps
|
18
|
|
bps
|
|
|
$
|
364.0
|
|
|
(A)
|
The MSR is a weighted average as of March 31, 2020, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
|
|
(B)
|
Serviced by Mr. Cooper 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 $30.0 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
|
$
|
33.3
|
|
|
33
|
|
bps
|
21
|
|
bps
|
50.0
|
%
|
|
66.7
|
%
|
|
33.3
|
%
|
|
$
|
215.0
|
|
|
(A)
|
The MSR is a weighted average as of March 31, 2020, 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
|
$
|
142,864
|
|
|
$
|
29,911,789
|
|
|
220,554
|
|
|
725
|
|
|
4.6
|
%
|
|
240
|
|
|
120
|
|
|
1.7
|
%
|
|
13.1
|
%
|
|
12.6
|
%
|
|
0.6
|
%
|
|
16.5
|
%
|
|
Recaptured Loans
|
57,303
|
|
|
11,791,078
|
|
|
71,572
|
|
|
725
|
|
|
4.3
|
%
|
|
274
|
|
|
46
|
|
|
0.1
|
%
|
|
13.1
|
%
|
|
12.9
|
%
|
|
0.3
|
%
|
|
38.0
|
%
|
||
|
|
$
|
200,167
|
|
|
$
|
41,702,867
|
|
|
292,126
|
|
|
725
|
|
|
4.5
|
%
|
|
251
|
|
|
97
|
|
|
1.2
|
%
|
|
13.1
|
%
|
|
12.7
|
%
|
|
0.5
|
%
|
|
23.0
|
%
|
|
Non-Agency(F)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Mr. Cooper and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Original Pools
|
$
|
139,883
|
|
|
$
|
39,373,793
|
|
|
224,035
|
|
|
671
|
|
|
4.7
|
%
|
|
276
|
|
|
168
|
|
|
9.5
|
%
|
|
13.3
|
%
|
|
11.3
|
%
|
|
2.3
|
%
|
|
9.9
|
%
|
|
Recaptured Loans
|
23,882
|
|
|
3,932,726
|
|
|
18,107
|
|
|
738
|
|
|
4.2
|
%
|
|
281
|
|
|
31
|
|
|
0.1
|
%
|
|
17.6
|
%
|
|
17.6
|
%
|
|
0.1
|
%
|
|
35.4
|
%
|
||
|
|
$
|
163,765
|
|
|
$
|
43,306,519
|
|
|
242,142
|
|
|
677
|
|
|
4.6
|
%
|
|
277
|
|
|
156
|
|
|
8.1
|
%
|
|
13.7
|
%
|
|
11.8
|
%
|
|
2.2
|
%
|
|
12.8
|
%
|
|
Total/Weighted Average(H)
|
$
|
363,932
|
|
|
$
|
85,009,386
|
|
|
534,268
|
|
|
700
|
|
|
4.6
|
%
|
|
264
|
|
|
128
|
|
|
4.3
|
%
|
|
13.4
|
%
|
|
12.2
|
%
|
|
1.4
|
%
|
|
17.8
|
%
|
|
|
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
|
2.6
|
%
|
|
0.7
|
%
|
|
0.5
|
%
|
|
0.5
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
Recaptured Loans
|
1.8
|
%
|
|
0.4
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
|
2.4
|
%
|
|
0.6
|
%
|
|
0.5
|
%
|
|
0.4
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
Non-Agency(F)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Mr. Cooper and SLS Serviced:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Original Pools
|
11.1
|
%
|
|
3.2
|
%
|
|
2.1
|
%
|
|
5.2
|
%
|
|
1.0
|
%
|
|
1.9
|
%
|
|
Recaptured Loans
|
1.5
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
|
10.3
|
%
|
|
2.9
|
%
|
|
1.9
|
%
|
|
4.7
|
%
|
|
0.9
|
%
|
|
1.7
|
%
|
|
Total/Weighted Average(H)
|
6.5
|
%
|
|
1.9
|
%
|
|
1.2
|
%
|
|
2.7
|
%
|
|
0.5
|
%
|
|
0.9
|
%
|
|
(A)
|
The WA FICO score is based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score when loans are refinanced or become delinquent.
|
|
(B)
|
Adjustable Rate Mortgage % represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
|
|
(C)
|
Three Month Average CPR, or the constant prepayment rate, represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
|
|
(D)
|
Three Month Average CRR, or the voluntary prepayment rate, represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
|
|
(E)
|
Three Month Average CDR, or the involuntary prepayment rate, represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
|
|
(F)
|
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 $30.0 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
|
$
|
122,864
|
|
|
$
|
19,576,695
|
|
|
33.3
|
%
|
|
196,330
|
|
|
705
|
|
|
5.2
|
%
|
|
231
|
|
|
140
|
|
|
1.4
|
%
|
|
13.6
|
%
|
|
12.4
|
%
|
|
1.4
|
%
|
|
19.2
|
%
|
|
Recaptured Loans
|
92,086
|
|
|
13,674,605
|
|
|
33.3
|
%
|
|
98,529
|
|
|
710
|
|
|
4.3
|
%
|
|
268
|
|
|
52
|
|
|
0.1
|
%
|
|
13.2
|
%
|
|
12.8
|
%
|
|
0.5
|
%
|
|
45.0
|
%
|
||
|
Total/Weighted Average(G)
|
$
|
214,950
|
|
|
$
|
33,251,300
|
|
|
|
|
294,859
|
|
|
707
|
|
|
4.9
|
%
|
|
247
|
|
|
104
|
|
|
1.4
|
%
|
|
13.5
|
%
|
|
12.6
|
%
|
|
1.0
|
%
|
|
30.0
|
%
|
|
|
|
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
|
4.0
|
%
|
|
1.0
|
%
|
|
0.6
|
%
|
|
0.7
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
Recaptured Loans
|
2.8
|
%
|
|
0.7
|
%
|
|
0.3
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
0.1
|
%
|
|
Total/Weighted Average(G)
|
3.5
|
%
|
|
0.9
|
%
|
|
0.5
|
%
|
|
0.5
|
%
|
|
0.2
|
%
|
|
0.1
|
%
|
|
(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.
|
|
|
March 31, 2020
|
|||||||||||||||||
|
|
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
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Mr. Cooper and SLS serviced pools
|
$
|
509,989
|
|
|
$
|
515,574
|
|
|
$
|
30,043,832
|
|
|
$
|
461,723
|
|
|
1.5
|
%
|
|
(A)
|
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
|
|
|
|
|
|
|
|
Three Months Ended
March 31, 2020 |
|
|
|
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)
|
|
5.8
|
%
|
|
6.7
|
|
$
|
(18,749
|
)
|
|
$
|
423,910
|
|
|
88.0
|
%
|
|
87.1
|
%
|
|
1.7
|
%
|
|
1.7
|
%
|
|
(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:
|
|
|
|
March 31, 2020
|
||
|
Principal and interest advances
|
|
$
|
87,292
|
|
|
Escrow advances (taxes and insurance advances)
|
|
173,617
|
|
|
|
Foreclosure advances
|
|
200,814
|
|
|
|
Total
|
|
$
|
461,723
|
|
|
|
|
|
|
|
|
|
|
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(B)
|
|
Outstanding Repurchase Agreements
|
||||||||||||||||
|
Agency RMBS
|
|
$
|
306,566
|
|
|
$
|
308,486
|
|
|
100.0
|
%
|
|
$
|
10,082
|
|
|
$
|
—
|
|
|
$
|
318,568
|
|
|
27
|
|
|
6.8
|
|
|
2.3
|
%
|
|
$
|
302,508
|
|
|
(A)
|
Fair value, which is equal to carrying value for all securities.
|
|
(B)
|
Three month average constant prepayment rate, represents the annualized rate of the prepayments during the quarter as a percentage of the total amortized cost basis.
|
|
Net Interest Spread(A)
|
||
|
Weighted Average Asset Yield
|
2.79
|
%
|
|
Weighted Average Funding Cost
|
1.68
|
%
|
|
Net Interest Spread
|
1.11
|
%
|
|
(A)
|
The Agency RMBS portfolio consists of 100.0% fixed rate securities (based on amortized cost basis). See table above for details on rate resets of the floating rate securities.
|
|
|
|
|
|
|
|
Gross Unrealized
|
|
|
|
|
||||||||||||||
|
Asset Type
|
|
Outstanding Face Amount
|
|
Amortized Cost Basis
|
|
Gains
|
|
Losses
|
|
Carrying
Value(A)
|
|
Outstanding Repurchase Agreements
|
||||||||||||
|
Non-Agency RMBS
|
|
$
|
20,528,139
|
|
|
$
|
2,239,021
|
|
|
$
|
69,347
|
|
|
$
|
(147,333
|
)
|
|
$
|
2,161,035
|
|
|
$
|
1,724,115
|
|
|
(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
|
|
C
|
|
105
|
|
|
$
|
235,756
|
|
|
$
|
98,864
|
|
|
4.5
|
%
|
|
$
|
92,556
|
|
|
—
|
%
|
|
0.4
|
%
|
|
7.1
|
|
4.3
|
%
|
|
2006
|
|
N/A
|
|
15
|
|
|
91,603
|
|
|
—
|
|
|
—
|
%
|
|
1
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
|
0.1
|
%
|
|||
|
2007
|
|
B+
|
|
21
|
|
|
420,113
|
|
|
169,039
|
|
|
7.7
|
%
|
|
175,074
|
|
|
—
|
%
|
|
0.3
|
%
|
|
5.0
|
|
1.3
|
%
|
|||
|
2008 and later
|
|
B
|
|
445
|
|
|
19,737,303
|
|
|
1,939,366
|
|
|
87.8
|
%
|
|
1,861,878
|
|
|
15.0
|
%
|
|
—
|
%
|
|
8.4
|
|
3.2
|
%
|
|||
|
Total/Weighted Average
|
|
B
|
|
586
|
|
|
$
|
20,484,775
|
|
|
$
|
2,207,269
|
|
|
100.0
|
%
|
|
$
|
2,129,509
|
|
|
12.9
|
%
|
|
0.1
|
%
|
|
8.1
|
|
3.1
|
%
|
|
|
|
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
|
|
16.7
|
|
|
0.08
|
|
|
7.1
|
%
|
|
9.8
|
%
|
|
15.5
|
%
|
|
2006
|
|
13.6
|
|
|
0.04
|
|
|
11.9
|
%
|
|
—
|
%
|
|
104.9
|
%
|
|
2007
|
|
12.8
|
|
|
0.49
|
|
|
9.7
|
%
|
|
1.5
|
%
|
|
14.7
|
%
|
|
2008 and later
|
|
12.9
|
|
|
0.84
|
|
|
9.7
|
%
|
|
2.2
|
%
|
|
0.1
|
%
|
|
Total/Weighted Average
|
|
13.1
|
|
|
0.78
|
|
|
9.6
|
%
|
|
2.5
|
%
|
|
1.9
|
%
|
|
(A)
|
Excludes $20.1 million face amount of bonds backed by consumer loans and $23.3 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 337 bonds with a carrying value of $971.6 million, which either have never been rated or for which rating information is no longer provided. We had no assets that were on negative watch for possible downgrade by at least one rating agency as of March 31, 2020.
|
|
(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 March 31, 2020.
|
|
(F)
|
Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $29.5 million and $4.3 million, respectively, for which no coupon payment is expected.
|
|
(G)
|
The weighted average loan size of the underlying collateral is $256.0 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
|
5.00
|
%
|
|
Weighted Average Funding Cost
|
2.77
|
%
|
|
Net Interest Spread
|
2.23
|
%
|
|
(A)
|
The Non-Agency RMBS portfolio consists of 47.8% floating rate securities and 52.2% fixed rate securities (based on amortized cost basis).
|
|
|
|
Outstanding Face Amount
|
|
Carrying
Value |
|
Loan
Count |
|
Weighted Average Yield
|
|
Weighted Average Life (Years)(A)
|
|
Floating Rate Loans as a % of Face Amount
|
|
LTV Ratio(B)
|
|
Weighted Avg. Delinquency(C)
|
|
Weighted Average FICO(D)
|
||||||||||
|
Total Residential Mortgage Loans, held-for-investment, at fair value
|
|
$
|
919,461
|
|
|
$
|
824,183
|
|
|
14,164
|
|
|
8.2
|
%
|
|
6.5
|
|
9.0
|
%
|
|
72.1
|
%
|
|
17.8
|
%
|
|
642
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Acquired Reverse Mortgage Loans(E) (F)
|
|
$
|
12,333
|
|
|
$
|
6,220
|
|
|
29
|
|
|
7.9
|
%
|
|
5.0
|
|
5.5
|
%
|
|
153.3
|
%
|
|
70.7
|
%
|
|
N/A
|
|
|
Acquired Performing Loans(G) (I)
|
|
828,323
|
|
|
753,288
|
|
|
11,853
|
|
|
6.1
|
%
|
|
4.2
|
|
65.9
|
%
|
|
51.1
|
%
|
|
8.6
|
%
|
|
684
|
|
||
|
Acquired Non-Performing Loans(H) (I)
|
|
629,948
|
|
|
505,025
|
|
|
4,822
|
|
|
8.3
|
%
|
|
3.2
|
|
10.9
|
%
|
|
76.6
|
%
|
|
73.1
|
%
|
|
581
|
|
||
|
Total Residential Mortgage Loans, held-for-sale
|
|
$
|
1,470,604
|
|
|
$
|
1,264,533
|
|
|
16,704
|
|
|
7.1
|
%
|
|
3.8
|
|
41.8
|
%
|
|
62.9
|
%
|
|
36.8
|
%
|
|
639
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Acquired Performing Loans(G) (I)
|
|
$
|
2,046,090
|
|
|
$
|
1,804,443
|
|
|
12,925
|
|
|
5.9
|
%
|
|
7.9
|
|
6.9
|
%
|
|
67.3
|
%
|
|
30.5
|
%
|
|
644
|
|
|
Originated Loans
|
|
1,430,577
|
|
|
1,479,530
|
|
|
4,769
|
|
|
3.7
|
%
|
|
28.0
|
|
2.9
|
%
|
|
72.7
|
%
|
|
0.1
|
%
|
|
732
|
|
||
|
Total Residential Mortgage Loans, held-for-sale, at fair value
|
|
$
|
3,476,667
|
|
|
$
|
3,283,973
|
|
|
17,694
|
|
|
5.0
|
%
|
|
16.2
|
|
5.3
|
%
|
|
69.5
|
%
|
|
18.0
|
%
|
|
680
|
|
|
(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 47% 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)
|
As of March 31, 2020, we have placed all Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
|
|
(I)
|
Includes $35.1 million and $26.6 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
|
|
|
Collateral Characteristics
|
|||||||||||||||||||||||||||||||||||||||||
|
|
UPB
|
|
Personal Unsecured Loans %
|
|
Personal Homeowner Loans %
|
|
Number of Loans
|
|
Weighted Average Original FICO Score(A)
|
|
Weighted Average Coupon
|
|
Adjustable Rate Loan %
|
|
Average Loan Age (months)
|
|
Average Expected Life (Years)
|
|
Delinquency 30 Days(B)
|
|
Delinquency 60 Days(B)
|
|
Delinquency 90+ Days(B)
|
|
12-Month CRR(C)
|
|
12-Month CDR(D)
|
|||||||||||||||
|
Consumer loans, held-for-investment
|
$
|
771,998
|
|
|
62.0
|
%
|
|
38.0
|
%
|
|
105,140
|
|
|
672
|
|
|
18.1
|
%
|
|
12.3
|
%
|
|
179
|
|
|
3.9
|
|
|
1.8
|
%
|
|
1.0
|
%
|
|
1.9
|
%
|
|
17.5
|
%
|
|
4.7
|
%
|
|
(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.
