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v3.25.1

FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended
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Mar. 31, 2025
Fair Value Disclosures [Abstract] |
Schedule of Carrying Values and Fair Values of Financial Assets and Liabilities Recorded at Fair Value on a Recurring Basis | The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments measured at amortized cost for which fair value is disclosed, as of March 31, 2025 were as follows:
| Principal Balance or Notional Amount |  | Carrying Value |  | Fair Value(E)
Level 1 |  | Level 2 |  | Level 3 |  | Net Asset Value (“NAV”) |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Excess MSRs(A) | $ | 52,144,523 |  |  | $ | 354,923 |  |  | $ | — |  |  | $ | — |  |  | $ | 354,923 |  |  | $ | — |  |  | $ | 354,923 |
MSRs and MSR financing receivables(A) | 591,114,997 |  |  | 10,133,041 |  |  | — |  |  | — |  |  | 10,133,041 |  |  | — |  |  | 10,133,041 |
Servicer advance investments | 283,068 |  |  | 321,531 |  |  | — |  |  | — |  |  | 321,531 |  |  | — |  |  | 321,531 |
Government and government-backed securities(B) | 11,170,808 |  |  | 11,048,701 |  |  | 3,296,798 |  |  | 7,751,904 |  |  | — |  |  | — |  |  | 11,048,702 |
Non-Agency securities | 8,913,777 |  |  | 639,458 |  |  | — |  |  | — |  |  | 639,458 |  |  | — |  |  | 639,458 |
Residential mortgage loans, HFS | 72,641 |  |  | 64,248 |  |  | — |  |  | — |  |  | 64,248 |  |  | — |  |  | 64,248 |
Residential mortgage loans, HFS, at fair value | 3,047,797 |  |  | 3,092,102 |  |  | — |  |  | 3,065,669 |  |  | 26,433 |  |  | — |  |  | 3,092,102 |
Residential mortgage loans, HFI, at fair value | 384,304 |  |  | 354,003 |  |  | — |  |  | — |  |  | 354,003 |  |  | — |  |  | 354,003 |
Residential mortgage loans subject to repurchase | 2,432,605 |  |  | 2,432,605 |  |  | — |  |  | 2,432,605 |  |  | — |  |  | — |  |  | 2,432,605 |
Consumer loans | 663,117 |  |  | 554,168 |  |  | — |  |  | — |  |  | 554,168 |  |  | — |  |  | 554,168 |
Derivative and hedging assets | 16,019,170 |  |  | 40,553 |  |  | — |  |  | 2,630 |  |  | 37,923 |  |  | — |  |  | 40,553 |
Residential transition loans | 2,330,788 |  |  | 2,335,218 |  |  | — |  |  | — |  |  | 2,335,218 |  |  | — |  |  | 2,335,218 |
Notes receivable | 526,170 |  |  | 434,124 |  |  | — |  |  | — |  |  | 434,124 |  |  | — |  |  | 434,124 |
Loans receivable | 17,717 |  |  | 17,717 |  |  | — |  |  | — |  |  | 17,717 |  |  | — |  |  | 17,717 |
Equity investment, at fair value | 192,500 |  |  | 194,378 |  |  | — |  |  | — |  |  | 194,378 |  |  | — |  |  | 194,378 |
CLOs | 268,896 |  |  | 266,612 |  |  | — |  |  | 227,934 |  |  | 38,678 |  |  | — |  |  | 266,612 |
Investments of consolidated CFEs - funds(C) | 1,151,477 |  |  | 1,175,136 |  |  | — |  |  | 400,500 |  |  | 418,598 |  |  | 356,038 |  |  | 1,175,136 |
Investments of consolidated CFEs - loan securitizations(C) | 3,781,686 |  |  | 3,641,644 |  |  | — |  |  | 2,703,112 |  |  | 938,532 |  |  | — |  |  | 3,641,644 |
Other assets | N/A |  | 153,242 |  |  | 59,744 |  |  | — |  |  | 93,498 |  |  | — |  |  | 153,242 |
|  |  | $ | 37,253,404 |  |  | $ | 3,356,542 |  |  | $ | 16,584,354 |  |  | $ | 16,956,471 |  |  | $ | 356,038 |  |  | $ | 37,253,405 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing agreements | $ | 16,793,265 |  |  | $ | 16,791,234 |  |  | $ | — |  |  | $ | 16,595,868 |  |  | $ | 198,896 |  |  | $ | — |  |  | $ | 16,794,764 |
Secured notes and bonds payable(D) | 10,093,170 |  |  | 10,025,948 |  |  | — |  |  | — |  |  | 10,051,705 |  |  | — |  |  | 10,051,705 |
Unsecured notes, net of issuance costs | 1,302,382 |  |  | 1,207,594 |  |  | — |  |  | — |  |  | 1,224,472 |  |  | — |  |  | 1,224,472 |
Residential mortgage loan repurchase liability | 2,432,605 |  |  | 2,432,605 |  |  | — |  |  | 2,432,605 |  |  | — |  |  | — |  |  | 2,432,605 |
Derivative liabilities | 14,879,462 |  |  | 60,756 |  |  | 7 |  |  | 31,692 |  |  | 29,057 |  |  | — |  |  | 60,756 |
Excess spread financing(A) | 14,877,137 |  |  | 104,721 |  |  | — |  |  | — |  |  | 104,721 |  |  | — |  |  | 104,721 |
Notes receivable financing | 371,446 |  |  | 373,508 |  |  | — |  |  | — |  |  | 378,721 |  |  | — |  |  | 378,721 |
Notes payable of consolidated CFEs - funds(C) | 960,250 |  |  | 955,470 |  |  | — |  |  | 363,392 |  |  | 592,078 |  |  | — |  |  | 955,470 |
Notes payable of consolidated CFEs - loan securitizations(C) | 3,310,406 |  |  | 3,154,926 |  |  | — |  |  | 2,295,166 |  |  | 859,760 |  |  | — |  |  | 3,154,926 |
|  |  | $ | 35,106,762 |  |  | $ | 7 |  |  | $ | 21,718,723 |  |  | $ | 13,439,410 |  |  | $ | — |  |  | $ | 35,158,140 |
(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 Treasury securities classified as Level 1 and held at amortized cost basis of $24.8 million (see Note 6). (C)Represents assets and notes issued by consolidated VIEs accounted for under the CFE election. (D)Includes $169.0 million of SCFT 2020-A (as defined in Note 20) MBS as of March 31, 2025, for which the FVO for financial instruments was elected. (E)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1. The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of December 31, 2024 were as follows:
