FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2025

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 measured at amortized cost for which fair value is disclosed, as of June 30, 2025 were as follows:

	Principal Balance or Notional Amount		Carrying Value		Fair Value(E)
					Level 1		Level 2		Level 3		Net Asset Value (“NAV”)		Total
Assets:
Excess MSRs(A)	$	50,719,526	$	345,677	$	—	$	—	$	345,677	$	—	$	345,677
MSRs and MSR financing receivables(A)	592,723,336		10,360,063		—		—		10,360,063		—		10,360,063
Servicer advance investments	276,702		312,986		—		—		312,986		—		312,986
Government and government-backed securities(B)	8,992,430		8,868,879		1,282,188		7,586,689		—		—		8,868,877
Non-Agency securities	8,852,683		739,143		—		—		739,143		—		739,143
Residential mortgage loans, HFS	68,525		60,966		—		—		60,966		—		60,966
Residential mortgage loans, HFS, at fair value	4,049,979		4,126,335		—		4,100,440		25,895		—		4,126,335
Residential mortgage loans, HFI, at fair value	371,253		343,333		—		—		343,333		—		343,333
Residential mortgage loans subject to repurchase	2,264,600		2,264,600		—		2,264,600		—		—		2,264,600
Consumer loans	580,301		465,231		—		—		465,231		—		465,231
Derivative and hedging assets	17,499,607		58,829		—		6,745		52,084		—		58,829
Residential transition loans	2,492,943		2,497,764		—		—		2,497,764		—		2,497,764
Notes receivable	532,517		442,893		—		—		442,893		—		442,893
Loans receivable	8,038		8,038		—		—		8,038		—		8,038
Equity investment, at fair value	192,500		194,315		—		—		194,315		—		194,315
CLOs	339,429		337,392		—		249,627		87,765		—		337,392
Investments of consolidated CFEs - funds(C)	1,133,725		1,159,681		—		801,443		88		358,150		1,159,681
Investments of consolidated CFEs - loan securitizations(C)	3,712,455		3,605,392		—		2,637,931		967,461		—		3,605,392
Other assets	N/A		172,057		78,754		—		93,303		—		172,057
			$	36,363,574	$	1,360,942	$	17,647,475	$	16,997,005	$	358,150	$	36,363,572
Liabilities:
Secured financing agreements	$	15,899,785	$	15,897,778	$	—	$	15,669,872	$	231,119	$	—	$	15,900,991
Secured notes and bonds payable(D)	9,824,595		9,764,857		—		—		9,768,399		—		9,768,399
Unsecured notes, net of issuance costs	1,512,940		1,414,497		—		—		1,422,452		—		1,422,452
Residential mortgage loan repurchase liability	2,264,600		2,264,600		—		2,264,600		—		—		2,264,600
Derivative liabilities	16,244,042		95,339		113		65,184		30,042		—		95,339
MSR financing liability(A)	8,613,478		60,940		—		—		60,940				60,940
Notes receivable financing	371,446		376,143		—		—		381,128		—		381,128
Notes payable of consolidated CFEs - funds(C)	960,250		955,757		—		731,091		224,666		—		955,757
Notes payable of consolidated CFEs - loan securitizations(C)	3,220,367		3,095,522		—		2,232,484		863,038		—		3,095,522
			$	33,925,433	$	113	$	20,963,231	$	12,981,784	$	—	$	33,945,128

(A)The notional amount represents the total UPB of the residential mortgage loans underlying the MSRs, MSR financing receivables, Excess MSRs and MSR financing liability. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.

(B)Includes Treasury securities classified as Level 1 and held at amortized cost basis of $24.8 million (see Note 6).

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

(D)Includes $160.4 million of SCFT 2020-A (as defined in Note 20) MBS as of June 30, 2025, for which the FVO for financial instruments was elected.

(E)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1.

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, 2024 were as follows:

