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RESIDENTIAL MORTGAGE LOANS
 3 Months Ended
Mar. 31, 2024
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS RESIDENTIAL MORTGAGE LOANS
Rithm Capital accumulates its residential mortgage loan portfolio through originations, bulk acquisitions and the execution of call rights. A majority of the residential mortgage loan portfolio is serviced by Newrez.

Loans are accounted for based on Rithm Capital’s strategy and intent for the loan and on whether the loan was credit-impaired at the date of acquisition. As of March 31, 2024, Rithm Capital accounts for loans based on the following categories:

•Loans held-for-investment (“HFI”), at fair value
•Loans held-for-sale (“HFS”), at lower of cost or fair value
•Loans HFS, at fair value

The following table summarizes residential mortgage loans outstanding by loan type:
March 31, 2024December 31, 2023
Outstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Total residential mortgage loans, HFI, at fair value$434,474 $365,398 8,070 8.1 %5.2$379,044 
Acquired performing loans(B)
64,851 54,056 1,841 8.0 %5.357,038 
Acquired non-performing loans(C)
24,609 20,359 302 8.5 %6.021,839 
Total residential mortgage loans, HFS, at lower of cost or market
$89,460 $74,415 2,143 8.1 %5.5$78,877 
Acquired performing loans(B)(D)
$542,335 $490,552 2,979 5.7 %15.8$400,603 
Acquired non-performing loans(C)(D)
294,077 271,316 1,501 4.8 %23.1204,950 
Originated loans2,864,943 2,929,832 9,029 6.8 %29.51,856,312 
Total residential mortgage loans, HFS, at fair value
$3,701,355 $3,691,700 13,509 6.5 %27.0$2,461,865 
Total residential mortgage loans, HFS, at fair value and lower of cost or fair value
$3,790,815 $3,766,115 $2,540,742 
(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 March 31, 2024, Rithm Capital has placed non-performing loans, HFS on non-accrual status, except as described in (D) below.
(D)Includes $228.6 million and $222.7 million UPB of Ginnie Mae early buyout options 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 residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationMarch 31, 2024December 31, 2023
California10.3 %8.3 %
Florida9.8 %9.3 %
Texas8.2 %9.5 %
New York6.3 %8.0 %
Georgia4.8 %4.9 %
North Carolina3.7 %3.2 %
Illinois3.6 %3.5 %
New Jersey3.6 %3.9 %
Virginia3.4 %3.6 %
Maryland3.2 %3.3 %
Other US43.1 %42.5 %
100.0 %100.0 %

See Note 18 regarding the financing of residential mortgage loans.

The following table summarizes the difference between the aggregate UPB and the aggregate carrying value of residential mortgage loans 90 days or more past due:
March 31, 2024December 31, 2023
Days Past DueUPBCarrying ValueCarrying Value Over (Under) UPBUPBCarrying ValueCarrying Value Over (Under) UPB
90+$382,646 $344,488 $(38,158)$313,122 $281,556 $(31,566)

The following table summarizes the activity for residential mortgage loans for the period:
Loans HFI, at Fair ValueLoans HFS, at Lower of Cost or Fair ValueLoans HFS, at Fair ValueTotal
Balance at December 31, 2023
$379,044 $78,877 $2,461,865 $2,919,786 
Originations — — 10,869,683 10,869,683 
Sales— — (10,134,451)(10,134,451)
Purchases/additional fundings— — 502,624 502,624 
Proceeds from repayments(11,854)(3,330)(10,029)(25,213)
Transfer of loans (to) from other assets— (364)6,635 6,271 
Transfer of loans to REO(994)(561)(2,204)(3,759)
Impairment (loss) reversal— (207)— (207)
Fair value adjustments due to:
Changes in instrument-specific credit risk(3,475)— (390)(3,865)
Other factors2,677 — (2,033)644 
Balance at March 31, 2024
$365,398 $74,415 $3,691,700 $4,131,513 
Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
March 31,
20242023
Interest income:
Loans HFI, at fair value$7,857 $9,509 
Loans HFS, at lower of cost or fair value
861 1,504 
Loans HFS, at fair value
36,016 37,286 
Total interest income$44,734 $48,299 
Interest expense:
Loans HFI, at fair value4,224 4,670 
Loans HFS, at lower of cost or fair value
716 907 
Loans HFS, at fair value
37,238 42,779 
Total interest expense$42,178 $48,356 
Net interest income$2,556 $(57)

Gain on Originated Residential Mortgage Loans, HFS, Net

Newrez 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, HFS, net in the Consolidated Statements of Operations.

The following table summarizes the components of gain on originated residential mortgage loans, HFS, net:
Three Months Ended
March 31,
20242023
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(117,026)$(34,314)
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
(15,524)9,904 
MSRs retained on transfer of residential mortgage loans(C)
215,939 140,513 
Other(D)
6,493 (5,443)
Realized gain on sale of originated residential mortgage loans, net$89,882 $110,660 
Change in fair value of residential mortgage loans14,268 31,598 
Change in fair value of interest rate lock commitments (Note 17)7,485 26,240 
Change in fair value of derivative instruments (Note 17)37,910 (59,230)
Gain on originated residential mortgage loans, HFS, net
$149,545 $109,268 
(A)Includes residential mortgage loan origination fees of $177.7 million and $68.9 million for the three months ended March 31, 2024 and 2023, 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 MSRs upon loan sales with servicing retained.
(D)Includes fees for services associated with the residential mortgage loan origination process.