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INVESTMENTS IN MORTGAGE SERVICING RIGHTS (Tables)
 12 Months Ended
Dec. 31, 2016
Transfers and Servicing [Abstract]  
Fees Earned in Exchange for Servicing Financial Assets
Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following:
 
Year Ended December 31, 2016
Servicing fee revenue
$
29,168

Ancillary and other fees
676

Servicing fee revenue and fees
29,844

Amortization of servicing rights
(15,354
)
Change in valuation inputs and assumptions
103,679

Servicing revenue, net
$
118,169
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.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the investments in MSRs:
 
 
Percentage of Total Outstanding Unpaid Principal Amount
State Concentration
 
December 31, 2016
California
 
20.5
%
Florida
 
7.3
%
Texas
 
6.3
%
New Jersey
 
4.5
%
Illinois
 
4.1
%
Massachusetts
 
4.1
%
Arizona
 
3.3
%
Washington
 
3.2
%
Michigan
 
3.1
%
Maryland
 
3.0
%
Other U.S.
 
40.6
%
 
 
100.0
%