	Principal Balance or Notional Amount		Carrying Value		Fair Value(E)
					Level 1		Level 2		Level 3		NAV		Total
Assets:
Excess MSRs(A)	$	53,494,378	$	369,162	$	—	$	—	$	369,162	$	—	$	369,162
MSRs and MSR financing receivables(A)	590,214,351		10,321,671		—		—		10,321,671		—		10,321,671
Servicer advance investments	298,945		339,646		—		—		339,646		—		339,646
Government and government-backed securities(B)	9,947,189		9,736,116		3,285,478		6,450,643		—		—		9,736,121
Non-agency securities	8,962,730		552,797		—		—		552,797		—		552,797
Residential mortgage loans, HFS	75,872		66,670		—		—		66,670		—		66,670
Residential mortgage loans, HFS, at fair value	4,274,620		4,307,571		—		4,280,405		27,166		—		4,307,571
Residential mortgage loans, HFI, at fair value	396,061		361,890		—		—		361,890		—		361,890
Residential mortgage loans subject to repurchase	2,745,756		2,745,756		—		2,745,756		—		—		2,745,756
Consumer loans	767,623		665,565		—		—		665,565		—		665,565
Derivative and hedging assets	18,597,732		75,147		—		53,651		21,496		—		75,147
Residential transition loans	2,172,713		2,178,075		—		—		2,178,075		—		2,178,075
Notes receivable	487,276		393,786		—		—		393,786		—		393,786
Loans receivable	31,580		31,580		—		—		31,580		—		31,580
Equity investment, at fair value	192,500		194,410		—		—		194,410		—		194,410
CLOs	243,355		242,227		—		217,049		25,178		—		242,227
Investments of consolidated CFEs - funds(C)	1,108,903		1,118,359		—		—		785,253		333,106		1,118,359
Investments of consolidated CFEs - loan securitizations(C)	3,900,428		3,753,219		—		2,791,027		962,192		—		3,753,219
Other assets	N/A		113,224		17,831		—		95,393		—		113,224
			$	37,566,871	$	3,303,309	$	16,538,531	$	17,391,930	$	333,106	$	37,566,876
Liabilities:
Secured financing agreements	$	16,784,505	$	16,782,467	$	—	$	16,611,477	$	175,559	$	—	$	16,787,036
Secured notes and bonds payable(D)	10,353,561		10,298,075		—		—		10,318,385		—		10,318,385
Unsecured notes, net of issuance costs	1,302,492		1,204,220		—		—		1,229,408		—		1,229,408
Residential mortgage loan repurchase liability	2,745,756		2,745,756		—		2,745,756		—		—		2,745,756
Derivative liabilities	11,255,492		52,610		1,259		15,628		35,723		—		52,610
MSR financing liability(A)	15,271,757		101,088		—		—		101,088		—		101,088
Notes receivable financing	371,446		371,788		—		—		377,227		—		377,227
Notes payable of consolidated CFEs - funds(C)	1,182,640		959,958		—		—		959,958		—		959,958
Notes payable of consolidated CFEs - loan securitizations(C)	3,402,823		3,228,957		—		2,369,934		859,023		—		3,228,957
			$	35,744,919	$	1,259	$	21,742,795	$	14,056,371	$	—	$	35,800,425

(A)The notional amount represents the total UPB of the residential mortgage loans underlying the MSRs, MSR financing receivables, Excess MSRs and MSR financing liability. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios.

(B)Includes Treasury Bills classified as Level 1 and held at amortized cost basis of $24.8 million (see Note 6).

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

(D)Includes $185.5 million of SCFT 2020-A (as defined in Note 20) MBS as of December 31, 2024, for which the FVO for financial instruments was elected.

(E)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1.

Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs

The following tables summarize the changes in the Company’s Level 3 financial assets for the periods presented:

	Level 3
	Excess MSRs(A)		MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency Securities		CLOs(B)		Residential Mortgage Loans		Consumer Loans		Other Assets(C)		Residential Transition Loans(D)		Total
Balance at March 31, 2025	$	354,923	$	10,133,041	$	321,531	$	639,458	$	457,276	$	444,684	$	554,168	$	748,583	$	3,273,750	$	16,927,414
Transfers:
Transfers out of Level 3(I)	—		—		—		—		(372,985)		—		—		—		—		(372,985)
Gain (Loss) Included in Net Income:
Credit losses on securities(E)	—		—		—		(705)		—		—		—		—		—		(705)
Servicing Revenue, Net(F):
Included in servicing revenue(F)	—		(194,819)		—		—		—		—		—		—		—		(194,819)
Fair Value Adjustments due to:
Other factors(E)	(690)		—		166		2,072		—		2,828		(2,514)		19,202		8,056		29,120
Instrument-specific credit risk(E)	—		—		—		—		—		(653)		(4,384)		—		(7,257)		(12,294)
Other income (loss), net(E)	—		—		—		—		(27,843)		322		—		9,246		—		(18,275)
Gains (losses) included in OCI(G)	—		—		—		3,210		—		—		—		—		—		3,210
Interest income	9,109		—		5,245		9,549		—		—		777		—		—		24,680
Purchases, Sales and Repayments:
Purchases, net(H)	—		—		164,021		113,890		61,459		299		—		6,668		—		346,337
Sales and settlement fundings	(45)		1,860		—		—		(30,054)		—		5,074		—		—		(23,165)
Proceeds from repayments	(17,620)		—		(177,977)		(28,331)		—		(16,117)		(87,890)		(20,149)		(738,568)		(1,086,652)
Originations and other	—		419,981		—		—		—		(1,169)		—		(2,959)		929,244		1,345,097
Balance at June 30, 2025	$	345,677	$	10,360,063	$	312,986	$	739,143	$	87,853	$	430,194	$	465,231	$	760,591	$	3,465,225	$	16,966,963

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

(B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy.

(C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net.

(D)Includes residential transition loans of consolidated CFEs classified as Level 3 in the fair value 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 5 for further details on the components of servicing revenue, net.

(G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income.

(H)Non-Agency securities includes securities retained through securitizations accounted for as sales.

(I)For the three months ended June 30, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

	Level 3
	Excess MSRs(A)		MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency Securities		CLOs(B)		Residential Mortgage Loans		Consumer Loans		Other Assets(C)		Residential Transition Loans(D)		Total
Balance at December 31, 2024	$	369,162	$	10,321,671	$	339,646	$	552,797	$	810,431	$	455,726	$	665,565	$	700,942	$	3,140,267	$	17,356,207
Transfers:
Transfers out of Level 3(I)	—		—		—		—		(785,253)		(858)		—		—		—		(786,111)
Transfers to Level 3	—		—		—		—		21,809		2,081		—		—		—		23,890
Gain (Loss) Included in Net Income:
Credit losses on securities(E)	—		—		—		(603)		—		—		—		—		—		(603)
Servicing Revenue, Net(F):
Included in servicing revenue(F)	—		(733,101)		—		—		—		—		—		—		—		(733,101)
Fair Value Adjustments due to:
Other factors(E)	(1,605)		—		(1,527)		3,976		—		12,840		(13,323)		42,736		11,066		54,163
Instrument-specific credit risk(E)	—		—		—		—		—		(6,450)		(6,388)		—		(15,818)		(28,656)
Other income (loss), net(E)	—		—		—		—		404		1,760		—		17,816		—		19,980
Gains (losses) included in OCI(G)	—		—		—		7,950		—		—		—		—		—		7,950
Interest income	13,299		—		10,600		16,572		—		—		6,700		119		—		47,290
Purchases, Sales and Repayments:
Purchases, net(H)	—		—		350,377		210,826		88,157		538		—		46,699		—		696,597
Sales and settlement fundings	(45)		2,524		—		—		(47,695)		(7,216)		11,669		—		—		(40,763)
Proceeds from repayments	(35,134)		—		(386,110)		(52,375)		—		(32,473)		(198,992)		(44,762)		(1,373,884)		(2,123,730)
Originations and other	—		768,969		—		—		—		4,246		—		(2,959)		1,703,594		2,473,850
Balance at June 30, 2025	$	345,677	$	10,360,063	$	312,986	$	739,143	$	87,853	$	430,194	$	465,231	$	760,591	$	3,465,225	$	16,966,963

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

(B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy.

(C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net.

(D)Includes residential transition loans of consolidated CFEs classified as Level 3 in the fair value 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 5 for further details on the components of servicing revenue, net.

(G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income.

(H)Non-Agency securities includes securities retained through securitizations accounted for as sales.

(I)For the six months ended June 30, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

	Level 3
	Excess MSRs(A)(J)		MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency Securities		CLOs(B)		Residential Mortgage Loans(K)		Consumer Loans		Other Assets(C)		Residential Transition Loans(D)		Total
Balance at March 31, 2024	$	255,111	$	8,706,723	$	374,511	$	581,539	$	211,996	$	703,549	$	1,103,799	$	504,248	$	2,384,744	$	14,826,220
Transfers:
Transfers out of Level 3	—		—		(7,873)		—		—		(142,046)		—		—		—		(149,919)
Transfers to Level 3	—		—		—		—		—		1,283		—		—		—		1,283
Computershare Acquisition (Note 3)	(1,032)		697,494		—		—		—		—		—		—		—		696,462
Gain (Loss) Included in Net Income:
Credit losses on securities(E)	—		—		—		(252)		—		—		—		—		—		(252)
Servicing Revenue, Net(F):
Included in servicing revenue(F)	—		(76,924)		—		—		—		—		—		—		—		(76,924)
Fair Value Adjustments due to:
Other factors(E)	22,914		—		(1,727)		(2,860)		—		(874)		(12,599)		(1,650)		13,855		17,059
Instrument-specific credit risk(E)	—		—		—		—		—		19,919		(8,673)		—		(3,176)		8,070
Gain (loss) on settlement of investments, net(E)	(656)		—		—		—		—		—		—		—		—		(656)
Other income (loss), net(E)	—		—		—		939		4,646		2,524		—		(9,280)		—		(1,171)
Gains (losses) included in OCI(G)	—		—		—		278		(4,489)		—		—		—		—		(4,211)
Interest income	8,076		—		5,939		6,373		—		—		5,826		(209)		—		26,005
Purchases, Sales and Repayments:
Purchases, net(H)(I)	122,887		—		187,996		—		62,938		30,487		—		3,323		—		407,631
Sales and settlement fundings	—		1,733		—		—		—		(43,766)		5,985		—		—		(36,048)
Proceeds from repayments	(11,694)		—		(201,626)		(37,970)		(13,599)		(16,044)		(147,971)		(4,720)		(530,382)		(964,006)
Originations and other	—		364,305		—		—		—		(170,445)		—				676,328		870,188
Balance at June 30, 2024	$	395,606	$	9,693,331	$	357,220	$	548,047	$	261,492	$	384,587	$	946,367	$	491,712	$	2,541,369	$	15,619,731

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

(B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy.

(C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net.

(D)Includes residential transition loans 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 5 for further details on the components of servicing revenue, net.

(G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income.

(H)Non-Agency securities includes securities retained through securitizations accounted for as sales.

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

(J)Amounts include Rithm Capital’s portion of the Excess MSRs held by the respective joint ventures in which Rithm Capital has a 50% interest.

(K)For the three months ended June 30, 2024, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

	Level 3
	Excess MSRs(A)(J)		MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Non-Agency Securities		CLOs(B)		Residential Mortgage Loans(K)		Consumer Loans		Other Assets(C)		Residential Transition Loans(D)		Total
Balance at December 31, 2023	$	271,150	$	8,405,938	$	376,881	$	577,543	$	226,486	$	513,381	$	1,274,005	$	549,446	$	2,232,913	$	14,427,743
Transfers:
Transfers out of Level 3	—		—		(7,873)		—		—		(142,046)		—		—		—		(149,919)
Transfers to Level 3	—		—		—		—		—		1,389		—		—		—		1,389
Computershare Acquisition (Note 3)	(1,032)		697,494		—		—		—		—		—		—		—		696,462
Gain (Loss) Included in Net Income:
Credit losses on securities(E)	—		—		—		(914)		—		—		—		—		—		(914)
Servicing Revenue, Net(F):
Included in servicing revenue(F)	—		7,251		—		—		—		—		—		—		—		7,251
Fair Value Adjustments due to:
Other factors(E)	21,047		—		6,388		—		—		8,748		(19,755)		(67)		14,995		31,356
Instrument-specific credit risk(E)	—		—		—		—		—		15,893		(31,634)		—		10,557		(5,184)
Gain (loss) on settlement of investments, net(E)	(656)		—		—		—		36		—		—		—		—		(620)
Other income (loss), net(E)	—		—		—		939		4,646		4,348		—		(14,323)		—		(4,390)
Gains (losses) included in OCI(G)	—		—		—		1,880		(5,354)		—		—		—		—		(3,474)
Interest income	10,522		—		13,254		14,869		—		—		15,978		(62)		—		54,561
Purchases, Sales and Repayments:
Purchases, net(H)(I)	122,887		—		400,652		13,900		66,617		246,892		—		4,417		—		855,365
Sales and settlement fundings	—		2,404		—		—		—		(61,532)		10,098		—		—		(49,030)
Proceeds from repayments	(28,312)		—		(432,082)		(60,170)		(30,939)		(32,086)		(302,325)		(47,638)		(1,035,473)		(1,969,025)
Originations and other	—		580,244		—		—		—		(170,400)		—		(61)		1,318,377		1,728,160
Balance at June 30, 2024	$	395,606	$	9,693,331	$	357,220	$	548,047	$	261,492	$	384,587	$	946,367	$	491,712	$	2,541,369	$	15,619,731

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

(B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy.

(C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net.

(D)Includes residential transition loans 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 5 for further details on the components of servicing revenue, net.

(G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income.

(H)Non-Agency securities includes securities retained through securitizations accounted for as sales.

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

(J)Amounts include Rithm Capital’s portion of the Excess MSRs held by the respective joint ventures in which Rithm Capital has a 50% interest.

(K)For the six months ended June 30, 2024, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs

The following tables summarize the changes in the Company’s Level 3 financial liabilities for the periods presented:

	Level 3
	Asset-Backed Securities Issued		Notes Payable of CFEs - Consolidated Funds		Notes Payable of CFEs - Residential Transition Loans		MSR Financing Liability		Notes Receivable Financing		Total
Balance at March 31, 2025	$	169,035	$	592,078	$	859,760	$	104,721	$	378,721	$	2,104,315
Transfers:
Transfers out of Level 3(A)	—		(368,843)		—		—		—		(368,843)
Gains (Losses) Included in Net Income:
Servicing revenue, net(C)	—		—		—		(9,332)		—		(9,332)
Other income(B)	2,841		1,431		2,712		—		2,407		9,391
Purchases, Issuance and Repayments:
Repayments	(11,443)		—		—		(34,450)		—		(45,893)
Other	—		—		566		1		—		567
Balance at June 30, 2025	$	160,433	$	224,666	$	863,038	$	60,940	$	381,128	$	1,690,205

(A)For the three months ended June 30, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

(B)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.

(C)See Note 5 for further details on the components of servicing revenue, net.

