Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS AND REAL ESTATE OWNED (Tables)

v3.20.1
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS AND REAL ESTATE OWNED (Tables)
3 Months Ended
Mar. 31, 2020
Receivables [Abstract]  
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type, excluding REO:


March 31, 2020
 
December 31, 2019


Outstanding Face Amount

Carrying
Value

Loan
Count

Weighted Average Yield

Weighted Average Life (Years)(A)

Floating Rate Loans as a % of Face Amount

Loan to Value Ratio (“LTV”)(B)

Weighted Avg. Delinquency(C)

Weighted Average FICO(D)
 
Carrying Value
Loan Type


















 

Total Residential Mortgage Loans, held-for-investment, at fair value

$
919,461

 
$
824,183

 
14,164


8.2
%

6.5

9.0
%

72.1
%

17.8
%

642

 
$
925,706

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Acquired Reverse Mortgage Loans(E) (F)
 
$
12,333

 
$
6,220

 
29

 
7.9
%
 
5.0
 
5.5
%
 
153.3
%
 
70.7
%
 
N/A

 
$
5,844

Acquired Performing Loans(G) (I)
 
828,323

 
753,288

 
11,853

 
6.1
%
 
4.2
 
65.9
%
 
51.1
%
 
8.6
%
 
684

 
857,821

Acquired Non-Performing Loans(H) (I)
 
629,948

 
505,025

 
4,822

 
8.3
%
 
3.2
 
10.9
%
 
76.6
%
 
73.1
%
 
581

 
565,387

Total Residential Mortgage Loans, held-for-sale
 
$
1,470,604

 
$
1,264,533

 
16,704

 
7.1
%
 
3.8
 
41.8
%
 
62.9
%
 
36.8
%
 
639

 
$
1,429,052

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Acquired Performing Loans(G) (I)
 
$
2,046,090

 
$
1,804,443

 
12,925

 
5.9
%
 
7.9
 
6.9
%
 
67.3
%
 
30.5
%
 
644

 
$
3,024,288

Originated Loans
 
1,430,577

 
1,479,530

 
4,769

 
3.7
%
 
28.0
 
2.9
%
 
72.7
%
 
0.1
%
 
732

 
1,589,324

Total Residential Mortgage Loans, held-for-sale, at fair value
 
$
3,476,667

 
$
3,283,973

 
17,694

 
5.0
%
 
16.2
 
5.3
%
 
69.5
%
 
18.0
%
 
680

 
$
4,613,612


(A)
The weighted average life is based on the expected timing of the receipt of cash flows.
(B)
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
(C)
Represents the percentage of the total principal balance that is 60+ days delinquent.
(D)
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
(E)
Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Mr. Cooper holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB was $0.6 million. Approximately 47% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
(F)
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
(G)
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(H)
As of March 31, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (I) below.
(I)
Includes $35.1 million and $26.6 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans
The table below summarizes the geographic distribution of the underlying residential mortgage loans:
 
 
Percentage of Total Outstanding Unpaid Principal Amount
State Concentration
 
March 31, 2020
 
December 31, 2019
California
 
16.8
%
 
16.1
%
New York
 
9.9
%
 
9.0
%
Florida
 
7.7
%
 
8.4
%
Texas
 
7.5
%
 
7.1
%
Georgia
 
4.6
%
 
4.8
%
New Jersey
 
4.6
%
 
4.2
%
Illinois
 
3.4
%
 
3.6
%
Maryland
 
3.1
%
 
3.3
%
Pennsylvania
 
3.1
%
 
2.9
%
Virginia
 
2.7
%
 
2.7
%
Other U.S.
 
36.6
%
 
37.9
%
 
 
100.0
%
 
100.0
%

Schedule of Performing Loans Past Due
The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for credit losses:
 
 
December 31, 2019
Days Past Due
Delinquency Status(A)
Current
 
86.5
%
30-59
 
7.0
%
60-89
 
2.7
%
90-119(B)
 
0.7
%
120+(C)
 
3.1
%
 
 
100.0
%

(A)
Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
(B)
Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due.
(C)
Represents nonaccrual loans.
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans as of March 31, 2020:
Days Past Due
 
Unpaid Principal Balance
 
Fair Value
 
Fair Value Over (Under) Unpaid Principal Balance
90 to 119
 
$
336,910

 
$
275,597

 
$
(61,313
)
120+
 
291,390

 
267,673

 
(23,717
)
 
 
$
628,300

 
$
543,270

 
$
(85,030
)

The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses:
 
 
December 31, 2019
Days Past Due
 
Delinquency Status(A)
Current
 
95.3
%
30-59
 
1.8
%
60-89
 
1.2
%
90-119(B)
 
0.7
%
120+(B) (C)
 
1.0
%
 
 
100.0
%

(A)
Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status.
(B)
Includes loans more than 90 days past due and still accruing interest.
(C)
Interest is accrued up to the date of charge-off at 180 days past due.

