Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASURMENT (Tables)

v3.20.4
FAIR VALUE MEASURMENT (Tables)
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
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 New Residential’s 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, 2020 were as follows:
Fair Value
Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total
Assets:
Excess mortgage servicing rights, at fair value(A)
$ 72,688,905  $ 310,938  $ —  $ —  $ 310,938  $ 310,938 
Excess mortgage servicing rights, equity method investees, at fair value(A)
28,453,512  99,917  —  —  99,917  99,917 
Mortgage servicing rights, at fair value(A)
363,269,876  3,489,675  —  —  3,489,675  3,489,675 
Mortgage servicing rights financing receivables, at fair value(A)
72,165,951  1,096,166  —  —  1,096,166  1,096,166 
Servicer advance investments, at fair value
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, held-for-investment, at fair value 620,983  685,575  —  —  685,575  685,575 
Derivative assets 38,427,601  290,144  —  789  289,355  290,144 
Note Receivable 49,075  49,889  —  —  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 
$ 29,275,310  $ 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 
(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 $31.8 million as of December 31, 2020.
(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.
The carrying values and fair values of New Residential’s 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, 2019 were as follows:
Fair Value
Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total
Assets:
Excess mortgage servicing rights, at fair value(A)
$ 88,345,237  $ 379,747  $ —  $ —  $ 379,747  $ 379,747 
Excess mortgage servicing rights, equity method investees, at fair value(A)
33,592,554  125,596  —  —  125,596  125,596 
Mortgage servicing rights, at fair value(A)
373,850,061  3,967,960  —  —  3,967,960  3,967,960 
Mortgage servicing rights financing receivables, at fair value(A)
130,984,870  1,718,273  —  —  1,718,273  1,718,273 
Servicer advance investments, at fair value
462,843  581,777  —  —  581,777  581,777 
Real estate and other securities 36,159,591  19,477,728  —  11,519,943  7,957,785  19,477,728 
Residential mortgage loans, held-for-investment
502,352  441,263  —  —  435,234  435,234 
Residential mortgage loans, held-for-sale
1,531,505  1,429,052  —  —  1,438,302  1,438,302 
Residential mortgage loans, held-for-sale, at fair value(B)
4,675,806  4,613,612  —  1,099,230  3,514,382  4,613,612 
Residential mortgage loans, held-for-investment, at fair value(C)
452,771  484,443  —  —  484,443  484,443 
Residential mortgage loans subject to repurchase
172,336  172,336  —  172,336  —  172,336 
Consumer loans, held-for-investment
823,917  827,545  —  —  849,739  849,739 
Derivative assets 8,360,894  41,501  —  155  41,346  41,501 
Cash and cash equivalents
528,737  528,737  528,737  —  —  528,737 
Restricted cash
162,197  162,197  162,197  —  —  162,197 
Other assets(D)
N/A 60,654  7,952  —  52,703  60,655 
$ 35,012,421  $ 698,886  $ 12,791,664  $ 21,547,287  $ 35,037,837 
Liabilities:
Secured financing agreements $ 27,917,709  $ 27,916,225  $ —  $ 27,917,709  $ —  $ 27,917,709 
Secured notes and bonds payable(E)
7,733,135  7,720,148  —  —  7,779,060  7,779,060 
Residential mortgage loan repurchase liability 172,336  172,336  —  172,336  —  172,336 
Derivative liabilities 17,379,407  6,885  —  5,430  1,455  6,885 
Excess spread financing 2,962,629  31,777  —  —  31,777  31,777 
Contingent consideration N/A 55,222  —  —  55,222  55,222 
$ 35,902,593  $ —  $ 28,095,475  $ 7,867,514  $ 35,962,989 
(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)Includes $267.7 million in fair value of loans that are 90 days or more past due.
(C)Includes $21.6 million in fair value of loans that are 90 days or more past due.
(D)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 $74.0 million as of December 31, 2019.
