Annual report pursuant to Section 13 and 15(d)

SERVICER ADVANCE INVESTMENTS (Tables)

v3.19.3.a.u2
SERVICER ADVANCE INVESTMENTS (Tables)
12 Months Ended
Dec. 31, 2019
Investments, All Other Investments [Abstract]  
Schedule of Investment in Servicer Advances

The following types of advances are included in the Servicer Advances Receivable:
 
 
December 31,
 
 
2019
 
2018
Principal and interest advances
 
$
660,807

 
$
793,790

Escrow advances (taxes and insurance advances)
 
2,427,384

 
2,186,831

Foreclosure advances
 
163,054

 
199,203

Total(A) (B) (C)
 
$
3,251,245

 
$
3,179,824


(A)
Includes $562.2 million and $231.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
(B)
Includes $166.5 million and $41.6 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae. Reserves for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption.
(C)
Net of $50.1 million and $98.0 million, respectively, in accruals for advance recoveries
The following is a summary of New Residential’s Servicer Advance Investments, including the right to the basic fee component of the related MSRs:
 
Amortized Cost Basis
 
Carrying Value(A)
 
Weighted Average Discount Rate
 
Weighted Average Yield
 
Weighted Average Life (Years)(B)
 
Change in Fair Value Recorded in Other Income for Year then Ended
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
557,444

 
$
581,777

 
5.3
%
 
5.7
%
 
6.3
 
$
10,288

December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
721,801

 
$
735,846

 
5.9
%
 
5.8
%
 
5.7
 
$
(89,332
)

(A)
Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.
(B)
Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

The following is additional information regarding the Servicer Advance Investments and related financing:
 
 
 
 
 
 
 
 
 
Loan-to-Value (“LTV”)(A)
 
Cost of Funds(C)
 
UPB of Underlying Residential Mortgage Loans
 
Outstanding Servicer Advances
 
Servicer Advances to UPB of Underlying Residential Mortgage Loans
 
Face Amount of Notes and Bonds Payable
 
Gross
 
Net(B)
 
Gross
 
Net
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
31,442,267

 
$
462,843

 
1.5
%
 
$
443,248

 
88.3
%
 
87.2
%
 
3.4
%
 
2.8
%
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
40,096,998

 
$
620,050

 
1.5
%
 
$
574,117

 
88.3
%
 
87.2
%
 
3.7
%
 
3.1
%

(A)
Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
(B)
Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
(C)
Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees.
(D)
The following types of advances are included in the Servicer Advance Investments:
    
 
December 31,
 
2019
 
2018
Principal and interest advances
$
71,574

 
$
108,317

Escrow advances (taxes and insurance advances)
180,047

 
238,349

Foreclosure advances
211,222

 
273,384

  Total
$
462,843

 
$
620,050


Schedule of Interest Income Related to Investments in Servicer Advances
Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following:
 
Year Ended December 31,
 
2019
 
2018
 
2017
Interest income, gross of amounts attributable to servicer compensation
$
51,940

 
$
83,807

 
$
871,506

Amounts attributable to base servicer compensation
(6,209
)
 
(8,491
)
 
(227,585
)
Amounts attributable to incentive servicer compensation
(18,065
)
 
(25,098
)
 
(115,565
)
Interest income from Servicer Advance Investments
$
27,666

 
$
50,218

 
$
528,356


Net Interest Income
 
 
December 31,
 
 
2019
 
2018
Interest Income:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
$
60,301

 
$
76,129

Acquired Residential Mortgage Loans, held-for-sale
 
65,926

 
45,653

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
123,446

 
35,904

Originated Residential Mortgage Loans, held-for-sale, at fair value
 
52,480

 
15,658

Total Interest Income on Residential Mortgage Loans
 
302,153

 
173,344

 
 
 
 
 
Interest Expense:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
19,381

 
23,618

Acquired Residential Mortgage Loans, held-for-sale
 
40,067

 
35,796

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
98,850

 
21,496

Originated Residential Mortgage Loans, held-for-sale,at fair value
 
10,873

 
2,690

Total Interest Expense on Residential Mortgage Loans
 
169,171

 
83,600

 
 
 
 
 
Total Net Interest Income on Residential Mortgage Loans
 
$
132,982

 
$
89,744