FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis

The carrying values and fair values of New Residential’s assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of June 30, 2020 were as follows:

					Fair Value
	Principal Balance or Notional Amount		Carrying Value		Level 1			Level 2		Level 3		Total
Assets
Investments in:
Excess mortgage servicing rights, at fair value(A)	$	81,666,625	$	346,450	$	—		$	—	$	346,450	$	346,450
Excess mortgage servicing rights, equity method investees, at fair value(A)	31,923,937		112,473		—			—		112,473		112,473
Mortgage servicing rights, at fair value(A)	379,397,792		3,551,159		—			—		3,551,159		3,551,159
Mortgage servicing rights financing receivables, at fair value	114,453,487		1,469,927		—		—	—		1,469,927		1,469,927
Servicer advance investments, at fair value	467,339		559,011		—			—		559,011		559,011
Real estate and other securities	27,043,911		6,144,236		—			4,205,260		1,938,976		6,144,236
Residential mortgage loans, held-for-sale	853,934		694,830		—			—		701,610		701,610
Residential mortgage loans, held-for-sale, at fair value	2,921,615		2,824,909		—			1,719,899		1,105,010		2,824,909
Residential mortgage loans, held-for-investment, at fair value	830,117		750,332		—			—		750,332		750,332
Residential mortgage loans subject to repurchase	1,075,008		1,075,008		—			1,075,008		—		1,075,008
Consumer loans, held-for-investment, at fair value	718,385		766,462		—			—		766,462		766,462
Derivative assets	15,353,568		166,613		—			2,271		164,342		166,613
Note receivable	46,724		42,787		—			—		42,787		42,787
Cash and cash equivalents	1,013,208		1,013,208		1,013,208			—		—		1,013,208
Restricted cash	138,932		138,932		138,932			—		—		138,932
Other assets(B)	N/A		42,769		3,831			—		38,938		42,769
			$	19,699,106	$	1,155,971		$	7,002,438	$	11,547,477	$	19,705,886
Liabilities
Repurchase agreements	$	9,179,077	$	9,171,498	$	—		$	9,179,077	$	—	$	9,179,077
Notes and bonds payable(C)	6,897,367		6,879,462		—			—		6,238,923		6,238,923
2020 term loan	533,383		533,383		—			—		533,383		533,383
Residential mortgage loan repurchase liability	1,075,008		1,075,008		—			1,075,008		—		1,075,008
Derivative liabilities	9,230,520		24,936		—			24,539		397		24,936
Excess spread financing	2,655,595		22,059		—			—		22,059		22,059
Contingent consideration	N/A		13,274		—			—		13,274		13,274
			$	17,719,620	$	—		$	10,278,624	$	6,808,036	$	17,086,660

(A)The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.

(B)Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.8 million as of June 30, 2020.

(C)Includes the SAFT 2013-1 and MDST Trusts mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $258.8 million as of June 30, 2020.

Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs

New Residential’s assets measured at fair value on a recurring basis using Level 3 inputs changed as follows:

