Rithm Capital enters into economic hedges including interest rate swaps, to-be-announced forward contract positions (“TBAs”), and Treasury short sales to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as

other factors. Rithm Capital’s credit risk with respect to economic hedges is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

Rithm Capital may at times hold TBAs in order to mitigate Rithm Capital’s interest rate risk on certain specified MBS and MSRs. Amounts or obligations owed by or to Rithm Capital are subject to the right of set-off with the counterparty. As part of executing these trades, Rithm Capital may enter into agreements with its counterparties that govern the transactions for the purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements and various other provisions. Changes in the value of economic hedges designed to protect against MBS and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below.

Rithm Capital enters into short sales of Treasury securities to mitigate interest rate risk by borrowing the securities under reverse repurchase agreements and selling them into the market. As of December 31, 2024, the Company accounts for these as securities borrowing transactions and recognizes a net position presented in other assets or accrued expenses and other liabilities on the consolidated balance sheets. As of December 31, 2023, the Company did not meet the relevant netting criteria and recognized an obligation to return the borrowed securities at fair value on the consolidated balance sheets based on the value of the underlying Treasury security.

As of December 31, 2024, Rithm Capital also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific residential mortgage loans at prices which are fixed as of the forward commitment date. Rithm Capital enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and residential mortgage loans that are not covered by residential mortgage loan sale commitments.

Derivatives and economic hedges are recorded at fair value and presented in other assets or accrued expenses and other liabilities on the consolidated balance sheets, as follows:


	December 31,
	2024		2023
Derivative and Hedging Assets:
Interest rate swaps(A)	$	6	$	106
IRLCs	21,496		26,482
TBAs	50,809		1,492
Foreign exchange forwards	2,836		—
	$	75,147	$	28,080
Derivative and Hedging Liabilities:

IRLCs	$	10,202	$	2,678
TBAs	15,628		49,087
Treasury short sales(B)	1,245		—
Other commitments(C)	25,521		—
Stock options	14		—
	$	52,610	$	51,765

(B)As of December 31, 2024, all Treasury short sales are covered with no economic exposure. Carrying value represents the net of repurchase agreements and $503.9 million of related reverse repurchase agreement lending facilities used to borrow securities to effectuate short sales of Treasury securities. As of December 31, 2023, Treasury securities payable and related reverse repurchase agreements are presented on a gross basis on the consolidated balance sheets.

(C)During the first quarter of 2024, a subsidiary of the Company entered into an agreement with an affiliate, which could result in the subsidiary being required to make a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate, subject to a maximum amount of $25.5 million. The agreement is classified as a derivative liability and measured at fair value.


	December 31,
	2024		2023
Interest rate swaps(A)	$	8,995,000	$	7,979,988
IRLCs	3,413,043		2,757,060
Treasury short sales(B)	—		1,800,000
TBAs(C)	17,402,824		6,013,100
Other commitments	25,057		—
Foreign exchange forwards	17,300		—

(A)Includes $3.1 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 3.6% and $5.9 billion notional of receive fixed of 3.8%/pay SOFR with weighted average maturities of 71 months and 32 months, respectively, as of December 31, 2024. Includes $8.0 billion notional of receive SOFR/pay fixed of 2.5% and $0.0 billion notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of December 31, 2023.

The following table summarizes gain (loss) on derivatives and other hedging instruments and the related presentation on the consolidated statements of operations:


	Year Ended December 31,
	2024		2023		2022
Servicing Revenue, Net(A):
TBAs	$	—	$	—	$	(15,205)
Treasury futures	—		—		(1,746)
Options on Treasury futures	—		—		5,635
	—		—		(11,316)
Gain (Loss) on Originated Residential Mortgage Loans, HFS, Net(A):
IRLCs	(12,449)		15,018		(102,992)
TBAs	90,675		(62,924)		25,700
Interest rate swaps	—		(1,110)		—
	78,226		(49,016)		(77,292)
Realized and Unrealized Gains (Losses), Net(B)(C):
Interest rate swaps	63,448		20,990		1,159,777
TBAs	(269,862)		(7,326)		309,154
Treasury short sales(D)	23,783		(68,006)		—
Other commitments	(25,535)		—		—
Stock options	(3)		—		—
Foreign exchange forwards	2,019		—		—
	(206,150)		(54,342)		1,468,931

Total Gain (Loss)	$	(127,924)	$	(103,358)	$	1,380,323

(B)Excludes no loss for the years ended December 31, 2024 and 2023 and $79.0 million loss for the year ended December 31, 2022 included within servicing revenue, net (Note 5) in the consolidated statements of operations.

(C)Excludes $28.2 million gain, $73.5 million gain and $1.3 billion gain for the years ended December 31, 2024, 2023 and 2022, respectively, reflected as gain (loss) on settlement of residential mortgage loan origination derivative instruments presented within gain on originated residential mortgage loans, HFS, net (Note 7) in the consolidated statements of operations.