FAIR VALUE MEASURMENTS (Tables)

12 Months Ended

Dec. 31, 2022

Schedule of Carrying Values and Fair Values of Financial Assets and Liabilities 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 December 31, 2022 were as follows:


	Principal Balance or Notional Amount		Carrying Value		Fair Value
					Level 1		Level 2		Level 3		Total
Assets:



Excess MSRs(A)	$	67,454,370	$	321,803	$	—	$	—	$	321,803	$	321,803
MSRs and MSR financing receivables(A)	539,897,324		8,889,403		—		—		8,889,403		8,889,403
Servicer advance investments	341,628		398,820		—		—		398,820		398,820
Real estate and other securities	25,370,934		8,289,277		—		7,338,417		950,860		8,289,277
Residential mortgage loans, held-for-sale	117,847		101,027		—		—		101,196		101,196
Residential mortgage loans, held-for-sale, at fair value	3,387,888		3,297,271		—		3,035,894		261,377		3,297,271
Residential mortgage loans, held-for-investment, at fair value	538,710		452,519		—		—		452,519		452,519
Residential mortgage loans subject to repurchase	1,219,890		1,219,890		—		1,219,890		—		1,219,890
Consumer loans	330,428		363,756		—		—		363,756		363,756
Derivative assets	33,174,574		52,229		—		36,214		16,015		52,229
Mortgage loans receivable(B)	2,064,028		2,064,028		—		349,975		1,714,053		2,064,028
Note receivable	63,114		—		—		—		—		—
Loans receivable	94,631		94,401		—		—		94,401		94,401
Cash and cash equivalents	1,336,508		1,336,508		1,336,508		—		—		1,336,508
Restricted cash	281,126		281,126		281,126		—		—		281,126
Other assets(C)	N/A		23,370		—		—		23,370		23,370
			$	27,185,428	$	1,617,634	$	11,980,390	$	13,587,573	$	27,185,597
Liabilities:
Secured financing agreements	$	11,260,242	$	11,257,737	$	—	$	11,257,737	$	—	$	11,257,737
Secured notes and bonds payable(D)	10,200,390		10,098,942		—		—		9,911,778		9,911,778
Unsecured senior notes, net of issuance costs	545,056		545,056		—		—		493,064		493,064
Residential mortgage loan repurchase liability	1,219,890		1,219,890		—		1,219,890		—		1,219,890
Derivative liabilities	1,062,894		18,064		—		10,835		7,229		18,064


			$	23,139,689	$	—	$	12,488,462	$	10,412,071	$	22,900,533

(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 December 31, 2022, the fair value of Rithm Capital’s interests in the mortgage loans receivable securitization was $45.8 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 $23.8 million as of December 31, 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 $632.4 million as of December 31, 2022.


	Principal Balance or Notional Amount		Carrying Value		Fair Value
					Level 1		Level 2		Level 3		Total
Assets:

Excess MSRs(A)	$	80,461,630	$	344,947	$	—	$	—	$	344,947	$	344,947
MSRs and MSR financing receivables(A)	548,613,089		6,858,803		—		—		6,858,803		6,858,803
Servicer advance investments	369,440		421,807		—		—		421,807		421,807
Real estate and other securities	24,314,300		9,396,539		—		8,444,597		951,942		9,396,539
Residential mortgage loans, held-for-sale	144,967		132,921		—		—		134,655		134,655
Residential mortgage loans, held-for-sale, at fair value	10,955,534		11,214,924		—		9,361,520		1,853,404		11,214,924
Residential mortgage loans, held-for-investment, at fair value	623,937		569,933		—		—		569,933		569,933
Residential mortgage loans subject to repurchase	1,787,314		1,787,314		—		1,787,314		—		1,787,314
Consumer loans	449,875		507,291		—		—		507,291		507,291
Derivative assets	47,080,263		138,173		—		23,302		114,871		138,173
Mortgage loans receivable	1,473,894		1,515,762		—		—		1,515,762		1,515,762
Note receivable	60,373		60,549		—		—		60,549		60,549
Loans receivable	228,692		229,631		—		—		229,631		49,889
Cash and cash equivalents	1,332,575		1,332,575		1,332,575		—		—		1,332,575
Restricted cash	195,867		195,867		195,867		—		—		195,867
Other assets(B)	N/A		39,229		3,134		—		36,095		39,229
			$	34,746,265	$	1,531,576	$	19,616,733	$	13,599,690	$	34,747,999
Liabilities:
Secured financing agreements	$	20,596,842	$	20,592,884	$	—	$	20,596,842	$	—	$	20,596,842
Secured notes and bonds payable(C)	8,676,644		8,644,810		—		—		8,662,463		8,662,463
Unsecured senior notes, net of issuance costs	543,293		543,293		—		—		553,581		541,516
Residential mortgage loan repurchase liability	1,787,314		1,787,314		—		1,787,314		—		1,787,314
Derivative liabilities	1,275,793		34,583		—		31,490		3,093		34,583

Contingent consideration	N/A		4,951		—		—		4,951		4,951
			$	31,607,835	$	—	$	22,415,646	$	9,224,088	$	31,639,734

(B)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 $28.7 million as of December 31, 2021.

(C)Includes the SAFT 2013-1, MDST Trusts and SCFT 2020-A mortgage backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $511.1 million as of December 31, 2021.

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, 2020		$	410,855	$	4,585,841	$	538,056	$	1,180,924	$	289,074	$	2,320,384	$	685,575	$	52,389	$	—	$	10,063,098
Transfers

Transfers to Level 3		—		—		—		—		—		2,386		—		—		—		2,386
Acquisitions (Note 3)		—		1,507,524		—		—		116,403		—		—		—		1,505,635		3,129,562
Gains (losses) included in net income
Reversal (provision) for credit losses on securities(D)		—		—		—		5,201		—		—		—		—		—		5,201
Change in fair value of excess MSRs(D)		(15,078)		—		—		—		—		—		—		—		—		(15,078)
Change in fair value of excess MSRs, equity method investees(D)		1,818		—		—		—		—		—		—		—		—		1,818
Servicing revenue, net(E)		—		(513,686)		—		—		—		—		—		—		—		(513,686)

Change in fair value of servicer advance investments		—		—		(9,076)		—		—		—		—		—		—		(9,076)
Change in fair value of consumer loans		—		—		—		—		—		—		(20,133)		—		—		(20,133)
Change in fair value of residential mortgage loans		—		—		—		—		—		155,758		—		—		—		155,758
Gain (loss) on settlement of investments, net		404		—		—		(28,550)		—		—		—		—		—		(28,146)
Other income (loss), net(D)		(326)		—		—		9,136		(293,699)		(1,357)		—		301		—		(285,945)
Gains (losses) included in other comprehensive income(F)		—		—		—		28,882		—		—		—		—		—		28,882
Interest income		20,296		—		1,678		13,740		—		—		18,925		9,433		—		64,072
Purchases, sales and repayments
Purchases, net(G)		—		10,949		1,286,526		174,340		—		4,128,097		29,002		6,688		—		5,635,602
Proceeds from sales		(984)		(63,451)		—		(164,630)		—		(3,675,071)		—		—		—		(3,904,136)
Proceeds from repayments		(72,038)		—		(1,395,377)		(267,101)		—		(487,830)		(206,078)		(28,631)		(60,867)		(2,517,922)
Originations and other		—		1,331,626		—		—		—		(19,030)		—		250,000		70,994		1,633,590
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		—		—		—		—		—		(1,279,709)		—		(1,000)		(445,403)		(1,726,112)
Transfers to Level 3		—		—		—		—		—		313,559		—		—		—		313,559

Gains (losses) included in net income
Reversal (provision) for credit losses on securities(D)		—		—		—		(710)		—		—		—		—		—		(710)
Change in fair value of excess MSRs(D)		(2,962)		—		—		—		—		—		—		—		—		(2,962)
Change in fair value of excess MSRs, equity method investees(D)		1,526		—		—		—		—		—		—		—		—		1,526
Servicing revenue, net(E)		—		823,107		—		—		—		—		—		—		—		823,107
Change in fair value of servicer advance investments		—		—		(9,950)		—		—		—		—		—		—		(9,950)
Change in fair value of real estate securities				—		—		(16,076)		—		—		—		—		—		(16,076)
Change in fair value of consumer loans		—		—		—		—		—		—		(36,740)		—		—		(36,740)
Change in fair value of residential mortgage loans		—		—		—		—		—		(124,359)		—		—		—		(124,359)
Gain (loss) on settlement of investments, net		107		—		—		(1,560)		—		—		—		—		(43,868)		(45,321)
Other income (loss), net(D)		(65)		—		—		—		(102,992)		(35,020)		—		(64,459)		—		(202,536)
Gains (losses) included in other comprehensive income(F)		—		—		—		(45,709)		—		—		—		—		—		(45,709)
Interest income		38,035		—		42,005		15,114		—		—		13,891		12,936		—		121,981
Purchases, sales and repayments
Purchases, net(G)		—		(967)		988,847		256,500		—		2,099,549		29,615		9,000		—		3,382,544
Proceeds from sales		(997)		(14,282)		—		(11,960)		—		(2,405,531)		—		—		—		(2,432,770)
Proceeds from repayments		(58,788)		—		(1,043,889)		(196,681)		—		(272,224)		(150,301)		(152,256)		(1,234,444)		(3,108,583)
Originations and other		—		1,222,742		—		—		—		(5,706)		—		—		1,922,006		3,139,042
Balance at December 31, 2022		$	321,803	$	8,889,403	$	398,820	$	950,860	$	8,786	$	713,896	$	363,756	$	94,401	$	1,714,053	$	13,455,778

(A)Includes the recapture agreement for each respective pool, as applicable.

(B)Includes 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)Gains (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 6.

(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, 2020	$	1,662,852





Gains (losses) included in net income








Included in other income(A)	(12,991)


Purchases, sales and payments


Payments	(1,138,754)

Balance at December 31, 2021	$	511,107




Gains (losses) included in net income








Included in other income(A)	(34,647)


Purchases, sales and payments


Payments	(156,974)

Balance at December 31, 2022	$	319,486

(A)Gains (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 tables summarize certain information regarding the ranges and weighted averages of significant inputs used:

December 31, 2022

Significant Inputs(A)

Prepayment

Rate(B)

Delinquency(C)

Recapture Rate(D)

Mortgage Servicing Amount
or Excess Mortgage Servicing Amount
(bps)(E)

Collateral Weighted Average Maturity (Years)(F)

Excess MSRs Directly Held

2.8% – 13.5%

(7.3%)

0.2% – 10.1%

(3.6%)

—% – 91.4%

(55.4%)

6 – 31

(19)

11 – 29

(21)

Excess MSRs Held through Investees

8.4% – 11.0%

(9.4%)

2.9% – 5.4%

(3.9%)

45.4% – 64.0%

(58.7%)

15 – 26

(21)

15 – 22

(19)

MSRs and MSR Financing Receivables (Note 6)(H)

Agency

2.6% – 97.8%

(8.0%)

0.1% – 66.7%

(2.0%)

—(I)

7 – 104

(30)

0 – 39

(23)

Non-Agency

1.3% – 93.2%

(15.0%)

1.0% – 75.0%

(21.1%)

—(I)

2 – 216

(46)

0 – 36

(24)

Ginnie Mae

2.8% – 81.2%

(10.3%)

0.2% – 80.0%

(8.9%)

—(I)

11 – 86

(41)

0 – 39

(27)

Total/Weighted Average—MSRs and MSR Financing Receivables

1.3% – 97.8%

(9.2%)

0.1% – 80.0%

(5.3%)

—(I)

2 – 216

(34)

0 – 39

(24)

December 31, 2021

Significant Inputs(A)

Prepayment

Rate(B)

Delinquency(C)

Recapture Rate(D)

Mortgage Servicing Amount
or Excess Mortgage Servicing Amount
(bps)(E)

Collateral Weighted Average Maturity (Years)(F)

Excess MSRs Directly Held

3.6% – 12.4%

(6.8%)

0.1% – 9.6%

(3.2%)

0% – 25.2%

(7.3%)

6 – 32

(19)

11 – 28

(21)

Excess MSRs Held through Investees

5.4% – 8.5%

(6.7%)

0.3% – 1.6%

(0.9%)

3% – 9.5%

(5.7%)

15 – 26

(22)

16 – 23

(19)

MSRs and MSR Financing Receivables (Note 6)(H)

Agency

6% – 14.6%

(10.2%)

0.1% – 2.2%

(0.9%)

0% – 31.4%

(10.7%)

25 – 30

(28)

0 – 40

(23)

Non-Agency

6.7% – 50.4%

(6.7%)

0.7% – 64.6%

(11.8%)

4% – 27%

(6.8%)

26 – 86

(48)

0 – 30

(24)

Ginnie Mae

5.3% – 14.3%

(12.6%)

1.4% – 6.3%

(4.1%)

4.8% – 24.5%

(12.7%)

31 – 45

(39)

0 – 30

(28)

Total/Weighted Average—MSRs and MSR Financing Receivables

5.3% – 50.4%

(10.2%)

0.1% – 64.6%

(3.1%)

0% – 31.4%

(10%)

25 – 86

(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 bps. As of December 31, 2022 and 2021, weighted average costs of subservicing of $6.80 – $7.00 ($6.90) and $6.40 – $7.20 ($7.00), respectively, per loan per month was used to value the agency MSRs. Weighted average costs of subservicing of $7.30 – $17.20 ($8.70) and $10.60 – $15.80 ($10.70), respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.30 – $8.40 ($8.30) and $8.80 – $8.90 ($8.80), respectively, 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.

(I)Recapture is not considered a significant input for MSRs and MSR Financing Receivables.

