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RESIDENTIAL MORTGAGE LOANS (Tables)
 3 Months Ended
Mar. 31, 2021
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:
March 31, 2021December 31, 2020
Loan TypeOutstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Total residential mortgage loans, held-for-investment, at fair value(B)
$708,746 $656,752 11,806 6.0 %5.5$674,179 
Acquired reverse mortgage loans(C)
$12,228 $5,675 28 7.6 %4.3$5,884 
Acquired performing loans(D)(F)
132,431 126,814 3,155 5.5 %4.4129,345 
Acquired non-performing loans(E)(F)
234,527 190,590 1,536 5.5 %3.3374,658 
Total residential mortgage loans, held-for-sale, at lower of cost or market$379,186 $323,079 4,719 5.6 %3.7$509,887 
Acquired performing loans(D)(F)
$1,706,522 $1,728,490 8,569 3.7 %10.0$1,423,159 
Acquired non-performing loans455,723 406,100 2,325 5.2 %3.0335,544 
Originated loans3,420,363 3,465,886 12,919 2.9 %27.52,947,113 
Total residential mortgage loans, held-for-sale, at fair value$5,582,608 $5,600,476 23,813 3.3 %20.2$4,705,816 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$5,961,794 $5,923,555 $5,215,703 
(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 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 52% 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 March 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (F) below.
(F)Includes $553.9 million and $289.9 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 ConcentrationMarch 31, 2021December 31, 2020
California12.0 %11.9 %
Texas10.3 %10.1 %
New York7.1 %7.1 %
Florida7.0 %7.1 %
Georgia5.9 %5.8 %
New Jersey4.1 %4.2 %
Pennsylvania3.5 %3.5 %
North Carolina3.3 %3.5 %
Massachusetts3.3 %3.4 %
Virginia2.9 %2.5 %
Other U.S. 40.6 %40.9 %
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:
March 31, 2021December 31, 2020
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal BalanceUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
90 to 119$51,073 $44,588 $(6,484)$71,567 $59,679 $(11,888)
120+703,274 614,742 (88,532)950,564 790,788 (159,776)
$754,347 $659,330 $(95,016)$1,022,131 $850,467 $(171,664)
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, 2020
$674,179 $509,887 $4,705,816 $5,889,882 
Originations — — 27,119,215 27,119,215 
Sales— (188,855)(28,278,209)(28,467,064)
Purchases/additional fundings— — 2,090,474 2,090,474 
Proceeds from repayments(26,212)(10,194)(86,828)(123,234)
Transfer of loans to other assets(A)
— 199 1,031 1,230 
Transfer of loans to real estate owned(1,441)(3,514)(971)(5,926)
Valuation (provision) reversal on loans— 15,556 — 15,556 
Fair value adjustments due to:
Changes in instrument-specific credit risk13,919 — 37,265 51,184 
Other factors(3,693)— 12,683 8,990 
Balance at March 31, 2021
$656,752 $323,079 $5,600,476 $6,580,307 
(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 consists of the following:
Three Months Ended
March 31,
20212020
Interest income, gross of amounts attributable to servicer compensation$13,961 $(10,250)
Amounts attributable to base servicer compensation(1,156)882 
Amounts attributable to incentive servicer compensation
(5,993)(8,721)
Interest income from servicer advance investments$6,812 $(18,089)
The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
March 31,
20212020
Interest income:
Loans held-for-investment, at fair value$11,060 $15,109 
Loans held-for-sale, at lower of cost or fair value9,651 17,780 
Loans held-for-sale, at fair value38,463 43,767 
Total interest income59,174 76,656 
Interest expense:
Loans held-for-investment, at fair value4,811 5,200 
Loans held-for-sale, at lower of cost or fair value5,806 8,530 
Loans held-for-sale, at fair value28,722 30,470 
Total interest expense39,339 44,200 
Net interest income$19,835 $32,456 
Schedule of Originated Mortgage Loans
Gain on Originated Mortgage Loans, Held-for-Sale, Net is summarized below:
Three Months Ended
March 31,
20212020
Gain on loans originated and sold, net(A)
$1,087 $39,289 
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
40,121 (46,314)
MSRs retained on transfer of loans(C)
255,473 195,896 
Other(D)
23,683 10,506 
Realized gain on sale of originated mortgage loans, net$320,364 $199,377 
Change in fair value of loans
(89,963)22,275 
Change in fair value of interest rate lock commitments (Note 10)
(234,982)91,249 
Change in fair value of derivative instruments (Note 10)
408,015 (139,324)
Gain on originated mortgage loans, held-for-sale, net$403,434 $173,577 
(A)Includes loan origination fees of $658.3 million and $277.0 million for the three months ended March 31, 2021 and 2020, 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.