SERVICER ADVANCE INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2017

Investments, All Other Investments [Abstract]

Summary of Investments in Servicer Advances

The following is a summary of New Residential’s Servicer Advance Investments, including the right to the basic fee component of the related MSRs:

	Amortized Cost Basis		Carrying Value(A)		Weighted Average Discount Rate		Weighted Average Yield		Weighted Average Life (Years)(B)
September 30, 2017
Servicer Advance Investments(C)	$	3,955,375	$	4,044,802	6.8	%	7.2	%	5.1
As of December 31, 2016
Servicer Advance Investments(C)	$	5,687,635	$	5,706,593	5.6	%	5.5	%	4.6

(A) Carrying value represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.

(B) Weighted Average Life represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

(C) Excludes asset-backed securities collateralized by servicer advances, which had an aggregate face amount of $100.0 million and an aggregate carrying value of $100.1 million as of December 31, 2016.

	Three Months Ended   September 30,				Nine Months Ended    September 30,
	2017		2016		2017		2016
Changes in Fair Value Recorded in Other Income	$	10,941	$	21,606	$	70,469	$	4,328

The following is additional information regarding the Servicer Advance Investments and related financing:

									Loan-to-Value (“LTV”)(A)				Cost of Funds(C)
	UPB of Underlying Residential Mortgage Loans		Outstanding Servicer Advances		Servicer Advances to UPB of Underlying Residential Mortgage Loans		Face Amount of Notes and Bonds Payable		Gross		Net(B)		Gross		Net
September 30, 2017
Servicer Advance Investments(D)	$	145,763,758	$	3,651,705	2.5	%	$	3,504,060	92.5	%	91.4	%	3.3	%	2.9	%
December 31, 2016
Servicer Advance Investments(D)	$	186,362,657	$	5,617,759	3.0	%	$	5,560,412	94.5	%	93.4	%	3.2	%	2.8	%

(A) Based on outstanding servicer advances, excluding purchased but unsettled servicer advances and certain deferred servicing fees (“DSF”) on which New Residential receives financing. If New Residential were to include these DSF in the servicer advance balance, gross and net LTV as of September 30, 2017 would be 86.6% and 85.6%, respectively. Also excludes retained Non-Agency bonds with a current face amount of $79.9 million from the outstanding servicer advance debt. If New Residential were to sell these bonds, gross and net LTV as of September 30, 2017 would be 94.6% and 93.5%, respectively.

(B) Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.

(C) Annualized measure of the cost associated with borrowings. Gross Cost of Funds primarily includes interest expense and facility fees. Net Cost of Funds excludes facility fees.

(D) The following types of advances are included in the Servicer Advance Investments:

	September 30, 2017		December 31, 2016
Principal and interest advances	$	939,897	$	1,489,929
Escrow advances (taxes and insurance advances)	1,634,892		2,613,050
Foreclosure advances	1,076,916		1,514,780
Total	$	3,651,705	$	5,617,759

Schedule of Interest Income Related to Investments in Servicer Advances

Interest income recognized by New Residential related to its Servicer Advance Investments was comprised of the following:

	Three Months Ended   September 30,						Nine Months Ended    September 30,
	2017			2016			2017			2016
Interest income, gross of amounts attributable to servicer compensation	$	83,979		$	161,601		$	290,933		$	581,231
Amounts attributable to base servicer compensation(A)	(38,549		)	(15,276		)	(145,055		)	(68,184		)
Amounts attributable to incentive servicer compensation(A)	84,724			(45,197		)	300,788			(255,170		)
Interest income from Servicer Advance Investments(A)	$	130,154		$	101,128		$	446,666		$	257,877

(A) Total interest income of $130.2 million and $446.7 million for the three and nine months ended September 30, 2017 includes retrospective adjustments of $46.5 million and $204.1 million, respectively, mainly due to changes in cash flow assumptions relating to the HLSS portfolio, including a change in the cost of subservicing assumption to 13 bps.

New Residential has determined that the Buyer is a VIE. The following table presents information on the assets and liabilities related to this consolidated VIE.

	As of
	September 30, 2017		December 31, 2016
Assets
Servicer advance investments, at fair value	$	1,039,103	$	1,731,633
Cash and cash equivalents	40,222		37,854
All other assets	12,961		19,799
Total assets(A)	$	1,092,286	$	1,789,286
Liabilities
Notes and bonds payable	$	819,190	$	1,464,851
All other liabilities	3,637		5,187
Total liabilities(A)	$	822,827	$	1,470,038

(A) The creditors of the Buyer do not have recourse to the general credit of New Residential and the assets of the Buyer are not directly available to satisfy New Residential’s obligations.

Others’ interests in the equity of the Buyer is computed as follows:

	September 30, 2017			December 31, 2016
Total Advance Purchaser LLC equity	$	269,459		$	319,248
Others’ ownership interest	27.2		%	54.2		%
Others’ interest in equity of consolidated subsidiary	$	73,316		$	173,057

Others’ interests in the Buyer’s net income is computed as follows:

	Three Months Ended   September 30,						Nine Months Ended    September 30,
	2017			2016			2017			2016
Net Advance Purchaser LLC income	$	3,584		$	33,985		$	20,460		$	60,207
Others’ ownership interest as a percent of total(A)	34.2		%	55.5		%	50.7		%	55.5		%
Others’ interest in net income of consolidated subsidiaries	$	1,224		$	18,853		$	10,372		$	33,400

(A) As a result, New Residential owned 65.8% and 44.5% of the Buyer, on average during the three months ended September 30, 2017 and 2016, respectively 49.3% and 44.5% of the Buyer, on average during the nine months ended September 30, 2017 and 2016, respectively.