Note 5 — Investments in Servicing Related Assets

On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million at the time of acquisition.

Subsequently, Aurora acquired portfolios of Fannie Mae, Freddie Mac and Ginnie Mae MSRs with an aggregate UPB of approximately $34.1 billion as of September 30, 2019 the respective acquisition dates.

The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands):

Servicing Related Assets Summary

As of September 30, 2019

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	24,794,818	$	324,360	^(C)	$	227,522		4.36	%		26.9	$	(96,838	)
Government		3,069,392		40,216	^(C)		28,323		3.37	%		26.1		(11,893	)
MSR Total/Weighted Average	$	27,864,210	$	364,576		$	255,845		4.25	%		26.8	$	(108,731	)

As of December 31, 2018

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	21,366,980	$	258,070	^(C)	$	254,691		4.37	%		27.3	$	(3,379	)
Government		3,480,009		40,410	^(C)		40,216		3.37	%		26.8		(194	)
MSR Total/Weighted Average	$	24,846,989	$	298,480		$	294,907		4.23	%		27.2	$	(3,573	)

(A)	Carrying value represents the fair value of the pools (see Note 9).

(B)	The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.

(C)	MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns of the underlying mortgage loans.

The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the Servicing Related Assets as of the dates indicated:

Geographic Concentration of Servicing Related Assets

As of September 30, 2019

	Percentage of Total Outstanding Unpaid Principal Balance
California		12.5	%
Texas		6.1	%
Maryland		5.5	%
Florida		5.0	%
All other		70.9	%
Total		100.0	%

As of December 31, 2018

	Percentage of Total Outstanding Unpaid Principal Balance
California		12.7	%
Texas		6.4	%
Florida		5.1	%
All other		75.8	%
Total		100.0	%

Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets.