Is there any known axiomatization of set theory in which the real numbers are not a set, but the natural numbers and other infinite sets do exist?
Such a set theory would have an Axiom of Infinity, but not an Axiom of Power Set. I know that Kripke-Platek set theory has no Axiom of Power Set, but it is not clear to me whether the real numbers exist as a set in this theory or not.
In the type of set theory I am envisioning, the real numbers would exist as a class, as would the class of all subsets of the natural numbers, and they could be equivalent to the class of all ordinals, for example.
One advantage of such a set theory would be that it could admit the Axiom of Choice, and the Well-Ordering Theorem for all sets, without having to admit the well-ordering of the reals or the Banach-Tarski paradox.
In $\mathsf{KP}$, there need not be a set of all real numbers. The canonical example of this is $L_{\omega_1^{CK}}$, the first level of Godel's constructible universe which satisfies $\mathsf{KP}$. There are reals with $L$-rank arbitrarily high below $\omega_1^{CK}$, so any set of reals in $L_{\omega_1^{CK}}$ is not the set of all reals in $L_{\omega_1^{CK}}$.
EDIT: Of course, $L_{\omega_1}$ also has this property, as does $L_\alpha$ for many countable $\alpha$s. However, if $L_\alpha$ is the Mostwoski collapse of an elementary substructure of $L_{\omega_2}$ (say), then $L_\alpha$ will think that there is a set of all reals, even if $\alpha$ is countable - basically, there are long "gaps" in the countable ordinals where no new reals enter $L$.