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INVESTMENTS IN EXCESS MORTGAGE SERVICING RIGHTS ASSETS (Tables)
 6 Months Ended
Jun. 30, 2020
Transfers and Servicing [Abstract]  
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs The table below summarizes the components of excess mortgage servicing rights assets as presented on the Condensed Consolidated Balance Sheets:
June 30, 2020December 31, 2019
Direct investments in Excess MSRs$346,450  $379,747  
Excess MSR Joint Ventures112,473  125,596  
Excess mortgage servicing rights assets, at fair value$458,923  $505,343  
The following table presents activity related to the carrying value of New Residential’s direct investments in Excess MSRs:
Servicer
Mr. Cooper
SLS(A)
Total
Balance as of December 31, 2019$377,692  $2,055  $379,747  
Interest income12,561  21  12,582  
Other income1,202  —  1,202  
Proceeds from repayments(35,708) (216) (35,924) 
Proceeds from sales(48) —  (48) 
Change in fair value(11,184) 75  (11,109) 
Balance as of June 30, 2020$344,515  $1,935  $346,450  

(A)Specialized Loan Servicing LLC (“SLS”).
The following table presents activity related to the carrying value of New Residential’s investments in MSRs and MSR Financing Receivables:
MSRsMSR Financing ReceivablesTotal
Balance as of December 31, 2019$3,967,960  $1,718,273  $5,686,233  
Purchases, net(A)
456,665  4,362  461,027  
Originations(B)
268,098  —  268,098  
Prepayments(C)
(31,222) (23,369) (54,591) 
Proceeds from sales(9,801) (3,708) (13,509) 
Amortization of servicing rights(D)
(483,639) (145,951) (629,590) 
Change in valuation inputs and assumptions(E)
(624,561) (77,931) (702,492) 
(Gain) loss on sales7,659  (1,749) 5,910  
Balance as of June 30, 2020$3,551,159  $1,469,927  $5,021,086  

(A)Net of purchase price adjustments.
(B)Represents MSRs retained on the sale of originated mortgage loans.
(C)Represents purchase price fully reimbursable from sellers as a result of prepayment protection.
(D)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.
(E)Includes changes in inputs or assumptions used in the valuation model.
The following is a summary of New Residential’s investments in MSRs and MSR Financing Receivables as of June 30, 2020:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
MSRs:
Agency(C)
$315,552,886  5.2$2,927,046  
Non-Agency6,065,805  4.318,400  
Ginnie Mae(D)
57,779,101  4.3605,713  
379,397,792  5.13,551,159  
MSR Financing Receivables:
Agency(C)
43,073,285  5.0382,078  
Non-Agency71,380,202  7.71,087,849  
114,453,487  6.71,469,927  
Total$493,851,279  5.4$5,021,086  

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Carrying value represents fair value. As of June 30, 2020, weighted average discount rates of 8.2% and 9.5% were used to value New Residential’s investments in MSRs and MSR financing receivables, respectively.
(C)Represents Fannie Mae and Freddie Mac MSRs.
(D)As of June 30, 2020, New Residential holds approximately $1,075.0 million in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Condensed Consolidated Balance Sheets. See Note 8 for further discussion.
Summary of Direct Investments in Excess MSRs
The following is a summary of New Residential’s direct investments in Excess MSRs:
June 30, 2020December 31, 2019
UPB of Underlying MortgagesInterest in Excess MSR
Weighted Average Life Years(A)
Amortized Cost Basis(B)
Carrying Value(C)
Carrying Value(C)
New Residential(D)
Fortress-managed fundsMr. Cooper
Agency
Original and Recaptured Pools
$39,833,663  32.5% - 66.7% (53.3%)0.0% - 40.0%20.0% - 35.0%5.8$162,415  $186,928  $209,633  
Non-Agency(E)
Mr. Cooper and SLS Serviced:
Original and Recaptured Pools
41,832,962  33.3% - 100.0% (59.4%)0.0% - 50.0%0.0% - 33.3%6.5118,875  159,522  170,114  
Total$81,666,625  6.1$281,290  $346,450  $379,747  
 
(A)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 and recapture agreements, as applicable.
(D)Amounts in parentheses represent weighted averages.
(E)New Residential is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2020 (Note 6) on $28.8 billion UPB underlying these Excess MSRs.

Changes in fair value recorded in other income is composed of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Original and Recaptured Pools$(85) $(8,455) $(11,109) $(3,828) 
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:
June 30, 2020December 31, 2019
Excess MSR assets$200,650  $226,843  
Other assets24,983  25,035  
Other liabilities(687) (687) 
Equity$224,946  $251,191  
New Residential’s investment$112,473  $125,596  
New Residential’s ownership50.0 %50.0 %

Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Interest income$536  $190  $7,850  $4,261  
Other income (loss)(4,632) (6,727) (12,852) (5,557) 
Expenses(8) (15) (16) (32) 
Net income (loss)$(4,104) $(6,552) $(5,018) $(1,328) 

The following table summarizes the activity of New Residential’s investments in equity method investees:
Balance at December 31, 2019$125,596  
Distributions of earnings from equity method investees(1,172) 
Distributions of capital from equity method investees(9,442) 
Change in fair value of investments in equity method investees(2,509) 
Balance at June 30, 2020$112,473  
The following table summarizes the income earned from the Company’s investments in LoanCo and WarrantCo during 2019:
Three Months Ended
June 30, 2019(A)
Six Months Ended
June 30, 2019(A)
Interest income$11,390  $19,367  
Interest expense(3,665) (6,487) 
Change in fair value of consumer loans and warrants(15,993) (1,457) 
Gain on sale of consumer loans(1,222) (1,668) 
Other expenses(1,462) (2,918) 
Net income$(10,952) $6,837  
New Residential’s equity in net income$(2,654) $1,657  
New Residential’s ownership24.2 %24.2 %

(A)Data for the period ended May 31, 2019 as a result of the one month reporting lag.

The following is a summary of LoanCo’s consumer loan investments at June 30, 2019:
Unpaid Principal BalanceInterest in Consumer LoansCarrying ValueWeighted Average Coupon
Weighted Average Expected Life (Years)(A)
Weighted Average Delinquency(B)
June 30, 2019(C)
$414,530  25.0 %$409,379  14.6 %1.31.4 %

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Represents the percentage of the total unpaid principal balance that is 30+ days delinquent. Delinquency status is the primary credit quality indicator as it provides early warning of borrowers who may be experiencing financial difficulties.
(C)Data as of May 31, 2019 as a result of the one month reporting lag.
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:
June 30, 2020
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$31,923,937  66.7 %50.0 %$156,169  $200,650  5.6
 
(A)The remaining interests are held by Mr. Cooper.
(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 and recapture agreements, as applicable.
(D)Represents the weighted average expected timing of the receipt of cash flows of each investment.