FAIR VALUE MEASUREMENTS (AS RESTATED)

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS (AS RESTATED)

FAIR VALUE MEASUREMENTS (AS RESTATED)

U.S. GAAP requires the categorization of fair value measurement into three broad levels which form a hierarchy based on the transparency of inputs to the valuation.

Level 1 – Quoted prices in active markets for identical instruments.

Level 2 – Valuations based principally on other observable market parameters, including:

•Quoted prices in active markets for similar instruments,

•Quoted prices in less active or inactive markets for identical or similar instruments,

•Other observable inputs (such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates (“CDR”)), and

•Market corroborated inputs (derived principally from or corroborated by observable market data).

Level 3 – Valuations based significantly on unobservable inputs.

Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement.

The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of December 31, 2023 were as follows, as restated:

	Principal Balance or Notional Amount		Carrying Value		Fair Value
					Level 1		Level 2		Level 3		NAV		Total
Assets:
Excess MSRs(A)	$	60,049,904	$	271,150	$	—	$	—	$	271,150	$	—	$	271,150
MSRs and MSR financing receivables(A)	528,434,509		8,405,938		—		—		8,405,938		—		8,405,938
Servicer advance investments	320,630		376,881		—		—		376,881		—		376,881
Real estate and other securities(B)	18,587,039		9,361,712		24,566		8,533,130		804,029		—		9,361,725
Residential mortgage loans, held-for-sale	94,336		78,877		—		—		78,877		—		78,877
Residential mortgage loans, held-for-sale, at fair value	2,460,924		2,461,865		—		2,327,528		134,337		—		2,461,865
Residential mortgage loans, held-for-investment, at fair value	448,060		379,044		—		—		379,044		—		379,044
Residential mortgage loans subject to repurchase	1,782,998		1,782,998		—		1,782,998		—		—		1,782,998
Consumer loans	1,308,774		1,274,005		—		—		1,274,005		—		1,274,005
Derivative assets	11,188,206		28,080		—		1,598		26,482		—		28,080
Mortgage loans receivable	1,880,804		1,879,319		—		—		1,879,319		—		1,879,319
Note receivable	534,463		398,227		—		—		398,227		—		398,227
Loans receivable	31,323		31,323		—		—		31,323		—		31,323
Cash, cash equivalents and restricted cash	1,672,819		1,672,819		1,672,819		—		—		—		1,672,819
Reverse repurchase agreements	1,769,601		1,769,601		—		1,769,601		—		—		1,769,601
Assets of consolidated CFEs - funds(D)	323,973		340,929		19,073		—		—		321,856		340,929
Assets of consolidated CFEs - loan securitizations(D)	3,606,057		3,410,548		18,367		3,038,587		353,594		—		3,410,548
Other assets	N/A		61,902		—		—		61,902		—		61,902
			$	33,985,218	$	1,734,825	$	17,453,442	$	14,475,108	$	321,856	$	33,985,231
Liabilities:
Secured financing agreements	$	12,570,327	$	12,561,283	$	—	$	12,377,171	$	184,112	$	—	$	12,561,283
Secured notes and bonds payable(C)	10,446,168		10,360,188		—		—		10,369,649		—		10,369,649
Unsecured senior notes, net of issuance costs	814,739		719,004		—		—		708,328		—		708,328
Residential mortgage loan repurchase liability	1,782,998		1,782,998		—		1,782,998		—		—		1,782,998
Treasury securities payable	1,800,000		1,827,281		1,827,281		—		—		—		1,827,281
Derivative liabilities	5,561,942		51,765		—		49,087		2,678		—		51,765
Liabilities of consolidated CFEs - funds(D)	222,250		219,920		1,763		—		218,157		—		219,920
Liabilities of consolidated CFEs - loan securitizations(D)	3,173,665		2,943,714		6,634		2,618,082		318,998		—		2,943,714
			$	30,466,153	$	1,835,678	$	16,827,338	$	11,801,922	$	—	$	30,464,938

(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 U.S. Treasury Bills classified as Level 1 and held at amortized cost basis of $24.6 million (see Note 9).

(C)Includes SCFT 2020-A (as defined below) mortgage-backed securities issued for which the fair value option for financial instruments was elected and resulted in a fair value of $235.8 million as of December 31, 2023.

(D)Represents assets and notes issued by consolidated VIEs accounted for under the CFE election.

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, as restated:

	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	18,112,783		7,952,889		—		7,338,417		614,472		7,952,889
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)	1,714,053		1,714,053		—		—		1,714,053		1,714,053
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
Assets of consolidated CFEs - loan securitizations(E)	3,012,143		2,803,138		21,296		2,431,867		349,975		2,803,138
Other assets(C)			23,370		—		—		23,370		23,370
			$	29,302,203	$	1,638,930	$	14,062,282	$	13,601,160	$	29,302,372
Liabilities:
Secured financing agreements	$	11,260,242	$	11,257,736	$	—	$	11,257,736	$	—	$	11,257,736
Secured notes and bonds payable(D)	10,200,390		9,786,025		—		—		9,602,209		9,602,209
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
Liabilities of consolidated CFEs - loan securitizations(E)	2,691,546		2,420,439		12,043		2,095,478		312,918		2,420,439
			$	25,247,210	$	12,043	$	14,583,939	$	10,415,420	$	25,011,402

(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 Rithm Capital’s economic interests in the VIEs consolidated and accounted for under the 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 accounted for at fair value on a recurring basis based on the net asset value (“NAV”) of Rithm Capital’s investment. The investment had a fair value of $23.8 million as of December 31, 2022.

