Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 65

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 65
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 period was due to factors other than instrument-specific credit risk.(C)See Note 5 for further details on the components of servicing revenue, net.

47

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

Level 3Asset-Backed Securities IssuedNotes Payable of CFEs - Consolidated FundsNotes Payable of CFEs - Residential Transition LoansExcess Spread FinancingNotes Receivable FinancingTotalBalance at December 31, 2023$235,770 $218,157 $318,998 $— $— $772,925 Gains (Losses) Included in Net Income:Other income(A)(411)(34)5,064 — — 4,619 Purchases, Issuance and Repayments:Repayments(13,437)— — — — (13,437)Balance at March 31, 2024$221,922 $218,123 $324,062 $— $— $764,107 (A)Gain (loss) recorded in earnings during the period is attributable to the change in unrealized gain (loss) relating to Level 3 financial liabilities still held at the reporting dates and realized gain (loss) recorded during the period. The full fair value change during the period was due to factors other than instrument-specific credit risk.Excess MSRs, MSRs and MSR Financing Receivables and Excess Spread Financing ValuationFair value estimates of Rithm Capital’s MSRs and related excess spread financing and Excess MSRs were based on internal pricing models. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included expectations of prepayment rates, delinquency rates, recapture rates, mortgage servicing amount or excess mortgage servicing amount of the underlying residential mortgage loans, as applicable, and discount rates that market participants would use in determining the fair values of MSRs on similar pools of residential mortgage loans. In addition, for MSRs, significant inputs included the market-level estimated cost of servicing.Significant increases (decreases) in the discount rates, prepayment or delinquency rates, or costs of servicing, in isolation would result in a significantly lower (higher) fair value measurement, whereas significant increases (decreases) in the recapture rates or mortgage servicing amount or