FAIR VALUE MEASURMENTS (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Carrying Values and Fair Values of Financial Assets and Liabilities 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 December 31, 2021 were as follows:


					Fair Value
	Principal Balance or Notional Amount		Carrying Value		Level 1		Level 2		Level 3		Total
Assets:



Excess MSRs(A)	$	80,461,630	$	344,947	$	—	$	—	$	344,947	$	344,947
MSRs and MSR financing receivables(A)	548,613,089		6,858,803		—		—		6,858,803		6,858,803
Servicer advance investments	369,440		421,807		—		—		421,807		421,807
Real estate and other securities	24,314,300		9,396,539		—		8,444,597		951,942		9,396,539
Residential mortgage loans, held-for-sale	144,967		132,921		—		—		134,655		134,655
Residential mortgage loans, held-for-sale, at fair value	10,955,534		11,214,924		—		9,361,520		1,853,404		11,214,924
Residential mortgage loans, held-for-investment, at fair value	623,937		569,933		—		—		569,933		569,933
Residential mortgage loans subject to repurchase	1,787,314		1,787,314		—		1,787,314		—		1,787,314
Consumer loans	449,875		507,291		—		—		507,291		507,291
Derivative assets	47,080,263		138,173		—		23,302		114,871		138,173
Mortgage loans receivable	1,473,894		1,515,762		—		—		1,515,762		1,515,762
Note receivable	60,373		60,549		—		—		60,549		60,549
Loans receivable	228,692		229,631		—		—		229,631		229,631
Cash and cash equivalents	1,332,575		1,332,575		1,332,575		—		—		1,332,575
Restricted cash	195,867		195,867		195,867		—		—		195,867
Other assets(B)	N/A		39,229		3,134		—		36,095		39,229
			$	34,746,265	$	1,531,576	$	19,616,733	$	13,599,690	$	34,747,999
Liabilities:
Secured financing agreements	$	20,596,842	$	20,592,884	$	—	$	20,596,842	$	—	$	20,596,842
Secured notes and bonds payable(C)	8,676,644		8,644,810		—		—		8,662,463		8,662,463
Unsecured senior notes, net of issuance costs	543,293		543,293		—		—		553,581		553,581
Residential mortgage loan repurchase liability	1,787,314		1,787,314		—		1,787,314		—		1,787,314
Derivative liabilities	1,275,793		34,583		—		31,490		3,093		34,583

Contingent consideration	N/A		4,951		—		—		4,951		4,951
			$	31,607,835	$	—	$	22,415,646	$	9,224,088	$	31,639,734

(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 $28.7 million as of December 31, 2021.

(C)Includes the SAFT 2013-1, MDST 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 $511.1 million as of December 31, 2021.


					Fair Value
	Principal Balance or Notional Amount		Carrying Value		Level 1		Level 2		Level 3		Total
Assets:

Excess MSRs(A)	$	72,688,905	$	310,938	$	—	$	—	$	310,938	$	310,938
Excess MSRs, equity method investees(A)	28,453,512		99,917		—		—		99,917		99,917
MSRs and MSR financing receivables(A)	435,435,827		4,585,841		—		—		4,585,841		4,585,841
Servicer advance investments	449,150		538,056		—		—		538,056		538,056
Real estate and other securities	31,869,681		14,244,558		—		13,063,634		1,180,924		14,244,558
Residential mortgage loans, held-for-sale	637,138		509,887		—		—		509,887		509,887
Residential mortgage loans, held-for-sale, at fair value	4,675,833		4,705,816		—		3,059,611		1,646,205		4,705,816
Residential mortgage loans, held-for-investment, at fair value	769,348		674,179		—		—		674,179		674,179
Residential mortgage loans subject to repurchase	1,452,005		1,452,005		—		1,452,005		—		1,452,005
Consumer loans	620,983		685,575		—		—		685,575		685,575
Derivative assets	38,427,601		290,144		—		789		289,355		290,144
Note receivable	51,575		52,389		—		—		49,889		49,889
Cash and cash equivalents	944,854		944,854		944,854		—		—		944,854
Restricted cash	135,619		135,619		135,619		—		—		135,619
Other assets(B)	N/A		48,032		11,187		—		36,845		48,032
			$	29,277,810	$	1,091,660	$	17,576,039	$	10,607,611	$	29,275,310
Liabilities:
Secured financing agreements	$	17,552,126	$	17,547,680	$	—	$	17,552,126	$	—	$	17,552,126
Secured notes and bonds payable(C)	7,667,239		7,644,195		—		—		7,651,325		7,651,325
Unsecured senior notes, net of issuance costs	541,516		541,516		—		—		541,516		541,516
Residential mortgage loan repurchase liability	1,452,005		1,452,005		—		1,452,005		—		1,452,005
Derivative liabilities	6,648,152		119,762		—		119,481		281		119,762
Excess spread financing	2,190,991		18,420		—		—		18,420		18,420
Contingent consideration	N/A		14,247		—		—		14,247		14,247
			$	27,337,825	$	—	$	19,123,612	$	8,225,789	$	27,349,401

(C)Includes the SAFT 2013-1, MDST Trusts, NPL/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 $1.7 billion as of December 31, 2020.

Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs

ssets measured at fair value on a recurring basis using Level 3 inputs:


		Level 3

	Excess MSRs(A)(B)	MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency RMBS		Derivatives(C)		Residential Mortgage Loans		Consumer Loans		Notes and Loans Receivable		Mortgage Loans Receivable		Total
Balance at December 31, 2019		$	505,343	$	5,686,233	$	581,777	$	7,957,785	$	39,891	$	3,998,825	$	827,545	$	37,001	$	—	$	20,139,743
Transfers
Transfers from Level 3		—		—		—		—		—		(718,892)		—		—		—		(718,892)
Transfers to Level 3		—		—		—		—		—		445,040		—		—		—		445,040

Gains (losses) included in net income
Reversal (provision) for credit losses on securities(D)		—		—		—		(13,404)		—		—		—		—		—		(13,404)
Change in fair value of Excess MSRs(D)		(16,232)		—		—		—		—		—		—		—		—		(32,464)
Change in fair value of Excess MSRs, equity method investees(D)		(3,489)		—		—		—		—		—		—		—		—		(6,978)
Servicing revenue, net(E)		—		(2,183,073)		—		—		—		—		—		—		—		(2,183,073)

Change in fair value of servicer advance investments		—		—		763		—		—		—		—		—		—		763
Change in fair value of residential mortgage loans		—		—		—		—		—		(107,604)		—		—		—		(107,604)
Gain (loss) on settlement of investments, net		67		—		—		(953,541)		—		—		—		—		—		(953,407)
Other income (loss), net(D)		(12,190)		—		—		(42,506)		—		(8,276)		(6,385)		814		—		(80,733)
Gains (losses) included in other comprehensive income(F)		—		—		—		(580,102)		249,183		(6,020)		36,472		—		—		(300,467)
Interest income		28,352		—		18,182		105,373		—		—		24,120		3,074		—		207,453
Purchases, sales and repayments
Purchases, net(G)		—		431,608		1,294,757		575,030		—		2,415,084		33,041		11,500		—		4,761,020
Proceeds from sales		(1,061)		(15,341)		—		(5,288,480)		—		(3,391,887)		—		—		—		(8,697,830)
Proceeds from repayments		(89,935)		—		(1,357,423)		(577,543)		—		(305,886)		(229,218)		—		—		(2,649,940)
Originations and other		—		666,414		—		(1,688)		—		—		—		—		—		664,726
Balance at December 31, 2020		$	410,855	$	4,585,841	$	538,056	$	1,180,924	$	289,074	$	2,320,384	$	685,575	$	52,389	$	—	$	10,473,953