	Level 3
	Asset-Backed Securities Issued		Notes Payable of CFEs - Consolidated Funds		Notes Payable of CFEs - Residential Transition Loans		MSR Financing Liability		Notes Receivable Financing		Total
Balance at December 31, 2024	$	185,460	$	959,958	$	859,023	$	101,088	$	377,227	$	2,482,756
Transfers:
Transfers out of Level 3(A)	—		(735,874)		—		—		—		(735,874)
Gains (Losses) Included in Net Income:
Servicing revenue, net(C)	—		—		—		(5,698)		—		(5,698)
Other income(B)	(1,992)		582		2,883		—		3,901		5,374
Purchases, Issuance and Repayments:
Repayments	(23,035)		—		—		(34,450)		—		(57,485)
Other	—		—		1,132		—		—		1,132
Balance at June 30, 2025	$	160,433	$	224,666	$	863,038	$	60,940	$	381,128	$	1,690,205

(A)For the six months ended June 30, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

(B)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.

(C)See Note 5 for further details on the components of servicing revenue, net.

	Level 3
	Asset-Backed Securities Issued		Notes Payable of CFEs - Consolidated Funds		Notes Payable of CFEs - Residential Transition Loans		MSR Financing Liability		Notes Receivable Financing		Total
Balance at March 31, 2024	$	221,922	$	218,123	$	324,062	$	—	$	—	$	764,107
Transfers:
Transfers to Level 3	—		—		—		—		352,683		352,683
Computershare Acquisition (Note 3)	—		—		—		125,168		—		125,168
Gains (Losses) Included in Net Income:
Servicing revenue, net(A)	—		—		—		(9,026)		—		(9,026)
Other income(A)	2,862		3,678		164		—		—		6,704
Purchases, Issuance and Repayments:
Issuance	—		—		451,128		—		—		451,128
Repayments	(19,498)		—		(324,062)		—		—		(343,560)
Other	—		—		390		—		—		390
Balance at June 30, 2024	$	205,286	$	221,801	$	451,682	$	116,142	$	352,683	$	1,347,594

(A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.

	Level 3
	Asset-Backed Securities Issued		Notes Payable of CFEs - Consolidated Funds		Notes Payable of CFEs - Residential Transition Loans		MSR Financing Liability		Notes Receivable Financing		Total
Balance at December 31, 2023	$	235,770	$	218,157	$	318,998	$	—	$	—	$	772,925
Transfers:
Transfers to Level 3	—		—		—		—		352,683		352,683
Computershare Acquisition (Note 3)	—		—		—		125,168		—		125,168
Gains (Losses) Included in Net Income:
Servicing revenue, net(A)	—		—		—		(9,026)		—		(9,026)
Other income(A)	2,451		3,644		5,228		—		—		11,323
Purchases, Issuance and Repayments:
Issuance	—		—		451,128		—		—		451,128
Repayments	(32,935)		—		(324,062)		—		—		(356,997)
Other	—		—		390		—		—		390
Balance at June 30, 2024	$	205,286	$	221,801	$	451,682	$	116,142	$	352,683	$	1,347,594

(A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.

Schedule of Measurement Inputs and Valuation Techniques

The following tables summarize certain information regarding the ranges and weighted averages of inputs used:

	June 30, 2025
	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	2.3% – 13.2% (6.5%)	0.2% – 14.0% (4.7%)	0.0% – 64.1% (39.7%)	7 – 31 (21)	10 – 22 (19)
MSRs, MSR Financing Receivables and MSR Financing Liability:
GSE	2.2% – 99.9% (6.2%)	0.0% – 100.0% (1.8%)	7.3% – 18.3% (14.2%)	3 – 157 (29)	0 – 40 (23)
Non-Agency	1.7% – 99.9% (7.8%)	4.0% – 100.0% (23.0%)	0.0% – 3.8% (0.7%)	1 – 194 (44)	0 – 60 (21)
Ginnie Mae	1.5% – 84.3% (8.7%)	63.0% – 100.0% (8.8%)	13.3% – 31.3% (27.0%)	14 – 132 (47)	0 – 40 (26)
Total / Weighted Average—MSRs, MSR Financing Receivables and MSR Financing Liability	1.5% – 99.9% (7.1%)	0.0% – 100.0% (5.6%)	0.0% – 31.3% (20.0%)	1 – 194 (36)	0 – 60 (24)

	December 31, 2024
	Significant Inputs(A)
	Prepayment Rate(B)	Delinquency(C)	Recapture Rate(D)	Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps)(E)	Collateral Weighted Average Maturity (Years)(F)
Excess MSRs directly held	2.4% – 13.3% (6.6%)	0.2% – 14.7% (5.1%)	—% – 64.2% (39.6%)	7 – 32 (21)	11 – 22 (19)
MSRs, MSR Financing Receivables and MSR Financing Liability:
GSE	2.5% – 99.4% (6.0%)	0.0% – 100.0% (1.9%)	7.6% – 21.9% (14.1%))	2 – 159 (28)	0 – 40 (23)
Non-Agency	1.8% – 100.0% (8.4%)	0.0% – 100.0% (24.8%)	0.0% – 15.8% (1.6%)	1 – 156 (45)	0 – 58 (21)
Ginnie Mae	2.1% – 78.5% (8.0%)	0.0% – 100.0% (10.0%)	8.0% – 26.1% (21.8%)	8 – 154 (46)	0 – 42 (26)
Total / Weighted Average—MSRs, MSR Financing Receivables and MSR Financing Liability	1.8% – 100.0% (6.8%)	0.0% – 100.0% (6.2%)	0.0% – 26.1% (20.0%)	1 – 159 (35)	0 – 58 (24)

(A)Weighted by fair value of the portfolio.

