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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis
The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of June 30, 2021 were as follows:
Fair Value
Principal Balance or Notional AmountCarrying ValueLevel 1Level 2Level 3Total
Assets
Excess MSRs(A)
$64,207,670 $284,290 $— $— $284,290 $284,290 
Excess MSRs, equity method investees(A)
25,547,389 94,198 — — 94,198 94,198 
MSRs(A)
336,166,705 3,800,593 — — 3,800,593 3,800,593 
MSR financing receivables(A)
62,396,648 989,836 — — 989,836 989,836 
Servicer advance investments420,537 502,533 — — 502,533 502,533 
Real estate and other securities
30,726,412 14,956,889 — 13,953,718 1,003,171 14,956,889 
Residential mortgage loans, held-for-sale
368,192 343,998 — — 345,727 345,727 
Residential mortgage loans, held-for-sale, at fair value
6,577,240 6,744,443 — 4,719,684 2,024,759 6,744,443 
Residential mortgage loans, held-for-investment, at fair value
662,210 617,951 — — 617,951 617,951 
Residential mortgage loans subject to repurchase
1,308,242 1,308,242 — 1,308,242 — 1,308,242 
Consumer loans528,554 592,126 — — 592,126 592,126 
Derivative assets
32,625,460 125,632 — 13,318 112,314 125,632 
Notes receivable56,000 53,655 — — 53,655 53,655 
      Loans receivable
250,000 250,000 — — 250,000 250,000 
Cash and cash equivalents
956,242 956,242 956,242 — — 956,242 
Restricted cash238,501 238,501 238,501 — — 238,501 
Other assets(B)
N/A42,891 5,323 — 37,568 42,891 
$31,902,020 $1,200,066 $19,994,962 $10,708,721 $31,903,749 
Liabilities
Secured financing agreements$21,291,164 $21,290,862 $— $21,291,164 $— $21,291,164 
Secured notes and bonds payable(C)
7,327,563 7,304,006 — 750,000 6,582,376 7,332,376 
Unsecured senior notes, net of issuance costs
542,405 542,405 — — 542,405 542,405 
Residential mortgage loan repurchase liability
1,308,242 1,308,242 — 1,308,242 — 1,308,242 
Derivative liabilities11,582,520 36,996 — 34,072 2,924 36,996 
Excess spread financing1,065,887 11,733 — — 11,733 11,733 
Contingent considerationN/A8,821 — — 8,821 8,821 
$30,503,065 $— $23,383,478 $7,148,259 $30,531,737 
(A)The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. New Residential does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.
(B)Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of New Residential’s investment. The investment had a fair value of $31.7 million as of June 30, 2021.
(C)Includes the SAFT 2013-1, MDST Trusts, RPL Securitization Trusts and SCFT 2020-A mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $882.2 million as of June 30, 2021.
