Company: RITM-PC
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001556593-25-000024
Chunk: 303

Company: Rithm Capital Corp.
Filing Date: 2025-08-01
Form: 10-Q
Item: Item 8
Chunk 303
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 loans. The prepayment rate and delinquency rate assumptions differ because of differences in the collateral characteristics, refinance potential and expected borrower behavior for original loans and loans which have been refinanced. The assumptions for recapture and discount rates when valuing MSRs and Excess MSRs and recapture agreements are based on historical recapture experience and market pricing.The following table summarizes the estimated change in fair value of Rithm Capital’s interests in the GSE MSRs, owned as of June 30, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:Fair value at June 30, 2025$6,301,384 Discount rate shift in %-20%-10%10%20%Estimated fair value$6,879,637 $6,578,198 $6,046,560 $5,811,404 Change in Estimated Fair Value:Amount$578,253 $276,814 $(254,824)$(489,980)Percentage9.2 %4.4 %(4.0)%(7.8)%Prepayment rate shift in %-20%-10%10%20%Estimated fair value$6,628,066 $6,458,540 $6,155,068 $6,019,583 Change in Estimated Fair Value:Amount$326,682 $157,156 $(146,316)$(281,801)Percentage5.2 %2.5 %(2.3)%(4.5)%Delinquency rate shift in %-20%-10%10%20%Estimated fair value$6,323,863 $6,312,809 $6,289,619 $6,277,521 Change in Estimated Fair Value:Amount$22,479 $11,425 $(11,765)$(23,863)Percentage0.4 %0.2 %(0.2)%(0.4)%Recapture rate shift in %-20%-10%10%20%Estimated fair value$6,245,057 $6,273,222 $6,329,554 $6,357,719 Change in Estimated Fair Value:Amount$(56,327)$(28,162)$28,170 $56,335 Percentage(0.9)%(0.4)%0.4 %0.9