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GOVERNMENT AND GOVERNMENT-BACKED SECURITIES | 6 Months Ended
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Jun. 30, 2024
Investments, Debt and Equity Securities [Abstract] |
GOVERNMENT AND GOVERNMENT-BACKED SECURITIES | GOVERNMENT AND GOVERNMENT-BACKED SECURITIES Government and Government-backed securities include Agency RMBS issued by the GSEs or Ginnie Mae (securities issued as such, known as “Agency”) and U.S. Treasuries. The following tables summarize Agency and Treasury securities by designation:
| June 30, 2024 |  | December 31, 2023
|  |  |  |  | Gross Unrealized |  |  |  |  |  |  |  | Weighted Average |  | (As Restated)
| Outstanding Face Amount |  |  |  | Gains |  | Losses |  | Carrying Value(A) |  | Number of Securities |  |  |  | Coupon |  | Yield |  | Life (Years)(B) |  |  | Carrying Value(A)
Securities designated as available for sale (“AFS”): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency(C) | $ | 71,981 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | 62,998 |  |  | 1 |  |  |  |  | 3.5 | % |  | 3.5 | % |  | 10.7 |  |  | $ | 65,496 |
Securities measured at fair value through net income: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency(C) | 9,489,312 |  |  |  |  | 3,291 |  |  | (66,040) |  |  | 9,237,239 |  |  | 46 |  |  |  |  | 5.1 | % |  | 5.2 | % |  | 8.7 |  |  | 8,467,634 |
Total/Weighted Average | $ | 9,561,293 |  |  |  |  | $ | 3,291 |  |  | $ | (66,040) |  |  | $ | 9,300,237 |  |  | 47 |  |  |  |  | 5.6 | % |  | 8.0 | % |  | 8.6 |  |  | $ | 8,533,130 |
(A)Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements. (B)Based on the timing of expected principal reduction on the assets. (C)All fixed-rate as of June 30, 2024.
|  | June 30, 2024 | December 31, 2023
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Weighted Average |
|  | Outstanding Face Amount |  |  |  | Amortized Cost / Carrying Value |  | Fair Value |  | Unrecognized Gains/(Losses) |  | Number of Securities |  |  |  | Yield |  | Life (Years) |  | Carrying Value
Treasury Bills Designated as Held to Maturity (HTM): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Treasury |  | $ | 25,000 |  |  |  |  | $ | 24,860 |  |  | $ | 24,861 |  |  | $ | 1 |  |  | 2 |  |  |  |  | 5.4 | % |  | 0.1 |  | $ | 24,553 |
The following table summarizes purchases and sales of Agency and Treasury securities:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
(in millions) | Treasury(A) |  | Agency |  | Treasury(A) |  | Agency |  | Treasury(A) |  | Agency |  | Treasury | Agency
Purchases |  |  |  |  |  |  |  |  |  |  |  |  |  |
Face | $ | 25.0 |  |  | $ | — |  |  | $ | 1,000.0 |  |  | $ | — |  |  | $ | 4,825.0 |  |  | $ | 1,287.0 |  |  | $ | 1,000.0 |  | $ | 2,162.4 |
Purchase price | 24.7 |  |  | — |  |  | 973.8 |  |  | — |  |  | 4,798.6 |  |  | 1,255.9 |  |  | 973.8 |  | 2,154.4 |
Sales |  |  |  |  |  |  |  |  |  |  |  |  |  |
Face | $ | 3,000.0 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,000.0 |  |  | $ | — |  |  | $ | — |  | $ | 1,462.4 |
Amortized cost | 2,976.3 |  |  | — |  |  | — |  |  | — |  |  | 2,976.3 |  |  | — |  |  | — |  | 1,442.8 |
Sale price | 2,957.5 |  |  | — |  |  | — |  |  | — |  |  | 2,957.5 |  |  | — |  |  | — |  | 1,395.9 |
Realized gain (loss) | (18.8) |  |  | — |  |  | — |  |  | — |  |  | (18.8) |  |  | — |  |  | — |  | (46.9) |
(A)Excludes treasury short sales. Refer to Note 17 for information regarding short sales. As of June 30, 2024, Rithm Capital had no unsettled trades. See Note 18 regarding the financing of Government and government-backed securities.

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