DEBT OBLIGATIONS (Tables)

3 Months Ended

Mar. 31, 2017

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



	March 31, 2017																December 31, 2016
										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	$	1,928,567	$	1,928,567	Apr-17	0.92	%	0.1	$	1,944,003	$	2,001,088	$	1,991,354	0.3	$	1,764,760
Non-Agency RMBS ^(E)	Various	3,301,281		3,301,281		Apr-17 to Aug-17	2.52	%	0.1	8,133,518		4,104,083		4,262,611		8.0	2,654,242
Residential Mortgage Loans^(F)	Various	961,633		958,925		May-17 to Feb-19	3.34	%	0.9	1,385,903		1,244,350		1,230,307		3.7	686,412
Real Estate Owned^(G)(H)	Various	89,114		88,863		May-17 to Feb-19	3.51	%	0.4	N/A		N/A		123,646		N/A	85,217
Total Repurchase Agreements		6,280,595		6,277,636			2.17	%	0.2								5,190,631
Notes and Bonds Payable
Secured Corporate Notes^(I)	Various	809,363		804,835		Apr-18 to Sep-19	5.41	%	2.0	288,539,501		1,237,711		1,405,960		6.2	729,145
MSRs^(J)	Feb-17	290,000		289,473		Feb-18	5.42	%	0.9	71,607,199		510,479		591,238		6.9	—
Servicer Advances^(K)	Various	4,911,052		4,900,030		Nov-17 to Dec-21	3.31	%	2.6	5,135,429		5,076,788		5,098,305		4.8	5,549,872
Residential Mortgage Loans^(L)	Oct-15	8,813		8,813		Oct-17	3.63	%	0.5	12,077		6,740		6,740		4.7	8,271
Consumer Loans^{(M) (N)}	Various	1,556,177		1,551,863		Sep-19 to Mar-24	3.52	%	3.7	1,689,600		1,683,279		1,679,645		3.8	1,700,211
Receivable from government agency^(L)	Oct-15	2,564		2,564		Oct-17	3.63	%	0.5	N/A		N/A		2,517		N/A	3,106
Total Notes and Bonds Payable		7,577,969		7,557,578			3.66	%	2.7								7,990,605
Total/ Weighted Average		$	13,858,564	$	13,835,214		2.98	%	1.6								$	13,181,236


(A)	Net of deferred financing costs.


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


(C)	These repurchase agreements had approximately $10.7 million of associated accrued interest payable as of March 31, 2017.


(D)	All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.9 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 $165.3 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 $220.0 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%, $285.0 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 4.25%, and a $304.4 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 the Excess MSRs that secure these notes, and the $304.4 million corporate loan is also collateralized by the rights to the related basic fee portion of the MSRs.


(J)	This note is secured by Agency MSRs and bears interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.25%.


(K)	$4.5 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 equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.9% to 2.4%. Collateral includes Servicer Advances related to the mortgage servicing rights.


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

(M)

Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $1.2 billion UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024.


(N)	Includes a $115.0 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25%.

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



	Excess MSRs			MSRs			Servicer Advances^(A)			Real Estate Securities			Residential Mortgage Loans and REO			Consumer Loans			Total
Balance at December 31, 2016	$	729,145		$	—		$	5,549,872		$	4,419,002		$	783,006		$	1,700,211		$	13,181,236
Repurchase Agreements:
Borrowings	—			—			—			9,518,606			356,835			—			9,875,441
Repayments	—			—			—			(8,707,760		)	(80,774		)	—			(8,788,534		)
Capitalized deferred financing costs, net of amortization	—			—			—			—			98			—			98
Notes and Bonds Payable:
Borrowings	610,000			290,000			1,320,907			—			—			—			2,220,907
Repayments	(534,891		)	—			(1,970,298		)	—			—			(148,778		)	(2,653,967		)
Discount on borrowings, net of amortization	—			—			—			—			—			—			—
Capitalized deferred financing costs, net of amortization	581			(527		)	(451		)	—			—			430			33
Balance at March 31, 2017	$	804,835		$	289,473		$	4,900,030		$	5,229,848		$	1,059,165		$	1,551,863		$	13,835,214


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

Schedule of Contractual Maturities of Debt Obligations

New Residential’s debt obligations as of March 31, 2017 had contractual maturities as follows:



Year	Nonrecourse		Recourse		Total
April 1 through December 31, 2017	$	229,588	$	6,026,418	$	6,256,006
2018	1,034,044		571,996		1,606,040
2019	2,248,705		792,931		3,041,636
2020	376,246		—		376,246
2021	1,137,454		—		1,137,454
2022 and thereafter	1,441,182		—		1,441,182
	$	6,467,219	$	7,391,345	$	13,858,564

Schedule of Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of March 31, 2017:



Debt Obligations / Collateral	Collateral Type	Borrowing Capacity		Balance Outstanding		Available Financing
Repurchase Agreements
Residential Mortgage Loans	Residential Mortgage Loans and REO	$	2,420,000	$	1,050,747	$	1,369,253
Notes and Bonds Payable
Secured Corporate Loan	Excess MSRs	525,000		505,000		20,000
MSRs	MSRs	300,000		290,000		10,000
Servicer Advances^(A)	Servicer Advances	5,845,720		4,911,052		934,668
Consumer Loans	Consumer Loans	150,000		114,995		35,005
		$	9,240,720	$	6,871,794	$	2,368,926

(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 $100.7 million.