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REAL ESTATE AND OTHER SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
Schedule of Real Estate and Other Securities by Designation and Purchases and Sales of Real Estate and Other Securities
The following table summarizes real estate and other securities by designation:
March 31, 2024December 31, 2023
Gross UnrealizedWeighted Average
Outstanding Face AmountGainsLosses
Carrying Value(A)
Number of Securities
Coupon(B)
Yield
Life (Years)(C)
Carrying
Value(A)
Securities designated as available for sale (“AFS”):
Agency(D)
$73,387 $— $— $64,331 1 3.5 %3.5 %10.8$65,496 
Non-Agency(E)(F)
2,439,560 70,861 (25,123)356,232 330 3.6 %4.0 %5.6363,157 
Securities measured at fair value through net income:
Agency(D)
9,678,119 41,444 (24,684)9,501,879 46 5.1 %5.1 %11.08,467,634 
US Treasury(D)
4,500,000 — (8,759)4,472,656 7 4.3 %4.3 %4.1— 
Non-Agency(E)(F)
17,022,510 71,080 (83,634)894,216 570 4.1 %7.3 %7.7861,377 
Total/Weighted Average33,713,576 183,385 (142,200)15,289,314 954 4.8 %5.0 %8.7$9,757,664 
(A)Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements.
(B)Excludes residual bonds with a carrying value of $30.1 million 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 $14.3 billion for fixed-rate securities as of March 31, 2024.
(E)The total outstanding face amount was $7.7 billion (including $6.7 billion of residual) for fixed-rate securities and $11.8 billion (including $11.3 billion of residual) for floating rate securities as of March 31, 2024.
(F)Includes other asset-backed securities consisting primarily of (i) collateralized loan obligations backed by corporate debt and commercial MBSs (fair value option securities), (ii) bonds backed by consumer loans (AFS securities), and (iii) interest-only securities and servicing strips (AFS or fair value option securities). These securities are detailed in the table below:
Gross UnrealizedWeighted Average
Asset TypeOutstanding Face AmountGainsLossesCarrying ValueNumber of SecuritiesCouponYieldLife (Years)
Consumer loan bonds
280 259 — 259 1 N/AN/A1.5
Interest-only securities11,490,623 38,577 (29,862)149,463 151 1.0 %11.4 %2.3
Servicing strips3,930,230 14,107 (2,714)41,779 61 0.3 %13.1 %3.7
Commercial MBSs3,845 194 — 3,901 2 7.9 %7.9 %1.2
CLOs215,412 4,425 (2,403)211,996 194 5.5 %8.7 %8.6
The following table summarizes purchases and sales of real estate and other securities:
Three Months Ended March 31,
20242023
(in millions)
Treasury(A)
AgencyNon-Agency
Treasury(A)
AgencyNon-Agency
Purchases
Face$4,800.0 $1,287.0 $904.0 $— $2,162.4 $25.2 
Purchase price4,773.9 1,255.9 66.8 — 2,154.4 2.4 
Sales
Face$— $— $— $— $1,462.4 $— 
Amortized cost— — — — 1,442.8 — 
Sale price— — — — 1,395.9 — 
Realized gain (loss)— — — — (46.9)— 
(A)Excludes treasury short sales. Refer to Note 17 for information regarding short sales.
Schedule of Real Estate and Other Securities, Held to Maturity
The following table summarizes real estate and other securities, held to maturity:
March 31, 2024December 31, 2023
Weighted Average
Outstanding Face AmountAmortized Cost / Carrying ValueFair ValueUnrecognized Gains/(Losses)Number of SecuritiesYieldLife (Years)Carrying
Value
Treasury Bills Designated as Held to Maturity (HTM):
Treasury$25,000 $24,885 $24,886  $1 1 5.4 %0.1$24,553 
Schedule of RMBS Designated as AFS in an Unrealized Loss Position
The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of March 31, 2024:
March 31, 2024December 31, 2023
Securities in an Unrealized Loss PositionOutstanding Face AmountAmortized Cost BasisGross Unrealized LossesCarrying ValueNumber of SecuritiesWeighted AverageCarrying Value
Before Credit Impairment
Credit Impairment(A)
After Credit ImpairmentCouponYieldLife
(Years)
Less than 12 Months
$59,123 $55,154 $(21)$55,133 $(4,486)$50,647 39 3.1 %4.3 %6.6$49,358 
12 or More Months
298,427 277,365 (10,663)266,702 (20,637)246,065 151 3.7 %3.7 %6.5253,058 
Total/Weighted Average
$357,550 $332,519 $(10,684)$321,835 $(25,123)$296,712 190 3.6 %3.8 %6.5$302,416 
(A)Represents credit impairment on securities in an unrealized loss position as of March 31, 2024.
Rithm Capital performed an assessment of all RMBS designated as AFS that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:
March 31, 2024December 31, 2023
Gross Unrealized LossesGross Unrealized Losses
RMBS Designated as AFSFair ValueAmortized Cost Basis After Credit Impairment
Credit(A)
Non-Credit(B)
Fair ValueAmortized Cost Basis After Credit Impairment
Credit(A)
Non-Credit(B)
Securities intended to sell$— $— $— $— $— $— $— $— 
Securities that are more likely than not required to be sold(C)
— — — — — — — — 
Securities with no intent to sell and are not more likely than not required to be sold:
Credit impaired securities64,525 64,591 (10,684)(66)65,697 66,377 (10,152)(680)
Non-credit impaired securities232,187 257,244 — (25,057)236,719 260,527 — (23,808)
Total debt securities in an unrealized loss position$296,712 $321,835 $(10,684)$(25,123)$302,416 $326,904 $(10,152)$(24,488)
(A)Recognized 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 included in other comprehensive income (loss) in the Company’s Consolidated Statements of Comprehensive Income.
(C)Rithm Capital may, at times, be more likely than not 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 makes its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.
Schedule of Activity Related to the Allowance for Credit Losses on RMBS Designated as AFS
The following table summarizes the activity for the period 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 AFSPurchased Credit DeterioratedNon-Purchased Credit DeterioratedTotal
Allowance for credit losses on available-for-sale debt securities at December 31, 2023
$1,183 $8,969 $10,152 
Additions to the allowance for credit losses on securities for which credit losses were not previously recognized21 — 21 
Additions to the allowance for credit losses arising from purchases of AFS 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 for securities intended to be sold or are more likely than not required to be sold before recovery of its amortized cost basis— — — 
Additional increases (decreases) to the allowance for credit losses on securities with credit losses, or an allowance recognized in a previous period595 (84)511 
Write-offs charged against the allowance— — — 
Recoveries of amounts previously written off— — — 
Allowance for credit losses on available-for-sale debt securities at March 31, 2024
$1,799 $8,885 $10,684