DEBT OBLIGATIONS

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



	December 31, 2016																December 31, 2015
										Collateral
Debt Obligations/Collateral	Month Issued	Outstanding Face Amount		Carrying Value^(A)		Final Stated Maturity^(B)	Weighted Average Funding Cost		Weighted Average Life (Years)	Outstanding Face		Amortized Cost Basis		Carrying Value		Weighted Average Life (Years)	Carrying Value^(A)
Repurchase Agreements^(C)
Agency RMBS^(D)	Various	$	1,764,760	$	1,764,760	Jan-17 to Mar-17	1.00	%	0.2	$	1,786,585	$	1,874,554	$	1,833,348	0.4	$	1,683,305
Non-Agency RMBS^(E)	Various	2,654,242		2,654,242		Jan-17 to Mar-17	2.42	%	0.1	6,510,127		3,358,438		3,481,478		7.9	1,333,852
Residential Mortgage Loans^(F)	Various	689,132		686,412		Mar-17 to Sep-18	3.31	%	0.7	1,061,445		869,297		852,790		3.4	907,993
Real Estate Owned^{(G) (H)}	Various	85,552		85,217		Mar-17 to Sep-18	3.35	%	0.3	N/A		N/A		98,496		N/A	77,458
Consumer Loan Investment	Apr-15	—		—		N/A	—	%	—	N/A		N/A		N/A		—	40,446
Total Repurchase Agreements		5,193,686		5,190,631			2.07	%	0.2								4,043,054
Notes and Bonds Payable
Secured Corporate Notes^(I)	Various	734,254		729,145		Apr-18 to Sep-19	5.50	%	2.2	310,072,544		1,271,217		1,437,226		6.2	182,978
Servicer Advances^(J)	Various	5,560,412		5,549,872		Mar-17 to Dec-21	3.19	%	2.7	5,617,759		5,687,635		5,706,593		4.6	7,047,061
Residential Mortgage Loans^(K)	Oct-15	8,271		8,271		Oct-17	3.44	%	0.8	13,248		7,514		7,514		4.5	19,529
Consumer Loans^{(L) (M)}	Various	1,709,054		1,700,211		Sep-19 to Mar-24	3.48	%	3.9	1,809,952		1,802,809		1,799,372		3.8	—
Receivable from government agency^(K)	Oct-15	3,106		3,106		Oct-17	3.44	%	0.8	N/A		N/A		3,378		N/A	—
Total Notes and Bonds Payable		8,015,097		7,990,605			3.46	%	2.9								7,249,568
Total/Weighted Average		$	13,208,783	$	13,181,236		2.91	%	1.8								$	11,292,622


(A)	Net of deferred financing costs.


(B)	All debt obligations with a stated maturity of January or February 2017 were refinanced, extended or repaid.


(C)	These repurchase agreements had approximately $11.0 million of associated accrued interest payable as of December 31, 2016.


(D)	All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.7 billion of related trade and other receivables.


(E)	All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $125.8 million on retained servicer advance and consumer loan bonds.


(F)	All of these repurchase agreements have LIBOR-based floating interest rates.


(G)	All of these repurchase agreements have LIBOR-based floating interest rates.


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

(I)

Includes $410.0 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.75%, and a $324.3 million corporate loan which bears interest equal to 5.68%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying Excess MSRs that secure these notes, and the $324.3 million corporate loan is also collateralized by the rights to the related basic fee portion of the MSRs.


(J)	$3.5 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 1.9% to 2.1%.


(K)	The note is payable to Nationstar and bears interest equal to one-month LIBOR plus 2.88%.

(L)

Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $1.29 billion UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $211.0 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $39.0 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $39.0 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024; $39.0 million UPB of Class D-1 notes with a coupon of 5.80% and a stated maturity date in March 2024; and $39.0 million UPB of Class D-2 notes with a coupon of 5.80% and a stated maturity date in March 2024.


(M)	Includes a $132.2 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25%.

As of December 31, 2016, New Residential had no outstanding repurchase agreements where the amount at risk with any individual counterparty or group of related counterparties exceeded 10% of New Residential’s stockholders' equity. The amount at risk under repurchase agreements is defined as the excess of carrying amount (or market value, if higher than the carrying amount) of the securities or other assets sold under agreement to repurchase, including accrued interest plus any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability (adjusted for accrued interest).

General

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 and Consumer Loans Notes and Bonds Payable, such collateral is not available to other creditors of New Residential.

New Residential has margin exposure on $5.2 billion of repurchase agreements as of December 31, 2016. 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.

HLSS Servicer Advance Receivables Trust (“HSART”)

On October 1, 2015, an event of default (the “Specified Default”) occurred under the indenture related to certain notes issued by 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 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 HSART’s 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. No other material obligation of HSART arises, increases or accelerates as a result of the transactions described herein.

