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REAL ESTATE AND OTHER SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Schedule of Debt Securities, Available-for-sale
The following is a summary of Real Estate and Other Securities:
June 30, 2021December 31, 2020
Gross UnrealizedWeighted Average
Outstanding Face AmountAmortized Cost BasisGainsLosses
Carrying Value(A)
Number of Securities
Rating(B)
Coupon(C)
Yield
Life (Years)(D)
Principal Subordination(E)
Carrying
Value
RMBS Designated as available for sale (AFS):
Agency(F)(G)
$101,533 $101,296 $10,481 $— $111,777 1 AAA3.50 %3.50 %6.4N/A$121,761 
Non-Agency(H)(I)
3,212,188 509,394 73,576 (1,050)581,920 342 AA3.22 %3.00 %3.324.3 %752,003 
RMBS Measured at fair value through net income (FVO):
Agency(F)(G)
13,600,133 14,056,893 6,466 (221,418)13,841,941 60 AAA2.13 %2.13 %7.1N/A12,941,873 
Non-Agency(H)(I)
13,812,558 428,719 32,397 (39,865)421,251 236 AA+2.11 %4.06 %2.921.8 %428,921 
Total/
   Weighted
    Average		$30,726,412 $15,096,302 $122,920 $(262,333)$14,956,889 $639 AAA2.24 %3.09 %4.8$14,244,558 
(A)Fair value is equal to the carrying value for all securities. See Note 12 regarding the fair value measurements.
(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 288 bonds with a carrying value of $343.2 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 $29.2 million and $2.7 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 $13.7 billion for fixed rate securities as of June 30, 2021.
(H)The total outstanding face amount was $10.6 billion (including $9.7 billion of residual and fair value option notional amount) for fixed rate securities and $6.4 billion (including $6.3 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 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 UnrealizedWeighted Average
Asset TypeOutstanding Face AmountAmortized Cost BasisGainsLossesCarrying ValueNumber of SecuritiesRatingCouponYieldLife (Years)Principal Subordination
Corporate debt
$500 $500 $20 $— $520 1 B-8.3 %8.3 %3.8N/A
Consumer loan bonds
12,356 13,421 1,013 — 14,433 6 N/AN/AN/A0N/A
Fair value option securities:
Interest-only securities
8,009,249 214,753 10,900 (34,670)190,983 122 AA+1.3 %0.8 %2.0N/A
Servicing strips
4,585,044 57,144 6,992 (5,172)58,964 57 N/A1.6 %17.2 %3.2N/A

Activities related to Real Estate and Other Securities were as follows:
Three Months Ended June 30,Six Months Ended June 30,
2021202020212020
(in millions)AgencyNon-AgencyAgencyNon-AgencyAgencyNon-AgencyAgencyNon-Agency
Purchases
Face$1,880.0 $849.6 $3,722.6 $519.9 $5,907.2 $1,657.7 $10,862.6 $5,083.1 
Purchase price1,895.7 52.3 3,859.5 36.0 6,098.8 90.8 11,149.5 575.0 
Sales
Face$1,073.2 $552.8 $— $287.8 $3,487.8 $1,686.3 $17,395.0 $7,487.8 
Amortized cost1,123.1 27.4 — 273.4 3,636.4 185.2 17,679.3 5,557.2 
Sale price1,109.1 16.8 — 265.7 3,631.3 164.6 17,869.1 4,624.6 
Gain (loss) on sale(14.0)(10.7)— (7.7)(5.2)(20.5)189.8 (932.6)
Summary of Real Estate Securities in an Unrealized Loss Position
The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of June 30, 2021:
Securities in an Unrealized Loss PositionOutstanding Face AmountAmortized Cost BasisGross Unrealized LossesCarrying ValueNumber of SecuritiesWeighted Average
Before Credit Impairment
Credit Impairment(A)
After Credit ImpairmentRatingCouponYieldLife
(Years)
Less than 12 Months
$2,455 $651 $(195)$456 $(12)$444 4 AAA0.8 %1.9 %2.8
12 or More Months
40,682 33,009 (5,827)27,182 (1,038)26,144 18 AA+2.5 %1.0 %2.7
Total/Weighted Average
$43,137 $33,660 $(6,022)$27,638 $(1,050)$26,588 22 AAA2.4 %1.0 %2.7
(A)Represents credit impairment on securities in an unrealized loss position as of June 30, 2021.

New Residential performed an assessment of all RMBS designated as AFS 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:
June 30, 2021December 31, 2020
Gross Unrealized LossesGross Unrealized Losses
RMBS Designated as AFSFair ValueAmortized Cost Basis After Credit Impairment
Credit(A)
Non-Credit(B)
Fair ValueAmortized 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 securities18,551 18,551 (6,022)— 21,326 21,326 (8,672)— 
Non-credit impaired securities8,037 9,087 — (1,050)270,821 331,638 — (60,817)
Total debt securities in an unrealized loss position$26,588 $27,638 $(6,022)$(1,050)$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.
(B)This amount represents unrealized losses on securities that are due to non-credit factors.
(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
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss
The following table summarizes the activity related to the allowance for credit losses on RMBS designated as AFS (excluding credit impairment relating to securities New Residential intends to sell or is more likely than not required to sell):
RMBS Designated as AFSPurchased Credit DeterioratedNon-Purchased Credit DeterioratedTotal
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
(2,650)— (2,650)
Write-offs charged against the allowance
— — — 
Recoveries of amounts previously written off
— — — 
Allowance for credit losses on available-for-sale debt securities at June 30, 2021
$6,022 $— $6,022 
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 AmountCarrying Value
June 30, 2021$514,997 $165,091 
December 31, 2020727,216 280,876 
Summary of Changes in Accretable Yield for Securities
The following is a summary of the changes in accretable yield for these securities:
Balance at December 31, 2020$189,562 
Additions— 
Accretion(3,372)
Reclassifications from (to) non-accretable difference(8,741)
Disposals(149,058)
Balance at June 30, 2021$28,391