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REAL ESTATE AND OTHER SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Schedule of Debt Securities, Available-for-sale
The following table summarizes Real Estate and Other Securities by designation:
September 30, 2022December 31, 2021
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Rating(B)
Coupon(C)
Yield
Life (Years)(D)
Principal Subordination(E)
Carrying
Value
RMBS Designated as Available for Sale (AFS):
Agency(F)(G)
$81,833 $— $— $76,865 1  AAA 3.50 %3.50 %6.2N/A$98,367 
Non-Agency(H)(I)
2,681,250 72,626 (23,178)418,973 333  AA+ 3.50 %3.40 %4.416.7 %522,416 
RMBS Measured at Fair Value through Net Income (FVO):
Agency(F)(G)
9,016,991 14 (584,557)8,421,095 31  AAA 4.10 %4.10 %9.9N/A8,346,230 
Non-Agency(H)(I)
14,829,348 41,075 (90,408)520,075 331  AA+ 2.40 %4.40 %5.517.2 %429,526 
Total/Weighted Average$26,609,422 $113,715 $(698,143)$9,437,008 696  AAA 4.00 %4.10 %9.4$9,396,539 
(A)Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements.
(B)Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 374 bonds with a carrying value of $442.2 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. Rithm Capital used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third-party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current.
(C)Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $17.1 million and $1.2 million, respectively, for which no coupon payment is expected.
(D)Based on the timing of expected principal reduction on the assets.
(E)Percentage of the amortized cost basis of securities that is subordinate to Rithm Capital’s investments, excluding fair value option securities.
(F)Includes securities issued or guaranteed by U.S. Government agencies such as Ginnie Mae.
(G)The total outstanding face amount was $9.1 billion for fixed rate securities as of September 30, 2022.
(H)The total outstanding face amount was $8.5 billion (including $7.7 billion of residual and fair value option notional amount) for fixed rate securities and $9.0 billion (including $8.7 billion of residual and fair value option notional amount) for floating rate securities as of September 30, 2022.
(I)Includes other asset-backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which Rithm Capital elected to carry at fair value and record changes to valuation through earnings, (ii) bonds backed by consumer loans, and (iii) corporate debt.
Gross UnrealizedWeighted Average
Asset TypeOutstanding Face AmountGainsLossesCarrying ValueNumber of SecuritiesRatingCouponYieldLife (Years)Principal Subordination
Corporate debt
$514 $— $(5)$424 2 B8.2 %9.6 %2.5 N/A
Consumer loan bonds
658 884 — 1,019 3  N/A — — 0.9 N/A
Fair value option securities:
Interest-only securities
9,136,025 23,518 (37,389)157,272 138  AAA 0.9 %3.4 %2.2 N/A
Servicing strips
4,430,532 10,171 (6,676)52,897 61  N/A 1.0 %8.2 %2.8 N/A
The following table summarizes purchases and sales of Real Estate and Other Securities:
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
(in millions)AgencyNon-AgencyAgencyNon-AgencyAgencyNon-AgencyAgencyNon-Agency
Purchases
Face$9,053.2 $906.7 $— $844.3 $10,051.4 $4,189.8 $5,907.2 $2,502.0 
Purchase price9,041.6 69.1 — 55.1 10,046.1 217.7 6,098.8 145.9 
Sales
Face$7,767.1 $15.3 $4,343.0 $— $8,596.9 $15.3 $7,830.8 $1,686.3 
Amortized cost7,987.1 12.0 4,499.1 7.7 8,844.1 13.6 8,135.6 192.9 
Sale price6,965.4 12.0 4,443.0 — 7,704.3 12.0 8,074.3 164.6 
Gain (loss) on sale(1,021.8)(0.1)(56.1)(7.7)(1,139.9)(1.6)(61.3)(28.2)
Summary of Real Estate Securities in an Unrealized Loss Position
The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of September 30, 2022:
Securities in an Unrealized Loss PositionOutstanding Face AmountAmortized Cost BasisGross Unrealized LossesCarrying ValueNumber of SecuritiesWeighted Average
Before Credit Impairment
Credit Impairment(A)
After Credit ImpairmentRatingCouponYieldLife
(Years)
Less than 12 Months
$374,677 $370,779 $(4,963)$365,816 $(22,961)$342,855 171  AAA 4.0 %4.2 %9.5
12 or More Months
17,928 11,473 (4,205)7,268 (217)7,051 15  AAA 1.2 %0.8 %2.6
Total/Weighted Average
$392,605 $382,252 $(9,168)$373,084 $(23,178)$349,906 186  AAA 4.0 %4.1 %9.4
(A)Represents credit impairment on securities in an unrealized loss position as of September 30, 2022.
Rithm Capital performed an assessment of all RMBS designated as AFS that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:
September 30, 2022December 31, 2021
Gross Unrealized LossesGross Unrealized Losses
RMBS Designated as AFSFair ValueAmortized Cost Basis After Credit Impairment
Credit(A)
Non-Credit(B)
Fair ValueAmortized Cost Basis After Credit Impairment
Credit(A)
Non-Credit(B)
Securities Rithm Capital intends to sell$— $— $— $— $— $— $— $— 
Securities Rithm Capital is more likely than not to be required to sell(C)
— — — — — — — — 
Securities Rithm Capital has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities81,331 81,331 (9,168)— 6,581 6,581 (3,471)— 
Non-credit impaired securities268,575 291,753 — (23,178)3,927 4,044 — (117)
Total debt securities in an unrealized loss position$349,906 $373,084 $(9,168)$(23,178)$10,508 $10,625 $(3,471)$(117)
(A)Required to be recorded through earnings. In measuring the portion of credit losses, Rithm Capital estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows included Rithm Capital’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’s effective interest rate.
(B)Represents unrealized losses on securities that are due to non-credit factors.
(C)Rithm Capital may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, Rithm Capital must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss
The following table summarizes the activity related to the allowance for credit losses on RMBS designated as AFS (excluding credit impairment relating to securities Rithm Capital intends to sell or is more likely than not required to sell):
RMBS Designated as AFSPurchased Credit DeterioratedNon-Purchased Credit DeterioratedTotal
Allowance for credit losses on available-for-sale debt securities at December 31, 2021
$3,471 $— $3,471 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
110 4,853 4,963 
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration
— — — 
Reductions for securities sold during the period
— — — 
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis
— — — 
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period
734 — 734 
Write-offs charged against the allowance
— — — 
Recoveries of amounts previously written off
— — — 
Allowance for credit losses on available-for-sale debt securities at September 30, 2022
$4,315 $4,853 $9,168 
Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible
The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that Rithm Capital would be unable to collect all contractually required payments, excluding residual and fair value option securities:
Outstanding Face AmountCarrying Value
September 30, 2022$550,772 $141,573 
December 31, 2021512,731 180,890 
Summary of Changes in Accretable Yield for Securities
The following is a summary of the changes in accretable yield for these securities:
Balance at December 31, 2021$36,093 
Additions16,192 
Accretion(3,648)
Reclassifications from (to) non-accretable difference13,225 
Disposals— 
Balance at September 30, 2022$61,862