Company: RITM-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001556593-25-000007
Chunk: 350

Company: Rithm Capital Corp.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 350
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FS, at Fair Value$25,993 (A)Includes inputs for 55.5% and 70.6% of originated performing and non-performing loans, respectively, classified as Level 3. The remainder of performing and non-performing loans were priced using dealer price quotes and historical sale transactions for similar loans with a range of 50.7% - 100.0% (85.7%).The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by fair value) used in valuing residential mortgage loans HFI, at fair value classified as Level 3:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityDecember 31, 2024$361,890 7.9% – 9.3%(8.4%)5.4% – 8.2%(8.0%)1.3% – 4.9%(3.3%)12.4% – 33.7%(26.4%)December 31, 2023$379,044 7.9% – 8.3%(8.1%)2.9% – 3.5%(3.2%)1.4% – 5.9%(4.3%)24.4% – 57.4%(46.1%)Consumer Loans ValuationConsumer loans are valued using internal discounted cash flow pricing models with inputs such as default rates, prepayments speeds and discount rates. Elevated (deflated) default rates or reduced (increased) recovery rates (particularly for unsecured portfolios) would depress (increase) fair value. Default rate changes are often inversely correlated with recovery rate adjustments. The following table summarizes certain information regarding the ranges and weighted averages of inputs (weighted by UPB) used in valuing consumer loans HFI, at fair value classified as Level 3 as of December 31, 2024:Fair ValueDiscount RatePrepayment RateCDRLoss Severity(A)SpringCastle$219,308 9.2% – 10.2% (9.4%)12.9% – 38.4%(14.5%)2.3% – 17.1%(5.1%)74.2% - 100.0%(92.3%)Marcus446,257 7.9% - 17.9%(10.1%)0.0% - 23.1%(17.8%)4.0% - 50.0%(14.