Company: RITM-PC
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001556593-25-000024
Chunk: 173

Company: Rithm Capital Corp.
Filing Date: 2025-08-01
Form: 10-Q
Item: Item 1
Chunk 173
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 includes third-party valuations. 

66

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

The securitized residential mortgage loans and residential transition loans, which are assets of the consolidated CFEs, are included in investments, at fair value and other assets, on the Company’s consolidated balance sheets. The notes issued by the consolidated CFEs are included in notes payable, at fair value and other liabilities on the Company’s consolidated balance sheets. Unrealized gains (losses) from changes in fair value of the notes issued and assets of the consolidated CFEs and related interest are included in realized and unrealized gains (losses), net in the Company’s consolidated statements of operations. The securitized residential mortgage loans and the notes issued by the Company’s CFEs are classified as Level 2.Residential Mortgage Loans SecuritizationsInvestments at Fair ValueNotes Payable at Fair ValueJune 30, 2025$2,637,931 $2,232,484 December 31, 2024$2,791,027 $2,369,934 Rithm Capital classifies securitized residential transition loans as Level 3 in the fair value hierarchy because the notes payable are valued based significantly on unobservable inputs. The valuation methodology is in line with non-Agency securities described above. The following table summarizes the inputs (weighted by fair value) used in valuing the notes payable:Residential Transition Loans SecuritizationsInvestments at Fair ValueNotes Payable at Fair ValueSpread(A)Prepayment Rate(B)CDR(C)Loss Severity(D)June 30, 2025$967,461 $863,038 1.6% – 10.5%(2.3%)8.0%0.8% – 2.0%(1.3%)10.0%December 31, 2024$962,192 $859,023 1.7% – 11.7%(2.2%)8.0%0.8% – 2.0%(1.3%)10.0%(A)Represents the yield in excess of the risk-free rate.(B)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.(C)Represents the annualized rate