Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 170

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 170
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 are based on certain unobservable inputs, Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy.For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Rithm Capital classifies these valuations as Level 3 in the fair value hierarchy. Significant increases (decreases) in prepayment rates, delinquency rates or discount rates, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions.The following tables summarize certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of September 30, 2025:Performing LoansFair ValueDiscount RatePrepayment RateCDRLoss SeverityAcquired loans$17,487 6.6% – 8.3%(7.1%)4.4% – 7.6%(7.0%)0.9% – 3.6%(2.1%)28.6% – 48.5%(35.0%)Non-Performing LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent Value of Underlying PropertiesAcquired loans$8,050 9.6% – 12.2%(11.3%)0.7% – 4.3%(3.1%)3.6% – 5.7%(5.0%)280.0% – 316.4%(292.3%)

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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)

The following tables summarize certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFS, at fair value classified as Level 3 as of December 31, 2024:Performing LoansFair ValueDiscount RatePrepayment RateCDRLoss SeverityAcquired loans$17,700 7.0% – 8.6%(7.9%)6.0