Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 81

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 81
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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 SeverityMarch 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%)

56

RITHM CAPITAL CORP. AND SUBSIDIARIESNOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)(dollars in tables in thousands, except share and per share data)

Consumer Loans ValuationConsumer 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 March 31, 2025:Fair ValueDiscount RatePrepayment RateCDRLoss 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