
	March 31, 2024 (As Restated)											December 31, 2023 (As Restated)
			Gross Unrealized							Weighted Average
	Outstanding Face Amount		Gains		Losses		Carrying Value(A)		Number of Securities	Coupon(B)		Yield		Life (Years)(C)	Carrying Value(A)
Securities designated as available for sale (“AFS”):
Agency(D)	$	73,387	$	—	$	—	$	64,331	1	3.5	%	3.5	%	10.8	$	65,496
Non-Agency(E)(F)	2,409,685		70,861		(25,123)		332,146		308	3.5	%	3.9	%	5.2	337,427

Securities measured at fair value through net income:
Agency(D)	9,678,119		41,444		(24,684)		9,501,879		46	5.1	%	5.1	%	11.0	8,467,634
US Treasury(D)	4,500,000		—		(8,759)		4,472,656		7	4.3	%	4.3	%	4.1	—
Non-Agency(E)(F)	7,331,641		23,312		(41,342)		461,389		421	2.3	%	7.2	%	4.3	466,602
Total/Weighted Average	23,992,832		135,617		(99,908)		14,832,401		783	4.8	%	4.9	%	7.1	$	9,337,159

(F)Includes other asset-backed securities consisting primarily of (i) collateralized loan obligations backed by corporate debt and commercial MBSs (fair value option securities), (ii) bonds backed by consumer loans (AFS securities), and (iii) interest-only securities and servicing strips (AFS or fair value option securities). These securities are detailed in the table below:


		Gross Unrealized				Weighted Average
Asset Type	Outstanding Face Amount	Gains	Losses	Carrying Value	Number of Securities		Coupon		Yield		Life (Years)

Consumer loan bonds	280	259	—	259	1		N/A		N/A		1.5

Interest-only securities	3,706,086	7,598	(23,232)	70,026	113		1.0	%	10.9	%	2.3
Servicing strips	2,431,838	3,351	(466)	20,078	50		—	%	14.9	%	6.2
Commercial MBSs	3,845	194	—	3,901	2		7.9	%	7.9	%	1.2
CLOs	215,412	4,425	(2,403)	211,996	194		5.5	%	8.7	%	8.6


	March 31, 2024									December 31, 2023
										Weighted Average
	Outstanding Face Amount		Amortized Cost / Carrying Value		Fair Value		Unrecognized Gains /(Losses)		Number of Securities	Yield		Life (Years)	Carrying Value
Treasury Bills Designated as Held to Maturity (HTM):
Treasury	$	25,000	$	24,885	$	24,886	$	1	1	5.4	%	0.1	$	24,553


	Three Months Ended March 31,
	2024						2023
(in millions)	Treasury(A)		Agency		Non-Agency		Treasury(A)		Agency		Non-Agency
Purchases
Face	$	4,800.0	$	1,287.0	$	17.7	$	—	$	2,162.4	$	25.2
Purchase price	4,773.9		1,255.9		17.6		—		2,154.4		2.4

Sales
Face	$	—	$	—	$	—	$	—	$	1,462.4	$	—
Amortized cost	—		—		—		—		1,442.8		—
Sale price	—		—		—		—		1,395.9		—
Realized gain (loss)	—		—		—		—		(46.9)		—

As of March 31, 2024, Rithm Capital has purchased $1.3 billion face amount of Agency RMBS for $1.3 billion and $14.0 million face amount of Non-Agency RMBS for $13.9 million, each of which had not yet been settled as of the reporting date. Unsettled purchases are recorded on a trade date basis and presented within Payable for investments purchased on the Consolidated Balance Sheets.

Prior to March 31, 2024, Rithm Capital exercised its call rights with respect to certain Non-Agency RMBS trusts and purchased performing and non-performing residential mortgage loans and REO contained in such trusts prior to their termination. In certain cases, Rithm Capital sold portions of the purchased loans through securitizations and retained notes issued by such securitizations. In addition, Rithm Capital received par on the securities issued by the called trusts which it owned prior to such trusts’ terminations.


