Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS (Tables)

v3.20.1
DEBT OBLIGATIONS (Tables)
3 Months Ended
Mar. 31, 2020
Debt Disclosure [Abstract]  
Schedule of Debt Obligations
The following table presents certain information regarding New Residential’s debt obligations:

 
March 31, 2020
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
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)
 
$
302,508

 
$
302,508

 
Apr-20 to Jun-20
 
1.68
%
 
0.1
 
$
306,566

 
$
308,486

 
$
318,567

 
6.8
 
$
15,481,677

Non-Agency RMBS (E)
 
6,131,955

 
6,131,955

 
Apr-20 to Sep-20
 
2.77
%
 
0.1
 
25,071,311

 
6,413,847

 
5,389,267

 
2.8
 
7,317,519

Residential Mortgage Loans(F)
 
4,311,309

 
4,309,869

 
May-20 to May-21
 
2.70
%
 
0.8
 
5,003,435

 
5,411,739

 
4,612,611

 
12.4
 
5,053,207

Real Estate Owned(G)(H)
 
69,798

 
69,798

 
May-20 to May-21
 
2.70
%
 
0.7
 
N/A

 
N/A

 
88,221

 
N/A
 
63,822

Total Repurchase Agreements
 
10,815,570

 
10,814,130

 
 
 
2.71
%
 
0.4
 
 
 
 
 
 
 
 
 
27,916,225

Notes and Bonds Payable
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Excess MSRs(I)
 
308,800

 
308,800

 
Feb-22 to Jul-22
 
4.29
%
 
2.2
 
94,182,895

 
302,878

 
377,649

 
6.1
 
217,300

MSRs(J)
 
2,546,879

 
2,541,089

 
Jun-20 to Jul-24
 
3.76
%
 
1.4
 
424,610,405

 
4,450,640

 
4,603,915

 
5.8
 
2,640,036

Servicer Advances(K)
 
2,976,208

 
2,969,209

 
Jun-20 to Aug-23
 
2.49
%
 
2.0
 
3,388,387

 
3,582,852

 
3,588,437

 
1.5
 
3,181,672

Residential Mortgage Loans(L)
 
431,953

 
428,218

 
Apr-20 to Dec-45
 
4.68
%
 
8.4
 
685,168

 
987,623

 
633,205

 
4.6
 
864,451

Consumer Loans(M)
 
764,259

 
767,263

 
May-36
 
3.26
%
 
3.9
 
764,960

 
772,715

 
774,527

 
3.9
 
816,689

Total Notes and Bonds Payable
 
7,028,099

 
7,014,579

 
 
 
3.25
%
 
2.4
 
 
 
 
 
 
 
 
 
7,720,148

Total/ Weighted Average
 
$
17,843,669

 
$
17,828,709

 
 
 
2.92
%
 
1.2
 
 
 
 
 
 
 
 
 
$
35,636,373



(A)
Net of deferred financing costs.
(B)
All debt obligations with a stated maturity through April 30, 2020 were refinanced, extended or repaid.
(C)
These repurchase agreements had approximately $80.4 million of associated accrued interest payable as of March 31, 2020.
(D)
All of the Agency RMBS repurchase agreements have a fixed rate. Collateral amounts include approximately $2.9 billion of related trade and other receivables.
(E)
$5,615.0 million face amount of the Non-Agency RMBS repurchase agreements have LIBOR-based floating interest rates while the remaining $517.0 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 $533.3 million and $697.6 million, respectively, on retained bonds collateralized by Agency MSRs. Collateral amounts also include approximately $3.3 billion of related trade and other receivables.
(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 $91.5 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 2.50% and $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: $1,232.8 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%; $56.9 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 $1,257.2 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 1.00%
to 1.98%. 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 $5.0 million note payable to Mr. Cooper which includes a $1.5 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.88%, (ii) $99.9 million fair value of SAFT 2013-1 mortgage-backed securities issued with fixed interest rates ranging from 3.50% to 3.75% (see Note 12 for fair value details), (iii) $176.1 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.60% (see Note 12 for fair value details), and (iv) $150.9 million of asset-backed notes held by third parties which include $1.2 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 composed of the following classes of asset-backed notes held by third parties: $685.1 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.
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, 2019
$
217,300

 
$
2,640,036

 
$
3,181,672

 
$
22,799,196

 
$
5,981,480

 
$
816,689

 
$
35,636,373

Repurchase Agreements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings

 

 

 
64,122,355

 
12,058,709

 

 
76,181,064

Repayments

 

 

 
(80,487,088
)
 
(12,796,116
)
 

 
(93,283,204
)
Capitalized deferred financing costs, net of amortization

 

 

 

 
45

 

 
45

Notes and Bonds Payable:
 
 
 
 
 
 
 
 
 
 
 
 

Borrowings
97,173

 
347,020

 
1,034,484

 

 

 

 
1,478,677

Repayments
(5,673
)
 
(446,681
)
 
(1,247,762
)
 

 
(419,231
)
 
(49,549
)
 
(2,168,896
)
Discount on borrowings, net of amortization

 

 

 

 

 
123

 
123

Unrealized loss on notes, fair value

 

 

 

 
(17,002
)
 

 
(17,002
)
Capitalized deferred financing costs, net of amortization

 
714

 
815

 

 

 

 
1,529

Balance at March 31, 2020
$
308,800

 
$
2,541,089

 
$
2,969,209

 
$
6,434,463

 
$
4,807,885

 
$
767,263

 
$
17,828,709


(A)
New Residential net settles daily borrowings and repayments of the Notes and Bonds Payable on its servicer advances.

Schedule of Contractual Maturities of Debt Obligations
New Residential’s debt obligations as of March 31, 2020 had contractual maturities as follows:
Year Ending
 
Nonrecourse
 
Recourse
 
Total
April 1 through December 31, 2020
 
$
134,958

 
$
11,639,359

 
$
11,774,317

2021
 
1,227,143

 
1,090,798

 
2,317,941

2022
 
1,271,962

 
308,800

 
1,580,762

2023
 
400,000

 
361,803

 
761,803

2024
 

 
368,593

 
368,593

2025 and thereafter
 
1,040,253

 

 
1,040,253

 
 
$
4,074,316

 
$
13,769,353

 
$
17,843,669


Schedule of Borrowing Capacity
The following table represents New Residential’s borrowing capacity as of March 31, 2020:
Debt Obligations / Collateral
 
Borrowing Capacity
 
Balance Outstanding
 
Available Financing(A)
Repurchase Agreements
 
 
 
 
 
 
Residential mortgage loans and REO
 
$
5,731,188

 
$
2,876,008

 
$
2,855,180

New loan originations
 
4,083,000

 
1,505,099

 
2,577,901

Non-Agency RMBS
 
650,000

 
517,004

 
132,996

 
 
 
 
 
 
 
Notes and Bonds Payable
 
 
 
 
 
 
Excess MSRs
 
100,000

 
91,500

 
8,500

MSRs
 
1,575,000

 
1,289,637

 
285,363

Servicer advances
 
1,575,000

 
1,076,243

 
498,757

Residential mortgage loans
 
650,000

 
150,886

 
499,114

Consumer loans
 
150,000

 

 
150,000

 
 
$
14,514,188

 
$
7,506,377

 
$
7,007,811



(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.