| Principal Balance or Notional Amount |  | Carrying Value |  | Fair Value(E)
Level 1 |  | Level 2 |  | Level 3 |  | NAV |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Excess MSRs(A) | $ | 53,494,378 |  |  | $ | 369,162 |  |  | $ | — |  |  | $ | — |  |  | $ | 369,162 |  |  | $ | — |  |  | $ | 369,162 |
MSRs and MSR financing receivables(A) | 590,214,351 |  |  | 10,321,671 |  |  | — |  |  | — |  |  | 10,321,671 |  |  | — |  |  | 10,321,671 |
Servicer advance investments | 298,945 |  |  | 339,646 |  |  | — |  |  | — |  |  | 339,646 |  |  | — |  |  | 339,646 |
Government and government-backed securities(B) | 9,947,189 |  |  | 9,736,116 |  |  | 3,285,478 |  |  | 6,450,643 |  |  | — |  |  | — |  |  | 9,736,121 |
Non-agency securities | 8,962,730 |  |  | 552,797 |  |  | — |  |  | — |  |  | 552,797 |  |  | — |  |  | 552,797 |
Residential mortgage loans, HFS | 75,872 |  |  | 66,670 |  |  | — |  |  | — |  |  | 66,670 |  |  | — |  |  | 66,670 |
Residential mortgage loans, HFS, at fair value | 4,274,620 |  |  | 4,307,571 |  |  | — |  |  | 4,280,405 |  |  | 27,166 |  |  | — |  |  | 4,307,571 |
Residential mortgage loans, HFI, at fair value | 396,061 |  |  | 361,890 |  |  | — |  |  | — |  |  | 361,890 |  |  | — |  |  | 361,890 |
Residential mortgage loans subject to repurchase | 2,745,756 |  |  | 2,745,756 |  |  | — |  |  | 2,745,756 |  |  | — |  |  | — |  |  | 2,745,756 |
Consumer loans | 767,623 |  |  | 665,565 |  |  | — |  |  | — |  |  | 665,565 |  |  | — |  |  | 665,565 |
Derivative and hedging assets | 18,597,732 |  |  | 75,147 |  |  | — |  |  | 53,651 |  |  | 21,496 |  |  | — |  |  | 75,147 |
Residential transition loans | 2,172,713 |  |  | 2,178,075 |  |  | — |  |  | — |  |  | 2,178,075 |  |  | — |  |  | 2,178,075 |
Notes receivable | 487,276 |  |  | 393,786 |  |  | — |  |  | — |  |  | 393,786 |  |  | — |  |  | 393,786 |
Loans receivable | 31,580 |  |  | 31,580 |  |  | — |  |  | — |  |  | 31,580 |  |  | — |  |  | 31,580 |
Equity investment, at fair value | 192,500 |  |  | 194,410 |  |  | — |  |  | — |  |  | 194,410 |  |  | — |  |  | 194,410 |
CLOs | 243,355 |  |  | 242,227 |  |  | — |  |  | 217,049 |  |  | 25,178 |  |  | — |  |  | 242,227 |
Investments of consolidated CFEs - funds(C) | 1,108,903 |  |  | 1,118,359 |  |  | — |  |  | — |  |  | 785,253 |  |  | 333,106 |  |  | 1,118,359 |
Investments of consolidated CFEs - loan securitizations(C) | 3,900,428 |  |  | 3,753,219 |  |  | — |  |  | 2,791,027 |  |  | 962,192 |  |  | — |  |  | 3,753,219 |
Other assets | N/A |  | 113,224 |  |  | 17,831 |  |  | — |  |  | 95,393 |  |  | — |  |  | 113,224 |
|  |  | $ | 37,566,871 |  |  | $ | 3,303,309 |  |  | $ | 16,538,531 |  |  | $ | 17,391,930 |  |  | $ | 333,106 |  |  | $ | 37,566,876 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing agreements | $ | 16,784,505 |  |  | $ | 16,782,467 |  |  | $ | — |  |  | $ | 16,611,477 |  |  | $ | 175,559 |  |  | $ | — |  |  | $ | 16,787,036 |
Secured notes and bonds payable(D) | 10,353,561 |  |  | 10,298,075 |  |  | — |  |  | — |  |  | 10,318,385 |  |  | — |  |  | 10,318,385 |
Unsecured notes, net of issuance costs | 1,302,492 |  |  | 1,204,220 |  |  | — |  |  | — |  |  | 1,229,408 |  |  | — |  |  | 1,229,408 |
Residential mortgage loan repurchase liability | 2,745,756 |  |  | 2,745,756 |  |  | — |  |  | 2,745,756 |  |  | — |  |  | — |  |  | 2,745,756 |
Derivative liabilities | 11,255,492 |  |  | 52,610 |  |  | 1,259 |  |  | 15,628 |  |  | 35,723 |  |  | — |  |  | 52,610 |
Excess spread financing(A) | 15,271,757 |  |  | 101,088 |  |  | — |  |  | — |  |  | 101,088 |  |  | — |  |  | 101,088 |
Notes receivable financing | 371,446 |  |  | 371,788 |  |  | — |  |  | — |  |  | 377,227 |  |  | — |  |  | 377,227 |
Notes payable of consolidated CFEs - funds(C) | 1,182,640 |  | 959,958 |  | — |  |  | — |  |  | 959,958 |  |  | — |  |  | 959,958 |
Notes payable of consolidated CFEs - loan securitizations(C) | 3,402,823 |  | 3,228,957 |  | — |  |  | 2,369,934 |  |  | 859,023 |  |  | — |  |  | 3,228,957 |
|  |  | $ | 35,744,919 |  |  | $ | 1,259 |  |  | $ | 21,742,795 |  |  | $ | 14,056,371 |  |  | $ | — |  |  | $ | 35,800,425 |
(A)The notional amount represents the total UPB of the residential mortgage loans underlying the MSRs, MSR financing receivables, Excess MSRs and excess spread financing. Rithm Capital does not receive an excess mortgage servicing amount on non-performing loans in Agency portfolios. (B)Includes Treasury Bills classified as Level 1 and held at amortized cost basis of $24.8 million (see Note 6). (C)Represents assets and notes issued by consolidated VIEs accounted for under the CFE election. (D)Includes $185.5 million of SCFT 2020-A (as defined in Note 20) MBS as of December 31, 2024, for which the FVO for financial instruments was elected. (E)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1.
