XML 44 R33.htm IDEA: XBRL DOCUMENT v3.7.0.1
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
 3 Months Ended
Mar. 31, 2017
Receivables [Abstract]  
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO:


March 31, 2017
 
December 31, 2016


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


















 

Reverse Mortgage Loans(E) (F)

$
—


$
—


—


—
%

—

—
%

—
%

—
%

N/A

 
$
—

Performing Loans(G)

—


—


—


—
%

—

—
%

—
%

—
%

—

 
—

Purchased Credit Deteriorated Loans(H)
 
194,655

 
182,939

 
1,104

 
5.5
%
 
2.9
 
8.3
%
 
74.2
%
 
82.8
%
 
589

 
190,761

Total Residential Mortgage Loans, held-for-investment

$
194,655

 
$
182,939

 
1,104


5.5
%

2.9

8.3
%

74.2
%

82.8
%

589

 
$
190,761

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse Mortgage Loans(E) (F)
 
$
21,677

 
$
10,813

 
64

 
7.0
%
 
4.7
 
15.8
%
 
137.3
%
 
73.7
%
 
N/A

 
$
11,468

Performing Loans(G) (I)
 
481,608

 
483,106

 
7,467

 
4.3
%
 
5.2
 
8.4
%
 
63.0
%
 
2.6
%
 
660

 
175,194

Non-Performing Loans(H) (I)
 
771,338

 
564,265

 
4,527

 
5.7
%
 
3.1
 
18.5
%
 
100.4
%
 
68.5
%
 
573

 
510,003

Total Residential Mortgage Loans, held-for-sale
 
$
1,274,623

 
$
1,058,184

 
12,058

 
5.2
%
 
3.9
 
14.6
%
 
86.5
%
 
43.7
%
 
607

 
$
696,665


(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. The average loan balance outstanding based on total UPB was $0.5 million. Approximately 61% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
(F)
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
(G)
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(H)
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of March 31, 2017, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
(I)
Includes $36.6 million and $76.7 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans
The table below summarizes the geographic distribution of the underlying residential mortgage loans:
 
 
Percentage of Total Outstanding Unpaid Principal Amount
State Concentration
 
March 31, 2017
 
December 31, 2016
California
 
15.3
%
 
10.3
%
New York
 
14.8
%
 
16.7
%
Florida
 
9.8
%
 
11.4
%
New Jersey
 
8.0
%
 
9.6
%
Texas
 
5.0
%
 
3.9
%
Maryland
 
4.2
%
 
4.7
%
Illinois
 
3.6
%
 
4.0
%
Massachusetts
 
3.1
%
 
3.5
%
Georgia
 
2.5
%
 
2.3
%
Pennsylvania
 
2.1
%
 
2.9
%
Other U.S.
 
31.6
%
 
30.7
%
 
 
100.0
%
 
100.0
%
Schedule of Residential Mortgage Loan Transactions
The following table summarizes these transactions (dollars in millions).
 
 
 
 
Securities Owned Prior
 
Assets Acquired
 
 
 
Loans Sold (C)
 
Retained Bonds
 
Retained Assets (C)
Date of Call (A)
 
Number of Trusts Called
 
Face Amount
 
Amortized Cost Basis
 
Loan UPB
 
Loan Price (B)
 
REO & Other Price (B)
 
Date of Securitization
 
UPB
 
Gain (Loss)
 
Basis
 
Type
 
Loan UPB
 
Loan Price
 
REO & Other Price
January 2017
 
2

 
$
49.3

 
$
43.6

 
$
98.8

 
$
96.7

 
$
7.5

 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
February 2017
 
31

 
60.9

 
40.1

 
882.0

 
895.5

 
10.1

 
March 2017
 
$
773.8

 
$
2.1

 
$
81.9

 
Various
 
$
105.9

 
$
90.1

 
$
10.8

March 2017
 
12

 
—

 
—

 
222.4

 
228.8

 
0.4

 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)
 
N/A(C)

(A)
Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call.
(B)
Price includes par amount paid for all underlying residential mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights.
(C)
Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. No loans from the December 2016, January 2017 or March 2017 calls had been securitized by March 31, 2017.
Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCD Loans Held-for-Investment
Activities related to the carrying value of PCD loans held-for-investment were as follows:
Balance at December 31, 2016
$
190,761

Purchases/additional fundings
—

Sales
—

Proceeds from repayments
(4,305
)
Accretion of loan discount and other amortization
4,102

Transfer of loans to real estate owned
(7,619
)
Transfer of loans to held-for-sale
—

Balance at March 31, 2017
$
182,939
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans Held-for-Investment

Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows:
 
 
Collectively Evaluated(A)
 
Individually Impaired(B)
 
Total
Balance at December 31, 2016
 
$
2,441

 
$
997

 
$
3,438

Provision (reversal) for loan losses
 
18,549

 
(46
)
 
18,503

Net charge-offs(C)
 
(18,305
)
 
—

 
(18,305
)
Balance at March 31, 2017
 
$
2,685

 
$
951

 
$
3,636


(A)
Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount.
(B)
Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of March 31, 2017, there are $6.3 million in UPB and $5.4 million in carrying value of consumer loans classified as TDRs.
(C)
Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $2.5 million in recoveries of previously charged-off UPB.
Summary of Unpaid Principal Balance and Carrying Value for Loans Uncollectible
The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments:
 
Unpaid Principal Balance
 
Carrying Value
March 31, 2017
$
194,655

 
$
182,939

December 31, 2016
203,673

 
190,761
Summary of Changes in Accretable Yield
The following is a summary of the changes in accretable yield for these loans:
Balance at December 31, 2016
$
23,688

Additions
—

Accretion
(4,102
)
Reclassifications from non-accretable difference(A)
623

Disposals(B)
(832
)
Transfer of loans to held-for-sale(C)
—

Balance at March 31, 2017
$
19,377


(A)
Represents a probable and significant increase in cash flows previously expected to be uncollectible.
(B)
Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount.
(C)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
Summary of Activities Related to the Carrying Value of Loans Held-for-sale
Activities related to the carrying value of loans held-for-sale were as follows:
 
 
For the  
 Three Months Ended 
 March 31, 2017
 
 
Loans Held-for-Sale
Balance at December 31, 2016
 
$
696,665

Purchases(A)
 
1,223,734

Transfer of loans from held-for-investment(B)
 
—

Sales
 
(818,969
)
Transfer of loans to other assets(C)
 
(7,835
)
Transfer of loans to real estate owned
 
(17,260
)
Proceeds from repayments
 
(20,610
)
Valuation (provision) reversal on loans(D)
 
2,459

Balance at March 31, 2017
 
$
1,058,184


(A)
Represents loans acquired with the intent to sell.
(B)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
(C)
Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2).
(D)
Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including an aggregate of $1.3 million of provision related to the call transactions executed during the three months ended March 31, 2017.
Schedule of Real Estate Owned
New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value.
 
 
Real Estate Owned
Balance at December 31, 2016
 
$
59,591

Purchases
 
9,730

Transfer of loans to real estate owned
 
31,513

Sales
 
(20,609
)
Valuation provision on REO
 
(894
)
Balance at March 31, 2017
 
$
79,331