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs
Assets measured at fair value on a recurring basis using Level 3 inputs changed as follows:
Level 3
Excess MSRs(A)
Excess MSRs in Equity Method Investees(A)(B)
MSRs(A)
MSR Financing Receivables(A)
Servicer Advance InvestmentsNon-Agency RMBS
Derivatives(C)
Residential Mortgage LoansConsumer LoansOther Assets
AgencyNon-AgencyNotes ReceivableLoans ReceivableTotal
Balance at December 31, 2020$162,645 $148,293 $99,917 $3,489,675 $1,096,166 $538,056 $1,180,924 $289,074 $2,320,384 $685,575 $52,389 $— $10,063,098 
Transfers
Transfers from Level 3— — — — — — — — (9,562)— — — (9,562)
Transfers from MSR financing receivables to MSRs— — — 47,831 (47,831)— — — — — — — — 
Gain (loss) included in net income
Reversal for credit losses on securities(D)
— — — — — — 2,650 — — — — — 2,650 
Change in fair value of excess MSRs(D)
(4,992)(3,837)— — — — — — — — — — (8,829)
Change in fair value of excess MSRs, equity method investees(D)
— — 2,597 — — — — — — — — — 2,597 
Servicing revenue, net(E)
— — — (173,536)— — — — — — — — (173,536)
Change in fair value of MSR financing receivables(D)
— — — — (55,295)— — — — — — — (55,295)
Change in fair value of servicer advance investments— — — — — (4,873)— — — — — — (4,873)
Change in fair value of residential mortgage loans— — — — — — — — 181,416 — — — 181,416 
Change in fair value of investments in consumer loans— — — — — — — — — (7,631)— — (7,631)
Gain (loss) on settlement of investments, net3 297 — — — — (20,520)— — — — — (20,220)
Other income (loss), net(D)
1 (325)— — — — 20,747 (179,684)329 — (3,159)— (162,091)
Gains (losses) included in other comprehensive income(F)
— — — — — — 17,034 — — — — — 17,034 
Interest income4,761 7,232 — — — 6,724 12,390 — — 9,705 2,736 — 43,548 
Purchases, sales and repayments
Purchases, net(G)
— — — 7,178 — 667,080 90,800 — 2,048,131 13,544 1,689 250,000 3,078,422 
Proceeds from sales(12)(1)— (33,691)(3,204)(164,630)— (1,676,332)— — — (1,877,870)
Proceeds from repayments(15,761)(14,014)(8,316)— — (704,454)(136,224)— (221,656)(109,067)— — (1,209,492)
Originations and other— — — 463,136 — — — — — — — — 463,136 
Balance at June 30, 2021$146,645 $137,645 $94,198 $3,800,593 $989,836 $502,533 $1,003,171 $109,390 $2,642,710 $592,126 $53,655 $250,000 $10,322,502 
(A)Includes the recapture agreement for each respective pool, as applicable.
(B)Amounts represent New Residential’s portion of the Excess MSRs held by the respective joint ventures in which New Residential has a 50% interest.
(C)For the purpose of this table, the IRLC asset and liability positions are shown net.
(D)Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period.
(E)The components of Servicing Revenue, Net are disclosed in Note 5.
(F)Gain (loss) included in Unrealized Gain (Loss) on Available-for-Sale Securities, Net in the Consolidated Statements of Comprehensive Income.
(G)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.
Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs
Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows:
Level 3
Excess Spread FinancingAsset-Backed Securities IssuedContingent Consideration
Total
Balance at December 31, 2020$18,420 $1,662,852 $14,247 $1,695,519 
Transfers
Transfers from Level 3— — — — 
Transfers to Level 3— — — — 
Gains (losses) included in net income
Servicing revenue, net(A)
(1,014)— — (1,014)
Other income(B)
— (1,216)408 (808)
Purchases, sales and repayments
Proceeds from sales
(6,064)— — (6,064)
Payments
— (779,458)(5,834)(785,292)
Other
391 — — 391 
Balance at June 30, 2021$11,733 $882,178 $8,821 $902,732 
(A)The components of Servicing Revenue, Net are disclosed in Note 5.
(B)The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period.
