Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS

v3.7.0.1
DEBT OBLIGATIONS
6 Months Ended
Jun. 30, 2017
Debt Disclosure [Abstract]  
DEBT OBLIGATIONS
DEBT OBLIGATIONS
 
The following table presents certain information regarding New Residential’s debt obligations:

 
June 30, 2017
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Collateral
 
 
Debt Obligations/Collateral
 
Outstanding Face Amount
 
Carrying Value(A)
 
Final Stated Maturity(B)
 
Weighted Average Funding Cost
 
Weighted Average Life (Years)
 
Outstanding Face
 
Amortized Cost Basis
 
Carrying Value
 
Weighted Average Life (Years)
 
Carrying Value(A)
Repurchase Agreements(C)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS(D)
 
$
2,720,413

 
$
2,720,413

 
Jul-17 to Aug-17
 
1.14
%
 
0.1
 
$
2,727,477

 
$
2,805,774

 
$
2,808,860

 
0.3
 
$
1,764,760

Non-Agency RMBS (E)
 
4,226,691

 
4,226,691

 
Jul-17 to Sep-17
 
2.68
%
 
0.1
 
10,947,964

 
5,069,675

 
5,382,793

 
8.0
 
2,654,242

Residential Mortgage Loans(F)
 
1,213,786

 
1,211,460

 
Jul-17 to Feb-19
 
3.88
%
 
0.5
 
1,811,738

 
1,581,267

 
1,563,004

 
3.8
 
686,412

Real Estate Owned(G)(H)
 
103,031

 
102,834

 
Jul-17 to Feb-19
 
3.88
%
 
0.4
 
 N/A

 
 N/A

 
137,402

 
 N/A
 
85,217

Total Repurchase Agreements
 
8,263,921

 
8,261,398

 
 
 
2.36
%
 
0.2
 
 
 
 
 
 
 
 
 
5,190,631

Notes and Bonds Payable
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Secured Corporate Notes(I)
 
768,443

 
764,601

 
Apr-18 to Sep-19
 
5.69
%
 
1.8
 
275,957,786

 
1,195,335

 
1,339,563

 
6.1
 
729,145

MSRs(J)
 
924,214

 
923,336

 
Feb-18 to Apr-22
 
5.23
%
 
2.9
 
191,111,797

 
1,647,679

 
1,836,451

 
6.8
 

Servicer Advances(K)
 
4,528,323

 
4,519,048

 
Nov-17 to Dec-21
 
3.28
%
 
2.3
 
4,562,746

 
4,905,989

 
4,984,475

 
5.0
 
5,549,872

Residential Mortgage Loans(L)
 
144,562

 
144,562

 
Oct-17 to Apr-20
 
3.60
%
 
2.7
 
237,605

 
186,261

 
186,261

 
7.5
 
8,271

Consumer Loans(M)
 
1,437,834

 
1,434,057

 
Sep-19 to Mar-24
 
3.37
%
 
3.0
 
1,576,163

 
1,574,459

 
1,569,217

 
3.6
 
1,700,211

Receivable from government agency(L)
 
2,178

 
2,178

 
Oct-17
 
3.74
%
 
0.3
 
N/A

 
N/A

 
2,815

 
N/A
 
3,106

Total Notes and Bonds Payable
 
7,805,554

 
7,787,782

 
 
 
3.77
%
 
2.5
 
 
 
 
 
 
 
 
 
7,990,605

Total/ Weighted Average
 
$
16,069,475

 
$
16,049,180

 
 
 
3.05
%
 
1.3
 
 
 
 
 
 
 
 
 
$
13,181,236



(A)
Net of deferred financing costs.
(B)
All debt obligations with a stated maturity of July 2017 were refinanced, extended or repaid.
(C)
These repurchase agreements had approximately $17.6 million of associated accrued interest payable as of June 30, 2017.
(D)
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $2.7 billion of related trade and other receivables.
(E)
All of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates. This includes repurchase agreements of $159.9 million on retained servicer advance and consumer loan bonds.
(F)
All of these repurchase agreements have LIBOR-based floating interest rates.
(G)
All of these repurchase agreements have LIBOR-based floating interest rates.
(H)
Includes financing collateralized by receivables including claims from FHA on Ginnie Mae EBO loans for which foreclosure has been completed and for which New Residential has made or intends to make a claim on the FHA guarantee.
(I)
Includes $213.3 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.75%, $270.0 million of corporate loans which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.25%, and a $285.1 million corporate loan which bears interest equal to 5.68%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the Excess MSRs that secure these notes, and the $285.1 million corporate loan is also collateralized by the rights to the related basic fee portion of the MSRs.
(J)
Includes $290.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.25%, $60.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.75%, $74.0 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 3.65%, and $500.2 million of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 4.00%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and mortgage servicing rights financing receivable that secure these notes.
(K)
$4.1 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.9% to 2.4%. Collateral includes Servicer Advances receivable related to the mortgage servicing rights owned by NRM.
(L)
Represents: (i) a $8.7 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.875% and (ii) $138.1 million of asset-backed notes held by third parties which bear interest equal to 3.60%.
(M)
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $1.1 billion UPB of Class A notes with a coupon of 3.05% and a stated maturity date in November 2023; $210.8 million UPB of Class B notes with a coupon of 4.10% and a stated maturity date in March 2024; $18.3 million UPB of Class C-1 notes with a coupon of 5.63% and a stated maturity date in March 2024; $18.3 million UPB of Class C-2 notes with a coupon of 5.63% and a stated maturity date in March 2024. Also includes a $96.4 million face amount note collateralized by newly originated consumer loans which bears interest equal to one-month LIBOR plus 3.25%.