Schedule of Financial Assets Measured at Fair Value on a Recurring Basis using Level 3 Inputs | The following table summarizes the changes in the Company’s Level 3 financial assets for the periods presented:
| Level 3 |
| Excess MSRs(A) | MSRs and MSR Financing Receivables(A) | Servicer Advance Investments | Non-Agency Securities | CLOs(B) | Residential Mortgage Loans | Consumer Loans | Other Assets(C) | Residential Transition Loans(D) | Total
Balance at December 31, 2024 | $ | 369,162 |  | $ | 10,321,671 |  | $ | 339,646 |  | $ | 552,797 |  | $ | 810,431 |  | $ | 455,726 |  | $ | 665,565 |  | $ | 700,942 |  | $ | 3,140,267 |  | $ | 17,356,207 |
Transfers: |  |  |  |  |  |  |  |  |  |
Transfers out of Level 3(I) | — |  | — |  | — |  | — |  | (412,268) |  | (858) |  | — |  | — |  | — |  | (413,126) |
Transfers to Level 3 | — |  | — |  | — |  | — |  | 21,809 |  | 2,081 |  | — |  | — |  | — |  | 23,890 |
Gain (Loss) Included in Net Income: |  |  |  |  |  |  |  |  |  |
Credit losses on securities(E) | — |  | — |  | — |  | 102 |  | — |  | — |  | — |  | — |  | — |  | 102 |
Servicing Revenue, Net(F): |  |  |  |  |  |  |  |  |  |
Included in servicing revenue(F) | — |  | (538,282) |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | (538,282) |
Fair Value Adjustments Due to: |  |  |  |  |  |  |  |  |  |
Other factors(E) | (915) |  | — |  | (1,693) |  | 1,903 |  | — |  | 10,012 |  | (10,810) |  | 23,534 |  | 3,010 |  | 25,041 |
Instrument-specific credit risk(E) | — |  | — |  | — |  | — |  | — |  | (5,797) |  | (2,003) |  | — |  | (8,561) |  | (16,361) |
Other income (loss), net(E) | — |  | — |  | — |  | — |  | 28,247 |  | 1,438 |  | — |  | 8,570 |  | — |  | 38,255 |
Gains (losses) included in OCI(G) | — |  | — |  | — |  | 4,741 |  | — |  | — |  | — |  | — |  | — |  | 4,741 |
Interest income | 4,190 |  | — |  | 5,355 |  | 7,023 |  | — |  | — |  | 5,923 |  | 119 |  | — |  | 22,610 |
Purchases, Sales and Repayments: |  |  |  |  |  |  |  |  |  |
Purchases, net(H) | — |  | — |  | 186,356 |  | 96,936 |  | 26,698 |  | 239 |  | — |  | 40,031 |  | — |  | 350,260 |
Sales and settlement fundings | — |  | 664 |  | — |  | — |  | (17,641) |  | (7,216) |  | 6,595 |  | — |  | — |  | (17,598) |
Proceeds from repayments | (17,514) |  | — |  | (208,133) |  | (24,044) |  | — |  | (16,356) |  | (111,102) |  | (24,613) |  | (635,316) |  | (1,037,078) |
Originations and other | — |  | 348,988 |  | — |  | — |  | — |  | 5,415 |  | — |  | — |  | 774,350 |  | 1,128,753 |
Balance at March 31, 2025 | $ | 354,923 |  | $ | 10,133,041 |  | $ | 321,531 |  | $ | 639,458 |  | $ | 457,276 |  | $ | 444,684 |  | $ | 554,168 |  | $ | 748,583 |  | $ | 3,273,750 |  | $ | 16,927,414 |
(A)Includes the recapture agreement for each respective pool, as applicable. (B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy. (C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net. (D)Includes residential transition loans of consolidated CFEs classified as Level 3 in the fair value hierarchy. (E)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (F)See Note 5 for further details on the components of servicing revenue, net. (G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income. (H)Non-Agency securities includes securities retained through securitizations accounted for as sales. (I)For the three months ended March 31, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency.
