Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 272

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 1
Chunk 272
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0% – 23.1%(17.8%)4.0% – 50.0%(14.3%)87.5%Consumer Loans HFI, at Fair Value$665,565 (A)Loss severity is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of realized loss relative to the outstanding loan balance in default.Residential Transition Loans ValuationRithm Capital classifies certain residential transition loans as Level 3 in the fair value hierarchy. Performing residential transition loans are valued using an income approach through internal pricing models to forecast cash flows with inputs such as default rates, prepayments speeds and discount rates, and may include adjustments based on consensus pricing (broker quotes). Non-performing residential transition loans, with UPB of $54.3 million and fair value of $47.4 million as of March 31, 2025 and UPB of $55.2 million and fair value of $49.3 million as of December 31, 2024, were valued using estimated liquidation cash flows, derived based on the estimated value of the collateral and adjusted for estimated recoveries, costs and time to liquidate the assets.Significant increases (decreases) in default rates, loss severity assumptions, 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 table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing residential transition loans, at fair value classified as Level 3:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityMarch 31, 2025$2,287,856 8.3% – 9.5%(8.3%)0.0% – 50.0%(45.9%)0.5% – 1.8%(0.5%)25.0%December 31, 2024$2,128,801 8.3% – 9.9%(8.3%)0.0% – 50.0%(45.8%)0.5% – 1.8%(0.5%)25.0%Derivatives and Hedging ValuationRithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm