Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 55

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 55
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 measured at fair value are classified and disclosed into one of the following categories based on the observability of inputs used in the determination of fair values:Level 1 – Quoted prices in active markets for identical instruments.Level 2 – Valuations based principally on other observable market parameters, including:•Quoted prices in active markets for similar instruments,•Quoted prices in less active or inactive markets for identical or similar instruments,•Other observable inputs, such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates (“CDR”) and•Market corroborated inputs (derived principally from or corroborated by observable market data).Level 3 – Valuations based significantly on unobservable inputs.Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement. 

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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 carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments measured at amortized cost for which fair value is disclosed, as of March 31, 2025 were as follows:Principal Balance or Notional AmountCarrying ValueFair Value(E)Level 1Level 2Level 3Net Asset Value (“NAV”)TotalAssets:Excess MSRs(A)$52,144,523 $354,923 $— $— $354,923 $— $354,923 MSRs and MSR financing receivables(A)591,114,997 10,133,041 — — 10,133,041 — 10,133,041 Servicer advance investments283,068 321,531 — — 321,531 — 321,531 Government and government-backed securities(B)11,170,808 11,048,701 3,296,798 7,751,904 — — 11,048,702 Non-Agency securities8,913,777 639,458 — — 639,458 — 639,458 Residential mortgage loans, HFS72,641 64,248 — — 64,248 — 64,248 Residential mortgage loans