Quarterly report pursuant to Section 13 or 15(d)

VARIABLE INTEREST ENTITIES (Tables)

v3.21.2
VARIABLE INTEREST ENTITIES (Tables)
9 Months Ended
Sep. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Schedule of Variable Interest Entities
The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets:
The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs MSR Financing Facilities Total
September 30, 2021
Assets
Mortgage servicing rights, at fair value $ —  $ —  $ —  $ —  $ 352,144  $ 352,144 
Servicer advance investments, at fair value 459,812  —  —  —  —  459,812 
Residential mortgage loans, held-for-investment, at fair value —  —  98,373  —  —  98,373 
Residential mortgage loans, held-for-sale —  —  1,856  —  —  1,856 
Residential mortgage loans, held-for-sale, at fair value —  —  1,191,416  —  —  1,191,416 
Consumer loans, held-for-investment, at fair value —  —  —  547,598  —  547,598 
Cash and cash equivalents 37,138  37,339  2,102  —  —  76,579 
Restricted cash 2,377  —  170  7,430  —  9,977 
Other assets 1,825  4,545  7,349  361,238  374,966 
Total Assets $ 499,336  $ 39,164  $ 1,298,462  $ 562,377  $ 713,382  $ 3,112,721 
Liabilities
Secured financing agreements(A)
$ —  $ —  $ 133,227  $ —  $ —  $ 133,227 
Secured notes and bonds payable(A)
374,025  —  1,048,821  497,346  367,871  2,288,063 
Accrued expenses and other liabilities 925  6,570  13,848  886  106  22,335 
Total Liabilities $ 374,950  $ 6,570  $ 1,195,896  $ 498,232  $ 367,977  $ 2,443,625 
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 —  —  —  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 
(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.
The following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations:
As of and for the
Nine Months Ended
September 30,
2021 2020
Residential mortgage loan UPB $ 11,403,079  $ 14,779,498 
Weighted average delinquency(A)
4.70  % 3.15  %
Net credit losses $ 118,958  $ 28,874 
Face amount of debt held by third parties(B)
$ 10,475,990  $ 12,817,104 
Carrying value of bonds retained by New Residential(C)(D)
$ 965,846  $ 1,692,841 
Cash flows received by New Residential on these bonds $ 260,306  $ 151,852 
(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 12 for details on unobservable inputs.
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net
Others’ interests in the equity of consolidated subsidiaries is computed as follows:
September 30, 2021 December 31, 2020
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
Total consolidated equity $ 124,386  $ 32,594  $ 88,312  $ 163,944  $ 38,727  $ 96,418 
Others’ ownership interest 10.7  % 49.5  % 46.5  % 26.8  % 50.1  % 46.5  %
Others’ interest in equity of consolidated subsidiary $ 13,283  $ 16,134  $ 41,606  $ 43,882  $ 19,402  $ 45,384 

Others’ interests in the net income (loss) is computed as follows:
Three Months Ended September 30,
2021 2020
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
Net income (loss) $ (2,614) $ 6,125  $ 13,438  $ 9,761  $ 9,649  $ 9,006 
Others’ ownership interest 10.7  % 49.5  % 46.5  % 26.8  % 50.2  % 46.5  %
Others’ interest in net income of consolidated subsidiary $ (280) $ 3,032  $ 6,249  $ 2,612  $ 4,840  $ 4,188 
(A)New Residential owned 89.3% and 73.2% of the Buyer as of September 30, 2021 and 2020, respectively. See Note 11 regarding the financing of Servicer Advance Investments.
Nine Months Ended September 30,
2021 2020
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
The Buyer(A)
Shelter Joint Ventures Consumer Loan Companies
Net income (loss) $ (4,546) $ 19,762  $ 41,855  $ (162) $ 21,017  $ 50,795 
Others’ ownership interest 10.7  % 49.5  % 46.5  % 26.8  % 50.2  % 46.5  %
Others’ interest in net income of consolidated subsidiary $ (797) $ 9,782  $ 19,463  $ (44) $ 10,542  $ 23,620 
(A)New Residential owned 89.3% and 73.2% of the Buyer as of September 30, 2021 and 2020, respectively. See Note 11 regarding the financing of Servicer Advance Investments.