DEBT OBLIGATIONS (Tables)

6 Months Ended

Jun. 30, 2020

Debt Disclosure [Abstract]

Schedule of Debt Obligations

The following table presents certain information regarding New Residential’s repurchase agreements and notes and bonds payable debt obligations:

	June 30, 2020															December 31, 2019
									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)	$	3,897,468	$	3,897,468	Jul-20 to Sep-20	0.25	%	0.1	$	3,922,189	$	4,055,565	$	4,099,159	6.0	$	15,481,677
Non-Agency RMBS(E)	1,934,744		1,932,624		Jul-20 to Sep-20	4.28	%	0.2	19,636,467		1,919,715		1,890,120		7.9	7,317,519
Residential Mortgage Loans(F)	3,283,186		3,277,727		Jul-20 to Jun-22	2.95	%	0.6	4,080,121		4,402,356		3,779,405		14.7	5,053,207
Real Estate Owned(G)(H)	63,679		63,679		Jul-20 to Jun-22	2.37	%	0.6	N/A		N/A		81,887		N/A	63,822
Total Repurchase Agreements	9,179,077		9,171,498			2.08	%	0.3								27,916,225
Notes and Bonds Payable
Excess MSRs(I)	294,802		294,802		Feb-22 to Jul-22	4.30	%	1.9	90,541,438		49,457		54,126		5.6	217,300
MSRs(J)	2,700,527		2,691,107		Dec-20 to Jul-24	3.66	%	1.3	399,336,160		4,254,897		4,189,180		5.7	2,640,036
Servicer Advance Investments(K)	442,002		442,002		Aug-20 to Apr-21	2.92	%	0.8	467,339		537,388		559,011		6.3	581,777
Servicer Advances(K)	2,460,854		2,452,931		Jul-20 to Aug-23	3.59	%	1.7	2,806,803		2,947,678		2,947,678		0.7	2,599,895
Residential Mortgage Loans(L)	285,588		281,898		Jul-20 to Dec-45	5.40	%	17.7	462,589		493,636		444,438		4.3	864,451
Consumer Loans(M)	713,594		716,722		May-36	3.26	%	3.6	712,877		717,877		761,456		3.7	816,689
Total Notes and Bonds Payable	6,897,367		6,879,462			3.65	%	2.4								7,720,148
Total/ Weighted Average	$	16,076,444	$	16,050,960		2.75	%	1.2								$	35,636,373

(A)Net of deferred financing costs.

(B)All debt obligations with a stated maturity through July 31, 2020 were refinanced, extended or repaid.

(C)These repurchase agreements had approximately $30.3 million of associated accrued interest payable as of June 30, 2020.

(D)All Agency RMBS repurchase agreements have a fixed rate.

(E)All Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $6.1 million and $10.0 million, respectively, on retained consumer loan bonds and of $508.1 million and $650.3 million, respectively, on retained bonds collateralized by Agency MSRs.

(F)Includes $283.0 million of repurchase agreements which bear interest at a fixed rate of 5.53%. All remaining repurchase agreements have LIBOR-based floating interest rates.

(G)All 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 $83.6 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 2.50% and $211.2 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 2.75%. 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 $1,474.0 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 ranging from 2.25% to 8.00%; $46.1 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 2.50%; and $1,180.4 million of public notes with fixed interest rates ranging from 3.55% to 4.62%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and MSR financing receivables that secure these notes.

(K)$1.9 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 1.85% to 2.75%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM.

(L)Represents (i) a $5.1 million note payable to Mr. Cooper which includes a $1.4 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $92.0 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.76% (see Note 12 for fair value details), (iii) $170.5 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.61% (see Note 12 for fair value details), and (iv) $18.0 million of asset-backed notes held by third parties which include $0.9 million of REO and bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 1.25%.

(M)Includes the SpringCastle debt, which is composed of the following classes of asset-backed notes held by third parties: $634.5 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036, $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036, and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036.

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, 2019	$	217,300	$	2,640,036	$	3,181,672	$	22,799,196	$	5,981,480	$	816,689	$	35,636,373
Repurchase Agreements:
Borrowings	—		—		—		79,077,088		20,378,307		—		99,455,395
Repayments	—		—		—		(96,044,072)		(22,149,955)		—		(118,194,027)
Capitalized deferred financing costs, net of amortization	—		—		—		(2,120)		(3,975)		—		(6,095)
Notes and Bonds Payable:
Borrowings	97,173		888,265		2,065,170		—		—		—		3,050,608
Repayments	(19,671)		(834,277)		(2,351,836)		—		(576,453)		(100,213)		(3,882,450)
Discount on borrowings, net of amortization	—		—		—		—		—		246		246
Unrealized loss on notes, fair value	—		—		—		—		(6,145)		—		(6,145)
Capitalized deferred financing costs, net of amortization	—		(2,917)		(73)		—		45		—		(2,945)
Balance at June 30, 2020	$	294,802	$	2,691,107	$	2,894,933	$	5,830,092	$	3,623,304	$	716,722	$	16,050,960

(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 June 30, 2020 had contractual maturities as follows:

Year Ending	Nonrecourse		Recourse		Total
July 1 through December 31, 2020	$	124,259	$	9,294,111	$	9,418,370
2021	1,579,934		1,587,088		3,167,022
2022	846,144		577,789		1,423,933
2023	400,000		942,225		1,342,225
2024	—		348,804		348,804
2025 and thereafter	976,090		—		976,090
	$	3,926,427	$	12,750,017	$	16,676,444

Schedule of Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of June 30, 2020:

Debt Obligations / Collateral	Borrowing Capacity		Balance Outstanding		Available Financing(A)
Repurchase Agreements
Residential mortgage loans and REO	$	5,698,258	$	1,658,270	$	4,039,988
New loan originations	4,035,000		1,688,596		2,346,404
Notes and Bonds Payable
Excess MSRs	100,000		83,565		16,435
MSRs	1,608,000		1,520,089		87,911
Servicer advances	5,120,000		2,902,857		2,217,143
Residential mortgage loans	650,000		17,967		632,033
	$	17,211,258	$	7,871,344	$	9,339,914

(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.

Schedule of Term Loans

The table below summarizes the net carrying amount of the 2020 Term Loan:

	June 30, 2020		December 31, 2019
Principal outstanding	$	600,000	$	—
Less: Unamortized debt discount and issuance costs	(66,617)		—
Net carrying value	$	533,383	$	—

The table below summarizes the interest expense on the 2020 Term Loan:

	Three Months Ended June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
Coupon interest at 11.00%	$	6,783	$	—	$	6,783	$	—
Amortization of debt discounts and issuance costs	1,883		—		1,883		—
Total	$	8,666	$	—	$	8,666	$	—