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RESIDENTIAL MORTGAGE LOANS
 9 Months Ended
Sep. 30, 2022
Receivables [Abstract]  
RESIDENTIAL MORTGAGE LOANS RESIDENTIAL MORTGAGE LOANS
Rithm Capital accumulated its residential mortgage loan portfolio through various bulk acquisitions and the execution of call rights. Rithm Capital, through its Mortgage Company, originates residential mortgage loans for sale and securitization to third parties and generally retains the servicing rights on the underlying loans.

Loans are accounted for based on Rithm Capital’s strategy for the loan and on whether the loan was credit-impaired at the date of acquisition. As of September 30, 2022, Rithm Capital accounts for loans based on the following categories:

•Loans held-for-investment, at fair value
•Loans held-for-sale, at lower of cost or fair value
•Loans held-for-sale, at fair value
The following table summarizes residential mortgage loans outstanding by loan type:
September 30, 2022December 31, 2021
Loan TypeOutstanding Face AmountCarrying
Value		Loan
Count		Weighted Average Yield
Weighted Average Life (Years)(A)
Carrying Value
Total residential mortgage loans, held-for-investment, at fair value(B)
$557,143 $470,935 9,936 8.1 %3.9$569,933 
Acquired performing loans(C)
101,691 86,418 2,414 8.0 %4.3130,634 
Acquired non-performing loans(D)
20,560 17,601 379 6.8 %4.32,287 
Total residential mortgage loans, held-for-sale, at lower of cost or market$122,251 $104,019 2,793 7.8 %4.3$132,921 
Acquired performing loans(C)(E)
$1,094,652 $1,009,159 5,508 5.2 %17.5$2,070,262 
Acquired non-performing loans(D)(E)
275,162 246,861 1,432 4.9 %14.8315,063 
Originated loans2,756,474 2,677,372 4,574 5.5 %29.08,829,599 
Total residential mortgage loans, held-for-sale, at fair value$4,126,288 $3,933,392 11,514 5.4 %25.0$11,214,924 
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market$4,248,539 $4,037,411 $11,347,845 
(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, held-for-investment, at fair value is grouped and presented as part of Residential Loans and Variable Interest Entity Consumer Loans Held-for-Investment, at Fair Value on the Consolidated Balance Sheets.
(C)Performing loans are generally placed on nonaccrual status when principal or interest is 120 days or more past due.
(D)As of September 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below.
(E)Includes $645.2 million and $140.2 million UPB of Ginnie Mae EBO 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 the underlying residential mortgage loans:
Percentage of Total Outstanding Unpaid Principal Amount
State ConcentrationSeptember 30, 2022December 31, 2021
Florida10.2 %10.1 %
California10.0 %15.7 %
Texas8.4 %6.7 %
New York6.1 %7.1 %
Washington5.0 %7.5 %
New Jersey4.2 %3.8 %
Georgia4.1 %3.1 %
Illinois3.5 %2.8 %
Indiana3.1 %2.0 %
Maryland2.9 %3.1 %
Other U.S. 42.5 %38.1 %
100.0 %100.0 %

See Note 18 regarding the financing of residential mortgage loans.
The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans:
September 30, 2022December 31, 2021
Days Past DueUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal BalanceUnpaid Principal BalanceFair ValueFair Value Over (Under) Unpaid Principal Balance
90+475,041 420,412 (54,629)779,178 740,043 (39,135)

Call Rights

Rithm Capital has executed calls with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO assets contained in such trusts prior to their termination. In certain cases, Rithm Capital sold portions of the purchased loans through securitizations, and retained bonds issued by such securitizations. In addition, Rithm Capital received par on the securities issued by the called trusts which it owned prior to such trusts’ termination. For the nine months ended September 30, 2022, Rithm Capital executed calls on a total of 5 trusts and recognized no interest income on securities held in the collapsed trusts and $8.3 million of gain on securitizations accounted for as sales. For the nine months ended September 30, 2021, Rithm Capital executed calls on a total of 65 trusts and recognized $3.3 million of interest income on securities held in the collapsed trusts and $28.7 million of gain on securitizations accounted for as sales. Refer to Note 23 for transactions with affiliates.

