Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 21

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 2
Chunk 21
---
, we retain and own risk retention bonds from our securitizations that we do not consolidate in accordance with risk retention regulations under the 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 entities and liabilities of consolidated entities on the consolidated balance sheets and is excluded from the tables below. As of September 30, 2025, 77.3% 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 and for the nine months ended September 30, 2025 (dollars in thousands):

Asset TypeOutstanding Face Amount(A)Amortized Cost BasisGross UnrealizedCarrying Value(B)Outstanding Repurchase Agreements(C)GainsLossesNon-Agency securities$8,618,043 $669,059 $98,202 $(45,816)$721,445 $896,129 

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

(B)Carrying value which is equal to the fair value for all securities.

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

98 

The following table summarizes the characteristics of our Non-Agency securities portfolio and of the collateral underlying our Non-Agency securities as of September 30, 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$8,618,043 $669,059 $721,445 6064.44.1 %12.40.58.5 %3.1 %0.9 %

(A)Excludes $150.5 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 $178.5 million for which no coupon payment is expected.

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

(D)Three