Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 398

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 8
Chunk 398
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ized Cost BasisGross UnrealizedCarrying Value(B)Outstanding Repurchase Agreements(C)GainsLossesNon-Agency securities$8,618,043 $669,059 $98,202 $(45,816)$721,445 $896,129 

(A)The total outstanding face amount includes residual, interest only and servicing strips for which no principal payment is expected.

(B)Carrying value which is equal to the fair value for all securities.

(C)Includes repurchase agreements on Non-Agency securities retained through consolidated securitizations.

98 

The following table summarizes the characteristics of our Non-Agency securities portfolio and of the collateral underlying our Non-Agency securities as of September 30, 2025 (dollars in thousands): 

Collateral Characteristics(A)Outstanding Face AmountAmortized Cost BasisCarrying ValueNumber of SecuritiesWeighted Average Life (Years)Weighted Average Coupon(B)Average Loan Age (Years)Collateral Factor(C)Three Month CPR(D)Delinquency(D)Cumulative Losses to DateTotal / weighted average$8,618,043 $669,059 $721,445 6064.44.1 %12.40.58.5 %3.1 %0.9 %

(A)Excludes $150.5 million carrying value of Non-Agency securities that are backed by assets other than residential mortgages.

(B)Excludes interest only, residual and other bonds with a carrying value of $178.5 million for which no coupon payment is expected.

(C)Represents the ratio of original UPB of loans still outstanding.

(D)Three-month average constant prepayment rate and default rates.

The following table summarizes the net interest spread of our Non-Agency securities portfolio as of September 30, 2025:

Net Interest Spread(A)Weighted average asset yield5.8 %Weighted average funding cost5.9 %Net Interest Spread(0.1)%

(A)The Non-Agency securities portfolio consists of 21.0% floating rate securities and 79.0% fixed-rate securities (accounted for on an amortized cost basis). 

We finance our investments in Non-Agency securities with short-term borrowings under master uncommitted repurchase agreements. These borrowings generally bear interest rates offered by the counterparty for the term of the proposed repurchase transaction (e.g., 30 days, 60 days, etc.) of a specified margin over SOFR