Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 80

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 80
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 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 table summarizes 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 March 31, 2025:Performing LoansFair ValueDiscount RatePrepayment RateCDRLoss SeverityAcquired loans$17,775 7.0% – 8.5%(7.4%)5.4% – 9.0%(8.1%)1.4% – 5.7%(3.3%)21.7% – 31.2%(24.7%)Non-Performing LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent Value of Underlying PropertiesAcquired loans$8,658 9.2% – 9.5%(9.4%)5.5% – 8.7%(6.7%)10.5% – 17.7%(15.2%)281.2% – 308.3%(290.7%)

55

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

The following table summarizes 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% – 8.2%(7.9%)1.8% – 5.0%(3.1%)20.6% – 33.7%(24.0%)Non-Performing LoansFair ValueDiscount RateAnnual Change in Home PricesCDRCurrent Value of Underlying PropertiesAcquired loans$9,466 8.5% – 9.3%(8.8%)8.6% – 15.8%(10.9%)1.