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INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
 12 Months Ended
Dec. 31, 2016
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:
December 31, 2016
Outstanding Face Amount
 
Carrying
Value(A)
 
Loan
Count
 
Weighted Average Yield
 
Weighted Average Life (Years)(B)
 
Floating Rate Loans as a % of Face Amount
 
LTV Ratio(C)
 
Weighted Avg. Delinquency(D)
 
Weighted Average FICO(E)
Loan Type
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse Mortgage Loans(F)(G)
$
—

 
$
—

 
—

 
—
%
 
—
 
—
%
 
—
%
 
—
%
 
N/A

Performing Loans(H)
—

 
—

 
—

 
—
%
 
—
 
—
%
 
—
%
 
—
%
 
—

Purchased Credit Deteriorated Loans(I)
203,673

 
190,761

 
1,183

 
5.5
%
 
2.7
 
8.7
%
 
71.5
%
 
94.9
%
 
590

Total Residential Mortgage Loans, held-for-investment
$
203,673

 
$
190,761

 
1,183

 
5.5
%
 
2.7
 
8.7
%
 
71.5
%
 
94.9
%
 
590

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse Mortgage Loans(F) (G)
$
22,645

 
$
11,468

 
69

 
7.2
%
 
4.5
 
15.4
%
 
135.6
%
 
70.7
%
 
N/A

Performing Loans(H) (J)
179,983

 
175,194

 
1,957

 
4.3
%
 
5.9
 
22.4
%
 
102.9
%
 
6.4
%
 
625

Non-Performing Loans(I) (J)
706,302

 
510,003

 
3,759

 
7.1
%
 
2.9
 
20.6
%
 
105.0
%
 
75.9
%
 
575

Total Residential Mortgage Loans, held-for-sale
$
908,930

 
$
696,665

 
5,785

 
6.5
%
 
3.5
 
20.8
%
 
105.4
%
 
62.0
%
 
585

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loan Type
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse Mortgage Loans(F) (G)
$
34,423

 
$
19,560

 
136

 
10.0
%
 
4.2
 
21.8
%
 
112.9
%
 
71.3
%
 
N/A

Performing Loans(H)
21,483

 
19,964

 
671

 
9.1
%
 
6.7
 
17.1
%
 
77.4
%
 
7.5
%
 
626

Purchased Credit Deteriorated Loans(I)
450,229

 
290,654

 
2,118

 
5.5
%
 
2.5
 
18.7
%
 
115.4
%
 
97.6
%
 
578

Total Residential Mortgage Loans, held-for-investment
$
506,135

 
$
330,178

 
2,925

 
6.0
%
 
2.8
 
18.8
%
 
113.6
%
 
92.0
%
 
580

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Performing Loans(H)
$
270,585

 
$
277,084

 
1,838

 
4.6
%
 
4.9
 
4.6
%
 
57.0
%
 
—
%
 
702

Non-Performing Loans(I)
589,129

 
499,597

 
3,428

 
5.9
%
 
2.9
 
14.5
%
 
104.5
%
 
81.1
%
 
580

Total Residential Mortgage Loans, held-for-sale
$
859,714

 
$
776,681

 
5,266

 
5.5
%
 
3.5
 
11.4
%
 
89.6
%
 
55.6
%
 
619


(A)
Includes residential mortgage loans with a United States federal income tax basis of $905.7 million and $1,204.2 million as of December 31, 2016 and 2015, respectively.
(B)
The weighted average life is based on the expected timing of the receipt of cash flows.
(C)
LTV refers to the ratio comparing the loan’s unpaid principal balance to the value of the collateral property.
(D)
Represents the percentage of the total principal balance that is 60+ days delinquent.
(E)
The weighted average FICO score is based on the weighted average of information updated and provided by the loan servicer on a monthly basis.
(F)
Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. The average loan balance outstanding based on total UPB was $0.5 million and $0.4 million at December 31, 2016 and 2015, respectively. Approximately 60.9% and 71.0% of these loans have reached a termination event at December 31, 2016 and 2015, respectively. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
(G)
FICO scores are not used in determining how much a borrower can access via a reverse mortgage loan.
(H)
Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(I)
Includes loans with evidence of credit deterioration since origination where it is probable that New Residential will not collect all contractually required principal and interest payments. As of December 31, 2016, New Residential has placed all Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (J) below.
(J)
Includes $45.2 million and $87.5 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
 
 
December 31,
State Concentration
 
2016
 
2015
New York
 
16.7
%
 
14.5
%
Florida
 
11.4
%
 
10.7
%
California
 
10.3
%
 
12.3
%
New Jersey
 
9.6
%
 
13.1
%
Maryland
 
4.7
%
 
3.5
%
Illinois
 
4.0
%
 
4.3
%
Texas
 
3.9
%
 
3.3
%
Massachusetts
 
3.5
%
 
3.3
%
Pennsylvania
 
2.9
%
 
2.8
%
Washington
 
2.8
%
 
3.2
%
Other U.S.
 
30.2
%
 
29.0
%
 
 
100.0
%
 
100.0
%
Schedule of Residential Mortgage Loan Transactions
The following table summarizes these transactions (dollars in millions).
 
 
 
 
Securities Owned Prior
 
Assets Acquired
 
 
 
Loans Sold(C)
 
Retained Bonds
 
Retained Assets (C)
Date of Call (A)
 
Number of Trusts Called
 
Face Amount
 
Amortized Cost Basis
 
Loan UPB
 
Loan Price (B)
 
REO & Other Price (B)
 
Date of Securitization
 
UPB
 
Gain (Loss)
 
Basis
 
Type
 
Loan UPB
 
Loan Price
 
REO & Other Price
May 2014
 
16

 
$
17.4

 
$
12.0

 
$
282.2

 
$
289.4

 
$
—

 
May 2014
 
$
233.8

 
$
3.5

 
N/A

 
N/A
 
$
48.4

 
$
40.1

 
$
1.3

August 2014
 
19

 
15.4

 
13.1

 
530.1

 
536.3

 
3.0

 
October 2014
 
463.0

 
7.0

 
$
25.8

 
Interest-Only
 
66.4

 
46.3

 
3.0

December 2014
 
25

 
27.9

 
24.0

 
597.1

 
623.7

 
—

 
December 2014
 
516.1

 
0.7

 
28.9

 
Interest-Only
 
81.0

 
71.7

 
4.3

June 2015
 
18

 
13.7

 
9.1

 
369.0

 
388.8

 
—

 
June 2015
 
334.5

 
(2.8
)
 
15.0

 
Interest-Only
 
34.5

 
31.7

 
1.3

September 2015
 
7

 
7.4

 
4.5

 
216.3

 
223.1

 
1.5

 
N/A(C)
 
N/A(C)

 
N/A(C)

 
N/A(C)

 
N/A(C)
 
19.4

 
17.2

 
1.5

November 2015
 
14

 
3.9

 
3.0

 
345.4

 
351.7

 
1.2

 
November 2015
 
511.8

 
2.4

 
22.0

 
Interest-Only
 
29.8

 
23.4

 
1.2

December 2015
 
14

 
61.4

 
48.0

 
309.1

 
315.1

 
3.1

 
March 2016
 
261.3

 
2.1

 
36.6

 
Various
 
35.8

 
26.6

 
2.9

March 2016
 
13

 
58.0

 
41.0

 
167.2

 
173.3

 
3.1

 
N/A(C)
 
N/A(C)

 
N/A(C)

 
N/A(C)

 
N/A(C)
 
65.0

 
61.8

 
3.4

May 2016
 
12

 
60.0

 
44.0

 
290.6

 
298.7

 
0.6

 
May 2016
 
306.9

 
(2.2
)
 
40.0

 
 Various
 
85.9

 
78.2

 
1.1

August 2016
 
11

 
6.2

 
1.4

 
312.3

 
319.2

 
1.7

 
September 2016
 
308.0

 
8.1

 
45.7

 
 Various
 
45.6

 
41.1

 
2.3

November 2016
 
13

 
41.7

 
24.2

 
289.1

 
286.8

 
3.7

 
December 2016
 
273.6

 
(5.2
)
 
43.2

 
Various
 
46.2

 
21.6

 
4.4

December 2016
 
1

 
116.6

 
102.0

 
124.4

 
119.1

 
0.4

 
N/A(C)
 
N/A(C)

 
N/A(C)

 
N/A(C)

 
N/A(C)
 
N/A(C)

 
N/A(C)

 
N/A(C)


