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FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended
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Jun. 30, 2024
Fair Value Disclosures [Abstract] |
Schedule of Carrying Values and Fair Values of Financial Assets and Liabilities Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of June 30, 2024 were as follows:
| Principal Balance or Notional Amount |  | Carrying Value |  | Fair Value |
Level 1 |  | Level 2 |  | Level 3 |  | Net Asset Value (“NAV”) |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Excess MSRs(A) | $ | 56,559,914 |  |  | $ | 395,606 |  |  | $ | — |  |  | $ | — |  |  | $ | 395,606 |  |  | $ | — |  |  | $ | 395,606 |  |
MSRs and MSR financing receivables(A) | 587,043,388 |  |  | 9,693,331 |  |  | — |  |  | — |  |  | 9,693,331 |  |  | — |  |  | 9,693,331 |  |
Servicer advance investments | 302,282 |  |  | 357,220 |  |  | — |  |  | — |  |  | 357,220 |  |  | — |  |  | 357,220 |  |
Real estate and other securities(B) | 19,081,035 |  |  | 10,134,642 |  |  | 24,866 |  |  | 9,300,237 |  |  | 809,539 |  |  | — |  |  | 10,134,642 |  |
Residential mortgage loans, HFS | 83,301 |  |  | 72,894 |  |  | — |  |  | — |  |  | 72,894 |  |  | — |  |  | 72,894 |  |
Residential mortgage loans, HFS, at fair value | 3,807,723 |  |  | 3,837,929 |  |  | — |  |  | 3,822,208 |  |  | 15,721 |  |  | — |  |  | 3,837,929 |  |
Residential mortgage loans, HFI, at fair value | 421,507 |  |  | 368,866 |  |  | — |  |  | — |  |  | 368,866 |  |  | — |  |  | 368,866 |  |
Residential mortgage loans subject to repurchase | 1,905,625 |  |  | 1,905,625 |  |  | — |  |  | 1,905,625 |  |  | — |  |  | — |  |  | 1,905,625 |  |
Consumer loans | 1,011,653 |  |  | 946,367 |  |  | — |  |  | — |  |  | 946,367 |  |  | — |  |  | 946,367 |  |
Derivative and hedging assets | 11,640,055 |  |  | 54,357 |  |  | 11,828 |  |  | 19,134 |  |  | 23,395 |  |  | — |  |  | 54,357 |  |
Mortgage loans receivable | 2,049,266 |  |  | 2,049,266 |  |  | — |  |  | — |  |  | 2,049,266 |  |  | — |  |  | 2,049,266 |  |
Notes receivable | 464,240 |  |  | 364,977 |  |  | — |  |  | — |  |  | 364,977 |  |  | — |  |  | 364,977 |  |
Loans receivable | 29,114 |  |  | 29,114 |  |  | — |  |  | — |  |  | 29,114 |  |  | — |  |  | 29,114 |  |
Cash, cash equivalents and restricted cash | 1,535,691 |  |  | 1,535,691 |  |  | 1,561,715 |  |  | — |  |  | — |  |  | — |  |  | 1,561,715 |  |
Assets of consolidated CFEs - funds(D) | 318,315 |  |  | 354,013 |  |  | 10,892 |  |  | — |  |  | — |  |  | 343,121 |  |  | 354,013 |  |
Assets of consolidated CFEs - loan securitizations(D) | 4,056,450 |  |  | 3,878,790 |  |  | 39,352 |  |  | 3,347,335 |  |  | 492,103 |  |  | — |  |  | 3,878,790 |  |
Other assets | N/A |  | 55,586 |  |  | — |  |  | — |  |  | 55,586 |  |  | — |  |  | 55,586 |  |
|  |  | $ | 36,034,274 |  |  | $ | 1,648,653 |  |  | $ | 18,394,539 |  |  | $ | 15,673,985 |  |  | $ | 343,121 |  |  | $ | 36,060,298 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing agreements | $ | 15,181,358 |  |  | $ | 15,179,899 |  |  | $ | — |  |  | $ | 14,985,142 |  |  | $ | 194,757 |  |  | $ | — |  |  | $ | 15,179,899 |  |
