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RESIDENTIAL MORTGAGE LOANS
 6 Months Ended
Jun. 30, 2024
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS RESIDENTIAL MORTGAGE LOANS
Rithm Capital accumulates its residential mortgage loan portfolio through originations, bulk acquisitions and the execution of call rights. A majority of the residential mortgage loan portfolio is serviced by Newrez.

Loans are accounted for based on Rithm Capital’s strategy and intent for the loan and on whether the loan was credit-impaired at the date of acquisition. As of June 30, 2024, 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 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 Corp.

The following table summarizes residential mortgage loans outstanding by loan type:
June 30, 2024
December 31, 2023
(As Restated)
Outstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Investments of consolidated CFEs(B)
$3,577,247 $3,347,246 10,411 5.5 %25.9$3,038,587 
Residential mortgage loans, HFI, at fair value$421,507 $368,866 7,823 8.5 %5.2$379,044 
Residential mortgage loans, HFS
Acquired performing loans(C)
61,427 53,951 1,790 8.0 %5.557,038 
Acquired non-performing loans(D)
21,874 18,943 247 6.1 %3.921,839 
Total residential mortgage loans, HFS
$83,301 $72,894 2,037 7.5 %5.1$78,877 
Residential mortgage loans, HFS, at fair value
Acquired performing loans(C)(E)
850,561 834,383 3,041 5.8 %11.2400,603 
Acquired non-performing loans(D)(E)
233,580 214,071 1,130 3.7 %23.0204,950 
Originated loans2,723,582 2,789,475 9,872 7.2 %29.21,856,312 
Total residential mortgage loans, HFS, at fair value
$3,807,723 $3,837,929 14,043 6.7 %24.8$2,461,865 
(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)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.
(C)Performing loans are generally placed on non-accrual status when principal or interest is 90 days or more past due.
(D)As of June 30, 2024, Rithm Capital has placed non-performing loans, HFS on non-accrual status, except as described in (E) below.
(E)Includes $217.2 million and $192.6 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.
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
State ConcentrationJune 30, 2024December 31, 2023
California11.2 %8.3 %
Florida9.2 %9.3 %
Texas8.6 %9.5 %
New York5.8 %8.0 %
Georgia4.3 %4.9 %
New Jersey3.7 %3.9 %
Maryland3.4 %3.3 %
Illinois3.3 %3.5 %
North Carolina3.3 %3.2 %
Virginia3.1 %3.6 %
Other US44.1 %42.5 %
100.0 %100.0 %
See Note 18 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:
June 30, 2024December 31, 2023
Days Past DueUPBCarrying ValueCarrying Value Over (Under) UPBUPBCarrying ValueCarrying Value Over (Under) UPB
90+$340,323 $304,967 $(35,356)$313,122 $281,556 $(31,566)

The following table summarizes the activity for the period of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
Loans HFI, at Fair ValueLoans HFS, at Lower of Cost or Fair ValueLoans HFS, at Fair ValueTotal
Balance at December 31, 2023 (As Restated)
$379,044 $78,877 $2,461,865 $2,919,786 
Originations — — 25,518,069 25,518,069 
Sales— — (24,568,303)(24,568,303)
Purchases/additional fundings— — 922,076 922,076 
Proceeds from repayments(23,313)(5,518)(42,440)(71,271)
Transfer of loans (to) from other assets(A)
— (2,479)(463,263)(465,742)
Transfer of loans to REO(1,943)(1,325)(2,422)(5,690)
Transfers of loans to held-for-sale(52)— — (52)
Transfer of loans from held-for-investment— — 52 52 
Impairment (loss) reversal— 3,339 — 3,339 
Fair value adjustments due to:
Changes in instrument-specific credit risk13,632 — 10,466 24,098 
Other factors1,498 — 1,829 3,327 
Balance at June 30, 2024
$368,866 $72,894 $3,837,929 $4,279,689 
(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 for Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
Three Months Ended
June 30,		Six Months Ended
June 30,
2024202320242023
Interest income:
Loans HFI, at fair value$7,579 $9,214 $15,436 $18,723 
Loans HFS, at lower of cost or fair value
1,279 1,884 2,140 3,388 
Loans HFS, at fair value
45,644 41,745 81,660 79,031 
Total interest income$54,502 $52,843 $99,236 $101,142 
Interest expense:
Loans HFI, at fair value4,032 4,849 8,256 9,519 
Loans HFS, at lower of cost or fair value
1,007 982 1,723 1,889 
Loans HFS, at fair value
52,328 42,787 89,566 85,503 
Total interest expense$57,367 $48,618 $99,545 $96,911 
Net interest income$(2,865)$4,225 $(309)$4,231 

Gain on Originated Residential Mortgage Loans, HFS, Net

Newrez 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, HFS, net in the Consolidated Statements of Operations.

The following table summarizes the components of gain on originated residential mortgage loans, HFS, net:
Three Months Ended
June 30,		Six Months Ended
June 30,
20242023
(As Restated)		20242023
(As Restated)
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(217,515)$(93,059)$(341,629)$(127,373)
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
10,077 (11,483)(5,447)(1,579)
MSRs retained on transfer of residential mortgage loans(C)
364,305 202,303 580,244 342,816 
Other(D)
5,114 2,302 11,608 (3,141)
Realized gain on sale of originated residential mortgage loans, net$161,981 $100,063 $244,776 $210,723 
Change in fair value of residential mortgage loans(8,907)27,891 5,361 59,489 
Change in fair value of interest rate lock commitments (Note 17)
(14,817)(19,898)(7,332)6,342 
Change in fair value of derivative instruments (Note 17)
15,484 70,528 53,394 11,298 
Gain on originated residential mortgage loans, HFS, net
$153,741 $178,584 $296,199 $287,852 
(A)Includes residential mortgage loan origination fees of $233.8 million and $94.0 million for the three months ended June 30, 2024 and 2023, respectively. Includes residential mortgage loan origination fees of $411.5 million and $162.9 million for the six months ended June 30, 2024 and 2023, 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.