(E)Includes the MDST Trusts, SAFT 2013-1 mortgage-backed securities and the 2019-RPL1 asset-backed notes issued for which the fair value option for financial instruments was elected and resulted in a fair value of $659.7 million as of December 31, 2019.
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs New Residential’s assets measured at fair value on a recurring basis using Level 3 inputs changed as follows:
Level 3
Excess MSRs(A)
Excess MSRs in Equity Method Investees(A)(B)
Agency Non-Agency
MSRs(A)
Mortgage Servicing Rights Financing Receivables(A)
Servicer Advance Investments Non-Agency RMBS
Derivatives(C)
Residential Mortgage Loans Consumer Loans Total
Balance at December 31, 2018 $ 257,387  $ 190,473  $ 147,964  $ 2,884,100  $ 1,644,504  $ 735,846  $ 8,970,963  $ 10,628  $ 2,330,627  $ —  $ 17,172,492 
Transfers
Transfers from Level 3 —  —  —  —  —  —  —  —  (32,806) —  (32,806)
Transfers to Level 3 —  —  —  —  —  —  —  —  315,577  —  315,577 
Ditech Acquisition —  —  —  387,170  —  —  (178,435) —  381,039  —  589,774 
Transfers from MSR financing receivables to MSRs —  —  —  367,121  (367,121) —  —  —  —  —  — 
Gains (losses) included in net income
Included in provision (reversal) for credit losses on securities(D)
—  —  —  —  —  —  (25,174) —  —  —  (25,174)
Included in change in fair value of excess mortgage servicing rights(D)
(7,559) (2,946) —  —  —  —  —  —  —  —  (10,505)
Included in change in fair value of excess mortgage servicing rights, equity method investees(D)
—  —  6,800  —  —  —  —  —  —  —  6,800 
Included in servicing revenue, net(E)
—  —  —  (721,356) —  —  —  —  —  —  (721,356)
Included in change in fair value of MSR financing receivable(D)
—  —  —  —  (189,023) —  —  —  —  —  (189,023)
Included in change in fair value of servicer advance investments
—  —  —  —  —  10,288  —  —  —  —  10,288 
Included in change in fair value of residential mortgage loans —  —  —  —  —  —  —  —  (63,347) —  (63,347)
Included in gain (loss) on settlement of investments, net
1,479  30  —  —  —  —  97,191  —  —  —  98,700 
Included in other income (loss), net(D)
1,523  819  —  —  —  —  2,101  29,263  —  —  33,706 
Gains (losses) included in other comprehensive income(F)
—  —  —  —  —  —  238,217  —  —  —  238,217 
Interest income 14,895  17,752  —  —  —  27,666  302,705  —  —  —  363,018 
Purchases, sales and repayments
Purchases, net(G)
—  —  —  678,424  652,902  1,622,808  2,058,953  —  11,110,245  —  16,123,332 
Proceeds from sales (10,018) (57) —  (1,539) (22,989) —  (1,949,300) —  (10,638,483) —  (12,622,386)
Proceeds from repayments (48,074) (35,957) (29,168) —  —  (1,814,831) (1,559,436) —  (248,503) —  (3,735,969)
Originations and other —  —  —  374,040  —  —  —  —  844,476  —  1,218,516 
Balance at December 31, 2019 $ 209,633  $ 170,114  $ 125,596  $ 3,967,960  $ 1,718,273  $ 581,777  $ 7,957,785  $ 39,891  $ 3,998,825  $ —  $ 18,769,854 
(continued on next page)
Level 3
Excess MSRs(A)
Excess MSRs in Equity Method Investees(A)(B)
Agency Non-Agency
MSRs(A)
Mortgage Servicing Rights Financing Receivables(A)
Servicer Advance Investments Non-Agency RMBS
Derivatives(C)
Residential Mortgage Loans Consumer Loans Total
(continued from previous page)
Transfers
Transfers from Level 3 —  —  —  —  —  —  —  —  (718,892) —  (718,892)
Transfers to Level 3 for the adoption of ASU 2016-13 (See Note 2) —  —  —  —  —  —  —  —  445,040  827,545  1,272,585 
Transfers from MSR financing receivables to MSRs —  —  —  320,613  (320,613) —  —  —  —  —  — 
Gains (losses) included in net income
