FAIR VALUE MEASUREMENTS

Fair value represents the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants as of the measurement date (i.e., an exit price). The Company holds a variety of assets and liabilities, certain of which are not publicly traded or that are otherwise illiquid. Significant judgment and estimation go into the assumptions that drive the fair value of these assets and liabilities. Due to the inherent uncertainty of valuations of investments that are determined to be illiquid or do not have readily ascertainable fair values, the estimates of fair value may differ from the values ultimately realized, and those differences can be material.

U.S. GAAP establishes a hierarchical disclosure framework that prioritizes and ranks the level of market price observability used in measuring financial instruments at fair value. Market price observability is impacted by a number of factors, including the type and the specific characteristics of the assets and liabilities, including existence and transparency of transactions between market participants. Assets and liabilities with readily available actively quoted prices or for which fair value can be measured from actively-quoted prices generally will have a higher degree of market price observability and lesser degree of judgment used in measuring fair value.

Assets and liabilities measured at fair value are classified and disclosed into one of the following categories based on the observability of inputs used in the determination of fair values:

Level 1 – Quoted prices in active markets for identical instruments.

Level 2 – Valuations based principally on other observable market parameters, including:

•Quoted prices in active markets for similar instruments,

•Quoted prices in less active or inactive markets for identical or similar instruments,

•Other observable inputs, such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates (“CDR”) and

•Market corroborated inputs (derived principally from or corroborated by observable market data).

Level 3 – Valuations based significantly on unobservable inputs.

Investments in funds that are measured at fair value using NAV per share as a practical expedient are not categorized within the fair value hierarchy.

Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement.

The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments measured at amortized cost for which fair value is disclosed, as of December 31, 2025 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)	$	47,862,469	$	323,564	$	—	$	—	$	323,564	$	—	$	323,564
MSRs and MSR financing receivables(A)	595,532,480		10,359,141		—		—		10,359,141		—		10,359,141
Servicer advance investments	258,157		294,322		—		—		294,322		—		294,322
Government and government-backed securities(B)	5,255,355		5,254,905		24,762		5,230,139		—		—		5,254,901
Non-Agency securities	8,507,851		759,633		—		—		759,633		—		759,633
Residential mortgage loans, HFS	63,426		56,791		—		—		56,791		—		56,791
Residential mortgage loans, HFS, at fair value	5,351,566		5,427,481		—		5,402,325		25,156		—		5,427,481
Residential mortgage loans, HFI, at fair value	349,196		324,688		—		—		324,688		—		324,688
Residential mortgage loans subject to repurchase	3,952,792		3,952,792		—		3,952,792		—		—		3,952,792
Consumer loans	930,844		784,399		—		—		784,399		—		784,399
Derivative and hedging assets	8,280,512		46,747		—		7,288		39,459		—		46,747
Residential transition loans	2,694,149		2,699,864		—		—		2,699,864		—		2,699,864
Insurance company investments, at fair value	924,825		906,454		5,809		33,396		867,249		—		906,454
Notes receivable	549,004		460,631		—		—		460,631		—		460,631
Loans receivable	19,434		11,396		—		—		11,396		—		11,396
Equity investment, at fair value	192,500		194,286		—		—		194,286		—		194,286
CLOs	364,189		362,280		—		249,452		112,828		—		362,280
Investments of consolidated entities - funds(C)	1,389,870		1,397,209		—		782,014		290,335		324,860		1,397,209
Investments of consolidated entities - loan securitizations(C)	4,253,388		4,192,231		—		3,265,142		927,089		—		4,192,231
Other assets	N/A		254,597		42,812		—		107,608		104,177		254,597
			$	38,063,411	$	73,383	$	18,922,548	$	18,638,439	$	429,037	$	38,063,407
Liabilities:
Secured financing agreements	$	13,765,718	$	13,763,802	$	—	$	13,506,006	$	261,551	$	—	$	13,767,557
Secured notes and bonds payable(D)	15,403,044		15,203,770		—		—		15,068,083		—		15,068,083
Unsecured notes, net of issuance costs	1,526,203		1,421,088		—		—		1,461,956		—		1,461,956
Residential mortgage loan repurchase liability	3,952,792		3,952,792		—		3,952,792		—		—		3,952,792
Derivative and hedging liabilities	36,598,688		101,346		3		48,759		52,584		—		101,346
MSR financing liability(A)	8,126,218		76,266		—		—		76,266		—		76,266
Notes receivable financing liability	371,446		377,989		—		—		382,512		—		382,512
RTL financing liability	82,489		82,489		—		—		82,489		—		82,489
Notes payable and secured financing of consolidated entities - funds(C)	1,218,425		1,209,739		—		1,006,085		203,654		—		1,209,739
Notes payable of consolidated entities - loan securitizations(C)	3,781,205		3,688,063		—		2,820,922		867,141		—		3,688,063
			$	39,877,344	$	3	$	21,334,564	$	18,456,236	$	—	$	39,790,803

(A)The notional amount represents the total UPB of the residential mortgage loans underlying the MSRs, MSR financing receivables, Excess MSRs and MSR financing liability. 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)Includes assets and notes issued by consolidated VIEs accounted for under the CFE election.

(D)Includes $143.4 million of SCFT 2020-A (as defined in Note 19) MBS as of December 31, 2025, for which the FVO for financial instruments was elected.

(E)The table excludes cash and cash equivalents 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 entities - funds(C)	1,108,903		1,118,359		—		—		785,253		333,106		1,118,359
Investments of consolidated entities - 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 and hedging liabilities	11,255,492		52,610		1,259		15,628		35,723		—		52,610
MSR financing liability(A)	15,271,757		101,088		—		—		101,088		—		101,088
Notes receivable financing liability	371,446		371,788		—		—		377,227		—		377,227
Notes payable of consolidated entities - funds(C)	1,182,640		959,958		—		—		959,958		—		959,958
Notes payable of consolidated entities - 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

(B)Includes Treasury Bills classified as Level 1 and held at amortized cost basis of $24.8 million (see Note 6).

