Rithm Capital Corp
For the period ended Dec 31, 2024. Filed Feb 18, 2025.
View on SEC.govAbout this filing
A company's yearly report to the SEC, with audited financial statements. It is the fullest account a company gives of its business, its finances and the risks it sees.
FY2024 · Filed Feb 18, 2025
RITM$9.23-2.3%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-K
Period ended 2023-12-31; filed 2024-02-20.
0001556593-24-000007
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-K
Period ended 2024-12-31; filed 2025-02-18.
0001556593-25-000007
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 377 previous paragraphs and 323 current paragraphs.
128 unchanged; 113 reworded; 79 added; 121 removed; 15 previous and 3 current paragraphs rearranged.
Tables are not compared: 55 previous and 45 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (79)
Current report
ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Current report
We seek to generate long-term value for our investors by using our investment expertise to identify, manage and invest in real estate related and other financial assets, as well as offering broader asset management capabilities, in order to provide investors with attractive risk-adjusted returns. Our investment team is made up of individuals with deep experience in financial services and real estate investing at both the institutional and operating company level. Headquartered in New York City, Rithm Capital has a global presence with offices in London, Hong Kong, Shanghai and Tokyo.
Current report
The U.S. economy expanded at a solid rate during the fourth quarter of 2024 as real gross domestic product (“GDP”) rose an annualized 2.3%, which put real growth at 2.5% in 2024 versus 3.2% in 2023. Longer-term Treasury yields rose during both the fourth quarter and in 2024 with most of the increase due to higher real yields from Treasury Inflation Protected Securities (“TIPS”). Interest rates remained elevated in 2024, despite the Federal Reserve initiating its first federal funds target rate cut in more than four years in September 2024, followed by additional cuts in the fourth quarter of 2024. The unemployment rate was 4.1% in December 2024, identical to the unemployment rate report for September 2024, but higher than the rate reported for year-end 2023. In addition to the steady unemployment rate, other signs of a solid labor market during the fourth quarter included a strengthening in payroll growth, continued low levels of claims for unemployment benefits, and a rising ratio of job openings to unemployed job seekers.
Current report
Although inflation slowed during 2024, progress towards lower inflation stalled in the second half of the year. The 12-month increase in the overall Consumer Price Index (“CPI”) was 2.9% in December 2024 versus 2.4% in September 2024 and 3.4% in December 2023, while core CPI price inflation (i.e., excluding food and energy prices) for December 2024 stood at 3.2%, only slightly lower than the 3.3% core CPI inflation rate reported for September 2024, but down from 3.9% for December 2023.
Current report
Treasury Yields
Current report
The nominal 10-year Treasury yield rose to 4.57% at the end of 2024 from 3.78% in September 2024 and 3.88% at the end of 2023. Most of this increase was due to higher real yields from TIPS, which rose to 2.23% in December 2024 from 1.59% in September 2024 and 1.71% at the end of 2023. The 10-year breakeven inflation rate was 2.34% in December 2024 versus 2.19% in September 2024 and 2.17% at the end of 2023.
Current report
Average payroll growth picked up to 170,000 jobs per month in the fourth quarter versus an average of 159,000 jobs per month in the third quarter. For 2024, payroll rose an average of 186,000 per month versus 251,000 per month in 2023. The unemployment rate was unchanged at 4.1% in December 2024 compared to September 2024, however, 0.3% higher from December 2023. Judged by the ratio of job openings to unemployed job seekers, which rose to 1.18 in December 2024 from 1.06 in September 2024, the labor market tightened during the fourth quarter; however, improved overall over the course of 2024 when compared to December 2023 ratio of 1.45. Also, year-over-year growth in average hourly earnings was 3.9% in December 2024, the same wage rate as for September 2024, but slower than the 4.3% wage growth reported for December 2023.
Current report
Home sales remained at low levels in 2024 as total home sales (new and existing) averaged 4.75 million, which is relatively unchanged from the average of 4.77 million for 2023. However, home price growth picked up with the 12-month increase in the median resale price of an existing home at 6.0% in December 2024 compared to 4.1% in December 2023.
Current report
The economic conditions discussed above influence our investment strategy and results. The Federal Open Market Committee (“FOMC”) lowered the federal funds rate target range by 25 basis points on December 18, 2024 but projected fewer 2025 rate cuts compared to its projections made in September 2024. Additionally, Federal Reserve Chairman Jerome Powell signaled that the recalibration phase of lowering the policy rate is over and the FOMC has entered a phase where further reductions in the policy rate will require further progress in lowering inflation toward the 2% target. The 30-year fixed mortgage rate rose to 6.85% at the end of the fourth quarter from 6.08% at the end of the third quarter of 2024, up from 6.6% at the end of 2023.
Current report
(A)Includes assets and liabilities of certain consolidated VIEs that meet the definition of CFEs. The obligations and liabilities of CFEs may only be satisfied with the assets of the respective consolidated CFEs, and creditors of the CFE do not have recourse to Rithm Capital Corp.
Current report
Our Origination and Servicing businesses operate through our wholly-owned subsidiaries Newrez and NRM. Newrez ranks in the top five of lenders and servicers in the U.S.
Current report
Total gain on originated residential mortgage loans, HFS, net increased $205.3 million to $688.8 million for the year ended December 31, 2024 compared to the year ended December 31, 2023. The increase is attributable to an increase in pull through adjusted lock volume primarily driven by increased production volume in the Correspondent channel as well as increased margins across most channels. Refinance originations comprised 20.0% of funded loans for the year ended December 31, 2024, higher than 13% for the year ended December 31, 2023, due to higher refinance activity as interest rates moved lower primarily during the third quarter of 2024.
Current report
Our servicing business includes owned MSRs primarily serviced by Newrez. As of December 31, 2024, 88.9% of the underlying UPB of mortgages related to owned MSRs is serviced by Newrez. In addition to MSRs serviced by Newrez, we contract with PHH and Valon to perform the related servicing duties on the residential mortgage loans underlying a certain portion of our MSRs and MSR financing receivables with an aggregate UPB of $65.4 billion, representing 11.1% of our servicing portfolio as of December 31, 2024.
