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INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MORTGAGE SERVICING RIGHTS FINANCING RECEIVABLES (Tables)
 12 Months Ended
Dec. 31, 2017
Transfers and Servicing [Abstract]  
Fees Earned in Exchange for Servicing Financial Assets
Interest income from investments in mortgage servicing rights financing receivables was comprised of the following:
 
Year Ended December 31, 2017
Servicing fee revenue
$
94,945

Ancillary and other fees
17,313

Less: subservicing expense
(33,686
)
Interest income, investments in mortgage servicing rights financing receivables
$
78,572


Change in fair value of investments in mortgage servicing rights financing receivables was comprised of the following:
 
Year Ended December 31, 2017
Amortization of servicing rights
$
(43,190
)
Change in valuation inputs and assumptions
109,584

Change in fair value of investments in mortgage servicing rights financing receivables
$
66,394

Servicing revenue, net recognized by New Residential related to its investments in MSRs was comprised of the following:
 
Year Ended December 31,
 
2017
 
2016
Servicing fee revenue
$
412,971

 
$
29,168

Ancillary and other fees
79,050

 
676

Servicing fee revenue and fees
492,021

 
29,844

Amortization of servicing rights
(223,167
)
 
(15,354
)
Change in valuation inputs and assumptions
155,495

 
103,679

Servicing revenue, net
$
424,349

 
$
118,169
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
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 receivables:
 
 
Percentage of Total Outstanding Unpaid Principal Amount
State Concentration
 
December 31, 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
 
3.5
%
 
3.1
%
Pennsylvania
 
3.3
%
 
2.9
%
Virginia
 
3.1
%
 
2.8
%
Other U.S.
 
40.0
%
 
41.6
%
 
 
100.0
%
 
100.0
%