Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS

v3.10.0.1
DEBT OBLIGATIONS
9 Months Ended
Sep. 30, 2018
Debt Disclosure [Abstract]  
DEBT OBLIGATIONS
DEBT OBLIGATIONS
 
The following table presents certain information regarding New Residential’s debt obligations:

 
September 30, 2018
 
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
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)
 
$
4,152,930

 
$
4,152,930

 
Oct-18
 
2.24
%
 
0.1
 
$
4,270,689

 
$
4,338,416

 
$
4,304,875

 
2.0
 
$
1,974,164

Non-Agency RMBS (E)
 
7,438,875

 
7,438,647

 
Oct-18 to Mar-19
 
3.32
%
 
0.1
 
15,895,795

 
8,379,793

 
8,861,324

 
7.1
 
4,720,290

Residential Mortgage Loans(F)
 
2,707,458

 
2,706,521

 
Oct-18 to Aug-20
 
3.92
%
 
0.5
 
3,155,945

 
2,992,424

 
2,996,601

 
11.2
 
1,849,004

Real Estate Owned(G)(H)
 
88,960

 
88,922

 
Oct-18 to Dec-19
 
4.36
%
 
0.2
 
N/A

 
N/A

 
108,684

 
N/A
 
118,681

Total Repurchase Agreements
 
14,388,223

 
14,387,020

 
 
 
3.13
%
 
0.2
 
 
 
 
 
 
 
 
 
8,662,139

Notes and Bonds Payable
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Excess MSRs(I)
 
297,759

 
297,563

 
Feb-20 to Jul-22
 
4.90
%
 
3.0
 
144,869,048

 
386,578

 
492,684

 
5.7
 
483,978

MSRs(J)
 
2,450,580

 
2,441,750

 
Feb-19 to Jul-24
 
4.24
%
 
3.2
 
382,479,510

 
3,741,451

 
4,553,076

 
6.7
 
1,157,179

Servicer Advances(K)
 
3,390,918

 
3,385,842

 
Mar-19 to Dec-21
 
3.54
%
 
2.0
 
3,832,948

 
4,000,262

 
4,017,057

 
1.4
 
4,060,156

Residential Mortgage Loans(L)
 
125,355

 
123,097

 
Oct-18 to Jul-43
 
3.74
%
 
6.3
 
132,091

 
128,702

 
125,928

 
6.4
 
137,196

Consumer Loans(M)
 
1,008,341

 
1,004,608

 
Dec-21 to Mar-24
 
3.39
%
 
2.9
 
1,141,907

 
1,145,026

 
1,140,618

 
3.5
 
1,242,756

Receivable from government agency(L)
 
2,086

 
2,086

 
Oct-18
 
4.42
%
 
0.1
 
N/A

 
N/A

 
1,461

 
N/A
 
3,126

Total Notes and Bonds Payable
 
7,275,039

 
7,254,946

 
 
 
3.82
%
 
2.6
 
 
 
 
 
 
 
 
 
7,084,391

Total/ Weighted Average
 
$
21,663,262

 
$
21,641,966

 
 
 
3.36
%
 
1.0
 
 
 
 
 
 
 
 
 
$
15,746,530



(A)
Net of deferred financing costs.
(B)
All debt obligations with a stated maturity through October 30, 2018 were refinanced, extended or repaid.
(C)
These repurchase agreements had approximately $27.6 million of associated accrued interest payable as of September 30, 2018.
(D)
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $3.4 billion of related trade and other receivables.
(E)
$7,193.3 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $245.6 million face amount of the Non-Agency RMBS repurchase agreements have a fixed rate. This also includes repurchase agreements of $166.1 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 $197.8 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 3.00%, and includes corporate loans with $100.0 million balance currently outstanding 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%. 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: $574.5 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 2.25%; $38.4 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 $1,837.7 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 mortgage servicing rights financing receivables that secure these notes.
(K)
$3.0 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 2.0% to 2.2%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and mortgage servicing rights financing receivables owned by NRM.
(L)
Represents: (i) a $7.7 million note payable to Nationstar that bears interest equal to one-month LIBOR plus 2.88%.
(M)
Includes the SpringCastle debt, which is comprised of the following classes of asset-backed notes held by third parties: $730.3 million 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 $30.6 million face amount note which bears interest equal to 4.00%.

As of September 30, 2018, 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 $14.4 billion of repurchase agreements as of September 30, 2018. 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:
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings(B)

 

 

 
59,467,769

 
4,668,289

 

 
64,136,058

Repayments

 

 

 
(54,570,418
)
 
(3,841,165
)
 

 
(58,411,583
)
Capitalized deferred financing costs, net of amortization

 

 

 
(228
)
 
634

 

 
406

Notes and Bonds Payable:
 
 
 
 
 
 
 
 
 
 
 
 

Borrowings(B)
240,000

 
3,543,776

 
3,784,496

 

 
120,702

 

 
7,688,974

Repayments
(426,440
)
 
(2,251,280
)
 
(4,460,114
)
 

 
(134,941
)
 
(239,709
)
 
(7,512,484
)
Discount on borrowings, net of amortization

 

 
33

 

 

 
1,187

 
1,220

Unrealized gain on notes, fair value

 

 

 

 
(900
)
 

 
(900
)
Capitalized deferred financing costs, net of amortization
25

 
(7,925
)
 
1,271

 

 

 
374

 
(6,255
)
Balance at September 30, 2018
$
297,563

 
$
2,441,750

 
$
3,385,842

 
$
11,591,577

 
$
2,920,626

 
$
1,004,608

 
$
21,641,966


(A)
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances.
(B)
Includes $639.0 million of borrowings associated with the Shellpoint Acquisition.

Maturities
 
New Residential’s debt obligations as of September 30, 2018 had contractual maturities as follows:
Year
 
Nonrecourse
 
Recourse
 
Total
October 1 through December 31, 2018
 
$

 
$
12,480,602

 
$
12,480,602

2019
 
826,188

 
2,472,426

 
3,298,614

2020
 
812,745

 
115,465

 
928,210

2021
 
1,784,596

 
784,589

 
2,569,185

2022
 
38,378

 
197,759

 
236,137

2023 and thereafter
 
1,097,462

 
1,053,052

 
2,150,514

 
 
$
4,559,369

 
$
17,103,893

 
$
21,663,262



Borrowing Capacity

The following table represents New Residential’s borrowing capacity as of September 30, 2018:
Debt Obligations / Collateral
 
Borrowing Capacity
 
Balance Outstanding
 
Available Financing
Repurchase Agreements
 
 
 
 
 
 
Residential mortgage loans and REO
 
$
5,197,961

 
$
2,796,418

 
$
2,401,543

Notes and Bonds Payable
 
 
 
 
 
 
Excess MSRs
 
150,000

 
100,000

 
50,000

MSRs
 
990,000

 
612,899

 
377,101

Servicer advances(A)
 
1,710,000

 
1,377,259

 
332,741

Consumer loans
 
150,000

 
30,607

 
119,393

 
 
$
8,197,961

 
$
4,917,183

 
$
3,280,778



(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 collateralized by servicer advances with a current face amount of $86.3 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 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 September 30, 2018.