Rithm Capital enters into economic hedges including interest rate swaps, to-be-announced forward contract positions (“TBAs”) and treasury short sales to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. Rithm Capital’s credit risk with respect to economic hedges is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

Rithm Capital may at times hold TBAs or short treasury positions in order to mitigate Rithm Capital’s interest rate risk on certain specified MBSs and MSRs. Amounts or obligations owed by or to Rithm Capital are subject to the right of set-off with the counterparty. As part of executing these trades, Rithm Capital may enter into agreements with its counterparties that govern the transactions for the purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements and various other provisions. Changes in the value of economic hedges designed to protect against MBSs and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below.

As of March 31, 2024, Rithm Capital also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific residential mortgage loans at prices which are fixed as of the forward commitment date. Rithm Capital enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and residential mortgage loans that are not covered by residential mortgage loan sale commitments.

Derivatives and economic hedges are recorded at fair value and presented in Other assets or Accrued expenses and Other liabilities on the Consolidated Balance Sheets, as follows:


	March 31, 2024		December 31, 2023
Derivative and hedging assets
Interest rate swaps(A)	$	—	$	106
IRLCs	32,063		26,482
TBAs	7,492		1,492
Treasury short sales(B)	62,672		—
	$	102,227	$	28,080
Derivative and hedging liabilities
Interest rate swaps(A)	—		—
IRLCs	835		2,678
TBAs	15,654		49,087
Treasury short sales(B)	—		63,766
Other commitments(C)	17,097		—
	$	33,586	$	115,531

(C)During the quarter, a subsidiary of the Company entered into an agreement with an affiliate, which could result in the subsidiary being required to make a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate, subject to a maximum amount of $25.5 million. The agreement is classified as a derivative liability and measured at fair value.


	March 31, 2024		December 31, 2023
Interest rate swaps(A)	$	700,000	$	7,979,988
IRLCs	3,734,933		2,757,060
Treasury short sales(B)	2,985,000		1,800,000
TBAs, short position(C)	7,918,900		6,013,100
Other commitments	23,021		—

(A)Includes $700.0 million notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 4.6% and $0.0 million notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of March 31, 2024. Includes $8.0 billion notional of receive SOFR/pay fixed of 2.5% and $0.0 billion notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of December 31, 2023.


	Three Months Ended March 31,
	2024		2023





Gain on originated residential mortgage loans, HFS, net(A)
IRLCs	$	7,485	$	26,240
TBAs	37,910		(57,983)
Interest rate swaps	—		(1,247)
	$	45,395	$	(32,990)
Realized and unrealized gains (losses), net(B)
Interest rate swaps	29,161		(143,625)
TBAs	1,523		(7,381)
Treasury short sales(C)	28,345		—
Other commitments	(17,097)		—
	$	41,932	$	(151,006)

Total gain (loss)	$	87,327	$	(183,996)

(B)Excludes $15.5 million loss and $9.9 million gain for the three months ended March 31, 2024 and 2023, respectively, included within Gain on originated residential mortgage loans, HFS, net (Note 8).


	As of and for the Three Months Ended March 31, 2024
	Face		Sale proceeds	Fair value		Unrealized gain (loss) position		Realized & unrealized gain (loss)(A)		Reverse repurchase agreements		Net asset (liability)(B)
Short sale liabilities(C)	$	1,485,000	1,484,652	$	1,487,320	$	(2,668)	$	23,997	$	1,492,268	$	4,948
Covered short sale liabilities(D)	1,500,000		N/A	1,505,156		N/A		4,348		1,548,488		43,332
Total	$	2,985,000		$	2,992,476			$	28,345	$	3,040,756	$	48,280

(D)Face and fair value of liability is equal to face and fair value of treasuries presented as part of real estate and other securities on the Consolidated Balance Sheets.