Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 74

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 8
Chunk 74
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 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. 

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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)

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)March 31, 20252.3% 4.7% 19.2% 19.9 bps6.5%20.9December 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 2.7 bps and 3.8 bps which represent the amounts Rithm Capital paid its servicers as a monthly servicing fee as of as of March 31, 2025 and December 31, 2024, respectively.(C)Weighted average maturity of the underlying residential mortgage loans in the pool. The valuation of the servicer advance investments also takes into account the performance fee paid to the servicer, which in the case of the buyer is based