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FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
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 March 31, 2024 were as follows:
Principal Balance or Notional AmountCarrying ValueFair Value
Level 1Level 2Level 3Net Asset Value (“NAV”)Total
Assets
Excess MSRs(A)
$58,577,476 $255,111 $— $— $255,111 $— $255,111 
MSRs and MSR financing receivables(A)
526,673,826 8,706,723 — — 8,706,723 — 8,706,723 
Servicer advance investments313,271 374,511 — — 374,511 — 374,511 
Real estate and other securities(B)
33,738,576 15,314,199 4,497,542 9,566,210 1,250,448 — 15,314,200 
Residential mortgage loans, HFS89,460 74,415 — — 74,415 — 74,415 
Residential mortgage loans, HFS, at fair value3,701,355 3,691,700 — 3,353,549 338,151 — 3,691,700 
Residential mortgage loans, HFI, at fair value434,474 365,398 — — 365,398 — 365,398 
Residential mortgage loans subject to repurchase
1,845,889 1,845,889 — 1,845,889 — — 1,845,889 
Consumer loans1,154,642 1,103,799 — — 1,103,799 — 1,103,799 
Derivative and hedging assets7,493,928 102,227 62,672 7,492 32,063 — 102,227 
Mortgage loans receivable(C)
2,384,744 2,384,744 — 341,830 2,042,914 — 2,384,744 
Notes receivable503,397 364,977 — — 364,977 — 364,977 
      Loans receivable
27,997 27,997 — — 27,997 — 27,997 
Cash, cash equivalents and restricted cash1,530,983 1,530,983 1,530,983 — — — 1,530,983 
Investments in funds324,631 338,337 — — — 338,337 338,337 
Other assetsN/A62,810 — — 62,810 — 62,810 
$36,543,820 $6,091,197 $15,114,970 $14,999,317 $338,337 $36,543,821 
Liabilities
Secured financing agreements$18,278,569 $18,271,046 $— $18,090,307 $180,739 $— $18,271,046 
Secured notes and bonds payable(D)
10,126,223 10,045,375 — 324,062 10,052,833 — 10,376,895 
Unsecured notes, net of issuance costs1,298,492 1,205,411 — — 1,202,005 — 1,202,005 
Residential mortgage loan repurchase liability
1,845,889 1,845,889 — 1,845,889 — — 1,845,889 
Payable for investments purchased(E)
1,271,542 1,271,542 1,271,542 — — — 1,271,542 
Derivative liabilities7,867,926 33,586 — 15,654 17,932 — 33,586 
Notes payable of consolidated funds(F)
222,250 218,123 — — 218,123 — 218,123 
$32,890,972 $1,271,542 $20,275,912 $11,671,632 $— $33,219,086 
(A)The notional amount represents the total UPB 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 US Treasury Bills classified as Level 1 and held at amortized cost basis of $24.9 million (see Note 7). Carrying value equals fair value for all other securities.
(C)Includes Rithm Capital’s economic interests in the consolidated VIE accounted for under the collateralized financing entity (“CFE”) election. As of March 31, 2024, the fair value of Rithm Capital’s interests in the mortgage loans receivable securitization was $33.9 million.
(D)Includes SCFT 2020-A (as defined below) and 2022-RTL1 Securitization (as defined below) MBS issued for which the fair value option for financial instruments was elected and resulted in a fair value of $546.0 million as of March 31, 2024.
(E)Represents the cost of Agency and Non-Agency securities purchased and not settled as of the reporting date. The purchases settled prior to issuance.
(F)Represents notes issued by a consolidated VIE accounted for under the CFE election.
Schedule of Changes in the Company’s Level 3 Inputs Financial Assets
The following table summarizes the changes in the Company’s Level 3 inputs financial assets for the period presented:
Level 3
Excess MSRs(A)(B)
MSRs and MSR Financing Receivables(A)
Servicer Advance InvestmentsNon-Agency Securities
Derivatives(C)
Residential Mortgage LoansConsumer LoansNotes and Loans ReceivableMortgage Loans ReceivableTotal
Balance at December 31, 2023$271,150 $8,405,938 $376,881 $1,224,534 $23,804 $513,381 $1,274,005 $429,550 $1,879,318 $14,398,561 
Transfers
Transfers from Level 3— — — — — — — — (77,455)(77,455)
Transfers to Level 3— — — — — 106 — — — 106 
Gain (loss) included in net income
Credit losses on securities(D)
— — — (662)— — — — — (662)
Servicing revenue, net(E)
Included in servicing revenue(E)
— 84,175 — — — — — — — 84,175 
Change in fair value of:
Excess MSRs(D)
(1,867)— — — — — — — — (1,867)
Excess MSRs, equity method investees(D)
— — — — — — — — — — 
