DEBT OBLIGATIONS

6 Months Ended

Jun. 30, 2022

Debt Disclosure [Abstract]

DEBT OBLIGATIONS

DEBT OBLIGATIONS

The following table summarizes Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations:

	June 30, 2022															December 31, 2021
									Collateral
Debt Obligations/Collateral	Outstanding Face Amount		Carrying Value(A)		Final Stated Maturity(B)	Weighted Average Funding Cost		Weighted Average Life (Years)	Outstanding Face		Amortized Cost Basis		Carrying Value		Weighted Average Life (Years)	Carrying Value(A)
Secured Financing Agreements(C)
Repurchase Agreements:
Warehouse Credit Facilities-Residential Mortgage Loans(F)	$	4,910,944	$	4,908,659	Jul-22 to Sep-25	3.05	%	0.7	$	5,646,909	$	5,588,006	$	5,479,872	20.3	$	10,138,297
Warehouse Credit Facilities-Mortgage Loans Receivable(E)	1,161,223		1,161,223		Dec-23	3.93	%	1.5	1,358,294		1,358,294		1,358,294		0.7	1,252,660
Agency RMBS(D)	7,040,807		7,040,807		Jul-22 to Sep-22	1.18	%	0.1	7,994,763		8,216,954		7,061,674		9.6	8,386,538
Non-Agency RMBS(E)	621,058		621,058		Jul-22 to Oct-23	3.73	%	0.1	13,777,282		886,905		884,604		3.7	656,874
SFR properties(E)	235,487		235,487		Dec-22	3.15	%	0.5	N/A		330,159		330,159		N/A	158,515
Total Secured Financing Agreements	13,969,519		13,967,234			2.21	%	0.4								20,592,884
Secured Notes and Bonds Payable
Excess MSRs(G)	228,497		228,497		Aug-25	3.74	%	3.1	73,121,546		265,354		329,535		6.8	237,835
MSRs(H)	4,666,798		4,657,497		Dec-22 to Dec-26	4.60	%	2.7	527,279,143		6,414,614		8,279,291		7.5	4,234,771
Servicer Advance Investments(I)	322,735		321,891		Aug-22 to Mar-24	1.22	%	0.5	341,328		365,677		379,901		7.5	355,722
Servicer Advances(I)	2,174,064		2,169,295		Aug-22 to Nov-24	3.08	%	1.2	2,590,339		2,560,696		2,560,696		0.7	2,355,969
Residential Mortgage Loans(J)	772,887		772,998		Mar-24 to Jul-43	2.17	%	2.4	791,041		796,987		796,987		26.8	802,526
Consumer Loans(K)	384,596		357,663		Sep-37	2.07	%	8.0	380,549		393,138		423,704		3.3	458,580
SFR Properties	497,303		496,771		Mar-23 to Jun-27	3.59	%	3.6	N/A		542,385		542,385		N/A	199,407
Mortgage Loans Receivable(L)	324,062		317,414		Dec-26	4.43	%	4.5	352,867		352,867		352,867		0.7	—
Total Secured Notes and Bonds Payable	9,370,942		9,322,026			3.75	%	2.6								8,644,810
Total/ Weighted Average	$	23,340,461	$	23,289,260		2.84	%	1.3								$	29,237,694

(A)Net of deferred financing costs.

(B)All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid.

(C)Includes approximately $23.5 million of associated accrued interest payable as of June 30, 2022.

(D)All fixed interest rates.

(E)All LIBOR-based floating interest rates.

(F)Includes $227.9 million which bear interest at a fixed rate of 4.0% with the remaining having LIBOR-based floating interest rates.

(G)Includes $228.5 million of corporate loans which bear interest at a fixed rate of 3.7%.

(H)Includes $2.6 billion of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or SOFR, and (ii) a margin ranging from 2.5% to 3.5%; and $2.0 billion of capital market notes with fixed interest rates ranging 3.0% to 5.4%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and MSR Financing Receivables securing these notes.

(I)$1.7 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.1% to 3.5%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM.

(J)Represents (i) $22.9 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.8%, and (ii) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate residential mortgage loans which bears interest equal to one-month LIBOR plus 1.1%.

