Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)

v2.4.0.8
INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)
9 Months Ended
Sep. 30, 2014
Transfers and Servicing [Abstract]  
Schedule of direct investment in Excess Mortgage Servicing Rights (MSRs)
The following is a summary of New Residential’s direct investments in Excess MSRs:
 
September 30, 2014
 
December 31, 2013
 
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
Agency


 

 

 


 


 


Original and Recaptured Pools
$
46,264,414

 
32.5%-66.7%
 
5.5
 
$
134,087

 
$
176,482

 
$
120,271

Recapture Agreements

 
32.5%-66.7%
 
12.5
 
8,760

 
29,868

 
24,389

 
46,264,414

 

 
5.9
 
142,847

 
206,350

 
144,660

 
 
 
 
 

 
 
 
 
 
 
Non-Agency(D)


 

 
 
 


 


 


Original and Recaptured Pools
$
52,776,751

 
33.3%-80.0%
 
5.2
 
$
151,734

 
$
193,676

 
$
173,007

Recapture Agreements

 
33.3%-80.0%
 
12.7
 
11,265

 
9,210

 
6,484

 
52,776,751

 

 
5.7
 
162,999

 
202,886

 
179,491

Total
$
99,041,165

 

 
5.8
 
$
305,846

 
$
409,236

 
$
324,151

 
(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 September 30, 2014 (Note 6).

Changes in fair value recorded in other income is comprised of the following:
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2014
 
2013
 
2014
 
2013
Original and Recaptured Pools

$
24,124

 
$
(238
)
 
$
34,012

 
$
36,240

Recapture Agreements

4,442

 
446

 
6,658

 
7,659

 
 
$
28,566

 
$
208

 
$
40,670

 
$
43,899


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:
 
 
Percentage of Total Outstanding Unpaid Principal Amount as of
State Concentration
 
September 30, 2014
 
December 31, 2013
California
 
31.2
%
 
31.5
%
Florida
 
7.8
%
 
9.8
%
New York
 
4.3
%
 
4.9
%
Maryland
 
4.1
%
 
3.5
%
Washington
 
4.0
%
 
3.9
%
Texas
 
3.6
%
 
4.0
%
Virginia
 
3.3
%
 
3.1
%
Arizona
 
3.2
%
 
3.5
%
New Jersey
 
3.2
%
 
3.3
%
Illinois
 
3.1
%
 
2.7
%
Other U.S.
 
32.2
%
 
29.8
%
 
 
100.0
%
 
100.0
%