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)
9 Months Ended
Sep. 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:
 
   
September 30, 2013
   
Nine Months
Ended September 30,
2013
 
   
Unpaid Principal
Balance (“UPB”) of Underlying Mortgages
   
Interest in Excess MSR
   
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
  $ 7,171,426       65.0 %   $ 27,255     $ 37,907       12.5 %     4.9     $ 4,914  
MSR Pool 1 - Recapture Agreement
          65.0 %     2,230       4,629       12.5 %     11.3       1,893  
MSR Pool 2
    8,217,751       65.0 %     30,806       35,592       12.5 %     5.2       3,742  
MSR Pool 2 - Recapture Agreement
          65.0 %     1,934       5,882       12.5 %     12.3       3,767  
MSR Pool 3
    8,066,890       65.0 %     25,250       34,063       12.5 %     4.8       5,958  
MSR Pool 3 - Recapture Agreement
          65.0 %     3,608       5,231       12.5 %     11.6       1,699  
MSR Pool 4
    5,222,892       65.0 %     10,032       13,743       12.5 %     5.2       2,693  
MSR Pool 4 - Recapture Agreement
          65.0 %     2,509       3,446       12.5 %     11.6       951  
MSR Pool 5
    38,315,786       80.0 %     121,544       142,387       12.7 %     5.4       18,864  
MSR Pool 5 - Recapture Agreement
          80.0 %     9,277       4,779       12.7 %     12.5       (656 )
MSR Pool 11 - Recapture Agreement
          66.7 %     2,391       2,391       12.5 %     10.2        
MSR Pool 12
    5,321,060       40.0 %     16,963       17,032       16.4 %     4.6       69  
MSR Pool 12 - Recapture Agreement
          40.0 %     479       486       16.4 %     13.6       5  
    $ 72,315,805             $ 254,278     $ 307,568       12.9 %     5.8     $ 43,899  
 
(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 September 30, 2013:
 
State Concentration
 
Percentage of Total Outstanding
 
California
    30.3 %
Florida
    10.1 %
New York
    4.7 %
Texas
    4.2 %
Washington
    4.1 %
Arizona
    3.7 %
Maryland
    3.6 %
Colorado
    3.3 %
New Jersey
    3.3 %
Virginia
    3.1 %
Other U.S.
    29.6 %
      100.0 %
 
Geographic concentrations of investments expose New Residential to the risk of economic downturns within the relevant states. Any such downturn in a state where New Residential holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the Excess MSRs.