Transfers
Transfers from Level 3		—		—		—		—		—		—		—		—		—		—
Transfers to Level 3		—		—		—		—		—		2,386		—		—		—		2,386
Acquisitions (Note 3)		—		1,507,524		—		—		116,403		—		—		—		1,505,635		3,129,562
Gains (losses) included in net income
Reversal (provision) for credit losses on securities(D)		—		—		—		5,201		—		—		—		—		—		5,201
Change in fair value of excess MSRs(D)		(15,078)		—		—		—		—		—		—		—		—		(15,078)
Change in fair value of excess MSRs, equity method investees(D)		1,818		—		—		—		—		—		—		—		—		1,818
Servicing revenue, net(E)		—		(513,686)		—		—		—		—		—		—		—		(513,686)
Change in fair value of servicer advance investments		—		—		(9,076)		—		—		—		—		—		—		(9,076)
Change in fair value of residential mortgage loans		—		—		—		—		—		155,758		—		—		—		155,758
Gain (loss) on settlement of investments, net		404		—		—		(28,550)		—		—		—		—		—		(28,146)
Included in other income (loss), net(D)		(326)		—		—		9,136		(293,699)		(1,357)		(20,133)		301		—		(306,078)
Gains (losses) included in other comprehensive income(F)		—		—		—		28,882		—		—		—		—		—		28,882
Interest income		20,296		—		1,678		13,740		—		—		18,925		9,433		—		64,072
Purchases, sales and repayments
Purchases, net(G)		—		10,949		1,286,526		174,340		—		4,128,097		29,002		6,688		—		5,635,602
Proceeds from sales		(984)		(63,451)		—		(164,630)		—		(3,675,071)		—		—		—		(3,904,136)
Proceeds from repayments		(72,038)		—		(1,395,377)		(267,101)		—		(487,830)		(206,078)		(28,631)		(60,867)		(2,517,922)
Originations and other		—		1,331,626		—		—		—		(19,030)		—		250,000		70,994		1,633,590
Balance at December 31, 2021		$	344,947	$	6,858,803	$	421,807	$	951,942	$	111,778	$	2,423,337	$	507,291	$	290,180	$	1,515,762	$	13,425,847

(A)Includes the recapture agreement for each respective pool, as applicable.

(B)Includes 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)Gains (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 6.

(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 Financing		Mortgage-Backed Securities Issued		Contingent Consideration
							Total
Balance at December 31, 2019	$	31,777	$	659,738	$	55,222	$	746,737





Gains (losses) included in net income



Included in servicing revenue, net(A)	(14,164)		—		—		(14,164)




Included in other income(B)	—		966		4,844		5,810


Purchases, sales and payments							—
Purchases	—		1,520,382		—		1,520,382

Payments	—		(516,769)		(45,819)		(562,588)
Other	807		(1,465)		—		(658)
Balance at December 31, 2020	$	18,420	$	1,662,852	$	14,247	$	1,695,519




Gains (losses) included in net income



Included in servicing revenue, net(A)	(3,538)		—		—		(3,538)




Included in other income(B)	—		(12,991)		1,037		(11,954)

Interest income	—		—		—		—
Purchases, sales and payments
Purchases	—		—		—		—
Proceeds from sales	(15,378)		—		—		(15,378)
Payments	—		(1,138,754)		(10,333)		(1,149,087)
Other	496		—		—		496
Balance at December 31, 2021	$	—	$	511,107	$	4,951	$	516,058

(A)Components of Servicing Revenue, Net are disclosed in Note 6.

(B)Gains (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period.

