Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2022 | Jul. 29, 2022 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2022 | |
Document Transition Report | false | |
Entity File Number | 001-35777 | |
Entity Registrant Name | Rithm Capital Corp. | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 45-3449660 | |
Entity Address, Address Line One | 799 Broadway | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10003 | |
City Area Code | (212) | |
Local Phone Number | 850-7770 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 466,856,753 | |
Entity Central Index Key | 0001556593 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2022 | |
Common Stock, $0.01 par value per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | RITM | |
Security Exchange Name | NYSE | |
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | RITM PR A | |
Security Exchange Name | NYSE | |
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | RITM PR B | |
Security Exchange Name | NYSE | |
6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 6.375% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | RITM PR C | |
Security Exchange Name | NYSE | |
7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | |
Trading Symbol | RITM PR D | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | ||
Assets | ||||
Excess mortgage servicing rights, at fair value | $ 337,050 | $ 344,947 | ||
Mortgage servicing rights and mortgage servicing rights financing receivables, at fair value | [1] | 8,626,409 | 6,858,803 | |
Servicer advance investments, at fair value | [1] | 379,901 | 421,807 | |
Real estate and other securities | 7,988,802 | 9,396,539 | ||
Residential loans and variable interest entity consumer loans held-for-investment, at fair value | [1] | 934,479 | 1,077,224 | |
Residential mortgage loans, held-for-sale ($5,293,936 and $11,214,924 at fair value, respectively) | 5,410,989 | 11,347,845 | ||
Single-family rental properties, held-for-investment | 927,227 | 579,607 | ||
Mortgage loans receivable, at fair value | [1] | 1,756,079 | 1,515,762 | |
Residential mortgage loans subject to repurchase | [2] | 1,758,509 | 1,787,314 | |
Cash and cash equivalents | 1,510,848 | 1,332,575 | [1] | |
Restricted cash | [1] | 433,960 | 195,867 | |
Servicer advances receivable | [1] | 2,560,696 | 2,855,148 | |
Other assets | [1] | 1,928,898 | 2,028,752 | |
Total assets | 34,553,847 | 39,742,190 | ||
Liabilities | ||||
Secured financing agreements | [1] | 13,967,234 | 20,592,884 | |
Secured notes and bonds payable ([$0] and [$511,107] at fair value, respectively) | [1] | 9,322,026 | 8,644,810 | |
Residential mortgage loan repurchase liability | [2] | 1,758,509 | 1,787,314 | |
Unsecured senior notes, net of issuance costs | 544,167 | 543,293 | ||
Due to affiliates | 0 | 17,819 | ||
Dividends payable | 127,913 | 127,922 | ||
Accrued expenses and other liabilities | [1] | 1,771,000 | 1,358,768 | |
Total liabilities | 27,490,849 | 33,072,810 | ||
Commitments and Contingencies | ||||
Equity | ||||
Preferred stock, $0.01 par value, 100,000,000 shares authorized, 52,038,000 and 52,210,000 issued and outstanding, $1,300,959 and $1,305,250 aggregate liquidation preference, respectively | 1,258,667 | 1,262,481 | ||
Common stock, $0.01 par value, 2,000,000,000 shares authorized, 466,856,753 and 466,758,266 issued and outstanding, respectively | 4,670 | 4,669 | ||
Additional paid-in capital | 6,060,740 | 6,059,671 | ||
Retained earnings (accumulated deficit) | (387,870) | (813,042) | ||
Accumulated other comprehensive income | 57,620 | 90,253 | ||
Total Rithm Capital stockholders’ equity | 6,993,827 | 6,604,032 | ||
Noncontrolling interests in equity of consolidated subsidiaries | [1] | 69,171 | 65,348 | |
Total equity | 7,062,998 | 6,669,380 | ||
Liabilities and Equity | $ 34,553,847 | $ 39,742,190 | ||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details.[2]See Note 5 for details. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Residential mortgage loans, held-for-sale, at fair value | $ 5,293,936 | $ 11,214,924 |
Notes and bonds payable, fair value | $ 380,662 | $ 511,107 |
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares issued (in shares) | 52,038,000 | 52,210,000 |
Equity, beginning balance (in shares) | 52,038,000 | 52,210,000 |
Liquidation preference | $ 1,300,959 | $ 1,305,250 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 2,000,000,000 | 2,000,000,000 |
Common stock, shares issued (in shares) | 466,856,753 | 466,758,266 |
Common stock, shares outstanding (in shares) | 466,856,753 | 466,758,266 |
Assets | $ 34,553,847 | $ 39,742,190 |
Liabilities | 27,490,849 | 33,072,810 |
Variable Interest Entity, Primary Beneficiary | ||
Residential mortgage loans, held-for-sale, at fair value | 735,235 | 798,644 |
Assets | 3,577,519 | 2,757,786 |
Liabilities | $ 2,903,336 | $ 2,141,799 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Revenues | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | $ 469,478 | $ 356,176 | $ 925,878 | $ 704,460 |
Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(180,265), $(297,778), $(380,590), $(637,448), respectively) | 336,563 | (417,983) | 911,956 | (225,709) |
Servicing revenue, net | 806,041 | (61,807) | 1,837,834 | 478,751 |
Interest income | 211,648 | 201,762 | 437,061 | 402,709 |
Gain on originated residential mortgage loans, held-for-sale, net | 304,791 | 286,885 | 776,787 | 690,333 |
Total revenues | 1,322,480 | 426,840 | 3,051,682 | 1,571,793 |
Expenses | ||||
Interest expense and warehouse line fees | 150,829 | 106,539 | 289,662 | 225,444 |
General and administrative | 225,271 | 172,986 | 471,509 | 336,847 |
Compensation and benefits | 339,658 | 194,730 | 732,277 | 393,374 |
Management fee to affiliate | 20,985 | 23,677 | 46,174 | 45,839 |
Termination fee to affiliate | 400,000 | 0 | 400,000 | 0 |
Total operating expenses | 1,136,743 | 497,932 | 1,939,622 | 1,001,504 |
Other Income (Loss) | ||||
Change in fair value of investments, net | (234,040) | 229,900 | (381,159) | (9,888) |
Gain (loss) on settlement of investments, net | 94,936 | (78,611) | 156,120 | (90,603) |
Other income (loss), net | 59,388 | 64,452 | 111,720 | 74,446 |
Total other income (loss) | (79,716) | 215,741 | (113,319) | (26,045) |
Income Before Income Taxes | 106,021 | 144,649 | 998,741 | 544,244 |
Income tax expense (benefit) | 72,690 | (1,077) | 275,479 | 97,182 |
Net income (loss) | 33,331 | 145,726 | 723,262 | 447,062 |
Noncontrolling interests in income of consolidated subsidiaries | 14,182 | 10,053 | 19,791 | 19,447 |
Dividends on preferred stock | 22,427 | 14,358 | 44,888 | 28,716 |
Net income (loss) attributable to common stockholders - basic | (3,278) | 121,315 | 658,583 | 398,899 |
Net Income (Loss) Attributable to Common Stockholders - diluted | $ (3,278) | $ 121,315 | $ 658,583 | $ 398,899 |
Net Income (Loss) Per Share of Common Stock | ||||
Basic (in dollars per share) | $ (0.01) | $ 0.27 | $ 1.41 | $ 0.92 |
Diluted (in dollars per share) | $ (0.01) | $ 0.26 | $ 1.36 | $ 0.88 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 466,804,548 | 456,312,486 | 466,795,119 | 435,668,683 |
Diluted (in shares) | 466,804,548 | 472,729,245 | 484,494,108 | 451,229,665 |
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.40 |
Consolidated Statements of In_2
Consolidated Statements of Income (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
MSRs | ||||
Realization of cash flows | $ (180,265) | $ (297,778) | $ (380,590) | $ (637,448) |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | ||||
Net income | $ 33,331 | $ 145,726 | $ 723,262 | $ 447,062 |
Other comprehensive income, net of tax: | ||||
Unrealized gain (loss) on available-for-sale securities, net | (9,575) | 9,949 | (32,633) | 21,139 |
Reclassification of realized (gain) loss on available-for-sale securities, net into net income | 0 | (823) | 0 | (5,325) |
Comprehensive income | 23,756 | 154,852 | 690,629 | 462,876 |
Comprehensive income attributable to noncontrolling interests | 14,182 | 10,053 | 19,791 | 19,447 |
Dividends on preferred stock | 22,427 | 14,358 | 44,888 | 28,716 |
Comprehensive income (loss) attributable to common stockholders | $ (12,853) | $ 130,441 | $ 625,950 | $ 414,713 |
Consolidated Statement of Chang
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid-in Capital | Retained Earnings (Accumulated Deficit) | Accumulated Other Comprehensive Income | Total Rithm Capital Stockholders’ Equity | Noncontrolling Interests in Equity of Consolidated Subsidiaries |
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2020 | 33,610,000 | |||||||
Common stock, shares outstanding beginning balance (in shares) at Dec. 31, 2020 | 414,744,518 | |||||||
Equity, beginning balance at Dec. 31, 2020 | $ 5,429,684 | $ 812,992 | $ 4,148 | $ 5,547,108 | $ (1,108,929) | $ 65,697 | $ 5,321,016 | $ 108,668 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Dividends declared on common stock | (176,275) | (176,275) | (176,275) | |||||
Dividends declared on preferred stock | (28,716) | (28,716) | (28,716) | |||||
Capital distributions | (34,015) | (34,015) | ||||||
Issuance of common stock (in shares) | 51,725,000 | |||||||
Issuance of common stock | 511,487 | $ 517 | 510,970 | 511,487 | ||||
Director share grants (in shares) | 110,402 | |||||||
Director share grants | 1,110 | $ 2 | 1,108 | 1,110 | ||||
Comprehensive income (loss) | ||||||||
Net income | 447,062 | 427,615 | 427,615 | 19,447 | ||||
Unrealized gain (loss) on available-for-sale securities, net | 21,139 | 21,139 | 21,139 | |||||
Reclassification of realized (gain) loss on available-for-sale securities, net into net income | (5,325) | (5,325) | (5,325) | |||||
Comprehensive income | 462,876 | 443,429 | 19,447 | |||||
Preferred stock, shares outstanding, Ending balance (in shares) at Jun. 30, 2021 | 33,610,000 | |||||||
Common stock, shares outstanding ending balance (in shares) at Jun. 30, 2021 | 466,579,920 | |||||||
Equity, ending balance at Jun. 30, 2021 | 6,166,151 | $ 812,992 | $ 4,667 | 6,059,186 | (886,305) | 81,511 | 6,072,051 | 94,100 |
Preferred stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2021 | 33,610,000 | |||||||
Common stock, shares outstanding beginning balance (in shares) at Mar. 31, 2021 | 414,797,263 | |||||||
Equity, beginning balance at Mar. 31, 2021 | 5,621,813 | $ 812,992 | $ 4,149 | 5,547,607 | (914,304) | 72,385 | 5,522,829 | 98,984 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Dividends declared on common stock | (93,316) | (93,316) | (93,316) | |||||
Dividends declared on preferred stock | (14,358) | (14,358) | (14,358) | |||||
Capital distributions | (14,937) | (14,937) | ||||||
Issuance of common stock (in shares) | 51,725,000 | |||||||
Issuance of common stock | 511,487 | $ 517 | 510,970 | 511,487 | ||||
Director share grants (in shares) | 57,657 | |||||||
Director share grants | 610 | $ 1 | 609 | 610 | ||||
Comprehensive income (loss) | ||||||||
Net income | 145,726 | 135,673 | 135,673 | 10,053 | ||||
Unrealized gain (loss) on available-for-sale securities, net | 9,949 | 9,949 | 9,949 | |||||
Reclassification of realized (gain) loss on available-for-sale securities, net into net income | (823) | (823) | (823) | |||||
Comprehensive income | 154,852 | 144,799 | 10,053 | |||||
Preferred stock, shares outstanding, Ending balance (in shares) at Jun. 30, 2021 | 33,610,000 | |||||||
Common stock, shares outstanding ending balance (in shares) at Jun. 30, 2021 | 466,579,920 | |||||||
Equity, ending balance at Jun. 30, 2021 | $ 6,166,151 | $ 812,992 | $ 4,667 | 6,059,186 | (886,305) | 81,511 | 6,072,051 | 94,100 |
Preferred stock, shares outstanding, beginning balance (in shares) at Dec. 31, 2021 | 52,210,000 | 52,210,000 | ||||||
Common stock, shares outstanding beginning balance (in shares) at Dec. 31, 2021 | 466,758,266 | 466,758,266 | ||||||
Equity, beginning balance at Dec. 31, 2021 | $ 6,669,380 | $ 1,262,481 | $ 4,669 | 6,059,671 | (813,042) | 90,253 | 6,604,032 | 65,348 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Dividends declared on common stock | (233,411) | (233,411) | (233,411) | 0 | ||||
Dividends declared on preferred stock | (44,888) | (44,888) | (44,888) | |||||
Capital distributions | (15,968) | (15,968) | ||||||
Preferred stock repurchase (in shares) | 171,658 | |||||||
Preferred stock repurchase | (3,814) | $ (3,814) | (3,814) | |||||
Director share grants (in shares) | 98,487 | |||||||
Director share grants | 1,070 | $ 1 | 1,069 | 1,070 | ||||
Comprehensive income (loss) | ||||||||
Net income | 723,262 | 703,471 | 703,471 | 19,791 | ||||
Unrealized gain (loss) on available-for-sale securities, net | (32,633) | (32,633) | (32,633) | |||||
Reclassification of realized (gain) loss on available-for-sale securities, net into net income | 0 | |||||||
Comprehensive income | $ 690,629 | 670,838 | 19,791 | |||||
Preferred stock, shares outstanding, Ending balance (in shares) at Jun. 30, 2022 | 52,038,000 | 52,038,342 | ||||||
Common stock, shares outstanding ending balance (in shares) at Jun. 30, 2022 | 466,856,753 | 466,856,753 | ||||||
Equity, ending balance at Jun. 30, 2022 | $ 7,062,998 | $ 1,258,667 | $ 4,670 | 6,060,740 | (387,870) | 57,620 | 6,993,827 | 69,171 |
Preferred stock, shares outstanding, beginning balance (in shares) at Mar. 31, 2022 | 52,038,342 | |||||||
Common stock, shares outstanding beginning balance (in shares) at Mar. 31, 2022 | 466,786,526 | |||||||
Equity, beginning balance at Mar. 31, 2022 | 7,184,712 | $ 1,258,667 | $ 4,669 | 6,059,981 | (267,878) | 67,195 | 7,122,634 | 62,078 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Dividends declared on common stock | (116,714) | (116,714) | (116,714) | |||||
Dividends declared on preferred stock | (22,427) | (22,427) | (22,427) | |||||
Capital distributions | (7,089) | (7,089) | ||||||
Director share grants (in shares) | 70,227 | |||||||
Director share grants | 760 | $ 1 | 759 | 760 | ||||
Comprehensive income (loss) | ||||||||
Net income | 33,331 | 19,149 | 19,149 | 14,182 | ||||
Unrealized gain (loss) on available-for-sale securities, net | (9,575) | (9,575) | (9,575) | |||||
Reclassification of realized (gain) loss on available-for-sale securities, net into net income | 0 | |||||||
Comprehensive income | $ 23,756 | 9,574 | 14,182 | |||||
Preferred stock, shares outstanding, Ending balance (in shares) at Jun. 30, 2022 | 52,038,000 | 52,038,342 | ||||||
Common stock, shares outstanding ending balance (in shares) at Jun. 30, 2022 | 466,856,753 | 466,856,753 | ||||||
Equity, ending balance at Jun. 30, 2022 | $ 7,062,998 | $ 1,258,667 | $ 4,670 | $ 6,060,740 | $ (387,870) | $ 57,620 | $ 6,993,827 | $ 69,171 |
Consolidated Statement of Cha_2
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Statement of Stockholders' Equity [Abstract] | ||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.40 |
Dividends declared on preferred stock | $ (22,427) | $ (14,358) | $ (44,888) | $ (28,716) |
Director share grants | 760 | 610 | 1,070 | 1,110 |
Capital distributions | $ (7,089) | $ (14,937) | $ (15,968) | $ (34,015) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | ||
Cash Flows From Operating Activities | |||
Net income (loss) | $ 723,262 | $ 447,062 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Change in fair value of investments, net | 381,159 | 9,888 | |
Change in fair value of equity investments | 9,111 | 4,617 | |
Change in fair value of secured notes and bonds payable | (35,151) | (1,216) | |
(Gain) loss on settlement of investments, net | (156,120) | 90,603 | |
(Gain) loss on sale of originated residential mortgage loans, held-for-sale, net | (776,787) | (690,333) | |
(Gain) loss on transfer of loans to REO | (4,039) | (4,111) | |
Accretion and other amortization | (34,731) | (31,617) | |
Provision (reversal) for credit losses on securities, loans and real estate owned | 7,528 | (54,015) | |
Non-cash portions of servicing revenue, net | (981,581) | 172,721 | |
Deferred tax provision | 275,458 | 92,195 | |
Mortgage loans originated and purchased for sale, net of fees | (50,321,003) | (54,274,103) | |
Sales proceeds and loan repayment proceeds for residential mortgage loans, held-for-sale | 55,755,342 | 52,783,316 | |
Interest received from servicer advance investments, RMBS, loans and other | 31,394 | 74,776 | |
Changes in: | |||
Servicer advances receivable, net | 294,452 | 253,577 | |
Other assets | 72,498 | 224,180 | |
Due to affiliates | (17,819) | (768) | |
Accrued expenses and other liabilities | 132,325 | (111,133) | |
Net cash provided by (used in) operating activities | 5,355,298 | (1,014,361) | |
Cash Flows From Investing Activities | |||
Purchase of servicer advance investments | (500,000) | (667,080) | |
Purchase of MSRs, MSR financing receivables and servicer advances receivable | (603) | (11,409) | |
Purchase of RMBS | (1,052,724) | (6,098,841) | |
Purchase of residential mortgage loans | (7,182) | 0 | |
Purchase of SFR properties, real estate owned and other assets | (355,002) | (453,878) | |
Draws on revolving consumer loans | (14,350) | (13,544) | |
Net settlement of derivatives | 279,306 | (85,206) | |
Return of investments in Excess MSRs | 7,873 | 28,002 | |
Principal repayments from servicer advance investments | 541,868 | 698,476 | |
Principal repayments from RMBS | 687,624 | 1,291,429 | |
Principal repayments from residential mortgage loans | 49,806 | 59,086 | |
Principal repayments from consumer loans | 79,298 | 109,068 | |
Principal repayments from MSRs and MSR financing receivables | 1,216 | 675 | |
Proceeds from sale of MSRs and MSR financing receivables | 2,105 | 53,244 | |
Proceeds from sale of RMBS | 738,887 | 2,686,857 | |
Proceeds from sale of real estate owned | 7,210 | 28,996 | |
Net cash provided by (used in) investing activities | 465,332 | (2,374,125) | |
Cash Flows From Financing Activities | |||
Repayments of secured financing agreements | (23,318,214) | (39,544,668) | |
Repayments of warehouse credit facilities | (56,240,720) | (52,015,640) | |
Net settlement of margin deposits under repurchase agreements and derivatives | 812,477 | (176,004) | |
Repayments of secured notes and bonds payable | (2,220,042) | (4,058,588) | |
Deferred financing fees | (1,398) | (1,332) | |
Dividends paid on common and preferred stock | (278,293) | (194,624) | |
Borrowings under secured financing agreements | 21,936,667 | 41,670,409 | |
Borrowings under warehouse credit facilities | 50,995,092 | 53,628,840 | |
Borrowings under secured notes and bonds payable | 2,929,949 | 3,716,891 | |
Issuance of common stock | 0 | 512,012 | |
Repurchase of preferred stock | (3,814) | 0 | |
Costs related to issuance of common stock | 0 | (525) | |
Noncontrolling interest in equity of consolidated subsidiaries - distributions | (15,968) | (34,015) | |
Net cash provided by (used in) financing activities | (5,404,264) | 3,502,756 | |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 416,366 | 114,270 | |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 1,528,442 | 1,080,473 | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 1,944,808 | 1,194,743 | |
Supplemental Disclosure of Cash Flow Information | |||
Cash paid during the period for interest | 280,007 | 231,658 | |
Cash paid during the period for income taxes | 1,636 | 14,489 | |
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared but not paid on common and preferred stock | 139,141 | 107,673 | |
Transfer from residential mortgage loans to real estate owned and other assets | 4,890 | 25,583 | |
Real estate securities retained from loan securitizations | 100,324 | 90,797 | |
Residential mortgage loans subject to repurchase | $ 1,758,509 | [1] | $ 1,308,242 |
[1]See Note 5 for details. |
BUSINESS AND ORGANIZATION
BUSINESS AND ORGANIZATION | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
BUSINESS AND ORGANIZATION | BUSINESS AND ORGANIZATION In June 2022, New Residential Investment Corp. (“New Residential” or “NRZ”) announced it was changing its name to Rithm Capital Corp. (together with its consolidated subsidiaries, “Rithm Capital,” or the “Company”). The name change became effective on August 1, 2022. As of August 2, 2022 the Company’s ticker symbol on the New York Stock Exchange changed from “NRZ” to “RITM.” Prior to June 17, 2022, Rithm Capital operated under a management agreement (the “Management Agreement”) with FIG LLC (the “Former Manager”), an affiliate of Fortress Investment Group LLC (“Fortress”). For its services, the Former Manager was entitled to management fees and incentive compensation, both defined in, and in accordance with the terms of, the Management Agreement. On June 17, 2022 Rithm Capital entered into an Internalization Agreement with the Former Manager (the “Internalization Agreement”), pursuant to which the Management Agreement was terminated effective June 17, 2022 (the “Effective Date”), except that certain indemnification and other obligations survive, and the Company internalized its management functions (such transactions, the “Internalization”). As a result of the Internalization, Rithm Capital ceased to be externally managed and operates as an internally managed REIT. On June 17, 2022 the Company and the Former Manager also entered into a Transition Services Agreement (the “Transition Services Agreement”), pursuant to which the Former Manager provides (or causes to be provided), at cost, all of the services it was previously providing to the Company immediately prior to the Effective Date until the earliest to occur of (i) the date on which no remaining service is to be provided under the Transition Services Agreement or (ii) December 31, 2022. The Transition Services Agreement may be terminated earlier in accordance with its terms or if the Company and the Former Manager agree that no further services are required. The Company may elect to terminate any individual service at any time upon written notice to the Former Manager. In connection with the termination of the Management Agreement, the Company agreed to pay the Former Manager $400.0 million. Refer to Notes 22 and 23 for further discussion. Rithm Capital is a Delaware corporation that was formed as a limited liability company in September 2011 (commenced operations on December 8, 2011) for the purpose of making real estate related investments. Rithm Capital is an independent publicly traded REIT primarily focused on providing capital and services to the mortgage and financial services industries. Rithm Capital’s investment portfolio is composed of mortgage servicing related assets (full and excess MSRs and servicer advances), residential securities (and associated call rights), properties (including single family rental) and loans, mortgage loans, and consumer loans. Rithm Capital’s investments in operating entities include leading origination and servicing platforms held through its wholly-owned subsidiaries, Newrez LLC (“Newrez”) and Caliber Home Loans Inc. (“Caliber”) (together with Newrez, “Mortgage Company”), and Genesis Capital LLC (“Genesis”), as well as investments in affiliated businesses that provide mortgage related services. Rithm Capital has elected and intends to qualify to be taxed as a REIT for U.S. federal income tax purposes. As such, Rithm Capital will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. See Note 24, Income Taxes, for additional information regarding Rithm Capital’s taxable REIT subsidiaries. Rithm Capital, through its wholly-owned subsidiaries New Residential Mortgage LLC (“NRM”) and the Mortgage Company, is licensed or otherwise eligible to service residential mortgage loans in all states within the United States and the District of Columbia. NRM and the Mortgage Company are also approved to service mortgage loans on behalf of investors, including the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively, Government Sponsored Enterprises or “GSEs”) and, in the case of the Mortgage Company, Government National Mortgage Association (“Ginnie Mae”). The Mortgage Company is also eligible to perform servicing on behalf of other servicers (subservicing) and investors. The Mortgage Company originates, sells and securitizes conventional (conforming to the underwriting standards of Fannie Mae or Freddie Mac; collectively referred to as “Agency” loans), government-insured Federal Housing Administration (“FHA”) and Department of Veterans Affairs (“VA”), and U.S. Department of Agriculture (“USDA”) and non-qualified (“Non-QM”) residential mortgage loans. The GSEs or Ginnie Mae guarantee securitizations are completed under their applicable policies and guidelines. Rithm Capital generally retains the right to service the underlying residential mortgage loans sold and securitized by the Mortgage Company. NRM and the Mortgage Company are required to conduct aspects of their operations in accordance with applicable policies and guidelines published by FHA, VA, USDA, Fannie Mae, Freddie Mac and Ginnie Mae. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION | BASIS OF PRESENTATION Interim Financial Statements — The accompanying Consolidated Financial Statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “U.S. GAAP”). In the opinion of management, all adjustments considered necessary for a fair presentation of Rithm Capital’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The Consolidated Financial Statements include the accounts of Rithm Capital and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. Rithm Capital consolidates those entities in which it has control over significant operating, financing and investing decisions of the entity, as well as those entities deemed to be variable interest entities (“VIEs”) in which Rithm Capital is determined to be the primary beneficiary. For entities over which Rithm Capital exercises significant influence, but which do not meet the requirements for consolidation, Rithm Capital uses the equity method of accounting whereby it records its share of the underlying income of such entities. Distributions from equity method investees are classified in the Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. Reclassifications — Certain prior period amounts in Rithm Capital’s Consolidated Financial Statements and respective notes have been reclassified to be consistent with the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity. Restructuring Charges — The termination of the Management Agreement was a material change in the management structure of the business and is accounted for under ASC 420, Exit or Disposal Cost Obligations . The termination fee payment to the Former Manager under the Internalization Agreement is recorded within Termination Fee to Affiliate in the Consolidated Statements of Income with a corresponding liability recorded within Accrued Expenses and Other Liabilities on the Consolidated Balance Sheets. See Note 25 for additional discussion of the restructuring charges related to the Internalization. Risks and Uncertainties — In the normal course of business, Rithm Capital encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment rates, interest rates, spreads or other market factors, including risks that impact the value of the collateral underlying Rithm Capital’s investments. Taking into consideration these risks along with estimated prepayments, financings, collateral values, payment histories, and other information, Rithm Capital believes that the carrying values of its investments are reasonable. Furthermore, for each of the periods presented, a significant portion of Rithm Capital’s assets are dependent on its servicers’ and subservicers’ ability to perform their obligations servicing the residential mortgage loans underlying Rithm Capital’s Excess MSRs, MSRs, MSR Financing Receivables, Servicer Advance Investments, Non-Agency RMBS and loans. If a servicer is terminated, Rithm Capital’s right to receive its portion of the cash flows related to interests in servicing related assets may also be terminated. The mortgage and financial industries are operating in a challenging and uncertain economic environment. Financial and real estate companies continue to be affected by, among other things, market volatility and inflationary pressures. In addition, the ongoing COVID-19 pandemic continues to impact the U.S. and world economies and has contributed to volatility in global financial and credit markets. Should macroeconomic conditions continue to worsen, there is no assurance that such conditions will not result in an overall decline in the fair value of many assets, including those in which the Company invests. The ultimate duration and impact of the current economic environment remain uncertain. Rithm Capital is subject to significant tax risks. If Rithm Capital were to fail to qualify as a REIT in any taxable year, Rithm Capital would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, Rithm Capital would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Recent Accounting Pronouncements — In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. While the Company currently does not have any hedge accounting relationships, many of the Company’s debt facilities and a portion of the Company’s borrower loan agreements incorporate LIBOR as the referenced rate. Some of these debt facilities and borrower loan agreements either mature prior to the phase out of LIBOR or have provisions in place that provide for an alternative to LIBOR upon its phase-out. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. In preparation for the phase-out of LIBOR, the Company has adopted and implemented the Secured Overnight Financing Rate (“SOFR”) index for its Freddie Mac and Fannie Mae adjustable-rate mortgages (“ARMs”). For debt facilities that do not mature prior to the phase-out of LIBOR, the Company adopted the allowable contract modification relief optional expedient and has begun amending terms to transition to an alternative benchmark. For the period ended June 30, 2022, new and renewed facilities began adopting the SOFR index, while other facilities early adopted and transitioned to the SOFR index. In August 2020, the FASB issued ASU 2020-06, Debt–Debt with Conversion and Other Options (Topic 470) and Derivatives and Hedging–Contracts in Entity’s Own Equity (Topic 815) . The standard simplifies the accounting for convertible instruments by reducing the number of accounting models. A convertible debt instrument will generally be reported as a single liability at its amortized cost with no separate accounting for embedded conversion features. The standard also amends the accounting for certain contracts in an entity’s own equity that are currently accounted for as derivatives because of specific settlement provisions. In addition, the new guidance eliminates the treasury stock method to calculate diluted earnings per share for convertible instruments and requires the use of the if-converted method. ASU 2020-06 was effective for Rithm Capital beginning on January 1, 2022. The adoption of the new standard did not have a material impact on the Company’s Consolidated Financial Statements. In October 2021, the FASB issued ASU 2021-08, Business Combinations (Topic 805): Accounting for Contract Assets and Contract Liabilities from Contracts with Customers. The standard requires entities to recognize and measure contract assets and contract liabilities acquired in a business combination in accordance with ASC 2014-09, Revenue from Contracts with Customers (Topic 606) . The update will generally result in an entity recognizing contract assets and contract liabilities at amounts consistent with those recorded by the acquiree immediately before the acquisition date rather than at fair value. The new standard is effective on a prospective basis for fiscal years beginning after December 15, 2022, with early adoption permitted. The Company adopted the new standard effective January 1, 2022. The adoption of the new standard did not have an impact to its operating results, financial position, or cash flows. In March 2022, the FASB issued ASU 2022-01, Derivative and Hedging (Topic 815): Fair Value Hedging–Portfolio Layer Method . The standard clarifies the accounting and promotes consistency in reporting for hedges where the portfolio layer method is applied. The new standard is effective for fiscal years beginning after December 15, 2022, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements. In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions . The standard clarifies that a contractual restriction on the sale of an equity security is not considered in measuring the security’s fair value. The standard also requires certain disclosures for equity securities that are subject to contractual restrictions. The new standard is effective for fiscal years beginning after December 15, 2023, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements. |
SEGMENT REPORTING
SEGMENT REPORTING | 6 Months Ended |
Jun. 30, 2022 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | SEGMENT REPORTING At June 30, 2022, Rithm Capital’s reportable segments include (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities, Properties and Loans, (v) Consumer Loans, (vi) Mortgage Loans Receivable and (vii) Corporate. The Corporate segment primarily consists of general and administrative expenses, management fees and incentive compensation pursuant to the Management Agreement prior to the Internalization effective June 17, 2022, corporate cash and related interest income, unsecured senior notes (Note 18) and related interest expense. The following tables summarize segment financial information, which in total reconciles to the same data for Rithm Capital as a whole: Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Three Months Ended June 30, 2022 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ — $ 364,698 $ 104,780 $ 469,478 $ — $ — $ — $ — $ — $ 469,478 Change in fair value of MSRs and MSR financing receivables — 344,893 (8,330) 336,563 — — — — — 336,563 Servicing revenue, net — 709,591 96,450 806,041 — — — — — 806,041 Interest income 46,216 16,757 11,340 74,313 54,584 22,640 18,109 36,748 5,254 211,648 Gain on originated residential mortgage loans, held-for-sale, net 302,610 15,739 — 318,455 — (13,664) — — — 304,791 Total revenues 348,826 742,087 107,790 1,198,809 54,584 8,976 18,109 36,748 5,254 1,322,480 Interest expense 27,578 41,096 25,788 94,462 20,216 11,332 2,088 12,680 10,051 150,829 G&A and other (B) 349,432 120,395 55,401 525,228 710 11,891 2,160 14,600 431,325 985,914 Total operating expenses 377,010 161,491 81,189 619,690 20,926 23,223 4,248 27,280 441,376 1,136,743 Change in fair value of investments, net — (1,780) (93) (1,873) (241,213) 11,399 (7,196) 4,843 — (234,040) Gain (loss) on settlement of investments, net — (564) (1,265) (1,829) 117,179 (4,798) — (15,616) — 94,936 Other income (loss), net 1,832 207 16,280 18,319 (2,127) 29,471 15,725 7,430 (9,430) 59,388 Total other income (loss) 1,832 (2,137) 14,922 14,617 (126,161) 36,072 8,529 (3,343) (9,430) (79,716) Income (loss) before income taxes (26,352) 578,459 41,523 593,736 (92,503) 21,825 22,390 6,125 (445,552) 106,021 Income tax expense (benefit) (6,522) 151,236 9,466 154,180 — (2,480) 1 (3,623) (75,388) 72,690 Net income (loss) (19,830) 427,223 32,057 439,556 (92,503) 24,305 22,389 9,748 (370,164) 33,331 Noncontrolling interests in income (loss) of consolidated subsidiaries 1,287 — 41 1,328 — — 12,854 — — 14,182 Dividends on preferred stock — — — — — — — — 22,427 22,427 Net income (loss) attributable to common stockholders $ (21,117) $ 427,223 $ 32,016 $ 438,228 $ (92,503) $ 24,305 $ 9,535 $ 9,748 $ (392,591) $ (3,278) (A) Includes elimination of intercompany transactions of $0.1 million primarily related to loan sales. (B) Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Six Months Ended June 30, 2022 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ — $ 713,103 $ 212,775 $ 925,878 $ — $ — $ — $ — $ — $ 925,878 Change in fair value of MSRs and MSR financing receivables — 842,210 69,746 911,956 — — — — — 911,956 Servicing revenue, net — 1,555,313 282,521 1,837,834 — — — — — 1,837,834 Interest income 101,587 28,110 27,042 156,739 110,933 49,629 37,042 71,025 11,693 437,061 Gain on originated residential mortgage loans, held-for-sale, net 709,879 77,501 — 789,885 — (13,098) — — — 776,787 Total revenues 811,466 1,660,924 309,563 2,784,458 110,933 36,531 37,042 71,025 11,693 3,051,682 Interest expense 57,013 74,802 52,153 183,968 29,245 32,200 4,350 19,649 20,250 289,662 G&A and other (B) 758,190 245,175 111,411 1,114,776 1,482 35,325 4,414 31,008 462,955 1,649,960 Total operating expenses 815,203 319,977 163,564 1,298,744 30,727 67,525 8,764 50,657 483,205 1,939,622 Change in fair value of investments, net — (1,812) (1,502) (3,314) (367,162) (21,349) (20,929) 31,595 — (381,159) Gain (loss) on settlement of investments, net — (879) (3,464) (4,343) 166,599 40,114 — (46,250) — 156,120 Other income (loss), net 3,927 1,088 45,223 50,238 (4,727) 43,787 24,497 7,430 (9,505) 111,720 Total other income (loss) 3,927 (1,603) 40,257 42,581 (205,290) 62,552 3,568 (7,225) (9,505) (113,319) Income (loss) before income taxes 190 1,339,344 186,256 1,528,295 (125,084) 31,558 31,846 13,143 (481,017) 998,741 Income tax expense (benefit) 157 312,155 40,963 353,275 — 1,177 38 (3,623) (75,388) 275,479 Net income (loss) 33 1,027,189 145,293 1,175,020 (125,084) 30,381 31,808 16,766 (405,629) 723,262 Noncontrolling interests in income (loss) of consolidated subsidiaries 1,694 — 269 1,963 — — 17,828 — — 19,791 Dividends on preferred stock — — — — — — — — 44,888 44,888 Net income (loss) attributable to common stockholders $ (1,661) $ 1,027,189 $ 145,024 $ 1,173,057 $ (125,084) $ 30,381 $ 13,980 $ 16,766 $ (450,517) $ 658,583 (A) Includes elimination of intercompany transactions of $2.5 million primarily related to loan sales. (B) Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total June 30, 2022 Investments $ 3,349,312 $ 7,156,949 $ 2,864,161 $ 13,370,422 $ 7,988,802 $ 2,821,898 $ 423,735 $ 1,756,079 $ — $ 26,360,936 Cash and cash equivalents 170,412 653,879 247,676 1,071,967 317,818 1,529 1,730 34,353 83,451 1,510,848 Restricted cash 252,894 75,715 55,989 384,598 10,610 3,672 19,748 15,332 — 433,960 Other assets 669,315 2,343,393 2,325,958 5,338,666 176,823 212,571 32,837 164,169 237,838 6,162,904 Goodwill 11,836 12,540 5,092 29,468 — — — 55,731 — 85,199 Total assets $ 4,453,769 $ 10,242,476 $ 5,498,876 $ 20,195,121 $ 8,494,053 $ 3,039,670 $ 478,050 $ 2,025,664 $ 321,289 $ 34,553,847 Debt $ 3,421,076 $ 4,650,100 $ 3,341,447 $ 11,412,623 $ 7,660,612 $ 2,319,649 $ 357,663 $ 1,478,636 $ 604,244 $ 23,833,427 Other liabilities 363,425 2,424,304 150,330 2,938,059 10,932 339,357 998 21,588 346,488 3,657,422 Total liabilities 3,784,501 7,074,404 3,491,777 14,350,682 7,671,544 2,659,006 358,661 1,500,224 950,732 27,490,849 Total equity 669,268 3,168,072 2,007,099 5,844,439 822,509 380,664 119,389 525,440 (629,443) 7,062,998 Noncontrolling interests in equity of consolidated subsidiaries 13,345 — 9,613 22,958 — — 46,213 — — 69,171 Total Rithm Capital stockholders’ equity $ 655,923 $ 3,168,072 $ 1,997,486 $ 5,821,481 $ 822,509 $ 380,664 $ 73,176 $ 525,440 $ (629,443) $ 6,993,827 Investments in equity method investees $ — $ — $ 80,834 $ 80,834 $ — $ — $ — $ — $ — $ 80,834 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Three Months Ended June 30, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ (5,077) $ 219,070 $ 142,183 $ 356,176 $ — $ — $ — $ — $ — $ 356,176 Change in fair value of MSRs and MSR financing receivables — (224,515) (193,468) (417,983) — — — — — (417,983) Servicing revenue, net (5,077) (5,445) (51,285) (61,807) — — — — — (61,807) Interest income 31,262 11,316 3,000 45,578 97,960 33,294 24,930 — — 201,762 Gain on originated residential mortgage loans, held-for-sale, net 268,539 12,794 (56,861) 273,697 (3,638) 16,826 — — — 286,885 Total revenues 294,724 18,665 (105,146) 257,468 94,322 50,120 24,930 — — 426,840 Interest expense 18,960 18,643 25,961 63,564 13,630 17,463 2,873 — 9,009 106,539 G&A and other 200,551 86,956 50,124 337,631 1,034 20,968 2,912 — 28,848 391,393 Total operating expenses 219,511 105,599 76,085 401,195 14,664 38,431 5,785 — 37,857 497,932 Change in fair value of investments, net — — (9,281) (9,281) 119,565 121,242 (1,626) — — 229,900 Gain (loss) on settlement of investments, net — (965) 226 (739) (76,270) (1,254) — — (348) (78,611) Other income (loss), net 138 — 7,660 7,798 1,756 50,858 2,367 — 1,673 64,452 Total other income (loss) 138 (965) (1,395) (2,222) 45,051 170,846 741 — 1,325 215,741 Income (loss) before income taxes 75,351 (87,899) (182,626) (145,949) 124,709 182,535 19,886 — (36,532) 144,649 Income tax expense (benefit) 19,030 (16,035) (21,381) (18,386) — 17,288 21 — — (1,077) Net income (loss) 56,321 (71,864) (161,245) (127,563) 124,709 165,247 19,865 — (36,532) 145,726 Noncontrolling interests in income (loss) of consolidated subsidiaries 3,225 — (1,825) 1,400 — — 8,653 — — 10,053 Dividends on preferred stock — — — — — — — — 14,358 14,358 Net income (loss) attributable to common stockholders $ 53,096 $ (71,864) $ (159,420) $ (128,963) $ 124,709 $ 165,247 $ 11,212 $ — $ (50,890) $ 121,315 (A) Includes elimination of intercompany transactions of $49.2 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Six Months Ended June 30, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ (13,187) $ 438,623 $ 279,024 $ 704,460 $ — $ — $ — $ — $ — $ 704,460 Change in fair value of MSRs and MSR financing receivables — (77,164) (148,545) (225,709) — — — — — (225,709) Servicing revenue, net (13,187) 361,459 130,479 478,751 — — — — — 478,751 Interest income 54,114 16,189 24,584 94,887 187,810 69,616 50,396 — — 402,709 Gain on originated residential mortgage loans, held-for-sale, net 652,962 24,811 (64,892) 650,599 9,760 29,974 — — — 690,333 Total revenues 693,889 402,459 90,171 1,224,237 197,570 99,590 50,396 — — 1,571,793 Interest expense 37,023 41,743 54,763 133,529 29,350 38,739 5,891 — 17,935 225,444 G&A and other 390,477 177,563 105,245 673,285 2,190 38,654 5,948 — 55,983 776,060 Total operating expenses 427,500 219,306 160,008 806,814 31,540 77,393 11,839 — 73,918 1,001,504 Change in fair value of investments, net — — (11,105) (11,105) (172,569) 181,416 (7,630) — — (9,888) Gain (loss) on settlement of investments, net — (1,630) (12,186) (13,816) (104,626) 28,187 — — (348) (90,603) Other income (loss), net 197 1,092 15,044 16,333 964 55,945 160 — 1,044 74,446 Total other income (loss) 197 (538) (8,247) (8,588) (276,231) 265,548 (7,470) — 696 (26,045) Income (loss) before income taxes 266,586 182,615 (78,084) 408,835 (110,201) 287,745 31,087 — (73,222) 544,244 Income tax expense (benefit) 55,416 17,639 (8,544) 64,511 — 32,591 80 — — 97,182 Net income (loss) 211,170 164,976 (69,540) 344,324 (110,201) 255,154 31,007 — (73,222) 447,062 Noncontrolling interests in income (loss) of consolidated subsidiaries 6,750 — (517) 6,233 — — 13,214 — — 19,447 Dividends on preferred stock — — — — — — — — 28,716 28,716 Net income (loss) attributable to common stockholders $ 204,420 $ 164,976 $ (69,023) $ 338,091 $ (110,201) $ 255,154 $ 17,793 $ — $ (101,938) $ 398,899 (A) Includes elimination of intercompany transactions of $37.7 million primarily related to loan sales. Servicing Segment Revenues The table below summarizes the components of servicing segment revenues: Three Months Ended Six Months Ended 2022 2021 2022 2021 Base servicing MSR assets $ 300,676 $ 150,605 $ 581,786 $ 303,083 Residential whole loans 3,019 1,163 6,408 2,240 Third party 23,069 25,408 46,722 52,520 326,764 177,176 634,916 357,843 Other fees Ancillary and other fees (A) 37,934 41,894 78,187 80,780 Change in fair value due to: Realization of cash flows (117,680) (212,793) (250,956) (422,062) Change in valuation inputs and assumptions and other 462,573 (11,722) 1,093,166 344,898 Total servicing fees $ 709,591 $ (5,445) $ 1,555,313 $ 361,459 Servicing data - unpaid principal balance (“UPB”) (period end) (in millions) UPB – MSR assets $ 399,900 $ 221,747 $ 399,900 $ 221,747 UPB – Residential whole loans 10,959 7,751 10,959 7,751 UPB – Third party 87,190 76,409 87,190 76,409 |
EXCESS MORTGAGE SERVICING RIGHT
EXCESS MORTGAGE SERVICING RIGHTS | 6 Months Ended |
Jun. 30, 2022 | |
Transfers and Servicing [Abstract] | |
EXCESS MORTGAGE SERVICING RIGHTS | EXCESS MORTGAGE SERVICING RIGHTS Excess mortgage servicing rights assets include Rithm Capital’s direct investments in Excess MSRs and investments in joint ventures jointly controlled by Rithm Capital and Fortress-managed funds investing in Excess MSRs. The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets: June 30, 2022 December 31, 2021 Direct investments in Excess MSRs $ 256,216 $ 259,198 Excess MSR Joint Ventures 80,834 85,749 Excess mortgage servicing rights, at fair value $ 337,050 $ 344,947 Direct Investments in Excess MSRs The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 Interest income 20,094 511 20,605 Other income 37 — 37 Proceeds from repayments (20,909) (154) (21,063) Proceeds from sales (997) — (997) Change in fair value (1,119) (445) (1,564) Balance as of June 30, 2022 $ 254,679 $ 1,537 $ 256,216 (A) Specialized Loan Servicing LLC (“SLS”). Mr. Cooper or SLS, as applicable, as servicer performs all of the servicing and advancing functions, and retains the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in the portfolio. Rithm Capital entered into a “recapture agreement” with respect to each of the direct Excess MSR investments serviced by Mr. Cooper and SLS. Under such arrangements, Rithm Capital is generally entitled to a pro rata interest in the Excess MSRs on any refinancing by Mr. Cooper of a loan in the original portfolio. These recapture agreements do not apply to Rithm Capital’s Servicer Advance Investments (Note 6). The following table summarizes direct investments in Excess MSRs: June 30, 2022 December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) Rithm Capital (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 24,304,488 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.4 $ 117,834 $ 128,793 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 27,878,615 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 7.3 94,985 127,423 127,201 Total $ 52,183,103 6.8 $ 212,819 $ 256,216 $ 259,198 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Carrying value represents the fair value of the pools and recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) Rithm Capital is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2022 (Note 6) on $18.2 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Original and Recaptured Pools $ 1,066 $ (4,211) $ (1,564) $ (8,829) As of June 30, 2022, a weighted average discount rate of 7.8% was used to value Rithm Capital’s investments in Excess MSRs (directly and through equity method investees). Excess MSR Joint Ventures Rithm Capital entered into investments in joint ventures (“Excess MSR joint ventures”) jointly controlled by Rithm Capital and Fortress-managed funds investing in Excess MSRs. The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees: June 30, 2022 December 31, 2021 Excess MSR $ 149,598 $ 152,383 Other assets 12,756 19,802 Other liabilities (687) (687) Equity $ 161,667 $ 171,498 Rithm Capital’s investment $ 80,834 $ 85,749 Rithm Capital’s percentage ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2022 2021 2022 2021 Interest income $ 410 $ (2,919) $ 6,077 $ 6,239 Other income (loss) (91) 1,791 (2,343) (1,029) Expenses (8) (8) (16) (16) Net income (loss) $ 311 $ (1,136) $ 3,718 $ 5,194 The following table summarizes the activity of investments in equity method investees: Balance at December 31, 2021 $ 85,749 Distributions of capital from equity method investees (6,774) Change in fair value of investments in equity method investees 1,859 Balance at June 30, 2022 $ 80,834 The following is a summary of Excess MSR investments made through equity method investees: June 30, 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 $ 20,938,443 66.7 % 50.0 % $ 110,896 $ 149,598 6.2 (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. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (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 and recapture agreements, as applicable. (D) Represents the weighted average expected timing of the receipt of cash flows of each investment. The following table summarizes activity related to MSRs and MSR Financing Receivables: Balance as of December 31, 2021 $ 6,858,803 Purchases, net (A) (613) Originations (B) 790,922 Proceeds from sales (4,284) Change in fair value due to: Realization of cash flows (C) (380,590) Change in valuation inputs and assumptions 1,359,992 (Gain) loss realized 2,179 Balance at June 30, 2022 $ 8,626,409 (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 table summarizes components of Servicing Revenue, Net: Three Months Ended Six Months Ended 2022 2021 2022 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 434,789 $ 311,432 $ 856,344 $ 619,264 Ancillary and other fees 34,689 44,744 69,534 85,196 Servicing fee revenue, net and fees 469,478 356,176 925,878 704,460 Change in fair value due to: Realization of cash flows (A) (180,265) (297,778) (380,590) (637,448) Change in valuation inputs and assumptions (B) 514,955 (115,986) 1,359,992 425,980 Change in fair value of derivative instruments — 8,624 7,189 (199) (Gain) loss realized 1,873 (15,150) 2,179 (16,349) Gain (loss) on settlement of derivative instruments — 2,307 (76,814) 2,307 Servicing revenue, net $ 806,041 $ (61,807) $ 1,837,834 $ 478,751 (A) Includes $1.3 million and $2.6 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three and six months ended June 30, 2021, respectively. (B) Includes $0.2 million and $1.6 million of fair value adjustment to Excess spread financing for the three and six months ended June 30, 2021, respectively. The following table summarizes MSRs and MSR Financing Receivables by type as of June 30, 2022: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) Agency $ 374,752,192 7.5 $ 5,845,943 Non-Agency 57,260,465 7.5 808,528 Ginnie Mae (C) 116,082,508 7.4 1,971,938 Total $ 548,095,165 7.5 $ 8,626,409 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2022, weighted average discount rates of 7.5% (range 7.0% – 9.0%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables. (C) As of June 30, 2022, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Residential Mortgage Loans Subject to Repurchase Rithm Capital, through its wholly owned subsidiaries as approved issuers of Ginnie Mae MBS, originates and securitizes government-insured residential mortgage loans. As the issuer of the Ginnie Mae-guaranteed securitizations, Rithm Capital has the unilateral right to repurchase loans from the securitizations when they are delinquent for more than 90 days. Loans in forbearance that are three or more consecutive payments delinquent are included as delinquent loans permitted to be repurchased. Under GAAP, Rithm Capital is required to recognize the right to loans on its balance sheet and establish a corresponding liability upon the triggering of the repurchase right regardless of whether the Company intends to repurchase the loans. As of June 30, 2022, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Rithm Capital may re-pool repurchased loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. The Company does not change the accounting for MSRs related to previously sold loans upon recognizing loans eligible for repurchase. Rather, upon repurchase of a loan, the MSR is written off. As of June 30, 2022, Rithm Capital holds approximately $0.9 billion of repurchased residential mortgage loans on its Consolidated Balance Sheets. Ocwen MSR Financing Receivable Transactions In July 2017, Ocwen Loan Servicing, LLC (collectively with certain affiliates, “Ocwen”) and Rithm Capital entered into an agreement in which both parties agreed to undertake certain actions to facilitate the transfer from Ocwen to Rithm Capital of Ocwen’s remaining interests in the MSRs relating to loans with an aggregate unpaid principal balance of approximately $110.0 billion and with respect to which Rithm Capital already held certain rights (“Rights to MSRs”). Ocwen and Rithm Capital concurrently entered into a subservicing agreement pursuant to which Ocwen agreed to subservice the mortgage loans related to the MSRs that were transferred to Rithm Capital. In January 2018, Ocwen sold and transferred to Rithm Capital certain “Rights to MSRs” and other assets related to mortgage servicing rights for loans with an unpaid principal balance of approximately $86.8 billion. PHH (as successor by merger to Ocwen) will continue to service the residential mortgage loans related to the MSRs until any necessary third-party consents to transferring the MSRs are obtained and all other conditions to transferring the MSRs are satisfied. Of the “Rights to MSRs” sold and transferred to NRM and Newrez, consents and all other conditions to transfer have been received with respect to approximately $66.7 billion UPB of underlying loans. Although legally sold and entitled to the economics of the transfer, as of June 30, 2022, with respect to MSRs representing approximately $13.0 billion UPB of underlying loans, it was determined for accounting purposes that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to Newrez and therefore are not treated as a sale under GAAP and are classified as MSR financing receivables. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2022 December 31, 2021 California 17.7 % 18.1 % Florida 8.6 % 8.6 % Texas 6.2 % 6.2 % New York 6.1 % 6.0 % Washington 5.8 % 5.6 % New Jersey 4.5 % 4.5 % Virginia 3.5 % 3.4 % Maryland 3.4 % 3.4 % Illinois 3.4 % 3.4 % Georgia 2.9 % 3.0 % Other U.S. 37.9 % 37.8 % 100.0 % 100.0 % Geographic concentrations of investments expose Rithm Capital to the risk of economic downturns within the relevant states. Any such downturn in a state where Rithm Capital holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the MSRs. Residential Mortgage Loan Subservicing The Mortgage Company performs servicing of residential mortgage loans for third parties under subservicing agreements. The subservicing does not meet the criteria to be recognized as a servicing right asset and, therefore, is not recognized on Rithm Capital’s Consolidated Balance Sheets. The UPB of residential mortgage loans subserviced for others as of June 30, 2022 and 2021 was $87.2 billion and $76.4 billion, respectively. Rithm Capital earned subservicing revenue of $66.1 million and $84.2 million for the six months ended June 30, 2022 and 2021, respectively, related to subserviced loans which is included within Servicing Revenue, Net in the Consolidated Statements of Income. NRM engages third party licensed mortgage servicers as subservicers and, in relation to certain MSR purchases, including to perform the operational servicing duties, including recapture activities, in connection with the MSRs it acquires, in exchange for a subservicing fee which is recorded as Subservicing Expense and reflected as part of General and Administrative expenses in Rithm Capital’s Consolidated Statements of Income. As of June 30, 2022, these subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which subservice 9.5%, 8.4%, 7.1%, 1.5% and 0.3%, respectively, of the MSRs held by Rithm Capital. The remaining 73.2% of the underlying UPB of the related mortgages is subserviced by the Mortgage Company (Note 1 to the Consolidated Financial Statements). Servicer Advances Receivable In connection with Rithm Capital’s ownership of MSRs, the Company assumes the obligation to serve as a liquidity provider to initially fund servicer advances on the underlying pool of mortgages (Note 22) it services. These servicer advances are recorded when advanced and are included in Servicer Advances Receivable on the Consolidated Balance Sheets. The table below summarizes the type of advances included in the Servicer Advances Receivable: June 30, 2022 December 31, 2021 Principal and interest advances $ 622,819 $ 562,418 Escrow advances (taxes and insurance advances) 1,243,374 1,523,154 Foreclosure advances 741,440 793,098 Total (A)(B)(C) $ 2,607,633 $ 2,878,670 (A) Includes $486.8 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $168.0 million and $212.9 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption. (C) Excludes $46.9 million and $23.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. Rithm Capital’s Servicer Advances Receivable related to Non-Agency MSRs generally have the highest reimbursement priority pursuant to the underlying servicing agreements (i.e., “top of the waterfall”) and Rithm Capital is generally entitled to repayment from respective loan or REO liquidation proceeds before any interest or principal is paid on the bonds that were issued by the trust. In the majority of cases, advances in excess of respective loan or REO liquidation proceeds may be recovered from pool-level proceeds. Furthermore, to the extent that advances are not recoverable by Rithm Capital as a result of the subservicer’s failure to comply with applicable requirements in the relevant servicing agreements, Rithm Capital has a contractual right to be reimbursed by the subservicer. For advances on loans that have been liquidated, sold, paid in full or modified, the Company has reserved $32.5 million and $32.1 million for expected non-recovery of advances as of June 30, 2022 and December 31, 2021, respectively. The following table summarizes servicer advances reserve: Balance at December 31, 2021 $ 32,122 Provision 5,056 Transfers and Other — Write-offs (4,724) Balance at June 30, 2022 $ 32,454 See Note 18 regarding the financing of MSRs and Servicer Advances Receivable. |
MORTGAGE SERVICING RIGHTS AND M
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | 6 Months Ended |
Jun. 30, 2022 | |
Transfers and Servicing of Financial Assets [Abstract] | |
