Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 76

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 76
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. Rithm Capital projects the weighted average mortgage servicing amount based on its projections for prepayment rates.•SOFR: The performance-based incentive fees on Mr. Cooper-serviced servicer advance investments portfolios are driven by SOFR-based factors. The SOFR curves used are widely used by market participants as reference rates for many financial instruments.•Discount Rate: The discount rates used by Rithm Capital are derived from market data on pricing of MSRs backed by similar collateral and the advances made thereon.

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

Real Estate and Other Securities ValuationReal estate and other securities valuation methodology and results are detailed below. Increased (decreased) prepayment speeds, default rates, or loss severity assumptions would decrease (increase) valuations. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions. Treasury securities are valued using market-based prices published by the U.S. Department of the Treasury and are classified as Level 1.Fair ValueAsset TypeOutstanding Face AmountAmortized Cost BasisMultiple Quotes(A)Single Quote(B)TotalLevelMarch 31, 2025Government-backed securities(C)$7,895,808 $7,708,001 $7,751,904 $— $7,751,904 2 CLOs(D)268,896 260,448 227,934 38,678 266,612 2 & 3Non-Agency and other securities(D)8,913,777 595,327 613,613 25,845 639,458 3 Total$17,078,481 $8,563,776 $8,593,451 $64,523 $8,657,974 December 31, 2024Government-backed securities(C)$6,672,189 $6,510,235 $6,450,643 $— $6,450,643 2 CLOs(D)243,355 234,397 217,049 25,178 242,227 2 & 3Non-Agency and other securities(D)8,962,730 515,262 529,146 23,651 552,797 3 Total$15,878,274