INVESTMENTS IN REAL ESTATE AND OTHER SECURITIES (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of Debt Securities, Available-for-sale

Activities related to New Residential’s investments in real estate and other securities were as follows:

	Six Months Ended June 30,
	2020				2019
(in millions)	Agency		Non-Agency		Agency		Non-Agency
Purchases
Face	$	10,862.6	$	5,083.1	$	12,817.1	$	4,574.2
Purchase price	11,149.5		575.0		13,089.1		917.9
Sales
Face	$	17,395.0	$	7,487.8	$	11,825.1	$	837.5
Amortized cost	17,679.3		5,557.2		12,105.6		738.6
Sale price	17,869.1		4,624.6		12,198.6		752.0
Gain (loss) on sale	189.8		(932.6)		93.0		13.4

The following is a summary of New Residential’s real estate and other securities:

	June 30, 2020																			December 31, 2019
					Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Gains		Losses		Carrying Value(A)		Number of Securities	Rating(B)	Coupon(C)		Yield		Life (Years)(D)	Principal Subordination(E)		Carrying Value
Agency RMBS	$	301,350	$	303,173	$	20,231	$	—	$	323,404	26	AAA	2.95	%	2.78	%	6.4	N/A		$	11,519,943
Agency RMBS at FVO	3,722,586		3,858,145		23,711		—		3,881,856		7	AAA	2.50	%	1.78	%	5.9	N/A		—
Total Agency   RMBS(F)(G)	4,023,936		4,161,318		43,942		—		4,205,260		33	AAA	2.53	%	1.86	%	6.0	N/A		11,519,943
Non-Agency   RMBS(H)(I)	23,019,974		1,965,450		85,061		(111,535)		1,938,976		613	AA-	3.08	%	5.36	%	7.8	13.1	%	7,957,785
Total/ Weighted Average	$	27,043,910	$	6,126,768	$	129,003	$	(111,535)	$	6,144,236	646	AA+	1.12	%	2.98	%	6.5			$	19,477,728

(A)Fair value, which is equal to carrying value for all securities. See Note 12 regarding the estimation of fair value.

(B)Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 374 bonds with a carrying value of $992.0 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple

rating agencies, the lowest rating is used. New Residential used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current.

(C)Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $26.8 million and $4.3 million, respectively, for which no coupon payment is expected.

(D)The weighted average life is based on the timing of expected principal reduction on the assets.

(E)Percentage of the amortized cost basis of securities that is subordinate to New Residential’s investments, excluding fair value option securities.

(F)Includes securities issued or guaranteed by U.S. Government agencies such as Fannie Mae or Freddie Mac.

(G)The total outstanding face amount was $4.0 billion for fixed rate securities as of June 30, 2020.

(H)The total outstanding face amount was $13.6 billion (including $12.4 billion of residual and fair value option notional amount) for fixed rate securities and $9.4 billion (including $8.3 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2020.

(I)Includes other asset-backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which New Residential elected to carry at fair value and record changes to valuation through the income statement, (ii) bonds backed by consumer loans, and (iii) corporate debt.

					Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Gains		Losses		Carrying Value		Number of Securities	Rating	Coupon		Yield		Life (Years)	Principal Subordination
Corporate debt	$	10,250	$	10,250	$	—	$	(102)	$	10,148	1	B-	8.25	%	8.25	%	—	N/A
Consumer loan bonds	16,430		11,171		—		—		11,171		6	N/A	N/A		N/A		—	N/A
Fair value option securities:
Interest-only securities	11,253,401		292,045		19,962		(28,697)		283,310		131	AA	1.31	%	13.20	%	2.7	N/A
Servicing strips	5,635,802		58,150		2,205		(7,525)		52,830		59	N/A	0.63	%	9.61	%	4.5	N/A

Summary of Real Estate Securities in an Unrealized Loss Position

The following table summarizes New Residential’s securities in an unrealized loss position as of June 30, 2020.

			Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average
Securities in an Unrealized Loss Position	Outstanding Face Amount		Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Rating	Coupon		Yield		Life (Years)
Less than 12 Months	$	8,860,380	$	1,005,995	$	(8,561)	$	997,434	$	(98,478)	$	898,956	184	BBB+	3.34	%	4.84	%	11.5
12 or More Months	2,381,211		96,175		(10,454)		85,721		(13,057)		72,664		60	A	1.80	%	2.87	%	2.6
Total/Weighted Average	$	11,241,591	$	1,102,170	$	(19,015)	$	1,083,155	$	(111,535)	$	971,620	244	BBB+	3.22	%	4.69	%	10.8

(A)Represents credit impairment on securities in an unrealized loss position as of June 30, 2020.

New Residential performed an assessment of all debt securities that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:

	June 30, 2020								December 31, 2019
					Gross Unrealized Losses								Gross Unrealized Losses
	Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)		Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)
Securities New Residential intends to sell	$	25,526	$	25,526	$	(4,797)	N/A		$	—	$	—	$	—	$	—
Securities New Residential is more likely than not to be required to sell(C)	—		—		—		N/A		—		—		—		N/A
Securities New Residential has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities	114,835		120,530		(14,218)		(5,695)		228,228		237,626		(3,232)		(9,398)
Non-credit impaired securities	831,259		937,099		—		(105,840)		4,726,409		4,767,837		—		(41,428)
Total debt securities in an unrealized loss position	$	971,620	$	1,083,155	$	(19,015)	$	(111,535)	$	4,954,637	$	5,005,463	$	(3,232)	$	(50,826)

(A)This amount is required to be recorded through earnings. In measuring the portion of credit losses, New Residential estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows included New Residential’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’s effective interest rate.

(B)This amount represents unrealized losses on securities that are due to non-credit factors and recorded through other comprehensive income.

(C)New Residential may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, New Residential must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales

Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss

The following table summarizes the activity related to the allowance for credit losses on debt securities (excluding credit impairment relating to securities New Residential intends to sell or is more likely than not required to sell):

	Purchased Credit Deteriorated		Non-Purchased Credit Deteriorated		Total
Allowance for credit losses on available-for-sale debt securities at December 31, 2019	$	—	$	—	$	—
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	—		—		—
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration	—		—		—
Reductions for securities sold during the period	—		—		—
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis	—		—		—
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period	13,808		410		14,218
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
Allowance for credit losses on available-for-sale debt securities at June 30, 2020	$	13,808	$	410	$	14,218

Summary of the Geographic Distribution of the Collateral Securing Non-Agency RMBS

The table below summarizes the geographic distribution of the collateral securing New Residential’s Non-Agency RMBS:

	June 30, 2020				December 31, 2019
Geographic Location(A)	Outstanding Face Amount		Percentage of Total Outstanding		Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	8,023,586	34.9	%	$	9,048,847	36.6	%
Southeastern U.S.	6,001,777		26.1	%	5,983,966		24.2	%
Northeastern U.S.	5,204,930		22.6	%	5,416,137		21.9	%
Midwestern U.S.	2,527,550		11.0	%	2,562,269		10.4	%
Southwestern U.S.	1,222,822		5.3	%	1,440,467		5.8	%
Other(B)	12,629		0.1	%	296,273		1.1	%
	$	22,993,294	100.0	%	$	24,747,959	100.0	%

(A)Excludes $16.4 million and $25.0 million face amount of bonds backed by consumer loans and $10.3 million and $85.0 million face amount of bonds backed by corporate debt as of June 30, 2020 and December 31, 2019, respectively.

(B)Represents collateral for which New Residential was unable to obtain geographic information.

Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible

The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments, excluding residual and fair value option securities:

	Outstanding Face Amount		Carrying Value
June 30, 2020	$	1,084,164	$	457,565
December 31, 2019	5,701,736		3,830,369

Summary of Changes in Accretable Yield for Securities

The following is a summary of the changes in accretable yield for these securities:

	Six Months Ended June 30, 2020
Balance at December 31, 2019	$	1,882,476
Additions	76,960
Accretion	(52,310)
Reclassifications from (to) non-accretable difference	(2,889,848)
Disposals	1,303,414
Balance at June 30, 2020	$	320,692