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FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 were as follows:
Principal Balance or Notional AmountCarrying ValueFair Value
Level 1Level 2Level 3Net Asset Value (“NAV”)Total
Assets:
Excess MSRs(A)
$55,052,726 $375,923 $— $— $375,923 $— $375,923 
MSRs and MSR financing receivables(A)
588,865,550 9,300,989 — — 9,300,989 — 9,300,989 
Servicer advance investments297,741 341,303 — — 341,303 — 341,303 
Government and government-backed securities(B)
10,091,127 10,134,897 3,322,027 6,812,900 — — 10,134,927 
Non-Agency securities and CLOs9,454,837 855,488 — 210,383 645,105 — 855,488 
Residential mortgage loans, HFS78,339 69,939 — — 69,939 — 69,939 
Residential mortgage loans, HFS, at fair value3,057,651 3,115,934 — 3,087,603 28,331 — 3,115,934 
Residential mortgage loans, HFI, at fair value409,000 378,032 — — 378,032 — 378,032 
Residential mortgage loans subject to repurchase
2,409,992 2,409,992 — 2,409,992 — — 2,409,992 
Consumer loans882,783 805,577 — — 805,577 — 805,577 
Derivative and hedging assets15,903,606 50,514 — 11,459 39,055 — 50,514 
Mortgage loans receivable1,841,259 1,869,852 — — 1,869,852 — 1,869,852 
Notes receivable481,740 384,126 — — 384,126 — 384,126 
      Loans receivable
29,114 29,114 — — 29,114 — 29,114 
Equity investment, at fair value192,500 194,450 — — 194,450 — 194,450 
Cash, cash equivalents and restricted cash1,946,072 1,946,072 1,946,072 — — — 1,946,072 
Investments of consolidated CFEs - funds(C)
319,020 350,623 — — — 350,623 350,623 
Investments of consolidated CFEs - loan securitizations(D)
3,963,145 3,873,569 — 2,956,663 916,906 — 3,873,569 
Other assetsN/A95,596 — — 95,596 — 95,596 
$36,581,990 $5,268,099 $15,489,000 $15,474,298 $350,623 $36,582,020 
Liabilities:
Secured financing agreements$15,359,853 $15,357,630 $— $15,173,637 $183,993 $— $15,357,630 
Secured notes and bonds payable(D)
9,467,281 9,410,773 — — 9,888,638 — 9,888,638 
Unsecured notes, net of issuance costs1,293,911 1,200,791 — — 1,228,174 — 1,228,174 
Residential mortgage loan repurchase liability
2,409,992 2,409,992 — 2,409,992 — — 2,409,992 
Derivative liabilities12,134,306 85,415 2,207 60,196 23,012 — 85,415 
Excess spread financing(A)
15,709,784 107,524 — — 107,524 — 107,524 
Notes receivable financing371,446 367,373 — — 373,042 — 373,042 
Notes payable of consolidated CFEs - funds(D)
222,250 217,259 — — 217,259 — 217,259 
Notes payable of consolidated CFEs - loan securitizations(D)
3,501,010 3,382,544 — 2,520,164 862,380 — 3,382,544 
$32,539,301 $2,207 $20,163,989 $12,884,022 $— $33,050,218 
(A)The notional amount represents the total UPB of the residential mortgage loans underlying the MSRs, MSR financing receivables, excess MSRs and excess spread financing. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in agency portfolios.
(B)Includes US Treasury Bills classified as Level 1 and held at amortized cost basis of $24.7 million (see Note 6).
(C)Represents assets and notes issued of consolidated VIEs accounted for under the CFE election.
(D)Includes $197.2 million of SCFT 2020-A (as defined below in Note 20) MBS as of September 30, 2024, for which the fair value option for financial instruments was elected.
