XML 51 R39.htm IDEA: XBRL DOCUMENT v3.22.2
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 6 Months Ended
Jun. 30, 2022
Transfers and Servicing of Financial Assets [Abstract]  
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs
The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets:
June 30, 2022December 31, 2021
Direct investments in Excess MSRs$256,216 $259,198 
Excess MSR Joint Ventures80,834 85,749 
Excess mortgage servicing rights, at fair value$337,050 $344,947 
The following table presents activity related to the carrying value of direct investments in Excess MSRs:
Servicer
Mr. Cooper
SLS(A)
Total
Balance as of December 31, 2021$257,573 $1,625 $259,198 
Interest income20,094 511 20,605 
Other income37 — 37 
Proceeds from repayments(20,909)(154)(21,063)
Proceeds from sales(997)— (997)
Change in fair value(1,119)(445)(1,564)
Balance as of June 30, 2022
$254,679 $1,537 $256,216 
(A)Specialized Loan Servicing LLC (“SLS”).
The following table summarizes activity related to MSRs and MSR Financing Receivables:
Balance as of December 31, 2021$6,858,803 
Purchases, net(A)
(613)
Originations(B)
790,922 
Proceeds from sales(4,284)
Change in fair value due to:
    Realization of cash flows(C)
(380,590)
    Change in valuation inputs and assumptions1,359,992 
    (Gain) loss realized2,179 
Balance at June 30, 2022$8,626,409 
(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.    
(B)Represents MSRs retained on the sale of originated residential mortgage loans.
(C)Based on the paydown of the underlying residential mortgage loans.
The following table summarizes MSRs and MSR Financing Receivables by type as of June 30, 2022:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
Agency$374,752,192 7.5$5,845,943 
Non-Agency57,260,465 7.5808,528 
Ginnie Mae(C)
116,082,508 7.41,971,938 
Total$548,095,165 7.5$8,626,409 
(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Carrying value represents fair value. As of June 30, 2022, weighted average discount rates of 7.5% (range 7.0% – 9.0%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables.
(C)As of June 30, 2022, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.
Fees Earned in Exchange for Servicing Financial Assets
The following table summarizes components of Servicing Revenue, Net:
Three Months Ended
June 30,		Six Months Ended
June 30,
2022202120222021
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables$434,789 $311,432 $856,344 $619,264 
Ancillary and other fees34,689 44,744 69,534 85,196 
Servicing fee revenue, net and fees469,478 356,176 925,878 704,460 
Change in fair value due to:
Realization of cash flows(A)
(180,265)(297,778)(380,590)(637,448)
Change in valuation inputs and assumptions(B)
514,955 (115,986)1,359,992 425,980 
Change in fair value of derivative instruments— 8,624 7,189 (199)
(Gain) loss realized1,873 (15,150)2,179 (16,349)
Gain (loss) on settlement of derivative instruments— 2,307 (76,814)2,307 
Servicing revenue, net$806,041 $(61,807)$1,837,834 $478,751 
(A)Includes $1.3 million and $2.6 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three and six months ended June 30, 2021, respectively.
(B)Includes $0.2 million and $1.6 million of fair value adjustment to Excess spread financing for the three and six months ended June 30, 2021, respectively.
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs
The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationJune 30, 2022December 31, 2021
California17.7 %18.1 %
Florida8.6 %8.6 %
Texas6.2 %6.2 %
New York6.1 %6.0 %
Washington5.8 %5.6 %
New Jersey4.5 %4.5 %
Virginia3.5 %3.4 %
Maryland3.4 %3.4 %
Illinois3.4 %3.4 %
Georgia2.9 %3.0 %
Other U.S.37.9 %37.8 %
100.0 %100.0 %
Summary of Investments in Servicer Advances
The table below summarizes the type of advances included in the Servicer Advances Receivable:
June 30, 2022December 31, 2021
Principal and interest advances$622,819 $562,418 
Escrow advances (taxes and insurance advances)1,243,374 1,523,154 
Foreclosure advances741,440 793,098 
Total(A)(B)(C)
$2,607,633 $2,878,670 
(A)Includes $486.8 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.
(B)Includes $168.0 million and $212.9 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption.
(C)Excludes $46.9 million and $23.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process.
The following table summarizes Servicer Advance Investments, including the right to the basic fee component of the related MSRs:
Amortized Cost Basis
Carrying Value(A)
Weighted Average Discount RateWeighted Average Yield
Weighted Average Life (Years)(B)
June 30, 2022
Servicer Advance Investments$365,677 $379,901 5.2 %5.5 %7.5
December 31, 2021
Servicer Advance Investments$405,786 $421,807 5.2 %5.5 %6.9
(A)Represents the fair value of the servicer advance investments, including the basic fee component of the related MSRs.
(B)Represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

The following table provides additional information regarding the Servicer Advance Investments and related financing:
UPB of Underlying Residential Mortgage LoansOutstanding Servicer AdvancesServicer Advances to UPB of Underlying Residential Mortgage LoansFace Amount of Secured Notes and Bonds Payable
Loan-to-Value (“LTV”)(A)
Cost of Funds(C)
Gross
Net(B)
GrossNet
June 30, 2022
Servicer Advance Investments(D)
$18,224,076 $341,328 1.9 %$322,735 91.7 %91.0 %1.2 %1.2 %
December 31, 2021
Servicer Advance Investments(D)
$20,314,977 $369,440 1.8 %$356,580 91.4 %90.7 %1.3 %1.2 %
(A)Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
(B)Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
(C)Annualized measure of the cost associated with borrowings. Gross cost of funds primarily includes interest expense and facility fees. Net cost of funds excludes facility fees.
(D)The following table summarizes the types of advances included in Servicer Advance Investments:
June 30, 2022December 31, 2021
Principal and interest advances$64,203 $67,014 
Escrow advances (taxes and insurance advances)153,991 174,681 
Foreclosure advances123,134 127,745 
Total$341,328 $369,440 
Schedule Of Servicer Advances Reserve The following table summarizes servicer advances reserve:
Balance at December 31, 2021$32,122 
Provision5,056 
Transfers and Other— 
Write-offs(4,724)
Balance at June 30, 2022$32,454