(D)Includes SCFT 2020-A (as defined below) MBS issued for which the fair value option for financial instruments was elected and resulted in a fair value of $319.5 million as of December 31, 2022.

(E)Represents assets and notes issued by consolidated VIEs accounted for under the CFE election.

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 Securities		Derivatives (C)		Residential Mortgage Loans		Consumer Loans		Notes and Loans Receivable		Mortgage Loans Receivable(D)		Total
Balance at December 31, 2021 (As Restated)	$	344,947	$	6,858,803	$	421,807	$	768,879	$	111,778	$	2,423,337	$	507,291	$	290,180	$	1,515,762	$	13,242,784
Transfers
Transfers from Level 3	—		—		—		—		—		(1,279,709)		—		(1,000)		—		(1,280,709)
Transfers to Level 3	—		—		—		—		—		313,559		—		—		—		313,559
Gain (loss) included in net income
Credit losses on securities(E)	—		—		—		(710)		—		—		—		—		—		(710)
Servicing revenue, net(F)	—		817,691		—		—		—		—		—		—		—		817,691
Change in fair value of
Excess MSRs(G)	(2,962)		—		—		—		—		—		—		—		—		(2,962)
Excess MSRs, equity method investees(E)	1,526		—		—		—		—		—		—		—		—		1,526
Real estate securities	—		—		—		(17,716)		—		—		—		—		—		(17,716)
Servicer advance investments	—		—		(9,950)		—		—		—		—		—		—		(9,950)
Consumer loans	—		—		—		—		—		—		(36,740)		—		—		(36,740)
Residential mortgage loans	—		—		—		—		—		(124,359)		—		—		—		(124,359)
Gain (loss) on settlement of investments, net	107		—		—		(1,560)		—		—		—		—		(43,867)		(45,320)
Other income (loss), net(E)	(65)		—		—		—		(102,992)		(35,020)		—		(64,459)		—		(202,536)
Gains (losses) included in OCI(G)	—		—		—		(45,709)		—		—		—		—		—		(45,709)
Interest income	38,035		—		42,005		4,180		—		—		13,891		12,936		—		111,047
Purchases, sales and repayments
Purchases, net(H)	—		(967)		988,847		50,392		—		2,099,549		29,615		9,000		—		3,176,436
Proceeds from sales	(997)		(8,866)		—		(11,958)		—		(2,405,531)		—		—		—		(2,427,352)
Proceeds from repayments	(58,788)		—		(1,043,889)		(131,326)		—		(272,224)		(150,301)		(152,256)		(1,405,278)		(3,214,062)
Originations and other	—		1,222,742		—		—		—		(5,706)		—		—		1,997,411		3,214,447
Balance at December 31, 2022 (As Restated)	$	321,803	$	8,889,403	$	398,820	$	614,472	$	8,786	$	713,896	$	363,756	$	94,401	$	2,064,028	$	13,469,365
Transfers
Transfers from Level 3	—		—		—		—		—		(41,430)		—		—		—		(41,430)
Transfers to Level 3	—		—		—		—		—		22,565		—		—		—		22,565
Acquisitions (Note 4)	—		—		—		216,229		—		—		—		—		—		216,229
Gain (loss) included in net income
Credit losses on securities(E)	—		—		—		2,951		—		—		—		—		—		2,951
Servicing revenue, net(F)	—		(565,684)		—		—		—		—		—		—		—		(565,684)
Change in fair value of
Excess MSRs(E)	(12,712)		—		—		—		—		—		—		—		—		(12,712)
Servicer advance investments	—		—		8,049		—		—		—		—		—		—		8,049
Consumer loans	—		—		—		—		—		—		(26,201)		—		—		(26,201)
Residential mortgage loans	—		—		—		—		—		14,911		—		—		—		14,911
Gain (loss) on settlement of investments, net	615		—		—				—		—		—		—		—		615
Other income (loss), net(E)	(348)		—		—		10,650		15,018		44,694		—		231		(367)		69,878
Gains (losses) included in OCI(G)	—		—		—		13,118		—		—		—		—		—		13,118
Interest income	18,310		—		22,180		12,929		—		—		37,717		5,636		—		96,772
Purchases, sales and repayments
Purchases, net(H)	—		—		852,015		17,833		—		38,992		1,317,347		399,977		146,631		2,772,795
Proceeds from sales	(4,212)		(704,436)		—		—		—		(252,183)		27,510		—		—		(933,321)
Proceeds from repayments	(52,306)		—		(904,183)		(84,153)		—		(91,249)		(446,124)		(70,695)		(2,025,890)		(3,674,600)
Originations and other	—		786,655		—		—		—		63,185		—		—		2,048,511		2,898,351
Balance at December 31, 2023 (As Restated)	$	271,150	$	8,405,938	$	376,881	$	804,029	$	23,804	$	513,381	$	1,274,005	$	429,550	$	2,232,913	$	14,331,651

(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 are shown net.