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 InvestmentsReal Estate and Other Securities
Derivatives(B)
Residential Mortgage LoansConsumer LoansOther Assets
Mortgage Loans Receivable(C)
Total
Balance at December 31, 2023
$271,150 $8,405,938 $376,881 $804,029 $23,804 $513,381 $1,274,005 $525,642 $2,232,913 $14,427,743 
Transfers:
Transfers from Level 3— — (7,873)(227,216)— (28,985)— — — (264,074)
Transfers to Level 3— — — — — 82,325 — — — 82,325 
Computershare Acquisition (Note 3)
(1,032)697,494 — — — — — — — 696,462 
Gain (Loss) Included in Net Income:
Credit losses on securities(D)
— — — (1,187)— — — — — (1,187)
Servicing Revenue, Net(E):
Included in servicing revenue(E)
— (748,702)— — — — — — — (748,702)
Fair Value Adjustments Due to:
Other factors(D)
11,599 — (3,535)10,973 (7,700)16,536 (49,003)15,088 36,920 30,878 
Instrument-specific credit risk(D)
— — — — — 28,127 (20,738)— 17,995 25,384 
Gain (loss) on settlement of investments, net(D)
(656)— — (101)— — — — — (757)
Other income (loss), net(D)
— — — — — 10,633 — 4,654 — 15,287 
Gains (losses) included in OCI(F)
— — — 7,287 — — — — — 7,287 
Interest income18,893 — 18,649 21,828 — — 21,331 — — 80,701 
Purchases, Sales and Repayments:
Purchases, net(G)
122,887 — 590,261 142,979 — 248,606 — 214,349 — 1,319,082 
Sales and fundings— 2,748 — — (173,250)15,996 — — (154,506)
Proceeds from repayments(46,918)— (633,080)(113,487)— (53,773)(436,014)(56,447)(1,479,447)(2,819,166)
Originations and other— 943,511 — — (61)(167,298)— — 1,978,377 2,754,529 
Balance at September 30, 2024$375,923 $9,300,989 $341,303 $645,105 $16,043 $476,302 $805,577 $703,286 $2,786,758 $15,451,286 
(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. Real estate and other securities includes Non-Agency securities retained through securitizations accounted for as sales.
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 IssuedNotes Payable of CFEs - Consolidated FundsNotes Payable of CFEs - Mortgage Loans Receivable Excess Spread FinancingNotes Receivable FinancingTotal
Balance at December 31, 2023$235,770 $218,157 $318,998 $— $— $772,925 
Transfers:
Transfers to Level 3— — — — 373,042 373,042 
Computershare Acquisition (Note 3)
— — — 125,168 125,168 
Gains (Losses) Included in Net Income:
Servicing revenue, net(A)
— — — (17,644)— (17,644)
Other income(A)
6,714 (898)9,888 — — 15,704 
Purchases, Issuance Proceeds and Repayments:
Issuance proceeds— — 858,828 — — 858,828 
Payments(45,250)— (324,062)— — (369,312)
Other— — (1,272)— — (1,272)
Balance at September 30, 2024$197,234 $217,259 $862,380 $107,524 $373,042 $1,757,439 
(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 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 September 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
0.0% – 13.3%
(7.8%)
0.0% – 14.7%
(5.0%)
0.0% – 91.2%
(56.6%)
7 – 32 (21)
11 – 23 (19)
MSRs, MSR Financing Receivables, Excess Spread Financing:
Agency
2.5% – 99.4%
(7.3%)
0.0% – 100.0%
(1.9%)
7.6% – 21.9%
(16.5%)
2 – 159 (28)
0 – 40 (23)
Non-Agency
1.8% – 100.0%
(9.5%)
0.0% – 100.0%
(24.8%)
0.0% – 15.8%
(1.8%)
1 – 156 (45)
0 – 58 (21)
Ginnie Mae
2.1% – 78.5%
(9.7%)
0.0% – 100.0%
(9.4%)
8.0% – 26.1%
(24.9%)
8 – 154 (46)
0 – 42 (26)
Total/Weighted Average—MSRs, MSR Financing Receivables, Excess Spread Financing
1.8% – 100.0%
(8.2%)
0.0% – 100.0%
(6.1%)
0.0% – 26.1%
(20.0%)
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 base fee as applicable, measured in basis points (“bps”). As of September 30, 2024, weighted average costs of subservicing of $6.87 (range of $6.84 – $6.94) per loan per month was used to value the Agency MSRs. Weighted average costs of subservicing of $9.71 (range of $8.65 – $11.52) per loan per month was used to value the Non-Agency MSRs, including MSR financing receivables. Weighted average cost of subservicing of $8.23 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 Agency MSRs, owned as of September 30, 2024, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at September 30, 2024
