Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 332

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 2
Chunk 332
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 Dodd-Frank Wall Street Reform and Consumer Protection Act, including the rules promulgated thereunder. We also retain and own bonds from our consolidated private label mortgage securitizations which we eliminate in consolidation. The equity value is reflected in assets of consolidated CFEs and liabilities of consolidated CFEs on the consolidated balance sheets and is excluded from the tables below. As of March 31, 2025, 88.4% of our Non-Agency securities portfolio was related to bonds retained pursuant to required risk retention regulations.

The following table summarizes our Non-Agency securities portfolio as of March 31, 2025 (dollars in thousands):

Asset TypeOutstanding Face Amount(A)Amortized Cost BasisGross UnrealizedCarrying Value(B)Outstanding Repurchase Agreements(C)GainsLossesNon-Agency securities$8,913,777 $595,327 $96,514 $(52,383)$639,458 $768,673 

(A)The total outstanding face amount includes residual, interest only and servicing strips for which no principal payment is expected.

(B)Fair value which is equal to carrying value for all securities.

(C)Includes repurchase agreements on Non-Agency securities retained through consolidated securitizations.

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The following tables summarize the characteristics of our Non-Agency securities portfolio and of the collateral underlying our Non-Agency securities as of March 31, 2025 (dollars in thousands): 

Collateral Characteristics(A)Outstanding Face AmountAmortized Cost BasisCarrying ValueNumber of SecuritiesWeighted Average Life (Years)Weighted Average Coupon(B)Average Loan Age (Years)Collateral Factor(C)Three Month CPR(D)Delinquency(D)Cumulative Losses to DateTotal / weighted average$8,913,777 $595,327 $639,458 5944.73.8 %15.90.56.1 %3.3 %0.9 %

(A)Excludes $64.2 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 $193.7 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