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INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
 6 Months Ended
Jun. 30, 2020
Receivables [Abstract]  
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type:
June 30, 2020December 31, 2019
Outstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Loan Type
Total Residential Mortgage Loans, held-for-investment, at fair value(B)
$830,117  $750,332  13,168  7.2 %6.4$925,706  
Acquired Reverse Mortgage Loans(C)
$12,604  $6,458  29  7.9 %3.9$5,844  
Acquired Performing Loans(D)(F)
224,268  198,150  4,680  6.0 %4.1857,821  
Acquired Non-Performing Loans(E)(F)
617,062  490,222  4,703  7.3 %3.3565,387  
Total Residential Mortgage Loans, held-for-sale
$853,934  $694,830  9,412  7.0 %3.5$1,429,052  
Acquired Performing Loans(D)(F)
$1,245,660  $1,075,996  9,258  4.8 %8.0$3,024,288  
Originated Loans1,675,955  1,748,913  6,111  3.3 %27.21,589,324  
Total Residential Mortgage Loans, held-for-sale, at fair value
$2,921,615  $2,824,909  15,369  3.9 %19.0$4,613,612  
Total Residential Mortgage Loans, held-for-sale
$3,775,549  $3,519,739  $6,042,664  

(A)The weighted average life is based on the expected timing of the receipt of cash flows.
(B)Residential mortgage loans, held-for-investment, at fair value is grouped and presented as part of residential loans and variable interest entity consumer loans held-for-investment, at fair value on the Condensed Consolidated Balance Sheets.
(C)Represents a 70% participation interest that New Residential holds in a portfolio of reverse mortgage loans. Mr. Cooper holds the other 30% interest and services the loans. The average loan balance outstanding based on total UPB
was $0.6 million. Approximately 51% of these loans have reached a termination event. As a result of the termination event, each such loan has matured and the borrower can no longer make draws on these loans.
(D)Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(E)As of June 30, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (E) below.
(F)Includes $30.0 million and $26.1 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans
The table below summarizes the geographic distribution of the underlying residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationJune 30, 2020December 31, 2019
California13.8 %16.8 %
New York8.5 %9.9 %
Texas8.3 %7.5 %
Florida7.5 %7.7 %
Georgia5.4 %4.6 %
New Jersey4.5 %4.6 %
Illinois3.4 %3.4 %
Pennsylvania3.3 %3.1 %
North Carolina3.0 %2.6 %
Maryland3.0 %2.6 %
Other U.S. 39.3 %37.2 %
100.0 %100.0 %
Schedule of Performing Loans Past Due
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans as of June 30, 2020:
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
90 to 119$292,123  $244,837  $(47,286) 
120+717,573  597,082  (120,491) 
$1,009,696  $841,919  $(167,777) 
The following table provides past due information regarding New Residential’s Performing Loans, which is an important indicator of credit quality and the establishment of the allowance for credit losses:
December 31, 2019
Days Past Due
Delinquency Status(A)
Current86.5 %
30-597.0 %
60-892.7 %
90-119(B)
0.7 %
120+(C)
3.1 %
100.0 %

(A)Represents the percentage of the total principal balance that corresponds to loans that are in each delinquency status.
(B)Includes loans 90-119 days past due and still accruing interest because they are generally placed on nonaccrual status at 120 days or more past due.
(C)Represents nonaccrual loans.
The following table provides past due information regarding New Residential’s performing consumer loans, held-for-investment, which is an important indicator of credit quality and the establishment of the allowance for loan losses:
December 31, 2019
Days Past Due
Delinquency Status(A)
Current95.3 %
30-591.8 %
60-891.2 %
90-119(B)
0.7 %
120+(B) (C)
1.0 %
100.0 %