Rithm Capital’s 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
December 31, 2022
Agency RMBS	$	7,463,522	$	7,290,473	$	7,338,417	$	—	$	7,338,417	2
Non-Agency RMBS(C)	17,907,412		947,346		950,846		14		950,860		3
Total	$	25,370,934	$	8,237,819	$	8,289,263	$	14	$	8,289,277
December 31, 2021
Agency RMBS	$	8,399,343	$	8,663,693	$	8,444,597	$	—	$	8,444,597	2
Non-Agency RMBS(C)	15,914,957		886,643		951,942		—		951,942		3
Total	$	24,314,300	$	9,550,336	$	9,396,539	$	—	$	9,396,539

(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 50.4% 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

479,406

3.5% – 15.0%

(6.5%)

0.0% – 25.0%

(11.1%)

0.0% – 12.0%

(0.6%)

0.0% – 88.0%

(10.3%)

(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 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 significant inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3:

Performing Loans

Fair Value

Discount Rate

Prepayment Rate

CDR

Loss Severity

Acquired

52,467

8.5% – 8.7%

(8.5%)

9.3% – 11.4%

(9.7%)

4.3% – 8.3%

(5.0%)

20.0% – 37.1%

(24.1%)

Originated

183,985

N/A

Residential mortgage loans held-for-sale, at fair value

236,452

Non-Performing Loans

Fair Value

Discount Rate

Annual change in home prices

Liquidation Timeline
(in years)

Current Value of Underlying Properties

Acquired

20,759

8.7% – 55.9%

(9.0%)

33.2% – 55.9%

(40.7%)

2.2 – 3.8

(2.8)

191.6% – 260.6%

(214.5%)

Originated

4,166

N/A

Residential mortgage loans held-for-sale, at fair value

24,925

The following table summarizes certain information regarding the ranges and weighted averages of significant 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

452,519

3.8% – 8.7%

(8.5%)

9.3% – 16.3%

(12.3%)

0.1% – 13.7%

(6.7%)

23.2% – 55.0%

(40.3%)

The following table summarizes certain information regarding the ranges and weighted averages of significant 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

363,756

8.3% – 9.3% (8.6%)

6.8% – 33.2% (28.7%)

0.0% – 7.1% (4.3%)

56.8% – 56.8% (56.8%)

The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing IRLCs:

Fair Value

Loan Funding Probability

Fair Value of Initial Servicing Rights (bps)

IRLCs, net

8,786

0.0% – 100.0%

(82.5%)

(150.2) – 324.6

(185.6)

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

319,486

3.3% – 6.3%

(6.1%)

13.7% – 21.8%

(21.3%)

0.1% – 4.2%

(3.9%)

44.0% – 94.7%

(91.6%)

Summary of Certain Information Regarding the Inputs used in Valuing the Servicer Advances

The following table summarizes certain information regarding the ranges and weighted averages of significant 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)

December 31, 2022

1.2% – 2.2%

(2.1%)

3.4% – 4.6%

(4.6%)

3.4% – 19.6%

(19.1%)

18.0 – 19.8

(19.8) bps

5.7% – 6.2%

(5.7%)

21.9

December 31, 2021

0.7% – 1.8%

(1.7%)

6.5% – 7.7%

(7.7%)

8.2% – 15.0%

(14.8%)

17.6 – 19.8

(19.7) bps

5.2% – 5.7%

(5.2%)

22.1

(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.

(B)Mortgage servicing amount is net of 10.8 bps and 10.6 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of December 31, 2022 and 2021, respectively.

(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 ranges and weighted averages of significant inputs used in valuing these residential mortgage loans:

Fair Value
and
Carrying Value

Discount Rate

Weighted Average Life (Years)(A)

Prepayment Rate

CDR(B)

Loss Severity(C)

December 31, 2022

Performing

72,595

5.3% – 8.7%

(8.5%)

5.0 – 7.2

(5.2)

9.3% – 11.4%

(9.4%)

4.3% – 8.3%

(4.5%)

20.0% – 37.1%

(23.9%)

Non-performing

19,219

8.7% – 9.1%

(8.9%)

2.2 – 3.8

(2.9)

16.3% – 31.1%

(24.6%)

13.7% – 27.5%

(21.5%)

39.5% – 39.8%

(39.6%)

Total/weighted average

91,814

8.6%

4.7

12.6%

8.0%

27.2%

December 31, 2021

Performing

113,196

3.8% – 7.0%

(6.8%)

4.8 – 8.8

(4.9)

4.8% – 7.4%

(6.0%)

0.9% – 9.4%

(5.9%)

40.9% – 54.7%

(45.5%)

Non-performing

2,287

7.5% – 7.5%

(7.5%)

4.7 – 4.7

(4.7)

1.7% – 1.7%

(1.7%)

16.7% – 16.7%

(16.7%)

41.9% – 41.9%

(41.9%)

Total/weighted average

115,483

6.8%

4.9

5.9%

6.1%

45.4%

(A)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.