Securitizations and Financings

6 Months Ended

Jun. 30, 2020

Variable Interest Entities and Securitizations [Abstract]

11. Securitizations and Financings

Variable Interest Entities (VIEs)

In the normal course of business, the Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”) determined to be VIEs, which primarily consist of securitization trusts established for a limited purpose. Generally, these SPEs are formed for the purpose of securitization transactions in which the Company transfers assets to an SPE, which then issues to investors various forms of debt obligations supported by those assets.

The Company has determined that the SPEs created in connection with the (i) Nationstar Mortgage Advance Receivables Trust (NMART), (ii) Nationstar Agency Advance Financing Trust (NAAFT) and (iii) Nationstar Advance Agency Receivables Trust (NAART) should be consolidated as the Company is the primary beneficiary of each of these entities. Also, the Company consolidated four reverse mortgage SPEs as it is the primary beneficiary of each of these entities. These SPEs include the Nationstar HECM Loan Trusts.

A summary of the assets and liabilities of the Company’s transactions with VIEs included in the Company’s consolidated financial statements is presented below:


	June 30, 2020						December 31, 2019
Consolidated transactions with VIEs	Transfers Accounted for as Secured Borrowings		Reverse Secured Borrowings		Transfers Accounted for as Secured Borrowings		Reverse Secured Borrowings
Assets
Restricted cash	$	95	$	27	$	66	$	42
Reverse mortgage interests, net⁽¹⁾	—		4,639		—		5,230
Advances and other receivables, net	492		—		540		—
Total assets	$	587	$	4,666	$	606	$	5,272

Liabilities
Advance facilities⁽²⁾	$	399	$	—	$	359	$	—
Payables and other liabilities	1		1		1		1
Participating interest financing	—		3,875		—		4,284
HECM Securitizations (HMBS)
Trust 2019-2	—		274		—		333
Trust 2019-1	—		244		—		302
Trust 2018-3	—		179		—		209
Trust 2018-2	—		127		—		148
Total liabilities	$	400	$	4,700	$	360	$	5,277

⁽¹⁾Amounts include net purchase discount of $59 and $46 as of June 30, 2020 and December 31, 2019, respectively.

⁽²⁾Amounts include the Nationstar agency advance financing facility and notes payable recorded by the Nationstar Mortgage Advance Receivable Trust, and the Nationstar Agency Advance Receivables Trust. Refer to Notes Payable in Note 9, Indebtedness, for additional information.

The following table shows a summary of the outstanding collateral and certificate balances for securitization trusts for which the Company was the transferor, including any retained beneficial interests and MSRs, that were not consolidated by the Company:


Unconsolidated securitization trusts	June 30, 2020		December 31, 2019
Total collateral balances - UPB	$	1,422	$	1,503
Total certificate balances	$	1,421	$	1,512

The Company has not retained any variable interests in the unconsolidated securitization trusts that were outstanding as of June 30, 2020 and December 31, 2019 and therefore does not have a significant maximum exposure to loss related to these unconsolidated VIEs.

A summary of mortgage loans transferred by the Company to unconsolidated securitization trusts that are 60 days or more past due are presented below:


Principal Amount of Transferred Loans 60 Days or More Past Due	June 30, 2020		December 31, 2019
Unconsolidated securitization trusts	$	239	$	193