Part I [Financial Statements (Unaudited)](index=6&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)) New Residential Investment Corp. reported a net income of $447.1 million for the six months ended June 30, 2021, reversing a $1.56 billion loss, with total assets growing to $37.3 billion and equity to $6.2 billion [Consolidated Balance Sheets](index=6&type=section&id=Consolidated%20Balance%20Sheets) Total assets increased to $37.3 billion as of June 30, 2021, driven by residential mortgage loans and real estate securities, while total liabilities and equity also grew Consolidated Balance Sheet Highlights (in thousands) | Account | June 30, 2021 (Unaudited) | December 31, 2020 | | :--- | :--- | :--- | | **Total Assets** | **$37,250,397** | **$33,252,114** | | Mortgage servicing rights, at fair value | $3,800,593 | $3,489,675 | | Real estate and other securities | $14,956,889 | $14,244,558 | | Residential mortgage loans, held-for-sale | $7,088,441 | $5,215,703 | | Cash and cash equivalents | $956,242 | $944,854 | | **Total Liabilities** | **$31,084,246** | **$27,822,430** | | Secured financing agreements | $21,290,862 | $17,547,680 | | **Total Equity** | **$6,166,151** | **$5,429,684** | [Consolidated Statements of Income](index=7&type=section&id=Consolidated%20Statements%20of%20Income) Net income significantly improved to $145.7 million in Q2 2021 and $447.1 million for the six months, reversing a $1.56 billion loss, primarily due to a positive swing in servicing revenue Consolidated Income Statement Highlights (in thousands, except per share data) | Metric | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :--- | :--- | :--- | :--- | :--- | | Total Revenues | $454,051 | $446,723 | $1,624,768 | $733,558 | | Total Expenses | $497,932 | $431,519 | $1,001,504 | $945,194 | | **Net Income (Loss)** | **$145,726** | **$44,129** | **$447,062** | **$(1,563,126)** | | Net Income (Loss) Attributable to Common Stockholders | $121,315 | $(8,868) | $398,899 | $(1,611,183) | | **Diluted EPS** | **$0.26** | **$(0.02)** | **$0.88** | **$(3.88)** | [Consolidated Statements of Cash Flows](index=13&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Net cash used in operating activities was $1.01 billion for the six months ended June 30, 2021, a shift from $2.77 billion provided in 2020, with significant changes also in investing and financing activities Cash Flow Summary for Six Months Ended June 30 (in thousands) | Cash Flow Category | 2021 | 2020 | | :--- | :--- | :--- | | Net cash provided by (used in) operating activities | $(1,006,585) | $2,766,313 | | Net cash provided by (used in) investing activities | $(2,374,125) | $16,363,229 | | Net cash provided by (used in) financing activities | $3,494,980 | $(18,668,336) | | **Net Increase (Decrease) in Cash** | **$114,270** | **$461,206** | [Notes to Consolidated Financial Statements](index=16&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) The notes detail accounting policies, business segments, fair value measurements, and debt, highlighting the agreement to acquire Caliber Home Loans Inc. for $1.675 billion - The company conducts its business through six segments: (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities and Loans, (v) Consumer Loans and (vi) Corporate[42](index=42&type=chunk) - On April 14, 2021, the company entered into an agreement to purchase Caliber Home Loans Inc. for **$1.675 billion**, with the transaction expected to close in the third quarter of 2021[44](index=44&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=73&type=section&id=Item%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management attributes strong Q2 2021 performance to favorable economic conditions, despite decreased loan origination volume, with the company raising $512.1 million for the Caliber acquisition and reporting core earnings of $0.31 per diluted share - The company's portfolio as of June 30, 2021, totaled **$37 billion** in assets, with 6,129 employees within its operating entities[294](index=294&type=chunk) - In April 2021, the company raised net proceeds of **$512.1 million** from a common stock offering to finance the acquisition of Caliber Home Loans Inc.[296](index=296&type=chunk)[297](index=297&type=chunk) Key Economic Indicators | Indicator | June 30, 2021 | March 31, 2021 | | :--- | :--- | :--- | | Real GDP (Annualized Rate) | 6.5% | 6.4% | | Unemployment Rate | 5.9% | 6.0% | | 10-year U.S. Treasury Rate | 1.5% | 1.7% | | 30-year Fixed Mortgage Rate | 3.0% | 3.1% | Core Earnings Reconciliation (in thousands, except per share data) | Metric | Three Months Ended June 30, 2021 | Three Months Ended March 31, 2021 | | :--- | :--- | :--- | | Net (loss) income attributable to common stockholders | $121,315 | $277,584 | | **Core earnings** | **$146,634** | **$144,768** | | Net income (loss) per diluted share | $0.26 | $0.65 | | **Core earnings per diluted share** | **$0.31** | **$0.34** | [Quantitative and Qualitative Disclosures About Market Risk](index=115&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company faces primary market risks including interest rate, mortgage basis spread, prepayment, and credit risks, using sensitivity analysis to estimate impacts like a $223.9 million book value increase from a 50 bps interest rate rise Interest Rate Sensitivity Analysis (Estimated Change in Fair Value in millions) | Interest Rate Change (bps) | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | +50 | +$223.9 | +$191.0 | | +25 | +$106.9 | +$98.0 | | -25 | -$106.9 | -$98.0 | | -50 | -$193.9 | -$199.0 | Mortgage Basis Spread Sensitivity Analysis (Estimated Change in Fair Value in millions) | Mortgage Basis Change (bps) | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | +20 | +$8.6 | -$10.6 | | +10 | +$4.3 | -$5.3 | | -10 | -$4.3 | +$5.3 | | -20 | -$8.6 | +$10.6 | - The company's primary market risks are identified as interest rate risk, mortgage basis spread risk, prepayment rate risk, and credit risk[530](index=530&type=chunk) [Controls and Procedures](index=120&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded that the company's disclosure controls and procedures were effective as of June 30, 2021, with no material changes to internal control over financial reporting during the quarter - The CEO and CFO concluded that the company's disclosure controls and procedures were effective as of the end of the period covered by the report[557](index=557&type=chunk) - No changes in internal control over financial reporting occurred during the fiscal quarter that materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting[558](index=558&type=chunk) Part II [Legal Proceedings](index=121&type=section&id=Item%201.%20Legal%20Proceedings) The company is involved in various ordinary course legal and regulatory matters, which management does not expect to have a material adverse effect - The company is subject to various legal and regulatory matters in the ordinary course of business but does not currently expect them to have a material adverse effect[559](index=559&type=chunk)[560](index=560&type=chunk) [Risk Factors](index=121&type=section&id=Item%201A.%20Risk%20Factors) The company faces extensive risks including COVID-19 impacts, reliance on Servicing Partners, regulatory scrutiny, interest rate volatility, and integration challenges related to the pending Caliber acquisition - The COVID-19 pandemic poses significant risks, including potential adverse impacts on mortgage loan performance, market volatility leading to margin calls, and difficulties in accessing capital[562](index=562&type=chunk)[563](index=563&type=chunk)[564](index=564&type=chunk) - The company has significant counterparty concentration risk, relying heavily on its Servicing Partners (subservicers) for the performance of its MSR and servicer advance investments[593](index=593&type=chunk)[594](index=594&type=chunk) - The pending acquisition of Caliber Home Loans is subject to numerous closing conditions, and failure to complete it could adversely affect the company's business and stock price[843](index=843&type=chunk)[844](index=844&type=chunk) - Maintaining REIT qualification involves complex tax provisions. Failure to qualify would result in higher taxes, reduced cash for distributions, and potential delisting from the NYSE[791](index=791&type=chunk)[792](index=792&type=chunk)[795](index=795&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=184&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) No unregistered sales of equity securities occurred during the reporting period - None[870](index=870&type=chunk) [Exhibits](index=185&type=section&id=Item%206.%20Exhibits) This section lists all exhibits filed with the Form 10-Q, including purchase agreements, indentures, management agreements, and required CEO/CFO certifications - Key exhibits filed include the Stock Purchase Agreement for Caliber Home Loans, Inc., the Third Amended and Restated Management and Advisory Agreement with FIG LLC, and various debt indentures[875](index=875&type=chunk) - Certifications from the Chief Executive Officer and Chief Financial Officer pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are included[886](index=886&type=chunk)

New Residential Investment Corp. Quarterly Supplement SECOND QUARTER 2021 Disclaimers IN GENERAL. This disclaimer applies to this document and the verbal or written comments of any person presenting it. This document, taken together with any such verbal or written comments, is referred to herein as the "Presentation." FORWARD-LOOKING STATEMENTS. Certain statements regarding New Residential Investment Corp. (together with its subsidiaries, "New Residential," the "Company" or "we") in this Presentation may co ...

Financial Data and Key Metrics Changes - The company reported a GAAP net income of $121 million or $0.26 per diluted share, reflecting a dilution of $0.03 from the equity offering related to the Caliber purchase, which translates to approximately $0.29 per share pre-dilution [24] - Core earnings were $146.6 million or $0.31 per diluted share, effectively $0.34 per diluted share before the equity offering [25] - Book value was reported at $11.27, reflecting a dilution of $0.16, with a prior quarter book value of $11.35 [26] Business Line Data and Key Metrics Changes - NewRez originated $23.5 billion in loans during Q2, with pre-tax income of $75.4 million, maintaining its status as a top 10 non-bank mortgage originator [19] - The servicing portfolio reached $305 billion with pre-tax income of $32.3 million, also maintaining a top 10 status in non-bank mortgage servicing [19] - The refinance recapture rate increased to 40%, up from 28% in the previous quarter [30] Market Data and Key Metrics Changes - The company has a total economic return for the quarter of 1.1% [26] - The combined company is projected to achieve $173 billion in origination for 2021, with a total servicing portfolio of nearly $500 billion [32] Company Strategy and Development Direction - The acquisition of Caliber is viewed as a game changer, allowing the company to compete effectively across various channels and enhance product offerings [10][11] - The company plans to focus on proprietary portfolios, including call rights, early buyouts (EBOs), and mortgage servicing rights (MSRs), while remaining patient on capital deployment [14] - The single-family rental business is expected to grow significantly, with plans to acquire $5 billion worth of homes over the next five years [42] Management's Comments on Operating Environment and Future Outlook - Management anticipates that the strong economy will lead to higher interest rates, but believes the company is well-positioned to maintain and drive higher earnings [16] - The company is confident in its ability to maintain book value and drive higher earnings through its operating companies and investment business lines [17] - Management expressed optimism about the potential for significant upside in the MSR portfolio as interest rates rise [21] Other Important Information - The company has paid $3.7 billion in dividends since inception, with a current book equity of $6.1 billion and a market capitalization of approximately $5 billion [18] - The company has $25 billion in assets and is the largest non-bank owner of mortgage servicing rights [18] Q&A Session Summary Question: Improvement in gain on sale margins - Management noted a flattening in gain on sale margins across various channels, with specific improvements in the JV and DTC channels [64] Question: Estimated 2021 origination volumes for combined Caliber and NewRez - Management explained that the estimate is based on the performance of underlying channels and the limited overlap between the two companies [66] Question: EBO opportunity size - Management confirmed that the $700 million in EBOs is on the balance sheet and indicated potential for growth depending on market conditions [72][74] Question: Recapture rates strategy - Management highlighted a focus on targeting borrowers with favorable refinancing opportunities, leading to improved recapture rates [82] Question: Capital structure and appetite for additional leverage - Management stated that there is currently no need for additional capital, with expectations of maintaining sufficient liquidity post-acquisition [85] Question: Earnings expectations for Caliber - Management reiterated that synergies from the Caliber acquisition are expected to enhance overall earnings, with projections of $150 million to $200 million in annual synergies [100][104]

Part I. Financial Information [Item 1. Financial Statements (Unaudited)](index=6&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)) Unaudited consolidated financial statements show a significant Q1 2021 turnaround, driven by improved servicing revenue and mortgage loan gains [Consolidated Balance Sheets](index=6&type=section&id=Consolidated%20Balance%20Sheets) Balance sheets show total assets increased from **$33.25 billion to $35.18 billion** by March 31, 2021, driven by MSRs and real estate securities Consolidated Balance Sheet Metrics | Metric | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | Total Assets | $35,184,129 | $33,252,114 | | Total Liabilities | $29,562,316 | $27,822,430 | | Total Equity | $5,621,813 | $5,429,684 | | Mortgage Servicing Rights (MSRs) | $4,023,559 | $3,489,675 | | Real Estate and Other Securities | $14,606,157 | $14,244,558 | | Secured Financing Agreements | $19,522,460 | $17,547,680 | [Consolidated Statements of Income](index=7&type=section&id=Consolidated%20Statements%20of%20Income) Income statements reflect a turnaround from **$1.61 billion net loss** in Q1 2020 to **$301.34 million net income** in Q1 2021, driven by servicing revenue and mortgage loan gains Consolidated Statements of Income Metrics | Metric | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Total Revenues | $1,170,717 | $286,835 | | Total Expenses | $503,572 | $513,675 | | Net Income (Loss) | $301,336 | $(1,607,255) | | Net Income (Loss) Attributable to Common Stockholders | $277,584 | $(1,602,315) | | Basic EPS | $0.67 | $(3.86) | | Diluted EPS | $0.65 | $(3.86) | | Dividends Declared per Share of Common Stock | $0.20 | $0.05 | - Servicing revenue, net, dramatically increased from a loss of **$(289,115) thousand** in Q1 2020 to a gain of **$513,548 thousand** in Q1 2021, a key driver of the net income turnaround[22](index=22&type=chunk) - Gain on originated mortgage loans, held-for-sale, net, more than doubled from **$173,577 thousand** in Q1 2020 to **$403,434 thousand** in Q1 2021[22](index=22&type=chunk) [Consolidated Statements of Comprehensive Income](index=8&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income) Comprehensive income improved from a **$2.28 billion loss** in Q1 2020 to **$308.02 million income** in Q1 2021, mirroring net income turnaround Consolidated Statements of Comprehensive Income Metrics | Metric | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Net income (loss) | $301,336 | $(1,607,255) | | Other comprehensive income (loss), net of tax | $8,565 | $34,375 | | Reclassification of realized (gain) loss on available-for-sale securities, net into earnings | $(1,877) | $(710,391) | | Comprehensive income (loss) | $308,024 | $(2,283,271) | [Consolidated Statements of Changes in Stockholders' Equity](index=9&type=section&id=Consolidated%20Statements%20of%20Changes%20in%20Stockholders'%20Equity) Stockholders' equity increased from **$5.43 billion to $5.62 billion** by March 31, 2021, due to net income and comprehensive income, offset by dividends Consolidated Statements of Changes in Stockholders' Equity Metrics | Metric | Balance at March 31, 2021 (in thousands) | Balance at December 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Total New Residential stockholders' equity | $5,522,829 | $5,321,016 | | Preferred Stock Amount | $812,992 | $812,992 | | Common Stock Amount | $4,149 | $4,148 | | Additional Paid-in Capital | $5,547,607 | $5,547,108 | | Retained Earnings (Accumulated Deficit) | $(914,304) | $(1,108,929) | | Accumulated Other Comprehensive Income | $72,385 | $65,697 | - Net income attributable to common stockholders for the three months ended March 31, 2021, was **$291,942 thousand**, contributing positively to retained earnings[25](index=25&type=chunk) - Dividends declared on common stock were **$0.20 per share**, totaling **$82,959 thousand** for the quarter[25](index=25&type=chunk) [Consolidated Statements of Cash Flows](index=11&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Cash flows show a **$94.05 million net increase** in Q1 2021, a turnaround from a **$183.05 million decrease** in Q1 2020, driven by financing activities Consolidated Statements of Cash Flows Metrics | Cash Flow Activity | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Net cash provided by (used in) operating activities | $(495,357) | $1,311,416 | | Net cash provided by (used in) investing activities | $(798,481) | $16,660,824 | | Net cash provided by (used in) financing activities | $1,387,883 | $(18,155,286) | | Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | $94,045 | $(183,046) | | Cash, Cash Equivalents, and Restricted Cash, End of Period | $1,174,518 | $507,888 | - Operating activities used **$495.36 million** in cash in Q1 2021, a reversal from providing **$1.31 billion** in Q1 2020, primarily due to changes in working capital and loan origination/sales activities[28](index=28&type=chunk) - Investing activities used **$798.48 million** in cash in Q1 2021, a significant shift from providing **$16.66 billion** in Q1 2020, reflecting changes in purchases and sales of various investments[29](index=29&type=chunk) - Financing activities provided **$1.39 billion** in cash in Q1 2021, a substantial improvement from using **$18.16 billion** in Q1 2020, driven by net borrowings under secured financing agreements[31](index=31&type=chunk) [Notes to Consolidated Financial Statements](index=14&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) Detailed notes disclose organization, accounting policies, segment performance, and financial instruments, covering MSRs, debt, equity, and related party transactions [Note 1. Organization and Basis of Presentation](index=14&type=section&id=Note%201.