Included in provision (reversal) for credit losses on securities(D)
—  —  —  —  —  —  (13,404) —  —  —  (13,404)
Included in change in fair value of excess mortgage servicing rights(D)
(9,510) (6,722) —  —  —  —  —  —  —  —  (16,232)
Included in change in fair value of excess mortgage servicing rights, equity method investees(D)
—  —  (3,489) —  —  —  —  —  —  —  (3,489)
Included in servicing revenue, net(E)
—  —  —  (1,903,905) —  —  —  —  —  —  (1,903,905)
Included in change in fair value of MSR financing receivable(D)
—  —  —  —  (279,168) —  —  —  —  —  (279,168)
Included in change in fair value of servicer advance investments
—  —  —  —  —  763  —  —  —  —  763 
Included in change in fair value of residential mortgage loans —  —  —  —  —  —  —  —  (107,604) —  (107,604)
Included in gain (loss) on settlement of investments, net
66  —  —  —  —  (953,541) —  —  —  (953,474)
Included in other income (loss), net(D)
(10,817) (1,373) —  —  —  —  (42,506) 249,183  (8,276) (6,385) 179,826 
Gains (losses) included in other comprehensive income(F)
—  —  —  —  —  —  (580,102) —  (6,020) 36,472  (549,650)
Interest income 12,299  16,053  —  —  —  18,182  105,373  —  —  24,120  176,027 
Purchases, sales and repayments
Purchases, net(G)
—  —  —  449,875  (18,267) 1,294,757  575,030  —  2,415,084  33,041  4,749,520 
Proceeds from sales (1,056) (5) —  (11,282) (4,059) —  (5,288,480) —  (3,391,887) —  (8,696,769)
Proceeds from repayments (37,970) (29,775) (22,190) —  —  (1,357,423) (577,543) —  (305,886) (229,218) (2,560,005)
Originations and other —  —  —  666,414  —  —  (1,688) —  —  —  664,726 
Balance at December 31, 2020 $ 162,645  $ 148,293  $ 99,917  $ 3,489,675  $ 1,096,166  $ 538,056  $ 1,180,924  $ 289,074  $ 2,320,384  $ 685,575  $ 10,010,709 
(A)Includes the recapture agreement for each respective pool, as applicable.
(B)Amounts represent 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)The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates and realized gains (losses) recorded during the period.
(E)The components of Servicing revenue, net are disclosed in Note 6.
(F)These gains (losses) were included in net unrealized gain (loss) on securities 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
New Residential’s 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, 2018 $ 39,304  $ 117,048  $ 40,842  $ 197,194 
Transfers
Transfers from Level 3 —  —  —  — 
Transfers to Level 3 —  —  —  — 
Acquisitions
—  —  13,893  13,893 
Ditech Acquisition(D)
—  209,459  —  209,459 
Gains (losses) included in net income
Included in servicing revenue, net(B)
(8,406) —  —  (8,406)
Included in other income(A)
—  1,236  10,487  11,723 
Interest income —  —  —  — 
Purchases, sales and payments
— 
Purchases
—  378,569  —  378,569 
Proceeds from sales
—  —  —  — 
Payments
—  (46,574) (10,000) (56,574)
Other
879  —  —  879 
Balance at December 31, 2019 $ 31,777  $ 659,738  $ 55,222  $ 746,737 
Transfers
Transfers from Level 3 —  —  —  — 
Transfers to Level 3 —  —  —  — 
Acquisitions
—  —  —  — 
Gains (losses) included in net income
Included in servicing revenue, net(B)
(14,164) —  —  (14,164)
Included in other income(A)
—  966  4,844  5,810 
Interest income —  —  —  — 
Purchases, sales and payments
Purchases
—  1,520,382  —  1,520,382 
Proceeds from sales
—  —  —  — 
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 
(A)The gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 liabilities still held at the reporting dates and realized gains (losses) recorded during the period.