Current report
Our servicing business also includes subservicing for third-party clients, including performing loan servicing, special servicing (high touch customer service requires more frequent customer outreach than performing loan servicing and involves higher staffing levels and sub-servicing fees to support such higher staffing levels) and recovery options for deeply delinquent loans. We generally earns tiered subservicing fees based on delinquency status and performance requirements, as well as ancillary income on each loan serviced. Because of our specialty in “high-touch servicing,” we believe we are favorably positioned to navigate through various economic and credit cycles.
Current report
Servicing agreements generally require a servicer to make advances in respect of serviced residential mortgage loans unless the servicer determines in good faith that the advance would not be ultimately recoverable from the proceeds of the related residential mortgage loan or the mortgaged property. Servicer advances typically fall into one of three categories:
Current report
•Principal and Interest Advances: Payments made by the servicer to cover scheduled payments of principal of, and interest on, a residential mortgage loan that have not been paid on a timely basis by the borrower.
Current report
•Escrow Advances (Taxes and Insurance Advances): Cash payments made by the servicer to third parties on behalf of the borrower for real estate taxes and insurance premiums on the property that have not been paid on a timely basis by the borrower.
Current report
•Foreclosure Advances: Payments made by the servicer to third parties for the costs and expenses incurred in connection with the foreclosure, property preservation and sale of the mortgaged property, including attorneys’ and other professional fees.
Current report
The purpose of the advances is to provide liquidity, rather than credit enhancement, to the underlying residential mortgage securitization transaction. Most servicer advances are considered “top of the waterfall” and are generally repaid from amounts received from the related residential mortgage loan pool, and to a lesser extent, payments from the borrower or amounts received from the liquidation of the property securing the loan, which is referred to as “loan-level recovery.”
Current report
Loan prepayments made by the borrowers on the residential mortgage loans underlying the securitizations can only be used to fund principal and interest advances. The servicing agreements with Fannie Mae, Ginnie Mae and certain PLS generally have a “waterfall” payment structure that allows servicers to apply balances received from prepayments to cover principal and interest advance requirements. The ability to apply balances received against prepayments stems from a difference caused by the timing between the remittance of payments under the servicer’s advance and remittance obligations, generally several weeks after the due date, and servicer’s timeline to remit prepayments, which can be up to a month or more after receipt from the borrower. Because of this timing difference, servicers can effectively “borrow” against the prepayments received to cover principal and interest advance requirements. In many cases, if the servicer determines that an advance previously made would not be recoverable from these sources, or if such advance is not recovered when the loan is repaid or related property is liquidated, then the servicer is, most often, entitled to withdraw funds from the trustee custodial account for payments on the serviced residential mortgage loans to reimburse the applicable advance. This is what is often referred to as a “general collections backstop.” See “Risk Factors—Risks Related to Our Business—Servicer advances may not be recoverable or may take longer to recover than we expect, which could cause us to fail to achieve our targeted return on our servicer advance investments or MSRs.” See Note 5 to our consolidated financial statements for additional information related to servicer advances receivable.
Current report
(A)Includes GSE and Non-Agency MSRs of $23.8 billion and $41.7 billion underlying UPB, respectively, serviced by third-party subservicers.
Current report
(A)Includes GSE and Non-Agency MSRs of $23.8 billion and $41.7 billion underlying UPB, respectively, serviced by third-party subservicers.
Current report
(B)Based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score when loans are refinanced or become delinquent.
Current report
(G)Represents the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 90 or more days.
Current report
Government and Government-Backed Securities
Current report
Our government and government-backed securities consist of Agency RMBS and U.S. Treasury securities.
Current report
The following table summarizes our Agency RMBS and U.S. Treasury securities portfolio as of December 31, 2024 (dollars in thousands):
Current report
(A)Agency RMS are held at fair value under the fair value option (“FVO”) election. Treasury securities include $24.8 million of short-term Treasury bills held-to-maturity at amortized cost with the remaining held at fair value under the FVO.
Current report
The following table summarizes the net interest spread of our government and government-backed securities portfolio for the year ended December 31, 2024:
Current report
(A)The government and government-backed securities portfolio consists of 100% fixed-rate securities (accounted for on an amortized cost basis).
Current report
Our Investment Portfolio primarily consists of residential mortgage loans, SFR properties, consumer loans, Non-Agency RMBS, Excess MSRs and servicer advance investments.
Current report
Investments in Excess MSRs represent the MSR component exceeding the base fee. Excess MSR assets include Rithm Capital’s ownership of Excess MSRs, and associated recapture agreements, acquired from and serviced by Mr. Cooper.
Current report
(B)Represents Excess MSRs serviced by Mr. Cooper. We also invested in related servicer advance investments, including the base fee component of the related MSR (Note 14) on $13.3 billion UPB underlying these Excess MSRs.
Current report
(A)Based on the weighted average of information provided by the loan servicer on a monthly basis. The loan servicer generally updates the FICO score when loans are refinanced or become delinquent.
Current report
(A)The total outstanding face amount includes residual, interest only and servicing strips for which no principal payment is expected.
Current report
(C)Includes repurchase agreements on Non-Agency securities retained through consolidated securitizations.
Current report
See Note 6 to our consolidated financial statements for additional information including a summary of activity related to government and government-backed securities from December 31, 2023 to December 31, 2024.
Current report
We accumulated our residential mortgage loan portfolio through open market purchases, loan originations, bulk acquisitions and the execution of call rights. A majority of the portfolio is serviced by Newrez.
Current report
•Loans held-for-investment (“HFI”), at fair value
Current report
•Loans HFS, at lower of cost or fair value
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Removed paragraphs (121)
Previous report
Within our portfolio, we target complementary assets that generate stable long-term cash flows and employ conservative capital structures in an effort to generate returns across different interest rate environments. Our investment approach and capital allocation decisions combine a focus on asset selection, relative value, risk management, taking into consideration available financing and other relevant macroeconomic factors. In our efforts to identify and invest in target assets, we compete with banks, other REITs, non-bank mortgage lenders and servicers, private equity firms, alternative asset managers, hedge funds and other large financial services companies. In the face of this competition, the experience of members of our management team and dedicated investment professionals provide us with a competitive advantage when pursuing attractive investment opportunities.
