DEBT OBLIGATIONS

The following table presents certain information regarding New Residential’s debt obligations:



	September 30, 2015																December 31, 2014
										Collateral
Debt Obligations/Collateral	Month Issued	Outstanding Face Amount		Carrying Value^(A)		Final Stated Maturity^(B)	Weighted Average Funding Cost		Weighted Average Life (Years)	Outstanding Face		Amortized Cost Basis		Carrying Value		Weighted Average Life (Years)	Carrying Value^(A)
Repurchase Agreements^(C)
Agency RMBS^(D)	Various	$	2,144,624	$	2,144,624	Oct-15	0.47	%	0.1	$	2,138,144	$	2,236,321	$	2,234,248	0.5	$	1,707,602
Non-Agency RMBS ^(E)	Various	890,025		890,025		Oct-15 to Mar-16	1.80	%	0.1	2,594,423		1,166,464		1,179,444		7.9	539,049
Residential Mortgage Loans^(F)	Various	627,656		626,962		Nov-15 to Oct-16	2.79	%	0.5	799,635		728,339		730,312		3.5	867,334
Real Estate Owned^(G)(H)	Various	72,084		72,005		Nov-15 to Aug-16	3.13	%	0.4	N/A		N/A		82,796		N/A	35,105
Consumer Loan Investment^(I)	Apr-15	40,264		40,264		Oct-15	3.78	%	0.1	N/A		N/A		—		3.4	—
Total Repurchase Agreements		3,774,653		3,773,880			1.25	%	0.2								3,149,090
Notes Payable
Secured Corporate Note^(J)	May-15	188,266		186,520		Apr-17	5.44	%	1.6	96,532,601		222,505		263,476		5.0	—
Servicer Advances^(K)	Various	7,055,203		7,038,079		Oct-15 to Aug-18	3.06	%	1.1	7,644,435		7,417,372		7,499,775		4.3	2,885,784
Residential Mortgage Loans^(L)	Oct-14	20,601		20,601		Oct-15	3.08	%	0.1	37,331		22,078		20,316		4.1	22,194
Real Estate Owned	N/A	—		—			—	%	—	N/A		N/A		—		N/A	785
Total Notes Payable		7,264,070		7,245,200			3.12	%	1.1								2,908,763
Total/ Weighted Average		$	11,038,723	$	11,019,080		2.48	%	0.8								$	6,057,853


(A)	Net of deferred financing costs associated with the adoption of ASU No. 2015-03 (Note 1).


(B)	All debt obligations with a stated maturity of October 2015 were refinanced, extended, or repaid.


(C)	These repurchase agreements had approximately $2.9 million of associated accrued interest payable as of September 30, 2015.

(D)

The counterparties of these repurchase agreements are Citibank ($674.2 million), Morgan Stanley ($308.4 million), Bank of America ($202.1 million), Daiwa ($249.5 million), Royal Bank of Canada ($372.6 million) and Jefferies ($337.8 million) and were subject to customary margin call provisions. All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $2.0 billion of related trade and other receivables.

(E)

The counterparties of these repurchase agreements are Barclays ($11.1 million), Credit Suisse ($266.8 million), Royal Bank of Canada ($10.1 million), Bank of America, N.A. ($266.8 million), Citibank ($66.6 million), Goldman Sachs ($68.7 million) and UBS ($199.9 million) and were subject to customary margin call provisions. All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates.

(F)

The counterparties on these repurchase agreements are Barclays ($247.1 million maturing in January 2016), Bank of America N.A. ($264.1 million maturing in August 2016), Nomura ($55.5 million maturing in May 2016), Citibank ($3.1 million maturing in October 2016) and Credit Suisse ($57.9 million maturing in November 2015). All of these repurchase agreements have LIBOR-based floating interest rates.


(G)	The counterparties of these repurchase agreements are Barclays ($56.1 million), Credit Suisse ($1.1 million), Bank of America, N.A. ($5.0 million) and Nomura ($9.8 million). All of these repurchase agreements have LIBOR-based floating interest rates.


(H)	Includes financing collateralized by receivables including claims from FHA on GNMA EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee.


(I)	The repurchase agreement is payable to Bank of America, N.A. and bears interest equal to three-month LIBOR plus 3.50% and is collateralized by New Residential’s interest in consumer loans (Note 9).


(J)	The loan bears interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 5.25%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure this corporate loan.


(K)	$3.8 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.0% to 2.2%.


(L)	The note is payable to Nationstar and bears interest equal to one-month LIBOR plus 2.875%.

Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, including the servicer advances, such collateral is not available to other creditors of New Residential.