Servicer advance investments— — 8,115 — — — — — — 8,115 
Consumer loans— — — — — — (30,117)— — (30,117)
Residential mortgage loans— — — — — (1,491)— — — (1,491)
Gain (loss) on settlement of investments, net— — — 36 — — — — — 36 
Other income (loss), net(D)
— — — 2,270 (9,612)1,824 — — 14,873 9,355 
Gains (losses) included in OCI(F)
— — — 737 — — — — — 737 
Interest income2,446 — 7,315 8,299 — — 10,152 1,094 — 29,306 
Purchases, sales and repayments
Purchases, net(G)
— — 212,656 66,779 — 216,404 4,113 — — 499,952 
Proceeds from sales— 671 — — (17,766)— — — (17,095)
Proceeds from repayments(16,618)$— (230,456)(51,545)— (16,042)(154,354)(37,670)(423,268)(929,953)
Originations and other— 215,939 — — (61)7,133 — — 649,446 872,457 
Balance at March 31, 2024$255,111 $8,706,723 $374,511 $1,250,448 $14,131 $703,549 $1,103,799 $392,974 $2,042,914 $14,844,160 
(A)Includes the recapture agreement for each respective pool, as applicable.
(B)Amounts include 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 and other commitment derivatives are shown net.
(D)Gain (loss) recorded in earnings during the period is 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)See Note 5 for further details on the components of servicing revenue, net.
(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 Changes in the Company’s Level 3 Financial Liabilities
The following table summarizes the changes in the Company’s Level 3 financial liabilities for the period presented:
Level 3
Asset-Backed Securities IssuedNotes Payable of Consolidated FundsTotal
Balance at December 31, 2023$235,770 $218,157 $453,927 
Gains (losses) included in net income
Other income(A)
(411)(34)(445)
Purchases, sales and repayments
Proceeds from sales— — — 
Payments(13,437)— (13,437)
Balance at March 31, 2024$221,922 $218,123 $440,045 
(A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period.
Schedule of Securities Valuation Methodology
The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of March 31, 2024:
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
2.5% – 12.0%
(6.6%)
0.2% – 15.0%
(6.2%)
0.0% – 91.3%
(55.4%)
7 – 32 (20)
11 – 26 (20)
Excess MSRs Held through Investees
7.4% – 10.1%
(8.6%)
1.8% – 5.0%
(3.2%)
45.4% – 64.1%
(59.2%)
16 – 25 (21)
14 – 21 (18)
MSRs and MSR Financing Receivables
Agency
0.6% – 83.7%
(6.4%)
0.1% – 100.0%
(1.7%)
—(G)
12 – 136 (27)
0 – 40 (22)
Non-Agency
0.8% – 83.5%
(7.7%)
0.8% – 80.0%
(26.6%)
—(G)
1 – 277 (46)
0 – 40 (20)
Ginnie Mae
4.5% – 81.9%
(9.1%)
0.1% – 71.4%
(8.1%)
—(G)
19 – 119 (44)
0 – 39 (27)
Total/Weighted Average—MSRs and MSR Financing Receivables
0.6% – 83.7%
(7.3%)
0.1% – 100.0%
(5.5%)
—(G)
1 – 277 (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 is expected to miss a mortgage payment.
(D)Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.
(E)Weighted average total mortgage servicing amount, in excess of the basic fee as applicable, measured in basis points (“bps”). As of March 31, 2024, weighted average costs of subservicing of $6.91 – $7.09 ($6.95) per loan per month was used to value the agency MSRs. Weighted average costs of subservicing of $7.54 – $9.55 ($9.17) per loan per month was used to value the non-agency MSRs, including MSR financing receivables. Weighted average cost of subservicing of $8.37 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)Recapture is not considered a significant input for MSRs and MSR financing receivables.
The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Agency MSRs, owned as of March 31, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:
Fair value at March 31, 2024
$5,477,522 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$5,916,038 $5,688,536 $5,281,385 $5,098,703 
Change in estimated fair value:
Amount$438,516 $211,014 $(196,137)$(378,819)
Percentage8.0 %3.9 %(3.6)%(6.9)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$5,712,739 $5,589,924 $5,374,997 $5,279,423 
Change in estimated fair value:
Amount$235,217 $112,402 $(102,525)$(198,099)
Percentage4.3 %2.1 %(1.9)%(3.6)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$5,564,061 $5,524,189 $5,424,447 $5,365,476 
Change in estimated fair value:
Amount$86,539 $46,667 $(53,075)$(112,046)
Percentage1.6 %0.9 %(1.0)%(2.0)%

