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RESIDENTIAL MORTGAGE LOANS | 6 Months Ended
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Jun. 30, 2024
Receivables [Abstract] |
RESIDENTIAL MORTGAGE LOANS | RESIDENTIAL MORTGAGE LOANS Rithm Capital accumulates its residential mortgage loan portfolio through originations, bulk acquisitions and the execution of call rights. A majority of the residential mortgage loan portfolio is serviced by Newrez. Loans are accounted for based on Rithm Capital’s strategy and intent for the loan and on whether the loan was credit-impaired at the date of acquisition. As of June 30, 2024, Rithm Capital accounts for loans based on the following categories: •Loans held-for-investment (“HFI”), at fair value •Loans held-for-sale (“HFS”), at lower of cost or fair value •Loans HFS, at fair value •Investments of consolidated CFEs represent mortgage loans held by certain mortgage securitization trusts where Rithm Capital is determined to be a primary beneficiary and, as a result, consolidates such trusts. The assets are measured based on the fair value of the more observable liabilities of such trusts under the CFE election. The assets can only be used to settle obligations and liabilities of such trusts for which creditors do not have recourse to Rithm Capital Corp. The following table summarizes residential mortgage loans outstanding by loan type:
| June 30, 2024 |  |  |  |  |  |  |  |  |  | December 31, 2023 (As Restated)
| Outstanding Face Amount |  | Carrying Value |  | Loan Count |  | Weighted Average Yield |  | Weighted Average Life (Years)(A) |  |  |  |  |  |  |  |  |  | Carrying Value
Investments of consolidated CFEs(B) | $ | 3,577,247 |  |  | $ | 3,347,246 |  |  | 10,411 |  |  | 5.5 | % |  | 25.9 |  |  |  |  |  |  |  |  |  | $ | 3,038,587 |
Residential mortgage loans, HFI, at fair value | $ | 421,507 |  |  | $ | 368,866 |  |  | 7,823 |  |  | 8.5 | % |  | 5.2 |  |  |  |  |  |  |  |  |  | $ | 379,044 |
Residential mortgage loans, HFS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acquired performing loans(C) | 61,427 |  |  | 53,951 |  |  | 1,790 |  |  | 8.0 | % |  | 5.5 |  |  |  |  |  |  |  |  |  | 57,038 |
Acquired non-performing loans(D) | 21,874 |  |  | 18,943 |  |  | 247 |  |  | 6.1 | % |  | 3.9 |  |  |  |  |  |  |  |  |  | 21,839 |
Total residential mortgage loans, HFS | $ | 83,301 |  |  | $ | 72,894 |  |  | 2,037 |  |  | 7.5 | % |  | 5.1 |  |  |  |  |  |  |  |  |  | $ | 78,877 |
Residential mortgage loans, HFS, at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acquired performing loans(C)(E) | 850,561 |  |  | 834,383 |  |  | 3,041 |  |  | 5.8 | % |  | 11.2 |  |  |  |  |  |  |  |  |  | 400,603 |
Acquired non-performing loans(D)(E) | 233,580 |  |  | 214,071 |  |  | 1,130 |  |  | 3.7 | % |  | 23.0 |  |  |  |  |  |  |  |  |  | 204,950 |
Originated loans | 2,723,582 |  |  | 2,789,475 |  |  | 9,872 |  |  | 7.2 | % |  | 29.2 |  |  |  |  |  |  |  |  |  | 1,856,312 |
Total residential mortgage loans, HFS, at fair value | $ | 3,807,723 |  |  | $ | 3,837,929 |  |  | 14,043 |  |  | 6.7 | % |  | 24.8 |  |  |  |  |  |  |  |  |  | $ | 2,461,865 |
(A)For loans classified as Level 3 in the fair value hierarchy, the weighted average life is based on the expected timing of the receipt of cash flows. For Level 2 loans, the weighted average life is based on the contractual term of the loan. (B)Residential mortgage loans of consolidated CFEs are classified as Level 2 in the fair value hierarchy and valued based on the fair value of the more observable financial liabilities under the CFE election. (C)Performing loans are generally placed on non-accrual status when principal or interest is 90 days or more past due. (D)As of June 30, 2024, Rithm Capital has placed non-performing loans, HFS on non-accrual status, except as described in (E) below. (E)Includes $217.2 million and $192.6 million UPB of Ginnie Mae early buyout options performing and non-performing loans, respectively, on accrual status as contractual cash flows are guaranteed by the FHA. The following table summarizes the geographic distribution of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
|  | Percentage of Total Outstanding Unpaid Principal Amount
State Concentration |  | June 30, 2024 |  | December 31, 2023
California |  | 11.2 | % |  | 8.3 | %
Florida |  | 9.2 | % |  | 9.3 | %
Texas |  | 8.6 | % |  | 9.5 | %
New York |  | 5.8 | % |  | 8.0 | %
Georgia |  | 4.3 | % |  | 4.9 | %
New Jersey |  | 3.7 | % |  | 3.9 | %
Maryland |  | 3.4 | % |  | 3.3 | %
Illinois |  | 3.3 | % |  | 3.5 | %
North Carolina |  | 3.3 | % |  | 3.2 | %
Virginia |  | 3.1 | % |  | 3.6 | %
Other US |  | 44.1 | % |  | 42.5 | %
|  | 100.0 | % |  | 100.0 | %
See Note 18 regarding the financing of residential mortgage loans. The following table summarizes the difference between the aggregate UPB and the aggregate carrying value of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets which are 90 days or more past due:
|  | June 30, 2024 |  | December 31, 2023
Days Past Due |  | UPB |  | Carrying Value |  | Carrying Value Over (Under) UPB |  | UPB |  | Carrying Value |  | Carrying Value Over (Under) UPB
90+ |  | $ | 340,323 |  |  | $ | 304,967 |  |  | $ | (35,356) |  |  | $ | 313,122 |  |  | $ | 281,556 |  |  | $ | (31,566) |
The following table summarizes the activity for the period of Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
| Loans HFI, at Fair Value |  | Loans HFS, at Lower of Cost or Fair Value |  | Loans HFS, at Fair Value |  | Total
Balance at December 31, 2023 (As Restated) | $ | 379,044 |  |  | $ | 78,877 |  |  | $ | 2,461,865 |  |  | $ | 2,919,786 |
Originations | — |  |  | — |  |  | 25,518,069 |  |  | 25,518,069 |
Sales | — |  |  | — |  |  | (24,568,303) |  |  | (24,568,303) |
Purchases/additional fundings | — |  |  | — |  |  | 922,076 |  |  | 922,076 |
Proceeds from repayments | (23,313) |  |  | (5,518) |  |  | (42,440) |  |  | (71,271) |
Transfer of loans (to) from other assets(A) | — |  |  | (2,479) |  |  | (463,263) |  |  | (465,742) |
Transfer of loans to REO | (1,943) |  |  | (1,325) |  |  | (2,422) |  |  | (5,690) |
Transfers of loans to held-for-sale | (52) |  |  | — |  |  | — |  |  | (52) |
Transfer of loans from held-for-investment | — |  |  | — |  |  | 52 |  |  | 52 |
Impairment (loss) reversal | — |  |  | 3,339 |  |  | — |  |  | 3,339 |
Fair value adjustments due to: |  |  |  |  |  |  |
Changes in instrument-specific credit risk | 13,632 |  |  | — |  |  | 10,466 |  |  | 24,098 |
Other factors | 1,498 |  |  | — |  |  | 1,829 |  |  | 3,327 |
Balance at June 30, 2024 | $ | 368,866 |  |  | $ | 72,894 |  |  | $ | 3,837,929 |  |  | $ | 4,279,689 |
(A)Includes loans transferred to consolidated CFEs and receivable modifications resulting in transfers between other assets and residential mortgage loans. Net Interest Income The following table summarizes the net interest income for Residential mortgage loans, held-for-sale and Residential mortgage loans, held-for-investment at fair value on the Consolidated Balance Sheets:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
Interest income: |  |  |  |  |  |  |
Loans HFI, at fair value | $ | 7,579 |  |  | $ | 9,214 |  |  | $ | 15,436 |  |  | $ | 18,723 |
Loans HFS, at lower of cost or fair value | 1,279 |  |  | 1,884 |  |  | 2,140 |  |  | 3,388 |
Loans HFS, at fair value | 45,644 |  |  | 41,745 |  |  | 81,660 |  |  | 79,031 |
Total interest income | $ | 54,502 |  |  | $ | 52,843 |  |  | $ | 99,236 |  |  | $ | 101,142 |
Interest expense: |  |  |  |  |  |  |
Loans HFI, at fair value | 4,032 |  |  | 4,849 |  |  | 8,256 |  |  | 9,519 |
Loans HFS, at lower of cost or fair value | 1,007 |  |  | 982 |  |  | 1,723 |  |  | 1,889 |
Loans HFS, at fair value | 52,328 |  |  | 42,787 |  |  | 89,566 |  |  | 85,503 |
Total interest expense | $ | 57,367 |  |  | $ | 48,618 |  |  | $ | 99,545 |  |  | $ | 96,911 |
Net interest income | $ | (2,865) |  |  | $ | 4,225 |  |  | $ | (309) |  |  | $ | 4,231 |
Gain on Originated Residential Mortgage Loans, HFS, Net Newrez originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. In connection with the sale or securitization of loans to the GSEs or mortgage investors, Rithm Capital reports gain on originated residential mortgage loans, HFS, net in the Consolidated Statements of Operations. The following table summarizes the components of gain on originated residential mortgage loans, HFS, net:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 (As Restated) |  | 2024 |  | 2023 (As Restated)
Gain (loss) on residential mortgage loans originated and sold, net(A) | $ | (217,515) |  |  | $ | (93,059) |  |  | $ | (341,629) |  |  | $ | (127,373) |
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B) | 10,077 |  |  | (11,483) |  |  | (5,447) |  |  | (1,579) |
MSRs retained on transfer of residential mortgage loans(C) | 364,305 |  |  | 202,303 |  |  | 580,244 |  |  | 342,816 |
Other(D) | 5,114 |  |  | 2,302 |  |  | 11,608 |  |  | (3,141) |
Realized gain on sale of originated residential mortgage loans, net | $ | 161,981 |  |  | $ | 100,063 |  |  | $ | 244,776 |  |  | $ | 210,723 |
Change in fair value of residential mortgage loans | (8,907) |  |  | 27,891 |  |  | 5,361 |  |  | 59,489 |
Change in fair value of interest rate lock commitments (Note 17) | (14,817) |  |  | (19,898) |  |  | (7,332) |  |  | 6,342 |
Change in fair value of derivative instruments (Note 17) | 15,484 |  |  | 70,528 |  |  | 53,394 |  |  | 11,298 |
Gain on originated residential mortgage loans, HFS, net | $ | 153,741 |  |  | $ | 178,584 |  |  | $ | 296,199 |  |  | $ | 287,852 |
(A)Includes residential mortgage loan origination fees of $233.8 million and $94.0 million for the three months ended June 30, 2024 and 2023, respectively. Includes residential mortgage loan origination fees of $411.5 million and $162.9 million for the six months ended June 30, 2024 and 2023, respectively. (B)Represents settlement of forward securities delivery commitments utilized as an economic hedge for mortgage loans not included within forward loan sale commitments. (C)Represents the initial fair value of the capitalized MSRs upon loan sales with servicing retained. (D)Includes fees for services associated with the residential mortgage loan origination process.

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