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EXCESS MORTGAGE SERVICING RIGHTS (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Servicing Assets at Fair Value

The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets:


	Year Ended December 31,
	2021		2020
Direct investments in Excess MSRs	$	259,198	$	310,938
Excess MSR Joint Ventures	85,749		99,917
Excess mortgage servicing rights assets, at fair value	$	344,947	$	410,855

The following table presents activity related to the carrying value of direct investments in Excess MSRs:


	Servicer
	Mr. Cooper		SLS(A)		Total
Balance as of December 31, 2019	$	377,692	$	2,055	$	379,747

Interest income	28,217		135		28,352
Other income	(12,123)		—		(12,123)
Proceeds from repayments	(67,340)		(405)		(67,745)
Proceeds from sales	(1,061)		—		(1,061)
Change in fair value	(16,376)		144		(16,232)

Balance as of December 31, 2020	309,009		1,929		310,938

Interest income	20,355		(59)		20,296
Other income	403		(325)		78
Proceeds from repayments	(55,702)		(350)		(56,052)
Proceeds from sales	(984)		—		(984)
Change in fair value	(15,508)		430		(15,078)
Balance as of December 31, 2021	$	257,573	$	1,625	$	259,198

(A)Specialized Loan Servicing LLC (“SLS”).

Changes in fair value of investments consists of the following:


	Year Ended December 31,
	2021		2020		2019
Original and Recaptured Pools	$	(15,078)	$	(16,232)	$	(10,505)

The following table summarizes activity related to MSRs and MSR Financing Receivables:


	Total
Balance as of December 31, 2019	$	5,686,233
Purchases, net(A)	431,608

Originations(B)	666,414
Proceeds from sales	(15,341)
Change in fair value due to:
Realization of cash flows(C)	(1,592,281)
Change in valuation inputs and assumptions	(591,439)
(Gain) loss realized	647
Balance as of December 31, 2020	$	4,585,841
Caliber acquisition (Note 3)	1,507,524


Purchases, net(A)	10,949
Originations(B)	1,331,626

Proceeds from sales	(63,451)
Change in fair value due to:
Realization of cash flows(C)	(1,196,527)
Change in valuation inputs and assumptions	680,431
(Gain) loss realized	2,410
Balance as of December 31, 2021	$	6,858,803

(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.

(B)Represents MSRs retained on the sale of originated residential mortgage loans.

(C)Based on the paydown of the underlying residential mortgage loans.

The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2021 and 2020:


	UPB of Underlying Mortgages		Weighted Average Life (Years)(A)	Carrying Value(B)
2021

Agency	$	374,815,579	6.1	$	4,443,713
Non-Agency	63,851,154		8.3	943,210
Ginnie Mae(c)	109,946,356		5.7	1,471,880



Total	$	548,613,089	6.3	$	6,858,803
2020

Agency	$	305,718,556	5.1	$	2,849,003
Non-Agency	72,610,446		7.9	1,064,403
Ginnie Mae(c)	57,106,825		4.1	672,435



Total	$	435,435,827	5.4	$	4,585,841

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.

(B)Represents fair value. As of December 31, 2021 and 2020, weighted average discount rates of 7.4% (range of 6.9%-12.5%) and 8.1% (range of 7.3%-13.0%), respectively, were used to value New Residential’s MSRs and MSR Financing Receivables, respectively.

(C)As of December 31, 2021 and 2020, New Residential holds approximately $1.8 billion and $1.5 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.

Servicing Asset at Amortized Cost

The following summarizes direct investments in Excess MSRs:


	December 31, 2021
	UPB of Underlying Mortgages		Interest in Excess MSR			Weighted Average Life Years(A)	Amortized Cost Basis(B)		Carrying Value(C)
			New Residential(D)	Fortress-managed funds	Mr. Cooper
Agency
Original and Recaptured Pools	$	26,856,946	32.5% - 66.7% (53.3%)	—% - 40.0%	20.0% - 35.0%	6.0	$	118,631	$	131,997

Non-Agency(E)
Mr. Cooper and SLS Serviced:
Original and Recaptured Pools	30,565,231		33.3% - 100.0% (59.4%)	—% - 50.0%	—% - 33.3%	6.6	95,608		127,201
Total	$	57,422,177					$	214,239	$	259,198


	December 31, 2020
	UPB of Underlying Mortgages		Interest in Excess MSR			Weighted Average Life Years(A)	Amortized Cost Basis(B)		Carrying Value(C)
			New Residential(D)	Fortress-managed funds	Mr. Cooper
Agency
Original and Recaptured Pools	$	34,593,406	32.5% - 66.7% (53.3)%	—% - 40.0%	20.0% - 35.0%	5.9	$	141,204	$	162,645

Non-Agency(E)
Mr. Cooper and SLS Serviced:
Original and Recaptured Pools	38,095,499		33.3% - 100.0% (59.4)%	—% - 50.0%	—% - 33.3%	6.5	109,697		148,293
Total	$	72,688,905					$	250,901	$	310,938

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.

(B)The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.

(C)Carrying value represents the fair value of the pools and recapture agreements, as applicable.

(D)Amounts in parentheses represent weighted averages.

(E)New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of December 31, 2021 and 2020 (Note 7) on $20.3 billion and $26.1 billion UPB, respectively, underlying these Excess MSRs.

Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees

The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees:


	December 31,
	2021			2020
Excess MSRs	$	152,383		$	179,762
Other assets	19,802			20,759
Other liabilities	(687)			(687)
Equity	$	171,498		$	199,834

New Residential’s investment	$	85,749		$	99,917
New Residential’s percentage ownership	50.0		%	50.0		%


	Year Ended December 31,
	2021		2020		2019
Interest income	$	7,574	$	22,507	$	23,872
Other income (loss)	(3,906)		(29,461)		(10,208)
Expenses	(32)		(24)		(64)
Net income (loss)	$	3,636	$	(6,978)	$	13,600

The following table summarizes the activity of investments in equity method investees:


	December 31,
	2021		2020
Balance at beginning of period	$	99,917	$	125,596
Contributions to equity method investees	—		—
Distributions of earnings from equity method investees	—		(1,170)
Distributions of capital from equity method investees	(15,986)		(21,020)
Change in fair value of investments in equity method investees	1,818		(3,489)
Balance at end of period	$	85,749	$	99,917

Summary of Excess MSR Investments made through Equity Method Investees

The following table summarizes Excess MSR investments made through equity method investees:


	December 31, 2021
	Unpaid Principal Balance		Investee Interest in Excess MSR(A)	New Residential Interest in Investees	Amortized Cost Basis(B)		Carrying Value(C)		Weighted Average Life (Years)(D)
Agency
Original and Recaptured Pools	$	23,039,453	66.7%	50.0%	$	112,840	$	152,383	5.7


	December 31, 2020
	Unpaid Principal Balance		Investee Interest in Excess MSR(A)	New Residential Interest in Investees	Amortized Cost Basis(B)		Carrying Value(C)		Weighted Average Life (Years)(D)
Agency
Original and Recaptured Pools	$	28,453,512	66.7%	50.0%	$	139,251	$	179,762	5.8

(A)The remaining interests are held by Mr. Cooper.

(B)Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.

(C)Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools and recapture agreements, as applicable.

(D)Represents the weighted average expected timing of the receipt of cash flows of each investment.