(C)Includes 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 19) MBS as of December 31, 2024, for which the FVO for financial instruments was elected.

The following tables summarize the changes in the Company’s Level 3 financial assets measured at fair value on a recurring basis for the periods presented:


	Level 3
	Excess MSRs(A)		MSRs and MSR Financing Receivables(A)		Servicer Advance Investments		Insurance Company 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	$	—	$	804,029	$	513,381	$	1,274,005	$	549,446	$	2,232,913	$	14,427,743
Transfers:
Transfers out of Level 3(E)	—		—		(7,873)		—		(227,216)		(217,641)		—		—		—		(452,730)
Transfers to Level 3(J)	—		—		—		—		519,496		85,789		—		—		—		605,285
Computershare Acquisition (Note 3)	(1,032)		700,207		—		—		—		—		—		—		—		699,175
Gain (Loss) Included in Net Income:
Credit losses on securities(F)	—		—		—		—		(936)		—		—		—		—		(936)
Servicing Revenue, Net(G):
Included in servicing revenue	—		(191,654)		—		—		—		—		—		—		—		(191,654)
Fair Value Adjustments Due to:
Other factors(F)	12,437		—		(2,526)		—		8,374		13,624		(47,950)		23,091		25,580		32,630
Instrument-specific credit risk(F)	—		—		—		—		—		27,151		(51,977)		—		8,549		(16,277)
Gain (loss) on settlement of investments, net(F)	(656)		—		—		—		1,448		—		—		—		—		792
Other income (loss), net(F)	—		—		—		—		2,382		10,957		—		(27,584)		—		(14,245)
Gains included in OCI(H)	—		—		—		—		3,084		—		—		—		—		3,084
Interest income	29,815		—		24,263		—		27,750		—		27,914		538		—		110,280
Purchases, Sales and Repayments:
Purchases, net(I)	122,887		—		781,896		—		649,922		248,952		—		223,037		—		2,026,694
Sales and settlement fundings	(499)		11,026		—		—		(284,667)		(188,490)		24,091		—		—		(438,539)
Proceeds from repayments	(64,940)		—		(832,995)		—		(140,438)		(68,639)		(560,518)		(67,539)		(1,987,252)		(3,722,321)
Originations and other	—		1,396,154		—		—		—		30,642		—		(47)		2,860,477		4,287,226
Balance at December 31, 2024	369,162		10,321,671		339,646		—		1,363,228		455,726		665,565		700,942		3,140,267		17,356,207
Transfers:
Transfers out of Level 3(E)	—		—		—		—		(844,389)		(858)		—		—		—		(845,247)
Transfers to Level 3(J)	—		—		—		—		149,431		2,081		—		—		—		151,512
Crestline Acquisition (Note 3)	—		—		—		793,009		—		—		—		595		—		793,604
Gain (Loss) Included in Net Income:
Credit loss reversal on securities(F)	—		—		—		—		423		—		—		—		—		423
Servicing Revenue, Net(G):
Included in servicing revenue	—		(1,609,756)		—		—		—		—		—		—		—		(1,609,756)
Fair Value Adjustments due to:
Other factors(F)	(5,664)		—		(1,578)		3,883		4,364		18,845		23,090		19,712		18,509		81,161
Instrument-specific credit risk(F)	—		—		—		—		—		(9,578)		(13,472)		—		(24,256)		(47,306)

Other income (loss), net(F)	598		—		—		(978)		(3,223)		2,201		—		35,842		—		34,440
Gains included in OCI(H)	—		—		—		—		16,568		—		—		—		—		16,568
Interest income	28,677		—		20,538		904		34,964		—		9,915		190		—		95,188
Purchases, Sales and Repayments:
Purchases, net(I)	—		—		692,755		147,328		347,221		1,169		500,334		68,364		9,014		1,766,185
Sales and settlement fundings	(1,105)		(3,249)		—		(43,803)		(75,722)		(7,216)		22,123		—		—		(108,972)
Proceeds from repayments	(68,104)		—		(757,039)		(35,440)		(117,791)		(57,552)		(423,156)		(64,848)		(3,385,836)		(4,909,766)
Originations and other	—		1,650,475		—		2,346		—		1,817		—		—		4,156,976		5,811,614
Balance at December 31, 2025	$	323,564	$	10,359,141	$	294,322	$	867,249	$	875,074	$	406,635	$	784,399	$	760,797	$	3,914,674	$	18,585,855

(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 embedded and other commitment derivatives are shown net.

(D)Includes residential transition loans of consolidated entities classified as Level 3 in the fair value hierarchy.

(E)Transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

(F)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.

(G)See Note 5 for further details on the components of servicing revenue, net.

(H)Gain (loss) included in unrealized gain (loss) on AFS securities, net in the consolidated statements of comprehensive income.

(I)Purchases, net of non-Agency securities includes securities retained through securitizations accounted for as sales.

(J)Transfers to Level 3 financial assets were due to changes in the observability of inputs used in the valuation of such assets.

