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INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS (Tables)
 9 Months Ended
Sep. 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:
September 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)
$784,838 $718,802 12,587 6.7 %4.2$925,706 
Acquired reverse mortgage loans(C)
$11,784 $5,848 28 7.8 %3.9$5,844 
Acquired performing loans(D)(F)
205,746 191,580 4,138 6.6 %3.4857,821 
Acquired non-performing loans(E)(F)
502,003 380,925 3,363 7.5 %3.3565,387 
Total residential mortgage loans, held-for-sale$719,533 $578,353 7,529 7.2 %3.3$1,429,052 
Acquired performing loans(D)(F)
$1,205,668 $1,176,302 7,590 4.2 %9.9$3,024,288 
Acquired non-performing loans436,936 338,451 2,872 7.5 %3.3— 
Originated loans2,705,121 2,843,720 9,947 2.9 %22.11,589,324 
Total residential mortgage loans, held-for-sale, at fair value$4,347,725 $4,358,473 20,409 3.7 %16.8$4,613,612 
Total residential mortgage loans, held-for-sale$5,067,258 $4,936,826 $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 47% 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 September 30, 2020, New Residential has placed Non-Performing Loans, held-for-sale on nonaccrual status, except as described in (F) below.
(F)Includes $490.9 million and $21.2 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 ConcentrationSeptember 30, 2020December 31, 2019
California13.8 %16.1 %
New York8.9 %9.0 %
Texas8.0 %7.1 %
Florida7.8 %8.4 %
Georgia5.5 %4.8 %
New Jersey5.1 %4.2 %
Illinois3.5 %3.6 %
Pennsylvania3.2 %2.9 %
Maryland3.2 %3.3 %
Massachusetts3.1 %3.3 %
Other U.S. 37.9 %37.3 %
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 September 30, 2020:
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
90 to 119$157,247 $142,438 $(14,808)
120+1,104,658 931,980 (172,678)
$1,261,905 $1,074,418 $(187,486)
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 — — 37,361,429 37,361,429 
Sales— (733,087)(39,713,858)(40,446,945)
Purchases/additional fundings— 110,741 2,279,757 2,390,498 
Proceeds from repayments(105,032)(86,798)(140,657)(332,487)
Transfer of loans to other assets(A)
— (3,338)(20,372)(23,710)
Transfer of loans to real estate owned(5,328)(17,085)(4,674)(27,087)
Transfers of loans to held for sale(62,274)— 62,274 — 
Valuation provision on loans— (121,132)— (121,132)
Changes in instrument-specific credit risk18,808 — (31,488)(12,680)
Other factors(47,058)— (47,550)(94,608)
Balance at September 30, 2020
$718,802 $578,353 $4,358,473 $5,655,628 

(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
September 30,		Nine Months Ended
September 30,
2020201920202019
Interest income, gross of amounts attributable to servicer compensation
$10,505 $14,212 $28,160 $43,220 
Amounts attributable to base servicer compensation
(703)(1,606)(2,325)(4,578)
Amounts attributable to incentive servicer compensation
1,196 (7,273)(12,755)(20,780)
Interest income from Servicer advance investments$10,998 $5,333 $13,080 $17,862 
Three Months Ended
September 30,		Nine Months Ended
September 30,
2020201920202019
Interest income:
Loans held-for-investment, at fair value$12,647 $14,532 $40,985 $47,167 
Loans held-for-sale, at lower of cost or fair value7,406 15,426 38,673 43,538 
Loans held-for-sale, at fair value31,267 56,644 104,565 130,128 
Total interest income51,320 86,602 184,223 220,833 
Interest expense:
Loans held-for-investment, at fair value5,326 3,953 15,934 15,717 
Loans held-for-sale, at lower of cost or fair value4,068 9,315 17,501 26,553 
Loans held-for-sale, at fair value20,909 43,295 64,206 109,770 
Total interest expense30,303 56,563 97,641 152,040 
Net interest income$21,017 $30,039 $86,582 $68,793 
Schedule of Originated Mortgage Loans
Gain on originated mortgage loans, held-for-sale, net is summarized below:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2020201920202019
Gain on loans originated and sold, net(A)
$244,224 $45,923 $520,094 $98,812 
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
(68,789)(32,138)(290,670)(61,879)
MSRs retained on transfer of loans(C)
156,353 96,317 424,451 190,666 
Other(D)
19,306 12,050 51,896 28,829 
Realized gain on sale of originated mortgage loans, net$351,094 $122,152 $705,771 $256,428 
Change in fair value of loans
67,998 (12,524)96,375 15,458 
Change in fair value of interest rate lock commitments (Note 10)
82,019 3,002 206,073 13,911 
Change in fair value of derivative instruments (Note 10)
(6,013)14,117 (23,401)9,138 
Gain on originated mortgage loans, held-for-sale, net$495,098 $126,747 $984,818 $294,935 

(A)Includes loan origination fees of $566.3 million and $953.1 million for the three and nine months ended September 30, 2020, respectively, $103.5 million and $189.4 million for the three and nine months ended September 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.