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MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 3 Months Ended
Mar. 31, 2023
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:
March 31, 2023December 31, 2022
Direct investments in Excess MSRs$231,348 $249,366 
Excess MSR Joint Ventures67,955 72,437 
Excess mortgage servicing rights, at fair value$299,303 $321,803 
The following table presents activity related to the carrying value of direct investments in Excess MSRs:
Total(A)
Balance as of December 31, 2022$249,366 
Interest income3,431 
Other income68 
Proceeds from repayments(10,996)
Proceeds from sales(703)
Change in fair value(9,818)
Balance as of March 31, 2023
$231,348 
(A)Underlying loans serviced by Mr. Cooper Group Inc. (“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, 2022$8,889,403 
Purchases, net(A)
— 
Originations(B)
140,513 
Proceeds from sales(1,403)
Change in fair value due to:
    Amortization of servicing rights(C)
(105,691)
    Change in valuation inputs and assumptions(37,302)
    (Gain) loss realized689 
Balance at March 31, 2023$8,886,209 
(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 March 31, 2023:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
Agency$360,605,371 7.4$5,996,278 
Non-Agency52,614,283 6.4748,723 
Ginnie Mae(C)
122,646,241 7.12,141,208 
Total/Weighted Average$535,865,895 7.2$8,886,209 
(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 March 31, 2023, weighted average discount rates of 8.4% (range of 7.6% – 10.8%) were used to value Rithm Capital’s MSRs and MSR financing receivables.(C)As of March 31, 2023, Rithm Capital holds approximately $1.2 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
March 31,
20232022
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables$439,232 $421,555 
Ancillary and other fees30,607 34,845 
Servicing fee revenue, net and fees469,839 456,400 
Change in fair value due to:
Amortization of servicing rights(105,691)(200,325)
Change in valuation inputs and assumptions(37,302)845,037 
Change in fair value of derivative instruments— 7,189 
(Gain) loss realized689 306 
Gain (loss) on settlement of derivative instruments— (76,814)
Servicing revenue, net$327,535 $1,031,793 
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 ConcentrationMarch 31, 2023December 31, 2022
California17.4 %17.4 %
Florida8.6 %8.6 %
Texas6.2 %6.2 %
New York6.0 %6.0 %
Washington5.9 %5.9 %
New Jersey4.4 %4.4 %
Virginia3.6 %3.6 %
Maryland3.4 %3.4 %
Illinois3.4 %3.4 %
Georgia 3.0 %2.9 %
Other U.S.38.1 %38.2 %
100.0 %100.0 %
Summary of Investments in Servicer Advances
The table below summarizes the type of advances included in the Servicer Advances Receivable:
March 31, 2023December 31, 2022
Principal and interest advances$626,533 $664,495 
Escrow advances (taxes and insurance advances)1,234,863 1,426,409 
Foreclosure advances778,880 754,073 
Total(A)(B)(C)
$2,640,276 $2,844,977 
(A)Includes $508.8 million and $526.5 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.
(B)Includes $240.2 million and $261.8 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 non-reimbursable advance loss assumption.
(C)Excludes $46.0 million and $19.5 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)
March 31, 2023
Servicer advance investments$384,342 $389,905 5.7 %5.6 %8.4
December 31, 2022
Servicer advance investments$392,749 $398,820 5.7 %5.6 %8.4
(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
March 31, 2023
Servicer advance investments(D)
$16,569,002 $339,309 2.0 %$304,688 87.7 %85.6 %6.9 %6.4 %
December 31, 2022
Servicer advance investments(D)
$17,033,753 $341,628 2.0 %$319,276 90.2 %88.3 %6.5 %5.9 %
(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:
March 31, 2023December 31, 2022
Principal and interest advances$64,567 $66,892 
Escrow advances (taxes and insurance advances)153,908 155,438 
Foreclosure advances120,834 119,298 
Total$339,309 $341,628 
Schedule Of Servicer Advances Reserve
The following table summarizes servicer advances reserve:
Balance at December 31, 2022$65,428 
Provision20,053 
Transfers and Other— 
Write-offs(2,222)
Balance at March 31, 2023$83,259