Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 78

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 78
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 assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital and reviewed by its independent valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 76.9% and 82.1% of non-Agency securities as of March 31, 2025 and December 31, 2024, respectively, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of non-Agency securities were not readily available.Fair ValueDiscount RatePrepayment Rate(a)CDR(b)Loss Severity(c)March 31, 2025$491,437 5.0% – 20.0%(7.3%)0.0% – 25.0%(6.0%)0.0% – 1.9%(0.4%)0.0% – 50.0%(16.8%)December 31, 2024$453,978 4.7% – 20.0%(6.9%)0.0% – 20.0%(6.3%)0.0% – 1.9%(0.5%)0.0% – 50.0%(17.0%)(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.(b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.(c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance of the loans in default.(B)Rithm Capital was unable to obtain quotations from more than one source on these securities.(C)Presented within government and government-backed securities on the consolidated balance sheets.(D)Presented within other assets on the consolidated balance sheets.

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

Residential Mortgage Loans ValuationRithm Capital, through Newrez, originates residential mortgage loans that it intends to sell into Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed secur