FAIR VALUE MEASURMENTS (AS RESTATED) (Tables)

12 Months Ended

Dec. 31, 2023

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 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.

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 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.

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, 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.

Schedule of Measurement Inputs and Valuation Techniques

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.

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)		%

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.

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%)

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.

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%

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)

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%)

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.

Schedule 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, 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.

Summary of Fair Value of Investments Of the Structured Alternative Investment Solution

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.

Schedule Of Loan Securitizations

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%

Schedule of Inputs Used in Valuing Residential Mortgage Loans

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.