| Level 3 |
| Excess MSRs(A)(J) | MSRs and MSR Financing Receivables(A) | Servicer Advance Investments | Non-Agency Securities | CLOs(B) | Residential Mortgage Loans | Consumer Loans | Other Assets(C) | Residential Transition Loans(D) | Total
Balance at December 31, 2023 | $ | 271,150 |  | $ | 8,405,938 |  | $ | 376,881 |  | $ | 577,543 |  | $ | 226,486 |  | $ | 513,381 |  | $ | 1,274,005 |  | $ | 549,446 |  | $ | 2,232,913 |  | $ | 14,427,743 |
Transfers: |  |  |  |  |  |  |  |  |  |
Transfers to Level 3 | — |  | — |  | — |  | — |  | — |  | 106 |  | — |  | — |  | — |  | 106 |
Gain (Loss) Included in Net Income: |  |  |  |  |  |  |  |  |  |
Credit losses on securities(E) | — |  | — |  | — |  | (662) |  | — |  | — |  | — |  | — |  | — |  | (662) |
Servicing Revenue, Net(F): |  |  |  |  |  |  |  |  |  |
Included in servicing revenue(F) | — |  | 84,175 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 84,175 |
Fair Value Adjustments Due to: |  |  |  |  |  |  |  |  |  |
Other factors(E) | (1,867) |  | — |  | 8,115 |  | — |  | — |  | 9,622 |  | (7,156) |  | 1,583 |  | — |  | 10,297 |
Instrument-specific credit risk(E) | — |  | — |  | — |  | — |  | — |  | (4,026) |  | (22,961) |  | — |  | — |  | (26,987) |
Gain (loss) on settlement of investments, net(E) | — |  | — |  | — |  | — |  | 36 |  | — |  | — |  | — |  | — |  | 36 |
Other income (loss), net(E) | — |  | — |  | — |  | 2,860 |  | — |  | 1,824 |  | — |  | (5,043) |  | 14,873 |  | 14,514 |
Gains (losses) included in OCI(G) | — |  | — |  | — |  | 1,602 |  | (865) |  | — |  | — |  | — |  | — |  | 737 |
Interest income | 2,446 |  | — |  | 7,315 |  | 8,496 |  | — |  | — |  | 10,152 |  | 147 |  | — |  | 28,556 |
Purchases, Sales and Repayments: |  |  |  |  |  |  |  |  |  |
Purchases, net(H)(I) | — |  | — |  | 212,656 |  | 13,900 |  | 3,679 |  | 216,405 |  | 4,113 |  | 1,094 |  | — |  | 451,847 |
Sales and settlement fundings | — |  | 671 |  | — |  | — |  | — |  | (17,766) |  | — |  | — |  | — |  | (17,095) |
Proceeds from repayments | (16,618) |  | — |  | (230,456) |  | (22,200) |  | (17,340) |  | (16,042) |  | (154,354) |  | (42,918) |  | (505,091) |  | (1,005,019) |
Originations and other | — |  | 215,939 |  | — |  | — |  | — |  | 45 |  | — |  | (61) |  | 642,049 |  | 857,972 |
Balance at March 31, 2024 | $ | 255,111 |  | $ | 8,706,723 |  | $ | 374,511 |  | $ | 581,539 |  | $ | 211,996 |  | $ | 703,549 |  | $ | 1,103,799 |  | $ | 504,248 |  | $ | 2,384,744 |  | $ | 14,826,220 |
(A)Includes the recapture agreement for each respective pool, as applicable. (B)Includes CLOs of consolidated CFEs classified as Level 3 in the fair value hierarchy. (C)For the purpose of this table, the IRLC asset and liability positions and other commitment derivatives are shown net. (D)Includes residential transition loans of consolidated CFEs classified as Level 3 in the fair hierarchy. (E)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 assets still held at the reporting dates and realized gain (loss) recorded during the period. (F)See Note 5 for further details on the components of servicing revenue, net. (G)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income. (H)Non-Agency securities includes securities retained through securitizations accounted for as sales. (I)Net of purchase price adjustments and purchase price fully reimbursable from MSR sellers as a result of prepayment protection. (J)Amounts include Rithm Capital’s portion of the Excess MSRs held by the respective joint ventures in which Rithm Capital has a 50% interest.
Schedule of Financial Liabilities Measured at Fair Value on a Recurring Basis using Level 3 Inputs | The following table summarizes the changes in the Company’s Level 3 financial liabilities for the periods presented:
|  | Level 3 |  |
|  | Asset-Backed Securities Issued |  | Notes Payable of CFEs - Consolidated Funds |  | Notes Payable of CFEs - Residential Transition Loans |  | Excess Spread Financing |  | Notes Receivable Financing |  | Total
Balance at December 31, 2024 |  | $ | 185,460 |  |  | $ | 959,958 |  |  | $ | 859,023 |  |  | $ | 101,088 |  |  | $ | 377,227 |  |  | $ | 2,482,756 |
Transfers: |  |  |  |  |  |  |  |  |  |  |  |
Transfers out of Level 3(A) |  | — |  |  | (367,031) |  |  | — |  |  | — |  |  | — |  |  | (367,031) |
Gains (Losses) Included in Net Income: |  |  |  |  |  |  |  |  |  |  |  |
Servicing revenue, net(C) |  | — |  |  | — |  |  | — |  |  | 3,634 |  |  | — |  |  | 3,634 |
Other income(B) |  | (4,833) |  |  | (849) |  |  | 171 |  |  | — |  |  | 1,494 |  |  | (4,017) |
Purchases, Issuance and Repayments: |  |  |  |  |  |  |  |  |  |  |  |
Repayments |  | (11,592) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (11,592) |
Other |  | — |  |  | — |  |  | 566 |  |  | (1) |  |  | — |  |  | 565 |
Balance at March 31, 2025 |  | $ | 169,035 |  |  | $ | 592,078 |  |  | $ | 859,760 |  |  | $ | 104,721 |  |  | $ | 378,721 |  |  | $ | 2,104,315 |
(A)For the three months ended March 31, 2025, transfers out of Level 3 to Level 2 were primarily due to increased price transparency. (B)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk. (C)See Note 5 for further details on the components of servicing revenue, net.
|  | Level 3 |  |
|  | Asset-Backed Securities Issued |  | Notes Payable of CFEs - Consolidated Funds |  | Notes Payable of CFEs - Residential Transition Loans |  | Excess Spread Financing |  | Notes Receivable Financing |  | Total
Balance at December 31, 2023 |  | $ | 235,770 |  |  | $ | 218,157 |  |  | $ | 318,998 |  |  | $ | — |  |  | $ | — |  |  | $ | 772,925 |
Gains (Losses) Included in Net Income: |  |  |  |  |  |  |  |  |  |  |  |
Other income(A) |  | (411) |  |  | (34) |  |  | 5,064 |  |  | — |  |  | — |  |  | 4,619 |
Purchases, Issuance and Repayments: |  |  |  |  |  |  |  |  |  |  |  |
Repayments |  | (13,437) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (13,437) |
Balance at March 31, 2024 |  | $ | 221,922 |  |  | $ | 218,123 |  |  | $ | 324,062 |  |  | $ | — |  |  | $ | — |  |  | $ | 764,107 |
(A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.
