Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 164

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 164
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m Capital’s estimations of future cash flows include the combined cash flows of all of the components that comprise the servicer advance investments: existing advances, the requirement to purchase future advances, the recovery of advances and the right to the base fee component of the related MSR. The factors that most significantly impact the fair value include (i) the rate at which the servicer advance balance changes over the term of the investment, (ii) the UPB of the underlying loans with respect to which Rithm Capital has the obligation to make advances and owns the base fee component of the related MSR which, in turn, is driven by prepayment rates and (iii) the percentage of delinquent loans with respect to which Rithm Capital owns the base fee component of the related MSR. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included the assumptions used to establish the aforementioned cash flows and discount rates that market participants would use in determining the fair values of servicer advance investments.Significant increases (decreases) in the advance balance-to-UPB ratio, prepayment rate, delinquency rate or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in the delinquency rate assumption is accompanied by a directionally similar change in the assumption used for the advance balance-to-UPB ratio. The following table summarizes certain information regarding the ranges and weighted averages of significant inputs used in valuing the servicer advance investments, including the base fee component of the related MSRs:Significant InputsOutstandingServicer Advancesto UPB of UnderlyingResidential MortgageLoansPrepayment Rate(A)DelinquencyMortgage Servicing Amount(B)DiscountRateCollateral Weighted Average Maturity (Years)(C)September 30, 20252.3% 4.6% 18.3% 19.9 bps6.5%20.6December 31, 20242.1%4.6%19.6%19.9 bps6.5%21.1(A)Projected annual weighted average lifetime voluntary and involuntary prepayment rate using a prepayment vector. (B)Mortgage servicing amount is net of 3.3 bps and 3.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of as of September 30, 2025 and