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INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLE (Tables)
 9 Months Ended
Sep. 30, 2017
Equity Method Investments and Joint Ventures [Abstract]  
Fees Earned in Exchange for Servicing Financial Assets
Interest income from investments in mortgage servicing rights financing receivable was comprised of the following:
 
Three Months Ended September 30, 2017
 
Nine Months Ended 
 September 30, 2017
Servicing fee revenue
$
38,510

 
$
41,185

Ancillary and other fees
4,327

 
4,402

Less: subservicing expense
(11,139
)
 
(11,433
)
Interest income, investments in mortgage servicing rights financing receivable
$
31,698

 
$
34,154


Change in fair value of investments in mortgage servicing rights financing receivable was comprised of the following:
 
Three Months Ended September 30, 2017
 
Nine Months Ended 
 September 30, 2017
Amortization of servicing rights
$
(18,883
)
 
$
(20,010
)
Change in valuation inputs and assumptions
89,115

 
95,838

Change in fair value of investments in mortgage servicing rights financing receivable
$
70,232

 
$
75,828

Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following:
 
Three Months Ended September 30, 2017
 
Nine Months Ended 
 September 30, 2017
Servicing fee revenue
$
113,741

 
$
299,642

Ancillary and other fees
24,641

 
51,811

Servicing fee revenue and fees
138,382

 
351,453

Amortization of servicing rights
(68,850
)
 
(159,451
)
Change in valuation inputs and assumptions
(11,518
)
 
77,465

Servicing revenue, net
$
58,014

 
$
269,467
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs
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, 2016
 
$
611,293

 
$
3,935

 
$
784,227

 
$
1,399,455

Purchases
 
—

 
—

 
—

 
—

Interest income
 
33,837

 
(255
)
 
41,656

 
75,238

Other income
 
1,948

 
—

 
1,993

 
3,941

Proceeds from repayments
 
(98,802
)
 
(1,215
)
 
(95,677
)
 
(195,694
)
Change in fair value
 
(6,442
)
 
381

 
(26,589
)
 
(32,650
)
Ocwen Transaction (Note 5)
 
—

 
—

 
(71,982
)
 
(71,982
)
Balance as of September 30, 2017
 
$
541,834

 
$
2,846

 
$
633,628

 
$
1,178,308


(A)
Specialized Loan Servicing LLC (“SLS”).
(B)
Ocwen Loan Servicing LLC, a subsidiary of Ocwen Financial Corporation (together with its subsidiaries, including Ocwen Loan Servicing LLC, “Ocwen”), services the loans underlying the Excess MSRs and Servicer Advance Investments acquired from HLSS.

The following table presents activity related to the carrying value of New Residential’s investments in MSRs:
Balance as of December 31, 2016
 
$
659,483

Purchases
 
1,125,252

Amortization of servicing rights(A)
 
(159,451
)
Change in valuation inputs and assumptions
 
77,465

Balance as of September 30, 2017
 
$
1,702,749


(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.

The following is a summary of New Residential’s investments in MSRs as of September 30, 2017:
 
UPB of Underlying Mortgages
 
Weighted Average Life (Years)(A)
 
Amortized Cost Basis
 
Carrying Value(B)
Agency
$
177,220,692

 
6.4
 
$
1,521,605

 
$
1,702,749

Non-Agency
64,733

 
5.8
 
—

 
—

Total
$
177,285,425

 
6.4
 
$
1,521,605

 
$
1,702,749


(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 September 30, 2017, a weighted average discount rate of 9.8% 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 mortgage servicing rights financing receivable:
Balance as of December 31, 2016
 
$
—

Investments made
 
467,118

Ocwen Transaction (Note 5)
 
64,450

Amortization of servicing rights(A)
 
(20,010
)
Change in valuation inputs and assumptions
 
95,838

Balance as of September 30, 2017
 
$
607,396


(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.

The following is a summary of New Residential’s investments in mortgage servicing rights financing receivable as of September 30, 2017:
 
UPB of Underlying Mortgages
 
Weighted Average Life (Years)(A)
 
Amortized Cost Basis
 
Carrying Value(B)
Agency
$
51,533,451

 
5.6
 
$
447,925

 
$
473,669

Non-Agency
15,519,498

 
5.8
 
63,633

 
133,727

Total
$
67,052,949

 
5.6
 
$
511,558

 
$
607,396


(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 September 30, 2017, a weighted average discount rate of 10.4% was used to value New Residential’s investments in mortgage servicing rights financing receivable.
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 and mortgage servicing rights financing receivable:
 
 
Percentage of Total Outstanding Unpaid Principal Amount
State Concentration
 
September 30, 2017
 
December 31, 2016
California
 
19.0
%
 
20.5
%
New York
 
6.3
%
 
2.8
%
Florida
 
6.0
%
 
7.3
%
Texas
 
5.7
%
 
6.3
%
New Jersey
 
5.2
%
 
4.5
%
Illinois
 
4.1
%
 
4.1
%
Massachusetts
 
3.8
%
 
4.1
%
Michigan
 
3.6
%
 
3.1
%
Pennsylvania
 
3.3
%
 
2.9
%
Virginia
 
3.1
%
 
2.8
%
Other U.S.
 
39.9
%
 
41.6
%
 
 
100.0
%
 
100.0
%