DEBT OBLIGATIONS

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



	December 31, 2017															December 31, 2016
									Collateral
Debt Obligations/Collateral	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)	$	1,974,164	$	1,974,164	Jan-18	1.37	%	0.1	$	1,951,238	$	2,014,038	$	1,997,348	3.7	$	1,764,760
Non-Agency RMBS^(E)	4,720,290		4,720,290		Jan-18 to Mar-18	2.90	%	0.1	11,899,935		5,467,187		5,839,524		7.7	2,654,242
Residential Mortgage Loans^(F)	1,850,515		1,849,004		Feb-18 to Dec-19	3.73	%	0.9	2,364,874		2,165,584		2,135,698		4.3	686,412
Real Estate Owned^{(G) (H)}	118,778		118,681		Feb-18 to Dec-19	3.70	%	0.8	N/A		N/A		142,404		N/A	85,217
Total Repurchase Agreements	8,663,747		8,662,139			2.74	%	0.3								5,190,631
Notes and Bonds Payable
Excess MSRs^(I)	484,199		483,978		Jun-19 to Jul-22	5.31	%	2.8	264,504,619		1,107,042		1,328,008		6.1	729,145
MSRs^(J)	1,158,085		1,157,179		Feb-18 to Dec-22	5.44	%	2.2	221,952,565		1,904,987		2,211,710		6.2	—
Servicer Advances^(K)	4,066,567		4,060,156		Mar-18 to Dec-21	3.26	%	2.0	4,255,047		4,596,042		4,699,418		4.5	5,549,872
Residential Mortgage Loans^(L)	137,196		137,196		Oct-18 to Apr-20	3.61	%	2.3	229,522		179,812		179,812		8.0	8,271
Consumer Loans^(M)	1,248,050		1,242,756		Dec-21 to Mar-24	3.36	%	3.1	1,377,625		1,380,202		1,374,097		3.5	1,700,211
Receivable from government agency^(L)	3,126		3,126		Oct-18	3.90	%	0.8	N/A		N/A		2,782		N/A	3,106
Total Notes and Bonds Payable	7,097,223		7,084,391			3.78	%	2.3								7,990,605
Total/Weighted Average	$	15,760,970	$	15,746,530		3.21	%	1.2								$	13,181,236


(A)	Net of deferred financing costs.


(B)	All debt obligations with a stated maturity through February 13, 2018 were refinanced, extended or repaid.


(C)	These repurchase agreements had approximately $16.9 million of associated accrued interest payable as of December 31, 2017.


(D)	All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $1.0 billion of related trade and other receivables and $0.9 billion of treasury securities.


(E)	All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $160.2 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 $204.2 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 3.75%, and includes $280.0 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 3.75%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes.

(J)

Includes: $290.0 million of MSR notes 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%, $232.9 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.75%, $74.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.50%; $487.2 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.00%; and $74.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.13%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivables that secure these notes.

(K)

$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 equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.5% to 2.4%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM.


(L)	Represents: (i) a $10.3 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88% and (ii) $130.0 million of asset-backed notes held by third parties which bear interest equal to 3.60%.

(M)

Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $927.0 million 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. Also includes a $73.6 million face amount note collateralized by newly originated consumer loans which bears interest equal to 4.00%.

As of December 31, 2017, 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, such collateral is not available to other creditors of New Residential.

New Residential has margin exposure on $8.7 billion of repurchase agreements as of December 31, 2017. 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			MSRs			Servicer Advances^(A)			Real Estate Securities			Residential Mortgage Loans and REO			Consumer Loans			Total
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
Repurchase Agreements:
Borrowings	—			—			—			55,233,007			2,529,556			—			57,762,563
Repayments	—			—			—			(52,957,555		)	(1,334,952		)	—			(54,292,507		)
Capitalized deferred financing costs, net of amortization	—			—			—			—			1,449			—			1,449
Notes and Bonds Payable:
Borrowings	1,400,354			1,172,058			5,344,985			—			140,323			—			8,057,720
Repayments	(1,650,409		)	(13,973		)	(6,838,862		)	—			(11,375		)	(456,904		)	(8,971,523		)
Discount on borrowings, net of amortization	—			—			(147		)	—			—			(700		)	(847		)
Capitalized deferred financing costs, net of amortization	4,888			(906		)	4,308			—			—			149			8,439
Balance at December 31, 2017	$	483,978		$	1,157,179		$	4,060,156		$	6,694,454		$	2,108,007		$	1,242,756		$	15,746,530


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

Maturities

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



Year	Nonrecourse		Recourse		Total
2018	$	1,160,873	$	9,020,147	$	10,181,020
2019	1,391,994		530,794		1,922,788
2020	506,269		—		506,269
2021	1,211,100		—		1,211,100
2022	74,000		691,385		765,385
2023 and thereafter	1,174,408		—		1,174,408
	$	5,518,644	$	10,242,326	$	15,760,970

Borrowing Capacity

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



Debt Obligations/ Collateral	Borrowing Capacity		Balance Outstanding		Available Financing
Repurchase Agreements
Residential mortgage loans and REO	$	2,735,000	$	1,969,293	$	765,707
Notes and Bonds Payable
Excess MSRs	750,000		280,000		470,000
MSRs	775,000		670,898		104,102
Servicer advances^(A)	1,910,120		1,585,069		325,051
Consumer loans	150,000		73,646		76,354
	$	6,320,120	$	4,578,906	$	1,741,214

(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 0.02% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds collateralized by servicer advances with a current face amount of $93.5 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 New Residential’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. New Residential was in compliance with all of its debt covenants as of December 31, 2017.