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES | EXCESS MORTGAGE SERVICING RIGHTS Excess mortgage servicing rights assets include Rithm Capital’s direct investments in Excess MSRs and investments in joint ventures jointly controlled by Rithm Capital and Fortress-managed funds investing in Excess MSRs. The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets: June 30, 2022 December 31, 2021 Direct investments in Excess MSRs $ 256,216 $ 259,198 Excess MSR Joint Ventures 80,834 85,749 Excess mortgage servicing rights, at fair value $ 337,050 $ 344,947 Direct Investments in Excess MSRs The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 Interest income 20,094 511 20,605 Other income 37 — 37 Proceeds from repayments (20,909) (154) (21,063) Proceeds from sales (997) — (997) Change in fair value (1,119) (445) (1,564) Balance as of June 30, 2022 $ 254,679 $ 1,537 $ 256,216 (A) Specialized Loan Servicing LLC (“SLS”). Mr. Cooper or SLS, as applicable, as servicer performs all of the servicing and advancing functions, and retains the ancillary income, servicing obligations and liabilities as the servicer of the underlying loans in the portfolio. Rithm Capital entered into a “recapture agreement” with respect to each of the direct Excess MSR investments serviced by Mr. Cooper and SLS. Under such arrangements, Rithm Capital is generally entitled to a pro rata interest in the Excess MSRs on any refinancing by Mr. Cooper of a loan in the original portfolio. These recapture agreements do not apply to Rithm Capital’s Servicer Advance Investments (Note 6). The following table summarizes direct investments in Excess MSRs: June 30, 2022 December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) Rithm Capital (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 24,304,488 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.4 $ 117,834 $ 128,793 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 27,878,615 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 7.3 94,985 127,423 127,201 Total $ 52,183,103 6.8 $ 212,819 $ 256,216 $ 259,198 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Carrying value represents the fair value of the pools and recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) Rithm Capital is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2022 (Note 6) on $18.2 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Original and Recaptured Pools $ 1,066 $ (4,211) $ (1,564) $ (8,829) As of June 30, 2022, a weighted average discount rate of 7.8% was used to value Rithm Capital’s investments in Excess MSRs (directly and through equity method investees). Excess MSR Joint Ventures Rithm Capital entered into investments in joint ventures (“Excess MSR joint ventures”) jointly controlled by Rithm Capital and Fortress-managed funds investing in Excess MSRs. The following tables summarize the financial results of the Excess MSR joint ventures, accounted for as equity method investees: June 30, 2022 December 31, 2021 Excess MSR $ 149,598 $ 152,383 Other assets 12,756 19,802 Other liabilities (687) (687) Equity $ 161,667 $ 171,498 Rithm Capital’s investment $ 80,834 $ 85,749 Rithm Capital’s percentage ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2022 2021 2022 2021 Interest income $ 410 $ (2,919) $ 6,077 $ 6,239 Other income (loss) (91) 1,791 (2,343) (1,029) Expenses (8) (8) (16) (16) Net income (loss) $ 311 $ (1,136) $ 3,718 $ 5,194 The following table summarizes the activity of investments in equity method investees: Balance at December 31, 2021 $ 85,749 Distributions of capital from equity method investees (6,774) Change in fair value of investments in equity method investees 1,859 Balance at June 30, 2022 $ 80,834 The following is a summary of Excess MSR investments made through equity method investees: June 30, 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 $ 20,938,443 66.7 % 50.0 % $ 110,896 $ 149,598 6.2 (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. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (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 and recapture agreements, as applicable. (D) Represents the weighted average expected timing of the receipt of cash flows of each investment. The following table summarizes activity related to MSRs and MSR Financing Receivables: Balance as of December 31, 2021 $ 6,858,803 Purchases, net (A) (613) Originations (B) 790,922 Proceeds from sales (4,284) Change in fair value due to: Realization of cash flows (C) (380,590) Change in valuation inputs and assumptions 1,359,992 (Gain) loss realized 2,179 Balance at June 30, 2022 $ 8,626,409 (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 table summarizes components of Servicing Revenue, Net: Three Months Ended Six Months Ended 2022 2021 2022 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 434,789 $ 311,432 $ 856,344 $ 619,264 Ancillary and other fees 34,689 44,744 69,534 85,196 Servicing fee revenue, net and fees 469,478 356,176 925,878 704,460 Change in fair value due to: Realization of cash flows (A) (180,265) (297,778) (380,590) (637,448) Change in valuation inputs and assumptions (B) 514,955 (115,986) 1,359,992 425,980 Change in fair value of derivative instruments — 8,624 7,189 (199) (Gain) loss realized 1,873 (15,150) 2,179 (16,349) Gain (loss) on settlement of derivative instruments — 2,307 (76,814) 2,307 Servicing revenue, net $ 806,041 $ (61,807) $ 1,837,834 $ 478,751 (A) Includes $1.3 million and $2.6 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three and six months ended June 30, 2021, respectively. (B) Includes $0.2 million and $1.6 million of fair value adjustment to Excess spread financing for the three and six months ended June 30, 2021, respectively. The following table summarizes MSRs and MSR Financing Receivables by type as of June 30, 2022: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) Agency $ 374,752,192 7.5 $ 5,845,943 Non-Agency 57,260,465 7.5 808,528 Ginnie Mae (C) 116,082,508 7.4 1,971,938 Total $ 548,095,165 7.5 $ 8,626,409 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2022, weighted average discount rates of 7.5% (range 7.0% – 9.0%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables. (C) As of June 30, 2022, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and the related residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Residential Mortgage Loans Subject to Repurchase Rithm Capital, through its wholly owned subsidiaries as approved issuers of Ginnie Mae MBS, originates and securitizes government-insured residential mortgage loans. As the issuer of the Ginnie Mae-guaranteed securitizations, Rithm Capital has the unilateral right to repurchase loans from the securitizations when they are delinquent for more than 90 days. Loans in forbearance that are three or more consecutive payments delinquent are included as delinquent loans permitted to be repurchased. Under GAAP, Rithm Capital is required to recognize the right to loans on its balance sheet and establish a corresponding liability upon the triggering of the repurchase right regardless of whether the Company intends to repurchase the loans. As of June 30, 2022, Rithm Capital holds approximately $1.8 billion in residential mortgage loans subject to repurchase and residential mortgage loans repurchase liability on its Consolidated Balance Sheets. Rithm Capital may re-pool repurchased loans into new Ginnie Mae securitizations upon re-performance of the loan or otherwise sell to third-party investors. The Company does not change the accounting for MSRs related to previously sold loans upon recognizing loans eligible for repurchase. Rather, upon repurchase of a loan, the MSR is written off. As of June 30, 2022, Rithm Capital holds approximately $0.9 billion of repurchased residential mortgage loans on its Consolidated Balance Sheets. Ocwen MSR Financing Receivable Transactions In July 2017, Ocwen Loan Servicing, LLC (collectively with certain affiliates, “Ocwen”) and Rithm Capital entered into an agreement in which both parties agreed to undertake certain actions to facilitate the transfer from Ocwen to Rithm Capital of Ocwen’s remaining interests in the MSRs relating to loans with an aggregate unpaid principal balance of approximately $110.0 billion and with respect to which Rithm Capital already held certain rights (“Rights to MSRs”). Ocwen and Rithm Capital concurrently entered into a subservicing agreement pursuant to which Ocwen agreed to subservice the mortgage loans related to the MSRs that were transferred to Rithm Capital. In January 2018, Ocwen sold and transferred to Rithm Capital certain “Rights to MSRs” and other assets related to mortgage servicing rights for loans with an unpaid principal balance of approximately $86.8 billion. PHH (as successor by merger to Ocwen) will continue to service the residential mortgage loans related to the MSRs until any necessary third-party consents to transferring the MSRs are obtained and all other conditions to transferring the MSRs are satisfied. Of the “Rights to MSRs” sold and transferred to NRM and Newrez, consents and all other conditions to transfer have been received with respect to approximately $66.7 billion UPB of underlying loans. Although legally sold and entitled to the economics of the transfer, as of June 30, 2022, with respect to MSRs representing approximately $13.0 billion UPB of underlying loans, it was determined for accounting purposes that substantially all of the risks and rewards inherent in owning the MSRs had not been transferred to Newrez and therefore are not treated as a sale under GAAP and are classified as MSR financing receivables. The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2022 December 31, 2021 California 17.7 % 18.1 % Florida 8.6 % 8.6 % Texas 6.2 % 6.2 % New York 6.1 % 6.0 % Washington 5.8 % 5.6 % New Jersey 4.5 % 4.5 % Virginia 3.5 % 3.4 % Maryland 3.4 % 3.4 % Illinois 3.4 % 3.4 % Georgia 2.9 % 3.0 % Other U.S. 37.9 % 37.8 % 100.0 % 100.0 % Geographic concentrations of investments expose Rithm Capital to the risk of economic downturns within the relevant states. Any such downturn in a state where Rithm Capital holds significant investments could affect the underlying borrower’s ability to make mortgage payments and therefore could have a meaningful, negative impact on the MSRs. Residential Mortgage Loan Subservicing The Mortgage Company performs servicing of residential mortgage loans for third parties under subservicing agreements. The subservicing does not meet the criteria to be recognized as a servicing right asset and, therefore, is not recognized on Rithm Capital’s Consolidated Balance Sheets. The UPB of residential mortgage loans subserviced for others as of June 30, 2022 and 2021 was $87.2 billion and $76.4 billion, respectively. Rithm Capital earned subservicing revenue of $66.1 million and $84.2 million for the six months ended June 30, 2022 and 2021, respectively, related to subserviced loans which is included within Servicing Revenue, Net in the Consolidated Statements of Income. NRM engages third party licensed mortgage servicers as subservicers and, in relation to certain MSR purchases, including to perform the operational servicing duties, including recapture activities, in connection with the MSRs it acquires, in exchange for a subservicing fee which is recorded as Subservicing Expense and reflected as part of General and Administrative expenses in Rithm Capital’s Consolidated Statements of Income. As of June 30, 2022, these subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which subservice 9.5%, 8.4%, 7.1%, 1.5% and 0.3%, respectively, of the MSRs held by Rithm Capital. The remaining 73.2% of the underlying UPB of the related mortgages is subserviced by the Mortgage Company (Note 1 to the Consolidated Financial Statements). Servicer Advances Receivable In connection with Rithm Capital’s ownership of MSRs, the Company assumes the obligation to serve as a liquidity provider to initially fund servicer advances on the underlying pool of mortgages (Note 22) it services. These servicer advances are recorded when advanced and are included in Servicer Advances Receivable on the Consolidated Balance Sheets. The table below summarizes the type of advances included in the Servicer Advances Receivable: June 30, 2022 December 31, 2021 Principal and interest advances $ 622,819 $ 562,418 Escrow advances (taxes and insurance advances) 1,243,374 1,523,154 Foreclosure advances 741,440 793,098 Total (A)(B)(C) $ 2,607,633 $ 2,878,670 (A) Includes $486.8 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $168.0 million and $212.9 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption. (C) Excludes $46.9 million and $23.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. Rithm Capital’s Servicer Advances Receivable related to Non-Agency MSRs generally have the highest reimbursement priority pursuant to the underlying servicing agreements (i.e., “top of the waterfall”) and Rithm Capital is generally entitled to repayment from respective loan or REO liquidation proceeds before any interest or principal is paid on the bonds that were issued by the trust. In the majority of cases, advances in excess of respective loan or REO liquidation proceeds may be recovered from pool-level proceeds. Furthermore, to the extent that advances are not recoverable by Rithm Capital as a result of the subservicer’s failure to comply with applicable requirements in the relevant servicing agreements, Rithm Capital has a contractual right to be reimbursed by the subservicer. For advances on loans that have been liquidated, sold, paid in full or modified, the Company has reserved $32.5 million and $32.1 million for expected non-recovery of advances as of June 30, 2022 and December 31, 2021, respectively. The following table summarizes servicer advances reserve: Balance at December 31, 2021 $ 32,122 Provision 5,056 Transfers and Other — Write-offs (4,724) Balance at June 30, 2022 $ 32,454 See Note 18 regarding the financing of MSRs and Servicer Advances Receivable. |
SERVICER ADVANCE INVESTMENTS
SERVICER ADVANCE INVESTMENTS | 6 Months Ended |
Jun. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
SERVICER ADVANCE INVESTMENTS | SERVICER ADVANCE INVESTMENTS Rithm Capital’s Servicer Advance Investments consist of arrangements to fund existing outstanding servicer advances and the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans in exchange for the basic fee component of the related MSR. Rithm Capital elected to record its Servicer Advance Investments, including the right to the basic fee component of the related MSRs, at fair value pursuant to the fair value option for financial instruments to provide users of the financial statements with better information regarding the effects of market factors. A taxable wholly owned subsidiary of Rithm Capital is the managing member of Advance Purchaser LLC (the “Buyer”), a joint venture entity, and owned an approximately 89.3% interest in the Buyer as of December 31, 2021 and June 30, 2022. The Buyer is a limited liability company which was established in December 2013 for the purpose of investing in residential mortgage related advances. As of June 30, 2022, third-party co-investors, owning the remaining interest in the Buyer, have funded capital commitments to the Buyer of $25.0 million and Rithm Capital has funded capital commitments to the Buyer of $627.4 million. The Buyer may call capital up to the commitment amount on unfunded commitments and recall capital to the extent the Buyer makes a distribution to the co-investors, including Rithm Capital. As of June 30, 2022, the noncontrolling third-party co-investors and Rithm Capital had previously funded their commitments; however, the Buyer may recall $71.5 million and $597.9 million of capital distributed to the third-party co-investors and Rithm Capital, respectively. Neither the third-party co-investors nor Rithm Capital is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. The following table summarizes Servicer Advance Investments, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) June 30, 2022 Servicer Advance Investments $ 365,677 $ 379,901 5.2 % 5.5 % 7.5 December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 (A) Represents the fair value of the servicer advance investments, including the basic 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 Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net June 30, 2022 Servicer Advance Investments (D) $ 18,224,076 $ 341,328 1.9 % $ 322,735 91.7 % 91.0 % 1.2 % 1.2 % December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % (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: June 30, 2022 December 31, 2021 Principal and interest advances $ 64,203 $ 67,014 Escrow advances (taxes and insurance advances) 153,991 174,681 Foreclosure advances 123,134 127,745 Total $ 341,328 $ 369,440 The following table summarizes interest income related to Servicer Advance Investments: Three Months Ended Six Months Ended June 30, 2022 2021 2022 2021 Interest income, gross of amounts attributable to servicer compensation $ 7,969 $ 3,544 $ 21,344 $ 17,505 Amounts attributable to base servicer compensation (826) (590) (2,306) (1,746) Amounts attributable to incentive servicer compensation (4,445) (3,043) (12,184) (9,036) Interest income (expense) from servicer advance investments $ 2,698 $ (89) $ 6,854 $ 6,723 |
REAL ESTATE AND OTHER SECURITIE
REAL ESTATE AND OTHER SECURITIES | 6 Months Ended |
Jun. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
REAL ESTATE AND OTHER SECURITIES | REAL ESTATE AND OTHER SECURITIES “Agency” residential mortgage backed securities (“RMBS”) are RMBS issued by a government sponsored enterprise, such as Fannie Mae or Freddie Mac. “Non-Agency” RMBS are issued by either public trusts or private label securitization entities. The following table summarizes Real Estate and Other Securities by designation: June 30, 2022 December 31, 2021 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying RMBS Designated as Available for Sale (AFS): Agency (F)(G) $ 83,820 $ — $ — $ 81,515 1 AAA 3.50 % 3.50 % 4.4 N/A $ 98,367 Non-Agency (H)(I) 2,749,667 71,903 (13,145) 445,358 334 AA 3.40 % 3.30 % 3.4 26.6 % 522,416 RMBS Measured at Fair Value through Net Income (FVO): Agency (F)(G) 7,913,166 66 (1,155,303) 6,982,553 39 AAA 2.20 % 2.20 % 9.6 N/A 8,346,230 Non-Agency (H)(I) 14,554,849 26,369 (82,251) 479,376 319 AA+ 2.30 % 4.40 % 3.9 20.3 % 429,526 Total/ $ 25,301,502 $ 98,338 $ (1,250,699) $ 7,988,802 693 AAA 2.25 % 2.37 % 9.0 $ 9,396,539 (A) Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 311 bonds with a carrying value of $337.0 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. Rithm Capital used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third-party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $17.6 million and $1.7 million, respectively, for which no coupon payment is expected. (D) Based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to Rithm Capital’s investments, excluding fair value option securities. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Ginnie Mae. (G) The total outstanding face amount was $8.0 billion for fixed rate securities as of June 30, 2022. (H) The total outstanding face amount was $8.8 billion (including $8.0 billion of residual and fair value option notional amount) for fixed rate securities and $8.5 billion (including $8.2 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2022. (I) Includes other asset-backed securities (“ABS”) 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 Rating Coupon Yield Life (Years) Principal Subordination Corporate debt $ 414 $ — $ — $ 355 1 B- 8.3 % 8.3 % 2.8 N/A Consumer loan bonds 1,065 972 — 1,395 3 N/A N/A N/A 0.0 N/A Fair value option securities: Interest-only securities 8,660,811 9,307 (43,281) 147,210 135 AA+ 1.0 % 2.6 % 2.3 N/A Servicing strips 4,576,372 8,609 (8,817) 53,667 61 N/A 1.1 % 12.2 % 2.5 N/A The following table summarizes purchases and sales of Real Estate and Other Securities: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 (in millions) Agency Non-Agency Agency Non-Agency Agency Non-Agency Agency Non-Agency Purchases Face $ — $ 1,073.0 $ 1,880.0 $ 849.6 $ 998.2 $ 3,283.1 $ 5,907.2 $ 1,657.7 Purchase price — 32.9 1,895.7 52.3 1,004.5 148.6 6,098.8 90.8 Sales Face $ 829.8 $ — $ 1,073.2 $ 552.8 $ 829.8 $ — $ 3,487.8 $ 1,686.3 Amortized cost 857.0 — 1,123.1 27.4 857.0 1.6 3,636.4 185.2 Sale price 738.9 — 1,109.1 16.8 738.9 — 3,631.3 164.6 Gain (loss) on sale (118.1) — (14.0) (10.7) (118.1) (1.6) (5.2) (20.5) As of June 30, 2022 and December 31, 2021, Rithm Capital had no unsettled trades. Unsettled trades are recorded on the Consolidated Balance Sheets on trade date as Receivables for Investments Sold or Payables for Investments Purchased. Rithm Capital has exercised its call rights with respect to Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO 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. Refer to Notes 8 and 23 for further details on these transactions. The following table summarizes certain information for RMBS designated as AFS in an unrealized loss position as of June 30, 2022: 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 Rating Coupon Yield Life Less than 12 Months $ 384,799 $ 382,423 $ (2,202) $ 380,220 $ (13,047) $ 367,173 159 AAA 3.7 % 3.5 % 3.8 12 or More Months 18,094 8,931 (4,154) 4,777 (98) 4,679 14 AAA 1.9 % 0.7 % 0.6 Total/Weighted Average $ 402,893 $ 391,354 $ (6,356) $ 384,997 $ (13,145) $ 371,852 173 AAA 3.7 % 3.5 % 3.8 (A) Represents credit impairment on securities in an unrealized loss position as of June 30, 2022. 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: June 30, 2022 December 31, 2021 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 86,372 86,372 (6,356) — 6,581 6,581 (3,471) — Non-credit impaired securities 285,480 298,625 — (13,145) 3,927 4,044 — (117) Total debt securities in an unrealized loss position $ 371,852 $ 384,997 $ (6,356) $ (13,145) $ 10,508 $ 10,625 $ (3,471) $ (117) (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. 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, 2021 $ 3,471 $ — $ 3,471 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 33 2,169 2,202 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 683 — 683 Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at June 30, 2022 $ 4,187 $ 2,169 $ 6,356 Rithm Capital evaluates the credit quality of its real estate securities, as of the acquisition date, for evidence of credit quality deterioration. As a result, Rithm Capital identified a population of real estate securities for which it was determined that it was probable that Rithm Capital would be unable to collect all contractually required payments. 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 June 30, 2022 $ 545,910 $ 202,947 December 31, 2021 512,731 180,890 The following is a summary of the changes in accretable yield for these securities: Balance at December 31, 2021 $ 36,093 Additions 10,389 Accretion (2,259) Reclassifications from (to) non-accretable difference 660 Disposals — Balance at June 30, 2022 $ 44,883 |
RESIDENTIAL MORTGAGE LOANS
RESIDENTIAL MORTGAGE LOANS | 6 Months Ended |
Jun. 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 June 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: June 30, 2022 December 31, 2021 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 576,750 $ 510,744 10,273 7.1 % 4.4 $ 569,933 Acquired performing loans (C) 102,734 92,430 2,689 6.7 % 4.9 130,634 Acquired non-performing loans (D) 29,203 24,623 217 6.3 % 5.2 2,287 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 131,937 $ 117,053 2,906 6.6 % 5.0 $ 132,921 Acquired performing loans (C)(E) $ 1,759,976 $ 1,661,890 10,370 4.7 % 13.3 $ 2,070,262 Acquired non-performing loans (D)(E) 308,514 282,734 1,546 4.4 % 12.5 315,063 Originated loans 3,319,543 3,349,312 4,751 5.1 % 28.9 8,829,599 Total residential mortgage loans, held-for-sale, at fair value $ 5,388,033 $ 5,293,936 16,667 4.9 % 22.9 $ 11,214,924 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,519,970 $ 5,410,989 $ 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 June 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $672.1 million and $208.2 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 Concentration June 30, 2022 December 31, 2021 California 11.5 % 15.7 % Florida 10.5 % 10.1 % Texas 8.0 % 7.5 % New York 6.6 % 7.1 % Washington 5.8 % 6.7 % Georgia 4.1 % 3.8 % New Jersey 4.0 % 3.3 % Illinois 3.3 % 3.1 % Virginia 3.1 % 3.1 % Maryland 3.0 % 2.8 % Other U.S. 40.1 % 36.8 % 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: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 672,891 609,875 (63,016) 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 six months ended June 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 six months ended June 30, 2021, Rithm Capital executed calls on a total of 42 trusts and recognized $3.3 million of interest income on securities held in the collapsed trusts and $19.4 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 Value Loans Held-for-Sale, at Lower of Cost or Fair Value Loans Held-for-Sale, at Fair Value Total Balance at December 31, 2021 $ 569,932 $ 132,921 $ 11,214,924 $ 11,917,777 Originations — — 45,730,604 45,730,604 Sales — (720) (54,740,975) (54,741,695) Purchases/additional fundings 7,182 — 3,508,202 3,515,384 Proceeds from repayments (47,444) (10,173) (277,101) (334,718) Transfer of loans to other assets (A) — — (27,083) (27,083) Transfer of loans to real estate owned (1,658) 312 494 (852) 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 — (5,287) — (5,287) Fair value adjustments due to: Changes in instrument-specific credit risk (1,646) — (3,897) (5,543) Other factors (14,040) — (112,814) (126,854) Balance at June 30, 2022 $ 510,744 $ 117,053 $ 5,293,936 $ 5,921,733 (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 Six Months Ended 2022 2021 2022 2021 Interest income: Loans held-for-investment, at fair value $ 10,468 $ 11,911 $ 20,749 $ 22,971 Loans held-for-sale, at lower of cost or fair value 2,045 4,132 3,816 12,274 Loans held-for-sale, at fair value 56,343 48,513 126,651 88,485 Total interest income 68,856 64,556 151,216 123,730 Interest expense: Loans held-for-investment, at fair value 3,081 4,079 6,162 8,890 Loans held-for-sale, at lower of cost or fair value 823 2,554 1,672 10,340 Loans held-for-sale, at fair value and SFR properties 39,267 29,790 81,379 56,532 Total interest expense 43,171 36,423 89,213 75,762 Net interest income $ 25,685 $ 28,133 $ 62,003 $ 47,968 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 Six Months Ended 2022 2021 2022 2021 Gain (loss) on residential mortgage loans originated and sold, net (A) $ (421,834) $ 96,639 $ (792,255) $ 97,726 Gain (loss) on settlement of residential mortgage loan origination derivative instruments (B) 526,933 113,995 1,051,756 154,116 MSRs retained on transfer of residential mortgage loans (C) 329,470 207,663 790,922 463,136 Other (D) 1,838 28,405 29,539 52,102 Realized gain on sale of originated residential mortgage loans, net $ 436,407 $ 446,702 $ 1,079,962 $ 767,080 Change in fair value of residential mortgage loans 20,038 93,350 (269,959) 3,387 Change in fair value of interest rate lock commitments (Note 17) 77,481 55,299 (50,204) (179,683) Change in fair value of derivative instruments (Note 17) (229,135) (308,466) 16,988 99,549 Gain on originated residential mortgage loans, held-for-sale, net $ 304,791 $ 286,885 $ 776,787 $ 690,333 (A) Includes residential mortgage loan origination fees of $116.8 million and $438.9 million for the three months ended June 30, 2022 and 2021, respectively. Includes residential mortgage loan origination fees of $369.3 million and $1,097.3 million for the six months ended June 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. |
CONSUMER LOANS
CONSUMER LOANS | 6 Months Ended |
Jun. 30, 2022 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
CONSUMER LOANS | CONSUMER LOANS Rithm Capital, through limited liability companies (together, the “Consumer Loan Companies”), has a co-investment in a portfolio of consumer loans. The portfolio includes personal unsecured loans and personal homeowner loans. OneMain is the servicer of the loans and provides all servicing and advancing functions for the portfolio. As of June 30, 2022, Rithm Capital owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. Rithm Capital also purchased certain newly originated consumer loans from a third party (“Consumer Loan Seller”). These loans are not held in the Consumer Loan Companies and have been designated as performing consumer loans, held-for-investment and are 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. The following table summarizes characteristics of the consumer loan portfolio: Unpaid Principal Balance Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) June 30, 2022 Total consumer loans $ 380,603 $ 423,735 17.5 % 3.2 December 31, 2021 Total consumer loans $ 449,875 $ 507,291 17.5 % 3.2 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. See Note 18 regarding the financing of consumer loans. The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 6,734 7,370 636 7,394 8,232 838 The following table summarizes activities related to the carrying value of consumer loans: Balance at December 31, 2021 $ 507,291 Additional fundings (A) 14,350 Proceeds from repayments (84,637) Accretion of loan discount and premium amortization, net 7,695 Fair value adjustment due to: Changes in instrument-specific credit risk 4,126 Other factors (25,090) Balance at June 30, 2022 $ 423,735 (A) Represents draws on consumer loans with revolving privileges. |
SINGLE-FAMILY RENTAL PROPERTIES
SINGLE-FAMILY RENTAL PROPERTIES | 6 Months Ended |
Jun. 30, 2022 | |
Real Estate [Abstract] | |
SINGLE-FAMILY RENTAL PROPERTIES | SINGLE-FAMILY RENTAL PROPERTIES The following table summarizes the net carrying value of investments in single-family rental (“SFR”) properties: June 30, 2022 December 31, 2021 Land $ 170,055 $ 109,152 Building 680,219 436,610 Capital improvements 90,314 40,655 Total gross investment in SFR properties 940,588 586,417 Accumulated depreciation (13,361) (6,810) Investment in SFR properties, net $ 927,227 $ 579,607 Depreciation expense for the six months ended June 30, 2022 and 2021 totaled $6.6 million and $1.3 million, respectively, and is included in Other Income (Loss), Net in the Consolidated Statements of Income. As of June 30, 2022 and December 31, 2021, the carrying amount of the SFR properties includes capitalized acquisition costs of $6.8 million and $3.8 million, respectively. The following table summarizes the activity related to the net carrying value of investments in SFR properties: Balance at December 31, 2021 $ 579,607 Acquisitions and capital improvements 354,792 Dispositions (621) Accumulated depreciation (6,551) Balance at June 30, 2022 $ 927,227 Rithm Capital generally rents its SFR properties under non-cancelable lease agreements with a term of one 2022 $ 38,937 2023 and thereafter 15,675 Total $ 54,612 The following table summarizes the activity of the SFR portfolio by units: Balance at December 31, 2021 2,551 Acquisition of SFR units 1,059 Disposition of SFR units (2) Reclassifications to SFR properties, held for sale — Balance at June 30, 2022 3,608 See Note 18 regarding the financing of SFR Properties. |
MORTGAGE LOANS RECEIVABLE
MORTGAGE LOANS RECEIVABLE | 6 Months Ended |
Jun. 30, 2022 | |
Receivables [Abstract] | |
MORTGAGE LOANS RECEIVABLE | MORTGAGE LOANS RECEIVABLE Rithm Capital completed the acquisition of Genesis in December 2021. Genesis specializes in originating and managing a portfolio of primarily short-term mortgage loans to fund the construction and development of, or investment in, residential properties. The following table summarizes Mortgage Loans Receivable outstanding by loan purpose as of June 30, 2022: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 755,077 43.0 % 568 39.0 % 8.1 % 14.3 76.2% / 65.5% Bridge 722,282 41.1 % 455 31.3 % 7.6 % 16.6 77.1% Renovation 278,720 15.9 % 433 29.7 % 7.8 % 12.9 77.9% / 66.7% $ 1,756,079 100.0 % 1,456 100.0 % 7.8 % 15.0 N/A (A) Represents fair value. (B) Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) or loan-to-after-repair-value (“LTARV”) for construction and renovation loans. The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2021 $ 1,515,762 Initial loan advances 828,032 Construction holdbacks and draws 240,031 Paydowns and payoffs (783,878) Purchased loans premium amortization (43,868) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors — Balance at June 30, 2022 $ 1,756,079 The Company is subject to credit risk in connection with its investments in mortgage loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of Mortgage Loans Receivable: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,756,079 $ 1,756,079 $ — $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — — — — The following table summarizes the geographic distribution of the underlying Mortgage Loans Receivable as of June 30, 2022: State Concentration Percentage of Total California 57.2 % Washington 9.5 % New York 5.2 % Other U.S. 28.1 % 100.0 % See Note 18 regarding the financing of Mortgage Loans Receivable. |
CASH, CASH EQUIVALENTS AND REST
CASH, CASH EQUIVALENTS AND RESTRICTED CASH | 6 Months Ended |
Jun. 30, 2022 | |
Cash and Cash Equivalents [Abstract] | |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH | CASH, CASH EQUIVALENTS AND RESTRICTED CASH Rithm Capital considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash primarily relates to the financing of servicer advances that has been pledged to the note holders for interest and fees payable, cash related to Ginnie Mae Excess MSRs, and financing of consumer loans as well as real estate securities. Restricted cash also consists of cash the Company has pledged to cover variation margin with its financing and certain derivative counterparties. The following table summarizes restricted cash balances: June 30, 2022 December 31, 2021 MSRs and servicer advances $ 55,989 $ 27,182 Real estate and other securities 10,610 15,342 Consumer loans 19,748 21,961 SFR properties 3,672 2,482 Origination and servicing 328,609 128,588 Mortgage loans receivable (A) 15,332 — Other — 312 Total restricted cash $ 433,960 $ 195,867 (A) Primarily relates to cash deposited into the 2022-RTL1 securitization facility, to be used to purchase additional mortgage loans and to fund unfunded commitments. The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on Rithm Capital’s Consolidated Balance Sheets to the total of the same such amounts shown in the Consolidated Statements of Cash Flows: Six Months Ended 2022 2021 Cash and cash equivalents $ 1,510,848 $ 956,242 Restricted cash 433,960 238,501 Total cash, cash equivalents and restricted cash $ 1,944,808 $ 1,194,743 |
OTHER ASSETS AND LIABILITIES
OTHER ASSETS AND LIABILITIES | 6 Months Ended |
Jun. 30, 2022 | |
Other Income Assets And Liabilities [Abstract] | |
OTHER ASSETS AND LIABILITIES | OTHER ASSETS AND LIABILITIES Other Assets and Accrued Expenses and Other Liabilities consist of the following: Other Assets Accrued Expenses June 30, 2022 December 31, 2021 June 30, 2022 December 31, 2021 Margin receivable, net (A) $ 256,186 $ 358,041 Margin payable $ 41,410 $ 9,821 Servicing fee receivables 123,269 117,935 Interest payable 40,586 30,931 Principal and interest receivable 95,709 85,084 Accounts payable 199,886 345,901 Equity investments (B) 63,839 81,052 Termination fee payable (Note 25) 200,000 — Other receivables 193,856 233,342 Derivative liabilities (Note 17) 57,224 34,583 REO 17,052 21,641 Accrued compensation and benefits 114,955 201,057 Goodwill (Note 15) (C) 85,199 85,199 Operating lease liabilities (Note 16) 117,730 142,620 Notes receivable, at fair value (D) 52,692 60,549 Deferred tax liability 716,148 440,690 Warrants, at fair value 21,090 27,354 Other liabilities 283,061 153,165 Property and equipment 44,803 56,617 $ 1,771,000 $ 1,358,768 Intangible assets (Note 15) 145,700 143,133 Prepaid expenses 69,866 115,110 Operating lease right-of-use assets (Note 16) 98,504 117,131 Derivative assets (Note 17) 194,507 138,173 Loans receivable, at fair value (E) 164,901 229,631 Credit facilities receivable (F) 34,419 41,351 Loans in process and settlements in process (G) 105,818 11,681 Other assets 161,488 105,728 $ 1,928,898 $ 2,028,752 (A) Represents collateral posted as a result of changes in fair value of Rithm Capital’s (i) real estate securities securing its secured financing agreements and (ii) derivative instruments. (B) Represents equity investments in funds that invest in (i) a commercial redevelopment project and (ii) operating companies in the single-family housing industry. The commercial redevelopment project is accounted for at fair value based on the net asset value of Rithm Capital’s investment. Equity investments also includes an investment in Covius Holding Inc. (“Covius”), a provider of various technology-enabled services to the mortgage and real estate industries, preferred stock in Valon Mortgage, Inc. (“Valon”), a residential mortgage servicing and technology company, and preferred stock in Credijusto Ltd. (“Covalto”), a financial services company. (C) Includes goodwill derived from the acquisition of Shellpoint Partners LLC (“Shellpoint”), Guardian Asset Management LLC (“Guardian”) and Genesis. (D) Represents a subordinated debt facility to Covius and a private note with Matic Insurance Services, Inc. (“Matic”). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (E) Represents loans made pursuant to a senior credit agreement and a senior subordinated credit agreement to an entity affiliated with funds managed by an affiliate of the Former Manager (see Note 23). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (F) Represents cash deposits and collections associated with certain collateral assets which are held by the lender trust until settled each month. (G) Loans in process represent timing differences in the disbursing of funds and the closing of the loan. Settlements in process represent timing differences in the receipt of funds and settlement of the loan sale. Real Estate Owned (REO) — REO assets are those individual properties acquired by Rithm Capital or where Rithm Capital receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession). Rithm Capital measures REO assets at the lower of cost or fair value, with valuation changes recorded in Other Income or Valuation and Credit Loss Provision (Reversal) on Loans and Real Estate Owned in the Consolidated Statements of Income. REO assets are managed for prompt sale and disposition at the best possible economic value. The following table presents activity related to the carrying value of investments in REO: Balance at December 31, 2021 $ 21,641 Purchases 210 Transfer of loans to REO 4,890 Sales (A) (10,569) Valuation (provision) reversal 880 Balance at June 30, 2022 $ 17,052 (A) Recognized when control of the property has transferred to the buyer. As of June 30, 2022, Rithm Capital had residential mortgage loans that were in the process of foreclosure with an unpaid principal balance of $51.2 million. Notes and Loans Receivable — The following table summarizes the activity for notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 Fundings — — — Payment in Kind 2,412 4,380 6,792 Proceeds from repayments — (68,751) (68,751) Transfer to other assets (1,000) — (1,000) Fair value adjustments due to: Changes in instrument-specific credit risk (9,042) — (9,042) Other factors (227) (359) (586) Balance at June 30, 2022 $ 52,692 $ 164,901 $ 217,593 The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 226,106 $ 217,593 $ (8,513) $ 289,065 $ 290,180 $ 1,115 90+ — — — — — — |
EXPENSES, CHANGE IN FAIR VALUE
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER | 6 Months Ended |
Jun. 30, 2022 | |
Other Income and Expenses [Abstract] | |
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER | EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER General and Administrative expenses consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Legal and professional $ 20,822 $ 18,587 $ 49,408 $ 36,806 Loan origination 35,015 44,916 74,916 85,161 Occupancy 28,886 10,221 58,663 20,571 Subservicing 41,987 45,278 88,795 95,117 Loan servicing 4,866 4,627 10,170 9,306 Property and maintenance 22,108 15,755 45,711 27885 Other 71,587 33,602 143,846 62,001 Total general and administrative expenses $ 225,271 $ 172,986 $ 471,509 $ 336,847 Change in Fair Value of Investments, Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Excess MSRs $ 1,066 $ (4,211) $ (1,564) $ (8,829) Excess MSRs, equity method investees 156 (568) 1,859 2,597 Servicer advance investments (1,314) (4,502) (1,797) (4,873) Real estate and other securities (379,656) 156,792 (984,951) (341,547) Residential mortgage loans (25,477) 121,242 (132,397) 181,416 Consumer loans (7,196) (1,626) (20,929) (7,630) Mortgage loans receivable (5,542) — — — Derivative instruments 183,923 (37,227) 758,620 168,978 Total change in fair value of investments, net $ (234,040) $ 229,900 $ (381,159) $ (9,888) Gain (Loss) on Settlement of Investments, Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Gain (loss) on sale of real estate securities $ (118,079) $ (24,708) $ (119,636) $ (25,691) Sale of acquired residential mortgage loans (1,798) 19,198 48,621 49,597 Settlement of derivatives 232,470 (49,256) 279,945 (76,629) Liquidated residential mortgage loans (14,551) (268) (44,484) 629 Sale of REO (1,268) (239) (3,359) (4,185) Extinguishment of debt — 89 — 83 Other (1,838) (23,427) (4,967) (34,407) Total gain (loss) on settlement of investments, net $ 94,936 $ (78,611) $ 156,120 $ (90,603) Other Income (Loss), Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Unrealized gain (loss) on secured notes and bonds payable $ 27,957 $ 5,638 $ 35,151 $ 1,216 Rental revenue 12,272 14,195 20,402 20,022 Property and maintenance revenue 32,035 25,104 66,340 45,010 (Provision) reversal for credit losses on securities (2,174) 1,756 (2,885) 2,650 Valuation and credit loss (provision) reversal on loans and real estate owned (1,614) 32,652 (4,643) 51,365 Other income (loss) (9,088) (14,893) (2,645) (45,817) Total other income (loss), net $ 59,388 $ 64,452 $ 111,720 $ 74,446 Accretion and Other Amortization as reflected on the Consolidated Statements of Cash Flows consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Accretion of net discount on securities and loans $ 8,219 $ 10,090 $ 13,512 $ 22,097 Accretion of servicer advances receivable discount and servicer advance investments 2,699 (52) 6,855 6,796 Accretion of excess mortgage servicing rights income 7,588 (238) 20,605 11,993 Amortization of deferred financing costs (2,722) (3,776) (5,382) (8,377) Amortization of discount on secured notes and bonds payable — (3) — (3) Amortization of discount on corporate debt (409) (438) (859) (889) Total accretion and other amortization $ 15,375 $ 5,583 $ 34,731 $ 31,617 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 6 Months Ended |
Jun. 30, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | GOODWILL AND INTANGIBLE ASSETS As a result of the various acquisitions, Rithm Capital identified intangible assets in the form of licenses, customer relationships, business relationships, and trade names. The following table summarizes the carrying value of goodwill by reportable segment: Origination Servicing MSR Mortgage Loans Receivable Total Balance at December 31, 2021 $ 11,836 $ 12,540 $ 5,092 $ 55,731 $ 85,199 Goodwill acquired — — — — — Accumulated impairment loss — — — — — Other adjustments — — — — — Balance at June 30, 2022 $ 11,836 $ 12,540 $ 5,092 $ 55,731 $ 85,199 The following table summarizes the acquired identifiable intangible assets: Estimated Useful Lives (Years) June 30, 2022 December 31, 2021 Gross Intangible Assets Customer relationships 3 to 9 $ 57,950 $ 57,949 Purchased technology 3 to 5 109,908 93,241 Trademarks / Trade names 1 to 5 10,259 10,259 178,117 161,449 Accumulated Amortization Customer relationships 10,547 6,574 Purchased technology 20,003 10,578 Trademarks / Trade names 1,867 1,164 32,417 18,316 Intangible Assets, Net Customer relationships 47,403 51,375 Purchased technology 89,905 82,663 Trademarks / Trade names 8,392 9,095 $ 145,700 $ 143,133 The following table summarizes the expected future amortization expense for acquired intangible assets as of June 30, 2022: Year Ending Amortization Expense July 1 through December 31, 2022 $ 14,361 2023 26,031 2024 25,117 2025 20,139 2026 15,318 2027 and thereafter 14,008 $ 114,974 |
OPERATING LEASES
OPERATING LEASES | 6 Months Ended |
Jun. 30, 2022 | |
Leases [Abstract] | |
OPERATING LEASES | OPERATING LEASES Rithm Capital, through its wholly-owned subsidiaries, has leases on office space expiring through 2033. Rent expense, net of sublease income for the three months ended June 30, 2022 and 2021 totaled $11.0 million and $3.6 million, respectively, and for the six months ended June 30, 2022 and 2021 totaled $23.7 million and $7.0 million, respectively. The Company has leases that include renewal options and escalation clauses. The terms of the leases do not impose any financial restrictions or covenants. Operating lease right-of-use (“ROU”) assets represent the right to use an underlying asset for the lease term and lease liabilities represent obligations to make lease payments arising from the lease. Operating lease ROU assets and lease liabilities are grouped and presented as part of Other Assets Accrued Expenses and Other Liabilities As of June 30, 2022, future commitments under the non-cancelable leases are as follows: Year Ending Amount July 1 through December 31, 2022 $ 20,196 2023 29,727 2024 22,084 2025 16,423 2026 10,456 2027 and thereafter 34,414 Total remaining undiscounted lease payments 133,300 Less: imputed interest 15,570 Total remaining discounted lease payments $ 117,730 The future commitments under the non-cancelable leases have not been reduced by the sublease rentals of $1.7 million due in the future periods. Other information related to operating leases is summarized below: June 30, 2022 December 31, 2021 Weighted-average remaining lease term (years) 5.6 5.5 Weighted-average discount rate 4.0 % 4.1 % |
DERIVATIVES
DERIVATIVES | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | DERIVATIVES Rithm Capital enters into economic hedges including interest rate swaps and TBAs to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. Rithm Capital’s credit risk with respect to economic hedges is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. Rithm Capital may at times hold to-be-announced forward contract positions (“TBAs”) in order to mitigate Rithm Capital’s interest rate risk on certain specified mortgage backed securities and MSRs. Amounts or obligations owed by or to Rithm Capital are subject to the right of set-off with the TBA counterparty. As part of executing these trades, Rithm Capital may enter into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage backed securities and MSR fair value fluctuations, or hedging gains and losses, are reflected in the tables below. As of June 30, 2022, Rithm Capital also held interest rate lock commitments (“IRLCs”), which represent a commitment to a particular interest rate provided the borrower is able to close the loan within a specified period, and forward loan sale and securities delivery commitments, which represent a commitment to sell specific residential mortgage loans at prices which are fixed as of the forward commitment date. Rithm Capital enters into forward loan sale and securities delivery commitments in order to hedge the exposure related to IRLCs and residential mortgage loans that are not covered by residential mortgage loan sale commitments. Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows: Balance Sheet Location June 30, 2022 December 31, 2021 Derivative assets Interest rate swaps (A) Other assets $ 104 $ 52 Interest rate lock commitments Other assets 73,784 114,871 TBAs Other assets 120,619 15,472 Options on treasury futures Other assets — 7,778 $ 194,507 $ 138,173 Derivative liabilities Interest rate lock commitments Accrued expenses and other liabilities $ 12,210 $ 3,093 TBAs Accrued expenses and other liabilities 45,014 31,490 $ 57,224 $ 34,583 (A) Net of $776.1 million and $60.7 million of related variation margin balances as of June 30, 2022 and December 31, 2021, respectively. The following table summarizes notional amounts related to derivatives: June 30, 2022 December 31, 2021 Interest rate swaps (A) $ 16,675,000 $ 11,490,000 Interest rate lock commitments 6,039,813 10,653,850 TBAs, short position (B) 16,676,041 22,697,706 Treasury futures — 314,500 Options on treasury futures — 3,200,000 (A) Includes $16.7 billion notional of receive LIBOR/pay fixed of 1.18% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 39 months and 0 months, respectively, as of June 30, 2022. Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.10% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021. (B) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Income: Three Months Ended Six Months Ended 2022 2021 2022 2021 Servicing revenue, net (A) TBAs $ — $ 8,624 $ 3,300 $ (199) Treasury futures — — (1,746) — Options on treasury futures — — 5,635 — — 8,624 7,189 (199) Gain on originated residential mortgage loans, held-for-sale, net (A) Interest rate lock commitments 77,481 55,299 (50,204) (179,683) TBAs (229,135) (308,466) 16,988 99,549 (151,654) (253,167) (33,216) (80,134) Change in fair value of investments (A) Interest rate swaps 251,888 (37,227) 716,222 168,978 TBAs (67,965) — 42,398 — 183,923 (37,227) 758,620 168,978 Gain (loss) on settlement of investments, net (B) Interest rate swaps (10,616) (35,246) (36,295) (69,072) TBAs (C) 243,086 (14,010) 316,240 (7,557) 232,470 (49,256) 279,945 (76,629) Total gain (loss) $ 264,739 $ (331,026) $ 1,012,538 $ 12,016 (A) Represents unrealized gain (loss). (B) Excludes $76.8 million loss for the six months ended June 30, 2022 included within Servicing Revenue, Net (Note 5). There was no gain included within Servicing Revenue, Net for the six months ended June 30, 2021 or for the three months ended June 30, 2022 and 2021, respectively. (C) Excludes $526.9 million gain and $114.0 million gain for the three months ended June 30, 2022 and 2021, respectively, and $1.1 billion gain and $154.1 million gain for the six months ended June 30, 2022 and 2021, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8). |
DEBT OBLIGATIONS
DEBT OBLIGATIONS | 6 Months Ended |
Jun. 30, 2022 | |
Debt Disclosure [Abstract] | |
DEBT OBLIGATIONS | DEBT OBLIGATIONS The following table summarizes Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: June 30, 2022 December 31, 2021 Collateral Debt Obligations/Collateral Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Secured Financing Agreements (C) Repurchase Agreements: Warehouse Credit Facilities-Residential Mortgage Loans (F) $ 4,910,944 $ 4,908,659 Jul-22 to Sep-25 3.05 % 0.7 $ 5,646,909 $ 5,588,006 $ 5,479,872 20.3 $ 10,138,297 Warehouse Credit Facilities-Mortgage Loans Receivable (E) 1,161,223 1,161,223 Dec-23 3.93 % 1.5 1,358,294 1,358,294 1,358,294 0.7 1,252,660 Agency RMBS (D) 7,040,807 7,040,807 Jul-22 to Sep-22 1.18 % 0.1 7,994,763 8,216,954 7,061,674 9.6 8,386,538 Non-Agency RMBS (E) 621,058 621,058 Jul-22 to Oct-23 3.73 % 0.1 13,777,282 886,905 884,604 3.7 656,874 SFR properties (E) 235,487 235,487 Dec-22 3.15 % 0.5 N/A 330,159 330,159 N/A 158,515 Total Secured Financing Agreements 13,969,519 13,967,234 2.21 % 0.4 20,592,884 Secured Notes and Bonds Payable Excess MSRs (G) 228,497 228,497 Aug-25 3.74 % 3.1 73,121,546 265,354 329,535 6.8 237,835 MSRs (H) 4,666,798 4,657,497 Dec-22 to Dec-26 4.60 % 2.7 527,279,143 6,414,614 8,279,291 7.5 4,234,771 Servicer Advance Investments (I) 322,735 321,891 Aug-22 to Mar-24 1.22 % 0.5 341,328 365,677 379,901 7.5 355,722 Servicer Advances (I) 2,174,064 2,169,295 Aug-22 to Nov-24 3.08 % 1.2 2,590,339 2,560,696 2,560,696 0.7 2,355,969 Residential Mortgage Loans (J) 772,887 772,998 Mar-24 to Jul-43 2.17 % 2.4 791,041 796,987 796,987 26.8 802,526 Consumer Loans (K) 384,596 357,663 Sep-37 2.07 % 8.0 380,549 393,138 423,704 3.3 458,580 SFR Properties 497,303 496,771 Mar-23 to Jun-27 3.59 % 3.6 N/A 542,385 542,385 N/A 199,407 Mortgage Loans Receivable (L) 324,062 317,414 Dec-26 4.43 % 4.5 352,867 352,867 352,867 0.7 — Total Secured Notes and Bonds Payable 9,370,942 9,322,026 3.75 % 2.6 8,644,810 Total/ Weighted Average $ 23,340,461 $ 23,289,260 2.84 % 1.3 $ 29,237,694 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid. (C) Includes approximately $23.5 million of associated accrued interest payable as of June 30, 2022. (D) All fixed interest rates. (E) All LIBOR-based floating interest rates. (F) Includes $227.9 million which bear interest at a fixed rate of 4.0% with the remaining having LIBOR-based floating interest rates. (G) Includes $228.5 million of corporate loans which bear interest at a fixed rate of 3.7%. (H) Includes $2.6 billion of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or SOFR, and (ii) a margin ranging from 2.5% to 3.5%; and $2.0 billion of capital market notes with fixed interest rates ranging 3.0% to 5.4%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and MSR Financing Receivables securing these notes. (I) $1.7 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.1% to 3.5%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM. (J) Represents (i) $22.9 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.8%, and (ii) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate residential mortgage loans which bears interest equal to one-month LIBOR plus 1.1%. (K) Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $331.6 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037 (collectively, “SCFT 2020-A”). (L) Reflects the 2022-RTL1 Securitization. Refer to Note 20 for details. General Certain of the debt obligations included above are obligations of Rithm Capital’s consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of Rithm Capital. As of June 30, 2022, Rithm Capital has margin exposure on $14.0 billion of secured financing agreements. To the extent that the value of the collateral underlying these secured financing agreements declines, Rithm Capital may be required to post margin, which could significantly impact its liquidity. The following table summarizes activities related to the carrying value of debt obligations: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans SFR Properties Mortgage Loans Receivable Total Balance at December 31, 2021 $ 237,835 $ 4,234,771 $ 2,711,691 $ 9,043,412 $ 10,940,823 $ 458,580 $ 357,922 $ 1,252,660 $ 29,237,694 Secured Financing Agreements Borrowings — — — 21,936,667 49,939,478 — 188,390 867,224 72,931,759 Repayments — — — (23,318,214) (55,170,640) — (111,418) (958,661) (79,558,933) Capitalized deferred financing costs, net of amortization — — — — 1,524 — — — 1,524 Secured Notes and Bonds Payable Borrowings — 915,000 1,296,071 — — — 394,816 324,062 2,929,949 Repayments (9,338) (493,604) (1,517,932) — (31,996) (69,946) (97,226) — (2,220,042) Unrealized gain on notes, fair value — — — — 2,468 (30,971) — (6,648) (35,151) Capitalized deferred financing costs, net of amortization — 1,330 1,356 — — — (226) — 2,460 Balance at June 30, 2022 $ 228,497 $ 4,657,497 $ 2,491,186 $ 7,661,865 $ 5,681,657 $ 357,663 $ 732,258 $ 1,478,637 $ 23,289,260 (A) Rithm Capital net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances. Maturities Contractual maturities of debt obligations as of June 30, 2022 are as follows: Year Ending Nonrecourse (A) Recourse (B) Total July 1 through December 31, 2022 $ 506,597 $ 9,299,334 $ 9,805,931 2023 1,299,437 5,529,828 6,829,265 2024 1,239,059 1,533,468 2,772,527 2025 — 1,879,018 1,879,018 2026 324,062 1,514,224 1,838,286 2027 and thereafter 765,314 — 765,314 $ 4,134,469 $ 19,755,872 $ 23,890,341 (A) Includes secured notes and bonds payable of $4.1 billion. (B) Includes secured financing agreements and secured notes and bonds payable of $14.0 billion and $5.8 billion, respectively. Borrowing Capacity The following table represents borrowing capacity as of June 30, 2022: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 6,844,837 $ 3,044,826 $ 3,800,011 Loan originations 16,836,159 4,012,828 12,823,331 Secured Notes and Bonds Payable Excess MSRs 286,380 228,497 57,883 MSRs 5,870,641 4,666,798 1,203,843 Servicer advances 3,911,341 2,496,799 1,414,542 Residential mortgage loans 290,714 230,189 60,526 $ 34,040,072 $ 14,679,937 $ 19,360,136 (A) Although available financing is uncommitted, Rithm Capital’s unused borrowing capacity is available if it has additional eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate. Certain of the debt obligations are subject to customary loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in Rithm Capital’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. Additionally, with the expected phase out of LIBOR, the Company expects the calculated rate on certain debt obligations will be changed to another published reference standard before the planned cessation of LIBOR quotations in 2023. However, the Company does not anticipate this change will have a significant effect on the terms and conditions, ability to access credit, or on its financial condition. Rithm Capital was in compliance with all of its debt covenants as of June 30, 2022. 2025 Senior Unsecured Notes On September 16, 2020, the Company, as borrower, completed a private offering of $550.0 million aggregate principal amount of 6.250% senior unsecured notes due 2025 (the “2025 Senior Notes”). Interest on the 2025 Senior Notes accrue at the rate of 6.250% per annum with interest payable semi-annually in arrears on each April 15 and October 15. The 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed): Year Price 2022 103.125% 2023 101.563% 2024 and thereafter 100.000% Prior to October 15, 2022, the Company will be entitled at its option on one or more occasions to redeem the 2025 Senior Notes in an aggregate principal amount not to exceed 40% of the aggregate principal amount of the 2025 Senior Notes originally issued prior to the applicable redemption date at a fixed redemption price of 106.250%. Net proceeds from the offering were approximately $544.5 million, after deducting the initial purchasers’ discounts and commissions and estimated offering expenses payable by the Company. The Company incurred fees of approximately $8.3 million in relation to the issuance of the 2025 Senior Notes. These fees were capitalized as debt issuance cost and are grouped and presented as part of Unsecured Senior Notes, Net of Issuance Costs on the Consolidated Balance Sheets. For the three months ended June 30, 2022 , the Company recognized interest expense of $8.5 million. At June 30, 2022 , the unamortized debt issuance costs was approximately $5.8 million. The 2025 Senior Notes are senior unsecured obligations and rank pari passu in right of payment with all of the Company’s existing and future senior unsecured indebtedness and senior unsecured guarantees. At the time of issuance, the 2025 Senior Notes were not guaranteed by any of the Company’s subsidiaries and none of its subsidiaries are required to guarantee the 2025 Senior Notes in the future, except under limited specified circumstances. The 2025 Senior Notes contain financial covenants and other non-financial covenants, including, among other things, limits on the ability of the Company and its restricted subsidiaries to incur certain indebtedness (subject to various exceptions), requires that the Company maintain total unencumbered assets (as defined in the debt agreement) of not less than 120% of the aggregate principal amount of the outstanding unsecured debt, and imposes certain requirements in order for the Company to merge or consolidate with or transfer all or substantially all of its assets to another person, in each case subject to certain qualifications set forth in the debt agreement. If the Company were to fail to comply with these covenants, after the expiration of the applicable cure periods, the debt maturity could be accelerated or other remedies could be sought by the lenders. As of June 30, 2022, the Company was in compliance with all covenants. In the event of a change of control, each holder of the 2025 Senior Notes will have the right to require the Company to repurchase all or any part of the outstanding balance at a purchase price of 101% of the principal amount of the 2025 Senior Notes repurchased, plus accrued and unpaid interest, if any, to, but not including, the date of such repurchase. SFR Properties Mortgage-Backed Securitizations 2022-SFR1 Securitization The 2022-SFR 1 Securitization is a fixed-rate loan for $267.3 million with a 5-year term maturing in February 2027 and has a weighted-average interest rate of 3.51%. The loan is secured by first priority mortgages on a portfolio of 1,200 SFR properties. In addition to the SFR pass-through certificates sold to third parties, Rithm Capital acquired 5.0% of each Class, except for Class R certificates, which bear no interest, for $13.4 million in the aggregate. Rithm Capital evaluated the purchased Class certificates as a variable interest in the trust and concluded that each Class certificate will not absorb a majority of the trust’s expected losses or receive a majority of the trust’s expected residual returns. Rithm Capital also concluded that each Class certificate does not provide the Company with an ability to direct activities that could impact the trust’s economic performance. Rithm Capital does not consolidate the trust and the $13.4 million of aggregate purchased Class certificates are grouped and presented within Real Estate and Other Securities on the Consolidated Balance Sheets. Gross proceeds to the Company from the transaction, after purchase of 5.0% of each Class certificates, were $253.9 million, before issuance costs of $6.2 million, and were used to pay down the outstanding balance on the credit facility and for general corporate purposes. The loan agreement requires maintenance of covenants typical for securitization transactions including maintaining certain reserve accounts and a debt service coverage ratio of at least 1.20 to 1.00. The loan agreement defines the debt service coverage ratio as of any determination date as a ratio in which the numerator is the net cash flow divided by the aggregate debt service for the 12-month period following the date of determination. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS U.S. GAAP requires the categorization of fair value measurement into three broad levels which form a hierarchy based on the transparency of inputs to the valuation. Level 1 – Quoted prices in active markets for identical instruments. Level 2 – Valuations based principally on other observable market parameters, including: • Quoted prices in active markets for similar instruments, • Quoted prices in less active or inactive markets for identical or similar instruments, • Other observable inputs (such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates), and • Market corroborated inputs (derived principally from or corroborated by observable market data). Level 3 – Valuations based significantly on unobservable inputs. Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement. The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of June 30, 2022 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Excess MSRs (A) $ 73,121,546 $ 337,050 $ — $ — $ 337,050 $ 337,050 MSRs and MSR financing receivables (A) 548,095,165 8,626,409 — — 8,626,409 8,626,409 Servicer advance investments 341,328 379,901 — — 379,901 379,901 Real estate and other securities 25,301,502 7,988,802 — 7,064,068 924,734 7,988,802 Residential mortgage loans, held-for-sale 131,937 117,053 — — 118,299 118,299 Residential mortgage loans, held-for-sale, at fair value 5,388,033 5,293,937 — 4,736,171 557,766 5,293,937 Residential mortgage loans, held-for-investment, at fair value 576,750 510,744 — — 510,744 510,744 Residential mortgage loans subject to repurchase 1,758,509 1,758,509 — 1,758,509 — 1,758,509 Consumer loans 380,603 423,735 — — 423,735 423,735 Mortgage loans receivable (B) 1,756,079 1,756,079 — 352,867 1,403,212 1,756,079 Notes receivable 61,785 52,692 — — 52,692 52,692 Loans receivable 164,321 164,901 — — 164,901 164,901 Cash, cash equivalents and restricted cash 1,944,808 1,944,808 1,944,808 — — 1,944,808 Other assets (C) N/A 28,965 1,754 — 27,211 28,965 Derivative assets 34,903,771 194,507 — 120,723 73,784 194,507 $ 29,578,092 $ 1,946,562 $ 14,032,338 $ 13,600,438 $ 29,579,338 Liabilities Secured financing agreements $ 13,969,519 $ 13,967,234 $ — $ 13,967,234 $ — $ 13,967,234 Secured notes and bonds payable (D) 9,370,942 9,322,026 — 1,074,062 8,447,185 9,521,247 Unsecured senior notes, net of issuance costs 544,167 544,167 — — 478,841 478,841 Residential mortgage loan repurchase liability 1,758,509 1,758,509 — 1,758,509 — 1,758,509 Derivative liabilities 4,487,083 57,224 — 45,014 12,210 57,224 $ 25,649,160 $ — $ 16,844,819 $ 8,938,236 $ 25,783,055 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Includes Rithm Capital’s economic interests in the VIEs consolidated and accounted for under the collateralized financing entity (“CFE”) election. As of June 30, 2022, the fair value of Rithm Capital’s interests in the mortgage loans receivable securitization was $40.0 million. (C) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of Rithm Capital’s investment. The investment had a fair value of $28.5 million as of June 30, 2022. (D) Includes SAFT 2013-1, SCFT 2020-A and 2022-RTL1 mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $698.1 million as of June 30, 2022. The following table summarizes assets measured at fair value on a recurring basis using Level 3 inputs: Level 3 Excess MSRs (A)(B) MSRs and MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Notes and Loans Receivable Mortgage Loans Receivable Total Balance at December 31, 2021 $ 344,947 $ 6,858,803 $ 421,807 $ 951,942 $ 111,778 $ 2,423,337 $ 507,291 $ 290,180 $ 1,515,762 $ 13,425,847 Transfers Transfers from Level 3 — — — — — (776,774) — (1,000) (405,286) (1,183,060) Transfers to Level 3 — — — — — — — — — Gain (loss) included in net income Credit losses on securities (D) — — — (776) — — — — (776) Change in fair value of excess MSRs (D) (1,564) — — — — — — — (1,564) Change in fair value of excess MSRs, equity method investees (D) 1,859 — — — — — — — 1,859 Servicing revenue, net (E) Included in servicing revenue (E) — 981,581 — — — — — — 981,581 Change in fair value of: Servicer advance investments — — (1,797) — — — — — (1,797) Residential mortgage loans — — — — — (132,397) — (132,397) Consumer loans — — — — — — (20,964) — (20,964) Gain (loss) on settlement of investments, net 37 — — (1,560) — — — — (43,868) (45,391) Other income (loss), net (D) — — — (36,803) (50,204) (2,734) — (9,628) (99,369) Gains (losses) included in OCI (F) — — — (25,620) — — — (25,620) Interest income 20,605 — 6,854 5,818 — — 7,695 6,792 47,764 Purchases, sales and repayments Purchases, net (G) — (613) 500,000 148,590 — 1,586,374 14,350 — 2,248,701 Proceeds from sales (997) (4,284) — — (1,865,401) — — (1,870,682) Proceeds from repayments (27,837) — (546,963) (116,857) — (162,733) — (68,751) (704,398) (1,627,539) Originations and other — 790,922 — — — (1,162) (84,637) — 1,041,002 1,746,125 Balance at June 30, 2022 $ 337,050 $ 8,626,409 $ 379,901 $ 924,734 $ 61,574 $ 1,068,510 $ 423,735 $ 217,593 $ 1,403,212 $ 13,442,718 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Amounts represent Rithm Capital’s portion of the Excess MSRs held by the respective joint ventures in which Rithm Capital has a 50% interest. (C) For the purpose of this table, the IRLC asset and liability positions are shown net. (D) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (E) The components of Servicing Revenue, Net are disclosed in Note 5. (F) Gain (loss) included in Unrealized Gain (Loss) on Available-for-Sale Securities, Net in the Consolidated Statements of Comprehensive Income. (G) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Asset-Backed Securities Issued Balance at December 31, 2021 $ 511,107 Transfers Gains (losses) included in net income Other income (A) (28,503) Purchases, sales and repayments Proceeds from sales — Payments (101,942) Other — Balance at June 30, 2022 $ 380,662 (A) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period. Excess MSRs, Excess MSRs Equity Method Investees, MSRs and MSR Financing Receivables Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of June 30, 2022: Significant Inputs (A) Prepayment (B) Delinquency (C) Recapture (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 3.3% – 6.0% (4.7%) 0.1% – 6.1% (0.7%) 0.6% – 8.1% (2.1%) 15 – 31 (21) 11 – 20 (18) Recaptured Pools 3.3% – 5.4% (4.3%) 0.1% – 1.4% (0.5%) —% – 7.3% (1.4%) 20 – 27 (23) 18 – 23 (22) 3.3% – 6.0% (4.5%) 0.1% – 6.1% (0.6%) —% – 8.1% (1.8%) 15 – 31 (22) 11 – 23 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 3.1% – 9.1% (5.7%) 1.2% – 8.6% (6.2%) —% – 9.8% (3.2%) 6 – 25 (15) 17 – 29 (23) Recaptured Pools 2.1% – 3.1% (2.5%) 0.1% – 0.2% (0.2%) 0.6% – 5.0% (1.0%) 22 – 25 (23) 21 – 23 (23) 2.1% – 9.1% (5.0%) 0.1% – 8.6% (6.2%) —% – 9.8% (2.7%) 6 – 25 (17) 17 – 29 (23) Total/Weighted Average — Excess MSRs Directly Held 2.1% – 9.1% (4.7%) 0.1% – 8.6% (2.7%) —% – 9.8% (2.2%) 6 – 31 (19) 11 – 29 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 4.7% – 5.9% (5.3%) 0.5% – 1.2% (0.7%) 1.1% – 3.0% (2.3%) 15 – 25 (19) 16 – 18 (17) Recaptured Pools 4.5% – 4.9% (4.6%) 0.2% – 1.2% (0.7%) 0.7% – 2.5% (1.7%) 21 – 26 (24) 20 – 22 (21) Total/Weighted Average — Excess MSRs Held through Investees 4.5% – 5.9% (4.9%) 0.2% – 1.2% (0.7%) 0.7% – 3.0% (1.9%) 15 – 26 (22) 16 – 22 (20) Total/Weighted Average — Excess MSRs All Pools 2.1% – 9.1% (4.8%) 0.1% – 8.6% (2.0%) —% – 9.8% (2.1%) 6 – 31 (20) 11 – 29 (21) MSRs and MSR Financing Receivables Agency (H) 0.5% – 83.2% (7.4%) 0.1% – 75.0% (1.5%) —% – 60.3% (5.8%) 1 – 100 (29) 0 – 40 (23) Non-Agency (H) 1.8% – 83.3% (7.8%) 0.4% – 66.7% (12.1%) 1.7% – 34.6% (8.8%) 19 – 213 (48) 0 – 31 (24) Ginnie Mae (H) 4.2% – 82.3% (9.6%) 0.1% – 75.0% (7.2%) 2.4% – 14.4% (7.1%) 18 – 82 (40) 0 – 37 (28) Total/Weighted Average — MSRs and MSR Financing Receivables 0.5% – 83.3% (7.9%) 0.1% – 75.0% (3.8%) —% – 60.3% (10.0%) 1 – 213 (33) 0 – 40 (24) (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $6.10 – $7.00 ($6.70) per loan per month was used to value the agency MSRs. A weighted average cost of subservicing of $7.30 – $15.10 ($10.10) per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.20 – $8.30 ($8.30) per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. With respect to valuing the PHH-serviced MSRs and MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be LIBOR plus 2.1%. As of June 30, 2022, a weighted average discount rate of 7.8% (range 7.5% – 8.0%) was used to value Rithm Capital’s Excess MSRs (directly and through equity method investees). As of June 30, 2022, a weighted average discount rate of 7.5% (range 7.0% – 9.0%) was used to value Rithm Capital’s MSRs and MSR Financing Receivables. Servicer Advance Investments Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) June 30, 2022 0.9% – 1.8% (1.8%) 4.5% – 6.0% (5.9%) 3.6% – 15.5% (15.2%) 17.4 – 19.8 (19.8) bps 5.2% – 5.7% (5.2%) 22.0 – 22.2 (22.0) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.9 bps which represents the amount Rithm Capital paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. Real Estate and Other Securities Valuation As of June 30, 2022, securities valuation methodology and results are further detailed as follows: Fair Value Asset Type Outstanding Face Amount Amortized Cost Basis Multiple Quotes (A) Single Quote (B) Total Level Agency RMBS $ 7,996,986 $ 8,219,305 $ 7,064,068 $ — $ 7,064,068 2 Non-Agency RMBS (C) 17,304,516 921,858 924,734 — 924,734 3 Total $ 25,301,502 $ 9,141,163 $ 7,988,802 $ — $ 7,988,802 (A) Rithm Capital generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold Rithm Capital the security) for Non-Agency RMBS. Rithm Capital evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if Rithm Capital receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for Non-Agency RMBS, there is a wide disparity between the quotes Rithm Capital receives. Rithm Capital believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on Rithm Capital’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. Rithm Capital has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. Rithm Capital’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable. The third-party pricing services and brokers engaged by Rithm Capital (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. Rithm Capital has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, Rithm Capital creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 53.0% of Non-Agency RMBS, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 489,732 3.5% – 15.0% (5.2%) 0.0% – 25.0% (8.9%) 0.0% – 12.0% (1.5%) 0.0% – 88.0% (26.3%) (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) Rithm Capital was unable to obtain quotations from more than one source on these securities. (C) Includes Rithm Capital’s investments in interest-only notes for which the fair value option for financial instruments was elected. Residential Mortgage Loans Valuation Rithm Capital, through its wholly owned subsidiaries, Newrez and Caliber, originates mortgage loans that it intends to sell into Fannie Mae, Freddie Mac, and Ginnie Mae mortgage backed securitizations. Residential mortgage loans held-for-sale, at fair value are typically pooled together and sold into certain exit markets, depending upon underlying attributes of the loan, such as agency eligibility, product type, interest rate, and credit quality. Residential mortgage loans held-for-sale, at fair value are valued using a market approach by utilizing either: (i) the fair value of securities backed by similar mortgage loans, adjusted for certain factors to approximate the fair value of a whole mortgage loan, (ii) current commitments to purchase loans or (iii) recent observable market trades for similar loans, adjusted for credit risk and other individual loan characteristics. As these prices are derived from market observable inputs, Rithm Capital classifies these valuations as Level 2 in the fair value hierarchy. Originated residential mortgage loans held-for-sale for which there is little to no observable trading activity of similar instruments are valued using Level 3 measurements based upon dealer price quotes or historical sale transactions for similar loans. Residential mortgage loans held-for-sale, at fair value also includes certain nonconforming mortgage loans originated for sale to private investors, which are valued using internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates. As the internal pricing model is based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Acquired loans $ 536,592 4.3% – 7.5% (4.6%) 2.1% – 16.1% (9.4%) 0.2% – 18.8% (1.1%) 4.0% – 57.4% (26.5%) Originated loans 21,174 Residential mortgage loans held-for-sale, at fair value $ 557,766 Residential mortgage loans held-for-investment, at fair value includes mortgage loans underlying the SAFT 2013-1 securitization, which are valued using internal pricing models using inputs such as default rates, prepayment speeds and discount rates. As the internal pricing model is based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential mortgage loans held-for-investment, at fair value $ 510,744 3.3% – 7.5% (7.3%) 2.1% – 20.0% (7.8%) 0.3% – 18.8% (4.7%) 4.0% – 94.5% (68.4%) Consumer Loans Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Consumer loans, held-for-investment, at fair value $ 423,735 0.0% – 8.0% (8.0%) 0.0% – 23.0% (23.0%) 0.0% – 4.0% (4.0%) 0.0% – 52.0% (52.0%) Mortgage Loans Receivable Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing mortgage loans receivable, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage loans receivable, at fair value $ 1,403,212 5.5% – 7.5% (6.5%) N/A N/A N/A Rithm Capital has securitized certain mortgage loans receivable which are held as part of a collateralized financing entity (“CFE”). A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. GAAP allows entities to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. Rithm Capital has elected the fair value option (“FVO”) for initial and subsequent recognition of the debt issued by its consolidated securitization trust and has determined that the consolidated securitization trust meets the definition of a CFE. See Note 20 for further discussion regarding variable interest entities and securitization trusts. Rithm Capital determined the inputs to the fair value measurement of the financial liabilities of its CFE to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of the CFE to measure the fair value of the financial assets of the CFE. The fair value of the debt issued by the CFE is typically valued using external pricing data, which includes third-party valuations. The securitized mortgage loans receivable, which are assets of the CFE, are included in Mortgage Loans Receivable, at Fair Value, on the Company’s Consolidated Balance Sheets. The debt issued by the CFE is included in Secured Notes and Bonds Payable on the Company’s Consolidated Balance Sheets. Unrealized gain (loss) from changes in fair value of the debt issued by the CFE is included in Other Income (Loss), Net in the Company’s Consolidated Statements of Income. The securitized mortgage loans receivable and the debt issued by the Company’s CFE are both classified as Level 2. Derivatives Valuation Rithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rithm Capital’s other assets that are classified as Level 2 in the fair value hierarchy. As a part of the mortgage loan origination business, Rithm Capital enters into forward loan sale and securities delivery commitments, which are valued based on observed market pricing for similar instruments and therefore, are classified as Level 2. In addition, Rithm Capital enters into IRLCs, which are valued using internal pricing models (i) incorporating market pricing for instruments with similar characteristics, (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusting for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of Initial Servicing Rights (Bps) IRLCs, net $ 61,574 0.0% – 100.0% (80.6%) 2.4 – 417.2 (187.0) Asset-Backed Securities Issued Rithm Capital and Newrez were deemed to be the primary beneficiaries of the SCFT 2020-A and SAFT 2013-1 securitization entities, and therefore, Rithm Capital’s Consolidated Balance Sheets include the asset-backed securities issued by the trusts. Rithm Capital elected the fair value option for these financial instruments and the asset-backed securities issued were valued consistently with Rithm Capital’s Non-Agency RMBS described above. The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Asset-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Asset-backed securities issued $ 380,662 3.3% – 5.4% (5.2%) 22.6% – 40.0% (23.6%) 0.3% – 4.0% (3.8%) 20.0% – 92.4% (88.0%) Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans held-for-sale, single-family rental properties, and foreclosed real estate accounted for as REO, Rithm Capital applies the lower of cost or fair value accounting and may be required, from time to time, to record a nonrecurring fair value adjustment. At June 30, 2022, assets measured at fair value on a nonrecurring basis were $81.8 million. The $81.8 million of assets include approximately $71.3 million of residential mortgage loans held-for-sale and $10.5 million of REO. The fair value of Rithm Capital’s residential mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2022: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing loans $ 57,750 7.0% – 7.0% (7.0%) 4.6 – 5.0 (4.9) 5.6% – 8.7% (6.3%) 2.2% – 4.9% (2.8%) 48.2% – 51.4% (50.6%) Non-performing loans 13,597 7.5% – 7.5% (7.5%) 4.4 – 4.6 (4.6) 2.1% – 2.6% (2.6%) 16.5% – 18.8% (16.5%) 32.6% – 39.6% (34.1%) Total/weighted average $ 71,347 7.1% 4.9 5.6% 5.4% 47.5% (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C) Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. The fair value of REO is estimated using a broker’s price opinion discounted based upon Rithm Capital’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10% – 25% (weighted average of 19%), depending on the information available to the broker. The total change in the recorded value of assets for which a fair value adjustment has been included in the Consolidated Statements of Income for the six months ended June 30, 2022 consisted of a valuation allowance of $5.3 million for residential mortgage loans and a reversal of valuation allowance of $0.7 million for REO. |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | VARIABLE INTEREST ENTITIES In the normal course of business, Rithm Capital enters into transactions with special purpose entities (SPEs), which primarily consist of trusts established for a limited purpose. The SPEs have been formed for the purpose of transactions in which the Company transfers assets into an SPE in return for various forms of debt obligations supported by those assets. In these transactions, the Company typically receives cash and/or other interests in the SPE as proceeds for the transferred assets. The Company retains the right to service the transferred receivables. The Company evaluates its interests in each SPE for classification as a variable interest entity (VIE). VIEs are defined as entities in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated only by its primary beneficiary, which is defined as the party who has the power to direct the activities of a VIE that most significantly impact its economic performance and who has the obligation to absorb losses or the right to receive benefits from the VIE that could be potentially significant to the VIE. To assess whether Rithm Capital has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, Rithm Capital considers all the facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes, first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. To assess whether Rithm Capital has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, Rithm Capital considers all of its economic interests and applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. When an SPE meets the definition of a VIE and the Company determines that it is the primary beneficiary, the Company includes the SPE in its consolidated financial statements. For certain consolidated VIEs, Rithm Capital has elected to account for the assets and liabilities of these entities as collateralized financing entities (“CFE”). A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance under GAAP for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. The net equity in an entity accounted for under the CFE election effectively represents the fair value of the beneficial interests Rithm Capital owns in the entity. Consolidated VIEs Servicer Advances Rithm Capital, through a taxable wholly owned subsidiary, is the managing member of the Buyer and owned approximately 89.3% of the Buyer as of June 30, 2022. In 2013, Rithm Capital created the Buyer to acquire the then outstanding servicing advance receivables related to a portfolio of residential mortgage loans from a third party. The Buyer is required to purchase all future servicer advances made with respect to this portfolio of residential mortgage loans and is entitled to receive cash flows from advance recoveries and a basic fee component of the related MSRs, net of subservicing compensation paid. The Buyer may call capital up to the commitment amount on unfunded commitments and recall capital to the extent the Buyer makes a distribution to the co-investors, including Rithm Capital. As of June 30, 2022, the noncontrolling third-party co-investors and Rithm Capital had previously funded their commitments, however the Buyer may recall $71.5 million and $597.9 million of capital distributed to the third-party co-investors and Rithm Capital, respectively. Neither the third-party co-investors nor Rithm Capital is obligated to fund amounts in excess of their respective capital commitments, regardless of the capital requirements of the Buyer. Shelter Joint Ventures A wholly owned subsidiary of Newrez, Shelter Mortgage Company LLC (“Shelter”), is a mortgage originator specializing in retail originations. Shelter operates its business through a series of joint ventures (“Shelter JVs”) and is deemed to be the primary beneficiary of the joint ventures as a result of its ability to direct activities that most significantly impact the economic performance of the entities and its ownership of a significant equity investment. Residential Mortgage Loans During the third quarter of 2020, Rithm Capital formed several entities that separately issued securitized debt collateralized by non-performing and reperforming residential mortgage loans. Rithm Capital determined that these securitizations should be evaluated for consolidation under the VIE model rather than the voting interest entity model as the equity holders as a group lack the characteristics of a controlling financial interest. Under the VIE model, Rithm Capital’s consolidated subsidiaries had both 1) the power to direct the most significant activities of the securitizations and 2) significant variable interests in each of the securitizations, through their control of the related optional redemption feature and their ownership of certain notes issued by the securitizations and, therefore, met the primary beneficiary criterion and, accordingly, the Company consolidated the securitizations. As of June 30, 2022, no securitizations remain outstanding. On October 1, 2019, as a result of Rithm Capital’s acquisition of servicing assets from the bankruptcy estate of Ditech Holding Company and Ditech Financial LLC (“Ditech”) and its pre-existing ownership of the equity, Rithm Capital consolidated the MDST Trusts. Rithm Capital’s determination to consolidate the MDST Trusts is a result of its ownership of the equity in these trusts in conjunction with the ability to direct activities that most significantly impact the economic performance of the entities with the acquisition of the servicing by Newrez. In May 2021, Newrez issued $750.0 million in notes through a securitization facility (the “2021-1 Securitization Facility”) that bear interest at 30-day LIBOR plus a margin. The 2021-1 Securitization Facility is secured by newly originated, first-lien, fixed- and adjustable-rate residential mortgage loans eligible for purchase by the GSEs and Ginnie Mae. Through a master repurchase agreement, Newrez sells its originated residential mortgage loans to the 2021-1 Securitization Facility, which then issues notes to third party qualified investors, with Newrez retaining the trust certificate. The loans serve as collateral with the proceeds from the note issuance ultimately financing the originations. The 2021-1 Securitization Facility will terminate on the earlier of (i) the three-year anniversary of the initial closing date, (ii) the Company exercising its right to optional prepayment in full, or (iii) a repurchase triggering event. The Company determined it is the primary beneficiary of the 2021-1 Securitization Facility as it has both (i) the power to direct the activities of a VIE that most significantly impact its economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could be potentially significant to the VIE. Caliber Mortgage Participant I, LLC was formed to acquire, receive, participate, hold, release, and dispose of participation interests in certain of Caliber’s residential mortgage loans held for sale (“MLHFS PC”). The Caliber Mortgage Participant I, LLC transfers the MLHFS PC in exchange for cash. Caliber is the primary beneficiary of the VIE and therefore, consolidates the SPE. The transferred MLHFS PC is classified on the Consolidated Balance Sheets as Residential Mortgage Loans, Held-for-Sale and the related warehouse credit facility liabilities as part of Secured Financing Agreements. Caliber retains the risks and benefits associated with the assets transferred to the SPEs. Caliber remains the servicer of the underlying residential mortgage loans and has the power to direct the SPE’s activities. Holders of the term notes issued by the Trust can look only to the assets of the Trust for satisfaction of the debt and have no recourse against Caliber. Consumer Loan Companies Rithm Capital has a co-investment in a portfolio of consumer loans held through the Consumer Loan Companies. As of June 30, 2022, Rithm Capital owns 53.5% of the limited liability company interests in, and consolidates, the Consumer Loan Companies. On September 25, 2020, certain entities comprising the Consumer Loan Companies, in a private transaction, issued $663.0 million of asset-backed notes (“SCFT 2020-A”) securitized by a portfolio of consumer loans. The Consumer Loan Companies consolidate certain entities that issued securitized debt collateralized by the consumer loans (the “Consumer Loan SPVs”). The Consumer Loan SPVs are VIEs of which the Consumer Loan Companies are the primary beneficiaries. Securitized Mortgage Loans Receivable In March 2022, Rithm Capital formed a securitization facility that issued securitized debt collateralized by mortgage loans receivable (the “2022-RTL1 Securitization”). The 2022-RTL1 Securitization consists of a pool of performing, adjustable-rate and fixed-rate, interest-only, mortgage loans (construction, renovation and bridge), secured by a first lien or a first and second lien on a non-owner occupied mortgaged property with original terms to maturity of up to 36 months, with an aggregate UPB of approximately $352.9 million and an aggregate principal limit of approximately $472.1 million. In addition to pass-through certificates sold to third parties, Rithm Capital acquired all of the residual tranche certificate, which bears no interest, for $40.0 million. Rithm Capital evaluated the purchased residual tranche certificate as a variable interest in the trust and concluded that the residual tranche certificate will absorb a majority of the trust’s expected losses or receive a majority of the trust’s expected residual returns. Rithm Capital also concluded that the securitization’s asset manager, a wholly owned subsidiary of Rithm Capital, has the ability to direct activities that could impact the trust’s economic performance. As a result, Rithm Capital consolidates the trust. MSR Financing Facilities CHL GMSR Issuer Trust is an SPE created for the purpose of transferring a participation certificate (“MSR PC”) representing a beneficial interest in Caliber’s GNMA MSRs in exchange for a variable funding note (“MSR Financing VFN”) and a trust certificate with Caliber, as well for the issuance of term notes in exchange for cash. Caliber consolidates this SPE because it is the primary beneficiary of the VIE. The MSR PC is classified in Mortgage Servicing Rights and MSR Financing Receivables, at Fair Value and the MSR Financing VFN and term notes are classified as Secured Notes and Bonds Payable on the Consolidated Balance Sheets. The SPE uses collections from a specified portion of GNMA MSR net service fees collected to repay principal and interest and to pay the expenses of the entity. Additionally, Caliber has also transferred a participation certificate representing a beneficial interest certain of Caliber’s GNMA servicer advances (“Servicer Advance PC”) to CHL GMSR Issuer Trust in exchange for a VFN (“Servicer Advance VFN”). The transferred Servicer Advance PC is classified on the Consolidated Balance Sheets as Servicing Advances Receivable and the related liabilities as part of Accrued Expenses and Other Liabilities. CHL GMSR Issuer Trust uses collections of the pledged advances to repay principal and interest and to pay the expenses of the Servicer Advance VFN. The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Servicer Advance Facilities MSR Financing Facilities Mortgage Loans Receivable Total June 30, 2022 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 617,658 $ — $ 617,658 Servicer advance investments, at fair value 367,653 — — — — — — 367,653 Residential mortgage loans, held-for-investment, at fair value — — 26,479 — — — — 26,479 Residential mortgage loans, held-for-sale, at fair value — — 735,235 — — — — 735,235 Consumer loans — — — 423,735 — — — 423,735 Mortgage loans receivable — — — — — — 352,867 352,867 Cash and cash equivalents 36,479 33,372 27,676 — — — — 97,527 Restricted cash 2,092 — 224,940 6,902 — — 4,771 238,705 Servicer advance receivable — — — — 98,331 — — 98,331 Other assets 9 1,347 266,756 5,827 30,253 315,050 87 619,329 Total Assets $ 406,233 $ 34,719 $ 1,281,086 $ 436,464 $ 128,584 $ 932,708 $ 357,725 $ 3,577,519 Liabilities Secured financing agreements (A) $ — $ — $ 451,596 $ — $ — $ — $ — $ 451,596 Secured notes and bonds payable (A) 315,294 — 771,584 357,663 85,949 513,907 317,414 2,361,811 Accrued expenses and other liabilities 929 7,786 38,270 922 41,551 162 309 89,929 Total Liabilities $ 316,223 $ 7,786 $ 1,261,450 $ 358,585 $ 127,500 $ 514,069 $ 317,723 $ 2,903,336 December 31, 2021 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 403,301 $ — $ 403,301 Servicer advance investments, at fair value 409,475 — — — — — — 409,475 Residential mortgage loans, held-for-investment, at fair value — — 93,226 — — — — 93,226 Residential mortgage loans, held-for-sale, at fair value — — 798,644 — — — — 798,644 Consumer loans — — — 507,291 — — — 507,291 Cash and cash equivalents 33,777 37,369 2,882 — — — — 74,028 Restricted cash 2,210 — 171 7,249 — — — 9,630 Servicer advance receivable — — — — 94,306 — — 94,306 Other assets 9 903 2,902 6,851 24,699 332,521 — 367,885 Total Assets $ 445,471 $ 38,272 $ 897,825 $ 521,391 $ 119,005 $ 735,822 $ — $ 2,757,786 Liabilities Secured financing agreements $ — $ — $ 24,683 $ — $ — $ — $ — $ 24,683 Secured notes and bonds payable (A) 348,670 — 802,526 458,580 93,145 367,871 — 2,070,792 Accrued expenses and other liabilities 806 6,588 10,163 862 27,771 134 — 46,324 Total Liabilities $ 349,476 $ 6,588 $ 837,372 $ 459,442 $ 120,916 $ 368,005 $ — $ 2,141,799 (A) The creditors of the VIEs do not have recourse to the general credit of Rithm Capital, and the assets of the VIEs are not directly available to satisfy Rithm Capital’s obligations. Non-Consolidated VIEs The following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations: As of and for the 2022 2021 Residential mortgage loan UPB and other collateral $ 11,481,471 $ 11,855,823 Weighted average delinquency (A) 3.4 % 5.3 % Net credit losses $ 129,047 $ 105,652 Face amount of debt held by third parties (B) $ 10,584,528 $ 10,929,618 Carrying value of bonds retained by Rithm Capital (C)(D) $ 905,695 $ 1,014,469 Cash flows received by Rithm Capital on these bonds $ 124,942 $ 381,606 (A) Represents the percentage of the UPB that is 60+ days delinquent. (B) Excludes bonds retained by Rithm Capital. (C) Includes bonds retained pursuant to required risk retention regulations. (D) Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 19 for details on unobservable inputs. Noncontrolling Interests Noncontrolling interests represent the ownership interests in certain consolidated subsidiaries held by entities or persons other than Rithm Capital. These interests are related to noncontrolling interests in consolidated entities that hold Rithm Capital’s Servicer Advance Investments (Note 6), the Shelter JVs, (Note 8) and Consumer loans (Note 9). Others’ interests in the equity of consolidated subsidiaries is computed as follows: June 30, 2022 December 31, 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 90,011 $ 26,933 $ 98,205 $ 95,995 $ 31,684 $ 83,597 Others’ ownership interest 10.7 % 49.5 % 46.5 % 10.7 % 49.5 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 9,613 $ 13,345 $ 46,213 $ 10,251 $ 15,683 $ 39,414 Others’ interests in the net income (loss) is computed as follows: Three Months Ended June 30, 2022 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 380 $ 2,597 $ 27,642 $ (6,817) $ 6,516 $ 18,608 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 49.5 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 41 $ 1,287 $ 12,854 $ (1,825) $ 3,225 $ 8,653 (A) Rithm Capital owned 89.3% and 73.2% of the Buyer as of June 30, 2022 and 2021, respectively. Six Months Ended June 30, 2022 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 2,515 $ 3,419 $ 38,340 $ (1,932) $ 13,639 $ 28,417 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 49.5 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 269 $ 1,694 $ 17,828 $ (517) $ 6,750 $ 13,214 (A) Rithm Capital owned 89.3% and 73.2% of the Buyer as of June 30, 2022 and 2021, respectively. |
EQUITY AND EARNINGS PER SHARE
EQUITY AND EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
EQUITY AND EARNINGS PER SHARE | EQUITY AND EARNINGS PER SHARE Equity and Dividends Rithm Capital’s certificate of incorporation authorizes 2.0 billion shares of common stock, par value $0.01 per share, and 100.0 million shares of preferred stock, par value $0.01 per share. On April 14, 2021, the Company priced its underwritten public offering of 45,000,000 shares of its common stock at a public offering price of $10.10 per share. In connection with the offering, the Company granted the underwriters an option for a period of 30 days to purchase up to an additional 6,750,000 shares of common stock at a price of $10.10 per share. On April 16, 2021, the underwriters exercised their option, in part, to purchase an additional 6,725,000 shares of common stock. The offering closed on April 19, 2021. To compensate the Former Manager for its successful efforts in raising capital for Rithm Capital, the Company granted options to the Former Manager relating to 5.2 million shares of Rithm Capital’s common stock at $10.10 per share. On May 19, 2021, Rithm Capital entered into a Distribution Agreement to sell shares of its common stock, par value $0.01 per share (the “ATM Shares”), having an aggregate offering price of up to $500.0 million, from time to time, through an “at-the-market” equity offering program (the “ATM Program”). No share issuances were made during the three months ended June 30, 2022. On September 14, 2021, the Company priced its underwritten public offering of 17,000,000 of its 7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share, with a liquidation preference of $25.00 per share for net proceeds of approximately $449.5 million. The offering closed on September 17, 2021. In connection with the offering, Rithm Capital granted the underwriters an option for a period of 30 days to purchase up to an additional 2,550,000 shares of preferred stock at a price of $24.21 per share. On September 22, 2021, the underwriters exercised their option, in part, to purchase an additional 1,600,000 shares of preferred stock. To compensate the Former Manager for its successful efforts in raising capital for Rithm Capital, the Company granted options to the Former Manager relating to approximately 1.9 million shares of Rithm Capital’s common stock at $10.89 per share. In December 2021, Rithm Capital’s board of directors authorized the repurchase of up to $200.0 million of its common stock and $100.0 million of its preferred stock through December 31, 2022. Repurchases may be made from time to time through open market purchases or privately negotiated transactions, pursuant to one or more plans established pursuant to Rule 10b5-1 under the Securities Exchange Act of 1934 or by means of one or more tender offers, in each case, as permitted by securities laws and other legal requirements. The share repurchase programs may be suspended or discontinued at any time. During the six months ended June 30, 2022, the Company repurchased approximately $3.8 million of Preferred Series C at a weighted average price of $22.20 per share. The table below summarizes preferred shares: Dividends Declared per Share Number of Shares Three Months Ended Six Months Ended Series June 30, 2022 December 31, 2021 Liquidation Preference (A) Issuance Discount Carrying Value (B) 2022 2021 2022 2021 Series A, 7.50% issued July 2019 (C) 6,210 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.47 $ 0.94 $ 0.94 Series B, 7.125% issued August 2019 (C) 11,300 11,300 282,500 3.15 % 273,418 0.45 0.45 0.89 0.89 Series C, 6.375% issued February 2020 (C) 15,928 16,100 398,209 3.15 % 385,734 0.40 0.40 0.80 0.80 Series D, 7.00%, issued September 2021 (D) 18,600 18,600 465,000 3.15 % 449,489 0.44 — 0.88 — Total 52,038 52,210 $ 1,300,959 $ 1,258,667 $ 1.76 $ 1.32 $ 3.51 $ 2.63 (A) Each series has a liquidation preference or par value of $25.00 per share. (B) Carrying value reflects par value less discount and issuance costs. (C) Fixed-to-floating rate cumulative redeemable preferred. (D) Fixed-rate reset cumulative redeemable preferred. On June 17, 2022, Rithm Capital’s board of directors declared second quarter 2022 preferred dividends of $0.47 per share of Preferred Series A, $0.45 per share of Preferred Series B, $0.40 per share of Preferred Series C, and $0.44 per share of Preferred Series D, or $2.9 million, $5.0 million, $6.3 million, and $8.1 million, respectively. Common dividends have been declared as follows: Declaration Date Payment Date Per Share Total Amounts Distributed (millions) Quarterly Dividend March 24, 2021 April 2021 $ 0.20 $ 82.9 June 16, 2021 August 2021 0.20 93.3 August 23, 2021 October 2021 0.25 116.6 December 15, 2021 January 2022 0.25 116.7 March 21, 2022 April 2022 0.25 116.7 June 17, 2022 August 2022 0.25 116.7 Common Stock Purchase Warrants During the second quarter of 2020, the Company issued warrants (the “2020 Warrants”) in conjunction with the issuance of a term loan, which was fully repaid in the third quarter of 2020, that provide the holders the right to acquire, subject to anti-dilution adjustments, up to 43.4 million shares of the Company’s common stock in the aggregate. The 2020 Warrants are exercisable in cash or on a cashless basis and expire on May 19, 2023 and are exercisable, in whole or in part, at any time or from time to time after September 19, 2020 at the following prices (subject to certain anti-dilution adjustments): approximately 24.6 million shares of common stock at $6.11 per share and approximately 18.9 million shares of common stock at $7.94 per share. The 2020 Warrants were valued using a Black-Scholes option valuation model that resulted in a fair value of approximately $53.5 million on the Issuance Date and is not subject to subsequent remeasurement. The Company used the following assumptions in the application of the Black-Scholes option valuation model: an exercise price ranging between $6.11 and $7.94, a term of 3.0 years, a risk-free interest rate of 0.24%, and volatility of 35%. The 2020 Warrants met the definition of derivatives under the guidance in ASC 815, Derivatives and Hedging ; however, because these instruments are determined to be indexed to the Company’s own stock and met the criteria for equity classification under ASC 815, the 2020 Warrants are accounted for as an equity transaction and recorded in Additional Paid-in-Capital. The 2020 Warrants have a dilutive effect on net income per share and book value to the extent that the market value per share of the Company’s common stock at the time of exercise exceeds the strike price of the 2020 Warrants. The table below summarizes the 2020 Warrants at June 30, 2022: Number of Warrants Weighted Average Exercise Price Outstanding warrants – December 31, 2021 43.4 $ 6.49 Granted — — Exercised — — Expired — — Outstanding warrants – June 30, 2022 43.4 6.30 (A) (A) Reflects a reduction in weighted average exercise price due to anti-dilution adjustments effective for dividends in excess of $0.10 a share. Option Plan As of June 30, 2022, outstanding options were as follows: Held by the Former Manager 19,985,826 Issued to the Former Manager and subsequently assigned to certain of the Former Manager’s employees 1,486,164 Issued to the independent directors 6,000 Total 21,477,990 The following table summarizes outstanding options as of June 30, 2022. The last sales price on the New York Stock Exchange for Rithm Capital’s common stock in the quarter ended June 30, 2022 was $9.32 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Exercisable as of June 30, 2022 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of June 30, 2022 (millions) Directors Various 6,000 6,000 $ 12.85 $ — Former Manager (C) 2017 1,130,916 1,130,916 13.43 — Former Manager (C) 2018 5,320,000 5,320,000 16.15 — Former Manager (C) 2019 6,351,000 6,351,000 15.54 — Former Manager (C) 2020 1,619,739 1,295,792 16.88 — Former Manager (C) 2021 7,050,335 2,975,995 9.90 — Outstanding 21,477,990 17,079,703 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Former Manager assigned certain of its options to its employees as follows: Date of Grant to Former Manager Range of Exercise Total Unexercised 2019 $14.61 to $15.84 1,270,200 2020 $16.49 to $16.88 215,964 Total 1,486,164 The following table summarizes activity in outstanding options: Amount Weighted Average Exercise Price Outstanding options – December 31, 2021 21,478,990 $ — Granted — — Exercised — — Expired (1,000) 12.01 Outstanding options – June 30, 2022 21,477,990 See table above Earnings Per Share Rithm Capital is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income by the weighted average number of shares of common stock outstanding. Diluted EPS is computed by dividing net income by the weighted average number of shares of common stock outstanding plus the additional dilutive effect, if any, of common stock equivalents during each period. The following table summarizes the basic and diluted earnings per share calculations: Three Months Ended Six Months Ended 2022 2021 2022 2021 Net income $ 33,331 $ 145,726 $ 723,262 $ 447,062 Noncontrolling interests in income of consolidated subsidiaries 14,182 10,053 19,791 19,447 Dividends on preferred stock 22,427 14,358 44,888 28,716 Net income (loss) attributable to common stockholders $ (3,278) $ 121,315 $ 658,583 $ 398,899 Basic weighted average shares of common stock outstanding 466,804,548 456,312,486 466,795,119 435,668,683 Dilutive effect of stock options and common stock purchase warrants (A) — 16,416,759 17,698,989 15,560,982 Diluted weighted average shares of common stock outstanding 466,804,548 472,729,245 484,494,108 451,229,665 Basic earnings per share attributable to common stockholders $ (0.01) $ 0.27 $ 1.41 $ 0.92 Diluted earnings per share attributable to common stockholders $ (0.01) $ 0.26 $ 1.36 $ 0.88 (A) Stock options and common stock purchase warrants that could potentially dilute basic earnings per share in the future were not included in the computation of diluted earnings per share for the periods where a loss has been recorded because they would have been anti-dilutive for the period presented. The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Three Months Ended Six Months Ended 2022 2021 2022 2021 Stock options and common stock purchase warrants 17,757,843 — — — |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES Litigation — Rithm Capital is or may become, from time to time, involved in various disputes, litigation and regulatory inquiry and investigation matters that arise in the ordinary course of business. Given the inherent unpredictability of these types of proceedings, it is possible that future adverse outcomes could have a material adverse effect on its business, financial position or results of operations. Rithm Capital is not aware of any unasserted claims that it believes are material and probable of assertion where the risk of loss is expected to be reasonably possible. Rithm Capital is, from time to time, subject to inquiries by government entities. Rithm Capital currently does not believe any of these inquiries would result in a material adverse effect on Rithm Capital’s business. Indemnifications — In the normal course of business, Rithm Capital and its subsidiaries enter into contracts that contain a variety of representations and warranties and that provide general indemnifications. Rithm Capital’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against Rithm Capital that have not yet occurred. However, based on its experience, Rithm Capital expects the risk of material loss to be remote. Capital Commitments — As of June 30, 2022, Rithm Capital had outstanding capital commitments related to investments in the following investment types (also refer to Note 5 for MSR investment commitments and to Note 25 for additional capital commitments entered into subsequent to June 30, 2022, if any): • MSRs and Servicer Advance Investments — Rithm Capital and, in some cases, third-party co-investors agreed to purchase future servicer advances related to certain Non-Agency residential mortgage loans. In addition, Rithm Capital’s subsidiaries, NRM and Newrez, are generally obligated to fund future servicer advances related to the loans they are obligated to service. The actual amount of future advances purchased will be based on (i) the credit and prepayment performance of the underlying loans, (ii) the amount of advances recoverable prior to liquidation of the related collateral and (iii) the percentage of the loans with respect to which no additional advance obligations are made. The actual amount of future advances is subject to significant uncertainty. Notes 5 and 6 for discussion on Rithm Capital’s MSRs and Servicer Advance Investments, respectively. • Mortgage Origination Reserves — The Mortgage Company currently originates, or has in the past originated, 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, the Mortgage Company makes representations and warranties regarding certain attributes of the loans and, subsequent to the sale, if it is determined that a sold loan is in breach of these representations and warranties, the Mortgage Company generally has an obligation to cure the breach. If the Mortgage Company is unable to cure the breach, the purchaser may require the Mortgage Company, as applicable, to repurchase the loan. In addition, as issuers of Ginnie Mae guaranteed securitizations, the Mortgage Company holds the right to repurchase loans that are at least 90 days’ delinquent from the securitizations at their discretion. Loans in forbearance that are three or more consecutive payments delinquent are included as delinquent loans permitted to be repurchased. While the Mortgage Company is not obligated to repurchase the delinquent loans, the Mortgage Company generally exercises its respective option to repurchase loans that will result in an economic benefit. As of June 30, 2022, Rithm Capital’s estimated liability associated with representations and warranties and Ginnie Mae repurchases was $33.6 million and $1.8 billion, respectively. See Note 5 for information on regarding the right to repurchase delinquent loans from Ginnie Mae securities and mortgage origination. • Residential Mortgage Loans — As part of its investment in residential mortgage loans, Rithm Capital may be required to outlay capital. These capital outflows primarily consist of advance escrow and tax payments, residential maintenance and property disposition fees. The actual amount of these outflows is subject to significant uncertainty. See Note 8 for information regarding Rithm Capital’s residential mortgage loans. • Consumer Loans — The Consumer Loan Companies have invested in loans with an aggregate of $231.3 million of unfunded and available revolving credit privileges as of June 30, 2022. However, under the terms of these loans, requests for draws may be denied and unfunded availability may be terminated at Rithm Capital’s discretion. • Mortgage Loans Receivable — Genesis had commitments to fund up to $715.1 million of additional advances on existing mortgage loans as of June 30, 2022. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the customer and other terms regarding advances that must be met before Genesis funds the commitment. Environmental Costs — As a residential real estate owner, Rithm Capital is subject to potential environmental costs. At June 30, 2022, Rithm Capital is not aware of any environmental concerns that would have a material adverse effect on its consolidated financial position or results of operations. Debt Covenants — Certain of the Company’s debt obligations are subject to loan covenants and event of default provisions, including event of default provisions triggered by certain specified declines in Rithm Capital’s equity or a failure to maintain a specified tangible net worth, liquidity, or indebtedness to tangible net worth ratio. Refer to Note 18. Internalization — During the second quarter of 2022, the Company entered into the Internalization Agreement with the Former Manager. Pursuant to the Internalization Agreement, the Management Agreement was terminated effective June 17, 2022, except that certain indemnification and other obligations survive, and the Company was no longer required to pay management or incentive fees with respect to any period thereafter. In connection with the Internalization Agreement, the Company is required to pay $400.0 million (subject to certain adjustments) to the Former Manager (the “Termination Fee”). The Company paid $200 million of the Termination fee to the Former Manager on June 17, 2022, and the remaining portion of the Termination Fee is payable in two installments; $100 million payable on September 15, 2022 and $100 million payable on December 15, 2022 (less an agreed amount payable by the Former Manager to the Company related to the pre-Internalization portion of certain annual bonuses). Employment Agreements — Prior to June 17, 2022, the Company’s Chief Executive Officer and Chief Financial Officer were provided by its Former Manager under the terms of the Management Agreement. In addition, the Company relied on employees of its Former Manager and affiliates to conduct the Company’s operations. Since June 17, 2022, the Company entered into employment agreements with the Chief Executive Officer and Chief Financial Officer and hired certain employees of the Former Manager that served in key roles at the Company, including, but not limited to, those who support Rithm Capital’s investment, legal, accounting, tax and treasury operations. |
TRANSACTIONS WITH AFFILIATES AN
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | 6 Months Ended |
Jun. 30, 2022 | |
Transactions With Affiliates And Affiliated Entities | |
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES | TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES On June 17, 2022, the Company entered into definitive agreements with the Former Manager to internalize the Company’s management function. As part of the termination of the existing Management Agreement, the Company agreed to pay $400.0 million (subject to certain adjustments) to the Former Manager. Following the Internalization, the Company no longer pays a management or incentive fee to the Former Manager. In connection with the termination of the Management Agreement, the Company entered into the Transition Services Agreement with the Former Manager in order to facilitate the transition of the Company’s management functions and its operations through the earliest to occur of (i) the date on which no remaining service is to be provided under the Transition Services Agreement or (ii) December 31, 2022 (or earlier if the Transition Services Agreement is terminated earlier). Under the Transition Services Agreement, the Former Manager provides (or causes to be provided), at cost, all of the services it was previously providing to the Company immediately prior to the Effective Date (“Transition Services”). The Transition Services primarily include information technology, legal, regulatory compliance, tax and accounting services. The Company may elect to terminate any individual service at any time upon written notice to the Former Manager. The Transition Services are provided for a fee intended to be equal to the Former Manager’s cost of providing the Transition Services, including the allocated cost of, among other things, overhead, employee wages and compensation and actually incurred out-of-pocket expenses, and will be invoiced on a monthly basis. The Transition Services Agreement may be terminated earlier in accordance with its terms or if the Company and the Former Manager agree that no further services are required. The Company incurred $0.5 million in costs for Transition Services during the three and six months ended June 30, 2022, and these costs are reported in General and Administrative expense in the Consolidated Statements of Income. Prior to the Internalization, the Company was party to a Management Agreement with its Former Manager which provided for automatic one-year renewals subject to certain termination rights. Specifically, the Management Agreement allowed the Company to terminate the Management Agreement by payment of a termination fee. Pursuant to the Management Agreement, the Former Manager, under the supervision of the Company’s board of directors, formulated investment strategies, arranged for the acquisition of assets and associated financing, monitored the performance of the Company’s assets and provided certain advisory, administrative and managerial services in connection with the operations of the Company. Prior to the Internalization and the termination of the Management Agreement on June 17, 2022, the Former Manager was entitled to receive a management fee in an amount equal to 1.5% per annum of the Company’s gross equity calculated and payable monthly in arrears in cash. Gross equity was generally (i) the equity transferred by Drive Shack, formerly Newcastle Investment Corp., which was the sole stockholder of the Company until the spin-off of Rithm Capital completed on May 15, 2013, on the date of the spin-off, (ii) plus total net proceeds from preferred and common stock offerings, plus certain capital contributions to subsidiaries, less capital distributions and repurchases of common stock. In addition, the Former Manager was entitled to receive annual incentive compensation in an amount equal to the product of (A) 25% of the dollar amount by which (1) (a) Rithm Capital’s funds from operations before the incentive compensation, excluding funds from operations from investments in the Consumer Loan Companies and any unrealized gains or losses from mark-to-market valuation changes on investments and debt (and any deferred tax impact thereof), per share of common stock, plus (b) earnings (or losses) from the Consumer Loan Companies computed on a level-yield basis (such that the loans are treated as if they qualified as loans acquired with a discount for credit quality as set forth in ASC No. 310-30, as such codification was in effect on June 30, 2013) as if the Consumer Loan Companies had been acquired at their GAAP basis on May 15, 2013, plus earnings (or losses) from equity method investees invested in Excess MSRs as if such equity method investees had not made a fair value election, plus gains (or losses) from debt restructuring and gains (or losses) from sales of property, and plus non-routine items, minus amortization of non-routine items, in each case per share of common stock, exceed (2) an amount equal to (a) the weighted average of the book value per share of the equity transferred by Drive Shack on the date of the spin-off and the prices per share of Rithm Capital’s common stock in any offerings (adjusted for prior capital dividends or capital distributions) multiplied by (b) a simple interest rate of 10% per annum, multiplied by (B) the weighted average number of shares of common stock outstanding. “Funds from operations” means net income (computed in accordance with GAAP), excluding gains (or losses) from debt restructuring and gains (or losses) from sales of property, plus depreciation on real estate assets, and after adjustments for unconsolidated partnerships and joint ventures. Funds from operations was computed on an unconsolidated basis. The computation of funds from operations was subject to adjustments at the direction of Rithm Capital’s independent directors based on changes in, or certain applications of, GAAP. Funds from operations was determined from the date of the spin-off and without regard to Drive Shack’s prior performance. In addition to the management fee and incentive compensation, Rithm Capital was responsible for reimbursing the Former Manager for certain expenses paid by the Former Manager on behalf of Rithm Capital. In March 2020, the Company and certain of its subsidiaries sold (collectively, the “Sale”) through a broker-dealer to six purchasers (collectively, “the Purchasers”) of a portfolio consisting of non-agency residential mortgage-backed securities with an aggregate face value of approximately $6.1 billion (the “Securities”). The Sale generated proceeds of approximately $3.3 billion in the aggregate, excluding any unpaid but accrued interest. The Purchasers included an entity affiliated with funds managed by an affiliate of the Former Manager (the “Fortress Purchaser”), which purchased approximately $1.85 billion of Securities in aggregate face value for approximately $1.0 billion. In connection with the sale of the Securities to the Fortress Purchaser, the Company agreed to exercise certain rights, including call rights, that the Company holds under the securitization transactions with respect to the Securities sold to the Fortress Purchaser solely upon written direction by the Fortress Purchaser. Such rights include the rights, if any, to (i) amend and/or terminate the transactions contemplated by certain related residential mortgage servicing agreements, securitization trust agreements, pooling and servicing agreements or other agreements, (ii) acquire certain of the related residential mortgage loans, real estate owned and certain other assets in the trust subject to such residential mortgage servicing agreements, securitization trust agreements, pooling and servicing agreements or other agreements in connection with such amendment or termination against delivery of the applicable termination payment, and (iii) if applicable, direct certain related servicers, holders of subordinate securities and/or other applicable parties, to exercise the rights in (i) and (ii). Pursuant to such agreement, the Company and the Fortress Purchaser would share equally in any profits or losses arising from the exercise of any such rights, other than if the Company elects not to participate in the related transaction, in which case the Fortress Purchaser would realize all of the profits and bear all of the losses with respect thereto. On May 19, 2020, the Company entered into a three-year senior secured term loan facility agreement in the principal amount of $600.0 million and also issued common stock purchase warrants providing the lenders with the right to acquire up to 43.4 million shares of the Company’s common stock, par value $0.01 per share. Approximately 48% of the lenders and recipients of the warrants are funds managed by an affiliate of the Former Manager. In September 2020, the Company used the net proceeds from a private debt offering, together with cash on hand, to fully retire all of the outstanding principal balance on the term loan facility. See Notes 18 and 21 to the Company’s Consolidated Financial Statements for further details. On June 30, 2021, the Company entered into a senior credit agreement and a senior subordinated credit agreement whereby the Company, and the other lenders party thereto, made term loans to an entity affiliated with funds managed by an affiliate of the Former Manager. The senior loan bears cash interest at a fixed rate equal to 10.5% per annum and the senior subordinated loan bears paid-in-kind interest at a rate equal to 16.0% per annum, subject to certain adjustments as set forth in the respective credit agreements. As of June 30, 2022, the principal balance of the Company’s portion of the senior loan and the senior subordinated loan was $105.8 million and $58.5 million, respectively. The following table summarizes Due to affiliates: June 30, 2022 December 31, 2021 Management fees $ — $ 17,188 Expense reimbursements and other — 631 Total $ — $ 17,819 The following table summarizes affiliate fees and expenses: Three Months Ended Six Months Ended 2022 2021 2022 2021 Management fees $ 20,985 $ 23,677 $ 46,174 $ 45,839 Expense reimbursements (A) 104 125 229 250 Total $ 21,089 $ 23,802 $ 46,403 $ 46,089 (A) Included in General and Administrative expenses in the Consolidated Statements of Income. See Note 4 regarding co-investments with Fortress-managed funds. See Note 23 regarding options granted to the Former Manager. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES Income tax expense (benefit) consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Current: Federal $ (1,199) $ (6,694) $ — $ 4,119 State and local (222) (1,348) 45 868 Total current income tax expense (benefit) (1,421) (8,042) 45 4,987 Deferred: Federal 62,330 5,843 231,566 77,152 State and local 11,781 1,122 43,868 15,043 Total deferred income tax expense 74,111 6,965 275,434 92,195 Total income tax expense (benefit) $ 72,690 $ (1,077) $ 275,479 $ 97,182 Rithm Capital intends to qualify as a REIT for each of its tax years through December 31, 2022. A REIT is generally not subject to U.S. federal corporate income tax on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. Rithm Capital operates various business segments, including servicing, origination, and MSR related investments, through taxable REIT subsidiaries (“TRSs”) that are subject to regular corporate income taxes, which have been provided for in the provision for income taxes, as applicable. Refer to Note 3 for further details. As of June 30, 2022, Rithm Capital recorded a net deferred tax liability of $716.1 million, primarily composed of deferred tax liabilities generated through the deferral of gains from residential mortgage loans sold by the origination business and changes in fair value of MSRs, loans, and swaps held within taxable entities. |
