Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables)

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INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables)
3 Months Ended
Mar. 31, 2013
Investments In Excess Mortgage Servicing Rights At Fair Value Tables  
Schedule of direct investment in Excess Mortgage Servicing Rights (MSRs)

The following is a summary of New Residential’s direct investments in Excess MSRs:

 

          March 31, 2013     Three Months Ended March 31, 2013  
    Unpaid Principal Balance
(“UPB”) of Underlying Mortgages
    Amortized Cost Basis (A)     Carrying Value (B)     Weighted Average Yield     Weighted Average Maturity (Years) (C)     Changes in Fair Value Recorded in Other Income (D)  
MSR Pool 1   $ 8,021,789     $ 29,329     $ 35,333       18.0 %     4.8     $ 266  
MSR Pool 1 - Recapture Agreement     —       3,676       4,355       18.0 %     11.0       174  
MSR Pool 2     9,038,057       32,345       33,695       17.3 %     5.0       306  
MSR Pool 2 - Recapture Agreement     —       4,108       4,880       17.3 %     12.0       591  
MSR Pool 3     8,758,689       26,502       30,126       17.6 %     4.7       768  
MSR Pool 3 - Recapture Agreement     —       4,598       4,552       17.6 %     11.4       30  
MSR Pool 4     5,586,851       10,809       11,969       17.9 %     4.6       141  
MSR Pool 4 - Recapture Agreement     —       2,763       2,705       17.9 %     11.1       (43 )
MSR Pool 5     41,917,506       102,718       104,507       17.5 %     4.7       (190 )
MSR Pool 5 - Recapture Agreement     —       8,460       4,433       17.5 %     11.7       (185 )
    $ 73,322,892     $ 225,308     $ 236,555       17.6 %     5.4     $ 1,858  

 

(A) 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.
   
(B) Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable.
   
(C) Weighted Average Maturity represents the weighted average expected timing of the receipt of expected cash flows for this investment.
   
(D) The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool.

 

Summary of the geographic distribution of the underlying residential mortgage loans of the direct investment in Excess MSRs

The table below summarizes the geographic distribution of the underlying residential mortgage loans of the direct investments in Excess MSRs at March 31, 2013:

 

State Concentration   Percentage of Total Outstanding  
California     31.7 %
Florida     10.1 %
New York     4.4 %
Washington     4.3 %
Arizona     3.8 %
Texas     3.6 %
Colorado     3.5 %
Maryland     3.4 %
New Jersey     3.2 %
Virginia     3.0 %
Other U.S.     29.0 %
      100.0 %