(K)Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $331.6 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037 (collectively, “SCFT 2020-A”).

(L)Reflects the 2022-RTL1 Securitization. Refer to Note 20 for details.

General

Certain of the debt obligations included above are obligations of Rithm Capital’s consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of Rithm Capital.

As of June 30, 2022, Rithm Capital has margin exposure on $14.0 billion of secured financing agreements. To the extent that the value of the collateral underlying these secured financing agreements declines, Rithm Capital may be required to post margin, which could significantly impact its liquidity.

The following table summarizes activities related to the carrying value of debt obligations:

	Excess MSRs		MSRs		Servicer Advances(A)		Real Estate Securities		Residential Mortgage Loans and REO		Consumer Loans		SFR Properties		Mortgage Loans Receivable		Total
Balance at December 31, 2021	$	237,835	$	4,234,771	$	2,711,691	$	9,043,412	$	10,940,823	$	458,580	$	357,922	$	1,252,660	$	29,237,694
Secured Financing Agreements
Borrowings	—		—		—		21,936,667		49,939,478		—		188,390		867,224		72,931,759
Repayments	—		—		—		(23,318,214)		(55,170,640)		—		(111,418)		(958,661)		(79,558,933)
Capitalized deferred financing costs, net of amortization	—		—		—		—		1,524		—		—		—		1,524
Secured Notes and Bonds Payable
Borrowings	—		915,000		1,296,071		—		—		—		394,816		324,062		2,929,949
Repayments	(9,338)		(493,604)		(1,517,932)		—		(31,996)		(69,946)		(97,226)		—		(2,220,042)
Unrealized gain on notes, fair value	—		—		—		—		2,468		(30,971)		—		(6,648)		(35,151)
Capitalized deferred financing costs, net of amortization	—		1,330		1,356		—		—		—		(226)		—		2,460
Balance at June 30, 2022	$	228,497	$	4,657,497	$	2,491,186	$	7,661,865	$	5,681,657	$	357,663	$	732,258	$	1,478,637	$	23,289,260

(A)Rithm Capital net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances.

Maturities

Contractual maturities of debt obligations as of June 30, 2022 are as follows:

Year Ending	Nonrecourse(A)		Recourse(B)		Total
July 1 through December 31, 2022	$	506,597	$	9,299,334	$	9,805,931
2023	1,299,437		5,529,828		6,829,265
2024	1,239,059		1,533,468		2,772,527
2025	—		1,879,018		1,879,018
2026	324,062		1,514,224		1,838,286
2027 and thereafter	765,314		—		765,314
	$	4,134,469	$	19,755,872	$	23,890,341

(A)Includes secured notes and bonds payable of $4.1 billion.

(B)Includes secured financing agreements and secured notes and bonds payable of $14.0 billion and $5.8 billion, respectively.

Borrowing Capacity

The following table represents borrowing capacity as of June 30, 2022:

Debt Obligations / Collateral	Borrowing Capacity		Balance Outstanding		Available Financing(A)
Secured Financing Agreements
Residential mortgage loans and REO	$	6,844,837	$	3,044,826	$	3,800,011
Loan originations	16,836,159		4,012,828		12,823,331
Secured Notes and Bonds Payable
Excess MSRs	286,380		228,497		57,883
MSRs	5,870,641		4,666,798		1,203,843
Servicer advances	3,911,341		2,496,799		1,414,542
Residential mortgage loans	290,714		230,189		60,526
	$	34,040,072	$	14,679,937	$	19,360,136

(A)Although available financing is uncommitted, Rithm Capital’s unused borrowing capacity is available if it has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate.

Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in Rithm Capital’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. Additionally, with the expected phase out of LIBOR, the Company expects the calculated rate on certain debt obligations will be changed to another published reference standard before the planned cessation of LIBOR quotations in 2023. However, the Company does not anticipate this change will have a significant effect on the terms and conditions, ability to access credit, or on its financial condition. Rithm Capital was in compliance with all of its debt covenants as of June 30, 2022.

