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RESIDENTIAL MORTGAGE LOANS
 9 Months Ended
Sep. 30, 2023
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS RESIDENTIAL MORTGAGE LOANS
Rithm Capital accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. Rithm Capital, through its Mortgage Company, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying loans.

Loans are accounted for based on Rithm Capital’s strategy for the loan and on whether the loan was credit-impaired at the date of acquisition. As of September 30, 2023, Rithm Capital accounts for loans based on the following categories:

•Loans held-for-investment, at fair value
•Loans held-for-sale, at lower of cost or fair value
•Loans held-for-sale, at fair value

The following table summarizes residential mortgage loans outstanding by loan type:
September 30, 2023December 31, 2022
Loan TypeOutstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Total residential mortgage loans, held-for-investment, at fair value$462,187 $370,957 8,610 8.9 %4.5$452,519 
Acquired performing loans(B)
69,353 57,229 1,947 8.9 %4.772,425 
Acquired non-performing loans(C)
27,042 21,454 324 9.3 %3.228,602 
Total residential mortgage loans, held-for-sale, at lower of cost or market$96,395 $78,683 2,271 9.0 %4.3$101,027 
Acquired performing loans(B)(D)
$997,217 $963,554 3,374 6.8 %13.1$890,131 
Acquired non-performing loans(C)(D)
211,662 191,078 1,101 4.6 %23.8340,342 
Originated loans1,579,012 1,585,967 5,593 6.9 %29.22,066,798 
Total residential mortgage loans, held-for-sale, at fair value$2,787,891 $2,740,599 10,068 6.7 %23.0$3,297,271 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$2,884,286 $2,819,282 $3,398,298 
(A)For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan.
(B)Performing loans are generally placed on non-accrual status when principal or interest is 90 days or more past due.
(C)As of September 30, 2023, Rithm Capital has placed non-performing loans, held-for-sale on non-accrual status, except as described in (D) below.
(D)Includes $252.1 million and $186.7 million UPB of Ginnie Mae Early Buyout Options (“EBOs”) performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA.
The following table summarizes the geographic distribution of the underlying residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationSeptember 30, 2023December 31, 2022
Florida11.4 %10.9 %
California9.3 %10.2 %
New York8.5 %6.8 %
Texas8.0 %8.9 %
Georgia4.1 %4.2 %
New Jersey3.8 %3.8 %
Illinois3.6 %3.6 %
Indiana3.2 %3.2 %
Maryland3.2 %3.1 %
Pennsylvania2.8 %2.7 %
Other U.S. 42.1 %42.6 %
100.0 %100.0 %

See Note 18 regarding the financing of residential mortgage loans.

The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate carrying value of loans:
September 30, 2023December 31, 2022
Days Past DueUPBCarrying ValueCarrying Value Over (Under) UPBUPBCarrying ValueCarrying Value Over (Under) UPB
90+$305,579 $266,341 $(39,237)$468,147 $423,321 $(44,826)

The following table summarizes the activity for residential mortgage loans:
Loans Held-for-Investment, at Fair ValueLoans Held-for-Sale, at Lower of Cost or Fair ValueLoans Held-for-Sale, at Fair ValueTotal
Balance at December 31, 2022
$452,519 $101,027 $3,297,271 $3,850,817 
Originations — — 28,097,716 28,097,716 
Sales— (6,946)(28,795,595)(28,802,541)
Purchases/additional fundings1,269 — 241,061 242,330 
Proceeds from repayments(38,988)(8,289)(146,886)(194,163)
Transfer of loans to other assets(A)
— — 7,248 7,248 
Transfer of loans to real estate owned(6,127)(3,170)(1,464)(10,761)
Transfers of loans to held-for-sale(30,556)— — (30,556)
Transfer of loans from held-for-investment— — 30,556 30,556 
Valuation (provision) reversal on loans— (3,939)— (3,939)
Fair value adjustments due to:
Changes in instrument-specific credit risk4,000 — 9,309 13,309 
Other factors(11,160)— 1,383 (9,777)
Balance at September 30, 2023
$370,957 $78,683 $2,740,599 $3,190,239 
(A)Represents loans for which foreclosure has been completed and for which Rithm Capital has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are grouped and presented as part of claims receivable in other assets (Note 13).

Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2023202220232022
Interest income:
Loans held-for-investment, at fair value$8,009 $11,550 $26,732 $32,298 
Loans held-for-sale, at lower of cost or fair value1,206 1,613 4,594 5,429 
Loans held-for-sale, at fair value43,875 47,885 122,906 174,536 
Total interest income$53,090 $61,048 $154,232 $212,263 
Interest expense:
Loans held-for-investment, at fair value4,823 3,793 14,342 9,955 
Loans held-for-sale, at lower of cost or fair value857 841 2,746 2,513 
Loans held-for-sale, at fair value44,531 47,953 130,034 129,332 
Total interest expense$50,211 $52,587 $147,122 $141,800 
Net interest income$2,879 $8,461 $7,110 $70,463 

Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net

The Mortgage Company originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. In connection with the sale or securitization of loans to the GSEs or mortgage investors, Rithm Capital reports gain on originated residential mortgage loans, held-for-sale, net in the Consolidated Statements of Operations.

The following table summarizes the components of gain on originated residential mortgage loans, held-for-sale, net:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2023202220232022
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(178,658)$(141,327)$(332,793)$(933,582)
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
67,377 57,407 65,798 1,109,163 
MSRs retained on transfer of residential mortgage loans(C)
266,644 268,613 609,460 1,059,535 
Other(D)
5,892 2,763 2,751 32,302 
Realized gain on sale of originated residential mortgage loans, net$161,255 $187,456 $345,216 $1,267,418 
Change in fair value of residential mortgage loans(19,299)(113,210)40,190 (383,169)
Change in fair value of interest rate lock commitments (Note 17)(8,630)(104,440)(2,288)(154,644)
Change in fair value of derivative instruments (Note 17)15,904 233,673 27,202 250,661 
Gain on originated residential mortgage loans, held-for-sale, net$149,230 $203,479 $410,320 $980,266 
(A)Includes residential mortgage loan origination fees of $105.9 million and $156.8 million for the three months ended September 30, 2023 and 2022, respectively. Includes residential mortgage loan origination fees of $268.8 million and $526.1 million for the nine months ended September 30, 2023 and 2022, respectively.
(B)Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments.
(C)Represents the initial fair value of the capitalized mortgage servicing rights upon loan sales with servicing retained.
(D)Includes fees for services associated with the residential mortgage loan origination process.