	Level 3
	Excess MSRs(A)				Excess MSRs in Equity Method Investees(A)(B)		MSRs(A)		MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency RMBS		Derivatives(C)		Residential Mortgage Loans		Consumer Loans
	Agency		Non-Agency																		Total
Balance at December 31, 2019	$	209,633	$	170,114	$	125,596	$	3,967,960	$	1,718,273	$	581,777	$	7,957,785	$	39,891	$	3,998,825	$	—	$	18,769,854
Transfers
Transfers from Level 3	—		—		—		—		—		—		—		—		(480,318)		—		(480,318)
Transfers to Level 3	—		—		—		—		—		—		—		—		440,168		827,545		1,267,713
Shellpoint Acquisition	—		—		—						—		—		—		—		—		—
Transfers from investments in mortgage servicing rights financing receivables to investments in mortgage servicing rights	—		—		—						—		—		—		—		—		—
Gains (losses) included in net income
Included in provision (reversal) for credit losses on securities(D)	—		—		—		—		—		—		(19,015)		—		—		—		(19,015)
Included in change in fair value of investments in excess mortgage servicing rights(D)	(6,518)		(4,591)		—		—		—		—		—		—		—		—		(11,109)
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees(D)	—		—		(2,509)		—		—		—		—		—		—		—		(2,509)
Included in servicing revenue, net(E)	—		—		—		(1,100,541)		—		—		—		—		—		—		(1,100,541)
Included in change in fair value of investments in mortgage servicing rights financing receivables(D)	—		—		—		—		(225,631)		—		—		—		—		—		(225,631)
Included in change in fair value of servicer advance investments	—		—		—		—		—		(2,712)		—		—		—		—		(2,712)
Included in change in fair value of investments in residential mortgage loans	—		—		—		—		—		—		—		—		(165,246)		—		(165,246)
Included in gain (loss) on settlement of investments, net	11		1		—		—		—		—		(932,627)		—		—		—		(932,615)
Included in other income (loss), net(D)	1,042		148		—		—		—		—		(51,903)		124,054		(10,110)		(9,223)		54,008
Gains (losses) included in other comprehensive income(F)	—		—		—		—		—		—		(621,364)		—		(6,020)		36,472		(590,912)
Interest income	3,129		9,453		—		—		—		2,082		84,633		—		—		13,108		112,405
Purchases, sales and repayments
Purchases	—		—		—		456,665		4,362		631,240		575,030		—		1,420,390		17,684		3,105,371
Proceeds from sales	(44)		(4)		—		(9,801)		(3,708)				(4,624,590)		—		(3,183,041)		—		(7,821,188)
Proceeds from repayments	(20,325)		(15,599)		(10,614)		(31,222)		(23,369)		(653,376)		(428,973)		—		(159,306)		(119,124)		(1,461,908)
Originations and other	—		—		—		268,098		—		—		—		—		—		—		268,098
Balance at June 30, 2020	$	186,928	$	159,522	$	112,473	$	3,551,159	$	1,469,927	$	559,011	$	1,938,976	$	163,945	$	1,855,342	$	766,462	$	10,763,745

(A)Includes the recapture agreement for each respective pool, as applicable.

(B)Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest.

(C)For the purpose of this table, the IRLC asset and liability positions are shown net.

(D)The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates and realized gains (losses) recorded during the period.

(E)The components of Servicing revenue, net are disclosed in Note 5.

(F)These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income.

Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs

New Residential’s liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows:

	Level 3
	Excess Spread Financing		Mortgage-Backed Securities Issued		Contingent Consideration
							Total
Balance at December 31, 2019	$	31,777	$	659,738	$	55,222	$	746,737
Transfers
Transfers from Level 3	—		—		(43,875)		(43,875)
Transfers to Level 3	—		—		—		—
Acquisition	—		—		—		—
Gains (losses) included in net income
Included in provision (reversal) for credit losses on securities(A)	—		—		—		—
Included in change in fair value of investments in excess mortgage servicing rights	—		—		—		—
Included in change in fair value of investments in excess mortgage servicing rights, equity method investees(A)	—		—		—		—
Included in servicing revenue, net(B)	(10,133)		—		—		(10,133)
Included in change in fair value of investments in notes receivable - rights to MSRs	—		—		—		—
Included in change in fair value of servicer advance investments	—		—		—		—
Included in change in fair value of investments in residential mortgage loans	—		(6,145)		—		(6,145)
Included in gain (loss) on settlement of investments, net	—		—		—		—
Included in other income(A)	—		—		3,871		3,871
Gains (losses) included in other comprehensive income, net of tax(C)	—		—		—		—
Interest income	—		—		—		—
Purchases, sales and repayments
Purchases	—		—		—		—
Proceeds from sales	—		—		—		—
Payments	—		(393,322)		(1,944)		(395,266)
Other	415		(1,465)		—		(1,050)
Balance at June 30, 2020	$	22,059	$	258,806	$	13,274	$	294,139

(A)The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period.

(B)The components of Servicing revenue, net are disclosed in Note 5.

(C)These gains (losses) were included in net unrealized gain (loss) on securities in the Condensed Consolidated Statements of Comprehensive Income.