The following tables summarize the changes in the Company’s Level 3 financial liabilities measured at fair value on a recurring basis for the periods presented:


	Level 3
	Asset-Backed Securities Issued		Notes Payable of CFEs - Consolidated Funds		Notes Payable of CFEs - Residential Transition Loans		MSR Financing Liability		Notes Receivable Financing Liability		RTL Financing Liability		Total
Balance at December 31, 2023	$	235,770	$	218,157	$	318,998	$	—	$	—	$	—	$	772,925
Transfers:
Transfers to Level 3(D)	—		—		—		—		371,446		—		371,446
Computershare Acquisition (Note 3)	—		—		—		125,168		—		—		125,168
Gains (Losses) Included in Net Income:
Servicing revenue, net(B)	—		—		—		(24,080)		—		—		(24,080)
Other income(C)	6,262		18,626		5,965		—		5,781		—		36,634
Purchases, Issuance and Repayments:
Issuance	—		723,175		858,828		—		—		—		1,582,003
Repayments	(56,572)		—		(324,062)		—		—		—		(380,634)
Other	—		—		(706)		—		—		—		(706)
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)	—		(735,874)		—		—		—		—		(735,874)

Gains (Losses) Included in Net Income:
Servicing revenue, net(B)	—		—		—		9,629		—		—		9,629
Other income (loss)(C)	(233)		—		5,854		—		5,285		—		10,906
Purchases, Issuance and Repayments:
Issuance	—		—		—		—		—		97,529		97,529
Repayments	(41,785)		(20,430)		—		(34,451)		—		(15,040)		(111,706)
Other	—		—		2,264		—		—		—		2,264
Balance at December 31, 2025	$	143,442	$	203,654	$	867,141	$	76,266	$	382,512	$	82,489	$	1,755,504

(A)Transfers out of Level 3 to Level 2 were primarily due to increased price transparency.

(B)See Note 5 for further details on the components of servicing revenue, net.

(C)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 years presented was due to factors other than instrument-specific credit risk.

(D)Transfers to Level 3 financial liabilities were due to changes in the observability of inputs used in the valuation of such liabilities.

Excess MSRs, MSRs and MSR Financing Receivables and MSR Financing Liability Valuation

Fair value estimates of Rithm Capital’s MSRs and related MSR financing liability and Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates, mortgage servicing amount or excess mortgage servicing amount of the underlying residential mortgage loans, as applicable, and discount rates that market participants would use in determining the fair values of MSRs on similar pools of residential mortgage loans. In addition, for MSRs, significant inputs included the market-level estimated cost of servicing.

Significant increases (decreases) in the discount rates, prepayment or delinquency rates, or costs of servicing, in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or mortgage servicing amount or excess mortgage servicing amount, as applicable, in isolation would result in a significantly higher (lower) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the prepayment rate.

The following tables summarize certain information regarding the ranges and weighted averages of inputs used:

December 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

2.3% – 13.3%

(6.8%)

0.2% – 14.1%

(4.7%)

0.0% – 63.5%

(39.3%)

7 – 31

(21)

10 – 22

(19)

MSRs, MSR Financing Receivables and MSR Financing Liability:

GSE

2.5% – 100.0%

(7.2%)

0.0% – 100.0%

(1.8%)

7.0% – 15.0% (10.5%)

2 – 176

(29)

0 – 40

(23)

Non-Agency

1.7% – 98.3%

(8.4%)

15.0% – 100.0%

(20.5%)

0.0% – 4.4% (1.3%)

1 – 169

(42)

0 – 59

(22)

Ginnie Mae

1.9% – 97.1%

(9.6%)

44.0% – 99.0%

(10.1%)

10.5% – 32.6% (26.7%)

19 – 132

(48)

0 – 40

(26)

Total / Weighted Average—MSRs, MSR Financing Receivables and MSR Financing Liability

1.7% – 100.0%

(8.1%)

0.0% – 100.0%

(6.1%)

0.0% – 32.6% (20.0%)

1 – 176

(37)

0 – 59

(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 MSR Financing Liability:

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 MSR Financing Liability

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 December 31, 2025 and 2024, weighted average costs of subservicing of $7.22 (range of $7.11 – $7.83) 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 $11.23 (range of $9.08 – $13.36) 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 $9.88 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.

With respect to valuing the PHH-serviced MSRs and MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be SOFR plus 185 bps and 95 bps as of December 31, 2025 and 2024, respectively.

As of December 31, 2025 and 2024, weighted average discount rates of 8.5% (range of 8.1% – 9.0%) and 8.4% (range of 8.1% – 9.0%), respectively, were used to value Rithm Capital’s Excess MSRs. As of December 31, 2025 and 2024, weighted average discount rates of 8.4% (range of 8.0% – 10.3%) and 8.9% (range of 8.7% - 10.3%), respectively, were used to value Rithm Capital’s MSRs and MSR financing receivables.

All of the assumptions listed have some degree of market observability, based on Rithm Capital’s knowledge of the market, relationships with market participants and use of common market data sources. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each investment in MSRs and related MSR financing liability and Excess MSRs.

When valuing these assets, Rithm Capital uses the following criteria to determine the significant inputs:

•Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions like home price appreciation, current level of interest rates as well as loan level factors such as the borrower’s interest rate, FICO score, LTV ratio, debt-to-income ratio and vintage on a loan level basis. Rithm Capital considers historical prepayment experience associated with the collateral when determining this vector and also reviews industry research on the prepayment experience of similar loan pools. This data is obtained from remittance reports, market data services and other market sources.

•Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed their latest mortgage payments. Delinquency rate projections are in the form of a “vector” that varies over the expected life of the pool. The delinquency vector specifies the percentage of the UPB that is expected to be delinquent each month. The delinquency vector is based on assumptions that reflect macroeconomic conditions, the historical delinquency rates for the pools and the underlying borrower characteristics such as the FICO score and LTV ratio. For the recapture agreements and recaptured loans, delinquency rates are based on the experience of similar loan pools originated by Rithm Capital’s servicers and subservicers and delinquency experience over the past year. Rithm Capital believes this time period provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions. Additional consideration is given to loans that are expected to become 30 or more days delinquent.

•Recapture Rates: Recapture rates are based on actual average recapture rates experienced by Rithm Capital’s servicers and subservicers on similar residential mortgage loan pools. Generally, Rithm Capital looks to three to six months’ worth of actual recapture rates, which it believes provides a reasonable sample for projecting future recapture rates while taking into account current market conditions. Recapture rate projections are in the form of a “vector” that varies over the expected life of the pool. The recapture vector specifies the percentage of the refinanced loans that have been recaptured within the pool by the servicer or subservicer. The recapture vector takes into account the nature and timeline of the relationship between the borrowers in the pool and the servicer or subservicer, the customer retention programs offered by the servicer or subservicer and the historical recapture rates.

