Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables)

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INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS AT FAIR VALUE (Tables)
6 Months Ended
Jun. 30, 2013
Investments In Excess Mortgage Servicing Rights At Fair Value Tables  
Schedule of direct investment in Excess Mortgage Servicing Rights (MSRs)
The following is a summary of New Residential’s direct investments in Excess MSRs:
 
   
June 30, 2013
   
Six
Months
Ended June
30, 2013
 
   
Unpaid Principal
Balance (“UPB”) of Underlying Mortgages
   
Amortized
Cost Basis
 (A)
   
Carrying Value (B)
   
Weighted Average Yield
   
Weighted Average Life
(Years) (C)
   
Changes in Fair Value Recorded in Other
 Income (D)
 
MSR Pool 1
  $ 7,593,438     $ 28,120     $ 39,147       12.5 %     4.9     $ 5,290  
MSR Pool 1 - Recapture Agreement
          2,980       5,383       12.5 %     11.0       1,897  
MSR Pool 2
    8,570,405       31,629       37,339       12.5 %     5.1       4,666  
MSR Pool 2 - Recapture Agreement
          2,934       6,557       12.5 %     12.1       3,441  
MSR Pool 3
    8,380,524       25,351       33,183       12.5 %     4.8       4,976  
MSR Pool 3 - Recapture Agreement
          4,088       5,755       12.5 %     11.5       1,742  
MSR Pool 4
    5,381,133       10,205       13,176       12.5 %     4.6       1,952  
MSR Pool 4 - Recapture Agreement
          2,657       3,533       12.5 %     11.1       891  
MSR Pool 5
    39,989,031       99,530       121,102       12.5 %     5.5       19,594  
MSR Pool 5 - Recapture Agreement
          8,454       3,854       12.5 %     12.8       (758 )
MSR Pool 11 - Recapture Agreement
          2,391       2,391       12.5 %            
    $ 69,914,531     $ 218,339     $ 271,420       12.5 %     5.8     $ 43,691  
 
(A)
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.
   
(B)
Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable.
   
(C)
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
   
(D)
The portion of the change in fair value of the Recapture Agreements relating to loans recaptured to date is reflected in the respective pool.
  
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 at June 30, 2013:

State Concentration
 
Percentage of Total Outstanding (A)
 
California
    31.5 %
Florida
    10.1 %
New York
   
4.5
%
Washington
    4.3 %
Arizona
    3.8 %
Texas
    3.6 %
Maryland
    3.5 %
Colorado
    3.5 %
New Jersey
    3.2 %
Virginia
    3.1 %
Other U.S.
    28.9 %
      100.0 %
 
 
(A)
Based on the information provided by the loan servicer as of June 30, 2013.