RESIDENTIAL MORTGAGE LOANS (AS RESTATED) (Tables)

12 Months Ended

Dec. 31, 2023

Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO

The following table summarizes residential mortgage loans outstanding by loan type:


	December 31, 2023 (As Restated)								December 31, 2022 (As Restated)
	Outstanding Face Amount		Carrying 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 value	448,060		379,044		8,328	8.1	%	5.5	452,519


Acquired performing loans(B)	67,955		57,038		1,887	8.1	%	5.9	72,425
Acquired non-performing loans(C)	26,381		21,839		326	8.5	%	5.6	28,602
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	%	16.4	890,131
Acquired non-performing loans(C)(D)	220,962		204,950		1,135	4.6	%	25.2	340,342
Originated loans	1,816,318		1,856,312		5,850	7.1	%	29.4	2,066,798
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.


	Mortgage Loans Receivable - Carrying Value(A)		Mortgage Loans Receivable of Consolidated CFEs - Carrying Value(A)		Total Carrying Value		% of Portfolio		Loan Count	% of Portfolio		Weighted Average Yield		Weighted Average Original Life (Months)	Weighted Average Committed Loan Balance to Value(B)
December 31, 2023 (As Restated)
Construction	$	787,740	$	146,391	$	934,131	41.8	%	371	27.0	%	10.5	%	16.2	74.0% / 63.0%
Bridge	841,040		168,627		1,009,667		45.3	%	652	47.6	%	9.6	%	26.5	68.9%
Renovation	250,539		38,576		289,115		12.9	%	349	25.4	%	10.0	%	13.5	80.5% / 68.6%
	$	1,879,319	$	353,594	$	2,232,913	100.0	%	1,372	100.0	%	10.1	%	20.4	N/A

December 31, 2022 (As Restated)
Construction	$	810,082	$	155,414	$	965,496	46.8	%	622	37.1	%	8.3	%	15.0	76.8% / 65.6%
Bridge	687,408		151,130		838,538		40.6	%	701	41.8	%	8.1	%	20.1	75.3%
Renovation	216,563		43,431		259,994		12.6	%	354	21.1	%	8.3	%	13.0	78.0% / 66.1%
	$	1,714,053	$	349,975	$	2,064,028	100.0	%	1,677	100.0	%	8.2	%	16.5	N/A

(A)Mortgage loans receivable are carried at fair value. See Note 21 regarding fair value measurements.

(B)Weighted by commitment LTV for bridge loans, loan-to-cost and loan-to-after-repair-value for construction and renovation loans.


Balance at December 31, 2021 (As Restated)	$	1,515,762
Initial loan advances	1,438,117
Construction holdbacks and draws	483,889
Paydowns and payoffs	(1,234,445)

Transfers to assets of consolidated CFEs	(445,403)



Purchased loans discount (premium) amortization	(43,867)
Balance at December 31, 2022 (As Restated)	$	1,714,053
Purchases	146,631
Initial loan advances	1,380,187
Construction holdbacks and draws	667,656
Paydowns and payoffs	(1,671,895)
Purchased loans discount (premium) amortization	668
Transfers to assets of consolidated CFEs	(357,614)
Fair value adjustments due to:

Other factors	(367)
Balance at December 31, 2023 (As Restated)	$	1,879,319

The following table summarizes the activity for notes and loans receivable:


	Notes Receivable		Loans Receivable		Total
Balance at December 31, 2021	$	60,549	$	229,631	$	290,180
Fundings	9,000		—		9,000
Payment in Kind	3,741		9,195		12,936
Proceeds from repayments	(9,000)		(143,256)		(152,256)
Transfer to other assets	(1,000)		—		(1,000)
Fair value adjustments due to:
Changes in instrument-specific credit risk	(63,062)		—		(63,062)
Other factors	(228)		(1,169)		(1,397)
Balance at December 31, 2022	$	—	$	94,401	$	94,401
Fundings(A)	399,977		—		399,977
Payment in Kind	—		5,636		5,636
Proceeds from repayments	(1,750)		(68,945)		(70,695)
Transfer to other assets	—		—		—
Fair value adjustments due to:
Changes in instrument-specific credit risk	—		—		—
Other factors	—		231		231
Balance at December 31, 2023	$	398,227	$	31,323	$	429,550

(A)Rithm Capital acquired two notes receivable during 2023 collateralized by commercial real estate.

Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans

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 Concentration	2023		2022
Texas	9.5	%	8.9	%
Florida	9.3	%	10.9	%
California	8.3	%	10.2	%
New York	8.0	%	6.8	%
Georgia	4.9	%	4.2	%
New Jersey	3.9	%	3.8	%
Virginia	3.6	%	2.7	%
Illinois	3.5	%	3.6	%
Maryland	3.3	%	3.1	%
North Carolina	3.2	%	2.5	%
Other U.S.	42.5	%	43.3	%
	100.0	%	100.0	%

Schedule of Performing Loans Past Due

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,
	2023						2022
Days Past Due	UPB		Carrying Value		Carrying Value Over (Under) UPB		UPB		Carrying Value		Carrying Value Over (Under) UPB

90+	$	313,122	$	281,556	$	(31,566)	$	468,147	$	423,321	$	(44,826)

The following table summarizes the past due status and difference between the aggregate UPB and the aggregate carrying value of loans included in Mortgage loans receivable, at fair value on the Consolidated Balance Sheets:


	December 31,
	2023 (As Restated)						2022 (As Restated)
Days Past Due	UPB		Carrying Value		Carrying Value Over (Under) UPB		UPB		Carrying Value		Carrying Value Over (Under) UPB
Current	$	1,838,935	$	1,837,513	$	(1,422)	$	1,714,054	$	1,714,054	$	—
90+	41,869		41,806		(63)		—		—		—
	$	1,880,804	$	1,879,319	$	(1,485)	$	1,714,054	$	1,714,054	$	—

The following table summarizes the past due status and difference between the aggregate UPB and the aggregate carrying value of notes and loans receivable:


	December 31,
	2023						2022
Days Past Due	UPB		Carrying Value(A)		Carrying Value Over (Under) UPB		UPB		Carrying Value(A)		Carrying Value Over (Under) UPB
Current	$	565,786	$	429,550	$	(136,236)	$	157,745	$	94,401	$	(63,344)
90+	—		—		—		—		—		—

(A)Notes and loans receivable are carried at fair value. See Note 21 regarding fair value measurements.

Schedule of Loans Held For Sale, Fair Value

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 Value		Loans Held-for-Sale, at Lower of Cost or Fair Value		Loans Held-for-Sale, at Fair Value		Total
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 fundings	7,182		—		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 fundings	1,269		—		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 risk	7,540		—		4,639		12,179
Other factors	6,615		—		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.

Schedule of 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,
	2023		2022		2021
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 value	5,804		6,898		23,280
Loans held-for-sale, at fair value	159,233		211,238		260,062
Total interest income	199,695		263,423		327,711

Interest expense:
Loans held-for-investment, at fair value	18,893		17,583		16,919
Loans held-for-sale, at lower of cost or fair value	3,615		3,402		21,333
Loans held-for-sale, at fair value(A)	161,901		181,071		159,413
Total interest expense	184,409		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.

Schedule of Originated Mortgage Loans

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 loans	99,877		(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.