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FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
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 AmountCarrying Value
Fair Value(E)
Level 1Level 2Level 3Net 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 investments283,068 321,531 — — 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 securities8,913,777 639,458 — — 639,458 — 639,458 
Residential mortgage loans, HFS72,641 64,248 — — 64,248 — 64,248 
Residential mortgage loans, HFS, at fair value3,047,797 3,092,102 — 3,065,669 26,433 — 3,092,102 
Residential mortgage loans, HFI, at fair value384,304 354,003 — — 354,003 — 354,003 
Residential mortgage loans subject to repurchase2,432,605 2,432,605 — 2,432,605 — — 2,432,605 
Consumer loans663,117 554,168 — — 554,168 — 554,168 
Derivative and hedging assets16,019,170 40,553 — 2,630 37,923 — 40,553 
Residential transition loans
2,330,788 2,335,218 — — 2,335,218 — 2,335,218 
Notes receivable526,170 434,124 — — 434,124 — 434,124 
Loans receivable17,717 17,717 — — 17,717 — 17,717 
Equity investment, at fair value192,500 194,378 — — 194,378 — 194,378 
CLOs268,896 266,612 — 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 assetsN/A153,242 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 costs1,302,382 1,207,594 — — 1,224,472 — 1,224,472 
Residential mortgage loan repurchase liability2,432,605 2,432,605 — 2,432,605 — — 2,432,605 
Derivative liabilities14,879,462 60,756 7 31,692 29,057 — 60,756 
Excess spread financing(A)
14,877,137 104,721 — — 104,721 — 104,721 
Notes receivable financing371,446 373,508 — — 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 AmountCarrying Value
Fair Value(E)
Level 1Level 2Level 3NAVTotal
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 investments298,945 339,646 — — 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 securities8,962,730 552,797 — — 552,797 — 552,797 
Residential mortgage loans, HFS75,872 66,670 — — 66,670 — 66,670 
Residential mortgage loans, HFS, at fair value4,274,620 4,307,571 — 4,280,405 27,166 — 4,307,571 
Residential mortgage loans, HFI, at fair value396,061 361,890 — — 361,890 — 361,890 
Residential mortgage loans subject to repurchase
2,745,756 2,745,756 — 2,745,756 — — 2,745,756 
Consumer loans767,623 665,565 — — 665,565 — 665,565 
Derivative and hedging assets18,597,732 75,147 — 53,651 21,496 — 75,147 
Residential transition loans
2,172,713 2,178,075 — — 2,178,075 — 2,178,075 
Notes receivable487,276 393,786 — — 393,786 — 393,786 
Loans receivable31,580 31,580 — — 31,580 — 31,580 
Equity investment, at fair value192,500 194,410 — — 194,410 — 194,410 
CLOs243,355 242,227 — 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 assetsN/A113,224 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 costs1,302,492 1,204,220 — — 1,229,408 — 1,229,408 
Residential mortgage loan repurchase liability2,745,756 2,745,756 — 2,745,756 — — 2,745,756 
Derivative liabilities11,255,492 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 financing371,446 371,788 — — 377,227 — 377,227 
Notes payable of consolidated CFEs - funds(C)
1,182,640959,958— — 959,958 — 959,958 
Notes payable of consolidated CFEs - loan securitizations(C)
3,402,8233,228,957— 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 InvestmentsNon-Agency Securities
CLOs(B)
Residential Mortgage LoansConsumer 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 income4,190 — 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 InvestmentsNon-Agency Securities
CLOs(B)
Residential Mortgage LoansConsumer 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 income2,446 — 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 IssuedNotes Payable of CFEs - Consolidated FundsNotes Payable of CFEs - Residential Transition LoansExcess Spread FinancingNotes Receivable FinancingTotal
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 IssuedNotes Payable of CFEs - Consolidated FundsNotes Payable of CFEs - Residential Transition LoansExcess Spread FinancingNotes Receivable FinancingTotal
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)
Percentage9.0 %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)
Percentage5.3 %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)
Percentage0.2 %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)
Percentage10.3 %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)
Percentage5.7 %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)
Percentage0.5 %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)
Percentage8.8 %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)
Percentage5.2 %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)
Percentage1.3 %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 TypeOutstanding Face AmountAmortized Cost Basis
Multiple Quotes(A)
Single Quote(B)
TotalLevel
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 ValueDiscount 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 LoansFair ValueDiscount RatePrepayment RateCDRLoss 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 LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent 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 LoansFair ValueDiscount RatePrepayment RateCDRLoss 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 LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent 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 ValueDiscount RatePrepayment RateCDRLoss 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 ValueDiscount RatePrepayment RateCDR
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%)
Marcus352,700 
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 ValueDiscount RatePrepayment RateCDR
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%)
Marcus446,257 
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 ValueDiscount RatePrepayment RateCDRLoss 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 ValueLoan Funding ProbabilityFair 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 ValueDiscount RatePrepayment RateCDRLoss 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 financing378,721 5.4%
Loans receivable17,717 17.5%
Total$830,562 
December 31, 2024
Notes receivable$393,786 
9.0% - 12.5%
(9.3%)
Notes receivable financing377,227 5.7%
Loans receivable31,580 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, 2025December 31, 2024
Fund Type(A)
Fair ValueRedemption FrequencyRedemption Notice PeriodFair ValueRedemption FrequencyRedemption 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-ended165,239 
None(C)
N/A160,697 
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 SecuritizationsInvestments at Fair ValueNotes 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 SecuritizationsInvestments at Fair ValueNotes 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 loans14,690 
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 loans15,659 
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.