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INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)
 12 Months Ended
Dec. 31, 2016
Transfers and Servicing [Abstract]  
Schedule of Servicing Assets at Fair Value
The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs:
 
 
Servicer
 
 
Nationstar
 
SLS(A)
 
Ocwen(B)
 
Total
Balance as of December 31, 2014
 
$
409,076

 
$
8,657

 
$
—

 
$
417,733

Transfers from indirect ownership
 
98,258

 
—

 
—

 
98,258

Purchases
 
254,149

 
—

 
917,078

 
1,171,227

Interest income
 
66,039

 
180

 
68,346

 
134,565

Other income
 
2,999

 
—

 
—

 
2,999

Proceeds from repayments
 
(131,621
)
 
(1,291
)
 
(148,996
)
 
(281,908
)
Change in fair value
 
(596
)
 
(2,239
)
 
41,478

 
38,643

Balance as of December 31, 2015
 
698,304

 
5,307

 
877,906

 
1,581,517

Purchases
 
—

 
124

 
—

 
124

Interest income
 
63,772

 
(244
)
 
86,613

 
150,141

Other income
 
2,802

 
—

 
—

 
2,802

Proceeds from repayments
 
(145,186
)
 
(1,015
)
 
(181,631
)
 
(327,832
)
Change in fair value
 
(8,399
)
 
(237
)
 
1,339

 
(7,297
)
Balance as of December 31, 2016
 
$
611,293

 
$
3,935

 
$
784,227

 
$
1,399,455


(A)
Specialized Loan Servicing LLC (“SLS”). See Note 6 for a description of the SLS Transaction.
(B)
Ocwen services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS (Note 1).

The following is a summary of New Residential’s investments in MSRs as of December 31, 2016:
 
UPB of Underlying Mortgages
 
Weighted Average Life (Years)(A)
 
Amortized Cost Basis
 
Carrying Value(B)
Agency
 
 
 
 
 
 
 
Ditech subserviced pools
$
67,560,362

 
7.1
 
$
468,207

 
$
546,011

FirstKey subserviced pools
12,374,940

 
6.8
 
87,597

 
113,472

Total
$
79,935,302

 
7.0
 
$
555,804

 
$
659,483


(A)
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)
Carrying Value represents fair value. As of December 31, 2016, a weighted average discount rate of 12.0% was used to value New Residential’s investments in MSRs.
The following table presents activity related to the carrying value of New Residential’s investments in MSRs:
 
 
Subservicer
 
 
Ditech
 
FirstKey
 
Total
Balance as of December 31, 2015
 
$
—

 
$
—

 
$
—

Purchases
 
482,102

 
89,056

 
571,158

Amortization of servicing rights(A)
 
(13,895
)
 
(1,459
)
 
(15,354
)
Change in valuation inputs and assumptions
 
77,804

 
25,875

 
103,679

Balance as of December 31, 2016
 
$
546,011

 
$
113,472

 
$
659,483



(A)
Based on the ratio of the current UPB of the underlying residential mortgage loans relative to the original UPB of the underlying residential mortgage loans.
Servicing Asset at Amortized Cost
The following is a summary of New Residential’s direct investments in Excess MSRs:

December 31, 2016

UPB of Underlying Mortgages

Interest in Excess MSR

Weighted Average Life Years(A)

Amortized Cost Basis(B)

Carrying Value(C)
 
 
 
New Residential(D)
 
Fortress-managed funds
 
Nationstar
 
 
 
 
 
 
Agency



 
 
 
 









Original and Recaptured Pools
$
78,295,454

 
32.5% - 66.7% (53.3%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
5.9
 
$
296,508

 
$
330,323

Recapture Agreements
—

 
32.5% - 66.7% (53.3%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
12.3
 
25,524

 
51,434


78,295,454

 
 
 
 
 
 
 
6.4
 
322,032

 
381,757


 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency(E)
 
 
 
 
 
 
 
 
 
 
 
 
 
Nationstar and SLS Serviced:
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
78,209,375

 
33.3% - 100.0% (59.4%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
5.2
 
$
183,775

 
$
219,980

Recapture Agreements
—

 
33.3% - 100.0% (59.4%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
12.2
 
11,370

 
13,491

Ocwen Serviced Pools
121,471,168

 
100.0%
 
—%
 
—%
 
6.6
 
741,411

 
784,227


199,680,543

 
 
 
 
 
 
 
6.4
 
936,556

 
1,017,698

Total
$
277,975,997

 
 
 
 
 
 
 
6.4
 
$
1,258,588

 
$
1,399,455


 
December 31, 2015
 
UPB of Underlying Mortgages
 
Interest in Excess MSR
 
Weighted Average Life Years(A)
 
Amortized Cost Basis(B)
 
Carrying Value(C)
 
 
 
New Residential(D)
 
Fortress-managed funds
 
Nationstar
 
 
 
 
 
 
Agency
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
93,441,696

 
32.5% - 66.7% (53.2%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
5.8
 
$
335,478

 
$
378,083

Recapture Agreements
—

 
32.5% - 66.7% (53.2%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
12.0
 
36,627

 
59,118

 
93,441,696

 
 
 
 
 
 
 
6.4
 
372,105

 
437,201

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency(E)
 
 
 
 
 
 
 
 
 
 
 
 
 
Nationstar and SLS Serviced:
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
94,923,975