(B)The components of Servicing revenue, net are disclosed in Note 6.
(C)These gains (losses) were included in net unrealized gain (loss) on securities in the Consolidated Statements of Comprehensive Income.
(D)As a result of the Ditech Acquisition, New Residential acquired MSRs and the servicing on certain residual tranches of Non-Agency RMBS it already owned, and now consolidates the respective securities. See Note 12 for the associated liability.
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, 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% - 11.9%
(9.6%)
—% - 4%
(0.9%)
—% - 35.0%
(20.4%)
21 - 29
(24)
19 - 24
(22)
7% - 11.9%
(8.4%)
—% - 4%
(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%)
2.6% - 13.9%
(10.2)
—% - 13.1%
(10%)
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%)
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%)
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 (Note 6)
Agency(H)
Mortgage Servicing Rights(J)
7.9% - 23.3%
(13.1%)
0.4% - 2.1%
(0.9%)
2.5% - 35.5%
(20.6%)
25 - 31
(28)
— - 30
(22)
MSR Financing Receivables 12.1% 0.7% 15.9%
25
— - 30
(22)
7.9% - 23.3%
(13.1%)
0.4% - 2.1%
(0.9%)
2.5% - 35.5%
(20.5%)
25 - 31
(28)
— - 30
(22)
Non-Agency
Mortgage Servicing Rights
9.5% - 16.4%
(13.1%)
0.9% - 9.4%
(4.9%)
4.3% - 31.6%
(18.6%)
26 - 88
(55)
— - 30
(16)
MSR Financing Receivables 7.6% 13.0% 7.9% 48
— - 30
(25)
7.6% - 16.4%
(7.7%)
0.9% - 13.0%
(12.9%)
4.3% - 31.6%
(8.1%)
26 - 88
(48)
— - 30
(25)
Ginnie Mae
Mortgage Servicing Rights(J)
9.0% - 24.1%
(20.3%)
2.3% - 5.6%
(4.7%)
16.2% - 35.0%
(24.9%)
32 - 50
(45)
— - 30
(27)
7.6% - 24.1%
(12.9%)
0.4% - 13.0%
(4.2%)
2.5% - 35.5%
(20%)
25 - 88
(35)
— - 30
(23)
December 31, 2019
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 8.6  % 1.1  % 20.3  % 21  20
Recaptured Pools 10.7  % 0.5  % 27.8  % 23  23
9.2  % 0.9  % 22.3  % 22  21
Non-Agency(G)
Mr. Cooper and SLS Serviced:
Original Pools 9.7  % N/A 15.5  % 15  24
Recaptured Pools 7.5  % N/A 17.4  % 24  23
9.4  % N/A 15.8  % 16  24
Total/Weighted Average—Excess MSRs Directly Held 9.3  % 0.9  % 19.4  % 19  22
Excess MSRs Held through Equity Method Investees (Note 5)
Agency
Original Pools 9.3  % 1.4  % 23.7  % 19  19
Recaptured Pools 10.3  % 0.8  % 26.7  % 24  22
Total/Weighted Average—Excess MSRs Held through Investees 9.8  % 1.1  % 25.1  % 21  20
Total/Weighted Average—Excess MSRs All Pools 9.5  % 1.0  % 21.4  % 20  21
MSRs (Note 6)
Agency(H)
Mortgage Servicing Rights(I)
12.5  % 1.0  % 23.3  % 28  22
MSR Financing Receivables(I)
15.4  % 0.4  % 15.8  % 27  25
12.9  % 0.9  % 22.2  % 28 22
Non-Agency
Mortgage Servicing Rights 11.6  % 1.2  % 22.1  % 31  16
MSR Financing Receivables(I)
8.3  % 14.4  % 9.3  % 47  25
8.4  % 14.2  % 9.5  % 47 25
Ginnie Mae
Mortgage Servicing Rights(J)
16.2  % 4.4  % 28.1  % 42  27
12.3  % 4.1  % 20.0  % 33  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, 2020 and 2019, weighted average costs of subservicing of $6.20-$7.50 ($7.00) and $7.18, respectively, per loan per month was used to value the agency MSRs, including MSR Financing Receivables. Weighted average costs of subservicing of $10.90 and $11.28, respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.90 and $9.20, 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)Represents Fannie Mae and Freddie Mac MSRs.
