CONSOLIDATED VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

The following table comprises bonds retained pursuant to required risk retention regulations:


	As of and for the Nine Months Ended September 30,
	2020			2019
Residential mortgage loan UPB	$	14,823,202		$	11,183,024
Weighted average delinquency(A)	4.82		%	1.97		%
Net credit losses	$	50,355		$	5,738
Face amount of debt held by third parties(B)	$	12,884,341		$	10,074,690

Carrying value of bonds retained by New Residential(C)(D)	$	1,549,112		$	1,258,292
Cash flows received by New Residential on these bonds	$	225,545		$	161,794

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

(B)Excludes bonds retained by New Residential.

(C)Includes bonds retained pursuant to required risk retention regulations.

(D)Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 12 for details on unobservable inputs.

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on New Residential’s condensed consolidated balance sheets:


	The Buyer		Shelter Joint Ventures		Residential Mortgage Loans		Consumer Loan SPVs		Total
September 30, 2020
Assets
Servicer advance investments, at fair value	$	521,882	$	—	$	—	$	—	$	521,882
Residential mortgage loans, held-for-investment, at fair value	—		—		390,890		—		390,890
Residential mortgage loans, held-for-sale	—		—		352,225		—		352,225
Residential mortgage loans, held-for-sale, at fair value	—		—		622,269		—		622,269
Consumer loans, held-for-investment, at fair value	—		—		—		718,355		718,355
Cash and cash equivalents	40,653		35,642		—		—		76,295
Restricted cash	5,044		—		—		5,890		10,934
Other assets	6		9,896		6,183		9,850		25,935
Total Assets	$	567,585	$	45,538	$	1,371,567	$	734,095	$	2,718,785
Liabilities
Secured notes and bonds payable(A)	$	404,907	$	—	$	1,091,426	$	678,950	$	2,175,283
Accrued expenses and other liabilities	2,237		8,906		1,871		1,686		14,700
Total Liabilities	$	407,144	$	8,906	$	1,093,297	$	680,636	$	2,189,983
December 31, 2019
Assets
Servicer advance investments, at fair value	$	565,271	$	—	$	—	$	—	$	565,271
Residential mortgage loans, held-for-investment, at fair value	—		—		913,030		—		913,030
Consumer loans, held-for-investment	—		—		—		818,943		818,943
Cash and cash equivalents	30,065		23,802		—		—		53,867
Restricted cash	5,350		—		—		9,073		14,423
Other assets	2,414		3,556		—		12,409		18,379
Total Assets	$	603,100	$	27,358	$	913,030	$	840,425	$	2,383,913
Liabilities
Secured notes and bonds payable(A)	$	433,300	$	—	$	659,738	$	820,658	$	1,913,696
Accrued expenses and other liabilities	1,593		4,187		10,132		4,126		20,038
Total Liabilities	$	434,893	$	4,187	$	669,870	$	824,784	$	1,933,734

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

Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net

Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows:


	September 30, 2020									December 31, 2019
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Total consolidated equity	$	160,440		$	36,612		$	80,782		$	168,207		$	23,171		$	46,510
Others’ ownership interest	26.8		%	50.2		%	46.5		%	26.8		%	49.0		%	46.5		%
Others’ interest in equity of consolidated subsidiary	$	42,946		$	18,365		$	38,126		$	45,025		$	11,354		$	22,171

Others’ interests in the New Residential’s net income (loss) is computed as follows:


	Three Months Ended September 30,
	2020									2019
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Net income	$	9,761		$	9,649		$	9,006		$	6,288		$	5,098		$	22,790
Others’ ownership interest as a percent of total	26.8		%	50.2		%	46.5		%	26.8		%	48.2		%	46.5		%
Others’ interest in net income of consolidated subsidiaries	$	2,612		$	4,840		$	4,188		$	1,684		$	2,457		$	10,597

(A)As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the three months ended September 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer advance investments.


	Nine Months Ended September 30,
	2020									2019
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Net income	$	(162)		$	21,017		$	50,795		$	16,678		$	9,144		$	49,690
Others’ ownership interest as a percent of total	26.8		%	50.2		%	46.5		%	26.8		%	48.2		%	46.5		%
Others’ interest in net income of consolidated subsidiaries	$	(44)		$	10,542		$	23,620		$	4,466		$	4,407		$	23,106

(A)As a result, New Residential owned 73.2% and 73.2% of the Buyer, on average during the nine months ended September 30, 2020 and 2019, respectively. See Note 11 regarding the financing of Servicer advance investments.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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