XML 59 R47.htm IDEA: XBRL DOCUMENT
v3.24.2.u1

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 | $ | — |

X
- Definition Tabular disclosure of equity method investments including, but not limited to, name of each investee or group of investments, percentage ownership, difference between recorded amount of an investment and the value of the underlying equity in the net assets, and summarized financial information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 323 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org/1943274/2147481687/323-10-50-3 + Details
Name: | us-gaap_EquityMethodInvestmentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of activity in the balance of servicing assets subsequently measured at amortized cost. Includes, but is not limited to, beginning and ending balances, additions, disposals, and amortization. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-4 + Details
Name: | us-gaap_ScheduleOfServicingAssetsAtAmortizedValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_ScheduleOfServicingAssetsAtFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_TransfersAndServicingAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration