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DERIVATIVES
 6 Months Ended
Jun. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES DERIVATIVES
 
Rithm Capital enters into economic hedges including interest rate swaps and TBAs to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. Rithm Capital’s credit risk with respect to economic hedges is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

Rithm Capital may at times hold to-be-announced forward contract positions (“TBAs”) in order to mitigate Rithm Capital’s interest rate risk on certain specified mortgage backed securities and MSRs. Amounts or obligations owed by or to Rithm Capital are subject to the right of set-off with the TBA counterparty. As part of executing these trades, Rithm Capital may enter into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage backed securities and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below.

As of June 30, 2022, Rithm Capital also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific residential mortgage loans at prices which are
fixed as of the forward commitment date. Rithm Capital enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and residential mortgage loans that are not covered by residential mortgage loan sale commitments.

Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
Balance Sheet LocationJune 30, 2022December 31, 2021
Derivative assets
Interest rate swaps(A)
Other assets$104 $52 
Interest rate lock commitmentsOther assets73,784 114,871 
TBAsOther assets120,619 15,472 
Options on treasury futuresOther assets— 7,778 
$194,507 $138,173 
Derivative liabilities
Interest rate lock commitmentsAccrued expenses and other liabilities$12,210 $3,093 
TBAsAccrued expenses and other liabilities45,014 31,490 
$57,224 $34,583 
(A)Net of $776.1 million and $60.7 million of related variation margin balances as of June 30, 2022 and December 31, 2021, respectively.

The following table summarizes notional amounts related to derivatives:
June 30, 2022December 31, 2021
Interest rate swaps(A)
$16,675,000 $11,490,000 
Interest rate lock commitments6,039,813 10,653,850 
TBAs, short position(B)
16,676,041 22,697,706 
Treasury futures— 314,500 
Options on treasury futures— 3,200,000 
(A)Includes $16.7 billion notional of receive LIBOR/pay fixed of 1.18% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 39 months and 0 months, respectively, as of June 30, 2022. Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.10% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021.
(B)Represents the notional amount of Agency RMBS, classified as derivatives.
The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Income:
Three Months Ended
June 30,		Six Months Ended
June 30,
2022202120222021
Servicing revenue, net(A)
TBAs$— $8,624 $3,300 $(199)
Treasury futures— — (1,746)— 
Options on treasury futures— — 5,635 — 
— 8,624 7,189 (199)
Gain on originated residential mortgage loans, held-for-sale, net(A)
Interest rate lock commitments77,481 55,299 (50,204)(179,683)
TBAs(229,135)(308,466)16,988 99,549 
(151,654)(253,167)(33,216)(80,134)
Change in fair value of investments(A)
Interest rate swaps251,888 (37,227)716,222 168,978 
TBAs(67,965)— 42,398 — 
183,923 (37,227)758,620 168,978 
Gain (loss) on settlement of investments, net(B)
Interest rate swaps(10,616)(35,246)(36,295)(69,072)
TBAs(C)
243,086 (14,010)316,240 (7,557)
232,470 (49,256)279,945 (76,629)
Total gain (loss)$264,739 $(331,026)$1,012,538 $12,016 
(A)Represents unrealized gain (loss).
(B)Excludes $76.8 million loss for the six months ended June 30, 2022 included within Servicing Revenue, Net (Note 5). There was no gain included within Servicing Revenue, Net for the six months ended June 30, 2021 or for the three months ended June 30, 2022 and 2021, respectively.
(C)Excludes $526.9 million gain and $114.0 million gain for the three months ended June 30, 2022 and 2021, respectively, and $1.1 billion gain and $154.1 million gain for the six months ended June 30, 2022 and 2021, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8).