Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 328

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 2
Chunk 328
---
 rate of the voluntary prepayments during the quarter as a percentage of the total principal balance of the pool.

(F)Represents the annualized rate of the involuntary prepayments (defaults) during the quarter as a percentage of the total principal balance of the pool.

(G)Represents the percentage of the total principal balance of the pool that corresponds to loans that are delinquent by 90 or more days.

Government and Government-Backed Securities

Our government and government-backed securities consist of Agency RMBS and U.S. Treasury securities. 

The following table summarizes our Agency RMBS and U.S. Treasury securities portfolio as of March 31, 2025 (dollars in thousands):

Gross UnrealizedAsset TypeOutstanding Face AmountAmortized Cost BasisGainsLossesCarryingValue(A)CountWeighted Average Life (Years)3-Month CPR(B)Outstanding Repurchase AgreementsAgency RMBS$7,895,808 $7,700,438 $61,666 $(10,200)$7,751,904 24 7.95.9 %$7,507,395 Treasury securities3,275,000 3,282,149 14,648 — 3,296,797 4 1.4N/A3,255,034 Total / Weighted Average$11,170,808 $10,982,587 $76,314 $(10,200)$11,048,701 28 6.0$10,762,429 

(A)Agency RMBS are held at fair value under the fair value option (“FVO”) election. Treasury securities include $24.8 million of short-term Treasury bills held-to-maturity at amortized cost with the remaining held at fair value under the FVO.

(B)Represents the annualized rate of the prepayments during the quarter as a percentage of the total amortized cost basis.

The following table summarizes the net interest spread of our government and government-backed securities portfolio for the three months ended March 31, 2025:

Net Interest Spread(A)Weighted average asset yield4.9 %Weighted average funding cost4.7 %Net Interest Spread0.2 %

(A)The government and government-backed securities portfolio consists of 100% fixed-rate securities (accounted for on an amortized cost basis).

We largely invest in government and government-backed securities (U.S. Treasury securities and Agency RMBS) as a