Company: RITM-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001556593-25-000007
Chunk: 337

Company: Rithm Capital Corp.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 337
---
8.25 and $8.37, respectively, per loan per month was used to value the Ginnie Mae MSRs.(F)Weighted average maturity of the underlying residential mortgage loans in the pool.With respect to valuing the PHH-serviced MSRs and MSR financing receivables, which include a significant servicer advances receivable component, the cost of financing servicer advances receivable is assumed to be SOFR plus 95 bps.As of December 31, 2024 and 2023, weighted average discount rates of 8.4% (range of 8.1% – 9.0%) and 8.8% (range of 8.5% – 9.0%), respectively, were used to value Rithm Capital’s Excess MSRs. As of December 31, 2024 and 2023, weighted average discount rates of 8.9% (range of 8.7% – 10.3%) and 8.5% (range of 7.9% – 10.8%) were used to value Rithm Capital’s MSRs, MSR financing receivables and excess spread financing, respectively. 

179

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

All of the assumptions listed have some degree of market observability, based on Rithm Capital’s knowledge of the market, relationships with market participants and use of common market data sources. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each investment in MSRs and related excess spread financing and Excess MSRs.When valuing these assets, Rithm Capital uses the following criteria to determine the significant inputs: •Prepayment Rate: Prepayment rate projections are in the form of a “vector” that varies over the expected life of the pool. The prepayment vector specifies the percentage of the collateral balance that is expected to prepay voluntarily (i.e., pay off) and involuntarily (i.e., default) at each point in the future. The prepayment vector is based on assumptions that reflect macroeconomic conditions like home price appreciation, current level of interest rates as well as loan level factors such as the borrower’s interest rate, FICO score, LTV ratio, debt-to-income ratio and vintage on a loan level basis. Rithm Capital considers historical prepayment experience