Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 168

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 168
---
 has reviewed the methodologies utilized by its valuation providers and has found them to be consistent with GAAP requirements. In addition to obtaining multiple quotations, when available, and reviewing the valuation methodologies of its valuation providers, Rithm Capital creates its own internal pricing models for Level 3 securities and uses the outputs of these models as part of its process of evaluating the fair value estimates it receives from its valuation providers. These models incorporate the same types of assumptions as the models used by the valuation providers, but the assumptions are developed independently. These assumptions are regularly refined and updated at least quarterly by Rithm Capital and reviewed by its independent valuation group, which is separate from its investment acquisition and management group, to reflect market developments and actual performance. For 81.9% and 82.1% of non-Agency securities as of September 30, 2025 and December 31, 2024, respectively, the ranges and weighted averages of assumptions used by Rithm Capital’s valuation providers are summarized in the table below. The assumptions used by Rithm Capital’s valuation providers with respect to the remainder of non-Agency securities were not readily available.Fair ValueDiscount RatePrepayment Rate(a)CDR(b)Loss Severity(c)September 30, 2025$591,136 4.5% – 20.6%(6.5%)0.0% – 25.0%(6.3%)0.0% – 1.9%(0.3%)0.0% – 55.0%(11.0%)December 31, 2024$453,978 4.7% – 20.0%(6.9%)0.0% – 20.0%(6.3%)0.0% – 1.9%(0.5%)0.0% – 50.0%(17.0%)(a)Represents the annualized rate of the prepayments as a percentage of the total principal balance of the pool.(b)Represents the annualized rate of the involuntary prepayments (defaults) as a percentage of the total principal balance of the pool.(c)Represents the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding balance of the loans in default.(B)Rithm Capital was unable to obtain quotations from more than one source on these securities.(C)Presented within government and government-backed securities on the consolidated