VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets:


	The Buyer		Shelter Joint Ventures		Residential Mortgage Loans		Consumer Loan SPVs		Servicer Advance Facilities		MSR Financing Facilities		Mortgage Loans Receivable		Total
September 30, 2022
Assets
Mortgage servicing rights, at fair value	$	—	$	—	$	—	$	—	$	—	$	659,793	$	—	$	659,793
Servicer advance investments, at fair value	360,023		—		—		—		—		—		—		360,023
Residential mortgage loans, held-for-investment, at fair value	—		—		24,237		—		—		—		—		24,237

Residential mortgage loans, held-for-sale, at fair value	—		—		748,514		—		—		—		—		748,514
Consumer loans	—		—		—		393,599		—		—		—		393,599
Mortgage loans receivable	—		—		—		—		—		—		349,911		349,911
Cash and cash equivalents	40,752		33,780		34,480		—		—		—		—		109,012
Restricted cash	2,234		—		321,242		6,766		—		—		8,333		338,575
Servicer advance receivable	—		—		—		—		90,591		—		—		90,591
Other assets	9		1,098		1,121		5,518		29,559		332,986		69		370,360
Total Assets	$	403,018	$	34,878	$	1,129,594	$	405,883	$	120,150	$	992,779	$	358,313	$	3,444,615
Liabilities
Secured financing agreements(A)	$	—	$	—	$	238,745	$	—	$	—	$	—	$	—	$	238,745
Secured notes and bonds payable(A)	313,298		—		770,063		320,001		78,072		549,597		311,917		2,342,948
Accrued expenses and other liabilities	1,006		8,487		123,036		1,024		38,110		268		427		172,358
Total Liabilities	$	314,304	$	8,487	$	1,131,844	$	321,025	$	116,182	$	549,865	$	312,344	$	2,754,051

December 31, 2021
Assets
Mortgage servicing rights, at fair value	$	—	$	—	$	—	$	—	$	—	$	403,301	$	—	$	403,301
Servicer advance investments, at fair value	409,475		—		—		—		—		—		—		409,475
Residential mortgage loans, held-for-investment, at fair value	—		—		93,226		—		—		—		—		93,226

Residential mortgage loans, held-for-sale, at fair value	—		—		798,644		—		—		—		—		798,644
Consumer loans	—		—		—		507,291		—		—		—		507,291
Cash and cash equivalents	33,777		37,369		2,882		—		—		—		—		74,028
Restricted cash	2,210		—		171		7,249		—		—		—		9,630
Servicer advance receivable	—		—		—		—		94,306		—		—		94,306
Other assets	9		903		2,902		6,851		24,699		332,521		—		367,885
Total Assets	$	445,471	$	38,272	$	897,825	$	521,391	$	119,005	$	735,822	$	—	$	2,757,786
Liabilities
Secured financing agreements	$	—	$	—	$	24,683	$	—	$	—	$	—	$	—	$	24,683
Secured notes and bonds payable(A)	348,670		—		802,526		458,580		93,145		367,871		—		2,070,792
Accrued expenses and other liabilities	806		6,588		10,163		862		27,771		134		—		46,324
Total Liabilities	$	349,476	$	6,588	$	837,372	$	459,442	$	120,916	$	368,005	$	—	$	2,141,799

(A)The creditors of the VIEs do not have recourse to the general credit of Rithm Capital, and the assets of the VIEs are not directly available to satisfy Rithm Capital’s obligations.

The following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations:


	As of and for the Nine Months Ended September 30,
	2022			2021
Residential mortgage loan UPB and other collateral	$	12,137,481		$	11,403,079
Weighted average delinquency(A)	4.9		%	4.7		%
Net credit losses	$	170,439		$	118,958
Face amount of debt held by third parties(B)	$	11,228,461		$	10,475,990

Carrying value of bonds retained by Rithm Capital(C)(D)	$	920,904		$	965,846
Cash flows received by Rithm Capital on these bonds	$	173,765		$	260,306

(A)Represents the percentage of the UPB that is 60+ days delinquent.

(B)Excludes bonds retained by Rithm Capital.

(C)Includes bonds retained pursuant to required risk retention regulations.

(D)Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 19 for details on unobservable inputs.

Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net

Others’ interests in the equity of consolidated subsidiaries is computed as follows:


	September 30, 2022									December 31, 2021
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Total consolidated equity	$	88,714		$	26,391		$	103,063		$	95,995		$	31,684		$	83,597
Others’ ownership interest	10.7		%	49.5		%	46.5		%	10.7		%	49.5		%	46.5		%
Others’ interest in equity of consolidated subsidiary	$	9,474		$	13,093		$	48,488		$	10,251		$	15,683		$	39,414

Others’ interests in the net income (loss) is computed as follows:


	Three Months Ended September 30,
	2022									2021
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Net income (loss)	$	(1,296)		$	952		$	15,000		$	(2,614)		$	6,125		$	13,438
Others’ ownership interest	10.7		%	49.5		%	46.5		%	10.7		%	49.5		%	46.5		%
Others’ interest in net income of consolidated subsidiary	$	(139)		$	471		$	6,975		$	(280)		$	3,032		$	6,249

(A)Rithm Capital owned 89.3% and 89.3% of the Buyer as of September 30, 2022 and 2021, respectively.


	Nine Months Ended September 30,
	2022									2021
	The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies			The Buyer(A)			Shelter Joint Ventures			Consumer Loan Companies
Net income (loss)	$	1,219		$	4,374		$	53,340		$	(4,546)		$	19,762		$	41,855
Others’ ownership interest	10.7		%	49.5		%	46.5		%	10.7		%	49.5		%	46.5		%
Others’ interest in net income of consolidated subsidiary	$	130		$	2,165		$	24,803		$	(797)		$	9,782		$	19,463

(A)Rithm Capital owned 89.3% and 89.3% of the Buyer as of September 30, 2022 and 2021, respectively.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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