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Interest income
|
|
$
|
402,373
|
|
|
$
|
438,867
|
|
|
$
|
(36,494
|
)
|
|
Interest expense
|
|
216,855
|
|
|
212,832
|
|
|
4,023
|
|
|||
|
Net Interest Income
|
|
185,518
|
|
|
226,035
|
|
|
(40,517
|
)
|
|||
|
|
|
|
|
|
|
|
||||||
|
Impairment
|
|
|
|
|
|
|
||||||
|
Provision (reversal) for credit losses on securities
|
|
44,149
|
|
|
7,516
|
|
|
36,633
|
|
|||
|
Valuation and credit loss provision (reversal) on loans and real estate owned (REO)
|
|
100,496
|
|
|
5,280
|
|
|
95,216
|
|
|||
|
|
|
144,645
|
|
|
12,796
|
|
|
131,849
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Net interest income after impairment
|
|
40,873
|
|
|
213,239
|
|
|
(172,366
|
)
|
|||
|
Servicing revenue, net of change in fair value of $(649,375) and $(56,910), respectively
|
|
(289,115
|
)
|
|
165,853
|
|
|
(454,968
|
)
|
|||
|
Gain on originated mortgage loans, held-for-sale, net
|
|
179,698
|
|
|
67,170
|
|
|
112,528
|
|
|||
|
Other Income
|
|
|
|
|
|
|
||||||
|
Change in fair value of investments in excess mortgage servicing rights
|
|
(11,024
|
)
|
|
4,627
|
|
|
(15,651
|
)
|
|||
|
Change in fair value of investments in excess mortgage servicing rights, equity method investees
|
|
(457
|
)
|
|
2,612
|
|
|
(3,069
|
)
|
|||
|
Change in fair value of investments in mortgage servicing rights financing receivables
|
|
(104,111
|
)
|
|
(36,379
|
)
|
|
(67,732
|
)
|
|||
|
Change in fair value of servicer advance investments
|
|
(18,749
|
)
|
|
7,903
|
|
|
(26,652
|
)
|
|||
|
Change in fair value of investments in real estate and other securities
|
|
(86,792
|
)
|
|
6,679
|
|
|
(93,471
|
)
|
|||
|
Change in fair value of investments in residential mortgage loans
|
|
(265,244
|
)
|
|
9,214
|
|
|
(274,458
|
)
|
|||
|
Change in fair value of derivative instruments
|
|
(39,982
|
)
|
|
(25,760
|
)
|
|
(14,222
|
)
|
|||
|
Gain (loss) on settlement of investments, net
|
|
(799,572
|
)
|
|
(43,168
|
)
|
|
(756,404
|
)
|
|||
|
Earnings from investments in consumer loans, equity method investees
|
|
—
|
|
|
4,311
|
|
|
(4,311
|
)
|
|||
|
Other income (loss), net
|
|
(76,730
|
)
|
|
5,995
|
|
|
(82,725
|
)
|
|||
|
|
|
(1,402,661
|
)
|
|
(63,966
|
)
|
|
(1,338,695
|
)
|
|||
|
|
|
|
|
|
|
|
||||||
|
Operating Expenses
|
|
|
|
|
|
|
||||||
|
General and administrative expenses
|
|
206,363
|
|
|
98,940
|
|
|
107,423
|
|
|||
|
Management fee to affiliate
|
|
21,721
|
|
|
17,960
|
|
|
3,761
|
|
|||
|
Incentive compensation to affiliate
|
|
—
|
|
|
12,958
|
|
|
(12,958
|
)
|
|||
|
Loan servicing expense
|
|
7,853
|
|
|
9,603
|
|
|
(1,750
|
)
|
|||
|
Subservicing expense
|
|
66,981
|
|
|
40,926
|
|
|
26,055
|
|
|||
|
|
|
302,918
|
|
|
180,387
|
|
|
122,531
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Income (Loss) Before Income Taxes
|
|
(1,774,123
|
)
|
|
201,909
|
|
|
(1,976,032
|
)
|
|||
|
Income tax expense (benefit)
|
|
(166,868
|
)
|
|
45,997
|
|
|
(212,865
|
)
|
|||
|
Net Income (Loss)
|
|
$
|
(1,607,255
|
)
|
|
$
|
155,912
|
|
|
$
|
(1,763,167
|
)
|
|
Noncontrolling Interests in Income (Loss) of Consolidated Subsidiaries
|
|
$
|
(16,162
|
)
|
|
$
|
10,318
|
|
|
$
|
(26,480
|
)
|
|
Dividends on Preferred Stock
|
|
$
|
11,222
|
|
|
$
|
—
|
|
|
$
|
11,222
|
|
|
Net Income (Loss) Attributable to Common Stockholders
|
|
$
|
(1,602,315
|
)
|
|
$
|
145,594
|
|
|
$
|
(1,747,909
|
)
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(323,699
|
)
|
|
$
|
(184,462
|
)
|
|
$
|
(139,237
|
)
|
|
Changes in discount rates
|
|
(73,502
|
)
|
|
74,336
|
|
|
(147,838
|
)
|
|||
|
Changes in other factors
|
|
(66,510
|
)
|
|
125,891
|
|
|
(192,401
|
)
|
|||
|
Total
|
|
$
|
(463,711
|
)
|
|
$
|
15,765
|
|
|
$
|
(479,476
|
)
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
4,226
|
|
|
$
|
(9,752
|
)
|
|
$
|
13,978
|
|
|
Changes in discount rates
|
|
(4,015
|
)
|
|
9,279
|
|
|
(13,294
|
)
|
|||
|
Changes in other factors
|
|
(11,235
|
)
|
|
5,100
|
|
|
(16,335
|
)
|
|||
|
Total
|
|
$
|
(11,024
|
)
|
|
$
|
4,627
|
|
|
$
|
(15,651
|
)
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
686
|
|
|
$
|
(4,960
|
)
|
|
$
|
5,646
|
|
|
Changes in discount rates
|
|
(743
|
)
|
|
3,171
|
|
|
(3,914
|
)
|
|||
|
Changes in other factors
|
|
(400
|
)
|
|
4,401
|
|
|
(4,801
|
)
|
|||
|
Total
|
|
$
|
(457
|
)
|
|
$
|
2,612
|
|
|
$
|
(3,069
|
)
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
81,808
|
|
|
$
|
(51,354
|
)
|
|
$
|
133,162
|
|
|
Changes in discount rates
|
|
(12,744
|
)
|
|
33,931
|
|
|
(46,675
|
)
|
|||
|
Changes in other factors
|
|
(102,674
|
)
|
|
24,361
|
|
|
(127,035
|
)
|
|||
|
Total
|
|
$
|
(33,610
|
)
|
|
$
|
6,938
|
|
|
$
|
(40,548
|
)
|
|
|
|
Three Months Ended
March 31, |
|
Increase (Decrease)
|
||||||||
|
|
|
2020
|
|
2019
|
|
Amount
|
||||||
|
Changes in interest rates and prepayment rates
|
|
$
|
(1,874
|
)
|
|
$
|
(998
|
)
|
|
$
|
(876
|
)
|
|
Changes in discount rates
|
|
(12,744
|
)
|
|
9,682
|
|
|
(22,426
|
)
|
|||
|
Changes in other factors
|
|
(4,131
|
)
|
|
(781
|
)
|
|
(3,350
|
)
|
|||
|
Total
|
|
$
|
(18,749
|
)
|
|
$
|
7,903
|
|
|
$
|
(26,652
|
)
|
|
•
|
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.
