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MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables)
 9 Months Ended
Sep. 30, 2024
Transfers and Servicing of Financial Assets [Abstract]  
Schedule of Activity Reated to MSRs and MSR Financing Receivables and by Type
The following table summarizes activity related to MSRs and MSR financing receivables:
Balance as of December 31, 2023
$8,405,938 
Acquisition697,494 
Originations(A)
943,511 
Sales2,748 
Change in fair value due to:
    Realization of cash flows(B)
(425,259)
    Change in valuation inputs and assumptions(323,443)
Balance as of September 30, 2024
$9,300,989 
(A)Represents MSRs retained on the sale of originated residential mortgage loans. Includes $28.3 million of MSRs capitalized through co-issue with third-parties.
(B)Based on the paydown of the underlying residential mortgage loans.
The following table summarizes MSRs and MSR financing receivables by type as of September 30, 2024:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
Agency$383,218,306 6.2$5,767,835 
Non-Agency70,815,704 5.2818,978 
Ginnie Mae(C)
134,831,540 6.02,714,176 
Total/Weighted Average$588,865,550 6.1$9,300,989 
(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Represents fair value. As of September 30, 2024, weighted average discount rates of 8.8% (range of 8.5% – 10.3%) were used to value Rithm Capital’s MSRs and MSR financing receivables.
(C)As of September 30, 2024, Rithm Capital holds approximately $2.4 billion in residential mortgage loans subject to repurchase and the related residential mortgage loan repurchase liability on its consolidated balance sheets.
The following table presents activity related to the consolidated investments in Excess MSRs measured at fair value:
Total
Balance as of December 31, 2023(A)
$271,150 
Purchases122,887 
Interest income18,893 
Other income(656)
Proceeds from repayments(37,728)
Proceeds from sales— 
Change in fair value9,982 
Acquisition of assets from Fortress Excess MSR JV:
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 investees1,617 
Reclassification of SLS serviced excess MSRs to full MSRs(1,032)
Balance as of September 30, 2024
$375,923 
(A)Total investment in Excess MSRs as of December 31, 2023, contains both direct and indirect investments in Excess MSR by the Company. As a result of Rithm Capital’s investment in the Fortress Excess MSR JV during the second quarter of 2024, it is now included in Rithm Capital’s direct investments in Excess MSRs.
Schedule of Components of Servicing Revenue, Net
The following table summarizes components of servicing revenue, net:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2024202320242023
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables$454,757 $412,167 $1,338,860 $1,283,967 
Ancillary and other fees38,414 30,258 123,180 93,462 
Servicing fee revenue, net and fees493,171 442,425 1,462,040 1,377,429 
Change in fair value due to:
Realization of cash flows(A)
(139,784)(138,993)(421,761)(384,094)
Change in valuation inputs and assumptions, net of realized gains (losses)(B)
(607,551)159,927 (309,297)284,756 
Servicing Revenue, Net$(254,164)$463,359 $730,982 $1,278,091 
(A)Net of $1.3 million and $3.5 million of realization of cash flows related to excess spread financing for the three and nine months ended September 30, 2024, respectively (Note 12).
(B)Net of $7.3 million and $14.1 million of change in valuation inputs and assumptions related to excess spread financing for the three and nine months ended September 30, 2024, respectively (Note 12).
Schedule of Geographic Distribution of the Underlying Residential Mortgage Loans of the MSRs and MSR Financing Receivables
The table below summarizes the geographic distribution of the residential mortgage loans underlying the MSRs and MSR financing receivables:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationSeptember 30, 2024December 31, 2023
California16.6 %17.1 %
Florida8.3 %8.6 %
Texas6.5 %6.2 %
New York5.8 %6.0 %
Washington5.3 %5.8 %
New Jersey4.1 %4.3 %
Virginia3.6 %3.6 %
Maryland3.4 %3.4 %
Illinois3.3 %3.3 %
Georgia3.1 %3.0 %
Other U.S.40.0 %38.7 %
100.0 %100.0 %
Schedule of Type of Advances Included in the Servicer Advances Receivable
The table below summarizes the type of advances included in the servicer advances receivable:
September 30, 2024December 31, 2023
Principal and interest advances$642,422 $616,801 
Escrow advances (taxes and insurance advances)1,578,465 1,442,697 
Foreclosure advances655,029 767,171 
Gross advance balance(A)(B)(C)
2,875,916 2,826,669 
Reserves, impairment, unamortized discount, net of recovery accruals(149,813)(66,419)
Total Servicer Advances Receivable$2,726,103 $2,760,250 
(A)Includes $634.8 million and $585.0 million of servicer advances receivable related to agency MSRs, respectively, recoverable either from the borrower or the agencies.
(B)Includes $388.6 million and $405.6 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae.
(C)Expected losses for advances associated with loans in the MSR portfolio are considered in the MSR fair value through a non-reimbursable advance loss assumption.
The following table summarizes servicer advance investments, including the right to the base fee component of the related MSRs:
Amortized Cost Basis
Carrying Value(A)
Weighted Average Discount RateWeighted Average Yield
Weighted Average Life (Years)(B)
September 30, 2024
Servicer advance investments$330,137 $341,303 6.2 %6.5 %8.2
December 31, 2023
Servicer advance investments$362,760 $376,881 6.2 %6.6 %8.1
(A)Represents the fair value of the servicer advance investments, including the base fee component of the related MSRs.
(B)Represents the weighted average expected timing of the receipt of expected net cash flows for this investment.
The following table provides additional information regarding the servicer advance investments and related financing:
UPB of Underlying Residential Mortgage LoansOutstanding Servicer AdvancesServicer Advances to UPB of Underlying Residential Mortgage LoansFace Amount of Secured Notes and Bonds Payable
LTV(A)
Cost of Funds(C)
Gross
Net(B)
GrossNet
September 30, 2024
Servicer advance investments(D)
$13,690,124 $297,741 2.2 %$259,451 83.9 %81.5 %6.9 %6.4 %
December 31, 2023
Servicer advance investments(D)
$15,499,559 $320,630 2.1 %$278,845 84.1 %81.9 %7.5 %6.9 %
(A)Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.
(B)Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.
(C)Annualized measure of the cost associated with borrowings. Gross cost of funds primarily includes interest expense and facility fees. Net cost of funds excludes facility fees.
(D)The following table summarizes the types of advances included in servicer advance investments:
September 30, 2024December 31, 2023
Principal and interest advances$53,873 $57,909 
Escrow advances (taxes and insurance advances)132,826 149,346 
Foreclosure advances111,042 113,375 
Total$297,741 $320,630 
Schedule of Servicer Advances Provision Activity
The following table summarizes servicer advances provision activity during the period:

Balance at December 31, 2023$93,681 
Provision38,269 
Write-offs(13,689)
Balance at September 30, 2024$118,261