“Agency” residential mortgage backed securities (“RMBS”) are RMBS issued by a government sponsored enterprise, such as Fannie Mae or Freddie Mac. “Non-Agency” RMBS are issued by either public trusts or private label securitization entities.


	June 30, 2022															December 31, 2021
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Rating(B)	Coupon(C)		Yield		Life (Years)(D)	Principal Subordination(E)		Carrying Value
RMBS Designated as Available for Sale (AFS):
Agency(F)(G)	$	83,820	$	—	$	—	$	81,515	1	AAA	3.50	%	3.50	%	4.4	N/A		$	98,367
Non-Agency(H)(I)	2,749,667		71,903		(13,145)		445,358		334	AA	3.40	%	3.30	%	3.4	26.6	%	522,416

RMBS Measured at Fair Value through Net Income (FVO):
Agency(F)(G)	7,913,166		66		(1,155,303)		6,982,553		39	AAA	2.20	%	2.20	%	9.6	N/A		8,346,230
Non-Agency(H)(I)	14,554,849		26,369		(82,251)		479,376		319	AA+	2.30	%	4.40	%	3.9	20.3	%	429,526

Total/ Weighted Average	$	25,301,502	$	98,338	$	(1,250,699)	$	7,988,802	693	AAA	2.25	%	2.37	%	9.0			$	9,396,539

(B)Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 311 bonds with a carrying value of $337.0 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. Rithm Capital used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third-party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current.

(H)The total outstanding face amount was $8.8 billion (including $8.0 billion of residual and fair value option notional amount) for fixed rate securities and $8.5 billion (including $8.2 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2022.

(I)Includes other asset-backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which Rithm Capital elected to carry at fair value and record changes to valuation through earnings, (ii) bonds backed by consumer loans, and (iii) corporate debt.


			Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Gains		Losses		Carrying Value		Number of Securities	Rating	Coupon		Yield		Life (Years)	Principal Subordination
Corporate debt	$	414	$	—	$	—	$	355	1	B-	8.3	%	8.3	%	2.8	N/A
Consumer loan bonds	1,065		972		—		1,395		3	N/A	N/A		N/A		0.0	N/A
Fair value option securities:
Interest-only securities	8,660,811		9,307		(43,281)		147,210		135	AA+	1.0	%	2.6	%	2.3	N/A
Servicing strips	4,576,372		8,609		(8,817)		53,667		61	N/A	1.1	%	12.2	%	2.5	N/A


	Three Months Ended June 30,								Six Months Ended June 30,
	2022				2021				2022				2021
(in millions)	Agency		Non-Agency		Agency		Non-Agency		Agency		Non-Agency		Agency		Non-Agency
Purchases
Face	$	—	$	1,073.0	$	1,880.0	$	849.6	$	998.2	$	3,283.1	$	5,907.2	$	1,657.7
Purchase price	—		32.9		1,895.7		52.3		1,004.5		148.6		6,098.8		90.8

Sales
Face	$	829.8	$	—	$	1,073.2	$	552.8	$	829.8	$	—	$	3,487.8	$	1,686.3
Amortized cost	857.0		—		1,123.1		27.4		857.0		1.6		3,636.4		185.2
Sale price	738.9		—		1,109.1		16.8		738.9		—		3,631.3		164.6
Gain (loss) on sale	(118.1)		—		(14.0)		(10.7)		(118.1)		(1.6)		(5.2)		(20.5)

As of June 30, 2022 and December 31, 2021, Rithm Capital had no unsettled trades. Unsettled trades are recorded on the Consolidated Balance Sheets on trade date as Receivables for Investments Sold or Payables for Investments Purchased.

Rithm Capital has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, Rithm Capital sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, Rithm Capital received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. Refer to Notes 8 and 23 for further details on these transactions.


Securities in an Unrealized Loss Position	Outstanding Face Amount		Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average
			Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Rating	Coupon		Yield		Life (Years)
Less than 12 Months	$	384,799	$	382,423	$	(2,202)	$	380,220	$	(13,047)	$	367,173	159	AAA	3.7	%	3.5	%	3.8
12 or More Months	18,094		8,931		(4,154)		4,777		(98)		4,679		14	AAA	1.9	%	0.7	%	0.6
Total/Weighted Average	$	402,893	$	391,354	$	(6,356)	$	384,997	$	(13,145)	$	371,852	173	AAA	3.7	%	3.5	%	3.8

Rithm Capital performed an assessment of all RMBS designated as AFS that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:


	June 30, 2022								December 31, 2021
					Gross Unrealized Losses								Gross Unrealized Losses
RMBS Designated as AFS	Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)		Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)
Securities Rithm Capital intends to sell	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Securities Rithm Capital is more likely than not to be required to sell(C)	—		—		—		—		—		—		—		—
Securities Rithm Capital has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities	86,372		86,372		(6,356)		—		6,581		6,581		(3,471)		—
Non-credit impaired securities	285,480		298,625		—		(13,145)		3,927		4,044		—		(117)
Total debt securities in an unrealized loss position	$	371,852	$	384,997	$	(6,356)	$	(13,145)	$	10,508	$	10,625	$	(3,471)	$	(117)

(A)Required to be recorded through earnings. In measuring the portion of credit losses, Rithm Capital estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows included Rithm Capital’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’s effective interest rate.

(C)Rithm Capital may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, Rithm Capital must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.

The following table summarizes the activity related to the allowance for credit losses on RMBS designated as AFS (excluding credit impairment relating to securities Rithm Capital intends to sell or is more likely than not required to sell):


RMBS Designated as AFS	Purchased Credit Deteriorated		Non-Purchased Credit Deteriorated		Total
Allowance for credit losses on available-for-sale debt securities at December 31, 2021	$	3,471	$	—	$	3,471
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	33		2,169		2,202
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration	—		—		—
Reductions for securities sold during the period	—		—		—
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis	—		—		—
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period	683		—		683
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
Allowance for credit losses on available-for-sale debt securities at June 30, 2022	$	4,187	$	2,169	$	6,356

Rithm Capital evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, Rithm Capital identified a population of real estate securities for which it was determined that it was probable that Rithm Capital would be unable to collect all contractually required payments.

The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that Rithm Capital would be unable to collect all contractually required payments, excluding residual and fair value option securities: