Quarterly report pursuant to Section 13 or 15(d)

SERVICER ADVANCE INVESTMENTS (Tables)

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SERVICER ADVANCE INVESTMENTS (Tables)
9 Months Ended
Sep. 30, 2021
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, 2021 December 31, 2020
Principal and interest advances $ 592,212  $ 665,538 
Escrow advances (taxes and insurance advances) 1,414,507  1,547,796 
Foreclosure advances 801,466  816,400 
Total(A)(B)(C)
$ 2,808,185  $ 3,029,734 
(A)Includes $555.9 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.
(B)Includes $183.0 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses 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)Excludes $25.6 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process.
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, 2021
Servicer advance investments $ 453,442  $ 472,004  5.2  % 5.6  % 6.0
December 31, 2020
Servicer advance investments $ 512,958  $ 538,056  5.2  % 5.7  % 6.0
(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.

The following is additional information regarding the Servicer Advance Investments and related financing:
UPB of Underlying Residential Mortgage Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable
Loan-to-Value (“LTV”)(A)
Cost of Funds(C)
Gross
Net(B)
Gross Net
September 30, 2021
Servicer Advance Investments(D)
$ 21,568,182  $ 408,085  1.9  % $ 381,286  89.4  % 88.7  % 1.3  % 1.2  %
December 31, 2020
Servicer Advance Investments(D)
$ 26,061,499  $ 449,150  1.7  % $ 423,144  88.4  % 88.6  % 1.5  % 1.3  %
(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, 2021 December 31, 2020
Principal and interest advances $ 75,564  $ 84,976 
Escrow advances (taxes and insurance advances) 170,817  186,426 
Foreclosure advances 161,704  177,748 
Total $ 408,085  $ 449,150 
Schedule of Interest Income Related to Investments in Servicer Advances
Interest Income related to Servicer Advance Investments consists of the following:
Three Months Ended
September 30,
Nine Months Ended September 30,
2021 2020 2021 2020
Interest income, gross of amounts attributable to servicer compensation $ (1,426) $ 10,505  $ 16,079  $ 28,160 
Amounts attributable to base servicer compensation 897  (703) (849) (2,325)
Amounts attributable to incentive servicer compensation
892  1,196  (8,144) (12,755)
Interest income (expense) from servicer advance investments $ 363  $ 10,998  $ 7,086  $ 13,080 
The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
September 30,
Nine Months Ended
September 30,
2021 2020 2021 2020
Interest income:
Loans held-for-investment, at fair value $ 11,090  $ 12,647  $ 34,061  $ 40,985 
Loans held-for-sale, at lower of cost or fair value 5,449  7,406  18,241  38,673 
Loans held-for-sale, at fair value 75,802  31,267  163,769  104,565 
Total interest income 92,341  51,320  216,071  184,223 
Interest expense:
Loans held-for-investment, at fair value 4,238  5,326  13,129  15,934 
Loans held-for-sale, at lower of cost or fair value 4,030  4,068  16,303  17,501 
Loans held-for-sale, at fair value 49,187  20,909  103,785  64,206 
Total interest expense 57,455  30,303  133,217  97,641 
Net interest income $ 34,886  $ 21,017  $ 82,854  $ 86,582