Annual report pursuant to Section 13 and 15(d)

DEBT OBLIGATIONS

v3.19.3.a.u2
DEBT OBLIGATIONS
12 Months Ended
Dec. 31, 2019
Debt Disclosure [Abstract]  
DEBT OBLIGATIONS DEBT OBLIGATIONS

The following table presents certain information regarding New Residential’s debt obligations:
 
 
December 31, 2019
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
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)
 
$
15,481,677

 
$
15,481,677

 
Jan-20 to May-20
 
1.99
%
 
0.1
 
$
15,499,156

 
$
15,810,728

 
$
15,862,218

 
4.0
 
$
4,346,070

Non-Agency RMBS(E)
 
7,317,519

 
7,317,519

 
Jan-20 to Sep-20
 
2.76
%
 
0.1
 
25,220,620

 
8,014,409

 
8,661,349

 
7.0
 
7,434,785

Residential Mortgage Loans(F)
 
5,054,667

 
5,053,207

 
Feb-20 to May-21
 
3.48
%
 
0.6
 
5,778,009

 
5,847,650

 
5,577,297

 
15.4
 
3,678,246

Real Estate Owned(G) (H)
 
63,846

 
63,822

 
Feb-20 to May-21
 
3.53
%
 
0.7
 
N/A

 
N/A

 
77,556

 
N/A
 
94,868

Total Repurchase Agreements
 
27,917,709

 
27,916,225

 
 
 
2.47
%
 
0.2
 
 
 
 
 
 
 
 
 
15,553,969

Notes and Bonds Payable
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Excess MSRs(I)
 
217,300

 
217,300

 
Feb-20 to Jul-22
 
4.45
%
 
2.6
 
97,846,949

 
306,803

 
394,644

 
5.9
 
297,563

MSRs(J)
 
2,646,540

 
2,640,036

 
Mar-20 to Jul-24
 
4.16
%
 
1.6
 
394,098,370

 
3,998,060

 
4,446,855

 
5.7
 
2,360,856

Servicer Advances(K)
 
3,189,486

 
3,181,672

 
Jan-20 to Aug-23
 
2.90
%
 
2.1
 
3,587,593

 
3,858,818

 
3,883,151

 
1.4
 
3,382,455

Residential Mortgage Loans(L)
 
866,001

 
864,451

 
Apr-20 to Dec-45
 
4.63
%
 
8.3
 
1,183,625

 
1,199,326

 
1,171,201

 
7.1
 
124,945

Consumer Loans(M)
 
813,808

 
816,689

 
Dec-21 to May-36
 
3.25
%
 
3.9
 
823,806

 
830,900

 
827,434

 
3.9
 
936,447

Total Notes and Bonds Payable
 
7,733,135

 
7,720,148

 
 
 
3.60
%
 
2.8
 
 
 
 
 
 
 
 
 
7,102,266

Total/Weighted Average
 
$
35,650,844

 
$
35,636,373

 
 
 
2.71
%
 
0.8
 
 
 
 
 
 
 
 
 
$
22,656,235


(A)
Net of deferred financing costs.
(B)
All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid.
(C)
These repurchase agreements had approximately $84.1 million of associated accrued interest payable as of December 31, 2019.
(D)
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $5.3 billion of related trade and other receivables.
(E)
$6,788.4 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $529.1 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements and related collateral of $7.5 million and $10.0 million, respectively, on retained consumer loan bonds and of $638.6 million and $744.4 million, respectively, on retained bonds collateralized by Agency MSRs.
(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 $217.3 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 2.75%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the interests in MSRs that secure these notes.
(J)
Includes: $1,250.0 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 ranging from 2.25% to 2.75%; $59.5 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 2.50%; and $1,337.1 million of public notes with fixed interest rates ranging from 3.55% to 4.62%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and MSR financing receivables that secure these notes.
(K)
$1.9 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 1.0% to 2.0%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM.
(L)
Represents: (i) a $5.6 million note payable to Mr. Cooper which includes a $2.1 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $105.3 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from 3.50% to 3.76% (see Note 13 for fair value details), (iii) $353.5 million of 2019-RPL1 asset-backed notes held by third parties which include $0.3 million of REO and bear interest equal to 4.59% (see Note 13 for fair value details), (iv) $202.5 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.58% (see Note 13 for fair value details), and (v) $199.1 million of asset-backed notes held by third parties which include $1.5 million of REO and bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR and (ii) a margin of 1.25%.
(M)
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $734.7 million UPB of Class A notes with a coupon of 3.20% and a stated maturity date in May 2036; $70.4 million UPB of Class B notes with a coupon of 3.58% and a stated maturity date in May 2036; and $8.7 million UPB of Class C notes with a coupon of 5.06% and a stated maturity date in May 2036.

As of December 31, 2019, 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, such collateral is not available to other creditors of New Residential.