2025 Senior Unsecured Notes

On September 16, 2020, the Company, as borrower, completed a private offering of $550.0 million aggregate principal amount of 6.250% senior unsecured notes due 2025 (the “2025 Senior Notes”). Interest on the 2025 Senior Notes accrue at the rate of 6.250% per annum with interest payable semi-annually in arrears on each April 15 and October 15.

The 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed):

Year	Price
2022	103.125%
2023	101.563%
2024 and thereafter	100.000%

Prior to October 15, 2022, the Company will be entitled at its option on one or more occasions to redeem the 2025 Senior Notes in an aggregate principal amount not to exceed 40% of the aggregate principal amount of the 2025 Senior Notes originally issued prior to the applicable redemption date at a fixed redemption price of 106.250%.

Net proceeds from the offering were approximately $544.5 million, after deducting the initial purchasers’ discounts and commissions and estimated offering expenses payable by the Company. The Company incurred fees of approximately $8.3 million in relation to the issuance of the 2025 Senior Notes. These fees were capitalized as debt issuance cost and are grouped and presented as part of Unsecured Senior Notes, Net of Issuance Costs on the Consolidated Balance Sheets. For the three months ended June 30, 2022, the Company recognized interest expense of $8.5 million. At June 30, 2022, the unamortized debt issuance costs was approximately $5.8 million.

The 2025 Senior Notes are senior unsecured obligations and rank pari passu in right of payment with all of the Company’s existing and future senior unsecured indebtedness and senior unsecured guarantees. At the time of issuance, the 2025 Senior Notes were not guaranteed by any of the Company’s subsidiaries and none of its subsidiaries are required to guarantee the 2025 Senior Notes in the future, except under limited specified circumstances.

The 2025 Senior Notes contain financial covenants and other non-financial covenants, including, among other things, limits on the ability of the Company and its restricted subsidiaries to incur certain indebtedness (subject to various exceptions), requires that the Company maintain total unencumbered assets (as defined in the debt agreement) of not less than 120% of the aggregate principal amount of the outstanding unsecured debt, and imposes certain requirements in order for the Company to merge or consolidate with or transfer all or substantially all of its assets to another person, in each case subject to certain qualifications set forth in the debt agreement. If the Company were to fail to comply with these covenants, after the expiration of the applicable cure periods, the debt maturity could be accelerated or other remedies could be sought by the lenders. As of June 30, 2022, the Company was in compliance with all covenants.

In the event of a change of control, each holder of the 2025 Senior Notes will have the right to require the Company to repurchase all or any part of the outstanding balance at a purchase price of 101% of the principal amount of the 2025 Senior Notes repurchased, plus accrued and unpaid interest, if any, to, but not including, the date of such repurchase.

SFR Properties Mortgage-Backed Securitizations

2022-SFR1 Securitization

The 2022-SFR 1 Securitization is a fixed-rate loan for $267.3 million with a 5-year term maturing in February 2027 and has a weighted-average interest rate of 3.51%. The loan is secured by first priority mortgages on a portfolio of 1,200 SFR properties. In addition to the SFR pass-through certificates sold to third parties, Rithm Capital acquired 5.0% of each Class, except for Class R certificates, which bear no interest, for $13.4 million in the aggregate. Rithm Capital evaluated the purchased Class certificates as a variable interest in the trust and concluded that each Class certificate will not absorb a majority of the trust’s expected losses or receive a majority of the trust’s expected residual returns. Rithm Capital also concluded that each Class certificate does not provide the Company with an ability to direct activities that could impact the trust’s economic performance. Rithm Capital does not consolidate the trust and the $13.4 million of aggregate purchased Class certificates are grouped and presented within Real Estate and Other Securities on the Consolidated Balance Sheets. Gross proceeds to the Company from the transaction, after purchase of 5.0% of each Class certificates, were $253.9 million, before issuance costs of $6.2 million, and were used to pay down the outstanding balance on the credit facility and for general corporate purposes.

The loan agreement requires maintenance of covenants typical for securitization transactions including maintaining certain reserve accounts and a debt service coverage ratio of at least 1.20 to 1.00. The loan agreement defines the debt service coverage ratio as of any determination date as a ratio in which the numerator is the net cash flow divided by the aggregate debt service for the 12-month period following the date of determination.