XML 84 R113.htm IDEA: XBRL DOCUMENT v2.4.1.9
FAIR VALUE OF FINANCIAL INSTRUMENTS - Summary of Certain Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details)
12 Months Ended
Dec. 31, 2014
Held Directly (Note 4):  
Prepayment Speed 12.20%us-gaap_FairValueInputsPrepaymentRate [1],[2]
Delinquency 6.30%us-gaap_FairValueInputsProbabilityOfDefault [2],[3]
Recapture Rate 22.60%nrz_ValuationExcessMSRRecaptureRate [2],[4]
Excess Mortgage Servicing Amount (bps) 17.47nrz_Excessmortgageservicingamount [2],[5]
Directly Held [Member]  
Held Directly (Note 4):  
Prepayment Speed 11.50%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
[1],[2]
Delinquency 5.50%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
[2],[3]
Recapture Rate 20.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 18.23nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
[2],[5]
Held through Equity Method Investees [Member]  
Held Directly (Note 4):  
Prepayment Speed 12.50%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
[1],[2]
Delinquency 6.40%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
[2],[3]
Recapture Rate 24.10%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 17.04nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
[2],[5]
Agency [Member] | Directly Held [Member]  
Held Directly (Note 4):  
Prepayment Speed 10.70%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 5.50%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 30.40%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 21.53nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Agency [Member] | Directly Held [Member] | Original and Recaptured Pools [Member]  
Held Directly (Note 4):  
Prepayment Speed 10.90%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 5.50%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 31.10%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 21.55nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Agency [Member] | Directly Held [Member] | Recapture Agreements [Member]  
Held Directly (Note 4):  
Prepayment Speed 8.00%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 5.00%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 19.80%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 21.20nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Agency [Member] | Held through Equity Method Investees [Member]  
Held Directly (Note 4):  
Prepayment Speed 12.30%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 6.40%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 30.90%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 19.50nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Agency [Member] | Held through Equity Method Investees [Member] | Original and Recaptured Pools [Member]  
Held Directly (Note 4):  
Prepayment Speed 13.20%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 6.70%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 33.30%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 18.72nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Agency [Member] | Held through Equity Method Investees [Member] | Recapture Agreements [Member]  
Held Directly (Note 4):  
Prepayment Speed 8.00%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[1],[2]
Delinquency 5.00%us-gaap_FairValueInputsProbabilityOfDefault
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[3]
Recapture Rate 20.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[4]
Excess Mortgage Servicing Amount (bps) 22.97nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= us-gaap_AgencySecuritiesMember
[2],[5]
Non-Agency [Member] | Directly Held [Member]  
Held Directly (Note 4):  
Prepayment Speed 12.20%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 10.70%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 15.26nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
Non-Agency [Member] | Directly Held [Member] | Original and Recaptured Pools [Member]  
Held Directly (Note 4):  
Prepayment Speed 12.50%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 10.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 14.92nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
Non-Agency [Member] | Directly Held [Member] | Recapture Agreements [Member]  
Held Directly (Note 4):  
Prepayment Speed 8.00%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 20.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 19.91nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_DirectlyHeldMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
Non-Agency [Member] | Held through Equity Method Investees [Member]  
Held Directly (Note 4):  
Prepayment Speed 13.10%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 10.70%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 12.21nrz_Excessmortgageservicingamount
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
Non-Agency [Member] | Held through Equity Method Investees [Member] | Original and Recaptured Pools [Member]  
Held Directly (Note 4):  
Prepayment Speed 13.40%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 10.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 11.66nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool1Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
Non-Agency [Member] | Held through Equity Method Investees [Member] | Recapture Agreements [Member]  
Held Directly (Note 4):  
Prepayment Speed 8.00%us-gaap_FairValueInputsPrepaymentRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[1],[2],[6]
Recapture Rate 20.00%nrz_ValuationExcessMSRRecaptureRate
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[4],[6]
Excess Mortgage Servicing Amount (bps) 20.00nrz_Excessmortgageservicingamount
/ us-gaap_FinancialInstrumentAxis
= nrz_MSRPool2Member
/ us-gaap_ScheduleOfEquityMethodInvestmentEquityMethodInvesteeNameAxis
= nrz_HeldthroughEquityMethodInvesteesMember
/ us-gaap_UnderlyingAssetClassAxis
= nrz_NonAgencySecuritiesMember
[2],[5],[6]
[1] Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
[2] Weighted by amortized cost basis of the mortgage loan portfolio.
[3] Projected percentage of mortgage loans in the pool that will miss their mortgage payments.
[4] Percentage of voluntarily prepaid loans that are expected to be refinanced by Nationstar.
[5] Weighted average total mortgage servicing amount in excess of the basic fee.
[6] For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used.