Summary of Certain Information Regarding Weighted Average Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees

The following tables summarize certain information regarding the ranges and weighted averages of significant inputs used:


	December 31, 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 5)
Agency
Original Pools	5.1% - 8.7% (6.7%)	0.2% - 6.9% (0.9%)	3.2% - 20.6% (6.4%)	15 - 32 (21)	11 - 21 (18)
Recaptured Pools	4.5% - 9.4% (6.5%)	0.1% - 2.2% (0.8%)	—% - 25.2% (9.3%)	20 - 27 (23)	19 - 24 (22)
	4.5% - 9.4% (6.6%)	0.1% - 6.9% (0.9%)	—% - 25.2% (7.7%)	15 - 32 (22)	11 - 24 (20)
Non-Agency(G)
Mr. Cooper and SLS Serviced:
Original Pools	5.8% - 12.4% (7.7%)	5.5% - 9.6% (7)	—% - 11.3% (7.2%)	6 - 25 (15)	18 - 28 (23)
Recaptured Pools	3.6% - 4.9% (4%)	0.1% - 0.3 (0.2)	4% - 10.1% (5.5%)	22 - 25 (24)	21 - 23 (23)
	3.6% - 12.4% (7%)	0.1% - 9.6% (7)	—% - 11.3% (6.9%)	6 - 25 (17)	18 - 28 (23)
Total/Weighted Average—Excess MSRs Directly Held	3.6% - 12.4% (6.8%)	0.1% - 9.6% (3.2%)	—% - 25.2% (7.3%)	6 - 32 (19)	11 - 28 (21)

Excess MSRs Held through Equity Method Investees (Note 5)
Agency
Original Pools	6.6% - 8.5% (7%)	0.6% - 1.5% (0.9%)	3.2% - 9.5% (5.1%)	15 - 25 (19)	16 - 18 (17)
Recaptured Pools	5.4% - 7.5% (6.5%)	0.3% - 1.6% (0.8%)	3% - 9.2% (6.2%)	22 - 26 (24)	20 - 23 (21)
Total/Weighted Average—Excess MSRs Held through Investees	5.4% - 8.5% (6.7%)	0.3% - 1.6% (0.9%)	3.0% - 9.5% (5.7%)	15 - 26 (22)	16 - 23 (19)

Total/Weighted Average—Excess MSRs All Pools	3.6% - 12.4% (6.8%)	0.1% - 9.6% (2.4%)	—% - 25.2% (6.7%)	6 - 32 (20)	11 - 28 (21)

MSRs and MSR Financing Receivables (Note 6)(H)
Agency	6.0% - 14.6% (10.2%)	0.1% - 2.2% (0.9%)	—% - 31.4% (10.7%)	25 - 30 (28)	0 - 40 (23)
Non-Agency	6.7% - 50.4% (6.7%)	0.7% - 64.6% (11.8%)	4.0% - 27.0% (6.8%)	26 - 86 (48)	0 - 30 (24)
Ginnie Mae	5.3% - 14.3% (12.6%)	1.4% - 6.3% (4.1%)	4.8% - 24.5% (12.7%)	31 - 45 (39)	0 - 30 (28)
Total/Weighted Average—MSRs and MSR Financing Receivables	5.3% - 50.4% (10.2%)	0.1% - 64.6% (3.1%)	—% - 31.4% (10.0%)	25 - 86 (33)	0 - 40 (24)


	December 31, 2020
	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 5)
Agency
Original Pools	7.1% - 10.9% (7.8%)	—% - 3.5% (1.4%)	4.4% - 23.3% (10.3%)	15 - 31 (21)	13 - 21 (19)
Recaptured Pools	7.0% - 11.9% (9.6%)	—% - 4.0% (0.9%)	—% - 35.0% (20.4%)	21 - 29 (24)	19 - 19 (22)
	7.0% - 11.9% (8.4%)	—% - 4.0% (1.2%)	—% - 35.0% (13.8%)	15 - 31 (22)	13 - 24 (20)
Non-Agency(G)
Mr. Cooper and SLS Serviced:
Original Pools	6.6% - 11.9% (9.0%)	2.6% - 13.9% (10.2%)	—% - 13.1% (10.0%)	5 - 25 (15)	18 - 29 (23)
Recaptured Pools	5.6% - 7.4% (6.1%)	0.2% - 0.5% (0.4%)	12.1% - 21.4% (14.2%)	23 - 27 (25)	21 - 23 (23)
	5.6% - 11.9% (8.5%)	0.2% - 13.9% (10.2%)	—% - 21.4% (10.7%)	5 - 27 (17)	18 - 29 (23)
Total/Weighted Average—Excess MSRs Directly Held	5.6% - 11.9% (8.5%)	—% - 13.9% (4.8%)	—% - 35.0% (12.3%)	5 - 31 (19)	13 - 29 (21)