 
33.3% - 80.0% (58.9%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
5.2
 
$
210,691

 
$
250,662

Recapture Agreements
—

 
33.3% - 80.0% (58.9%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
12.3
 
14,130

 
15,748

Ocwen Serviced Pools
141,002,300

 
100.0%
 
—%
 
—%
 
6.2
 
836,428

 
877,906

 
235,926,275

 
 
 
 
 
 
 
6.1
 
1,061,249

 
1,144,316

Total
$
329,367,971

 
 
 
 
 
 
 
6.2
 
$
1,433,354

 
$
1,581,517


(A)
Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)
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.
(C)
Carrying Value represents the fair value of the pools or recapture agreements, as applicable.
(D)
Amounts in parentheses represent weighted averages.
(E)
New Residential also invested in related Servicer Advances, including the basic fee component of the related MSR as of December 31, 2016 and 2015 (Note 6) on $186.4 billion and $220.3 billion UPB, respectively, underlying these Excess MSRs.

Changes in fair value recorded in other income is comprised of the following:
 
Year Ended December 31,
 
2016
 
2015
 
2014
Original and Recaptured Pools
$
(11,221
)
 
$
34,936

 
$
35,000

Recapture Agreements
3,924

 
3,707

 
6,615

 
$
(7,297
)
 
$
38,643

 
$
41,615
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees
The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees, held by New Residential:
 
December 31,
 
2016
 
2015
Excess MSR assets
$
372,391

 
$
421,999

Other assets
17,184

 
12,442

Other liabilities
—

 
—

Equity
$
389,575

 
$
434,441

New Residential’s investment
$
194,788

 
$
217,221

 
 
 
 
New Residential’s ownership
50.0
%
 
50.0
%

 
Year Ended December 31,
 
2016
 
2015
 
2014
Interest income
$
36,502

 
$
51,811

 
$
67,698

Other income (loss)
(3,359
)
 
10,615

 
46,961

Expenses
(91
)
 
(107
)
 
(99
)
Net income
$
33,052

 
$
62,319

 
$
114,560


New Residential’s investments in equity method investees changed during the years ended December 31, 2016 and 2015 as follows:
 
2016
 
2015
Balance at beginning of period
$
217,221

 
$
330,876

Contributions to equity method investees
—

 
—

Transfers to direct ownership
—

 
(98,258
)
Distributions of earnings from equity method investees
(22,046
)
 
(37,874
)
Distributions of capital from equity method investees
(16,913
)
 
(8,683
)
Change in fair value of investments in equity method investees
16,526

 
31,160

Balance at end of period
$
194,788

 
$
217,221
Summary of Excess MSR Investments made through Equity Method Investees
The following is a summary of New Residential’s Excess MSR investments made through equity method investees:
 
December 31, 2016
 
Unpaid Principal Balance
 
Investee Interest in Excess MSR(A)
 
New Residential Interest in Investees
 
Amortized Cost Basis(B)
 
Carrying Value(C)
 
Weighted Average Life (Years)(D)
Agency
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
60,677,300

 
66.7%
 
50.0%
 
$
247,105

 
$
314,401

 
5.8
Recapture Agreements
—

 
66.7%
 
50.0%
 
29,974

 
57,990

 
12.2
Total
$
60,677,300

 
 
 
 
 
$
277,079

 
$
372,391

 
6.5

 
December 31, 2015
 
Unpaid Principal Balance
 
Investee Interest in Excess MSR(A)
 
New Residential Interest in Investees
 
Amortized Cost Basis(B)
 
Carrying Value(C)
 
Weighted Average Life (Years)(D)
Agency
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
73,058,050

 
66.7%
 
50.0%
 
$
275,338

 
$
351,275

 
5.7
Recapture Agreements
—

 
66.7%
 
50.0%
 
45,421

 
70,724

 
11.9
 
$
73,058,050

 
 
 
 
 
$
320,759

 
$
421,999

 
6.6

(A)
The remaining interests are held by Nationstar.
(B)
Represents the amortized cost basis of the equity method investees in which New Residential holds a 50% interest. 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.
(C)
Represents the carrying value of the Excess MSRs held in equity method investees, in which New Residential holds a 50% interest. Carrying value represents the fair value of the pools or recapture agreements, as applicable.
(D)
The weighted average life represents the weighted average expected timing of the receipt of cash flows of each investment.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investments in Excess MSRs
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the Excess MSR investments:
 
 
Aggregate Direct and
Equity Method Investees
 
 
Percentage of Total Outstanding Unpaid Principal Amount
 
 
December 31,
State Concentration
 
2016
 
2015
California
 
24.1
%
 
24.2
%
Florida
 
8.6
%
 
8.6
%
New York
 
7.9
%
 
7.4
%
Texas
 
4.6
%
 
4.6
%
New Jersey
 
4.2
%
 
4.1
%
Maryland
 
3.7
%
 
3.7
%
Illinois
 
3.5
%
 
3.5
%
Virginia
 
3.1
%
 
3.1
%
Georgia
 
3.1
%
 
3.1
%
Massachusetts
 
2.7
%
 
2.7
%
Washington
 
2.6
%
 
2.7
%
Arizona
 
2.5
%
 
2.5
%
Other U.S.
 
29.4
%
 
29.8
%
 
 
100.0
%
 
100.0
%