As of June 30, 2017, New Residential had no outstanding repurchase agreements where the amount at risk with any individual counterparty or group of related counterparties exceeded 10% of New Residential’s stockholders' equity. The amount at risk under repurchase agreements is defined as the excess of carrying amount (or market value, if higher than the carrying amount) of the securities or other assets sold under agreement to repurchase, including accrued interest plus any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability (adjusted for accrued interest).

General

Certain of the debt obligations included above are obligations of New Residential’s consolidated subsidiaries, which own the related collateral. In some cases, including the Servicer Advances and Consumer Loans Notes and Bonds Payable, such collateral is not available to other creditors of New Residential.

New Residential has margin exposure on $8.3 billion of repurchase agreements as of June 30, 2017. To the extent that the value of the collateral underlying these repurchase agreements declines, New Residential may be required to post margin, which could significantly impact its liquidity.
 
Activities related to the carrying value of New Residential’s debt obligations were as follows:
 
Excess MSRs
 
MSRs
 
Servicer Advances(A)
 
Real Estate Securities
 
Residential Mortgage Loans and REO
 
Consumer Loans
 
Total
Balance at December 31, 2016
$
729,145

 
$

 
$
5,549,872

 
$
4,419,002

 
$
783,006

 
$
1,700,211

 
$
13,181,236

Repurchase Agreements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings

 

 

 
22,878,951

 
936,826

 

 
23,815,777

Repayments

 

 

 
(20,350,849
)
 
(394,694
)
 

 
(20,745,543
)
Capitalized deferred financing costs, net of amortization

 

 

 

 
534

 

 
534

Notes and Bonds Payable:
 
 
 
 
 
 
 
 
 
 
 
 

Borrowings
1,150,000

 
925,187

 
2,528,353

 

 
138,199

 

 
4,741,739

Repayments
(1,115,811
)
 
(973
)
 
(3,560,473
)
 

 
(2,837
)
 
(267,122
)
 
(4,947,216
)
Discount on borrowings, net of amortization

 

 
(166
)
 

 

 
890

 
724

Capitalized deferred financing costs, net of amortization
1,267

 
(878
)
 
1,462

 

 

 
78

 
1,929

Balance at June 30, 2017
$
764,601

 
$
923,336

 
$
4,519,048

 
$
6,947,104

 
$
1,461,034

 
$
1,434,057

 
$
16,049,180


(A)
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its Servicer Advances.

Maturities
 
New Residential’s debt obligations as of June 30, 2017 had contractual maturities as follows:
Year
 
Nonrecourse
 
Recourse
 
Total
July 1 through December 31, 2017
 
$
363,064

 
$
8,121,690

 
$
8,484,754

2018
 
942,742

 
782,556

 
1,725,298

2019
 
1,805,186

 
560,828

 
2,366,014

2020
 
514,303

 

 
514,303

2021
 
1,137,454

 

 
1,137,454

2022 and thereafter
 
1,341,465

 
500,187

 
1,841,652

 
 
$
6,104,214

 
$
9,965,261

 
$
16,069,475



Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of June 30, 2017:
Debt Obligations / Collateral
 
Collateral Type
 
Borrowing Capacity
 
Balance Outstanding
 
Available Financing
Repurchase Agreements
 
 
 
 
 
 
 
 
Residential Mortgage Loans
 
Residential Mortgage Loans and REO
 
$
2,340,000

 
$
1,316,817

 
$
1,023,183

Notes and Bonds Payable
 
 
 
 
 
 
 
 
Secured Corporate Loan
 
Excess MSRs
 
525,000

 
483,332

 
41,668

MSRs
 
MSRs
 
700,000

 
424,027

 
275,973

Servicer Advances(A)
 
Servicer Advances
 
2,867,161

 
1,921,827

 
945,334

Consumer Loans
 
Consumer Loans
 
150,000

 
96,368

 
53,632

 
 
 
 
$
6,582,161

 
$
4,242,371

 
$
2,339,790



(A)
New Residential’s unused borrowing capacity is available if New Residential has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. New Residential pays a 0.1% fee on the unused borrowing capacity. Excludes borrowing capacity and outstanding debt for retained Non-Agency bonds with a current face amount of $93.5 million.

Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in our equity or failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. New Residential was in compliance with all of its debt covenants as of June 30, 2017.