March 31, 2024																		December 31, 2023
Securities in an Unrealized Loss Position	Outstanding Face Amount		Amortized Cost Basis						Gross Unrealized Losses		Carrying Value		Number of Securities	Weighted Average					Carrying Value
			Before Credit Impairment		Credit Impairment(A)		After Credit Impairment							Coupon		Yield		Life (Years)
Less than 12 Months	$	38,678	$	37,051	$	(21)	$	37,030	$	(4,486)	$	32,544	28	2.8	%	4.2	%	6.3	$	49,069
12 or More Months	290,243		269,086		(10,663)		258,423		(20,637)		237,786		140	3.7	%	3.7	%	6.2	231,309
Total/Weighted Average	$	328,921	$	306,137	$	(10,684)	$	295,453	$	(25,123)	$	270,330	168	3.6	%	3.8	%	6.2	$	280,378

Rithm Capital performed an assessment of all RMBS designated as AFS that are in an unrealized loss position (an unrealized loss position exists when a security’s amortized cost basis, excluding the effect of credit impairment, exceeds its fair value) and determined the following:


	March 31, 2024 (As Restated)								December 31, 2023 (As Restated)
					Gross Unrealized Losses								Gross Unrealized Losses
RMBS Designated as AFS	Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)		Fair Value		Amortized Cost Basis After Credit Impairment		Credit(A)		Non-Credit(B)
Securities intended to sell	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Securities that are more likely than not required to be sold(C)	—		—		—		—		—		—		—		—
Securities with no intent to sell and are not more likely than not required to be sold:
Credit impaired securities	64,525		64,591		(10,684)		(66)		65,697		66,377		(10,152)		(680)
Non-credit impaired securities	205,805		230,862		—		(25,057)		214,681		238,489		—		(23,808)
Total debt securities in an unrealized loss position	$	270,330	$	295,453	$	(10,684)	$	(25,123)	$	280,378	$	304,866	$	(10,152)	$	(24,488)

(A)Recognized through earnings. In measuring the portion of credit losses, Rithm Capital estimates the expected cash flow for each of the securities. This evaluation included a review of the credit status and the performance of the collateral supporting those securities, including the credit of the issuer, key terms of the securities and the effect of local, industry and broader economic trends. Significant inputs in estimating the cash flows included Rithm Capital’s expectations of prepayment rates, default rates and loss severities. Credit losses were measured as the decline in the present value of the expected future cash flows discounted at the security’s effective interest rate.

(C)Rithm Capital may, at times, be more likely than not be required to sell certain securities for liquidity purposes. While the amount of the securities to be sold may be an estimate, and the securities to be sold have not yet been identified, Rithm Capital makes its best estimate, which is subject to significant judgment regarding future events, and may differ materially from actual future sales.

The following table summarizes the activity for the period related to the allowance for credit losses on RMBS designated as AFS (excluding credit impairment relating to securities Rithm Capital intends to sell or is more likely than not required to sell):


RMBS Designated as AFS	Purchased Credit Deteriorated		Non-Purchased Credit Deteriorated		Total
Allowance for credit losses on available-for-sale debt securities at December 31, 2023	$	1,183	$	8,969	$	10,152
Additions to the allowance for credit losses on securities for which credit losses were not previously recognized	21		—		21
Additions to the allowance for credit losses arising from purchases of AFS debt securities accounted for as purchased financial assets with credit deterioration	—		—		—
Reductions for securities sold during the period	—		—		—
Reductions in the allowance for credit losses for securities intended to be sold or are more likely than not required to be sold before recovery of its amortized cost basis	—		—		—
Additional increases (decreases) to the allowance for credit losses on securities with credit losses, or an allowance recognized in a previous period	595		(84)		511
Write-offs charged against the allowance	—		—		—
Recoveries of amounts previously written off	—		—		—
Allowance for credit losses on available-for-sale debt securities at March 31, 2024	$	1,799	$	8,885	$	10,684