Rithm Capital Corp.

RITM

US64828T2015

Specialized REITs

Real-time Estimate Cboe BZX Other stock markets 02:47:58 2024-04-26 pm EDT			5-day change	1st Jan Change
11.26 ^USD	+1.21%		+4.02%	+5.38%

Apr. 16	Keefe, Bruyette & Woods Adjusts Price Target on Rithm Capital to $12 From $11.50, Maintains Outperform Rating	MT
Mar. 21	B. Riley Lowers Great Ajax's PT to $6 From $8 After Proposed Management Agreement With Rithm Capital, Model Update; Keeps Buy Rating	MT

New Residential Investment : Quarterly Supplement 2Q 2020

July 22, 2020 at 07:40 am EDT

New Residential Investment Corp.

Quarterly Supplement

Second Quarter 2020

Disclaimers

IN GENERAL. This disclaimer applies to this document and the verbal or written comments of any person presenting it. This document, taken together with any such verbal or written comments, is referred to herein as the "Presentation."

FORWARD-LOOKING STATEMENTS. Certain statements regarding New Residential Investment Corp. (together with its subsidiaries, "New Residential," "New Residential," the "Company" or "we") in this Presentation may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, including without limitation, expected or projected cash flows, returns, unpaid principal balances ("UPB"), volumes and valuations, annualized data and numbers including returns on equity ("ROE"), the ability to succeed in various interest rate and economic environments (including "stress case" scenarios), ability to protect, maintain or grow our book value (including for our Origination and Servicing segments), potential mark to market exposure, estimates of the percentages of the Company's portfolio subject to financings with non-daily mark to market exposure or with margin holidays set forth in this Presentation, ability to reduce exposure to mark-to-market financings, ability to grow and transform our mortgage servicing and origination platforms, ability to capitalize on certain partnership opportunities, statements on future interest rates, spreads and market conditions, ability to execute the Company's overall MSR strategy, expectations regarding significant upside in MSR portfolio, ability to help homeowners and borrowers navigate through the current crisis, projections regarding future servicer advance balances and ability to fund such advance balances, expectations for future prepayment speeds, future mortgage origination and recapture rates, projected overall callable balance of call rights, the ability to execute and profit from our call rights, actual unpaid principal balance of loans subject to our call rights, ability to obtain additional liquidity including but not limited to for the purpose of financing servicer advances, the Company's expectations for closing, funding and financing various transactions, ability to obtain longer term financing for our assets, ability to maximize risk-adjusted returns, ability to take advantage of future investment opportunities, expectations regarding interest rates and housing, sustainability of our earnings or dividends, ability to maintain current forbearance levels, the ability to capture ancillary economics and increase ancillary services businesses, ability to capitalize on future opportunities and maximize shareholder value, ability to maintain the Company's long-term strategy, ability to manage risks, potential to be subject to certain claims and legal proceedings, and statements regarding the Company's investment pipeline and investment opportunities. These statements are based on management's current expectations and beliefs and are subject to a number of trends and uncertainties that could cause actual results to differ materially from those described in the forward-looking statements, many of which are beyond our control. New Residential can give no assurance that its expectations will be attained. Accordingly, you should not place undue reliance on any forward-looking statements made in this Presentation. For a discussion of some of the risks and important factors that could affect such forward-looking statements, see the sections entitled "Risk Factors" and "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Company's most recent reports on Form 10-Q and Form 10-K and other filings with the U.S. Securities and Exchange Commission (the "SEC"), which are available on the Company's website (www.newresi.com). In addition, new risks and uncertainties emerge from time to time, and it is not possible for the Company to predict or assess the impact of every factor that may cause its actual results to differ from those contained in any forward-looking statements. Such forward-looking statements speak only as of the date of this Presentation. New Residential expressly disclaims any obligation to release publicly any updates or revisions to any forward-looking statements contained herein to reflect any change in the Company's expectations with regard thereto or change in events, conditions or circumstances on which any statement is based.

CAUTIONARY NOTE REGARDING ESTIMATED / TARGETED RETURNS AND YIELDS. The Company calculates the estimated return/yield, or the IRR, of an investment as the annualized effective compounded rate of return (assuming monthly compounding) earned over the life of the investment after giving effect, in the case of returns, to existing leverage. Life-to-date IRR, including life-to-date IRRs on the overall MSR portfolio, servicer advance investments, Non-Agency securities portfolio, residential loans and consumer loans, is based on the purchase price for an investment and the estimated value of the investment, or "mark," which is calculated based on cash flows actually received and the present value of expected cash flows over the life of the investment, using an estimated discount rate. Targeted returns and targeted yields reflect a variety of estimates and assumptions that could prove to be incorrect, such as an investment's coupon, amortization of premium or discount, costs and fees, and our assumptions regarding prepayments, defaults and loan losses, among other things. Income and cash flows recognized by the Company in future periods may be significantly less than the income and cash flows that would have been recognized had expected returns been realized. As a result, an investment's lifetime return may differ materially from an IRR to date. In addition, the Company's calculation of IRR may differ from a calculation by another market participant, as there is no standard method for calculating IRRs. Statements about estimated and targeted returns and targeted yields in this Presentation are forward-looking statements. You should carefully read the cautionary statement above under the caption "Forward-looking Statements," which directly applies to our discussion of estimated and targeted returns and targeted yields.

PAST PERFORMANCE. Past performance is not a reliable indicator of future results and should not be relied upon for any reason.

NO OFFER; NO RELIANCE. This Presentation is for informational purposes only and does not constitute an offer to sell, or a solicitation of an offer to buy, any security and may not be relied upon in connection with the purchase or sale of any security. Any reference to a potential financing does not constitute, nor should it be construed as, an offer to purchase or sell any security. There can be no assurance if or when the Company or any of its affiliates will offer any security or the terms of any such offering. Any such offer would only be made by means of formal documents, the terms of which would govern in all respects. You should not rely on this Presentation as the basis upon which to make any investment decision.

NON-GAAPMEASURES. This Presentation includes non-GAAP measures, such as Core Earnings. See "Appendix" in this Presentation for information regarding this non-GAAP measure, including a definition, purpose and reconciliation to net income, the most directly comparable GAAP financial measure.

New Residential Investment Corp. Overview

We strategically combine investment management and operating businesses to

generate attractive and sustainable risk-adjusted returns

Origination

Servicing

Investment Management

Leading non-bank	Leading non-bank	Leading provider of capital and
originator	servicer	services to the mortgage and
		financial services industry

	$18.5bn	$5.3bn	$325bn UPB
	Investment Portfolio(1)	Net Equity(3)	FY'20E Servicing
				Volume(4)
$3.1bn	~$3.4bn	$50bn UPB	~$750-$800mm
Dividends Declared to
Market Cap	Shareholders Since	FY'20E Origination	FY'20E Origination and
	Inception(2)	Volume(4)		Servicing Pre-Tax

Income(4)

Detailed endnotes are included in the Appendix.

Q2'20 Company and Financial Highlights

GAAP Net Loss of $8.9 Million, or ($0.02) per Diluted Share(1)
Core Earnings of $140.2 Million, or $0.34 per Diluted Share(1)(2)
- $205.5 Million Pre-Tax Income ("PTI") from Origination and Servicing
Second Quarter Common Stock Dividend of $0.10 per Common Share
- 100% QoQ common stock dividend increase
- 5.4% dividend yield as of June 30, 2020(3)
Cash of $1,013.2 Million as of June 30, 2020
Net Equity of $5,292.3 Million as of June 30, 2020(4)
$10.77 Book Value per Common Share as of June 30, 2020
- Book value per common share +0.6% QoQ from $10.71 as of March 31, 2020
- Total economic return of 1.5% during Q2'20 comprised of +$0.06 increase in book value per common share and $0.10 dividend per common share(5)

Detailed endnotes are included in the Appendix.

New Residential's Road to Recovery in Q2'20

Objectives

Q2'20 Actions

1 Strengthen cash position to capitalize on opportunities amidst ongoing volatility

2	Lower overall leverage and risk profile

3 Continue to build out

great Origination and Servicing company

4	Protect MSR through recapture

5 Create additional liquidity as needed for our advance servicing portfolio

6 Work with borrowers to find homeowner solutions for their COVID-19 hardships

Retained over $1 billionof cash on balance sheet -

more cash than ever before

Reduced daily mark to market exposure

to just 5%of investment portfolio(1)*

Generated record PTI of $205.5mm

in Origination and Servicing, 127% increase QoQ

Grew Direct to Consumer ("DTC") origination

volume by 44% QoQ

Ended Q2'20 with

$2.2 billionof unused advance capacity

Loans in forbearance decreased to

7.8%(2) from a peak of 8.4%

Detailed endnotes are included in the Appendix.
*95% of investment portfolio has no daily mark to market financing. "No daily mark to market financing" refers to financings of MSRs, servicer advances, residential loans, non-agency	4
residential securities and consumer loans that either do not contain a daily mark to market feature or contain a margin "holiday". Excludes financings of agency securities.

More Cash on Balance Sheet Than Ever Before

We believe that we have sufficient dry powder even after taking into account potential stress

scenarios(1)

Cash on Balance Sheet ($mm)

$1,200

$1,013

$1,000
					Dry

$800						$738* Powder
$600	Historical Average Cash			$529

$400	Balance: $368mm(2)	$341	$406	$360
		$330

	$296	$233	$193	$251
$200


$0

*Includes $200mm of cash from acquisition of assets from Ditech.

	Q2'18	Q2'19	Q2'20

Cash on Balance Sheet	$193mm	$406mm	$1,013mm
Total Assets	$22.9bn	$36.8bn	$23.8bn

Cash / Total Assets	0.8%	1.1%	4.3%

Potential Earnings from Deployment(3)

Cash on Balance Sheet		$1,013mm
Dry Powder (Base Case)(1)		$650mm
Dry Powder (Stress Case)(1)		$500mm
Earnings at 15% Yield(4)		$75mm - $98mm

Incremental Annual EPS		$0.18 - $0.23

Incremental Quarterly EPS	A	$0.05 - $0.06

Q2'20 Core EPS(5)		B	$0.34
Q2'20 Pro Forma	A +	B	$0.39 - $0.40
Core EPS

Detailed endnotes are included in the Appendix.

Implied NRZ Book Value

Operating Company growth is creating substantial off-balance sheet value within NRZ(1)

Common Equity per Share

$16.00

$14.00

$12.00

$10.00

$8.00

$6.00

$4.00

$2.00

$0.00

$14 - $15

Operating Co

Off Balance

Sheet Value

Operating Co(3)	$10.77
	Q2'20 reported book
	value

Investment

Portfolio

Cash

Illustrative Operating Company Valuation(1)(2)

	Low	High
FY'20 PTI Estimate ($mm)	$750	$800
P/E Multiple	3.0x	3.0x

Enterprise Value ($bn)	$2.3	$2.4
Book Equity ($bn)	($0.6)	($0.6)

Off-Balance Sheet Value ($bn)	$1.7	$1.8

Off-Balance Sheet Value per share	$4.01	$4.37

$3.1bn of equity in investment portfolio(4)

Assets have absorbed substantial write-downs (MSRs at recent lows)

Over $1.0bn of cash on the balance sheet

Helps protects portfolio from volatility
Positions NRZ for opportunistic deployment

Detailed endnotes are included in the Appendix.

Reduced Risk and Leverage

95% of investment portfolio(1)* has no daily mark to market exposure

compared to 63%* at Q1'20

Key Financing Highlights

Daily Mark to Market Exposure	Access to Incremental Unused	Access to Efficient Financing in
Reduced Significantly*	Advance Financing Facilities	the Securitization Market

95%	$2.2bn
of investment portfolio has	Undrawn Advance
no daily mark to market exposure(1)*	Financing Facilities

Securitizations for

$1.4 billion UPB of collateral priced in Q2'20 and Q3'20(1)

Financing Updates through July 20, 2020(1)*

MSRs

Servicer

Advances

99% of portfolio has no daily mark to market exposure (compared to 64% at 03/31/20)
Completed MSR securitization of $265.5mm with $43.1 billion UPB of collateral
Extended existing financing (non daily mark to market) with largest MSR lender through end of year
Increased servicer advance financing capacity by $1.6 billion
Deployed no additional equity to fund servicer advances in Q2'20

91% of portfolio has no daily mark to market exposure (compared to 22% at 03/31/20)

Residential ▪ Completed 2 securitizations with $609.3mm UPB of collateral (one Non-QM and one reperforming

Loans loan)

Post Q2'20 - priced NPL securitization with $545.6mm UPB of collateral(1)

Non-Agency	▪	84% of portfolio has no daily mark to market exposure (compared to 50% at 03/31/20)
Residential
	▪	The remaining 16% has 46% LTV
Securities

Detailed endnotes are included in the Appendix.
*"No daily mark to market financing" refers to financings of MSRs, servicer advances, residential loans, non-agency residential securities and consumer loans
that either do not contain a daily mark to market feature or contain a margin "holiday". Excludes financings of agency securities.	7

Balanced Portfolio of Investments

Our portfolio is comprised of various revenue streams that operate across interest rate

environments

	Core	Key	Net
	Equity as of		Current Environment
	Businesses	Metric
	06/30/20(1)

		$50bn UPB			▪ Elevated origination volumes
Operating Businesses	Origination	FY'20E	$331mm	▪ Market share growth in all 4 production channels
	Volume(2)		▪ Continued investments in technology to drive efficiencies

		$325bn UPB		▪ Help homeowners achieve permanent solutions for their
				COVID-19 related hardships
	Servicing	FY'20E	$236mm
	▪ GSE and Agency incentives help offset COVID-19 related
		Volume(2)
				servicing expenses

				▪ Recent speeds have been elevated, causing increased
					amortization
	Full and	$610bn	$2.4bn	▪ Newly originated MSRs are less likely to be refinanced
	Excess MSR	UPB	▪ MSR pricing is still near multi-year lows with significant upside
Portfolio
				opportunity

				▪ Improving recapture rates will benefit MSR value
Investment				▪ Deployed no additional equity to fund servicer advances in
Servicer	$3.5bn		▪	Q2'20

	$623mm	▪ COVID-19 related forbearances have been better than
	Advances	UPB
			expectations

					Unused advance capacity of $2.2 billion

	Residential	$9.0bn		▪ Non-Agency spreads still have not returned to pre-COVID levels
	Loans and	$1.9bn		▪ Potential for price improvement
	UPB(3)
	Securities		▪ Agency securities operate as a hedge for MSR exposure

Detailed endnotes are included in the Appendix.

Significant Growth in Mortgage Company Since Acquisition

Mortgage company positioned for continued profitability(1)

$1,000

(2)	$800
($mm)
$600
Income
$400
Pre-Tax
$200

	$0

Pre-Tax Income	Origination Volume UPB		Servicing Portfolio UPB

Origination				$60						$350				$325

Servicing		$750 - $800	(2)			8x		$50		$300		6x

				$50		Increase(1)			(2)		Increase(1)
19x-21x			($bn)UPBOrigination						($bn)UPBServicing	$250			$219
Increase(1)			$40


											$200
					$30
								$22			$150		$109

					$20
		$225								$100

					$10	$6	$7				$50	$52
$38	$58


FY'17	FY'18	FY'19	FY'20E(1)		$0	FY'17	FY'18	FY'19	FY'20E(1)		$0	FY'17	FY'18	FY'19	FY'20E(1)

Drivers of Continued Growth and Earnings Profitability for Origination and Servicing(1)

Origination
- Increased recapture on NRZ portfolio
- Continued scale and market share growth across channels
- Ongoing margin strength

Servicing
- Transfers from NewRez origination
- Third-partyservicing growth
- Continued use and growth of proprietary digital processes to drive efficiencies and customer experience

Detailed endnotes are included in the Appendix.

New Residential is Well Positioned in the Current Market Backdrop(1)

We believe we are well positioned for the way forward

Market Trends		New Residential Position

Low Mortgage Rates,

High Margins and

Elevated Refinancing

Activity

Potential Volatility

Persists

Increased Levels of

Forbearance Requests

Given COVID-19

Related Forbearance

Significant earnings opportunity with mortgage origination volumes at record levels - FY'20 estimated earnings of ~$750 - $800 million(1)
Potential to improve profitability further as recapture efforts improve
Higher mortgage origination gains will offset losses from faster prepays
We have over $1 billionof cash on the balance sheet, more than ever before
Diversified and hedged portfolio
95% of investment portfoliohas no daily mark to market exposure(2)*
Highly reputable special servicer with proven track record of helping homeowners
We have increased our committed servicer advance financing to $5.1 billionand have ~$2.2 billion in excess capacity
Proprietary digital processes to help homeowners and enhance productivity

Detailed endnotes are included in the Appendix.
*"No daily mark to market financing" refers to financings of MSRs, servicer advances, residential loans, non-agency residential securities and consumer loans
that either do not contain a daily mark to market feature or contain a margin "holiday". Excludes financings of agency securities.	10

Operating Company

Origination: Q2'20 Activity and Business Highlights

Continued strength in loan origination and profitability

PRecord profitability;

Q2'20 Origination Pre-

QoQ Pre-Tax Income

Estimate FY'20

203.8%

increase of

Production of

Tax Income of

Q2'20 Annualized

201%

$50 BillionUPB(1)

$181.2 million

ROE(2)

Origination by Channel Over Time

Origination Gain on Sale Margin(3)

$15.0

3.00%

QoQ Decrease

Driven by Reduced

			Volume in April from		$11.4
($bn)			$10.6
$10.0		COVID-19


UPB
												$8.3

Origination											$7.1
							$5.7		$6.9			$3.0



	$5.0
			$3.9	$2.3					$1.3

			$2.2		$1.4			$1.5	$1.7	$1.0
				$1.6
								$0.6

			$0.5		$1.1			$0.6
				$0.7				$3.0
			$0.7		$0.6			$2.1
			$0.3		$1.2		$1.6
				$0.8
	$0.0	$0.6
	Q1'19	Q2'19	Q3'19	Q4'19	Q1'20	Q2'20

		Direct to Consumer			JV / Retail		Wholesale		Correspondent

2.73%

	2.50%
(bps)	2.00%	1.85%

Margin			1.56%
		1.43%
	1.50%		1.29%
GOS			1.17%
1.00%

	0.50%

0.00%

Q1'19 Q2'19 Q3'19 Q4'19 Q1'20 Q2'20

Detailed endnotes are included in the Appendix.

Direct to Consumer Origination

Continued growth and profitability in Direct to Consumer channel

Progress on DTC Objectives in Q2'20

Continued emphasis on retaining existing customers
Quarterly activity driven by lower rates and expanded operational capacity
Room to improve recapture rates as more homeowners are serviced on our servicing platform
Technology investments have resulted in higher lead conversion rates

DTC Funding Growth

UPB	$7.0
44% QoQ Increase	$6.0
$6.0

294% YoY Increase

FundingDTC ($bn)	$3.0		$4.6
	$5.0
	$4.0		$3.0


Quarterly			$2.1
$2.0		$1.6

			$1.2
	$1.0	$0.6	$0.8

	$0.0
	Q1'19	Q2'19 Q3'19 Q4'19 Q1'20 Q2'20 Q3'20	Q4'20

			Est(1)	Est(1)

Detailed endnotes are included in the Appendix.

On-Going Drivers of NewRez DTC Progress

New marketing campaign engine analytics have driven increased response rates for e-mail and direct mail
Recently established strategic relationship with Salesforce will help build enterprise value and drive recapture rates
Continue to focus on self-serve digital mortgage enhancements and customer experience

DTC Gain on Sale Margins

5.00%

4.47%

(bps)	4.00%

Margin	3.00%	2.53%	2.40%	2.31%	2.94%


GOS	2.00%					1.97%

DTC	1.00%

	0.00%
		Q1'19	Q2'19	Q3'19	Q4'19	Q1'20	Q2'20

Servicing: Q2'20 Activity and Business Highlights

Industry-leading servicing, financial and operating performance


P						P	Total Servicing

Q2'20 Servicing Pre-
					Portfolio has
	Tax Income of
						increased 74%
	$24.3 million
							YoY



		Servicing Portfolio Over Time

	$300.0	1% QoQ increase			$275.8	$277.6
		74% YoY increase
	$250.0
								$219.4	$95.2	$102.8


($bn)	$200.0				$184.3
$141.5	$159.2					$80.7


UPB	$150.0		$59.2
		$55.2
	$53.5

	$100.0

										$180.6	$174.8

					$125.1	$138.7
	$50.0			$104.0
	$88.0

	$0.0
	Q1'19	Q2'19	Q3'19		Q4'19	Q1'20	Q2'20

				NewRez / NRZ		3rd Party / SMS


P
	P
Estimate FY'20		43.5%
Servicing Portfolio of		Q2'20 Annualized
$325 BillionUPB(1)
	ROE(2)

Annualized Direct Cost To Service Over Time

	$250					QoQ increase driven by
				COVID-19 related homeowner

to			$205				assistance programs

Loan	$200			$185	$155

Per						$142
$150						$140
					$130
DirectCost	Service
$90	$87					$90
	$100
		$74	$70	$68

Annualized
$0
	$50

			Q1'19	Q2'19		Q3'19	Q4'19	Q1'20	Q2'20
			Current Loans		Current and Delinquent Loans

Detailed endnotes are included in the Appendix.

Servicing: Helping Homeowners During COVID-19(1)

Committed to helping homeowners and clients navigate COVID-19 landscape

Over 185,000 forbearances granted 2020 YTD (more than 60x FY'19 volumes)
As COVID-19 hardship assistance ends, our servicing business will focus on helping homeowners move from forbearance to permanent solutions such as reinstatements, repayment plans, deferments and loan modifications
Our servicing business upgraded its technology platform to allow for easier self-service access to loss mitigation options, including providing online digital deferment and modification approval

	Loss Mitigation Inbound Calls			Loss Mitigation Activity(2)
600,000								34,953
			494,750			Deferments
500,000								2020 YTD		FY 2019
						2,261

400,000												186,674

300,000							Forbearances

			210,966			2,910

200,000
	114,449		110,363
98,264	97,152			Documents					156,700
100,000
						Received					161,906

-

Q1'19	Q2'19	Q3'19	Q4'19 Q1'20 Q2'20
	-	50,000	100,000	150,000	200,000

Our servicing business has maintained high levels of performance and operational execution

in spite of unprecedented volumes

Detailed endnotes are included in the Appendix

Investment Portfolio

MSRs

MSRs are one of the few fixed income assets that increase in value when interest rates rise

MSR Portfolio Activity

MSR portfolio totaled $610bn UPB as of June 30, 2020(1)
Faster realized and projected future prepayment speeds led to Q2'20 mark to market loss
- Since Q1'18, we have marked down our full MSRs by approximately $1bn
Newly originated NewRez MSRs acquired during Q2'20 had an average mortgage rate of 3.45%, representing a historical low
- Current newly originated MSRs are less likely to be refinanced
99% of portfolio has no daily mark to market exposure (compared to 64% at 03/31/20)(2)*

MSR Strategy(3)

MSR pricing is still near multi-year lows with significant upside opportunity
Recapture performance is improving due to increased capacity and more sophisticated marketing
We expect significant upside in our MSR portfolio as rates sell off and recapture performance continues to improve
We are focused on issuing stable, long-term financing with limited mark to market risk
We are working with our subservicers to minimize impact from COVID-19 on delinquencies and advances
We believe ancillary services allow us to extract additional value from our MSR portfolio

			Full MSRs(4)						Excess MSRs(4)

	FHLMC	FNMA		GNMA	Non-Agency	Full MSR		FHLMC	FNMA	GNMA	Non-Agency	Excess MSR	TOTAL	(5)
		Total(4)		Total(4)
UPB ($bn)	117	241	58	78	$494 bn	31	23	19	42	$115 bn		$610 bn

WAC	4.2%	4.3%	3.9%	4.5%	4.3%	4.5%	4.6%	4.7%	4.6%	4.6%		4.3%

WALA (Mth)	51	72	34	174	79 Mth	87	106	108	174	131 Mth		84 Mth

Cur LTV	67%	63%	88%	81%	70%	52%	47%	56%	66%	57%		68%

Cur FICO	754	743	686	644	721	734	719	695	671	699		718

60+ DQ	3.2%	3.9%	7.8%	13.8%	5.8%	3.7%	6.2%	3.6%	13.7%	8.5%		6.0%

Detailed endnotes are included in the Appendix.

*"No daily mark to market" refers to financings that either do not contain a daily mark to market feature or contain a margin "holiday."

MSR Portfolio: Difficult to Replicate and Set Up for Recovery

New Residential's MSR portfolio benefits from differentiated characteristics

NRZ's Prepayment Speeds Slower than Industry(1)

	40
				NRZ prepayment speeds were

	35
			20% slowerthan the industry

	30
					average in June 2020

CPR	25

20
Net
15

	10

	5

	0
	Jan-19	May-19	Sep-19	Jan-20	May-20

					NRZ Full MSR (Avg)	Industry Conventional (Avg)

Recapture Improvement Provides Upside for Portfolio(2)(3)

Change in	+20%	+10%	Base	-10%	-20%
Recapture	Case


Change in
Market	+2.7%	+1.3%	-	-1.3%	-2.7%
Value
Implied
Recapture	23%	21%	19%	17%	15%
Rate

NRZ's Refinanceable Population Smaller than Industry

Lower Average	More Seasoned	More Credit	Smaller Refinanceable
	Loan Size	Loans	Impaired	Population(6)
(4)		79	721
NRZ	$133k
WALA	Industry Leading 33%
	FICO
			MSR Platform
			with Ancillary
			Services
(5)		38	749
Industry	$215k	Focus on

	WALA	FICO	72%
		Additional

Term

Financing

These characteristics resulted in slower

prepayment speeds than the industry in Q2'20

MSRs Set Up for Recovery in Value(3)

MSR values increase as rates rise
MSRs originated today reflect all-time low mortgage rates and are less likely to be refinanced
Room to grow recapture
- A 20% improvement in recapture rate could result in ~3% improvement in market value(2)
MSR values are still near multi-year lows with significant upside

Detailed endnotes are included in the Appendix.

Residential Loans

Repositioned for 2H 2020 and beyond

Residential Loans Activity

Delivered on our goal to dramatically reduce daily mark to market financing risk
- Q1'20: 22% Non daily mark to market*
- Today: 91% Non daily mark to market(1)*
- Target: ~99% Non daily mark to market(2)*
Rebalanced and de-risked portfolio in Q2'20
- Asset balances dropped to $2.0bn from $3.2bn Q1'20(2)
- Successfully securitized remaining $160mm Non-QM loans on our balance sheet
- Priced seasoned performing loan securitization with $449mm UPB of collateral
- Post Q2'20, priced NPL securitization with $546mm UPB of collateral(1)
- Loan performance remains positive despite the broader market DQ trends
- Clean pay performance increased by 10% QoQ in the portfolio
- Current projected portfolio ROE >12%(3)

Residential Loans Portfolio(2)

$6,000

$4,907

$5,000

($mm)	$4,000
			$3,245

Assets	$3,000
			$1,994	$1,994


	$2,000

	$1,000

		$0
						(1)

				Q4'19	Q1'20	Q2'20	7/20/2020

				Residential Loans Financing

		100%
DailyNon	Financing*			91%	91%

80%

Portfolioof% w/	MarkettoMark	60%

40%
			30%

					22%
		20%

		0%
					(1)

				Q4'19	Q1'20	Q2'20	7/20/2020

Detailed endnotes are included in the Appendix.

*"Non daily mark to market" refers to financings that either do not contain a daily mark to market feature or contain a margin "holiday."

Non-Agency Residential Securities

Mortgage credit has lagged the tightening relative to other fixed income assets and has room for

additional upside(1)

Non-Agency Residential Securities Activity

We significantly lowered daily mark to market financing exposure on the remaining portfolio
- 84% of portfolio with non daily mark to market exposure(2)*
- Reduced leverage on remaining 16% of portfolio
- - 46% LTV on remaining short term repurchase agreements as of July 20, 2020 (compared to 58% as of June 30, 2020)(2)
We have retained assets that fit with our overall broader strategy
- 80% serviced by NewRez/Shellpoint
- Sold lower yielding assets in Q2'20
We control call rights to $77bn of collateral, of which 44% is currently callable(3)
Non-Agencyspreads have improved by 200- 300bps from COVID-19 lows and we expect the capital stack to compress further
Current projected portfolio ROE >12%(1)

Non-Agency Residential Securities Portfolio

$9,000

				$7,958
Assets ($mm)	$6,000

$3,000
		$2,161	$1,938	$1,715


		$0
						(2)

				Q4'19	Q1'20	Q2'20	7/20/2020

		Non-Agency Residential Securities Financing

		100%

DailyNon	*					84%
Financing
80%			77%


Portfolioof% w/	MarkettoMark	60%
	50%

40%
		15%
		20%

		0%
					(2)

				Q4'19	Q1'20	Q2'20	7/20/2020

Detailed endnotes are included in the Appendix.

*"Non daily mark to market" refers to financings that either do not contain a daily mark to market feature or contain a margin "holiday."

Servicer Advances

There was no change in advance balances in Q2'20

Advance Balances as of June 30, 2020

Servicer advance balances as of June 30, 2020 were unchanged at ~$3.5bn relative to March 31, 2020
Outstanding advance balances are financed with:(1)
- $2.9 billion of debt ($1.9 billion in capital markets)
- 82% LTV
- Advance financing is non mark to market and non-recourse
Advance balances as of June 30, 2020 are comprised of 11% Fannie / Freddie, 3% Ginnie and 86% PLS
We expect to sign a new GNMA advance financing facility during Q3'20 that will add $100mm of advance liquidity upon closing(2)

Servicer Advance Portfolio Characteristics

	Fannie/Freddie	Ginnie	PLS(3)	Total			Significant Excess Capacity
					~$2.2bn
Servicer	Various	NewRez	Various
UPB ($bn)	$359	$58	$107	$523	Excess Capacity

Adv Balance				$3.53
($bn)	$0.40	$0.11	$3.03			82%	Attractive

Adv / UPB	0.11%	0.18%	2.84%	0.68%
		Financing Terms
				LTV
Debt ($bn)				$2.90
$0.35	N/A	$2.55

Gross LTV	88%	N/A	84%	82%	0%


Capacity ($bn)	$1.41	N/A	$3.72	$5.12	Mark to market		Financing has No Exposure

Maturity	4/21	N/A	8/20-8/23	8/20-8/23	financing
		to Mark to Market

Interest Rate	2.93%	N/A	2.70%	2.73%

Detailed endnotes are included in the Appendix.

Improvement in Servicer Advances Outlook

The outlook for servicer advances has improved considerably


P	Delinquencies through	P	Positive outlook driven by		P
				Deployed no additional equity
June 2020 came in 7% better			reduction in forbearance
		requests and better than			to fund servicer advances in
	than projected as of Q1'20
			expected performance of			Q2'20
	(14% vs 21%)
			borrowers in forbearance

Updated Servicer Advance Projections(1)

In our updated base case scenario (September 2020), we project we would only need an additional $100mm of equity to fund advances through the end of Q3'20
In our updated stress case scenario (December 2020), we project we would only need an additional $230mm of equity to fund advances through the end of 2020


																QoQ Change in Projections
										Projections as of Q1'20
		Projections as of Q2'20

Figures $bn		Servicer			Incremental			Servicer					Servicer

	30d+ DQ	Advances		Equity		Equity		30d+ DQ	Advances		Equity		30d+ DQ	Advances		Equity
Mar-20	8%	$	3.50	$	0.54				8%	$	3.50	$	0.54	0%	$	-	$	-
Jun-20	14%	$	3.50	$	0.54				21%	$	4.07	$	0.66	-7%	$	(0.58)	$	(0.13)
Sep-20	20%	$	3.81	$	0.64	$	0.10			29%	$	5.36	$	0.93	-9%	$	(1.55)	$	(0.29)
Dec-20	25%	$	4.37	$	0.77	$	0.23			35%	$	6.82	$	1.27	-10%	$	(2.46)	$	(0.50)

Note: Shaded periods have been realized.

Detailed endnotes are included in the Appendix.

COVID-19 Related Forbearances Have Continued to Decline

Forbearance requests from borrowers in our MSR portfolio have steadily declined since peaking in

April 2020(1)

COVID-19 Forbearances Granted from March 25, 2020 through July 17, 2020(2)

60,000										300,000

50,000
40,000										250,000


30,000										200,000

20,000						Requests for forbearance have trended
							lower from their peak
10,000								150,000

-									100,000

-10,000
-20,000										50,000


-30,000											-
	March April 6 April 13 April 20 April 27 May 4 May 11 May 18 May 26	June 1 June 8 June 15 June 22 June 29 July 6 July 13	July 17
30
				Weekly Change in Forbearances Granted (Left)	Total Homeowners in Forbearance (Right)

~34%		Number of borrowers granted forbearance have

of borrowers in forbearance are current and made		dropped to 7.8%from a peak of 8.4%
their June payment as of June 29, 2020

Detailed endnotes are included in the Appendix.

1) Financial Statements

Condensed Consolidated Balance Sheets

(dollars in thousands, except per share data)	As of 6/30/2020	As of 3/31/2020
	(Unaudited)		(Unaudited)

ASSETS
Investments in:
Excess mortgage servicing rights assets, at fair value	$	458,923	$	483,541
Mortgage servicing rights, at fair value		3,551,159		3,934,384
Mortgage servicing rights financing receivables, at fair value		1,469,927		1,604,431
Servicer advance investments, at fair value		559,011		515,574
Real estate and other securities		6,144,236		2,479,603
VIE Consumer and residential loans held-for-investment, at fair value		1,516,794		1,605,004
Residential mortgage loans, held-for-sale ($2,824,909 and $3,283,973 at fair		3,519,739		4,548,506
value at June 30, 2020 and March 31, 2020, respectively)

Residential mortgage loans subect to repurchase		1,075,008		197,715
Cash and cash equivalents		1,013,208		360,453
Restricted cash		138,932		147,435
Servicer advances receivable		2,947,678		3,072,863
Trades Receivable		163,477		3,293,976
Other assets		1,194,057		1,949,990
Total Assets	$	23,752,149	$	24,193,475
LIABILITIES
Repurchase agreements	$	9,171,498	$	10,814,130
Notes and bonds payable (includes $258,806 and $272,292 at fair value at June		6,879,462		7,014,579
30, 2020 and March 31, 2020, respectively)

Residential mortgage loan repurchase liability		1,075,008		197,715
Term loan, net of discount and issuance costs		533,383		-
Trades payable		105,930		20,913
Due to affiliates		16,894		17,216
Dividends payable		48,753		28,033
Accrued expenses and other liabilities		532,249		770,425
Total Liabilities	$	18,363,177	$	18,863,011
Preferred Stock, 7.50% Series A		150,026		150,026
Preferred Stock, 7.125% Series B		273,418		273,418
Preferred Stock, 6.375% Series C		389,548		389,548
Noncontrolling interests in equity of consolidated subsidiaries		96,681		66,578
Book Value	$	4,479,299	$	4,450,894
Per Share	$	10.77	$	10.71

Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect
how the Company is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the	25
current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders' equity.

Condensed Consolidated Income Statements

		Three Months Ended
	June 30, 2020	March 31, 2020
(dollars in thousands)		(Unaudited)		(Unaudited)
Revenues
Interest income	$	232,198	$	402,373
Servicing revenue, net of change in fair value of $(441,033) and $(649,375), respectively		(90,459)		(289,115)
Gain on originated mortgage loans, held-for-sale, net		310,022		179,698
		451,761		292,956
Expenses
Interest expense		116,403		216,855
General and administrative expense		217,373		206,363
Management fee to affiliate		22,479		21,721
Loan servicing expense		7,149		7,853
Subservicing expense		73,132		66,981
		436,536		519,773
Other Income (Loss)
Change in fair value of investments		102,776		(566,276)
Gain (loss) on settlement of investments, net		(74,966)		(799,572)
Other income (loss), net		(3,207)		(36,813)
		24,603		(1,402,661)
Impairment
Provision (reversal) for credit losses on securities		(25,134)		44,149
Valuation and credit loss provision (reversal) on loans and real estate owned ("REO")		3,424		100,496
		(21,710)		144,645
Income (Loss) Before Income Taxes	$	61,538	$	(1,774,123)
Income tax expense (benefit)		17,409		(166,868)
Net Income (Loss)		44,129		(1,607,255)
Noncontrolling interests in Income (Loss) of Consolidated Subsidiaries		38,640		(16,162)
Dividends on preferred stock		14,357		11,222
Net Loss Attributable to Common Stockholders	$	(8,868)	$	(1,602,315)

Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect
how the Company is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the	26
current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders' equity.

Net Income by Segment (Q2'20 and Q1'20)

		Servicing and Originations		Residential Securities and Loans
								MSRs &		Residential
								Servicer		Securities &			Residential		Corporate
	Origination		Servicing			Advances		Call Rights			Loans			& Other			Total
Quarter Ended June 30, 2020
Interest income	$	8,963	$	1,115	$	108,386	$	33,663	$	47,284	$	32,787	$	232,198
Servicing revenue, net		(1,998)			96,885			(185,346)			-			-			-		(90,459)
Gain on originated mortgage loans, held-for-sale, net		281,937			343			29,591			-			(1,849)			-		310,022
Total revenue		288,902			98,343			(47,369)			33,663			45,435			32,787		451,761
Operating expenses		108,129			74,018			152,048			18,023			36,749			47,569		436,536
Other income (loss)		390			-			(90,665)			47,837			36,676			30,365		24,603
Impairment		-			-			(91)			(25,134)			3,515			-		(21,710)
Income (loss) before taxes		181,163			24,325			(289,991)			88,611			41,847			15,583		61,538
Income tax expense (benefit)		20,083			1,224			(6,832)			-			2,918			16		17,409
Net income (loss)	$	161,080	$	23,101	$	(283,159)	$	88,611	$	38,929	$	15,567	$	44,129
Noncontrolling interests in income (loss) of consolidated subsidiaries
	4,419			-			8,591			-			-			25,630		38,640

Dividends on Preferred Stock		-			-			-			-			-			14,357		14,357

Net income (loss) attributable to common stockholders	$	156,661		$	23,101		$	(291,750)		$	88,611		$	38,929		$	(24,420)	$	(8,868)

		Servicing and Originations		Residential Securities and Loans
								MSRs &		Residential
								Servicer		Securities &			Residential		Corporate
	Origination		Servicing			Advances		Call Rights			Loans			& Other			Total
Quarter Ended March 31, 2020
Interest income	$	16,735	$	7,487	$	99,353	$	184,005	$	59,921	$	34,872	$	402,373
Servicing revenue, net		(1,078)			86,742			(374,779)			-			-			-		(289,115)
Gain on originated mortgage loans, held-for-sale, net		158,215			259			12,713			-			8,511			-		179,698
Total revenue		173,872			94,488			(262,713)			184,005			68,432			34,872		292,956
Operating expenses		113,639			64,548			141,663			114,863			47,529			37,531		519,773
Other income (loss)		(16)			499			(156,933)			(966,039)			(192,271)			(87,901)		(1,402,661)
Impairment		-			-			-			44,149			100,496			-		144,645
Income (loss) before taxes		60,217			30,439			(561,309)			(941,046)			(271,864)			(90,560)		(1,774,123)
Income tax expense (benefit)		11,958			6,045			(109,785)			-			(75,201)			115		(166,868)
Net income (loss)	$	48,259	$	24,394	$	(451,524)	$	(941,046)	$	(196,663)	$	(90,675)	$	(1,607,255)
Noncontrolling interests in income (loss) of consolidated subsidiaries
	1,283			-			(11,247)			-			-			(6,198)		(16,162)

Dividends on Preferred Stock		-			-			-			-			-			11,222		11,222

Net income (loss) attributable to common stockholders	$	46,976	$	24,394	$	(440,277)	$	(941,046)	$	(196,663)	$	(95,699)	$	(1,602,315)

Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect
how the Company is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the	27
current period presentation. Such reclassifications had no impact on net income, total assets, total liabilities, or stockholders' equity.

2) GAAP Reconciliation & Endnotes

Unaudited GAAP Reconciliation of Core Earnings

Management uses Core Earnings, which is a Non-GAAP measure, as one measure of operating performance.
Please see next slide for the definition of Core Earnings.

($000s, except per share data)		Q2 2020		Q1 2020
Reconciliation of Core Earnings
Net loss attributable to common stockholders	$	(8,868)	$	(1,602,315)
Adjustments for Non-Core Earnings:
Impairment		(21,710)		144,645
Change in fair value of investments		(27,516)		955,532
(Gain) loss on settlement of investments, net		81,382		811,471
Other (income) loss		47,366		43,584
Other Income and Impairment attributable to non-controlling interests		19,332		(22,279)
Non-capitalizedtransaction-related expenses		14,195		16,902
Preferred stock management fee to affiliate		3,048		2,295
Deferred taxes		25,277		(166,917)
Interest income on residential mortgage loans, held-for-sale		8,424		12,143
Adjust consumer loans to level yield		(995)		(515)
Core earnings of equity method investees:
Excess mortgage servicing rights		265		3,825
Core Earnings	$	140,200	$	198,371
Net Loss Per Diluted Share	$	(0.02)	$	(3.86)
Core Earnings Per Diluted Share	$	0.34	$	0.48
Weighted Average Number of Shares of Common Stock Outstanding, Diluted		415,661,782		415,589,155

Beginning in the second quarter of 2020, the Company changed its presentation of certain balance sheet and income statement line items to better reflect how the Company
is viewed and managed. As a result, the presentation of certain prior period amounts have been reclassified to be consistent with the current period presentation. Such	29
reclassifications had no impact on net income, total assets, total liabilities, or stockholders' equity.

Reconciliation of Non-GAAP Measures

Core Earnings

New Residential has five primary variables that impact its operating performance: (i) the current yield earned on the Company's investments, (ii) the interest expense under the debt incurred to finance the Company's investments, (iii) the Company's operating expenses and taxes, (iv) the Company's realized and unrealized gains or losses, on the Company's investments, including any impairment, or reserve for expected credit losses and (v) income from its origination and servicing businesses. "Core earnings" is a non-GAAP measure of the Company's operating performance, excluding the fourth variable above and adjusts the earnings from the consumer loan investment to a level yield basis. Core earnings is used by management to evaluate the Company's performance without taking into account: (i) realized and unrealized gains and losses, which although they represent a part of the Company's recurring operations, are subject to significant variability and are generally limited to a potential indicator of future economic performance; (ii) incentive compensation paid to the
Company's manager; (iii) non-capitalizedtransaction-related expenses; and (iv) deferred taxes, which are not representative of current operations.
The Company's definition of core earnings includes accretion on held-for-sale loans as if they continued to be held-for-investment. Although the Company intends to sell such loans, there is no guarantee that such loans will be sold or that they will be sold within any expected timeframe. During the period prior to sale, the Company continues to receive cash flows from such loans and believes that it is appropriate to record a yield thereon. In addition, the Company's definition of core earnings excludes all deferred taxes, rather than just deferred taxes related to unrealized gains or losses, because the Company believes deferred taxes are not representative of current operations. The Company's definition of core earnings also limits accreted interest income on RMBS where the Company receives par upon the exercise of associated call rights based on the estimated value of the underlying collateral, net of related costs including advances. The Company created this limit in order to be able to accrete to the lower of par or the net value of the underlying collateral, in instances where the net value of the underlying collateral is lower than par. The Company believes this amount represents the amount of accretion the Company would have expected to earn on such bonds had the call rights not been exercised.
Beginning January 1, 2020, the Company's investments in consumer loans are accounted for under the fair value option. Core Earnings adjusts earnings on the consumer loans to a level yield to present income recognition across the consumer loan portfolio in the manner in which it is economically earned, avoid potential delays in loss recognition, and align it with the Company's overall portfolio of mortgage-related assets which generally record income on a level yield basis. With respect to consumer loans classified as held-for-sale, the level yield is computed through the expected sale date. With respect to the gains recorded under GAAP in 2014 and 2016 as a result of a refinancing of the debt related to the Company's investments in consumer loans, and the consolidation of entities that own the Company's investments in consumer loans, respectively, the Company continues to record a level yield on those assets based on their original purchase price.
While incentive compensation paid to the Company's manager may be a material operating expense, the Company excludes it from core earnings because (i) from time to time, a component of the computation of this expense will relate to items (such as gains or losses) that are excluded from core earnings, and (ii) it is impractical to determine the portion of the expense related to core earnings and non-core earnings, and the type of earnings (loss) that created an excess (deficit) above or below, as applicable, the incentive compensation threshold. To illustrate why it is impractical to determine the portion of incentive compensation expense that should be allocated to core earnings, the Company notes that, as an example, in a given period, it may have core earnings in excess of the incentive compensation threshold but incur losses (which are excluded from core earnings) that reduce total earnings below the incentive compensation threshold. In such case, the Company would either need to (a) allocate zero incentive compensation expense to core earnings, even though core earnings exceeded the incentive compensation threshold, or (b) assign a "pro forma" amount of incentive compensation expense to core earnings, even though no incentive compensation was actually incurred. The Company believes that neither of these allocation methodologies achieves a logical result. Accordingly, the exclusion of incentive compensation facilitates comparability between periods and avoids the distortion to the Company's non-GAAP operating measure that would result from the inclusion of incentive compensation that relates to non-core earnings.
With regard to non-capitalizedtransaction-related expenses, management does not view these costs as part of the Company's core operations, as they are considered by management to be similar to realized losses incurred at acquisition. Non-capitalizedtransaction-related expenses are generally legal and valuation service costs, as well as other professional service fees, incurred when the Company acquires certain investments, as well as costs associated with the acquisition and integration of acquired businesses.
Since the third quarter of 2018, as a result of its acquisition of Shellpoint Partners LLC ("Shellpoint"), the Company, through its wholly owned subsidiary, NewRez (formerly New Penn Financial), originates conventional, government-insured and nonconforming residential mortgage loans for sale and securitization. In connection with the transfer of loans to the GSEs or mortgage investors, the Company reports realized gains or losses on the sale of originated residential mortgage loans and retention of mortgage servicing rights, which the Company believes is an indicator of performance for the Servicing and Origination segments and therefore included in core earnings. Realized gains or losses on the sale of originated residential mortgage loans had no impact on core earnings in any prior period, but may impact core earnings in future periods.
Beginning with the third quarter of 2019, as a result of the continued evaluation of how Shellpoint operates its business and its impact on the Company's operating performance, core earnings includes Shellpoint's GAAP net income with the exception of the unrealized gains or losses due to changes in valuation inputs and assumptions on MSRs owned by NewRez, and non-capitalizedtransaction-related expenses. This change was not material to core earnings for the quarter ended September 30, 2019.
Management believes that the adjustments to compute "core earnings" specified above allow investors and analysts to readily identify and track the operating performance of the assets that form the core of the Company's activity, assist in comparing the core operating results between periods, and enable investors to evaluate the Company's current core performance using the same measure that management uses to operate the business. Management also utilizes core earnings as a measure in its decision-making process relating to improvements to the underlying fundamental operations of the Company's investments, as well as the allocation of resources between those investments, and management also relies on core earnings as an indicator of the results of such decisions. Core earnings excludes certain recurring items, such as gains and losses (including impairment and reserves, as well as derivative activities) and non-capitalizedtransaction-related expenses, because they are not considered by management to be part of the Company's core operations for the reasons described herein. As such, core earnings is not intended to reflect all of the Company's activity and should be considered as only one of the factors used by management in assessing the Company's performance, along with GAAP net income which is inclusive of all of the Company's activities.
The primary differences between core earnings and the measure the Company uses to calculate incentive compensation relate to (i) realized gains and losses (including impairments and reserves for expected credit losses), (ii) non-capitalizedtransaction-related expenses and (iii) deferred taxes (other than those related to unrealized gains and losses). Each are excluded from core earnings and included in the Company's incentive compensation measure (either immediately or through amortization). In addition, the Company's incentive compensation measure does not include accretion on held-for-sale loans and the timing of recognition of income from consumer loans is different. Unlike core earnings, the Company's incentive compensation measure is intended to reflect all realized results of operations. The Gain on Remeasurement of Consumer Loans Investment was treated as an unrealized gain for the purposes of calculating incentive compensation and was therefore excluded from such calculation.
Core earnings does not represent and should not be considered as a substitute for, or superior to, net income or as a substitute for, or superior to, cash flows from operating activities, each as determined in accordance with U.S. GAAP, and the Company's calculation of this measure may not be comparable to similarly entitled measures reported by other companies. Set forth below is a reconciliation of core earnings to the most directly comparable GAAP financial measure (in thousands):

Endnotes to Slide 2

Endnotes to Slide 2:

Source: Company filings and data, and Bloomberg. Financial and market data as of June 30, 2020 unless otherwise noted.

"Investment portfolio" refers to total assets less cash, restricted cash, other assets, trades receivable, goodwill and mortgage loans originated.
"Inception" date refers to May 2, 2013. Dividends declared represents both common and preferred dividends. Inclusive of common and preferred dividends declared to shareholders on June 22, 2020.
Net Equity:

Origination: Net Investment of $331 million includes $2,156 million of total assets, net of debt and other liabilities of $1,810 million and non-controlling interests in the portfolio of $15 million.

Servicing: Net Investment of $236 million includes $298 million of total assets, net of debt and other liabilities of $62 million.

Full and Excess MSR: Excess MSRs - Net Investment of $176 million includes (A) $459 million investment in June 30, 2020. Legacy NRZ Excess MSRs, and (B) $12 million of cash and cash equivalents, restricted cash and other assets, net of debt and other liabilities of $295 million (debt issued on the NRZ Agency Excess MSR portfolio). MSRs - Net Investment of $2,228 million includes $5,629 million of total assets, net of debt and other liabilities of $3,401 million.

Servicer Advances:Net Investment of $623 million includes (A) $120 million net investment in AP LLC Advances, with $596 million of total assets, net of debt and other liabilities of $436 million and non-controlling interests in the portfolio of $40 million, (B) $8 million net investment in SLS Advances, with $16 million of total assets, net of debt and other liabilities of $8 million, and (C) $495 million net investment in Servicer Advances Receivable, with $2,948 million of total assets, net of debt and other liabilities of $2,453 million.

Residential Securities & Call Rights: Net Investment of $1,050 million includes (A) $863 million net investment in Non-AgencyRMBS, with $2,270 million of assets, net of debt and other liabilities of $1,407 million, (B) $187 million in Agency RMBS, with $4,214 million of assets, net of debt and other liabilities of $4,027 million (including $106 million of Open Trades Payable) and (C) $0.3 million net investment in Call Rights.

Residential Loans:Net Investment of $855 million includes (A) $835 million net investment in Residential Loans & REO, with $3,939 million of total assets, net of debt and other liabilities of $3,104 million, (B) $19 million net investment in EBOs, with $44 million of total assets, net of debt and other liabilities of $25 million and (C) $1 million net investment in Reverse Loans, with $7 million of total assets, net of debt and other liabilities of $6 million.

Other:Net Investment of ($207) million includes (A) $98 million net investment in Consumer Loanswith $866 million of total assets, net of debt and other liabilities of $727 million and non-controlling interests in the portfolio of $41 million, and (B) ($305) million net investment in Corporatewith $297 million of total assets, net of debt and other liabilities of $602 million.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.

Endnotes to Slide 3

Endnotes to Slide 3:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Per common share calculations of GAAP Net Income (Loss) and Core Earnings are based on 415,661,782 weighted average diluted common shares during the quarter ended June 30, 2020.
Core earnings is a non-GAAP measure. See Reconciliation pages in the Appendix for a reconciliation to the most comparable GAAP measure.
Dividend yield based on NRZ common stock closing price of $7.43 on June 30, 2020 and annualized dividend based on a $0.10 per common share quarterly dividend.
Net Equity:

Origination: Net Investment of $331 million includes $2,156 million of total assets, net of debt and other liabilities of $1,810 million and non-controlling interests in the portfolio of $15 million.

Servicing: Net Investment of $236 million includes $298 million of total assets, net of debt and other liabilities of $62 million.

Q2'20 Total Economic Return represents NRZ book value change from March 31, 2020 through June 30, 2020, plus common dividends declared during that time ($0.10), divided by NRZ book value as of March 31, 2020.

Endnotes to Slides 4 to 7

Endnotes to Slide 4:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Reflects Company data as of July 20, 2020.
Reflects portfolio as of July 17, 2020 and reflects borrowers with respect to which New Residential owns the full MSR.

Endnotes to Slide 5:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

"Dry powder" represents cash available for investments and is calculated as cash on balance as of June 30, 2020 less historical average cash position. The difference between base and stress case scenarios is driven by projected servicer advance liquidity needs. More information can be found on page 22. Projections are based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Average excludes Q2'20.
Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Illustrative levered returns on future equity deployments. Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Core earnings is a non-GAAP measure. See Reconciliation pages in the Appendix for a reconciliation to the most comparable GAAP measure.

Endnotes to Slide 6:

Note: All per share values on this slide are based on 415,661,782 basic common shares outstanding as of June 30, 2020. References to Operating Company for the purposes of calculating

"Implied Book Value" includes Origination Segment and Servicing Segment, Guardian Asset Management and Covius Holdings.

Valuation analysis and 2020 Operating Company earnings range are based on management's current views and estimates, and actual results and value realized from our operating company may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward-looking statements.
Illustrative analysis adds (i) the difference between our operating company enterprise value and the GAAP Book Value in those operating company segments to (ii) NRZ's Book Value as of June 30, 2020. Operating company enterprise value is calculated by applying a 3.0x earnings multiple to a $750 million to $800 million full year 2020 earnings estimate. 3.0x earnings multiple based on trading levels relative to (i) tangible book value excluding deferred tax assets and (ii) current earnings excluding income earned on owned MSRs of certain publicly traded peers (COOP, PFSI). Book Value in the operating company segments does not contain corporate level debt or cash in excess of operating company needs.
Equity in Operating Company excluding cash.
Equity in Investment Portfolio is net of Preferred Equity and 2020 Senior Secured Term Loan. On May 19, 2020, the Company, as borrower, entered into a three-year senior secured term loan facility agreement in the principal amount of $600.0 million.

Endnotes to Slide 7:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Represents activity after June 30, 2020 and through July 20, 2020.

Endnotes to Slides 8 to 10

Endnotes to Slide 8:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

(1) Net Equity:

Origination: Net Investment of $331 million includes $2,156 million of total assets, net of debt and other liabilities of $1,810 million and non-controlling interests in the portfolio of $15 million.

Servicing: Net Investment of $236 million includes $298 million of total assets, net of debt and other liabilities of $62 million.

Full and Excess MSR: Excess MSRs - Net Investment of $176 million includes (A) $459 million investment in June 30, 2020. Legacy NRZ Excess MSRs, and (B) $12 million of cash and cash equivalents, restricted cash and other assets, net of debt and other liabilities of $295 million (debt issued on the NRZ Agency Excess MSR portfolio). Full MSRs - Net Investment of $2,228 million includes $5,629 million of total assets, net of debt and other liabilities of $3,401 million.

Based on management's current views and estimates, and actual results may vary materially. Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Represents only principal and interest-paying securities; excludes consumer loans.

Endnotes to Slide 9:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
2017 and 2018 figures prior to the July 2018 closing of the acquisition of Shellpoint Partners LLC are unaudited.

Endnotes to Slide 10:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Represents activity after June 30, 2020 and through July 20, 2020.

Endnotes to Slides 12 to 18

Footnotes to Slide 12:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Annualized ROE calculated as quarter over quarter average equity divided by Q2'20 annualized origination PTI and includes impact from ancillary origination businesses.
Origination GOS Margin excludes impact from ancillary origination businesses.

Footnotes to Slide 13:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.

Footnotes to Slide 14:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Annualized ROE calculated as quarter over quarter average equity divided by Q2'20 annualized servicing PTI and includes impact from ancillary servicing businesses.

Footnotes to Slide 15:

Source: Company data. Company data as of June 30, 2020 unless otherwise noted.

Reflects servicing activity for NewRez / Shellpoint. 2020 YTD activity reflects activity through June 30, 2020.
2020 YTD activity reflects activity through June 30, 2020.

Endnotes to Slide 17:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

MSR UPB includes Excess MSRs and Full MSRs.
Reflects Company data as of July 20, 2020.
Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
See "Abbreviations" in Appendix for more information.
"Total" columns reflect weighted average calculations accounting for partial Excess MSR ownership.

Endnotes to Slide 18:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Source: Fannie Mae and Freddie Mac data as of July 30, 2020. Industry Conventional reflects average Industry 30-Year Conventional speeds.
Assumes +/- 10% and+/- 20% parallel shifts in recapture rates over base case projections with all other assumptions held constant.
Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Includes NRZ Full MSR portfolio population.
FNMA/FHLMC/GNMA agency data via eMBS provider and PLS data via CoreLogic provider as of June 30, 2020.
"Smaller Refinanceable Population" includes population of NRZ owned MSRs that are >=$100 of savings per month ITM. Analysis is based on loan level detail across NRZ's owned
MSR portfolio.

Endnotes to Slides 19 to 23

Endnotes to Slide 19:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Represents activity after June 30, 2020 and through July 20, 2020.
Loan asset value excludes GNMA repurchase right, REO and MDST consolidated bonds (fair value).
Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.

Endnotes to Slide 20:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Represents activity after June 30, 2020 and through July 20, 2020.
Call rights UPB estimated as of June 30, 2020. The UPB of the loans relating to our call rights may be materially lower than the estimates in this Presentation, and there can be no assurance that we will be able to execute on this pipeline of callable deals in the near term, on the timeline presented above, or at all, or that callable deals will be economically favorable. The economic returns from this strategy could be adversely affected by a rise in interest rates and are contingent on the level of delinquencies and outstanding advances in each transaction, fair market value of the related collateral and other economic factors and market conditions. We may become subject to claims and legal proceedings, including purported class-actions, in the ordinary course of our business, challenging our right to exercise these call rights and, as a result, we may not be able to exercise such rights on favorable terms at all. Call rights are usually exercisable when current loan balances in a related portfolio are equal to, or lower than, 10% of their original balance.

Endnotes to Slide 21:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Represents par value of advances and related debt obligations inclusive of a non-controlling interest ownership of ~27% in the Advance Purchaser portfolio.
Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
PLS includes Advance Purchaser, HLSS, SLS and NewRez LLC. In the case of Advance Purchaser and SLS, New Residential is not the named servicer but is responsible for advances.

Endnotes to Slide 22:

Source: Company filings and data. Financial data as of June 30, 2020 unless otherwise noted.

Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.

Endnotes to Slide 23:

Source: Portfolio data through July 17, 2020.

There can be no assurances that these trends continue in the future. Based on management's current views and estimates, and actual results may vary materially. See "Disclaimers" at the beginning of this Presentation for more information on forward looking statements.
Reflects borrowers with respect to which New Residential owns the full MSR.

Abbreviations

Abbreviations: This Presentation may include abbreviations, which have the following meanings:

60+ DQ - Percentage of loans that are delinquent by 60 days or more
Age (mths) or Loan Age (mths) - Weighted average number of months loans are outstanding
BPO - Broker's Price Opinion
BV - Book Value
CDR - Conditional Default Rate
CLTV - Ratio of current loan balance to estimated current asset value
CPR - Constant Prepayment Rate
CRR - Constant Repayment Rate
CTS - Cost to Service
Cur - Current
Current UPB - UPB as of the end of the current month
DPD - Days past due
DQ - Delinquency
DTC - Direct to Consumer
DTI - Debt to Income
EBO -Residential Mortgage Loans acquired through the GNMA early buy-out program
Excess MSRs - Monthly interest payments generated by the related Mortgage Servicing Rights (MSRs), net of a basic fee required to be paid to the servicer
FHLMC - Freddie Mac / Federal Home Loan Mortgage Corporation
FICO - A borrower's credit metric generated by the credit scoring model created by the Fair Isaac Corporation
Flow Arrangements - Contractual recurring agreements, often monthly or quarterly, to purchase servicing of newly originated or highly delinquent loans
FNMA - Fannie Mae / Federal National Mortgage Association
GNMA - Ginnie Mae / Government National Mortgage Association
GWAC - Gross Weighted Average Coupon
GOS - Gain on Sale
HPA - Home Price Appreciation
IRR - Internal Rate of Return
LHS - Left Hand Side
LTD - Life to Date
LTD Cash Flows - Actual cash flow collected from the investment as of the end of the current month
LTV - Loan to Value
Non-QM- Non-qualified
NPL - Non-Performing Loans
MSR - Mortgage servicing rights

MTM - Mark to market
Original UPB - UPB at Time of Securitization
P&I - Principal and Interest
PLS - Private Label Securitizations
Proj. Future Cash Flows - Future cash flow projected with the Company's original underwriting assumptions
PTI - Pre-Tax Income
QoQ - Quarter-over-quarter
Recapture Rate - Percentage of voluntarily prepaid loans that are refinanced by the servicer
REO - Real Estate Owned
RHS - Right Hand Side
RPL - Reperforming Loan
SI - Short Interest
TSO - Total Shares Outstanding
Uncollected Payments - Percentage of loans that missed their most recent payment
UPB - Unpaid Principal Balance
Updated IRR - Internal rate of return calculated based on the cash flow received to date through the current month and the projected future cash flow based on our original underwriting assumptions
U/W LTD - Underwritten life-to-date
WA - Weighted Average
WAC - Weighted Average Coupon
WAL - Weighted Average Life to Maturity
WALA - Weighted Average Loan Age
YoY - Year-over-year

Attachments

Original document
Permalink

Disclaimer

New Residential Investment Corp. published this content on 22 July 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 July 2020 11:40:09 UTC

Latest news about Rithm Capital Corp.

Keefe, Bruyette & Woods Adjusts Price Target on Rithm Capital to $12 From $11.50, Maintains Outperform Rating	Apr. 16	MT
B. Riley Lowers Great Ajax's PT to $6 From $8 After Proposed Management Agreement With Rithm Capital, Model Update; Keeps Buy Rating	Mar. 21	MT
Rithm Capital Maintains Quarterly Dividend at $0.25 a Share, Payable April 26 to Shareholders of Record April 1	Mar. 20	MT
Rithm Capital Corp. Declares Dividend on Common Stock for the First Quarter 2024, Payable on April 26, 2024	Mar. 20	CI
Rithm Capital Corp Closes its Previously Announced Private Offering of $775 Million Aggregate Principal Amount of 8.000% Senior Unsecured Notes Due 2029	Mar. 19	CI
Rithm Capital Prices $775 Million Senior Unsecured Notes Offering	Mar. 05	MT
Rithm Capital Corp. Announces Pricing of Offering of Senior Unsecured Notes	Mar. 05	CI
Argus Adjusts Price Target on Rithm Capital to $12 From $11, Maintains Buy Rating	Mar. 05	MT
Sector Update: Financial Stocks Rise Late Afternoon	Mar. 04	MT
Sector Update: Financial Stocks Advance Monday Afternoon	Mar. 04	MT
Rithm Capital Plans $775 Million Private Offering of Senior Unsecured Notes due in 2029	Mar. 04	MT
Rithm Capital Corp. Announces Proposed Offering of Senior Unsecured Notes	Mar. 04	CI
Rithm Capital Corp. Announces Commencement of Tender Offer for 6.250% Senior Unsecured Notes Due 2025	Mar. 04	CI
Rithm Capital, Great Ajax Sign Strategic Transaction	Feb. 27	MT
Rithm Capital, Great Ajax Enter a Strategic Transaction	Feb. 26	DJ
Great Ajax Corp. announced that it expects to receive $13.999998 million in funding from Rithm Capital Corp.	Feb. 25	CI
B. Riley Lifts Rithm Capital's Price Target to $13 From $12, Keeps Buy Rating	Feb. 21	MT
Delaware's business court to lose long-serving judge	Feb. 15	RE
Handful of Sculptor executives including Ayoub to leave hedge fund -memo	Feb. 13	RE
Rithm Capital's Shares Fall in Early Trading After Reporting 2023 Drop in Net Income per Diluted Share, Revenue	Feb. 07	MT
Transcript : Rithm Capital Corp., Q4 2023 Earnings Call, Feb 07, 2024	Feb. 07
Earnings Flash (RITM) RITHM CAPITAL Posts Q4 Revenue $709.5M, vs. Street Est of $878.1M	Feb. 07	MT
Earnings Flash (RITM) RITHM CAPITAL Reports Q4 EPS $0.51, vs. Street Est of $0.38	Feb. 07	MT
Rithm Capital Corp. announces an Equity Buyback for $200 million worth of its shares.	Feb. 07	CI
Rithm Capital Corp. Reports Earnings Results for the Full Year Ended December 31, 2023	Feb. 07	CI

Chart Rithm Capital Corp.

Duration

Period

More charts

Company Profile

Rithm Capital Corp. is a global asset manager focused on real estate, credit and financial services. The Companyâs investments in real estate related assets include its equity interest in operating companies, including origination and servicing platforms held through wholly owned subsidiaries, Newrez LLC (Newrez) and Genesis Capital LLC (Genesis), as well as investments in single-family rental (SFR), title, appraisal and property preservation and maintenance businesses. Its segments include Origination and Servicing, Investment Portfolio, Mortgage Loans Receivable, Asset Management and Corporate. The Investment Portfolio consists of mortgage servicing rights (MSR) related investments, real estate securities, properties and residential mortgage loans, consumer loans and certain ancillary investments and equity method investments. It operates its asset management business primarily through its wholly owned subsidiary, Sculptor Capital Management, Inc. (Sculptor).

Sector

Specialized REITs

Calendar

2024-04-30 - Q1 2024 Earnings Release

More about the company

Income Statement Evolution

More financial data

Ratings for Rithm Capital Corp.

Trading Rating

Investor Rating

ESG Refinitiv

More Ratings

Analysts' Consensus

Sell

Buy

Mean consensus

BUY

Number of Analysts

Last Close Price

11.12 USD

Average target price

12.3 USD

Spread / Average Target

+10.61%

Consensus

EPS Revisions

Estimates Revisions

Quarterly earnings - Rate of surprise

Company calendar

Sector Mortgage REITs

	1st Jan change	Capi.
RITHM CAPITAL CORP.	+5.38%	5.38B
ANNALY CAPITAL MANAGEMENT, INC.	-1.70%	9.35B
AGNC INVESTMENT CORP.	-4.54%	6.66B
STARWOOD PROPERTY TRUST, INC.	-7.28%	6B
BLACKSTONE MORTGAGE TRUST, INC.	-15.63%	3.11B
ARBOR REALTY TRUST, INC.	-15.18%	2.38B
APOLLO COMMERCIAL REAL ESTATE FINANCE, INC.	-8.09%	1.52B
READY CAPITAL CORPORATION	-13.27%	1.5B
LADDER CAPITAL CORP	-4.30%	1.38B
TWO HARBORS INVESTMENT CORP.	-9.94%	1.28B

Mortgage REITs

Rithm Capital Corp.

Equities

RITM

US64828T2015

Specialized REITs

New Residential Investment : Quarterly Supplement 2Q 2020

EPS Revisions