Secured notes and bonds payable(C) | 10,030,061 |  |  | 9,955,891 |  |  | — |  |  | — |  |  | 10,475,128 |  |  | — |  |  | 10,475,128 |  |
Unsecured notes, net of issuance costs | 1,288,021 |  |  | 1,197,294 |  |  | — |  |  | — |  |  | 1,194,395 |  |  | — |  |  | 1,194,395 |  |
Residential mortgage loan repurchase liability | 1,905,625 |  |  | 1,905,625 |  |  | — |  |  | 1,905,625 |  |  | — |  |  | — |  |  | 1,905,625 |  |
Derivative liabilities | 7,445,641 |  |  | 35,100 |  |  | — |  |  | 11,976 |  |  | 23,124 |  |  | — |  |  | 35,100 |  |
Excess spread financing | 16,149,789 |  |  | 116,142 |  |  | — |  |  | — |  |  | 116,142 |  |  | — |  |  | 116,142 |  |
Notes Receivable Financing | 323,452 |  |  | 352,683 |  |  | — |  |  | — |  |  | 352,683 |  |  | — |  |  | 352,683 |  |
Liabilities of consolidated CFEs - funds(D) | 222,250 |  |  | 223,726 |  |  | 1,925 |  |  | — |  |  | 221,801 |  |  | — |  |  | 223,726 |  |
Liabilities of consolidated CFEs - loan securitizations(D) | 3,579,739 |  |  | 3,352,107 |  |  | 12,734 |  |  | 2,887,692 |  |  | 451,682 |  |  | — |  |  | 3,352,108 |  |
|  |  | $ | 32,318,467 |  |  | $ | 14,659 |  |  | $ | 19,790,435 |  |  | $ | 13,029,712 |  |  | $ | — |  |  | $ | 32,834,806 |  |
(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)For the purpose of this table, real estate and other securities include government and government-backed securities, non-agency RMBS and CLOs, including US Treasury Bills classified as Level 1 and held at amortized cost basis of $24.9 million (see Note 6). (C)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 $205.3 million as of June 30, 2024. (D)Represents assets and notes issued of consolidated VIEs accounted for under the CFE election.
Schedule of Changes in the Company’s Level 3 Inputs Financial Assets | The following table summarizes the changes in the Company’s Level 3 financial assets for the period presented:
| Level 3 |  |
Excess MSRs(A) | MSRs and MSR Financing Receivables(A) | Servicer Advance Investments | Real Estate and Other Securities | Derivatives(B) | Residential Mortgage Loans | Consumer Loans | Notes and Loans Receivable | Mortgage Loans Receivable(C) |  | Total
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 |  | $ | 2,232,914 |  |  | $ | 14,331,652 |
Transfers |  |  |  |  |  |  |  |  |  |  |
Transfers from Level 3 | — |  | — |  | (7,873) |  | — |  | — |  | (142,046) |  | — |  | — |  | — |  |  | (149,919) |
Transfers to Level 3 | — |  | — |  | — |  | — |  | — |  | 1,389 |  | — |  | — |  | — |  |  | 1,389 |
Computershare Mortgage Acquisition (Note 3) | (1,032) |  | 697,494 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |  | 696,462 |
Gain (loss) included in net income |  |  |  |  |  |  |  |  |  |  |
Credit losses on securities(D) | — |  | — |  | — |  | (914) |  | — |  | — |  | — |  | — |  | — |  |  | (914) |
Servicing revenue, net(E) |  |  |  |  |  |  |  |  |  |  |
Included in servicing revenue(E) | — |  | 7,251 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |  | 7,251 |
Change in fair value of |  |  |  |  |  |  |  |  |  |  |
Excess MSRs(D) | 19,430 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |  | 19,430 |
Excess MSRs, equity method investees(D) | 1,617 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |  | 1,617 |
Servicer advance investments |  | — |  | 6,388 |  | — |  | — |  | — |  | — |  | — |  | — |  |  | 6,388 |
Consumer loans |  | — |  | — |  | — |  | — |  | — |  | (51,389) |  | — |  | — |  |  | (51,389) |
Residential mortgage loans |  | — |  | — |  | — |  | — |  | 24,641 |  | — |  | — |  | — |  |  | 24,641 |
Gain (loss) on settlement of investments, net | (656) |  | — |  | — |  | 36 |  | — |  | — |  | — |  | — |  | — |  |  | (620) |
Other income (loss), net(D) |  | — |  | — |  | 5,585 |  | (23,472) |  | 4,348 |  | — |  | — |  | 25,552 |  |  | 12,013 |
Gains (losses) included in OCI(F) |  | — |  | — |  | (3,474) |  | — |  | — |  | — |  | — |  | — |  |  | (3,474) |
Interest income | 10,522 |  | — |  | 13,254 |  | 14,869 |  | — |  | — |  | 15,978 |  | 2,211 |  | — |  |  | 56,834 |
Purchases, sales and repayments |  |  |  |  |  |  |  |  |  |  |
Purchases, net(G) | 122,887 |  | — |  | 400,652 |  | 80,517 |  | — |  | 246,892 |  | — |  | — |  | — |  |  | 850,948 |
Proceeds from sales | — |  | 2,404 |  | — |  | — |  | — |  | (61,532) |  | 10,098 |  | — |  | — |  |  | (49,030) |
Proceeds from repayments | (28,312) |  | $ | — |  | (432,082) |  | (91,109) |  | — |  | (32,086) |  | (302,325) |  | (37,670) |  | (1,035,473) |  |  | (1,959,057) |
Originations and other |  | 580,244 |  | — |  | — |  | (61) |  | (170,400) |  | — |  | — |  | 1,318,376 |  |  | 1,728,159 |
Balance at June 30, 2024 | $ | 395,606 |  | $ | 9,693,331 |  | $ | 357,220 |  | $ | 809,539 |  | $ | 271 |  | $ | 384,587 |  | $ | 946,367 |  | $ | 394,091 |  | $ | 2,541,369 |  |  | $ | 15,522,381 |
(A)Includes the recapture agreement for each respective pool, as applicable. (B)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net. (C)Includes mortgage loans receivable of consolidated CFEs classified as Level 3 in the fair value hierarchy. (D)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (E)See Note 5 for further details on the components of servicing revenue, net. (F)Gain (loss) included in unrealized gain (loss) on available-for-sale securities, net in the Consolidated Statements of Comprehensive Income. (G)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection.
Schedule of Changes in the Company’s Level 3 Financial Liabilities | The following table summarizes the changes in the Company’s Level 3 financial liabilities for the period presented:
|  | Level 3 |  |  |  |
|  | Asset-Backed Securities Issued |  | Notes Payable of CFEs - Consolidated Funds |  | Notes Payable of CFEs - Mortgage Loans Receivable |  | Excess Spread Financing |  | Notes Receivable Financing |  | Total
Balance at December 31, 2023 (As Restated) |  | $ | 235,770 |  |  | $ | 218,157 |  |  | $ | 318,998 |  |  | $ | — |  |  | $ | — |  |  | $ | 772,925 |
Transfers |  |  |  |  |  |  |  |  |  |  |  |
Transfers from Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers to Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | 352,683 |  |  | 352,683 |
Computershare Mortgage 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, sales and repayments |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Proceeds from sales |  | — |  |  | — |  |  | 451,128 |  |  | — |  |  | — |  |  | 451,128 |
Payments |  | (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.
