SERVICER ADVANCE INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Investments, All Other Investments [Abstract]

Summary of Investments in Servicer Advances

The following types of advances are included in the Servicer Advances Receivable:

	September 30, 2021		December 31, 2020
Principal and interest advances	$	592,212	$	665,538
Escrow advances (taxes and insurance advances)	1,414,507		1,547,796
Foreclosure advances	801,466		816,400
Total(A)(B)(C)	$	2,808,185	$	3,029,734

(A)Includes $555.9 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $183.0 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 $25.6 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 Rate		Weighted Average Yield		Weighted Average Life (Years)(B)
September 30, 2021
Servicer advance investments	$	453,442	$	472,004	5.2	%	5.6	%	6.0
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 Loans		Outstanding Servicer Advances		Servicer Advances to UPB of Underlying Residential Mortgage Loans		Face Amount of Secured Notes and Bonds Payable		Loan-to-Value (“LTV”)(A)				Cost of Funds(C)
									Gross		Net(B)		Gross		Net
September 30, 2021
Servicer Advance Investments(D)	$	21,568,182	$	408,085	1.9	%	$	381,286	89.4	%	88.7	%	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:

	September 30, 2021		December 31, 2020
Principal and interest advances	$	75,564	$	84,976
Escrow advances (taxes and insurance advances)	170,817		186,426
Foreclosure advances	161,704		177,748
Total	$	408,085	$	449,150

Schedule of Interest Income Related to Investments in Servicer Advances

Interest Income related to Servicer Advance Investments consists of the following:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Interest income, gross of amounts attributable to servicer compensation	$	(1,426)	$	10,505	$	16,079	$	28,160
Amounts attributable to base servicer compensation	897		(703)		(849)		(2,325)
Amounts attributable to incentive servicer compensation	892		1,196		(8,144)		(12,755)
Interest income (expense) from servicer advance investments	$	363	$	10,998	$	7,086	$	13,080

The following table summarizes the net interest income for residential mortgage loans:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Interest income:
Loans held-for-investment, at fair value	$	11,090	$	12,647	$	34,061	$	40,985
Loans held-for-sale, at lower of cost or fair value	5,449		7,406		18,241		38,673
Loans held-for-sale, at fair value	75,802		31,267		163,769		104,565
Total interest income	92,341		51,320		216,071		184,223
Interest expense:
Loans held-for-investment, at fair value	4,238		5,326		13,129		15,934
Loans held-for-sale, at lower of cost or fair value	4,030		4,068		16,303		17,501
Loans held-for-sale, at fair value	49,187		20,909		103,785		64,206
Total interest expense	57,455		30,303		133,217		97,641
Net interest income	$	34,886	$	21,017	$	82,854	$	86,582