Annual report pursuant to Section 13 and 15(d)

VARIABLE INTEREST ENTITIES (Tables)

v3.20.4
VARIABLE INTEREST ENTITIES (Tables)
12 Months Ended
Dec. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Schedule of Variable Interest Entities
The following table comprises unconsolidated bonds retained pursuant to required risk retention regulations:
As of and for the
Year Ended December 31,
2020 2019
Residential mortgage loan UPB $ 14,211,351  $ 19,590,978 
Weighted average delinquency(A)
10.06  % 1.25  %
Net credit losses $ 76,725  $ 9,354 
Face amount of debt held by third parties(B)
$ 12,671,168  $ 17,946,939 
Carrying value of bonds retained by New Residential(C) (D)
$ 1,361,624  $ 1,656,712 
Cash flows received by New Residential on these bonds $ 315,939  $ 270,739 
(A)Represents the percentage of the UPB that is 60+ days delinquent.
(B)Excludes bonds retained by New Residential.
(C)Includes bonds retained pursuant to required risk retention regulations.
(D)Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 13 for details on unobservable inputs.
The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on New Residential’s consolidated balance sheets:
The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Total
December 31, 2020
Assets
Servicer advance investments, at fair value $ 522,901  $ —  $ —  $ —  $ 522,901 
Residential mortgage loans, held-for-investment, at fair value —  —  358,629  —  358,629 
Residential mortgage loans, held-for-sale —  —  346,250  —  346,250 
Residential mortgage loans, held-for-sale, at fair value —  —  614,868  —  614,868 
Consumer loans, held-for-investment, at fair value —  —  —  682,932  682,932 
Cash and cash equivalents 53,012  39,031  —  —  92,043 
Restricted cash 2,808  —  —  8,090  10,898 
Other assets 891  9,151  30,621  9,201  49,864 
Total Assets $ 579,612  $ 48,182  $ 1,350,368  $ 700,223  $ 2,678,385 
Liabilities
Secured notes and bonds payable(A)
$ 414,576  $ —  $ 1,034,093  $ 628,759  $ 2,077,428 
Accrued expenses and other liabilities 1,092  9,455  1,661  764  12,972 
Total Liabilities $ 415,668  $ 9,455  $ 1,035,754  $ 629,523  $ 2,090,400 
December 31, 2019
Assets
Servicer advance investments, at fair value $ 565,271  $ —  $ —  $ —  $ 565,271 
Residential mortgage loans, held-for-investment, at fair value —  —  913,030  —  913,030 
Consumer loans, held-for-investment —  —  —  818,943  818,943 
Cash and cash equivalents 30,065  23,802  —  —  53,867 
Restricted cash 5,350  —  —  9,073  14,423 
Other assets 2,414  3,556  4,534  12,409  22,913 
Total Assets $ 603,100  $ 27,358  $ 917,564  $ 840,425  $ 2,388,447 
Liabilities
Secured notes and bonds payable(A)
$ 433,300  $ —  $ 659,738  $ 820,658  $ 1,913,696 
Accrued expenses and other liabilities 1,593  4,187  10,132  4,126  20,038 
Total Liabilities $ 434,893  $ 4,187  $ 669,870  $ 824,784  $ 1,933,734 
(A)The creditors of the VIEs do not have recourse to the general credit of New Residential, and the assets of the VIEs are not directly available to satisfy New Residential’s obligations.
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net
Others’ interests in the equity of New Residential’s consolidated subsidiaries is computed as follows:
December 31, 2020 December 31, 2019
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
Total consolidated equity $ 163,944  $ 38,727  $ 96,418  $ 168,207  $ 23,171  $ 46,510 
Others’ ownership interest 26.8  % 50.1  % 46.5  % 26.8  % 49.0  % 46.5  %
Others’ interest in equity of consolidated subsidiary
$ 43,882  $ 19,402  $ 45,384  $ 45,025  $ 11,354  $ 22,171 

Others’ interests in the New Residential’s net income (loss) is computed as follows:
Year Ended December 31, 2020 Year Ended December 31, 2019 Year Ended December 31, 2018
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
Net income
$ 3,326  $ 31,188  $ 77,760  $ 15,892  $ 12,717  $ 69,143  $ 7,209  $ 3,135  $ 79,539 
Others’ ownership interest as a percent of total
26.8  % 50.1  % 46.5  % 26.8  % 49.0  % 46.5  % 27.4  % 51.0  % 46.5  %
Others’ interest in net income of consolidated subsidiaries
$ 891  $ 15,625  $ 36,158  $ 4,255  $ 6,231  $ 32,151  $ 1,978  $ 1,599  $ 36,987 
(A)As a result, New Residential owned 73.2%, 73.2% and 72.6% of the Buyer, on average during the years ended December 31, 2020, 2019 and 2018, respectively. See Note 12 regarding the financing of Servicer Advance Investments.