(B)Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.

(C)Projected percentage of residential mortgage loans in the pool for which the borrower is expected to miss a mortgage payment.

(D)Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable.

(E)Weighted average total mortgage servicing amount, in excess of the base fee as applicable, measured in basis points (“bps”). As of June 30, 2025 and December 31, 2024, weighted average costs of subservicing of $7.26 (range of $7.14 – $7.44) and $6.89 (range of $6.87 – $6.96), respectively, per loan per month was used to value the GSE MSRs. Weighted average costs of subservicing of $11.50 (range of $9.12 – $14.28) and $9.60 (range of $8.45 – $11.55), respectively, per loan per month was used to value the non-Agency MSRs, including MSR financing receivables. Weighted average cost of subservicing of $10.00 and $8.25, 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.

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the GSE MSRs, owned as of June 30, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:

Fair value at June 30, 2025	$	6,301,384
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,879,637		$	6,578,198		$	6,046,560		$	5,811,404
Change in Estimated Fair Value:
Amount	$	578,253		$	276,814		$	(254,824)		$	(489,980)
Percentage	9.2		%	4.4		%	(4.0)		%	(7.8)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,628,066		$	6,458,540		$	6,155,068		$	6,019,583
Change in Estimated Fair Value:
Amount	$	326,682		$	157,156		$	(146,316)		$	(281,801)
Percentage	5.2		%	2.5		%	(2.3)		%	(4.5)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,323,863		$	6,312,809		$	6,289,619		$	6,277,521
Change in Estimated Fair Value:
Amount	$	22,479		$	11,425		$	(11,765)		$	(23,863)
Percentage	0.4		%	0.2		%	(0.2)		%	(0.4)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,245,057		$	6,273,222		$	6,329,554		$	6,357,719
Change in Estimated Fair Value:
Amount	$	(56,327)		$	(28,162)		$	28,170		$	56,335
Percentage	(0.9)		%	(0.4)		%	0.4		%	0.9		%

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the non-Agency MSRs, including MSR financing receivables, owned as of June 30, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:

Fair value at June 30, 2025	$	795,130
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	881,143		$	836,104		$	757,556		$	723,183
Change in Estimated Fair Value:
Amount	$	86,013		$	40,974		$	(37,574)		$	(71,947)
Percentage	10.8		%	5.2		%	(4.7)		%	(9.0)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	841,309		$	817,559		$	773,723		$	753,453
Change in Estimated Fair Value:
Amount	$	46,179		$	22,429		$	(21,407)		$	(41,677)
Percentage	5.8		%	2.8		%	(2.7)		%	(5.2)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	801,017		$	798,110		$	791,919		$	788,714
Change in Estimated Fair Value:
Amount	$	5,887		$	2,980		$	(3,211)		$	(6,416)
Percentage	0.7		%	0.4		%	(0.4)		%	(0.8)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	794,603		$	794,833		$	795,294		$	795,524
Change in Estimated Fair Value:
Amount	$	(527)		$	(297)		$	164		$	394
Percentage	(0.1)		%	—		%	—		%	—		%

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Ginnie Mae MSRs, owned as of June 30, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:

Fair value at June 30, 2025	$	3,263,549
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,535,468		$	3,394,153		$	3,142,736		$	3,030,569
Change in Estimated Fair Value:
Amount	$	271,919		$	130,604		$	(120,813)		$	(232,980)
Percentage	8.3		%	4.0		%	(3.7)		%	(7.1)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,422,371		$	3,338,869		$	3,195,295		$	3,132,843
Change in Estimated Fair Value:
Amount	$	158,822		$	75,320		$	(68,254)		$	(130,706)
Percentage	4.9		%	2.3		%	(2.1)		%	(4.0)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,317,528		$	3,290,497		$	3,236,927		$	3,210,501
Change in Estimated Fair Value:
Amount	$	53,979		$	26,948		$	(26,622)		$	(53,048)
Percentage	1.7		%	0.8		%	(0.8)		%	(1.6)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,197,323		$	3,230,466		$	3,296,752		$	3,329,895
Change in Estimated Fair Value:
Amount	$	(66,226)		$	(33,083)		$	33,203		$	66,346
Percentage	(2.0)		%	(1.0)		%	1.0		%	2.0		%