(A)
Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call.
(B)
Price includes par amount paid for all underlying residential mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights.
(C)
Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The securitization that occurred in November 2015 primarily included loans from the September 2015 and November 2015 calls, but also included previously acquired loans. The securitization that occurred in March 2016 primarily included loans from the December 2015 call, but also included previously acquired loans. The securitization that occurred in May 2016 primarily included loans from the March 2016 and May 2016 calls. The securitization that occurred in September 2016 primarily included loans from the August 2016 call, but also included $42.2 million of previously acquired loans. The securitization that occurred in December 2016 primarily included loans from the November 2016 call, but also included $31.2 million of previously acquired loans. No loans from the December 2016 call had been securitized by December 31, 2016.
Summary of Activities Related to the Valuation Provision on Reverse Mortgage Loans and Allowance for Loan Losses on Performing Loans Held-for-Investment
Activities related to the valuation provision on reverse mortgage loans and allowance for loan losses on performing loans held-for-investment were as follows:
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2014
$
1,518

 
$
1,447

Provision for loan losses(A)
35

 
43

Charge-offs(B)
—

 
(1,371
)
Balance at December 31, 2015
$
1,553

 
$
119

Provision for loan losses(A)
73

 
4

Charge-offs(B)
—

 
—

Sales
(171
)
 
—

Transfer of loans to held-for-sale(C)
(1,455
)
 
(123
)
Balance at December 31, 2016
$
—

 
$
—


(A)
Based on an analysis of collective borrower performance, credit ratings of borrowers, loan-to-value ratios, estimated value of the underlying collateral, key terms of the loans and historical and anticipated trends in defaults and loss severities at a pool level.
(B)
Loans, other than PCD loans, are generally charged off or charged down to the net realizable value of the collateral (i.e., fair value less costs to sell), with an offset to the allowance for loan losses, when available information confirms that loans are uncollectible.
(C)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
Activities related to the allowance for loan losses on performing consumer loans, held-for-investment were as follows:
 
 
Collectively Evaluated(A)
 
Individually Impaired(B)
 
Total
Balance at March 31, 2016 (date of SpringCastle Transaction)
 
$
—

 
$
—

 
$
—

Provision for loan losses
 
49,506

 
997

 
50,503

Net charge-offs(C)
 
(47,065
)
 
—

 
(47,065
)
Balance at December 31, 2016
 
$
2,441

 
$
997

 
$
3,438


(A)
Represents smaller-balance homogeneous loans that are not individually considered impaired and are evaluated based on an analysis of collective borrower performance, key terms of the loans and historical and anticipated trends in defaults and loss severities, and consideration of the unamortized acquisition discount. Includes a provision for loan losses of $2.0 million for newly originated loans acquired during the year ended December 31, 2016.
(B)
Represents consumer loan modifications considered to be troubled debt restructurings (“TDRs”) as they provide concessions to borrowers, primarily in the form of interest rate reductions, who are experiencing financial difficulty. As of December 31, 2016, there are $5.3 million in UPB and $4.3 million in carrying value of consumer loans classified as TDRs.
(C)
Consumer loans, other than PCD loans, are charged off when available information confirms that loans are uncollectible, which is generally when they become 180 days past due. Charge-offs are presented net of $8.1 million in recoveries of previously charged-off UPB.
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 PCD loans held-for-investment were as follows:
Balance at December 31, 2014
$
—

Purchases/additional fundings
289,664

Accretion of loan discount and other amortization
990

Balance at December 31, 2015
$
290,654

Purchases/additional fundings
190,761

Sales
—

Proceeds from repayments
(8,897
)
Accretion of loan discount and other amortization
8,295

Transfer of loans to real estate owned
(7,583
)
Transfer of loans to held-for-sale
(282,469
)
Balance at December 31, 2016
$
190,761

Activities related to the carrying value of residential mortgage loans held-for-investment were as follows:
 
Reverse Mortgage Loans
 
Performing Loans
Balance at December 31, 2014
$
24,965

 
$
22,873

Purchases/additional fundings
988

 
—

Proceeds from repayments
(687
)
 
(2,918
)
Accretion of loan discount and other amortization(A)
5,904

 
52

Provision for loan losses
(35
)
 
(43
)
Transfer of loans to other assets(B)
(11,574
)
 
—

Transfer of loans to real estate owned
(1
)
 