Excess MSRs Held through Equity Method Investees (Note 5)
Agency
Original Pools	7.1% - 10.2% (8.0%)	1.2% - 2.5% (1.6%)	5.2% - 23.3% (8.9%)	15 - 25 (19)	18 - 19 (18)
Recaptured Pools	8.6% - 10.5% (9.3%)	0.6% - 1.7% (1.2%)	11.7% - 28.9% (15.0%)	22 - 28 (25)	20 - 23 (22)
Total/Weighted Average- Excess MSRs Held through Investees	7.5% - 10.7% (9.0%)	0.6% - 2.2% (1.2%)	5.5% - 29.8% (12.9%)	15 - 28 (22)	18 - 23 (20)

Total/Weighted Average—Excess MSRs All Pools	5.6% - 11.9% (8.5%)	—% - 13.9% (3.6%)	—% - 35.0% (12.2%)	5 - 31 (20)	13 - 29 (21)

MSRs and MSR Financing Receivables (Note 6)(H)
Agency	7.9% - 23.3% (13.1%)	0.4% - 2.1% (0.9%)	2.5% - 35.5% (20.5%)	25 - 31 (28)	0 - 30 (22)
Non-Agency	7.6% - 16.4% (7.7%)	0.9% - 13.0% (12.9%)	4.3% - 31.6% (8.1%)	26 - 88 (48)	0 - 30 (25)
Ginnie Mae	9.0% - 24.1% (20.3%)	2.3% - 5.6% (4.7%)	16.2% - 35.0% (24.9%)	32 - 50 (45)	0 - 30 (27)
Total/Weighted Average—MSRs and MSR Financing Receivables	7.6% - 24.1% (12.9%)	0.4% - 13.0% (4.2%)	2.5% - 35.5% (20.0%)	25 - 88 (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 bps. As of December 31, 2021 and 2020, weighted average costs of subservicing of $6.40-$7.20 ($7.00) and $6.20-$7.50 ($7.00), respectively, per loan per month was used to value the agency MSRs, including MSR Financing Receivables. Weighted average costs of subservicing of $10.60-$15.80 ($10.70) and $10.90, respectively, per loan per month was

used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.80-$8.90 ($8.80) and $8.90, respectively, 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)For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.

The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Acquired	$	1,713,662	2.2% - 7.5% (3.7%)	1.7% - 18.6% (11.3%)	—% - 16.7% (1.2%)	3.1% - 67.2% (37.7%)
Originated	139,742		4.0%	6.0%	3.0%	50.0%
Residential mortgage loans held-for-sale, at fair value	$	1,853,404

The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Residential mortgage loans held-for-investment, at fair value	$	569,933	3.3% - 7.5% (7.2%)	1.7% - 20.0% (9.7%)	0.3% - 16.7% (4.8%)	20.0% - 95.4% (71.5%)

The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing consumer loans held-for-investment, at fair value classified as Level 3:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Consumer loans held-for-investment, at fair value	$	507,291	(7.5%)	(22.9%)	(4.1%)	(64.0%)

The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing IRLCs:


	Fair Value		Loan Funding Probability	Fair Value of initial servicing rights (bps)
IRLCs, net	$	111,778	0.0% - 100.0% (80.9%)	1.2 - 311.0 (160.1)