Schedule of Measurement Inputs and Valuation Techniques | The following table summarizes certain information regarding the ranges and weighted averages of inputs used:
| March 31, 2025
| Significant Inputs(A)
| Prepayment Rate(B) |  | Delinquency(C) |  | Recapture Rate(D) |  | Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps)(E) |  | Collateral Weighted Average Maturity (Years)(F)
Excess MSRs directly held | 2.4% – 13.9% (6.9%) |  | 0.3% – 14.5% (5.1%) |  | 0.0% – 64.0% (39.6%) |  | 7 – 32 (21) |  | 10 – 22 (19)
MSRs, MSR Financing Receivables and Excess Spread Financing: |  |  |  |  |  |  |  |  |
GSE | 2.8% – 95.4% (6.6%) |  | 0.0% – 100.0% (1.7%) |  | 6.5% – 18.7% (14.6%) |  | 11 – 157 (28) |  | 0 – 40 (23)
Non-Agency | 1.8% – 90.0% (8.6%) |  | 0.0% – 99.0% (23.2%) |  | 0.0% – 5.0% (0.7%) |  | 1 – 192 (44) |  | 0 – 47 (21)
Ginnie Mae | 1.7% – 71.3% (8.6%) |  | 73.0% – 100.0% (8.5%) |  | 13.3% – 31.1% (26.7%) |  | 8 – 119 (47) |  | 0 – 40 (26)
Total / Weighted Average—MSRs, MSR Financing Receivables and Excess Spread Financing | 1.7% – 95.4% (7.4%) |  | 0.0% – 100.0% (5.6%) |  | 0.0% – 31.1% (20.0%) |  | 1 – 192 (35) |  | 0 – 47 (24)
| December 31, 2024
| Significant Inputs(A)
| Prepayment Rate(B) |  | Delinquency(C) |  | Recapture Rate(D) |  | Mortgage Servicing Amount or Excess Mortgage Servicing Amount (bps)(E) |  | Collateral Weighted Average Maturity (Years)(F)
Excess MSRs directly held | 2.4% – 13.3% (6.6%) |  | 0.2% – 14.7% (5.1%) |  | 0.0% – 64.2% (39.6%) |  | 7 – 32 (21) |  | 11 – 22 (19)
MSRs, MSR Financing Receivables and Excess Spread Financing: |  |  |  |  |  |  |  |  |
GSE | 2.5% – 99.4% (6.0%) |  | 0.0% – 100.0% (1.9%) |  | 7.6% – 21.9% (14.1%)) |  | 2 – 159 (28) |  | 0 – 40 (23)
Non-Agency | 1.8% – 100.0% (8.4%) |  | 0.0% – 100.0% (24.8%) |  | 0.0% – 15.8% (1.6%) |  | 1 – 156 (45) |  | 0 – 58 (21)
Ginnie Mae | 2.1% – 78.5% (8.0%) |  | 0.0% – 100.0% (10.0%) |  | 8.0% – 26.1% (21.8%) |  | 8 – 154 (46) |  | 0 – 42 (26)
Total / Weighted Average—MSRs, MSR Financing Receivables and Excess Spread Financing | 1.8% – 100.0% (6.8%) |  | 0.0% – 100.0% (6.2%) |  | 0.0% – 26.1% (20.0%) |  | 1 – 159 (35) |  | 0 – 58 (24)
(A)Weighted by fair value of the portfolio. (B)Projected annualized weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (C)Projected percentage of residential mortgage loans in the pool for which the borrower is expected to miss a mortgage payment. (D)Percentage of voluntarily prepaid loans that are expected to be refinanced by the related servicer or subservicer, as applicable. (E)Weighted average total mortgage servicing amount, in excess of the base fee as applicable, measured in basis points (“bps”). As of March 31, 2025 and December 31, 2024, weighted average costs of subservicing of $6.88 (range of $6.86 – $6.94) and $6.89 (range of $6.87 - $6.96), respectively, per loan per month was used to value the GSE MSRs. Weighted average costs of subservicing of $9.28 (range of $8.22 – $10.55) and $9.60 (range of $8.45 - $11.55), respectively, per loan per month was used to value the non-Agency MSRs, including MSR financing receivables. Weighted average cost of subservicing of $8.20 and $8.25, respectively, per loan per month was used to value the Ginnie Mae MSRs. (F)Weighted average maturity of the underlying residential mortgage loans in the pool. The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the GSE MSRs, owned as of March 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at March 31, 2025 |  | $ | 6,195,239 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,753,957 |  |  | $ | 6,462,871 |  |  | $ | 5,948,572 |  |  | $ | 5,720,688 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 558,718 |  |  | $ | 267,632 |  |  | $ | (246,667) |  |  | $ | (474,551) |
Percentage |  | 9.0 | % |  | 4.3 | % |  | (4.0) | % |  | (7.7) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,524,015 |  |  | $ | 6,353,259 |  |  | $ | 6,048,386 |  |  | $ | 5,913,429 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 328,776 |  |  | $ | 158,020 |  |  | $ | (146,853) |  |  | $ | (281,810) |
Percentage |  | 5.3 | % |  | 2.6 | % |  | (2.4) | % |  | (4.5) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,210,045 |  |  | $ | 6,202,880 |  |  | $ | 6,187,232 |  |  | $ | 6,178,949 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 14,806 |  |  | $ | 7,641 |  |  | $ | (8,007) |  |  | $ | (16,290) |
Percentage |  | 0.2 | % |  | 0.1 | % |  | (0.1) | % |  | (0.3) | %
Recapture rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 6,136,736 |  |  | $ | 6,165,988 |  |  | $ | 6,224,492 |  |  | $ | 6,253,744 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | (58,503) |  |  | $ | (29,251) |  |  | $ | 29,253 |  |  | $ | 58,505 |
Percentage |  | (0.9) | % |  | (0.5) | % |  | 0.5 | % |  | 0.9 | %
The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the non-Agency MSRs, including MSR financing receivables, owned as of March 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at March 31, 2025 |  | $ | 830,163 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 915,642 |  |  | $ | 870,970 |  |  | $ | 792,778 |  |  | $ | 758,434 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 85,479 |  |  | $ | 40,807 |  |  | $ | (37,385) |  |  | $ | (71,729) |
Percentage |  | 10.3 | % |  | 4.9 | % |  | (4.5) | % |  | (8.6) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 877,529 |  |  | $ | 853,206 |  |  | $ | 808,299 |  |  | $ | 787,527 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 47,366 |  |  | $ | 23,043 |  |  | $ | (21,864) |  |  | $ | (42,636) |
Percentage |  | 5.7 | % |  | 2.8 | % |  | (2.6) | % |  | (5.1) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 834,109 |  |  | $ | 832,054 |  |  | $ | 828,242 |  |  | $ | 825,429 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 3,946 |  |  | $ | 1,891 |  |  | $ | (1,921) |  |  | $ | (4,734) |
Percentage |  | 0.5 | % |  | 0.2 | % |  | (0.2) | % |  | (0.6) | %
Recapture rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 829,688 |  |  | $ | 829,925 |  |  | $ | 830,400 |  |  | $ | 830,637 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | (475) |  |  | $ | (238) |  |  | $ | 237 |  |  | $ | 474 |
Percentage |  | (0.1) | % |  | — | % |  | — | % |  | 0.1 | %
The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the Ginnie Mae MSRs, owned as of March 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:
Fair value at March 31, 2025 |  | $ | 3,107,639 |  |  |  |  |  |  |
Discount rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 3,381,235 |  |  | $ | 3,238,835 |  |  | $ | 2,986,478 |  |  | $ | 2,874,331 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 273,596 |  |  | $ | 131,196 |  |  | $ | (121,161) |  |  | $ | (233,308) |
Percentage |  | 8.8 | % |  | 4.2 | % |  | (3.9) | % |  | (7.5) | %
Prepayment rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 3,269,945 |  |  | $ | 3,184,586 |  |  | $ | 3,037,730 |  |  | $ | 2,973,854 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 162,306 |  |  | $ | 76,947 |  |  | $ | (69,909) |  |  | $ | (133,785) |
Percentage |  | 5.2 | % |  | 2.5 | % |  | (2.2) | % |  | (4.3) | %
Delinquency rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 3,146,616 |  |  | $ | 3,127,129 |  |  | $ | 3,088,175 |  |  | $ | 3,068,857 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | 38,977 |  |  | $ | 19,490 |  |  | $ | (19,464) |  |  | $ | (38,782) |
Percentage |  | 1.3 | % |  | 0.6 | % |  | (0.6) | % |  | (1.2) | %
Recapture rate shift in % |  | -20% |  | -10% |  | 10% |  | 20%
Estimated fair value |  | $ | 3,046,484 |  |  | $ | 3,077,061 |  |  | $ | 3,138,216 |  |  | $ | 3,168,794 |
Change in Estimated Fair Value: |  |  |  |  |  |  |  |
Amount |  | $ | (61,155) |  |  | $ | (30,578) |  |  | $ | 30,577 |  |  | $ | 61,155 |
Percentage |  | (2.0) | % |  | (1.0) | % |  | 1.0 | % |  | 2.0 | %
Real estate and other securities valuation methodology and results are detailed below. Increased (decreased) prepayment speeds, default rates, or loss severity assumptions would decrease (increase) valuations. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions. Treasury securities are valued using market-based prices published by the U.S. Department of the Treasury and are classified as Level 1.
|  |  |  |  |  | Fair Value
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis |  | Multiple Quotes(A) |  | Single Quote(B) |  | Total |  | Level
March 31, 2025 |  |  |  |  |  |  |  |  |  |  |  |
Government-backed securities(C) |  | $ | 7,895,808 |  |  | $ | 7,708,001 |  |  | $ | 7,751,904 |  |  | $ | — |  |  | $ | 7,751,904 |  |  | 2 |
CLOs(D) |  | 268,896 |  |  | 260,448 |  |  | 227,934 |  |  | 38,678 |  |  | 266,612 |  |  | 2 & 3
Non-Agency and other securities(D) |  | 8,913,777 |  |  | 595,327 |  |  | 613,613 |  |  | 25,845 |  |  | 639,458 |  |  | 3 |
Total |  | $ | 17,078,481 |  |  | $ | 8,563,776 |  |  | $ | 8,593,451 |  |  | $ | 64,523 |  |  | $ | 8,657,974 |  |  |
December 31, 2024 |  |  |  |  |  |  |  |  |  |  |  |
Government-backed securities(C) |  | $ | 6,672,189 |  |  | $ | 6,510,235 |  |  | $ | 6,450,643 |  |  | $ | — |  |  | $ | 6,450,643 |  |  | 2 |
CLOs(D) |  | 243,355 |  |  | 234,397 |  |  | 217,049 |  |  | 25,178 |  |  | 242,227 |  |  | 2 & 3
Non-Agency and other securities(D) |  | 8,962,730 |  |  | 515,262 |  |  | 529,146 |  |  | 23,651 |  |  | 552,797 |  |  | 3 |
Total |  | $ | 15,878,274 |  |  | $ | 7,259,894 |  |  | $ | 7,196,838 |  |  | $ | 48,829 |  |  | $ | 7,245,667 |  |  |
(A)Rithm Capital generally obtains pricing service quotations or broker quotations from two sources. Rithm Capital evaluates quotes received, determines one as being most representative of fair value and does not use an average of the quotes. Even if Rithm Capital receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases, for non-Agency securities, there is a wide disparity between the quotes Rithm Capital receives. Rithm Capital believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on Rithm Capital’s own fair value analysis, it selects one of the quotes which is believed to most accurately reflect fair value. Rithm Capital has not adjusted any of the quotes received in the periods presented. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to purchase the security at the quoted price. Rithm Capital’s investments in government-backed securities are classified within Level 2 of the fair value hierarchy because the market for these securities is active and market prices are readily observable. The third-party pricing services and brokers engaged by Rithm Capital (collectively, “valuation providers”) use either the income approach or the market approach, or a combination of the two, in arriving at their estimated valuations of securities. Valuation providers using the market approach generally look at prices and other relevant information generated by market transactions involving identical or comparable assets. Valuation providers using the income approach create pricing models that generally incorporate such assumptions as discount rates, expected prepayment rates, expected default rates and expected loss severities. Rithm Capital has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, Rithm Capital creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital and reviewed by its independent valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 76.9% and 82.1% of non-Agency securities as of March 31, 2025 and December 31, 2024, respectively, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of non-Agency securities were not readily available.
