Quarterly report pursuant to Section 13 or 15(d)

SERVICER ADVANCE INVESTMENTS (Tables)

v3.10.0.1
SERVICER ADVANCE INVESTMENTS (Tables)
9 Months Ended
Sep. 30, 2018
Investments, All Other Investments [Abstract]  
Summary of Investments in Servicer Advances
The following types of advances are included in the Servicer Advances Receivable:
 
 
September 30, 2018
 
December 31, 2017
Principal and interest advances
 
$
816,290

 
$
172,467

Escrow advances (taxes and insurance advances)
 
2,095,423

 
482,884

Foreclosure advances
 
212,206

 
16,017

Total(A) (B) (C)
 
$
3,123,919

 
$
671,368


(A)
Includes $189.9 million and $167.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
(B)
Includes $10.0 million and $0.0 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from Ginnie Mae.
(C)
Net of $93.2 million and $4.2 million, respectively, in unamortized discount and accrual 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)
September 30, 2018
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
783,141

 
$
799,936

 
5.9
%
 
5.8
%
 
5.9
As of December 31, 2017
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
3,924,003

 
$
4,027,379

 
6.8
%
 
7.3
%
 
5.1
  
(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.

 
 
Three Months Ended 
 September 30,
 
Nine Months Ended  
 September 30,
 
 
2018

2017

2018

2017
Change in Fair Value of Servicer Advance Investments
 
$
(5,353
)
 
$
10,941

 
$
(86,581
)
 
$
70,469


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
September 30, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
42,323,957

 
$
637,102

 
1.5
%
 
$
630,422

 
89.3
%
 
88.2
%
 
3.7
%
 
3.1
%
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
139,460,371

 
$
3,581,876

 
2.6
%
 
$
3,461,718

 
93.2
%
 
92.0
%
 
3.3
%
 
3.0
%
 
(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:


September 30, 2018

December 31, 2017
Principal and interest advances

$
114,351


$
909,133

Escrow advances (taxes and insurance advances)

236,799


1,636,381

Foreclosure advances

285,952


1,036,362

Total

$
637,102

 
$
3,581,876

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:


Three Months Ended 
 September 30,
 
Nine Months Ended  
 September 30,


2018

2017

2018

2017
Interest income, gross of amounts attributable to servicer compensation

$
21,183


$
83,979


$
63,731


$
290,933

Amounts attributable to base servicer compensation

(2,347
)

(38,549
)

(6,354
)

(145,055
)
Amounts attributable to incentive servicer compensation

(7,095
)

84,724


(14,255
)

300,788

Interest income from Servicer Advance Investments

$
11,741

 
$
130,154

 
$
43,122

 
$
446,666


New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE.
 
 
As of
 
 
September 30, 2018
 
December 31, 2017
Assets
 
 
 
 
Servicer advance investments, at fair value
 
$
774,851

 
$
1,002,102

Cash and cash equivalents
 
30,073

 
40,929

All other assets
 
10,592

 
13,011

Total assets(A)
 
$
815,516

 
$
1,056,042

Liabilities
 
 
 
 
Notes and bonds payable
 
$
610,277

 
$
789,979

All other liabilities
 
3,055

 
3,308

Total liabilities(A)
 
$
613,332

 
$
793,287


(A)
The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations.

Others’ interests in the equity of the Buyer is computed as follows:
 
 
September 30, 2018
 
December 31, 2017
Total Advance Purchaser LLC equity
 
$
202,184

 
$
262,755

Others’ ownership interest
 
26.8
%
 
27.2
%
Others’ interest in equity of consolidated subsidiary
 
$
54,118

 
$
71,491


Others’ interests in the Buyer’s net income is computed as follows:
 
 
Three Months Ended 
 September 30,
 
Nine Months Ended  
 September 30,
 
 
2018
 
2017
 
2018
 
2017
Net Advance Purchaser LLC income
 
$
(299
)
 
$
3,584

 
$
8,667

 
$
20,460

Others’ ownership interest as a percent of total(A)
 
27.1
%
 
34.2
%
 
27.2
%
 
50.7
%
Others’ interest in net income of consolidated subsidiaries
 
$
(81
)
 
$
1,224

 
$
2,358

 
$
10,372


(A)
Nine months ended September 30, 2018 reflects 27.2% for the first six months.