|
|
|
|
March 31, 2020
|
|||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral
|
|||||||||||||||||
|
Debt Obligations/Collateral
|
|
Outstanding Face Amount
|
|
Carrying Value(A)
|
|
Final Stated Maturity(B)
|
|
Weighted Average Funding Cost
|
|
Weighted Average Life (Years)
|
|
Outstanding Face
|
|
Amortized Cost Basis
|
|
Carrying Value
|
|
Weighted Average Life (Years)
|
|||||||||||
|
Repurchase Agreements(C)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Agency RMBS(D)
|
|
$
|
302,508
|
|
|
$
|
302,508
|
|
|
Apr-20 to Jun-20
|
|
1.68
|
%
|
|
0.1
|
|
$
|
306,566
|
|
|
$
|
308,486
|
|
|
$
|
318,567
|
|
|
6.8
|
|
Non-Agency RMBS (E)
|
|
6,131,955
|
|
|
6,131,955
|
|
|
Apr-20 to Sep-20
|
|
2.77
|
%
|
|
0.1
|
|
25,071,311
|
|
|
6,413,847
|
|
|
5,389,267
|
|
|
2.8
|
|||||
|
Residential Mortgage Loans(F)
|
|
4,311,309
|
|
|
4,309,869
|
|
|
May-20 to May-21
|
|
2.70
|
%
|
|
0.8
|
|
5,003,435
|
|
|
5,411,739
|
|
|
4,612,611
|
|
|
12.4
|
|||||
|
Real Estate Owned(G)(H)
|
|
69,798
|
|
|
69,798
|
|
|
May-20 to May-21
|
|
2.70
|
%
|
|
0.7
|
|
N/A
|
|
|
N/A
|
|
|
88,221
|
|
|
N/A
|
|||||
|
Total Repurchase Agreements
|
|
10,815,570
|
|
|
10,814,130
|
|
|
|
|
2.71
|
%
|
|
0.4
|
|
|
|
|
|
|
|
|
||||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Excess MSRs(I)
|
|
308,800
|
|
|
308,800
|
|
|
Feb-22 to Jul-22
|
|
4.29
|
%
|
|
2.2
|
|
94,182,895
|
|
|
302,878
|
|
|
377,649
|
|
|
6.1
|
|||||
|
MSRs(J)
|
|
2,546,879
|
|
|
2,541,089
|
|
|
Jun-20 to Jul-24
|
|
3.76
|
%
|
|
1.4
|
|
424,610,405
|
|
|
4,450,640
|
|
|
4,603,915
|
|
|
5.8
|
|||||
|
Servicer Advances(K)
|
|
2,976,208
|
|
|
2,969,209
|
|
|
Jun-20 to Aug-23
|
|
2.49
|
%
|
|
2.0
|
|
3,388,387
|
|
|
3,582,852
|
|
|
3,588,437
|
|
|
1.5
|
|||||
|
Residential Mortgage Loans(L)
|
|
431,953
|
|
|
428,218
|
|
|
Apr-20 to Dec-45
|
|
4.68
|
%
|
|
8.4
|
|
685,168
|
|
|
987,623
|
|
|
633,205
|
|
|
4.6
|
|||||
|
Consumer Loans(M)
|
|
764,259
|
|
|
767,263
|
|
|
May-36
|
|
3.26
|
%
|
|
3.9
|
|
764,960
|
|
|
772,715
|
|
|
774,527
|
|
|
3.9
|
|||||
|
Total Notes and Bonds Payable
|
|
7,028,099
|
|
|
7,014,579
|
|
|
|
|
3.25
|
%
|
|
2.4
|
|
|
|
|
|
|
|
|
||||||||
|
Total/ Weighted Average
|
|
$
|
17,843,669
|
|
|
$
|
17,828,709
|
|
|
|
|
2.92
|
%
|
|
1.2
|
|
|
|
|
|
|
|
|
||||||
|
(A)
|
Net of deferred financing costs.
|
|
(B)
|
All debt obligations with a stated maturity through April 30, 2020 were refinanced, extended or repaid.
|
|
(C)
|
These repurchase agreements had approximately $80.4 million of associated accrued interest payable as of March 31, 2020.
|
|
(D)
|
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $2.9 billion of related trade and other receivables.
|
|
(E)
|
$5,615.0 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $517.0 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements and related collateral of $7.5 million and $10.0 million, respectively, on retained consumer loan bonds and of $533.3 million and $697.6 million, respectively, on retained bonds collateralized by Agency MSRs. Collateral amounts also include approximately $3.3 billion of related trade and other receivables.
|
|
(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 $91.5 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% and $217.3 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 2.75%. 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: $1,232.8 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%; $56.9 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 2.50%; and $1,257.2 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 MSR financing receivables that secure these notes.
|
|
(K)
|
$1.9 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.00% to 1.98%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM.
|
|
(L)
|
Represents: (i) a $5.0 million note payable to Mr. Cooper which includes a $1.5 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $99.9 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from 3.50% to 3.75% (see Note 12 for fair value details), (iii) $176.1 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.60% (see Note 12 for fair value details), and (iv) $150.9 million of asset-backed notes held by third parties which include $1.2 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 composed of the following classes of asset-backed notes held by third parties: $685.1 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.
|
|
|
|
|
Three Months Ended March 31, 2020
|
|||||||||||
|
|
Outstanding
Balance at
March 31, 2020
|
|
Average Daily Amount Outstanding(A)
|
|
Maximum Amount Outstanding
|
|
Weighted Average Daily Interest Rate
|
|||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
|
|||||||
|
Agency RMBS
|
$
|
302,508
|
|
|
$
|
15,250,971
|
|
|
$
|
31,770,128
|
|
|
1.73
|
%
|
|
Non-Agency RMBS
|
6,131,955
|
|
|
7,216,191
|
|
|
8,235,316
|
|
|
2.66
|
%
|
|||
|
Residential mortgage loans
|
4,056,694
|
|
|
4,869,240
|
|
|
5,843,853
|
|
|
3.04
|
%
|
|||
|
Real estate owned
|
69,085
|
|
|
75,173
|
|
|
85,760
|
|
|
3.16
|
%
|
|||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
|
|||||||
|
Excess MSRs
|
—
|
|
|
50,000
|
|
|
50,000
|
|
|
4.16
|
%
|
|||
|
MSRs
|
1,759,551
|
|
|
1,466,919
|
|
|
1,772,334
|
|
|
3.94
|
%
|
|||
|
Servicer advances
|
505,543
|
|
|
323,000
|
|
|
532,743
|
|
|
2.75
|
%
|
|||
|
Residential mortgage loans
|
150,886
|
|
|
195,055
|
|
|
204,591
|
|
|
2.68
|
%
|
|||
|
Total/Weighted Average
|
$
|
12,976,222
|
|
|
$
|
29,446,549
|
|
|
|
|
|
2.94
|
%
|
|
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
|
Average Daily Amount Outstanding(A)
|
||||||||||||||
|
|
Three Months Ended
|
||||||||||||||
|
|
June 30, 2019
|
|
September 30, 2019
|
|
December 31, 2019
|
|
March 31, 2020
|
||||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
|
||||||||
|
Agency RMBS
|
$
|
6,846,716
|
|
|
$
|
10,544,720
|
|
|
$
|
14,939,907
|
|
|
$
|
15,250,971
|
|
|
Non-Agency RMBS
|
7,675,607
|
|
|
7,986,868
|
|
|
7,403,488
|
|
|
7,216,191
|
|
||||
|
Residential mortgage loans
|
2,681,220
|
|
|
3,432,062
|
|
|
2,644,559
|
|
|
4,869,240
|
|
||||
|
Real estate owned
|
48,247
|
|
|
58,390
|
|
|
66,317
|
|
|
75,173
|
|
||||
|
(A)
|
Represents the average for the period the debt was outstanding.
|
|
Year
|
|
Nonrecourse(A)
|
|
Recourse(B)
|
|
Total
|
||||||
|
April 1 through December 31, 2020
|
|
$
|
134,958
|
|
|
$
|
11,639,359
|
|
|
$
|
11,774,317
|
|
|
2021
|
|
1,227,143
|
|
|
1,090,798
|
|
|
2,317,941
|
|
|||
|
2022
|
|
1,271,962
|
|
|
308,800
|
|
|
1,580,762
|
|
|||
|
2023
|
|
400,000
|
|
|
361,803
|
|
|
761,803
|
|
|||
|
2024
|
|
—
|
|
|
368,593
|
|
|
368,593
|
|
|||
|
2025 and thereafter
|
|
1,040,253
|
|
|
—
|
|
|
1,040,253
|
|
|||
|
|
|
$
|
4,074,316
|
|
|
$
|
13,769,353
|
|
|
$
|
17,843,669
|
|
|
(A)
|
Includes repurchase agreements and notes and bonds payable of $0.9 million and $4,073.5 million, respectively.
|
|
(B)
|
Includes repurchase agreements and notes and bonds payable of $10,814.7 million and $2,954.7 million, respectively.
|
|
Debt Obligations/ Collateral
|
|
Borrowing Capacity
|
|
Balance Outstanding
|
|
Available Financing(A)
|
||||||
|
Repurchase Agreements
|
|
|
|
|
|
|
||||||
|
Residential mortgage loans and REO
|
|
$
|
5,731,188
|
|
|
$
|
2,876,008
|
|
|
$
|
2,855,180
|
|
|
New Loan Origination
|
|
4,083,000
|
|
|
1,505,099
|
|
|
2,577,901
|
|
|||
|
Non-Agency RMBS
|
|
650,000
|
|
|
517,004
|
|
|
132,996
|
|
|||
|
|
|
|
|
|
|
|
||||||
|
Notes and Bonds Payable
|
|
|
|
|
|
|
||||||
|
Excess MSRs
|
|
100,000
|
|
|
91,500
|
|
|
8,500
|
|
|||
|
MSRs
|
|
1,575,000
|
|
|
1,289,637
|
|
|
285,363
|
|
|||
|
Servicer advances
|
|
1,575,000
|
|
|
1,076,243
|
|
|
498,757
|
|
|||
|
Residential Mortgage Loans
|
|
650,000
|
|
|
150,886
|
|
|
499,114
|
|
|||
|
Consumer loans
|
|
150,000
|
|
|
—
|
|
|
150,000
|
|
|||
|
|
|
$
|
14,514,188
|
|
|
$
|
7,506,377
|
|
|
$
|
7,007,811
|
|
|
(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.
