INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS (Tables)

9 Months Ended

Sep. 30, 2015

Transfers and Servicing [Abstract]

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 investments in Excess MSRs:

	Servicer
	Nationstar			SLS(A)			Ocwen(B)			Total
Balance as of December 31, 2014	$	409,076		$	8,657		$	—		$	417,733
Transfers from indirect ownership	98,258			—			—			98,258
Purchases	131,488			—			919,531			1,051,019
Interest income	46,840			176			40,858			87,874
Other income	2,246			—			—			2,246
Proceeds from repayments	(94,212		)	(997		)	(101,957		)	(197,166		)
Change in fair value(C)	1,854			(1,890		)	(238		)	(274		)
Balance as of September 30, 2015	$	595,550		$	5,946		$	858,194		$	1,459,690

(A) Specialized Loan Servicing LLC (“SLS”). See Note 6 for a description of the SLS Transaction.

(B) Ocwen services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. See Note 1.

(C) In the third quarter of 2015, New Residential recorded a cumulative positive prior period adjustment of $4.4 million (of which $4.2 million related to 2014 and prior) resulting from adjustments to certain modeling assumptions.

Summary of Direct Investments in Excess MSRs

The following is a summary of New Residential’s direct investments in Excess MSRs:

	September 30, 2015													December 31, 2014
	Unpaid Principal Balance (“UPB”) of Underlying Mortgages		Interest in Excess MSR						Weighted Average Life Years(A)	Amortized Cost Basis(B)		Carrying Value(C)		Carrying Value(C)
			New Residential		Fortress-managed funds		Nationstar
Agency
Original and Recaptured Pools	$	78,057,699	32.5% - 66.7%		0.0% - 40.0%		20.0% - 35.0%		5.9	$	236,787	$	284,805	$	188,733
Recapture Agreements	—		32.5% - 66.7%		0.0% - 40.0%		20.0% - 35.0%		11.7	25,127		47,270		28,786
	78,057,699								6.5	261,914		332,075		217,519
Non-Agency(D)
Nationstar and SLS Serviced:
Original and Recaptured Pools	$	98,914,180	33.3% - 80.0%		0.0% - 50.0%		0.0% - 33.3%		5.1	$	215,268	$	252,674	$	189,812
Recapture Agreements	—		33.3% - 80.0%		0.0% - 50.0%		0.0% - 33.3%		12.0	14,830		16,748		10,402
Ocwen Serviced Pools	145,781,953		100.0	%	—	%	—	%	5.4	858,431		858,193		—
	244,696,133								5.4	1,088,529		1,127,615		200,214
Total	$	322,753,832							5.6	$	1,350,443	$	1,459,690	$	417,733

(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) Excess MSR investments in which New Residential also invested in related servicer advances, including the basic fee component of the related MSR as of September 30, 2015 (Note 6).

Changes in fair value recorded in other income are comprised of the following:

	Three Months Ended September 30,					Nine Months Ended September 30,
	2015			2014		2015			2014
Original and Recaptured Pools	$	1,485		$	24,124	$	(3,933	)	$	34,012
Recapture Agreements	(354		)	4,442		3,659			6,658
	$	1,131		$	28,566	$	(274	)	$	40,670

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 direct investments in Excess MSRs:

	Percentage of Total Outstanding Unpaid Principal Amount as of
State Concentration	September 30, 2015		December 31, 2014
California	26.6	%	31.5	%
Florida	9.1	%	7.7	%
New York	7.3	%	4.3	%
Texas	4.4	%	4.2	%
New Jersey	4.0	%	3.2	%
Maryland	3.8	%	4.0	%
Illinois	3.4	%	3.2	%
Virginia	3.2	%	3.3	%
Washington	2.8	%	3.6	%
Massachusetts	2.6	%	2.1	%
Other U.S.	32.8	%	32.9	%
	100.0	%	100.0	%