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RESIDENTIAL MORTGAGE LOANS (Tables)

9 Months Ended

Sep. 30, 2023

Summary of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO

The following table summarizes residential mortgage loans outstanding by loan type:


	September 30, 2023								December 31, 2022
Loan Type	Outstanding Face Amount		Carrying 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	%	4.7	72,425
Acquired non-performing loans(C)	27,042		21,454		324	9.3	%	3.2	28,602
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	%	23.8	340,342
Originated loans	1,579,012		1,585,967		5,593	6.9	%	29.2	2,066,798
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 mortgage loans receivable outstanding by loan purpose as of September 30, 2023:


	Carrying Value(A)		% of Portfolio		Loan Count	% of Portfolio		Weighted Average Yield		Weighted Average Original Life (Months)	Weighted Average Committed Loan Balance to Value(B)
Construction	$	947,754	44.3	%	422	30.0	%	9.8	%	16.1	75.0% / 63.3%
Bridge	925,859		43.4	%	682	48.6	%	9.3	%	25.1	69.9%
Renovation	261,811		12.3	%	300	21.4	%	9.9	%	14.0	79.4% / 68.2%
	$	2,135,424	100.0	%	1,404	100.0	%	9.6	%	19.7	N/A

(A)Mortgage loans receivable are carried at fair value. See Note 19 regarding fair value measurements.

(B)Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) and loan-to-after-repair-value (“LTARV”) for construction and renovation loans.

The following table summarizes the activity for mortgage loans receivable:


Balance at December 31, 2022	$	2,064,028
Purchases	146,631
Initial loan advances	975,677
Construction holdbacks and draws	491,370
Paydowns and payoffs	(1,542,459)
Purchased loans discount amortization	177



Balance at September 30, 2023	$	2,135,424

Notes and Loans Receivable — The following table summarizes the activity for notes and loans receivable:


	Notes Receivable		Loans Receivable		Total
Balance at December 31, 2022	$	—	$	94,401	$	94,401
Fundings	35,000		—		35,000
Payment in Kind	—		4,422		4,422
Proceeds from repayments	(1,750)		(68,945)		(70,695)

Fair value adjustments due to:
Changes in instrument-specific credit risk	—		—		—
Other factors	—		231		231
Balance at September 30, 2023	$	33,250	$	30,109	$	63,359

Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans

The following table summarizes the geographic distribution of the underlying residential mortgage loans:


	Percentage of Total Outstanding Unpaid Principal Amount
State Concentration	September 30, 2023		December 31, 2022
Florida	11.4	%	10.9	%
California	9.3	%	10.2	%
New York	8.5	%	6.8	%
Texas	8.0	%	8.9	%
Georgia	4.1	%	4.2	%
New Jersey	3.8	%	3.8	%
Illinois	3.6	%	3.6	%
Indiana	3.2	%	3.2	%
Maryland	3.2	%	3.1	%
Pennsylvania	2.8	%	2.7	%
Other U.S.	42.1	%	42.6	%
	100.0	%	100.0	%

Summary of Performing Loans Past Due

The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate carrying value of loans:


	September 30, 2023						December 31, 2022
Days Past Due	UPB		Carrying Value		Carrying Value Over (Under) UPB		UPB		Carrying Value		Carrying Value Over (Under) UPB

90+	$	305,579	$	266,341	$	(39,237)	$	468,147	$	423,321	$	(44,826)

The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate carrying value of mortgage loans receivable:


	September 30, 2023						December 31, 2022
Days Past Due	UPB		Carrying Value		Carrying Value Over (Under) UPB		UPB		Carrying Value		Carrying Value Over (Under) UPB
Current	$	2,105,989	$	2,104,383	$	(1,606)	$	2,064,028	$	2,064,028	$	—
90+	31,045		31,041		(4)		—		—		—

The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate carrying value of notes and loans receivable:


	September 30, 2023						December 31, 2022
Days Past Due	UPB		Carrying Value(A)		Carrying Value Over (Under) UPB		UPB		Carrying Value(A)		Carrying Value Over (Under) UPB
Current	$	133,191	$	63,359	$	(69,832)	$	157,745	$	94,401	$	(63,344)
90+	—		—		—		—		—		—

(A)Notes and loans receivable are carried at fair value. See Note 19 regarding fair value measurements.

Summary of Loans Held For Sale, Fair Value

The following table summarizes the activity for residential mortgage loans:


	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		Total
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 fundings	1,269		—		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 risk	4,000		—		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).

Summary of 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,
	2023		2022		2023		2022
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 value	1,206		1,613		4,594		5,429
Loans held-for-sale, at fair value	43,875		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 value	4,823		3,793		14,342		9,955
Loans held-for-sale, at lower of cost or fair value	857		841		2,746		2,513
Loans held-for-sale, at fair value	44,531		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

Summary of Originated Mortgage Loans

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,
	2023		2022		2023		2022
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.