Summary of Measurement Inputs and Valuation Techniques

The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of June 30, 2020:

	Significant Inputs(A)
	Prepayment Rate(B)	Delinquency(C)	Recapture Rate(D)	Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps)(E)	Collateral Weighted Average Maturity (Years)(F)
Excess MSRs Directly Held (Note 4)
Agency
Original Pools	7.0% - 10.6% (8.2%)	0.0% - 3.5% (1.4%)	6.5% - 35.8% (14.9%)	15 - 31 (21)	15 - 22 (19)
Recaptured Pools	7.4% - 12.1% (10.4%)	0.1% - 3.5% (0.8%)	0.0% - 39.1% (26.1%)	20 - 29 (23)	19 - 24 (23)
	7.0% - 12.1% (8.9%)	0.0% - 3.5% (1.2%)	0.0% - 39.1% (18.4%)	15 - 31 (22)	15 - 24 (20)
Non-Agency(G)
Mr. Cooper and SLS Serviced:
Original Pools	7.5% - 12.5% (9.0%)	N/A	0.0% - 14.1% (12.6%)	5 - 25 (15)	19 - 31 (23)
Recaptured Pools	5.9% - 6.9% (6.4%)	N/A	12.3% - 22.2% (16.9%)	23 - 27 (25)	21 - 24 (23)
	5.9% - 12.5% (8.6%)	N/A	0.0% - 22.2% (13.3%)	5 - 27 (16)	19 - 31 (23)
Total/Weighted Average—Excess MSRs Directly Held	5.9% - 12.5% (8.8%)	N/A	0.0% - 39.1% (16.0%)	5 - 31 (19)	15 - 31 (21)
Excess MSRs Held through Equity Method Investees (Note 4)
Agency
Original Pools	7.2% - 10.6% (8.4%)	1.0% - 2.8% (1.6%)	7.1% - 35.8% (14.3%)	15 - 25 (19)	18 - 19 (18)
Recaptured Pools	9.5% - 10.6% (9.9%)	0.6% - 1.4% (1.1%)	13.1% - 33.4% (17.9%)	22 - 28 (25)	21 - 23 (22)
Total/Weighted Average—Excess MSRs Held through Investees	8.4% - 10.2% (9.1%)	0.7% - 4.0% (1.3%)	13.7% - 29.3% (16.1%)	15 - 28 (22)	18 - 23 (20)
Total/Weighted Average—Excess MSRs All Pools	5.9% - 12.5% (8.9%)	N/A	0.0% - 39.1% (16.1%)	5 - 31 (20)	15 - 31 (21)
MSRs
Agency(H)
Mortgage Servicing Rights(I) (J)	8.1% - 22.4% (13.1%)	0.4% - 2.2% (1%)	3.4% - 34.7% (20.7%)	25 - 33 (28)	0 - 30 (22)
MSR Financing Receivables(I)	12.0% - 14.7% (13.9%)	0.6% - 1.1% (0.9%)	9.1% - 15.7% (13.1%)	25 - 29 (27)	0 - 30 (24)
	8.1% - 22.4% (13.2%)	0.4% - 2.2% (1.0%)	3.4% - 34.7% (19.8%)	25 - 33 (28)	0 - 30 (22)
Non-Agency
Mortgage Servicing Rights(I)	9.9% - 16.1% (14.2%)	0.6% - 10.6% (3.8%)	4.2% - 31.0% (22.5%)	25 - 89 (45)	0 - 30 (26)
MSR Financing Receivables(I)	8.2%	14.4%	9.1%	48	0 - 30 (25)
	8.2% - 16.1% (8.3%)	0.6% - 14.4% (14.2%)	4.2% - 31.0% (9.3%)	25 - 89 (48)	0 - 30 (25)
Ginnie Mae
Mortgage Servicing Rights(I) (J)	9.1% - 25.0% (20.3%)	1.3% - 8.3% (6.3%)	15.6% - 35.0% (23.0%)	32 - 53 (44)	0 - 30 (27)
Total/Weighted Average—MSRs	8.1% - 25.0% (13.0%)	0.4% - 14.4% (4.5%)	3.4% - 35.0% (20.0%)	25 - 89 (34)	0 - 30 (23)

(A)Weighted by fair value of the portfolio.

(B)Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.

(C)Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments.

(D)Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.

(E)Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $6.2 - $8.3 ($7.0) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $11.10 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.80 per loan per month was used to value the Ginnie Mae MSRs.

(F)Weighted average maturity of the underlying residential mortgage loans in the pool.

(G)For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used.

(H)Represents Fannie Mae and Freddie Mac MSRs.

(I)For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.

(J)Includes valuation of the related Excess spread financing (Note 5).

