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INVESTMENTS IN MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 6 Months Ended
Jun. 30, 2020
Equity Method Investments and Joint Ventures [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.
Fees Earned in Exchange for Servicing Financial Assets
Servicing revenue, net recognized by New Residential related to its investments in MSRs was composed of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Servicing fee revenue$332,376  $196,249  $660,498  $379,275  
Ancillary and other fees18,198  52,813  50,336  92,550  
Servicing fee revenue and fees350,574  249,062  710,834  471,825  
Amortization of servicing rights(288,573) (105,321) (479,940) (177,996) 
Change in valuation inputs and assumptions(A) (B)
(154,416) (229,278) (618,127) (213,513) 
(Gain) loss on sales1,956  —  7,659  —  
Servicing revenue, net$(90,459) $(85,537) $(379,574) $80,316  

(A)Includes changes in inputs or assumptions used in the valuation model.
(B)Includes $1.9 million and $7.6 million for the three months ended June 30, 2020 and 2019, respectively, and $6.4 million and $8.0 million for the six months ended June 30, 2020 and 2019, respectively, of fair value adjustment to excess spread financing.

Interest income from investments in MSR Financing Receivables was composed of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Servicing fee revenue$106,861  $130,126  $220,443  $256,370  
Ancillary and other fees17,716  29,954  43,716  61,278  
Less: subservicing expense(40,131) (49,577) (82,034) (105,239) 
Interest income, investments in MSR financing receivables
$84,446  $110,503  $182,125  $212,409  

Change in fair value of investments in MSR Financing Receivables was composed of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Amortization of servicing rights$(77,199) $(40,201) $(145,951) $(83,077) 
Change in valuation inputs and assumptions(A)
(44,321) (14,850) (77,931) (7,912) 
(Gain) loss on sales(B)
—  (360) (1,749) (801) 
Change in fair value of investments in MSR financing receivables
$(121,520) $(55,411) $(225,631) $(91,790) 

(A)Includes changes in inputs or assumptions used in the valuation model and other changes due to the realization of expected cash flows.
(B)Represents the realization of unrealized gain (loss) as a result of sales.
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 MSR Financing Receivables:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationJune 30, 2020December 31, 2019
California22.9 %21.9 %
Florida7.0 %6.9 %
New York6.4 %6.4 %
Texas5.3 %5.5 %
New Jersey4.8 %4.9 %
Illinois3.5 %3.6 %
Massachusetts3.3 %3.4 %
Washington3.2 %3.3 %
Georgia3.1 %3.1 %
Maryland3.0 %3.0 %
Other U.S.37.5 %38.0 %
100.0 %100.0 %