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FAIR VALUE MEASUREMENTS | 6 Months Ended
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Jun. 30, 2024
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS Fair value represents the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants as of the measurement date (i.e., an exit price). The Company holds a variety of assets, certain of which are not publicly traded or that are otherwise illiquid. Significant judgment and estimation go into the assumptions that drive the fair value of these assets. Due to the inherent uncertainty of valuations of investments that are determined to be illiquid or do not have readily ascertainable fair values, the estimates of fair value may differ from the values ultimately realized, and those differences can be material. US GAAP establishes a hierarchical disclosure framework that prioritizes and ranks the level of market price observability used in measuring financial instruments at fair value. Market price observability is impacted by a number of factors, including the type and the specific characteristics of the assets and liabilities, including existence and transparency of transactions between market participants. Assets and liabilities with readily available actively quoted prices or for which fair value can be measured from actively-quoted prices generally will have a higher degree of market price observability and lesser degree of judgment used in measuring fair value. Assets and liabilities measured at fair value are classified and disclosed into one of the following categories based on the observability of inputs used in the determination of fair values: Level 1 – Quoted prices in active markets for identical instruments. Level 2 – Valuations based principally on other observable market parameters, including: •Quoted prices in active markets for similar instruments, •Quoted prices in less active or inactive markets for identical or similar instruments, •Other observable inputs, such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates (“CDR”), and •Market corroborated inputs (derived principally from or corroborated by observable market data). Level 3 – Valuations based significantly on unobservable inputs. Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement. The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of 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. 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. 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. See Note 21 in the Company’s Amended 2023 Form 10-K/A for a listing of criteria used to determine the significant inputs for each asset class. Excess MSRs, MSRs and MSR Financing Receivables and Excess Spread Financing Valuation Fair value estimates of Rithm Capital’s MSRs and related Excess Spread Financing and Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates for Excess MSRs, the mortgage servicing amount or excess mortgage servicing amount of the underlying residential mortgage loans, as applicable, and discount rates that market participants would use in determining the fair values of MSRs on similar pools of residential mortgage loans. In addition, for MSRs, significant inputs included the market-level estimated cost of servicing. Significant increases (decreases) in the discount rates, prepayment or delinquency rates, or costs of servicing, in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or mortgage servicing amount or excess mortgage servicing amount, as applicable, in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment rate. The following table summarizes certain information regarding the ranges and weighted averages of inputs used 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. With respect to valuing the PHH-serviced MSRs and MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be SOFR plus 95 bps. As of June 30, 2024, a weighted average discount rate of 8.8% (range of 8.5% – 9.0%) was used to value Rithm Capital’s Excess MSRs. As of June 30, 2024, a weighted average discount rate of 8.9% (range of 8.7% – 10.3%) was used to value Rithm Capital’s 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) | %
Each of the preceding sensitivity analyses is hypothetical and is provided for illustrative purposes only. There are certain limitations inherent in the sensitivity analyses presented. In particular, the results are calculated by stressing a particular economic assumption independent of changes in any other assumption; in practice, changes in one factor may result in changes in another, which might counteract or amplify the sensitivities. Also, changes in the fair value based on a 10% variation in an assumption generally may not be extrapolated because the relationship of the change in the assumption to the change in fair value may not be linear. Servicer Advance Investments Valuation 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. Real Estate and Other Securities Valuation Rithm Capital’s real estate and other securities valuation methodology and results are detailed below. Treasury securities are valued using market-based prices published by the 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. Residential Mortgage Loans Valuation Rithm Capital, through Newrez, originates residential mortgage loans that it intends to sell into Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed securitizations. Residential mortgage loans HFS, at fair value are typically pooled together and sold into certain exit