Company: RITM-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0001556593-25-000033
Chunk: 161

Company: Rithm Capital Corp.
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 1
Chunk 161
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 the estimated change in fair value of Rithm Capital’s interests in GSE MSRs, owned as of September 30, 2025, given several parallel shifts in the discount rate, prepayment rate, delinquency rate and recapture rate:Fair value at September 30, 2025$6,265,449 Discount rate shift in %-20%-10%10%20%Estimated fair value$6,814,715 $6,528,717 $6,021,949 $5,796,791 Change in Estimated Fair Value:Amount$549,266 $263,268 $(243,500)$(468,658)Percentage8.8 %4.2 %(3.9)%(7.5)%Prepayment rate shift in %-20%-10%10%20%Estimated fair value$6,613,354 $6,432,278 $6,110,456 $5,967,773 Change in Estimated Fair Value:Amount$347,905 $166,829 $(154,993)$(297,676)Percentage5.6 %2.7 %(2.5)%(4.8)%Delinquency rate shift in %-20%-10%10%20%Estimated fair value$6,287,271 $6,276,432 $6,253,715 $6,241,872 Change in Estimated Fair Value:Amount$21,822 $10,983 $(11,734)$(23,577)Percentage0.3 %0.2 %(0.2)%(0.4)%Recapture rate shift in %-20%-10%10%20%Estimated fair value$6,205,953 $6,235,597 $6,294,885 $6,324,529 Change in Estimated Fair Value:Amount$(59,496)$(29,852)$29,436 $59,080 Percentage(0.9)%(0.5)%0.5 %0.9 %

58 

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 the estimated change in fair value of Rithm Capital’s interests in non-Agency MSRs, including MSR financing receivables