%20Organization%20and%20Basis%20of%20Presentation) New Residential is a REIT focused on residential mortgage investments, operating through six segments, and evaluating new accounting pronouncements - New Residential is a Delaware corporation, a publicly traded REIT, listed on NYSE under "NRZ," primarily investing in residential mortgage-related assets[33](index=33&type=chunk) - The company operates through six segments: Origination, Servicing, MSR Related Investments, Residential Securities and Loans, Consumer Loans, and Corporate[37](index=37&type=chunk) - The company is evaluating the impact of ASU 2020-04 (LIBOR reform) and ASU 2020-06 (convertible instruments) on its financial statements, with ASU 2020-06 effective in Q1 2022[45](index=45&type=chunk)[46](index=46&type=chunk)[47](index=47&type=chunk) [Note 2. Other Assets and Liabilities, General and Administrative, and Other Items](index=16&type=section&id=Note%202.%20Other%20Assets%20and%20Liabilities%2C%20General%20and%20Administrative%2C%20and%20Other%20Items) Details other assets and liabilities, including margin receivable and deferred tax liability, and breakdowns of expenses and fair value changes Other Assets and Liabilities Metrics | Item | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | **Other Assets:** | | | | Margin receivable, net | $612,814 | $271,753 | | Derivative assets | $408,230 | $290,144 | | Total Other Assets | $1,826,109 | $1,358,422 | | **Accrued Expenses and Other Liabilities:** | | | | Deferred tax liability | $93,149 | $7,859 | | Derivative liabilities | $74,735 | $119,762 | | Total Accrued Expenses and Other Liabilities | $797,452 | $537,302 | General and Administrative Expenses | Expense Category | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Compensation and benefits expense | $65,426 | $51,341 | | Compensation and benefits expense, origination | $133,218 | $61,278 | | Loan origination expense | $40,245 | $16,929 | | Subservicing expense | $49,839 | $66,981 | | Total General and Administrative Expenses | $362,505 | $275,099 | - Change in fair value of investments shifted from a loss of **$(566,276) thousand** in Q1 2020 to a loss of **$(265,566) thousand** in Q1 2021, with derivative instruments showing a significant positive change[55](index=55&type=chunk) [Note 3. Segment Reporting](index=19&type=section&id=Note%203.%20Segment%20Reporting) Reports financial data across six segments, detailing revenue, expense, and asset breakdowns, with Origination and MSR Related Investments as key contributors - The company's reportable segments are Origination, Servicing, MSR Related Investments, Residential Securities and Loans, Consumer Loans, and Corporate[58](index=58&type=chunk) Segment Performance (Q1 2021) | Segment (Q1 2021) | Total Revenues (in thousands) | Net Income (Loss) (in thousands) | Total Assets (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | :----------------------------- | | Origination | $399,165 | $154,849 | $4,665,565 | | Servicing | $114,798 | $23,676 | $316,968 | | MSR Related Investments | $580,513 | $336,861 | $10,550,856 | | Residential Securities and Loans | $103,248 | $(234,910) | $15,494,578 | | Consumer Loans | $49,470 | $89,907 | $3,362,626 | | Corporate | $25,466 | $11,142 | $715,997 | | Total | $1,170,717 | $301,336 | $35,184,129 | [Note 4. Excess Mortgage Servicing Rights Assets](index=21&type=section&id=Note%204.%20Excess%20Mortgage%20Servicing%20Rights%20Assets) Excess MSRs totaled **$402.45 million** at March 31, 2021, valued using a **7.8% weighted average discount rate** Excess MSRs Carrying Value | Excess MSRs Category | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | Direct investments in Excess MSRs | $303,568 | $310,938 | | Excess MSR Joint Ventures | $98,886 | $99,917 | | Total Excess mortgage servicing rights assets, at fair value | $402,454 | $410,855 | - A weighted average discount rate of **7.8%** was used to value Excess MSRs as of March 31, 2021[69](index=69&type=chunk) - The company has recapture agreements for direct Excess MSR investments, entitling it to a pro rata interest in Excess MSRs on refinancings by Mr. Cooper or SLS[66](index=66&type=chunk) [Note 5. Mortgage Servicing Rights and MSR Financing Receivables](index=23&type=section&id=Note%205.%20Mortgage%20Servicing%20Rights%20and%20MSR%20Financing%20Receivables) MSRs and MSR Financing Receivables increased to **$5.05 billion**, driven by originations and fair value changes, with **$1.5 billion** in loans subject to repurchase MSRs and MSR Financing Receivables Carrying Value | Metric | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | MSRs, at fair value | $4,023,559 | $3,489,675 | | MSR Financing Receivables, at fair value | $1,021,780 | $1,096,166 | | Total MSRs and MSR Financing Receivables | $5,045,339 | $4,585,841 | Servicing Revenue, Net Components | Servicing Revenue, Net Components | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Servicing fee revenue | $263,743 | $328,122 | | Ancillary and other fees | $31,894 | $32,138 | | Change in fair value due to realization of cash flows | $(317,716) | $(191,367) | | Change in valuation inputs and assumptions | $545,379 | $(463,711) | | Servicing revenue, net | $513,548 | $(289,115) | - As of March 31, 2021, New Residential holds approximately **$1.5 billion** in residential mortgage loans subject to repurchase and a corresponding repurchase liability due to Ginnie Mae's unilateral right to repurchase delinquent loans[87](index=87&type=chunk) [Note 6. Servicer Advance Investments](index=27&type=section&id=Note%206.%20Servicer%20Advance%20Investments) Servicer Advance Investments decreased to **$517.56 million** at March 31, 2021, primarily financed through non-recourse structures and valued at fair value Servicer Advance Investments Metrics | Metric | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | Servicer advance investments, carrying value | $517,557 | $538,056 | | UPB of Underlying Residential Mortgage Loans | $24,439,045 | $26,061,499 | | Outstanding Servicer Advances | $440,306 | $449,150 | | Face Amount of Secured Notes and Bonds Payable | $403,570 | $423,144 | - The weighted average discount rate for Servicer Advance Investments was **5.2%** and the weighted average yield was **5.7%** as of March 31, 2021[104](index=104&type=chunk) - Interest income from servicer advance investments was **$6.81 million** for the three months ended March 31, 2021, a significant increase from a loss of **$(18.09) million** in the prior year[108](index=108&type=chunk) [Note 7. Real Estate and Other Securities](index=29&type=section&id=Note%207.%20Real%20Estate%20and%20Other%20Securities) Real Estate and Other Securities portfolio grew to **$14.61 billion**, mainly Agency RMBS, with significant unrealized losses primarily from non-credit factors Real Estate and Other Securities Carrying Value | Asset Type | March 31, 2021 Carrying Value (in thousands) | December 31, 2020 Carrying Value (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Agency RMBS | $13,558,231 | $13,063,634 | | Non-Agency RMBS | $1,047,926 | $1,180,924 | | Total Real Estate and Other Securities | $14,606,157 | $14,244,558 | Unrealized Loss Position (March 31, 2021) | Unrealized Loss Position (March 31, 2021) | Amortized Cost Basis After Credit Impairment (in thousands) | Gross Unrealized Losses (in thousands) | Carrying Value (in thousands) | | :------------------------------------- | :---------------------------------------------------- | :------------------------------------- | :------------------------------------- | | Less than 12 Months | $13,904,381 | $(417,210) | $13,487,171 | | 12 or More Months | $135,662 | $(24,604) | $111,058 | | Total | $14,040,043 | $(441,814) | $13,598,229 | - The majority of unrealized losses on debt securities are due to non-credit factors, totaling **$(441,814) thousand** as of March 31, 2021[117](index=117&type=chunk) [Note 8. Residential Mortgage Loans](index=33&type=section&id=Note%208.%20Residential%20Mortgage%20Loans) Residential mortgage loans increased to **$5.92 billion**, including held-for-investment and held-for-sale, with **$12.1 million** gain on securitizations from trust calls Residential Mortgage Loans by Type (March 31, 2021) | Loan Type (March 31, 2021) | Outstanding Face Amount (in thousands) | Carrying Value (in thousands) | Loan Count | | :------------------------------------- | :------------------------------------- | :---------------------------- | :--------- | | Held-for-investment, at fair value | $708,746 | $656,752 | 11,806 | | Held-for-sale, at lower of cost or market | $379,186 | $323,079 | 4,719 | | Held-for-sale, at fair value | $5,582,608 | $5,600,476 | 23,813 | | Total | $5,961,794 | $5,923,555 | | Net Interest Income from Residential Mortgage Loans | Net Interest Income | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Total interest income | $59,174 | $76,656 | | Total interest expense | $39,339 | $44,200 | | Net interest income | $19,835 | $32,456 | - For the three months ended March 31, 2021, New Residential executed calls on 18 trusts, recognizing **$2.2 million** of interest income and **$12.1 million** of gain on securitizations[130](index=130&type=chunk) [Note 9. Consumer Loans](index=36&type=section&id=Note%209.