Previous report
On November 17, 2023, we completed the Sculptor Acquisition, which accelerated our growth in our asset management business, and we intend to continue to diversify into a global asset manager. However, our legacy business lines are expected to remain important to the future of the Company. We believe we are well positioned to opportunistically deploy capital by leveraging our deep expertise in specialty finance, structured and alternative credit, consumer lending and real estate. In executing our strategy, from time to time, we explore and will continue to explore various opportunities for acquisitions and dispositions of assets and financing transactions, which may include equity or debt offerings by us or one or more of our subsidiaries, business combinations, spin-off transactions or other similar transactions. In 2023, the subsidiary that owns our mortgage origination and servicing platform business and related real estate assets confidentially submitted with the SEC a draft Registration Statement on Form S-1 relating to a proposed initial public offering of its equity securities. Any initial public offering is subject to market and other conditions and there can be no assurances as to the timing of the completion of an offering or that an offering will be completed at all, and the Company may determine to explore or execute (or to not explore or execute) other alternatives with respect to this or other business lines. Moreover, we may determine to change our strategy, including to pursue, modify or abandon any such potential transactions at any time, and, in any event, there can be no assurance we will be successful in executing on our strategy.
Previous report
We seek to protect book value and the value of our assets by actively managing and hedging our portfolio. Diversification of our overall portfolio, including our portfolio assets and operating entities, and a variety of hedging strategies help contribute to book value stability. Both our portfolio composition (inclusive of long and short duration instruments and various operating businesses) and specific hedging instruments (including Agency mortgage-backed securities (“MBS”) TBAs, interest rate swaps and others) are employed to mitigate book value volatility. We believe that the actions we have taken over the past number of years to diversify and grow our portfolio have allowed us to operate efficiently and perform dynamically across economic conditions. See Part I, Item 1A “Risk Factors—Risks Related to Our Business—Any hedging transactions that we enter into may limit our gains or result in losses.”
Previous report
As of December 31, 2023, we had $35.3 billion in total assets, approximately $32.8 billion in AUM and 6,570 employees, including those individuals employed by our operating entities.
Previous report
U.S. economic data and indicators gained strength as 2023 progressed. Real gross domestic product (“GDP”) was reported at 3.3% for the year, highlighted by a notably strong reading of 4.9% in the third quarter while slowing through the fourth quarter.
Previous report
U.S. and global economic growth continues to be threatened by the ongoing war and tensions in the Middle East, in addition to trade disruptions due to the war in Ukraine, and still elevated inflation rates. The Federal Reserve continued to increase rates in the first half of 2023, to combat high inflation rates.
Previous report
The Federal Reserve has paused on rate hikes since July 2023 and is projecting rate cuts in 2024. The labor market showed signs of strength with unexpected increases in job openings in September 2023 and December 2023. The unemployment rate has fluctuated between 3.5% and 3.8% throughout the year, remaining near 50-year historical lows.
Previous report
With respect to the mortgage and housing markets, the inventory of existing homes for sale remained low while mortgage rates briefly hit two decade highs at just below 8% in November. Despite significant changes in rates through 2023, the 10-year U.S. Treasury rate remained unchanged, and the 30-year fixed mortgage rate was 20bps higher compared to year end 2022. Further, mortgage rates are expected to fall slightly in 2024 while home prices are expected to continue to rise in 2024.
Previous report
Banking Institutions
Previous report
The U.S. markets experienced significant instability in the banking sector during the first and second quarters of 2023. In March 2023, each of Silicon Valley Bank and Signature Bank were taken over by the Federal Deposit Insurance Corporation (“FDIC”). This caused uncertainty for businesses that used these banks and resulted in significant general market disruption. Further, it raised concerns about the overall stability of the banking system in the United States, particularly relating to the stability of regional banks. As a result of these circumstances, the Federal Reserve created the Bank Term Funding Program in March 2023, under which eligible institutions could receive additional funding via loans, to help stabilize the banking sector and avoid a broader destabilization in the financial system and potentially a recession. In May 2023, First Republic Bank was closed by the California Department of Financial Protection and Innovation and sold by the FDIC to JPMorgan Chase, leading to additional uncertainty in the banking sector and increased market disruption.
Previous report
Since the banking sector instability seen during the first half of 2023, results in the second half of the year showed signs of recovery, with deposit outflows stabilizing, strong capital and liquidity, generally strong bank profits and the overall banking system remaining strong and resilient.
Previous report
Inflation has moderated over the last year, declining substantially from its peak in 2022. While the Federal Reserve announced various rate increases during the beginning of the year, they have been on pause on rate hikes since July 2023 while projecting rate cuts in 2024, as inflation has steadily cooled. The Consumer Price Index increased 0.3% in December 2023 and 3.4% on an annual basis. A slight increase in inflation was seen from November 2023 to December 2023 following two months of decreases. The inflation rate increase appears to have subsided largely due to the easing of supply chain pressures that surged during the COVID-19 pandemic. The economy continues to grow at a pace that is faster than estimates, with annualized growth for GDP at 3.3% as of December 31, 2023. Long-term interest rates have fallen, and the stock market has risen sharply, easing overall financial conditions.
Previous report
To the extent interest rates begin to rise again, we could experience increased interest expense on our outstanding variable rate debt and future variable and fixed-rate debt, thereby adversely affecting cash flow and our ability to service our indebtedness and pay distributions.
Previous report
Signs of a strong U.S. labor market emerged as the end of the year approached, with the unemployment rate remaining relatively unchanged near 50-year lows, ranging from 3.5% to 3.8% through 2023. The unemployment rate ended the year at 3.7%, up only 20 bps from December 2022. During 2023, there was an increase in jobs added in the U.S., in particular during each of September 2023 and December 2023, when the reported employment gains exceeded forecasts by adding 336,600 jobs and 216,000 jobs, respectively. Further, wage growth remained strong, with average hourly earnings up 4.1% year over year.
Previous report
Elevated mortgage rates, high home prices and low home inventory drove housing market conditions. The inventory of existing homes for sale remained low throughout the year primarily due to the reluctance of homeowners to change residence and lose the low interest rates locked-in when they purchased or refinanced their mortgages at sub-3% mortgage rates in 2021. Further, while mortgage rates remained high overall, they began to ease during the fourth quarter of 2023 following increases since the first quarter of 2023.
