Company: RITM-PC
Filing Date: 2025-05-02
Form Type: 10-Q
Source: 0001556593-25-000016
Chunk: 264

Company: Rithm Capital Corp.
Filing Date: 2025-05-02
Form: 10-Q
Item: Item 1
Chunk 264
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. 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 on its equity returns and therefore is impacted by relevant financing assumptions such as LTV ratio and interest rate as well as advance-to-UPB ratio. 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. The prepayment rate, the delinquency rate and the advance-to-UPB ratio projections are in the form of “curves” or “vectors” that vary over the expected life of the underlying mortgages and related servicer advances. Rithm Capital uses assumptions that generate its best estimate of future cash flows for each servicer advance investment, including the base fee component of the related MSR.When