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RESIDENTIAL MORTGAGE LOANS (Tables)
 12 Months Ended
Dec. 31, 2021
Receivables [Abstract]  
Schedule of Accounts, Notes and Loans Receivable The following table summarizes the activity related to notes and loans receivable:
Notes ReceivableLoans ReceivableTotal
Balance at December 31, 2019
$37,001 $— $37,001 
Fundings11,500 — 11,500 
Accrued interest paid-in-kind3,074 — 3,074 
Proceeds from repayments— — — 
Fair value adjustments due to:
Changes in instrument-specific credit risk— — — 
Other factors814 — 814 
Balance at December 31, 2020
$52,389 $— $52,389 
Fundings6,688 250,000 256,688 
Accrued interest paid-in-kind5,298 4,135 9,433 
Proceeds from repayments(3,188)(25,443)(28,631)
Fair value adjustments due to:
Changes in instrument-specific credit risk— — — 
Other factors(638)939 301 
Balance at December 31, 2021
$60,549 $229,631 $290,180 
The following table summarizes residential mortgage loans outstanding by loan type:
December 31,
20212020
Outstanding 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)
$623,937 $569,933 9,718 7.1 %5.1$674,179 
Acquired reverse residential mortgage loans$— $— — — %0.0$5,884 
Acquired performing loans(C)
142,142 130,634 2,839 6.6 %4.6129,345 
Acquired non-performing loans(D)
2,825 2,287 34 7.5 %4.7374,658 
Total residential mortgage loans, held-for-sale, at lower of cost or market$144,967 $132,921 2,873 6.6 %4.6$509,887 
Acquired performing loans(C)(E)
$2,046,945 $2,070,262 12,757 3.5 %12.4$1,423,159 
Acquired non-performing loans(D)(E)
343,133 315,063 2,249 4.8 %6.1335,544 
Originated loans8,565,456 8,829,599 12,479 3.2 %28.02,947,113 
Total residential mortgage loans, held-for-sale, at fair value$10,955,534 $11,214,924 27,485 3.3 %24.4$4,705,816 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$11,100,501 $11,347,845 $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)Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(D)As of December 31, 2021, New Residential has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below.
(E)Includes $860.4 million and $221.9 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
The following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of December 31, 2021:
Carrying
Value(A)
% of PortfolioLoan
Count		% of PortfolioWeighted Average YieldWeighted Average Original Life (Months)
Weighted Average Committed Loan Balance to Value(B)
Construction$610,446 40.3 %486 33.2 %8.3 %16.0 
75.6% / 65.0%
Bridge716,764 47.3 %632 43.2 %7.8 %14.573.8 %
Renovation188,552 12.4 %346 23.6 %8.1 %13.4
78.5% / 67.1%
$1,515,762 100.0 %1,464 100.0 %8.1 %15.2
The following table summarizes the activity for Mortgage Loans Receivables:
Balance at December 31, 2020
$— 
Genesis acquisition (Note 3)1,505,635 
Initial loan advances60,125 
Construction holdbacks and draws12,856 
Paydowns and payoffs(60,867)
Fair value adjustments due to:
Changes in instrument-specific credit risk— 
Other factors(1,987)
Balance at December 31, 2021
$1,515,762 
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans
The following table summarizes the geographic distribution of the underlying residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
December 31,
State Concentration20212020
California15.7 %11.9 %
Florida10.1 %7.1 %
Washington7.5 %1.8 %
New York7.1 %7.1 %
Texas6.7 %10.1 %
New Jersey3.8 %4.2 %
Virginia3.3 %2.5 %
Georgia3.1 %5.8 %
Maryland3.1 %2.3 %
Illinois2.8 %3.0 %
Other U.S.36.8 %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:
December 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
Current$289,065 $290,180 $1,115 $51,575 $52,389 $814 
90+— — — — — — 
$289,065 $290,180 $1,115 $51,575 $52,389 $814 
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans:
December 31,
20212020
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal BalanceUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
Less than 120$11,101,345 $11,323,443 $222,098 $5,131,755 $5,099,094 $(32,661)
120+623,093 594,335 (28,758)950,564 790,788 (159,776)
$11,724,438 $11,917,778 $193,340 $6,082,319 $5,889,882 $(192,437)
