Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS (Tables)

v3.21.2
DEBT OBLIGATIONS (Tables)
9 Months Ended
Sep. 30, 2021
Debt Disclosure [Abstract]  
Schedule of Debt Obligations
The following table presents certain information regarding Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations:
September 30, 2021 December 31, 2020
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)
Secured Financing Agreements(C)
Repurchase Agreements:
Warehouse Credit Facilities-Residential Mortgage Loans(F)
$ 12,923,024  $ 12,919,922  Oct-21 to Sep-25 2.01  % 0.8 $ 13,774,859  $ 13,775,860  $ 13,803,756  23.9 $ 4,039,564 
Agency RMBS(D)
8,956,064  8,956,064  Oct-21 to Jan-22 0.16  % 0.1 8,876,431  9,158,455  9,321,370  6.6 12,682,427 
Non-Agency RMBS(E)
723,486  723,486  Oct-21 to Dec-21 2.52  % 0.0 13,927,317  905,336  987,803  3.3 817,209 
Real Estate Owned(G)(H)
160,512  160,513  Oct-21 to Sep-25 2.91  % 1.2 N/A 230,128  224,580  4.5 8,480 
Total Secured Financing Agreements 22,763,086  22,759,985  1.31  % 0.5 17,547,680 
Secured Notes and Bonds Payable
Excess MSRs(I)
248,061  248,061   Aug-25 3.74  % 3.9 84,829,582  281,142  348,080  6.3 275,088 
MSRs(J)
3,629,810  3,617,850  Mar-22 to Jul-26 3.69  % 3.2 531,851,913  6,029,066  6,477,289  6.1 2,691,791 
Servicer Advance Investments(K)
381,286  380,420  Apr-22 to Dec-22 1.30  % 1.1 408,085  453,442  472,004  6.0 423,144 
Servicer Advances(K)
2,347,819  2,342,335  Nov-21 to Sep-23 2.34  % 1.4 2,796,796  2,782,622  2,782,622  0.7 2,585,575 
Residential Mortgage Loans(L)
1,170,838  1,162,080  Sep-22 to Jul-43 2.10  % 3.6 1,192,146  1,311,940  1,313,998  20.0 1,039,838 
Consumer Loans(M)
492,999  497,346  Sep-37 2.04  % 3.6 485,966  496,573  547,548  3.3 628,759 
Total Secured Notes and Bonds Payable 8,270,813  8,248,092  2.87  % 2.7 7,644,195 
Total/ Weighted Average $ 31,033,899  $ 31,008,077  1.72  % 1.1 $ 25,191,875 
(A)Net of deferred financing costs.
(B)All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid.
(C)These secured financing agreements had approximately $65.7 million of associated accrued interest payable as of September 30, 2021.
(D)All Agency RMBS repurchase agreements have a fixed rate. Collateral carrying value includes $341.8 million margin receivable.
(E)All Non-Agency RMBS secured financing agreements have LIBOR-based floating interest rates. This also includes repurchase agreements and related collateral of $12.3 million and $16.5 million, respectively, on retained bonds collateralized by Agency MSRs. Collateral carrying value includes $2.4 million margin receivable.
(F)Includes $266.4 million of repurchase agreements which bear interest at a fixed rate of 4.0%. All remaining repurchase agreements have LIBOR-based floating interest rates.
(G)All 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 as well as $152.6 million of financing collateralized by a portion of our single family rental portfolio.
(I)Includes $248.1 million of corporate loans which bear interest at a fixed rate of 3.7%.
(J)Includes $1.3 billion 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 2.8% to 4.5%; $99.9 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 3.9%; and $2.2 billion of capital markets notes with fixed interest rates ranging 3.0% to 5.4%. 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)$1.8 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 1.1% to 1.9%. 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 $5.8 million note payable to Mr. Cooper which includes a $1.6 million receivable from government agency and bears interest equal to one-month LIBOR plus 2.9%, (ii) $30.4 million face amount of SAFT 2013-1
mortgage-backed securities issued with a fixed interest rate of 3.8% (see Note 12 for fair value details), (iii) $46.5 million of MDST Trusts asset-backed notes held by third parties which bear interest equal to 6.6% (see Note 12 for fair value details), (iv) $232.2 million of bonds held by third parties which bear interest at a fixed rate ranging from 3.6% to 5.0%, (v) a $105.8 million note payable collateralized by SFR with a fixed interest rate of 2.75%, and (vi) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate mortgage loans which bears interest equal to one-month LIBOR plus 1.13% (refer to Note 13 for further discussion).
(M)Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $440.0 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037 (collectively, “SCFT 2020-A”).
Activities related to the carrying value of 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, 2020 $ 275,088  $ 2,691,791  $ 3,008,719  $ 13,499,636  $ 5,087,882  $ 628,759  $ 25,191,875 
Secured Financing Agreements
Acquired borrowings, net of discount —  —  —  —  7,090,577  —  7,090,577 
Borrowings —  —  —  54,297,394  90,195,545  —  144,492,939 
Repayments —  —  —  (58,118,431) (88,254,304) —  (146,372,735)
Capitalized deferred financing costs, net of amortization
—  —  —  951  573  —  1,524 
Secured Notes and Bonds Payable
Acquired borrowings, net of discount —  1,045,000  76,772  —  —  —  1,121,772 
Borrowings —  2,422,470  2,124,459  —  855,890  —  5,402,819 
Repayments (27,027) (2,544,885) (2,488,913) —  (727,452) (132,167) (5,920,444)
Unrealized gain on notes, fair value —  —  —  —  (5,999) 754  (5,245)
Capitalized deferred financing costs, net of amortization
—  3,474  1,718  —  (197) —  4,995 
Balance at September 30, 2021 $ 248,061  $ 3,617,850  $ 2,722,755  $ 9,679,550  $ 14,242,515  $ 497,346  $ 31,008,077 
(A)New Residential net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances.
Schedule of Contractual Maturities of Debt Obligations
Contractual maturities of debt obligations as of September 30, 2021 are as follows:
Year Ending
Nonrecourse(A)
Recourse(B)
Total
October 1 through December 31, 2021 $ —  $ 13,742,872  $ 13,742,872 
2022 1,432,049  6,338,673  7,770,722 
2023 1,365,913  3,245,451  4,611,364 
2024 750,000  952,951  1,702,951 
2025 232,200  2,141,348  2,373,548 
2026 and thereafter 569,976  812,466  1,382,442 
$ 4,350,138  $ 27,233,761  $ 31,583,899 
(A)Reflects secured notes and bonds payable of $4.4 billion.
(B)Reflects secured financing agreements and secured notes and bonds payable of $22.8 billion and $4.4 billion, respectively.
Schedule of Borrowing Capacity
The following table represents borrowing capacity as of September 30, 2021:
Debt Obligations / Collateral Borrowing Capacity Balance Outstanding
Available Financing(A)
Secured Financing Agreements
Residential mortgage loans and REO $ 4,379,092  $ 1,999,295  $ 2,379,797 
New loan originations 21,103,010  11,834,240  9,268,770 
Secured Notes and Bonds Payable
Excess MSRs 286,380  248,061  38,319 
MSRs 4,685,450  3,629,810  1,055,640 
Servicer advances 4,554,990  2,729,105  1,825,885 
Residential mortgage loans 200,000  105,825  94,175 
$ 35,208,922  $ 20,546,336  $ 14,662,586 
(A)Although available financing is uncommitted, New Residential’s unused borrowing capacity is available if it has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate.
Schedule of Debt Redemption The 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed):
Year Price
2022 103.125%
2023 101.563%
2024 and thereafter 100.000%