RESTRUCTURING CHARGES
RESTRUCTURING CHARGES | 6 Months Ended |
Jun. 30, 2022 | |
Restructuring Charges [Abstract] | |
RESTRUCTURING CHARGES | RESTRUCTURING CHARGES In connection with the Internalization and the termination of the Management Agreement, the Company agreed to pay its Former Manager $400.0 million (subject to certain adjustments), with $200.0 million paid on June 17, 2022, $100.0 million payable on September 15, 2022 and $100.0 million payable on December 15, 2022 (less an agreed amount payable by the Former Manager to the Company related to the pre-Internalization portion of certain annual bonuses for 2022). See Notes 1, 22 and 23 for additional discussion. The restructuring charge paid to the Former Manager is reflected in Termination Fee to Affiliate expense in the Consolidated Statements of Income for the three and six months ended June 30, 2022 with a corresponding liability reflected in Accrued Expenses and Other Liabilities on the Consolidated Balance Sheets as of June 30, 2022. There were no restructuring charges recorded for the three and six months ended June 30, 2021. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2022 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS These financial statements include a discussion of material events that have occurred subsequent to June 30, 2022 through the issuance of these Consolidated Financial Statements. Events subsequent to that date have not been considered in these financial statements. On August 1, 2022, the Company changed its name to Rithm Capital Corp. and effective August 2, 2022, the Company’s ticker symbol on the New York Stock Exchange changed to “RITM.” |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
Income Taxes | Rithm Capital has elected and intends to qualify to be taxed as a REIT for U.S. federal income tax purposes. As such, Rithm Capital will generally not be subject to U.S. federal corporate income tax on that portion of its net income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by prescribed dates and complies with various other requirements. See Note 24, Income Taxes, for additional information regarding Rithm Capital’s taxable REIT subsidiaries. |
Segment Reporting | As of June 30, 2022, Rithm Capital conducted its business through the following segments: (i) Origination, (ii) Servicing, (iii) MSR Related Investments, (iv) Residential Securities, Properties and Loans, (v) Consumer Loans, (vi) Mortgage Loans Receivable and (vii) Corporate. |
Interim Financial Statements | Interim Financial Statements — The accompanying Consolidated Financial Statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP’’ or “U.S. GAAP”). In the opinion of management, all adjustments considered necessary for a fair presentation of Rithm Capital’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. The Consolidated Financial Statements include the accounts of Rithm Capital and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. Rithm Capital consolidates those entities in which it has control over significant operating, financing and investing decisions of the entity, as well as those entities deemed to be variable interest entities (“VIEs”) in which Rithm Capital is determined to be the primary beneficiary. For entities over which Rithm Capital exercises significant influence, but which do not meet the requirements for consolidation, Rithm Capital uses the equity method of accounting whereby it records its share of the underlying income of such entities. Distributions from equity method investees are classified in the Consolidated Statements of Cash Flows based on the cumulative earnings approach, where all distributions up to cumulative earnings are classified as distributions of earnings. |
Reclassifications | Reclassifications — Certain prior period amounts in Rithm Capital’s Consolidated Financial Statements and respective notes have been reclassified to be consistent with the current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders’ equity. |
Restructuring Charges | Restructuring Charges — The termination of the Management Agreement was a material change in the management structure of the business and is accounted for under ASC 420, Exit or Disposal Cost Obligations . The termination fee payment to the Former Manager under the Internalization Agreement is recorded within Termination Fee to Affiliate in the Consolidated Statements of Income with a corresponding liability recorded within Accrued Expenses and Other Liabilities on the Consolidated Balance Sheets. See Note 25 for additional discussion of the restructuring charges related to the Internalization. |
Risks and Uncertainties | Risks and Uncertainties — In the normal course of business, Rithm Capital encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on Rithm Capital’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes in prepayment rates, interest rates, spreads or other market factors, including risks that impact the value of the collateral underlying Rithm Capital’s investments. Taking into consideration these risks along with estimated prepayments, financings, collateral values, payment histories, and other information, Rithm Capital believes that the carrying values of its investments are reasonable. Furthermore, for each of the periods presented, a significant portion of Rithm Capital’s assets are dependent on its servicers’ and subservicers’ ability to perform their obligations servicing the residential mortgage loans underlying Rithm Capital’s Excess MSRs, MSRs, MSR Financing Receivables, Servicer Advance Investments, Non-Agency RMBS and loans. If a servicer is terminated, Rithm Capital’s right to receive its portion of the cash flows related to interests in servicing related assets may also be terminated. The mortgage and financial industries are operating in a challenging and uncertain economic environment. Financial and real estate companies continue to be affected by, among other things, market volatility and inflationary pressures. In addition, the ongoing COVID-19 pandemic continues to impact the U.S. and world economies and has contributed to volatility in global financial and credit markets. Should macroeconomic conditions continue to worsen, there is no assurance that such conditions will not result in an overall decline in the fair value of many assets, including those in which the Company invests. The ultimate duration and impact of the current economic environment remain uncertain. Rithm Capital is subject to significant tax risks. If Rithm Capital were to fail to qualify as a REIT in any taxable year, Rithm Capital would be subject to U.S. federal corporate income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, Rithm Capital would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. |
Use of Estimates | Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and |
Recent Accounting Pronouncements | Recent Accounting Pronouncements — In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. While the Company currently does not have any hedge accounting relationships, many of the Company’s debt facilities and a portion of the Company’s borrower loan agreements incorporate LIBOR as the referenced rate. Some of these debt facilities and borrower loan agreements either mature prior to the phase out of LIBOR or have provisions in place that provide for an alternative to LIBOR upon its phase-out. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. In preparation for the phase-out of LIBOR, the Company has adopted and implemented the Secured Overnight Financing Rate (“SOFR”) index for its Freddie Mac and Fannie Mae adjustable-rate mortgages (“ARMs”). For debt facilities that do not mature prior to the phase-out of LIBOR, the Company adopted the allowable contract modification relief optional expedient and has begun amending terms to transition to an alternative benchmark. For the period ended June 30, 2022, new and renewed facilities began adopting the SOFR index, while other facilities early adopted and transitioned to the SOFR index. In August 2020, the FASB issued ASU 2020-06, Debt–Debt with Conversion and Other Options (Topic 470) and Derivatives and Hedging–Contracts in Entity’s Own Equity (Topic 815) . The standard simplifies the accounting for convertible instruments by reducing the number of accounting models. A convertible debt instrument will generally be reported as a single liability at its amortized cost with no separate accounting for embedded conversion features. The standard also amends the accounting for certain contracts in an entity’s own equity that are currently accounted for as derivatives because of specific settlement provisions. In addition, the new guidance eliminates the treasury stock method to calculate diluted earnings per share for convertible instruments and requires the use of the if-converted method. ASU 2020-06 was effective for Rithm Capital beginning on January 1, 2022. The adoption of the new standard did not have a material impact on the Company’s Consolidated Financial Statements. In October 2021, the FASB issued ASU 2021-08, Business Combinations (Topic 805): Accounting for Contract Assets and Contract Liabilities from Contracts with Customers. The standard requires entities to recognize and measure contract assets and contract liabilities acquired in a business combination in accordance with ASC 2014-09, Revenue from Contracts with Customers (Topic 606) . The update will generally result in an entity recognizing contract assets and contract liabilities at amounts consistent with those recorded by the acquiree immediately before the acquisition date rather than at fair value. The new standard is effective on a prospective basis for fiscal years beginning after December 15, 2022, with early adoption permitted. The Company adopted the new standard effective January 1, 2022. The adoption of the new standard did not have an impact to its operating results, financial position, or cash flows. In March 2022, the FASB issued ASU 2022-01, Derivative and Hedging (Topic 815): Fair Value Hedging–Portfolio Layer Method . The standard clarifies the accounting and promotes consistency in reporting for hedges where the portfolio layer method is applied. The new standard is effective for fiscal years beginning after December 15, 2022, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements. In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions . The standard clarifies that a contractual restriction on the sale of an equity security is not considered in measuring the security’s fair value. The standard also requires certain disclosures for equity securities that are subject to contractual restrictions. The new standard is effective for fiscal years beginning after December 15, 2023, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements. |
SEGMENT REPORTING (Tables)
SEGMENT REPORTING (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Segment Reporting [Abstract] | |
Summary of Segment Financial Data | The following tables summarize segment financial information, which in total reconciles to the same data for Rithm Capital as a whole: Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Three Months Ended June 30, 2022 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ — $ 364,698 $ 104,780 $ 469,478 $ — $ — $ — $ — $ — $ 469,478 Change in fair value of MSRs and MSR financing receivables — 344,893 (8,330) 336,563 — — — — — 336,563 Servicing revenue, net — 709,591 96,450 806,041 — — — — — 806,041 Interest income 46,216 16,757 11,340 74,313 54,584 22,640 18,109 36,748 5,254 211,648 Gain on originated residential mortgage loans, held-for-sale, net 302,610 15,739 — 318,455 — (13,664) — — — 304,791 Total revenues 348,826 742,087 107,790 1,198,809 54,584 8,976 18,109 36,748 5,254 1,322,480 Interest expense 27,578 41,096 25,788 94,462 20,216 11,332 2,088 12,680 10,051 150,829 G&A and other (B) 349,432 120,395 55,401 525,228 710 11,891 2,160 14,600 431,325 985,914 Total operating expenses 377,010 161,491 81,189 619,690 20,926 23,223 4,248 27,280 441,376 1,136,743 Change in fair value of investments, net — (1,780) (93) (1,873) (241,213) 11,399 (7,196) 4,843 — (234,040) Gain (loss) on settlement of investments, net — (564) (1,265) (1,829) 117,179 (4,798) — (15,616) — 94,936 Other income (loss), net 1,832 207 16,280 18,319 (2,127) 29,471 15,725 7,430 (9,430) 59,388 Total other income (loss) 1,832 (2,137) 14,922 14,617 (126,161) 36,072 8,529 (3,343) (9,430) (79,716) Income (loss) before income taxes (26,352) 578,459 41,523 593,736 (92,503) 21,825 22,390 6,125 (445,552) 106,021 Income tax expense (benefit) (6,522) 151,236 9,466 154,180 — (2,480) 1 (3,623) (75,388) 72,690 Net income (loss) (19,830) 427,223 32,057 439,556 (92,503) 24,305 22,389 9,748 (370,164) 33,331 Noncontrolling interests in income (loss) of consolidated subsidiaries 1,287 — 41 1,328 — — 12,854 — — 14,182 Dividends on preferred stock — — — — — — — — 22,427 22,427 Net income (loss) attributable to common stockholders $ (21,117) $ 427,223 $ 32,016 $ 438,228 $ (92,503) $ 24,305 $ 9,535 $ 9,748 $ (392,591) $ (3,278) (A) Includes elimination of intercompany transactions of $0.1 million primarily related to loan sales. (B) Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Six Months Ended June 30, 2022 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ — $ 713,103 $ 212,775 $ 925,878 $ — $ — $ — $ — $ — $ 925,878 Change in fair value of MSRs and MSR financing receivables — 842,210 69,746 911,956 — — — — — 911,956 Servicing revenue, net — 1,555,313 282,521 1,837,834 — — — — — 1,837,834 Interest income 101,587 28,110 27,042 156,739 110,933 49,629 37,042 71,025 11,693 437,061 Gain on originated residential mortgage loans, held-for-sale, net 709,879 77,501 — 789,885 — (13,098) — — — 776,787 Total revenues 811,466 1,660,924 309,563 2,784,458 110,933 36,531 37,042 71,025 11,693 3,051,682 Interest expense 57,013 74,802 52,153 183,968 29,245 32,200 4,350 19,649 20,250 289,662 G&A and other (B) 758,190 245,175 111,411 1,114,776 1,482 35,325 4,414 31,008 462,955 1,649,960 Total operating expenses 815,203 319,977 163,564 1,298,744 30,727 67,525 8,764 50,657 483,205 1,939,622 Change in fair value of investments, net — (1,812) (1,502) (3,314) (367,162) (21,349) (20,929) 31,595 — (381,159) Gain (loss) on settlement of investments, net — (879) (3,464) (4,343) 166,599 40,114 — (46,250) — 156,120 Other income (loss), net 3,927 1,088 45,223 50,238 (4,727) 43,787 24,497 7,430 (9,505) 111,720 Total other income (loss) 3,927 (1,603) 40,257 42,581 (205,290) 62,552 3,568 (7,225) (9,505) (113,319) Income (loss) before income taxes 190 1,339,344 186,256 1,528,295 (125,084) 31,558 31,846 13,143 (481,017) 998,741 Income tax expense (benefit) 157 312,155 40,963 353,275 — 1,177 38 (3,623) (75,388) 275,479 Net income (loss) 33 1,027,189 145,293 1,175,020 (125,084) 30,381 31,808 16,766 (405,629) 723,262 Noncontrolling interests in income (loss) of consolidated subsidiaries 1,694 — 269 1,963 — — 17,828 — — 19,791 Dividends on preferred stock — — — — — — — — 44,888 44,888 Net income (loss) attributable to common stockholders $ (1,661) $ 1,027,189 $ 145,024 $ 1,173,057 $ (125,084) $ 30,381 $ 13,980 $ 16,766 $ (450,517) $ 658,583 (A) Includes elimination of intercompany transactions of $2.5 million primarily related to loan sales. (B) Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total June 30, 2022 Investments $ 3,349,312 $ 7,156,949 $ 2,864,161 $ 13,370,422 $ 7,988,802 $ 2,821,898 $ 423,735 $ 1,756,079 $ — $ 26,360,936 Cash and cash equivalents 170,412 653,879 247,676 1,071,967 317,818 1,529 1,730 34,353 83,451 1,510,848 Restricted cash 252,894 75,715 55,989 384,598 10,610 3,672 19,748 15,332 — 433,960 Other assets 669,315 2,343,393 2,325,958 5,338,666 176,823 212,571 32,837 164,169 237,838 6,162,904 Goodwill 11,836 12,540 5,092 29,468 — — — 55,731 — 85,199 Total assets $ 4,453,769 $ 10,242,476 $ 5,498,876 $ 20,195,121 $ 8,494,053 $ 3,039,670 $ 478,050 $ 2,025,664 $ 321,289 $ 34,553,847 Debt $ 3,421,076 $ 4,650,100 $ 3,341,447 $ 11,412,623 $ 7,660,612 $ 2,319,649 $ 357,663 $ 1,478,636 $ 604,244 $ 23,833,427 Other liabilities 363,425 2,424,304 150,330 2,938,059 10,932 339,357 998 21,588 346,488 3,657,422 Total liabilities 3,784,501 7,074,404 3,491,777 14,350,682 7,671,544 2,659,006 358,661 1,500,224 950,732 27,490,849 Total equity 669,268 3,168,072 2,007,099 5,844,439 822,509 380,664 119,389 525,440 (629,443) 7,062,998 Noncontrolling interests in equity of consolidated subsidiaries 13,345 — 9,613 22,958 — — 46,213 — — 69,171 Total Rithm Capital stockholders’ equity $ 655,923 $ 3,168,072 $ 1,997,486 $ 5,821,481 $ 822,509 $ 380,664 $ 73,176 $ 525,440 $ (629,443) $ 6,993,827 Investments in equity method investees $ — $ — $ 80,834 $ 80,834 $ — $ — $ — $ — $ — $ 80,834 Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Three Months Ended June 30, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ (5,077) $ 219,070 $ 142,183 $ 356,176 $ — $ — $ — $ — $ — $ 356,176 Change in fair value of MSRs and MSR financing receivables — (224,515) (193,468) (417,983) — — — — — (417,983) Servicing revenue, net (5,077) (5,445) (51,285) (61,807) — — — — — (61,807) Interest income 31,262 11,316 3,000 45,578 97,960 33,294 24,930 — — 201,762 Gain on originated residential mortgage loans, held-for-sale, net 268,539 12,794 (56,861) 273,697 (3,638) 16,826 — — — 286,885 Total revenues 294,724 18,665 (105,146) 257,468 94,322 50,120 24,930 — — 426,840 Interest expense 18,960 18,643 25,961 63,564 13,630 17,463 2,873 — 9,009 106,539 G&A and other 200,551 86,956 50,124 337,631 1,034 20,968 2,912 — 28,848 391,393 Total operating expenses 219,511 105,599 76,085 401,195 14,664 38,431 5,785 — 37,857 497,932 Change in fair value of investments, net — — (9,281) (9,281) 119,565 121,242 (1,626) — — 229,900 Gain (loss) on settlement of investments, net — (965) 226 (739) (76,270) (1,254) — — (348) (78,611) Other income (loss), net 138 — 7,660 7,798 1,756 50,858 2,367 — 1,673 64,452 Total other income (loss) 138 (965) (1,395) (2,222) 45,051 170,846 741 — 1,325 215,741 Income (loss) before income taxes 75,351 (87,899) (182,626) (145,949) 124,709 182,535 19,886 — (36,532) 144,649 Income tax expense (benefit) 19,030 (16,035) (21,381) (18,386) — 17,288 21 — — (1,077) Net income (loss) 56,321 (71,864) (161,245) (127,563) 124,709 165,247 19,865 — (36,532) 145,726 Noncontrolling interests in income (loss) of consolidated subsidiaries 3,225 — (1,825) 1,400 — — 8,653 — — 10,053 Dividends on preferred stock — — — — — — — — 14,358 14,358 Net income (loss) attributable to common stockholders $ 53,096 $ (71,864) $ (159,420) $ (128,963) $ 124,709 $ 165,247 $ 11,212 $ — $ (50,890) $ 121,315 (A) Includes elimination of intercompany transactions of $49.2 million primarily related to loan sales. Origination and Servicing Residential Securities, Properties and Loans Origination Servicing MSR Related Investments Total Origination and Servicing (A) Real Estate Securities Properties and Residential Mortgage Loans Consumer Loans Mortgage Loans Receivable Corporate Total Six Months Ended June 30, 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ (13,187) $ 438,623 $ 279,024 $ 704,460 $ — $ — $ — $ — $ — $ 704,460 Change in fair value of MSRs and MSR financing receivables — (77,164) (148,545) (225,709) — — — — — (225,709) Servicing revenue, net (13,187) 361,459 130,479 478,751 — — — — — 478,751 Interest income 54,114 16,189 24,584 94,887 187,810 69,616 50,396 — — 402,709 Gain on originated residential mortgage loans, held-for-sale, net 652,962 24,811 (64,892) 650,599 9,760 29,974 — — — 690,333 Total revenues 693,889 402,459 90,171 1,224,237 197,570 99,590 50,396 — — 1,571,793 Interest expense 37,023 41,743 54,763 133,529 29,350 38,739 5,891 — 17,935 225,444 G&A and other 390,477 177,563 105,245 673,285 2,190 38,654 5,948 — 55,983 776,060 Total operating expenses 427,500 219,306 160,008 806,814 31,540 77,393 11,839 — 73,918 1,001,504 Change in fair value of investments, net — — (11,105) (11,105) (172,569) 181,416 (7,630) — — (9,888) Gain (loss) on settlement of investments, net — (1,630) (12,186) (13,816) (104,626) 28,187 — — (348) (90,603) Other income (loss), net 197 1,092 15,044 16,333 964 55,945 160 — 1,044 74,446 Total other income (loss) 197 (538) (8,247) (8,588) (276,231) 265,548 (7,470) — 696 (26,045) Income (loss) before income taxes 266,586 182,615 (78,084) 408,835 (110,201) 287,745 31,087 — (73,222) 544,244 Income tax expense (benefit) 55,416 17,639 (8,544) 64,511 — 32,591 80 — — 97,182 Net income (loss) 211,170 164,976 (69,540) 344,324 (110,201) 255,154 31,007 — (73,222) 447,062 Noncontrolling interests in income (loss) of consolidated subsidiaries 6,750 — (517) 6,233 — — 13,214 — — 19,447 Dividends on preferred stock — — — — — — — — 28,716 28,716 Net income (loss) attributable to common stockholders $ 204,420 $ 164,976 $ (69,023) $ 338,091 $ (110,201) $ 255,154 $ 17,793 $ — $ (101,938) $ 398,899 (A) Includes elimination of intercompany transactions of $37.7 million primarily related to loan sales. Servicing Segment Revenues The table below summarizes the components of servicing segment revenues: Three Months Ended Six Months Ended 2022 2021 2022 2021 Base servicing MSR assets $ 300,676 $ 150,605 $ 581,786 $ 303,083 Residential whole loans 3,019 1,163 6,408 2,240 Third party 23,069 25,408 46,722 52,520 326,764 177,176 634,916 357,843 Other fees Ancillary and other fees (A) 37,934 41,894 78,187 80,780 Change in fair value due to: Realization of cash flows (117,680) (212,793) (250,956) (422,062) Change in valuation inputs and assumptions and other 462,573 (11,722) 1,093,166 344,898 Total servicing fees $ 709,591 $ (5,445) $ 1,555,313 $ 361,459 Servicing data - unpaid principal balance (“UPB”) (period end) (in millions) UPB – MSR assets $ 399,900 $ 221,747 $ 399,900 $ 221,747 UPB – Residential whole loans 10,959 7,751 10,959 7,751 UPB – Third party 87,190 76,409 87,190 76,409 |
EXCESS MORTGAGE SERVICING RIG_2
EXCESS MORTGAGE SERVICING RIGHTS (Tables) | 6 Months Ended |
Jun. 30, 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 as presented on the Consolidated Balance Sheets: June 30, 2022 December 31, 2021 Direct investments in Excess MSRs $ 256,216 $ 259,198 Excess MSR Joint Ventures 80,834 85,749 Excess mortgage servicing rights, at fair value $ 337,050 $ 344,947 The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 Interest income 20,094 511 20,605 Other income 37 — 37 Proceeds from repayments (20,909) (154) (21,063) Proceeds from sales (997) — (997) Change in fair value (1,119) (445) (1,564) Balance as of June 30, 2022 $ 254,679 $ 1,537 $ 256,216 (A) Specialized Loan Servicing LLC (“SLS”). The following table summarizes activity related to MSRs and MSR Financing Receivables: Balance as of December 31, 2021 $ 6,858,803 Purchases, net (A) (613) Originations (B) 790,922 Proceeds from sales (4,284) Change in fair value due to: Realization of cash flows (C) (380,590) Change in valuation inputs and assumptions 1,359,992 (Gain) loss realized 2,179 Balance at June 30, 2022 $ 8,626,409 (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 table summarizes MSRs and MSR Financing Receivables by type as of June 30, 2022: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) Agency $ 374,752,192 7.5 $ 5,845,943 Non-Agency 57,260,465 7.5 808,528 Ginnie Mae (C) 116,082,508 7.4 1,971,938 Total $ 548,095,165 7.5 $ 8,626,409 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2022, weighted average discount rates of 7.5% (range 7.0% – 9.0%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables. |
Summary of Direct Investments in Excess MSRs | The following table summarizes direct investments in Excess MSRs: June 30, 2022 December 31, 2021 UPB of Underlying Mortgages Interest in Excess MSR Weighted Average Life Years (A) Amortized Cost Basis (B) Carrying Value (C) Carrying Value (C) Rithm Capital (D) Fortress-managed funds Mr. Cooper Agency Original and Recaptured Pools $ 24,304,488 32.5% - 66.7% (53.3%) 0.0% - 40% 20.0% - 35.0% 6.4 $ 117,834 $ 128,793 $ 131,997 Non-Agency (E) Mr. Cooper and SLS Serviced: Original and Recaptured Pools 27,878,615 33.3% - 100.0% (59.4%) 0.0% - 50% 0.0% - 33.3% 7.3 94,985 127,423 127,201 Total $ 52,183,103 6.8 $ 212,819 $ 256,216 $ 259,198 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (C) Carrying value represents the fair value of the pools and recapture agreements, as applicable. (D) Amounts in parentheses represent weighted averages. (E) Rithm Capital is also invested in related Servicer Advance Investments, including the basic fee component of the related MSR as of June 30, 2022 (Note 6) on $18.2 billion UPB underlying these Excess MSRs. Changes in fair value of investments consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Original and Recaptured Pools $ 1,066 $ (4,211) $ (1,564) $ (8,829) |
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: June 30, 2022 December 31, 2021 Excess MSR $ 149,598 $ 152,383 Other assets 12,756 19,802 Other liabilities (687) (687) Equity $ 161,667 $ 171,498 Rithm Capital’s investment $ 80,834 $ 85,749 Rithm Capital’s percentage ownership 50.0 % 50.0 % Three Months Ended Six Months Ended 2022 2021 2022 2021 Interest income $ 410 $ (2,919) $ 6,077 $ 6,239 Other income (loss) (91) 1,791 (2,343) (1,029) Expenses (8) (8) (16) (16) Net income (loss) $ 311 $ (1,136) $ 3,718 $ 5,194 The following table summarizes the activity of investments in equity method investees: Balance at December 31, 2021 $ 85,749 Distributions of capital from equity method investees (6,774) Change in fair value of investments in equity method investees 1,859 Balance at June 30, 2022 $ 80,834 |
Summary of Excess MSR Investments made through Equity Method Investees | The following is a summary of Excess MSR investments made through equity method investees: June 30, 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 $ 20,938,443 66.7 % 50.0 % $ 110,896 $ 149,598 6.2 (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. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (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 and recapture agreements, as applicable. (D) Represents the weighted average expected timing of the receipt of cash flows of each investment. |
MORTGAGE SERVICING RIGHTS AND_2
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Transfers and Servicing of Financial Assets [Abstract] | |
Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs | The table below summarizes the components of Excess MSRs as presented on the Consolidated Balance Sheets: June 30, 2022 December 31, 2021 Direct investments in Excess MSRs $ 256,216 $ 259,198 Excess MSR Joint Ventures 80,834 85,749 Excess mortgage servicing rights, at fair value $ 337,050 $ 344,947 The following table presents activity related to the carrying value of direct investments in Excess MSRs: Servicer Mr. Cooper SLS (A) Total Balance as of December 31, 2021 $ 257,573 $ 1,625 $ 259,198 Interest income 20,094 511 20,605 Other income 37 — 37 Proceeds from repayments (20,909) (154) (21,063) Proceeds from sales (997) — (997) Change in fair value (1,119) (445) (1,564) Balance as of June 30, 2022 $ 254,679 $ 1,537 $ 256,216 (A) Specialized Loan Servicing LLC (“SLS”). The following table summarizes activity related to MSRs and MSR Financing Receivables: Balance as of December 31, 2021 $ 6,858,803 Purchases, net (A) (613) Originations (B) 790,922 Proceeds from sales (4,284) Change in fair value due to: Realization of cash flows (C) (380,590) Change in valuation inputs and assumptions 1,359,992 (Gain) loss realized 2,179 Balance at June 30, 2022 $ 8,626,409 (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 table summarizes MSRs and MSR Financing Receivables by type as of June 30, 2022: UPB of Underlying Mortgages Weighted Average Life (Years) (A) Carrying Value (B) Agency $ 374,752,192 7.5 $ 5,845,943 Non-Agency 57,260,465 7.5 808,528 Ginnie Mae (C) 116,082,508 7.4 1,971,938 Total $ 548,095,165 7.5 $ 8,626,409 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. (B) Carrying value represents fair value. As of June 30, 2022, weighted average discount rates of 7.5% (range 7.0% – 9.0%) were used to value Rithm Capital’s MSRs and MSR Financing Receivables. |
Fees Earned in Exchange for Servicing Financial Assets | The following table summarizes components of Servicing Revenue, Net: Three Months Ended Six Months Ended 2022 2021 2022 2021 Servicing fee revenue, net and interest income from MSRs and MSR financing receivables $ 434,789 $ 311,432 $ 856,344 $ 619,264 Ancillary and other fees 34,689 44,744 69,534 85,196 Servicing fee revenue, net and fees 469,478 356,176 925,878 704,460 Change in fair value due to: Realization of cash flows (A) (180,265) (297,778) (380,590) (637,448) Change in valuation inputs and assumptions (B) 514,955 (115,986) 1,359,992 425,980 Change in fair value of derivative instruments — 8,624 7,189 (199) (Gain) loss realized 1,873 (15,150) 2,179 (16,349) Gain (loss) on settlement of derivative instruments — 2,307 (76,814) 2,307 Servicing revenue, net $ 806,041 $ (61,807) $ 1,837,834 $ 478,751 (A) Includes $1.3 million and $2.6 million of fair value adjustment due to realization of cash flows to Excess spread financing for the three and six months ended June 30, 2021, respectively. (B) Includes $0.2 million and $1.6 million of fair value adjustment to Excess spread financing for the three and six months ended June 30, 2021, respectively. |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans of the Direct Investment in MSRs | The table below summarizes the geographic distribution of the underlying residential mortgage loans of the MSRs and MSR Financing Receivables: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2022 December 31, 2021 California 17.7 % 18.1 % Florida 8.6 % 8.6 % Texas 6.2 % 6.2 % New York 6.1 % 6.0 % Washington 5.8 % 5.6 % New Jersey 4.5 % 4.5 % Virginia 3.5 % 3.4 % Maryland 3.4 % 3.4 % Illinois 3.4 % 3.4 % Georgia 2.9 % 3.0 % Other U.S. 37.9 % 37.8 % 100.0 % 100.0 % |
Summary of Investments in Servicer Advances | The table below summarizes the type of advances included in the Servicer Advances Receivable: June 30, 2022 December 31, 2021 Principal and interest advances $ 622,819 $ 562,418 Escrow advances (taxes and insurance advances) 1,243,374 1,523,154 Foreclosure advances 741,440 793,098 Total (A)(B)(C) $ 2,607,633 $ 2,878,670 (A) Includes $486.8 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $168.0 million and $212.9 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption. (C) Excludes $46.9 million and $23.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. The following table summarizes Servicer Advance Investments, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) June 30, 2022 Servicer Advance Investments $ 365,677 $ 379,901 5.2 % 5.5 % 7.5 December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 (A) Represents the fair value of the servicer advance investments, including the basic 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 Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net June 30, 2022 Servicer Advance Investments (D) $ 18,224,076 $ 341,328 1.9 % $ 322,735 91.7 % 91.0 % 1.2 % 1.2 % December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % (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: June 30, 2022 December 31, 2021 Principal and interest advances $ 64,203 $ 67,014 Escrow advances (taxes and insurance advances) 153,991 174,681 Foreclosure advances 123,134 127,745 Total $ 341,328 $ 369,440 |
Schedule Of Servicer Advances Reserve | The following table summarizes servicer advances reserve: Balance at December 31, 2021 $ 32,122 Provision 5,056 Transfers and Other — Write-offs (4,724) Balance at June 30, 2022 $ 32,454 |
SERVICER ADVANCE INVESTMENTS (T
SERVICER ADVANCE INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
Summary of Investments in Servicer Advances | The table below summarizes the type of advances included in the Servicer Advances Receivable: June 30, 2022 December 31, 2021 Principal and interest advances $ 622,819 $ 562,418 Escrow advances (taxes and insurance advances) 1,243,374 1,523,154 Foreclosure advances 741,440 793,098 Total (A)(B)(C) $ 2,607,633 $ 2,878,670 (A) Includes $486.8 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies. (B) Includes $168.0 million and $212.9 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a nonreimbursable advance loss assumption. (C) Excludes $46.9 million and $23.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process. The following table summarizes Servicer Advance Investments, including the right to the basic fee component of the related MSRs: Amortized Cost Basis Carrying Value (A) Weighted Average Discount Rate Weighted Average Yield Weighted Average Life (Years) (B) June 30, 2022 Servicer Advance Investments $ 365,677 $ 379,901 5.2 % 5.5 % 7.5 December 31, 2021 Servicer Advance Investments $ 405,786 $ 421,807 5.2 % 5.5 % 6.9 (A) Represents the fair value of the servicer advance investments, including the basic 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 Loans Outstanding Servicer Advances Servicer Advances to UPB of Underlying Residential Mortgage Loans Face Amount of Secured Notes and Bonds Payable Loan-to-Value (“LTV”) (A) Cost of Funds (C) Gross Net (B) Gross Net June 30, 2022 Servicer Advance Investments (D) $ 18,224,076 $ 341,328 1.9 % $ 322,735 91.7 % 91.0 % 1.2 % 1.2 % December 31, 2021 Servicer Advance Investments (D) $ 20,314,977 $ 369,440 1.8 % $ 356,580 91.4 % 90.7 % 1.3 % 1.2 % (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: June 30, 2022 December 31, 2021 Principal and interest advances $ 64,203 $ 67,014 Escrow advances (taxes and insurance advances) 153,991 174,681 Foreclosure advances 123,134 127,745 Total $ 341,328 $ 369,440 |
Schedule of Interest Income Related to Investments in Servicer Advances | The following table summarizes interest income related to Servicer Advance Investments: Three Months Ended Six Months Ended June 30, 2022 2021 2022 2021 Interest income, gross of amounts attributable to servicer compensation $ 7,969 $ 3,544 $ 21,344 $ 17,505 Amounts attributable to base servicer compensation (826) (590) (2,306) (1,746) Amounts attributable to incentive servicer compensation (4,445) (3,043) (12,184) (9,036) Interest income (expense) from servicer advance investments $ 2,698 $ (89) $ 6,854 $ 6,723 The following table summarizes the net interest income for residential mortgage loans: Three Months Ended Six Months Ended 2022 2021 2022 2021 Interest income: Loans held-for-investment, at fair value $ 10,468 $ 11,911 $ 20,749 $ 22,971 Loans held-for-sale, at lower of cost or fair value 2,045 4,132 3,816 12,274 Loans held-for-sale, at fair value 56,343 48,513 126,651 88,485 Total interest income 68,856 64,556 151,216 123,730 Interest expense: Loans held-for-investment, at fair value 3,081 4,079 6,162 8,890 Loans held-for-sale, at lower of cost or fair value 823 2,554 1,672 10,340 Loans held-for-sale, at fair value and SFR properties 39,267 29,790 81,379 56,532 Total interest expense 43,171 36,423 89,213 75,762 Net interest income $ 25,685 $ 28,133 $ 62,003 $ 47,968 |
REAL ESTATE AND OTHER SECURIT_2
REAL ESTATE AND OTHER SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Debt Securities, Available-for-sale | The following table summarizes Real Estate and Other Securities by designation: June 30, 2022 December 31, 2021 Gross Unrealized Weighted Average Outstanding Face Amount Gains Losses Carrying Value (A) Number of Securities Rating (B) Coupon (C) Yield Life (Years) (D) Principal Subordination (E) Carrying RMBS Designated as Available for Sale (AFS): Agency (F)(G) $ 83,820 $ — $ — $ 81,515 1 AAA 3.50 % 3.50 % 4.4 N/A $ 98,367 Non-Agency (H)(I) 2,749,667 71,903 (13,145) 445,358 334 AA 3.40 % 3.30 % 3.4 26.6 % 522,416 RMBS Measured at Fair Value through Net Income (FVO): Agency (F)(G) 7,913,166 66 (1,155,303) 6,982,553 39 AAA 2.20 % 2.20 % 9.6 N/A 8,346,230 Non-Agency (H)(I) 14,554,849 26,369 (82,251) 479,376 319 AA+ 2.30 % 4.40 % 3.9 20.3 % 429,526 Total/ $ 25,301,502 $ 98,338 $ (1,250,699) $ 7,988,802 693 AAA 2.25 % 2.37 % 9.0 $ 9,396,539 (A) Fair value is equal to the carrying value for all securities. See Note 19 regarding the fair value measurements. (B) Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. This excludes the ratings of the collateral underlying 311 bonds with a carrying value of $337.0 million which either have never been rated or for which rating information is no longer provided. For each security rated by multiple rating agencies, the lowest rating is used. Rithm Capital used an implied AAA rating for the Agency RMBS. Ratings provided were determined by third-party rating agencies and represent the most recent credit ratings available as of the reporting date and may not be current. (C) Excludes residual bonds, and certain other Non-Agency bonds, with a carrying value of $17.6 million and $1.7 million, respectively, for which no coupon payment is expected. (D) Based on the timing of expected principal reduction on the assets. (E) Percentage of the amortized cost basis of securities that is subordinate to Rithm Capital’s investments, excluding fair value option securities. (F) Includes securities issued or guaranteed by U.S. Government agencies such as Ginnie Mae. (G) The total outstanding face amount was $8.0 billion for fixed rate securities as of June 30, 2022. (H) The total outstanding face amount was $8.8 billion (including $8.0 billion of residual and fair value option notional amount) for fixed rate securities and $8.5 billion (including $8.2 billion of residual and fair value option notional amount) for floating rate securities as of June 30, 2022. (I) Includes other asset-backed securities (“ABS”) 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 Rating Coupon Yield Life (Years) Principal Subordination Corporate debt $ 414 $ — $ — $ 355 1 B- 8.3 % 8.3 % 2.8 N/A Consumer loan bonds 1,065 972 — 1,395 3 N/A N/A N/A 0.0 N/A Fair value option securities: Interest-only securities 8,660,811 9,307 (43,281) 147,210 135 AA+ 1.0 % 2.6 % 2.3 N/A Servicing strips 4,576,372 8,609 (8,817) 53,667 61 N/A 1.1 % 12.2 % 2.5 N/A The following table summarizes purchases and sales of Real Estate and Other Securities: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 (in millions) Agency Non-Agency Agency Non-Agency Agency Non-Agency Agency Non-Agency Purchases Face $ — $ 1,073.0 $ 1,880.0 $ 849.6 $ 998.2 $ 3,283.1 $ 5,907.2 $ 1,657.7 Purchase price — 32.9 1,895.7 52.3 1,004.5 148.6 6,098.8 90.8 Sales Face $ 829.8 $ — $ 1,073.2 $ 552.8 $ 829.8 $ — $ 3,487.8 $ 1,686.3 Amortized cost 857.0 — 1,123.1 27.4 857.0 1.6 3,636.4 185.2 Sale price 738.9 — 1,109.1 16.8 738.9 — 3,631.3 164.6 Gain (loss) on sale (118.1) — (14.0) (10.7) (118.1) (1.6) (5.2) (20.5) |
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 June 30, 2022: 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 Rating Coupon Yield Life Less than 12 Months $ 384,799 $ 382,423 $ (2,202) $ 380,220 $ (13,047) $ 367,173 159 AAA 3.7 % 3.5 % 3.8 12 or More Months 18,094 8,931 (4,154) 4,777 (98) 4,679 14 AAA 1.9 % 0.7 % 0.6 Total/Weighted Average $ 402,893 $ 391,354 $ (6,356) $ 384,997 $ (13,145) $ 371,852 173 AAA 3.7 % 3.5 % 3.8 (A) Represents credit impairment on securities in an unrealized loss position as of June 30, 2022. 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: June 30, 2022 December 31, 2021 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 86,372 86,372 (6,356) — 6,581 6,581 (3,471) — Non-credit impaired securities 285,480 298,625 — (13,145) 3,927 4,044 — (117) Total debt securities in an unrealized loss position $ 371,852 $ 384,997 $ (6,356) $ (13,145) $ 10,508 $ 10,625 $ (3,471) $ (117) (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, 2021 $ 3,471 $ — $ 3,471 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 33 2,169 2,202 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 683 — 683 Write-offs charged against the allowance — — — Recoveries of amounts previously written off — — — Allowance for credit losses on available-for-sale debt securities at June 30, 2022 $ 4,187 $ 2,169 $ 6,356 |
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 June 30, 2022 $ 545,910 $ 202,947 December 31, 2021 512,731 180,890 |
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, 2021 $ 36,093 Additions 10,389 Accretion (2,259) Reclassifications from (to) non-accretable difference 660 Disposals — Balance at June 30, 2022 $ 44,883 |
RESIDENTIAL MORTGAGE LOANS (Tab
RESIDENTIAL MORTGAGE LOANS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Receivables [Abstract] | |
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO | The following table summarizes residential mortgage loans outstanding by loan type: June 30, 2022 December 31, 2021 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 576,750 $ 510,744 10,273 7.1 % 4.4 $ 569,933 Acquired performing loans (C) 102,734 92,430 2,689 6.7 % 4.9 130,634 Acquired non-performing loans (D) 29,203 24,623 217 6.3 % 5.2 2,287 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 131,937 $ 117,053 2,906 6.6 % 5.0 $ 132,921 Acquired performing loans (C)(E) $ 1,759,976 $ 1,661,890 10,370 4.7 % 13.3 $ 2,070,262 Acquired non-performing loans (D)(E) 308,514 282,734 1,546 4.4 % 12.5 315,063 Originated loans 3,319,543 3,349,312 4,751 5.1 % 28.9 8,829,599 Total residential mortgage loans, held-for-sale, at fair value $ 5,388,033 $ 5,293,936 16,667 4.9 % 22.9 $ 11,214,924 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,519,970 $ 5,410,989 $ 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 June 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $672.1 million and $208.2 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 Mortgage Loans Receivable outstanding by loan purpose as of June 30, 2022: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 755,077 43.0 % 568 39.0 % 8.1 % 14.3 76.2% / 65.5% Bridge 722,282 41.1 % 455 31.3 % 7.6 % 16.6 77.1% Renovation 278,720 15.9 % 433 29.7 % 7.8 % 12.9 77.9% / 66.7% $ 1,756,079 100.0 % 1,456 100.0 % 7.8 % 15.0 N/A (A) Represents fair value. (B) Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) or loan-to-after-repair-value (“LTARV”) for construction and renovation loans. The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2021 $ 1,515,762 Initial loan advances 828,032 Construction holdbacks and draws 240,031 Paydowns and payoffs (783,878) Purchased loans premium amortization (43,868) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors — Balance at June 30, 2022 $ 1,756,079 Notes and Loans Receivable — The following table summarizes the activity for notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 Fundings — — — Payment in Kind 2,412 4,380 6,792 Proceeds from repayments — (68,751) (68,751) Transfer to other assets (1,000) — (1,000) Fair value adjustments due to: Changes in instrument-specific credit risk (9,042) — (9,042) Other factors (227) (359) (586) Balance at June 30, 2022 $ 52,692 $ 164,901 $ 217,593 |
Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans | The following table summarizes the geographic distribution of the underlying residential mortgage loans: Percentage of Total Outstanding Unpaid Principal Amount State Concentration June 30, 2022 December 31, 2021 California 11.5 % 15.7 % Florida 10.5 % 10.1 % Texas 8.0 % 7.5 % New York 6.6 % 7.1 % Washington 5.8 % 6.7 % Georgia 4.1 % 3.8 % New Jersey 4.0 % 3.3 % Illinois 3.3 % 3.1 % Virginia 3.1 % 3.1 % Maryland 3.0 % 2.8 % Other U.S. 40.1 % 36.8 % 100.0 % 100.0 % |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 672,891 609,875 (63,016) 779,178 740,043 (39,135) June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,756,079 $ 1,756,079 $ — $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — — — — The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 226,106 $ 217,593 $ (8,513) $ 289,065 $ 290,180 $ 1,115 90+ — — — — — — |
Schedule of Loans Held For Sale, Fair Value | The following table summarizes the activity for residential mortgage loans: 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 Total Balance at December 31, 2021 $ 569,932 $ 132,921 $ 11,214,924 $ 11,917,777 Originations — — 45,730,604 45,730,604 Sales — (720) (54,740,975) (54,741,695) Purchases/additional fundings 7,182 — 3,508,202 3,515,384 Proceeds from repayments (47,444) (10,173) (277,101) (334,718) Transfer of loans to other assets (A) — — (27,083) (27,083) Transfer of loans to real estate owned (1,658) 312 494 (852) 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 — (5,287) — (5,287) Fair value adjustments due to: Changes in instrument-specific credit risk (1,646) — (3,897) (5,543) Other factors (14,040) — (112,814) (126,854) Balance at June 30, 2022 $ 510,744 $ 117,053 $ 5,293,936 $ 5,921,733 (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). |
Schedule of Net Interest Income | The following table summarizes interest income related to Servicer Advance Investments: Three Months Ended Six Months Ended June 30, 2022 2021 2022 2021 Interest income, gross of amounts attributable to servicer compensation $ 7,969 $ 3,544 $ 21,344 $ 17,505 Amounts attributable to base servicer compensation (826) (590) (2,306) (1,746) Amounts attributable to incentive servicer compensation (4,445) (3,043) (12,184) (9,036) Interest income (expense) from servicer advance investments $ 2,698 $ (89) $ 6,854 $ 6,723 The following table summarizes the net interest income for residential mortgage loans: Three Months Ended Six Months Ended 2022 2021 2022 2021 Interest income: Loans held-for-investment, at fair value $ 10,468 $ 11,911 $ 20,749 $ 22,971 Loans held-for-sale, at lower of cost or fair value 2,045 4,132 3,816 12,274 Loans held-for-sale, at fair value 56,343 48,513 126,651 88,485 Total interest income 68,856 64,556 151,216 123,730 Interest expense: Loans held-for-investment, at fair value 3,081 4,079 6,162 8,890 Loans held-for-sale, at lower of cost or fair value 823 2,554 1,672 10,340 Loans held-for-sale, at fair value and SFR properties 39,267 29,790 81,379 56,532 Total interest expense 43,171 36,423 89,213 75,762 Net interest income $ 25,685 $ 28,133 $ 62,003 $ 47,968 |
Schedule of Originated Mortgage Loans | The following table summarizes the components of Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net: Three Months Ended Six Months Ended 2022 2021 2022 2021 Gain (loss) on residential mortgage loans originated and sold, net (A) $ (421,834) $ 96,639 $ (792,255) $ 97,726 Gain (loss) on settlement of residential mortgage loan origination derivative instruments (B) 526,933 113,995 1,051,756 154,116 MSRs retained on transfer of residential mortgage loans (C) 329,470 207,663 790,922 463,136 Other (D) 1,838 28,405 29,539 52,102 Realized gain on sale of originated residential mortgage loans, net $ 436,407 $ 446,702 $ 1,079,962 $ 767,080 Change in fair value of residential mortgage loans 20,038 93,350 (269,959) 3,387 Change in fair value of interest rate lock commitments (Note 17) 77,481 55,299 (50,204) (179,683) Change in fair value of derivative instruments (Note 17) (229,135) (308,466) 16,988 99,549 Gain on originated residential mortgage loans, held-for-sale, net $ 304,791 $ 286,885 $ 776,787 $ 690,333 (A) Includes residential mortgage loan origination fees of $116.8 million and $438.9 million for the three months ended June 30, 2022 and 2021, respectively. Includes residential mortgage loan origination fees of $369.3 million and $1,097.3 million for the six months ended June 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. |
CONSUMER LOANS (Tables)
CONSUMER LOANS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Investments In Consumer Loans Equity Method Investees [Abstract] | |
Summary of the Investment in Consumer Loan Companies | The following table summarizes characteristics of the consumer loan portfolio: Unpaid Principal Balance Carrying Value Weighted Average Coupon Weighted Average Expected Life (Years) (A) June 30, 2022 Total consumer loans $ 380,603 $ 423,735 17.5 % 3.2 December 31, 2021 Total consumer loans $ 449,875 $ 507,291 17.5 % 3.2 (A) Represents the weighted average expected timing of the receipt of expected cash flows for this investment. |
Schedule Of Consumer Loans, Held-For-Investment | The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of consumer loans: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 6,734 7,370 636 7,394 8,232 838 |
Schedule of Carrying Value of Performing Consumer Loans | The following table summarizes activities related to the carrying value of consumer loans: Balance at December 31, 2021 $ 507,291 Additional fundings (A) 14,350 Proceeds from repayments (84,637) Accretion of loan discount and premium amortization, net 7,695 Fair value adjustment due to: Changes in instrument-specific credit risk 4,126 Other factors (25,090) Balance at June 30, 2022 $ 423,735 (A) Represents draws on consumer loans with revolving privileges. |
SINGLE-FAMILY RENTAL PROPERTI_2
SINGLE-FAMILY RENTAL PROPERTIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Real Estate [Abstract] | |
Schedule of Single-Family Rental Properties | The following table summarizes the net carrying value of investments in single-family rental (“SFR”) properties: June 30, 2022 December 31, 2021 Land $ 170,055 $ 109,152 Building 680,219 436,610 Capital improvements 90,314 40,655 Total gross investment in SFR properties 940,588 586,417 Accumulated depreciation (13,361) (6,810) Investment in SFR properties, net $ 927,227 $ 579,607 |
Schedule of Activity in Single-Family Rental Properties | The following table summarizes the activity related to the net carrying value of investments in SFR properties: Balance at December 31, 2021 $ 579,607 Acquisitions and capital improvements 354,792 Dispositions (621) Accumulated depreciation (6,551) Balance at June 30, 2022 $ 927,227 The following table summarizes the activity of the SFR portfolio by units: Balance at December 31, 2021 2,551 Acquisition of SFR units 1,059 Disposition of SFR units (2) Reclassifications to SFR properties, held for sale — Balance at June 30, 2022 3,608 |
Schedule of Future Minimum Rental Revenues | The following table summarizes our future minimum rental revenues under existing leases on SFR properties: 2022 $ 38,937 2023 and thereafter 15,675 Total $ 54,612 |
MORTGAGE LOANS RECEIVABLE (Tabl
MORTGAGE LOANS RECEIVABLE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Receivables [Abstract] | |
Schedule of Residential Mortgage Loans Outstanding by Loan Type, Excluding REO | The following table summarizes residential mortgage loans outstanding by loan type: June 30, 2022 December 31, 2021 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 576,750 $ 510,744 10,273 7.1 % 4.4 $ 569,933 Acquired performing loans (C) 102,734 92,430 2,689 6.7 % 4.9 130,634 Acquired non-performing loans (D) 29,203 24,623 217 6.3 % 5.2 2,287 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 131,937 $ 117,053 2,906 6.6 % 5.0 $ 132,921 Acquired performing loans (C)(E) $ 1,759,976 $ 1,661,890 10,370 4.7 % 13.3 $ 2,070,262 Acquired non-performing loans (D)(E) 308,514 282,734 1,546 4.4 % 12.5 315,063 Originated loans 3,319,543 3,349,312 4,751 5.1 % 28.9 8,829,599 Total residential mortgage loans, held-for-sale, at fair value $ 5,388,033 $ 5,293,936 16,667 4.9 % 22.9 $ 11,214,924 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,519,970 $ 5,410,989 $ 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 June 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $672.1 million and $208.2 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 Mortgage Loans Receivable outstanding by loan purpose as of June 30, 2022: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 755,077 43.0 % 568 39.0 % 8.1 % 14.3 76.2% / 65.5% Bridge 722,282 41.1 % 455 31.3 % 7.6 % 16.6 77.1% Renovation 278,720 15.9 % 433 29.7 % 7.8 % 12.9 77.9% / 66.7% $ 1,756,079 100.0 % 1,456 100.0 % 7.8 % 15.0 N/A (A) Represents fair value. (B) Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) or loan-to-after-repair-value (“LTARV”) for construction and renovation loans. The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2021 $ 1,515,762 Initial loan advances 828,032 Construction holdbacks and draws 240,031 Paydowns and payoffs (783,878) Purchased loans premium amortization (43,868) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors — Balance at June 30, 2022 $ 1,756,079 Notes and Loans Receivable — The following table summarizes the activity for notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 Fundings — — — Payment in Kind 2,412 4,380 6,792 Proceeds from repayments — (68,751) (68,751) Transfer to other assets (1,000) — (1,000) Fair value adjustments due to: Changes in instrument-specific credit risk (9,042) — (9,042) Other factors (227) (359) (586) Balance at June 30, 2022 $ 52,692 $ 164,901 $ 217,593 |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 672,891 609,875 (63,016) 779,178 740,043 (39,135) June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,756,079 $ 1,756,079 $ — $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — — — — The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 226,106 $ 217,593 $ (8,513) $ 289,065 $ 290,180 $ 1,115 90+ — — — — — — |
Schedule of Geographic Distribution of Mortgage Loans Receivable | The following table summarizes the geographic distribution of the underlying Mortgage Loans Receivable as of June 30, 2022: State Concentration Percentage of Total California 57.2 % Washington 9.5 % New York 5.2 % Other U.S. 28.1 % 100.0 % |
CASH, CASH EQUIVALENTS AND RE_2
CASH, CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Cash and Cash Equivalents [Abstract] | |
Summary of Restricted Cash | The following table summarizes restricted cash balances: June 30, 2022 December 31, 2021 MSRs and servicer advances $ 55,989 $ 27,182 Real estate and other securities 10,610 15,342 Consumer loans 19,748 21,961 SFR properties 3,672 2,482 Origination and servicing 328,609 128,588 Mortgage loans receivable (A) 15,332 — Other — 312 Total restricted cash $ 433,960 $ 195,867 (A) Primarily relates to cash deposited into the 2022-RTL1 securitization facility, to be used to purchase additional mortgage loans and to fund unfunded commitments. The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on Rithm Capital’s Consolidated Balance Sheets to the total of the same such amounts shown in the Consolidated Statements of Cash Flows: Six Months Ended 2022 2021 Cash and cash equivalents $ 1,510,848 $ 956,242 Restricted cash 433,960 238,501 Total cash, cash equivalents and restricted cash $ 1,944,808 $ 1,194,743 |
Summary of Cash and Cash Equivalents | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on Rithm Capital’s Consolidated Balance Sheets to the total of the same such amounts shown in the Consolidated Statements of Cash Flows: Six Months Ended 2022 2021 Cash and cash equivalents $ 1,510,848 $ 956,242 Restricted cash 433,960 238,501 Total cash, cash equivalents and restricted cash $ 1,944,808 $ 1,194,743 |
OTHER ASSETS AND LIABILITIES (T
