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REAL ESTATE AND OTHER SECURITIES (Tables)
 12 Months Ended
Dec. 31, 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:
December 31, 2022
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Coupon(B)
Yield
Life (Years)(C)
Principal Subordination(D)
RMBS designated as available for sale (AFS):
Agency(E)
$80,261 $— $— $73,439 1 3.50 %3.50 %8.9N/A
Non-Agency(F)(G)
2,631,852 72,354 (33,684)397,076 333 3.50 %3.50 %6.429.1 %
RMBS measured at fair value through net income (FVO):
Agency(E)
7,383,261 91,770 (43,826)7,264,978 35 5.00 %5.00 %8.6N/A
Non-Agency(F)(G)
15,275,560 56,213 (91,369)553,784 341 2.70 %4.80 %7.516.7 %
Total/ Weighted Average$25,370,934 $220,337 $(168,879)$8,289,277 710 4.80 %4.90 %8.4
December 31, 2021
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Coupon(B)
Yield
Life (Years)(C)
Principal Subordination(D)
RMBS designated as available for sale (AFS):
Agency(E)
$91,572 $7,008 $— $98,367 1 3.50 %3.50 %4.4N/A
Non-Agency(F)(G)
2,956,066 84,494 (117)522,416 334 3.29 %3.18 %3.426.6 %
RMBS measured at fair value through net income (FVO):
Agency(E)
8,307,771 204 (226,309)8,346,230 40 2.13 %2.13 %7.0N/A
Non-Agency(F)(G)
12,958,891 32,814 (51,892)429,526 271 2.15 %3.91 %3.220.3 %
Total/ Weighted Average$24,314,300 $124,520 $(278,318)$9,396,539 646 2.19 %2.27 %6.6
(A)Fair value is equal to carrying value for all securities.
(B)Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $16.6 million and $1.1 million, respectively, for which no coupon payment is expected.
(C)Based on the timing of expected principal reduction on the assets.
(D)Percentage of the amortized cost basis of securities that is subordinate to Rithm Capital’s investments, excluding fair value option securities.
(E)The total outstanding face amount was $7.5 billion and $8.4 billion for fixed rate securities and $0.0 billion and $0.0 billion for floating rate securities as of December 31, 2022 and 2021, respectively.
(F)The total outstanding face amount was $8.4 billion (including $7.5 billion of residual and fair value option notional amount) and $9.6 billion (including $8.7 billion of residual and fair value option notional amount) for fixed rate securities and $9.5 billion (including $9.3 billion of residual and fair value option notional amount) and $6.4 billion (including $6.2 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2022 and 2021, respectively.
(G)Includes other asset backed securities (“ABS”) consisting primarily of (i) interest-only securities and servicing strips which Rithm Capital elected to carry at fair value (fair value option securities) and record changes to valuation through the income statement, (ii) bonds backed by consumer loans and (iii) corporate debt. The following table summarizes these securities:
Gross UnrealizedWeighted Average
Asset TypeOutstanding Face AmountGainsLossesCarrying ValueNumber of SecuritiesCouponYieldLife (Years)
December 31, 2022
Corporate debt$514 $— $— $465 2 8.20 %9.50 %2.2
Consumer loan bonds518 522 — 590 3 N/AN/A0.7
Fair value option securities
Interest-only securities9,652,902 29,681 (31,714)160,160 141 0.90 %5.40 %3.2
Servicing strips4,338,099 17,501 (4,105)59,017 61 0.70 %9.90 %4.2
December 31, 2021
Corporate Debt$414 $9 $— $423 1 8.25 %8.25 %3.3
Consumer loan bonds2,960 878 — 2,974 3 N/AN/A0.0
Fair value option securities
Interest-only securities7,368,874 8,099 (43,626)152,489 127 1.19 %1.54 %2.0
Servicing strips4,413,700 6,869 (7,758)59,120 59 1.40 %13.12 %2.6

The following table summarizes purchases and sales of Real Estate and Other Securities:
Year Ended December 31,
20222021
(in millions)AgencyNon-AgencyAgencyNon-Agency
Purchases
Face$16,479.3 $5,018.1 $5,907.2 $2,999.3 
Purchase price16,314.6 256.5 6,098.8 174.3 
Sales
Face$16,516.0 $15.3 $7,830.8 $1,686.9 
Amortized cost16,759.7 13.6 8,135.6 193.2 
Sale price15,026.3 12.0 8,074.3 164.7 
Gain (loss) on sale(1,733.4)(1.6)(61.3)(28.5)
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 December 31, 2022.
Amortized Cost BasisWeighted Average
Securities in an Unrealized Loss PositionOutstanding Face AmountBefore Credit Impairment
Credit Impairment(A)
After Credit ImpairmentGross Unrealized LossesCarrying ValueNumber of SecuritiesCouponYieldLife
(Years)
Less than 12 Months
$408,191 $390,591 $(10,816)$379,775 $(33,435)$346,340 199 4.8 %4.9 %8.5
12 or More Months
3,107 3,157 — 3,157 (249)2,908 2 1.5 %4.0 %3.6
Total/Weighted Average
$411,298 $393,748 $(10,816)$382,932 $(33,684)$349,248 201 4.8 %4.9 %8.5
(A)Represents credit impairment on securities in an unrealized loss position as of December 31, 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:
December 31, 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 securities77,843 78,101 (10,816)(258)6,581 6,581 (3,471)— 
Non-credit impaired securities271,405 304,831 — (33,426)3,927 4,044 — (117)
Total debt securities in an unrealized loss position$349,248 $382,932 $(10,816)$(33,684)$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, 2020
$8,672 $— $8,672 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
— — — 
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
(2,182)— (2,182)
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
(3,019)— (3,019)
Write-offs charged against the allowance
— — — 
Recoveries of amounts previously written off
— — — 
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
128 6,676 6,804 
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
541 — 541 
Write-offs charged against the allowance
— — — 
Recoveries of amounts previously written off
— — — 
Allowance for credit losses on available-for-sale debt securities at December 31, 2022
$4,140 $6,676 $10,816 
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
December 31, 2022$443,680 $66,775 
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:
Year Ended December 31,
20222021
Beginning balance$36,093 $189,562 
Additions— 8,324 
Accretion(2,155)(4,720)
Reclassifications from (to) non-accretable difference7,262 (8,015)
Disposals— (149,058)
Ending balance$41,200 $36,093