Quarterly report pursuant to Section 13 or 15(d)

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

v2.4.0.8
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables)
3 Months Ended
Mar. 31, 2014
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, 2014     Three Months Ended March 31, 2014  
    Unpaid Principal Balance (“UPB”) of Underlying Mortgages     Interest in Excess MSR     Amortized Cost Basis
(A)
    Carrying Value
(B)
    Weighted Average Yield     Weighted Average Life (Years)
(C)
    Changes in Fair Value Recorded in Other Income
(D)
 
MSR Pool 1   $ 6,626,389       65.0 %   $ 25,600     $ 35,442       12.5 %     5.3     $ (114 )
MSR Pool 1 - Recapture Agreement     —       65.0 %     517       6,019       12.5 %     12.1       (209 )
MSR Pool 2     7,689,490       65.0 %     29,395       34,389       12.5 %     5.5       (22 )
MSR Pool 2 - Recapture Agreement     —       65.0 %     696       5,969       12.5 %     12.7       (62 )
MSR Pool 3     7,595,633       65.0 %     24,015       31,830       12.5 %     5.2       (449 )
MSR Pool 3 - Recapture Agreement     —       65.0 %     2,237       6,065       12.5 %     12.3       (81 )
MSR Pool 4     4,940,045       65.0 %     9,581       13,605       12.5 %     4.9       77  
MSR Pool 4 - Recapture Agreement     —       65.0 %     2,144       3,897       12.5 %     12.1       (51 )
MSR Pool 5 (E)     35,823,960       80.0 %     115,186       141,967       12.5 %     5.4       3,691  
MSR Pool 5 - Recapture Agreement     —       80.0 %     9,193       5,735       12.5 %     13.2       163  
MSR Pool 11     444,667       66.7 %     2,059       2,369       12.5 %     6.6       321  
MSR Pool 11 - Recapture Agreement     —       66.7 %     254       280       12.5 %     14.0       45  
MSR Pool 12 (E)     4,998,929       40.0 %     15,519       17,180       12.5 %     4.5       1,601  
MSR Pool 12 - Recapture Agreement     —       40.0 %     467       328       12.5 %     13.0       94  
MSR Pool 17 (E)     8,096,439       33.3 %     18,112       18,471       12.5 %     5.2       359  
MSR Pool 17 - Recapture Agreement     —       33.3 %     1,123       598       12.5 %     13.0       (526 )
MSR Pool 18 (E)     8,463,426       40.0 %     15,157       16,785       12.5 %     4.6       1,624  
MSR Pool 18 - Recapture Agreement     —       40.0 %     1,127       775       12.5 %     12.6       141  
    $ 84,678,978             $ 272,382     $ 341,704       12.5 %     5.8     $ 6,602  

 

(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 Life 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.
(E) Pool in which New Residential also invested in related servicer advances, including the basic fee component of the related MSR as of March 31, 2014 (Note 6).

 

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 as of March 31, 2014:

 

State Concentration   Percentage of UPB  
California     30.6 %
Florida     9.2 %
New York     4.6 %
Washington     4.1 %
Maryland     4.1 %
Texas     3.9 %
Virginia     3.8 %
Arizona     3.7 %
New Jersey     3.3 %
Colorado     3.0 %
Other U.S.     29.7 %
      100.0 %