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
March 31, 2020 |
||||||||
|
Series
|
|
Number of Shares
|
|
Liquidation Preference
|
|
Issuance Discount
|
|
Carrying Value
|
|
Dividend
|
||||||||
|
Fixed-to-floating rate cumulative redeemable preferred:
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Preferred Series A, 7.50% Issued July 2019
|
|
6,210
|
|
|
$
|
155,250
|
|
|
3.15
|
%
|
|
$
|
150,026
|
|
|
$
|
0.47
|
|
|
Preferred Series B, 7.125% Issued August 2019
|
|
11,300
|
|
|
282,500
|
|
|
3.15
|
%
|
|
273,418
|
|
|
$
|
0.45
|
|
||
|
Preferred Series C, 6.375% Issued February 2020
|
|
16,100
|
|
|
402,500
|
|
|
3.15
|
%
|
|
389,548
|
|
|
$
|
0.40
|
|
||
|
Total
|
|
33,610
|
|
|
$
|
840,250
|
|
|
|
|
$
|
812,992
|
|
|
|
|||
|
Held by the Manager
|
10,860,706
|
|
|
Issued to the Manager and subsequently assigned to certain of the Manager’s employees
|
3,560,949
|
|
|
Issued to the independent directors
|
7,000
|
|
|
Total
|
14,428,655
|
|
|
|
Total Accumulated Other Comprehensive Income
|
||
|
Accumulated other comprehensive income, December 31, 2019
|
$
|
682,151
|
|
|
Net unrealized gain (loss) on securities
|
78,524
|
|
|
|
Reclassification of net realized (gain) loss on securities into earnings
|
(754,540
|
)
|
|
|
Accumulated other comprehensive income, March 31, 2020
|
$
|
6,135
|
|
|
Common Dividends Declared for the Period Ended
|
|
Paid/Payable
|
|
Amount Per Share
|
||
|
June 30, 2019
|
|
July 2019
|
|
$
|
0.50
|
|
|
September 30, 2019
|
|
October 2019
|
|
$
|
0.50
|
|
|
December 31, 2019
|
|
January 2020
|
|
$
|
0.50
|
|
|
March 31, 2020
|
|
April 2020
|
|
$
|
0.05
|
|
|
•
|
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
March 31, |
||||||
|
|
|
2020
|
|
2019
|
||||
|
Net income (loss) attributable to common stockholders
|
|
$
|
(1,602,315
|
)
|
|
$
|
145,594
|
|
|
Adjustments for Non-Core Earnings:
|
|
|
|
|
||||
|
Impairment
|
|
144,645
|
|
|
12,796
|
|
||
|
Change in fair value of investments in mortgage servicing rights
|
|
504,848
|
|
|
(29,501
|
)
|
||
|
Change in fair value of servicer advance investments
|
|
18,749
|
|
|
(7,903
|
)
|
||
|
Change in fair value of investments in real estate and other securities
|
|
86,792
|
|
|
(6,679
|
)
|
||
|
Change in fair value of investments in residential mortgage loans
|
|
265,244
|
|
|
(14,563
|
)
|
||
|
Change in fair value of derivative instruments
|
|
39,982
|
|
|
23,767
|
|
||
|
(Gain) loss on settlement of investments, net (Note 2)
|
|
811,471
|
|
|
43,167
|
|
||
|
Other (income) loss (Note 2)
|
|
83,501
|
|
|
(5,994
|
)
|
||
|
Other Income and Impairment attributable to non-controlling interests
|
|
(22,279
|
)
|
|
(2,432
|
)
|
||
|
Non-capitalized transaction-related expenses (Note 2)
|
|
16,902
|
|
|
6,866
|
|
||
|
Incentive compensation to affiliate (Note 16)
|
|
—
|
|
|
12,958
|
|
||
|
Preferred stock management fee to affiliate
|
|
2,295
|
|
|
—
|
|
||
|
Deferred taxes (Note 18)
|
|
(166,917
|
)
|
|
46,331
|
|
||
|
Interest income on residential mortgage loans, held-for-sale
|
|
12,143
|
|
|
2,301
|
|
||
|
Limit on RMBS discount accretion related to called deals
|
|
—
|
|
|
(19,556
|
)
|
||
|
Adjust consumer loans to level yield
|
|
(515
|
)
|
|
(4,852
|
)
|
||
|
Core earnings of equity method investees:
|
|
|
|
|
||||
|
Excess mortgage servicing rights (Note 4)
|
|
3,825
|
|
|
2,028
|
|
||
|
Core Earnings
|
|
$
|
198,371
|
|
|
$
|
204,328
|
|
|
|
|
|
|
|
||||
|
Net Income Per Diluted Share
|
|
$
|
(3.86
|
)
|
|
$
|
0.37
|
|
|
Core Earnings Per Diluted Share
|
|
$
|
0.48
|
|
|
$
|
0.53
|
|
|
|
|
|
|
|
||||
|
Weighted Average Number of Shares of Common Stock Outstanding, Diluted
|
|
415,589,155
|
|
|
388,601,075
|
|
||
|
|
|
March 31, 2020
|
|
December 31, 2019
|
|
Interest rate change (bps)
|
|
Estimated Change in Fair Value ($mm)
|
|
Estimated Change in Fair Value ($mm)
|
|
+50bps
|
|
+326.5
|
|
+12.4
|
|
+25bps
|
|
+165.1
|
|
+13.7
|
|
-25bps
|
|
-168.8
|
|
-28.7
|
|
-50bps
|
|
-341.5
|
|
-72.4
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
|
Mortgage Basis change (bps)
|
|
Estimated Change in Fair Value ($mm)
|
|
Estimated Change in Fair Value ($mm)
|
|
+20bps
|
|
+128.1
|
|
+31.4
|
|
+10bps
|
|
+64.3
|
|
+15.8
|
|
-10bps
|
|
-64.9
|
|
-16.1
|
|
-20bps
|
|
-130.5
|
|
-32.6
|
|
Fair value at March 31, 2020
|
|
$
|
200,167
|
|
|
|
|
|
|
|
||||||
|
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
213,626
|
|
|
$
|
206,680
|
|
|
$
|
194,053
|
|
|
$
|
188,303
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
13,459
|
|
|
$
|
6,513
|
|
|
$
|
(6,114
|
)
|
|
$
|
(11,864
|
)
|
|
%
|
|
6.7
|
%
|
|
3.3
|
%
|
|
(3.1
|
)%
|
|
(5.9
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
208,298
|
|
|
$
|
203,956
|
|
|
$
|
196,789
|
|
|
$
|
193,741
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
8,131
|
|
|
$
|
3,789
|
|
|
$
|
(3,378
|
)
|
|
$
|
(6,426
|
)
|
|
%
|
|
4.1
|
%
|
|
1.9
|
%
|
|
(1.7
|
)%
|
|
(3.2
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
200,748
|
|
|
$
|
200,458
|
|
|
$
|
199,877
|
|
|
$
|
199,587
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
581
|
|
|
$
|
291
|
|
|
$
|
(290
|
)
|
|
$
|
(580
|
)
|
|
%
|
|
0.3
|
%
|
|
0.1
|
%
|
|
(0.1
|
)%
|
|
(0.3
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
196,072
|
|
|
$
|
198,120
|
|
|
$
|
202,215
|
|
|
$
|
204,263
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
(4,095
|
)
|
|
$
|
(2,047
|
)
|
|
$
|
2,048
|
|
|
$
|
4,096
|
|
|
%
|
|
(2.0
|
)%
|
|
(1.0
|
)%
|
|
1.0
|
%
|
|
2.0
|
%
|
||||
|
Fair value at March 31, 2020
|
|
$
|
3,719,469
|
|
|
|
|
|
|
|
||||||
|
Discount rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,959,098
|
|
|
$
|
3,835,553
|
|
|
$
|
3,610,215
|
|
|
$
|
3,507,231
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
239,629
|
|
|
$
|
116,084
|
|
|
$
|
(109,254
|
)
|
|
$
|
(212,238
|
)
|
|
%
|
|
6.4
|
%
|
|
3.1
|
%
|
|
(2.9
|
)%
|
|
(5.7
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Prepayment rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,973,570
|
|
|
$
|
3,838,881
|
|
|
$
|
3,612,268
|
|
|
$
|
3,515,563
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
254,101
|
|
|
$
|
119,412
|
|
|
$
|
(107,201
|
)
|
|
$
|
(203,906
|
)
|
|
%
|
|
6.8
|
%
|
|
3.2
|
%
|
|
(2.9
|
)%
|
|
(5.5
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Delinquency rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,741,495
|
|
|
$
|
3,730,482
|
|
|
$
|
3,708,454
|
|
|
$
|
3,697,441
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
22,026
|
|
|
$
|
11,013
|
|
|
$
|
(11,015
|
)
|
|
$
|
(22,028
|
)
|
|
%
|
|
0.6
|
%
|
|
0.3
|
%
|
|
(0.3
|
)%
|
|
(0.6
|
)%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Recapture rate shift in %
|
|
-20%
|
|
-10%
|
|
10%
|
|
20%
|
||||||||
|
Estimated fair value
|
|
$
|
3,613,410
|
|
|
$
|
3,666,439
|
|
|
$
|
3,772,497
|
|
|
$
|
3,825,526
|
|
|
Change in estimated fair value:
|
|
|
|
|
|
|
|
|
||||||||
|
Amount
|
|
$
|
(106,059
|
)
|
|
$
|
(53,030
|
)
|
|
$
|
53,028
|
|
|
$
|
106,057
|
|
|
%
|
|
(2.9
|
)%
|
|
(1.4
|
)%
|
|
1.4
|
%
|
|
2.9
|
%
|
||||
|
•
|
The outbreak could adversely impact the continued service and availability of skilled personnel, including our executive officers and other members of our management team, our employees at our lending business and our servicer, certain of the servicers and subservicers that we engage, which we refer to as our “Servicing Partners,” and other third-party vendors. To the extent our management or other personnel, including those of our Manager, are impacted in significant numbers by the outbreak and are not available to conduct work, our business and operating results may be negatively impacted.
|
|
•
|
Continued volatility in the residential credit market have caused and may continue to cause the market value of loans and securities we own subject to financing to decline, and our financing counterparties may make margin calls. In recent weeks, we have observed a mark-down of a portion of our mortgage assets by the counterparties to our financing arrangements, resulting in us having to use a significant portion of our cash on hand and sell certain assets to satisfy higher than historical levels of margin calls. We cannot assure you that we will not be subject to additional margin calls, that we will have ample liquidity to satisfy any such obligations, that we would be able to sell assets or securities as needed, or that the consideration of such sales will satisfy our obligations. Significant margin calls could have a material adverse effect on our results of operations, financial condition, business, liquidity and ability to make distributions to our stockholders, and could cause the value of our securities to decline.
|
|
•
|
The financial impact of the outbreak, including significant and widespread decreases in the fair values of our assets, could cause us to breach the financial covenants under our borrowing facilities or other agreements related to liquidity, net worth, leverage or other financial metrics. Such covenants, if breached, can result in our being required to immediately repay all outstanding amounts borrowed, if any, under these facilities and these facilities being unavailable to use for
|
|
•
|
Certain actions taken by U.S. or other governmental authorities, including the Federal Reserve, that are intended to ameliorate the macroeconomic effects of COVID-19 may harm our business. Decreases in short-term interest rates, such as those announced by the Federal Reserve in late 2019 and first quarter of 2020, may have a negative impact on our results, as we have certain assets and liabilities which are sensitive to changes in interest rates. The Federal Reserve also recently significantly further lowered market interest rates in response to COVID-19 pandemic concerns, and such declines may negatively affect our results of operations. In addition, a continuing decline in interest rates may result in higher refinancing activity and therefore increase the rate of prepayment on loans underlying our assets, which could have a material adverse effect on our result of operations.
|
|
•
|
We could face difficulty accessing debt and equity capital on attractive terms, or at all. In addition, a severe disruption and instability in the global financial markets or deteriorations in credit and financing conditions may adversely affect the valuation of financial assets and liabilities or cause us to reduce the volume of loans we originate and/or service, any of which could have a material adverse effect on our business, financial condition, results of operations and cash flows.
|
|
•
|
Rising unemployment levels in the U.S. and other effects of COVID-19 may cause borrowers to experience difficulties in meeting their payment obligations under the mortgage loans, or to seek forbearance on payments, which may result in significant decreases in cash flows. An increase in delinquencies or default would have an adverse impact on the value of our RMBS and MSR assets, as well as increase the cost to service our MSR assets. Furthermore, we expect to see an increase in our servicer advance obligations for which we will need to obtain additional liquidity either through raising additional financing or selling additional assets. In addition, any significant decrease in economic activity or resulting decline in the housing market could have an adverse effect on our investments in mortgage loans, Agency RMBS, Non-Agency RMBS and other real estate assets.
|
|
•
|
As a result of the outbreak, we have experienced a decrease in the value of our qualifying REIT assets, and we have had to sell a significant portion of such assets in order to satisfy margin calls. We cannot assure you that these and other market developments resulting from COVID-19 will not adversely affect our ability to continue to qualify as a REIT. We plan to purchase qualifying assets prior to the end of the second quarter of 2020 to continue to satisfy the asset tests for such quarter and thereafter. Although we expect to be able to purchase such qualifying assets and to otherwise continue to satisfy the requirements for qualification as a REIT, no assurances can be given that we will be able to do so, or that doing so will not adversely affect our business plan.
|
|
•
|
U.S. and other governmental authorities, including the GSEs and the Federal Reserve, have taken certain actions that are intended to ameliorate the macroeconomic effects of the outbreak, and the potential impact of such actions on our business remains uncertain. For example, on March 27, 2020, the CARES Act was enacted to provide financial assistance to individuals and businesses affected by the outbreak of COVID-19. The CARES Act, among other things, provides certain measures to support individuals and businesses in maintaining solvency through monetary relief, including in the form of financing and loan forgiveness/forbearance. The CARES Act, among other things, provides any homeowner with a federally-backed mortgage who is experiencing financial hardship the option of up to six months of forbearance on their mortgage payments, with a potential to extend that forbearance for another six months. During the forbearance period, no additional fees, penalties or interest can accrue on the homeowner’s account. The CARES Act also established a 60-day moratorium on foreclosures. Unprecedented amounts of forbearances are likely to be requested as a result of the CARES Act. Extensive use by the public of the relief provided by the CARES Act can have a negative impact on our financial results. However, none of the programs or legislation currently offer any liquidity initiatives to support servicers’ advancing obligations. We may not be eligible for any such relief and there is no assurance that any of these relief programs or initiatives will be effective, sufficient or otherwise have a positive impact on our business.
|
|
•
|
To the extent we elect or are required to make temporary or lasting changes involving the status, practices and procedures of our operating platforms, including with respect to loan origination and servicing activities, we may strain our relationships with business partners, customers and counterparties, breach actual or perceived obligations to them, and be subject to litigation and claims from such partners, customers and counterparties, any of which could have a material adverse effect on our reputation, business, financial condition, results of operations and cash flows.
|
|
•
|
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 NewRez’s ability to maintain our status as an approved servicer by Fannie Mae and Freddie Mac;
|
|
•
|
adversely affect NewRez’s and/or New Residential’s ability to finance servicing advance receivables 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 NewRez’s termination as servicer in our servicing agreements that require that NewRez to maintain specified servicer ratings; and
|
|
•
|
further impair NewRez’s ability to consummate future servicing transactions.
|
|
•
|
the uncertainty and economic impact of the COVID-19 pandemic, including liquidity, impact on the value of assets and availability of financing;
|
|
•
|
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, the GSEs, 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 origination criteria for securitized mortgage loans.
|
|
•
|
the integration of the portfolio into our applicable subservicer’s information technology platforms and servicing systems;
|
|
•
|
the quality of servicing during any interim servicing period after we purchase the portfolio but before our applicable subservicer assumes servicing obligations from the seller or its agents;
|
|
•
|
the disruption to our ongoing businesses and distraction of our management teams from ongoing business concerns;
|
|
•
|
incomplete or inaccurate files and records;
|
|
•
|
the retention of existing customers;
|
|
•
|
the creation of uniform standards, controls, procedures, policies and information systems;
|
|
•
|
the occurrence of unanticipated expenses; and
|
|
•
|
potential unknown liabilities associated with the transactions, including legal liability related to origination and servicing prior to the acquisition.