Schedule of Estimated Change in Fair Value of Interests in the Agency MSRs, Non-Agency MSRs and Ginnie Mae MSRs | The following table summarizes certain information regarding the ranges and weighted averages of inputs used as of June 30, 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% – 11.5% (6.9%) |  | 0.3% – 15.0% (5.0%) |  | 0.0% – 91.6% (56.4%) |  | 7 – 32 (21) |  | 11 – 28 (19)
MSRs, MSR Financing Receivables, Excess Spread Financing |  |  |  |  |  |  |  |  |  |
Agency |  | 2.5% – 99.4% (5.8%) |  | 0.0% – 100.0% (1.6%) |  | —(G) |  | 2 – 159 (27) |  | 0 – 40 (23)
Non-Agency |  | 1.8% – 100.0% (8.7%) |  | 0.0% – 100.0% (24.1%) |  | —(G) |  | 1 – 156 (44) |  | 0 – 58 (22)
Ginnie Mae |  | 2.1% – 78.5% (8.8%) |  | 0.0% – 100.0% (7.7%) |  | —(G) |  | 8 – 154 (45) |  | 0 – 42 (27)
Total/Weighted Average—MSRs, MSR Financing Receivables, Excess Spread Financing |  | 1.8% – 100.0% (6.9%) |  | 0.0% – 100.0% (5.3%) |  | —(G) |  | 1 – 159 (34) |  | 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 basic fee as applicable, measured in basis points (“bps”). As of June 30, 2024, weighted average costs of subservicing of $6.86 – $6.97 ($6.89) per loan per month was used to value the agency MSRs. Weighted average costs of subservicing of $8.54 – $10.72 ($9.42) per loan per month was used to value the non-agency MSRs, including MSR financing receivables. Weighted average cost of subservicing of $8.20 per loan per month was used to value the Ginnie Mae MSRs. (F)Weighted average maturity of the underlying residential mortgage loans in the pool. (G)Recapture is not considered a significant input for MSRs, MSR financing receivables, and Excess Spread Financing. The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Agency MSRs, owned as of June 30, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:
Fair value at June 30, 2024 |  | $ | 6,079,335 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,601,506 |  |  | $ | 6,344,320 |  |  | $ | 5,835,324 |  |  | $ | 5,609,934 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 522,171 |  |  | $ | 264,985 |  |  | $ | (244,011) |  |  | $ | (469,401) |
Percentage |  | 8.6 | % |  | 4.4 | % |  | (4.0) | % |  | (7.7) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,363,422 |  |  | $ | 6,216,274 |  |  | $ | 5,951,290 |  |  | $ | 5,831,466 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 284,087 |  |  | $ | 136,939 |  |  | $ | (128,045) |  |  | $ | (247,869) |
Percentage |  | 4.7 | % |  | 2.3 | % |  | (2.1) | % |  | (4.1) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,096,639 |  |  | $ | 6,088,185 |  |  | $ | 6,070,197 |  |  | $ | 6,060,853 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 17,304 |  |  | $ | 8,850 |  |  | $ | (9,138) |  |  | $ | (18,482) |
Percentage |  | 0.3 | % |  | 0.1 | % |  | (0.2) | % |  | (0.3) | %
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, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:
Fair value at June 30, 2024 |  | $ | 885,053 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 978,489 |  |  | $ | 929,530 |  |  | $ | 844,090 |  |  | $ | 806,673 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 93,436 |  |  | $ | 44,477 |  |  | $ | (40,963) |  |  | $ | (78,380) |
Percentage |  | 10.6 | % |  | 5.0 | % |  | (4.6) | % |  | (8.9) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 939,289 |  |  | $ | 911,268 |  |  | $ | 860,064 |  |  | $ | 836,525 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 54,236 |  |  | $ | 26,215 |  |  | $ | (24,989) |  |  | $ | (48,528) |
Percentage |  | 6.1 | % |  | 3.0 | % |  | (2.8) | % |  | (5.5) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 900,052 |  |  | $ | 892,478 |  |  | $ | 877,898 |  |  | $ | 870,916 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 14,999 |  |  | $ | 7,425 |  |  | $ | (7,155) |  |  | $ | (14,137) |
Percentage |  | 1.7 | % |  | 0.8 | % |  | (0.8) | % |  | (1.6) | %