Summary of Activities Related to the Carrying Value of Reverse Mortgage Loans and Performing Loans and PCD Loans Held-for-Investment
Activities related to the carrying value of originated loans held-for-sale, at fair value were as follows:
Balance at December 31, 2019
 
$
1,414,528

Originations
 
11,440,093

Sales
 
(11,358,767
)
Proceeds from repayments
 
(170
)
Transfer of loans to real estate owned
 

Transfer of loans to other assets
 
(1,707
)
Fair value adjustment
 
(14,447
)
Balance at March 31, 2020
 
$
1,479,530



Activities related to the carrying value of residential mortgage loans held-for-investment were as follows:
Balance at December 31, 2019
$
925,706

Fair value adjustment due to fair value option
(6,020
)
Purchases/additional fundings

Proceeds from repayments
(31,233
)
Transfer of loans to other assets(A)

Transfer of loans to real estate owned
(2,410
)
Transfers of loans to held for sale

Fair value adjustment
(61,860
)
Balance at March 31, 2020
$
824,183


(A)
Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are now recognized as claims receivable in Other Assets (Note 2).

Schedule of Loans Held For Sale, Fair Value
Activities related to the carrying value of originated loans held-for-sale, at fair value were as follows:
Balance at December 31, 2019
 
$
1,414,528

Originations
 
11,440,093

Sales
 
(11,358,767
)
Proceeds from repayments
 
(170
)
Transfer of loans to real estate owned
 

Transfer of loans to other assets
 
(1,707
)
Fair value adjustment
 
(14,447
)
Balance at March 31, 2020
 
$
1,479,530



Activities related to the carrying value of acquired loans held-for-sale, at fair value were as follows:
Balance at December 31, 2019
 
$
3,199,084

Purchases(A)
 
878,049

Sales
 
(2,028,620
)
Proceeds from repayments
 
(47,200
)
Transfer of loans to real estate owned
 
(2,997
)
Transfer of loans to other assets

 
(4,936
)
Fair value adjustment
 
(188,937
)
Balance at March 31, 2020
 
$
1,804,443


(A)
Includes an acquisition date fair value adjustment increase of $0.4 million on loans acquired through call transactions executed during the three months ended March 31, 2020.

Activities related to the carrying value of acquired loans held-for-sale, at lower cost or fair value were as follows:
Balance at December 31, 2019
 
$
1,429,052

Purchases
 
109,666

Transfer of loans from held-for-investment
 

Sales
 
(103,327
)
Transfer of loans to real estate owned
 
(12,238
)
Transfer of loans to other assets

 
(390
)
Proceeds from repayments
 
(59,526
)
Valuation provision on loans
 
(98,704
)
Balance at March 31, 2020
 
$
1,264,533


Schedule of Net Interest Income
Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following:

 
Three Months Ended  
 March 31,


2020

2019
Interest income, gross of amounts attributable to servicer compensation

$
(10,250
)

$
15,076

Amounts attributable to base servicer compensation

882


(1,565
)
Amounts attributable to incentive servicer compensation

(8,721
)

(6,427
)
Interest income from Servicer Advance Investments
 
$
(18,089
)
 
$
7,084



 
 
Three Months Ended  
 March 31,
 
 
2020
 
2019
Interest Income:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
$
15,109

 
$
17,203

Acquired Residential Mortgage Loans, held-for-sale
 
17,780

 
15,179

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
27,032

 
25,807

Originated Residential Mortgage Loans, held-for-sale, at fair value
 
16,735

 
5,584

Total Interest Income on Residential Mortgage Loans
 
76,656

 
63,773

 
 
 
 
 
Interest Expense:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
5,200

 
6,005

Acquired Residential Mortgage Loans, held-for-sale
 
8,530

 
8,808

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
17,043

 
21,038

Originated Residential Mortgage Loans, held-for-sale, at fair value
 
13,427

 
5,158

Total Interest Expense on Residential Mortgage Loans
 
44,200

 
41,009

 
 
 
 
 
Total Net Interest Income on Residential Mortgage Loans
 
$
32,456

 
$
22,764



Schedule of Originated Mortgage Loans
Gain on originated mortgage loans, held-for-sale, net is summarized below:
 
 
Three Months Ended  
 March 31,
 
 
2020
 
2019
Gain on loans originated and sold, net(A)
 
$
39,289

 
$
27,542

Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
 
(46,314
)
 
(11,423
)
MSRs retained on transfer of loans(C)
 
195,896

 
36,429

Other(D)
 
16,627

 
7,280

Realized gain on sale of originated mortgage loans, net
 
$
205,498

 
$
59,828

Change in fair value of loans
 
22,275

 
5,349

Change in fair value of interest rate lock commitments (Note 10)
 
91,249

 
3,208

Change in fair value of derivative instruments (Note 10)
 
(139,324
)
 
(1,215
)
Gain on originated mortgage loans, held-for-sale, net
 
$
179,698

 
$
67,170


(A)
Includes loan origination fees of $277.0 million and $25.0 million in the three months ended March 31, 2020 and 2019, respectively.
(B)
Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments.
(C)
Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained.
(D)
Includes fees for services associated with the loan origination process.
Schedule of Real Estate Owned
New Residential recognizes REO assets at the completion of the foreclosure process or upon execution of a deed in lieu of foreclosure with the borrower. REO assets are managed for prompt sale and disposition at the best possible economic value.
 
 
Real Estate Owned
Balance at December 31, 2019
 
$
93,672

Purchases
 
3,910

Transfer of loans to real estate owned
 
20,240

Sales(A)
 
(34,741
)
Valuation (provision) reversal on REO
 
(1,792
)
Balance at March 31, 2020
 
$
81,289