Summary of Measurement Inputs and Valuation Techniques
The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of June 30, 2021:
Significant Inputs(A)
Prepayment
Rate(B)
Delinquency(C)
Recapture
Rate(D)
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps)(E)
Collateral Weighted Average Maturity (Years)(F)
Excess MSRs Directly Held (Note 4)
Agency
Original Pools
5.9% - 8.8%
(6.9%)
—% - 2.3%
(0.9%)
4.8% - 16.6%
(7.1%)
15 - 32 (21)
12 - 21 (19)
Recaptured Pools
4.6% - 9.3%
(7.2%)
—% - 2.2%
(0.5%)
—% - 24.5%
(13.8%)
21 - 28 (23)
19- 24 (22)
4.6% - 9.3%
(7.0%)
—% - 2.3%
(0.7%)
—% - 24.5%
(9.8%)
15 - 32 (22)
12 - 24 (20)
Non-Agency(G)
Mr. Cooper and SLS Serviced:
Original Pools
6.3% - 12.1%
(8.1%)
5.3% - 11.6%
(8.4%)
—% - 11.1%
(7.9%)
6 - 25 (15)
18 - 28 (23)
Recaptured Pools
4.2% - 5.3%
(4.5%)
0.1% - 0.3%
(0.3%)
7.2% - 14.3%
(9.5%)
23 - 26 (24)
21 - 23 (23)
4.2% - 12.1%
(7.5%)
0.1% - 11.6%
(8.4%)
—% - 14.3%
(8.2%)
6 - 26 (17)
18 - 28 (23)
Total/Weighted Average—Excess MSRs Directly Held
4.2% - 12.1%
(7.2%)
—% - 11.6%
(3.8%)
—% - 24.5%
(9.0%)
6 - 32 (19)
12 - 28 (22)
Excess MSRs Held through Equity Method Investees (Note 4)
Agency
Original Pools
6.6% - 8.8%
(7.1%)
0.8% - 1.7%
(1.1%)
5.3% - 11.4%
(6.3%)
15 - 25 (19)
17- 19 (18)
Recaptured Pools
6.2% - 8.0%
(7.2%)
0.4% - 0.9%
(0.7%)
9.6% - 15.0%
(10.8%)
22 - 27 (25)
20 - 23 (22)
Total/Weighted Average—Excess MSRs Held through Investees
6.2% - 8.8%
(7.2%)
0.4% - 1.7%
(0.9%)
5.3% - 15.0%
(8.8%)
15 - 27 (22)
17 - 23 (20)
Total/Weighted Average—Excess MSRs All Pools
4.2% - 12.1%
(7.2%)
—% - 11.6%
(2.7%)
—% - 24.5%
(8.9%)
6 - 32 (20)
12 - 28 (21)
MSRs
Agency(H)
Mortgage Servicing Rights(I)
6.4% - 16.5%
(9.9%)
0.4% - 1.7%
(0.7%)
4.1% - 30.5%
(15.3%)
25 - 30 (28)
0 - 30 (22)
Non-Agency
Mortgage Servicing Rights(I)
9.1% - 13.7%
(11.2%)
1.0% - 7.1%
(4.3%)
3.7% - 23.4%
(12.7%)
26 - 81 (56)
0 - 30 (19)
MSR Financing Receivables(I)
7.5%
11.2%8.2%48
0 - 30 (25)
7.5% - 13.7%
(7.6%)
1.0% - 11.2%
(11.1%)
3.7% - 23.4%
(8.2%)
26 - 81 (48)
0 - 30 (25)
Ginnie Mae
Mortgage Servicing Rights(I)(J)
6.5% - 15.0%
(13.2%)
2.4% - 4.7%
(3.5%)
14.3% - 35.0%
(19.1%)
32 - 46 (43)
0 - 30 (27)
Total/Weighted Average—MSRs
6.4% - 16.5%
(10.0%)
0.4% - 11.2%
(3.4%)
3.7% - 35.0%
(10.0%)
25 - 81 (35)
0 - 30 (23)
(A)Weighted by fair value of the portfolio.
(B)Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
(C)Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments.
(D)Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.
(E)Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $6.20 - $7.30 ($6.90) per loan per month was used to value the agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $10.70 per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $9.00 per loan per month was used to value the Ginnie Mae MSRs.
(F)Weighted average maturity of the underlying residential mortgage loans in the pool.
(G)For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used.
(H)Represents Fannie Mae and Freddie Mac MSRs.
(I)For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.
(J)Includes valuation of the related Excess Spread Financing (Note 5).
As of June 30, 2021, securities valuation methodology and results are further detailed as follows:
Fair Value
Asset TypeOutstanding Face AmountAmortized Cost Basis
Multiple Quotes(A)
Single Quote(B)
TotalLevel
Agency RMBS$13,701,666 $14,158,189 $13,953,718 $— $13,953,718 2
Non-Agency RMBS(C)
17,024,746 938,113 1,003,171 — 1,003,171 3
Total$30,726,412 $15,096,302 $14,956,889 $— $14,956,889 
(A)New Residential generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential
evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for Non-Agency RMBS, there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.