OTHER ASSETS AND LIABILITIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Other Income Assets And Liabilities [Abstract] | |
Schedule of Other Assets and Liabilities | Other Assets and Accrued Expenses and Other Liabilities consist of the following: Other Assets Accrued Expenses June 30, 2022 December 31, 2021 June 30, 2022 December 31, 2021 Margin receivable, net (A) $ 256,186 $ 358,041 Margin payable $ 41,410 $ 9,821 Servicing fee receivables 123,269 117,935 Interest payable 40,586 30,931 Principal and interest receivable 95,709 85,084 Accounts payable 199,886 345,901 Equity investments (B) 63,839 81,052 Termination fee payable (Note 25) 200,000 — Other receivables 193,856 233,342 Derivative liabilities (Note 17) 57,224 34,583 REO 17,052 21,641 Accrued compensation and benefits 114,955 201,057 Goodwill (Note 15) (C) 85,199 85,199 Operating lease liabilities (Note 16) 117,730 142,620 Notes receivable, at fair value (D) 52,692 60,549 Deferred tax liability 716,148 440,690 Warrants, at fair value 21,090 27,354 Other liabilities 283,061 153,165 Property and equipment 44,803 56,617 $ 1,771,000 $ 1,358,768 Intangible assets (Note 15) 145,700 143,133 Prepaid expenses 69,866 115,110 Operating lease right-of-use assets (Note 16) 98,504 117,131 Derivative assets (Note 17) 194,507 138,173 Loans receivable, at fair value (E) 164,901 229,631 Credit facilities receivable (F) 34,419 41,351 Loans in process and settlements in process (G) 105,818 11,681 Other assets 161,488 105,728 $ 1,928,898 $ 2,028,752 (A) Represents collateral posted as a result of changes in fair value of Rithm Capital’s (i) real estate securities securing its secured financing agreements and (ii) derivative instruments. (B) Represents equity investments in funds that invest in (i) a commercial redevelopment project and (ii) operating companies in the single-family housing industry. The commercial redevelopment project is accounted for at fair value based on the net asset value of Rithm Capital’s investment. Equity investments also includes an investment in Covius Holding Inc. (“Covius”), a provider of various technology-enabled services to the mortgage and real estate industries, preferred stock in Valon Mortgage, Inc. (“Valon”), a residential mortgage servicing and technology company, and preferred stock in Credijusto Ltd. (“Covalto”), a financial services company. (C) Includes goodwill derived from the acquisition of Shellpoint Partners LLC (“Shellpoint”), Guardian Asset Management LLC (“Guardian”) and Genesis. (D) Represents a subordinated debt facility to Covius and a private note with Matic Insurance Services, Inc. (“Matic”). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (E) Represents loans made pursuant to a senior credit agreement and a senior subordinated credit agreement to an entity affiliated with funds managed by an affiliate of the Former Manager (see Note 23). The loans are accounted for under the fair value option. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Income and provides users of the financial statements with better information regarding the effect of market factors. (F) Represents cash deposits and collections associated with certain collateral assets which are held by the lender trust until settled each month. |
Schedule of Real Estate Owned | The following table presents activity related to the carrying value of investments in REO: Balance at December 31, 2021 $ 21,641 Purchases 210 Transfer of loans to REO 4,890 Sales (A) (10,569) Valuation (provision) reversal 880 Balance at June 30, 2022 $ 17,052 (A) Recognized when control of the property has transferred to the buyer. |
Schedule of Accounts, Notes and Loans Receivable | The following table summarizes residential mortgage loans outstanding by loan type: June 30, 2022 December 31, 2021 Loan Type Outstanding Face Amount Carrying Loan Weighted Average Yield Weighted Average Life (Years) (A) Carrying Value Total residential mortgage loans, held-for-investment, at fair value (B) $ 576,750 $ 510,744 10,273 7.1 % 4.4 $ 569,933 Acquired performing loans (C) 102,734 92,430 2,689 6.7 % 4.9 130,634 Acquired non-performing loans (D) 29,203 24,623 217 6.3 % 5.2 2,287 Total residential mortgage loans, held-for-sale, at lower of cost or market $ 131,937 $ 117,053 2,906 6.6 % 5.0 $ 132,921 Acquired performing loans (C)(E) $ 1,759,976 $ 1,661,890 10,370 4.7 % 13.3 $ 2,070,262 Acquired non-performing loans (D)(E) 308,514 282,734 1,546 4.4 % 12.5 315,063 Originated loans 3,319,543 3,349,312 4,751 5.1 % 28.9 8,829,599 Total residential mortgage loans, held-for-sale, at fair value $ 5,388,033 $ 5,293,936 16,667 4.9 % 22.9 $ 11,214,924 Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market $ 5,519,970 $ 5,410,989 $ 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 June 30, 2022, Rithm Capital has placed non-performing loans, held-for-sale on nonaccrual status, except as described in (E) below. (E) Includes $672.1 million and $208.2 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 Mortgage Loans Receivable outstanding by loan purpose as of June 30, 2022: Carrying Value (A) % of Portfolio Loan % of Portfolio Weighted Average Yield Weighted Average Original Life (Months) Weighted Average Committed Loan Balance to Value (B) Construction $ 755,077 43.0 % 568 39.0 % 8.1 % 14.3 76.2% / 65.5% Bridge 722,282 41.1 % 455 31.3 % 7.6 % 16.6 77.1% Renovation 278,720 15.9 % 433 29.7 % 7.8 % 12.9 77.9% / 66.7% $ 1,756,079 100.0 % 1,456 100.0 % 7.8 % 15.0 N/A (A) Represents fair value. (B) Weighted by commitment loan-to-value (“LTV”) for bridge loans, loan-to-cost (“LTC”) or loan-to-after-repair-value (“LTARV”) for construction and renovation loans. The following table summarizes the activity for Mortgage Loans Receivables: Balance at December 31, 2021 $ 1,515,762 Initial loan advances 828,032 Construction holdbacks and draws 240,031 Paydowns and payoffs (783,878) Purchased loans premium amortization (43,868) Fair value adjustments due to: Changes in instrument-specific credit risk — Other factors — Balance at June 30, 2022 $ 1,756,079 Notes and Loans Receivable — The following table summarizes the activity for notes and loans receivable: Notes Receivable Loans Receivable Total Balance at December 31, 2021 $ 60,549 $ 229,631 $ 290,180 Fundings — — — Payment in Kind 2,412 4,380 6,792 Proceeds from repayments — (68,751) (68,751) Transfer to other assets (1,000) — (1,000) Fair value adjustments due to: Changes in instrument-specific credit risk (9,042) — (9,042) Other factors (227) (359) (586) Balance at June 30, 2022 $ 52,692 $ 164,901 $ 217,593 |
Schedule of Performing Loans Past Due | The following table summarizes the difference between the aggregate unpaid principal balance and the aggregate fair value of loans: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance 90+ 672,891 609,875 (63,016) 779,178 740,043 (39,135) June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 1,756,079 $ 1,756,079 $ — $ 1,473,894 $ 1,515,762 $ 41,868 90+ — — — — — — The following table summarizes the past due status and difference between the aggregate unpaid principal balance and the aggregate fair value of notes and loans receivable: June 30, 2022 December 31, 2021 Days Past Due Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Unpaid Principal Balance Fair Value Fair Value Over (Under) Unpaid Principal Balance Current $ 226,106 $ 217,593 $ (8,513) $ 289,065 $ 290,180 $ 1,115 90+ — — — — — — |
EXPENSES, CHANGE IN FAIR VALU_2
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Other Income and Expenses [Abstract] | |
Schedule of General and Administrative Expenses | General and Administrative expenses consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Legal and professional $ 20,822 $ 18,587 $ 49,408 $ 36,806 Loan origination 35,015 44,916 74,916 85,161 Occupancy 28,886 10,221 58,663 20,571 Subservicing 41,987 45,278 88,795 95,117 Loan servicing 4,866 4,627 10,170 9,306 Property and maintenance 22,108 15,755 45,711 27885 Other 71,587 33,602 143,846 62,001 Total general and administrative expenses $ 225,271 $ 172,986 $ 471,509 $ 336,847 |
Schedule of Change in Fair Value of Investments | Change in Fair Value of Investments, Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Excess MSRs $ 1,066 $ (4,211) $ (1,564) $ (8,829) Excess MSRs, equity method investees 156 (568) 1,859 2,597 Servicer advance investments (1,314) (4,502) (1,797) (4,873) Real estate and other securities (379,656) 156,792 (984,951) (341,547) Residential mortgage loans (25,477) 121,242 (132,397) 181,416 Consumer loans (7,196) (1,626) (20,929) (7,630) Mortgage loans receivable (5,542) — — — Derivative instruments 183,923 (37,227) 758,620 168,978 Total change in fair value of investments, net $ (234,040) $ 229,900 $ (381,159) $ (9,888) |
Schedule of Gain (Loss) on Settlement of Investments | Gain (Loss) on Settlement of Investments, Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Gain (loss) on sale of real estate securities $ (118,079) $ (24,708) $ (119,636) $ (25,691) Sale of acquired residential mortgage loans (1,798) 19,198 48,621 49,597 Settlement of derivatives 232,470 (49,256) 279,945 (76,629) Liquidated residential mortgage loans (14,551) (268) (44,484) 629 Sale of REO (1,268) (239) (3,359) (4,185) Extinguishment of debt — 89 — 83 Other (1,838) (23,427) (4,967) (34,407) Total gain (loss) on settlement of investments, net $ 94,936 $ (78,611) $ 156,120 $ (90,603) |
Schedule of Other Income | Other Income (Loss), Net consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Unrealized gain (loss) on secured notes and bonds payable $ 27,957 $ 5,638 $ 35,151 $ 1,216 Rental revenue 12,272 14,195 20,402 20,022 Property and maintenance revenue 32,035 25,104 66,340 45,010 (Provision) reversal for credit losses on securities (2,174) 1,756 (2,885) 2,650 Valuation and credit loss (provision) reversal on loans and real estate owned (1,614) 32,652 (4,643) 51,365 Other income (loss) (9,088) (14,893) (2,645) (45,817) Total other income (loss), net $ 59,388 $ 64,452 $ 111,720 $ 74,446 |
Schedule of Accretion of Discount and Other Amortization | Accretion and Other Amortization as reflected on the Consolidated Statements of Cash Flows consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Accretion of net discount on securities and loans $ 8,219 $ 10,090 $ 13,512 $ 22,097 Accretion of servicer advances receivable discount and servicer advance investments 2,699 (52) 6,855 6,796 Accretion of excess mortgage servicing rights income 7,588 (238) 20,605 11,993 Amortization of deferred financing costs (2,722) (3,776) (5,382) (8,377) Amortization of discount on secured notes and bonds payable — (3) — (3) Amortization of discount on corporate debt (409) (438) (859) (889) Total accretion and other amortization $ 15,375 $ 5,583 $ 34,731 $ 31,617 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Goodwill | The following table summarizes the carrying value of goodwill by reportable segment: Origination Servicing MSR Mortgage Loans Receivable Total Balance at December 31, 2021 $ 11,836 $ 12,540 $ 5,092 $ 55,731 $ 85,199 Goodwill acquired — — — — — Accumulated impairment loss — — — — — Other adjustments — — — — — Balance at June 30, 2022 $ 11,836 $ 12,540 $ 5,092 $ 55,731 $ 85,199 |
Schedule of Acquired Intangible Assets | The following table summarizes the acquired identifiable intangible assets: Estimated Useful Lives (Years) June 30, 2022 December 31, 2021 Gross Intangible Assets Customer relationships 3 to 9 $ 57,950 $ 57,949 Purchased technology 3 to 5 109,908 93,241 Trademarks / Trade names 1 to 5 10,259 10,259 178,117 161,449 Accumulated Amortization Customer relationships 10,547 6,574 Purchased technology 20,003 10,578 Trademarks / Trade names 1,867 1,164 32,417 18,316 Intangible Assets, Net Customer relationships 47,403 51,375 Purchased technology 89,905 82,663 Trademarks / Trade names 8,392 9,095 $ 145,700 $ 143,133 |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | The following table summarizes the expected future amortization expense for acquired intangible assets as of June 30, 2022: Year Ending Amortization Expense July 1 through December 31, 2022 $ 14,361 2023 26,031 2024 25,117 2025 20,139 2026 15,318 2027 and thereafter 14,008 $ 114,974 |
OPERATING LEASES (Tables)
OPERATING LEASES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Leases [Abstract] | |
Schedule of Future Commitments for Non-Cancelable Leases | As of June 30, 2022, future commitments under the non-cancelable leases are as follows: Year Ending Amount July 1 through December 31, 2022 $ 20,196 2023 29,727 2024 22,084 2025 16,423 2026 10,456 2027 and thereafter 34,414 Total remaining undiscounted lease payments 133,300 Less: imputed interest 15,570 Total remaining discounted lease payments $ 117,730 |
Other Information Related to Operating Leases | Other information related to operating leases is summarized below: June 30, 2022 December 31, 2021 Weighted-average remaining lease term (years) 5.6 5.5 Weighted-average discount rate 4.0 % 4.1 % |
DERIVATIVES (Tables)
DERIVATIVES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivatives | Derivatives are recorded at fair value on the Consolidated Balance Sheets as follows: Balance Sheet Location June 30, 2022 December 31, 2021 Derivative assets Interest rate swaps (A) Other assets $ 104 $ 52 Interest rate lock commitments Other assets 73,784 114,871 TBAs Other assets 120,619 15,472 Options on treasury futures Other assets — 7,778 $ 194,507 $ 138,173 Derivative liabilities Interest rate lock commitments Accrued expenses and other liabilities $ 12,210 $ 3,093 TBAs Accrued expenses and other liabilities 45,014 31,490 $ 57,224 $ 34,583 (A) Net of $776.1 million and $60.7 million of related variation margin balances as of June 30, 2022 and December 31, 2021, respectively. The following table summarizes notional amounts related to derivatives: June 30, 2022 December 31, 2021 Interest rate swaps (A) $ 16,675,000 $ 11,490,000 Interest rate lock commitments 6,039,813 10,653,850 TBAs, short position (B) 16,676,041 22,697,706 Treasury futures — 314,500 Options on treasury futures — 3,200,000 (A) Includes $16.7 billion notional of receive LIBOR/pay fixed of 1.18% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 39 months and 0 months, respectively, as of June 30, 2022. Includes $11.5 billion notional of receive LIBOR/pay fixed of 1.10% and $0.0 billion notional of receive fixed of 0.00%/pay LIBOR with weighted average maturities of 42 months and 0 months, respectively, as of December 31, 2021. (B) Represents the notional amount of Agency RMBS, classified as derivatives. The following table summarizes gain (loss) on derivatives and the related location on the Consolidated Statements of Income: Three Months Ended Six Months Ended 2022 2021 2022 2021 Servicing revenue, net (A) TBAs $ — $ 8,624 $ 3,300 $ (199) Treasury futures — — (1,746) — Options on treasury futures — — 5,635 — — 8,624 7,189 (199) Gain on originated residential mortgage loans, held-for-sale, net (A) Interest rate lock commitments 77,481 55,299 (50,204) (179,683) TBAs (229,135) (308,466) 16,988 99,549 (151,654) (253,167) (33,216) (80,134) Change in fair value of investments (A) Interest rate swaps 251,888 (37,227) 716,222 168,978 TBAs (67,965) — 42,398 — 183,923 (37,227) 758,620 168,978 Gain (loss) on settlement of investments, net (B) Interest rate swaps (10,616) (35,246) (36,295) (69,072) TBAs (C) 243,086 (14,010) 316,240 (7,557) 232,470 (49,256) 279,945 (76,629) Total gain (loss) $ 264,739 $ (331,026) $ 1,012,538 $ 12,016 (A) Represents unrealized gain (loss). (B) Excludes $76.8 million loss for the six months ended June 30, 2022 included within Servicing Revenue, Net (Note 5). There was no gain included within Servicing Revenue, Net for the six months ended June 30, 2021 or for the three months ended June 30, 2022 and 2021, respectively. (C) Excludes $526.9 million gain and $114.0 million gain for the three months ended June 30, 2022 and 2021, respectively, and $1.1 billion gain and $154.1 million gain for the six months ended June 30, 2022 and 2021, respectively, included within Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net (Note 8). |
DEBT OBLIGATIONS (Tables)
DEBT OBLIGATIONS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Debt Obligations | The following table summarizes Secured Financing Agreements and Secured Notes and Bonds Payable debt obligations: June 30, 2022 December 31, 2021 Collateral Debt Obligations/Collateral Outstanding Face Amount Carrying Value (A) Final Stated Maturity (B) Weighted Average Funding Cost Weighted Average Life (Years) Outstanding Face Amortized Cost Basis Carrying Value Weighted Average Life (Years) Carrying Value (A) Secured Financing Agreements (C) Repurchase Agreements: Warehouse Credit Facilities-Residential Mortgage Loans (F) $ 4,910,944 $ 4,908,659 Jul-22 to Sep-25 3.05 % 0.7 $ 5,646,909 $ 5,588,006 $ 5,479,872 20.3 $ 10,138,297 Warehouse Credit Facilities-Mortgage Loans Receivable (E) 1,161,223 1,161,223 Dec-23 3.93 % 1.5 1,358,294 1,358,294 1,358,294 0.7 1,252,660 Agency RMBS (D) 7,040,807 7,040,807 Jul-22 to Sep-22 1.18 % 0.1 7,994,763 8,216,954 7,061,674 9.6 8,386,538 Non-Agency RMBS (E) 621,058 621,058 Jul-22 to Oct-23 3.73 % 0.1 13,777,282 886,905 884,604 3.7 656,874 SFR properties (E) 235,487 235,487 Dec-22 3.15 % 0.5 N/A 330,159 330,159 N/A 158,515 Total Secured Financing Agreements 13,969,519 13,967,234 2.21 % 0.4 20,592,884 Secured Notes and Bonds Payable Excess MSRs (G) 228,497 228,497 Aug-25 3.74 % 3.1 73,121,546 265,354 329,535 6.8 237,835 MSRs (H) 4,666,798 4,657,497 Dec-22 to Dec-26 4.60 % 2.7 527,279,143 6,414,614 8,279,291 7.5 4,234,771 Servicer Advance Investments (I) 322,735 321,891 Aug-22 to Mar-24 1.22 % 0.5 341,328 365,677 379,901 7.5 355,722 Servicer Advances (I) 2,174,064 2,169,295 Aug-22 to Nov-24 3.08 % 1.2 2,590,339 2,560,696 2,560,696 0.7 2,355,969 Residential Mortgage Loans (J) 772,887 772,998 Mar-24 to Jul-43 2.17 % 2.4 791,041 796,987 796,987 26.8 802,526 Consumer Loans (K) 384,596 357,663 Sep-37 2.07 % 8.0 380,549 393,138 423,704 3.3 458,580 SFR Properties 497,303 496,771 Mar-23 to Jun-27 3.59 % 3.6 N/A 542,385 542,385 N/A 199,407 Mortgage Loans Receivable (L) 324,062 317,414 Dec-26 4.43 % 4.5 352,867 352,867 352,867 0.7 — Total Secured Notes and Bonds Payable 9,370,942 9,322,026 3.75 % 2.6 8,644,810 Total/ Weighted Average $ 23,340,461 $ 23,289,260 2.84 % 1.3 $ 29,237,694 (A) Net of deferred financing costs. (B) All debt obligations with a stated maturity through the date of issuance were refinanced, extended or repaid. (C) Includes approximately $23.5 million of associated accrued interest payable as of June 30, 2022. (D) All fixed interest rates. (E) All LIBOR-based floating interest rates. (F) Includes $227.9 million which bear interest at a fixed rate of 4.0% with the remaining having LIBOR-based floating interest rates. (G) Includes $228.5 million of corporate loans which bear interest at a fixed rate of 3.7%. (H) Includes $2.6 billion of MSR notes which bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or SOFR, and (ii) a margin ranging from 2.5% to 3.5%; and $2.0 billion of capital market notes with fixed interest rates ranging 3.0% to 5.4%. The outstanding face amount of the collateral represents the UPB of the residential mortgage loans underlying the MSRs and MSR Financing Receivables securing these notes. (I) $1.7 billion face amount of the notes have a fixed rate while the remaining notes bear interest equal to the sum of (i) a floating rate index equal to one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin ranging from 1.1% to 3.5%. Collateral includes Servicer Advance Investments, as well as servicer advances receivable related to the mortgage servicing rights and MSR financing receivables owned by NRM. (J) Represents (i) $22.9 million of SAFT 2013-1 mortgage-backed securities issued with fixed interest rate of 3.8%, and (ii) $750.0 million securitization backed by a revolving warehouse facility to finance newly originated first-lien, fixed- and adjustable-rate residential mortgage loans which bears interest equal to one-month LIBOR plus 1.1%. (K) Includes the SpringCastle debt, which is primarily composed of the following classes of asset-backed notes held by third parties: $331.6 million UPB of Class A notes with a coupon of 2.0% and a stated maturity date in September 2037 and $53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity date in September 2037 (collectively, “SCFT 2020-A”). (L) Reflects the 2022-RTL1 Securitization. Refer to Note 20 for details. The following table summarizes activities related to the carrying value of debt obligations: Excess MSRs MSRs Servicer Advances (A) Real Estate Securities Residential Mortgage Loans and REO Consumer Loans SFR Properties Mortgage Loans Receivable Total Balance at December 31, 2021 $ 237,835 $ 4,234,771 $ 2,711,691 $ 9,043,412 $ 10,940,823 $ 458,580 $ 357,922 $ 1,252,660 $ 29,237,694 Secured Financing Agreements Borrowings — — — 21,936,667 49,939,478 — 188,390 867,224 72,931,759 Repayments — — — (23,318,214) (55,170,640) — (111,418) (958,661) (79,558,933) Capitalized deferred financing costs, net of amortization — — — — 1,524 — — — 1,524 Secured Notes and Bonds Payable Borrowings — 915,000 1,296,071 — — — 394,816 324,062 2,929,949 Repayments (9,338) (493,604) (1,517,932) — (31,996) (69,946) (97,226) — (2,220,042) Unrealized gain on notes, fair value — — — — 2,468 (30,971) — (6,648) (35,151) Capitalized deferred financing costs, net of amortization — 1,330 1,356 — — — (226) — 2,460 Balance at June 30, 2022 $ 228,497 $ 4,657,497 $ 2,491,186 $ 7,661,865 $ 5,681,657 $ 357,663 $ 732,258 $ 1,478,637 $ 23,289,260 (A) Rithm Capital net settles daily borrowings and repayments of the Secured Notes and Bonds Payable on its servicer advances. |
Schedule of Contractual Maturities of Debt Obligations | Contractual maturities of debt obligations as of June 30, 2022 are as follows: Year Ending Nonrecourse (A) Recourse (B) Total July 1 through December 31, 2022 $ 506,597 $ 9,299,334 $ 9,805,931 2023 1,299,437 5,529,828 6,829,265 2024 1,239,059 1,533,468 2,772,527 2025 — 1,879,018 1,879,018 2026 324,062 1,514,224 1,838,286 2027 and thereafter 765,314 — 765,314 $ 4,134,469 $ 19,755,872 $ 23,890,341 (A) Includes secured notes and bonds payable of $4.1 billion. (B) Includes secured financing agreements and secured notes and bonds payable of $14.0 billion and $5.8 billion, respectively. |
Schedule of Borrowing Capacity | The following table represents borrowing capacity as of June 30, 2022: Debt Obligations / Collateral Borrowing Capacity Balance Outstanding Available Financing (A) Secured Financing Agreements Residential mortgage loans and REO $ 6,844,837 $ 3,044,826 $ 3,800,011 Loan originations 16,836,159 4,012,828 12,823,331 Secured Notes and Bonds Payable Excess MSRs 286,380 228,497 57,883 MSRs 5,870,641 4,666,798 1,203,843 Servicer advances 3,911,341 2,496,799 1,414,542 Residential mortgage loans 290,714 230,189 60,526 $ 34,040,072 $ 14,679,937 $ 19,360,136 |
Schedule of Debt Redemption | The 2025 Senior Notes mature on October 15, 2025 and the Company may redeem some or all of the 2025 Senior Notes at the Company’s option, at any time from time to time, on or after October 15, 2022 at a price equal to the following fixed redemption prices (expressed as a percentage of principal amount of the 2025 Senior Notes to be redeemed): Year Price 2022 103.125% 2023 101.563% 2024 and thereafter 100.000% |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of June 30, 2022 were as follows: Fair Value Principal Balance or Notional Amount Carrying Value Level 1 Level 2 Level 3 Total Assets Excess MSRs (A) $ 73,121,546 $ 337,050 $ — $ — $ 337,050 $ 337,050 MSRs and MSR financing receivables (A) 548,095,165 8,626,409 — — 8,626,409 8,626,409 Servicer advance investments 341,328 379,901 — — 379,901 379,901 Real estate and other securities 25,301,502 7,988,802 — 7,064,068 924,734 7,988,802 Residential mortgage loans, held-for-sale 131,937 117,053 — — 118,299 118,299 Residential mortgage loans, held-for-sale, at fair value 5,388,033 5,293,937 — 4,736,171 557,766 5,293,937 Residential mortgage loans, held-for-investment, at fair value 576,750 510,744 — — 510,744 510,744 Residential mortgage loans subject to repurchase 1,758,509 1,758,509 — 1,758,509 — 1,758,509 Consumer loans 380,603 423,735 — — 423,735 423,735 Mortgage loans receivable (B) 1,756,079 1,756,079 — 352,867 1,403,212 1,756,079 Notes receivable 61,785 52,692 — — 52,692 52,692 Loans receivable 164,321 164,901 — — 164,901 164,901 Cash, cash equivalents and restricted cash 1,944,808 1,944,808 1,944,808 — — 1,944,808 Other assets (C) N/A 28,965 1,754 — 27,211 28,965 Derivative assets 34,903,771 194,507 — 120,723 73,784 194,507 $ 29,578,092 $ 1,946,562 $ 14,032,338 $ 13,600,438 $ 29,579,338 Liabilities Secured financing agreements $ 13,969,519 $ 13,967,234 $ — $ 13,967,234 $ — $ 13,967,234 Secured notes and bonds payable (D) 9,370,942 9,322,026 — 1,074,062 8,447,185 9,521,247 Unsecured senior notes, net of issuance costs 544,167 544,167 — — 478,841 478,841 Residential mortgage loan repurchase liability 1,758,509 1,758,509 — 1,758,509 — 1,758,509 Derivative liabilities 4,487,083 57,224 — 45,014 12,210 57,224 $ 25,649,160 $ — $ 16,844,819 $ 8,938,236 $ 25,783,055 (A) The notional amount represents the total unpaid principal balance of the residential mortgage loans underlying the MSRs, MSR financing receivables and Excess MSRs. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B) Includes Rithm Capital’s economic interests in the VIEs consolidated and accounted for under the collateralized financing entity (“CFE”) election. As of June 30, 2022, the fair value of Rithm Capital’s interests in the mortgage loans receivable securitization was $40.0 million. (C) Excludes the indirect equity investment in a commercial redevelopment project that is accounted for at fair value on a recurring basis based on the NAV of Rithm Capital’s investment. The investment had a fair value of $28.5 million as of June 30, 2022. (D) Includes SAFT 2013-1, SCFT 2020-A and 2022-RTL1 mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $698.1 million as of June 30, 2022. |
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | The following table summarizes assets measured at fair value on a recurring basis using Level 3 inputs: Level 3 Excess MSRs (A)(B) MSRs and MSR Financing Receivables (A) Servicer Advance Investments Non-Agency RMBS Derivatives (C) Residential Mortgage Loans Consumer Loans Notes and Loans Receivable Mortgage Loans Receivable Total Balance at December 31, 2021 $ 344,947 $ 6,858,803 $ 421,807 $ 951,942 $ 111,778 $ 2,423,337 $ 507,291 $ 290,180 $ 1,515,762 $ 13,425,847 Transfers Transfers from Level 3 — — — — — (776,774) — (1,000) (405,286) (1,183,060) Transfers to Level 3 — — — — — — — — — Gain (loss) included in net income Credit losses on securities (D) — — — (776) — — — — (776) Change in fair value of excess MSRs (D) (1,564) — — — — — — — (1,564) Change in fair value of excess MSRs, equity method investees (D) 1,859 — — — — — — — 1,859 Servicing revenue, net (E) Included in servicing revenue (E) — 981,581 — — — — — — 981,581 Change in fair value of: Servicer advance investments — — (1,797) — — — — — (1,797) Residential mortgage loans — — — — — (132,397) — (132,397) Consumer loans — — — — — — (20,964) — (20,964) Gain (loss) on settlement of investments, net 37 — — (1,560) — — — — (43,868) (45,391) Other income (loss), net (D) — — — (36,803) (50,204) (2,734) — (9,628) (99,369) Gains (losses) included in OCI (F) — — — (25,620) — — — (25,620) Interest income 20,605 — 6,854 5,818 — — 7,695 6,792 47,764 Purchases, sales and repayments Purchases, net (G) — (613) 500,000 148,590 — 1,586,374 14,350 — 2,248,701 Proceeds from sales (997) (4,284) — — (1,865,401) — — (1,870,682) Proceeds from repayments (27,837) — (546,963) (116,857) — (162,733) — (68,751) (704,398) (1,627,539) Originations and other — 790,922 — — — (1,162) (84,637) — 1,041,002 1,746,125 Balance at June 30, 2022 $ 337,050 $ 8,626,409 $ 379,901 $ 924,734 $ 61,574 $ 1,068,510 $ 423,735 $ 217,593 $ 1,403,212 $ 13,442,718 (A) Includes the recapture agreement for each respective pool, as applicable. (B) Amounts represent Rithm Capital’s portion of the Excess MSRs held by the respective joint ventures in which Rithm Capital has a 50% interest. (C) For the purpose of this table, the IRLC asset and liability positions are shown net. (D) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (E) The components of Servicing Revenue, Net are disclosed in Note 5. (F) Gain (loss) included in Unrealized Gain (Loss) on Available-for-Sale Securities, Net in the Consolidated Statements of Comprehensive Income. (G) Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. |
Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs | Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows: Level 3 Asset-Backed Securities Issued Balance at December 31, 2021 $ 511,107 Transfers Gains (losses) included in net income Other income (A) (28,503) Purchases, sales and repayments Proceeds from sales — Payments (101,942) Other — Balance at June 30, 2022 $ 380,662 (A) Gain (loss) recorded in earnings during the period are attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period. |
Summary of Measurement Inputs and Valuation Techniques | The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of June 30, 2022: Significant Inputs (A) Prepayment (B) Delinquency (C) Recapture (D) Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) (E) Collateral Weighted Average Maturity (Years) (F) Excess MSRs Directly Held (Note 4) Agency Original Pools 3.3% – 6.0% (4.7%) 0.1% – 6.1% (0.7%) 0.6% – 8.1% (2.1%) 15 – 31 (21) 11 – 20 (18) Recaptured Pools 3.3% – 5.4% (4.3%) 0.1% – 1.4% (0.5%) —% – 7.3% (1.4%) 20 – 27 (23) 18 – 23 (22) 3.3% – 6.0% (4.5%) 0.1% – 6.1% (0.6%) —% – 8.1% (1.8%) 15 – 31 (22) 11 – 23 (20) Non-Agency (G) Mr. Cooper and SLS Serviced: Original Pools 3.1% – 9.1% (5.7%) 1.2% – 8.6% (6.2%) —% – 9.8% (3.2%) 6 – 25 (15) 17 – 29 (23) Recaptured Pools 2.1% – 3.1% (2.5%) 0.1% – 0.2% (0.2%) 0.6% – 5.0% (1.0%) 22 – 25 (23) 21 – 23 (23) 2.1% – 9.1% (5.0%) 0.1% – 8.6% (6.2%) —% – 9.8% (2.7%) 6 – 25 (17) 17 – 29 (23) Total/Weighted Average — Excess MSRs Directly Held 2.1% – 9.1% (4.7%) 0.1% – 8.6% (2.7%) —% – 9.8% (2.2%) 6 – 31 (19) 11 – 29 (21) Excess MSRs Held through Equity Method Investees (Note 4) Agency Original Pools 4.7% – 5.9% (5.3%) 0.5% – 1.2% (0.7%) 1.1% – 3.0% (2.3%) 15 – 25 (19) 16 – 18 (17) Recaptured Pools 4.5% – 4.9% (4.6%) 0.2% – 1.2% (0.7%) 0.7% – 2.5% (1.7%) 21 – 26 (24) 20 – 22 (21) Total/Weighted Average — Excess MSRs Held through Investees 4.5% – 5.9% (4.9%) 0.2% – 1.2% (0.7%) 0.7% – 3.0% (1.9%) 15 – 26 (22) 16 – 22 (20) Total/Weighted Average — Excess MSRs All Pools 2.1% – 9.1% (4.8%) 0.1% – 8.6% (2.0%) —% – 9.8% (2.1%) 6 – 31 (20) 11 – 29 (21) MSRs and MSR Financing Receivables Agency (H) 0.5% – 83.2% (7.4%) 0.1% – 75.0% (1.5%) —% – 60.3% (5.8%) 1 – 100 (29) 0 – 40 (23) Non-Agency (H) 1.8% – 83.3% (7.8%) 0.4% – 66.7% (12.1%) 1.7% – 34.6% (8.8%) 19 – 213 (48) 0 – 31 (24) Ginnie Mae (H) 4.2% – 82.3% (9.6%) 0.1% – 75.0% (7.2%) 2.4% – 14.4% (7.1%) 18 – 82 (40) 0 – 37 (28) Total/Weighted Average — MSRs and MSR Financing Receivables 0.5% – 83.3% (7.9%) 0.1% – 75.0% (3.8%) —% – 60.3% (10.0%) 1 – 213 (33) 0 – 40 (24) (A) Weighted by fair value of the portfolio. (B) Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C) Projected percentage of residential mortgage loans in the pool for which the borrower will miss its mortgage payments. (D) Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable. (E) Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (bps). A weighted average cost of subservicing of $6.10 – $7.00 ($6.70) per loan per month was used to value the agency MSRs. A weighted average cost of subservicing of $7.30 – $15.10 ($10.10) per loan per month was used to value the Non-Agency MSRs, including MSR Financing Receivables. A weighted average cost of subservicing of $8.20 – $8.30 ($8.30) per loan per month was used to value the Ginnie Mae MSRs. (F) Weighted average maturity of the underlying residential mortgage loans in the pool. (G) For certain pools, the Excess MSR will be paid on the total UPB of the mortgage portfolio (including both performing and delinquent loans until REO). For these pools, no delinquency assumption is used. (H) For certain pools, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM. As of June 30, 2022, securities valuation methodology and results are further detailed as follows: Fair Value Asset Type Outstanding Face Amount Amortized Cost Basis Multiple Quotes (A) Single Quote (B) Total Level Agency RMBS $ 7,996,986 $ 8,219,305 $ 7,064,068 $ — $ 7,064,068 2 Non-Agency RMBS (C) 17,304,516 921,858 924,734 — 924,734 3 Total $ 25,301,502 $ 9,141,163 $ 7,988,802 $ — $ 7,988,802 (A) Rithm Capital generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold Rithm Capital the security) for Non-Agency RMBS. Rithm Capital evaluates quotes received and determines one as being most representative of fair value, and does not use an average of the quotes. Even if Rithm Capital receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for Non-Agency RMBS, there is a wide disparity between the quotes Rithm Capital receives. Rithm Capital believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on Rithm Capital’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. Rithm Capital has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. Rithm Capital’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable. The third-party pricing services and brokers engaged by Rithm Capital (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of RMBS. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. Rithm Capital has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, Rithm Capital creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital, and reviewed by its valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 53.0% of Non-Agency RMBS, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of Non-Agency RMBS were not readily available. Fair Value Discount Rate Prepayment Rate (a) CDR (b) Loss Severity (c) Non-Agency RMBS $ 489,732 3.5% – 15.0% (5.2%) 0.0% – 25.0% (8.9%) 0.0% – 12.0% (1.5%) 0.0% – 88.0% (26.3%) (a) Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c) Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance. (B) Rithm Capital was unable to obtain quotations from more than one source on these securities. (C) Includes Rithm Capital’s investments in interest-only notes for which the fair value option for financial instruments was elected. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Acquired loans $ 536,592 4.3% – 7.5% (4.6%) 2.1% – 16.1% (9.4%) 0.2% – 18.8% (1.1%) 4.0% – 57.4% (26.5%) Originated loans 21,174 Residential mortgage loans held-for-sale, at fair value $ 557,766 The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-investment, at fair value classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Residential mortgage loans held-for-investment, at fair value $ 510,744 3.3% – 7.5% (7.3%) 2.1% – 20.0% (7.8%) 0.3% – 18.8% (4.7%) 4.0% – 94.5% (68.4%) The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Consumer loans, held-for-investment, at fair value $ 423,735 0.0% – 8.0% (8.0%) 0.0% – 23.0% (23.0%) 0.0% – 4.0% (4.0%) 0.0% – 52.0% (52.0%) The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing mortgage loans receivable, at fair value, classified as Level 3: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Mortgage loans receivable, at fair value $ 1,403,212 5.5% – 7.5% (6.5%) N/A N/A N/A The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs: Fair Value Loan Funding Probability Fair Value of Initial Servicing Rights (Bps) IRLCs, net $ 61,574 0.0% – 100.0% (80.6%) 2.4 – 417.2 (187.0) The following table summarizes certain information regards the ranges and weighted averages of inputs used in valuing Asset-Backed Securities Issued: Fair Value Discount Rate Prepayment Rate CDR Loss Severity Asset-backed securities issued $ 380,662 3.3% – 5.4% (5.2%) 22.6% – 40.0% (23.6%) 0.3% – 4.0% (3.8%) 20.0% – 92.4% (88.0%) |
Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | Servicer Advance Investments Valuation The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Servicer Advance Investments, including the basic fee component of the related MSRs: Significant Inputs Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans Prepayment Rate (A) Delinquency Mortgage Servicing Amount (B) Discount Rate Collateral Weighted Average Maturity (Years) (C) June 30, 2022 0.9% – 1.8% (1.8%) 4.5% – 6.0% (5.9%) 3.6% – 15.5% (15.2%) 17.4 – 19.8 (19.8) bps 5.2% – 5.7% (5.2%) 22.0 – 22.2 (22.0) (A) Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B) Mortgage servicing amount is net of 10.9 bps which represents the amount Rithm Capital paid its servicers as a monthly servicing fee. (C) Weighted average maturity of the underlying residential mortgage loans in the pool. |
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2022: Fair Value and Carrying Value Discount Rate Weighted Average Life (Years) (A) Prepayment Rate CDR (B) Loss Severity (C) Performing loans $ 57,750 7.0% – 7.0% (7.0%) 4.6 – 5.0 (4.9) 5.6% – 8.7% (6.3%) 2.2% – 4.9% (2.8%) 48.2% – 51.4% (50.6%) Non-performing loans 13,597 7.5% – 7.5% (7.5%) 4.4 – 4.6 (4.6) 2.1% – 2.6% (2.6%) 16.5% – 18.8% (16.5%) 32.6% – 39.6% (34.1%) Total/weighted average $ 71,347 7.1% 4.9 5.6% 5.4% 47.5% (A) The weighted average life is based on the expected timing of the receipt of cash flows. (B) Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on the Consolidated Balance Sheets: The Buyer Shelter Joint Ventures Residential Mortgage Loans Consumer Loan SPVs Servicer Advance Facilities MSR Financing Facilities Mortgage Loans Receivable Total June 30, 2022 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 617,658 $ — $ 617,658 Servicer advance investments, at fair value 367,653 — — — — — — 367,653 Residential mortgage loans, held-for-investment, at fair value — — 26,479 — — — — 26,479 Residential mortgage loans, held-for-sale, at fair value — — 735,235 — — — — 735,235 Consumer loans — — — 423,735 — — — 423,735 Mortgage loans receivable — — — — — — 352,867 352,867 Cash and cash equivalents 36,479 33,372 27,676 — — — — 97,527 Restricted cash 2,092 — 224,940 6,902 — — 4,771 238,705 Servicer advance receivable — — — — 98,331 — — 98,331 Other assets 9 1,347 266,756 5,827 30,253 315,050 87 619,329 Total Assets $ 406,233 $ 34,719 $ 1,281,086 $ 436,464 $ 128,584 $ 932,708 $ 357,725 $ 3,577,519 Liabilities Secured financing agreements (A) $ — $ — $ 451,596 $ — $ — $ — $ — $ 451,596 Secured notes and bonds payable (A) 315,294 — 771,584 357,663 85,949 513,907 317,414 2,361,811 Accrued expenses and other liabilities 929 7,786 38,270 922 41,551 162 309 89,929 Total Liabilities $ 316,223 $ 7,786 $ 1,261,450 $ 358,585 $ 127,500 $ 514,069 $ 317,723 $ 2,903,336 December 31, 2021 Assets Mortgage servicing rights, at fair value $ — $ — $ — $ — $ — $ 403,301 $ — $ 403,301 Servicer advance investments, at fair value 409,475 — — — — — — 409,475 Residential mortgage loans, held-for-investment, at fair value — — 93,226 — — — — 93,226 Residential mortgage loans, held-for-sale, at fair value — — 798,644 — — — — 798,644 Consumer loans — — — 507,291 — — — 507,291 Cash and cash equivalents 33,777 37,369 2,882 — — — — 74,028 Restricted cash 2,210 — 171 7,249 — — — 9,630 Servicer advance receivable — — — — 94,306 — — 94,306 Other assets 9 903 2,902 6,851 24,699 332,521 — 367,885 Total Assets $ 445,471 $ 38,272 $ 897,825 $ 521,391 $ 119,005 $ 735,822 $ — $ 2,757,786 Liabilities Secured financing agreements $ — $ — $ 24,683 $ — $ — $ — $ — $ 24,683 Secured notes and bonds payable (A) 348,670 — 802,526 458,580 93,145 367,871 — 2,070,792 Accrued expenses and other liabilities 806 6,588 10,163 862 27,771 134 — 46,324 Total Liabilities $ 349,476 $ 6,588 $ 837,372 $ 459,442 $ 120,916 $ 368,005 $ — $ 2,141,799 (A) The creditors of the VIEs do not have recourse to the general credit of Rithm Capital, and the assets of the VIEs are not directly available to satisfy Rithm Capital’s obligations. The following table comprises bonds held in unconsolidated VIEs and retained pursuant to required risk retention regulations: As of and for the 2022 2021 Residential mortgage loan UPB and other collateral $ 11,481,471 $ 11,855,823 Weighted average delinquency (A) 3.4 % 5.3 % Net credit losses $ 129,047 $ 105,652 Face amount of debt held by third parties (B) $ 10,584,528 $ 10,929,618 Carrying value of bonds retained by Rithm Capital (C)(D) $ 905,695 $ 1,014,469 Cash flows received by Rithm Capital on these bonds $ 124,942 $ 381,606 (A) Represents the percentage of the UPB that is 60+ days delinquent. (B) Excludes bonds retained by Rithm Capital. (C) Includes bonds retained pursuant to required risk retention regulations. (D) Classified within Level 3 of the fair value hierarchy as the valuation is based on certain unobservable inputs including discount rate, prepayment rates and loss severity. See Note 19 for details on unobservable inputs. |
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | Others’ interests in the equity of consolidated subsidiaries is computed as follows: June 30, 2022 December 31, 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Total consolidated equity $ 90,011 $ 26,933 $ 98,205 $ 95,995 $ 31,684 $ 83,597 Others’ ownership interest 10.7 % 49.5 % 46.5 % 10.7 % 49.5 % 46.5 % Others’ interest in equity of consolidated subsidiary $ 9,613 $ 13,345 $ 46,213 $ 10,251 $ 15,683 $ 39,414 Others’ interests in the net income (loss) is computed as follows: Three Months Ended June 30, 2022 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 380 $ 2,597 $ 27,642 $ (6,817) $ 6,516 $ 18,608 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 49.5 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 41 $ 1,287 $ 12,854 $ (1,825) $ 3,225 $ 8,653 (A) Rithm Capital owned 89.3% and 73.2% of the Buyer as of June 30, 2022 and 2021, respectively. Six Months Ended June 30, 2022 2021 The Buyer (A) Shelter Joint Ventures Consumer Loan Companies The Buyer (A) Shelter Joint Ventures Consumer Loan Companies Net income (loss) $ 2,515 $ 3,419 $ 38,340 $ (1,932) $ 13,639 $ 28,417 Others’ ownership interest 10.7 % 49.5 % 46.5 % 26.8 % 49.5 % 46.5 % Others’ interest in net income of consolidated subsidiary $ 269 $ 1,694 $ 17,828 $ (517) $ 6,750 $ 13,214 (A) Rithm Capital owned 89.3% and 73.2% of the Buyer as of June 30, 2022 and 2021, respectively. |
EQUITY AND EARNINGS PER SHARE (
EQUITY AND EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of Preferred Shares | The table below summarizes preferred shares: Dividends Declared per Share Number of Shares Three Months Ended Six Months Ended Series June 30, 2022 December 31, 2021 Liquidation Preference (A) Issuance Discount Carrying Value (B) 2022 2021 2022 2021 Series A, 7.50% issued July 2019 (C) 6,210 6,210 $ 155,250 3.15 % $ 150,026 $ 0.47 $ 0.47 $ 0.94 $ 0.94 Series B, 7.125% issued August 2019 (C) 11,300 11,300 282,500 3.15 % 273,418 0.45 0.45 0.89 0.89 Series C, 6.375% issued February 2020 (C) 15,928 16,100 398,209 3.15 % 385,734 0.40 0.40 0.80 0.80 Series D, 7.00%, issued September 2021 (D) 18,600 18,600 465,000 3.15 % 449,489 0.44 — 0.88 — Total 52,038 52,210 $ 1,300,959 $ 1,258,667 $ 1.76 $ 1.32 $ 3.51 $ 2.63 (A) Each series has a liquidation preference or par value of $25.00 per share. (B) Carrying value reflects par value less discount and issuance costs. (C) Fixed-to-floating rate cumulative redeemable preferred. (D) Fixed-rate reset cumulative redeemable preferred. |
Schedule of Dividends Declared | Common dividends have been declared as follows: Declaration Date Payment Date Per Share Total Amounts Distributed (millions) Quarterly Dividend March 24, 2021 April 2021 $ 0.20 $ 82.9 June 16, 2021 August 2021 0.20 93.3 August 23, 2021 October 2021 0.25 116.6 December 15, 2021 January 2022 0.25 116.7 March 21, 2022 April 2022 0.25 116.7 June 17, 2022 August 2022 0.25 116.7 |
Schedule of Warrants | The table below summarizes the 2020 Warrants at June 30, 2022: Number of Warrants Weighted Average Exercise Price Outstanding warrants – December 31, 2021 43.4 $ 6.49 Granted — — Exercised — — Expired — — Outstanding warrants – June 30, 2022 43.4 6.30 (A) (A) Reflects a reduction in weighted average exercise price due to anti-dilution adjustments effective for dividends in excess of $0.10 a share. |
Summary of Outstanding Options | As of June 30, 2022, outstanding options were as follows: Held by the Former Manager 19,985,826 Issued to the Former Manager and subsequently assigned to certain of the Former Manager’s employees 1,486,164 Issued to the independent directors 6,000 Total 21,477,990 The following table summarizes outstanding options as of June 30, 2022. The last sales price on the New York Stock Exchange for Rithm Capital’s common stock in the quarter ended June 30, 2022 was $9.32 per share. Recipient Date of Grant/ Exercise (A) Number of Unexercised Options Exercisable as of June 30, 2022 Weighted Average Exercise Price (B) Intrinsic Value of Exercisable Options as of June 30, 2022 (millions) Directors Various 6,000 6,000 $ 12.85 $ — Former Manager (C) 2017 1,130,916 1,130,916 13.43 — Former Manager (C) 2018 5,320,000 5,320,000 16.15 — Former Manager (C) 2019 6,351,000 6,351,000 15.54 — Former Manager (C) 2020 1,619,739 1,295,792 16.88 — Former Manager (C) 2021 7,050,335 2,975,995 9.90 — Outstanding 21,477,990 17,079,703 (A) Options expire on the tenth anniversary from date of grant. (B) The exercise prices are subject to adjustment in connection with return of capital dividends. (C) The Former Manager assigned certain of its options to its employees as follows: Date of Grant to Former Manager Range of Exercise Total Unexercised 2019 $14.61 to $15.84 1,270,200 2020 $16.49 to $16.88 215,964 Total 1,486,164 The following table summarizes activity in outstanding options: Amount Weighted Average Exercise Price Outstanding options – December 31, 2021 21,478,990 $ — Granted — — Exercised — — Expired (1,000) 12.01 Outstanding options – June 30, 2022 21,477,990 See table above |
Schedule of Basic and Diluted Earnings Per Share | The following table summarizes the basic and diluted earnings per share calculations: Three Months Ended Six Months Ended 2022 2021 2022 2021 Net income $ 33,331 $ 145,726 $ 723,262 $ 447,062 Noncontrolling interests in income of consolidated subsidiaries 14,182 10,053 19,791 19,447 Dividends on preferred stock 22,427 14,358 44,888 28,716 Net income (loss) attributable to common stockholders $ (3,278) $ 121,315 $ 658,583 $ 398,899 Basic weighted average shares of common stock outstanding 466,804,548 456,312,486 466,795,119 435,668,683 Dilutive effect of stock options and common stock purchase warrants (A) — 16,416,759 17,698,989 15,560,982 Diluted weighted average shares of common stock outstanding 466,804,548 472,729,245 484,494,108 451,229,665 Basic earnings per share attributable to common stockholders $ (0.01) $ 0.27 $ 1.41 $ 0.92 Diluted earnings per share attributable to common stockholders $ (0.01) $ 0.26 $ 1.36 $ 0.88 (A) Stock options and common stock purchase warrants that could potentially dilute basic earnings per share in the future were not included in the computation of diluted earnings per share for the periods where a loss has been recorded because they would have been anti-dilutive for the period presented. |
Schedule of Antidilutive Securities Excluded from Computation of Earnings Per Share | The Company excluded the following weighted-average potential common shares from the calculation of diluted net income (loss) per share during the applicable periods because their inclusion would have been anti-dilutive: Three Months Ended Six Months Ended 2022 2021 2022 2021 Stock options and common stock purchase warrants 17,757,843 — — — |
TRANSACTIONS WITH AFFILIATES _2
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Transactions With Affiliates And Affiliated Entities | |
Schedule of Affiliate Transactions | The following table summarizes Due to affiliates: June 30, 2022 December 31, 2021 Management fees $ — $ 17,188 Expense reimbursements and other — 631 Total $ — $ 17,819 The following table summarizes affiliate fees and expenses: Three Months Ended Six Months Ended 2022 2021 2022 2021 Management fees $ 20,985 $ 23,677 $ 46,174 $ 45,839 Expense reimbursements (A) 104 125 229 250 Total $ 21,089 $ 23,802 $ 46,403 $ 46,089 (A) Included in General and Administrative expenses in the Consolidated Statements of Income. |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Expense (Benefit) | Income tax expense (benefit) consists of the following: Three Months Ended Six Months Ended 2022 2021 2022 2021 Current: Federal $ (1,199) $ (6,694) $ — $ 4,119 State and local (222) (1,348) 45 868 Total current income tax expense (benefit) (1,421) (8,042) 45 4,987 Deferred: Federal 62,330 5,843 231,566 77,152 State and local 11,781 1,122 43,868 15,043 Total deferred income tax expense 74,111 6,965 275,434 92,195 Total income tax expense (benefit) $ 72,690 $ (1,077) $ 275,479 $ 97,182 |
BUSINESS AND ORGANIZATION - Nar
BUSINESS AND ORGANIZATION - Narrative (Details) $ in Millions | Jun. 17, 2022 USD ($) |
Manager | |
Related Party Transaction [Line Items] | |
Payment for management fee | $ 400 |
SEGMENT REPORTING - Segment Fin
SEGMENT REPORTING - Segment Financial Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||||||||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | ||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | $ 469,478,000 | $ 356,176,000 | $ 925,878,000 | $ 704,460,000 | |||||||
Change in fair value of MSRs and MSR financing receivables | 336,563,000 | (417,983,000) | 911,956,000 | (225,709,000) | |||||||
Servicing revenue, net | 806,041,000 | (61,807,000) | 1,837,834,000 | 478,751,000 | |||||||
Interest income | 211,648,000 | 201,762,000 | 437,061,000 | 402,709,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 304,791,000 | 286,885,000 | 776,787,000 | 690,333,000 | |||||||
Total revenues | 1,322,480,000 | 426,840,000 | 3,051,682,000 | 1,571,793,000 | |||||||
Interest expense and warehouse line fees | 150,829,000 | 106,539,000 | 289,662,000 | 225,444,000 | |||||||
G&A and other | 985,914,000 | [1] | 391,393,000 | 1,649,960,000 | [2] | 776,060,000 | |||||
Total operating expenses | 1,136,743,000 | 497,932,000 | 1,939,622,000 | 1,001,504,000 | |||||||
Change in fair value of investments, net | (234,040,000) | 229,900,000 | (381,159,000) | (9,888,000) | |||||||
Gain (loss) on settlement of investments, net | 94,936,000 | (78,611,000) | 156,120,000 | (90,603,000) | |||||||
Other income (loss), net | 59,388,000 | 64,452,000 | 111,720,000 | 74,446,000 | |||||||
Total other income (loss) | (79,716,000) | 215,741,000 | (113,319,000) | (26,045,000) | |||||||
Income Before Income Taxes | 106,021,000 | 144,649,000 | 998,741,000 | 544,244,000 | |||||||
Income tax expense (benefit) | 72,690,000 | (1,077,000) | 275,479,000 | 97,182,000 | |||||||
Net income | 33,331,000 | 145,726,000 | 723,262,000 | 447,062,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 14,182,000 | 10,053,000 | 19,791,000 | 19,447,000 | |||||||
Dividends on preferred stock | 22,427,000 | 14,358,000 | 44,888,000 | 28,716,000 | |||||||
Net income (loss) attributable to common stockholders - basic | (3,278,000) | 121,315,000 | 658,583,000 | 398,899,000 | |||||||
Investments | 26,360,936,000 | 26,360,936,000 | |||||||||
Cash and cash equivalents | 1,510,848,000 | 1,510,848,000 | |||||||||
Restricted cash | 433,960,000 | 433,960,000 | |||||||||
Other assets | 6,162,904,000 | 6,162,904,000 | |||||||||
Goodwill | 85,199,000 | 85,199,000 | $ 85,199,000 | ||||||||
Total assets | 34,553,847,000 | 34,553,847,000 | 39,742,190,000 | ||||||||
Debt | 23,833,427,000 | 23,833,427,000 | |||||||||
Other liabilities | 3,657,422,000 | 3,657,422,000 | |||||||||
Total liabilities | 27,490,849,000 | 27,490,849,000 | 33,072,810,000 | ||||||||
Total equity | 7,062,998,000 | 6,166,151,000 | 7,062,998,000 | 6,166,151,000 | $ 7,184,712,000 | 6,669,380,000 | $ 5,621,813,000 | $ 5,429,684,000 | |||
Noncontrolling interests in equity of consolidated subsidiaries | [3] | 69,171,000 | 69,171,000 | 65,348,000 | |||||||
Total Rithm Capital stockholders’ equity | 6,993,827,000 | 6,993,827,000 | 6,604,032,000 | ||||||||
Investments in equity method investees | 80,834,000 | 80,834,000 | |||||||||
Restructuring charges | 0 | 0 | |||||||||
Origination | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Investments | 3,349,312,000 | 3,349,312,000 | |||||||||
Cash and cash equivalents | 170,412,000 | 170,412,000 | |||||||||
Restricted cash | 252,894,000 | 252,894,000 | |||||||||
Other assets | 669,315,000 | 669,315,000 | |||||||||
Goodwill | 11,836,000 | 11,836,000 | 11,836,000 | ||||||||
Total assets | 4,453,769,000 | 4,453,769,000 | |||||||||
Debt | 3,421,076,000 | 3,421,076,000 | |||||||||
Other liabilities | 363,425,000 | 363,425,000 | |||||||||
Total liabilities | 3,784,501,000 | 3,784,501,000 | |||||||||
Total equity | 669,268,000 | 669,268,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 13,345,000 | 13,345,000 | |||||||||
Total Rithm Capital stockholders’ equity | 655,923,000 | 655,923,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Servicing | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing revenue, net | 709,591,000 | (5,445,000) | 1,555,313,000 | 361,459,000 | |||||||
Investments | 7,156,949,000 | 7,156,949,000 | |||||||||
Cash and cash equivalents | 653,879,000 | 653,879,000 | |||||||||
Restricted cash | 75,715,000 | 75,715,000 | |||||||||
Other assets | 2,343,393,000 | 2,343,393,000 | |||||||||
Goodwill | 12,540,000 | 12,540,000 | 12,540,000 | ||||||||
Total assets | 10,242,476,000 | 10,242,476,000 | |||||||||
Debt | 4,650,100,000 | 4,650,100,000 | |||||||||
Other liabilities | 2,424,304,000 | 2,424,304,000 | |||||||||
Total liabilities | 7,074,404,000 | 7,074,404,000 | |||||||||
Total equity | 3,168,072,000 | 3,168,072,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||||||||
Total Rithm Capital stockholders’ equity | 3,168,072,000 | 3,168,072,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
MSR Related Investments | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Investments | 2,864,161,000 | 2,864,161,000 | |||||||||
Cash and cash equivalents | 247,676,000 | 247,676,000 | |||||||||
Restricted cash | 55,989,000 | 55,989,000 | |||||||||
Other assets | 2,325,958,000 | 2,325,958,000 | |||||||||
Goodwill | 5,092,000 | 5,092,000 | $ 5,092,000 | ||||||||
Total assets | 5,498,876,000 | 5,498,876,000 | |||||||||
Debt | 3,341,447,000 | 3,341,447,000 | |||||||||
Other liabilities | 150,330,000 | 150,330,000 | |||||||||
Total liabilities | 3,491,777,000 | 3,491,777,000 | |||||||||
Total equity | 2,007,099,000 | 2,007,099,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 9,613,000 | 9,613,000 | |||||||||
Total Rithm Capital stockholders’ equity | 1,997,486,000 | 1,997,486,000 | |||||||||
Investments in equity method investees | 80,834,000 | 80,834,000 | |||||||||
Origination and Servicing | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 469,478,000 | 356,176,000 | 704,460,000 | ||||||||
Change in fair value of MSRs and MSR financing receivables | 336,563,000 | (417,983,000) | (225,709,000) | ||||||||
Servicing revenue, net | 806,041,000 | (61,807,000) | 478,751,000 | ||||||||
Interest income | 74,313,000 | 45,578,000 | 94,887,000 | ||||||||
Mortgage loans originated and purchased for sale, net of fees | 318,455,000 | 273,697,000 | 650,599,000 | ||||||||
Total revenues | 1,198,809,000 | 257,468,000 | 2,784,458,000 | 1,224,237,000 | |||||||
Interest expense and warehouse line fees | 94,462,000 | 63,564,000 | 133,529,000 | ||||||||
G&A and other | 525,228,000 | [1] | 337,631,000 | 1,114,776,000 | [2] | 673,285,000 | |||||
Total operating expenses | 619,690,000 | 401,195,000 | 1,298,744,000 | 806,814,000 | |||||||
Change in fair value of investments, net | (1,873,000) | (9,281,000) | (3,314,000) | (11,105,000) | |||||||
Gain (loss) on settlement of investments, net | (1,829,000) | (739,000) | (4,343,000) | (13,816,000) | |||||||
Other income (loss), net | 18,319,000 | 7,798,000 | 50,238,000 | 16,333,000 | |||||||
Total other income (loss) | 14,617,000 | (2,222,000) | 42,581,000 | (8,588,000) | |||||||
Income Before Income Taxes | 593,736,000 | (145,949,000) | 1,528,295,000 | 408,835,000 | |||||||
Income tax expense (benefit) | 154,180,000 | (18,386,000) | 353,275,000 | 64,511,000 | |||||||
Net income | 439,556,000 | (127,563,000) | 1,175,020,000 | 344,324,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 1,328,000 | 1,400,000 | 1,963,000 | 6,233,000 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 438,228,000 | (128,963,000) | 1,173,057,000 | 338,091,000 | |||||||
Investments | 13,370,422,000 | 13,370,422,000 | |||||||||
Cash and cash equivalents | 1,071,967,000 | 1,071,967,000 | |||||||||
Restricted cash | 384,598,000 | 384,598,000 | |||||||||
Other assets | 5,338,666,000 | 5,338,666,000 | |||||||||
Goodwill | 29,468,000 | 29,468,000 | |||||||||
Total assets | 20,195,121,000 | 20,195,121,000 | |||||||||
Debt | 11,412,623,000 | 11,412,623,000 | |||||||||
Other liabilities | 2,938,059,000 | 2,938,059,000 | |||||||||
Total liabilities | 14,350,682,000 | 14,350,682,000 | |||||||||
Total equity | 5,844,439,000 | 5,844,439,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 22,958,000 | 22,958,000 | |||||||||
Total Rithm Capital stockholders’ equity | 5,821,481,000 | 5,821,481,000 | |||||||||
Investments in equity method investees | 80,834,000 | 80,834,000 | |||||||||
Residential Securities, Properties and Loans | Real Estate Securities | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | 0 | 0 | 0 | |||||||
Interest income | 54,584,000 | 97,960,000 | 110,933,000 | 187,810,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 0 | (3,638,000) | 0 | 9,760,000 | |||||||
Total revenues | 54,584,000 | 94,322,000 | 110,933,000 | 197,570,000 | |||||||
Interest expense and warehouse line fees | 20,216,000 | 13,630,000 | 29,245,000 | 29,350,000 | |||||||
G&A and other | 710,000 | [1] | 1,034,000 | 1,482,000 | [2] | 2,190,000 | |||||
Total operating expenses | 20,926,000 | 14,664,000 | 30,727,000 | 31,540,000 | |||||||
Change in fair value of investments, net | (241,213,000) | 119,565,000 | (367,162,000) | (172,569,000) | |||||||
Gain (loss) on settlement of investments, net | 117,179,000 | (76,270,000) | 166,599,000 | (104,626,000) | |||||||
Other income (loss), net | (2,127,000) | 1,756,000 | (4,727,000) | 964,000 | |||||||
Total other income (loss) | (126,161,000) | 45,051,000 | (205,290,000) | (276,231,000) | |||||||
Income Before Income Taxes | (92,503,000) | 124,709,000 | (125,084,000) | (110,201,000) | |||||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | |||||||
Net income | (92,503,000) | 124,709,000 | (125,084,000) | (110,201,000) | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | (92,503,000) | 124,709,000 | (125,084,000) | (110,201,000) | |||||||
Investments | 7,988,802,000 | 7,988,802,000 | |||||||||
Cash and cash equivalents | 317,818,000 | 317,818,000 | |||||||||
Restricted cash | 10,610,000 | 10,610,000 | |||||||||
Other assets | 176,823,000 | 176,823,000 | |||||||||
Goodwill | 0 | 0 | |||||||||
Total assets | 8,494,053,000 | 8,494,053,000 | |||||||||
Debt | 7,660,612,000 | 7,660,612,000 | |||||||||
Other liabilities | 10,932,000 | 10,932,000 | |||||||||
Total liabilities | 7,671,544,000 | 7,671,544,000 | |||||||||
Total equity | 822,509,000 | 822,509,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||||||||