New Residential has margin exposure on $3.8 billion of repurchase agreements. To the extent that the value of the collateral underlying these repurchase agreements declines, New Residential may be required to post margin, which could significantly impact its liquidity.

Activities related to the carrying value of New Residential’s debt obligations were as follows:



	Servicer Advances			Real Estate Securities			Real Estate Loans and REO			Consumer Loan Investment			Other			Total
Balance at December 31, 2014^(A)	$	2,890,230		$	2,246,651		$	925,418		$	—		$	—		$	6,062,299
Repurchase Agreements:
Borrowings	—			5,062,743			1,078,753			42,976			—			6,184,472
Modified retrospective adjustment for the adoption of ASU No. 2014-11 (Note 1)	—			84,649			1,306			—			—			85,955
Repayments	—			(4,359,394		)	(1,282,758		)	(2,712		)	—			(5,644,864		)
Adoption of ASU No. 2015-03 (Note 1)	—			—			(773		)	—			—			(773		)
Notes Payable:
Retrospective adjustment for the adoption of ASU No. 2015-03 (Note 1)	(4,446		)	—			—			—			—			(4,446		)
Borrowings	8,940,486			—			1,632			—			852,419			9,794,537
Repayments	(4,775,513		)	—			(4,010		)	—			(665,858		)	(5,445,381		)
Adoption of ASU No. 2015-03 (Note 1)	(12,678		)	—			—			—			(41		)	(12,719		)
Balance at September 30, 2015	$	7,038,079		$	3,034,649		$	719,568		$	40,264		$	186,520		$	11,019,080

(A) Excludes debt related to linked transactions (Note 10).

Servicer Advances

During the first quarter of 2015, the Buyer entered into agreements to increase financing pursuant to one servicer advance facility and one of the notes, which settled in March 2015. The facility increased capacity from $500.0 million to $1.0 billion, and the note increased from $650.0 million to $800.0 million with a fixed interest rate equal to 2.50% and an expected repayment date of March 2017.

In connection with the HLSS Acquisition, New Residential funded the purchase of servicer advances with notes issued under the HSART and HSART II facilities with a number of financial institutions consisting of (i) variable funding notes (“VFNs”) with a borrowing capacity of up to $5.0 billion and (ii) $2.5 billion of term notes issued to institutional investors. The VFNs generally bear interest at a rate equal to the sum of (i) LIBOR or a cost of funds rate plus (ii) a spread of 1.0% to 1.6% depending on the class of the notes. The VFNs in the HSART II facility have expected repayment dates in December 2015 and the VFNs in the HSART facility have expected repayment dates in April 2016. The term notes generally bear interest at approximately 2.0% and have expected repayment dates from October 2015 through June 2018. The VFN and the term notes are secured by servicer advances, and the financing is nonrecourse, except for customary recourse provisions.

During the second quarter of 2015, New Residential repaid a portion of the VFNs pursuant to the HSART facility with proceeds of new notes issued under a new servicer advance facility. This facility issued a VFN with a borrowing capacity of $0.4 billion. The VFN has an expected repayment date of April 2017. The VFN bears interest at a rate equal to the sum of (i) LIBOR or a cost of funds rate plus (ii) a spread of 1.95%. The VFN is secured by servicer advances, and the financing is nonrecourse, except for customary recourse provisions.

On August 28, 2015, New Residential, through its wholly-owned subsidiary, NRZ Advance Receivables Trust 2015-ON1 (“NRART”), issued servicer advance backed notes consisting of (i) VFNs with a borrowing capacity of up to $700.0 million and (ii) $800.0 million of term notes issued of which $44.0 million was voluntarily retained. New Residential repaid a portion of the VFNs pursuant to the HSART and HSART II facilities with proceeds of new notes issued under the NRART facility. The VFNs bear interest at a rate equal to the sum of (i) LIBOR plus (ii) a spread of 2.2%. The VFNs in the NRART facility have expected repayment dates in August 2016. The term notes bear interest at approximately 3.0% and have expected repayment dates from August 2016 through August 2018. The VFNs and term notes are secured by servicer advances, and the financing is nonrecourse, except for customary recourse provisions.

On October 1, 2015, an event of default (the “Specified Default”) occurred under the indenture related to certain notes issued by HLSS Servicer Advance Receivables Trust (“HSART”), a wholly-owned subsidiary of New Residential. The Specified Default occurred as a result of (and solely as a result of) Ocwen’s master servicer rating downgrade to “Below Average”, announced by Standard & Poor’s Rating Services (“S&P”) on September 29, 2015. After giving effect to such downgrade, Ocwen ceased to be an “Eligible Subservicer” under the indenture causing the “Collateral Test” under the indenture to not be satisfied. The continuing failure of the Collateral Test as of close of business on October 1, 2015 resulted in the occurrence of the Specified Default. The Specified Default caused $2.5 billion of term notes issued by HSART to become immediately due and payable, without premium or penalty, as of the close of business on October 1, 2015, in accordance with the terms of HSART’s indenture.