The third-party pricing services and brokers engaged by New Residential (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. New Residential has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, New Residential creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by New Residential, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.

For 94.7% of Non-Agency RMBS, the ranges and weighted averages of assumptions used by New Residential’s valuation providers are summarized in the table below. The assumptions used by New Residential’s valuation providers with respect to the remainder of Non-Agency RMBS were not readily available.
Fair ValueDiscount Rate
Prepayment Rate(a)
CDR(b)
Loss Severity(c)
Non-Agency RMBS$949,545 
1.2% to 15.0% (4.6%)
0.0% to 25.0% (14.5%)
0.0% to 12.0% (1.2%)
0.0% to 100.0% (19.8%)
(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.
(b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.
(c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance.

(B)New Residential was unable to obtain quotations from more than one source on these securities.
(C)Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Acquired loans$1,931,549 
2.5% - 7.0%
(3.6%)
2.0% - 25.0%
(14.3%)
—% - 4.0%
(1.3%)
—% -50.0%
(19.1%)
Originated loans93,210 
4.0%
5.5%
3.0%
50.0%
Residential mortgage loans held-for-sale, at fair value$2,024,759 
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Residential mortgage loans held-for-investment, at fair value$617,951 
5.8% - 7.5%
(6.0%)
2.0% - 6.7%
(6.2%)
1.6% - 2.9%
(1.7%)
30.0% - 71.5%
(67.8%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Consumer loans, held-for-investment, at fair value$592,126 
7.5% - 9.7%
(7.5%)
21.6% - 34.1%
(21.6%)
4.6% - 23.6%
(4.6%)
71.2% - 92.4%
(71.2%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs:
Fair ValueLoan Funding ProbabilityFair Value of Initial Servicing Rights (Bps)
IRLCs, net$109,390 
0.0% - 100.0%
(82.9%)
0.5 - 312.3
(122.1)
The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Asset-Backed Securities Issued:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Asset-backed securities issued$882,178 
1.6% - 4.4%
(2.2%)
4.8% - 40.0%
(18.1%)
0.3% - 4.6%
(3.1%)
20.0% - 100.0%
(70.8%)
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances
Servicer Advance Investments Valuation

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs:
Significant Inputs
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans
Prepayment Rate(A)
Delinquency
Mortgage Servicing Amount(B)
Discount Rate
Collateral Weighted Average Maturity (Years)(C)
June 30, 2021
0.7% - 1.5% (1.5%)
6.6% - 8.5% (8.4%)
8.4% - 15.2% (15.0%)
17.5 - 19.8 (19.7)
bps
5.2% - 5.7% (5.2%)
22.0 - 23.1 (22.3)
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
(B)Mortgage servicing amount is net of 10.4 bps which represents the amount New Residential paid its servicers as a monthly servicing fee.
(C)Weighted average maturity of the underlying residential mortgage loans in the pool.
Schedule of Inputs Used in Valuing Residential Mortgage Loans The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2021:
Fair Value and Carrying ValueDiscount Rate
Weighted Average Life (Years)(A)
Prepayment Rate
CDR(B)
Loss Severity(C)
Performing loans$112,837 
3.8% - 7.0%
(4.9%)
4.2 - 9.0
(4.6)
5.1% - 9.9%
(9.2%)
1.4% - 2.2%
(1.5%)
29.9% - 100.0%
(53.8%)
Non-performing loans211,546 
5.0% - 9.0%
(5.3%)
2.8 - 3.7
(3.2)
2.0% - 2.0%
(2.0%)
2.9% - 2.9%
(2.9%)
8.6% - 30.0%
(28.9%)
Total/weighted average$324,383 
5.2%
3.7
4.5%
2.4%
37.5%
(A)The weighted average life is based on the expected timing of the receipt of cash flows.
(B)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance.
(C)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance.