Rithm Capital enters into economic hedges including interest rate swaps, to-be-announced forward contract positions (“TBAs”) and treasury short sales to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. Rithm Capital’s credit risk with respect to economic hedges is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

Rithm Capital may at times hold TBAs in order to mitigate Rithm Capital’s interest rate risk on certain specified MBSs and MSRs. Amounts or obligations owed by or to Rithm Capital are subject to the right of set-off with the counterparty. As part of executing these trades, Rithm Capital may enter into agreements with its counterparties that govern the transactions for the purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements and various other provisions. Changes in the value of economic hedges designed to protect against MBSs and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below.

Rithm Capital enters into short sales of treasury securities to mitigate interest rate risk by borrowing the securities under reverse repurchase agreements and selling them into the market. The Company accounts for these as securities borrowing transactions and recognizes an obligation to return the borrowed securities at fair value and is presented in other assets or accrued expenses and other liabilities on the consolidated balance sheets based on the value of the underlying treasury security as of the reporting date.

As of September 30, 2024, Rithm Capital also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific residential mortgage loans at prices which are fixed as of the forward commitment date. Rithm Capital enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and residential mortgage loans that are not covered by residential mortgage loan sale commitments.

Derivatives and economic hedges are recorded at fair value and presented in other assets or accrued expenses and other liabilities on the consolidated balance sheets, as follows:


	September 30, 2024		December 31, 2023
Derivative and Hedging Assets:
Interest rate swaps(A)	$	7	$	106
IRLCs	39,055		26,482
TBAs	11,452		1,492

	$	50,514	$	28,080
Derivative and Hedging Liabilities:
Foreign exchange forwards	$	448	$	—
IRLCs	6,933		2,678
TBAs	59,748		49,087
Treasury short sales(B)	2,207		—
Other commitments(C)	16,079		—
	$	85,415	$	51,765

(A)Net of $68.2 million and $342.0 million of related variation margin accounts as of September 30, 2024 and December 31, 2023, respectively.

(B)As of September 30, 2024, represents the net of repurchase agreements and $0.5 billion of related reverse repurchase agreement lending facilities used to borrow securities to effectuate short sales of Treasury securities. As of December 31, 2023, Treasury securities payable and related reverse repurchase agreements are presented on a gross basis on the consolidated balance sheets.

(C)During the first quarter of 2024, a subsidiary of the Company entered into an agreement with an affiliate, which could result in the subsidiary being required to make a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate, subject to a maximum amount of $25.5 million. The agreement is classified as a derivative liability and measured at fair value.


	September 30, 2024		December 31, 2023
Interest rate swaps(A)	$	7,745,000	$	7,979,988
IRLCs	4,585,355		2,757,060
Treasury short sales(B)	—		1,800,000
TBAs(C)	15,666,500		6,013,100
Other commitments	25,057		—
Foreign exchange forwards	16,000		—

(A)Includes $1.8 billion notional of receive Secured Overnight Financing Rate (“SOFR”)/pay fixed of 3.3% and $5.9 billion notional of receive fixed of 3.7%/pay SOFR with weighted average maturities of 85 months and 48 months, respectively, as of September 30, 2024. Includes $8.0 billion notional of receive SOFR/pay fixed of 2.5% and $0.0 billion notional of receive fixed of 0.0%/pay SOFR with weighted average maturities of 32 months and 0 months, respectively, as of December 31, 2023.

The following table summarizes gain (loss) on derivatives and other hedging instruments and the related presentation on the consolidated statements of operations:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023





Gain (Loss) on Originated Residential Mortgage Loans, HFS, net(A):
IRLCs	$	15,711	$	(8,630)	$	8,379	$	(2,288)
TBAs	(19,236)		15,574		34,158		28,803
Interest rate swaps	—		330		—		(1,601)
	(3,525)		7,274		42,537		24,914
Realized and Unrealized Gains (Losses), net(B):
Interest rate swaps	59,265		191,527		89,855		263,347
TBAs	(8,225)		3,066		(21,126)		(3,808)
Treasury short sales(C)	(16,955)		—		24,342		—
Other commitments	(638)		—		(16,778)		—
	33,447		194,593		76,293		259,539

Total Gain	$	29,922	$	201,867	$	118,830	$	284,453

(B)Excludes $95.9 million loss and $67.4 million gain for the three months ended September 30, 2024 and 2023, respectively, and $101.3 million loss and $65.8 million gain for the nine months ended September 30, 2024 and 2023, respectively, reflected as gain (loss) on settlement of residential mortgage loan origination derivative instruments presented within gain on originated residential mortgage loans, HFS, net (Note 7) in the consolidated statements of operations.