
	September 30, 2023													December 31, 2022
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Coupon(B)		Yield			Life (Years)(C)	Carrying Value
RMBS Designated as Available for Sale (AFS):
Agency(D)	$	75,928	$	—	$	—	$	65,093	1	3.5	%	3.5	%		10.9	$	73,439
Non-Agency(E)(F)	2,516,651		72,278		(32,923)		366,972		333	3.5	%	3.9	%		5.5	397,076

RMBS Measured at Fair Value through Net Income (FVO):
Agency(D)	8,655,669		—		(253,951)		8,235,153		44	5.2	%	5.2	%		9.6	7,264,978
Non-Agency(E)(F)	14,611,690		59,989		(97,944)		534,256		354	2.9	%	6.6	%		8.1	553,784

Total/Weighted Average	$	25,859,938	$	132,267	$	(384,818)	$	9,201,474	732	5.2	%	5.2	%		9.9	$	8,289,277

(E)The total outstanding face amount was $7.9 billion (including $7.0 billion of residual and fair value option notional amount) for fixed rate securities and $9.2 billion (including $9.0 billion of residual and fair value option notional amount) for floating rate securities as of September 30, 2023.

(F)Includes other asset-backed securities consisting primarily of (i) interest-only securities, servicing strips and commercial mortgage backed securities (fair value option securities), (ii) bonds backed by consumer loans and (iii) corporate debt which Rithm Capital elected to carry at fair value and record changes to valuation through earnings


			Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Gains		Losses		Carrying Value		Number of Securities		Coupon		Yield		Life (Years)
Corporate debt	$	514	$	3	$	—	$	512	2		8.2	%	9.5	%	1.5
Consumer loan bonds	301		663		—		663		2		N/A		N/A		0.1
Fair value option securities:
Interest-only securities	9,247,297		33,197		(31,955)		139,108		145		0.8	%	9.5	%	2.4
Servicing strips	4,087,218		17,726		(3,734)		50,737		61		0.2	%	15.2	%	3.9
Commercial Mortgage Backed Securities	3,931		103		—		3,900		2		7.9	%	8.8	%	1.6


	September 30, 2023									December 31, 2022
										Weighted Average
	Outstanding Face Amount		Amortized Cost / Carrying Value		Fair Value		Unrecognized Gains/(Losses)		Number of Securities	Yield		Life (Years)	Carrying Value
Treasury Bills Designated as Held to Maturity (HTM):
Treasury	$	1,000,000	$	992,122	$	992,183	$	61	1	5.4	%	0.2	$	—


	Three Months Ended September 30,										Nine Months Ended September 30,
	2023						2022				2023						2022
(in millions)	Treasury		Agency		Non-Agency		Agency		Non-Agency		Treasury		Agency		Non-Agency		Agency		Non-Agency
Purchases
Face	$	—	$	1,211.3	$	—	$	9,053.2	$	906.7	$	1,000.0	$	3,373.7	$	472.6	$	10,051.4	$	4,189.8
Purchase price	—		1,196.2		—		9,041.6		69.1		973.8		3,350.6		32.6		10,046.1		217.7

Sales
Face	$	—	$	230.0	$	—	$	7,767.1	$	15.3	$	—	$	1,692.4	$	—	$	8,596.9	$	15.3
Amortized cost	—		229.8		—		7,987.1		12.0		—		1,672.6		0.2		8,844.1		13.6
Sale price	—		219.6		—		6,965.4		12.0		—		1,615.5		—		7,704.3		12.0
Gain (loss) on sale	—		(10.2)		—		(1,021.8)		(0.1)		—		(57.1)		(0.2)		(1,139.9)		(1.6)

As of September 30, 2023, Rithm Capital had sold $230.0 million face amount of Agency RMBS for $219.6 million which had not yet been settled. As of December 31, 2022, Rithm Capital had purchased $738.4 million face amount of Agency RMBS for $730.0 million and sold $490.8 million face amount of Agency RMBS for $471.6 million which had not yet been settled. Unsettled purchases and sales are recorded on a trade date basis and grouped and presented within Payable for Investments Purchased and Receivable for Investments Sold on the Consolidated Balance Sheets.

Rithm Capital has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, Rithm Capital sold portions of the purchased loans through securitizations and retained bonds issued by such securitizations. In addition, Rithm Capital received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. Refer to Note 8 for further details on these transactions.


Securities in an Unrealized Loss Position	Outstanding Face Amount		Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average
			Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Coupon		Yield		Life (Years)
Less than 12 Months	$	79,960	$	69,392	$	—	$	69,392	$	(6,770)	$	62,622	72	3.1	%	4.0	%	4.7
12 or More Months	306,044		288,367		(14,421)		273,946		(26,153)		247,793		130	3.7	%	3.7	%	7.2
Total/Weighted Average	$	386,004	$	357,759	$	(14,421)	$	343,338	$	(32,923)	$	310,415	202	3.6	%	3.8	%	6.7

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, 2023								December 31, 2022
					Gross Unrealized Losses								Gross Unrealized Losses
RMBS Designated as AFS	Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)		Fair Value		Amortized 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 securities	69,456		69,833		(14,421)		(376)		77,843		78,101		(10,816)		(258)
Non-credit impaired securities	240,959		273,505		—		(32,547)		271,405		304,831		—		(33,426)
Total debt securities in an unrealized loss position	$	310,415	$	343,338	$	(14,421)	$	(32,923)	$	349,248	$	382,932	$	(10,816)	$	(33,684)

(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.

(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.

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 AFS	Purchased Credit Deteriorated		Non-Purchased Credit Deteriorated		Total
Allowance for credit losses on available-for-sale debt securities at December 31, 2022	$	4,140	$	6,676	$	10,816
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	(221)		—		(221)
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	(158)		3,984		3,826
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, 2023	$	3,761	$	10,660	$	14,421