(D)Includes mortgage loans receivable of consolidated CFEs classified as level 3 in the fair hierarchy.

(E)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.

(F)See Note 7 for further details on the components of servicing revenue, net.

(G)Gain (loss) included in unrealized gain (loss) on available-for-sale securities, net in the Consolidated Statements of Comprehensive Income.

(H)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.

Liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows, as restated:

	Level 3
	Asset-Backed Securities Issued		Notes Payable of Consolidated Funds		Mortgage Loans Receivable Notes Payable of CFE
							Total
Balance at December 31, 2021	$	511,107	$	—	$	—	$	511,107
Gains (losses) included in net income
Other income(A)	(34,647)		—		(11,144)		(45,791)
Purchases, sales and payments
Purchases	—		—		324,062		324,062
Payments	(156,974)		—		—		(156,974)
Balance at December 31, 2022	$	319,486	$	—	$	312,918	$	632,404
Gains (losses) included in net income
Other income(A)	5,560		(589)		6,080		11,051
Purchases, sales and payments
Sculptor Acquisition (Note 4)	—		218,746		—		218,746
Payments	(89,276)		—		—		(89,276)
Balance at December 31, 2023	$	235,770	$	218,157	$	318,998	$	772,925

(A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 liabilities still held at the reporting dates and realized gain (loss) recorded during the period.

Excess MSRs, MSRs and MSR Financing Receivables Valuation

Fair value estimates of Rithm Capital’s MSRs and Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates for Excess MSRs, the mortgage servicing amount or excess mortgage servicing amount of the underlying residential mortgage loans, as applicable, and discount rates that market participants would use in determining the fair values of mortgage servicing rights on similar pools of residential mortgage loans. In addition, for MSRs, significant inputs included the market-level estimated cost of servicing.

Significant increases (decreases) in the discount rates, prepayment or delinquency rates, or costs of servicing, in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or mortgage servicing amount or excess mortgage servicing amount, as applicable, in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment rate.

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

	December 31, 2023
	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	2.4% – 12.2% (6.5%)	0.2% – 8.8% (4.3%)	—% – 91.1% (55.2%)	1 – 55 (20)	11 – 27 (20)
Excess MSRs Held through Investees	6.3% – 9.0% (7.8%)	2.2% – 5.6% (3.5%)	45.1% – 64.3% (59.0%)	16 – 25 (21)	14 – 21 (18)
MSRs and MSR Financing Receivables(G)
Agency	0.6% – 83.7% (7.3%)	0.0% – 100.0% (2.3%)	—(H)	6 – 104 (27)	0 – 40 (23)
Non-Agency	0.3% – 83.4% (12.2%)	0.9% – 83.3% (23.2%)	—(H)	3 – 242 (46)	0 – 40 (21)
Ginnie Mae	5.0% – 81.9% (10.5%)	0.3% – 80.0% (9.7%)	—(H)	19 – 82 (43)	1 – 39 (27)
Total / Weighted Average—MSRs and MSR Financing Receivables	0.3% – 83.7% (8.6%)	0.0% – 100.0% (6.1%)	—(H)	3 – 242 (33)	0 – 40 (24)

	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% (9.4%)	2.9% – 5.4% (3.9%)	45.4% – 64% (58.7%)	15 – 26 (21)	15 – 22 (19)
MSRs and MSR Financing Receivables(G)
Agency	2.6% – 97.8% (8.0%)	0.1% – 66.7% (2.0%)	—(H)	7 – 104 (30)	0 – 39 (23)
Non-Agency	1.3% – 93.2% (15.0%)	1.0% – 75.0% (21.1%)	—(H)	2 – 216 (46)	0 – 36 (24)
Ginnie Mae	2.8% – 81.2% (10.3%)	0.2% – 80.0% (8.9%)	—(H)	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%)	—(H)	2 – 216 (34)	0 – 39 (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 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 December 31, 2023 and 2022, weighted average costs of subservicing of $6.38 – $7.08 ($6.99) and $6.80 – $7.00 ($6.90), respectively, per loan per month was used to value the agency MSRs. Weighted average costs of subservicing of $7.50 – $9.57 ($9.16) and $7.30 – $17.20 ($8.70), respectively, per loan per month was used to value the non-agency MSRs, including MSR Financing Receivables. Weighted average cost of subservicing of $8.37 and $8.30 – $8.40 ($8.30), 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, recapture rate represents the expected recapture rate with the successor subservicer appointed by NRM.

(H)Recapture is not considered a significant input for MSRs and MSR financing receivables.

With respect to valuing the PHH-serviced MSRs and MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be SOFR plus 4.1%.

As of December 31, 2023 and 2022, weighted average discount rates of 8.8% (range of 8.5% – 9.0%) and 8.3% (range of 8.0% – 8.5%), respectively, were used to value Rithm Capital’s Excess MSRs (directly and through equity method investees). As of December 31, 2023 and 2022, weighted average discount rates of 8.5% (range of 7.9% – 10.8%) and 8.3% (range of 7.6% – 9.8%) were used to value Rithm Capital’s MSRs and MSR financing receivables, respectively.

All of the assumptions listed have some degree of market observability, based on Rithm Capital’s knowledge of the market, relationships with market participants and use of common market data sources. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each investment in MSRs and Excess MSRs.

When valuing MSRs and Excess MSRs, Rithm Capital uses the following criteria to determine the significant inputs:

•Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions like home price appreciation, current level of interest rates as well as loan level factors such as the borrower’s interest rate, FICO score, LTV ratio, debt-to-income ratio and vintage on a loan level basis. Rithm Capital considers historical prepayment experience associated with the collateral when determining this vector and also reviews industry research on the prepayment experience of similar loan pools. This data is obtained from remittance reports, market data services and other market sources.

•Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed their latest mortgage payments. Delinquency rate projections are in the form of a “vector” that varies over the expected life of the pool. The delinquency vector specifies the percentage of the UPB that is expected to be delinquent each month. The delinquency vector is based on assumptions that reflect macroeconomic conditions, the historical delinquency rates for the pools and the underlying borrower characteristics such as the FICO score and LTV ratio. For the recapture agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by Rithm Capital’s servicers and subservicers (our “Servicing Partners”) and delinquency experience over the past year. Rithm Capital believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become 30 or more days delinquent.

•Recapture Rates: Recapture rates are based on actual average recapture rates experienced by Rithm Capital’s Servicing Partners on similar residential mortgage loan pools. Generally, Rithm Capital looks to three to six months’ worth of actual recapture rates, which it believes provides a reasonable sample for projecting future recapture rates while taking into account current market conditions. Recapture rate projections are in the form of a “vector” that varies over the expected life of the pool. The recapture vector specifies the percentage of the refinanced loans that have been recaptured within the pool by the servicer or subservicer. The recapture vector takes into account the nature and timeline of the relationship between the borrowers in the pool and the servicer or subservicer, the customer retention programs offered by the servicer or subservicer and the historical recapture rates.

•Mortgage Servicing Amount or Excess Mortgage Servicing Amount: For existing mortgage pools, mortgage servicing amount and excess mortgage servicing amount projections are based on the actual total mortgage servicing amount, in excess of a basic fee as applicable. For loans expected to be refinanced by the related servicer or subservicer and subject to a recapture agreement, Rithm Capital considers the mortgage servicing amount or excess mortgage servicing amount on loans recently originated by the related servicer over the past three months and other general market considerations. Rithm Capital believes this time period provides a reasonable sample for projecting future mortgage servicing amounts and excess mortgage servicing amounts while taking into account current market conditions.

•Discount Rate: The discount rates used by Rithm Capital are derived from market data on pricing of MSRs backed by similar collateral.

•Cost of subservicing: The costs of subservicing used by Rithm Capital are based on available market data for various loan types and delinquency statuses.

Rithm Capital uses different prepayment and delinquency assumptions in valuing the MSRs and Excess MSRs, relating to the original loan pools, the recapture agreements and the MSRs and Excess MSRs relating to recaptured loans. The prepayment rate and delinquency rate assumptions differ because of differences in the collateral characteristics, refinance potential and expected borrower behavior for original loans and loans which have been refinanced. The assumptions for recapture and discount rates when valuing MSRs and Excess MSRs and recapture agreements are based on historical recapture experience and market pricing.

The following table summarizes the estimated change in fair value of our interests in the Agency MSRs, owned as of December 31, 2023 given several parallel shifts in the discount rate, prepayment rate and delinquency rate (dollars in thousands):

Fair value at December 31, 2023	$	5,333,013
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	5,757,003		$	5,537,037		$	5,143,139		$	4,966,298
Change in estimated fair value:
Amount	$	423,990		$	204,024		$	(189,874)		$	(366,715)
Percentage	8.0		%	3.8		%	(3.6)		%	(6.9)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	5,563,978		$	5,443,232		$	5,232,375		$	5,138,726
Change in estimated fair value:
Amount	$	230,965		$	110,219		$	(100,638)		$	(194,287)
Percentage	4.3		%	2.1		%	(1.9)		%	(3.6)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	5,421,739		$	5,380,879		$	5,278,297		$	5,217,507
Change in estimated fair value:
Amount	$	88,726		$	47,866		$	(54,716)		$	(115,506)
Percentage	1.7		%	0.9		%	(1.0)		%	(2.2)		%

The following table summarizes the estimated change in fair value of our interests in the Non-Agency MSRs, including MSR financing receivables, owned as of December 31, 2023 given several parallel shifts in the discount rate, prepayment rate and delinquency rate (dollars in thousands):

Fair value at December 31, 2023	$	678,913
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	748,078		$	711,922		$	648,681		$	620,917
Change in estimated fair value:
Amount	$	69,165		$	33,009		$	(30,232)		$	(57,996)
Percentage	10.2		%	4.9		%	(4.5)		%	(8.5)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	717,516		$	697,670		$	661,047		$	644,005
Change in estimated fair value:
Amount	$	38,603		$	18,757		$	(17,866)		$	(34,908)
Percentage	5.7		%	2.8		%	(2.6)		%	(5.1)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	712,026		$	696,250		$	660,167		$	640,286
Change in estimated fair value:
Amount	$	33,113		$	17,337		$	(18,746)		$	(38,627)
Percentage	4.9		%	2.6		%	(2.8)		%	(5.7)		%

The following table summarizes the estimated change in fair value of our interests in the Ginnie Mae MSRs, owned as of December 31, 2023 given several parallel shifts in the discount rate, prepayment rate and delinquency rate (dollars in thousands):

Fair value at December 31, 2023	$	2,394,012
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	2,584,318		$	2,485,472		$	2,309,232		$	2,230,420
Change in estimated fair value:
Amount	$	190,306		$	91,460		$	(84,780)		$	(163,592)
Percentage	7.9		%	3.8		%	(3.5)		%	(6.8)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	2,535,281		$	2,460,736		$	2,332,802		$	2,277,856
Change in estimated fair value:
Amount	$	141,269		$	66,724		$	(61,210)		$	(116,156)
Percentage	5.9		%	2.8		%	(2.6)		%	(4.9)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	2,568,437		$	2,484,912		$	2,297,211		$	2,195,842
Change in estimated fair value:
Amount	$	174,425		$	90,900		$	(96,801)		$	(198,170)
Percentage	7.3		%	3.8		%	(4.0)		%	(8.3)		%

Each of the preceding sensitivity analyses is hypothetical and is provided for illustrative purposes only. There are certain limitations inherent in the sensitivity analyses presented. In particular, the results are calculated by stressing a particular economic assumption independent of changes in any other assumption; in practice, changes in one factor may result in changes in another, which might counteract or amplify the sensitivities. Also, changes in the fair value based on a 10% variation in an

assumption generally may not be extrapolated because the relationship of the change in the assumption to the change in fair value may not be linear.

Servicer Advance Investments Valuation

Rithm Capital uses internal pricing models to estimate the future cash flows related to the servicer advance investments that incorporate significant unobservable inputs and include assumptions that are inherently subjective and imprecise. Rithm Capital’s estimations of future cash flows include the combined cash flows of all of the components that comprise the servicer advance investments: existing advances, the requirement to purchase future advances, the recovery of advances and the right to the basic fee component of the related MSR. The factors that most significantly impact the fair value include (i) the rate at which the servicer advance balance changes over the term of the investment, (ii) the UPB of the underlying loans with respect to which Rithm Capital has the obligation to make advances and owns the basic fee component of the related MSR which, in turn, is driven by prepayment rates and (iii) the percentage of delinquent loans with respect to which Rithm Capital owns the basic fee component of the related MSR. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included the assumptions used to establish the aforementioned cash flows and discount rates that market participants would use in determining the fair values of servicer advance investments.

Significant increases (decreases) in the advance balance-to-UPB ratio, prepayment rate, delinquency rate, or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the advance balance-to-UPB ratio.

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, 2023	1.1% – 2.1% (2.1%)	2.8% – 4.5% (4.4%)	3.3% – 25.8% (25.3%)	18.2 – 19.9 (19.8) bps	6.2% – 6.7% (6.2%)	21.8
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

(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 10.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of December 31, 2023 and 2022, respectively.

(C)Weighted average maturity of the underlying residential mortgage loans in the pool.

The valuation of the servicer advance investments also takes into account the performance fee paid to the servicer, which in the case of the Buyer is based on its equity returns and therefore is impacted by relevant financing assumptions such as LTV ratio and interest rate as well as advance-to-UPB ratio. All of the assumptions listed have some degree of market observability, based on Rithm Capital’s knowledge of the market, relationships with market participants, and use of common market data sources. The prepayment rate, the delinquency rate and the advance-to-UPB ratio projections are in the form of “curves” or “vectors” that vary over the expected life of the underlying mortgages and related servicer advances. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each Servicer Advance Investment, including the basic fee component of the related MSR.

When valuing servicer advance investments, Rithm Capital uses the following criteria to determine the significant inputs:

•Servicer advance balance: Servicer advance balance projections are in the form of a “vector” that varies over the expected life of the residential mortgage loan pool. The servicer advance balance projection is based on assumptions that reflect factors such as the borrower’s expected delinquency status, the rate at which delinquent borrowers re-perform or become current again, servicer modification offer and acceptance rates, liquidation timelines and the servicers’ stop advance and clawback policies.

•Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e. pay

off) and involuntarily (i.e. default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions and factors such as the borrower’s FICO score, LTV ratio, debt-to-income ratio and vintage on a loan level basis. Rithm Capital considers collateral-specific prepayment experience when determining this vector.

•Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed recent mortgage payment(s) as well as loan- and borrower-specific characteristics such as the borrower’s FICO score, the LTV ratio, debt-to-income ratio, occupancy status, loan documentation, payment history and previous loan modifications. Rithm Capital believes the time period utilized provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions.

•Mortgage Servicing Amount: Mortgage servicing amounts are contractually determined on a pool-by-pool basis. Rithm Capital projects the weighted average mortgage servicing amount based on its projections for prepayment rates.

•SOFR: The performance-based incentive fees on Mr. Cooper-serviced servicer advance investments portfolios are driven by SOFR-based factors. The SOFR curves used are widely used by market participants as reference rates for many financial instruments.

