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EXCESS MORTGAGE SERVICING RIGHTS (Tables)
 9 Months Ended
Sep. 30, 2022
Transfers and Servicing [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:
September 30, 2022December 31, 2021
Direct investments in Excess MSRs$248,495 $259,198 
Excess MSR Joint Ventures73,673 85,749 
Excess mortgage servicing rights, at fair value$322,168 $344,947 
The following table presents activity related to the carrying value of direct investments in Excess MSRs:
Total(A)
Balance as of December 31, 2021$259,198 
Interest income28,017 
Other income38 
Proceeds from repayments(32,340)
Proceeds from sales(997)
Change in fair value(5,421)
Balance as of September 30, 2022
$248,495 
(A)Underlying loans serviced by Mr. Cooper and 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)
(250)
Originations(B)
1,059,535 
Proceeds from sales(8,149)
Change in fair value due to:
    Realization of cash flows(C)
(522,206)
    Change in valuation inputs and assumptions1,503,167 
    (Gain) loss realized4,174 
Balance at September 30, 2022$8,895,074 
(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 September 30, 2022:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
Agency$369,056,523 7.4$6,018,491 
Non-Agency55,380,229 5.0810,719 
Ginnie Mae(C)
119,740,843 7.12,065,864 
Total/Weighted Average$544,177,595 7.1$8,895,074 
(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 September 30, 2022, weighted average discount rates of 8.3% (range 7.6% – 9.8%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables.
(C)As of September 30, 2022, Rithm Capital holds approximately $1.9 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.
Summary of Direct Investments in Excess MSRs
The following table summarizes direct investments in Excess MSRs:
September 30, 2022December 31, 2021
UPB of Underlying MortgagesInterest in Excess MSR
Weighted Average Life Years(A)
Amortized Cost Basis
Carrying Value(B)
Carrying Value(B)
Rithm
Capital(C, D)
Fortress-managed fundsMr. Cooper
$49,993,358 
32.5% – 100.0%
(56.5%)
0.0% – 50%
0.0% – 35.0%
6.2$208,957 $248,495 $259,198 
(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Carrying value represents the fair value of the pools and recapture agreements, as applicable.
(C)Amounts in parentheses represent weighted averages.
(D)Rithm Capital is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of September 30, 2022 (Note 6) on $17.5 billion UPB underlying these Excess MSRs.
Changes in fair value of investments consists of the following:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2022202120222021
Original and Recaptured Pools$(3,857)$(4,837)$(5,421)$(13,666)
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees
The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees:
September 30, 2022December 31, 2021
Excess MSR$134,942$152,383
Other assets13,09019,802
Other liabilities(687)(687)
Equity$147,345$171,498
Rithm Capital’s investment$73,673$85,749
Rithm Capital’s percentage ownership50.0 %50.0 %

Three Months Ended
September 30,		Nine Months Ended
September 30,
2022202120222021
Interest income$4,437 $261 $10,514 $6,500 
Other income (loss)(12,074)(2,605)(14,417)(3,634)
Expenses(8)(8)(24)(24)
Net income (loss)$(7,645)$(2,352)$(3,927)$2,842 

The following table summarizes the activity of investments in equity method investees:
Balance at December 31, 2021$85,749 
Distributions of capital from equity method investees(10,112)
Change in fair value of investments in equity method investees(1,964)
Balance at September 30, 2022$73,673 
Summary of Excess MSR Investments made through Equity Method Investees
The following is a summary of Excess MSR investments made through equity method investees:
September 30, 2022
Unpaid Principal Balance
Investee Interest in Excess MSR(A)
Rithm Capital Interest in Investees
Amortized Cost Basis(B)
Carrying Value(C)
Weighted Average Life (Years)(D)
Agency
Original and Recaptured Pools$20,073,992 66.7 %50.0 %$108,643 $134,942 4.9
(A)The remaining interests are held by Mr. Cooper.
(B)Represents the amortized cost basis of the equity method investees in which Rithm Capital holds a 50% interest.
(C)Represents the carrying value of the Excess MSRs held in equity method investees, in which Rithm Capital holds a 50% interest. Carrying value represents the fair value of the pools as applicable.
(D)Represents the weighted average expected timing of the receipt of cash flows of each investment.