Quarterly report pursuant to Section 13 or 15(d)

SERVICER ADVANCE INVESTMENTS (Tables)

v3.19.1
SERVICER ADVANCE INVESTMENTS (Tables)
3 Months Ended
Mar. 31, 2019
Investments, All Other Investments [Abstract]  
Summary of Investments in Servicer Advances The following types of advances are included in the Servicer Advances Receivable:
 
 
March 31, 2019
 
December 31, 2018
Principal and interest advances
 
$
763,283

 
$
793,790

Escrow advances (taxes and insurance advances)
 
2,010,890

 
2,186,831

Foreclosure advances
 
186,099

 
199,203

Total(A) (B) (C)
 
$
2,960,272

 
$
3,179,824


(A)
Includes $250.6 million and $231.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
(B)
Includes $42.1 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 $76.4 million and $98.0 million, respectively, in 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)
March 31, 2019
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
675,679

 
$
697,628

 
5.6
%
 
5.8
%
 
5.8
As of December 31, 2018
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
721,801

 
$
735,846

 
5.9
%
 
5.8
%
 
5.7
  
(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  
 March 31,
 
 
2019

2018
Change in Fair Value of Servicer Advance Investments
 
$
7,903

 
$
(79,476
)

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
March 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
38,055,282

 
$
578,876

 
1.5
%
 
$
532,040

 
87.4
%
 
86.3
%
 
3.8
%
 
3.1
%
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:


March 31, 2019

December 31, 2018
Principal and interest advances

$
98,657


$
108,317

Escrow advances (taxes and insurance advances)

225,012


238,349

Foreclosure advances

255,207


273,384

Total

$
578,876

 
$
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:


Three Months Ended  
 March 31,


2019

2018
Interest income, gross of amounts attributable to servicer compensation

$
15,076


$
20,387

Amounts attributable to base servicer compensation

(1,565
)

(1,972
)
Amounts attributable to incentive servicer compensation

(6,427
)

474

Interest income from Servicer Advance Investments

$
7,084

 
$
18,889


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
 
 
March 31, 2019
 
December 31, 2018
Assets
 
 
 
 
Servicer advance investments, at fair value
 
$
674,607

 
$
713,239

Cash and cash equivalents
 
29,943

 
29,833

All other assets
 
9,608

 
10,223

Total assets(A)
 
$
714,158

 
$
753,295

Liabilities
 
 
 
 
Notes and bonds payable
 
$
514,246

 
$
556,340

All other liabilities
 
2,343

 
2,442

Total liabilities(A)
 
$
516,589

 
$
558,782


(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:
 
 
March 31, 2019
 
December 31, 2018
Total Advance Purchaser LLC equity
 
$
197,569

 
$
194,513

Others’ ownership interest
 
26.8
%
 
26.8
%
Others’ interest in equity of consolidated subsidiary
 
$
52,882

 
$
52,066


Others’ interests in the Buyer’s net income is computed as follows:
 
 
Three Months Ended  
 March 31,
 
 
2019
 
2018
Net Advance Purchaser LLC income
 
$
9,155

 
$
5,085

Others’ ownership interest as a percent of total(A)
 
26.8
%
 
27.2
%
Others’ interest in net income of consolidated subsidiaries
 
$
2,451

 
$
1,383


(A)
Three months ended March 31, 2019 reflects 26.8% for the first three months.