Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 134

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 134
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. Treasury securities. 

The following table summarizes our Agency RMBS and U.S. Treasury securities portfolio as of March 31, 2025 (dollars in thousands):

Gross UnrealizedAsset TypeOutstanding Face AmountAmortized Cost BasisGainsLossesCarryingValue(A)CountWeighted Average Life (Years)3-Month CPR(B)Outstanding Repurchase AgreementsAgency RMBS$7,895,808 $7,700,438 $61,666 $(10,200)$7,751,904 24 7.95.9 %$7,507,395 Treasury securities3,275,000 3,282,149 14,648 — 3,296,797 4 1.4N/A3,255,034 Total / Weighted Average$11,170,808 $10,982,587 $76,314 $(10,200)$11,048,701 28 6.0$10,762,429 

(A)Agency RMBS are held at fair value under the fair value option (“FVO”) election. Treasury securities include $24.8 million of short-term Treasury bills held-to-maturity at amortized cost with the remaining held at fair value under the FVO.

(B)Represents the annualized rate of the prepayments during the quarter as a percentage of the total amortized cost basis.

The following table summarizes the net interest spread of our government and government-backed securities portfolio for the three months ended March 31, 2025:

Net Interest Spread(A)Weighted average asset yield4.9 %Weighted average funding cost4.7 %Net Interest Spread0.2 %

(A)The government and government-backed securities portfolio consists of 100% fixed-rate securities (accounted for on an amortized cost basis).

We largely invest in government and government-backed securities (U.S. Treasury securities and Agency RMBS) as a hedge to our MSR portfolio and to provide additional qualifying assets and income for the purposes of meeting the REIT requirements. Our government and government-backed securities portfolio was $11.0 billion as of March 31, 2025. We finance investments in these securities with short-term borrowings under master uncommitted repurchase agreements. These borrowings generally bear interest rates offered by the counterparty for the term of the proposed repurchase transaction (e.g., 30 days, 60 days, etc.) of a specified margin