The following table summarizes the activity for residential mortgage loans:
Loans Held-for-Investment, at Fair ValueLoans Held-for-Sale, at Lower of Cost or Fair ValueLoans Held-for-Sale, at Fair ValueTotal
Balance at December 31, 2021
$569,932 $132,921 $11,214,924 $11,917,777 
Originations — — 59,457,213 59,457,213 
Sales— (4,426)(70,567,247)(70,571,673)
Purchases/additional fundings7,182 — 4,338,291 4,345,473 
Proceeds from repayments(65,349)(14,568)(346,973)(426,890)
Transfer of loans to other assets(A)
— — (25,552)(25,552)
Transfer of loans to real estate owned(3,543)(601)(355)(4,499)
Transfers of loans to held for sale(1,582)— — (1,582)
Transfer of loans from held-for-investment— — 1,582 1,582 
Valuation (provision) reversal on loans— (9,307)— (9,307)
Fair value adjustments due to:
Changes in instrument-specific credit risk(40,422)— (61,607)(102,029)
Other factors4,717 — (76,884)(72,167)
Balance at September 30, 2022
$470,935 $104,019 $3,933,392 $4,508,346 
(A)Represents loans for which foreclosure has been completed and for which Rithm Capital has made, or intends to make, a claim with the governmental agency that has guaranteed the loans that are grouped and presented as part of claims receivable in Other Assets (Note 13).
Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2022202120222021
Interest income:
Loans held-for-investment, at fair value$11,550 $11,090 $32,298 $34,061 
Loans held-for-sale, at lower of cost or fair value1,613 5,449 5,429 18,241 
Loans held-for-sale, at fair value47,885 75,802 174,536 163,769 
Total interest income61,048 92,341 212,263 216,071 
Interest expense:
Loans held-for-investment, at fair value3,793 4,238 9,955 13,129 
Loans held-for-sale, at lower of cost or fair value841 4,030 2,513 16,303 
Loans held-for-sale, at fair value and SFR properties47,953 49,187 129,332 103,785 
Total interest expense52,587 57,455 141,800 133,217 
Net interest income$8,461 $34,886 $70,463 $82,854 

Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net

The Mortgage Company originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. The GSEs or Ginnie Mae guarantee conventional and government-insured mortgage securitizations and mortgage investors issue nonconforming private label mortgage securitizations while the Mortgage Company generally retains the right to service the underlying residential mortgage loans. In connection with the transfer of loans to the GSEs or mortgage investors, Rithm Capital reports Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net in the Consolidated Statements of Income.

The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net:
Three Months Ended
September 30,		Nine Months Ended
September 30,
2022202120222021
Gain (loss) on residential mortgage loans originated and sold, net(A)
$(141,327)$249,848 $(933,582)$347,574 
Gain (loss) on settlement of residential mortgage loan origination derivative instruments(B)
57,407 (105,594)1,109,163 48,522 
MSRs retained on transfer of residential mortgage loans(C)
268,613 415,054 1,059,535 878,190 
Other(D)
2,763 27,614 32,302 79,716 
Realized gain on sale of originated residential mortgage loans, net$187,456 $586,922 $1,267,418 $1,354,002 
Change in fair value of residential mortgage loans(113,210)(70,932)(383,169)(67,545)
Change in fair value of interest rate lock commitments (Note 17)(104,440)(101,411)(154,644)(281,094)
Change in fair value of derivative instruments (Note 17)233,673 152,182 250,661 251,731 
Gain on originated residential mortgage loans, held-for-sale, net$203,479 $566,761 $980,266 $1,257,094 
(A)Includes residential mortgage loan origination fees of $156.8 million and $678.4 million for the three months ended September 30, 2022 and 2021, respectively. Includes residential mortgage loan origination fees of $526.1 million and $1,775.7 million for the nine months ended September 30, 2022 and 2021, 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 mortgage servicing rights upon loan sales with servicing retained.
(D)Includes fees for services associated with the residential mortgage loan origination process.