Previous report
The market conditions discussed above influence our investment strategy and results, many of which have been impacted by continued high inflation and mortgage rates, an increase in GDP growth rate, as well as the other global events such as the ongoing war and tensions in the Middle East, among other factors. See Part I, Item 1A. “Risk Factors—Risks Related to Our Business—Unfavorable global economic and political conditions could adversely affect our business, financial condition or results of operations” and “—Market conditions could negatively impact our business, results of operations, cash flows and financial condition.”
Previous report
(A)Annualized rate based on the advance estimate.
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CHANGES TO LIBOR
Previous report
On March 5, 2021, Intercontinental Exchange Inc. (“ICE”) announced that ICE Benchmark Administration Limited, the administrator of LIBOR, intended to stop publication of the majority of USD-LIBOR tenors (overnight, 1-, 3-, 6- and 12-month) on June 30, 2023. On January 1, 2022, ICE discontinued the publication of the 1-week and 2-month tenors of USD-LIBOR. In the U.S., the ARRC identified the SOFR as its preferred alternative rate for U.S. dollar-based LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities and is based on directly observable U.S. Treasury-backed repurchase transactions.
Previous report
Rithm Capital completed its transition from LIBOR to an alternative benchmark, mainly SOFR, in June 2023. We do not currently intend to amend our Series A, Series B or Series C to change the existing USD-LIBOR cessation fallback language.
Previous report
Included in our Origination segment are the financial results of two of our services businesses, eStreet and Avenue 365. eStreet offers appraisal valuation services, and Avenue 365 provides title insurance and settlement services to our Mortgage Company.
Previous report
Total Gain on originated residential mortgage loans, held-for-sale, net decreased $556.4 million to $483.5 million for the year ended December 31, 2023 compared to the year ended December 31, 2022. During 2023, gain on sale margin continued to revert to historical levels largely driven by weakening demand for loans amid excess industry capacity due to an escalating interest rate environment weighing on the residential real estate market.
Previous report
$36.9 billion, down from $67.6 billion in the prior year. During 2023, 13% of all funded origination volume was refinance, down from 30% in 2022. Similar trends were noted industry-wide; as of December 2023, the MBA estimated total U.S. origination volume for 2023 was $1.6 trillion, down 25% from an estimated $2.2 trillion in 2022. Furthermore, the MBA estimated that 19% of 2023 activity was related to refinance volume, a decline from 30% in 2022.
Previous report
Our servicing segment includes owned MSRs serviced by our Mortgage Company. As of December 31, 2023, 86.5% of the underlying UPB of the related mortgages is serviced by our Mortgage Company.
Previous report
We are generally obligated to fund all future servicer advances related to the underlying pools of residential mortgage loans on our MSRs and MSR financing receivables. Generally, we will advance funds when the borrower fails to meet, including during forbearance periods, contractual payments (e.g., principal, interest, property taxes and insurance). We will also advance funds to maintain and to report to regulators foreclosed real estate properties on behalf of investors. Advances are recovered through claims to the related investor. Pursuant to our servicing agreements, we are obligated to make certain advances on residential mortgage loans to be in compliance with applicable requirements. In certain instances, the subservicer is required to reimburse us for any advances that were deemed non-recoverable or advances that were not made in accordance with the related servicing contract.
Previous report
(A)Includes GSE and Non-Agency MSRs of $25.9 billion and $45.5 billion underlying UPB, respectively, serviced by third-party subservicers discussed further in Investment Portfolio section below.
Previous report
(A)Includes GSE and Non-Agency MSRs of $25.9 billion and $45.5 billion underlying UPB, respectively, serviced by third-party subservicers discussed further in Investment Portfolio section below.
Previous report
(G)Includes GSE and Non-Agency MSRs of $25.9 billion and $45.5 billion underlying UPB, respectively, serviced by third-party subservicers discussed further in Investment Portfolio section below.
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Investment Portfolio
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MSRs and MSR Financing Receivables (Externally Serviced)
Previous report
In addition to MSRs serviced by our Mortgage Company discussed in the previous section, we contract with certain subservicers to perform the related servicing duties on the residential mortgage loans underlying our MSRs and MSR financing receivables. Historically, we have contracted with Mr. Cooper, LoanCare, LLC (“LoanCare”), Flagstar Bank (“Flagstar”), PHH and Valon as subservicers. In 2023, we opted not to renew our subservicing agreements with Mr. Cooper, LoanCare and Flagstar and transferred servicing performed by Mr. Cooper, LoanCare and Flagstar to the Mortgage Company. As of December 31, 2023, no loans related to MSRs were subserviced by Mr. Cooper, LoanCare and Flagstar. As of December 31, 2023, third-party subservicers include PHH and Valon which subservice 8.6% and 4.9%, or $45.5 billion and $25.9 billion, of the underlying UPB of the related mortgages, respectively.
Previous report
(B)constant prepayment rate represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
Previous report
The following table summarizes the collateral characteristics as of December 31, 2023 of the loans underlying Excess MSRs made through joint ventures accounted for as equity method investees (dollars in thousands). For each of these pools, we own a 50% interest in an entity that invested in a 66.7% interest in the Excess MSRs.
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(B)Constant prepayment rate represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
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Real Estate Securities
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Agency RMBS and U.S. Treasury Bills
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The following table summarizes our Agency RMBS and U.S. Treasury Bill portfolio as of December 31, 2023 (dollars in thousands):
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(A)Carrying value equals fair value for Agency RMBS. U.S. Treasury Bills are held-to-maturity at amortized cost basis.
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(A)The Agency RMBS portfolio consists of 100.0% fixed-rate securities (based on amortized cost basis).
Previous report
Non-Agency RMBS
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Previous wording
This section generally discusses 2023 and 2022 items and year-to-year comparisons between 2023 and 2022. Discussions of 2022 items and year-to-year comparisons between 2022 and 2021 that are not included in this Form 10-K can be found in “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in Part II, Item 7. of our Annual Report on Form 10-K for the fiscal year ended December 31, 2022.
Current wording
This section generally discusses 2024 and 2023 items and year-to-year comparisons between 2024 and 2023. Discussions of 2022 items and year-to-year comparisons between 2023 and 2022 that are not included in this Form 10-K can be found in “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in Part II, Item 7. of our Amendment No. 1 on Form 10-K/A (the “Amended 2023 Form 10-K/A”) to our Annual Report on Form 10-K for the fiscal year ended December 31, 2023.
Previous wording
Rithm Capital is a global asset manager focused on real estate, credit and financial services. We are structured as an internally managed REIT for U.S. federal income tax purposes. Rithm Capital became a publicly-traded entity on May 15, 2013.
Current wording
Rithm Capital is a global asset manager focused on real estate, credit and financial services. Rithm Capital is a Delaware corporation that was formed as a limited liability company in September 2011 (commenced operations in December 2011) and, became a publicly traded entity on May 15, 2013. Since June 17, 2022, Rithm Capital has been structured as an internally managed REIT for U.S. federal income tax purposes.
Previous wording
We seek to generate long-term value for our investors by using our investment expertise to identify, manage and invest in real estate related and other financial assets and more recently offer broader asset management capabilities, in each case, that provides investors with attractive risk-adjusted returns. Our investments in real estate related assets include our equity interest in operating companies, and our strategy also involves opportunistically pursuing acquisitions and seeking to establish strategic partnerships that we believe enable us to maximize the value of our investments by offering products and services related to the lifecycle of transactions that affect each mortgage loan and underlying residential property or collateral.
Current wording
Our investments in real estate related assets include our equity interest in operating companies, including leading origination and servicing platforms held through wholly-owned subsidiaries, Newrez and Genesis, as well as investments in SFR, title, appraisal and property preservation and maintenance businesses. Our real estate related strategy involves opportunistically pursuing acquisitions and seeking to establish strategic partnerships that we believe enable us to maximize the value of our investments by offering products and services related to the lifecycle of transactions that affect each mortgage loan and underlying residential property or collateral.
Previous wording
Our residential mortgage origination business, operated through Newrez, sources and originates loans through four distinct channels: Direct to Consumer, Retail, Wholesale and Correspondent. Additionally, our servicing business compliments our origination business and offers our subsidiaries and third-party clients performing and special servicing capabilities. We also operate additional real estate related businesses, including Avenue 365, our title company, and eStreet, our appraisal company. Our real estate businesses also include Adoor LLC (“Adoor”), a wholly-owned subsidiary, which is focused on the acquisition and management of SFR properties and Genesis, a lender for experienced developers and investors of residential real estate, which also supports our Adoor Business. We also have investments in Guardian, a national provider of field services and property management services. We operate our asset management business primarily through our wholly-owned subsidiary, Sculptor. Sculptor is a leading global alternative asset manager and provides asset management services and investment products across credit, real estate and multi-strategy platforms through commingled funds, separate accounts and other alternative investment vehicles.
Current wording
Our Asset Management business primarily operates through our wholly-owned subsidiary, Sculptor, as well as through RCM Manager, which manages Rithm Property Trust pursuant to the Rithm Property Trust Management Agreement. Sculptor is a leading global alternative asset manager and provides asset management services and investment products across credit, real estate and multi-strategy platforms through commingled funds, separate accounts and other alternative investment vehicles. For more information about our investment guidelines, see Part I, Item 1. Business, “Investment Guidelines”.
Previous wording
We conduct our business through the following segments: Origination and Servicing, Investment Portfolio, Mortgage Loans Receivable, Asset Management and Corporate.
Current wording
As of December 31, 2024, we had approximately $46.0 billion in total assets and approximately $34.0 billion in AUM. We conduct our business through the following segments: Origination and Servicing, Investment Portfolio, Residential Transitional Lending and Asset Management.
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The following table summarizes the U.S. unemployment rate according to the U.S. Department of Labor:
Current wording
The following table summarizes the annualized U.S. unemployment rate according to the U.S. Department of Labor:
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The following table summarizes the 10-year Treasury rate and the 30-year fixed mortgage rates:
Current wording
The following table summarizes the annualized 10-year U.S. Treasury rate according to the Federal Reserve and the 30-year fixed mortgage rate according to Freddie Mac:
Previous wording
We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of December 31, 2023; however, uncertainty related to market volatility and inflationary pressures driving the federal funds rate to increase makes any estimates and assumptions as of December 31, 2023 inherently less certain than they would be absent the current economic environment. Actual results may materially differ from those estimates. Market volatility and inflationary pressures and the ongoing war and tensions in the Middle East and their impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity and ability to pay distributions.
Current wording
We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of December 31, 2024; however, uncertainty related to market volatility, the path of the federal funds rate, various regional conflicts and trade and fiscal policies makes any estimates and assumptions as of December 31, 2024, inherently less certain than they would be absent the current environment. Actual results may materially differ from those estimates. Market volatility, inflationary pressures and government policies (monetary, fiscal, trade and immigration) and their impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity and ability to pay distributions.
Previous wording
Our portfolio, as of December 31, 2023, is composed of origination and servicing, our investment portfolio, mortgage loans receivable, and asset management, as described in more detail below (dollars in thousands).
Current wording
Our portfolio, as of December 31, 2024 and 2023, is separated into the Origination and Servicing, our Investment Portfolio, Residential Transitional Lending and Asset Management segments, as described in more detail below (dollars in thousands).
Previous wording
Our origination and servicing business operates within our Mortgage Company. We have a multi-channel lending platform, offering purchase and refinance loan products. We originate loans through our Retail channel, provide refinance opportunities to eligible existing servicing customers through our Direct to Consumer channel, and purchase originated loans through our Wholesale and Correspondent channels. We originate or purchase residential mortgage loans conforming to the underwriting standards of the GSEs and Ginnie Mae, government-insured residential mortgage loans which are insured by the FHA, VA and USDA, and Non-Agency and non-QM loans through our SMART Loan Series. Our non-QM loan products provide a variety of options for highly qualified borrowers who fall outside the specific requirements of Agency residential mortgage loans.
