Company: RITM-PC
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001556593-25-000024
Chunk: 375

Company: Rithm Capital Corp.
Filing Date: 2025-08-01
Form: 10-Q
Item: Item 8
Chunk 375
---
Cumulative Losses to DateTotal / weighted average$8,852,683 $689,682 $739,143 6064.24.1 %15.30.56.6 %3.1 %0.9 %

(A)Excludes $149.9 million carrying value of Non-Agency securities that are backed by assets other than residential mortgages.

(B)Excludes interest only, residual and other bonds with a carrying value of $188.2 million for which no coupon payment is expected.

(C)Represents the ratio of original UPB of loans still outstanding.

(D)Three-month average constant prepayment rate and default rates.

(E)The percentage of underlying loans that are 90+ days delinquent, or in foreclosure or considered real estate owned (“REO”).

The following table summarizes the net interest spread of our Non-Agency securities portfolio for the six months ended June 30, 2025:

Net Interest Spread(A)Weighted average asset yield5.5 %Weighted average funding cost6.0 %Net Interest Spread(0.5)%

(A)The Non-Agency securities portfolio consists of 18.5% floating rate securities and 81.5% fixed-rate securities (accounted for on an amortized cost basis). 

We finance our investments in Non-Agency 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 over SOFR. As of June 30, 2025 and December 31, 2024, the Company pledged Non-Agency securities, including securities retained through consolidated securitizations, with a carrying value of approximately $1.3 billion and $1.1 billion, respectively, as collateral for borrowings under repurchase agreements. A portion of collateral for borrowings under repurchase agreements is subject to daily mark-to-market fluctuations and margin calls. The remaining collateral is not subject to daily margin calls unless the collateral coverage percentage, a quotient expressed as a percentage equal to the current carrying value of outstanding debt divided by the market value of the underlying collateral, becomes greater than or equal to a collateral trigger. The difference between the collateral coverage percentage and the collateral trigger is referred to as a “margin holiday.” See Note 18 to our consolidated financial statements for further information regarding financing of our Non-Agency