•Mortgage Servicing Amount or Excess Mortgage Servicing Amount: For existing mortgage pools, mortgage servicing amount and excess mortgage servicing amount projections are based on the actual total mortgage servicing amount, in excess of a base fee as applicable. For loans expected to be refinanced by the related servicer or subservicer and subject to a recapture agreement, Rithm Capital considers the mortgage servicing amount or excess mortgage servicing amount on loans recently originated by the related servicer over the past three months and other general market considerations. Rithm Capital believes this time period provides a reasonable sample for projecting future mortgage servicing amounts and excess mortgage servicing amounts while taking into account current market conditions.

•Discount Rate: The discount rates used by Rithm Capital are derived from market data on pricing of MSRs backed by similar collateral.

•Cost of subservicing: The costs of subservicing used by Rithm Capital are based on available market data for various loan types and delinquency statuses.

Rithm Capital uses different prepayment and delinquency assumptions in valuing the MSRs and Excess MSRs, relating to the original loan pools, the recapture agreements and the MSRs and Excess MSRs, relating to recaptured loans. The prepayment rate and delinquency rate assumptions differ because of differences in the collateral characteristics, refinance potential and expected borrower behavior for original loans and loans which have been refinanced. The assumptions for recapture and discount rates when valuing MSRs and Excess MSRs and recapture agreements are based on historical recapture experience and market pricing.

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in GSE MSRs, owned as of December 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:


Fair value at December 31, 2025	$	6,051,855
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,560,390		$	6,296,725		$	5,826,571		$	5,616,430
Change in Estimated Fair Value:
Amount	$	508,535		$	244,870		$	(225,284)		$	(435,425)
Percentage	8.4		%	4.0		%	(3.7)		%	(7.2)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,413,139		$	6,225,372		$	5,893,503		$	5,746,051
Change in Estimated Fair Value:
Amount	$	361,284		$	173,517		$	(158,352)		$	(305,804)
Percentage	6.0		%	2.9		%	(2.6)		%	(5.1)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,071,442		$	6,062,282		$	6,042,908		$	6,032,727
Change in Estimated Fair Value:
Amount	$	19,587		$	10,427		$	(8,947)		$	(19,128)
Percentage	0.3		%	0.2		%	(0.1)		%	(0.3)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	6,008,031		$	6,030,398		$	6,075,131		$	6,097,498
Change in Estimated Fair Value:
Amount	$	(43,824)		$	(21,457)		$	23,276		$	45,643
Percentage	(0.7)		%	(0.4)		%	0.4		%	0.8		%

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in non-Agency MSRs, including MSR financing receivables, owned as of December 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:


Fair value at December 31, 2025	$	894,988
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	988,457		$	939,798		$	854,753		$	817,454
Change in Estimated Fair Value:
Amount	$	93,469		$	44,810		$	(40,235)		$	(77,534)
Percentage	10.4		%	5.0		%	(4.5)		%	(8.7)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	949,508		$	921,584		$	870,765		$	847,555
Change in Estimated Fair Value:
Amount	$	54,520		$	26,596		$	(24,223)		$	(47,433)
Percentage	6.1		%	3.0		%	(2.7)		%	(5.3)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	901,811		$	898,661		$	892,046		$	888,649
Change in Estimated Fair Value:
Amount	$	6,823		$	3,673		$	(2,942)		$	(6,339)
Percentage	0.8		%	0.4		%	(0.3)		%	(0.7)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	894,206		$	894,668		$	895,591		$	896,053
Change in Estimated Fair Value:
Amount	$	(782)		$	(320)		$	603		$	1,065
Percentage	(0.1)		%	—		%	0.1		%	0.1		%

The following table summarizes the estimated change in fair value of Rithm Capital’s interests in Ginnie Mae MSRs, owned as of December 31, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:


Fair value at December 31, 2025	$	3,412,298
Discount rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,682,692		$	3,542,420		$	3,291,557		$	3,179,089
Change in Estimated Fair Value:
Amount	$	270,394		$	130,122		$	(120,741)		$	(233,209)
Percentage	7.9		%	3.8		%	(3.5)		%	(6.8)		%
Prepayment rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,589,382		$	3,495,972		$	3,336,835		$	3,268,022
Change in Estimated Fair Value:
Amount	$	177,084		$	83,674		$	(75,463)		$	(144,276)
Percentage	5.2		%	2.5		%	(2.2)		%	(4.2)		%
Delinquency rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,462,302		$	3,437,347		$	3,387,460		$	3,362,659
Change in Estimated Fair Value:
Amount	$	50,004		$	25,049		$	(24,838)		$	(49,639)
Percentage	1.5		%	0.7		%	(0.7)		%	(1.5)		%
Recapture rate shift in %	-20%			-10%			10%			20%
Estimated fair value	$	3,335,023		$	3,373,698		$	3,451,049		$	3,489,725
Change in Estimated Fair Value:
Amount	$	(77,275)		$	(38,600)		$	38,751		$	77,427
Percentage	(2.3)		%	(1.1)		%	1.1		%	2.3		%

Each of the preceding sensitivity analyses is hypothetical and is provided for illustrative purposes only. There are certain limitations inherent in the sensitivity analyses presented. In particular, the results are calculated by stressing a particular economic assumption independent of changes in any other assumption; in practice, changes in one factor may result in changes in another, which might counteract or amplify the sensitivities. Also, changes in the fair value based on a 10% variation in an assumption generally may not be extrapolated because the relationship of the change in the assumption to the change in fair value may not be linear.

