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EXCESS MORTGAGE SERVICING RIGHTS (Tables)
 9 Months Ended
Sep. 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 
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 Investments in Excess MSRs and Changes in Fair Value of Investments of Excess MSR
The following summarizes investments in direct Excess MSRs:
September 30, 2024December 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%
(30.9%)
5.8$329,562 $375,923 $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 base fee component of the related MSR as of September 30, 2024 (Note 14) on $13.7 billion UPB underlying these Excess MSRs.
Changes in fair value of Excess MSR investments consist of the following:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2024202320242023
Original and Recaptured Pools$11,904 $(3,498)$9,982 $(13,915)