Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)

v3.2.0.727
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)
6 Months Ended
Jun. 30, 2015
Transfers and Servicing [Abstract]  
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs
The following table presents activity related to the carrying value of New Residential’s investments in Excess MSRs:
 
 
Servicer
 
 
Nationstar
 
SLS(A)
 
Ocwen(B)
 
Total
Balance as of December 31, 2014
 
$
409,076

 
$
8,657

 
$

 
$
417,733

Transfers from indirect ownership
 
98,258

 

 

 
98,258

Purchases
 
129,098

 

 
919,531

 
1,048,629

Interest income
 
29,297

 
192

 
19,908

 
49,397

Other income
 
1,577

 

 

 
1,577

Proceeds from repayments
 
(59,821
)
 
(660
)
 
(49,286
)
 
(109,767
)
Change in fair value
 
2,993

 
(1,459
)
 
(2,939
)
 
(1,405
)
Balance as of June 30, 2015
 
$
610,478

 
$
6,730

 
$
887,214

 
$
1,504,422


(A)
Specialized Loan Servicing LLC (“SLS”). See Note 6 for a description of the SLS Transaction.
(B)
Ocwen services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. See Note 1.
Summary of Direct Investments in Excess MSRs
The following is a summary of New Residential’s direct investments in Excess MSRs:
 
June 30, 2015
 
December 31, 2014
 
Unpaid Principal Balance (“UPB”) of Underlying Mortgages
 
Interest in Excess MSR
 
Weighted Average Life Years(A)
 
Amortized Cost Basis(B)
 
Carrying Value(C)
 
Carrying Value(C)
 
 
 
New Residential
 
Fortress-managed funds
 
Nationstar
 
 
 
 
 
 
 
 
Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
80,896,500

 
32.5% - 66.7%

 
0.0%-40.0%

 
20.0% - 35.0%

 
5.8
 
$
240,981

 
$
291,288

 
$
188,733

Recapture Agreements

 
32.5% - 66.7%

 
0.0%-40.0%

 
20.0% - 35.0%

 
11.5
 
26,945

 
50,239

 
28,786

 
80,896,500

 
 
 
 
 
 
 
6.4
 
267,926

 
341,527

 
217,519

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency(D)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nationstar and SLS Serviced:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
103,812,302

 
33.3% - 80.0%

 
0.0% - 50.0%

 
0.0% - 33.3%

 
4.9
 
$
222,394

 
$
258,729

 
$
189,812

Recapture Agreements

 
33.3% - 80.0%

 
0.0% - 50.0%

 
0.0% - 33.3%

 
11.9
 
15,835

 
16,952

 
10,402

Ocwen Serviced Pools
150,934,856

 
100.0
%
 
%
 
%
 
5.4
 
890,153

 
887,214

 

 
254,747,158

 
 
 
 
 
 
 
5.4
 
1,128,382

 
1,162,895

 
200,214

Total
$
335,643,658

 
 
 
 
 
 
 
5.6
 
$
1,396,308

 
$
1,504,422

 
$
417,733

 
(A)
Weighted Average Life 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 or Recapture Agreements, as applicable.
(D)
Excess MSR investments in which New Residential also invested in related servicer advances, including the basic fee component of the related MSR as of June 30, 2015 (Note 6).

Changes in fair value recorded in other income are comprised of the following:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
 
2015
 
2014
 
2015
 
2014
Original and Recaptured Pools

$
(3,441
)
 
$
2,801

 
$
(5,418
)
 
$
9,888

Recapture Agreements

3,797

 
2,701

 
4,013

 
2,216

 
 
$
356

 
$
5,502

 
$
(1,405
)
 
$
12,104


Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investments in Excess MSRs
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs:
 
 
Percentage of Total Outstanding Unpaid Principal Amount as of
State Concentration
 
June 30, 2015
 
December 31, 2014
California
 
26.7
%
 
31.5
%
Florida
 
9.2
%
 
7.7
%
New York
 
7.0
%
 
4.3
%
Texas
 
4.5
%
 
4.2
%
New Jersey
 
4.0
%
 
3.2
%
Maryland
 
3.8
%
 
4.0
%
Illinois
 
3.4
%
 
3.2
%
Virginia
 
3.2
%
 
3.3
%
Washington
 
2.8
%
 
3.6
%
Massachusetts
 
2.6
%
 
2.1
%
Other U.S.
 
32.8
%
 
32.9
%
 
 
100.0
%
 
100.0
%