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REAL ESTATE AND OTHER SECURITIES (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Activities related to New Residential’s real estate and other securities were as follows (amounts in millions):


	Year Ended December 31,
	2020				2019
	Agency		Non-Agency		Agency		Non-Agency
Purchases
Face	$	21,593.3	$	5,083.1	$	33,573.5	$	14,960.4
Purchase Price	22,290.3		575.0		34,335.5		2,059.0

Sales
Face	$	19,321.7	$	8,450.1	$	22,746.3	$	2,936.2
Amortized Cost	19,666.2		6,242.0		23,337.8		1,852.1
Sale Price	19,886.8		5,288.5		23,449.2		1,949.3
Gain (Loss) on Sale	220.5		(953.5)		111.4		97.2

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


					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)
December 31, 2020
Agency RMBS	$	110,360	$	111,149	$	10,612	$	—	$	121,761	$	1	AAA	3.5	%	3.5	%	5.9	—
Agency RMBS at FVO	12,380,792		12,840,459		101,414		—		12,941,873		57		AAA	2.2	%	2.2	%	4.3	—
Total Agency RMBS(F)(G)	12,491,152		12,951,608		112,026		—		13,063,634		58		AAA	2.2	%	2.2	%	4.3	—
Non-Agency RMBS(H)(I)	19,378,530		1,153,643		88,098		(60,817)		1,180,924		589		AA	2.8	%	4.1	%	4.8	19.6	%
Total/Weighted Average	$	31,869,682	$	14,105,251	$	200,124	$	(60,817)	$	14,244,558	647		AAA	2.3 %		2.4 %		4.3
December 31, 2019
Agency RMBS(F)(G)	$	11,301,603	$	11,474,338	$	57,221	$	(11,616)	$	11,519,943	43		AAA	3.2	%	2.8	%	6.0	N/A
Non-Agency RMBS(H)(I)	24,857,988		7,307,837		689,158		(39,210)		7,957,785		997		B+	2.9	%	4.7	%	7.0	11.0	%
Total/Weighted Average	$	36,159,591	$	18,782,175	$	746,379	$	(50,826)	$	19,477,728	1,040		A+	3.0	%	3.5	%	6.4

(A)Fair value, which is equal to carrying value for all securities. See Note 13 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 289 bonds with a carrying value of $432.5 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 $27.4 million and $2.6 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 $12.5 billion and $11.3 billion for fixed rate securities and $0.0 billion and $0.0 billion for floating rate securities as of December 31, 2020 and 2019, respectively.

(H)The total outstanding face amount was $11.9 billion (including $10.9 billion of residual and fair value option notional amount) and $5.4 billion (including $3.2 billion of residual and fair value option notional amount) for fixed rate securities and $7.5 billion (including $7.2 billion of residual and fair value option notional amount) and $19.5 billion (including $12.2 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2020 and 2019, respectively.

(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
December 31, 2020
Corporate debt	$	500	$	500	$	23	$	—	$	523	1	B-	8.25	%	8.25	%	4.3	N/A
Consumer loan bonds	13,022		12,360		503		—		12,862		6	N/A	N/A		N/A		—	N/A
Fair value option securities
Interest-only securities	9,457,488		248,253		6,600		(43,781)		211,073		124	AA+	1.22	%	5.09	%	2.1	N/A
Servicing strips	4,979,723		49,989		5,865		(9,476)		46,378		58	N/A	0.42	%	8.38	%	3.9	N/A
December 31, 2019
Corporate debt	$	85,000	$	85,000	$	—	$	(1,262)	$	83,738	1	B-	8.25	%	8.25	%	5.3	N/A
Consumer loan bonds	25,029		25,688		521		(6,190)		20,019		6	N/A	N/A		N/A		1.6	N/A
MSR bond	—		—		—		—		—		—	N/A	—	%	—	%	—	N/A
Fair value option securities
Interest-only securities	11,201,646		308,714		35,882		(19,459)		325,137		124	AA+	1.37	%	10.49	%	2.9	N/A
Servicing strips	4,073,792		40,043		2,431		(4,562)		37,912		46	N/A	0.38	%	4.01	%	5.7	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 December 31, 2020.


			Amortized Cost Basis											Weighted Average
Securities in an Unrealized Loss Position	Outstanding Face Amount		Before Credit Impairment		Credit Impairment(A)		After Credit Impairment		Gross Unrealized Losses		Carrying Value		Number of Securities	Rating	Coupon		Yield		Life (Years)
Less than 12 Months	$	7,134,953	$	217,955	$	(1,776)	$	216,179	$	(28,594)	$	187,585	61	AA+	2.29	%	4.58	%	5.5
12 or More Months	4,063,623		143,681		(6,896)		136,785		(32,223)		104,562		80	AA+	1.56	%	1.76	%	4.2
Total/Weighted Average	$	11,198,576	$	361,636	$	(8,672)	$	352,964	$	(60,817)	$	292,147	141	AA+	2.00	%	3.49	%	5.0

(A)Represents credit impairment on securities in an unrealized loss position as of December 31, 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:


	December 31, 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	—		—		—		—		$	—	$	—	$	—	$	—
Securities New Residential is more likely than not to be required to sell(C)	—		—		—		—		—		—		—		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	21,326		21,326		(8,672)		—		228,228		237,626		(3,232)		(9,398)
Non-credit impaired securities	270,821		331,638		—		(60,817)		4,726,409		4,767,837		—		(41,428)
Total debt securities in an unrealized loss position	$	292,147	$	352,964	$	(8,672)	$	(60,817)	$	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.

Summary of Activity Related to Credit Losses on Debt Securities

The following table summarizes the activity related to credit losses on debt securities:


	Year Ended December 31,
	2019		2018
Beginning balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income	$	52,803	$	23,821
Increases to credit losses on securities for which an other-than-temporary impairment was previously recognized and a portion of an other-than-temporary impairment was recognized in other comprehensive income	23,059		16,924
Additions for credit losses on securities for which an other-than-temporary impairment was not previously recognized	2,115		13,093
Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings 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	—		—
Reduction for credit losses on securities for which no other-than-temporary impairment was recognized in other comprehensive income at the current measurement date	—		—
Reduction for securities sold/paid off during the period	(18,914)		(1,035)
Ending balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income	$	59,063	$	52,803

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:


	December 31,
	2020				2019
Geographic Location(A)	Outstanding Face Amount		Percentage of Total Outstanding		Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	6,543,524	33.7	%	$	9,048,847	36.6	%
Southeastern U.S.	5,089,592		26.3	%	5,983,966		24.2	%
Northeastern U.S.	4,484,340		23.2	%	5,416,137		21.9	%
Midwestern U.S.	2,207,783		11.4	%	2,562,269		10.4	%
Southwestern U.S.	1,025,637		5.3	%	1,440,467		5.8	%
Other(B)	14,132		0.1	%	296,273		1.1	%
	$	19,365,008	100.0	%	$	24,747,959	100.0	%

(A)Excludes $13.0 million and $25.0 million face amount of bonds backed by consumer loans and $0.5 million and $85.0 million face amount of bonds backed by corporate debt as of December 31, 2020 and 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
December 31, 2020	$	727,216	$	280,876
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:


	Year Ended December 31,
	2020		2019
Beginning Balance	$	1,882,477	$	2,245,984
Additions	76,960		407,864
Accretion	(60,868)		(239,682)
Reclassifications from (to) non-accretable difference	(167,793)		(233,683)
Disposals	(1,541,214)		(298,006)
Ending Balance	$	189,562	$	1,882,477