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, 2024, given several parallel shifts in the discount rate, prepayment rate and delinquency rate:
Fair value at June 30, 2024 |  | $ | 2,728,943 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 2,966,767 |  |  | $ | 2,842,986 |  |  | $ | 2,623,622 |  |  | $ | 2,526,134 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 237,824 |  |  | $ | 114,043 |  |  | $ | (105,321) |  |  | $ | (202,809) |
Percentage |  | 8.7 | % |  | 4.2 | % |  | (3.9) | % |  | (7.4) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 2,888,042 |  |  | $ | 2,804,727 |  |  | $ | 2,659,509 |  |  | $ | 2,595,473 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 159,099 |  |  | $ | 75,784 |  |  | $ | (69,434) |  |  | $ | (133,470) |
Percentage |  | 5.8 | % |  | 2.8 | % |  | (2.5) | % |  | (4.9) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 2,774,102 |  |  | $ | 2,751,475 |  |  | $ | 2,706,569 |  |  | $ | 2,684,392 |
Change in estimated fair value: |  |  |  |  |  |  |  |
Amount |  | $ | 45,159 |  |  | $ | 22,532 |  |  | $ | (22,374) |  |  | $ | (44,551) |
Percentage |  | 1.7 | % |  | 0.8 | % |  | (0.8) | % |  | (1.6) | %
Rithm Capital’s real estate and other securities valuation methodology and results are detailed below. Treasury securities are valued using market-based prices published by the US Department of the Treasury and are classified as Level 1. The table below is as of June 30, 2024:
|  |  |  |  |  | Fair Value
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis |  | Multiple Quotes(A) |  | Single Quote(B) |  | Total |  | Level
Government-backed securities(C) |  | $ | 9,561,293 |  |  | $ | 9,362,992 |  |  | $ | 9,300,237 |  |  | $ | — |  |  | $ | 9,300,237 |  |  | 2
Non-agency and other securities(D) |  | 9,494,742 |  |  | 779,758 |  |  | 548,047 |  |  | 261,492 |  |  | 809,539 |  |  | 3
Total |  | $ | 19,056,035 |  |  | $ | 10,142,750 |  |  | $ | 9,848,284 |  |  | $ | 261,492 |  |  | $ | 10,109,776 |  |  |
(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 64.2% of Non-Agency securities, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of Non-Agency securities were not readily available.
|  | Fair Value |  | Discount Rate |  | Prepayment Rate(a) |  | CDR(b) |  | Loss Severity(c)
Non-Agency |  | $ | 520,083 |  |  | 5.3% – 20.2% (7.6%) |  | 0.0% – 20.0% (6.4%) |  | 0.0% – 2.0% (0.5%) |  | 0.0% – 50.0% (18.6%)
(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 table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of June 30, 2024:
Performing Loans |  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Acquired loans |  | $ | 13,970 |  |  | 8.2% – 8.6% (8.3%) |  | 3.3% – 5.1% (3.8%) |  | 1.3% – 6.1% (3.0%) |  | 14.7% – 48.0% (40.0%)
Non-Performing Loans |  | Fair Value |  | Discount Rate |  | Annual change in home prices |  | CDR |  | Current Value of Underlying Properties
Acquired loans |  | $ | 1,751 |  |  | 9.3% |  | 18.7% |  | 1.4% |  | 325.0%
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans HFI, at fair value classified as Level 3 as of June 30, 2024:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Residential mortgage loans HFI, at fair value |  | $ | 368,866 |  |  | 8.2% – 9.3% (8.5%) |  | 3.0% – 5.1% (4.2%) |  | 1.4% – 6.1% (3.9%) |  | 14.9% – 48.0% (40.8%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing consumer loans HFI, at fair value classified as Level 3 as of June 30, 2024:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
SpringCastle |  | $ | 244,578 |  |  | 9.2% – 10.2% (9.4%) |  | 9.8% – 36.6% (14.8%) |  | 2.8% – 8.0% (5.2%) |  | 87.0% – 100.0% (93.9%)
Marcus |  | 701,789 |  |  | 7.7% |  | 20.8% |  | 12.6% |  | 75.3%
Consumer loans, HFI, at fair value |  | $ | 946,367 |  |  |  |  |  |  |  |  |