|  | Fair Value |  | Discount Rate |  | Prepayment Rate(a) |  | CDR(b) |  | Loss Severity(c)
March 31, 2025 |  | $ | 491,437 |  |  | 5.0% – 20.0% (7.3%) |  | 0.0% – 25.0% (6.0%) |  | 0.0% – 1.9% (0.4%) |  | 0.0% – 50.0% (16.8%)
December 31, 2024 |  | $ | 453,978 |  |  | 4.7% – 20.0% (6.9%) |  | 0.0% – 20.0% (6.3%) |  | 0.0% – 1.9% (0.5%) |  | 0.0% – 50.0% (17.0%)
(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance of the loans in default. (B)Rithm Capital was unable to obtain quotations from more than one source on these securities. (C)Presented within government and government-backed securities on the consolidated balance sheets. (D)Presented within other assets on the consolidated balance sheets. The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of March 31, 2025:
Performing Loans |  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Acquired loans |  | $ | 17,775 |  |  | 7.0% – 8.5% (7.4%) |  | 5.4% – 9.0% (8.1%) |  | 1.4% – 5.7% (3.3%) |  | 21.7% – 31.2% (24.7%)
Non-Performing Loans |  | Fair Value |  | Discount Rate |  | Annual Change in Home Prices |  | CDR |  | Current Value of Underlying Properties
Acquired loans |  | $ | 8,658 |  |  | 9.2% – 9.5% (9.4%) |  | 5.5% – 8.7% (6.7%) |  | 10.5% – 17.7% (15.2%) |  | 281.2% – 308.3% (290.7%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of December 31, 2024:
Performing Loans |  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
Acquired loans |  | $ | 17,700 |  |  | 7.0% – 8.6% (7.9%) |  | 6.0% – 8.2% (7.9%) |  | 1.8% – 5.0% (3.1%) |  | 20.6% – 33.7% (24.0%)
Non-Performing Loans |  | Fair Value |  | Discount Rate |  | Annual Change in Home Prices |  | CDR |  | Current Value of Underlying Properties
Acquired loans |  | $ | 9,466 |  |  | 8.5% – 9.3% (8.8%) |  | 8.6% – 15.8% (10.9%) |  | 1.3% – 5.1% (3.8%) |  | 264.9% – 310.3% (279.5%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFI, at fair value classified as Level 3:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
March 31, 2025 |  | $ | 354,003 |  |  | 7.0% – 9.2% (8.0%) |  | 4.5% – 9.0% (8.1%) |  | 1.4% – 10.5% (3.1%) |  | 21.0% – 31.2% (26.4%)
December 31, 2024 |  | $ | 361,890 |  |  | 7.9% – 9.3% (8.4%) |  | 5.4% – 8.2% (8.0%) |  | 1.3% – 4.9% (3.3%) |  | 12.4% – 33.7% (26.4%)
The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by UPB) used in valuing consumer loans HFI, at fair value classified as Level 3 as of March 31, 2025:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity(A)
SpringCastle |  | $ | 201,468 |  |  | 9.2% – 10.2% (9.4%) |  | 13.4% – 39.0% (15.1%) |  | 2.8% – 42.8% (5.1%) |  | 71.8% - 100.0% (92.7%)
Marcus |  | 352,700 |  |  | 7.4% - 17.5% (10.3%) |  | 0.0% - 22.0% (15.6%) |  | 3.0% - 62.0% (19.6%) |  | 87.5%
Consumer Loans HFI, at Fair Value |  | $ | 554,168 |  |  |  |  |  |  |  |  |
The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by UPB) used in valuing consumer loans HFI, at fair value classified as Level 3 as of December 31, 2024:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity(A)
SpringCastle |  | $ | 219,308 |  |  | 9.2% – 10.2% (9.4%) |  | 12.9% – 38.4% (14.5%) |  | 2.3% – 17.1% (5.1%) |  | 74.2% – 100.0% (92.3%)
Marcus |  | 446,257 |  |  | 7.9% – 17.9% (10.1%) |  | 0.0% – 23.1% (17.8%) |  | 4.0% – 50.0% (14.3%) |  | 87.5%
Consumer Loans HFI, at Fair Value |  | $ | 665,565 |  |  |  |  |  |  |  |  |
(A)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of realized loss relative to the outstanding loan balance in default. The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing residential transition loans, at fair value classified as Level 3:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
March 31, 2025 |  | $ | 2,287,856 |  |  | 8.3% – 9.5% (8.3%) |  | 0.0% – 50.0% (45.9%) |  | 0.5% – 1.8% (0.5%) |  | 25.0%
December 31, 2024 |  | $ | 2,128,801 |  |  | 8.3% – 9.9% (8.3%) |  | 0.0% – 50.0% (45.8%) |  | 0.5% – 1.8% (0.5%) |  | 25.0%
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs:
|  | Fair Value |  | Loan Funding Probability |  | Fair Value of Initial Servicing Rights (bps)
March 31, 2025 |  | $ | 34,387 |  |  | 0.0% – 100.0% (83.0%) |  | 1.9 – 423.8 (272.8)
December 31, 2024 |  | $ | 11,294 |  |  | 0.0% – 100.0% (86.1%) |  | 1.0 – 426.7 (281.8)
The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued:
|  | Fair Value |  | Discount Rate |  | Prepayment Rate |  | CDR |  | Loss Severity
March 31, 2025 |  | $ | 169,035 |  |  | 5.9% |  | 15.1% |  | 5.1% |  | 92.7%
December 31, 2024 |  | $ | 185,460 |  |  | 5.4% |  | 14.5% |  | 5.1% |  | 92.3%
The following table summarizes certain information regarding the fair value and significant inputs used in valuing Rithm Capital’s notes receivable, notes receivable financing and loans receivable:
|  | Fair Value |  | Discount Rate
March 31, 2025 |  |  |  |
Notes receivable |  | $ | 434,124 |  |  | 8.6% - 14.0% (9.2%)
Notes receivable financing |  | 378,721 |  |  | 5.4%
Loans receivable |  | 17,717 |  |  | 17.5%
Total |  | $ | 830,562 |  |  |
December 31, 2024 |  |  |  |
Notes receivable |  | $ | 393,786 |  |  | 9.0% - 12.5% (9.3%)
Notes receivable financing |  | 377,227 |  |  | 5.7%
Loans receivable |  | 31,580 |  |  | 18.5%
Total |  | $ | 802,593 |  |  |
Schedule of Certain Information Regarding the Inputs used in Valuing the Servicer Advances | The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing the servicer advance investments, including the base fee component of the related MSRs:
| Significant Inputs
| Outstanding Servicer Advances to UPB of Underlying Residential Mortgage Loans |  | Prepayment Rate(A) |  | Delinquency |  | Mortgage Servicing Amount(B) |  | Discount Rate |  | Collateral Weighted Average Maturity (Years)(C)
March 31, 2025 | 2.3% |  | 4.7% |  | 19.2% |  | 19.9 bps |  | 6.5% |  | 20.9
December 31, 2024 | 2.1% |  | 4.6% |  | 19.6% |  | 19.9 bps |  | 6.5% |  | 21.1
(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B)Mortgage servicing amount is net of 2.7 bps and 3.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of as of March 31, 2025 and December 31, 2024, respectively. (C)Weighted average maturity of the underlying residential mortgage loans in the pool.