New Residential has margin exposure on $27.9 billion of repurchase agreements as of December 31, 2019. 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, 2017
 
$
483,978

 
$
1,157,179

 
$
4,060,156

 
$
6,694,454

 
$
2,108,007

 
$
1,242,756

 
$
15,746,530

Repurchase Agreements:
 
 
 
 
 
 
 
 
 
 
 
 
 

Shellpoint Acquisition
 

 

 

 
1,957

 
437,675

 

 
439,632

Borrowings
 

 

 

 
90,996,778

 
8,665,900

 

 
99,662,678

Repayments
 

 

 

 
(85,912,169
)
 
(7,298,734
)
 

 
(93,210,903
)
Capitalized deferred financing costs, net of amortization
 

 

 

 
(165
)
 
589

 

 
424

Notes and Bonds Payable:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Shellpoint Acquisition
 

 
20,731

 

 

 
120,702

 

 
141,433

Borrowings
 
350,787

 
4,212,855

 
5,207,084

 

 
183

 

 
9,770,909

Repayments
 
(537,227
)
 
(3,022,785
)
 
(5,887,384
)
 

 
(136,947
)
 
(308,316
)
 
(9,892,659
)
Discount on borrowings, net of amortization
 

 

 
41

 

 

 
1,633

 
1,674

Unrealized loss on notes, fair value
 

 

 

 

 
684

 

 
684

Capitalized deferred financing costs, net of amortization
 
25

 
(7,124
)
 
2,558

 

 

 
374

 
(4,167
)
Balance at December 31, 2018
 
$
297,563

 
$
2,360,856

 
$
3,382,455

 
$
11,780,855

 
$
3,898,059

 
$
936,447

 
$
22,656,235

Repurchase Agreements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings
 

 

 

 
207,138,969

 
36,177,659

 

 
243,316,628

Repayments
 

 

 

 
(196,120,793
)
 
(34,833,314
)
 

 
(230,954,107
)
Capitalized deferred financing costs, net of amortization
 

 

 

 
165

 
(429
)
 

 
(264
)
Notes and Bonds Payable:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Ditech Acquisition(B)
 

 

 

 

 
209,459

 

 
209,459

Borrowings
 
456,741

 
2,456,410

 
4,952,585

 

 
912,445

 
928,683

 
9,706,864

Repayments
 
(537,200
)
 
(2,178,755
)
 
(5,149,327
)
 

 
(383,635
)
 
(1,054,610
)
 
(9,303,527
)
Discount on borrowings, net of amortization
 

 

 
102

 

 

 
6,169

 
6,271

Unrealized loss on notes, fair value
 

 

 

 

 
1,236

 

 
1,236

Capitalized deferred financing costs, net of amortization
 
196

 
1,525

 
(4,143
)
 

 

 

 
(2,422
)
Balance at December 31, 2019
 
$
217,300

 
$
2,640,036

 
$
3,181,672

 
$
22,799,196

 
$
5,981,480

 
$
816,689

 
$
35,636,373


(A)
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances.
(B)
As a result of the Ditech Acquisition, New Residential acquired the servicing on certain residual tranches of Non-Agency RMBS it already owned, and now consolidates the respective securities.  See Note 9 for the associated loans.

Maturities

New Residential’s debt obligations as of December 31, 2019 had contractual maturities as follows:
Year
 
Nonrecourse
 
Recourse
 
Total
2020
 
$
527,231

 
$
29,183,656

 
$
29,710,887

2021
 
1,030,932

 
752,496

 
1,783,428

2022
 
1,646,318

 
217,300

 
1,863,618

2023
 
400,000

 
382,215

 
782,215

2024
 

 
389,177

 
389,177

2025 and thereafter
 
1,121,519

 

 
1,121,519

 
 
$
4,726,000

 
$
30,924,844

 
$
35,650,844



Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of December 31, 2019:
Debt Obligations/ Collateral
 
Borrowing Capacity
 
Balance Outstanding
 
Available Financing
Repurchase Agreements
 
 
 
 
 
 
Residential mortgage loans and REO
 
$
6,296,106

 
$
3,685,133

 
$
2,610,973

New Loan Originations
 
4,433,000

 
1,433,380

 
2,999,620

Non-Agency RMBS
 
650,000

 
529,096

 
120,904

Notes and Bonds Payable
 
 
 
 
 
 
Excess MSRs
 
150,000

 

 
150,000

MSRs
 
1,575,000

 
1,309,484

 
265,516

Servicer advances(A)
 
1,645,000

 
1,289,521

 
355,479

Residential Mortgage Loans
 
650,000

 
199,132

 
450,868

Consumer loans
 
150,000

 

 
150,000

 
 
$
15,549,106

 
$
8,445,746

 
$
7,103,360


(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 0.02% fee on the unused borrowing capacity.

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 New Residential’s equity or a 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 December 31, 2019.