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RESIDENTIAL MORTGAGE LOANS
 6 Months Ended
Jun. 30, 2022
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS RESIDENTIAL MORTGAGE LOANS
Rithm Capital accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. Rithm Capital, through its Mortgage Company, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying loans.

Loans are accounted for based on Rithm Capital’s strategy for the loan and on whether the loan was credit-impaired at the date of acquisition. As of June 30, 2022, Rithm Capital accounts for loans based on the following categories:

•Loans held-for-investment, at fair value
•Loans held-for-sale, at lower of cost or fair value
•Loans held-for-sale, at fair value
The following table summarizes residential mortgage loans outstanding by loan type:
June 30, 2022December 31, 2021
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)
$576,750 $510,744 10,273 7.1 %4.4$569,933 
Acquired performing loans(C)
102,734 92,430 2,689 6.7 %4.9130,634 
Acquired non-performing loans(D)
29,203 24,623 217 6.3 %5.22,287 
Total residential mortgage loans, held-for-sale, at lower of cost or market$131,937 $117,053 2,906 6.6 %5.0$132,921 
Acquired performing loans(C)(E)
$1,759,976 $1,661,890 10,370 4.7 %13.3$2,070,262 
Acquired non-performing loans(D)(E)
308,514 282,734 1,546 4.4 %12.5315,063 
Originated loans3,319,543 3,349,312 4,751 5.1 %28.98,829,599 
Total residential mortgage loans, held-for-sale, at fair value$5,388,033 $5,293,936 16,667 4.9 %22.9$11,214,924 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$5,519,970 $5,410,989 $11,347,845 
(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 June 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below.
(E)Includes $672.1 million and $208.2 million UPB of Ginnie Mae EBO performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.

The following table summarizes the geographic distribution of the underlying residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationJune 30, 2022December 31, 2021
California11.5 %15.7 %
Florida10.5 %10.1 %
Texas8.0 %7.5 %
New York6.6 %7.1 %
Washington5.8 %6.7 %
Georgia4.1 %3.8 %
New Jersey4.0 %3.3 %
Illinois3.3 %3.1 %
Virginia3.1 %3.1 %
Maryland3.0 %2.8 %
Other U.S. 40.1 %36.8 %
100.0 %100.0 %

See Note 18 regarding the financing of residential mortgage loans.
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans:
June 30, 2022December 31, 2021
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal BalanceUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
90+672,891 609,875 (63,016)779,178 740,043 (39,135)

Call Rights

Rithm Capital has executed calls with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO assets 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. For the six months ended June 30, 2022, Rithm Capital executed calls on a total of 5 trusts and recognized no interest income on securities held in the collapsed trusts and $8.3 million of gain on securitizations accounted for as sales. For the six months ended June 30, 2021, Rithm Capital executed calls on a total of 42 trusts and recognized $3.3 million of interest income on securities held in the collapsed trusts and $19.4 million of gain on securitizations accounted for as sales. Refer to Note 23 for transactions with affiliates.

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, 2021
$569,932 $132,921 $11,214,924 $11,917,777 
Originations — — 45,730,604 45,730,604 
Sales— (720)(54,740,975)(54,741,695)
Purchases/additional fundings7,182 — 3,508,202 3,515,384 
Proceeds from repayments(47,444)(10,173)(277,101)(334,718)
Transfer of loans to other assets(A)
— — (27,083)(27,083)
Transfer of loans to real estate owned(1,658)312 494 (852)
Transfers of loans to held for sale(1,582)— — (1,582)
Transfer of loans from held-for-investment— — 1,582 1,582 
Valuation (provision) reversal on loans— (5,287)— (5,287)
Fair value adjustments due to:
Changes in instrument-specific credit risk(1,646)— (3,897)(5,543)
Other factors(14,040)— (112,814)(126,854)
Balance at June 30, 2022
$510,744 $117,053 $5,293,936 $5,921,733 
(A)Represents loans for which foreclosure has been completed and for which Rithm Capital 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 13).
Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
June 30,		Six Months Ended
June 30,
2022202120222021
Interest income:
Loans held-for-investment, at fair value$10,468 $11,911 $20,749 $22,971 
Loans held-for-sale, at lower of cost or fair value2,045 4,132 3,816 12,274 
Loans held-for-sale, at fair value56,343 48,513 126,651 88,485 
Total interest income68,856 64,556 151,216 123,730 
Interest expense:
Loans held-for-investment, at fair value3,081 4,079 6,162 8,890 
Loans held-for-sale, at lower of cost or fair value823 2,554 1,672 10,340 
Loans held-for-sale, at fair value and SFR properties39,267 29,790 81,379 56,532 
Total interest expense43,171 36,423 89,213 75,762 
Net interest income$25,685 $28,133 $62,003 $47,968 

Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net

The Mortgage Company originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. The GSEs or Ginnie Mae guarantee conventional and government-insured mortgage securitizations and mortgage investors issue nonconforming private label mortgage securitizations while the Mortgage Company generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, Rithm Capital reports Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net in the Consolidated Statements of Income.

The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net:
Three Months Ended
June 30,		Six Months Ended
June 30,
2022202120222021
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(421,834)$96,639 $(792,255)$97,726 
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
526,933 113,995 1,051,756 154,116 
MSRs retained on transfer of residential mortgage loans(C)
329,470 207,663 790,922 463,136 
Other(D)
1,838 28,405 29,539 52,102 
Realized gain on sale of originated residential mortgage loans, net$436,407 $446,702 $1,079,962 $767,080 
Change in fair value of residential mortgage loans20,038 93,350 (269,959)3,387 
Change in fair value of interest rate lock commitments (Note 17)77,481 55,299 (50,204)(179,683)
Change in fair value of derivative instruments (Note 17)(229,135)(308,466)16,988 99,549 
Gain on originated residential mortgage loans, held-for-sale, net$304,791 $286,885 $776,787 $690,333 
(A)Includes residential mortgage loan origination fees of $116.8 million and $438.9 million for the three months ended June 30, 2022 and 2021, respectively. Includes residential mortgage loan origination fees of $369.3 million and $1,097.3 million for the six months ended June 30, 2022 and 2021, 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 residential mortgage loan origination process.