REAL ESTATE AND OTHER SECURITIES (Tables)

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Schedule of Debt Securities, Available-for-sale

The following table summarizes Real Estate and Other Securities by designation:

	March 31, 2023																December 31, 2022
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Coupon(B)		Yield		Life (Years)(C)	Principal Subordination(D)		Carrying Value
RMBS Designated as Available for Sale (AFS):
Agency(E)	$	78,918	$	—	$	—	$	73,181	1	3.50	%	3.50	%	11.0	N/A		$	73,439
Non-Agency(F)(G)	2,598,801		71,727		(30,071)		390,848		334	3.50	%	3.70	%	4.8	29.4	%	397,076
RMBS Measured at Fair Value through Net Income (FVO):
Agency(E)	7,962,225		165,874		(2,709)		7,968,337		38	5.10	%	5.10	%	8.0	N/A		7,264,978
Non-Agency(F)(G)	14,949,437		65,182		(87,119)		555,206		344	2.70	%	8.70	%	6.1	16.6	%	553,784
Total/Weighted Average	$	25,589,381	$	302,783	$	(119,899)	$	8,987,572	717	4.90	%	5.30	%	7.8			$	8,289,277

(A)Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements.

(B)Excludes residual bonds and certain other Non-Agency bonds, with a carrying value of $18.6 million and $1.2 million, respectively, for which no coupon payment is expected.

(C)Based on the timing of expected principal reduction on the assets.

(D)Percentage of the amortized cost basis of securities that is subordinate to Rithm Capital’s investments, excluding fair value option securities.

(E)The total outstanding face amount was $8.0 billion for fixed rate securities as of March 31, 2023.

(F)The total outstanding face amount was $8.2 billion (including $7.3 billion of residual and fair value option notional amount) for fixed rate securities and $9.3 billion (including $9.1 billion of residual and fair value option notional amount) for floating rate securities as of March 31, 2023.

(G)Includes other asset-backed securities consisting primarily of (i) interest-only securities and servicing strips (fair value option securities) which Rithm Capital elected to carry at fair value and record changes to valuation through earnings, (ii) bonds backed by consumer loans and (iii) corporate debt.

			Gross Unrealized							Weighted Average
Asset Type	Outstanding Face Amount		Gains		Losses		Carrying Value		Number of Securities		Coupon		Yield		Life (Years)
Corporate debt	$	514	$	2	$	—	$	479	2		8.2	%	9.5	%	2.2
Consumer loan bonds	400		553		—		577		3		N/A		N/A		0.7
Fair value option securities:
Interest-only securities	9,417,388		33,121		(30,151)		157,605		143		0.9	%	14.2	%	2.7
Servicing strips	4,264,723		22,010		(4,262)		61,056		61		0.6	%	27.1	%	3.4

The following table summarizes purchases and sales of Real Estate and Other Securities:

	Three Months Ended March 31,
	2023				2022
(in millions)	Agency		Non-Agency		Agency		Non-Agency
Purchases
Face	$	2,162.4	$	25.2	$	998.2	$	2,210.0
Purchase price	2,154.4		2.4		1,004.5		115.7
Sales
Face	$	1,462.4	$	—	$	—	$	—
Amortized cost	1,442.8		—		—		1.6
Sale price	1,395.9		—		—		—
Gain (loss) on sale	(46.9)		—		—		(1.6)

Summary of Real Estate Securities in an Unrealized Loss Position

The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of March 31, 2023:

Securities in an Unrealized Loss Position	Outstanding Face Amount		Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average
			Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Coupon		Yield		Life (Years)
Less than 12 Months	$	170,182	$	156,345	$	(5,670)	$	150,675	$	(7,318)	$	143,357	89	3.2	%	3.9	%	7.3
12 or More Months	222,735		219,554		(3,918)		215,636		(22,753)		192,883		110	3.8	%	3.5	%	4.6
Total/Weighted Average	$	392,917	$	375,899	$	(9,588)	$	366,311	$	(30,071)	$	336,240	199	3.5	%	3.7	%	5.8

(A)Represents credit impairment on securities in an unrealized loss position as of March 31, 2023.

Rithm Capital performed an assessment of all RMBS designated as AFS that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:

	March 31, 2023								December 31, 2022
					Gross Unrealized Losses								Gross Unrealized Losses
RMBS Designated as AFS	Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)		Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)
Securities Rithm Capital intends to sell	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Securities Rithm Capital is more likely than not to be required to sell(C)	—		—		—		—		—		—		—		—
Securities Rithm Capital has no intent to sell and is not more likely than not to be required to sell:
Credit impaired securities	77,476		77,907		(9,588)		(431)		77,843		78,101		(10,816)		(258)
Non-credit impaired securities	258,764		288,404		—		(29,640)		271,405		304,831		—		(33,426)
Total debt securities in an unrealized loss position	$	336,240	$	366,311	$	(9,588)	$	(30,071)	$	349,248	$	382,932	$	(10,816)	$	(33,684)

(A)Required to be recorded through earnings. In measuring the portion of credit losses, Rithm Capital estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows included Rithm Capital’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’s effective interest rate.

(B)Represents unrealized losses on securities that are due to non-credit factors.

(C)Rithm Capital may, at times, be more likely than not to be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, Rithm Capital must make its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.

Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss

The following table summarizes the activity related to the allowance for credit losses on RMBS designated as AFS (excluding credit impairment relating to securities Rithm Capital intends to sell or is more likely than not required to sell):

RMBS Designated as AFS	Purchased Credit Deteriorated		Non-Purchased Credit Deteriorated		Total
Allowance for credit losses on available-for-sale debt securities at December 31, 2022	$	4,140	$	6,676	$	10,816
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	—		—		—
Additions to the allowance for credit losses arising from purchases of available-for-sale debt securities accounted for as purchased financial assets with credit deterioration	—		—		—
Reductions for securities sold during the period	—		—		—
Reductions in the allowance for credit losses because the entity intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis	—		—		—
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses, or an allowance recorded in a previous period	(137)		(1,091)		(1,228)
Write-offs charged against the allowance					—
Recoveries of amounts previously written off					—
Allowance for credit losses on available-for-sale debt securities at March 31, 2023	$	4,003	$	5,585	$	9,588

Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible

The following is the outstanding face amount and carrying value for securities, for which, as of the acquisition date, it was probable that Rithm Capital would be unable to collect all contractually required payments, excluding residual and fair value option securities:

	Outstanding Face Amount		Carrying Value
March 31, 2023	$	441,521	$	65,264
December 31, 2022	443,680		66,775

Summary of Changes in Accretable Yield for Securities

The following is a summary of the changes in accretable yield for these securities:

Balance at December 31, 2022	$	41,200
Additions	—
Accretion	(502)
Reclassifications from (to) non-accretable difference	2,543
Disposals	—
Balance at March 31, 2023	$	43,241