Real estate and other securities valuation methodology and results are detailed below. Increased (decreased) prepayment speeds, default rates, or loss severity assumptions would decrease (increase) valuations. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions. 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
June 30, 2025
Government-backed securities(C)	$	7,717,430	$	7,533,795	$	7,586,689	$	—	$	7,586,689	2
CLOs(D)	339,429		328,123		249,627		87,765		337,392		2 & 3
Non-Agency and other securities(D)	8,852,683		689,682		712,758		26,385		739,143		3
Total	$	16,909,542	$	8,551,600	$	8,549,074	$	114,150	$	8,663,224
December 31, 2024
Government-backed securities(C)	$	6,672,189	$	6,510,235	$	6,450,643	$	—	$	6,450,643	2
CLOs(D)	243,355		234,397		217,049		25,178		242,227		2 & 3
Non-Agency and other securities(D)	8,962,730		515,262		529,146		23,651		552,797		3
Total	$	15,878,274	$	7,259,894	$	7,196,838	$	48,829	$	7,245,667

(A)Rithm Capital generally obtains pricing service quotations or broker quotations from two sources. Rithm Capital evaluates quotes received, determines one as being most representative of fair value and does not use an average of the quotes. Even if Rithm Capital receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for non-Agency securities, there is a wide disparity between the quotes Rithm Capital receives. Rithm Capital believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on Rithm Capital’s own fair value analysis, it selects one of the quotes which is believed to most accurately reflect fair value. Rithm Capital has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to purchase the security at the quoted price. Rithm Capital’s investments in government-backed securities are classified within Level 2 of the fair value hierarchy because the market for these securities is active and market prices are readily observable.

The third-party pricing services and brokers engaged by Rithm Capital (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of securities. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. Rithm Capital has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, Rithm Capital creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital and reviewed by its independent valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance.

For 81.9% and 82.1% of non-Agency securities as of June 30, 2025 and December 31, 2024, 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)
June 30, 2025	$	605,081	4.7% – 20.9% (6.7%)	0.0% – 25.0% (6.6%)	0.0% – 1.9% (0.3%)	0.0% – 50.0% (11.2%)
December 31, 2024	$	453,978	4.7% – 20.0% (6.9%)	0.0% – 20.0% (6.3%)	0.0% – 1.9% (0.5%)	0.0% – 50.0% (17.0%)

(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.

(C)Presented within government and government-backed securities on the consolidated balance sheets.

(D)Presented within other assets on the consolidated balance sheets.

The following tables summarize certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of June 30, 2025:

Performing Loans	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Acquired loans	$	17,563	6.8% – 8.5% (7.3%)	4.0% – 6.7% (6.2%)	0.9% – 3.6% (2.1%)	26.6% – 48.9% (35.2%)

Non-Performing Loans	Fair Value		Discount Rate	Annual Change in Home Prices	CDR	Current Value of Underlying Properties
Acquired loans	$	8,332	9.2% – 12.0% (11.1%)	3.9% – 6.6% (5.7%)	3.1% – 5.9% (4.9%)	281.8% – 308.3% (290.7%)

The following tables summarize certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of December 31, 2024:

Performing Loans	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
Acquired loans	$	17,700	7.0% – 8.6% (7.9%)	6.0% – 8.2% (7.9%)	1.8% – 5.0% (3.1%)	20.6% – 33.7% (24.0%)
Non-Performing Loans	Fair Value		Discount Rate	Annual Change in Home Prices	CDR	Current Value of Underlying Properties
Acquired loans	$	9,466	8.5% – 9.3% (8.8%)	8.6% – 15.8% (10.9%)	1.3% – 5.1% (3.8%)	264.9% – 310.3% (279.5%)

The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFI, at fair value classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
June 30, 2025	$	343,333	6.8% – 9.2% (7.9%)	4.9% – 6.7% (6.4%)	0.9% – 3.1% (1.6%)	25.9% – 48.9% (39.6%)
December 31, 2024	$	361,890	7.9% – 9.3% (8.4%)	5.4% – 8.2% (8.0%)	1.3% – 4.9% (3.3%)	12.4% – 33.7% (26.4%)

The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by UPB) used in valuing consumer loans HFI, at fair value classified as Level 3 as of June 30, 2025:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity(A)
SpringCastle	$	190,138	9.2% – 10.2% (9.4%)	13.3% – 39.0% (14.6%)	2.7% – 36.7% (5.0%)	72.1% - 100.0% (93.2%)
Marcus	275,093		7.4% - 17.5% (10.9%)	0.0% - 22.0% (14.2%)	3.0% - 62.0% (23.4%)	87.5%
Consumer Loans HFI, at Fair Value	$	465,231

The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by UPB) used in valuing consumer loans HFI, at fair value classified as Level 3 as of December 31, 2024:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity(A)
SpringCastle	$	219,308	9.2% – 10.2% (9.4%)	12.9% – 38.4% (14.5%)	2.3% – 17.1% (5.1%)	74.2% – 100.0% (92.3%)
Marcus	446,257		7.9% – 17.9% (10.1%)	0.0% – 23.1% (17.8%)	4.0% – 50.0% (14.3%)	87.5%
Consumer Loans HFI, at Fair Value	$	665,565

