During the quarter, this portfolio generated total cash flow of $43 million, including an $8 million break-up fee related to the “ResCap” transaction, and increased in value by $14 million.
As of December 31, 2012, the total carrying value of the Company’s Excess MSR investments was $245 million, representing a 65% interest in the net MSR cash flows on five loan portfolios with a total unpaid principal balance of $77 billion.
During the quarter, these investments generated $27 million of total cash flow and increased in value by $3 million.
- The average updated IRR with actual performance was 19%, compared to an initial expected IRR of 18%
- Received $55 million of life-to-date total cash flow through the end of December, or 21% of the initial investment of $262 million over an average of 7 months
- Weighted Average Constant Prepayment Rate (“CPR”) life-to-date was 12% compared to the Company’s initial CPR projection of 20%