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Non-Agency MSRs, including MSR financing receivables, owned as of March 31, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:
Fair value at March 31, 2024
$666,958 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$736,242 $700,014 $636,705 $608,936 
Change in estimated fair value:
Amount$69,284 $33,056 $(30,253)$(58,022)
Percentage10.4 %5.0 %(4.5)%(8.7)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$705,048 $685,527 $649,291 $632,451 
Change in estimated fair value:
Amount$38,090 $18,569 $(17,667)$(34,507)
Percentage5.7 %2.8 %(2.6)%(5.2)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$702,058 $685,264 $647,274 $626,531 
Change in estimated fair value:
Amount$35,100 $18,306 $(19,684)$(40,427)
Percentage5.3 %2.7 %(3.0)%(6.1)%
The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Ginnie Mae MSRs, owned as of March 31, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:

Fair value at March 31, 2024
$2,562,243 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$2,767,898 $2,661,043 $2,470,671 $2,385,605 
Change in estimated fair value:
Amount$205,655 $98,800 $(91,572)$(176,638)
Percentage8.0 %3.9 %(3.6)%(6.9)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$2,710,793 $2,632,485 $2,498,505 $2,439,407 
Change in estimated fair value:
Amount$148,550 $70,242 $(63,738)$(122,836)
Percentage5.8 %2.7 %(2.5)%(4.8)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$2,739,713 $2,654,908 $2,463,189 $2,359,206 
Change in estimated fair value:
Amount$177,470 $92,665 $(99,054)$(203,037)
Percentage6.9 %3.6 %(3.9)%(7.9)%
Rithm Capital’s real estate and other securities valuation methodology and results are detailed below. Treasury securities are valued using market-based prices published by the US Department of the Treasury and are classified as Level 1.
Fair Value
Asset TypeOutstanding Face AmountAmortized Cost Basis
Multiple Quotes(A)
Single Quote(B)
TotalLevel
Agency$9,751,506 $9,558,334 $9,566,210 $— $9,566,210 2
Non-Agency19,462,070 1,217,263 1,038,452 211,996 1,250,448 3
Total$29,213,576 $10,775,597 $10,604,662 $211,996 $10,816,658 
(A)Rithm Capital generally obtains pricing service quotations or broker quotations from two sources. Rithm Capital evaluates quotes received, 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 securities, 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 most 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 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 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 securities. 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 independent valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.

For 46.2% of Non-Agency securities, 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 securities were not readily available.
Fair ValueDiscount Rate
Prepayment Rate(a)
CDR(b)
Loss Severity(c)
Non-Agency$578,082 
0.0% – 12.6%
(6.3%)
0.0% – 20.0% (11.4%)
0.0% – 2.0% (0.9%)
0.0% – 49.0%
(19.5%)
(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 of the loans in default.

(B)Rithm Capital was unable to obtain quotations from more than one source on these securities.
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of March 31, 2024:
Performing LoansFair ValueDiscount RatePrepayment RateCDRLoss Severity
Acquired loans$215,160 
5.9% – 9.7%
(6.4%)
2.3% – 9.1%
(7.3%)
1.3% – 6.6%
(2.7%)
6.9% – 55.4%
(11.7%)
Originated loans(A)
32,617 
4.4%
8.9%
3.6%

20.7%
Residential mortgage loans HFS, at fair value
$247,777 

Non-Performing LoansFair ValueDiscount RateAnnual change in home pricesCDRCurrent Value of Underlying Properties
Acquired loans$62,848 
4.8% – 10.0%
(6.3%)
2.0%– 7.6%
(3.8%)
1.3% – 4.3%
(3.3%)
223.1% – 863.9%
(243.7%)
Originated loans(A)
5,786 
4.4%
N/A

3.6%
N/A
Residential mortgage loans HFS, at fair value
$68,634 
(A)Includes inputs for 66.9% and 50.8% of originated performing and non-performing loans, respectively, classified as Level 3. The remainder of performing and non-performing loans were priced using dealer price quotes and historical sale transactions for similar loans with a range of 50.9% - 100.0% (85.8%).

