Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS - Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details)

v3.21.2
FAIR VALUE MEASUREMENTS - Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2021
Sep. 30, 2020
Sep. 30, 2021
Sep. 30, 2020
Dec. 31, 2020
Non-Agency RMBS          
Gain (loss) included in net income          
Gain (loss) on settlement of investments, net $ (7,700) $ (11,600) $ (28,200) $ (944,300)  
Excess MSRs in Equity Method Investees          
Purchases, sales and repayments          
New Residential’s percentage ownership 50.00%   50.00%   50.00%
Recurring Basis | Level 3          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     $ 10,063,098    
Transfers          
Transfers from Level 3     (15,134)    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     1,623,927    
Gain (loss) included in net income          
Reversal for credit losses on securities     5,020    
Change in fair value of excess MSRs     (13,666)    
Change in fair value of excess MSRs, equity method investees     1,421    
Servicing revenue, net     (372,178)    
Change in fair value of servicer advance investments     (6,535)    
Change in fair value of residential mortgage loans     154,984    
Change in fair value of investments in consumer loans     (13,338)    
Gain (loss) on settlement of investments, net     (27,938)    
Other income (loss), net     (269,893)    
Gains (losses) included in other comprehensive income     27,101    
Interest income     54,737    
Purchases, sales and repayments          
Purchases, net     4,555,479    
Proceeds from sales     (3,027,797)    
Proceeds from repayments     (1,855,066)    
Originations and other     878,190    
Balance, ending $ 11,762,412   11,762,412    
Recurring Basis | Level 3 | Servicer Advance Investments          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     538,056    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     (6,535)    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     0    
Gains (losses) included in other comprehensive income     0    
Interest income     7,086    
Purchases, sales and repayments          
Purchases, net     976,629    
Proceeds from sales        
Proceeds from repayments     (1,043,232)    
Originations and other     0    
Balance, ending 472,004   472,004    
Recurring Basis | Level 3 | MSRs and MSR Financing Receivables          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     4,585,841    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     1,507,524    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     (372,178)    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     0    
Gains (losses) included in other comprehensive income     0    
Interest income     0    
Purchases, sales and repayments          
Purchases, net     7,965    
Proceeds from sales     (42,075)    
Proceeds from repayments     0    
Originations and other     878,190    
Balance, ending 6,565,267   6,565,267    
Recurring Basis | Level 3 | Non-Agency RMBS          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     1,180,924    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     5,020    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     (28,240)    
Other income (loss), net     14,856    
Gains (losses) included in other comprehensive income     27,101    
Interest income     10,917    
Purchases, sales and repayments          
Purchases, net     145,920    
Proceeds from sales     (164,630)    
Proceeds from repayments     (200,760)    
Originations and other     0    
Balance, ending 991,108   991,108    
Recurring Basis | Level 3 | Derivatives          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     289,074    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     116,403    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     (281,095)    
Gains (losses) included in other comprehensive income     0    
Interest income     0    
Purchases, sales and repayments          
Purchases, net     0    
Proceeds from sales     0    
Proceeds from repayments     0    
Originations and other     0    
Balance, ending 124,382   124,382    
Recurring Basis | Level 3 | Properties and Residential Mortgage Loans          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     2,320,384    
Transfers          
Transfers from Level 3     (15,134)    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     154,984    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     (87)    
Gains (losses) included in other comprehensive income     0    
Interest income     0    
Purchases, sales and repayments          
Purchases, net     3,151,597    
Proceeds from sales     (2,821,072)    
Proceeds from repayments     (373,106)    
Originations and other     0    
Balance, ending 2,417,566   2,417,566    
Recurring Basis | Level 3 | Consumer Loans          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     685,575    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     (13,338)    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     0    
Gains (losses) included in other comprehensive income     0    
Interest income     14,493    
Purchases, sales and repayments          
Purchases, net     21,680    
Proceeds from sales     0    
Proceeds from repayments     (160,615)    
Originations and other     0    
Balance, ending 547,795   547,795    
Recurring Basis | Level 3 | Notes Receivable          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     52,389    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     (3,243)    
Gains (losses) included in other comprehensive income     0    
Interest income     4,017    
Purchases, sales and repayments          
Purchases, net     1,688    
Proceeds from sales     0    
Proceeds from repayments     (3,188)    
Originations and other     0    
Balance, ending 51,663   51,663    
Recurring Basis | Level 3 | Loans Receivable          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     0    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     0    
Gains (losses) included in other comprehensive income     0    
Interest income     2,036    
Purchases, sales and repayments          
Purchases, net     250,000    
Proceeds from sales     0    
Proceeds from repayments     (18,697)    
Originations and other     0    
Balance, ending 233,339   233,339    
Recurring Basis | Level 3 | MSRs Agency          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     162,645    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     (7,578)    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     5    
Other income (loss), net     1    
Gains (losses) included in other comprehensive income     0    
Interest income     7,368    
Purchases, sales and repayments          
Purchases, net     0    
Proceeds from sales     (18)    
Proceeds from repayments     (23,134)    
Originations and other     0    
Balance, ending 139,289   139,289    
Recurring Basis | Level 3 | MSRs Agency | Excess MSRs in Equity Method Investees          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     99,917    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     0    
Change in fair value of excess MSRs, equity method investees     1,421    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     0    
Other income (loss), net     0    
Gains (losses) included in other comprehensive income     0    
Interest income     0    
Purchases, sales and repayments          
Purchases, net     0    
Proceeds from sales     0    
Proceeds from repayments     (12,230)    
Originations and other     0    
Balance, ending 89,108   89,108    
Recurring Basis | Level 3 | MSRs Non-Agency          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Balance, beginning     148,293    
Transfers          
Transfers from Level 3     0    
Transfers to Level 3     0    
Caliber acquisition (Note 1)     0    
Gain (loss) included in net income          
Reversal for credit losses on securities     0    
Change in fair value of excess MSRs     (6,088)    
Change in fair value of excess MSRs, equity method investees     0    
Servicing revenue, net     0    
Change in fair value of servicer advance investments     0    
Change in fair value of residential mortgage loans     0    
Change in fair value of investments in consumer loans     0    
Gain (loss) on settlement of investments, net     297    
Other income (loss), net     (325)    
Gains (losses) included in other comprehensive income     0    
Interest income     8,820    
Purchases, sales and repayments          
Purchases, net     0    
Proceeds from sales     (2)    
Proceeds from repayments     (20,104)    
Originations and other     0    
Balance, ending $ 130,891   $ 130,891