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RESIDENTIAL MORTGAGE LOANS (Tables)
 6 Months Ended
Jun. 30, 2021
Receivables [Abstract]  
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO
Notes and Loans Receivable
The following table summarizes the activity for notes and loans receivable:
Notes ReceivableLoans ReceivableTotal
Balance at December 31, 2020
$52,389 $— $52,389 
Fundings1,689 250,000 251,689 
Accrued interest payment-in-kind2,736 — 2,736 
Proceeds from repayments— — — 
Fair value adjustments due to:— 
Changes in instrument-specific credit risk— — — 
Other factors(3,159)— (3,159)
Balance at June 30, 2021
$53,655 $250,000 $303,655 
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type:
June 30, 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)
$662,210 $617,951 11,246 5.9 %5.2$674,179 
Acquired reverse mortgage loans(C)
$12,456 $5,948 28 7.7 %3.7$5,884 
Acquired performing loans(D)
134,349 132,453 3,105 4.9 %4.3129,345 
Acquired non-performing loans(E)
221,387 205,597 1,399 5.1 %3.2374,658 
Total residential mortgage loans, held-for-sale, at lower of cost or market$368,192 $343,998 4,532 5.1 %3.6$509,887 
Acquired performing loans(D)(F)
$1,712,038 $1,742,686 10,875 3.3 %7.6$1,423,159 
Acquired non-performing loans(F)
416,534 402,571 2,284 4.8 %3.1335,544 
Originated loans4,448,668 4,599,186 17,338 3.2 %27.72,947,113 
Total residential mortgage loans, held-for-sale, at fair value$6,577,240 $6,744,443 30,497 3.3 %20.9$4,705,816 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$6,945,432 $7,088,441 $5,215,703 
(A)Except for originated loans, the weighted average life is based on the expected timing of the receipt of cash flows. For originated loans, the weighted average life is based on the contractual term of the loan.
(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 June 30, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (F) below.
(F)Includes $722.4 million and $200.2 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 ConcentrationJune 30, 2021December 31, 2020
California16.3 %11.9 %
Florida8.2 %7.1 %
New York8.0 %7.1 %
Texas7.6 %10.1 %
New Jersey5.4 %4.2 %
Georgia4.6 %5.8 %
Massachusetts3.4 %3.1 %
Pennsylvania3.2 %3.5 %
Illinois3.2 %3.0 %
Maryland2.9 %2.3 %
Other U.S. 37.2 %41.9 %
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 notes and loans receivable:
June 30, 2021December 31, 2020
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal BalanceUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
Current$306,000 $303,655 $(2,345)$51,575 $52,389 $814 
90+— — — — — — 
$306,000 $303,655 $(2,345)$51,575 $52,389 $814 
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans:
June 30, 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$82,036 $76,074 $(5,962)$71,567 $59,679 $(11,888)
120+620,386 579,643 (40,742)950,564 790,788 (159,776)
$702,422 $655,717 $(46,704)$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 of 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 — — 50,711,462 50,711,462 
Sales— (188,855)(52,422,982)(52,611,837)
Purchases/additional fundings— — 3,789,824 3,789,824 
Proceeds from repayments(62,836)(19,010)(209,413)(291,259)
Transfer of loans to other assets(A)
— 404 5,712 6,116 
Transfer of loans to real estate owned(9,524)(4,909)(1,260)(15,693)
Valuation (provision) reversal on loans— 46,481 — 46,481 
Fair value adjustments due to:
Changes in instrument-specific credit risk415 — (3,432)(3,017)
Other factors15,717 — 168,716 184,433 
Balance at June 30, 2021
$617,951 $343,998 $6,744,443 $7,706,392 
(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 related to Servicer Advance Investments consists of the following:
Three Months Ended
June 30,		Six Months Ended June 30,
2021202020212020
Interest income, gross of amounts attributable to servicer compensation$3,544 $27,905 $17,505 $17,655 
Amounts attributable to base servicer compensation(590)(2,504)(1,746)(1,622)
Amounts attributable to incentive servicer compensation
(3,043)(5,230)(9,036)(13,951)
Interest income (expense) from servicer advance investments$(89)$20,171 $6,723 $2,082 
The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Interest income:
Loans held-for-investment, at fair value$11,911 $13,229 $22,971 $28,338 
Loans held-for-sale, at lower of cost or fair value4,132 15,303 12,274 33,458 
Loans held-for-sale, at fair value48,513 27,715 88,485 71,107 
Total interest income64,556 56,247 123,730 132,903 
Interest expense:
Loans held-for-investment, at fair value4,079 5,408 8,890 10,608 
Loans held-for-sale, at lower of cost or fair value2,554 6,358 10,340 14,888 
Loans held-for-sale, at fair value29,790 11,372 56,532 41,842 
Total interest expense36,423 23,138 75,762 67,338 
Net interest income$28,133 $33,109 $47,968 $65,565 
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,
2021202020212020
Gain on loans originated and sold, net(A)
$96,639 $236,583 $97,726 $275,872 
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
113,995 (175,568)154,116 (221,882)
MSRs retained on transfer of loans(C)
207,663 72,202 463,136 268,098 
Other(D)
28,405 10,924 52,088 21,430 
Realized gain on sale of originated mortgage loans, net$446,702 $144,141 $767,066 $343,518 
Change in fair value of loans
93,350 6,102 3,387 28,377 
Change in fair value of interest rate lock commitments (Note 10)
55,299 32,806 (179,683)124,055 
Change in fair value of derivative instruments (Note 10)
(308,466)121,935 99,549 (17,389)
Gain on originated mortgage loans, held-for-sale, net$286,885 $304,984 $690,319 $478,561 
(A)Includes loan origination fees of $438.9 million and $109.8 million for the three months ended June 30, 2021 and 2020, respectively, and $1,097.3 million and $386.8 million for the six months ended June 30, 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.