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans HFI, at fair value classified as Level 3 as of March 31, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Residential mortgage loans HFI, at fair value$365,398 
7.9% – 9.8%
(8.1%)
3.0% – 3.9%
(3.6%)
1.3% – 6.6%
(5.1%)
23.2% – 55.4%
(43.4%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans HFI, at fair value classified as Level 3 as of March 31, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
SpringCastle$267,948 
8.4% – 9.4%
(8.6%)
9.4% – 35.7%
(15.5%)
1.7% – 7.3%
(5.0%)
85.7% – 100.0%
(93.6%)
Marcus835,851 
7.8%
19.8%
11.3%
86.0%
Consumer loans, HFI, at fair value$1,103,799 
The following table summarizes certain information regarding the weighted averages of inputs used in valuing mortgage loans receivable, at fair value classified as Level 3 as of March 31, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Acquired mortgage loans receivable$73,934 10.7%—%
1.8% – 2.5%
(2.1%)
25.0%
Originated mortgage loans receivable1,968,980 9.6%N/AN/AN/A
Mortgage loans receivable, at fair value$2,042,914 
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs as of March 31, 2024:
Fair ValueLoan Funding ProbabilityFair Value of Initial Servicing Rights (Bps)
IRLCs, net$31,228 
0.4% – 100.0%
(83.6%)
4.4 – 345.0
(239.7)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued as of March 31, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Asset-backed securities issued$221,922 
5.8%
15.5%
5.0%
93.6%
The following table summarizes certain information regarding the carrying value and significant inputs used in valuing Rithm Capital’s notes and loans receivable as of March 31, 2024:
Fair Value Discount Rate
Notes receivable$364,977 N/A
Loans receivable27,997 12.7 %
Total$392,974 
Schedule of Servicer Advance Investments Valuation
The following table summarizes the inputs used in valuing these residential mortgage loans as of March 31, 2024:
Fair ValueDiscount Rate
Weighted Average Life (Years)(A)
Prepayment Rate
CDR(B)
Loss Severity(C)
Performing loans$54,056 
6.5% – 8.3%
(8.0%)
4.8 – 6.8
(5.3)
2.3% – 6.2%
(4.0%)
3.7% – 7.9%
(4.4%)
30.2% – 55.4%
(33.7%)
Non-performing loans20,359 
5.9% – 10.0%
(8.6%)
5.4 – 9.5
(6.0)
2.4% – 3.1%
(2.8%)
1.3% – 9.1%
(4.9%)
23.2% – 44.5%
(32.0%)
Total/weighted average$74,415 
8.1%
5.5
3.7%
4.6%
33.2%
(A)The weighted average life is based on the expected timing of the receipt of cash flows.
(B)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance.
(C)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of realized loss relative to the outstanding loan balance in default.
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)
Servicer advance investments
1.2% – 2.4% (2.4%)
3.9% – 4.9% (4.8%)
6.6% – 20.0% (19.7%)
18.2 – 19.9 (19.8)
bps
6.2% – 6.7% (6.2%)
20.9 – 21.6 (21.6)
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
(B)Mortgage servicing amount is net of 2.2 bps which represents the amount Rithm Capital paid its servicers as a monthly servicing fee.
(C)Weighted average maturity of the underlying residential mortgage loans in the pool.
Schedule of Fair Value of the Investments by Fund Type and Ability to Redeem Investments
The following table summarizes the fair value of the investments by fund type and ability to redeem such investments as of March 31, 2024:

Fund Type(A)
Fair ValueRedemption FrequencyRedemption Notice Period
Open-ended$241,058 
Monthly - Annually(B)
30 days - 90 days(B)
Close-ended97,279 
None(C)
N/A
Total$338,337 

(A)The structured alternative investment solution invests in both open-ended and close-ended funds. The investments in each fund may represent investments in a particular tranche of such fund subject to different withdrawal rights.
(B)$168.6 million of investments are subject to an initial lock-up period of three years during which time withdrawals or redemptions are limited. Once the lock-up period ends, the investments can be redeemed with the frequency noted above.
(C)100% of these investments cannot be redeemed, as distributions will be received as the underlying assets are liquidated, which is expected to be approximately 7 to 9 years from inception.