Quarterly report pursuant to Section 13 or 15(d)

SERVICER ADVANCE INVESTMENTS (Tables)

v3.20.1
SERVICER ADVANCE INVESTMENTS (Tables)
3 Months Ended
Mar. 31, 2020
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, 2020
 
December 31, 2019
Principal and interest advances
 
$
678,588

 
$
660,807

Escrow advances (taxes and insurance advances)
 
2,284,094

 
2,427,384

Foreclosure advances
 
151,485

 
163,054

Total(A) (B) (C)
 
$
3,114,167

 
$
3,251,245


(A)
Includes $636.9 million and $562.2 million of servicer advances receivable related to Agency MSRs, respectively, recoverable from the Agencies.
(B)
Includes $69.9 million and $166.5 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 $41.3 million and $50.1 million, respectively, in unamortized advance discount and reserves, net of accruals 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, 2020
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
509,989

 
$
515,574

 
5.8
%
 
5.6
%
 
6.7
December 31, 2019
 
 
 
 
 
 
 
 
 
Servicer Advance Investments
$
557,444

 
$
581,777

 
5.3
%
 
5.7
%
 
6.3
  
(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,
 

2020

2019
Change in fair value of Servicer Advance Investments
 
$
(18,749
)
 
$
7,903


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, 2020
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
30,043,832

 
$
461,723

 
1.5
%
 
$
423,910

 
88.0
%
 
87.1
%
 
1.7
%
 
1.7
%
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Servicer Advance Investments(D)
$
31,442,267

 
$
462,843

 
1.5
%
 
$
443,248

 
88.3
%
 
87.2
%
 
3.4
%
 
2.8
%
 
(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, 2020

December 31, 2019
Principal and interest advances

$
87,292


$
71,574

Escrow advances (taxes and insurance advances)

173,617


180,047

Foreclosure advances

200,814


211,222

Total

$
461,723

 
$
462,843


Schedule of Interest Income Related to Investments in Servicer Advances
Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following:

 
Three Months Ended  
 March 31,


2020

2019
Interest income, gross of amounts attributable to servicer compensation

$
(10,250
)

$
15,076

Amounts attributable to base servicer compensation

882


(1,565
)
Amounts attributable to incentive servicer compensation

(8,721
)

(6,427
)
Interest income from Servicer Advance Investments
 
$
(18,089
)
 
$
7,084



 
 
Three Months Ended  
 March 31,
 
 
2020
 
2019
Interest Income:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
$
15,109

 
$
17,203

Acquired Residential Mortgage Loans, held-for-sale
 
17,780

 
15,179

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
27,032

 
25,807

Originated Residential Mortgage Loans, held-for-sale, at fair value
 
16,735

 
5,584

Total Interest Income on Residential Mortgage Loans
 
76,656

 
63,773

 
 
 
 
 
Interest Expense:
 
 
 
 
Acquired Residential Mortgage Loans, held-for-investment
 
5,200

 
6,005

Acquired Residential Mortgage Loans, held-for-sale
 
8,530

 
8,808

Acquired Residential Mortgage Loans, held-for-sale, at fair value
 
17,043

 
21,038

Originated Residential Mortgage Loans, held-for-sale, at fair value
 
13,427

 
5,158

Total Interest Expense on Residential Mortgage Loans
 
44,200

 
41,009

 
 
 
 
 
Total Net Interest Income on Residential Mortgage Loans
 
$
32,456

 
$
22,764