(I)For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.
(J)Includes valuation of the related Excess spread financing (Note 6).
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 Loans
$ 1,633,628 
3.3% - 8.5%
(4.6%)
0.2% - 5.5%
(2.6%)
2.0% - 25.0%
(5.0%)
3.0% - 50.0%
(27.1%)
Originated Loans
12,577  4.8% 5.5% 4.5% 50.0%
Residential Mortgage Loans Held-for-Sale, at Fair Value
$ 1,646,205 
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
$ 674,179 
6.5% - 9.0%
(6.8%)
2.3% - 2.9%
(2.4%)
2.0% - 6.6%
(6.2%)
30.0% - 65.8%
(62.5%)
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 685,575
7.5% - 9.7%
(7.5%)
19.2% - 35.1%
(19.3%)
5.2% - 20.7%
(5.2%)
77.8% - 90.2%
(77.9%)
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)
$ 289,074 
—% - 100%
(80.5%)
0.70 - 270.58
(106.09)
The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing Mortgage-Backed Securities Issued:
Fair Value Discount Rate Prepayment Rate CDR Loss Severity
Mortgage-Backed Securities Issued
$ 1,662,852 
1.8% - 4.5%
(3.1%)
3.1% - 30%
(10.2%)
0.5% - 10.5%
(7.4%)
20.0% - 90.0%
(55.2%)
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, 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
December 31, 2019 1.4% 10.6% 15.7%
19.6 bps
5.3% 22.9
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
(B)Mortgage servicing amount is net of 10.0 bps and 10.1 bps which represent the amounts New Residential paid its servicers as a monthly servicing fee as of December 31, 2020 and 2019, 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, 2020
Agency RMBS $ 12,491,152  $ 12,951,608  $ 13,063,634  $ —  $ 13,063,634 
Non-Agency RMBS(C)
19,378,530  1,153,643  1,171,209  9,715  1,180,924 
Total $ 31,869,682  $ 14,105,251  $ 14,234,843  $ 9,715  $ 14,244,558 
December 31, 2019
Agency RMBS $ 11,301,603  $ 11,474,338  $ 11,519,943  $ —  $ 11,519,943 
Non-Agency RMBS(C)
24,857,988  7,307,837  7,953,573  4,212  7,957,785 
Total $ 36,159,591  $ 18,782,175  $ 19,473,516  $ 4,212  $ 19,477,728 
(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. New Residential’s 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.

For 99.0% of New Residential’s 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 New Residential’s Non-Agency RMBS were not readily available.
Fair Value Discount Rate
Prepayment Rate(a)
CDR(b)
Loss Severity(c)
Non-Agency RMBS $ 1,168,765 
3.5% - 15.0%
(4.3%)
7.0% - 25.0%
(14.3%)
0.5% - 12.0%
(1.4%)
20.0% - 88.0%
(30.0%)
(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. For approximately $0.0 million in 2020 and $0.7 million in 2019, the one source was the party that sold New Residential the security.
(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, 2020
Performing Loans $ 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 Loans 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%
December 31, 2019
Performing Loans $ 707,106  4.2% 4.1 11.7% 2.6% 27.3%
Non-Performing Loans 482,401  5.5% 3.1 3.0% 2.9% 30.0%
Total/Weighted Average $ 1,189,507  4.7% 3.7 8.2% 2.7% 28.4%
(A)The weighted average life is 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.