%20Consumer%20Loans) Consumer loan portfolio decreased to **$638.99 million**, comprising performing and PCD loans, with a **17.6% weighted average coupon** Consumer Loan Portfolio (March 31, 2021) | Loan Type (March 31, 2021) | Unpaid Principal Balance (in thousands) | Carrying Value (in thousands) | Weighted Average Coupon | Weighted Average Expected Life (Years) | | :------------------------------------- | :-------------------------------------- | :---------------------------- | :---------------------- | :------------------------------------- | | Performing Loans | $456,572 | $516,597 | 18.5% | 3.5 | | Purchased Credit Deteriorated Loans | $118,758 | $120,731 | 14.3% | 3.5 | | Other - Performing Loans | $1,794 | $1,658 | 15.5% | 0.3 | | Total Consumer Loans | $577,124 | $638,986 | 17.6% | 3.4 | - The weighted average delinquency for consumer loans (30+ days past due) was **4.5%** as of March 31, 2021[139](index=139&type=chunk) [Note 10. Derivatives](index=38&type=section&id=Note%2010.%20Derivatives) Derivatives, including swaps and TBAs, are used for hedging, with **$408.23 million** in assets and **$74.74 million** in liabilities as of March 31, 2021 Derivative Assets and Liabilities | Derivative Type | March 31, 2021 (in thousands) | December 31, 2020 (in thousands) | | :------------------------------------- | :----------------------------- | :----------------------------- | | Derivative assets | $408,230 | $290,144 | | Derivative liabilities | $74,735 | $119,762 | | Notional Amount of Interest Rate Swaps | $10,045,000 | $6,515,000 | | Notional Amount of IRLCs | $14,266,506 | $15,031,345 | | Notional Amount of TBAs, short position | $37,712,279 | $23,529,408 | Income (Loss) from Derivatives | Income (Loss) from Derivatives | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Servicing revenue, net (TBAs) | $(8,823) | $0 | | Gain on originated mortgage loans, held-for-sale, net (IRLCs, TBAs, Forward loan sale commitments) | $173,033 | $(48,075) | | Change in fair value of derivative investments (Interest rate swaps) | $206,205 | $(39,982) | | Gain (loss) on settlement of investments, net (Interest rate swaps, TBAs) | $(27,373) | $(84,712) | | Total income (loss) | $343,042 | $(172,769) | [Note 11. Debt Obligations](index=40&type=section&id=Note%2011.%20Debt%20Obligations) Total debt increased to **$26.63 billion**, including secured financing and notes, with **$550 million** in new senior unsecured notes issued Debt Obligations Carrying Value | Debt Category | March 31, 2021 Carrying Value (in thousands) | December 31, 2020 Carrying Value (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Secured Financing Agreements | $19,522,460 | $17,547,680 | | Secured Notes and Bonds Payable | $7,107,875 | $7,644,195 | | Total Debt Obligations | $26,630,335 | $25,191,875 | - The company retired its **$600 million** 2020 Term Loan in September 2020, incurring a **$61.1 million** loss on extinguishment of debt[165](index=165&type=chunk)[169](index=169&type=chunk) - Issued **$550 million** aggregate principal amount of **6.250%** senior unsecured notes due 2025, with net proceeds of **$544.5 million** used to retire the 2020 Term Loan[167](index=167&type=chunk)[169](index=169&type=chunk) [Note 12. Fair Value Measurement](index=44&type=section&id=Note%2012.%20Fair%20Value%20Measurement) Details fair value hierarchy, with significant assets valued using Level 3 inputs, and provides MSR sensitivity analyses to various rate changes Fair Value Hierarchy (March 31, 2021) | Asset/Liability Category (March 31, 2021) | Total Fair Value (in thousands) | Level 1 (in thousands) | Level 2 (in thousands) | Level 3 (in thousands) | | :------------------------------------- | :------------------------------ | :--------------------- | :--------------------- | :--------------------- | | **Assets:** | | | | | | Excess MSRs | $303,568 | $0 | $0 | $303,568 | | MSRs | $4,023,559 | $0 | $0 | $4,023,559 | | Servicer advance investments | $517,557 | $0 | $0 | $517,557 | | Real estate and other securities | $14,606,157 | $0 | $13,558,231 | $1,047,926 | | Residential mortgage loans, held-for-sale, at fair value | $5,600,476 | $0 | $3,855,552 | $1,744,924 | | Consumer loans | $638,986 | $0 | $0 | $638,986 | | Derivative assets | $408,230 | $0 | $315,716 | $92,514 | | **Liabilities:** | | | | | | Secured financing agreements | $19,524,439 | $0 | $19,524,439 | $0 | | Secured notes and bonds payable | $7,121,508 | $0 | $0 | $7,121,508 | | Derivative liabilities | $74,735 | $0 | $36,313 | $38,422 | - For Agency MSRs, a **10% decrease** in prepayment rate would increase fair value by **3.0%** (**$97.54 million**), while a **10% increase** would decrease it by **(2.8)%** (**$(88.58) million**)[532](index=532&type=chunk) - For Non-Agency MSRs, a **10% decrease** in prepayment rate would increase fair value by **1.9%** (**$19.88 million**), while a **10% increase** would decrease it by **(1.8)%** (**$(18.25) million**)[533](index=533&type=chunk) [Note 13. Variable Interest Entities](index=52&type=section&id=Note%2013.%20Variable%20Interest%20Entities) Consolidates several VIEs, with total assets of **$2.19 billion** and liabilities of **$1.66 billion** as of March 31, 2021 - New Residential consolidates VIEs where it has power to direct significant activities and the obligation to absorb losses or right to receive significant benefits[216](index=216&type=chunk)[217](index=217&type=chunk) Consolidated VIEs (March 31, 2021) | VIE Category (March 31, 2021) | Total Assets (in thousands) | Total Liabilities (in thousands) | | :------------------------------------- | :---------------------------- | :------------------------------- | | The Buyer (Servicer Advance Investments) | $543,123 | $394,305 | | Shelter Joint Ventures | $42,200 | $7,195 | | Residential Mortgage Loans (NPL/RPL Securitizations, MDST Trusts) | $954,519 | $669,567 | | Consumer Loan SPVs | $653,652 | $591,729 | | Total Consolidated VIEs | $2,193,494 | $1,662,796 | - The creditors of the VIEs do not have recourse to the general credit of New Residential, and VIE assets are not directly available to satisfy New Residential's obligations[227](index=227&type=chunk) [Note 14. Equity and Earnings Per Share](index=55&type=section&id=Note%2014.%20Equity%20and%20Earnings%20Per%20Share) Details preferred and common stock, including a **$200 million** repurchase authorization, and presents basic and diluted EPS calculations - On February 16, 2021, the board authorized the repurchase of up to **$200.0 million** of common stock through December 31, 2021. No repurchases have been made as of the report filing[232](index=232&type=chunk)[287](index=287&type=chunk) Preferred Stock Series (March 31, 2021) | Preferred Stock Series (March 31, 2021) | Number of Shares (in thousands) | Liquidation Preference (in thousands) | Carrying Value (in thousands) | Dividends Declared per Share (Q1 2021) | | :------------------------------------- | :------------------------------ | :------------------------------------ | :---------------------------- | :------------------------------------- | | Series A, 7.50% | 6,210 | $155,250 | $150,026 | $0.47 | | Series B, 7.125% | 11,300 | $282,500 | $273,418 | $0.45 | | Series C, 6.375% | 16,100 | $402,500 | $389,548 | $0.40 | | Total | 33,610 | $840,250 | $812,992 | $1.32 | EPS Metrics | EPS Metric | Three Months Ended March 31, 2021 | Three Months Ended March 31, 2020 | | :------------------------------------- | :-------------------------------- | :-------------------------------- | | Basic EPS | $0.67 | $(3.86) | | Diluted EPS | $0.65 | $(3.86) | | Weighted Average Shares Outstanding (Diluted) | 429,491,379 | 415,589,155 | [Note 15. Commitments and Contingencies](index=58&type=section&id=Note%2015.%20Commitments%20and%20Contingencies) Involved in legal proceedings without expected material adverse effects, with commitments including **$1.5 billion** for Ginnie Mae repurchases and **$256.8 million** in unfunded consumer loan credit - The company is involved in various disputes, litigation, and regulatory inquiries, but does not currently believe any would result in a material adverse effect[247](index=247&type=chunk)[248](index=248&type=chunk) - As of March 31, 2021, the estimated liability associated with representations and warranties and Ginnie Mae repurchases was **$9.8 million** and **$1.5 billion**, respectively[252](index=252&type=chunk) - Consumer Loan Companies have **$256.8 million** of unfunded and available revolving credit privileges, though draws may be denied at the company's discretion[254](index=254&type=chunk) [Note 16. Transactions with Affiliates and Affiliated Entities](index=61&type=section&id=Note%2016.%20Transactions%20with%20Affiliates%20and%20Affiliated%20Entities) Externally managed by FIG LLC, an affiliate of Fortress, with management fees (**1.5% of gross equity**) and incentive compensation, leading to potential conflicts of interest - New Residential is managed by FIG LLC, an affiliate of Fortress Investment Group LLC, under a Management Agreement[263](index=263&type=chunk) - The Manager receives a management fee of **1.5% per annum of gross equity** and annual incentive compensation based on funds from operations[264](index=264&type=chunk)[265](index=265&type=chunk) Affiliate Expenses and Fees | Affiliate Expenses and Fees | Three Months Ended March 31, 2021 (in thousands) | Three Months Ended March 31, 2020 (in thousands) | | :------------------------------------- | :------------------------------------- | :------------------------------------- | | Management fees | $22,162 | $21,721 | | Incentive compensation | $0 | $0 | | Expense reimbursements | $125 | $125 | | Total | $22,287 | $21,846 | [Note 17. Income Taxes](index=63&type=section&id=Note%2017.