(A)Represents the percentage of the total unpaid principal balance that corresponds to loans that are in each delinquency status.
(B)Includes loans more than 90 days past due and still accruing interest.
(C)Interest is accrued up to the date of charge-off at 180 days past due.
Schedule of Loans Held For Sale, Fair Value
The following table summarizes the activity for residential mortgage loans:
Loans Held-for-Investment, at Fair ValueLoans Held-for-Sale, at Lower Cost or Fair ValueLoans Held-for-Sale, at Fair ValueTotal
Balance at December 31, 2019
$925,706  $1,429,052  $4,613,612  $6,968,370  
Fair value adjustment due to fair value option(6,020) —  —  (6,020) 
Originations —  —  19,252,135  19,252,135  
Sales—  (642,644) (21,900,008) (22,542,652) 
Purchases/additional fundings—  110,741  1,036,587  1,147,328  
Proceeds from repayments(64,802) (81,699) (95,595) (242,096) 
Transfer of loans to other assets(A)
—  (1,793) (13,516) (15,309) 
Transfer of loans to real estate owned(4,021) (16,277) (3,591) (23,889) 
Transfers of loans to held for sale(59,681) —  59,681  —  
Valuation provision on loans—  (102,550) —  (102,550) 
Changes in instrument-specific credit risk6,923  —  (46,512) (39,589) 
Other factors(47,773) —  (77,884) (125,657) 
Balance at June 30, 2020
$750,332  $694,830  $2,824,909  $4,270,071  

(A)Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are recognized as claims receivable in Other Assets (Note 2).
Schedule of Net Interest Income
Interest income recognized by New Residential related to its Servicer Advance Investments was composed of the following:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Interest income, gross of amounts attributable to servicer compensation
$27,905  $13,932  $17,655  $29,008  
Amounts attributable to base servicer compensation
(2,504) (1,407) (1,622) (2,972) 
Amounts attributable to incentive servicer compensation
(5,230) (7,080) (13,951) (13,507) 
Interest income from Servicer Advance Investments
$20,171  $5,445  $2,082  $12,529  
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Interest Income:
Loans Held for Investment, at Fair Value$13,229  $15,432  $28,338  $32,636  
Loans Held-for-Sale, at Lower Cost or Fair Value15,303  13,572  33,458  28,752  
Loans Held-for-Sale, at Fair Value27,715  39,075  71,107  72,844  
Total Interest Income56,247  68,079  132,903  134,232  
Interest Expense:
Loans Held for Investment, at Fair Value5,408  5,759  10,608  11,764  
Loans Held-for-Sale, at Lower Cost or Fair Value6,358  8,708  14,888  17,515  
Loans Held-for-Sale, at Fair Value11,372  37,599  41,842  66,198  
Total Interest Expense23,138  52,066  67,338  95,477  
Total Net Interest Income$33,109  $16,013  $65,565  $38,755  
Schedule of Originated Mortgage Loans
Gain on originated mortgage loans, held-for-sale, net is summarized below:
Three Months Ended
June 30,		Six Months Ended
June 30,
2020201920202019
Gain on loans originated and sold, net(A)
$236,583  $25,347  $275,870  $52,889  
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
(175,568) (18,318) (221,881) (29,741) 
MSRs retained on transfer of loans(C)
72,202  57,920  268,098  94,349  
Other(D)
15,962  9,499  32,590  16,779  
Realized gain on sale of originated mortgage loans, net$149,179  $74,448  $354,677  $134,276  
Change in fair value of loans
6,102  22,633  28,377  27,982  
Change in fair value of interest rate lock commitments (Note 10)
32,806  7,701  124,054  10,909  
Change in fair value of derivative instruments (Note 10)
121,935  (3,764) (17,388) (4,979) 
Gain on originated mortgage loans, held-for-sale, net$310,022  $101,018  $489,720  $168,188  

(A)Includes loan origination fees of $109.8 million and $386.8 million in the three and six months ended June 30, 2020, respectively, $60.9 million and $85.9 million in the three and six months ended June 30, 2019, respectively.
(B)Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments.
(C)Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained.
(D)Includes fees for services associated with the loan origination process.