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INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)
 12 Months Ended
Dec. 31, 2017
Transfers and Servicing [Abstract]  
Schedule of Servicing Assets at Fair Value
Changes in fair value recorded in other income is comprised of the following:
 
Year Ended December 31,
 
2017
 
2016
 
2015
Original and Recaptured Pools
$
(5,630
)
 
$
(11,221
)
 
$
34,936

Recapture Agreements
9,952

 
3,924

 
3,707

 
$
4,322

 
$
(7,297
)
 
$
38,643

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, 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

Purchases
 
—

 
—

 
—

 
—

Interest income
 
46,393

 
(191
)
 
56,851

 
103,053

Other income
 
2,384

 
—

 
1,993

 
4,377

Proceeds from repayments
 
(120,485
)
 
(1,400
)
 
(130,122
)
 
(252,007
)
Proceeds from sales
 
(13,505
)
 
—

 
—

 
(13,505
)
Change in fair value
 
6,153

 
569

 
(2,400
)
 
4,322

Ocwen Transaction (Note 5)
 
—

 
—

 
(71,982
)
 
(71,982
)
Balance as of December 31, 2017
 
$
532,233

 
$
2,913

 
$
638,567

 
$
1,173,713


(A)
Specialized Loan Servicing LLC (“SLS”).
(B)
Ocwen Loan Servicing LLC, a subsidiary of Ocwen, services the loans underlying the Excess MSRs and Servicer Advance Investments acquired from HLSS (Note 1).
The following table presents activity related to the carrying value of New Residential’s investments in MSRs:
Balance as of December 31, 2015
 
$
—

Purchases
 
571,158

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

Balance as of December 31, 2016
 
$
659,483

Purchases
 
1,143,693

Amortization of servicing rights(A)
 
(223,167
)
Change in valuation inputs and assumptions
 
155,495

Balance as of December 31, 2017
 
$
1,735,504



(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 table presents activity related to the carrying value of New Residential’s investments in mortgage servicing rights financing receivables:
Balance as of December 31, 2016
 
$
—

Investments made
 
467,884

Ocwen Transaction
 
64,450

Amortization of servicing rights(A)
 
(43,190
)
Change in valuation inputs and assumptions
 
109,584

Balance as of December 31, 2017
 
$
598,728


(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 receivables as of December 31, 2017:
 
UPB of Underlying Mortgages
 
Weighted Average Life (Years)(A)
 
Amortized Cost Basis
 
Carrying Value(B)
Agency
$
49,498,415

 
5.9
 
$
428,657

 
$
476,206

Non-Agency
14,846,478

 
5.6
 
60,487

 
122,522

Total
$
64,344,893

 
5.8
 
$
489,144

 
$
598,728


(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, 2017, a weighted average discount rate of 9.4% was used to value New Residential’s investments in mortgage servicing rights financing receivables.
The following is a summary of New Residential’s investments in MSRs as of December 31, 2017 and 2016:
 
UPB of Underlying Mortgages
 
Weighted Average Life (Years)(A)
 
Amortized Cost Basis
 
Carrying Value(B)
2017
 
 
 
 
 
 
 
Agency
$
172,392,496

 
6.3
 
$
1,476,330

 
$
1,735,504

Non-Agency
61,654

 
5.6
 
—

 
—

Total
$
172,454,150

 
6.3
 
$
1,476,330

 
$
1,735,504

2016
 
 
 
 
 
 
 
Agency
$
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, 2017 and 2016, weighted average discount rates of 9.1% and 12.0%, respectively, were used to value New Residential’s investments in MSR
Servicing Asset at Amortized Cost
The following is a summary of New Residential’s direct investments in Excess MSRs:

December 31, 2017

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
$
63,839,281

 
32.5% - 66.7% (53.5%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
5.8
 
$
249,003

 
$
280,033

Recapture Agreements
—

 
32.5% - 66.7% (53.5%)
 
0.0% - 40.0%
 
20.0% - 35.0%
 
11.4
 
18,944

 
44,603


63,839,281

 
 
 
 
 
 
 
6.2
 
267,947

 
324,636


 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency(E)
 
 
 
 
 
 
 
 
 
 
 
 
 
Nationstar and SLS Serviced:
 
 
 
 
 
 
 
 
 
 
 
 
 
Original and Recaptured Pools
$
64,146,430

 
33.3% - 100.0% (59.6%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
5.4
 
$
154,938

 
$
190,696

Recapture Agreements
—

 
33.3% - 100.0% (59.6%)
 
0.0% - 50.0%
 
0.0% - 33.3%
 
11.3
 
7,489

 
19,814

Ocwen Serviced Pools
89,135,588

 
100.0%
 
—%
 
—%
 
6.5
 
598,149

 
638,567


153,282,018

 
 
 
 
 
 
 
6.3
 
760,576

 
849,077

Total
$
217,121,299

 
 
 
 
 
 
 
6.3
 
$
1,028,523

 
$
1,173,713


 
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


(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 Advance Investments, including the basic fee component of the related MSR as of December 31, 2017 and 2016 (Note 6) on $139.5 billion and $186.4 billion UPB, respectively, underlying these Excess MSRs.

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,
 
2017
 
2016
Excess MSR assets
$
321,197

 
$
372,391

Other assets
22,333

 
17,184

Other liabilities
—

 
—

Equity
$
343,530

 
$
389,575

New Residential’s investment
$
171,765

 
$
194,788

 
 
 
 
New Residential’s ownership
50.0
%
 
50.0
%

 
Year Ended December 31,
 
2017
 
2016
 
2015
Interest income
$
27,450

 
$
36,502

 
$
51,811

Other income (loss)
(2,149
)
 
(3,359
)
 
10,615

Expenses
(68
)
 
(91
)
 
(107
)
Net income
$
25,233

 
$
33,052

 
$
62,319


New Residential’s investments in equity method investees changed during the years ended December 31, 2017 and 2016 as follows:
 
2017
 
2016
Balance at beginning of period
$
194,788

 
$
217,221

Contributions to equity method investees
—

 
—

Distributions of earnings from equity method investees
(13,668
)
 
(22,046
)
Distributions of capital from equity method investees
(21,972
)
 
(16,913
)
Change in fair value of investments in equity method investees
12,617

 
16,526

Balance at end of period
$
171,765

 
$
194,788
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, 2017
 
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
$
50,501,054

 
66.7%
 
50.0%
 
$
209,924

 
$
271,785

 
5.7
Recapture Agreements
—

 
66.7%
 
50.0%
 
23,571

 
49,412

 
11.4
Total
$
50,501,054

 
 
 
 
 
$
233,495

 
$
321,197

 
6.3

 
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
 
$
60,677,300

 
 
 
 
 
$
277,079

 
$
372,391

 
6.5

(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
 
2017
 
2016
California
 
24.0
%
 
24.1
%
Florida
 
8.7
%
 
8.6
%
New York
 
8.5
%
 
7.9
%
Texas
 
4.6
%
 
4.6
%
New Jersey
 
4.1
%
 
4.2
%
Maryland
 
3.7
%
 
3.7
%
Illinois
 
3.5
%
 
3.5
%
Georgia
 
3.1
%
 
3.1
%
Virginia
 
3.0
%
 
3.1
%
Massachusetts
 
2.7
%
 
2.7
%
Pennsylvania
 
2.6
%
 
2.5
%
Arizona
 
2.5
%
 
2.5
%
Other U.S.
 
29.0
%
 
29.5
%
 
 
100.0
%
 
100.0
%