During the first three quarters of 2015, through their investment manager, certain bondholders (the “HSART Bondholders”) alleged that events of default had occurred under HSART and that, as a result, the HSART Bondholders were due additional interest under the related agreements. In February 2015, in response to such allegations, instead of releasing such amounts to New Residential’s subsidiary that sponsors the HSART transaction entitled thereto, the trustee of HSART began to withhold, monthly, such interest (the “Withheld Funds”) so that such amounts were reserved in the event that it was determined that any of the alleged events of default had occurred. On August 28, 2015, the trustee commenced a legal proceeding requesting instruction from the court regarding the alleged defaults and the disposition of the Withheld Funds.

On October 2, 2015, as described above, the notes held by the HSART Bondholders were repaid in full. On October 14, 2015, the court ruled that no event of default had occurred under HSART, authorized the trustee to release the Withheld Funds and dismissed the legal proceeding. As a result of this ruling, $92.7 million was released from restricted cash accounts related to HSART and became available for unrestricted use by New Residential.

On October 13, 2015, New Residential entered into a settlement agreement in connection with which a subsidiary of New Residential was liable for a $9.1 million payment to certain HSART Bondholders, which was recorded within General and Administrative Expenses; this agreement did not impact other former or existing bondholders of HSART.

Consumer Loans

In October 2016, the Consumer Loan Companies (Note 9) refinanced their outstanding asset-backed notes with a new asset-backed securitization. The issuance consisted of $1.7 billion face amount of asset-backed notes comprised of six classes with maturity dates in November 2023 and March 2024, of which approximately $157.6 million face amount was retained by the Consumer Loan Companies and subsequently distributed to their members including New Residential. New Residential’s $79.9 million portion of these bonds is not treated as outstanding debt in consolidation. In connection with the refinancing, the Consumer Loan Companies recorded approximately $4.7 million of loss on extinguishment of debt related to an unamortized discount.

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



	Excess MSRs			Servicer Advances^(A)			Real Estate Securities			Residential Mortgage Loans and REO			Consumer Loans			Total
Balance at December 31, 2014^(B)	$	—		$	2,885,784		$	2,246,651		$	925,418		$	—		$	6,057,853
Repurchase Agreements:
Borrowings	—			—			7,649,261			1,915,056			43,158			9,607,475
Modified retrospective adjustment for the adoption of ASU No. 2014-11 (Note 2)	—			—			84,649			1,306			—			85,955
Repayments	—			—			(6,963,404		)	(1,832,462		)	(2,712		)	(8,798,578		)
Adoption of ASU No. 2015-03 (Note 2)	—			—			—			(888		)	—			(888		)
Notes and Bonds Payable:
Borrowings	852,419			10,780,237			—			1,632			—			11,634,288
Repayments	(669,406		)	(6,612,372		)	—			(5,082		)	—			(7,286,860		)
Adoption of ASU No. 2015-03 (Note 2)	(35		)	(6,588		)	—			—			—			(6,623		)
Balance at December 31, 2015	$	182,978		$	7,047,061		$	3,017,157		$	1,004,980		$	40,446		$	11,292,622
Repurchase Agreements:
Borrowings	—			—			30,441,880			552,459			21,458			31,015,797
Repayments	—			—			(29,040,035		)	(764,113		)	(61,904		)	(29,866,052		)
Capitalized deferred financing costs, net of amortization	—			—			—			(2,169		)	—			(2,169		)
Notes and Bonds Payable:
Acquired borrowings, net of discount	—			—			—			—			1,803,192			1,803,192
Borrowings	1,141,996			6,857,006			—			—			1,789,706			9,788,708
Repayments	(592,175		)	(8,354,692		)	—			(8,151		)	(1,888,714		)	(10,843,732		)
Discount on borrowings, net of amortization	1,420			—			—			—			(3,374		)	(1,954		)
Capitalized deferred financing costs, net of amortization	(5,074		)	497			—			—			(599		)	(5,176		)
Balance at December 31, 2016	$	729,145		$	5,549,872		$	4,419,002		$	783,006		$	1,700,211		$	13,181,236


(A)	New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances.


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

Maturities

New Residential’s debt obligations as of December 31, 2016 had contractual maturities as follows:



Year	Nonrecourse		Recourse		Total
2017	$	697,437	$	5,145,175	$	5,842,612
2018	1,160,179		228,520		1,388,699
2019	2,759,841		514,254		3,274,095
2020	376,246		—		376,246
2021 and thereafter	2,327,131		—		2,327,131
	$	7,320,834	$	5,887,949	$	13,208,783

Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of December 31, 2016:



Debt Obligations/ Collateral	Collateral Type	Borrowing Capacity		Balance Outstanding		Available Financing
Repurchase Agreements
Residential Mortgage Loans	Residential Mortgage Loans and REO	$	2,260,000	$	774,684	$	1,485,316
Notes and Bonds Payable
Secured Corporate Loan	Excess MSRs	525,000		410,000		115,000
Servicer Advances^(A)	Servicer Advances	6,577,393		5,560,412		1,016,981
Consumer Loans	Consumer Loans	150,000		132,168		17,832
		$	9,512,393	$	6,877,264	$	2,635,129

(A)

New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds with a current face amount of $94.4 million.

Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in our equity or failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. New Residential was in compliance with all of our debt covenants as of December 31, 2016.