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable as of December 31, 2021:
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
Current$1,473,894 $1,515,762 $41,868 
90+— — — 
$1,473,894 $1,515,762 $41,868 
Schedule of Loans Held For Sale, Fair Value The following table summarizes the activity for residential mortgage loans:
Loans Held-for-InvestmentLoans 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— — 61,684,462 61,684,462 
Sales— (791,974)(64,692,996)(65,484,970)
Purchases/additional fundings— 110,741 3,322,369 3,433,110 
Proceeds from repayments(145,767)(99,845)(177,723)(423,335)
Transfer of loans to other assets(A)
— (3,449)(22,255)(25,704)
Transfer of loans to real estate owned(6,754)(21,681)(7,035)(35,470)
Transfers of loans to held-for-sale(62,274)— — (62,274)
Transfers of loans to from held-for-investment— — 62,274 62,274 
Valuation provision on loans— (112,957)— (112,957)
Fair value adjustments due to:
Changes in instrument-specific credit risk27,036 — (12,323)14,713 
Other factors(57,748)— (64,569)(122,317)
Balance at December 31, 2020
$674,179 $509,887 $4,705,816 $5,889,882 
Caliber acquisition (Note 3)— — 7,685,681 7,685,681 
Originations — — 123,059,895 123,059,895 
Sales— (374,683)(131,960,935)(132,335,618)
Purchases/additional fundings— — 8,102,055 8,102,055 
Proceeds from repayments(120,247)(32,826)(520,334)(673,407)
Transfer of loans to other assets(A)
— (585)22,112 21,527 
Transfer of loans to real estate owned(15,165)(7,145)(3,958)(26,268)
Valuation provision on loans— 38,273 — 38,273 
Fair value adjustments due to:
Changes in instrument-specific credit risk(2,020)— (18,099)(20,119)
Other factors33,186 — 142,691 175,877 
Balance at December 31, 2021
$569,933 $132,921 $11,214,924 $11,917,778 
(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
The following table summarizes interest income related to Servicer Advance Investments:
Year Ended December 31,
202120202019
Interest income, gross of amounts attributable to servicer compensation$12,501 $34,262 $51,940 
Amounts attributable to basic servicer compensation(1,798)(3,248)(6,209)
Amounts attributable to incentive servicer compensation(9,025)(12,832)(18,065)
Interest income from servicer advance investments$1,678 $18,182 $27,666 
Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:
December 31,
202120202019
Interest income:
Loans held-for-investment, at fair value$44,369 $53,264 $60,301 
Loans held-for-sale, at lower of cost or fair value23,280 50,130 65,926 
Loans held-for-sale, at fair value260,062 135,729 175,926 
Total interest income327,711 239,123 302,153 
Interest expense:
Loans held-for-investment, at fair value16,919 21,029 19,381 
Loans held-for-sale, at lower of cost or fair value21,333 22,541 40,067 
Loans held-for-sale, at fair value159,413 90,064 109,723 
Total interest expense197,665 133,634 169,171 
Net interest income$130,046 $105,489 $132,982 
Schedule of Originated Mortgage Loans
The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net:
Year Ended December 31,
202120202019
Gain on residential mortgage loans originated and sold, net(A)
$460,062 $811,288 $53,554 
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
240,610 (361,755)(53,374)
MSRs retained on transfer of residential mortgage loans(C)
1,331,626 666,414 374,450
Other(D)
107,249 49,270 27,564
Realized gain on sale of originated residential mortgage loans, net$2,139,547 $1,165,217 $402,194 
Change in fair value of residential mortgage loans(137,503)99,908 28,761
Change in fair value of interest rate lock commitments (Note 12)(293,699)249,183 26,151
Change in fair value of derivative instruments (Note 12)118,564 (115,216)3,001 
Gain on originated residential mortgage loans, held-for-sale, net$1,826,909 $1,399,092 $460,107 
(A)Includes residential mortgage loan origination fees of $2.3 billion and $1.7 billion in the year ended December 31, 2021 and 2020, respectively.
(B)Represents settlement of forward securities delivery commitments utilized as an economic hedge for residential 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 residential mortgage loan origination process.