The following table summarizes certain information regarding the weighted averages of inputs used in valuing mortgage loans receivable, at fair value classified as Level 3 as of June 30, 2024:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Acquired mortgage loans receivable |  | $ | 49,478 |  |  | 10.6% |  | —% |  | 1.8% – 2.5% (1.9%) |  | 25.0%
Originated mortgage loans receivable |  | 1,999,788 |  |  | 9.2% |  | N/A |  | N/A |  | N/A
Mortgage loans receivable, at fair value |  | $ | 2,049,266 |  |  |  |  |  |  |  |  |
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs as of June 30, 2024:
|  | Fair Value |  | Loan Funding Probability |  | Fair Value of Initial Servicing Rights (Bps)
IRLCs, net |  | $ | 16,411 |  |  | 0.0% – 100.0% (85.6%) |  | 9.2 – 345.0 (242.9)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued as of June 30, 2024:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Asset-backed securities issued |  | $ | 205,286 |  |  | 5.8% |  | 14.8% |  | 5.2% |  | 93.6%
The following table summarizes certain information regarding the carrying value and significant inputs used in valuing Rithm Capital’s notes and loans receivable as of June 30, 2024:
|  | Fair Value |  | Discount Rate
Notes receivable |  | $ | 364,977 |  |  | N/A
Loans receivable |  | 29,114 |  |  | 12.8 | %
Total |  | $ | 394,091 |  |  |
Schedule of Servicer Advance Investments Valuation | 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, as of June 30, 2024:
| Significant Inputs
| Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans |  | Prepayment Rate(A) |  | Delinquency |  | Mortgage Servicing Amount(B) |  | Discount Rate |  | Collateral Weighted Average Maturity (Years)(C)
Servicer advance investments | 2.4% |  | 4.8% |  | 19.8% |  | 19.9 | bps | 6.2% |  | 21.4
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B)Mortgage servicing amount is net of 2.2 bps which represents the amount Rithm Capital paid its servicers as a monthly servicing fee. (C)Weighted average maturity of the underlying residential mortgage loans in the pool.
Schedule of Fair Value of the Investments by Fund Type and Ability to Redeem Investments | The following table summarizes the fair value of the investments by fund type and ability to redeem such investments as of June 30, 2024:
Fund Type(A) |  | Fair Value |  | Redemption Frequency |  | Redemption Notice Period
Open-ended |  | $ | 239,711 |  |  | Monthly - Annually(B) |  | 30 days - 90 days(B)
Close-ended |  | 103,410 |  |  | None(C) |  | N/A
Total |  | $ | 343,121 |  |  |  |  |
(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)$171.8 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 |
Loan Securitizations |  | Investments Fair Value |  | Notes Payable Fair Value
Residential mortgage loans |  | $ | 3,347,335 |  |  | $ | 2,887,692 |
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 as of June 30, 2024:
Loan securitizations |  | Investments at Fair Value |  | Notes Payable at Fair Value |  | Spread |  | Prepayment Rate(A) |  | CDR(B) |  | Loss Severity(C)
Mortgage loans receivable |  | $ | 492,103 |  |  | $ | 451,682 |  |  | 2.1% - 4.9% (2.3%) |  | 15.0% |  | —% |  | —%
(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.
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs used in valuing these residential mortgage loans as of June 30, 2024:
|  | Fair Value |  | Discount Rate |  | Weighted Average Life (Years)(A) |  | Prepayment Rate |  | CDR(B) |  | Loss Severity(C)
Performing loans |  | $ | 53,951 |  |  | 6.6% – 8.6% (8.0%) |  | 3.6 – 5.8 (5.5) |  | 3.3% – 6.9% (3.5%) |  | 1.8% – 16.2% (2.8%) |  | 23.1% – 48.0% (36.4%)
Non-performing loans |  | 18,943 |  |  | 9.3% – 9.4% (5.8%) |  | 5.7 – 6.4 (3.7) |  | 1.6% – 3.0% (1.4%) |  | 1.4% – 8.6% (3.3%) |  | 14.9% – 27.3% (13.4%)
Total/weighted average |  | $ | 72,894 |  |  | 7.4% |  | 5.1 |  | 3.0% |  | 2.9% |  | 30.4%
(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.

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