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MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs

The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets:


	Year Ended December 31,
	2021		2020
Direct investments in Excess MSRs	$	259,198	$	310,938
Excess MSR Joint Ventures	85,749		99,917
Excess mortgage servicing rights assets, at fair value	$	344,947	$	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, 2019	$	377,692	$	2,055	$	379,747

Interest income	28,217		135		28,352
Other income	(12,123)		—		(12,123)
Proceeds from repayments	(67,340)		(405)		(67,745)
Proceeds from sales	(1,061)		—		(1,061)
Change in fair value	(16,376)		144		(16,232)

Balance as of December 31, 2020	309,009		1,929		310,938

Interest income	20,355		(59)		20,296
Other income	403		(325)		78
Proceeds from repayments	(55,702)		(350)		(56,052)
Proceeds from sales	(984)		—		(984)
Change in fair value	(15,508)		430		(15,078)
Balance as of December 31, 2021	$	257,573	$	1,625	$	259,198

(A)Specialized Loan Servicing LLC (“SLS”).

Changes in fair value of investments consists of the following:


	Year Ended December 31,
	2021		2020		2019
Original and Recaptured Pools	$	(15,078)	$	(16,232)	$	(10,505)

The following table summarizes activity related to MSRs and MSR Financing Receivables:


	Total
Balance as of December 31, 2019	$	5,686,233
Purchases, net(A)	431,608

Originations(B)	666,414
Proceeds from sales	(15,341)
Change in fair value due to:
Realization of cash flows(C)	(1,592,281)
Change in valuation inputs and assumptions	(591,439)
(Gain) loss realized	647
Balance as of December 31, 2020	$	4,585,841
Caliber acquisition (Note 3)	1,507,524


Purchases, net(A)	10,949
Originations(B)	1,331,626

Proceeds from sales	(63,451)
Change in fair value due to:
Realization of cash flows(C)	(1,196,527)
Change in valuation inputs and assumptions	680,431
(Gain) loss realized	2,410
Balance as of December 31, 2021	$	6,858,803

(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.

(B)Represents MSRs retained on the sale of originated residential mortgage loans.

(C)Based on the paydown of the underlying residential mortgage loans.

The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020:


	UPB of Underlying Mortgages		Weighted Average Life (Years)(A)	Carrying Value(B)
2021

Agency	$	374,815,579	6.1	$	4,443,713
Non-Agency	63,851,154		8.3	943,210
Ginnie Mae(c)	109,946,356		5.7	1,471,880



Total	$	548,613,089	6.3	$	6,858,803
2020

Agency	$	305,718,556	5.1	$	2,849,003
Non-Agency	72,610,446		7.9	1,064,403
Ginnie Mae(c)	57,106,825		4.1	672,435



Total	$	435,435,827	5.4	$	4,585,841

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.

(B)Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively.

(C)As of December 31, 2021 and 2020, New Residential holds approximately $1.8 billion and $1.5 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

The following table summarizes components of Servicing Revenue, Net:


	Year Ended December 31,
	2021		2020		2019
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables	$	1,446,509	$	1,457,211	$	1,216,069
Ancillary and other fees	113,045		185,061		318,056
Servicing fee revenue and fees, net	1,559,554		1,642,272		1,534,125
Change in fair value due to:
Realization of cash flows(A)	(1,192,646)		(1,583,628)		(733,763)
Change in valuation inputs and assumptions(B)	680,088		(585,928)		(165,110)
Change in fair value of derivative instruments	(30,481)		—		—
(Gain) loss realized	2,410		647		(3,100)
Gain (loss) on settlement of derivative instruments	(34,724)		—		—
Servicing revenue, net	$	984,201	$	(526,637)	$	632,152

(A)Includes $3.9 million, $8.7 million and $7.1 million of fair value adjustment due to realization of cash flows to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively.

(B)Includes $0.3 million, $5.5 million and $1.3 million of fair value adjustment due to changes in valuation inputs and assumptions to Excess spread financing for the year ended December 31, 2021, 2020, and 2019, respectively.

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 Concentration	December 31, 2021		December 31, 2020
California	18.1	%	21.2	%
Florida	8.6	%	7.4	%
Texas	6.2	%	5.6	%
New York	6.0	%	7.0	%
Washington	5.6	%	2.9	%
New Jersey	4.5	%	4.8	%
Virginia	3.4	%	2.9	%
Illinois	3.4	%	3.6	%
Maryland	3.4	%	3.1	%
Georgia	3.0	%	3.3	%
Other U.S.	37.8	%	38.2	%
	100.0	%	100.0	%

Schedule of Investment in Servicer Advances

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


	December 31,
	2021		2020
Principal and interest advances	$	562,418	$	665,538
Escrow advances (taxes and insurance advances)	1,523,154		1,547,796
Foreclosure advances	793,098		816,400
Total(A)(B)(C)	$	2,878,670	$	3,029,734

(A)Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $212.9 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 non reimbursable advance loss assumption.

(C)Net of $23.5 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 table summarizes 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)
December 31, 2021
Servicer Advance Investments	$	405,786	$	421,807	5.2	%	5.5	%	6.9
December 31, 2020
Servicer Advance Investments	$	512,958	$	538,056	5.2	%	5.7	%	6.0

(A)Represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.

(B)Represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

The following table provides additional information regarding the Servicer Advance Investments and related financing:


									Loan-to-Value (“LTV”)(A)				Cost of Funds(C)
	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		Gross		Net(B)		Gross		Net
December 31, 2021
Servicer Advance Investments(D)	$	20,314,977	$	369,440	1.8	%	$	356,580	91.4	%	90.7	%	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 table summarizes the types of advances included in Servicer Advance Investments:


	December 31,
	2021		2020
Principal and interest advances	$	67,014	$	84,976
Escrow advances (taxes and insurance advances)	174,681		186,426
Foreclosure advances	127,745		177,748
Total	$	369,440	$	449,150

Schedule of Servicer Advances Reserve

The following table summarizes the activity of the servicer advances reserve:


Balance as of December 31, 2019	$	1,680
Provision	21,619

Write-offs	(450)
Balance as of December 31, 2020	$	22,849
Caliber acquisition (Note 3)	15,068
Provision	11,560

Write-offs	(17,355)
Balance as of December 31, 2021	$	32,122