XML 43 R32.htm IDEA: XBRL DOCUMENT v3.21.2
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 6 Months Ended
Jun. 30, 2021
Transfers and Servicing of Financial Assets [Abstract]  
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs
The table below summarizes the components of excess mortgage servicing rights assets as presented on the Consolidated Balance Sheets:
June 30,
2021		December 31, 2020
Direct investments in Excess MSRs$284,290 $310,938 
Excess MSR Joint Ventures94,198 99,917 
Excess mortgage servicing rights assets, at fair value$378,488 $410,855 
The following table presents activity related to the carrying value of direct investments in Excess MSRs:
Servicer
Mr. Cooper
SLS(A)
Total
Balance as of December 31, 2020$309,009 $1,929 $310,938 
Purchases— — — 
Interest income11,979 14 11,993 
Other income301 (325)(24)
Proceeds from repayments(29,594)(181)(29,775)
Proceeds from sales(13)— (13)
Change in fair value(9,198)369 (8,829)
Balance as of June 30, 2021$282,484 $1,806 $284,290 
(A)Specialized Loan Servicing LLC (“SLS”).
The following table presents activity related to the carrying value of MSRs and MSR Financing Receivables:
MSRsMSR Financing ReceivablesTotal
Balance as of December 31, 2020$3,489,675 $1,096,166 $4,585,841 
Purchases, net(A)
7,178 — 7,178 
Transfers(B)
47,831 (47,831)— 
Originations(C)
463,136 — 463,136 
Proceeds from sales(33,691)(3,204)(36,895)
Change in fair value due to:
    Realization of cash flow(D)
(599,439)(40,630)(640,069)
    Change in valuation inputs and assumptions440,554 (12,967)427,587 
    (Gain) loss realized(14,651)(1,698)(16,349)
Balance as of June 30, 2021$3,800,593 $989,836 $4,790,429 
(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.    
(B)Represents MSRs previously accounted for as MSR Financing Receivables. As a result of the length of the initial term of the related subservicing agreement between NRM and Mr. Cooper, although the MSRs were legally sold, solely for accounting purposes, the purchase agreement was not treated as a sale under GAAP through January 31, 2021.
(C)Represents MSRs retained on the sale of originated mortgage loans.
(D)Based on the runoff of the underlying residential mortgage loans.
The following is a summary of MSRs and MSR Financing Receivables as of June 30, 2021:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
MSRs:
Agency(C)
$269,342,646 5.8$2,938,754 
Non-Agency8,314,431 4.614,953 
Ginnie Mae(D)
58,509,628 5.3846,886 
336,166,705 5.73,800,593 
MSR Financing Receivables:
Non-Agency62,396,648 8.0989,836 
Total$398,563,353 6.1$4,790,429 
(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Carrying value represents fair value. As of June 30, 2021, weighted average discount rates of 7.2% (range 6.9% - 12.5%) and 9.0% were used to value New Residential’s MSRs and MSR Financing Receivables, respectively.
(C)Represents Fannie Mae and Freddie Mac MSRs.
(D)As of June 30, 2021, New Residential holds approximately $1.3 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.
Fees Earned in Exchange for Servicing Financial Assets
Servicing Revenue, Net related to MSRs consists of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Servicing fee revenue$272,625 $332,376 $536,368 $660,498 
Ancillary and other fees31,496 18,198 63,390 50,336 
Servicing fee revenue and fees304,121 350,574 599,758 710,834 
Change in fair value due to:
Realization of cash flows(A)
(279,102)(288,573)(596,818)(479,940)
Change in valuation inputs and assumptions(B)
(106,432)(154,416)438,947 (618,127)
Change in fair value of derivative instruments8,624 — (199)— 
(Gain) loss realized(13,722)1,956 (14,651)7,659 
Servicing revenue, net$(86,511)$(90,459)$427,037 $(379,574)
(A)Includes $1.3 million and $1.8 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three months ended June 30, 2021 and 2020, respectively, and $2.6 million and $3.7 million for the six months ended June 30, 2021 and 2020, respectively.