Schedule of Fair Value of Investments Of the Structured Alternative Investment Solution | The following table summarizes the fair value of the investments by fund type and ability to redeem such investments:
|  | March 31, 2025 |  | December 31, 2024
Fund Type(A) |  | Fair Value |  | Redemption Frequency |  | Redemption Notice Period |  | Fair Value |  | Redemption Frequency |  | Redemption Notice Period
Open-ended |  | $ | 190,799 |  |  | Monthly – Annually(B) |  | 30 days – 90 days(B) |  | $ | 172,409 |  |  | Monthly - Annually(B) |  | 30 days - 90 days(B)
Close-ended |  | 165,239 |  |  | None(C) |  | N/A |  | 160,697 |  |  | None(C) |  | N/A
Total |  | $ | 356,038 |  |  |  |  |  |  | $ | 333,106 |  |  |  |  |
(A)The structured alternative investment solution invests in both open-ended and close-ended funds. The investments in each fund may represent investments in a particular tranche of such fund subject to different withdrawal rights. (B)$46.0 million of investments are subject to an initial lock-up period of three years during which time withdrawals or redemptions are limited. Once the lock-up period ends, the investments can be redeemed with the frequency noted above. (C)100% of these investments cannot be redeemed, as distributions will be received as the underlying assets are liquidated, which is expected to be approximately 7 to 9 years from inception.
Schedule Of Loan Securitizations |
Residential Mortgage Loans Securitizations |  | Investments at Fair Value |  | Notes Payable at Fair Value
March 31, 2025 |  | $ | 2,703,112 |  |  | $ | 2,295,166 |
December 31, 2024 |  | $ | 2,791,027 |  |  | $ | 2,369,934 |
Rithm Capital classifies securitized residential transition loans as Level 3 in the fair value hierarchy because the notes payable are valued based significantly on unobservable inputs. The valuation methodology is in line with non-Agency securities described above. The following table summarizes the inputs (weighted by fair value) used in valuing the notes payable:
Residential Transition Loans Securitizations |  | Investments at Fair Value |  | Notes Payable at Fair Value |  | Spread(A) |  | Prepayment Rate(B) |  | CDR(C) |  | Loss Severity(D)
March 31, 2025 |  | $ | 938,532 |  |  | $ | 859,760 |  |  | 1.9% – 11.1% (2.5%) |  | 8.0% |  | 0.8% – 2.0% (1.4%) |  | 10.0%
December 31, 2024 |  | $ | 962,192 |  |  | $ | 859,023 |  |  | 1.7% – 11.7% (2.2%) |  | 8.0% |  | 0.8% – 2.0% (1.3%) |  | 10.0%
(A)Represents the yield in excess of the risk-free rate. (B)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool. (C)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool. (D)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance of the loans in default.
Schedule of Inputs Used in Valuing Residential Mortgage Loans | The following table summarizes the inputs (weighted by fair value) used in valuing these residential mortgage loans:
|  | Fair Value |  | Discount Rate |  | Weighted Average Life (Years)(A) |  | Prepayment Rate |  | CDR(B) |  | Loss Severity(C)
March 31, 2025 |  |  |  |  |  |  |  |  |  |  |  |
Performing loans |  | $ | 49,558 |  |  | 7.0% – 8.5% (7.0%) |  | 4.3 – 6.6 (4.3) |  | 5.4% – 9.0% (9.0%) |  | 1.4% – 5.7% (3.5%) |  | 21.7% – 31.2% (21.9%)
Non-performing loans |  | 14,690 |  |  | 9.2% – 9.5% (9.3%) |  | 3.3 – 4.6 (4.1) |  | 2.6% – 4.5% (3.7%) |  | 10.5% – 17.7% (13.4%) |  | 21.0% – 47.0% (31.5%)
Total |  | $ | 64,248 |  |  |  |  |  |  |  |  |  |  |
December 31, 2024 |  |  |  |  |  |  |  |  |  |  |  |
Performing loans |  | $ | 51,011 |  |  | 6.3% – 8.6% (7.7%) |  | 2.8 – 6.0 (4.4) |  | 6.0% – 8.2% (8.0%) |  | 1.8% – 22.9% (3.6%) |  | 18.7% – 33.7% (20.7%)
Non-performing loans |  | 15,659 |  |  | 8.5% – 9.4% (9.1%) |  | 5.2 – 6.2 (5.8) |  | 1.7% – 5.4% (3.5%) |  | 1.3% – 9.3% (5.2%) |  | 12.4% – 39.9% (23.1%)
Total |  | $ | 66,670 |  |  |  |  |  |  |  |  |  |  |
(A)The weighted average life is based on the expected timing of the receipt of cash flows. (B)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance. (C)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of realized loss relative to the outstanding loan balance in default.

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