(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 (weighted by fair value) used in valuing performing residential transition loans, at fair value classified as Level 3:

	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
June 30, 2025	$	2,454,473	8.3% – 10.6% (8.3%)	0.0% – 50.0% (46.1%)	0.5% – 1.8% (0.5%)	25.0%
December 31, 2024	$	2,128,801	8.3% – 9.9% (8.3%)	0.0% – 50.0% (45.8%)	0.5% – 1.8% (0.5%)	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)
June 30, 2025	$	50,522	0.0% – 100.0% (84.4%)	6.2 – 428.3 (261.2)
December 31, 2024	$	11,294	0.0% – 100.0% (86.1%)	1.0 – 426.7 (281.8)

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
June 30, 2025	$	160,433	5.5%	14.6%	5.0%	93.2%
December 31, 2024	$	185,460	5.4%	14.5%	5.1%	92.3%

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

	Fair Value		Discount Rate
June 30, 2025
Notes receivable	$	442,893	8.5% - 13.7% (9.2%)
Notes receivable financing	381,128		5.3%
Loans receivable	8,038		17.5%
Total	$	832,059
December 31, 2024
Notes receivable	$	393,786	9.0% - 12.5% (9.2%)
Notes receivable financing	377,227		5.7%
Loans receivable	31,580		18.5%
Total	$	802,593

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 base 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)
June 30, 2025	2.1%	4.7%	18.9%	19.9 bps	6.5%	20.7
December 31, 2024	2.1%	4.6%	19.6%	19.9 bps	6.5%	21.1

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

(B)Mortgage servicing amount is net of 4.3 bps and 3.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of as of June 30, 2025 and December 31, 2024, respectively.

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

Schedule 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:

	June 30, 2025				December 31, 2024
Fund Type(A)	Fair Value		Redemption Frequency	Redemption Notice Period	Fair Value		Redemption Frequency	Redemption Notice Period
Open-ended	$	224,317	Monthly – Annually(B)	30 days – 90 days(B)	$	172,409	Monthly - Annually(B)	30 days - 90 days(B)
Close-ended	133,833		None(C)	N/A	160,697		None(C)	N/A
Total	$	358,150			$	333,106

(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)$47.2 million of investments are subject to an initial lock-up period of three years during which time withdrawals or redemptions are limited. Once the lock-up period ends, the investments can be redeemed with the frequency noted above.

(C)100% of these investments cannot be redeemed, as distributions will be received as the underlying assets are liquidated, which is expected to be approximately 7 to 9 years from inception.

Schedule Of Loan Securitizations

Residential Mortgage Loans Securitizations	Investments at Fair Value		Notes Payable at Fair Value
June 30, 2025	$	2,637,931	$	2,232,484
December 31, 2024	$	2,791,027	$	2,369,934

Rithm Capital classifies securitized residential transition loans 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 (weighted by fair value) used in valuing the notes payable:

Residential Transition Loans Securitizations	Investments at Fair Value		Notes Payable at Fair Value		Spread(A)	Prepayment Rate(B)	CDR(C)	Loss Severity(D)
June 30, 2025	$	967,461	$	863,038	1.6% – 10.5% (2.3%)	8.0%	0.8% – 2.0% (1.3%)	10.0%
December 31, 2024	$	962,192	$	859,023	1.7% – 11.7% (2.2%)	8.0%	0.8% – 2.0% (1.3%)	10.0%

(A)Represents the yield in excess of the risk-free rate.

(B)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.

(C)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.

(D)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.

Schedule of Inputs Used in Valuing Residential Mortgage Loans

The following table summarizes the inputs (weighted by fair value) used in valuing these residential mortgage loans:

	Fair Value		Discount Rate	Weighted Average Life (Years)(A)	Prepayment Rate	CDR(B)	Loss Severity(C)
June 30, 2025
Performing loans	$	47,792	6.8% – 8.5% (6.8%)	4.3 – 6.3 (4.3)	4.0% – 6.7% (6.7%)	0.9% – 3.6% (2.1%)	26.6% – 48.9% (31.6%)
Non-performing loans	13,174		9.2% – 12.0% (10.3%)	3.4 – 4.8 (4.3)	3.7% – 4.9% (4.4%)	3.1% – 5.9% (4.2%)	25.9% – 72.3% (43.4%)
Total	$	60,966
December 31, 2024
Performing loans	$	51,011	6.3% – 8.6% (7.7%)	2.8 – 6.0 (4.4)	6.0% – 8.2% (8.0%)	1.8% – 22.9% (3.6%)	18.7% – 33.7% (20.7%)
Non-performing loans	15,659		8.5% – 9.4% (9.1%)	5.2 – 6.2 (5.8)	1.7% – 5.4% (3.5%)	1.3% – 9.3% (5.2%)	12.4% – 39.9% (23.1%)
Total	$	66,670

(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.