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RESIDENTIAL MORTGAGE LOANS (Tables)
 9 Months Ended
Sep. 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 
Fundings1,688 250,000 251,688 
Accrued interest paid-in-kind4,017 2,036 6,053 
Proceeds from repayments(3,188)(18,697)(21,885)
Fair value adjustments due to:
Changes in instrument-specific credit risk— — — 
Other factors(3,243)— (3,243)
Balance at September 30, 2021
$51,663 $233,339 $285,002 
The following table presents certain information regarding New Residential’s residential mortgage loans outstanding by loan type:
September 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)
$657,427 $595,012 11,472 6.3 %5.3$674,179 
Acquired reverse mortgage loans(C)
$12,690 $6,120 28 7.7 %3.7$5,884 
Acquired performing loans(D)
150,127 136,921 2,977 6.7 %4.5129,345 
Acquired non-performing loans(E)
2,123 1,702 24 7.5 %4.8374,658 
Total residential mortgage loans, held-for-sale, at lower of cost or market$164,940 $144,743 3,029 6.8 %4.4$509,887 
Acquired performing loans(D)(F)
$2,100,079 $2,112,181 12,575 3.4 %11.0$1,423,159 
Acquired non-performing loans(F)
160,098 146,370 923 4.8 %5.6335,544 
Originated loans11,403,519 11,714,006 13,538 3.0 %27.72,947,113 
Total residential mortgage loans, held-for-sale, at fair value$13,663,696 $13,972,557 27,036 3.1 %24.9$4,705,816 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$13,828,636 $14,117,300 $5,215,703 
(A)For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 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 54% 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, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (F) below.
(F)Includes $981.3 million and $101.6 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, 2021December 31, 2020
California15.3 %11.9 %
Washington10.7 %1.8 %
Florida9.3 %7.1 %
Texas7.4 %10.1 %
New York4.1 %7.1 %
New Jersey3.6 %4.2 %
Virginia3.6 %2.5 %
Georgia3.0 %5.8 %
Illinois3.0 %3.0 %
Maryland2.9 %2.3 %
Other U.S. 37.1 %44.2 %
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 notes and loans receivable:
September 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$287,431 $285,002 $(2,429)$51,575 $52,389 $814 
90+— — — — — — 
$287,431 $285,002 $(2,429)$51,575 $52,389 $814 
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans:
September 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$28,898 $26,442 $(2,456)$71,567 $59,679 $(11,888)
120+410,134 397,483 (12,651)950,564 790,788 (159,776)
$439,032 $423,925 $(15,107)$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 
Caliber acquisition (Note 1)— — 7,685,681 7,685,681 
Originations — — 84,990,504 84,990,504 
Sales— (370,743)(88,980,603)(89,351,346)
Purchases/additional fundings— — 5,797,205 5,797,205 
Proceeds from repayments(91,074)(26,988)(360,757)(478,819)
Transfer of loans to other assets(A)
— 294 7,990 8,284 
Transfer of loans to real estate owned(13,121)(7,163)(3,235)(23,519)
Valuation (provision) reversal on loans— 39,456 — 39,456 
Fair value adjustments due to:
Changes in instrument-specific credit risk(1,841)— (10,247)(12,088)
Other factors26,869 — 140,203 167,072 
Balance at September 30, 2021
$595,012 $144,743 $13,972,557 $14,712,312 
(A)Represents loans for which foreclosure has been completed and for which New Residential has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are grouped and presented as part of claims receivable in Other Assets (Note 2).
Schedule of Net Interest Income
Interest Income related to Servicer Advance Investments consists of the following:
Three Months Ended
September 30,		Nine Months Ended September 30,
2021202020212020
Interest income, gross of amounts attributable to servicer compensation$(1,426)$10,505 $16,079 $28,160 
Amounts attributable to base servicer compensation897 (703)(849)(2,325)
Amounts attributable to incentive servicer compensation
892 1,196 (8,144)(12,755)
Interest income (expense) from servicer advance investments$363 $10,998 $7,086 $13,080 
The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Interest income:
Loans held-for-investment, at fair value$11,090 $12,647 $34,061 $40,985 
Loans held-for-sale, at lower of cost or fair value5,449 7,406 18,241 38,673 
Loans held-for-sale, at fair value75,802 31,267 163,769 104,565 
Total interest income92,341 51,320 216,071 184,223 
Interest expense:
Loans held-for-investment, at fair value4,238 5,326 13,129 15,934 
Loans held-for-sale, at lower of cost or fair value4,030 4,068 16,303 17,501 
Loans held-for-sale, at fair value49,187 20,909 103,785 64,206 
Total interest expense57,455 30,303 133,217 97,641 
Net interest income$34,886 $21,017 $82,854 $86,582 
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,
2021202020212020
Gain on loans originated and sold, net(A)
$249,848 $244,225 $347,574 $520,096 
Gain (loss) on settlement of mortgage loan origination derivative instruments(B)
(105,594)(68,789)48,522 (290,671)
MSRs retained on transfer of loans(C)
415,054 156,353 878,190 424,451 
Other(D)
27,614 12,460 79,716 33,890 
Realized gain on sale of originated mortgage loans, net$586,922 $344,249 $1,354,002 $687,766 
Change in fair value of loans
(70,932)67,998 (67,545)96,375 
Change in fair value of interest rate lock commitments (Note 10)
(101,411)82,019 (281,094)206,073 
Change in fair value of derivative instruments (Note 10)
152,182 (6,013)251,731 (23,401)
Gain on originated mortgage loans, held-for-sale, net$566,761 $488,253 $1,257,094 $966,813 
(A)Includes loan origination fees of $678.4 million and $566.3 million for the three months ended September 30, 2021 and 2020, respectively, and $1,775.7 million and $953.1 million for the nine months ended September 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.