Company: RITM-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001556593-25-000007
Chunk: 352

Company: Rithm Capital Corp.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 352
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%(8.3%)0.0% - 50.0%(45.8%)0.5% - 1.8%(0.5%)25.0%As of December 31, 2023 the estimated fair value of originated loans approximates carrying value as most are variable-rate that reprice frequently and with minimal credit risk and severity risk. The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing acquired residential transition loans, at fair value classified as Level 3 as of December 31, 2023:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityAcquired residential transition loans$114,366 11.0%0.0%1.8% – 2.5%(2.2%)25.0%Derivatives and Hedging ValuationRithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rithm Capital’s other assets that are classified as Level 2 in the fair value hierarchy. Treasury short sales represent the net of repurchase agreements and related reverse repurchase agreement lending facilities used to borrow securities to effectuate short sales of Treasury securities and are classified as Level 1.Other commitment relates to an agreement entered into by a subsidiary of Rithm Capital with its affiliate requiring a payment under certain circumstances dependent upon amounts realized from an investment of the affiliate. It is valued at the excess of cost basis over the intrinsic value of the underlying investment and classified as Level 3 in the fair value hierarchy. In addition, Rithm Capital enters into IRLCs, which are valued using internal pricing models (i) incorporating market pricing for instruments with similar characteristics, (ii) estimating the fair value of the servicing rights expected to be recorded at sale of the loan and (iii) adjusting for anticipated loan funding probability. Both the fair value of servicing rights expected to be recorded at the date of sale of the loan and anticipated loan funding probability are significant unobservable inputs and therefore, IRLCs are classified as Level 3 in the fair value hierarchy. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing IRLCs:Fair ValueLoan Funding ProbabilityFair Value of Initial Servicing Rights (bps)December 31, 2024$11,294 0.0% –