REAL ESTATE AND OTHER SECURITIES

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

“Agency” RMBS are RMBS issued by the GSEs or Ginnie Mae. “Non-Agency” RMBS and other securities are issued by either public trusts or private label securitization entities.

The following table summarizes real estate and other securities by designation:


	December 31, 2023
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Coupon(B)		Yield		Life (Years)(C)
Securities designated as available for sale (“AFS”):
Agency(D)	$	74,639	$	—	$	—	$	65,496	1	3.5	%	3.5	%	10.8
Non-Agency(E)(F)	2,477,170		68,624		(24,488)		363,157		331	3.5	%	3.9	%	5.4
Securities measured at fair value through net income (“FVO”):
Agency(D)	8,515,621		121,771		(5,666)		8,467,634		43	5.2	%	5.2	%	8.2
Non-Agency(E)(F)	16,543,262		66,470		(80,463)		861,377		452	3.5	%	6.5	%	7.8
Total / Weighted Average	$	27,610,692	$	256,865	$	(110,617)	$	9,757,664	827	5.0	%	5.2	%	8.1

	December 31, 2022
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Coupon(B)		Yield		Life (Years)(C)
RMBS designated as AFS:
Agency(D)	$	80,261	$	—	$	—	$	73,439	1	3.5	%	3.5	%	8.9
Non-Agency(E)(F)	2,631,852		72,354		(33,684)		397,076		333	3.5	%	3.5	%	6.4
RMBS measured at FVO:
Agency(D)	7,383,261		91,770		(43,826)		7,264,978		35	5.0	%	5.0	%	8.6
Non-Agency(E)(F)	15,275,560		56,213		(91,369)		553,784		341	2.7	%	4.8	%	7.5
Total / Weighted Average	$	25,370,934	$	220,337	$	(168,879)	$	8,289,277	710	4.8	%	4.9	%	8.4

(A)Fair value is equal to the carrying value for all securities. See Note 20 regarding the fair value measurements.

(B)Excludes residual bonds and certain other Non-Agency bonds, with a carrying value of $30.5 million and $1.0 million, respectively, for which no coupon payment is expected.

(C)Based on the timing of expected principal reduction on the assets.

(D)The total outstanding face amount was $8.6 billion and $7.5 billion for fixed rate securities as of December 31, 2023 and 2022, respectively.

(E)The total outstanding face amount was $7.8 billion (including $6.9 billion of residual and fair value option notional amount) and $8.4 billion (including $7.5 billion of residual and fair value option notional amount) for fixed-rate securities and $11.2 billion (including $10.7 billion of residual and fair value option notional amount) and $9.5 billion (including $9.3 billion of residual and fair value option notional amount) for floating rate securities as of December 31, 2023 and 2022, respectively.

(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 AFS consumer loans and (iii) corporate debt and/or collateralized loan obligations which Rithm Capital elected to carry at fair value and record changes to valuation through earnings. These securities are detailed in the table below:


			Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Gains		Losses		Carrying Value		Number of Securities	Coupon		Yield		Life (Years)
December 31, 2023

Consumer loan bonds	$	239	$	640	$	—	$	640	1	—		—		1.7
Fair value option securities
Interest-only securities	10,949,006		35,711		(30,379)		143,966		148	0.8	%	10.1	%	2.4
Servicing strips	4,000,153		16,425		(3,197)		46,689		61	0.5	%	13.2	%	4.0
Commercial mortgage-backed securities	3,845		91		—		3,812		2	7.9	%	8.6	%	1.4
CLOs	244,336		2,896		(44)		226,486		88	5.7	%	6.1	%	9.1
December 31, 2022
Corporate Debt	$	514	$	—	$	—	$	465	2	8.2	%	9.5	%	2.2
Consumer loan bonds	518		522		—		590		3	N/A		N/A		0.7

Fair value option securities
Interest-only securities	9,652,902		29,681		(31,714)		160,160		141	0.9	%	5.4	%	3.2
Servicing strips	4,338,099		17,501		(4,105)		59,017		61	0.7	%	9.9	%	4.2

The following table summarizes Real Estate and Other Securities, Held to Maturity:


	December 31, 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	$	25,000	$	24,553	$	24,566	$	13	1	5.4	%	0.3	$	—

The following table summarizes purchases and sales of Real Estate and Other Securities:


	Year Ended December 31,
	2023						2022
(in millions)	Treasury		Agency		Non-Agency		Treasury		Agency		Non-Agency
Purchases
Face	$	1,055.0	$	3,373.7	$	2,816.9	$	—	$	16,479.3	$	5,018.1
Purchase price	1,028.1		3,350.6		347.2		—		16,314.6		256.5

Sales
Face	$	—	$	1,691.5	$	—	$	—	$	16,516.0	$	15.3
Amortized cost	—		1,671.7		0.2		—		16,759.7		13.6
Sale price	—		1,614.7		—		—		15,026.3		12.0
Gain (loss) on sale	—		(57.0)		(0.2)		—		(1,733.4)		(1.6)

As of December 31, 2023, Rithm Capital had no unsettled trades. 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.

Prior to 2023, Rithm Capital 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.

The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of December 31, 2023:


			Amortized Cost Basis											Weighted Average
Securities in an Unrealized Loss Position	Outstanding Face Amount		Before Credit Impairment		Credit Impairment(A)		After Credit Impairment		Gross Unrealized Losses		Carrying Value		Number of Securities	Coupon		Yield		Life (Years)
Less than 12 Months	$	54,500	$	52,630	$	—	$	52,630	$	(3,272)	$	49,358	54	3.0	%	3.8	%	3.7
12 or More Months	308,038		284,426		(10,152)		274,274		(21,216)		253,058		136	3.7	%	3.8	%	7.3
Total / Weighted Average	$	362,538	$	337,056	$	(10,152)	$	326,904	$	(24,488)	$	302,416	190	3.6	%	3.8	%	6.7

(A)Represents credit impairment on securities in an unrealized loss position as of December 31, 2023.

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:


	December 31, 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	65,697		66,377		(10,152)		(680)		77,843		78,101		(10,816)		(258)
Non-credit impaired securities	236,719		260,527		—		(23,808)		271,405		304,831		—		(33,426)
Total debt securities in an unrealized loss position	$	302,416	$	326,904	$	(10,152)	$	(24,488)	$	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.

(B)Represents unrealized losses on securities that are due to non-credit factors.

(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, 2021	$	3,471	$	—	$	3,471
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	128		6,676		6,804
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	—		—		—
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	541		—		541
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
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	(2,736)		2,293		(443)
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
Allowance for credit losses on available-for-sale debt securities at December 31, 2023	$	1,183	$	8,969	$	10,152

See Note 19 regarding the financing of Real Estate and Other Securities.