EXCESS MORTGAGE SERVICING RIGHTS (Tables)

12 Months Ended

Dec. 31, 2023

Transfers and Servicing [Abstract]

Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs

The table below summarizes the components of Excess MSRs:

	Year Ended December 31,
	2023		2022
Direct investments in Excess MSRs	$	208,385	$	249,366
Excess MSR joint ventures	62,765		72,437
Excess mortgage servicing rights assets, at fair value	$	271,150	$	321,803

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

	Servicer
		Total(A)
Balance as of December 31, 2021		259,198
Interest income		38,035
Other income		42
Proceeds from repayments		(43,950)
Proceeds from sales		(997)
Change in fair value		(2,962)
Balance as of December 31, 2022		249,366
Interest income		18,310
Other income		267
Proceeds from repayments		(41,552)
Proceeds from sales		(2,779)
Change in fair value		(15,227)
Balance as of December 31, 2023		$	208,385

(A)Underlying loans serviced by Mr. Cooper and SLS.

The following table summarizes activity related to MSRs and MSR financing receivables:

	Total
Balance as of December 31, 2021	$	6,858,803
Purchases, net(A)	(967)
Originations(B)	1,222,742
Proceeds from sales	(8,866)
Change in fair value due to:
Realization of cash flows(D)	(631,120)
Change in valuation inputs and assumptions	1,448,811
Balance as of December 31, 2022	$	8,889,403
Originations(B)	786,655
Proceeds from sales(C)	(704,436)
Change in fair value due to:
Realization of cash flows(D)	(518,978)
Change in valuation inputs and assumptions	(46,706)
Balance as of December 31, 2023	$	8,405,938

(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.

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

(C)Relates primarily to excess servicing cash flows sold on certain agency loans with a total UPB of approximately $91.4 billion during the year ended December 31, 2023. In connection with these sales, the Company recorded a gain of approximately $5.2 million during the period, which is included within change in fair value of MSRs and MSR financing receivables in the Consolidated Statements of Operations.

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

The following is a summary of MSRs and MSR financing receivables by type as of December 31, 2023 and 2022:

	UPB of Underlying Mortgages		Weighted Average Life (Years)(A)	Carrying Value(B)
2023
Agency	$	351,642,337	7.7	$	5,333,013
Non-Agency	48,928,545		6.8	678,913
Ginnie Mae(C)	127,863,627		7.1	2,394,012
Total	$	528,434,509	7.5	$	8,405,938
2022
Agency	$	364,879,106	7.2	$	6,022,266
Non-Agency	53,881,903		4.9	794,459
Ginnie Mae(C)	121,136,315		6.7	2,072,678
Total / Weighted Average	$	539,897,324	6.9	$	8,889,403

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

(B)Represents fair value. As of December 31, 2023 and 2022, weighted average discount rates of 8.5% (range of 7.9% – 10.8%) and 8.3% (range of 7.6% – 9.8%), respectively, were used to value Rithm Capital’s MSRs and MSR financing receivables, respectively.

(C)As of December 31, 2023 and 2022, Rithm Capital holds approximately $1.8 billion and $1.2 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.

Summary of Direct Investments in Excess MSRs

The following summarizes direct investments in Excess MSRs:

December 31, 2023
UPB of Underlying Mortgages		Interest in Excess MSR			Weighted Average Life Years(A)	Amortized Cost Basis		Carrying Value(B)
		Rithm Capital(C)(D)	Former Manager-managed funds	Mr. Cooper
$	42,957,347	32.5% – 100% (56.5%)	—% – 50.0%	—% – 35.0%	6.3	$	181,721	$	208,385

December 31, 2022
UPB of Underlying Mortgages		Interest in Excess MSR			Weighted Average Life Years(A)	Amortized Cost Basis		Carrying Value(B)
		Rithm Capital(C)(D)	Former Manager-managed funds	Mr. Cooper
$	48,154,644	32.5% – 100.0% (56.5%)	—% – 50.0%	—% – 35.0%	6.3	$	207,470	$	249,366

(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 is also invested in related servicer advance investments, including the basic fee component of the related MSR as of December 31, 2023 and 2022 (Note 8) on $15.5 billion and $17.0 billion UPB, respectively, underlying these Excess MSRs.

Changes in fair value of investments consist of the following:

	Year Ended December 31,
	2023		2022		2021
Original and Recaptured Pools	$	(15,227)	$	(2,962)	$	(15,078)

Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees

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

	December 31,
	2023			2022
Excess MSRs	$	114,552		$	135,356
Other assets	11,664			10,204
Other liabilities	(687)			(687)
Equity	$	125,529		$	144,873
Rithm Capital’s investment	$	62,765		$	72,437
Rithm Capital’s percentage ownership	50.0		%	50.0		%

	Year Ended December 31,
	2023		2022		2021
Interest income	$	13,358	$	15,157	$	7,574
Other income (loss)	(8,296)		(12,073)		(3,906)
Expenses	(32)		(32)		(32)
Net income (loss)	$	5,030	$	3,052	$	3,636

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

	December 31,
	2023		2022
Balance at beginning of period	$	72,437	$	85,749
Distributions of earnings from equity method investees	(2,219)		—
Distributions of capital from equity method investees	(9,968)		(14,838)
Change in fair value of investments in equity method investees	2,515		1,526
Balance at end of period	$	62,765	$	72,437

Summary of Excess MSR Investments made through Equity Method Investees

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

	December 31, 2023
	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	$	17,092,557	66.7%	50.0%	$	94,443	$	114,552	5.1

	December 31, 2022
	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	$	19,299,726	66.7%	50.0%	$	106,176	$	135,356	5.1

(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 cash flows of each investment.