%20Income%20Taxes) Intends to qualify as a REIT, but TRSs are subject to corporate taxes, resulting in a **$93.1 million net deferred tax liability** primarily from MSRs - New Residential intends to qualify as a REIT, requiring distribution of at least **90%** of REIT taxable income to avoid federal corporate income tax[274](index=274&type=chunk) - Business segments like servicing, origination, and MSR related investments operate through TRSs, which are subject to corporate income taxes[275](index=275&type=chunk) - As of March 31, 2021, a net deferred tax liability of **$93.1 million** was recorded, primarily related to MSRs[276](index=276&type=chunk) [Note 18. Subsequent Events](index=64&type=section&id=Note%2018.%20Subsequent%20Events) Subsequent to Q1 2021, the company agreed to acquire Caliber Home Loans for **$1.675 billion**, financed by a **$512.0 million** common stock offering - On April 14, 2021, New Residential entered into an agreement to acquire Caliber Home Loans Inc. for **$1.675 billion**, with the transaction targeted to close in Q3 2021[278](index=278&type=chunk) - On April 14, 2021, the company priced a public offering of **45,000,000 common shares** at **$10.10 per share**, raising approximately **$512.0 million** to finance the Caliber acquisition[279](index=279&type=chunk)[280](index=280&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=65&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses Q1 2021 financial condition, operations, and cash flows, highlighting the net income turnaround, market impacts, and Caliber acquisition [General](index=65&type=section&id=General) New Residential is a REIT investing in residential real estate, with **$35 billion** in total assets and **6,086 employees** as of March 31, 2021 Company Metrics | Metric | As of March 31, 2021 | | :------------------------------------- | :------------------- | | Total Assets | $35 billion | | Employees within operating entities | 6,086 | - New Residential is a publicly traded REIT focused on opportunistically investing in and actively managing residential real estate market investments[284](index=284&type=chunk) [Our Manager](index=65&type=section&id=Our%20Manager) The company is externally managed by an affiliate of Fortress Investment Group LLC, leveraging its global investment management resources - The company is externally managed by an affiliate of Fortress Investment Group LLC[286](index=286&type=chunk) [Capital Activities](index=65&type=section&id=Capital%20Activities) Board authorized a **$200.0 million** common stock repurchase program through December 31, 2021, with no repurchases made to date - On February 16, 2021, the board authorized a common stock repurchase program of up to **$200.0 million** through December 31, 2021[287](index=287&type=chunk) - No share repurchases have been made as of the filing of this report[287](index=287&type=chunk) [Market Considerations](index=67&type=section&id=Market%20Considerations) Q1 2021 saw economic recovery with GDP expansion and falling unemployment, but COVID-19 uncertainties persist, impacting mortgage rates and yields - U.S. real GDP expanded by **6.4%** in Q1 2021, accelerating from **4.3%** in Q4 2020[298](index=298&type=chunk) - The unemployment rate fell to **6.0%** at the end of March 2021, down from **6.7%** in December 2020[298](index=298&type=chunk) - Conventional 30-year mortgage rates increased to **3.361%** as of March 31, 2021, from **2.92%** at December 31, 2020[292](index=292&type=chunk) - Industry forbearance rates declined to **4.9%** in Q1 2021 from **5.3%** at the end of 2020[292](index=292&type=chunk) [Proposed Changes to LIBOR](index=68&type=section&id=Proposed%20Changes%20to%20LIBOR) Company prepares for LIBOR phase-out by adopting SOFR for ARMs and amending debt, facing uncertainties in timing and hedging complexities - LIBOR is expected to phase out after 2021, with SOFR identified as the preferred alternative rate in the U.S[299](index=299&type=chunk) - The company has adopted the SOFR index for Freddie Mac and Fannie Mae adjustable-rate mortgages (ARMs) and is amending debt facilities to transition from LIBOR[300](index=300&type=chunk) [Our Portfolio](index=69&type=section&id=Our%20Portfolio) Portfolio totals **$35.18 billion** in assets, comprising servicing, origination, residential securities, and other investments, with detailed breakdowns provided [Operating Investments](index=69&type=section&id=Operating%20Investments) Operating investments, including Origination and Servicing, showed strong Q1 2021 growth, driven by increased loan origination and expanded servicing portfolio [Origination](index=69&type=section&id=Origination) NewRez's loan origination volume reached **$27.2 billion** in Q1 2021, driven by refinance activity, with gain on sale margins at **1.43%** Loan Origination Volume and Margins | Metric | Q1 2021 (in millions) | Q4 2020 (in millions) | Q1 2020 (in millions) | QoQ Change (in millions) | YoY Change (in millions) | | :------------------------------------- | :-------------------- | :-------------------- | :-------------------- | :----------------------- | :----------------------- | | Total Production by Channel | $27,212 | $23,856 | $11,414 | $3,356 | $15,798 | | Total Production by Product | $27,212 | $23,856 | $11,414 | $3,356 | $15,798 | | % Purchase | 27% | 29% | 33% | | | | % Refinance | 73% | 71% | 67% | | | | Gain on originated mortgage loans, as a percentage of pull through adjusted lock volume | 1.43% | 1.57% | 1.28% | | | - NewRez's quarterly market share grew to **2.49%** in Q1 2021 from **1.89%** in the prior quarter[303](index=303&type=chunk) [Servicing](index=71&type=section&id=Servicing) Total servicing portfolio grew to **$304.6 billion UPB** in Q1 2021, with active forbearances stable at **3.5%** of loans Servicing Portfolio Metrics | Metric | March 31, 2021 (in millions) | December 31, 2020 (in millions) | March 31, 2020 (in millions) | QoQ Change (in millions) | YoY Change (in millions) | | :------------------------------------- | :----------------------------- | :----------------------------- | :----------------------------- | :----------------------- | :----------------------- | | Total Servicing Portfolio (UPB) | $304,587 | $297,765 | $275,822 | $6,822 | $28,765 | | Total Servicing Fees | $113,515 | $122,391 | $87,246 | $(8,876) | $26,269 | - Active forbearances in the NewRez/SMS servicing portfolio were **3.5%** of loans as of March 31, 2021, essentially flat from **3.4%** in December 2020[312](index=312&type=chunk) - Annualized direct cost to service per current loan increased **1%** quarter-over-quarter to **$74**[313](index=313&type=chunk) [MSR Related Investments](index=73&type=section&id=MSR%20Related%20Investments) MSR Related Investments segment includes MSR and MSR Financing Receivables, financed by debt, and strategic minority investments in service providers [MSRs and MSR Financing Receivables](index=73&type=section&id=MSRs%20and%20MSR%20Financing%20Receivables) MSR and MSR Financing Receivables portfolio decreased to **$514 billion UPB** due to prepayments, financed primarily by recourse debt MSR Portfolio (March 31, 2021) | MSR Category (March 31, 2021) | Current UPB (billions) | Weighted Average MSR (bps) | Carrying Value (millions) | | :------------------------------------- | :--------------------- | :------------------------- | :------------------------ | | MSRs (GSE, Non-Agency, Ginnie Mae) | $354.1 | 34 | $4,023.5 | | MSR Financing Receivables (Non-Agency) | $64.4 | 48 | $1,021.8 | | Total | $418.5 | 34 | $5,045.3 | - The total MSR and MSR Financing Receivables portfolio decreased to **$514 billion UPB** from **$536 billion UPB** in Q4 2020, predominantly due to prepayments[318](index=318&type=chunk) - The company finances MSRs and MSR financing receivables with short- and medium-term bank and public capital markets notes, primarily recourse debt[319](index=319&type=chunk) [MSR Related Ancillary Business](index=77&type=section&id=MSR%20Related%20Ancillary%20Business) Includes Guardian, a field services provider, and a **24.3%** strategic minority investment in Covius, offering technology-enabled mortgage and real estate services - The MSR related investments segment includes Guardian, a national provider of field services and property management[345](index=345&type=chunk) - The company holds a **24.3%** strategic minority investment in Covius, a provider of technology-enabled services to the mortgage and real estate industries[346](index=346&type=chunk) [Residential Securities and Loans](index=78&type=section&id=Residential%20Securities%20and%20Loans) Segment includes Real Estate Securities and Residential Mortgage Loans, with increased carrying value, detailed net interest spreads, and cleanup call options [Real Estate Securities](index=78&type=section&id=Real%20Estate%20Securities) Agency RMBS portfolio valued at **$13.56 billion** with **1.96% net interest spread**, Non-Agency RMBS at **$1.05 billion** with **0.26% spread**, both financed by repurchase agreements Real Estate Securities Portfolio (March 31, 2021) | Asset Type (March 31, 2021) | Carrying Value (in thousands) | 3-Month CPR | Net Interest Spread | | :------------------------------------- | :---------------------------- | :---------- | :------------------ | | Agency RMBS | $13,558,231 | 8.5% | 1.96% | | Non-Agency RMBS | $1,047,926 | 15.8% | 0.26% | - The company holds cleanup call options on securitization trusts serviced by Mr. Cooper, SLS, and Ocwen, with an aggregate UPB of approximately **$80.0 billion**[357](index=357&type=chunk) [Residential Mortgage Loans](index=80&type=section&id=Residential%20Mortgage%20Loans) Residential mortgage loan portfolio had **$6.7 billion** outstanding, financed by **$5.1 billion** in secured agreements and **$0.7 billion** in notes, including held-for-investment and held-for-sale loans Residential Mortgage Loan Portfolio (March 31, 2021) | Loan Type (March 31, 2021) | Outstanding Face Amount (in thousands) | Carrying Value (in thousands) | | :------------------------------------- | :------------------------------------- | :---------------------------- | | Held-for-investment, at fair value | $708,746 | $656,752 | | Held-for-sale, at lower of cost or market | $379,186 | $323,079 | | Held-for-sale, at fair value | $5,582,608 | $5,600,476 | | Total | $5,961,794 | $5,923,555 | - The residential mortgage loan portfolio is financed with approximately **$5.1 billion** in secured financing agreements and **$0.7 billion** in secured notes and bonds payable[363](index=363&type=chunk) [Other](index=82&type=section&id=Other) Details the consumer loan portfolio, including composition, carrying value, and financing structure, primarily through securitized non-recourse long-term notes [Consumer Loans](index=82&type=section&id=Consumer%20Loans) Consumer loan portfolio had **$577.12 million UPB** and **$638.99 million carrying value**, financed by securitized non-recourse long-term notes Consumer Loan Portfolio (March 31, 2021) | Loan Type (March 31, 2021) | UPB (in thousands) | Carrying Value (in thousands) | Weighted Average Coupon | Weighted Average Expected Life (Years) | | :------------------------------------- | :----------------- | :---------------------------- | :---------------------- | :------------------------------------- | | Consumer loans | $577,124 | $638,986 | 17.7% | 3.4 | - Consumer loans are financed with securitized non-recourse long-term notes, which are non-mark-to-market and not subject to margin calls[370](index=370&type=chunk) [Taxes](index=82&type=section&id=Taxes) Operates as a REIT, but TRSs are subject to corporate taxes, resulting in a **$93.1 million net deferred tax liability** primarily from MSRs - The company has elected REIT status, generally avoiding federal income tax on distributed income[371](index=371&type=chunk) - Certain assets (Servicer Advance Investments, MSRs) and operations (securitization, servicing, origination, ancillary businesses) are held in TRSs and are subject to federal, state, and local income tax[372](index=372&type=chunk) - A net deferred tax liability of **$93.1 million** was recorded as of March 31, 2021, primarily related to MSRs and fair value changes in taxable entities[374](index=374&type=chunk) [Application of Critical Accounting Policies](index=82&type=section&id=Application%20of%20Critical%20Accounting%20Policies) Financial statements rely on estimates and assumptions, with inherent uncertainty due to COVID-19, acknowledging potential material differences from actual results - The preparation of financial statements requires the use of estimates and assumptions, which are inherently less certain due to the ultimate impact of COVID-19[379](index=379&type=chunk) [Results of Operations](index=84&type=section&id=Results%20of%20Operations) Net income shifted from a **$1.61 billion loss** in Q1 2020 to a **$301.34 million gain** in Q1 2021, driven by servicing revenue and mortgage loan gains Results of Operations Summary | Metric | Q1 2021 (in thousands) | Q4 2020 (in thousands) | Q1 2020 (in thousands) | QoQ Change (in thousands) | YoY Change (in thousands) | | :------------------------------------- | :--------------------- | :--------------------- | :--------------------- | :------------------------ | :------------------------ | | Total Revenues | $1,170,717 | $570,669 | $286,835 | $600,048 | $883,882 | | Total Expenses | $503,572 | $421,567 | $513,675 | $82,005 | $(10,103) | | Net Income (Loss) | $301,336 | $101,522 | $(1,607,255) | $199,814 | $1,908,591 | | Net Income (Loss) Attributable to Common Stockholders | $277,584 | $68,609 | $(1,602,315) | $208,975 | $1,879,899 | - Servicing revenue, net, increased by **$609.3 million QoQ** and **$802.7 million YoY**, primarily due to positive mark-to-market adjustments and slower prepayments[388](index=388&type=chunk)[389](index=389&type=chunk) - Gain on originated mortgage loans, held-for-sale, net, increased **$229.9 million YoY**, driven by higher loan origination volume (**$27.2 billion** in Q1 2021 vs. **$11.4 billion** in Q1 2020)[392](index=392&type=chunk) [Liquidity and Capital Resources](index=93&type=section&id=Liquidity%20and%20Capital%20Resources) Liquidity is driven by operations, sales, debt, and equity, with **$1.04 billion** cash, relying on **$19.5 billion** secured financing, and acknowledging market risks - Primary sources of funds include operating activities, sales/repayments from investments, debt financing, and equity issuance[442](index=442&type=chunk) - Total cash and cash equivalents were **$1,038.5 million** at March 31, 2021[443](index=443&type=chunk) - Approximately **$744.0 million** of cash and cash equivalents were held at NRM and NewRez, with **$587.7 million** in excess of regulatory liquidity requirements[444](index=444&type=chunk) Total Debt Obligations | Debt Category | March 31, 2021 Outstanding Face Amount (in thousands) | | :------------------------------------- | :-------------------------------------------- | | Secured Financing Agreements | $19,524,439 | | Secured Notes and Bonds Payable | $7,127,164 | | Total Debt Obligations | $26,651,603 | Debt Obligations and Collateral (March 31, 2021) | Debt Obligations/Collateral (March 31, 2021) | Borrowing Capacity (in thousands) | Balance Outstanding (in thousands) | Available Financing (in thousands) | | :------------------------------------- | :-------------------------------- | :--------------------------------- | :--------------------------------- | | Residential mortgage loans and REO | $4,553,745 | $1,503,861 | $3,049,884 | | New loan origination | $7,823,000 | $3,638,280 | $4,184,720 | | Excess MSRs | $286,380 | $265,899 | $20,481 | | MSRs | $3,667,277 | $2,696,137 | $971,140 | | Servicer advances | $4,315,000 | $2,898,333 | $1,416,667 | | Total | $20,645,402 | $11,002,510 | $9,642,892 | [Off-Balance Sheet Arrangements](index=103&type=section&id=Off-Balance%20Sheet%20Arrangements) Material off-balance sheet arrangements relate to non-consolidated securitizations, with **$1.1 billion** credit loss exposure and **$13.0 billion UPB** of underlying loans - Material off-balance sheet arrangements relate to non-consolidated securitizations of residential mortgage loans, with credit loss exposure limited to **$1.1 billion**[492](index=492&type=chunk) - As of March 31, 2021, **$13.0 billion** in total outstanding unpaid principal balance of residential mortgage loans underlay these off-balance sheet securitization trusts[492](index=492&type=chunk) [Contractual Obligations](index=103&type=section&id=Contractual%20Obligations) Contractual obligations include future servicer advances, unfunded consumer loan credit privileges, and **$30.67 million** in non-cancelable operating lease payments - Commitments include future servicer advances, with expected net recoveries exceeding net fundings for the foreseeable future[494](index=494&type=chunk) - Consumer Loan Companies have **$256.8 million** of unfunded and available revolving credit privileges as of March 31, 2021[494](index=494&type=chunk) Undiscounted Lease Payments | Year Ending | Total Remaining Undiscounted Lease Payments (in thousands) | | :------------------------------------- | :--------------------------------------------------- | | April 1 through December 31, 2021 | $9,843 | | 2022 | $10,121 | | 2023 | $5,854 | | 2024 | $2,734 | | 2025 | $2,116 | | Total | $30,668 | [Core Earnings](index=103&type=section&id=Core%20Earnings) Core earnings, a non-GAAP measure, were **$144.77 million** (**$0.34 per diluted share**) in Q1 2021, up from **$136.97 million** in Q4 2020 - "Core earnings" is a non-GAAP measure that excludes realized/unrealized gains/losses, incentive compensation, non-capitalized transaction-related expenses, and deferred taxes to focus on core operating performance[496](index=496&type=chunk)[497](index=497&type=chunk) Core Earnings Summary | Metric | Q1 2021 (in thousands) | Q4 2020 (in thousands) | Q1 2020 (in thousands) | | :------------------------------------- | :--------------------- | :--------------------- | :--------------------- | | Net (loss) income attributable to common stockholders | $277,584 | $68,609 | $(1,602,315) | | Core earnings | $144,768 | $136,965 | $198,371 | | Core earnings per diluted share | $0.34 | $0.32 | $0.48 | [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=106&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) Details exposure to market risks including interest rate, mortgage basis spread, prepayment, and credit risks, with MSR sensitivity analyses and mitigation strategies [Interest Rate Risk](index=106&type=section&id=Interest%20Rate%20Risk) Interest rate changes impact investment fair values and net interest income, with derivatives used for hedging, though REIT rules impose limitations - Changes in interest rates affect the fair value of fixed-rate assets (decreasing with rising rates) and MSRs (increasing with rising rates)[510](index=510&type=chunk)[512](index=512&type=chunk) - The company uses derivatives to hedge interest rate exposure, but REIT provisions limit this ability[512](index=512&type=chunk)[518](index=518&type=chunk) Estimated Change in Fair Value from Interest Rate Changes | Interest Rate Change (bps) | Estimated Change in Fair Value (in millions) - March 31, 2021 | Estimated Change in Fair Value (in millions) - December 31, 2020 | | :------------------------------------- | :------------------------------------------------------------ | :------------------------------------------------------------ | | +50bps | +122.0 | +191.0 | | +25bps | +57.0 | +98.0 | | -25bps | -57.0 | -98.0 | | -50bps | -169.0 | -199.0 | [Mortgage Basis Spread Risk](index=107&type=section&id=Mortgage%20Basis%20Spread%20Risk) Mortgage basis spread risk impacts mortgage portfolio fair value, with lower basis implying lower mortgage rates and increased prepayment speeds - A lower mortgage basis implies lower mortgage rates, increasing prepayment speeds and reducing the fair value of the mortgage portfolio[521](index=521&type=chunk) Estimated Change in Fair Value from Mortgage Basis Spread Changes | Interest Rate Change (bps) | Estimated Change in Fair Value (in millions) - March 31, 2021 | Estimated Change in Fair Value (in millions) - December 31, 2020 | | :------------------------------------- | :------------------------------------------------------------ | :------------------------------------------------------------ | | +20bps | -49.6 | -10.6 | | +10bps | -24.5 | -5.3 | | -10bps | +24.5 | +5.3 | | -20bps | +49.0 | +10.6 | [Prepayment Rate Exposure](index=107&type=section&id=Prepayment%20Rate%20Exposure) Prepayment rates significantly impact MSR and RMBS values, with recapture agreements used to mitigate this risk for MSRs - Prepayment rates significantly affect the value of MSRs, MSR financing receivables, Excess MSRs, and the basic fee component of MSRs[523](index=523&type=chunk) - The company uses "recapture agreements" for MSR and Excess MSR investments to mitigate the impact of increasing prepayment rates[525](index=525&type=chunk) [Credit Risk](index=108&type=section&id=Credit%20Risk) Credit risk arises from borrower payment defaults, increasing servicer advance obligations and potential losses, mitigated by prudent asset selection and monitoring - Credit risk arises from borrowers' inability to make payments on underlying loans for MSRs, Servicer Advance Investments, securities, and loans[527](index=527&type=chunk) - Increased delinquencies lead to higher servicer advance obligations and potential losses on RMBS and loans[527](index=527&type=chunk) - The company mitigates credit risk through prudent asset selection, active monitoring of credit quality, and repositioning investments[528](index=528&type=chunk) [Liquidity Risk](index=108&type=section&id=Liquidity%20Risk) Many assets are illiquid due to lack of established markets and transfer restrictions, impeding portfolio adjustment or fair value realization upon disposition - Many investments are illiquid due to the absence of established markets and legal/contractual restrictions on resale[531](index=531&type=chunk) - Illiquidity could significantly impede the ability to vary the portfolio in response to market changes or realize fair value if forced to dispose of assets quickly[531](index=531&type=chunk) [Investment Specific Sensitivity Analyses](index=109&type=section&id=Investment%20Specific%20Sensitivity%20Analyses) Provides hypothetical sensitivity analyses for MSRs to changes in discount, prepayment, delinquency, and recapture rates, assuming independent factor changes - Sensitivity analyses are hypothetical and assume independent changes in economic assumptions, which may not reflect real-world interactions between factors[534](index=534&type=chunk) Agency MSRs Sensitivity (March 31, 2021) | Agency MSRs Sensitivity (March 31, 2021) | -20% Shift (Change in Fair Value, in thousands) | -10% Shift (Change in Fair Value, in thousands) | 10% Shift (Change in Fair Value, in thousands) | 20% Shift (Change in Fair Value, in thousands) | | :------------------------------------- | :---------------------------------------------- | :---------------------------------------------- | :--------------------------------------------- | :--------------------------------------------- | | Discount rate | $224,561 | $108,201 | $(102,278) | $(197,676) | | Prepayment rate | $207,544 | $97,539 | $(88,579) | $(168,237) | | Delinquency rate | $21,825 | $10,652 | $(11,693) | $(22,865) | | Recapture rate | $(68,382) | $(34,451) | $33,410 | $67,341 | Non-Agency MSRs Sensitivity (March 31, 2021) | Non-Agency MSRs Sensitivity (March 31, 2021) | -20% Shift (Change in Fair Value, in thousands) | -10% Shift (Change in Fair Value, in thousands) | 10% Shift (Change in Fair Value, in thousands) | 20% Shift (Change in Fair Value, in thousands) | | :------------------------------------- | :---------------------------------------------- | :---------------------------------------------- | :--------------------------------------------- | :--------------------------------------------- | | Discount rate | $94,434 | $44,884 | $(42,217) | $(80,658) | | Prepayment rate | $42,813 | $19,878 | $(18,246) | $(32,573) | | Delinquency rate | $45,259 | $15,915 | $(42,794) | $(72,155) | | Recapture rate | $(12,846) | $(6,675) | $5,667 | $11,838 | Ginnie Mae MSRs Sensitivity (March 31, 2021) | Ginnie Mae MSRs Sensitivity (March 31, 2021) | -20% Shift (Change in Fair Value, in thousands) | -10% Shift (Change in Fair Value, in thousands) | 10% Shift (Change in Fair Value, in thousands) | 20% Shift (Change in Fair Value, in thousands) | | :------------------------------------- | :---------------------------------------------- | :---------------------------------------------- | :--------------------------------------------- | :--------------------------------------------- | | Discount rate | $53,991 | $24,514 | $(28,549) | $(52,496) | | Prepayment rate | $79,841 | $36,001 | $(37,779) | $(69,137) | | Delinquency rate | $15,171 | $6,117 | $(11,991) | $(21,044) | | Recapture rate | $(35,461) | $(19,199) | $13,326 | $29,588 | [Item 4. Controls and Procedures](index=111&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded disclosure controls and procedures were effective as of March 31, 2021, with no material changes in internal control over financial reporting - The company's disclosure controls and procedures were evaluated as effective as of March 31, 2021[535](index=535&type=chunk) - No material changes in internal control over financial reporting occurred during the fiscal quarter[536](index=536&type=chunk) Part II. Other Information [Item 1. Legal Proceedings](index=112&type=section&id=Item%201.%20Legal%20Proceedings) Involved in various legal proceedings and regulatory inquiries, but does not anticipate any material adverse effects on its business or financial position - The company is involved in various disputes, litigation, and regulatory inquiries that arise in the ordinary course of business[537](index=537&type=chunk) - The company does not currently believe any of these inquiries or proceedings would result in a material adverse effect on its business, financial position, or results of operations[537](index=537&type=chunk)[538](index=538&type=chunk) [Item 1A. Risk Factors](index=112&type=section&id=Item%201A.%20Risk%20Factors) Investing involves high risks, including business, manager, financial markets, REIT taxation, stock, and Caliber acquisition risks, with COVID-19 and illiquidity as key concerns [Risks Related to Our Business](index=112&type=section&id=Risks%20Related%20to%20Our%20Business) Significant business risks include COVID-19 impacts, inaccurate investment assumptions, non-recoverable servicer advances, reliance on Servicing Partners, and illiquidity - The COVID-19 pandemic could adversely impact business operations, personnel availability, market value of loans/securities, financing covenants, and cash flows, potentially leading to reduced distributions[540](index=540&type=chunk)[542](index=542&type=chunk) - The value of investments relies on assumptions (prepayment, interest rates, delinquencies, recapture rates) that could differ materially from actual results, negatively impacting financial performance[546](index=546&type=chunk)[547](index=547&type=chunk) - Servicer advances may not be recoverable or may take longer than expected, potentially causing failure to achieve targeted returns on Servicer Advance Investments or MSRs[555](index=555&type=chunk)[558](index=558&type=chunk) - Heavy reliance on Servicing Partners (e.g., Mr. Cooper, SLS, PHH) exposes the company to risks from their performance, compliance failures, downgrades, or bankruptcy, which could severely impact investment value[560](index=560&type=chunk)[572](index=572&type=chunk) - Many investments are illiquid, making it difficult to adjust the portfolio or realize fair value upon disposition, especially for MSRs which have numerous transfer restrictions[621](index=621&type=chunk)[622](index=622&type=chunk) [Risks Related to Our Manager](index=153&type=section&id=Risks%20Related%20to%20Our%20Manager) High dependence on external Manager, FIG LLC, creates conflicts of interest and potential for high-risk incentives, with difficult and costly agreement termination - The company is completely reliant on its external Manager, FIG LLC, for business conduct, and losing key Manager employees could adversely affect operations[740](index=740&type=chunk) - Inherent conflicts of interest exist due to the Manager and its affiliates investing in similar assets and having overlapping investment objectives[742](index=742&type=chunk) - The management compensation structure, including incentive compensation, may incentivize the Manager to prioritize earnings maximization and leverage, potentially at the expense of capital preservation[745](index=745&type=chunk) - Terminating the Management Agreement is difficult and costly, requiring a supermajority vote and payment of a substantial termination fee[746](index=746&type=chunk)[747](index=747&type=chunk) [Risks Related to the Financial Markets](index=157&type=section&id=Risks%20Related%20to%20the%20Financial%20Markets) Exposed to significant financial market risks from legislative and regulatory changes, federal conservatorship of GSEs, and loan modifications, impacting costs and investment values - Legislative and regulatory changes, including the Dodd-Frank Act and its risk retention requirements, can increase compliance costs and impact securitization activities[756](index=756&type=chunk)[757](index=757&type=chunk) - The federal conservatorship of Fannie Mae and Freddie Mac creates uncertainty regarding their long-term viability and market role, potentially affecting Agency RMBS values[761](index=761&type=chunk)[766](index=766&type=chunk) - Legislation permitting loan modifications (e.g., CARES Act forbearances) can reduce the value of investments and increase servicer advance obligations[769](index=769&type=chunk)[770](index=770&type=chunk) [Risks Related to Our Taxation as a REIT](index=159&type=section&id=Risks%20Related%20to%20Our%20Taxation%20as%20a%20REIT) Maintaining REIT qualification is complex, with failure leading to higher taxes and reduced distributions; risks include phantom income and hedging limitations - REIT qualification involves complex Internal Revenue Code provisions, and even technical violations could jeopardize status, leading to higher taxes and reduced distributions[771](index=771&type=chunk)[773](index=773&type=chunk) - Failure to qualify as a REIT would result in corporate income tax, reduced cash for distributions, and delisting from the NYSE[773](index=773&type=chunk)[775](index=775&type=chunk) - The company may be required to report taxable income (e.g., from Excess MSRs, consumer loans) in excess of actual cash received, potentially creating "phantom income" and distribution challenges[782](index=782&type=chunk)[789](index=789&type=chunk) - REIT requirements limit the ability to hedge effectively, potentially increasing interest rate risks or costs, or requiring hedges through TRSs[795](index=795&type=chunk)[796](index=796&type=chunk) [Risks Related to Our Stock](index=166&type=section&id=Risks%20Related%20to%20Our%20Stock) Stock price is subject to volatility and dilution from equity issuances; control failures or inconsistent distributions could negatively impact price, and anti-takeover provisions exist - The market price of common and preferred stock may fluctuate widely due to various factors, including earnings, market performance, and general economic conditions[804](index=804&type=chunk)[805](index=805&type=chunk) - Future sales or issuances of common stock, including through equity awards or offerings, could dilute existing stockholders and adversely affect the market price[806](index=806&type=chunk)[810](index=810&type=chunk)[811](index=811&type=chunk) - Failure to maintain effective internal control over financial reporting could lead to adverse regulatory consequences, restatements, and a loss of investor confidence, impacting the stock price[807](index=807&type=chunk)[809](index=809&type=chunk) - The company has not established a minimum distribution payment level for common stock, and its ability to pay distributions is subject to various factors and board discretion[812](index=812&type=chunk)[813](index=813&type=chunk) [Risks Related to the Caliber Acquisition](index=170&type=section&id=Risks%20Related%20to%20the%20Caliber%20Acquisition) Caliber acquisition faces closing conditions, regulatory approvals, and integration challenges, with failure potentially impacting business, financial condition, and operations - The Caliber Acquisition is subject to numerous conditions, including regulatory approvals, and may not be completed on time or at all, leading to potential adverse impacts on the business and stock price[822](index=822&type=chunk)[823](index=823&type=chunk) - Integration of Caliber's business is complex and costly, with risks including diversion of management attention, maintaining employee morale, and unforeseen expenses, which could hinder anticipated benefits[830](index=830&type=chunk)[831](index=831&type=chunk) - Caliber's business is highly dependent on Ginnie Mae, Fannie Mae, and Freddie Mac, and changes in their roles or guidelines could materially and adversely affect the combined company's mortgage lending operations[834](index=834&type=chunk)[840](index=840&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=176&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) No unregistered sales of equity securities or use of proceeds were reported for the period - No unregistered sales of equity securities or use of proceeds were reported[849](index=849&type=chunk) [Item 3. Defaults Upon Senior Securities](index=176&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) No defaults upon senior securities were reported for the period - No defaults upon senior securities were reported[850](index=850&type=chunk) [Item 4. Mine Safety Disclosures](index=176&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) Not Applicable - Not Applicable[851](index=851&type=chunk) [Item 5. Other Information](index=176&type=section&id=Item%205.%20Other%20Information) No other information was reported for the period - No other information was reported[852](index=852&type=chunk) [Item 6. Exhibits](index=177&type=section&id=Item%206.%20Exhibits) Lists all exhibits filed with the 10-Q report, including agreements, corporate governance documents, and certifications - The exhibits include various agreements (e.g., Purchase Agreements, Management Agreement), corporate governance documents (e.g., Certificate of Incorporation, Bylaws), and certifications (e.g., CEO/CFO certifications)[854](index=854&type=chunk)[856](index=856&type=chunk)[857](index=857&type=chunk)[859](index=859&type=chunk)[860](index=860&type=chunk)[861](index=861&type=chunk)[862](index=862&type=chunk)[863](index=863&type=chunk)[864](index=864&type=chunk)[865](index=865&type=chunk) [Signatures](index=186&type=section&id=Signatures) Report signed by Michael Nierenberg (CEO) and Nicola Santoro, Jr. (CFO) on May 5, 2021 - The report was signed by Michael Nierenberg (CEO and President) and Nicola Santoro, Jr. (CFO and Treasurer) on May 5, 2021[868](index=868&type=chunk)

New Residential Investment Corp. (NRZ) Q1 2021 Earnings Conference Call May 5, 2021 8:00 AM ET Company Participants Kaitlyn Mauritz - Head of Investor Relations Michael Nierenberg - Chairman of the Board, Chief Executive Officer and President Baron Silverstein - President of NewRez Nick Santoro - Chief Financial Officer and Chief Accounting Officer Conference Call Participants Kenneth Lee - RBC Capital Markets Trevor Cranston - JMP Securities Henry Coffey - Wedbush Securities Bose George - Keefe, Bruyette & ...

New Residential Investment Corp. Quarterly Supplement First Quarter 2021 Disclaimers IN GENERAL. This disclaimer applies to this document and the verbal or written comments of any person presenting it. This document, taken together with any such verbal or written comments, is referred to herein as the "Presentation." FORWARD-LOOKING STATEMENTS. Certain statements regarding New Residential Investment Corp. (together with its subsidiaries, "New Residential," the "Company" or "we") in this Presentation may con ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2020 or ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-35777 New Residential Investment Corp. (Exact name of registrant as specified in its charter) | Delaware | | | 45-3449660 | | --- | --- | --- | ...

Financial Highlights - GAAP Net Income was $68.6 million, or $0.16 per Diluted Share[13] - Core Earnings reached $137.0 million, or $0.32 per Diluted Share[13] - The common stock dividend increased by 33% QoQ[13] - The dividend yield was 8.0% as of December 31, 2020[13] - Net Equity stood at $5,321.0 million as of December 31, 2020[13] - Book Value per Common Share was $10.87 as of December 31, 2020, a 0.1% increase from the previous quarter[13] Portfolio and Operational Performance - Total assets were $23.5 billion[10] - FY'20 Origination Volume reached $61.6 billion[10] - FY'20 Servicing Portfolio UPB was $297.8 billion[10] - The percentage of borrowers in forbearance decreased to 5.3% in January 2021 from a peak of 8.4% in 2020[42] MSR Portfolio - The MSR portfolio totaled $537 billion UPB as of December 31, 2020, a 6% QoQ decline[47] - 49% of NRZ's Full MSR portfolio is refinanceable at current mortgage rates compared to 76% of the industry[47]

New Residential Investment Corp (NRZ) Q4 2020 Earnings Conference Call February 9, 2021 8:00 AM ET Company Participants Kaitlyn Mauritz - Head, IR Michael Nierenberg - Chairman, President & CEO Baron Silverstein - President Conference Call Participants Kevin Barker - Piper Sandler & Co. Eric Hagen - BTIG Douglas Harter - Crédit Suisse Bose George - KBW Stephen Laws - Raymond James & Associates Giuliano Bologna - Compass Point Henry Coffey - Wedbush Securities Jason Stewart - JonesTrading Institutional Servi ...

New Residential Investment Corp. Quarterly Supplement Third Quarter 2020 Disclaimers IN GENERAL. This disclaimer applies to this document and the verbal or written comments of any person presenting it. This document, taken together with any such verbal or written comments, is referred to herein as the "Presentation." FORWARD-LOOKING STATEMENTS. Certain statements regarding New Residential Investment Corp. (together with its subsidiaries, "New Residential," the "Company" or "we") in this Presentation may con ...