|
|
•
|
We have limited experience acquiring MSRs and operating a servicer. Although ownership of MSRs and the operation of a servicer includes many of the same risks as our other target assets and business activities, including risks related to prepayments, borrower credit, defaults, interest rates, hedging, and regulatory changes, there can be no assurance that we will be able to successfully operate a servicer subsidiary and integrate MSR investments into our business operations.
|
|
•
|
As of today, we rely on subservicers to subservice the mortgage loans underlying our MSRs on our behalf. We are generally responsible under the applicable Servicing Guidelines for any subservicer’s non-compliance with any such applicable Servicing Guideline. In addition, there is a risk that our current subservicers will be unwilling or unable to continue subservicing on our behalf on terms favorable to us in the future. In such a situation, we may be unable to locate a replacement subservicer on favorable terms.
|
|
•
|
NRM and NewRez’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 or NewRez’s existing approvals or pending applications by one or more entities or agencies.
|
|
•
|
NRM and NewRez are presently licensed, approved, or otherwise eligible to hold MSRs in all states within the United States and the District of Columbia. Such state licenses may be suspended or revoked by a state regulatory authority, and we may as a result lose the ability to own MSRs under the regulatory jurisdiction of such state regulatory authority.
|
|
•
|
Changes in minimum servicing compensation for Agency loans could occur at any time and could negatively impact the value of the income derived from any MSRs that we hold or may acquire in the future.
|
|
•
|
Investments in MSRs are highly illiquid and subject to numerous restrictions on transfer and, as a result, there is risk that we would be unable to locate a willing buyer or get approval to sell any MSRs in the future should we desire to do so.
|
|
•
|
part of the income and gain recognized by certain qualified employee pension trusts with respect to our stock may be treated as unrelated business taxable income if shares of our stock are predominantly held by qualified employee pension trusts, and we are required to rely on a special look-through rule for purposes of meeting one of the REIT ownership tests, and we are not operated in a manner to avoid treatment of such income or gain as unrelated business taxable income;
|
|
•
|
part of the income and gain recognized by a tax-exempt investor with respect to our stock would constitute unrelated business taxable income if the investor incurs debt in order to acquire the stock; and
|
|
•
|
to the extent that we are (or a part of us, or a disregarded subsidiary of ours, is) a “taxable mortgage pool,” or if we hold residual interests in a real estate mortgage investment conduit (“REMIC”), a portion of the distributions paid to a tax exempt stockholder that is allocable to excess inclusion income may be treated as unrelated business taxable income.
|
|
•
|
a shift in our investor base;
|
|
•
|
our quarterly or annual earnings and cash flows, or those of other comparable companies;
|
|
•
|
actual or anticipated fluctuations in our operating results;
|
|
•
|
changes in accounting standards, policies, guidance, interpretations or principles;
|
|
•
|
announcements by us or our competitors of significant investments, acquisitions or dispositions;
|
|
•
|
the failure of securities analysts to cover our common stock;
|
|
•
|
changes in earnings estimates by securities analysts or our ability to meet those estimates;
|
|
•
|
market performance of affiliates and other counterparties with whom we conduct business;
|
|
•
|
the operating and stock price performance of other comparable companies;
|
|
•
|
our failure to qualify as a REIT, maintain our exemption under the 1940 Act or satisfy the NYSE listing requirements;
|
|
•
|
negative public perception of us, our competitors or industry;
|
|
•
|
overall market fluctuations; and
|
|
•
|
general economic conditions.
|
|
•
|
a classified board of directors with staggered three-year terms;
|
|
•
|
provisions regarding the election of directors, classes of directors, the term of office of directors, the filling of director vacancies and the resignation and removal of directors for cause only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
|
|
•
|
provisions regarding corporate opportunity only upon the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote thereon;
|
|
•
|
removal of directors only for cause and only with the affirmative vote of at least 80% of the then issued and outstanding shares of our capital stock entitled to vote in the election of directors;
|
|
•
|
our board of directors to determine the powers, preferences and rights of our preferred stock and to issue such preferred stock without stockholder approval;
|
|
•
|
advance notice requirements applicable to stockholders for director nominations and actions to be taken at annual meetings;
|
|
•
|
a prohibition, in our certificate of incorporation, stating that no holder of shares of our common stock will have cumulative voting rights in the election of directors, which means that the holders of a majority of the issued and outstanding shares of common stock can elect all the directors standing for election; and
|
|
•
|
a requirement in our bylaws specifically denying the ability of our stockholders to consent in writing to take any action in lieu of taking such action at a duly called annual or special meeting of our stockholders.
|
|
Exhibit Number
|
|
|
Exhibit Description
|
|
|
|
||
|
2.1*
|
|
|
Separation and Distribution Agreement, dated as of April 26, 2013, by and between New Residential Investment Corp. and Newcastle Investment Corp. (incorporated by reference to Exhibit 2.1 to Amendment No. 6 of New Residential Investment Corp.’s Registration Statement on Form 10, filed April 29, 2013)
|
|
|
|
||
|
2.2*
|
|
|
Purchase Agreement, dated as of March 5, 2013, by and among the Sellers listed therein, HSBC Finance Corporation and SpringCastle Acquisition LLC (incorporated by reference to Exhibit 99.1 to Drive Shack Inc.’s Current Report on Form 8-K, filed March 11, 2013)
|
|
|
|
||
|
2.3*
|
|
|
Master Servicing Rights Purchase Agreement, dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.1 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
||
|
2.4*
|
|
|
Sale Supplement (Shuttle 1), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.2 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
||
|
2.5*
|
|
|
Sale Supplement (Shuttle 2), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.3 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
||
|
2.6*
|
|
|
Sale Supplement (First Tennessee), dated as of December 17, 2013, by and between Nationstar Mortgage LLC and Advance Purchaser LLC (incorporated by reference to Exhibit 2.4 to New Residential Investment Corp.’s Current Report on Form 8-K, filed December 23, 2013)
|
|
|
|
||
|
2.7*
|
|
|
Purchase Agreement, dated as of March 31, 2016, by and among SpringCastle Holdings, LLC, Springleaf Acquisition Corporation, Springleaf Finance, Inc., NRZ Consumer LLC, NRZ SC America LLC, NRZ SC Credit Limited, NRZ SC Finance I LLC, NRZ SC Finance II LLC, NRZ SC Finance III LLC, NRZ SC Finance IV LLC, NRZ SC Finance V LLC, BTO Willow Holdings II, L.P. and Blackstone Family Tactical Opportunities Investment Partnership - NQ - ESC L.P., and solely with respect to Section 11(a) and Section 11(g), NRZ SC America Trust 2015-1, NRZ SC Credit Trust 2015-1, NRZ SC Finance Trust 2015-1, and BTO Willow Holdings, L.P. (incorporated by reference to Exhibit 2.10 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016, filed on May 4, 2016)
|
|
|
|
|
|
|
2.8*
|
|
|
Securities Purchase Agreement, dated as of November 29, 2017, by and among NRM Acquisition LLC, Shellpoint Partners LLC, the Sellers party thereto and Shellpoint Services LLC, as original representative of the Seller (incorporated by reference to Exhibit 2.8 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2017, filed on February 15, 2018)
|
|
|
|
|
|
|
2.9*
|
|
|
Amendment No. 1 to the Securities Purchase Agreement, dated as of July 3, 2018, by and among NRM Acquisition LLC, Shellpoint Partners LLC, the Sellers party thereto and Shellpoint Representative LLC, as replacement representative of the Sellers (incorporated by reference to Exhibit 2.9 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2018)
|
|
|
|
|
|
|
|
|
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 (incorporated by reference to Exhibit 2.11 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.12 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.13 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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Exhibit Number
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Exhibit Description
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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 (incorporated by reference to Exhibit 2.14 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.15 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.16 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.17 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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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 (incorporated by reference to Exhibit 2.18 to New Residential Investment Corp.’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2019)
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Amendment No. 9 to the Asset Purchase Agreement, dated as of November 27, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company (incorporated by reference to Exhibit 2.19 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2019, filed on February 19, 2020)
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Amendment No. 10 to the Asset Purchase Agreement, dated as of December 12, 2019, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company (incorporated by reference to Exhibit 2.20 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2019, filed on February 19, 2020)
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Amendment No. 11 to the Asset Purchase Agreement, dated as of January 17, 2020, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company (incorporated by reference to Exhibit 2.21 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2019, filed on February 19, 2020)
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Amendment No. 12 to the Asset Purchase Agreement, dated as of January 24, 2020, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company (incorporated by reference to Exhibit 2.22 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2019, filed on February 19, 2020)
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Settlement and Release Agreement, dated as of January 27, 2020, among New Residential Investment Corp., Ditech Holding Corporation, a Maryland corporation, and Ditech Financial LLC, a Delaware limited liability company (incorporated by reference to Exhibit 2.23 to New Residential Investment Corp.’s Annual Report on Form 10-K for the year ended December 31, 2019, filed on February 19, 2020)
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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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Exhibit Number
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Exhibit Description
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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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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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Exhibit Number
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Exhibit Description
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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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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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Series 2019-T5 Indenture Supplement, dated as of October 31, 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 November 6, 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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Exhibit Number
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Exhibit Description
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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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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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Exhibit Number
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Exhibit Description
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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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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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Exhibit Number
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Exhibit Description
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||
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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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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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Exhibit Number
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Exhibit Description
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||
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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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Call Rights Letter Agreement, dated as of March 31, 2020, between New Residential Investment Corp. and Fortress Credit Opportunities V Advisors LLC
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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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||
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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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||
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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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||
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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 March 31, 2020, 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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#
|
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.
