Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 277

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 1
Chunk 277
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 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 residential transition loans, 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 SecuritizationsInvestments at Fair ValueNotes Payable at Fair ValueMarch 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 ValueSpread(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)