Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 139

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 139
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 based on the observability of inputs used in the determination of fair values:Level 1 – Quoted prices in active markets for identical instruments.Level 2 – Valuations based principally on other observable market parameters, including:•Quoted prices in active markets for similar instruments,•Quoted prices in less active or inactive markets for identical or similar instruments,•Other observable inputs, such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates (“CDR”) and•Market corroborated inputs (derived principally from or corroborated by observable market data).Level 3 – Valuations based significantly on unobservable inputs.Investments in funds that are measured at fair value using net asset value (“NAV”) per share as a practical expedient are not categorized within the fair value hierarchy.Rithm Capital follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement. 

47 

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

The carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments measured at amortized cost for which fair value is disclosed, as of September 30, 2025 were as follows:Principal Balance or Notional AmountCarrying ValueFair Value(E)Level 1Level 2Level 3NAVTotalAssets:Excess MSRs(A)$49,260,027 $334,668 $— $— $334,668 $— $334,668 MSRs and MSR financing receivables(A)596,093,013 10,389,766 — — 10,389,766 — 10,389,766 Servicer advance investments264,921 302,278 — — 302,278 — 302,278 Government and government-backed securities(B)8,585,928 8,562,825 24,788 8,538,035 — — 8,562,823 Non-Agency securities8,618,043 721,445 — — 721,445 — 721,445 Residential mortgage loans, HFS65,743 58,791 — — 58,