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EXCESS MORTGAGE SERVICING RIGHTS (Tables)
 12 Months Ended
Dec. 31, 2022
Transfers and Servicing [Abstract]  
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs
The table below summarizes the components of Excess MSRs:
Year Ended December 31,
20222021
Direct investments in Excess MSRs$249,366 $259,198 
Excess MSR Joint Ventures72,437 85,749 
Excess mortgage servicing rights assets, at fair value$321,803 $344,947 
The following table presents activity related to the carrying value of direct investments in Excess MSRs:
Servicer
Total(A)
Balance as of December 31, 2020
$310,938 
Interest income20,296 
Other income78 
Proceeds from repayments(56,052)
Proceeds from sales(984)
Change in fair value(15,078)
Balance as of December 31, 2021
259,198 
Interest income38,035 
Other income42 
Proceeds from repayments(43,950)
Proceeds from sales(997)
Change in fair value(2,962)
Balance as of December 31, 2022
$249,366 
(A)Underlying loans serviced by Mr. Cooper and Specialized Loan Servicing LLC (“SLS”).
The following table summarizes activity related to MSRs and MSR Financing Receivables:
Total
Balance as of December 31, 2020$4,585,841 
Caliber acquisition (Note 3)1,507,524 
Purchases, net(A)
10,949 
Originations(B)
1,331,626 
Proceeds from sales(63,451)
Change in fair value due to:
Realization of cash flows(C)
(1,196,527)
Change in valuation inputs and assumptions680,431 
(Gain) loss realized2,410 
Balance as of December 31, 2021
$6,858,803 
Purchases, net(A)
(967)
Originations(B)
1,222,742 
Proceeds from sales(14,282)
Change in fair value due to:
Realization of cash flows(C)
(631,120)
Change in valuation inputs and assumptions1,449,134 
(Gain) loss realized5,093 
Balance as of December 31, 2022
$8,889,403 
(A)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.
(B)Represents MSRs retained on the sale of originated residential mortgage loans.
(C)Based on the paydown of the underlying residential mortgage loans.
The following is a summary of MSRs and MSR Financing Receivables as of December 31, 2022 and 2021:
UPB of Underlying Mortgages
Weighted Average Life (Years)(A)
Carrying Value(B)
2022
Agency$364,879,106 7.2$6,022,266 
Non-Agency53,881,903 4.9794,459 
Ginnie Mae(c)
121,136,315 6.72,072,678 
Total$539,897,324 6.9$8,889,403 
2021
Agency$374,815,579 6.1$4,443,713 
Non-Agency63,851,154 8.3943,210 
Ginnie Mae(c)
109,946,356 5.71,471,880 
Total/Weighted Average$548,613,089 6.3$6,858,803 
(A)Represents the weighted average expected timing of the receipt of expected cash flows for this investment.
(B)Represents fair value. As of December 31, 2022 and 2021, weighted average discount rates of 8.3% (range of 7.6% – 9.8%) and 7.4% (range of 6.9% – 12.5%), respectively, were used to value Rithm Capital’s MSRs and MSR Financing Receivables, respectively.
(C)As of December 31, 2022 and 2021, Rithm Capital holds approximately $1.2 billion and $1.8 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets.
Summary of Direct Investments in Excess MSRs
The following summarizes direct investments in Excess MSRs:
December 31, 2022
UPB of Underlying MortgagesInterest in Excess MSR
Weighted Average Life Years(A)
Amortized Cost Basis
Carrying Value(B)
Rithm Capital(C)(D)
Fortress-managed fundsMr. Cooper
$48,154,644 
32.5% – 100% (56.5%)
—% – 50.0%
—% – 35.0%
6.3$207,470 $249,366 
December 31, 2021
UPB of Underlying MortgagesInterest in Excess MSR
Weighted Average Life Years(A)
Amortized Cost Basis
Carrying Value(B)
Rithm Capital(C)(D)
Fortress-managed fundsMr. Cooper
$57,422,177 
 32.5% – 100.0% (56.3%)
—% – 50.0%
—% – 35.0%
6.3$214,239 $259,198 
(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 is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of December 31, 2022 and 2021 (Note 7) on $17.0 billion and $20.3 billion UPB, respectively, underlying these Excess MSRs.

Changes in fair value of investments consists of the following:
Year Ended December 31,
202220212020
Original and Recaptured Pools$(2,962)$(15,078)$(16,232)
Summary of the Financial Results of Excess MSR Joint Ventures, Accounted for as Equity Method Investees
The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees:
December 31,
20222021
Excess MSRs$135,356 $152,383 
Other assets10,204 19,802 
Other liabilities(687)(687)
Equity$144,873 $171,498 
Rithm Capital’s investment$72,437 $85,749 
Rithm Capital’s percentage ownership50.0 %50.0 %
Year Ended December 31,
202220212020
Interest income$15,157 $7,574 $22,507 
Other income (loss)(12,073)(3,906)(29,461)
Expenses(32)(32)(24)
Net income (loss)$3,052 $3,636 $(6,978)

The following table summarizes the activity of investments in equity method investees:
December 31,
20222021
Balance at beginning of period$85,749 $99,917 
Contributions (distributions) to equity method investees— — 
Distributions of capital from equity method investees(14,838)(15,986)
Change in fair value of investments in equity method investees1,526 1,818 
Balance at end of period$72,437 $85,749 
Summary of Excess MSR Investments made through Equity Method Investees
The following table summarizes Excess MSR investments made through equity method investees:
December 31, 2022
Unpaid Principal Balance
Investee Interest in Excess MSR(A)
Rithm Capital Interest in Investees
Amortized Cost Basis(B)
Carrying Value(C)
Weighted Average Life (Years)(D)
Agency
Original and recaptured pools$19,299,726 66.7%50.0%$106,176 $135,356 5.1
December 31, 2021
Unpaid Principal Balance
Investee Interest in Excess MSR(A)
Rithm Capital Interest in Investees
Amortized Cost Basis(B)
Carrying Value(C)
Weighted Average Life (Years)(D)
Agency
Original and recaptured pools$23,039,453 66.7%50.0%$112,840 $152,383 5.7
(A)The remaining interests are held by Mr. Cooper.
(B)Represents the amortized cost basis of the equity method investees in which Rithm Capital holds a 50% interest.
(C)Represents the carrying value of the Excess MSRs held in equity method investees, in which Rithm Capital holds a 50% interest. Carrying value represents the fair value of the pools, as applicable.
(D)Represents the weighted average expected timing of the receipt of cash flows of each investment.