(B)Includes $0.2 million and $1.9 million of fair value adjustment to Excess spread financing for the three months ended June 30, 2021 and 2020, respectively, and $1.6 million and $6.4 million for the six months ended June 30, 2021 and 2020, respectively.
Interest Income from MSR Financing Receivables consists of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Servicing fee revenue$71,489 $106,861 $148,222 $220,443 
Ancillary and other fees13,106 17,716 21,805 43,716 
Less: subservicing expense(32,682)(40,131)(65,326)(82,034)
Interest income, MSR financing receivables$51,913 $84,446 $104,701 $182,125 

Change in Fair Value of MSR Financing Receivables consists of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Realization of cash flows$(18,676)$(77,199)$(40,630)$(145,951)
Change in valuation inputs and assumptions(9,413)(44,321)(12,967)(77,931)
(Gain) loss realized(1,428)— (1,698)(1,749)
Change in fair value of MSR financing receivables$(29,517)$(121,520)$(55,295)$(225,631)
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationJune 30, 2021December 31, 2020
California20.2 %21.2 %
Florida7.6 %7.4 %
New York7.2 %7.0 %
Texas5.9 %5.6 %
New Jersey4.8 %4.8 %
Illinois3.6 %3.6 %
Massachusetts3.4 %3.4 %
Georgia3.4 %3.3 %
Pennsylvania3.2 %3.1 %
Maryland3.2 %3.1 %
Other U.S. 37.5 %37.5 %
100.0 %100.0 %
Summary of Investments in Servicer Advances
The following types of advances are included in the Servicer Advances Receivable:
June 30,
2021		December 31,
2020
Principal and interest advances$596,225 $665,538 
Escrow advances (taxes and insurance advances)1,345,554 1,547,796 
Foreclosure advances769,152 816,400 
Total(A)(B)(C)
$2,710,931 $3,029,734 
(A)Includes $529.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.
(B)Includes $168.9 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption.
(C)Excludes $8.5 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process.
The following is a summary of New Residential’s Servicer Advance Investments, including the right to the basic fee component of the related MSRs:
Amortized Cost Basis
Carrying Value(A)
Weighted Average Discount RateWeighted Average Yield
Weighted Average Life (Years)(B)
June 30, 2021
Servicer advance investments$482,308 $502,533 5.2 %5.6 %6.1
December 31, 2020
Servicer advance investments$512,958 $538,056 5.2 %5.7 %6.0
(A)Carrying value represents the fair value of the servicer advance investments, including the basic fee component of the related MSRs.
(B)Weighted average life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

The following is additional information regarding the Servicer Advance Investments and related financing:
UPB of Underlying Residential Mortgage LoansOutstanding Servicer AdvancesServicer Advances to UPB of Underlying Residential Mortgage LoansFace Amount of Secured Notes and Bonds Payable
Loan-to-Value (“LTV”)(A)
Cost of Funds(C)
Gross
Net(B)
GrossNet
June 30, 2021
Servicer Advance Investments(D)
$21,666,852 $420,537 1.9 %$402,039 89.4 %88.8 %1.3 %1.2 %
December 31, 2020
Servicer Advance Investments(D)
$26,061,499 $449,150 1.7 %$423,144 88.4 %88.6 %1.5 %1.3 %
(A)Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
(B)Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
(C)Annualized measure of the cost associated with borrowings. Gross cost of funds primarily includes interest expense and facility fees. Net cost of funds excludes facility fees.
(D)The following types of advances are included in the Servicer Advance Investments:
June 30, 2021December 31, 2020
Principal and interest advances$81,061 $84,976 
Escrow advances (taxes and insurance advances)174,351 186,426 
Foreclosure advances165,125 177,748 
Total$420,537 $449,150