Servicer Advance Investments Valuation

Rithm Capital uses internal pricing models to estimate the future cash flows related to the servicer advance investments that incorporate significant unobservable inputs and include assumptions that are inherently subjective and imprecise. Rithm Capital’s estimations of future cash flows include the combined cash flows of all of the components that comprise the servicer advance investments: existing advances, the requirement to purchase future advances, the recovery of advances and the right to the base fee component of the related MSR. The factors that most significantly impact the fair value include (i) the rate at which the servicer advance balance changes over the term of the investment, (ii) the UPB of the underlying loans with respect to which Rithm Capital has the obligation to make advances and owns the base fee component of the related MSR which, in turn, is driven by prepayment rates and (iii) the percentage of delinquent loans with respect to which Rithm Capital owns the base fee component of the related MSR. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included the assumptions used to establish the aforementioned cash flows and discount rates that market participants would use in determining the fair values of servicer advance investments.

Significant increases (decreases) in the advance balance-to-UPB ratio, prepayment rate, delinquency rate or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the advance balance-to-UPB ratio.

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)
December 31, 2025	2.0%	4.5%	17.9%	19.9 bps	6.5%	20.5
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 4.6 bps and 3.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of December 31, 2025 and 2024, respectively.

(C)Weighted average maturity of the underlying residential mortgage loans in the pool.

The valuation of the servicer advance investments also takes into account the performance fee paid to the servicer, which is based on the Company’s equity returns and therefore is impacted by relevant financing assumptions such as LTV ratio and interest rate as well as advance-to-UPB ratio. All of the assumptions listed have some degree of market observability, based on Rithm Capital’s knowledge of the market, relationships with market participants and use of common market data sources. The prepayment rate, the delinquency rate and the advance-to-UPB ratio projections are in the form of “curves” or “vectors” that vary over the expected life of the underlying mortgages and related servicer advances. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each servicer advance investment, including the base fee component of the related MSR.

When valuing servicer advance investments, Rithm Capital uses the following criteria to determine the significant inputs:

•Servicer advance balance: Servicer advance balance projections are in the form of a “vector” that varies over the expected life of the residential mortgage loan pool. The servicer advance balance projection is based on assumptions that reflect factors such as the borrower’s expected delinquency status, the rate at which delinquent borrowers re-perform or become current again, servicer modification offer and acceptance rates, liquidation timelines and the servicers’ stop advance and clawback policies.

•Delinquency Rates: For existing mortgage pools, delinquency rates are based on the recent pool-specific experience of loans that missed recent mortgage payment(s) as well as loan- and borrower-specific characteristics such as the borrower’s FICO score, the LTV ratio, debt-to-income ratio, occupancy status, loan documentation, payment history and previous loan modifications. Rithm Capital believes the time period utilized provides a reasonable sample for projecting future delinquency rates while taking into account current market conditions.

•Mortgage Servicing Amount: Mortgage servicing amounts are contractually determined on a pool-by-pool basis. Rithm Capital projects the weighted average mortgage servicing amount based on its projections for prepayment rates.

•SOFR: The performance-based incentive fees on servicer advance investments portfolios serviced by Rocket Companies, Inc., as successor by merger to Mr. Cooper Group Inc., are driven by SOFR-based factors. The SOFR curves used are widely used by market participants as reference rates for many financial instruments.

•Discount Rate: The discount rates used by Rithm Capital are derived from market data on pricing of MSRs backed by similar collateral and the advances made thereon.

Real Estate and Other Securities Valuation

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
December 31, 2025
Government-backed securities(C)	$	5,230,355	$	5,119,755	$	5,230,139	$	—	$	5,230,139	2
CLOs(D)	364,189		355,912		249,452		112,828		362,280		2 & 3
Non-Agency and other securities(D)	8,507,851		701,105		732,597		27,036		759,633		3
Insurance company investments - securities	143,399		129,616		129,662		—		129,662		2 & 3
Total	$	14,245,794	$	6,306,388	$	6,341,850	$	139,864	$	6,481,714
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 78.0% and 82.1% of non-Agency securities as of December 31, 2025 and 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)

December 31, 2025

592,302

4.2% – 18.0%

(6.6%)

0.0% – 25.0%

(9.2%)

0.0% – 5.3%

(0.3%)

0.0% – 55.0%

(11.0%)

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.

Residential Mortgage Loans Valuation

Rithm Capital, through Newrez, originates residential mortgage loans that it intends to sell into Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed securitizations. Residential mortgage loans HFS, at fair value are typically pooled together and sold into certain exit markets, depending upon underlying attributes of the loan, such as agency eligibility, product type, interest rate and credit quality. Newrez also originates non-qualified residential mortgage (“Non-QM”) loans that do not meet the qualified mortgage rules per the Consumer Financial Protection Bureau that it intends to sell to private investors. Residential mortgage loans HFS, at fair value are valued using a market approach by utilizing either: (i) the fair value of securities backed by similar mortgage loans, adjusted for certain factors to approximate the fair value of a whole mortgage loan, (ii) current commitments to purchase loans or (iii) recent observable market trades for similar loans, adjusted for credit risk and other individual loan characteristics. As these prices are derived from market observable inputs, Rithm Capital classifies these valuations as Level 2 in the fair value hierarchy. Originated residential mortgage loans HFS for which there is little to no observable trading activity of similar instruments are valued using Level 3 measurements based upon (i) internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates, or (ii) consensus pricing (broker quotes) or historical sale transactions for similar loans.

Residential mortgage loans HFS, at fair value also include non-conforming seasoned mortgage loans acquired and identified for securitization, which are valued using internal pricing models to forecast loan level cash flows based on a potential securitization exit using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). Residential mortgage loans HFI, at fair value include non-conforming seasoned mortgage loans acquired and not identified for sale or securitization, which are valued using internal pricing models to forecast loan level cash flows using inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). As the internal pricing models are based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy.

For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy.

Significant increases (decreases) in prepayment rates, delinquency rates or discount rates, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions.

