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RESIDENTIAL MORTGAGE LOANS (AS RESTATED)
 12 Months Ended
Dec. 31, 2023
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS (AS RESTATED) RESIDENTIAL MORTGAGE LOANS (AS RESTATED)
Rithm Capital accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. Rithm Capital, through its Mortgage Company, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying loans.

Loans are accounted for based on Rithm Capital’s strategy for the loan and on whether the loan was credit-impaired at the date of acquisition. As of December 31, 2023, 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
•Investments of consolidated CFEs represent mortgage loans held by certain private label mortgage securitization trusts where Rithm Capital is determined to be a primary beneficiary and, as a result, consolidates such trusts. The assets are measured based on the fair value of the more observable liabilities of such trusts under the CFE election. The assets can only be used to settle obligations and liabilities of such trusts for which creditors do not have recourse to Rithm Capital.

The following table summarizes residential mortgage loans outstanding by loan type:
December 31, 2023
(As Restated)
December 31, 2022
(As Restated)
Outstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Investments of consolidated CFEs(E)
$3,252,463 $3,038,587 9,012 5.3 %26.8$2,431,867 
Residential mortgage loans, held-for-investment, at fair value448,060 379,044 8,328 8.1 %5.5452,519 
Acquired performing loans(B)
67,955 57,038 1,887 8.1 %5.972,425 
Acquired non-performing loans(C)
26,381 21,839 326 8.5 %5.628,602 
Total residential mortgage loans, held-for-sale, at lower of cost or market$94,336 $78,877 2,213 8.2 %5.8$101,027 
Acquired performing loans(B)(D)
423,644 400,603 1,972 5.7 %16.4890,131 
Acquired non-performing loans(C)(D)
220,962 204,950 1,135 4.6 %25.2340,342 
Originated loans1,816,318 1,856,312 5,850 7.1 %29.42,066,798 
Total residential mortgage loans, held-for-sale, at fair value$2,460,924 $2,461,865 8,957 6.6 %26.8$3,297,271 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$2,555,260 $2,540,742 11,170 $3,398,298 
(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 December 31, 2023, Rithm Capital has placed non-performing loans, held-for-sale on non-accrual status, except as described in (D) below.
(D)Includes $224.5 million and $198.2 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.
(E)Residential mortgage loans of consolidated CFEs are classified as Level 2 in the fair value hierarchy and valued based on the fair value of the more observable financial liabilities under the CFE election.
The following table summarizes the geographic distribution of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
Percentage of Total Outstanding Unpaid Principal Amount
December 31,
State Concentration20232022
Texas9.5 %8.9 %
Florida9.3 %10.9 %
California8.3 %10.2 %
New York8.0 %6.8 %
Georgia4.9 %4.2 %
New Jersey3.9 %3.8 %
Virginia3.6 %2.7 %
Illinois3.5 %3.6 %
Maryland3.3 %3.1 %
North Carolina3.2 %2.5 %
Other U.S.42.5 %43.3 %
100.0 %100.0 %

See Note 20 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, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets which are 90 days or more past due:
December 31,
20232022
Days Past DueUPBCarrying ValueCarrying Value Over (Under) UPBUPBCarrying ValueCarrying Value Over (Under) UPB
90+$313,122 $281,556 $(31,566)$468,147 $423,321 $(44,826)
The following table, as restated, summarizes the activity of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
Loans Held-for-Investment, at Fair ValueLoans Held-for-Sale, at Lower of Cost or Fair ValueLoans Held-for-Sale, at Fair ValueTotal
Balance at December 31, 2021
$569,933 $132,921 $11,214,924 $11,917,778 
Originations— — 67,406,228 67,406,228 
Sales— (4,426)(80,159,967)(80,164,393)
Purchases/additional fundings7,182 — 6,880,225 6,887,407 
Proceeds from repayments(80,661)(17,777)(394,613)(493,051)
Transfer of loans to other assets(A)
— — (1,514,111)(1,514,111)
Transfer of loans to REO(4,956)(1,386)(752)(7,094)
Transfers of loans to held-for-sale(1,580)— — (1,580)
Transfers of loans to from held-for-investment— — 1,582 1,582 
Valuation provision on loans— (8,305)— (8,305)
Fair value adjustments due to:
Changes in instrument-specific credit risk(33,086)— (36,204)(69,290)
Other factors(4,313)— (100,041)(104,354)
Balance at December 31, 2022 (As Restated)
$452,519 $101,027 $3,297,271 $3,850,817 
Originations — — 37,123,264 37,123,264 
Sales— (6,946)(37,500,199)(37,507,145)
Purchases/additional fundings1,269 — 375,435 376,704 
Proceeds from repayments(51,195)(10,773)(181,166)(243,134)
Transfer of loans to other assets(A)
— 286 (696,228)(695,942)
Transfer of loans to REO(7,148)(2,858)(1,459)(11,465)
Transfers of loans to held-for-sale(30,556)— — (30,556)
Transfers of loans to from held-for-investment— — 30,556 30,556 
Valuation (provision) reversal on loans— (1,859)— (1,859)
Fair value adjustments due to:
Changes in instrument-specific credit risk7,540 — 4,639 12,179 
Other factors6,615 — 9,752 16,367 
Balance at December 31, 2023 (As Restated)
$379,044 $78,877 $2,461,865 $2,919,786 
(A)Includes loans transferred to consolidated CFEs and receivable modifications resulting in transfers between other assets and residential mortgage loans.
Net Interest Income

The following table summarizes the net interest income of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
December 31,
202320222021
Interest income:
Loans held-for-investment, at fair value$34,658 $45,287 $44,369 
Loans held-for-sale, at lower of cost or fair value5,804 6,898 23,280 
Loans held-for-sale, at fair value159,233 211,238 260,062 
Total interest income199,695 263,423 327,711 
Interest expense:
Loans held-for-investment, at fair value18,893 17,583 16,919 
Loans held-for-sale, at lower of cost or fair value3,615 3,402 21,333 
Loans held-for-sale, at fair value(A)
161,901 181,071 159,413 
Total interest expense184,409 202,056 197,665 
Net interest income(B)
$15,286 $61,367 $130,046 
(A)Includes interest expense attributed to SFR properties in the years ended December 31, 2022 and December 31, 2021.
(B)Excludes consolidated CFEs’ interest income and interest expense included in Realized and unrealized gains (losses) on the Consolidated Statements of Operations.

Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net

The Mortgage Company 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, held-for-sale, net in the Consolidated Statements of Operations.

The following table summarizes the components of gain on originated residential mortgage loans, held-for-sale, net:
Year Ended December 31,
2023
(As Restated)		2022
(As Restated)		2021
(As Restated)
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(392,137)$(1,099,941)$421,004 
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
73,476 1,285,219 240,610 
MSRs retained on transfer of residential mortgage loans(C)
786,655 1,222,742 1,331,626
Other(D)
14,622 33,551 107,249
Realized gain on sale of originated residential mortgage loans, net$482,616 $1,441,571 $2,100,489 
Change in fair value of residential mortgage loans99,877 (271,530)(137,503)
Change in fair value of interest rate lock commitments (Note 19)
15,018 (102,992)(293,699)
Change in fair value of derivative instruments (Note 19)
(64,034)25,700 118,564 
Gain on originated residential mortgage loans, held-for-sale, net$533,477 $1,092,749 $1,787,851 
(A)Includes residential mortgage loan origination fees of $0.4 billion, $0.6 billion and $2.3 billion in the years ended December 31, 2023, 2022 and 2021, 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.
For a discussion of the restatement, refer to Notes 3 and 28.