Company: RITM-PC
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001556593-25-000024
Chunk: 166

Company: Rithm Capital Corp.
Filing Date: 2025-08-01
Form: 10-Q
Item: Item 1
Chunk 166
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 loans$17,700 7.0% – 8.6%(7.9%)6.0% – 8.2%(7.9%)1.8% – 5.0%(3.1%)20.6% – 33.7%(24.0%)Non-Performing LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent Value of Underlying PropertiesAcquired loans$9,466 8.5% – 9.3%(8.8%)8.6% – 15.8%(10.9%)1.3% – 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 SeverityJune 30, 2025$343,333 6.8% – 9.2%(7.9%)4.9% – 6.7%(6.4%)0.9% – 3.1%(1.6%)25.9% – 48.9%(39.6%)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%)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 June 30, 2025:Fair ValueDiscount RatePrepayment RateCDRLoss Severity(A)SpringCastle$190,138 9.2% – 10.2% (9.4%)13.3% – 39.0%(14.6%)2.7% – 36.7%(