Total Rithm Capital stockholders’ equity | 822,509,000 | 822,509,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Residential Securities, Properties and Loans | Properties and Residential Mortgage Loans | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | 0 | 0 | 0 | |||||||
Interest income | 22,640,000 | 33,294,000 | 49,629,000 | 69,616,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | (13,664,000) | 16,826,000 | (13,098,000) | 29,974,000 | |||||||
Total revenues | 8,976,000 | 50,120,000 | 36,531,000 | 99,590,000 | |||||||
Interest expense and warehouse line fees | 11,332,000 | 17,463,000 | 32,200,000 | 38,739,000 | |||||||
G&A and other | 11,891,000 | [1] | 20,968,000 | 35,325,000 | [2] | 38,654,000 | |||||
Total operating expenses | 23,223,000 | 38,431,000 | 67,525,000 | 77,393,000 | |||||||
Change in fair value of investments, net | 11,399,000 | 121,242,000 | (21,349,000) | 181,416,000 | |||||||
Gain (loss) on settlement of investments, net | (4,798,000) | (1,254,000) | 40,114,000 | 28,187,000 | |||||||
Other income (loss), net | 29,471,000 | 50,858,000 | 43,787,000 | 55,945,000 | |||||||
Total other income (loss) | 36,072,000 | 170,846,000 | 62,552,000 | 265,548,000 | |||||||
Income Before Income Taxes | 21,825,000 | 182,535,000 | 31,558,000 | 287,745,000 | |||||||
Income tax expense (benefit) | (2,480,000) | 17,288,000 | 1,177,000 | 32,591,000 | |||||||
Net income | 24,305,000 | 165,247,000 | 30,381,000 | 255,154,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 24,305,000 | 165,247,000 | 30,381,000 | 255,154,000 | |||||||
Investments | 2,821,898,000 | 2,821,898,000 | |||||||||
Cash and cash equivalents | 1,529,000 | 1,529,000 | |||||||||
Restricted cash | 3,672,000 | 3,672,000 | |||||||||
Other assets | 212,571,000 | 212,571,000 | |||||||||
Goodwill | 0 | 0 | |||||||||
Total assets | 3,039,670,000 | 3,039,670,000 | |||||||||
Debt | 2,319,649,000 | 2,319,649,000 | |||||||||
Other liabilities | 339,357,000 | 339,357,000 | |||||||||
Total liabilities | 2,659,006,000 | 2,659,006,000 | |||||||||
Total equity | 380,664,000 | 380,664,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||||||||
Total Rithm Capital stockholders’ equity | 380,664,000 | 380,664,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Consumer Loans | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | 0 | 0 | 0 | |||||||
Interest income | 18,109,000 | 24,930,000 | 37,042,000 | 50,396,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 0 | 0 | 0 | 0 | |||||||
Total revenues | 18,109,000 | 24,930,000 | 37,042,000 | 50,396,000 | |||||||
Interest expense and warehouse line fees | 2,088,000 | 2,873,000 | 4,350,000 | 5,891,000 | |||||||
G&A and other | 2,160,000 | [1] | 2,912,000 | 4,414,000 | [2] | 5,948,000 | |||||
Total operating expenses | 4,248,000 | 5,785,000 | 8,764,000 | 11,839,000 | |||||||
Change in fair value of investments, net | (7,196,000) | (1,626,000) | (20,929,000) | (7,630,000) | |||||||
Gain (loss) on settlement of investments, net | 0 | 0 | 0 | 0 | |||||||
Other income (loss), net | 15,725,000 | 2,367,000 | 24,497,000 | 160,000 | |||||||
Total other income (loss) | 8,529,000 | 741,000 | 3,568,000 | (7,470,000) | |||||||
Income Before Income Taxes | 22,390,000 | 19,886,000 | 31,846,000 | 31,087,000 | |||||||
Income tax expense (benefit) | 1,000 | 21,000 | 38,000 | 80,000 | |||||||
Net income | 22,389,000 | 19,865,000 | 31,808,000 | 31,007,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 12,854,000 | 8,653,000 | 17,828,000 | 13,214,000 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 9,535,000 | 11,212,000 | 13,980,000 | 17,793,000 | |||||||
Investments | 423,735,000 | 423,735,000 | |||||||||
Cash and cash equivalents | 1,730,000 | 1,730,000 | |||||||||
Restricted cash | 19,748,000 | 19,748,000 | |||||||||
Other assets | 32,837,000 | 32,837,000 | |||||||||
Goodwill | 0 | 0 | |||||||||
Total assets | 478,050,000 | 478,050,000 | |||||||||
Debt | 357,663,000 | 357,663,000 | |||||||||
Other liabilities | 998,000 | 998,000 | |||||||||
Total liabilities | 358,661,000 | 358,661,000 | |||||||||
Total equity | 119,389,000 | 119,389,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 46,213,000 | 46,213,000 | |||||||||
Total Rithm Capital stockholders’ equity | 73,176,000 | 73,176,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Mortgage Loans Receivable | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | 0 | 0 | 0 | |||||||
Interest income | 36,748,000 | 0 | 71,025,000 | 0 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 0 | 0 | 0 | 0 | |||||||
Total revenues | 36,748,000 | 0 | 71,025,000 | 0 | |||||||
Interest expense and warehouse line fees | 12,680,000 | 0 | 19,649,000 | 0 | |||||||
G&A and other | 14,600,000 | [1] | 0 | 31,008,000 | [2] | 0 | |||||
Total operating expenses | 27,280,000 | 0 | 50,657,000 | 0 | |||||||
Change in fair value of investments, net | 4,843,000 | 0 | 31,595,000 | 0 | |||||||
Gain (loss) on settlement of investments, net | (15,616,000) | 0 | (46,250,000) | 0 | |||||||
Other income (loss), net | 7,430,000 | 0 | 7,430,000 | 0 | |||||||
Total other income (loss) | (3,343,000) | 0 | (7,225,000) | 0 | |||||||
Income Before Income Taxes | 6,125,000 | 0 | 13,143,000 | 0 | |||||||
Income tax expense (benefit) | (3,623,000) | 0 | (3,623,000) | 0 | |||||||
Net income | 9,748,000 | 0 | 16,766,000 | 0 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 9,748,000 | 0 | 16,766,000 | 0 | |||||||
Investments | 1,756,079,000 | 1,756,079,000 | |||||||||
Cash and cash equivalents | 34,353,000 | 34,353,000 | |||||||||
Restricted cash | 15,332,000 | 15,332,000 | |||||||||
Other assets | 164,169,000 | 164,169,000 | |||||||||
Goodwill | 55,731,000 | 55,731,000 | |||||||||
Total assets | 2,025,664,000 | 2,025,664,000 | |||||||||
Debt | 1,478,636,000 | 1,478,636,000 | |||||||||
Other liabilities | 21,588,000 | 21,588,000 | |||||||||
Total liabilities | 1,500,224,000 | 1,500,224,000 | |||||||||
Total equity | 525,440,000 | 525,440,000 | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||||||||
Total Rithm Capital stockholders’ equity | 525,440,000 | 525,440,000 | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Corporate | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | 0 | 0 | 0 | |||||||
Interest income | 5,254,000 | 0 | 11,693,000 | 0 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 0 | 0 | 0 | 0 | |||||||
Total revenues | 5,254,000 | 0 | 11,693,000 | 0 | |||||||
Interest expense and warehouse line fees | 10,051,000 | 9,009,000 | 20,250,000 | 17,935,000 | |||||||
G&A and other | 431,325,000 | [1] | 28,848,000 | 462,955,000 | [2] | 55,983,000 | |||||
Total operating expenses | 441,376,000 | 37,857,000 | 483,205,000 | 73,918,000 | |||||||
Change in fair value of investments, net | 0 | 0 | 0 | 0 | |||||||
Gain (loss) on settlement of investments, net | 0 | (348,000) | 0 | (348,000) | |||||||
Other income (loss), net | (9,430,000) | 1,673,000 | (9,505,000) | 1,044,000 | |||||||
Total other income (loss) | (9,430,000) | 1,325,000 | (9,505,000) | 696,000 | |||||||
Income Before Income Taxes | (445,552,000) | (36,532,000) | (481,017,000) | (73,222,000) | |||||||
Income tax expense (benefit) | (75,388,000) | 0 | (75,388,000) | 0 | |||||||
Net income | (370,164,000) | (36,532,000) | (405,629,000) | (73,222,000) | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | |||||||
Dividends on preferred stock | 22,427,000 | 14,358,000 | 44,888,000 | 28,716,000 | |||||||
Net income (loss) attributable to common stockholders - basic | (392,591,000) | (50,890,000) | (450,517,000) | (101,938,000) | |||||||
Investments | 0 | 0 | |||||||||
Cash and cash equivalents | 83,451,000 | 83,451,000 | |||||||||
Restricted cash | 0 | 0 | |||||||||
Other assets | 237,838,000 | 237,838,000 | |||||||||
Goodwill | 0 | 0 | |||||||||
Total assets | 321,289,000 | 321,289,000 | |||||||||
Debt | 604,244,000 | 604,244,000 | |||||||||
Other liabilities | 346,488,000 | 346,488,000 | |||||||||
Total liabilities | 950,732,000 | 950,732,000 | |||||||||
Total equity | (629,443,000) | (629,443,000) | |||||||||
Noncontrolling interests in equity of consolidated subsidiaries | 0 | 0 | |||||||||
Total Rithm Capital stockholders’ equity | (629,443,000) | (629,443,000) | |||||||||
Investments in equity method investees | 0 | 0 | |||||||||
Restructuring charges | 400,000,000 | 400,000,000 | |||||||||
Operating | Origination | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 0 | (5,077,000) | 0 | (13,187,000) | |||||||
Change in fair value of MSRs and MSR financing receivables | 0 | 0 | 0 | 0 | |||||||
Servicing revenue, net | 0 | (5,077,000) | 0 | (13,187,000) | |||||||
Interest income | 46,216,000 | 31,262,000 | 101,587,000 | 54,114,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 302,610,000 | 268,539,000 | 709,879,000 | 652,962,000 | |||||||
Total revenues | 348,826,000 | 294,724,000 | 811,466,000 | 693,889,000 | |||||||
Interest expense and warehouse line fees | 27,578,000 | 18,960,000 | 57,013,000 | 37,023,000 | |||||||
G&A and other | 349,432,000 | [1] | 200,551,000 | 758,190,000 | [2] | 390,477,000 | |||||
Total operating expenses | 377,010,000 | 219,511,000 | 815,203,000 | 427,500,000 | |||||||
Change in fair value of investments, net | 0 | 0 | 0 | 0 | |||||||
Gain (loss) on settlement of investments, net | 0 | 0 | 0 | 0 | |||||||
Other income (loss), net | 1,832,000 | 138,000 | 3,927,000 | 197,000 | |||||||
Total other income (loss) | 1,832,000 | 138,000 | 3,927,000 | 197,000 | |||||||
Income Before Income Taxes | (26,352,000) | 75,351,000 | 190,000 | 266,586,000 | |||||||
Income tax expense (benefit) | (6,522,000) | 19,030,000 | 157,000 | 55,416,000 | |||||||
Net income | (19,830,000) | 56,321,000 | 33,000 | 211,170,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 1,287,000 | 3,225,000 | 1,694,000 | 6,750,000 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | (21,117,000) | 53,096,000 | (1,661,000) | 204,420,000 | |||||||
Operating | Servicing | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 364,698,000 | 219,070,000 | 713,103,000 | 438,623,000 | |||||||
Change in fair value of MSRs and MSR financing receivables | 344,893,000 | (224,515,000) | 842,210,000 | (77,164,000) | |||||||
Servicing revenue, net | 709,591,000 | (5,445,000) | 1,555,313,000 | 361,459,000 | |||||||
Interest income | 16,757,000 | 11,316,000 | 28,110,000 | 16,189,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 15,739,000 | 12,794,000 | 77,501,000 | 24,811,000 | |||||||
Total revenues | 742,087,000 | 18,665,000 | 1,660,924,000 | 402,459,000 | |||||||
Interest expense and warehouse line fees | 41,096,000 | 18,643,000 | 74,802,000 | 41,743,000 | |||||||
G&A and other | 120,395,000 | [1] | 86,956,000 | 245,175,000 | [2] | 177,563,000 | |||||
Total operating expenses | 161,491,000 | 105,599,000 | 319,977,000 | 219,306,000 | |||||||
Change in fair value of investments, net | (1,780,000) | 0 | (1,812,000) | 0 | |||||||
Gain (loss) on settlement of investments, net | (564,000) | (965,000) | (879,000) | (1,630,000) | |||||||
Other income (loss), net | 207,000 | 0 | 1,088,000 | 1,092,000 | |||||||
Total other income (loss) | (2,137,000) | (965,000) | (1,603,000) | (538,000) | |||||||
Income Before Income Taxes | 578,459,000 | (87,899,000) | 1,339,344,000 | 182,615,000 | |||||||
Income tax expense (benefit) | 151,236,000 | (16,035,000) | 312,155,000 | 17,639,000 | |||||||
Net income | 427,223,000 | (71,864,000) | 1,027,189,000 | 164,976,000 | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 0 | 0 | 0 | 0 | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 427,223,000 | (71,864,000) | 1,027,189,000 | 164,976,000 | |||||||
Operating | MSR Related Investments | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 104,780,000 | 142,183,000 | 212,775,000 | 279,024,000 | |||||||
Change in fair value of MSRs and MSR financing receivables | (8,330,000) | (193,468,000) | 69,746,000 | (148,545,000) | |||||||
Servicing revenue, net | 96,450,000 | (51,285,000) | 282,521,000 | 130,479,000 | |||||||
Interest income | 11,340,000 | 3,000,000 | 27,042,000 | 24,584,000 | |||||||
Mortgage loans originated and purchased for sale, net of fees | 0 | (56,861,000) | 0 | (64,892,000) | |||||||
Total revenues | 107,790,000 | (105,146,000) | 309,563,000 | 90,171,000 | |||||||
Interest expense and warehouse line fees | 25,788,000 | 25,961,000 | 52,153,000 | 54,763,000 | |||||||
G&A and other | 55,401,000 | [1] | 50,124,000 | 111,411,000 | [2] | 105,245,000 | |||||
Total operating expenses | 81,189,000 | 76,085,000 | 163,564,000 | 160,008,000 | |||||||
Change in fair value of investments, net | (93,000) | (9,281,000) | (1,502,000) | (11,105,000) | |||||||
Gain (loss) on settlement of investments, net | (1,265,000) | 226,000 | (3,464,000) | (12,186,000) | |||||||
Other income (loss), net | 16,280,000 | 7,660,000 | 45,223,000 | 15,044,000 | |||||||
Total other income (loss) | 14,922,000 | (1,395,000) | 40,257,000 | (8,247,000) | |||||||
Income Before Income Taxes | 41,523,000 | (182,626,000) | 186,256,000 | (78,084,000) | |||||||
Income tax expense (benefit) | 9,466,000 | (21,381,000) | 40,963,000 | (8,544,000) | |||||||
Net income | 32,057,000 | (161,245,000) | 145,293,000 | (69,540,000) | |||||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 41,000 | (1,825,000) | 269,000 | (517,000) | |||||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | |||||||
Net income (loss) attributable to common stockholders - basic | 32,016,000 | (159,420,000) | 145,024,000 | (69,023,000) | |||||||
Operating | Origination and Servicing | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 925,878,000 | ||||||||||
Change in fair value of MSRs and MSR financing receivables | 911,956,000 | ||||||||||
Servicing revenue, net | 1,837,834,000 | ||||||||||
Interest income | 156,739,000 | ||||||||||
Mortgage loans originated and purchased for sale, net of fees | 789,885,000 | ||||||||||
Interest expense and warehouse line fees | 183,968,000 | ||||||||||
Eliminations | Origination and Servicing | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Total revenues | $ (100,000) | $ (49,200,000) | $ (2,500,000) | $ (37,700,000) | |||||||
[1]Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details[2]Includes restructuring charge of $400.0 million in connection with the Internalization. Restructuring charges are reflected within the Corporate segment. See Note 25 for details.[3]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
SEGMENT REPORTING - Servicing S
SEGMENT REPORTING - Servicing Segment Revenues (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Segment Reporting Information [Line Items] | ||||
Servicing revenue, net | $ 806,041 | $ (61,807) | $ 1,837,834 | $ 478,751 |
Servicing | ||||
Segment Reporting Information [Line Items] | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 326,764 | 177,176 | 634,916 | 357,843 |
Ancillary and other fees | 37,934 | 41,894 | 78,187 | 80,780 |
Realization of cash flows | (117,680) | (212,793) | (250,956) | (422,062) |
Change in valuation inputs and assumptions and other | 462,573 | (11,722) | 1,093,166 | 344,898 |
Servicing revenue, net | 709,591 | (5,445) | 1,555,313 | 361,459 |
Servicing | MSR assets | ||||
Segment Reporting Information [Line Items] | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 300,676 | 150,605 | 581,786 | 303,083 |
Residential mortgage loan UPB and other collateral | 399,900 | 221,747 | 399,900 | 221,747 |
Servicing | Residential whole loans | ||||
Segment Reporting Information [Line Items] | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 3,019 | 1,163 | 6,408 | 2,240 |
Residential mortgage loan UPB and other collateral | 10,959 | 7,751 | 10,959 | 7,751 |
Servicing | Third party | ||||
Segment Reporting Information [Line Items] | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 23,069 | 25,408 | 46,722 | 52,520 |
Residential mortgage loan UPB and other collateral | $ 87,190 | $ 76,409 | $ 87,190 | $ 76,409 |
EXCESS MORTGAGE SERVICING RIG_3
EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Excess Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Servicing Assets at Fair Value [Line Items] | ||
Rithm Capital’s investment | $ 8,626,409 | $ 6,858,803 |
Excess mortgage servicing rights, at fair value | ||
Servicing Assets at Fair Value [Line Items] | ||
Rithm Capital’s investment | 337,050 | 344,947 |
Excess MSRs | ||
Servicing Assets at Fair Value [Line Items] | ||
Rithm Capital’s investment | 256,216 | 259,198 |
Excess MSR Joint Ventures | ||
Servicing Assets at Fair Value [Line Items] | ||
Rithm Capital’s investment | $ 80,834 | $ 85,749 |
EXCESS MORTGAGE SERVICING RIG_4
EXCESS MORTGAGE SERVICING RIGHTS - Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | $ 6,858,803 |
Ending balance | 8,626,409 |
Excess MSRs | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 259,198 |
Interest income | 20,605 |
Other income | 37 |
Proceeds from repayments | (21,063) |
Proceeds from sales | (997) |
Change in fair value | (1,564) |
Ending balance | 256,216 |
Excess MSRs | Mr. Cooper | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 257,573 |
Interest income | 20,094 |
Other income | 37 |
Proceeds from repayments | (20,909) |
Proceeds from sales | (997) |
Change in fair value | (1,119) |
Ending balance | 254,679 |
Excess MSRs | SLS | |
Carrying Value of Investments in Excess MSRs | |
Beginning balance | 1,625 |
Interest income | 511 |
Other income | 0 |
Proceeds from repayments | (154) |
Proceeds from sales | 0 |
Change in fair value | (445) |
Ending balance | $ 1,537 |
EXCESS MORTGAGE SERVICING RIG_5
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Direct Investments in Excess MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | |||||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||||
Servicer Advance Investments | Servicer Advances | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Residential mortgage loan UPB and other collateral | $ 18,224,076 | $ 18,224,076 | $ 20,314,977 | ||
Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Original and Recaptured Pools | 1,066 | $ (4,211) | (1,564) | $ (8,829) | |
Excess MSRs | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Residential mortgage loan UPB and other collateral | 52,183,103 | $ 52,183,103 | |||
Weighted Average Life (Years) | 6 years 9 months 18 days | ||||
Amortized Cost Basis | 212,819 | $ 212,819 | |||
Carrying Value | 256,216 | 256,216 | 259,198 | ||
Excess MSRs | Agency | Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Residential mortgage loan UPB and other collateral | 24,304,488 | $ 24,304,488 | |||
Weighted Average Life (Years) | 6 years 4 months 24 days | ||||
Amortized Cost Basis | 117,834 | $ 117,834 | |||
Carrying Value | $ 128,793 | $ 128,793 | 131,997 | ||
Excess MSRs | Agency | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 32.50% | 32.50% | |||
Excess MSRs | Agency | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 66.70% | 66.70% | |||
Excess MSRs | Agency | Original and Recaptured Pools | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 53.30% | 53.30% | |||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0% | 0% | |||
Excess MSRs | Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 40% | 40% | |||
Excess MSRs | Agency | Mr. Cooper | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 20% | 20% | |||
Excess MSRs | Agency | Mr. Cooper | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 35% | 35% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Residential mortgage loan UPB and other collateral | $ 27,878,615 | $ 27,878,615 | |||
Weighted Average Life (Years) | 7 years 3 months 18 days | ||||
Amortized Cost Basis | 94,985 | $ 94,985 | |||
Carrying Value | $ 127,423 | $ 127,423 | $ 127,201 | ||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 100% | 100% | |||
Excess MSRs | Non-Agency | Original and Recaptured Pools | Weighted Average | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 59.40% | 59.40% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0% | 0% | |||
Excess MSRs | Non-Agency | Fortress-managed funds | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 50% | 50% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Minimum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 0% | 0% | |||
Excess MSRs | Non-Agency | Mr. Cooper | Original and Recaptured Pools | Maximum | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest in Excess MSR | 33.30% | 33.30% |
EXCESS MORTGAGE SERVICING RIG_6
EXCESS MORTGAGE SERVICING RIGHTS - Narrative (Details) | 6 Months Ended |
Jun. 30, 2022 | |
Excess MSR Joint Ventures | MSRs | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7.80% |
EXCESS MORTGAGE SERVICING RIG_7
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Financial Results of Excess MSR Joint Ventures (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Excess MSR | $ 149,598 | $ 149,598 | $ 152,383 | |||||
Other assets | 161,488 | 161,488 | 105,728 | |||||
Total equity | 7,062,998 | $ 6,166,151 | 7,062,998 | $ 6,166,151 | $ 7,184,712 | 6,669,380 | $ 5,621,813 | $ 5,429,684 |
Rithm Capital’s investment | 8,626,409 | 8,626,409 | 6,858,803 | |||||
Interest income | 410 | (2,919) | 6,077 | 6,239 | ||||
Other income (loss) | (91) | 1,791 | (2,343) | (1,029) | ||||
Expenses | (8) | (8) | (16) | (16) | ||||
Net income | 33,331 | 145,726 | 723,262 | 447,062 | ||||
Excess MSR Joint Ventures | ||||||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Rithm Capital’s investment | $ 80,834 | $ 80,834 | $ 85,749 | |||||
Rithm Capital’s percentage ownership | 50% | 50% | 50% | |||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||||||||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||||||||
Other assets | $ 12,756 | $ 12,756 | $ 19,802 | |||||
Other liabilities | (687) | (687) | (687) | |||||
Total equity | 161,667 | 161,667 | $ 171,498 | |||||
Net income | $ 311 | $ (1,136) | $ 3,718 | $ 5,194 |
EXCESS MORTGAGE SERVICING RIG_8
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Equity Method Investees Changed - Roll Forward (Details) - Recurring Basis $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Increase (Decrease) in Equity Method Investments [Roll Forward] | |
Beginning balance | $ 85,749 |
Distributions of capital from equity method investees | (6,774) |
Change in fair value of investments in equity method investees | 1,859 |
Ending balance | $ 80,834 |
EXCESS MORTGAGE SERVICING RIG_9
EXCESS MORTGAGE SERVICING RIGHTS - Summary of Excess MSRs Made Through Equity Method Investees (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Excess MSR Joint Ventures | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Rithm Capital Interest in Investees | 50% | 50% |
Excess MSR Joint Ventures | Agency | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Rithm Capital Interest in Investees | 50% | |
Excess MSR Joint Ventures | Agency | Agency | ||
Schedule of Investments in Mortgage Servicing Rights [Line Items] | ||
Unpaid Principal Balance | $ 20,938,443 | |
Investee Interest in Excess MSR | 66.70% | |
Rithm Capital Interest in Investees | 50% | |
Amortized Cost Basis | $ 110,896 | |
Carrying Value | $ 149,598 | |
Weighted Average Life (Years) | 6 years 2 months 12 days |
MORTGAGE SERVICING RIGHTS AND_3
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Carrying Value of Investments in MSRs and MSR Financing Receivables (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Activity related to carrying value of investments in mortgage servicing rights [Roll Forward] | |
Beginning balance | $ 6,858,803 |
Purchases, net | (613) |
Originations | 790,922 |
Proceeds from sales | (4,284) |
Realization of cash flows | (380,590) |
Change in valuation inputs and assumptions | 1,359,992 |
(Gain) loss realized | 2,179 |
Ending balance | $ 8,626,409 |
MORTGAGE SERVICING RIGHTS AND_4
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Servicing Fee Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Servicing Asset at Amortized Cost [Line Items] | ||||
Change in fair value of derivative instruments | $ 0 | $ 8,624 | $ 7,189 | $ (199) |
Gain (loss) on settlement of derivative instruments | 232,470 | (49,256) | 279,945 | (76,629) |
Servicing revenue, net | 806,041 | (61,807) | 1,837,834 | 478,751 |
Change in valuation inputs and assumptions | 1,359,992 | |||
Excess Spread Financing | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Realization of cash flows | (1,300) | (2,600) | ||
Change in valuation inputs and assumptions | 200 | 1,600 | ||
MSRs | ||||
Servicing Asset at Amortized Cost [Line Items] | ||||
Servicing fee revenue, net and interest income from MSRs and MSR financing receivables | 434,789 | 311,432 | 856,344 | 619,264 |
Ancillary and other fees | 34,689 | 44,744 | 69,534 | 85,196 |
Servicing fee revenue, net and fees | 469,478 | 356,176 | 925,878 | 704,460 |
Realization of cash flows | (180,265) | (297,778) | (380,590) | (637,448) |
Change in valuation inputs and assumptions | 514,955 | (115,986) | 1,359,992 | 425,980 |
Change in fair value of derivative instruments | 0 | 8,624 | 7,189 | (199) |
(Gain) loss realized | 1,873 | (15,150) | 2,179 | (16,349) |
Gain (loss) on settlement of derivative instruments | 0 | 2,307 | (76,814) | 2,307 |
Servicing revenue, net | $ 806,041 | $ (61,807) | $ 1,837,834 | $ 478,751 |
MORTGAGE SERVICING RIGHTS AND_5
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Investment in MSRs (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2022 | Dec. 31, 2021 | ||
Servicing Asset at Amortized Cost [Line Items] | |||
Weighted Average Life (Years) | 1 year 3 months 18 days | ||
Mortgage servicing rights, at fair value | $ 8,626,409 | $ 6,858,803 | |
Residential mortgage loan repurchase liability | [1] | 1,758,509 | $ 1,787,314 |
Mortgage Servicing Rights and Mortgage Servicing Rights Financing Receivable | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Residential mortgage loan UPB and other collateral | $ 548,095,165 | ||
Weighted Average Life (Years) | 7 years 6 months | ||
Mortgage servicing rights, at fair value | $ 8,626,409 | ||
MSRs | Weighted Average | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Discount rate | 7.50% | ||
MSRs | Minimum | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Discount rate | 7% | ||
MSRs | Maximum | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Discount rate | 9% | ||
Agency | MSRs | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Residential mortgage loan UPB and other collateral | $ 374,752,192 | ||
Weighted Average Life (Years) | 7 years 6 months | ||
Mortgage servicing rights, at fair value | $ 5,845,943 | ||
Non-Agency | MSRs | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Residential mortgage loan UPB and other collateral | $ 57,260,465 | ||
Weighted Average Life (Years) | 7 years 6 months | ||
Mortgage servicing rights, at fair value | $ 808,528 | ||
Ginnie Mae | MSRs | |||
Servicing Asset at Amortized Cost [Line Items] | |||
Residential mortgage loan UPB and other collateral | $ 116,082,508 | ||
Weighted Average Life (Years) | 7 years 4 months 24 days | ||
Mortgage servicing rights, at fair value | $ 1,971,938 | ||
[1]See Note 5 for details. |
MORTGAGE SERVICING RIGHTS AND_6
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Narrative (Details) - USD ($) $ in Thousands | 6 Months Ended | |||||
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Jan. 31, 2018 | Jul. 31, 2017 | ||
Schedule of MSRs [Line Items] | ||||||
Residential mortgage loan repurchase liability | [1] | $ 1,758,509 | $ 1,787,314 | |||
Residential mortgage loans, held-for-sale | 5,410,989 | 11,347,845 | ||||
Reserve for non-recovery advances | 32,454 | $ 32,122 | ||||
Ocwen | Rithm Capital | ||||||
Schedule of MSRs [Line Items] | ||||||
Unpaid principal balance of underlying loans, transferred | 66,700,000 | |||||
Unpaid principal balance of underlying loans, not yet transferred | $ 13,000,000 | |||||
PHH Mortgage Corporation | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 9.50% | |||||
Mr. Cooper | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 8.40% | |||||
LoanCare | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 7.10% | |||||
Valon | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 1.50% | |||||
Flagstar Bank | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 0.30% | |||||
Newrez And Caliber | ||||||
Schedule of MSRs [Line Items] | ||||||
Subservicer percent of UPB | 73.20% | |||||
Ginnie Mae Loans | ||||||
Schedule of MSRs [Line Items] | ||||||
Residential mortgage loans, held-for-sale | $ 900,000 | |||||
Ocwen | ||||||
Schedule of MSRs [Line Items] | ||||||
Residential mortgage loan UPB and other collateral | $ 86,800,000 | $ 110,000,000 | ||||
Mortgage Loans Subserviced | ||||||
Schedule of MSRs [Line Items] | ||||||
Residential mortgage loan UPB and other collateral | 87,200,000 | $ 76,400,000 | ||||
Subservicing revenue | $ 66,100 | $ 84,200 | ||||
[1]See Note 5 for details. |
MORTGAGE SERVICING RIGHTS AND_7
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Summary of the Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - MSRs - Mortgage Loans | Jun. 30, 2022 | Dec. 31, 2021 |
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100% | 100% |
California | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 17.70% | 18.10% |
Florida | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8.60% | 8.60% |
Texas | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.20% | 6.20% |
New York | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.10% | 6% |
Washington | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.80% | 5.60% |
New Jersey | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.50% | 4.50% |
Virginia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.50% | 3.40% |
Maryland | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 3.40% |
Illinois | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.40% | 3.40% |
Georgia | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 2.90% | 3% |
Other U.S. | ||
Schedule of MSRs [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 37.90% | 37.80% |
MORTGAGE SERVICING RIGHTS AND_8
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Schedule of Advances Included in Servicing Advances Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | |||
Total | [1] | $ 379,901 | $ 421,807 |
Servicer Advances Receivable | |||
Schedule of Equity Method Investments [Line Items] | |||
Principal and interest advances | 622,819 | 562,418 | |
Escrow advances (taxes and insurance advances) | 1,243,374 | 1,523,154 | |
Foreclosure advances | 741,440 | 793,098 | |
Total | 2,607,633 | 2,878,670 | |
Servicer advances receivable related to agency MSRs | 486,800 | 593,000 | |
Servicer advances receivable related to Ginnie Mae MSRS, recoverable from Ginnie Mae | 168,000 | 212,900 | |
Servicer advances, unamortized discount and accrual | $ 46,900 | $ 23,500 | |
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
MORTGAGE SERVICING RIGHTS AND_9
MORTGAGE SERVICING RIGHTS AND MSR FINANCING RECEIVABLES - Summary of Reserve For Servicer Advances (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Servicer Advances Reserve [Roll Forward] | |
Beginning balance | $ 32,122 |
Provision | 5,056 |
Transfers and Other | 0 |
Write-offs | (4,724) |
Ending balance | $ 32,454 |
SERVICER ADVANCE INVESTMENTS -
SERVICER ADVANCE INVESTMENTS - Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 |
The Buyer | |||
Schedule of Equity Method Investments [Line Items] | |||
Capital distributed to third-party co-investors | $ 71.5 | ||
Capital distributed to new residential | 597.9 | ||
Servicer Advance Investments | |||
Schedule of Equity Method Investments [Line Items] | |||
Funded capital commitments | $ 627.4 | ||
Servicer Advance Investments | The Buyer | |||
Schedule of Equity Method Investments [Line Items] | |||
Rithm Capital’s percentage ownership | 89.30% | 89.30% | 73.20% |
Servicer Advance Investments | Noncontrolling Third-party Investors | |||
Schedule of Equity Method Investments [Line Items] | |||
Funded capital commitments | $ 25 |
SERVICER ADVANCE INVESTMENTS _2
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Investments in and Advances to Affiliates [Line Items] | ||
Amortized Cost Basis | $ 365,677 | $ 405,786 |
Carrying Value | $ 379,901 | $ 421,807 |
Weighted Average Discount Rate | 5.20% | 5.20% |
Weighted Average Yield | 5.50% | 5.50% |
Weighted Average Life (Years) | 7 years 6 months | 6 years 10 months 24 days |
SERVICER ADVANCE INVESTMENTS _3
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |
Investments in and Advances to Affiliates [Line Items] | |||
Outstanding Servicer Advances | [1] | $ 379,901 | $ 421,807 |
Face Amount of Secured Notes and Bonds Payable | 23,340,461 | ||
Servicer Advance Investments | Servicer Advances | |||
Investments in and Advances to Affiliates [Line Items] | |||
Residential mortgage loan UPB and other collateral | 18,224,076 | 20,314,977 | |
Outstanding Servicer Advances | $ 341,328 | $ 369,440 | |
Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.90% | 1.80% | |
Face Amount of Secured Notes and Bonds Payable | $ 322,735 | $ 356,580 | |
Gross Loan-to-Value | 91.70% | 91.40% | |
Net Loan-to-Value | 91% | 90.70% | |
Gross Cost of Funds | 1.20% | 1.30% | |
Net Cost of Funds | 1.20% | 1.20% | |
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
SERVICER ADVANCE INVESTMENTS _4
SERVICER ADVANCE INVESTMENTS - Summary of Investments in Servicer Advances - Components of Funded Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | |||
Total | [1] | $ 379,901 | $ 421,807 |
Servicer Advance Investments | Servicer Advances | |||
Schedule of Equity Method Investments [Line Items] | |||
Principal and interest advances | 64,203 | 67,014 | |
Escrow advances (taxes and insurance advances) | 153,991 | 174,681 | |
Foreclosure advances | 123,134 | 127,745 | |
Total | $ 341,328 | $ 369,440 | |
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
SERVICER ADVANCE INVESTMENTS _5
SERVICER ADVANCE INVESTMENTS - Schedule of Interest Income Related to Investments in Servicer Advances (Details) - Servicer Advance Investments - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Schedule of Equity Method Investments [Line Items] | ||||
Interest income, gross of amounts attributable to servicer compensation | $ 7,969 | $ 3,544 | $ 21,344 | $ 17,505 |
Amounts attributable to base servicer compensation | (826) | (590) | (2,306) | (1,746) |
Amounts attributable to incentive servicer compensation | (4,445) | (3,043) | (12,184) | (9,036) |
Interest income (expense) from servicer advance investments | $ 2,698 | $ (89) | $ 6,854 | $ 6,723 |
REAL ESTATE AND OTHER SECURIT_3
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 USD ($) security bond | Dec. 31, 2021 USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 25,301,502 | |
Carrying Value | $ 7,988,802 | $ 9,396,539 |
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Investments | $ 26,360,936 | |
Residual Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | 17,600 | |
Non-Agency Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments | 1,700 | |
AFS Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 83,820 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 81,515 | 98,367 |
Number of Securities | security | 1 | |
Weighted Average Rating | AAA | |
Weighted Average Coupon | 3.50% | |
Weighted Average Yield | 3.50% | |
Weighted Average Life (Years) | 4 years 4 months 24 days | |
AFS Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 2,749,667 | |
Gross Unrealized Gains | 71,903 | |
Gross Unrealized Losses | (13,145) | |
Carrying Value | $ 445,358 | 522,416 |
Number of Securities | security | 334 | |
Weighted Average Rating | AA | |
Weighted Average Coupon | 3.40% | |
Weighted Average Yield | 3.30% | |
Weighted Average Life (Years) | 3 years 4 months 24 days | |
Weighted Average Principal Subordination | 26.60% | |
FVO Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 7,913,166 | |
Gross Unrealized Gains | 66 | |
Gross Unrealized Losses | (1,155,303) | |
Carrying Value | $ 6,982,553 | 8,346,230 |
Number of Securities | security | 39 | |
Weighted Average Rating | AAA | |
Weighted Average Coupon | 2.20% | |
Weighted Average Yield | 2.20% | |
Weighted Average Life (Years) | 9 years 7 months 6 days | |
FVO Non-Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 14,554,849 | |
Gross Unrealized Gains | 26,369 | |
Gross Unrealized Losses | (82,251) | |
Carrying Value | $ 479,376 | 429,526 |
Number of Securities | security | 319 | |
Weighted Average Rating | AA+ | |
Weighted Average Coupon | 2.30% | |
Weighted Average Yield | 4.40% | |
Weighted Average Life (Years) | 3 years 10 months 24 days | |
Weighted Average Principal Subordination | 20.30% | |
Investments in Real Estate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 25,301,502 | |
Gross Unrealized Gains | 98,338 | |
Gross Unrealized Losses | (1,250,699) | |
Carrying Value | $ 7,988,802 | $ 9,396,539 |
Number of Securities | security | 693 | |
Weighted Average Rating | AAA | |
Weighted Average Coupon | 2.25% | |
Weighted Average Yield | 2.37% | |
Weighted Average Life (Years) | 9 years | |
Bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value | $ 337,000 | |
Number of bonds which New Residential was unable to obtain rating information | bond | 311 | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 7,996,986 | |
Agency RMBS | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 8,000,000 | |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 17,304,516 | |
Non-Agency RMBS | Fixed Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 8,800,000 | |
Residual and interest - only notional amount | 8,000,000 | |
Non-Agency RMBS | Floating Rate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 8,500,000 | |
Residual and interest - only notional amount | 8,200,000 | |
Corporate debt | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | 414 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 355 | |
Number of Securities | security | 1 | |
Weighted Average Rating | B- | |
Weighted Average Coupon | 8.30% | |
Weighted Average Yield | 8.30% | |
Weighted Average Life (Years) | 2 years 9 months 18 days | |
Consumer loans | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 1,065 | |
Gross Unrealized Gains | 972 | |
Gross Unrealized Losses | 0 | |
Carrying Value | $ 1,395 | |
Number of Securities | security | 3 | |
Weighted Average Life (Years) | 0 years | |
Interest-only securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 8,660,811 | |
Gross Unrealized Gains | 9,307 | |
Gross Unrealized Losses | (43,281) | |
Carrying Value | $ 147,210 | |
Number of Securities | security | 135 | |
Weighted Average Rating | AA+ | |
Weighted Average Coupon | 1% | |
Weighted Average Yield | 2.60% | |
Weighted Average Life (Years) | 2 years 3 months 18 days | |
Servicing strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Outstanding Face Amount | $ 4,576,372 | |
Gross Unrealized Gains | 8,609 | |
Gross Unrealized Losses | (8,817) | |
Carrying Value | $ 53,667 | |
Number of Securities | security | 61 | |
Weighted Average Coupon | 1.10% | |
Weighted Average Yield | 12.20% | |
Weighted Average Life (Years) | 2 years 6 months |
REAL ESTATE AND OTHER SECURIT_4
REAL ESTATE AND OTHER SECURITIES - Schedule of Investment in Real Estate Securities (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Agency RMBS | ||||
Purchases | ||||
Face | $ 0 | $ 1,880 | $ 998.2 | $ 5,907.2 |
Purchase price | 0 | 1,895.7 | 1,004.5 | 6,098.8 |
Sales | ||||
Face | 829.8 | 1,073.2 | 829.8 | 3,487.8 |
Amortized cost | 857 | 1,123.1 | 857 | 3,636.4 |
Sale price | 738.9 | 1,109.1 | 738.9 | 3,631.3 |
Gain (loss) on sale | (118.1) | (14) | (118.1) | (5.2) |
Non-Agency RMBS | ||||
Purchases | ||||
Face | 1,073 | 849.6 | 3,283.1 | 1,657.7 |
Purchase price | 32.9 | 52.3 | 148.6 | 90.8 |
Sales | ||||
Face | 0 | 552.8 | 0 | 1,686.3 |
Amortized cost | 0 | 27.4 | 1.6 | 185.2 |
Sale price | 0 | 16.8 | 0 | 164.6 |
Gain (loss) on sale | $ 0 | $ (10.7) | $ (1.6) | $ (20.5) |
REAL ESTATE AND OTHER SECURIT_5
REAL ESTATE AND OTHER SECURITIES - Narrative (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
RMBS Designated as AFS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Face amount of securities sold, unsettled | $ 0 | $ 0 |
REAL ESTATE AND OTHER SECURIT_6
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) security | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 25,301,502 |
Weighted Average Life (Years) | 1 year 3 months 18 days |
Less than 12 Months | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 384,799 |
Before Credit Impairment - Amortized Cost Basis | 382,423 |
Credit Impairment - Amortized Cost Basis | (2,202) |
After Credit Impairment - Amortized Cost Basis | 380,220 |
Gross Unrealized Losses - Less than 12 Months | (13,047) |
Carrying Value - Less than 12 Months | $ 367,173 |
Number of Securities - Less than 12 Months | security | 159 |
Weighted Average Rating | AAA |
Weighted Average Coupon | 3.70% |
Weighted Average Yield | 3.50% |
Weighted Average Life (Years) | 3 years 9 months 18 days |
12 or More Months | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 18,094 |
Before Credit Impairment - Amortized Cost Basis | 8,931 |
Credit Impairment - Amortized Cost Basis | (4,154) |
After Credit Impairment - Amortized Cost Basis | 4,777 |
Gross Unrealized Losses - 12 or More Months | (98) |
Carrying Value - 12 or More Months | $ 4,679 |
Number of Securities - 12 or More Months | security | 14 |
Weighted Average Rating | AAA |
Weighted Average Coupon | 1.90% |
Weighted Average Yield | 0.70% |
Weighted Average Life (Years) | 7 months 6 days |
Total/Weighted Average | |
Debt Securities, Available-for-sale [Line Items] | |
Outstanding Face Amount | $ 402,893 |
Before Credit Impairment - Amortized Cost Basis | 391,354 |
Credit Impairment - Amortized Cost Basis | (6,356) |
After Credit Impairment - Amortized Cost Basis | 384,997 |
Gross Unrealized Losses - Total | (13,145) |
Carrying Value - Total | $ 371,852 |
Number of Securities - Total | security | 173 |
Weighted Average Rating | AAA |
Weighted Average Coupon | 3.70% |
Weighted Average Yield | 3.50% |
Weighted Average Life (Years) | 3 years 9 months 18 days |
REAL ESTATE AND OTHER SECURIT_7
REAL ESTATE AND OTHER SECURITIES - Summary of Real Estate Securities in an Unrealized Loss Position - Associated Intent to Sell (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Securities Rithm Capital intends to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 0 | $ 0 |
Amortized Cost Basis After Credit Impairment | 0 | 0 |
Gross Unrealized Losses, Credit | 0 | 0 |
Gross Unrealized Losses, Non-Credit | 0 | 0 |
Securities New Residential is more likely than not to be required to sell | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 0 | 0 |
Amortized Cost Basis After Credit Impairment | 0 | 0 |
Gross Unrealized Losses, Credit | 0 | 0 |
Gross Unrealized Losses, Non-Credit | 0 | 0 |
Credit impaired securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 86,372 | 6,581 |
Amortized Cost Basis After Credit Impairment | 86,372 | 6,581 |
Gross Unrealized Losses, Credit | (6,356) | (3,471) |
Gross Unrealized Losses, Non-Credit | 0 | 0 |
Non-credit impaired securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 285,480 | 3,927 |
Amortized Cost Basis After Credit Impairment | 298,625 | 4,044 |
Gross Unrealized Losses, Credit | 0 | 0 |
Gross Unrealized Losses, Non-Credit | (13,145) | (117) |
Total debt securities in an unrealized loss position | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 371,852 | 10,508 |
Amortized Cost Basis After Credit Impairment | 384,997 | 10,625 |
Gross Unrealized Losses, Credit | (6,356) | (3,471) |
Gross Unrealized Losses, Non-Credit | $ (13,145) | $ (117) |
REAL ESTATE AND OTHER SECURIT_8
REAL ESTATE AND OTHER SECURITIES - Summary of Activity Related to Credit Losses on Debt Securities (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | $ 3,471 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 2,202 |
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 | 0 |
Reductions for securities sold during the period | 0 |
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 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 683 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2022 | 6,356 |
Purchased Credit Deteriorated | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | 3,471 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 33 |
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 | 0 |
Reductions for securities sold during the period | 0 |
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 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 683 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2022 | 4,187 |
Non-Purchased Credit Deteriorated | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Allowance for credit losses on available-for-sale debt securities at December 31, 2021 | 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 2,169 |
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 | 0 |
Reductions for securities sold during the period | 0 |
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 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had credit losses or an allowance recorded in a previous period | 0 |
Write-offs charged against the allowance | 0 |
Recoveries of amounts previously written off | 0 |
Allowance for credit losses on available-for-sale debt securities at June 30, 2022 | $ 2,169 |
REAL ESTATE AND OTHER SECURIT_9
REAL ESTATE AND OTHER SECURITIES - Schedule of the Outstanding Face Amount and Carrying Value for Securities Uncollectible (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | ||
Outstanding Face Amount | $ 545,910 | $ 512,731 |
Carrying Value | $ 202,947 | $ 180,890 |
REAL ESTATE AND OTHER SECURI_10
REAL ESTATE AND OTHER SECURITIES - Summary of Changes in Accretable Yield for Securities (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Certain Loans Acquired in Transfer Accounted for as Available-for-sale Debt Securities, Accretable Yield Movement Schedule [Roll Forward] | |
Balance, beginning | $ 36,093 |
Additions | 10,389 |
Accretion | (2,259) |
Reclassifications from (to) non-accretable difference | 660 |
Disposals | 0 |
Balance, ending | $ 44,883 |
RESIDENTIAL MORTGAGE LOANS - Re
RESIDENTIAL MORTGAGE LOANS - Residential Mortgage Loans Outstanding by Loan Type, Excluding REO (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 USD ($) loan | Dec. 31, 2021 USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Residential mortgage loans held-for-investment, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 576,750 | |
Carrying Value | $ 510,744 | $ 569,933 |
Loan Count | loan | 10,273 | |
Weighted Average Yield | 7.10% | |
Weighted Average Life (Years) | 4 years 4 months 24 days | |
Acquired residential mortgage loans held-for-sale | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 131,937 | |
Carrying Value | $ 117,053 | 132,921 |
Loan Count | loan | 2,906 | |
Weighted Average Yield | 6.60% | |
Weighted Average Life (Years) | 5 years | |
Acquired performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 102,734 | |
Carrying Value | $ 92,430 | 130,634 |
Loan Count | loan | 2,689 | |
Weighted Average Yield | 6.70% | |
Weighted Average Life (Years) | 4 years 10 months 24 days | |
Acquired performing loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 672,100 | |
Acquired non-performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | 29,203 | |
Carrying Value | $ 24,623 | 2,287 |
Loan Count | loan | 217 | |
Weighted Average Yield | 6.30% | |
Weighted Average Life (Years) | 5 years 2 months 12 days | |
Acquired non-performing loans | Ginnie Mae | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid Principal Balance | $ 208,200 | |
Acquired performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | 1,759,976 | |
Carrying Value | $ 1,661,890 | 2,070,262 |
Loan Count | loan | 10,370 | |
Weighted Average Yield | 4.70% | |
Weighted Average Life (Years) | 13 years 3 months 18 days | |
Acquired non-performing loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 308,514 | |
Carrying Value | $ 282,734 | 315,063 |
Loan Count | loan | 1,546 | |
Weighted Average Yield | 4.40% | |
Weighted Average Life (Years) | 12 years 6 months | |
Originated loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 3,319,543 | |
Carrying Value | $ 3,349,312 | 8,829,599 |
Loan Count | loan | 4,751 | |
Weighted Average Yield | 5.10% | |
Weighted Average Life (Years) | 28 years 10 months 24 days | |
Total residential mortgage loans, held-for-sale, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 5,388,033 | |
Carrying Value | $ 5,293,936 | 11,214,924 |
Loan Count | loan | 16,667 | |
Weighted Average Yield | 4.90% | |
Weighted Average Life (Years) | 22 years 10 months 24 days | |
Total residential mortgage loans, held-for-sale, at fair value/lower of cost or market | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Outstanding Face Amount | $ 5,519,970 | |
Carrying Value | $ 5,410,989 | $ 11,347,845 |
RESIDENTIAL MORTGAGE LOANS - Ge
RESIDENTIAL MORTGAGE LOANS - Geographic Distribution of the Underlying Residential Mortgage Loans (Details) - Residential Mortgage Loans | Jun. 30, 2022 | Dec. 31, 2021 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 100% | 100% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 11.50% | 15.70% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 10.50% | 10.10% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 8% | 7.50% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 6.60% | 7.10% |
Washington | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 5.80% | 6.70% |
Georgia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4.10% | 3.80% |
New Jersey | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 4% | 3.30% |
Illinois | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.30% | 3.10% |
Virginia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3.10% | 3.10% |
Maryland | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 3% | 2.80% |
Other U.S. | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Amount | 40.10% | 36.80% |
RESIDENTIAL MORTGAGE LOANS - Sc
RESIDENTIAL MORTGAGE LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - 90+ - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing receivable | $ 0 | $ 0 |
Notes receivable | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | 0 | 0 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing receivable | 672,891 | 779,178 |
Notes receivable | 609,875 | 740,043 |
Fair Value Over (Under) Unpaid Principal Balance | $ (63,016) | $ (39,135) |
RESIDENTIAL MORTGAGE LOANS - Na
RESIDENTIAL MORTGAGE LOANS - Narrative (Details) - Residential Mortgage Loans | 6 Months Ended | |
Jun. 30, 2022 USD ($) trust | Jun. 30, 2021 USD ($) security | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of trusts called | 5 | 42 |
Loans Sold | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | $ 0 | $ 3,300,000 |
Gain on securitization accounted for as sales | $ 8,300,000 | $ 19,400,000 |
RESIDENTIAL MORTGAGE LOANS - Ca
RESIDENTIAL MORTGAGE LOANS - Carrying Value of Mortgage Loans (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | $ 11,347,845 |
Transfer of loans to REO | 4,890 |
Transfer of loans from held-for-investment | 1,582 |
Balance, ending | 5,410,989 |
Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 11,917,777 |
Originations | 45,730,604 |
Sales | (54,741,695) |
Purchases/additional fundings | 3,515,384 |
Proceeds from repayments | (334,718) |
Transfer of loans to other assets | (27,083) |
Transfer of loans to REO | (852) |
Transfers of loans to held for sale | (1,582) |
Valuation (provision) reversal on loans | (5,287) |
Changes in instrument-specific credit risk | (5,543) |
Other factors | (126,854) |
Balance, ending | 5,921,733 |
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 569,932 |
Originations | 0 |
Sales | 0 |
Purchases/additional fundings | 7,182 |
Proceeds from repayments | (47,444) |
Transfer of loans to other assets | 0 |
Transfer of loans to REO | (1,658) |
Transfers of loans to held for sale | (1,582) |
Transfer of loans from held-for-investment | 0 |
Valuation (provision) reversal on loans | 0 |
Changes in instrument-specific credit risk | (1,646) |
Other factors | (14,040) |
Balance, ending | 510,744 |
Residential Mortgage Loans, Held-for-Sale | Loans Held-for-Sale, at Lower of Cost or Fair Value | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 132,921 |
Originations | 0 |
Sales | (720) |
Purchases/additional fundings | 0 |
Proceeds from repayments | (10,173) |
Transfer of loans to other assets | 0 |
Transfer of loans to REO | 312 |
Transfers of loans to held for sale | 0 |
Transfer of loans from held-for-investment | 0 |
Valuation (provision) reversal on loans | (5,287) |
Changes in instrument-specific credit risk | 0 |
Other factors | 0 |
Balance, ending | 117,053 |
Residential Mortgage Loans, Held-for-Sale | Loans Held-for-Sale, at Fair Value | Residential Portfolio Segment | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Balance, beginning | 11,214,924 |
Originations | 45,730,604 |
Sales | (54,740,975) |
Purchases/additional fundings | 3,508,202 |
Proceeds from repayments | (277,101) |
Transfer of loans to other assets | (27,083) |
Transfer of loans to REO | 494 |
Transfers of loans to held for sale | 0 |
Transfer of loans from held-for-investment | 1,582 |
Valuation (provision) reversal on loans | 0 |
Changes in instrument-specific credit risk | (3,897) |
Other factors | (112,814) |
Balance, ending | $ 5,293,936 |
RESIDENTIAL MORTGAGE LOANS - _2
RESIDENTIAL MORTGAGE LOANS - Schedule of Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Interest income: | ||||
Loans held-for-investment, at fair value | $ 10,468 | $ 11,911 | $ 20,749 | $ 22,971 |
Total interest income | 68,856 | 64,556 | 151,216 | 123,730 |
Interest expense: | ||||
Loans held-for-investment, at fair value | 3,081 | 4,079 | 6,162 | 8,890 |
Total interest expense | 43,171 | 36,423 | 89,213 | 75,762 |
Net interest income | 25,685 | 28,133 | 62,003 | 47,968 |
Loans Held-for-Sale, at Lower of Cost or Fair Value | ||||
Interest income: | ||||
Loans Held-for-Sale | 2,045 | 4,132 | 3,816 | 12,274 |
Interest expense: | ||||
Loans Held-for-Sale | 823 | 2,554 | 1,672 | 10,340 |
Loans Held-for-Sale, at Fair Value | ||||
Interest income: | ||||
Loans Held-for-Sale | 56,343 | 48,513 | 126,651 | 88,485 |
Interest expense: | ||||
Loans Held-for-Sale | $ 39,267 | $ 29,790 | $ 81,379 | $ 56,532 |
RESIDENTIAL MORTGAGE LOANS - Ga
RESIDENTIAL MORTGAGE LOANS - Gain On Sale of Originated Mortgage Loans, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Long Lived Assets Held-for-sale [Line Items] | ||||
Gain on loans originated and sold, net | $ (421,834) | $ 96,639 | $ (792,255) | $ 97,726 |
Gain (loss) on settlement of mortgage loan origination derivative instruments | 526,933 | 113,995 | 1,051,756 | 154,116 |
MSRs retained on transfer of loans | 329,470 | 207,663 | 790,922 | 463,136 |
Other | 1,838 | 28,405 | 29,539 | 52,102 |
Realized gain on sale of originated residential mortgage loans, net | 436,407 | 446,702 | 1,079,962 | 767,080 |
Change in fair value of derivative instruments | (151,654) | (253,167) | (33,216) | (80,134) |
Gain on originated residential mortgage loans, held-for-sale, net | 304,791 | 286,885 | 776,787 | 690,333 |
Loan origination fees and direct loan origination costs | 116,800 | 438,900 | 369,300 | 1,097,300 |
Change in fair value of interest rate lock commitments | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of derivative instruments | 77,481 | 55,299 | (50,204) | (179,683) |
Change in fair value of derivative instruments | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of derivative instruments | (229,135) | (308,466) | 16,988 | 99,549 |
Change in fair value of residential mortgage loans | ||||
Long Lived Assets Held-for-sale [Line Items] | ||||
Change in fair value of residential mortgage loans | $ 20,038 | $ 93,350 | $ (269,959) | $ 3,387 |
CONSUMER LOANS - Narrative (Det
CONSUMER LOANS - Narrative (Details) | 6 Months Ended |
Jun. 30, 2022 | |
Consumer Loan SPVs | |
Schedule of Equity Method Investments [Line Items] | |
Ownership interest | 53.50% |
CONSUMER LOANS - Consumer Loan
CONSUMER LOANS - Consumer Loan Investments made through Equity Method Investees (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | ||
Weighted Average Life (Years) | 1 year 3 months 18 days | |
Consumer Portfolio Segment | ||
Schedule of Equity Method Investments [Line Items] | ||
Unpaid Principal Balance | $ 380,603 | $ 449,875 |
Carrying Value | $ 423,735 | $ 507,291 |
Weighted Average Coupon | 17.50% | 17.50% |
Weighted Average Life (Years) | 3 years 2 months 12 days | 3 years 2 months 12 days |
CONSUMER LOANS - Schedule of Ag
CONSUMER LOANS - Schedule of Aggregate Unpaid Principal Balance and Aggregate Carrying Value (Details) - 90+ - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Schedule of Equity Method Investments [Line Items] | ||
Financing receivable | $ 0 | $ 0 |
Fair Value | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | 0 | 0 |
Consumer Portfolio Segment | Total Rithm Capital Stockholders’ Equity | ||
Schedule of Equity Method Investments [Line Items] | ||
Financing receivable | 6,734 | 7,394 |
Fair Value | 7,370 | 8,232 |
Fair Value Over (Under) Unpaid Principal Balance | $ 636 | $ 838 |
CONSUMER LOANS - Carrying Value
CONSUMER LOANS - Carrying Value of Performing Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Loans Receivable [Roll Forward] | ||||
Proceeds from repayments | $ (49,806) | $ (59,086) | ||
Accretion and other amortization | $ 15,375 | $ 5,583 | 34,731 | $ 31,617 |
Changes in instrument-specific credit risk | (9,042) | |||
Fair value adjustment, other factors | (586) | |||
Consumer Portfolio Segment | Performing loans | ||||
Loans Receivable [Roll Forward] | ||||
Beginning balance | 507,291 | |||
Additional fundings | 14,350 | |||
Proceeds from repayments | (84,637) | |||
Accretion and other amortization | 7,695 | |||
Changes in instrument-specific credit risk | 4,126 | |||
Fair value adjustment, other factors | (25,090) | |||
Ending balance | $ 423,735 | $ 423,735 |
SINGLE-FAMILY RENTAL PROPERTI_3
SINGLE-FAMILY RENTAL PROPERTIES - Net Carrying Value (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Real Estate [Line Items] | ||
Investment in SFR properties, net | $ 927,227 | $ 579,607 |
Single Family | ||
Real Estate [Line Items] | ||
Land | 170,055 | 109,152 |
Building | 680,219 | 436,610 |
Capital improvements | 90,314 | 40,655 |
Total gross investment in SFR properties | 940,588 | 586,417 |
Accumulated depreciation | (13,361) | (6,810) |
Investment in SFR properties, net | $ 927,227 | $ 579,607 |
SINGLE-FAMILY RENTAL PROPERTI_4
SINGLE-FAMILY RENTAL PROPERTIES - Narrative (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Real Estate [Line Items] | |||
Capitalized acquisition costs | $ 6,800 | $ 3,800 | |
Single Family | |||
Real Estate [Line Items] | |||
Accumulated depreciation | $ 6,551 | $ 1,300 | |
Single Family | Minimum | |||
Real Estate [Line Items] | |||
Lease term | 1 year | ||
Single Family | Maximum | |||
Real Estate [Line Items] | |||
Lease term | 2 years |
SINGLE-FAMILY RENTAL PROPERTI_5
SINGLE-FAMILY RENTAL PROPERTIES - Activity in Single-Family Rental Properties (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Real Estate Investment Property, Net [Roll Forward] | ||
Beginning balance | $ 579,607 | |
Ending balance | 927,227 | |
Single Family | ||
Real Estate Investment Property, Net [Roll Forward] | ||
Beginning balance | 579,607 | |
Acquisitions and capital improvements | 354,792 | |
Dispositions | (621) | |
Accumulated depreciation | (6,551) | $ (1,300) |
Ending balance | $ 927,227 |
SINGLE-FAMILY RENTAL PROPERTI_6
SINGLE-FAMILY RENTAL PROPERTIES - Revenue to be Received (Details) $ in Thousands | Jun. 30, 2022 USD ($) |
Real Estate [Line Items] | |
Total | $ 1,700 |
Single Family | |
Real Estate [Line Items] | |
2022 | 38,937 |
2023 and thereafter | 15,675 |
Total | $ 54,612 |