The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing asset-backed securities issued:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Asset-backed securities issued	$	511,107	1.7% - 7.5% (2.0%)	13.2% - 40.0% (23.4%)	0.3% - 5.4% (4.0%)	20.0% - 95.4% (90.3%)

Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances

The following table summarizes certain information regarding the ranges and weighted averages of significant 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)
December 31, 2021	0.7% - 1.8% (1.7%)	6.5% - 7.7% (7.7%)	8.2% - 15.0% (14.8%)	17.6 - 19.8 (19.7) bps	5.2% - 5.7% (5.2%)	22.1
December 31, 2020	1.1% - 1.7% (1.7%)	9.3% - 9.3% (9.3%)	6.9% - 9.1% (9.0%)	17.1 - 19.8 (19.7) bps	5.2% - 5.7% (5.2%)	22.3

(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.

(B)Mortgage servicing amount is net of 10.6 bps and 10.0 bps which represent the amounts New Residential paid its servicers as a monthly servicing fee as of December 31, 2021 and 2020, respectively.

(C)Weighted average maturity of the underlying residential mortgage loans in the pool.

Schedule of Securities Valuation Methodology and Results

New Residential’s securities valuation methodology and results are further detailed as follows:


					Fair Value
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Multiple Quotes(A)		Single Quote(B)		Total		Level
December 31, 2021
Agency RMBS	$	8,399,343	$	8,663,693	$	8,444,597	$	—	$	8,444,597	2
Non-Agency RMBS(C)	15,914,957		886,643		951,942		—		951,942		3
Total	$	24,314,300	$	9,550,336	$	9,396,539	$	—	$	9,396,539
December 31, 2020
Agency RMBS	$	12,491,152	$	12,951,608	$	13,063,634	$	—	$	13,063,634	2
Non-Agency RMBS(C)	19,378,530		1,153,643		1,171,209		9,715		1,180,924		3
Total	$	31,869,682	$	14,105,251	$	14,234,843	$	9,715	$	14,244,558

(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 99.3% 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 Value		Discount Rate	Prepayment Rate(a)	CDR(b)	Loss Severity(c)
Non-Agency RMBS	$	945,168	1.0% - 15.0% (5.8%)	—% - 25.0% (10.3%)	—% - 12.0% (0.9%)	—% - 100.0% (13.9%)

(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 interest-only notes for which the fair value option for financial instruments was elected.

Schedule of Inputs Used in Valuing Residential Mortgage Loans

The following table summarizes the ranges and weighted averages of significant inputs used in valuing these residential mortgage loans:


	Fair Value and Carrying Value		Discount Rate	Weighted Average Life (Years)(A)	Prepayment Rate	CDR(B)	Loss Severity(C)
December 31, 2021
Performing	$	113,196	3.8% - 7.0% (6.8%)	4.8 - 8.8 (4.9)	4.8% - 7.4% (6.0%)	0.9% - 9.4% (5.9%)	40.9% - 54.7% (45.5%)
Non-performing	2,287		7.5% - 7.5% (7.5%)	4.7 - 4.7 (4.7)	1.7% - 1.7% (1.7%)	16.7% - 16.7% (16.7%)	41.9% - 41.9% (41.9%)
Total/weighted average	$	115,483	6.8%	4.9	5.9%	6.1%	45.4%
December 31, 2020
Performing	$	129,345	4.8% - 8.5% (6.7%)	3.1 - 9.1 (4.5)	5.1% - 9.9% (8.8%)	0.2% - 7.8% (2.0%)	28.7% - 100.0% (46.2%)
Non-performing	380,542		7.5% - 9.0% (7.5%)	2.9 - 3.8 (3.3)	2.0% - 2.0% (2.0%)	2.9% - 2.9% (2.9%)	8.5% - 30.0% (29.5%)
Total/weighted average	$	509,887	7.3%	3.6	3.7%	2.6%	33.7%

(A)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.