As of June 30, 2020, New Residential’s securities valuation methodology and results are further detailed as follows:

					Fair Value
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Multiple Quotes(A)		Single Quote(B)		Total		Level
Agency RMBS	$	4,023,936	$	4,161,318	$	4,205,260	$	—	$	4,205,260	2
Non-Agency RMBS(C)	23,019,974		1,965,450		1,929,874		9,102		1,938,976		3
Total	$	27,043,910	$	6,126,768	$	6,135,134	$	9,102	$	6,144,236

(A)New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for Non-Agency RMBS, there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.

The third-party pricing services and brokers engaged by New Residential (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. New Residential has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, New Residential creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by New Residential, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.

For 51.9% of New Residential’s Non-Agency RMBS, the ranges and weighted averages of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of New Residential’s Non-Agency RMBS were not readily available.

	Fair Value		Discount Rate	Prepayment Rate(a)	CDR(b)	Loss Severity(c)
Non-Agency RMBS	$	1,005,951	1.55% to 15.00% (4.63%)	1.5% to 25% (14.29%)	0.15% to 6% (0.48%)	20% to 80% (35.54%)

(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.

(b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.

(c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance.

(B)New Residential was unable to obtain quotations from more than one source on these securities.

(C)Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Acquired Loans	$	1,075,996	4.5% - 6.0% (4.8%)	0.0% - 15.0% (5.9%)	1.6% - 7.1% (6.8%)	28.7% - 100.0% (32.6%)
Originated Loans	29,014		6.0%	15.0%	1.6%	100.0%
Residential Mortgage Loans Held-for-Sale, at Fair Value	$	1,105,010

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Residential Mortgage Loans Held-for-Investment, at Fair Value	$	750,332	4.1% - 10.0% (7.5%)	2.0% - 20.0% (5.2%)	2.4% - 20.0% (2.9%)	20.0% - 43.1% (40.5%)

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Consumer Loans, Held-for-Investment, at Fair Value	$	766,462	8.5% - 10.7% (8.5%)	17.7% - 29.3% (17.8%)	5.6% - 17.7% (5.7%)	83.4% - 90.2% (83.4%)

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs:

	Fair Value		Loan Funding Probability	Fair Value of initial servicing rights (bps)
IRLCs (net)	$	163,945	60% to 100% (81.14%)	0.58 to 237 (86.05)

The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Mortgage-Backed Securities Issued:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Mortgage-Backed Securities Issued	$	258,806	4.0% - 5.3% (4.9%)	3.2% - 15.0% (7.2%)	0.0% - 3.3% (2.2%)	10.0% - 40.0% (29.8%)

Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs:

	Significant Inputs
	Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans	Prepayment Rate(A)	Delinquency	Mortgage Servicing Amount(B)		Discount Rate	Collateral Weighted Average Maturity (Years)(C)
June 30, 2020	.8% - 1.5% (1.5%)	8.6% - 9.1% (9.1%)	7.4% - 9.0% (9.0%)	16.8 - 19.7 (19.7)	bps	5.3% - 5.8% (5.3%)	22.5 - 22.6 (22.5)

(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.

(B)Mortgage servicing amount is net of 10.7 bps which represents the amount New Residential paid its servicers as a monthly servicing fee.

(C)Weighted average maturity of the underlying residential mortgage loans in the pool.

Schedule of Inputs Used in Valuing Residential Mortgage Loans

The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2020:

	Fair Value and Carrying Value		Discount Rate	Weighted Average Life (Years)(A)	Prepayment Rate	CDR(B)	Loss Severity(C)
Performing Loans	$	190,427	4.5% - 9.5% (5.6%)	2.7 - 5.0 (4.1)	4.3% - 15.0% (7.5%)	1.6% - 16.2% (7.8%)	0.0% - 100.0% (36.9%)
Non-Performing Loans	496,680		4.5% - 7.9% (7.3%)	2.6 - 4.4 (3.3)	2.0% - 7.0% (2.1%)	2.9% - 6.6% (3.0%)	0.0% - 30.0% (29.4%)
Total/Weighted Average	$	687,107	6.8%	3.8	3.6%	4.3%	31.5%

(A)The weighted average life is based on the expected timing of the receipt of cash flows.

(B)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance.

(C)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance.