“Agency” residential mortgage backed securities (“RMBS”) are RMBS issued by a government sponsored enterprise, such as Fannie Mae or Freddie Mac. “Non-Agency” RMBS are issued by either public trusts or private label securitization entities.


	Three Months Ended March 31,
		2021	2020
(in millions)			Agency		Non-Agency		Agency		Non-Agency
Purchases
Face			$	4,027.2	$	808.1	$	7,140.0	$	4,563.2
Purchase price			4,203.1		38.5		7,290.0		539.0

Sales
Face			$	2,414.6	$	1,133.6	$	17,395.0	$	7,200.0
Amortized cost			2,513.4		157.7		17,679.3		5,283.8
Sale price			2,522.2		147.9		17,869.1		4,358.9
Gain (loss) on sale			8.9		(9.9)		189.8		(924.9)

As of March 31, 2021 and December 31, 2020, there were no unsettled trades. Unsettled sales and purchases are recorded on the Consolidated Balance Sheets on trade date as Receivable for Investments Sold and Payable for Investments Purchased.

New Residential has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, New Residential sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, New Residential received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. Refer to Notes 8 and 16 for further details on these transactions.


	March 31, 2021																			December 31, 2020
					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	$	106,175	$	106,935	$	8,955	$	—	$	115,890	1	AAA	3.5	%	3.5	%	6.4	—		$	121,761
Agency RMBS at FVO	13,337,418		13,849,334		252		(407,245)		13,442,341		58	AAA	2.2	%	2.2	%	7.4	—		12,941,873
Total Agency RMBS(F)(G)	13,443,593		13,956,269		9,207		(407,245)		13,558,231		59	AAA	2.2	%	2.2	%	7.4	—		13,063,634
Non-Agency RMBS(H)(I)	18,045,244		977,194		105,302		(34,569)		1,047,926		579	AA	2.6	%	3.6	%	3.6	23.2	%	1,180,924
Total/ Weighted Average	$	31,488,837	$	14,933,463	$	114,509	$	(441,814)	$	14,606,157	638	AAA	2.4	%	3.0	%	5.3			$	14,244,558

(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 287 bonds with a carrying value of $324.5 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.

(H)The total outstanding face amount was $11.0 billion (including $10.1 billion of residual and fair value option notional amount) for fixed rate securities and $7.0 billion (including $6.9 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2021.

(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 earnings, (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	$	500	$	500	$	21	$	—	$	521	1	B-	8.3	%	8.3	%	4.0	N/A
Consumer loan bonds	12,664		12,731		740		—		13,471		6	N/A	N/A		N/A		—	N/A
Fair value option securities:
Interest-only securities	9,000,110		237,469		21,764		(26,383)		232,850		123	AA+	1.3	%	2.8	%	2.0	N/A
Servicing strips	4,444,047		42,122		5,281		(6,369)		41,035		56	N/A	0.4	%	14.9	%	4.0	N/A


Securities in an Unrealized Loss Position	Outstanding Face Amount		Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average
			Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Rating	Coupon		Yield		Life (Years)
Less than 12 Months	$	15,641,371	$	13,904,964	$	(583)	$	13,904,381	$	(417,210)	$	13,487,171	60	AAA	2.2	%	2.2	%	7.4
12 or More Months	5,468,704		142,858		(7,195)		135,662		(24,604)		111,058		88	AA+	1.5	%	1.4	%	3.0
Total/Weighted Average	$	21,110,075	$	14,047,822	$	(7,778)	$	14,040,043	$	(441,814)	$	13,598,229	148	AAA	2.2	%	2.2	%	7.4

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:


	March 31, 2021								December 31, 2020
					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	22,166		22,166		(7,778)		—		21,326		21,326		(8,672)		—
Non-credit impaired securities	13,576,063		14,017,877		—		(441,814)		270,821		331,638		—		(60,817)
Total debt securities in an unrealized loss position	$	13,598,229	$	14,040,043	$	(7,778)	$	(441,814)	$	292,147	$	352,964	$	(8,672)	$	(60,817)

(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.

(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.

The following table summarizes the activity related to the allowance for credit losses on debt securities not accounted for under the fair value election (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, 2020	$	8,672	$	—	$	8,672
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	(894)		—		(894)
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
Allowance for credit losses on available-for-sale debt securities at March 31, 2021	$	7,778	$	—	$	7,778


	March 31, 2021				December 31, 2020
Geographic Location(A)	Outstanding Face Amount		Percentage of Total Outstanding		Outstanding Face Amount		Percentage of Total Outstanding
Western U.S.	$	5,952,955	33.0	%	$	6,543,524	33.7	%
Southeastern U.S.	4,815,659		26.7	%	5,089,592		26.3	%
Northeastern U.S.	4,198,169		23.3	%	4,484,340		23.2	%
Midwestern U.S.	2,083,293		11.6	%	2,207,783		11.4	%
Southwestern U.S.	977,400		5.4	%	1,025,637		5.3	%
Other(B)	4,604		—	%	14,132		0.1	%
	$	18,032,080	100.0	%	$	19,365,008	100.0	%

New Residential evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, New Residential identified a population of real estate securities for which it was determined that it was probable that New Residential would be unable to collect all contractually required payments.

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: