GOVERNMENT AND GOVERNMENT-BACKED SECURITIES

9 Months Ended

Sep. 30, 2024

Investments, Debt and Equity Securities [Abstract]

GOVERNMENT AND GOVERNMENT-BACKED SECURITIES

Government and government-backed securities include Agency RMBS issued by the GSEs or Ginnie Mae (“Agency”) securities and US Treasury (“Treasury”) securities. The following tables summarize Agency and Treasury securities by designation:


	September 30, 2024											December 31, 2023
			Gross Unrealized							Weighted Average
	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:
Agency(C)	$	70,544	$	—	$	—	$	64,089	1	3.5	%	3.5	%		7.8		$	65,496

Securities Measured at Fair Value through Net Income:
Agency(C)	6,745,583		168,784		(374)		6,748,811		42	5.0	%	5.0	%		5.7		8,467,634
Treasury(C)	3,250,000		39,883		—		3,297,266		3	4.5	%	4.5	%		1.9		—
Total/Weighted Average	$	10,066,127	$	208,667	$	(374)	$	10,110,166	46	4.8	%	4.8	%		4.5		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 September 30, 2024.


	September 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:
Treasury	$	25,000	$	24,731	$	24,761	$	30	1	5.1	%		0.2	$	24,553

The following table summarizes purchases and sales of Agency and Treasury securities:


	Three Months Ended September 30,								Nine Months Ended September 30,
	2024				2023				2024				2023
	Treasury(A)		Agency		Treasury(A)		Agency		Treasury(A)		Agency		Treasury		Agency
Purchases:
Face	$	5,775,000	$	—	$	—	$	1,211,323	$	8,800,000	$	1,280,545	$	1,000,000	$	3,373,770
Purchase price	5,787,401		—		—		1,196,221		8,788,328		1,249,562		973,795		3,350,588

Sales:
Face	$	2,500,000	$	2,556,839	$	—	$	230,035	$	5,500,000	$	2,556,839	$	—	$	1,692,436
Amortized cost	2,505,430		2,536,357		—		229,838		5,481,688		2,536,357		—		1,672,653
Sale price	2,542,051		2,583,782		—		219,611		5,499,395		2,583,782		—		1,615,538
Realized gain (loss)	36,621		47,425		—		(10,227)		17,707		47,425		—		(57,115)

(A)Excludes treasury short sales and purchases to cover short sale liabilities. Refer to Note 17 for information regarding short sales.

As of September 30, 2024, Rithm Capital had no unsettled trades.

See Note 18 regarding the financing of government and government-backed securities.