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REAL ESTATE AND OTHER SECURITIES (Tables)
 12 Months Ended
Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Summary of Real Estate Securities
The following table summarizes Real Estate and Other Securities by designation:
December 31, 2021
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Rating(B)
Coupon(C)
Yield
Life (Years)(D)
Principal Subordination(E)
RMBS designated as available for sale (AFS):
Agency(F)
$91,572 $7,008 $— $98,367 1 AAA3.50 %3.50 %4.4N/A
Non-Agency(G)(H)
2,956,066 84,494 (117)522,416 334 AA3.29 %3.18 %3.426.6 %
RMBS measured at fair value through net income (FVO):
Agency(F)
8,307,771 204 (226,309)8,346,230 40 AAA2.13 %2.13 %7.0N/A
Non-Agency(G)(H)
12,958,891 32,814 (51,892)429,526 271 AA+2.15 %3.91 %3.220.3 %
Total/
   Weighted
    Average		$24,314,300 $124,520 $(278,318)$9,396,539 646 AAA2.19 %2.27 %6.6
December 31, 2020
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Rating(B)
Coupon(C)
Yield
Life (Years)(D)
Principal Subordination(E)
RMBS designated as available for sale (AFS):
Agency(F)
$110,360 $10,612 $— $121,761 1  AAA 3.50 %3.50 %5.9N/A
Non-Agency(G)(H)
3,628,870 62,890 (7,394)752,004 364  AA 3.40 %3.50 %4.919.7 %
RMBS measured at fair value through net income (FVO):
Agency(F)
12,380,792 101,414 — 12,941,873 57  AAA 2.20 %2.20 %4.3N/A
Non-Agency(G)(H)
15,749,660 25,208 (53,423)428,920 225  AA+ 1.90 %5.00 %4.419.0 %
Total/
   Weighted
    Average		$31,869,682 $200,124 $(60,817)$14,244,558 647 AAA2.3 %2.4 %4.3
(A)Fair value is equal to carrying value for all securities.
(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 298 bonds with a carrying value of $346.1 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 $23.5 million and $2.8 million, respectively, for which no coupon payment is expected.
(D)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)The total outstanding face amount was $8.4 billion and $12.5 billion for fixed rate securities and $0.0 billion and $0.0 billion for floating rate securities as of December 31, 2021 and 2020, respectively.
(G)The total outstanding face amount was $9.6 billion (including $8.7 billion of residual and fair value option notional amount) and $11.9 billion (including $10.9 billion of residual and fair value option notional amount) for fixed rate securities and $6.4 billion (including $6.2 billion of residual and fair value option notional amount) and $7.5 billion (including $7.2 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2021 and 2020, respectively.
(H)Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips which New Residential elected to carry at fair value (fair value option securities) and record changes to valuation through the income statement, (ii) bonds backed by consumer loans and (iii) corporate debt. The following table summarizes these securities:
Gross UnrealizedWeighted Average
Asset TypeOutstanding Face AmountGainsLossesCarrying ValueNumber of SecuritiesRatingCouponYieldLife (Years)
December 31, 2021
Corporate debt
$414 $9 $— $423 1 B-8.25 %8.25 %3.3
Consumer loan bonds
2,960 878 — 2,974 3 N/AN/AN/A0.0
Fair value option securities
Interest-only securities7,368,874 8,099 (43,626)152,489 127 AA+1.19 %1.54 %2.0
Servicing strips4,413,700 6,869 (7,758)59,120 59 N/A1.40 %13.12 %2.6
December 31, 2020
Corporate Debt$500 $23 $— $523 1 B-8.25 %8.25 %4.3
Consumer loan bonds13,022 503 — 12,862 6 N/AN/AN/A0.0
Fair value option securities
Interest-only securities9,457,488 6,600 (43,781)211,073 124 AA+1.22 %5.09 %2.1
Servicing strips4,979,723 5,865 (9,476)46,378 58 N/A0.42 %8.38 %3.9

The following table summarizes purchases and sales of Real Estate and Other Securities:
Year Ended December 31,
20212020
(in millions)AgencyNon-AgencyAgencyNon-Agency
Purchases
Face$5,907.2 $2,999.3 $21,593.3 $5,083.1 
Purchase price6,098.8 174.3 22,290.3 575.0 
Sales
Face$7,830.8 $1,686.9 $19,321.7 $8,450.1 
Amortized cost8,135.6 193.2 19,666.2 6,242.0 
Sale price8,074.3 164.7 19,886.8 5,288.5 
Gain (loss) on sale(61.3)(28.5)220.5 (953.5)
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 December 31, 2021.
Amortized Cost BasisWeighted Average
Securities in an Unrealized Loss PositionOutstanding Face AmountBefore Credit Impairment
Credit Impairment(A)
After Credit ImpairmentGross Unrealized LossesCarrying ValueNumber of SecuritiesRatingCouponYieldLife
(Years)
Less than 12 Months
$3,755 $3,535 $(20)$3,514 $(24)$3,490 2 AAA1.60 %1.34 %2.4
12 or More Months
19,723 10,563 (3,451)7,111 (93)7,018 13 AA+— %0.89 %0.4
Total/Weighted Average
$23,478 $14,098 $(3,471)$10,625 $(117)$10,508 15 AAA0.53 %1.04 %1.0
(A)Represents credit impairment on securities in an unrealized loss position as of December 31, 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:
December 31, 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)
— — — — — — — — 
Securities New Residential has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities6,581 6,581 (3,471)— 21,326 21,326 (8,672)— 
Non-credit impaired securities3,927 4,044 — (117)270,821 331,638 — (60,817)
Total debt securities in an unrealized loss position$10,508 $10,625 $(3,471)$(117)$292,147 $352,964 $(8,672)$(60,817)
(A)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)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.
Summary of Activity Related to Credit Losses on Debt Securities
The following table summarizes the activity related to credit losses on debt securities:
Year Ended December 31, 2019
Beginning balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income$52,803 
Increases to credit losses on securities for which an other-than-temporary impairment was previously recognized and a portion of an other-than-temporary impairment was recognized in other comprehensive income23,059 
Additions for credit losses on securities for which an other-than-temporary impairment was not previously recognized2,115 
Reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings 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
— 
Reduction for credit losses on securities for which no other-than-temporary impairment was recognized in other comprehensive income at the current measurement date— 
Reduction for securities sold/paid off during the period
(18,914)
Ending balance of credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income$59,063 
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
December 31, 2021$512,731 $180,890 
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:
Year Ended December 31,
20212020
Beginning balance$189,562 $1,882,477 
Additions8,324 76,960 
Accretion(4,720)(60,868)
Reclassifications from (to) non-accretable difference(8,015)(167,793)
Disposals(149,058)(1,541,214)
Ending balance$36,093 $189,562