EXCESS MORTGAGE SERVICING RIGHTS (Tables)

6 Months Ended

Jun. 30, 2024

Transfers and Servicing [Abstract]

Schedule of Carrying Value of Investments in Excess MSRs

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

Balance as of December 31, 2023	$	8,405,938
Purchases, net	—
Transfers	—
Acquisition	697,494
Originations(A)	580,244
Sales	2,404
Change in fair value due to:
Realization of cash flows(B)	(284,189)
Change in valuation inputs and assumptions	291,440
Balance as of June 30, 2024	$	9,693,331

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

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

The following table summarizes MSRs and MSR financing receivables by type as of June 30, 2024:

	UPB of Underlying Mortgages		Weighted Average Life (Years)(A)	Carrying Value(B)
Agency	$	381,516,738	6.6	$	6,079,335
Non-Agency	72,106,898		5.4	885,053
Ginnie Mae(C)	133,419,752		6.3	2,728,943
Total/Weighted Average	$	587,043,388	6.4	$	9,693,331

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

(B)Represents fair value. As of June 30, 2024, weighted average discount rates of 8.9% (range of 8.7% – 10.3%) were used to value Rithm Capital’s MSRs and MSR financing receivables.

(C)As of June 30, 2024, Rithm Capital holds approximately $1.9 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.

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

	Total(A)
Balance as of December 31, 2023	$	208,385
Purchases	122,887
Interest income	10,522
Other income	(656)
Proceeds from repayments	(19,122)
Proceeds from sales	—
Change in fair value	19,430
Acquisition of assets from Fortress Excess MSR JV	55,192
Reclassification of SLS serviced Excess MSRs to Full MSRs	(1,032)
Balance as of June 30, 2024	$	395,606

(A)Underlying loans serviced by Mr. Cooper Group Inc. (“Mr. Cooper”) and SLS (Excess MSRs with underlying loans serviced by SLS were reclassified to full MSRs upon the acquisition of Computershare on May 1, 2024).

Schedule of Investments in Excess MSRs and Changes in Fair Value of Investments of Excess MSR

The following summarizes investments in Excess MSRs:

	June 30, 2024							December 31, 2023
	Interest in Excess MSR		Weighted Average Life Years(A)	Amortized Cost Basis		Carrying Value(B)		Carrying Value(B)
	Rithm Capital(C, D)	Mr. Cooper
Total	65.0% – 80.0% (69.9%)	20.0% – 35.0%	6	$	339,048	$	395,606	$	208,385

(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 also invested in related servicer advance investments, including the basic fee component of the related MSR as of June 30, 2024 (Note 14) on $14.0 billion UPB underlying these Excess MSRs.

Changes in fair value of Excess MSR investments consist of the following:

	Three Months Ended June 30,				Six Months Ended June 30,
	2024		2023		2024		2023
Original and Recaptured Pools	$	21,352	$	(599)	$	19,430	$	(10,417)

Schedule of Activity of Investments in Equity Method Investees

The following table summarizes the activity of Rithm Capital’s investments in Excess MSR equity method investees:

Balance at December 31, 2023	$	62,765
Distributions of earnings from equity method investees	(344)
Distributions of capital from equity method investees	(8,846)
Change in fair value of investments in equity method investees	1,617
Equity method investees transferred to direct excess MSR	(55,192)
Indirect Excess MSR at June 30, 2024	$	—