$5,767,835 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$6,265,455 $6,006,434 $5,547,521 $5,343,621 
Change in Estimated Fair Value:
Amount$497,620 $238,599 $(220,314)$(424,214)
Percentage8.6 %4.1 %(3.8)%(7.4)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$6,091,779 $5,907,778 $5,638,897 $5,521,963 
Change in Estimated Fair Value:
Amount$323,944 $139,943 $(128,938)$(245,872)
Percentage5.6 %2.4 %(2.2)%(4.3)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$5,814,988 $5,776,130 $5,759,303 $5,750,635 
Change in Estimated Fair Value:
Amount$47,153 $8,295 $(8,532)$(17,200)
Percentage0.8 %0.1 %(0.1)%(0.3)%
Recapture rate shift in %-20%-10%10%20%
Estimated fair value$5,696,242 $5,732,039 $5,803,631 $5,839,427 
Change in Estimated Fair Value:
Amount$(71,593)$(35,796)$35,796 $71,592 
Percentage(1.2)%(0.6)%0.6 %1.2 %

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 September 30, 2024, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at September 30, 2024
$818,978 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$897,886 $856,713 $784,295 $752,331 
Change in Estimated Fair Value:
Amount$78,908 $37,735 $(34,683)$(66,647)
Percentage9.6 %4.6 %(4.2)%(8.1)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$868,833 $843,064 $796,317 $775,039 
Change in Estimated Fair Value:
Amount$49,855 $24,086 $(22,661)$(43,939)
Percentage6.1 %2.9 %(2.8)%(5.4)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$821,809 $820,025 $818,054 $816,107 
Change in Estimated Fair Value:
Amount$2,831 $1,047 $(924)$(2,871)
Percentage0.3 %0.1 %(0.1)%(0.4)%
Recapture rate shift in %-20%-10%10%20%
Estimated fair value$817,035 $818,007 $819,950 $820,921 
Change in Estimated Fair Value:
Amount$(1,943)$(971)$972 $1,943 
Percentage(0.2)%(0.1)%0.1 %0.2 %
The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Ginnie Mae MSRs, owned as of September 30, 2024, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at September 30, 2024
$2,714,176 
Discount rate shift in %-20%-10%10%20%
Estimated fair value$2,942,070 $2,823,133 $2,612,046 $2,518,097 
Change in Estimated Fair Value:
Amount$227,894 $108,957 $(102,130)$(196,079)
Percentage8.4 %4.0 %(3.8)%(7.2)%
Prepayment rate shift in %-20%-10%10%20%
Estimated fair value$2,860,583 $2,782,842 $2,650,936 $2,594,258 
Change in Estimated Fair Value:
Amount$146,407 $68,666 $(63,240)$(119,918)
Percentage5.4 %2.5 %(2.3)%(4.4)%
Delinquency rate shift in %-20%-10%10%20%
Estimated fair value$2,752,014 $2,732,677 $2,694,399 $2,675,564 
Change in Estimated Fair Value:
Amount$37,838 $18,501 $(19,777)$(38,612)
Percentage1.4 %0.7 %(0.7)%(1.4)%
Recapture rate shift in %-20%-10%10%20%
Estimated fair value$2,652,488 $2,682,966 $2,743,924 $2,774,402 
Change in Estimated Fair Value:
Amount$(61,688)$(31,210)$29,748 $60,226 
Percentage(2.3)%(1.1)%1.1 %2.2 %
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 September 30, 2024:
Fair Value
Asset TypeOutstanding Face AmountAmortized Cost Basis
Multiple Quotes(A)
Single Quote(B)
TotalLevel
Government-backed securities(C)
$6,816,127 $6,650,778 $6,812,900 $— $6,812,900 2
CLOs(D)
277,100 268,750 210,383 65,388 275,771 2 & 3
Non-agency and other securities(D)
9,177,737 538,211 555,406 24,311 579,717 3
$16,270,964 $7,457,739 $7,578,689 $89,699 $7,668,388 
(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 86.9% 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 ValueDiscount Rate
Prepayment Rate(a)
CDR(b)
Loss Severity(c)
Non-Agency$503,651 
4.5% – 20.0%
(6.8%)
0.0% – 20.0% (6.8%)
0.0% – 1.5% (0.5%)
25.0% – 50.0%
(32.0%)