New Residential had previously secured approximately $4.0 billion of surplus servicer advance financing commitments from its lenders. HSART repaid all $2.5 billion of the term notes on October 2, 2015 in full with the proceeds of draws by HSART on variable funding notes previously issued by HSART. The holders of the variable funding notes issued by HSART previously agreed that the Specified Default would not be deemed an “event of default” under HSART’s indenture for purposes of their variable funding notes. After giving effect to the repayment of the term notes issued by HSART, the only outstanding notes issued by HSART are variable funding notes. The aggregate principal balance of such variable funding notes immediately after giving effect to the repayment of the term notes on October 2, 2015 equaled approximately $2.9 billion. No other material obligation of HSART arises, increases or accelerates as a result of the transactions described herein.

Residential Mortgage Loans

During the second quarter of 2015, as a part of the HLSS Acquisition, New Residential acquired a portfolio of non-performing GNMA EBO residential mortgage loans with a UPB of $424.3 million for approximately $418.8 million, financed with a $393.0 million repurchase agreement with Barclays. Borrowings on this facility bear interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR and (ii) a margin of 2.77% and have an expected repayment date in January 2016. This facility contains customary covenants and event of default provisions.

On September 25, 2015, New Residential exercised its call rights related to seven seasoned Non-Agency RMBS trusts and purchased performing and non-performing loans with a UPB of approximately $216.3 million at a price of approximately $223.1 million, contained in such trusts prior to their termination. Additionally, New Residential acquired $1.5 million of real estate owned. Financing in the amount of $207.9 million was provided by Bank of America, N.A on an existing repurchase facility.

Consumer Loan Investment

During the second quarter of 2015, New Residential entered into a $43.0 million repurchase agreement with Bank of America, N.A. Borrowings on this facility bear interest equal to the sum of (i) a floating rate index rate equal to three-month LIBOR and (ii) a margin of 3.50%. This facility contains customary covenants and event of default provisions.

Other

During the second quarter of 2015, New Residential entered into an agreement to increase financing on a $100.0 million secured corporate loan with Credit Suisse First Boston Mortgage Capital LLC, an affiliate of Credit Suisse Securities (USA) LLC. The agreement increased capacity from $100.0 million to $205.0 million. The loan bore interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR and (ii) a margin of 3.75%. The loan agreement contained customary covenants and event of default provisions. The loan was repaid in May 2015.

During the second quarter of 2015, New Residential entered into a $165.0 million secured corporate loan with Barclays maturing in April 2016. The loan agreement contained customary covenants and event of default provisions. The loan was repaid in May 2015.

During the second quarter of 2015, New Residential entered into $265.0 million of secured corporate debt with Credit Suisse maturing in July 2015. The loan contained customary covenants and event of default provisions. The loan was repaid in June 2015.

During the second quarter of 2015, New Residential issued a $219.4 million secured corporate note maturing in April 2017. The loan bears interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR and (ii) a margin of 5.25% until May 2016, after which the loan bears interest equal to the sum of (i) a floating rate index rate equal to one-month LIBOR and (ii) a margin of 7.25%. The loan agreement contains customary covenants and event of default provisions.

Maturities

New Residential’s debt obligations as of September 30, 2015 had contractual maturities as follows:



Year	Nonrecourse		Recourse		Total
October 1 through December 31, 2015	$	1,014,660	$	3,136,186	$	4,150,846
2016	3,669,413		593,713		4,263,126
2017	1,555,105		188,266		1,743,371
2018	881,380		—		881,380
	$	7,120,558	$	3,918,165	$	11,038,723

Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of September 30, 2015:



Debt Obligations/ Collateral	Collateral Type	Borrowing Capacity		Balance Outstanding		Available Financing
Repurchase Agreements
Residential Mortgage Loans	Real Estate Loans	$	2,275,000	$	430,635	$	1,844,365
Notes Payable
Servicer Advances^(A)	Servicer Advances	10,969,193		7,055,203		3,913,990
		$	13,244,193	$	7,485,838	$	5,758,355


(A)	New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.5% fee on the unused borrowing capacity.

Certain of the debt obligations are subject to customary debt covenants and event of default provisions, including event of default provisions triggered by a 50% equity decline over any 12-month period, or a 35% decline over any 3-month period, as of a quarter end, and a 4:1 indebtedness to tangible net worth provision. New Residential was in compliance with all of its debt covenants as of September 30, 2015.