The following tables summarize 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, 2025:

Performing Loans

Fair Value

Discount Rate

Prepayment Rate

CDR

Loss Severity

Acquired loans

18,002

6.1% – 8.3%

(6.8%)

4.3% – 7.0%

(6.4%)

0.9% – 2.3%

(1.9%)

19.0% – 46.1%

(33.8%)

Non-Performing Loans

Fair Value

Discount Rate

Annual Change in Home Prices

CDR

Current Value of Underlying Properties

Acquired loans

7,154

10.5% – 12.9%

(12.0%)

3.3% – 4.3%

(4.0%)

4.8% – 6.6%

(6.0%)

300.7% – 306.3%

(302.8%)

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

December 31, 2025

324,688

6.1% – 10.5%

(7.5%)

5.0% – 7.0%

(6.9%)

0.9% – 4.8%

(1.8%)

28.6% – 46.1%

(39.2%)

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%)

Consumer Loans Valuation

Consumer loans are valued using internal discounted cash flow pricing models with inputs such as default rates, prepayments speeds and discount rates. Elevated (deflated) default rates or reduced (increased) recovery rates (particularly for unsecured portfolios) would depress (increase) fair value. Default rate changes are often inversely correlated with recovery rate adjustments. 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, 2025:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity(A)
SpringCastle	$	167,807	9.2% – 10.2% (9.4%)	12.1% – 39.5% (13.5%)	3.2% – 25.9% (5.5%)	80.8% - 100.0% (92.7%)
Marcus	166,473		7.5% - 17.6% (8.5%)	0.0% - 22.0% (11.2%)	3.0% - 62.0% (31.7%)	87.5%
Upgrade	450,119		6.8% - 16.9% (7.8%)	2.7% - 34.0% (17.9%)	0.9% - 7.5% (3.4%)	90.0%
Consumer Loans HFI, at Fair Value	$	784,399

(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 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

Residential Transition Loans and RTL Financing Liability Valuation

Rithm Capital classifies certain RTLs and related financing liability as Level 3 in the fair value hierarchy. Performing RTLs are valued using an income approach through internal pricing models to forecast cash flows with inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). Non-performing RTLs, with UPB of $100.9 million and fair value of $89.6 million as of December 31, 2025 and UPB of $55.2 million and fair value of $49.3 million as of December 31, 2024, were valued using estimated liquidation cash flows, derived based on the estimated value of the collateral and adjusted for estimated recoveries, costs and time to liquidate the assets.

Significant increases (decreases) in default rates, loss severity assumptions or discount rates, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions.

The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing RTLs and related financing liability, at fair value classified as Level 3 as of December 31, 2025:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
RTLs	$	2,610,258	7.9% – 8.0% (7.9%)	0.0% – 50.0% (46.8%)	0.0% – 1.8% (0.5%)	25.0%
RTL investments of consolidated entities - funds	287,721		7.9%	50.0%	0.5%	25.0%
RTL financing liability(A)	36,150		7.9%	50.0%	0.5%	25.0%

(A)Excludes $46.3 million of financing liability related to a strategic partnership for which the Company elected fair value option. As of December 31, 2025, the amortized cost approximated fair value.

The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing RTLs, at fair value classified as Level 3 as of December 31, 2024:

Fair Value

Discount Rate

Prepayment Rate

CDR

Loss Severity

RTLs

2,128,801

8.3% – 9.9%

(8.3%)

0.0% – 50.0%

(45.8%)

0.5% – 1.8%

(0.5%)

25.0%

Insurance Company Investments - Private Credit and Commercial Mortgage Loans Valuation

Private investments and commercial mortgage loans held for less than six months are generally measured at fair value using the transaction price, net of transaction costs, plus any accrued interest and upfront fees (including original issue discount) and warrant carve-out accretion, which the Company believes represents fair value at initial recognition. Such investments and loans are not subject to third-party valuation review unless a significant event or change in circumstances occurs that would indicate the transaction price is no longer representative of fair value.

For other private investments and commercial mortgage loans classified as Level 3 within the fair value hierarchy, fair value is determined using valuation techniques consistent with U.S. GAAP requirements, including income approaches (such as discounted cash flow analyses) and/or market approaches (such as the guideline public company method and guideline transaction method). These valuation techniques maximize the use of relevant observable inputs and minimize the use of unobservable inputs to the extent practicable.

Fair values are determined by independent third‑party valuation specialists using income and market approaches. The valuation specialists may incorporate significant unobservable inputs, such as discount rates, recovery assumptions, valuation multiples, and liquidity adjustments, depending on the nature of the investment and the availability of market data. Since the valuation models used by these specialists are proprietary, the Company does not have visibility into all unobservable inputs. The primary unobservable input evaluated by the Company is the discount rate used to estimate the present value of expected cash flows. Higher discount rates generally decrease fair value, while lower discount rates increase fair value.

Since these inputs are not directly observable and often reflect borrower or issuer‑specific factors, the resulting fair value measurements are inherently subjective. Unobservable inputs used in the valuation models can be interrelated. For example, weaker operating performance may be associated with higher discount rates, lower recovery expectations, or reduced valuation multiples, which can magnify the effect of changes in inputs on the fair value measurement. The Company reviews the methodologies and assumptions provided by its valuation specialists and assesses whether the resulting fair values are reasonable in the context of current market conditions.

The following table summarizes certain information regarding the range and weighted average of the discount rates (weighted by fair value) used in valuing private credit, at fair value and commercial mortgage loans, HFI, at fair value classified as Level 3:

Fair Value

Discount Rate

December 31, 2025

769,956

8.2% – 45.1%

(11.3%)

Funds Withheld and Modified Coinsurance Agreement Embedded Derivatives

Funds withheld and modified coinsurance agreement embedded derivatives represent the right to receive or obligation to pay the total return on the assets supporting the funds withheld and modified coinsurance agreement and are analogous to a total return swap with a floating rate leg. The fair value of embedded derivatives on funds withheld and modified coinsurance agreement is measured as the unrealized gain (loss) on the underlying assets and classified as Level 3.

