Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 173

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 173
---
 and fair value of $91.7 million as of September 30, 2025 and UPB of $55.2 million and fair value of $49.3 million as of December 31, 2024, were valued using estimated liquidation cash flows, derived based on the estimated value of the collateral and adjusted for estimated recoveries, costs and time to liquidate the assets.Significant increases (decreases) in default rates, loss severity assumptions or discount rates, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions.The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing RTLs and related financing liability, at fair value classified as Level 3 as of September 30, 2025:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityRTLs$2,483,692 8.2% – 8.7%(8.2%)0.0% – 50.0%(46.3%)0.0% – 1.8%(0.5%)25.0%RTL investments of consolidated entities297,074 8.3%50.0%0.5%25.0%RTL financing liability(A)45,903 8.2%50.0%0.5%25.0%(A)Excludes $41.8 million of financing liability related to a strategic partnership for which the Company elected fair value option. As of September 30, 2025, the amortized cost approximated fair value.The following table summarizes certain information regarding the weighted averages of inputs (weighted by fair value) used in valuing performing RTLs, at fair value classified as Level 3 as of December 31, 2024:Fair ValueDiscount RatePrepayment RateCDRLoss SeverityRTLs$2,128,801 8.3% – 9.9%(8.3%)0.0% – 50.0%(45.8%)0.5% – 1.8%(0.5%)25.0%Derivatives and Hedging ValuationRithm Capital enters into economic hedges including interest rate swaps, caps and TBAs, which are categorized as Level 2 in the valuation hierarchy. Rithm Capital generally values such derivatives using quotations, similarly to the method of valuation used for Rith