—

Balance at December 31, 2015
$
19,560

 
$
19,964

Purchases/additional fundings
319

 
—

Proceeds from repayments
(1,352
)
 
(811
)
Accretion of loan discount (premium) and other amortization(A)
2,002

 
123

Provision for loan losses
(73
)
 
(4
)
Transfer of loans to other assets(B)
(4,203
)
 
—

Sales
(1,795
)
 
—

Transfer of loans to held-for-sale(C)
(14,458
)
 
(19,272
)
Balance at December 31, 2016
$
—

 
$
—



(A)
Includes accelerated accretion of discount on loans paid in full and on loans transferred to other assets.
(B)
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.
(C)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
Summary of Contractually Required Payments Receivable, Cash Flows Expected to be Collected, and Fair Value at Acquisition date for Loans Acquired During Period
The following is the contractually required payments receivable, cash flows expected to be collected, and fair value at acquisition date for PCD loans acquired during the year ended December 31, 2016:
 
Contractually Required Payments Receivable
 
Cash Flows Expected to be Collected
 
Fair Value
As of Acquisition Date
337,374

 
214,449

 
190,343
Summary of Unpaid Principal Balance and Carrying Value for Loans Uncollectible
The following is the unpaid principal balance and carrying value for loans, for which, as of the acquisition date, it was probable that New Residential would be unable to collect all contractually required payments:
 
Unpaid Principal Balance
 
Carrying Value
December 31, 2016
$
203,673

 
$
190,761

December 31, 2015
450,229

 
290,654
Summary of Changes in Accretable Yield
The following is a summary of the changes in accretable yield for these loans:
Balance at December 31, 2014
$
—

Additions
72,053

Accretion
(990
)
Balance at December 31, 2015
$
71,063

Additions
23,688

Accretion
(8,876
)
Reclassifications from non-accretable difference(A)
29,569

Disposals(B)
(2,680
)
Transfer of loans to held-for-sale(C)
(89,076
)
Balance at December 31, 2016
$
23,688


(A)
Represents a probable and significant increase in cash flows previously expected to be uncollectible.
(B)
Includes sales of loans or foreclosures, which result in removal of the loan from the PCD loan pool at its carrying amount.
(C)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
Summary of Activities Related to the Carrying Value of Loans Held-for-sale
Activities related to the carrying value of loans held-for-sale were as follows:
Balance at December 31, 2014
$
1,126,439

Purchases(A)
1,695,124

Sales
(1,871,054
)
Transfer of loans to other assets(B)
(41,752
)
Transfer of loans to real estate owned
(34,139
)
Adoption of ASU No. 2014-11(C)
1,831

Proceeds from repayments
(85,698
)
Valuation (provision) reversal on loans(D)
(14,070
)
Balance at December 31, 2015
$
776,681

Purchases(A)
1,196,018

Transfer of loans from held-for-investment(E)
316,199

Sales
(1,274,707
)
Transfer of loans to other assets(B)
(158,807
)
Transfer of loans to real estate owned
(56,001
)
Proceeds from repayments
(91,339
)
Valuation (provision) reversal on loans(D)
(11,379
)
Balance at December 31, 2016
$
696,665


(A)
Represents loans acquired with the intent to sell, including loans acquired in the HLSS Acquisition (Note 1).
(B)
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).
(C)
Represents loans financed with the selling counterparty that were previously accounted for as linked transactions (Note 10).
(D)
Represents the fair value adjustments to loans upon transfer to held-for-sale and provision recorded on certain purchased held-for-sale loans, including $10.5 million, $2.6 million, $3.6 million, $13.8 million and $10.2 million of provision related to the call transactions executed in December 2015, March 2016, May 2016, November 2016 and December 2016, respectively.
(E)
Represents loans not initially acquired with the intent to sell for which New Residential determined that it no longer has the intent to hold for the foreseeable future, or until maturity or payoff.
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, 2014
 
$
61,933

Purchases
 
26,208

Transfer of loans to real estate owned
 
35,322

Sales
 
(68,441
)
Valuation provision on REO
 
(4,448
)
Balance at December 31, 2015
 
$
50,574

Purchases
 
11,283

Transfer of loans to real estate owned
 
81,940

Sales
 
(66,880
)
Valuation provision on REO
 
(17,326
)
Balance at December 31, 2016
 
$
59,591