SINGLE-FAMILY RENTAL PROPERTI_7
SINGLE-FAMILY RENTAL PROPERTIES - Activity in Single-Family Rental Portfolio by Units (Details) - Single Family | 6 Months Ended |
Jun. 30, 2022 property | |
Real Estate Investment Property, Net [Roll Forward] | |
Beginning balance | 2,551,000 |
Acquisition of SFR units | 1,059,000 |
Disposition of SFR units | (2,000) |
Reclassifications to SFR properties, held for sale | 0 |
Ending balance | 3,608,000 |
MORTGAGE LOANS RECEIVABLE - Sum
MORTGAGE LOANS RECEIVABLE - Summary of Mortgage Loans Receivable By Purpose (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 USD ($) loan | Dec. 31, 2021 USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 217,593 | $ 290,180 |
Mortgage Loans Receivable | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 1,756,079 | $ 1,515,762 |
% of Portfolio | 100% | |
Loan Count | loan | 1,456 | |
% of Portfolio | 100% | |
Weighted Average Yield | 7.80% | |
Weighted Average Original Life (Months) | 15 years | |
Mortgage Loans Receivable | Construction | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 755,077 | |
% of Portfolio | 43% | |
Loan Count | loan | 568 | |
% of Portfolio | 39% | |
Weighted Average Yield | 8.10% | |
Weighted Average Original Life (Months) | 14 years 3 months 18 days | |
Weighted Average Committed Loan Balance to Value, LTC | 76.20% | |
Weighted Average Committed Loan Balance to Value, LTARV | 65.50% | |
Mortgage Loans Receivable | Bridge | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 722,282 | |
% of Portfolio | 41.10% | |
Loan Count | loan | 455 | |
% of Portfolio | 31.30% | |
Weighted Average Yield | 7.60% | |
Weighted Average Original Life (Months) | 16 years 7 months 6 days | |
Weighted Average Committed Loan Balance to Value | 77.10% | |
Mortgage Loans Receivable | Renovation | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 278,720 | |
% of Portfolio | 15.90% | |
Loan Count | loan | 433 | |
% of Portfolio | 29.70% | |
Weighted Average Yield | 7.80% | |
Weighted Average Original Life (Months) | 12 years 10 months 24 days | |
Weighted Average Committed Loan Balance to Value, LTC | 77.90% | |
Weighted Average Committed Loan Balance to Value, LTARV | 66.70% |
MORTGAGE LOANS RECEIVABLE - Sch
MORTGAGE LOANS RECEIVABLE - Schedule of Mortgage Loans Receivable (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Financing Receivable [Roll Forward] | |
Beginning balance | $ 290,180 |
Proceeds from repayments | (68,751) |
Changes in instrument-specific credit risk | 9,042 |
Other factors | (586) |
Ending balance | 217,593 |
Mortgage Loans Receivable | |
Financing Receivable [Roll Forward] | |
Beginning balance | 1,515,762 |
Initial loan advances | 828,032 |
Construction holdbacks and draws | 240,031 |
Proceeds from repayments | (783,878) |
Purchased loans premium amortization | (43,868) |
Changes in instrument-specific credit risk | 0 |
Other factors | 0 |
Ending balance | $ 1,756,079 |
MORTGAGE LOANS RECEIVABLE - Pas
MORTGAGE LOANS RECEIVABLE - Past Due Mortgage Loans Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
90+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 0 | $ 0 |
Notes receivable | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | 0 | 0 |
Mortgage Loans Receivable | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,756,079 | 1,473,894 |
Notes receivable | 1,756,079 | 1,515,762 |
Fair Value Over (Under) Unpaid Principal Balance | 0 | 41,868 |
Mortgage Loans Receivable | 90+ | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Notes receivable | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | $ 0 | $ 0 |
MORTGAGE LOANS RECEIVABLE - S_2
MORTGAGE LOANS RECEIVABLE - Summary of the Geographic Distribution of Mortgage Loans Receivable (Details) - Mortgage Loans Receivable - Geographic Concentration Risk - Loan Origination Commitments | 6 Months Ended |
Jun. 30, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 100% |
California | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 57.20% |
Washington | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 9.50% |
New York | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 5.20% |
Other U.S. | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Loan Commitment | 28.10% |
CASH, CASH EQUIVALENTS AND RE_3
CASH, CASH EQUIVALENTS AND RESTRICTED CASH - Restricted Cash (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | ||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | $ 433,960 | [1] | $ 195,867 | [1] | $ 238,501 |
MSRs and servicer advances | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 55,989 | 27,182 | |||
Real estate and other securities | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 10,610 | 15,342 | |||
Consumer loans | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 19,748 | 21,961 | |||
SFR properties | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 3,672 | 2,482 | |||
Origination and servicing | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 328,609 | 128,588 | |||
Mortgage Loans Receivable | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | 15,332 | 0 | |||
Other | |||||
Restricted Cash and Cash Equivalents Items [Line Items] | |||||
Total restricted cash | $ 0 | $ 312 | |||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
CASH, CASH EQUIVALENTS AND RE_4
CASH, CASH EQUIVALENTS AND RESTRICTED CASH - Summary of Cash and Restricted Cash (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | ||
Cash and Cash Equivalents [Abstract] | ||||||
Cash and cash equivalents | $ 1,510,848 | $ 1,332,575 | [1] | $ 956,242 | ||
Restricted cash | 433,960 | [1] | 195,867 | [1] | 238,501 | |
Total cash, cash equivalents and restricted cash | $ 1,944,808 | $ 1,528,442 | $ 1,194,743 | $ 1,080,473 | ||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
OTHER ASSETS AND LIABILITIES -
OTHER ASSETS AND LIABILITIES - Schedule of Other Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |
Other Assets | |||
Margin receivable, net | $ 256,186 | $ 358,041 | |
Servicing fee receivables | 123,269 | 117,935 | |
Principal and interest receivable | 95,709 | 85,084 | |
Equity investments | 63,839 | 81,052 | |
Other receivables | 193,856 | 233,342 | |
REO | 17,052 | 21,641 | |
Goodwill | 85,199 | 85,199 | |
Notes receivable, at fair value | 52,692 | 60,549 | |
Warrants, at fair value | 21,090 | 27,354 | |
Property and equipment | 44,803 | 56,617 | |
Intangible assets | 145,700 | 143,133 | |
Prepaid expenses | 69,866 | 115,110 | |
Operating lease right-of-use assets | 98,504 | 117,131 | |
Derivative assets | 194,507 | 138,173 | |
Loans receivable, at fair value | 164,901 | 229,631 | |
Credit facilities receivable | 34,419 | 41,351 | |
Loans in process and settlements in process | 105,818 | 11,681 | |
Other assets | 161,488 | 105,728 | |
Other assets | [1] | 1,928,898 | 2,028,752 |
Accrued Expenses and Other Liabilities | |||
Margin payable | 41,410 | 9,821 | |
Interest payable | 40,586 | 30,931 | |
Accounts payable | 199,886 | 345,901 | |
Termination fee payable (Note 25) | 200,000 | 0 | |
Derivative liabilities | 57,224 | 34,583 | |
Accrued compensation and benefits | 114,955 | 201,057 | |
Operating lease liabilities | 117,730 | 142,620 | |
Deferred tax liability | 716,148 | 440,690 | |
Other liabilities | 283,061 | 153,165 | |
Accrued expenses and other liabilities | [1] | $ 1,771,000 | $ 1,358,768 |
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
OTHER ASSETS AND LIABILITIES _2
OTHER ASSETS AND LIABILITIES - Real Estate Owned (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Real Estate Owned [Roll Forward] | |
Beginning balance | $ 21,641 |
Purchases | 210 |
Transfer of loans to REO | 4,890 |
Sales | (10,569) |
Valuation (provision) reversal | 880 |
Ending balance | 17,052 |
Residential Mortgage Loans | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 51,200 |
OTHER ASSETS AND LIABILITIES _3
OTHER ASSETS AND LIABILITIES - Schedule of Notes and Loans Receivable (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Financing Receivable [Roll Forward] | |
Beginning balance | $ 290,180 |
Fundings | 0 |
Payment in Kind | 6,792 |
Proceeds from repayments | (68,751) |
Transfer to other assets | (1,000) |
Changes in instrument-specific credit risk | (9,042) |
Fair value adjustment, other factors | (586) |
Ending balance | 217,593 |
Notes Receivable | |
Financing Receivable [Roll Forward] | |
Beginning balance | 60,549 |
Fundings | 0 |
Payment in Kind | 2,412 |
Proceeds from repayments | 0 |
Transfer to other assets | (1,000) |
Changes in instrument-specific credit risk | (9,042) |
Fair value adjustment, other factors | (227) |
Ending balance | 52,692 |
Loans Receivable | |
Financing Receivable [Roll Forward] | |
Beginning balance | 229,631 |
Fundings | 0 |
Payment in Kind | 4,380 |
Proceeds from repayments | (68,751) |
Transfer to other assets | 0 |
Changes in instrument-specific credit risk | 0 |
Fair value adjustment, other factors | (359) |
Ending balance | $ 164,901 |
OTHER ASSETS AND LIABILITIES _4
OTHER ASSETS AND LIABILITIES - Past Due Notes and Loans Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Current | ||
Financing Receivable, Past Due [Line Items] | ||
Unpaid Principal Balance | $ 226,106 | $ 289,065 |
Fair Value | 217,593 | 290,180 |
Fair Value Over (Under) Unpaid Principal Balance | (8,513) | 1,115 |
90+ | ||
Financing Receivable, Past Due [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Fair Value | 0 | 0 |
Fair Value Over (Under) Unpaid Principal Balance | $ 0 | $ 0 |
EXPENSES, CHANGE IN FAIR VALU_3
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER - Schedule of General and Administrative Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Other Income and Expenses [Abstract] | ||||
Legal and professional | $ 20,822 | $ 18,587 | $ 49,408 | $ 36,806 |
Loan origination | 35,015 | 44,916 | 74,916 | 85,161 |
Occupancy | 28,886 | 10,221 | 58,663 | 20,571 |
Subservicing | 41,987 | 45,278 | 88,795 | 95,117 |
Loan servicing | 4,866 | 4,627 | 10,170 | 9,306 |
Property and maintenance | 22,108 | 15,755 | 45,711 | 27,885 |
Other | 71,587 | 33,602 | 143,846 | 62,001 |
Total general and administrative expenses | $ 225,271 | $ 172,986 | $ 471,509 | $ 336,847 |
EXPENSES, CHANGE IN FAIR VALU_4
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER - Schedule of Change in Fair Value of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Other Income and Expenses [Abstract] | ||||
Excess MSRs | $ 1,066 | $ (4,211) | $ (1,564) | $ (8,829) |
Excess MSRs, equity method investees | 156 | (568) | 1,859 | 2,597 |
Servicer advance investments | (1,314) | (4,502) | (1,797) | (4,873) |
Real estate and other securities | (379,656) | 156,792 | (984,951) | (341,547) |
Residential mortgage loans | (25,477) | 121,242 | (132,397) | 181,416 |
Consumer loans | (7,196) | (1,626) | (20,929) | (7,630) |
Mortgage loans receivable | (5,542) | 0 | 0 | 0 |
Derivative instruments | 183,923 | (37,227) | 758,620 | 168,978 |
Change in fair value of investments, net | $ (234,040) | $ 229,900 | $ (381,159) | $ (9,888) |
EXPENSES, CHANGE IN FAIR VALU_5
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER - Schedule of Gain (Loss) on Settlement of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Gain on Settlement of Investments, Net | ||||
Gain (loss) on sale of real estate securities | $ (118,079) | $ (24,708) | $ (119,636) | $ (25,691) |
Sale of acquired residential mortgage loans | (1,798) | 19,198 | 48,621 | 49,597 |
Settlement of derivatives | 232,470 | (49,256) | 279,945 | (76,629) |
Liquidated residential mortgage loans | (14,551) | (268) | (44,484) | 629 |
Sale of REO | (1,268) | (239) | (3,359) | (4,185) |
Extinguishment of debt | 0 | 89 | 0 | 83 |
Other | (1,838) | (23,427) | (4,967) | (34,407) |
Total gain (loss) on settlement of investments, net | $ 94,936 | $ (78,611) | $ 156,120 | $ (90,603) |
EXPENSES, CHANGE IN FAIR VALU_6
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER - Schedule of Other Income (Loss), Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Other income (loss), net | ||||
Unrealized gain (loss) on secured notes and bonds payable | $ 27,957 | $ 5,638 | $ 35,151 | $ 1,216 |
Rental revenue | 12,272 | 14,195 | 20,402 | 20,022 |
Property and maintenance revenue | 32,035 | 25,104 | 66,340 | 45,010 |
(Provision) reversal for credit losses on securities | (2,174) | 1,756 | (2,885) | 2,650 |
Valuation and credit loss (provision) reversal on loans and real estate owned | (1,614) | 32,652 | (4,643) | 51,365 |
Other income (loss) | (9,088) | (14,893) | (2,645) | (45,817) |
Total other income (loss), net | $ 59,388 | $ 64,452 | $ 111,720 | $ 74,446 |
EXPENSES, CHANGE IN FAIR VALU_7
EXPENSES, CHANGE IN FAIR VALUE OF INVESTMENTS AND OTHER - Schedule of Accretion and Other Amortization (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Accretion and other amortization: | ||||
Accretion of net discount on securities and loans | $ 8,219 | $ 10,090 | $ 13,512 | $ 22,097 |
Accretion of servicer advances receivable discount and servicer advance investments | 2,699 | (52) | 6,855 | 6,796 |
Accretion of excess mortgage servicing rights income | 7,588 | (238) | 20,605 | 11,993 |
Amortization of deferred financing costs | (2,722) | (3,776) | (5,382) | (8,377) |
Total accretion and other amortization | 15,375 | 5,583 | 34,731 | 31,617 |
Secured Notes and Bonds Payable | ||||
Accretion and other amortization: | ||||
Amortization of discount | 0 | (3) | 0 | (3) |
Corporate Debt | ||||
Accretion and other amortization: | ||||
Amortization of discount | $ (409) | $ (438) | $ (859) | $ (889) |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Carrying Value of Goodwill (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Goodwill [Roll Forward] | |
Balance at December 31, 2021 | $ 85,199 |
Goodwill acquired | 0 |
Accumulated impairment loss | 0 |
Other adjustments | 0 |
Balance at June 30, 2022 | 85,199 |
Origination | |
Goodwill [Roll Forward] | |
Balance at December 31, 2021 | 11,836 |
Goodwill acquired | 0 |
Accumulated impairment loss | 0 |
Other adjustments | 0 |
Balance at June 30, 2022 | 11,836 |
Servicing | |
Goodwill [Roll Forward] | |
Balance at December 31, 2021 | 12,540 |
Goodwill acquired | 0 |
Accumulated impairment loss | 0 |
Other adjustments | 0 |
Balance at June 30, 2022 | 12,540 |
MSR Related Investments | |
Goodwill [Roll Forward] | |
Balance at December 31, 2021 | 5,092 |
Goodwill acquired | 0 |
Accumulated impairment loss | 0 |
Other adjustments | 0 |
Balance at June 30, 2022 | 5,092 |
Mortgage Loans Receivable | |
Goodwill [Roll Forward] | |
Balance at December 31, 2021 | 55,731 |
Goodwill acquired | 0 |
Accumulated impairment loss | 0 |
Other adjustments | 0 |
Balance at June 30, 2022 | $ 55,731 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Schedule of Acquired Intangible Assets (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | |
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 178,117 | $ 161,449 |
Accumulated Amortization | 32,417 | 18,316 |
Intangible Assets, Net | 145,700 | 143,133 |
Customer relationships | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | 57,950 | 57,949 |
Accumulated Amortization | 10,547 | 6,574 |
Intangible Assets, Net | $ 47,403 | 51,375 |
Customer relationships | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 3 years | |
Customer relationships | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 9 years | |
Purchased technology | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 109,908 | 93,241 |
Accumulated Amortization | 20,003 | 10,578 |
Intangible Assets, Net | $ 89,905 | 82,663 |
Purchased technology | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 3 years | |
Purchased technology | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 5 years | |
Trademarks / Trade names | ||
Finite-Lived Intangible Assets [Line Items] | ||
Gross Intangible Assets | $ 10,259 | 10,259 |
Accumulated Amortization | 1,867 | 1,164 |
Intangible Assets, Net | $ 8,392 | $ 9,095 |
Trademarks / Trade names | Minimum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 1 year | |
Trademarks / Trade names | Maximum | ||
Finite-Lived Intangible Assets [Line Items] | ||
Estimated Useful Lives (Years) | 5 years |
GOODWILL AND INTANGIBLE ASSET_4
GOODWILL AND INTANGIBLE ASSETS - Schedule of Amortization Expense (Details) $ in Thousands | Jun. 30, 2022 USD ($) |
Goodwill and Intangible Assets Disclosure [Abstract] | |
July 1 through December 31, 2022 | $ 14,361 |
2023 | 26,031 |
2024 | 25,117 |
2025 | 20,139 |
2026 | 15,318 |
2027 and thereafter | 14,008 |
Intangible assets, net | $ 114,974 |
OPERATING LEASES - Narrative (D
OPERATING LEASES - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Leases [Abstract] | |||||
Rent expense, net of sublease income | $ 11 | $ 3.6 | $ 23.7 | $ 7 | |
Operating lease ROU assets, extensible enumeration | Other assets | Other assets | Other assets | ||
Operating lease liabilities, extensible enumeration | Accrued expenses and other liabilities | Accrued expenses and other liabilities | Accrued expenses and other liabilities | ||
Sublease rentals | $ 1.7 | $ 1.7 |
OPERATING LEASES - Schedule of
OPERATING LEASES - Schedule of Future Commitments for Non-Cancelable Leases (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Leases [Abstract] | ||
July 1 through December 31, 2022 | $ 20,196 | |
2023 | 29,727 | |
2024 | 22,084 | |
2025 | 16,423 | |
2026 | 10,456 | |
2027 and thereafter | 34,414 | |
Total remaining undiscounted lease payments | 133,300 | |
Less: imputed interest | 15,570 | |
Total remaining discounted lease payments | $ 117,730 | $ 142,620 |
OPERATING LEASES - Other Inform
OPERATING LEASES - Other Information Related to Operating Leases (Details) | Jun. 30, 2022 | Dec. 31, 2021 |
Leases [Abstract] | ||
Weighted-average remaining lease term (years) | 5 years 7 months 6 days | 5 years 6 months |
Weighted-average discount rate | 4% | 4.10% |
DERIVATIVES - Derivatives Recor
DERIVATIVES - Derivatives Recorded at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Derivative assets | $ 194,507 | $ 138,173 |
Derivative liabilities | 57,224 | 34,583 |
Interest rate swaps | ||
Derivative [Line Items] | ||
Derivative asset, variation margin accounts | 776,100 | 60,700 |
Interest rate swaps | Other assets | ||
Derivative [Line Items] | ||
Derivative assets | 104 | 52 |
Interest rate lock commitments | Other assets | ||
Derivative [Line Items] | ||
Derivative assets | 73,784 | 114,871 |
Interest rate lock commitments | Accrued expenses and other liabilities | ||
Derivative [Line Items] | ||
Derivative liabilities | 12,210 | 3,093 |
TBAs | Other assets | ||
Derivative [Line Items] | ||
Derivative assets | 120,619 | 15,472 |
TBAs | Accrued expenses and other liabilities | ||
Derivative [Line Items] | ||
Derivative liabilities | 45,014 | 31,490 |
Options on treasury futures | Other assets | ||
Derivative [Line Items] | ||
Derivative assets | $ 0 | $ 7,778 |
DERIVATIVES - Derivatives Notio
DERIVATIVES - Derivatives Notional Amount (Details) - Not Designated as Hedging Instrument - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 16,675,000 | $ 11,490,000 |
Interest rate swaps | TBAs, short position | ||
Derivative [Line Items] | ||
Notional amount | $ 0 | $ 0 |
Derivative, cap interest rate | 0% | 0% |
Weighted average maturity | 0 months | 0 months |
Interest rate swaps | TBAs, long position | ||
Derivative [Line Items] | ||
Notional amount | $ 16,700,000 | $ 11,500,000 |
Derivative, cap interest rate | 1.18% | 1.10% |
Weighted average maturity | 39 months | 42 months |
Interest rate lock commitments | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 6,039,813 | $ 10,653,850 |
TBAs | TBAs, short position | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 16,676,041 | 22,697,706 |
Treasury futures | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 0 | 314,500 |
Options on treasury futures | ||
Derivative [Line Items] | ||
Derivative asset, notional amount | $ 0 | $ 3,200,000 |
DERIVATIVES - Derivatives Gain
DERIVATIVES - Derivatives Gain (Losses) (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | $ 0 | $ 8,624,000 | $ 7,189,000 | $ (199,000) |
Gain on originated mortgage loans, held-for-sale, net | (151,654,000) | (253,167,000) | (33,216,000) | (80,134,000) |
Change in fair value of derivative instruments | 183,923,000 | (37,227,000) | 758,620,000 | 168,978,000 |
Gain (loss) on settlement of investments, net | 232,470,000 | (49,256,000) | 279,945,000 | (76,629,000) |
Total gain (loss) | 264,739,000 | (331,026,000) | 1,012,538,000 | 12,016,000 |
Settlement of derivatives | (232,470,000) | 49,256,000 | (279,945,000) | 76,629,000 |
Gain (loss) on settlement of mortgage loan origination derivative instruments | 526,933,000 | 113,995,000 | 1,051,756,000 | 154,116,000 |
Servicing Revenue | ||||
Derivative [Line Items] | ||||
Settlement of derivatives | 0 | 0 | 76,800,000 | 0 |
TBAs | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 0 | 8,624,000 | 3,300,000 | (199,000) |
Gain on originated mortgage loans, held-for-sale, net | (229,135,000) | (308,466,000) | 16,988,000 | 99,549,000 |
Change in fair value of derivative instruments | (67,965,000) | 0 | 42,398,000 | 0 |
Gain (loss) on settlement of investments, net | 243,086,000 | (14,010,000) | 316,240,000 | (7,557,000) |
Treasury futures | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 0 | 0 | (1,746,000) | 0 |
Options on treasury futures | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 0 | 0 | 5,635,000 | 0 |
Interest rate lock commitments | ||||
Derivative [Line Items] | ||||
Gain on originated mortgage loans, held-for-sale, net | 77,481,000 | 55,299,000 | (50,204,000) | (179,683,000) |
Interest rate swaps | ||||
Derivative [Line Items] | ||||
Change in fair value of derivative instruments | 251,888,000 | (37,227,000) | 716,222,000 | 168,978,000 |
Gain (loss) on settlement of investments, net | $ (10,616,000) | $ (35,246,000) | $ (36,295,000) | $ (69,072,000) |
DEBT OBLIGATIONS - Schedule of
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | |
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 23,340,461,000 | |
Carrying Value | $ 23,289,260,000 | $ 29,237,694,000 |
Weighted Average Funding Cost | 2.84% | |
Weighted Average Life (Years) | 1 year 3 months 18 days | |
MSR purchase price holdback | $ 40,586,000 | 30,931,000 |
Secured Financing Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 13,969,519,000 | |
Carrying Value | $ 13,967,234,000 | 20,592,884,000 |
Weighted Average Funding Cost | 2.21% | |
Weighted Average Life (Years) | 4 months 24 days | |
MSR purchase price holdback | $ 23,500,000 | |
Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 9,370,942,000 | |
Carrying Value | $ 9,322,026,000 | 8,644,810,000 |
Weighted Average Funding Cost | 3.75% | |
Weighted Average Life (Years) | 2 years 7 months 6 days | |
Warehouse Credit Facilities-Residential Mortgage Loans | Warehouse Credit Facilities | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 4,910,944,000 | |
Carrying Value | $ 4,908,659,000 | 10,138,297,000 |
Weighted Average Funding Cost | 3.05% | |
Weighted Average Life (Years) | 8 months 12 days | |
Repurchase agreements | $ 227,900,000 | |
Interest rate | 4% | |
Warehouse Credit Facilities-Residential Mortgage Loans | Warehouse Credit Facilities | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 20 years 3 months 18 days | |
Outstanding Face of Collateral | $ 5,646,909,000 | |
Amortized Cost Basis of Collateral | 5,588,006,000 | |
Carrying Value of Collateral | 5,479,872,000 | |
Warehouse Credit Facilities - Mortgage Loans Receivable | Warehouse Credit Facilities | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 1,161,223,000 | |
Carrying Value | $ 1,161,223,000 | 1,252,660,000 |
Weighted Average Funding Cost | 3.93% | |
Weighted Average Life (Years) | 1 year 6 months | |
Warehouse Credit Facilities - Mortgage Loans Receivable | Warehouse Credit Facilities | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 8 months 12 days | |
Outstanding Face of Collateral | $ 1,358,294,000 | |
Amortized Cost Basis of Collateral | 1,358,294,000 | |
Carrying Value of Collateral | 1,358,294,000 | |
Agency RMBS | Secured Financing Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 7,040,807,000 | |
Carrying Value | $ 7,040,807,000 | 8,386,538,000 |
Weighted Average Funding Cost | 1.18% | |
Weighted Average Life (Years) | 1 month 6 days | |
Agency RMBS | Secured Financing Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 9 years 7 months 6 days | |
Outstanding Face of Collateral | $ 7,994,763,000 | |
Amortized Cost Basis of Collateral | 8,216,954,000 | |
Carrying Value of Collateral | 7,061,674,000 | |
Non-Agency RMBS | Secured Financing Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 621,058,000 | |
Carrying Value | $ 621,058,000 | 656,874,000 |
Weighted Average Funding Cost | 3.73% | |
Weighted Average Life (Years) | 1 month 6 days | |
Non-Agency RMBS | Secured Financing Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 3 years 8 months 12 days | |
Outstanding Face of Collateral | $ 13,777,282,000 | |
Amortized Cost Basis of Collateral | 886,905,000 | |
Carrying Value of Collateral | 884,604,000 | |
SFR properties | ||
Debt Instrument [Line Items] | ||
Carrying Value | 732,258,000 | 357,922,000 |
SFR properties | Secured Financing Agreements | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 235,487,000 | |
Carrying Value | $ 235,487,000 | 158,515,000 |
Weighted Average Funding Cost | 3.15% | |
Weighted Average Life (Years) | 6 months | |
SFR properties | Secured Financing Agreements | Collateral | ||
Debt Instrument [Line Items] | ||
Amortized Cost Basis of Collateral | $ 330,159,000 | |
Carrying Value of Collateral | 330,159,000 | |
SFR properties | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 497,303,000 | |
Carrying Value | $ 496,771,000 | 199,407,000 |
Weighted Average Funding Cost | 3.59% | |
Weighted Average Life (Years) | 3 years 7 months 6 days | |
SFR properties | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Amortized Cost Basis of Collateral | $ 542,385,000 | |
Carrying Value of Collateral | 542,385,000 | |
Excess MSRs | ||
Debt Instrument [Line Items] | ||
Carrying Value | 228,497,000 | 237,835,000 |
Excess MSRs | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 228,497,000 | |
Carrying Value | $ 228,497,000 | 237,835,000 |
Weighted Average Funding Cost | 3.74% | |
Weighted Average Life (Years) | 3 years 1 month 6 days | |
Excess MSRs | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 6 years 9 months 18 days | |
Outstanding Face of Collateral | $ 73,121,546,000 | |
Amortized Cost Basis of Collateral | 265,354,000 | |
Carrying Value of Collateral | 329,535,000 | |
MSRs | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 4,666,798,000 | |
Carrying Value | $ 4,657,497,000 | 4,234,771,000 |
Weighted Average Funding Cost | 4.60% | |
Weighted Average Life (Years) | 2 years 8 months 12 days | |
MSRs | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 6 months | |
Outstanding Face of Collateral | $ 527,279,143,000 | |
Amortized Cost Basis of Collateral | 6,414,614,000 | |
Carrying Value of Collateral | 8,279,291,000 | |
Servicer Advance Investments | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 322,735,000 | |
Carrying Value | $ 321,891,000 | 355,722,000 |
Weighted Average Funding Cost | 1.22% | |
Weighted Average Life (Years) | 6 months | |
Servicer Advance Investments | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 7 years 6 months | |
Outstanding Face of Collateral | $ 341,328,000 | |
Amortized Cost Basis of Collateral | 365,677,000 | |
Carrying Value of Collateral | $ 379,901,000 | |
Servicer Advances | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.10% | |
Servicer Advances | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.50% | |
Servicer Advances | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 2,174,064,000 | |
Carrying Value | $ 2,169,295,000 | 2,355,969,000 |
Weighted Average Funding Cost | 3.08% | |
Weighted Average Life (Years) | 1 year 2 months 12 days | |
Face amount of debt at fixed rate | $ 1,700,000,000 | |
Servicer Advances | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 8 months 12 days | |
Outstanding Face of Collateral | $ 2,590,339,000 | |
Amortized Cost Basis of Collateral | 2,560,696,000 | |
Carrying Value of Collateral | 2,560,696,000 | |
Residential Mortgage Loans | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 772,887,000 | |
Carrying Value | $ 772,998,000 | 802,526,000 |
Weighted Average Funding Cost | 2.17% | |
Weighted Average Life (Years) | 2 years 4 months 24 days | |
Residential Mortgage Loans | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 26 years 9 months 18 days | |
Outstanding Face of Collateral | $ 791,041,000 | |
Amortized Cost Basis of Collateral | 796,987,000 | |
Carrying Value of Collateral | 796,987,000 | |
Consumer Loans | ||
Debt Instrument [Line Items] | ||
Carrying Value | 357,663,000 | 458,580,000 |
Consumer Loans | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 384,596,000 | |
Carrying Value | $ 357,663,000 | 458,580,000 |
Weighted Average Funding Cost | 2.07% | |
Weighted Average Life (Years) | 8 years | |
Consumer Loans | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 3 years 3 months 18 days | |
Outstanding Face of Collateral | $ 380,549,000 | |
Amortized Cost Basis of Collateral | 393,138,000 | |
Carrying Value of Collateral | 423,704,000 | |
Mortgage Loans Receivable | ||
Debt Instrument [Line Items] | ||
Carrying Value | 1,478,637,000 | 1,252,660,000 |
Mortgage Loans Receivable | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | 324,062,000 | |
Carrying Value | $ 317,414,000 | $ 0 |
Weighted Average Funding Cost | 4.43% | |
Weighted Average Life (Years) | 4 years 6 months | |
Mortgage Loans Receivable | Secured Notes and Bonds Payable | Collateral | ||
Debt Instrument [Line Items] | ||
Weighted Average Life (Years) | 8 months 12 days | |
Outstanding Face of Collateral | $ 352,867,000 | |
Amortized Cost Basis of Collateral | 352,867,000 | |
Carrying Value of Collateral | 352,867,000 | |
3.7% Secured Corporate Note | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 228,500,000 | |
3.7% Secured Corporate Note | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.70% | |
2.8% To 4.5% Agency MSR Secured Note And Bond Payable | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 2,600,000,000 | |
2.8% To 4.5% Agency MSR Secured Note And Bond Payable | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Minimum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 2.50% | |
2.8% To 4.5% Agency MSR Secured Note And Bond Payable | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | Maximum | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 3.50% | |
3.0% To 5.4% Public Notes | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 2,000,000,000 | |
3.0% To 5.4% Public Notes | Secured Notes and Bonds Payable | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 3% | |
3.0% To 5.4% Public Notes | Secured Notes and Bonds Payable | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 5.40% | |
3.8% Asset-Backed Notes | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 22,900,000 | |
3.8% Asset-Backed Notes | Secured Notes and Bonds Payable | Maximum | ||
Debt Instrument [Line Items] | ||
Weighted Average Funding Cost | 3.80% | |
Revolving Warehouse Facility Backed Notes | Secured Notes and Bonds Payable | London Interbank Offered Rate (LIBOR) | ||
Debt Instrument [Line Items] | ||
Variable interest rate spread | 1.10% | |
Revolving Warehouse Facility Backed Notes | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Outstanding Face Amount | $ 750,000,000 | |
Consumer Loan, UPB Class A | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Interest rate | 2% | |
Residential mortgage loan UPB and other collateral | $ 331,600,000 | |
Consumer Loan, UPB Class B | Secured Notes and Bonds Payable | ||
Debt Instrument [Line Items] | ||
Interest rate | 2.70% | |
Residential mortgage loan UPB and other collateral | $ 53,000,000 |
DEBT OBLIGATIONS - Narrative (D
DEBT OBLIGATIONS - Narrative (Details) | 3 Months Ended | 6 Months Ended | |||
Sep. 16, 2020 USD ($) | Jun. 30, 2022 USD ($) property | Jun. 30, 2021 USD ($) | Jun. 30, 2022 USD ($) property | Jun. 30, 2021 USD ($) | |
Debt Instrument [Line Items] | |||||
Face amount of debt | $ 23,340,461,000 | $ 23,340,461,000 | |||
Interest expense and warehouse line fees | $ 150,829,000 | $ 106,539,000 | $ 289,662,000 | $ 225,444,000 | |
Weighted average interest rate | 2.84% | 2.84% | |||
Secured Financing Agreements | |||||
Debt Instrument [Line Items] | |||||
Face amount of debt | $ 13,969,519,000 | $ 13,969,519,000 | |||
Debt redemption percentage | $ 72,931,759,000 | ||||
Weighted average interest rate | 2.21% | 2.21% | |||
Senior Notes | |||||
Debt Instrument [Line Items] | |||||
Issuance fees | $ 5,800,000 | $ 5,800,000 | |||
Interest expense and warehouse line fees | 8,500,000 | ||||
Senior Notes | 2025 Senior Notes | |||||
Debt Instrument [Line Items] | |||||
Face amount of debt | $ 550,000,000 | ||||
Interest rate | 6.25% | ||||
Redemption maximum principal amount, percentage | 0.40 | ||||
Debt redemption percentage | 106.25% | 101% | |||
Debt redemption percentage | $ 544,500,000 | ||||
Issuance fees | $ 8,300,000 | ||||
Debt instrument, restrictive covenants, minimum total unencumbered assets maintenance requirement | 1.20 | ||||
Fixed Rate Loan | 2022-SFR 1 Securitization | |||||
Debt Instrument [Line Items] | |||||
Face amount of debt | $ 267,300,000 | $ 267,300,000 | |||
Debt instrument, term | 5 years | ||||
Weighted average interest rate | 3.51% | 3.51% | |||
Number of SFR properties | property | 1,200 | 1,200 | |||
Percentage of each class certificate acquired | 5% | 5% | |||
Payments to acquire class certificates | $ 13,400,000 | ||||
Gross proceeds from class certificates | 253,900,000 | ||||
Issuance costs | $ 6,200,000 | ||||
Minimum debt service coverage ratio | 120% | 120% |
DEBT OBLIGATIONS - Carrying Val
DEBT OBLIGATIONS - Carrying Value of Debt Obligations (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Debt Instrument [Roll Forward] | |
Beginning balance | $ 29,237,694 |
Ending balance | 23,289,260 |
Excess MSRs | |
Debt Instrument [Roll Forward] | |
Beginning balance | 237,835 |
Ending balance | 228,497 |
MSRs | |
Debt Instrument [Roll Forward] | |
Beginning balance | 4,234,771 |
Ending balance | 4,657,497 |
Servicer advances | |
Debt Instrument [Roll Forward] | |
Beginning balance | 2,711,691 |
Ending balance | 2,491,186 |
Real Estate Securities | |
Debt Instrument [Roll Forward] | |
Beginning balance | 9,043,412 |
Ending balance | 7,661,865 |
Residential Mortgage Loans and REO | |
Debt Instrument [Roll Forward] | |
Beginning balance | 10,940,823 |
Ending balance | 5,681,657 |
Consumer Loans | |
Debt Instrument [Roll Forward] | |
Beginning balance | 458,580 |
Ending balance | 357,663 |
SFR properties | |
Debt Instrument [Roll Forward] | |
Beginning balance | 357,922 |
Ending balance | 732,258 |
Mortgage Loans Receivable | |
Debt Instrument [Roll Forward] | |
Beginning balance | 1,252,660 |
Ending balance | 1,478,637 |
Secured Financing Agreements | |
Debt Instrument [Roll Forward] | |
Beginning balance | 20,592,884 |
Borrowings | 72,931,759 |
Repayments | (79,558,933) |
Capitalized deferred financing costs, net of amortization | 1,524 |
Ending balance | 13,967,234 |
Secured Financing Agreements | Excess MSRs | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Financing Agreements | MSRs | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Financing Agreements | Servicer advances | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Financing Agreements | Real Estate Securities | |
Debt Instrument [Roll Forward] | |
Borrowings | 21,936,667 |
Repayments | (23,318,214) |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Financing Agreements | Residential Mortgage Loans and REO | |
Debt Instrument [Roll Forward] | |
Borrowings | 49,939,478 |
Repayments | (55,170,640) |
Capitalized deferred financing costs, net of amortization | 1,524 |
Secured Financing Agreements | Consumer Loans | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Financing Agreements | SFR properties | |
Debt Instrument [Roll Forward] | |
Beginning balance | 158,515 |
Borrowings | 188,390 |
Repayments | (111,418) |
Capitalized deferred financing costs, net of amortization | 0 |
Ending balance | 235,487 |
Secured Financing Agreements | Mortgage Loans Receivable | |
Debt Instrument [Roll Forward] | |
Borrowings | 867,224 |
Repayments | (958,661) |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Notes and Bonds Payable | |
Debt Instrument [Roll Forward] | |
Borrowings | 2,929,949 |
Repayments | (2,220,042) |
Unrealized gain on notes, fair value | (35,151) |
Capitalized deferred financing costs, net of amortization | 2,460 |
Secured Notes and Bonds Payable | Excess MSRs | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | (9,338) |
Unrealized gain on notes, fair value | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Notes and Bonds Payable | MSRs | |
Debt Instrument [Roll Forward] | |
Borrowings | 915,000 |
Repayments | (493,604) |
Unrealized gain on notes, fair value | 0 |
Capitalized deferred financing costs, net of amortization | 1,330 |
Secured Notes and Bonds Payable | Servicer advances | |
Debt Instrument [Roll Forward] | |
Borrowings | 1,296,071 |
Repayments | (1,517,932) |
Unrealized gain on notes, fair value | 0 |
Capitalized deferred financing costs, net of amortization | 1,356 |
Secured Notes and Bonds Payable | Real Estate Securities | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | 0 |
Unrealized gain on notes, fair value | 0 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Notes and Bonds Payable | Residential Mortgage Loans and REO | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | (31,996) |
Unrealized gain on notes, fair value | 2,468 |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Notes and Bonds Payable | Consumer Loans | |
Debt Instrument [Roll Forward] | |
Borrowings | 0 |
Repayments | (69,946) |
Unrealized gain on notes, fair value | (30,971) |
Capitalized deferred financing costs, net of amortization | 0 |
Secured Notes and Bonds Payable | SFR properties | |
Debt Instrument [Roll Forward] | |
Borrowings | 394,816 |
Repayments | (97,226) |
Unrealized gain on notes, fair value | 0 |
Capitalized deferred financing costs, net of amortization | (226) |
Secured Notes and Bonds Payable | Mortgage Loans Receivable | |
Debt Instrument [Roll Forward] | |
Borrowings | 324,062 |
Repayments | 0 |
Unrealized gain on notes, fair value | (6,648) |
Capitalized deferred financing costs, net of amortization | $ 0 |
DEBT OBLIGATIONS - Contractual
DEBT OBLIGATIONS - Contractual Maturities of Debt Obligations (Details) $ in Thousands | Jun. 30, 2022 USD ($) |
Debt maturing in: | |
July 1 through December 31, 2022 | $ 9,805,931 |
2023 | 6,829,265 |
2024 | 2,772,527 |
2025 | 1,879,018 |
2026 | 1,838,286 |
2027 and thereafter | 765,314 |
Total | 23,890,341 |
Nonrecourse | |
Debt maturing in: | |
July 1 through December 31, 2022 | 506,597 |
2023 | 1,299,437 |
2024 | 1,239,059 |
2025 | 0 |
2026 | 324,062 |
2027 and thereafter | 765,314 |
Total | 4,134,469 |
Recourse | |
Debt maturing in: | |
July 1 through December 31, 2022 | 9,299,334 |
2023 | 5,529,828 |
2024 | 1,533,468 |
2025 | 1,879,018 |
2026 | 1,514,224 |
2027 and thereafter | 0 |
Total | 19,755,872 |
Nonrecourse, Secured Notes And Bonds Payable | |
Debt maturing in: | |
Total | 4,100,000 |
Recourse, Secured Financing Agreements | |
Debt maturing in: | |
Total | 14,000,000 |
Recourse, Secured Notes And Bonds Payable | |
Debt maturing in: | |
Total | $ 5,800,000 |
DEBT OBLIGATIONS - Borrowing Ca
DEBT OBLIGATIONS - Borrowing Capacity (Details) $ in Thousands | Jun. 30, 2022 USD ($) |
Residential Mortgage Loans and REO | |
Debt Instrument [Line Items] | |
Borrowing Capacity | $ 6,844,837 |
Balance Outstanding | 3,044,826 |
Available Financing | 3,800,011 |
Loan originations | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 16,836,159 |
Balance Outstanding | 4,012,828 |
Available Financing | 12,823,331 |
Excess MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 286,380 |
Balance Outstanding | 228,497 |
Available Financing | 57,883 |
MSRs | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 5,870,641 |
Balance Outstanding | 4,666,798 |
Available Financing | 1,203,843 |
Servicer advances | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 3,911,341 |
Balance Outstanding | 2,496,799 |
Available Financing | 1,414,542 |
Residential mortgage loans | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 290,714 |
Balance Outstanding | 230,189 |
Available Financing | 60,526 |
Debt Excess Borrowing Capacity | |
Debt Instrument [Line Items] | |
Borrowing Capacity | 34,040,072 |
Balance Outstanding | 14,679,937 |
Available Financing | $ 19,360,136 |
DEBT OBLIGATIONS - Schedule o_2
DEBT OBLIGATIONS - Schedule of Debt Redemption (Details) - 2025 Senior Notes - Senior Notes | 6 Months Ended | |
Sep. 16, 2020 | Jun. 30, 2022 | |
Debt Instrument [Line Items] | ||
Debt redemption percentage | 106.25% | 101% |
2022 | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 103.125% | |
2023 | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 101.563% | |
2024 and thereafter | ||
Debt Instrument [Line Items] | ||
Debt redemption percentage | 100% |
FAIR VALUE MEASUREMENTS - Carry
FAIR VALUE MEASUREMENTS - Carrying Values and Fair Values of Financial Assets Recorded at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | ||
Assets | ||||||
Excess MSRs | $ 337,050 | $ 344,947 | ||||
Mortgage servicing rights, at fair value | 8,626,409 | 6,858,803 | ||||
Real estate and other securities | 7,988,802 | 9,396,539 | ||||
Residential mortgage loans, held-for-sale | 5,410,989 | 11,347,845 | ||||
Residential mortgage loans, held-for-sale, at fair value | 5,293,936 | 11,214,924 | ||||
Residential mortgage loans subject to repurchase | 1,758,509 | [1] | 1,787,314 | [1] | $ 1,308,242 | |
Cash, cash equivalents and restricted cash | 1,944,808 | 1,528,442 | $ 1,194,743 | $ 1,080,473 | ||
Derivative assets | 194,507 | 138,173 | ||||
Liabilities | ||||||
Residential mortgage loan repurchase liability | 1,800,000 | |||||
Derivative liabilities | 57,224 | 34,583 | ||||
Recurring Basis | ||||||
Assets | ||||||
Excess MSRs, principal balance | 73,121,546 | |||||
MSRs and MSR financing receivables, principal balance | 548,095,165 | |||||
Servicer advance investments, principal balance | 341,328 | |||||
Real estate and other securities, principal balance | 25,301,502 | |||||
Residential mortgage loans, held-for-sale, principal balance | 131,937 | |||||
Residential mortgage loans, held-for-sale, at fair value, principal balance | 5,388,033 | |||||
Residential mortgage loans, held-for-investment, at fair value, principal balance | 576,750 | |||||
Residential mortgage loans, subject to repurchase, principal balance | 1,758,509 | |||||
Consumer loans, principal balance | 380,603 | |||||
Mortgage loans receivable, principal balance | 1,756,079 | |||||
Note receivable, principal balance | 61,785 | |||||
Loans receivable, principal balance | 164,321 | |||||
Cash, cash equivalents and restricted cash | 1,944,808 | |||||
Derivative assets, principal balance | 34,903,771 | |||||
Liabilities | ||||||
Secured financing agreements, principal balance | 13,969,519 | |||||
Secured notes and bonds payable, principal amount | 9,370,942 | |||||
Unsecured senior notes, net of issuance costs, principal balance | 544,167 | |||||
Residential mortgage loan repurchase liability, principal balance | 1,758,509 | |||||
Derivative liabilities, principal amount | 4,487,083 | |||||
Recurring Basis | Mortgage Loans Receivable Securitization | ||||||
Liabilities | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset value | 40,000 | |||||
Recurring Basis | Asset Backed Securities Issued | ||||||
Liabilities | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability value | 698,100 | |||||
Recurring Basis | Level 3 | ||||||
Liabilities | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset value | 13,442,718 | 13,425,847 | ||||
Recurring Basis | Level 3 | Asset Backed Securities Issued | ||||||
Liabilities | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability value | 380,662 | $ 511,107 | ||||
Recurring Basis | Carrying Value | ||||||
Assets | ||||||
Excess MSRs | 337,050 | |||||
Mortgage servicing rights, at fair value | 8,626,409 | |||||
Servicer advance investments | 379,901 | |||||
Real estate and other securities | 7,988,802 | |||||
Residential mortgage loans, held-for-sale | 117,053 | |||||
Residential mortgage loans, held-for-sale, at fair value | 5,293,937 | |||||
Residential mortgage loans, held-for-investment, at fair value | 510,744 | |||||
Residential mortgage loans subject to repurchase | 1,758,509 | |||||
Consumer loans | 423,735 | |||||
Mortgage loans receivable | 1,756,079 | |||||
Notes receivable | 52,692 | |||||
Loans receivable | 164,901 | |||||
Cash, cash equivalents and restricted cash | 1,944,808 | |||||
Other assets | 28,965 | |||||
Derivative assets | 194,507 | |||||
Assets, fair value | 29,578,092 | |||||
Liabilities | ||||||
Secured financing agreements | 13,967,234 | |||||
Secured notes and bonds payable | 9,322,026 | |||||
Notes Payable, Fair Value Disclosure | 544,167 | |||||
Residential mortgage loan repurchase liability | 1,758,509 | |||||
Derivative liabilities | 57,224 | |||||
Liabilities, fair value | 25,649,160 | |||||
Recurring Basis | Fair Value | ||||||
Assets | ||||||
Excess MSRs | 337,050 | |||||
Mortgage servicing rights, at fair value | 8,626,409 | |||||
Servicer advance investments | 379,901 | |||||
Real estate and other securities | 7,988,802 | |||||
Residential mortgage loans, held-for-sale | 118,299 | |||||
Residential mortgage loans, held-for-sale, at fair value | 5,293,937 | |||||
Residential mortgage loans, held-for-investment, at fair value | 510,744 | |||||
Residential mortgage loans subject to repurchase | 1,758,509 | |||||
Consumer loans | 423,735 | |||||
Mortgage loans receivable | 1,756,079 | |||||
Notes receivable | 52,692 | |||||
Loans receivable | 164,901 | |||||
Cash, cash equivalents and restricted cash | 1,944,808 | |||||
Other assets | 28,965 | |||||
Derivative assets | 194,507 | |||||
Assets, fair value | 29,579,338 | |||||
Liabilities | ||||||
Secured financing agreements | 13,967,234 | |||||
Secured notes and bonds payable | 9,521,247 | |||||
Notes Payable, Fair Value Disclosure | 478,841 | |||||
Residential mortgage loan repurchase liability | 1,758,509 | |||||
Derivative liabilities | 57,224 | |||||
Liabilities, fair value | 25,783,055 | |||||
Recurring Basis | Fair Value | Level 1 | ||||||
Assets | ||||||
Excess MSRs | 0 | |||||
Mortgage servicing rights, at fair value | 0 | |||||
Servicer advance investments | 0 | |||||
Real estate and other securities | 0 | |||||
Residential mortgage loans, held-for-sale | 0 | |||||
Residential mortgage loans, held-for-sale, at fair value | 0 | |||||
Residential mortgage loans, held-for-investment, at fair value | 0 | |||||
Residential mortgage loans subject to repurchase | 0 | |||||
Consumer loans | 0 | |||||
Mortgage loans receivable | 0 | |||||
Notes receivable | 0 | |||||
Loans receivable | 0 | |||||
Cash, cash equivalents and restricted cash | 1,944,808 | |||||
Other assets | 1,754 | |||||
Derivative assets | 0 | |||||
Assets, fair value | 1,946,562 | |||||
Liabilities | ||||||
Secured financing agreements | 0 | |||||
Secured notes and bonds payable | 0 | |||||
Notes Payable, Fair Value Disclosure | 0 | |||||
Residential mortgage loan repurchase liability | 0 | |||||
Derivative liabilities | 0 | |||||
Liabilities, fair value | 0 | |||||
Recurring Basis | Fair Value | Level 2 | ||||||
Assets | ||||||
Excess MSRs | 0 | |||||
Mortgage servicing rights, at fair value | 0 | |||||
Servicer advance investments | 0 | |||||
Real estate and other securities | 7,064,068 | |||||
Residential mortgage loans, held-for-sale | 0 | |||||
Residential mortgage loans, held-for-sale, at fair value | 4,736,171 | |||||
Residential mortgage loans, held-for-investment, at fair value | 0 | |||||
Residential mortgage loans subject to repurchase | 1,758,509 | |||||
Consumer loans | 0 | |||||
Mortgage loans receivable | 352,867 | |||||
Notes receivable | 0 | |||||
Loans receivable | 0 | |||||
Cash, cash equivalents and restricted cash | 0 | |||||
Other assets | 0 | |||||
Derivative assets | 120,723 | |||||
Assets, fair value | 14,032,338 | |||||
Liabilities | ||||||
Secured financing agreements | 13,967,234 | |||||
Secured notes and bonds payable | 1,074,062 | |||||
Notes Payable, Fair Value Disclosure | 0 | |||||
Residential mortgage loan repurchase liability | 1,758,509 | |||||
Derivative liabilities | 45,014 | |||||
Liabilities, fair value | 16,844,819 | |||||
Recurring Basis | Fair Value | Level 3 | ||||||
Assets | ||||||
Excess MSRs | 337,050 | |||||
Mortgage servicing rights, at fair value | 8,626,409 | |||||
Servicer advance investments | 379,901 | |||||
Real estate and other securities | 924,734 | |||||
Residential mortgage loans, held-for-sale | 118,299 | |||||
Residential mortgage loans, held-for-sale, at fair value | 557,766 | |||||
Residential mortgage loans, held-for-investment, at fair value | 510,744 | |||||
Residential mortgage loans subject to repurchase | 0 | |||||
Consumer loans | 423,735 | |||||
Mortgage loans receivable | 1,403,212 | |||||
Notes receivable | 52,692 | |||||
Loans receivable | 164,901 | |||||
Cash, cash equivalents and restricted cash | 0 | |||||
Other assets | 27,211 | |||||
Derivative assets | 73,784 | |||||
Assets, fair value | 13,600,438 | |||||
Liabilities | ||||||
Secured financing agreements | 0 | |||||
Secured notes and bonds payable | 8,447,185 | |||||
Notes Payable, Fair Value Disclosure | 478,841 | |||||
Residential mortgage loan repurchase liability | 0 | |||||
Derivative liabilities | 12,210 | |||||
Liabilities, fair value | 8,938,236 | |||||
Recurring Basis | Fair Value | Fair Value Measured at Net Asset Value Per Share | ||||||
Assets | ||||||
Other assets | $ 28,500 | |||||
[1]See Note 5 for details. |
FAIR VALUE MEASUREMENTS - Finan
FAIR VALUE MEASUREMENTS - Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Non-Agency RMBS | |||||
Gain (loss) included in net income | |||||
Gain (loss) on settlement of investments, net | $ 0 | $ (10,700) | $ (1,600) | $ (20,500) | |
Excess MSRs in Equity Method Investees | |||||
Purchases, sales and repayments | |||||
Rithm Capital’s percentage ownership | 50% | 50% | 50% | ||
Recurring Basis | Level 3 | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | $ 13,425,847 | ||||
Transfers | |||||
Transfers from Level 3 | (1,183,060) | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | (776) | ||||
Change in fair value of excess MSRs | (1,564) | ||||
Change in fair value of excess MSRs, equity method investees | 1,859 | ||||
Included in servicing revenue | 981,581 | ||||
Servicer advance investments | (1,797) | ||||
Residential mortgage loans | (132,397) | ||||
Consumer loans | (20,964) | ||||
Gain (loss) on settlement of investments, net | (45,391) | ||||
Other income (loss), net | (99,369) | ||||
Gains (losses) included in other comprehensive income | (25,620) | ||||
Interest income | 47,764 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 2,248,701 | ||||
Proceeds from sales | (1,870,682) | ||||
Proceeds from repayments | (1,627,539) | ||||
Originations and other | 1,746,125 | ||||
Balance, ending | $ 13,442,718 | 13,442,718 | |||
Recurring Basis | Level 3 | Servicer Advance Investments | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 421,807 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | (1,797) | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | 0 | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 6,854 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 500,000 | ||||
Proceeds from sales | |||||
Proceeds from repayments | (546,963) | ||||
Originations and other | 0 | ||||
Balance, ending | 379,901 | 379,901 | |||
Recurring Basis | Level 3 | Excess MSRs | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 344,947 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | (1,564) | ||||
Change in fair value of excess MSRs, equity method investees | 1,859 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 37 | ||||
Other income (loss), net | 0 | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 20,605 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 0 | ||||
Proceeds from sales | (997) | ||||
Proceeds from repayments | (27,837) | ||||
Originations and other | 0 | ||||
Balance, ending | 337,050 | 337,050 | |||
Recurring Basis | Level 3 | MSRs and MSR Financing Receivables | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 6,858,803 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 981,581 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | 0 | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 0 | ||||
Purchases, sales and repayments | |||||
Purchases, net | (613) | ||||
Proceeds from sales | (4,284) | ||||
Proceeds from repayments | 0 | ||||
Originations and other | 790,922 | ||||
Balance, ending | 8,626,409 | 8,626,409 | |||
Recurring Basis | Level 3 | Non-Agency RMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 951,942 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | (776) | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | (1,560) | ||||
Other income (loss), net | (36,803) | ||||
Gains (losses) included in other comprehensive income | (25,620) | ||||
Interest income | 5,818 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 148,590 | ||||
Proceeds from sales | 0 | ||||
Proceeds from repayments | (116,857) | ||||
Originations and other | 0 | ||||
Balance, ending | 924,734 | 924,734 | |||
Recurring Basis | Level 3 | Derivatives | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 111,778 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | (50,204) | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 0 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 0 | ||||
Proceeds from sales | 0 | ||||
Proceeds from repayments | 0 | ||||
Originations and other | 0 | ||||
Balance, ending | 61,574 | 61,574 | |||
Recurring Basis | Level 3 | Properties and Residential Mortgage Loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 2,423,337 | ||||
Transfers | |||||
Transfers from Level 3 | (776,774) | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | (132,397) | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | (2,734) | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 0 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 1,586,374 | ||||
Proceeds from sales | (1,865,401) | ||||
Proceeds from repayments | (162,733) | ||||
Originations and other | (1,162) | ||||
Balance, ending | 1,068,510 | 1,068,510 | |||
Recurring Basis | Level 3 | Consumer Loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 507,291 | ||||
Transfers | |||||
Transfers from Level 3 | 0 | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Consumer loans | (20,964) | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | 0 | ||||
Gains (losses) included in other comprehensive income | |||||
Interest income | 7,695 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 14,350 | ||||
Proceeds from sales | 0 | ||||
Proceeds from repayments | 0 | ||||
Originations and other | (84,637) | ||||
Balance, ending | 423,735 | 423,735 | |||
Recurring Basis | Level 3 | Notes and Loans Receivable | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 290,180 | ||||
Transfers | |||||
Transfers from Level 3 | (1,000) | ||||
Transfers to Level 3 | 0 | ||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | 0 | ||||
Change in fair value of excess MSRs | 0 | ||||
Change in fair value of excess MSRs, equity method investees | 0 | ||||
Included in servicing revenue | 0 | ||||
Servicer advance investments | 0 | ||||
Residential mortgage loans | 0 | ||||
Consumer loans | 0 | ||||
Gain (loss) on settlement of investments, net | 0 | ||||
Other income (loss), net | (9,628) | ||||
Gains (losses) included in other comprehensive income | 0 | ||||
Interest income | 6,792 | ||||
Purchases, sales and repayments | |||||
Purchases, net | 0 | ||||
Proceeds from sales | 0 | ||||
Proceeds from repayments | (68,751) | ||||
Originations and other | 0 | ||||
Balance, ending | 217,593 | 217,593 | |||
Recurring Basis | Level 3 | Mortgage Loans Receivable | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning | 1,515,762 | ||||
Transfers | |||||
Transfers from Level 3 | (405,286) | ||||
Transfers to Level 3 | |||||
Gain (loss) included in net income | |||||
Reversal for credit losses on securities | |||||
Change in fair value of excess MSRs | |||||
Change in fair value of excess MSRs, equity method investees | |||||
Included in servicing revenue | |||||
Servicer advance investments | |||||
Residential mortgage loans | |||||
Consumer loans | |||||
Gain (loss) on settlement of investments, net | (43,868) | ||||
Other income (loss), net | |||||
Gains (losses) included in other comprehensive income | |||||
Interest income | |||||
Purchases, sales and repayments | |||||
Purchases, net | |||||
Proceeds from sales | |||||
Proceeds from repayments | (704,398) | ||||
Originations and other | 1,041,002 | ||||
Balance, ending | $ 1,403,212 | $ 1,403,212 |
FAIR VALUE MEASUREMENTS - Fin_2
FAIR VALUE MEASUREMENTS - Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs (Details) - Recurring Basis - Asset Backed Securities Issued $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Purchases, sales and repayments | |
Balance, ending | $ 698,100 |
Level 3 | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance, beginning | 511,107 |
Transfers | |
Gains (losses) included in net income | |
Other income | (28,503) |
Purchases, sales and repayments | |
Proceeds from sales | 0 |
Payments | (101,942) |
Other | 0 |
Balance, ending | $ 380,662 |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information Regarding Inputs used in Valuing Excess MSRs Owned Directly and through Equity Method Investees (Details) | 6 Months Ended |
Jun. 30, 2022 $ / Loan | |
Prepayment Rate | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Prepayment Rate | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.048 |
Prepayment Rate | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.005 |
Prepayment Rate | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.833 |
Prepayment Rate | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.079 |
Prepayment Rate | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.005 |
Prepayment Rate | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.832 |
Prepayment Rate | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.074 |
Prepayment Rate | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.018 |
Prepayment Rate | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.833 |
Prepayment Rate | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.078 |
Prepayment Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.042 |
Prepayment Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.823 |
Prepayment Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.096 |
Prepayment Rate | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Prepayment Rate | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.047 |
Prepayment Rate | Directly Held | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.033 |
Prepayment Rate | Directly Held | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.060 |
Prepayment Rate | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.047 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.033 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.054 |
Prepayment Rate | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.043 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.033 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.060 |
Prepayment Rate | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.045 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.031 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.057 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.031 |
Prepayment Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.025 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.091 |
Prepayment Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.050 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.045 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.049 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.047 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.059 |
Prepayment Rate | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.053 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.045 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.049 |
Prepayment Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.046 |
Delinquency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.086 |
Delinquency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.020 |
Delinquency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.750 |
Delinquency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.038 |
Delinquency | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.750 |
Delinquency | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.015 |
Delinquency | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.004 |
Delinquency | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.667 |
Delinquency | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.121 |
Delinquency | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.750 |
Delinquency | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.072 |
Delinquency | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.086 |
Delinquency | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.027 |
Delinquency | Directly Held | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.061 |
Delinquency | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Delinquency | Directly Held | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.014 |
Delinquency | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.005 |
Delinquency | Directly Held | Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.061 |
Delinquency | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Delinquency | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.086 |
Delinquency | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.062 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.002 |
Delinquency | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.002 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.001 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.086 |
Delinquency | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.062 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.002 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.005 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.002 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.012 |
Delinquency | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Recapture Rate | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.098 |
Recapture Rate | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Recapture Rate | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.603 |
Recapture Rate | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.100 |
Recapture Rate | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.603 |
Recapture Rate | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.058 |
Recapture Rate | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.017 |
Recapture Rate | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.346 |
Recapture Rate | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.088 |
Recapture Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.024 |
Recapture Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.144 |
Recapture Rate | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.071 |
Recapture Rate | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.098 |
Recapture Rate | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.022 |
Recapture Rate | Directly Held | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Recapture Rate | Directly Held | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.081 |
Recapture Rate | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.021 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.073 |
Recapture Rate | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.014 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.081 |
Recapture Rate | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.018 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.098 |
Recapture Rate | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.032 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.006 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.050 |
Recapture Rate | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.010 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.098 |
Recapture Rate | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.027 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.030 |
Recapture Rate | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.019 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.011 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.030 |
Recapture Rate | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.023 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.007 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.025 |
Recapture Rate | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.017 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0006 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0031 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0020 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0001 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0213 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0033 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0001 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0100 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0029 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0019 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0213 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0048 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0018 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0082 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0040 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0006 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0031 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0019 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0031 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0021 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0020 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0027 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0023 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0031 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0022 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0006 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0025 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0022 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0025 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0023 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0006 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0025 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0017 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0026 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0022 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Original Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0015 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Original Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0025 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0019 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Servicing asset, measurement input | 0.0021 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Servicing asset, measurement input | 0.0026 |
Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps) | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 0.0024 |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 11 years |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 29 years |
Collateral Weighted Average Maturity (Years) | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 40 years |
Collateral Weighted Average Maturity (Years) | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 40 years |
Collateral Weighted Average Maturity (Years) | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 31 years |
Collateral Weighted Average Maturity (Years) | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 24 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 0 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 37 years |
Collateral Weighted Average Maturity (Years) | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 28 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 11 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 29 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 11 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 11 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 17 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 29 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 17 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 29 years |
Collateral Weighted Average Maturity (Years) | Directly Held | Non-Agency | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 23 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Excess MSRs | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 16 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Excess MSRs | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Excess MSRs | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Original Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 16 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Original Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 18 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Original Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 17 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Recaptured Pools | Minimum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 20 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Recaptured Pools | Maximum | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Held through Equity Method Investees | Agency | Recaptured Pools | Weighted Average | |
Directly Held | |
Collateral Weighted Average Maturity (Years) | 21 years |
Measurement Input, Servicing Cost | Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 6.10 |
Measurement Input, Servicing Cost | Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 7 |
Measurement Input, Servicing Cost | Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 6.70 |
Measurement Input, Servicing Cost | Non-Agency | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 7.30 |
Measurement Input, Servicing Cost | Non-Agency | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 15.10 |
Measurement Input, Servicing Cost | Non-Agency | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 10.10 |
Measurement Input, Servicing Cost | Ginnie Mae | MSRs and MSR Financing Receivables | Minimum | |
Directly Held | |
Servicing asset, measurement input | 8.20 |
Measurement Input, Servicing Cost | Ginnie Mae | MSRs and MSR Financing Receivables | Maximum | |
Directly Held | |
Servicing asset, measurement input | 8.30 |
Measurement Input, Servicing Cost | Ginnie Mae | MSRs and MSR Financing Receivables | Weighted Average | |
Directly Held | |
Servicing asset, measurement input | 8.30 |
FAIR VALUE MEASUREMENTS - Narra
FAIR VALUE MEASUREMENTS - Narrative (Details) $ in Millions | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Fair Value, Measurements, Nonrecurring | |
Schedule of Equity Method Investments [Line Items] | |
Assets, fair value | $ 81.8 |
Residential Mortgage Loans, Held-for-Sale | Fair Value, Measurements, Nonrecurring | |
Schedule of Equity Method Investments [Line Items] | |
Assets, fair value | 71.3 |
Real Estate Acquired in Satisfaction of Debt | Fair Value, Measurements, Nonrecurring | |
Schedule of Equity Method Investments [Line Items] | |
Assets, fair value | 10.5 |
Residential mortgage loans, held-for-sale, at fair value | |
Schedule of Equity Method Investments [Line Items] | |
Asset fair value adjustment | 5.3 |
Real Estate Owned | |
Schedule of Equity Method Investments [Line Items] | |
Asset fair value adjustment | $ 0.7 |
Weighted Average | |
Schedule of Equity Method Investments [Line Items] | |
Broker price discount | 19% |
Minimum | |
Schedule of Equity Method Investments [Line Items] | |
Broker price discount | 10% |
Maximum | |
Schedule of Equity Method Investments [Line Items] | |
Broker price discount | 25% |
Excess MSR Joint Ventures | Weighted Average | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7.80% |
Excess MSR Joint Ventures | Minimum | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7.50% |
Excess MSR Joint Ventures | Maximum | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 8% |
MSRs | Weighted Average | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7.50% |
MSRs | Minimum | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7% |
MSRs | Maximum | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 9% |
MSRs | Excess MSR Joint Ventures | |
Schedule of Equity Method Investments [Line Items] | |
Discount rate | 7.80% |
London Interbank Offered Rate (LIBOR) | MSRs and MSR Financing Receivables | |
Schedule of Equity Method Investments [Line Items] | |
Variable interest rate spread | 2.10% |
FAIR VALUE MEASUREMENTS - Inf_2
FAIR VALUE MEASUREMENTS - Information Regarding the Inputs used in Valuing the Servicer Advances (Details) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value inputs, monthly servicing fee | 1,090% |
Servicer Advances | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 0.90% |
Mortgage Servicing Amount | 0.00174 |
Servicer Advances | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.80% |
Mortgage Servicing Amount | 0.00198 |
Servicer Advances | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans | 1.80% |
Mortgage Servicing Amount | 0.00198 |
Prepayment Rate | Servicer Advances | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.045 |
Prepayment Rate | Servicer Advances | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.060 |
Prepayment Rate | Servicer Advances | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.059 |
Delinquency | Servicer Advances | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.036 |
Delinquency | Servicer Advances | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.155 |
Delinquency | Servicer Advances | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.152 |
Discount Rate | Servicer Advances | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.052 |
Discount Rate | Servicer Advances | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.057 |
Discount Rate | Servicer Advances | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Servicing asset, measurement input | 0.052 |
Collateral Weighted Average Maturity (Years) | Servicer Advances | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Collateral Weighted Average Maturity (Years) | 22 years |
Collateral Weighted Average Maturity (Years) | Servicer Advances | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Collateral Weighted Average Maturity (Years) | 22 years 2 months 12 days |
Collateral Weighted Average Maturity (Years) | Servicer Advances | Weighted Average | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Collateral Weighted Average Maturity (Years) | 22 years |
FAIR VALUE MEASUREMENTS - Secur
FAIR VALUE MEASUREMENTS - Securities Valuation Methodology and Results (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 USD ($) source | Dec. 31, 2021 USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | $ 25,301,502 | |
Amortized Cost Basis | 9,141,163 | |
Real estate and other securities | $ 7,988,802 | $ 9,396,539 |
Number of broker quotation sources | source | 2 | |
Percent of securities | 53% | |
Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 7,988,802 | |
Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 0 | |
RMBS Designated as AFS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 7,996,986 | |
Amortized Cost Basis | 8,219,305 | |
RMBS Designated as AFS | Level 2 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 7,064,068 | |
RMBS Designated as AFS | Level 2 | Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 7,064,068 | |
RMBS Designated as AFS | Level 2 | Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 0 | |
Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Outstanding Face Amount | 17,304,516 | |
Amortized Cost Basis | 921,858 | |
Fair Value | 489,732 | |
Non-Agency RMBS | Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 924,734 | |
Non-Agency RMBS | Level 3 | Multiple Quotes | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | 924,734 | |
Non-Agency RMBS | Level 3 | Single Quote | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Real estate and other securities | $ 0 | |
Non-Agency RMBS | Minimum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.035 | |
Non-Agency RMBS | Minimum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0 | |
Non-Agency RMBS | Minimum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0 | |
Non-Agency RMBS | Minimum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0 | |
Non-Agency RMBS | Maximum | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.150 | |
Non-Agency RMBS | Maximum | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.250 | |
Non-Agency RMBS | Maximum | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.120 | |
Non-Agency RMBS | Maximum | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.880 | |
Non-Agency RMBS | Weighted Average | Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.052 | |
Non-Agency RMBS | Weighted Average | Prepayment Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.089 | |
Non-Agency RMBS | Weighted Average | Delinquency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.015 | |
Non-Agency RMBS | Weighted Average | Loss Severity | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Non agency RMBS, measurement input | 0.263 |
FAIR VALUE MEASUREMENTS - Sched
FAIR VALUE MEASUREMENTS - Schedule of Inputs Used In Valuing Residential Mortgage Loans, Consumer Loans, Mortgage Loans Receivable, Derivatives, and Mortgage Backed Securities (Details) $ in Thousands | Jun. 30, 2022 USD ($) security | Dec. 31, 2021 USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Mortgage loans receivable, at fair value | [1] | $ 1,756,079 | $ 1,515,762 |
Residential Mortgage Loans Held-for-Sale, At Fair Value | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held-for-sale, fair value | 557,766 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans, held-for-investment, fair value | $ 510,744 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.033 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.021 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.003 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Minimum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.040 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.075 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.200 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.188 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Maximum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.945 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.073 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.078 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.047 | ||
Residential Mortgage Loans, Held-for-Investment, at Fair Value | Weighted Average | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for investment, measurement input | 0.684 | ||
Consumer Loans Held-for-Investment, At Fair Value | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans | $ 423,735 | ||
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0 | ||
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0 | ||
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0 | ||
Consumer Loans Held-for-Investment, At Fair Value | Minimum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0 | ||
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.080 | ||
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.230 | ||
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.040 | ||
Consumer Loans Held-for-Investment, At Fair Value | Maximum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.520 | ||
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.080 | ||
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.230 | ||
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.040 | ||
Consumer Loans Held-for-Investment, At Fair Value | Weighted Average | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Consumer loans, held-for-investment, measurement input | 0.520 | ||
Mortgage Loans Receivable | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Mortgage loans receivable, at fair value | $ 1,403,212 | ||
Mortgage Loans Receivable | Minimum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Mortgage loans receivable, at fair value, measurement input | security | 0.055 | ||
Mortgage Loans Receivable | Maximum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Mortgage loans receivable, at fair value, measurement input | security | 0.075 | ||
Mortgage Loans Receivable | Weighted Average | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Mortgage loans receivable, at fair value, measurement input | security | 0.065 | ||
Interest rate lock commitments | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, fair value | $ 61,574 | ||
Interest rate lock commitments | Minimum | Loan Funding Probability | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 0 | ||
Interest rate lock commitments | Minimum | Fair Value of Initial Servicing Rights (Bps) | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 0.00024 | ||
Interest rate lock commitments | Maximum | Loan Funding Probability | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 1 | ||
Interest rate lock commitments | Maximum | Fair Value of Initial Servicing Rights (Bps) | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 0.04172 | ||
Interest rate lock commitments | Weighted Average | Loan Funding Probability | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 0.806 | ||
Interest rate lock commitments | Weighted Average | Fair Value of Initial Servicing Rights (Bps) | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Derivative, measurement input | 0.01870 | ||
Mortgage-Backed Securities Issued | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, fair value | $ 380,662 | ||
Mortgage-Backed Securities Issued | Minimum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.033 | ||
Mortgage-Backed Securities Issued | Minimum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.226 | ||
Mortgage-Backed Securities Issued | Minimum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.003 | ||
Mortgage-Backed Securities Issued | Minimum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.200 | ||
Mortgage-Backed Securities Issued | Maximum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.054 | ||
Mortgage-Backed Securities Issued | Maximum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.400 | ||
Mortgage-Backed Securities Issued | Maximum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.040 | ||
Mortgage-Backed Securities Issued | Maximum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.924 | ||
Mortgage-Backed Securities Issued | Weighted Average | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.052 | ||
Mortgage-Backed Securities Issued | Weighted Average | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.236 | ||
Mortgage-Backed Securities Issued | Weighted Average | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.038 | ||
Mortgage-Backed Securities Issued | Weighted Average | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.880 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held-for-sale, fair value | $ 536,592 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.043 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.021 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.002 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Minimum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.040 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.075 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.161 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.188 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Maximum | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.574 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Discount Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.046 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Prepayment Rate | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.094 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Delinquency | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.011 | ||
Non-Purchased Credit Deteriorated | Residential Mortgage Loans Held-for-Sale, At Fair Value | Weighted Average | Loss Severity | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held for sale, measurement input | 0.265 | ||
Originated | Residential Mortgage Loans Held-for-Sale, At Fair Value | |||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |||
Loans held-for-sale, fair value | $ 21,174 | ||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
FAIR VALUE MEASUREMENTS - Sch_2
FAIR VALUE MEASUREMENTS - Schedule of Inputs Used in Valuing Assets and Liabilities At Fair Value (Details) - Fair Value, Measurements, Nonrecurring - Fair Value $ in Thousands | 6 Months Ended |
Jun. 30, 2022 USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value and Carrying Value | $ 71,347 |
Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.071 |
Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 10 months 24 days |
Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.056 |
Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.054 |
Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.475 |
Performing loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value and Carrying Value | $ 57,750 |
Non-performing loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value and Carrying Value | $ 13,597 |
Minimum | Performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.070 |
Minimum | Performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 7 months 6 days |
Minimum | Performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.056 |
Minimum | Performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.022 |
Minimum | Performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.482 |
Minimum | Non-performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.075 |
Minimum | Non-performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 4 months 24 days |
Minimum | Non-performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.021 |
Minimum | Non-performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.165 |
Minimum | Non-performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.326 |
Maximum | Performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.070 |
Maximum | Performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 5 years |
Maximum | Performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.087 |
Maximum | Performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.049 |
Maximum | Performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.514 |
Maximum | Non-performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.075 |
Maximum | Non-performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 7 months 6 days |
Maximum | Non-performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.026 |
Maximum | Non-performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.188 |
Maximum | Non-performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.396 |
Weighted Average | Performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.070 |
Weighted Average | Performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 10 months 24 days |
Weighted Average | Performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.063 |
Weighted Average | Performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.028 |
Weighted Average | Performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.506 |
Weighted Average | Non-performing loans | Discount Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.075 |
Weighted Average | Non-performing loans | Weighted Average Life (Years) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, term | 4 years 7 months 6 days |
Weighted Average | Non-performing loans | Prepayment Rate | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.026 |
Weighted Average | Non-performing loans | Delinquency | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.165 |
Weighted Average | Non-performing loans | Loss Severity | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Financing receivable, measurement input | 0.341 |
VARIABLE INTEREST ENTITIES - Na
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 6 Months Ended | ||||
May 31, 2021 | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Sep. 25, 2020 | |
Variable Interest Entity [Line Items] | ||||||
Face amount of debt | $ 23,340,461 | |||||
Long-term debt | 23,890,341 | |||||
Recurring Basis | Mortgage Loans Receivable Securitization | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset value | $ 40,000 | |||||
2022-RTL1 Securitization | Mortgage Loans Receivable | ||||||
Variable Interest Entity [Line Items] | ||||||
Debt instrument, term | 36 months | |||||
Advance Purchaser LLC | ||||||
Variable Interest Entity [Line Items] | ||||||
Capital distributed to third-party co-investors | $ 71,500 | |||||
Capital distributed to New Residential | $ 597,900 | |||||
Advance Purchaser LLC | Corporate Joint Venture | ||||||
Variable Interest Entity [Line Items] | ||||||
Rithm Capital’s percentage ownership | 89.30% | 89.30% | 73.20% | |||
Consumer Loan SPVs | ||||||
Variable Interest Entity [Line Items] | ||||||
Ownership interest | 53.50% | |||||
Securitization Notes Payable | 2022-RTL1 Securitization | ||||||
Variable Interest Entity [Line Items] | ||||||
Face amount of debt | $ 472,100 | |||||
Long-term debt | $ 352,900 | |||||
VIE, consolidated | ||||||
Variable Interest Entity [Line Items] | ||||||
Capital distributed to third-party co-investors | $ 71,500 | |||||
Capital distributed to New Residential | $ 597,900 | |||||
VIE, consolidated | Securitization Notes Payable | ||||||
Variable Interest Entity [Line Items] | ||||||
Face amount of debt | $ 750,000 | |||||
Debt instrument, term | 3 years | |||||
VIE, consolidated | Securitization Notes Payable | Consumer Loan SPVs | ||||||
Variable Interest Entity [Line Items] | ||||||
Face amount of debt | $ 663,000 |
VARIABLE INTEREST ENTITIES - Va
VARIABLE INTEREST ENTITIES - Variable Interest Entities, Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | ||
Assets | |||||
Excess mortgage servicing rights, at fair value | $ 337,050 | $ 344,947 | |||
Servicer advance investments, at fair value | [1] | 379,901 | 421,807 | ||
Residential mortgage loans, held-for-investment, at fair value | [1] | 934,479 | 1,077,224 | ||
Residential mortgage loans, held-for-sale, at fair value | 5,293,936 | 11,214,924 | |||
Cash and cash equivalents | 1,510,848 | 1,332,575 | [1] | $ 956,242 | |
Restricted cash | 433,960 | ||||
Servicer advances receivable | [1] | 2,560,696 | 2,855,148 | ||
Other assets | [1] | 1,928,898 | 2,028,752 | ||
Total assets | 34,553,847 | 39,742,190 | |||
Liabilities | |||||
Secured financing agreements | [1] | 13,967,234 | 20,592,884 | ||
Accrued expenses and other liabilities | [1] | 1,771,000 | 1,358,768 | ||
Total liabilities | 27,490,849 | 33,072,810 | |||
VIE, consolidated | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 617,658 | 403,301 | |||
Servicer advance investments, at fair value | 367,653 | 409,475 | |||
Residential mortgage loans, held-for-investment, at fair value | 26,479 | 93,226 | |||
Residential mortgage loans, held-for-sale, at fair value | 735,235 | 798,644 | |||
Consumer loans | 423,735 | 507,291 | |||
Mortgage loans receivable | 352,867 | ||||
Cash and cash equivalents | 97,527 | 74,028 | |||
Restricted cash | 238,705 | 9,630 | |||
Servicer advances receivable | 98,331 | 94,306 | |||
Other assets | 619,329 | 367,885 | |||
Total assets | 3,577,519 | 2,757,786 | |||
Liabilities | |||||
Secured financing agreements | 451,596 | 24,683 | |||
Secured notes and bonds payable | 2,361,811 | 2,070,792 | |||
Accrued expenses and other liabilities | 89,929 | 46,324 | |||
Total liabilities | 2,903,336 | 2,141,799 | |||
VIE, consolidated | The Buyer | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 367,653 | 409,475 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 36,479 | 33,777 | |||
Restricted cash | 2,092 | 2,210 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 9 | 9 | |||
Total assets | 406,233 | 445,471 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 315,294 | 348,670 | |||
Accrued expenses and other liabilities | 929 | 806 | |||
Total liabilities | 316,223 | 349,476 | |||
VIE, consolidated | Shelter Joint Ventures | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 33,372 | 37,369 | |||
Restricted cash | 0 | 0 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 1,347 | 903 | |||
Total assets | 34,719 | 38,272 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 0 | 0 | |||
Accrued expenses and other liabilities | 7,786 | 6,588 | |||
Total liabilities | 7,786 | 6,588 | |||
VIE, consolidated | Residential Mortgage Loans | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 26,479 | 93,226 | |||
Residential mortgage loans, held-for-sale, at fair value | 735,235 | 798,644 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 27,676 | 2,882 | |||
Restricted cash | 224,940 | 171 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 266,756 | 2,902 | |||
Total assets | 1,281,086 | 897,825 | |||
Liabilities | |||||
Secured financing agreements | 451,596 | 24,683 | |||
Secured notes and bonds payable | 771,584 | 802,526 | |||
Accrued expenses and other liabilities | 38,270 | 10,163 | |||
Total liabilities | 1,261,450 | 837,372 | |||
VIE, consolidated | Consumer Loan SPVs | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 423,735 | 507,291 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 0 | 0 | |||
Restricted cash | 6,902 | 7,249 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 5,827 | 6,851 | |||
Total assets | 436,464 | 521,391 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 357,663 | 458,580 | |||
Accrued expenses and other liabilities | 922 | 862 | |||
Total liabilities | 358,585 | 459,442 | |||
VIE, consolidated | Servicer Advance Facilities | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 0 | 0 | |||
Restricted cash | 0 | 0 | |||
Servicer advances receivable | 98,331 | 94,306 | |||
Other assets | 30,253 | 24,699 | |||
Total assets | 128,584 | 119,005 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 85,949 | 93,145 | |||
Accrued expenses and other liabilities | 41,551 | 27,771 | |||
Total liabilities | 127,500 | 120,916 | |||
VIE, consolidated | MSR Financing Facilities | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 617,658 | 403,301 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 0 | ||||
Cash and cash equivalents | 0 | 0 | |||
Restricted cash | 0 | 0 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 315,050 | 332,521 | |||
Total assets | 932,708 | 735,822 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 513,907 | 367,871 | |||
Accrued expenses and other liabilities | 162 | 134 | |||
Total liabilities | 514,069 | 368,005 | |||
VIE, consolidated | Mortgage Loans Receivable | |||||
Assets | |||||
Excess mortgage servicing rights, at fair value | 0 | 0 | |||
Servicer advance investments, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-investment, at fair value | 0 | 0 | |||
Residential mortgage loans, held-for-sale, at fair value | 0 | 0 | |||
Consumer loans | 0 | 0 | |||
Mortgage loans receivable | 352,867 | ||||
Cash and cash equivalents | 0 | 0 | |||
Restricted cash | 4,771 | 0 | |||
Servicer advances receivable | 0 | 0 | |||
Other assets | 87 | 0 | |||
Total assets | 357,725 | 0 | |||
Liabilities | |||||
Secured financing agreements | 0 | 0 | |||
Secured notes and bonds payable | 317,414 | 0 | |||
Accrued expenses and other liabilities | 309 | 0 | |||
Total liabilities | $ 317,723 | $ 0 | |||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Variable Interest Entities, Characteristics (Details) - SAFT 2013-1 Securitization Entity - VIE, consolidated - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Variable Interest Entity [Line Items] | ||
Residential mortgage loan UPB and other collateral | $ 11,481,471 | $ 11,855,823 |
Weighted average delinquency | 3.40% | 5.30% |
Net credit losses | $ 129,047 | $ 105,652 |
Face amount of debt held by third parties | 10,584,528 | 10,929,618 |
Carrying value of bonds retained by Rithm Capital | 905,695 | 1,014,469 |
Cash flows received by Rithm Capital on these bonds | $ 124,942 | $ 381,606 |
Number of days delinquent (in days) | 60 days |
VARIABLE INTEREST ENTITIES - Ot
VARIABLE INTEREST ENTITIES - Others' Interest in Equity of Consumer Loan Companies (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | ||
Noncontrolling Interest [Line Items] | |||||||||
Total consolidated equity | $ 7,062,998 | $ 6,166,151 | $ 7,062,998 | $ 6,166,151 | $ 7,184,712 | $ 6,669,380 | $ 5,621,813 | $ 5,429,684 | |
Others’ interest in equity of consolidated subsidiary | [1] | 69,171 | 69,171 | $ 65,348 | |||||
Net income (loss) | 33,331 | 145,726 | 723,262 | 447,062 | |||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 14,182 | $ 10,053 | $ 19,791 | $ 19,447 | |||||
Advance Purchaser LLC | Corporate Joint Venture | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Rithm Capital’s percentage ownership | 89.30% | 73.20% | 89.30% | 73.20% | 89.30% | ||||
VIE, consolidated | Advance Purchaser LLC | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Total consolidated equity | $ 90,011 | $ 90,011 | $ 95,995 | ||||||
Others’ interest in equity of consolidated subsidiary | 9,613 | 9,613 | 10,251 | ||||||
Net income (loss) | 380 | $ (6,817) | 2,515 | $ (1,932) | |||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 41 | (1,825) | 269 | (517) | |||||
VIE, consolidated | Shelter Joint Ventures | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Total consolidated equity | 26,933 | 26,933 | 31,684 | ||||||
Others’ interest in equity of consolidated subsidiary | 13,345 | 13,345 | 15,683 | ||||||
Net income (loss) | 2,597 | 6,516 | 3,419 | 13,639 | |||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | 1,287 | 3,225 | 1,694 | 6,750 | |||||
VIE, consolidated | Consumer Loan SPVs | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Total consolidated equity | 98,205 | 98,205 | 83,597 | ||||||
Others’ interest in equity of consolidated subsidiary | 46,213 | 46,213 | $ 39,414 | ||||||
Net income (loss) | 27,642 | 18,608 | 38,340 | 28,417 | |||||
Noncontrolling interests in income (loss) of consolidated subsidiaries | $ 12,854 | $ 8,653 | $ 17,828 | $ 13,214 | |||||
VIE, consolidated | Advance Purchaser LLC | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 10.70% | 10.70% | 10.70% | ||||||
VIE, consolidated | Advance Purchaser LLC | Weighted Average | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 10.70% | 26.80% | 10.70% | 26.80% | |||||
VIE, consolidated | Shelter Joint Ventures | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 49.50% | 49.50% | 49.50% | ||||||
VIE, consolidated | Shelter Joint Ventures | Weighted Average | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 49.50% | 49.50% | 49.50% | 49.50% | |||||
VIE, consolidated | Consumer Loan SPVs | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% | ||||||
VIE, consolidated | Consumer Loan SPVs | Weighted Average | |||||||||
Noncontrolling Interest [Line Items] | |||||||||
Others’ ownership interest | 46.50% | 46.50% | 46.50% | 46.50% | |||||
[1]The Company's Consolidated Balance Sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Rithm Capital). As of June 30, 2022, and December 31, 2021, total assets of consolidated VIEs were $3.6 billion and $2.8 billion, respectively, and total liabilities of consolidated VIEs were $2.9 billion and $2.1 billion, respectively. See Note 20 for further details. |
EQUITY AND EARNINGS PER SHARE -
EQUITY AND EARNINGS PER SHARE - Narrative (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||
Jun. 17, 2022 | Sep. 22, 2021 | Sep. 17, 2021 | May 19, 2021 | Apr. 16, 2021 | Apr. 14, 2021 | May 19, 2020 | Sep. 30, 2021 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Common stock, shares authorized (in shares) | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 | ||||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||||
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||
Number of shares issued (in shares) | 52,038,000 | 52,210,000 | |||||||||||||||
Shares issued, price per share (in dollars per share) | $ 10.89 | $ 10.10 | |||||||||||||||
Options exercised (in shares) | 1,600,000 | 6,725,000 | 0 | ||||||||||||||
Options granted (in shares) | 0 | ||||||||||||||||
Liquidation preference per share (in dollars per share) | 25 | $ 25 | |||||||||||||||
Shares repurchased | $ 3,800,000 | ||||||||||||||||
Weighted average price of shares repurchased (in dollars per share) | $ 22.20 | ||||||||||||||||
Dividends declared on preferred stock (in dollars per share) | 1.76 | $ 1.32 | 3.51 | $ 2.63 | |||||||||||||
Fair value of warrants | $ 53,500,000 | ||||||||||||||||
Share price (in dollars per share) | $ 9.32 | $ 9.32 | |||||||||||||||
Common Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Authorized repurchase amount | $ 200,000,000 | ||||||||||||||||
Preferred Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Authorized repurchase amount | $ 100,000,000 | ||||||||||||||||
Underwritten Public Option | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 45,000,000 | ||||||||||||||||
Shares issued, price per share (in dollars per share) | $ 10.10 | ||||||||||||||||
Over-Allotment Option | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 2,550,000 | 6,750,000 | |||||||||||||||
Shares issued, price per share (in dollars per share) | $ 24.21 | $ 10.10 | |||||||||||||||
Distribution Agreement | Common Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 0 | ||||||||||||||||
Net proceeds from liquidation | $ 500,000,000 | ||||||||||||||||
Share-based Payment Arrangement, Nonemployee | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Options granted (in shares) | 1,900,000 | 5,200,000 | |||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Options granted (in shares) | 43,400,000 | ||||||||||||||||
Exercise price range, lower range limit (in dollars per share) | $ 6.11 | ||||||||||||||||
Exercise price range, upper range limit (in dollars per share) | $ 7.94 | ||||||||||||||||
Expected term (in years) | 3 years | ||||||||||||||||
Risk free interest rate | 0.24% | ||||||||||||||||
Expected volatility rate | 35% | ||||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | Exercise Price One | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Shares exercisable (in shares) | 24,600,000 | ||||||||||||||||
Exercise price (in dollars per share) | $ 6.11 | ||||||||||||||||
Share-based Payment Arrangement, Nonemployee | Warrant | Exercise Price Two | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Shares exercisable (in shares) | 18,900,000 | ||||||||||||||||
Exercise price (in dollars per share) | $ 7.94 | ||||||||||||||||
7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Preferred stock, par values (in dollars per share) | $ 0.01 | ||||||||||||||||
Number of shares issued (in shares) | 18,600,000 | 18,600,000 | |||||||||||||||
Net proceeds from liquidation | $ 449,500,000 | ||||||||||||||||
Interest rate | 7% | 7% | |||||||||||||||
Liquidation preference per share (in dollars per share) | $ 25 | ||||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.44 | $ 0.44 | 0 | $ 0.88 | 0 | ||||||||||||
Preferred dividends | $ 8,100,000 | ||||||||||||||||
7.00% Fixed-Rate Reset Series D Cumulative Redeemable Preferred Stock | Underwritten Public Option | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 17,000,000 | ||||||||||||||||
7.50% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 6,210,000 | 6,210,000 | |||||||||||||||
Interest rate | 7.50% | ||||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.47 | 0.47 | 0.47 | $ 0.94 | 0.94 | ||||||||||||
Preferred dividends | $ 2,900,000 | ||||||||||||||||
7.125% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 11,300,000 | 11,300,000 | |||||||||||||||
Interest rate | 7.125% | ||||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.45 | 0.45 | 0.45 | $ 0.89 | 0.89 | ||||||||||||
Preferred dividends | $ 5,000,000 | ||||||||||||||||
6.375% Series C Preferred Stock | |||||||||||||||||
Share-based Payment Arrangement, Option, Exercise Price Range [Line Items] | |||||||||||||||||
Number of shares issued (in shares) | 15,928,000 | 16,100,000 | |||||||||||||||
Interest rate | 6.375% | ||||||||||||||||
Dividends declared on preferred stock (in dollars per share) | $ 0.40 | $ 0.40 | $ 0.40 | $ 0.80 | $ 0.80 | ||||||||||||
Preferred dividends | $ 6,300,000 |
EQUITY AND EARNINGS PER SHARE_2
EQUITY AND EARNINGS PER SHARE - Schedule of Preferred Shares (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||
Jun. 17, 2022 | Sep. 17, 2021 | Sep. 30, 2021 | Feb. 29, 2020 | Aug. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||||||||||
Number of shares issued (in shares) | 52,038 | 52,210 | |||||||||
Liquidation preference | $ 1,300,959 | $ 1,300,959 | $ 1,305,250 | ||||||||
Carrying Value(B) | $ 1,258,667 | $ 1,258,667 | |||||||||
Dividends (in dollars per share) | $ 1.76 | $ 1.32 | $ 3.51 | $ 2.63 | |||||||
Liquidation preference per share (in dollars per share) | $ 25 | $ 25 | |||||||||
7.50% Series A Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Interest rate | 7.50% | ||||||||||
Number of shares issued (in shares) | 6,210 | 6,210 | |||||||||
Liquidation preference | $ 155,250 | $ 155,250 | |||||||||
Issuance Discount | 3.15% | ||||||||||
Carrying Value(B) | $ 150,026 | $ 150,026 | |||||||||
Dividends (in dollars per share) | $ 0.47 | $ 0.47 | 0.47 | $ 0.94 | 0.94 | ||||||
7.125% Series B Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Interest rate | 7.125% | ||||||||||
Number of shares issued (in shares) | 11,300 | 11,300 | |||||||||
Liquidation preference | $ 282,500 | $ 282,500 | |||||||||
Issuance Discount | 3.15% | ||||||||||
Carrying Value(B) | $ 273,418 | $ 273,418 | |||||||||
Dividends (in dollars per share) | 0.45 | $ 0.45 | 0.45 | $ 0.89 | 0.89 | ||||||
6.375% Series C Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Interest rate | 6.375% | ||||||||||
Number of shares issued (in shares) | 15,928 | 16,100 | |||||||||
Liquidation preference | $ 398,209 | $ 398,209 | |||||||||
Issuance Discount | 3.15% | ||||||||||
Carrying Value(B) | $ 385,734 | $ 385,734 | |||||||||
Dividends (in dollars per share) | 0.40 | $ 0.40 | 0.40 | $ 0.80 | 0.80 | ||||||
7.00% Series D Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Interest rate | 7% | 7% | |||||||||
Number of shares issued (in shares) | 18,600 | 18,600 | |||||||||
Liquidation preference | $ 465,000 | $ 465,000 | |||||||||
Issuance Discount | 3.15% | ||||||||||
Carrying Value(B) | $ 449,489 | $ 449,489 | |||||||||
Dividends (in dollars per share) | $ 0.44 | $ 0.44 | $ 0 | $ 0.88 | $ 0 | ||||||
Liquidation preference per share (in dollars per share) | $ 25 |
EQUITY AND EARNINGS PER SHARE_3
EQUITY AND EARNINGS PER SHARE - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 6 Months Ended | ||||||||
Jun. 17, 2022 | Mar. 21, 2022 | Dec. 15, 2021 | Aug. 23, 2021 | Jun. 16, 2021 | Mar. 24, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Dividends Payable [Line Items] | ||||||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.25 | $ 0.20 | $ 0.50 | $ 0.40 | ||||||
Total Amounts Distributed | $ 116.7 | $ 116.7 | $ 116.7 | $ 116.6 | $ 93.3 | $ 82.9 | ||||
Quarterly Dividend | ||||||||||
Dividends Payable [Line Items] | ||||||||||
Dividend declared per Share of Common Stock (in dollars per share) | $ 0.25 | $ 0.25 | $ 0.25 | $ 0.25 | $ 0.20 | $ 0.20 |
EQUITY AND EARNINGS PER SHARE_4
EQUITY AND EARNINGS PER SHARE - Schedule of Warrants (Details) - Share-based Payment Arrangement, Nonemployee - Warrant shares in Millions | 6 Months Ended |
Jun. 30, 2022 $ / shares shares | |
Number of Warrants (in millions) | |
Beginning balance (in shares) | shares | 43.4 |
Granted (in shares) | shares | 0 |
Exercised (in shares) | shares | 0 |
Expired (in shares) | shares | 0 |
Ending balance (in shares) | shares | 43.4 |
Weighted Average Exercise Price (per share) | |
Beginning balance (in dollars per share) | $ 6.49 |
Granted (in dollars per share) | 0 |
Exercised (in dollars per share) | 0 |
Expired (in dollars per share) | 0 |
Ending balance (in dollars per share) | 6.30 |
Warrant, exercise price, decrease (in dollars per share) | $ 0.10 |
EQUITY AND EARNINGS PER SHARE_5
EQUITY AND EARNINGS PER SHARE - Options Outstanding by Issuance (Details) - shares | Jun. 30, 2022 | Dec. 31, 2021 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 21,477,990 | 21,478,990 |
Held by the Former Manager | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 19,985,826 | |
Issued to the Former Manager and subsequently assigned to certain of the Former Manager’s employees | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 1,486,164 | |
Issued to the independent directors | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of options (in shares) | 6,000 |
EQUITY AND EARNINGS PER SHARE_6
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options - Period End (Details) $ / shares in Units, $ in Thousands | Jun. 30, 2022 USD ($) $ / shares shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 21,477,990 |
Options exercisable (in shares) | 17,079,703 |
Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,270,200,000 |
Options Granted In 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 215,964,000 |
Options Assigned | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,486,164,000 |
Minimum | Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 14.61 |
Minimum | Options Granted In 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | 16.49 |
Maximum | Options Granted In 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | 15.84 |
Maximum | Options Granted In 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.88 |
Issued to the independent directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 6,000 |
Options exercisable (in shares) | 6,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 12.85 |
Intrinsic value of exercisable options | $ | $ 0 |
Former Manager | 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,130,916 |
Options exercisable (in shares) | 1,130,916 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 13.43 |
Intrinsic value of exercisable options | $ | $ 0 |
Former Manager | 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 5,320,000 |
Options exercisable (in shares) | 5,320,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.15 |
Intrinsic value of exercisable options | $ | $ 0 |
Former Manager | 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 6,351,000 |
Options exercisable (in shares) | 6,351,000 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 15.54 |
Intrinsic value of exercisable options | $ | $ 0 |
Former Manager | 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 1,619,739 |
Options exercisable (in shares) | 1,295,792 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 16.88 |
Intrinsic value of exercisable options | $ | $ 0 |
Former Manager | 2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of unexercised options (in shares) | 7,050,335 |
Options exercisable (in shares) | 2,975,995 |
Weighted average exercise price (in dollars per share) | $ / shares | $ 9.90 |
Intrinsic value of exercisable options | $ | $ 0 |
EQUITY AND EARNINGS PER SHARE_7
EQUITY AND EARNINGS PER SHARE - Summary of Outstanding Options (Details) - $ / shares | 6 Months Ended | 12 Months Ended | ||
Sep. 22, 2021 | Apr. 16, 2021 | Jun. 30, 2022 | Dec. 31, 2021 | |
Number of Warrants (in millions) | ||||
Beginning balance (in shares) | 21,478,990 | |||
Granted (in shares) | 0 | |||
Exercised (in shares) | (1,600,000) | (6,725,000) | 0 | |
Expired (in shares) | (1,000) | |||
Ending balance (in shares) | 21,477,990 | 21,478,990 | ||
Weighted Average Exercise Price (per share) | ||||
Granted (in dollars per share) | $ 0 | $ 0 | ||
Exercised (in dollars per share) | 0 | |||
Expired (in dollars per share) | $ 12.01 |
EQUITY AND EARNINGS PER SHARE_8
EQUITY AND EARNINGS PER SHARE - Schedule of Basic and Diluted Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Earnings Per Share [Abstract] | ||||
Net income | $ 33,331 | $ 145,726 | $ 723,262 | $ 447,062 |
Noncontrolling interests in income (loss) of consolidated subsidiaries | 14,182 | 10,053 | 19,791 | 19,447 |
Dividends on preferred stock | 22,427 | 14,358 | 44,888 | 28,716 |
Net income (loss) attributable to common stockholders - basic | (3,278) | 121,315 | 658,583 | 398,899 |
Net income (loss) attributable to common stockholders - diluted | $ (3,278) | $ 121,315 | $ 658,583 | $ 398,899 |
Basic weighted average shares of common stock outstanding (in shares) | 466,804,548 | 456,312,486 | 466,795,119 | 435,668,683 |
Dilutive effect of stock options and common stock purchase warrants (in shares) | 0 | 16,416,759 | 17,698,989 | 15,560,982 |
Diluted weighted average shares of common stock outstanding (in shares) | 466,804,548 | 472,729,245 | 484,494,108 | 451,229,665 |
Basic earnings per share attributable to common stockholders (in dollars per share) | $ (0.01) | $ 0.27 | $ 1.41 | $ 0.92 |
Diluted earnings per share attributable to common stockholders (in dollars per share) | $ (0.01) | $ 0.26 | $ 1.36 | $ 0.88 |
EQUITY AND EARNINGS PER SHARE_9
EQUITY AND EARNINGS PER SHARE - Schedule of Weighted Average Potential Common Shares From Diluted Net Income (Loss) Per Share (Details) - shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Earnings Per Share [Abstract] | ||||
Antidilutive shares (in shares) | 17,757,843 | 0 | 0 | 0 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 17, 2022 | Jun. 30, 2022 | Jun. 30, 2022 | Dec. 15, 2022 | Sep. 15, 2022 | |
Loss Contingencies [Line Items] | |||||
Estimated liability, representation and warranties | $ 33.6 | $ 33.6 | |||
Residential mortgage loan repurchase liability | 1,800 | 1,800 | |||
Former Manager | |||||
Loss Contingencies [Line Items] | |||||
Payment for management fee | $ 200 | 400 | 400 | ||
Former Manager | Forecast | |||||
Loss Contingencies [Line Items] | |||||
Management fee payable | $ 100 | $ 100 | |||
Genesis Acquisition | |||||
Loss Contingencies [Line Items] | |||||
Committed to fund | 715.1 | 715.1 | |||
Unfunded Loan Commitment | Consumer Portfolio Segment | Consumer Loan SPVs | |||||
Loss Contingencies [Line Items] | |||||
Financing receivable | $ 231.3 | $ 231.3 |
TRANSACTIONS WITH AFFILIATES _3
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Narrative (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||||||
Jun. 17, 2022 USD ($) | Sep. 17, 2021 shares | Apr. 14, 2021 shares | May 19, 2020 USD ($) $ / shares shares | Mar. 31, 2020 USD ($) purchaser | Jun. 30, 2022 USD ($) $ / shares | Jun. 30, 2022 USD ($) $ / shares shares | Dec. 31, 2021 $ / shares | Jun. 30, 2021 | |
Related Party Transaction [Line Items] | |||||||||
Management agreement, renewal term (in years) | 1 year | ||||||||
Number of purchasers | purchaser | 6 | ||||||||
Mortgage-backed securities | $ 6,100,000 | ||||||||
Proceeds from sale of mortgage-backed securities | 3,300,000 | ||||||||
Options granted (in shares) | shares | 0 | ||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Face amount of debt | $ 23,340,461 | $ 23,340,461 | |||||||
Share-based Payment Arrangement, Nonemployee | |||||||||
Related Party Transaction [Line Items] | |||||||||
Options granted (in shares) | shares | 1,900,000 | 5,200,000 | |||||||
Warrant | Share-based Payment Arrangement, Nonemployee | |||||||||
Related Party Transaction [Line Items] | |||||||||
Options granted (in shares) | shares | 43,400,000 | ||||||||
Percentage of lenders and recipients managed by an affiliate of the manager | 0.48 | ||||||||
2020 Term Loan | |||||||||
Related Party Transaction [Line Items] | |||||||||
Debt instrument, term | 3 years | ||||||||
Principal amount | $ 600,000 | ||||||||
Fortress Purchaser | |||||||||
Related Party Transaction [Line Items] | |||||||||
Mortgage-backed securities | 1,850,000 | ||||||||
Payments to acquire mortgage-backed securities | $ 1,000,000 | ||||||||
Former Manager | |||||||||
Related Party Transaction [Line Items] | |||||||||
Payment for management fee | $ 200,000 | 400,000 | 400,000 | ||||||
Costs for transition services | $ 500 | $ 500 | |||||||
Management fee rate (percent) | 1.50% | 1.50% | |||||||
Incentive compensation percentage | 25% | 25% | |||||||
Interest rate for incentive compensation | 10% | 10% | |||||||
Loans Receivable | Senior Loans | |||||||||
Related Party Transaction [Line Items] | |||||||||
Interest rate | 10.50% | ||||||||
Face amount of debt | $ 105,800 | $ 105,800 | |||||||
Loans Receivable | Senior Subordinated Loans | |||||||||
Related Party Transaction [Line Items] | |||||||||
Interest rate | 16% | ||||||||
Face amount of debt | $ 58,500 | $ 58,500 |
TRANSACTIONS WITH AFFILIATES _4
TRANSACTIONS WITH AFFILIATES AND AFFILIATED ENTITIES - Schedule of Affiliate Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||||
Total | $ 0 | $ 0 | $ 17,819 | ||
Management fees | 20,985 | $ 23,677 | 46,174 | $ 45,839 | |
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fees | 0 | 0 | 17,188 | ||
Expense reimbursements and other | 0 | 0 | 631 | ||
Total | 0 | 0 | $ 17,819 | ||
Management fees | 20,985 | 23,677 | 46,174 | 45,839 | |
Expense reimbursements | 104 | 125 | 229 | 250 | |
Total | $ 21,089 | $ 23,802 | $ 46,403 | $ 46,089 |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Current: | |||||
Federal | $ (1,199) | $ (6,694) | $ 0 | $ 4,119 | |
State and local | (222) | (1,348) | 45 | 868 | |
Total current income tax expense (benefit) | (1,421) | (8,042) | 45 | 4,987 | |
Deferred: | |||||
Federal | 62,330 | 5,843 | 231,566 | 77,152 | |
State and local | 11,781 | 1,122 | 43,868 | 15,043 | |
Total deferred income tax expense | 74,111 | 6,965 | 275,434 | 92,195 | |
Total income tax expense (benefit) | 72,690 | $ (1,077) | 275,479 | $ 97,182 | |
Deferred tax liability | $ 716,148 | $ 716,148 | $ 440,690 |
RESTRUCTURING CHARGES - Narrati
RESTRUCTURING CHARGES - Narrative (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||||
Jun. 17, 2022 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 15, 2022 | Sep. 15, 2022 | |
Restructuring Cost and Reserve [Line Items] | |||||||
Restructuring charges | $ 0 | $ 0 | |||||
Former Manager | |||||||
Restructuring Cost and Reserve [Line Items] | |||||||
Payment for management fee | $ 200,000,000 | $ 400,000,000 | $ 400,000,000 | ||||
Former Manager | Forecast | |||||||
Restructuring Cost and Reserve [Line Items] | |||||||
Management fee payable | $ 100,000,000 | $ 100,000,000 |