INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 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)	556,361		507,300		8,079	8.0	%	5.6	18.7	%	78.8	%	7.6	%	651	—
Purchased Credit Deteriorated Loans(H)	264,183		194,927		2,258	7.1	%	3.0	14.4	%	81.5	%	79.3	%	597	190,761
Total Residential Mortgage Loans, held-for-investment	$	820,544	$	702,227	10,337	7.7	%	4.8	17.3	%	79.6	%	30.7	%	634	$	190,761
Reverse Mortgage Loans(E) (F)	$	19,207	$	9,342	51	7.2	%	4.3	13.6	%	135.1	%	81.6	%	N/A	$	11,468
Performing Loans(G) (I)	779,618		791,134		11,139	4.0	%	4.9	16.4	%	65.8	%	3.4	%	663	175,194
Non-Performing Loans(H) (I)	820,912		626,275		5,228	5.5	%	4.3	21.4	%	97.0	%	60.0	%	583	510,003
Total Residential Mortgage Loans, held-for-sale	$	1,619,737	$	1,426,751	16,418	4.8	%	4.6	18.9	%	82.4	%	33.0	%	622	$	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 59% 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 September 30, 2017, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.

(I) Includes $34.9 million and $70.6 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.

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	September 30, 2017		December 31, 2016
New York	13.5	%	16.7	%
Florida	7.7	%	11.4	%
California	11.9	%	10.3	%
New Jersey	5.8	%	9.6	%
Texas	6.1	%	3.9	%
Illinois	3.9	%	4.0	%
Pennsylvania	3.2	%	2.9	%
Massachusetts	3.1	%	3.5	%
Maryland	2.9	%	4.7	%
Washington	1.9	%	2.8	%
Other U.S.	40.0	%	30.2	%
	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		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)
February 2017	31	60.9		40.1		882.0		895.5		10.1		March 2017	$	773.8	$	2.1	$	81.9	$	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)		27.7		25.7		0.4
April 2017	—	—		—		—		—		—		April 2017	668.0		10.3		76.1		—		—		—
April 2017	14	9.8		6.3		376.9		378.8		5.9		N/A(C)	N/A(C)		N/A(C)		N/A(C)		62.5		55.7		5.9
May 2017	15	26.4		16.9		420.5		424.4		3.7		June 2017#1	716.0		5.7		68.4		47.6		40.5		3.7
June 2017	20	1.0		0.5		534.8		549.8		0.8		June 2017#2	497.6		10.3		58.4		34.9		40.4		0.8
June 2017	3	28.2		17.3		101.7		106.6		1.9		N/A(C)	N/A(C)		N/A(C)		N/A(C)		N/A(C)		N/A(C)		N/A(C)
July 2017	22	19.9		15.7		358.5		360.5		1.7		July 2017	339.3		2.7		25.7		18.3		18.6		1.7
September 2017	21	120.6		95.1		583.7		593.2		5.3		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.

(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. The securitization that occurred in April 2017 primarily included loans from the March 2017 calls and other acquired loans. The June 2017^#1 securitization primarily included loans from the April 2017 and May 2017 calls, but also included $31.1 million of previously acquired loans. No loans from the January 2017 calls, no loans from the last three June 2017 calls and no loans from the September 2017 calls had been securitized by September 30, 2017. In May 2017, certain reperforming residential mortgage loans were financed with a securitization which was not treated as a sale for accounting purposes (see Variable Interest Entities below and Note 11).

Past Due Financing Receivable

The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for loan losses:

September 30, 2017
Days Past Due	Delinquency Status(A)
Current	84.6	%
30-59	7.6	%
60-89	3.6	%
90-119(B)	2.1	%
120+(C)	2.1	%
	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.

The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses:

September 30, 2017
Days Past Due	Delinquency Status(A)
Current	94.5	%
30-59	2.2	%
60-89	1.3	%
90-119(B)	0.8	%
120+(B) (C)	1.2	%
	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.

