XML 48 R38.htm IDEA: XBRL DOCUMENT v3.23.3
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 9 Months Ended
Sep. 30, 2023
Transfers and Servicing of Financial Assets [Abstract]  
Summary of Activity Related to the Carrying Value of Investments in Excess MSRs
The table below summarizes the components of Excess MSRs:
September 30, 2023December 31, 2022
Direct investments in Excess MSRs$217,764 $249,366 
Excess MSR joint ventures65,212 72,437 
Excess mortgage servicing rights, at fair value$282,976 $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 income16,733 
Other income150 
Proceeds from repayments(33,901)
Proceeds from sales(669)
Change in fair value(13,915)
Balance as of September 30, 2023
$217,764 
(A)Underlying loans serviced by Mr. Cooper Group Inc. (“Mr. Cooper”) and 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)
609,460 
Proceeds from sales(C)
(704,657)
Change in fair value due to:
    Realization of cash flows(D)
(384,094)
    Change in valuation inputs and assumptions284,756 
Balance at September 30, 2023$8,694,868 
(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)Relates primarily to excess servicing cash flows sold on certain agency loans with a total UPB of approximately $91.4 billion during the nine months ended September 30, 2023. In connection with these sales, the Company recorded a gain of approximately $5.2 million during the period, which is included within change in fair value of MSRs and MSR financing receivables in the Consolidated Statements of Operations.
(D)Based on the paydown of the underlying residential mortgage loans.
The following table summarizes MSRs and MSR financing receivables by type as of September 30, 2023:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
Agency$354,510,758 8.1$5,393,329 
Non-Agency50,056,162 6.9704,873 
Ginnie Mae(C)
126,354,300 7.72,596,666 
Total/Weighted Average$530,921,220 7.9$8,694,868 
(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 September 30, 2023, weighted average discount rates of 8.5% (range of 7.9% – 10.8%) were used to value Rithm Capital’s MSRs and MSR financing receivables.
(C)As of September 30, 2023, Rithm Capital holds approximately $1.4 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.
Summary of Fees Earned in Exchange for Servicing Financial Assets
The following table summarizes components of servicing revenue, net:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2023202220232022
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables$412,386 $419,793 $1,284,583 $1,276,137 
Ancillary and other fees30,258 33,370 93,462 102,904 
Servicing fee revenue, net and fees442,644 453,163 1,378,045 1,379,041 
Change in fair value due to:
Realization of cash flows(138,993)(141,616)(384,094)(522,206)
Change in valuation inputs and assumptions, net of realized gains (losses)159,927 143,174 284,756 1,502,844 
Change in fair value of derivative instruments— (18,505)— (11,316)
Gain (loss) on settlement of derivative instruments— (2,227)— (79,041)
Servicing revenue, net$463,578 $433,989 $1,278,707 $2,269,322 
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 ConcentrationSeptember 30, 2023December 31, 2022
California17.1 %17.4 %
Florida8.6 %8.6 %
Texas6.2 %6.2 %
New York6.0 %6.0 %
Washington5.8 %5.9 %
New Jersey4.3 %4.4 %
Virginia3.6 %3.6 %
Maryland3.4 %3.4 %
Illinois3.3 %3.4 %
Georgia3.0 %2.9 %
Other U.S.38.7 %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:
September 30, 2023December 31, 2022
Principal and interest advances$579,277 $664,495 
Escrow advances (taxes and insurance advances)1,093,779 1,426,409 
Foreclosure advances833,680 754,073 
Total(A)(B)(C)
$2,506,736 $2,844,977 
(A)Includes $426.5 million and $526.5 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.
(B)Includes $296.1 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 $72.5 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)
September 30, 2023
Servicer advance investments$361,325 $387,669 6.2 %7.1 %8.6
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
September 30, 2023
Servicer advance investments(D)
$15,654,419 $314,165 2.0 %$275,952 84.1 %81.9 %7.5 %6.9 %
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:
September 30, 2023December 31, 2022
Principal and interest advances$55,058 $66,892 
Escrow advances (taxes and insurance advances)142,995 155,438 
Foreclosure advances116,112 119,298 
Total$314,165 $341,628 
Summary of Servicer Advances Reserve
The following table summarizes servicer advances reserve:
Balance at December 31, 2022$65,428 
Provision58,214 
Write-offs(14,851)
Balance at September 30, 2023$108,791