markets, depending upon underlying attributes of the loan, such as agency eligibility, product type, interest rate and credit quality. Newrez also originates non-qualified residential mortgage (“Non-QM”) loans that do not meet the qualified mortgage rules per the Consumer Financial Protection Bureau that it intends to sell to private investors. Residential mortgage loans HFS, at fair value are valued using a market approach by utilizing either: (i) the fair value of securities backed by similar mortgage loans, adjusted for certain factors to approximate the fair value of a whole mortgage loan, (ii) current commitments to purchase loans or (iii) recent observable market trades for similar loans, adjusted for credit risk and other individual loan characteristics. As these prices are derived from market observable inputs, Rithm Capital classifies these valuations as Level 2 in the fair value hierarchy. Originated residential mortgage loans HFS for which there is little to no observable trading activity of similar instruments are valued using Level 3 measurements based upon (i) internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates or (ii) consensus pricing (broker quotes) or historical sale transactions for similar loans. Residential mortgage loans HFS, at fair value also include nonconforming seasoned mortgage loans acquired and identified for securitization, which are valued using internal pricing models to forecast loan level cash flows based on a potential securitization exit using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). Residential mortgage loans HFI, at fair value include nonconforming seasoned mortgage loans acquired and not identified for sale or securitization, which are valued using internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). As the internal pricing models are based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing residential mortgage loans 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%)
Consumer Loans Valuation 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 |  |  |  |  |  |  |  |  |
Mortgage Loans Receivable Valuation Rithm Capital classifies certain mortgage loans receivable as Level 3 in the fair value hierarchy. Performing originated mortgage loans are valued using (i) a market-based approach by utilizing the fair value of securities backed by similar loans adjusted for certain factors to approximate the fair value of a whole loan or (ii) current commitments to acquire the loans. Non-performing loan liquidation cash flows are derived based on the estimated value of the collateral, estimated recoveries and costs, and estimated time to liquidate the asset. Acquired mortgage loans receivable are valued using internal pricing models to forecast cash flows with inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). The following table summarizes certain information regarding the weighted averages of inputs used in valuing 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 |  |  |  |  |  |  |  |  |
Derivatives and Hedging Valuation Rithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rithm Capital’s other assets that are classified as Level 2 in the fair value hierarchy. Treasury short sales are valued using market-based prices published by the US Department of the Treasury and classified as Level 1. Other commitment relates to an agreement entered into by a subsidiary of Rithm Capital with its affiliate requiring a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate. It is valued at the excess of cost basis over the intrinsic value of the underlying investment and classified as Level 3 in the fair value hierarchy. In addition, Rithm Capital enters into IRLCs, which are valued using internal pricing models (i) incorporating market pricing for instruments with similar characteristics, (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusting for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs 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)
Asset-Backed Securities Issued As of June 30, 2024, Rithm Capital was the primary beneficiary of the SCFT 2020-A (as defined below) securitization, and therefore, Rithm Capital’s Consolidated Balance Sheets include the asset-backed securities issued by the trust. Rithm Capital elected the fair value option for the securities and valued them consistently with Non-Agency securities described above. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued 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%
Notes Receivable, Notes Receivable Financing, and Loans Receivable From time to time, Rithm Capital purchases notes and loans receivable that are generally collateralized by commercial real estate assets. Rithm Capital generally uses internal discounted cash flow pricing models to estimate the fair value of notes receivable, notes receivable financing, and loans receivable. As of June 30, 2024, the fair value of notes receivable and notes receivable financing was determined utilizing a market approach based on an observable trade in the specific security. Due to the fact that the fair value of Rithm Capital’s notes receivable, notes receivable financing, and loans receivable are based significantly on unobservable inputs, these are classified as Level 3 in the fair value hierarchy. Future cash flows are generally estimated using contractual economic terms, as well as significant unobservable inputs, such as the underlying collateral performance. Other significant unobservable inputs include discount rates which estimate the market participants’ required rates of return. The following table summarizes certain information regarding the carrying value and significant inputs used in valuing Rithm Capital’s notes and loans receivable as of June 30, 2024:
|  | Fair Value |  | Discount Rate
Notes receivable |  | $ | 364,977 |  |  | N/A
Loans receivable |  | 29,114 |  |  | 12.8 | %
Total |  | $ | 394,091 |  |  |
Consolidated CFE - Funds Sculptor’s consolidated structured alternative investment solution, a CFE, holds investments in funds measured at fair value using the NAV per share of the underlying funds, as a practical expedient. 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. As of June 30, 2024, the structured alternative investment solution had unfunded commitments of $68.5 million related to the investments presented in the table above, which will be funded by capital within the consolidated funds from its underlying open-ended funds and liquid assets. Notes payable of the structured alternative investment solution of $221.8 million as of June 30, 2024 are valued using independent pricing services and are classified as Level 3. The Company performs analytical procedures and compares independent pricing service valuations to other vendors’ pricing as applicable. The Company also performs due diligence reviews on independent pricing services on an annual basis and performs other due diligence procedures as may be deemed necessary. The Company measures the financial liabilities of its consolidated CFE based on the fair value of the financial assets of the consolidated entity under the CFE election, as the Company believes the fair value of the financial assets is more observable. Notes payable of consolidated CFEs are included in Notes payable, at fair value and other liabilities on the Company’s Consolidated Balance Sheets. Unrealized gain (loss) from changes in fair value and related interest is included in realized and unrealized gains (losses), net in the Company’s Consolidated Statements of Operations. Consolidated Loan Securitizations Rithm Capital has securitized certain residential mortgage loans and mortgage loans receivable which are held as part of consolidated CFEs. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity, and the beneficial interests have contractual recourse only to the related assets of the CFE. GAAP allows entities to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. Rithm Capital has elected the fair value option for initial and subsequent recognition of the debt issued by its consolidated securitization trust and has determined that the consolidated securitization trust meets the definition of a CFE. See Note 20 for further details regarding VIEs and securitization trusts. Rithm Capital determined the inputs to the fair value measurement of the financial liabilities of its consolidated CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of the consolidated CFE to measure the fair value of the financial assets of the consolidated CFE. Refer to Note 2 in the Company’s Amended 2023 Form 10-K/A for the accounting policies of consolidated entities. The fair value of the debt issued by the consolidated CFE is typically valued using external pricing data, which includes third-party valuations. The securitized residential mortgage loans and mortgage loans receivable, which are assets of the consolidated CFEs, are included in Investments, at fair value and other assets, on the Company’s Consolidated Balance Sheets. The notes issued by the consolidated CFEs are included in Notes payable, at fair value and other liabilities on the Company’s Consolidated Balance Sheets. Unrealized gains (losses) from changes in fair value of the notes issued and assets of the consolidated CFEs and related interest are included in Realized and unrealized gains (losses), net in the Company’s Consolidated Statements of Operations. The securitized residential mortgage loans and the notes issued by the Company’s CFEs are classified as Level 2. The table below is as of June 30, 2024:
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. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans HFS, foreclosed real estate accounted for as REO and SFR, Rithm Capital measures the assets at the lower of cost or fair value and which may require, from time to time, a nonrecurring fair value adjustment. At June 30, 2024, assets measured at fair value on a nonrecurring basis were $80.7 million. The $80.7 million of assets include approximately $72.9 million of residential mortgage loans HFS and $7.8 million of REO. The fair value of Rithm Capital’s residential mortgage loans, HFS is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy. The following table summarizes the inputs used in valuing these residential mortgage loans 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. The fair value of REO is estimated using a broker’s price opinion discounted based upon Rithm Capital’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10% – 25% (weighted average of 22%), depending on the information available to the broker. The total change in the recorded value of assets for which a fair value adjustment has been included in the Consolidated Statements of Operations for the six months ended June 30, 2024 consists of a valuation allowance of $3.3 million for residential mortgage loans and a reversal of valuation allowance of $1.4 million for REO.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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