|
|
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle America, LLC, dated as of March 31, 2016.
|
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle Credit, LLC, dated as of March 31, 2016.
|
|
•
|
Second Amended and Restated Limited Liability Company Agreement of SpringCastle Finance, LLC, dated as of March 31, 2016.
|
|
|
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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May 8, 2020
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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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May 8, 2020
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Re:
|
Specified Call Rights
|
|
2.
|
Call Rights
|
|
3.
|
Exercise of Specified Call Rights
|
|
4.
|
Notice for Exercise of Specified Call Rights.
|
|
(i)
|
Company Direction. If Company desires to direct NRZ or its subsidiaries to exercise a Specified Call Right, Company shall give written notice thereof (a “Direction Notice”) to NRZ no later than thirty (30) days prior to the
|
|
(ii)
|
NRZ Optional Participation. No later than ten (10) days after NRZ’s receipt of a Direction Notice, NRZ may, in its sole discretion, provide written notice (a “Non-Participation Notice”) to Company to the effect that NRZ will not participate in the exercise of such Specified Call Right. If NRZ delivers a Non-Participation Notice, NRZ will not participate in such Specified Call Right.
|
|
(iii)
|
Company Withdrawal Option. If NRZ delivers a Non-Participation Notice, no later than ten (10) days after Company’s receipt of such Non-Participation Notice, Company may, in its sole discretion, withdraw the related Direction Notice by written notice (a “Withdrawal Notice”) to NRZ. If Company issues a Withdrawal Notice, NRZ will not exercise, or cause or permit its applicable subsidiaries to exercise, the related Specified Call Right until receipt of a new Direction Notice to the contrary.
|
|
5.
|
Benefit of Exercise of Specified Call Rights
|
|
(i)
|
If NRZ delivers a Non-Participation Notice to Company and Company does not deliver a Withdrawal Notice:
|
|
a.
|
Company or its designee shall pay 100% of the Termination Price and 100% of the Expense Amounts; and
|
|
b.
|
Company or its designee is entitled to 100% of the profits and losses in connection with the exercise of any Specified Call Right.
|
|
(ii)
|
If NRZ does not deliver a Non-Participation Notice to Company:
|
|
a.
|
NRZ or its designee shall pay 50% of the Expense Amounts and 50% of the Termination Price;
|
|
b.
|
Company or its designee shall pay 50% of the Expense Amounts and 50% of the Termination Price;
|
|
c.
|
NRZ or its designee is entitled to 50% of the profits and losses in connection with the exercise of any Specified Call Right; and
|
|
d.
|
Company or its designee is entitled to 50% of the profits and losses in connection with the exercise of any Specified Call Right.
|
|
6.
|
Conditions to Exercise of Specified Call Rights
|
|
7.
|
Pre-Funding by Company
|
|
(i)
|
its applicable portion of the Termination Price no later than three business days before the date on which NRZ (or any affiliate) is required to deposit the same in accordance with the definitive documents for the related Specified RMBS Transaction or under any agreements with any Other Parties;
|
|
(ii)
|
its applicable portion of NRZ’s good faith estimate of the Expense Amounts related to the exercise of the related Specified Call Right (as determined by NRZ based on its prior experience exercising Call Rights) no later than three business days before the date of the exercise of such Specified Call Right; and
|
|
(iii)
|
if requested by NRZ, any NRZ Indemnified Amounts reasonably expected by NRZ related to the exercise of the related Specified Call Right from time to time as reasonably requested by NRZ based on its expected incurrence of such NRZ Indemnified Amounts.
|
|
8.
|
Expense Amounts and Termination Price True-Up
|
|
9.
|
Indemnification by Company
|
|
10.
|
Indemnification by NRZ
|
|
11.
|
Notices
|
|
12.
|
Survival
|
|
13.
|
Successors and Assigns
|
|
14.
|
Severability
|
|
15.
|
Counterparts
|
|
16.
|
GOVERNING LAW
|
|
17.
|
WAIVER OF JURY TRIAL
|
|
18.
|
SUBMISSION TO JURISDICTION
|
|
19.
|
Entire Agreement
|
|
20.
|
Third Party Beneficiaries
|
|
21.
|
Further Assurances
|
|
22.
|
Amendments and Waivers
|
|
23.
|
Remedies Cumulative
|
|
24.
|
Potential Inability to Exercise Specified Call Rights
|
|
25.
|
Certain Defined Terms
|
|
(i)
|
all out-of-pocket amounts incurred or payable by any NRZ Party in connection with the exercise of such Specified Call Right, including, without limitation, (a) all amounts payable by any NRZ Party to the Other Parties and transaction parties to the extent required under the related Specified RMBS Transaction or otherwise required by such parties in order to exercise the related Specified Call Right, and (b) fees and expenses of Other Parties, other parties to the related Specified RMBS Transaction, consultants, contractors and valuation agents;
|
|
(ii)
|
to the extent not paid out of the proceeds of the related Termination Price, (a) all related unpaid monthly advances directly or indirectly held by any NRZ Party or any Other Party in connection with the related Specified RMBS Transaction, (b) all related unpaid servicing advances directly or indirectly held by any NRZ Party or any Other Party in connection with the related Specified RMBS Transaction, and (c) all accrued and unpaid servicing fees directly or indirectly held by any NRZ Party or any Other Party in connection with the related Specified RMBS Transaction;
|
|
(iii)
|
to the extent not paid out of the proceeds of the related Termination Price, applicable de-boarding fees or termination fees directly or indirectly payable by any NRZ Party in connection with the exercise of such Specified Call Right and/or directly or indirectly payable by any NRZ Party in connection with the transfer of servicing or subservicing of the mortgage loans subject to the related Specified RMBS Transaction; and
|
|
(iv)
|
any out-of-pocket costs and expenses associated with (a) creating any entity or entities to hold any assets acquired in connection with the exercise of any Specified Call Right and/or (b) the subsequent disposition of any such assets and/or the financing of any such assets.
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
|
4.
|
The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
5.
|
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of 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.
|
|
May 8, 2020
|
/s/ Michael Nierenberg
|
|
|
Michael Nierenberg
|
|
|
Chief Executive Officer
|
|
1.
|
I have reviewed this quarterly report on Form 10-Q of New Residential Investment Corp.;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
|
4.
|
The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a–15(e) and 15d–15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
5.
|
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of 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.
|
|
May 8, 2020
|
/s/ Nicola Santoro, Jr.
|
|
|
Nicola Santoro, Jr.
|
|
|
Chief Financial Officer
|
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
|
(1)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
May 8, 2020
|
/s/ Michael Nierenberg
|
|
|
Michael Nierenberg
|
|
|
Chief Executive Officer
|
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
May 8, 2020
|
/s/ Nicola Santoro, Jr.
|
|
|
Nicola Santoro, Jr.
|
|
|
Chief Financial Officer
|