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	58,884
Sales	—
Proceeds from repayments	(25,166		)
Accretion of loan discount and other amortization	14,898
Transfer of loans to real estate owned	(21,370		)
Transfer of loans to held-for-sale	(23,080		)
Balance at September 30, 2017	$	194,927

Activities related to the carrying value of residential mortgage loans held-for-investment were as follows:

	Performing Loans
Balance at December 31, 2016	$	—
Purchases/additional fundings	527,098
Proceeds from repayments	(23,704		)
Accretion of loan discount (premium) and other amortization(A)	4,387
Charge-offs	(481		)
Transfer of loans to other assets	—
Transfer of loans to real estate owned	—
Balance at September 30, 2017	$	507,300

(A) Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets.

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 valuation and loss provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows:

	Performing Loans
Balance at December 31, 2016	$	—
Provision for loan losses(A)	481
Charge-offs(B)	(481		)
Balance at September 30, 2017	$	—

(A) Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level.

(B) Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible.

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	50,212			504		50,716
Net charge-offs(C)	(48,552		)	—		(48,552		)
Balance at September 30, 2017	$	4,101		$	1,501	$	5,602

(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 September 30, 2017, there are $9.5 million in UPB and $9.6 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 $8.0 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
September 30, 2017	$	264,183	$	194,927
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	21,454
Accretion	(14,898		)
Reclassifications from non-accretable difference(A)	24,075
Disposals(B)	(1,507		)
Transfer of loans to held-for-sale(C)	—
Balance at September 30, 2017	$	52,812

(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    Nine Months Ended   September 30, 2017
	Loans Held-for-Sale
Balance at December 31, 2016	$	696,665
Purchases(A)	4,146,740
Transfer of loans from held-for-investment(B)	23,080
Sales	(3,267,595		)
Transfer of loans to other assets(C)	(13,976		)
Transfer of loans to real estate owned	(53,254		)
Proceeds from repayments	(85,746		)
Valuation (provision) reversal on loans(D)	(19,163		)
Balance at September 30, 2017	$	1,426,751

(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 $21.6 million of provision related to the call transactions executed during the nine months ended September 30, 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	25,667
Transfer of loans to real estate owned	91,414
Sales	(70,652		)
Valuation (provision) reversal on REO	1,261
Balance at September 30, 2017	$	107,281

Schedule of Assets and Liabilities Related to Consolidated Variable Interest Entities

The following table presents information on the combined assets and liabilities related to these consolidated VIEs.

	As of
	September 30, 2017
Assets
Residential mortgage loans	$	193,010
Other assets	—
Total assets(A)	$	193,010
Liabilities
Notes and bonds payable(B)	$	189,843
Accounts payable and accrued expenses	16
Total liabilities(A)	$	189,859

(A) The creditors of the RPL Borrowers do not have recourse to the general credit of New Residential, and the assets of the RPL Borrowers are not directly available to satisfy New Residential’s obligations.

(B) Includes $78.2 million of bonds retained by New Residential issued by these VIEs.

As described in “Call Rights” above, New Residential has issued securitizations which were treated as sales under GAAP. New Residential has no obligation to repurchase any loans from these securitizations and its exposure to loss is limited to the carrying amount of its retained interests in the securitization entities. These securitizations are conducted through variable interest entities, of which New Residential is not the primary beneficiary. The following table summarizes certain characteristics of the underlying residential mortgage loans, and related financing, in these securitizations as of September 30, 2017:

Residential mortgage loan UPB	$	4,701,889
Weighted average delinquency(A)	1.64		%
Net credit losses for the nine months ended September 30, 2017	$	4,943
Face amount of debt held by third parties(B)	$	4,453,838
Carrying value of bonds retained by New Residential	$	400,793
Cash flows received by New Residential on these bonds for the nine months ended September 30, 2017	$	63,064

(A) Represents the percentage of the UPB that is 60+ days delinquent.

(B) Excludes bonds retained by New Residential.

The following table presents information on the combined assets and liabilities related to these consolidated VIEs.

	As of
	September 30, 2017
Assets
Consumer loans, held-for-investment	$	1,365,498
Restricted cash	11,965
Accrued interest receivable	19,890
Total assets(A)	$	1,397,353
Liabilities
Notes and bonds payable(B)	$	1,364,186
Accounts payable and accrued expenses	4,834
Total liabilities(A)	$	1,369,020

(A) The creditors of the Consumer Loan SPVs do not have recourse to the general credit of New Residential, and the assets of the Consumer Loan SPVs are not directly available to satisfy New Residential’s obligations.

(B) Includes $121.0 million of bonds retained by New Residential issued by these VIEs.