Current wording
We have a multi-channel residential lending platform, offering purchase and refinance loan products. We believe that our multi-channel origination mortgage platform provides us with a competitive advantage and enables us to provide borrowers with various products to ultimately originate both purchase and refinance loans across different market conditions. As further described below, we originate loans through our Retail channel, offer purchase, refinance and closed-end second opportunities to eligible new and existing servicing customers through our Direct to Consumer channel and purchase originated loans through our Wholesale and Correspondent channels. Our loan offerings include residential mortgage loans conforming to the underwriting standards of the GSEs and Ginnie Mae, government-insured residential mortgage loans which are insured by the FHA, VA and USDA, Non-Agency securities and Non-QM loans through our SMART Loan Series. Our Non-QM loan products provide a variety of options for highly qualified borrowers who fall outside the specific requirements of Agency residential mortgage loans. We additionally originate closed-end second lien home equity loans to our existing consumers to access the equity in their home without the need to pay off their existing first lien mortgage. Newrez serviced over 3.7 million customers with an aggregated UPB of approximately $778.4 billion and $568.0 billion for the years ended December 31, 2024 and 2023, respectively. Our origination business funded $58.6 billion and $36.9 billion of mortgages for the years ended December 31, 2024 and 2023, respectively.
Previous wording
Our servicing business operates through our performing and special servicing divisions. The performing loan servicing division services performing Agency and government-insured loans. SMS, our special servicing division, services delinquent government-insured, Agency and Non-Agency loans on behalf of the owners of the underlying mortgage loans. We are highly experienced in loan servicing, including loan modifications, and seek to help borrowers avoid foreclosure. As of December 31, 2023, the performing loan servicing division serviced$445.8 billion UPB of loans and SMS serviced$122.2 billion UPB of loans, for a total servicing portfolio of$568.0 billion UPB, representing a 12.8% increase from December 31, 2022. The increase was primarily attributable to servicing transfer from third-party subservicers and loan production, partially offset by scheduled and voluntary prepayment loan activity.
Current wording
We generally service all of the loans that we originate, which provides us connectivity with our borrowers throughout the lifecycle of their loan. Our servicing business operates through our performing and special servicing divisions. The performing loan servicing division services performing Agency and government-insured loans. Our special servicer, services delinquent government-insured, Agency and Non-Agency loans on behalf of the owners of the underlying mortgage loans. The special servicing division also includes third-party serviced loans on behalf of unaffiliated investors. We are highly experienced in loan servicing, including loan modifications, and seek to help borrowers avoid foreclosure. As of December 31, 2024, the performing loan servicing division serviced$514.0 billion UPB of loans, and Shellpoint Mortgage Servicing serviced$264.4 billion UPB of loans, and serviced by third-parties was $65.4 billion UPB of loans, for a total servicing portfolio of $843.8 billion UPB, an increase of $204.4 billion from December 31, 2023. The increase was primarily attributable to the Computershare Acquisition, as well as, new client acquisition and loan production, partially offset by scheduled and voluntary prepayment loan activity.
Previous wording
We generate revenue through sales of residential mortgage loans, including, but not limited to, gain on residential loans originated and sold and the value of MSRs retained on transfer of the loans. Profit margins per loan vary by channel, with Correspondent typically being the lowest and Direct to Consumer being the highest. We sell conforming loans to the GSEs and Ginnie Mae and securitize Non-QM residential loans. We utilize warehouse financing to fund loans at origination through the sale date.
Current wording
We generate revenue through servicing and sales of residential mortgage loans, including, but not limited to, gain on residential loans originated and sold and the value of MSRs retained on transfer of the loans. Profit margins per loan vary by channel, with Correspondent typically being the lowest and Direct to Consumer being the highest. We sell conforming loans to the GSEs and Ginnie Mae and securitize Non-QM residential loans. We utilize warehouse financing to fund loans at origination through the sale date.
Previous wording
(A)Includes realized gains on loan sales and related new MSR capitalization, changes in repurchase reserves, changes in fair value of interest rate lock commitments, changes in fair value of loans held-for-sale and economic hedging gains and losses.
Current wording
(A)Includes realized gains on loan sales and related new MSR capitalization, changes in repurchase reserves, changes in fair value of interest rate lock commitments, changes in fair value of residential mortgage loans, held-for-sale (“HFS”) and economic hedging gains and losses.
Previous wording
(B)Includes loan origination fees of $0.4 billion and $0.6 billionfor the years ended December 31, 2023 and 2022, respectively.
Current wording
(B)Includes loan origination fees of$0.9 billion and$0.4 billion for the years ended December 31, 2024 and 2023, respectively.
Previous wording
(C)Represents Gain on originated residential mortgage loans, held-for-sale, net of the Origination segment (See Note 4 and Note 9 to our Consolidated Financial Statements).
Current wording
(C)Represents gain on originated residential mortgage loans, HFS, net related to the origination business within the Origination and Servicing segment (Note 4 and Note 7 to our consolidated financial statements).
Previous wording
(D)Excludes MSR revenue on recaptured loan volume delivered back to NRM.
Current wording
(D)Excludes MSR revenue on recaptured loan volume reported in the servicing segment.
Previous wording
Gain on sale margin for the year ended December 31, 2023 was 1.31%, 39 bps lower than 1.70% for the prior year. The lower gain on sale margin for 2023 was driven by channel mix—funded loan production in our lower margin Correspondent channel outpaced production in higher margin channels. For the year ended December 31, 2023, loan origination volume was
Current wording
For the year ended December 31, 2024, funded loan origination volume was $58.6 billion, up from $36.9 billion in the prior year. Gain on sale margin for the year ended December 31, 2024 was 1.16%, 15 bps lower than 1.31% for the prior year. The lower gain on sale margin for 2024 was primarily due to an increase in Correspondent production relative to total production (refer to the tables above) partially offset by higher margins in most channels.
Previous wording
The table below provides the mix of our serviced assets portfolio between subserviced performing servicing (labeled as “Performing Servicing”) and subserviced non-performing, or special servicing (labeled as “Special Servicing”). The Mortgage Company subservices on behalf of Rithm Capital or its subsidiaries and for third parties for the periods presented.
Current wording
The table below provides the mix of Newrez serviced assets portfolio between subserviced performing servicing (labeled as “Performing Servicing”) and subserviced non-performing, or special servicing (labeled as “Special Servicing”). Third-party servicing includes loan portfolios serviced on behalf of Rithm Capital or its subsidiaries and non-affiliated third parties for the periods presented.
Previous wording
The table below summarizes base servicing fees and other fees for the periods presented:
Current wording
The table below summarizes servicing and other fees for the periods presented:
Previous wording
(A)Includes other fees earned from third parties of $47.3 million and $39.5 million for the years ended December 31, 2023 and 2022, respectively.
Current wording
(A)Includes other fees earned from third parties of $68.2 million and $47.3 million for the years ended December 31, 2024 and 2023, respectively.
Previous wording
An MSR provides a mortgage servicer with the right to service a pool of residential mortgage loans in exchange for a portion of the interest payments made on the underlying residential mortgage loans, plus ancillary income and custodial interest. An MSR is made up of two components: a basic fee and an Excess MSR. The basic fee is the amount of compensation for the performance of servicing duties (including advance obligations), and the Excess MSR is the amount that exceeds the basic fee.
Current wording
An MSR provides a mortgage servicer with the right to service a pool of residential mortgage loans in exchange for a portion of the interest payments made on the underlying residential mortgage loans, plus ancillary income and custodial interest. An MSR is made up of two components: a base fee and an Excess MSR. The base fee is the amount of compensation for the performance of servicing duties (including advance obligations) and the Excess MSR is the amount that exceeds the base fee.
Previous wording
We finance our investments in MSRs and MSR financing receivables with short- and medium-term bank and public capital markets notes. These borrowings are primarily recourse debt and bear either fixed or variable interest rates, which are offered by the counterparty for the term of the notes for a specified margin over SOFR. The capital markets notes are typically issued with a collateral coverage percentage, which is a quotient expressed as a percentage equal to the aggregate note amount divided by the market value of the underlying collateral. The market value of the underlying collateral is generally updated on a quarterly basis, and if the collateral coverage percentage becomes greater than or equal to a collateral trigger, generally 90%, we may be required to add funds, pay down principal on the notes or add additional collateral to bring the collateral coverage percentage below 90%. The difference between the collateral coverage percentage and the collateral trigger is referred to as a “margin holiday.”
Current wording
We finance our investments in MSRs and MSR financing receivables with short- and medium-term bank and capital markets notes. These borrowings are primarily recourse debt and bear either fixed or variable interest rates, which are offered by the counterparty for the term of the notes for a specified margin over SOFR. The capital markets notes are typically issued with a collateral coverage percentage, which is a quotient expressed as a percentage equal to the aggregate note amount divided by the market value of the underlying collateral. The market value of the underlying collateral is generally updated on a quarterly basis, and if the collateral coverage percentage becomes greater than or equal to a collateral trigger, generally 90%, we may be required to add funds, pay down principal on the notes or add additional collateral to bring the collateral coverage percentage below 90%. The difference between the collateral coverage percentage and the collateral trigger is referred to as a “margin holiday.”
Previous wording
We finance our servicer advances with short- and medium-term collateralized borrowings. These borrowings are non-recourse committed facilities that are not subject to margin calls and bear either fixed or variable interest rates offered by the counterparty for the term of the notes, generally less than one year, of a specified margin over SOFR. See Note 19 to our Consolidated Financial Statements for further information regarding financing of our servicer advances.
Current wording
We fund advances primarily from a combination of cash on hand, loan prepayments and secured financing arrangements. We finance our servicer advances with short- and medium-term collateralized borrowings. These borrowings are non-recourse committed facilities that are not subject to margin calls and bear either fixed or variable interest rates offered by the counterparty for the term of the notes, generally less than one year, of a specified margin over SOFR. See Note 18 to our consolidated financial statements for further information regarding financing of our servicer advances.
Previous wording
The following tables summarizes the collateral characteristics of the residential mortgage loans underlying our MSRs and MSR financing receivables as of December 31, 2023 (dollars in thousands):
Current wording
The following tables summarize the collateral characteristics of the residential mortgage loans underlying our MSRs and MSR financing receivables as of December 31, 2024 (dollars in thousands):
Previous wording
(B)Represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
Current wording
(C)Represents the percentage of the total principal balance of the pool that corresponds to adjustable rate mortgages.
Previous wording
(D)Represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
Current wording
(D)Represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
Previous wording
(E)Represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
Current wording
(E)Represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
Previous wording
(F)Represents the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 90 or more days.
Current wording
(F)Represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
Previous wording
We largely employ our Agency RMBS and Treasury positions, or government-backed securities, as a hedge to our MSR portfolio and for REIT status. Our government-backed securities portfolio was $8.6 billion as of December 31, 2023. We finance the investments with short-term borrowings under master uncommitted repurchase agreements. These borrowings generally bear interest rates offered by the counterparty for the term of the proposed repurchase transaction (e.g., 30 days, 60 days, etc.) of a specified margin over SOFR. At December 31, 2023 and 2022, the Company pledged Agency RMBS with a carrying value of approximately $8.5 billion and $7.1 billion, respectively, as collateral for borrowings under repurchase agreements. We expect to continue to finance our acquisitions of Agency RMBS with repurchase agreement financing. See Note 19 to our Consolidated Financial Statements for further information regarding financing of our Agency RMBS and U.S. Treasury Bills positions, including a summary of activity related to financing from December 31, 2022 to December 31, 2023.
Current wording
We largely invest in government and government-backed securities (U.S. Treasury securities and Agency RMBS) as a hedge to our MSR portfolio and to provide additional qualifying assets and income for the purposes of the meeting the REIT requirements. Our government and government-backed securities portfolio was $9.7 billion as of December 31, 2024. We finance investments in these securities with short-term borrowings under master uncommitted repurchase agreements. These borrowings generally bear interest rates offered by the counterparty for the term of the proposed repurchase transaction (e.g., 30 days, 60 days, etc.) of a specified margin over SOFR. At December 31, 2024 and 2023, the Company pledged Agency RMBS and Treasury securities and associated margin deposits with a carrying value of approximately $10.1 billion and $8.6 billion, respectively, as collateral for borrowings under repurchase agreements. We expect to continue to finance our government-backed securities acquisitions with repurchase agreement financing. See Note 18 to our consolidated financial statements for further information regarding financing of our government-backed securities, including a summary of activity related to financing from December 31, 2023 to December 31, 2024.
Previous wording
(A)The MSR is a weighted average as of December 31, 2023, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
Current wording
(A)The MSR is a weighted average as of December 31, 2024 and the Excess MSR represents the difference between the weighted average MSR and the base fee (which fee remains constant).
Previous wording
The following tables summarize the collateral characteristics of the loans underlying our direct Excess MSRs as of December 31, 2023 (dollars in thousands):
Current wording
The following tables summarize the collateral characteristics of the loans underlying our direct Excess MSRs and the Excess MSRs held in a joint venture with Sculptor non-consolidated funds as of December 31, 2024 (dollars in thousands):
Previous wording
Servicer advances are a customary feature of residential mortgage securitization transactions and represent one of the duties for which a servicer is compensated. Servicer advances are generally reimbursable payments made by a servicer (i) when the borrower fails to make scheduled payments due on a residential mortgage loan, including during forbearance periods, or (ii) to support the value of the collateral property. Servicer advance investments are associated with specified pools of residential mortgage loans in which we have contractually assumed the servicing advance obligation and include the related outstanding servicer advances, the requirement to purchase future servicer advances and the rights to the basic fee component of the related MSR.
Current wording
Our servicer advance investments are associated with specified pools of residential mortgage loans in which we have contractually assumed the servicing advance obligation and include the related outstanding servicer advances, the requirement to purchase future servicer advances and the rights to the base fee component of the related MSR.
Previous wording
The following is a summary of our servicer advance investments, including the right to the basic fee component of the related MSRs (dollars in thousands):
Current wording
The following is a summary of our servicer advance investments, including the right to the base fee component of the related MSRs (dollars in thousands):
Previous wording
(A)Represents the fair value of the servicer advance investments, including the basic fee component of the related MSRs.
Current wording
(A)Represents the fair value of the servicer advance investments, including the base fee component of the related MSRs.
Previous wording
(B)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.
Current wording
(B)Represents the 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.
Previous wording
Within our Non-Agency RMBS portfolio, we retain and own risk retention bonds from our securitizations in accordance with risk retention regulations under the Dodd-Frank Act. As of December 31, 2023, 53.9% of our Non-Agency RMBS portfolio was related to bonds retained pursuant to required risk retention regulations.
Current wording
Within our Non-Agency RMBS portfolio, we retain and own risk retention bonds from our securitizations that we do not consolidate in accordance with risk retention regulations under the Dodd-Frank Act. We also retain and own bonds from our consolidated private label mortgage securitizations which we eliminate in consolidation. The equity value is reflected in assets of consolidated CFEs and liabilities of consolidated CFEs on the consolidated balance sheets and is excluded from the tables below. As of December 31, 2024, 96% of our Non-Agency RMBS portfolio was related to bonds retained pursuant to required risk retention regulations.
Previous wording
(A)Fair value, which is equal to carrying value for all securities.
Current wording
(B)Fair value which is equal to carrying value for all securities.
Previous wording
(C)Excludes residual bonds and certain other Non-Agency bonds, with a carrying value of $17.5 million and $1.0 million, respectively, for which no coupon payment is expected.
Current wording
(A)Excludes interest only, residual and other bonds with a carrying value of $196.4 million for which no coupon payment is expected.
Previous wording
(D)The ratio of original UPB of loans still outstanding.
Current wording
(B)Represents the ratio of original UPB of loans still outstanding.
Previous wording
(E)Three-month average constant prepayment rate and default rates.
Current wording
(C)Three-month average constant prepayment rate and default rates.
Showing the first 40 of 113 pairs. Open the source sections for the rest.
Rearranged current paragraphs (3)
Current report — wording carried from elsewhere
Our Origination and Servicing segment also includes the activity from several wholly-owned subsidiaries or minority investments in companies that perform various services in the mortgage and real estate sectors. These subsidiaries and investments include: Guardian, which is a national provider of field services and property management services, eStreet, which provides appraisal valuation services, and Avenue 365, which provides title insurance and settlement services to Newrez.
Current report — wording carried from elsewhere
(B)Represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
Current report — wording carried from elsewhere
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 and Rithm Capital fund the commitment.
Rearranged previous paragraphs (15)
Previous report — wording carried elsewhere
(C)Represents the annualized rate of the prepayments during the quarter as a percentage of the total principal balance of the pool.
Previous report — wording carried elsewhere
See Note 6 to our Consolidated Financial Statements for additional information including a summary of activity related to MSRs and MSR financing receivables from December 31, 2022 to December 31, 2023.
Previous report — wording carried elsewhere
See Note 19 to our Consolidated Financial Statements for further information regarding financing of our MSRs and MSR financing receivables, including a summary of activity related to financing from December 31, 2022 to December 31, 2023.
Previous report — wording carried elsewhere
(A)The MSR is a weighted average as of December 31, 2023, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).
Previous report — wording carried elsewhere
(C)Represents the annualized rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.
Previous report — wording carried elsewhere
(D)Represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.
Previous report — wording carried elsewhere
(E)Represents the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 90 or more days.
Previous report — wording carried elsewhere
(F)Weighted averages exclude collateral information for which collateral data was not available as of the report date.
Previous report — wording carried elsewhere
The following table summarizes the net interest spread of our Agency RMBS portfolio for the year ended December 31, 2023:
Previous report — wording carried elsewhere
•Loans held-for-investment, at fair value
Previous report — wording carried elsewhere
•Loans held-for-sale, at lower of cost or fair value
Previous report — wording carried elsewhere
•Loans held-for-sale, at fair value
Previous report — wording carried elsewhere
(A)Fair value, which is equal to carrying value for all securities.
Previous report — wording carried elsewhere
The following tables summarize the characteristics of our CLO portfolio as of December 31, 2023 (dollars in thousands):
Previous report — wording carried elsewhere
(A)Although available financing is uncommitted, our unused borrowing capacity is available to us if we have additional eligible collateral to pledge and meet other borrowing conditions as set forth in the applicable agreements, including any applicable advance rate.