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MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables) | 6 Months Ended
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Jun. 30, 2024
Transfers and Servicing of Financial Assets [Abstract] |
Schedule of Activity Reated to MSRs and MSR Financing Receivables and by Type | 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 Components of Servicing Revenue, Net | The following table summarizes components of servicing revenue, net:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 (As Restated) |  | 2024 |  | 2023 (As Restated)
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | $ | 453,989 |  |  | $ | 432,750 |  |  | $ | 884,103 |  |  | $ | 871,800 |
Ancillary and other fees | 44,989 |  |  | 32,597 |  |  | 84,766 |  |  | 63,204 |
Servicing fee revenue, net and fees | 498,978 |  |  | 465,347 |  |  | 968,869 |  |  | 935,004 |
Change in fair value due to: |  |  |  |  |  |  |
Realization of cash flows(A) | (165,138) |  |  | (139,410) |  |  | (281,977) |  |  | (245,101) |
Change in valuation inputs and assumptions, net of realized gains (losses)(B) | 97,240 |  |  | 161,442 |  |  | 298,254 |  |  | 124,829 |
Servicing revenue, net | $ | 431,080 |  |  | $ | 487,379 |  |  | $ | 985,146 |  |  | $ | 814,732 |
(A)Net of $2.2 million of realization of cash flows related to excess spread financing (Note 12). (B)Net of $6.8 million of change in valuation inputs and assumptions related to excess spread financing (Note 12).
Schedule of Geographic Distribution of the Underlying Residential Mortgage Loans of the MSRs and MSR Financing Receivables | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR financing receivables:
|  | Percentage of Total Outstanding Unpaid Principal Amount
State Concentration |  | June 30, 2024 |  | December 31, 2023
California |  | 16.7 | % |  | 17.1 | %
Florida |  | 8.4 | % |  | 8.6 | %
Texas |  | 6.5 | % |  | 6.2 | %
New York |  | 5.8 | % |  | 6.0 | %
Washington |  | 5.3 | % |  | 5.8 | %
New Jersey |  | 4.1 | % |  | 4.3 | %
Virginia |  | 3.6 | % |  | 3.6 | %
Maryland |  | 3.4 | % |  | 3.4 | %
Illinois |  | 3.3 | % |  | 3.3 | %
Georgia |  | 3.1 | % |  | 3.0 | %
Other US |  | 39.8 | % |  | 38.7 | %
|  | 100.0 | % |  | 100.0 | %
Schedule of Type of Advances Included in the Servicer Advances Receivable | The table below summarizes the type of advances included in the servicer advances receivable:
| June 30, 2024 |  | December 31, 2023
Principal and interest advances | $ | 624,563 |  |  | $ | 616,801 |
Escrow advances (taxes and insurance advances) | 1,358,320 |  |  | 1,442,697 |
Foreclosure advances | 891,268 |  |  | 767,171 |
Gross advance balance(A)(B) | 2,874,151 |  |  | 2,826,669 |
Reserves, impairment, unamortized discount, net of recovery accruals | (99,641) |  |  | (66,419) |
Total servicer advances receivable | $ | 2,774,510 |  |  | $ | 2,760,250 |
(A)Includes $550.8 million and $585.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B)Includes $367.8 million and $405.6 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair value through a non-reimbursable advance loss assumption.The following table summarizes servicer advance investments, including the right to the basic fee component of the related MSRs:
| Amortized Cost Basis |  | Carrying Value(A) |  | Weighted Average Discount Rate |  | Weighted Average Yield |  | Weighted Average Life (Years)(B)
June 30, 2024 |  |  |  |  |  |  |  |  |
Servicer advance investments | $ | 336,131 |  |  | $ | 357,220 |  |  | 6.2 | % |  | 7.0 | % |  | 8.3
December 31, 2023 |  |  |  |  |  |  |  |  |
Servicer advance investments | $ | 362,760 |  |  | $ | 376,881 |  |  | 6.2 | % |  | 6.6 | % |  | 8.1
(A)Represents the fair value of the servicer advance investments, including the basic fee component of the related MSRs. (B)Represents the weighted average expected timing of the receipt of expected net cash flows for this investment. The following table provides additional information regarding the servicer advance investments and related financing:
| UPB of Underlying Residential Mortgage Loans |  | Outstanding Servicer Advances |  | Servicer Advances to UPB of Underlying Residential Mortgage Loans |  | Face Amount of Secured Notes and Bonds Payable |  | Loan-to-Value (“LTV”)(A) |  | Cost of Funds(C)
|  |  |  | Gross |  | Net(B) |  | Gross |  | Net
June 30, 2024 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Servicer advance investments(D) | $ | 13,974,237 |  |  | $ | 302,282 |  |  | 2.2 | % |  | $ | 262,069 |  |  | 84.7 | % |  | 82.5 | % |  | 7.3 | % |  | 6.9 | %
December 31, 2023 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Servicer advance investments(D) | $ | 15,499,559 |  |  | $ | 320,630 |  |  | 2.1 | % |  | $ | 278,845 |  |  | 84.1 | % |  | 81.9 | % |  | 7.5 | % |  | 6.9 | %
(A)Based on outstanding servicer advances, excluding purchased but unsettled servicer advances. (B)Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve. (C)Annualized measure of the cost associated with borrowings. Gross cost of funds primarily includes interest expense and facility fees. Net cost of funds excludes facility fees. (D)The following table summarizes the types of advances included in servicer advance investments:
|  | June 30, 2024 |  | December 31, 2023
Principal and interest advances |  | $ | 52,686 |  |  | $ | 57,909 |
Escrow advances (taxes and insurance advances) |  | 137,726 |  |  | 149,346 |
Foreclosure advances |  | 111,870 |  |  | 113,375 |
Total |  | $ | 302,282 |  |  | $ | 320,630 |
Schedule of Servicer Advances Provision Activity | The following table summarizes servicer advances provision activity during the quarter:
Balance at December 31, 2023 | $ | 93,681 |  |  |  |  |  |  |  |  |  |
Provision | 20,652 |  |  |  |  |  |  |  |  |  |
Write-offs | (14,793) |  |  |  |  |  |  |  |  |  |
Balance at June 30, 2024 | $ | 99,540 |  |  |  |  |  |  |  |  |  |

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- Definition Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-3 + Details
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