Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 337

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 8
Chunk 337
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 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 September 30, 2025:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityRTLs$2,483,692 8.2% – 8.7%(8.2%)0.0% – 50.0%(46.3%)0.0% – 1.8%(0.5%)25.0%RTL investments of consolidated entities297,074 8.3%50.0%0.5%25.0%RTL financing liability(A)45,903 8.2%50.0%0.5%25.0%(A)Excludes $41.8 million of financing liability related to a strategic partnership for which the Company elected fair value option. As of September 30, 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 ValueDiscount RatePrepayment RateCDRLoss SeverityRTLs$2,128,801 8.3% – 9.9%(8.3%)0.0% – 50.0%(45.8%)0.5% – 1.8%(0.5%)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 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