(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 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 September 30, 2024:
Performing LoansFair ValueDiscount RatePrepayment RateCDRLoss Severity
Acquired loans$18,239 
8.0% – 8.6%
(8.1%)
0.1% – 3.4%
(0.8%)
0.4% – 3.7%
(1.5%)
26.9% – 38.4%
(30.5%)

Non-Performing LoansFair ValueDiscount RateAnnual change in home pricesCDRCurrent Value of Underlying Properties
Acquired loans$10,092 
8.6% - 9.0%
(8.6%)
5.9% - 17.3%
(6.8%)
1.9% - 2.4%
(2.3%)
245.6% - 446.9%
(262.1%)

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 September 30, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Residential mortgage loans HFI, at fair value$378,032 
8.0% – 9.0%
(8.1%)
0.1% – 0.8%
(0.5%)
0.4% – 3.7%
(2.2%)
13.1% – 38.4%
(32.0%)
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 September 30, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
SpringCastle$231,039 
9.2% – 10.2%
(9.4%)
12.1% – 37.6%
(14.5%)
2.6% – 8.5%
(5.1%)
72.8% – 100.0%
(93.3%)
Marcus574,538 
7.3% - 10.1%
(7.4%)
3.2% - 22.1%
(19.0%)
8.0% - 50.0%
(14.7%)
75.0%
Consumer Loans, HFI, at Fair Falue$805,577 
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 September 30, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Acquired mortgage loans receivable$36,593 10.0%0.0%
1.8% – 2.5%
(2.0%)
25.0%
Originated mortgage loans receivable1,833,259 8.3%N/AN/AN/A
Mortgage Loans Receivable, at Fair Value$1,869,852 
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs as of September 30, 2024:
Fair ValueLoan Funding ProbabilityFair Value of Initial Servicing Rights (Bps)
IRLCs, net$32,122 
0.0% – 100.0%
(81.8%)
8.1 – 362.3
(266.0)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued as of September 30, 2024:
Fair ValueDiscount RatePrepayment RateCDRLoss Severity
Asset-backed securities issued$197,234 
5.1%
14.5%
5.1%
93.3%
The following table summarizes certain information regarding the carrying value and significant inputs used in valuing Rithm Capital’s notes receivable, notes receivable financing and loans receivable as of September 30, 2024:
Fair Value Discount Rate
Notes receivable$384,126 8.1 %
Loans receivable29,114 25.0 %
Total$413,240 
Notes receivable financing$373,042 4.8 %
Total$373,042 
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 base fee component of the related MSRs, as of September 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%
 5.0%
19.7%
19.9
bps
6.2%
21.2
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector.
(B)Mortgage servicing amount is net of 3.0 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 September 30, 2024:

Fund Type(A)
Fair ValueRedemption FrequencyRedemption Notice Period
Open-ended$229,988 
Monthly - Annually(B)
30 days - 90 days(B)
Close-ended120,635 
None(C)
N/A
Total$350,623 

(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)$172.2 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 The table below is as of September 30, 2024:
Loan SecuritizationsInvestments at
Fair Value		Notes Payable at Fair Value
Residential mortgage loans$2,956,663 $2,520,164 
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 September 30, 2024:

Loan securitizationsInvestments at
Fair Value		Notes Payable at Fair ValueSpread
Prepayment Rate(A)
CDR(B)
Loss Severity(C)
Mortgage loans receivable$916,906 $862,380 
1.8% - 20.7%
(3.1%)
8.0%0.8%10.0%
(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 September 30, 2024:
Fair ValueDiscount Rate
Weighted Average Life (Years)(A)
Prepayment Rate
CDR(B)
Loss Severity(C)
Performing loans$53,007 
7.0% – 8.6%
(7.9%)
5.3 – 8.9
(5.4)
0.1% – 3.4%
(0.3%)
0.4% – 6.3%
(0.9%)
20.9% – 38.4%
(27.9%)
Non-performing loans16,932 
8.6% – 9.5%
(9.1%)
5.8 – 8.9
(6.7)
0.5% – 3.4%
(1.3%)
1.9% – 8.8%
(4.7%)
13.1% – 26.9%
(21.2%)
Total$69,939 
(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.