•Discount Rate: The discount rates used by Rithm Capital are derived from market data on pricing of MSRs backed by similar collateral and the advances made thereon.

Real Estate and Other Securities Valuation

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 U.S. Department of the Treasury and are classified as Level 1.

					Fair Value
Asset Type	Outstanding Face Amount		Amortized Cost Basis		Multiple Quotes(A)		Single Quote(B)		Total		Level
December 31, 2023 (As Restated)
Agency	$	8,590,260	$	8,417,025	$	8,533,130	$	—	$	8,533,130	2
Non-Agency	9,971,779		778,873		577,543		226,486		804,029		3
Total	$	18,562,039	$	9,195,898	$	9,110,673	$	226,486	$	9,337,159
December 31, 2022 (As Restated)
Agency	$	7,463,522	$	7,290,473	$	7,338,417	$	—	$	7,338,417	2
Non-Agency	10,649,261		605,869		614,458		14		614,472		3
Total	$	18,112,783	$	7,896,342	$	7,952,875	$	14	$	7,952,889

(A)Rithm Capital generally obtains pricing service quotations or broker quotations from two sources, one of which is generally the seller (the party that sold Rithm Capital the security) for Non-Agency securities. 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 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 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 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 valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.

For 60.7% and 49.8% of Non-Agency securities as of December 31, 2023 and December 31, 2022, respectively, 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 Value		Discount Rate	Prepayment Rate(a)	CDR(b)	Loss Severity(c)
December 31, 2023 (As Restated)	$	488,314	4.1% – 33.5% (6.3%)	0.0% – 20.0% (11.6%)	0.4% – 8.0% (1.7%)	17.5% – 45.0% (32.7%)
December 31, 2022 (As Restated)	$	305,847	3.5% – 15.0% (7.5%)	—% – 100.0% (6.4%)	—% – 12.0% (0.2%)	—% – 88.0% (7.2%)

(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.

Residential Mortgage Loans Valuation

Rithm Capital, through its Mortgage Company, originates residential mortgage loans that it intends to sell into Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed securitizations. Residential mortgage loans held-for-sale, at fair value are typically pooled together and sold into certain exit markets, depending upon underlying attributes of the loan, such as agency eligibility, product type, interest rate and credit quality. The Mortgage Company also originates Non-qualified residential mortgage (“Non-QM”) loans that do not meet the qualified mortgage rules per the CFPB that it intends to sell to private investors. Residential mortgage loans held-for-sale, at fair value are valued using a market approach by utilizing either: (i) the fair value of securities backed by similar mortgage loans, adjusted for certain factors to approximate the fair value of a whole mortgage loan, (ii) current commitments to purchase loans or (iii) recent observable market trades for similar loans, adjusted for credit risk and other individual loan characteristics. As these prices are derived from market observable inputs, Rithm Capital classifies these valuations as Level 2 in the fair value hierarchy. Originated residential mortgage loans held-for-sale for which there is little to no observable trading activity of similar instruments are valued using Level 3 measurements based upon (i) internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates, or (ii) consensus pricing (broker quotes) or historical sale transactions for similar loans.

Residential mortgage loans held-for-sale, at fair value also includes nonconforming seasoned mortgage loans acquired and identified for securitization, which are valued using internal pricing models to forecast loan level cash flows based on a potential securitization exit using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). Residential mortgage loans held-for-investment, at fair value include nonconforming seasoned mortgage loans acquired and not identified for sale or securitization, which are valued using internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). As the internal pricing models are based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy.

For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy.

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3 as of December 31, 2023:

Performing Loans	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Acquired loans	$	45,545	7.9% – 8.3% (8.2%)	2.0% – 9.8% (5.9%)	1.3% – 5.9% (2.3%)	12.6% – 57.4% (29.0%)
Originated loans(A)	33,249		7.3%	8.9%	3.6%	20.7%
Residential mortgage loans held-for-sale, at fair value	$	78,794

Non-Performing Loans	Fair Value		Discount Rate	Annual change in home prices	Liquidation Timeline (in years)	Current Value of Underlying Properties
Acquired loans	$	18,944	7.7% – 8.2% (8.1%)	3.5% – 7.2% (5.9%)	5.5 – 11.0 (6.5)	235.7% – 896.0% (297.0%)
Originated loans(A)	7,049		7.3%	N/A	7.6	N/A
Residential mortgage loans held-for-sale, at fair value	$	25,993

(A)Includes inputs for 55.5% and 70.6% 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 50.7% - 100.0% (85.7%).

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans held-for-sale, at fair value classified as Level 3 as of December 31, 2022:

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	N/A	N/A	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	N/A	N/A	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 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
December 31, 2023	$	379,044	7.9% – 8.3% (8.1%)	2.9% – 3.5% (3.2%)	1.4% – 5.9% (4.3%)	24.4% – 57.4% (46.1%)
December 31, 2022	$	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%)

Consumer Loans Valuation

Consumer loans are valued using internal discounted cash flow pricing models with inputs such as default rates, prepayments speeds and discount rates. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value classified as Level 3 as of December 31, 2023:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity(A)
SpringCastle	$	285,632	8.4% – 9.4% (8.6%)	9.7% – 37.3% (17.0%)	1.7% – 7.1% (4.8%)	82.5% - 100.0% (93.3%)
Marcus	988,373		9.5%	22.5%	6.2%	93.0%
Consumer loans held-for-investment, at fair value	$	1,274,005

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans held-for-investment, at fair value classified as Level 3 as of December 31, 2022:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity(A)
SpringCastle	$	363,756	8.3% – 9.3% (8.6%)	6.8% – 33.2% (28.7%)	0.0% – 7.1% (4.3%)	89.4% – 100.0% (94.7%)

(A)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.

Mortgage Loans Receivable Valuation

Rithm Capital classifies mortgage loans receivable as Level 3 in the fair value hierarchy. The estimated fair value of originated loans approximates carrying value as most are variable-rate that reprice frequently and with minimal credit risk and severity risk. Acquired mortgage loans receivable are valued using internal pricing models to forecast cash flows with inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). The following table summarizes certain information regarding the weighted averages of inputs used in valuing acquired mortgage loans receivable, at fair value classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
December 31, 2023	$	114,366	11.0%	—%	1.8% – 2.5% (2.2%)	25.0%

Derivatives and Hedging Valuation

Rithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rithm Capital’s other assets that are classified as Level 2 in the fair value hierarchy. Treasury securities payable are valued using market-based prices published by the U.S. Department of the Treasury and classified as Level 1.

As a part of the mortgage loan origination business, Rithm Capital enters into forward loan sale and securities delivery commitments, which are valued based on observed market pricing for similar instruments and therefore, are classified as Level 2. In addition, Rithm Capital enters into IRLCs, which are valued using internal pricing models (i) incorporating market pricing for instruments with similar characteristics, (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusting for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy.

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

	Fair Value		Loan Funding Probability	Fair Value of Initial Servicing Rights (bps)
December 31, 2023	$	23,804	0.0% – 100.0% (80.8%)	7.0 – 331.3 (210.5)
December 31, 2022	$	8,786	0.0% – 100.0% (82.5%)	(150.2) – 324.6 (185.6)

Asset-Backed Securities Issued

As of December 31, 2023 and December 31, 2022, Rithm Capital was the primary beneficiary of the SCFT 2020-A securitization and the SCFT 2020-A securitization, SAFT 2013-1 securitization and MDST Trusts, respectively. Rithm Capital’s Consolidated Balance Sheet includes the asset-backed securities issued by the applicable securitizations and trusts. Rithm Capital elected the fair value option for the securities and valued them consistently with Non-Agency securities described above.

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
December 31, 2023	$	235,770	6.0%	17.0%	4.8%	93.3%
December 31, 2022	$	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%)

Notes Receivable and Loans Receivable

From time to time, Rithm Capital purchases notes and loans receivable that are generally collateralized by commercial real estate assets. Rithm Capital generally uses internal discounted cash flow pricing models to estimate the fair value of notes and loans receivable. Due to the fact that the fair value of Rithm Capital’s notes and loans receivable are based significantly on unobservable inputs, these are classified as Level 3 in the fair value hierarchy.

Future cash flows are generally estimated using contractual economic terms as well as significant unobservable inputs such as the underlying collateral performance. Other significant unobservable inputs include discount rates which estimate the market participants’ required rates of return.

The following table summarizes certain information regarding the carrying value and significant inputs used in valuing Rithm Capital’s notes and loans receivable:

	Fair Value		Discount Rate
December 31, 2023
Notes Receivable(A)	$	398,227	N/A
Loans Receivable	31,323		12.6	%
Total / weighted average	$	429,550
December 31, 2022
Notes Receivable	$	—	N/A
Loans Receivable	94,401		16.1	%
Total / weighted average	$	94,401

(A)On November 16, 2023, Rithm Capital acquired $429.2 million face value of notes receivable for a purchase price of $365.0 million. Given the proximity to year-end, Rithm Capital determined the notes cost basis approximates fair value of $365.0 million.

Consolidated Funds

Investments of consolidated funds include investments held by Sculptor’s consolidated structured alternative investment solution. The investments of the consolidated structured alternative investment solution that the Company manages are measured at fair value using the NAV per share practical expedient.

The following table summarizes the fair value of the investments by fund type and ability to redeem such investments as of December 31, 2023:

Fund Type(A)	Fair Value		Redemption Frequency	Redemption Notice Period
Open-ended	$	228,698	Monthly - Annually(B)	30 days - 90 days(B)
Close-ended	93,158		None(C)	N/A
Total	$	321,856

(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)$164.1 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 6 to 9 years from inception.

As of December 31, 2023, the structured alternative investment solution had unfunded commitments of $70.2 million related to the investments presented in the table above, which will be funded by capital within the consolidated funds from its underlying open-ended funds and liquid assets.

Notes payable of consolidated funds of $218.2 million as of December 31, 2023 are valued using independent pricing services and are classified as Level 3. The Company performs analytical procedures and compares independent pricing service valuations to other vendors’ pricing as applicable. The Company also performs due diligence reviews on independent pricing services on an annual basis and performs other due diligence procedures as may be deemed necessary. The Company measures the financial liabilities of its consolidated entity based on the fair value of the financial assets of the consolidated entity, as the Company believes the fair value of the financial assets is more observable. Notes payable of consolidated funds are included in Notes payable, at fair value and other liabilities on the Company’s Consolidated Balance Sheets. Unrealized gain (loss) from changes in fair value is included in Realized and unrealized gains (losses), net in the Company’s Consolidated Statements of Operations.