FIA - Embedded Derivative

Significant unobservable inputs used in the FIA embedded derivative valuation include:

•Non-performance risk - For contracts Crestline issues, it uses the credit spread, relative to the U.S. Treasury curve based on Crestline's public credit rating as of the valuation date. This represents Crestline's credit risk for use in the estimate of the fair value of embedded derivatives.

•Option budget - Crestline assumes future hedge costs in the derivative's fair value estimate. The level of option budgets determines the future costs of the options and impacts future policyholder account value growth.

•Policyholder behavior - Crestline regularly reviews the full withdrawal (surrender rate) assumptions. These are based on initial pricing assumptions updated for actual experience. Actual experience may be limited for recently issued products.

Derivatives and Hedging Valuation

Rithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rithm Capital’s other assets that are classified as Level 2 in the fair value hierarchy.

Other commitments relate to (i) an agreement entered into by a subsidiary of Rithm Capital with its affiliate requiring a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate and (ii) a third-party co-investor’s redemption right of its investment in a consolidated joint venture. These are classified as Level 3 in the fair value hierarchy, valued (i) at the excess of cost basis over the intrinsic value of the underlying investment and (ii) using a simulated Monte Carlo model by independent pricing services, respectively. In addition, Rithm Capital enters into IRLCs, which are valued using internal pricing models (i) incorporating market pricing for instruments with similar characteristics, (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusting for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy.

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs:

Fair Value

Loan Funding Probability

Fair Value of Initial Servicing Rights (bps)

December 31, 2025

21,449

4.2% – 100.0%

(84.6%)

4.1 – 403.9

(247.4)

December 31, 2024

11,294

0.0% – 100.0%

(86.1%)

1.0 – 426.7

(281.8)

Asset-Backed Securities Issued

As of December 31, 2025 and 2024, Rithm Capital was the primary beneficiary of the SCFT 2020-A (as defined in Note 19) securitization, and therefore, Rithm Capital’s consolidated balance sheets include the asset-backed securities issued by the trust in the SCFT 2020-A securitization. Rithm Capital elected the FVO for the securities and valued them consistently with non-Agency securities described above.

The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing asset-backed securities issued:


	Fair Value		Discount Rate	Prepayment Rate	CDR	Loss Severity
December 31, 2025	$	143,442	5.5%	13.5%	5.5%	92.7%
December 31, 2024	$	185,460	5.4%	14.5%	5.1%	92.3%

Notes Receivable, Notes Receivable Financing Liability and Loans Receivable

From time to time, Rithm Capital purchases notes and loans receivable that are generally collateralized by commercial real estate assets. Rithm Capital generally uses internal discounted cash flow pricing models to estimate the fair value of notes receivable, notes receivable financing liability and loans receivable. Due to the fact that the fair value of Rithm Capital’s notes receivable, notes receivable financing liability and loans receivable are based significantly on unobservable inputs, these are classified as Level 3 in the fair value hierarchy.

Future cash flows are generally estimated using contractual economic terms as well as significant unobservable inputs, such as the underlying collateral performance. Other significant unobservable inputs include discount rates which estimate the market participants’ required rates of return.

The following table summarizes certain information regarding the fair value and significant inputs used in valuing Rithm Capital’s notes receivable, notes receivable financing liability and loans receivable:


	Fair Value		Discount Rate
December 31, 2025
Notes receivable	$	460,631	7.8% - 13.6% (8.8%)
Notes receivable financing liability	382,512		5.1%
Loans receivable	11,396		12.0%
December 31, 2024
Notes receivable	$	393,786	9.0% - 12.5% (9.2%)
Notes receivable financing liability	377,227		5.7%
Loans receivable	31,580		18.5%

Equity Investments at Fair Value

The Company holds a 70% interest in a limited liability company (the “Credit Risk Transfer LLC”), structured as a credit risk transfer transaction, which directly or indirectly holds and finances exposures to residential mortgage loans through warehouse facilities and repurchase agreements. This equity investment is measured at fair value under the fair value option election. The investment is valued using an internal discounted cash flow pricing model to estimate the fair value of the investment. As of December 31, 2025 and 2024, the fair value of the investment was $194.3 million and $194.4 million, respectively. As the discount rates of 10.4% and 11.8% used to estimate the fair value of the investment as of December 31, 2025 and 2024, respectively, were significant unobservable inputs, this investment was classified as Level 3 in the fair value hierarchy.

Consolidated CFE - Funds

Sculptor’s consolidated structured alternative investment solution, a CFE, holds investments in funds measured at fair value using the NAV per share of the underlying funds, as a practical expedient.

The following table summarizes the fair value of the investments by fund type and ability to redeem such investments:

December 31,

2025

2024

Fund Type(A)

Fair Value

Redemption Frequency

Redemption Notice Period

Fair Value

Redemption Frequency

Redemption Notice Period

Open-ended

162,055

Monthly – Annually

30 days – 90 days

172,409

Monthly - Annually

30 days - 90 days

Closed-ended

162,805

None(B)

N/A

160,697

None(B)

N/A

Total

324,860

333,106

(A)The structured alternative investment solution invests in both open-ended and closed-ended funds. The investments in each fund may represent investments in a particular tranche of such fund subject to different withdrawal rights.

(B)100% of these investments cannot be redeemed, as distributions will be received as the underlying assets are liquidated, which is expected to be approximately 7 to 9 years from inception.

As of December 31, 2025 and 2024, the structured alternative investment solution had unfunded commitments of $28.1 million and $23.8 million, respectively, related to the closed-ended funds presented in the table above, which will be funded by capital within the consolidated funds from its underlying open-ended funds and liquid assets.

As of December 31, 2025 and 2024, notes payable of the structured alternative investment solution with a fair value of $203.7 million and $224.1 million, respectively, were valued using independent pricing services and are classified as Level 3. The Company measures the financial liabilities of its consolidated structured alternative investment solution based on the fair value of the financial assets of the consolidated entity under the CFE election, as the Company believes the fair value of the financial assets is more observable. The notes payable of consolidated CLOs had a fair value of $751.6 million and $735.9 million as of December 31, 2025 and 2024, respectively, and were valued using independent pricing services. As of December 31, 2025, the Company measured the financial liabilities of its consolidated CLOs based on the fair value of the financial assets of its consolidated CLOs under the CFE election, as the Company believes the fair value of the financial assets were more observable and the fair value of notes payable of consolidated CLOs were transferred out of Level 3 to Level 2 primarily due to increased price transparency. As of December 31, 2024, the Company measured the financial assets of its consolidated CLOs based on the fair value of the financial liabilities of its consolidated CLOs, as the Company believed the fair value of the financial liabilities were more observable and were classified as Level 3. The Company performs analytical procedures and compares independent pricing service valuations to other vendors’ pricing as applicable. The Company also performs due diligence reviews on independent pricing services on an annual basis and performs other due diligence procedures as may be deemed necessary. Notes payable of such consolidated CFEs are included in notes payable, at fair value and other liabilities on the Company’s consolidated balance sheets. Unrealized gain (loss) from changes in fair value and related interest is included in realized and unrealized gains (losses), net in the Company’s consolidated statements of operations. Refer to Note 19 for further details.

Consolidated CFE - Loan Securitizations

Rithm Capital has securitized certain residential mortgage loans and RTLs which are held as part of consolidated CFEs. A CFE is a VIE that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity, and the beneficial interests have contractual recourse only to the related assets of the CFE. GAAP allows entities to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. Rithm Capital has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that the consolidated securitization trusts meet the definition of a CFE. See Note 19 for further details regarding VIEs and securitization trusts. Rithm Capital determined the inputs to the fair value measurement of the financial liabilities of its consolidated CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of the consolidated CFE to measure the fair value of the financial assets of the consolidated CFE. Refer to Note 2 for the accounting policies of consolidated entities. The fair value of the debt issued by the consolidated CFE is typically valued using external pricing data, which includes third-party valuations.

The securitized residential mortgage loans and RTLs, which are assets of the consolidated CFEs, are included in investments, at fair value and other assets, on the Company’s consolidated balance sheets. The notes issued by the consolidated CFEs are included in notes payable, at fair value and other liabilities on the Company’s consolidated balance sheets. Unrealized gains (losses) from changes in fair value of the notes issued and assets of the consolidated CFEs and related interest are included in realized and unrealized gains (losses), net in the Company’s consolidated statements of operations. The securitized residential mortgage loans and the notes issued by the Company’s CFEs are classified as Level 2.


Residential Mortgage Loans Securitizations	Investments at Fair Value		Notes Payable at Fair Value
December 31, 2025	$	3,265,142	$	2,820,922
December 31, 2024	$	2,791,027	$	2,369,934

Rithm Capital classifies securitized RTLs 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)
December 31, 2025	$	927,089	$	867,141	1.5% – 11.5% (2.3%)	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.

Assets and Liabilities Measured at Fair Value on a Non-recurring Basis

Certain assets are measured at fair value on a non-recurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. For residential mortgage loans HFS, foreclosed real estate accounted for as REO, SFR properties and certain commercial real estate, Rithm Capital measures the assets at the lower of cost or fair value which may require, from time to time, a non-recurring fair value adjustment.

As of December 31, 2025 and 2024, assets measured at fair value on a non-recurring basis were $67.8 million and $87.6 million, respectively, of which, approximately $56.8 million and $66.7 million, respectively, related to residential mortgage loans, HFS, and $11.0 million and $20.9 million, respectively, related to REO. The fair value of Rithm Capital’s residential mortgage loans, HFS is estimated based on a discounted cash flow model analysis using internal pricing models and is categorized within Level 3 of the fair value hierarchy.

The following table summarizes the inputs (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)

December 31, 2025

Performing loans

45,861

6.1% – 8.3%

(6.1%)

4.2 – 7.5

(4.3)

4.3% – 7.0%

(6.9%)

0.9% – 2.3%

(2.3%)

19.0% – 46.1%

(33.0%)

Non-performing loans

10,930

10.5% – 12.9%

(11.4%)

3.0 – 3.9

(3.6)

3.6% – 5.0%

(4.5%)

4.8% – 6.6%

(5.5%)

28.6% – 72.1%

(45.4%)

Total

56,791

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.

The fair value of REO is estimated using a broker’s price opinion discounted based upon Rithm Capital’s experience with actual liquidation values and, therefore, is categorized within Level 3 of the fair value hierarchy. These discounts to the broker price opinion generally range from 10.0% – 25.0% (weighted average of 23.7%), depending on the information available to the broker.

The total change in the recorded value of residential mortgage loans for which a fair value adjustment has been included in the consolidated statements of operations consists of a reversal of valuation allowance of $1.3 million, a reversal of valuation allowance of $4.0 million and a valuation allowance of $1.9 million for the years ended December 31, 2025, 2024 and 2023, respectively.

The total change in the recorded value of REO for which a fair value adjustment has been included in the consolidated statements of operations consists of a reversal of valuation allowance of $0.8 million, a valuation allowance of $2.6 million and a reversal of valuation allowance of $1.7 million for the years ended December 31, 2025, 2024 and 2023, respectively.

Historical Timeline

Fiscal Year	Filed
2025	Feb 19, 2026	Showing above
2024	Feb 18, 2025

2022	Feb 17, 2023

2021	Feb 17, 2022

2020	Feb 16, 2021

2019	Feb 20, 2020

2018	Feb 19, 2019

2017	Feb 15, 2018

2016	Feb 22, 2017

2015	Feb 26, 2016

About Fair Value Disclosures

Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.

Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.

Rithm Capital Corp. Fair Value Disclosure

Historical Timeline

About Fair Value Disclosures

Other Available Disclosures