EXCESS MORTGAGE SERVICING RIGHTS (Tables)

3 Months Ended

Mar. 31, 2024

Transfers and Servicing [Abstract]

Schedule of Components of Excess MSRs and Carrying Value of Direct Investments in Excess MSRs

The table below summarizes the components of Excess MSRs:

	March 31, 2024		December 31, 2023
Direct investments in Excess MSRs	$	199,363	$	208,385
Excess MSR joint ventures	55,748		62,765
Excess MSRs, at fair value	$	255,111	$	271,150

The following table presents activity related to the carrying value of direct investments in Excess MSRs:

	Total(A)
Balance as of December 31, 2023	$	208,385
Interest income	2,446
Other income	—
Proceeds from repayments	(9,546)
Proceeds from sales	—
Change in fair value	(1,922)
Balance as of March 31, 2024	$	199,363

(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, 2023	$	8,405,938
Purchases, net	—
Originations(A)	215,939
Sales	671
Change in fair value due to:
Realization of cash flows(B)	(116,839)
Change in valuation inputs and assumptions	201,014
Balance at March 31, 2024	$	8,706,723

(A)Represents MSRs retained on the sale of originated residential mortgage loans.

(B)Based on the paydown of the underlying residential mortgage loans.

The following table summarizes MSRs and MSR financing receivables by type as of March 31, 2024:

	UPB of Underlying Mortgages		Weighted Average Life (Years)(A)	Carrying Value(B)
Agency	$	348,953,092	7.8	$	5,477,522
Non-Agency	47,806,353		6.8	666,958
Ginnie Mae(C)	129,914,381		7.2	2,562,243
Total/Weighted Average	$	526,673,826	7.5	$	8,706,723

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.

(B)Represents fair value. As of March 31, 2024, 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 March 31, 2024, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.

Schedule of Direct Investments in Excess MSRs and Changes in Fair Value of Investments of Excess MSR

The following summarizes direct investments in Excess MSRs:

March 31, 2024										December 31, 2023
UPB of Underlying Mortgages		Interest in Excess MSR			Weighted Average Life Years(A)	Amortized Cost Basis		Carrying Value(B)		Carrying Value(B)
		Rithm Capital(C, D)	Former Manager-managed funds	Mr. Cooper
$	41,899,426	32.5% – 100.0% (56.4%)	0.0% – 50.0%	0.0% – 35.0%	6.0	$	174,621	$	199,363	$	208,385

(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.

(B)Carrying value represents the fair value of the pools and recapture agreements, as applicable.

(C)Amounts in parentheses represent weighted averages.

(D)Rithm Capital also invested in related servicer advance investments, including the basic fee component of the related MSR as of March 31, 2024 (Note 6) on $14.9 billion unpaid principal balance (“UPB”) underlying these Excess MSRs.

Changes in fair value of Excess MSR investments consist of the following:

	Three Months Ended March 31,
	2024		2023
Original and Recaptured Pools	$	(1,922)	$	(9,818)

Schedule of Financial Results of the Excess MSR Joint Ventures, Accounted for Under the Equity Method Investees and Activity of Investments in Equity Method Investees

The following tables summarize the financial results of the Excess MSR joint ventures, accounted for under the equity method of accounting:

	March 31, 2024			December 31, 2023
Excess MSRs	$	111,664		$	114,552
Other assets	519			11,664
Other liabilities	(687)			(687)
Equity	$	111,496		$	125,529
Rithm Capital’s investment	$	55,748		$	62,765
Rithm Capital’s percentage ownership	50.0		%	50.0		%

	Three Months Ended March 31,
	2024		2023
Interest income	$	3,454	$	2,404
Other income (loss)	(3,330)		(5,225)
Expenses	(14)		(8)
Net income (loss)	$	110	$	(2,829)

The following table summarizes the activity of investments in equity method investees:

Balance at December 31, 2023	$	62,765
Distributions of earnings from equity method investees	(107)
Distributions of capital from equity method investees	(6,965)
Change in fair value of investments in equity method investees	55
Balance at March 31, 2024	$	55,748

Schedule of Excess MSR Investments Made through Equity Method Investees

The following is a summary of Excess MSR investments made through equity method investees:

	As of March 31, 2024
	Unpaid Principal Balance		Investee Interest in Excess MSR(A)		Rithm Capital Interest in Investees		Amortized Cost Basis(B)		Carrying Value(C)		Weighted Average Life (Years)(D)
Agency
Original and Recaptured Pools	$	16,678,050	66.7	%	50.0	%	$	92,197	$	111,664	5.2

(A)The remaining interests are held by Mr. Cooper.

(B)Represents the amortized cost basis of the equity method investees in which Rithm Capital holds a 50% interest.

(C)Represents the carrying value of the Excess MSRs held in equity method investees, in which Rithm Capital holds a 50% interest. Carrying value represents the fair value of the pools, as applicable.

(D)Represents the weighted average expected timing of the receipt of expected cash flows of each investment.