Consolidated Loan Securitizations

Rithm Capital has securitized certain residential mortgage loans and mortgage loans receivable which are held as part of consolidated CFEs. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity, and the beneficial interests have contractual recourse only to the related assets of the CFE. GAAP allows entities to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. Rithm Capital has elected the fair value option for initial and subsequent recognition of the financial assets and debt issued by its consolidated securitization trusts and has determined that the consolidated securitization trusts meet the definition of a CFE. See Note 22 for further details regarding VIEs and securitization trusts. Rithm Capital determined the inputs to the fair value measurement of the financial liabilities of its consolidated CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of the consolidated CFE to measure the fair value of the financial assets of the consolidated CFE. Refer to Note 2 for the accounting policies of consolidated entities. The fair value of the debt issued by the consolidated CFE is typically valued using external pricing data, which includes third-party valuations.

The securitized residential mortgage loans and mortgage loans receivable, which are assets of the consolidated CFEs, are included in Investments, at fair value and other assets, on the Company’s Consolidated Balance Sheets. The notes issued by the consolidated CFEs are included in Notes payable, at fair value and other liabilities on the Company’s Consolidated Balance Sheets. Unrealized gains (losses) from changes in fair value of the notes issued and assets of the consolidated CFEs and related interest are included in Realized and unrealized gains (losses), net in the Company’s Consolidated Statements of Operations. The securitized residential mortgage loans and the notes issued by the Company’s CFEs are classified as Level 2.

Residential mortgage loans securitizations (As restated)	Investments fair value		Notes payable fair value
December 31, 2023	$	3,038,587	$	2,618,082
December 31, 2022	$	2,431,867	$	2,095,478

Rithm Capital classifies securitized mortgage loans receivable as Level 3 in the fair value hierarchy because the notes payable are valued based significantly on unobservable inputs. The valuation methodology is in line with non-agency securities described above. The following table summarizes the inputs used in valuing the notes payable:

Mortgage loans receivable securitizations (As restated)	Investments Fair Value		Notes Payable Fair Value		Spread	Prepayment Rate(A)	CDR(B)			Loss Severity(C)
December 31, 2023	$	353,594	$	318,998	2.2% -7.4% (2.7%)	20%	3%	11	%	15%
December 31, 2022	$	349,975	$	312,918	2.8% - 7.1% (3.6%)	3%	3%	9%		15%

(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.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans held-for-sale and foreclosed real estate accounted for as REO, Rithm Capital applies the lower of cost or fair value accounting and may be required, from time to time, to record a nonrecurring fair value adjustment. Upon the occurrence of certain events, the Company re-measures the fair value of long-lived assets, including property, plant and equipment, SFR Properties, operating lease ROU assets, intangible assets and goodwill, if an impairment or observable price adjustment is recognized in the current period.

As of December 31, 2023 and 2022, assets measured at fair value on a nonrecurring basis were $84.8 million and $102.3 million, respectively. The $84.8 million of assets at December 31, 2023 include approximately $78.9 million of residential mortgage loans held-for-sale and $5.9 million of REO. The $102.3 million of assets at December 31, 2022 include approximately $91.8 million of residential mortgage loans held-for-sale and $10.5 million of REO. The fair value of Rithm Capital’s residential mortgage loans, held-for-sale is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy.

The following table summarizes the inputs used in valuing these residential mortgage loans:

	Fair Value and Carrying Value		Discount Rate	Weighted Average Life (Years)(A)	Prepayment Rate	CDR(B)	Loss Severity(C)
December 31, 2023
Performing loans	$	57,038	6.1% – 8.3% (8.1%)	5.0 – 7.9 (5.9)	2.0% – 6.6% (3.7%)	2.6% – 5.9% (3.1%)	30.5% – 57.4% (37.3%)
Non-performing loans	21,839		7.7% – 9.1% (8.5%)	4.3 – 11.0 (5.7)	2.5% – 2.9% (2.7%)	1.4% – 13.9% (6.8%)	24.4% – 44.4% (32.9%)
Total / weighted average	$	78,877	8.2%	5.8	3.4%	4.2%	36.1%
December 31, 2022
Performing loans	$	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 loans	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%

(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.

The fair value of REO is estimated using a broker’s price opinion discounted based upon Rithm Capital’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10% – 25% (weighted average of 22%), depending on the information available to the broker.

The total change in the recorded value of assets for which a fair value adjustment has been included in the Consolidated Statements of Operations for the year ended December 31, 2023 consists of a valuation allowance of $1.9 million for residential mortgage loans and a reversal of valuation allowance of $1.7 million for REO.

The total change in the recorded value of assets for which a fair value adjustment has been included in the Consolidated Statements of Operations for the year ended December 31, 2022 consists of a reversal of valuation allowance of $8.3 million for residential mortgage loans and a reversal of valuation allowance of $0.7 million for REO.

For a discussion of the restatement, refer to Notes 3 and 28.