Management's discussion and analysis of financial condition and results of operations is intended to help the reader understand the results of operations and financial condition of New Residential. The following should be read in conjunction with the unaudited Consolidated Financial Statements and notes thereto, and with "Risk Factors."



Management's discussion and analysis of financial condition and results of
operations is intended to allow readers to view our business from management's
perspective by (i) providing material information relevant to an assessment of
our financial condition and results of operations, including an evaluation of
the amount and certainty of cash flows from operations and from outside sources,
(ii) focusing the discussion on material events and uncertainties known to
management that are reasonably likely to cause reported financial information
not to be indicative of future operating results or future financial condition,
including descriptions and amounts of matters that are reasonably likely, based
on management's assessment, to have a material impact on future operations, and
(iii) discussing the financial statements and other statistical data management
believes will enhance the reader's understanding of our financial condition,
changes in financial condition, cash flows and results of operations.

As permitted by SEC Final Rule Release No. 33-10890, Management's Discussion and
Analysis, Selected Financial Data, and Supplementary Financial Information, this
section discusses our results of operations for the current quarter ended
March 31, 2022 compared to the immediately preceding prior quarter ended
December 31, 2021.

GENERAL



New Residential is a publicly traded REIT primarily focused on opportunistically
investing in, and actively managing, investments related to the residential real
estate market. We seek to generate long-term value for our investors by using
our investment expertise to identify, create and invest primarily in mortgage
related assets, including operating companies, that offer attractive
risk-adjusted returns. Our investment strategy also involves opportunistically
pursuing acquisitions and seeking to establish strategic partnerships that we
believe enable us to maximize the value of the mortgage loans we originate and
service by offering products and services to customers, servicers, and other
parties through the lifecycle of transactions that affect each mortgage loan and
underlying residential property. For more information about our investment
guidelines, see "Item 1. Business - Investment Guidelines" of our annual report
on Form 10-K for the year ended December 31, 2021.

As of March 31, 2022, we had approximately $38 billion in total assets and 11,324 employees employed by our operating entities.

We have elected to be treated as a REIT for U.S. federal income tax purposes. New Residential became a publicly-traded entity on May 15, 2013.

OUR MANAGER

We are externally managed by an affiliate of Fortress Investment Group LLC and benefit from the resources of this highly diversified global investment manager.



On December 27, 2017, SoftBank Group Corp. ("SoftBank") acquired Fortress and
Fortress operates within SoftBank as an independent business headquartered in
New York.

MARKET CONSIDERATIONS

Incoming economic data and indicators regarding the overall financial health and
condition of the U.S. for the first quarter of 2022 were somewhat mixed. On
balance, the annualized U.S. real gross domestic product ("GDP") decreased for
the first quarter of 2022 compared to an increase in the fourth quarter of 2021.
Labor market conditions continued to improve with the total unemployment rate
stepping down to 3.6% at March 31, 2022 from 3.9% at December 31, 2021. The
consumer price inflation-as measured by the 12-month percentage change in the
personal consumption expenditures ("PCE") price index-remained elevated and well
above the Federal Reserve's longer-term goal of 2.0%, largely driven by supply
constraints and bottlenecks exacerbated by the geopolitical risks associated
with the war in Ukraine.

Consumer spending remained robust during the first quarter of 2022, driven by
improved social mobility as authorities in the U.S. continued to ease
restrictions amid a reduction in COVID-19 cases and tempered concerns regarding
the pervasiveness of the Omicron variant.
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Inflation indicators remained high and persistent throughout the first quarter
of 2022, driven by strong aggregate demand for goods and services, significant
increases in energy and commodity prices, and global supply chain disruptions.
As a response, the Federal Reserve continues to signal its intention to move
ahead with reducing policy accommodation. In May 2022, the U.S. central bank's
policy-setting Federal Open Market Committee voted unanimously to increase the
benchmark federal funds rate by 50 basis points. The decision to raise rates by
a half percentage point marked the most aggressive increase made in a single
meeting since May 2000. Over the last two decades, the Federal Reserve has opted
to raise interest rates only in increments of 25 basis points, with the latest
move underscoring the severity that inflation poses at the moment.

Financial markets were volatile during the first quarter of 2022, reflecting
heightened geopolitical risks, uncertainty about the outlook for monetary
policy, and elevated financial market volatility. Equity indexes declined
modestly, while spreads in the bond markets generally increased to pre-pandemic
levels. In particular, nominal treasury yields increased during the quarter,
driven by Federal Reserve communications viewed as implying a more rapid removal
of monetary policy accommodation than previously expected.

Housing demand remained strong, although activity in the residential housing
sector continued to be restrained by shortages of construction materials,
buildable lots, and other inputs. The number of mortgage rate locks for home
purchases through March 2022 was elevated relative to pre-pandemic levels.
Mortgage credit for households with lower credit scores continued to ease during
the first quarter of 2022 but remained tighter than before the pandemic.
Delinquency rates for mortgages, which include loans in forbearance and other
loans behind on payments, continued to trend down. Residential mortgage rates
increased, mostly as a result of widening MBS spreads, which market participants
attributed mainly to the tapering of the Federal Reserve's agency MBS purchases
and uncertainty surrounding the market supply of agency MBS that would accompany
balance sheet runoff by the Federal Reserve. Conventional 30-year rates
increased to 4.2% as of March 31, 2022 compared to 3.1% as of December 31, 2021.
The increase in mortgage rates is expected to normalize origination volumes for
2022. The Mortgage Bankers Association estimates full year 2022 production
volume of $2.6 trillion, down from full year 2021 volume of $4.0 trillion.
Furthermore, 33% of 2022 volume is estimated to be refinance volume compared to
57% in 2021.

The market conditions discussed above influence our investment strategy and results, many of which have been impacted since mid-March 2020 by the ongoing COVID-19 pandemic as well as the recent events such as the war in Ukraine.

The following table summarizes the U.S. gross domestic product estimates annualized rate by quarter:


                                                   Three Months Ended
                      March 31,         December 31,      September 30,      June 30,      March 31,
                       2022(A)              2021              2021             2021          2021
       Real GDP             (1.4) %            6.9  %             2.3  %        6.7  %         6.3  %


(A)Annualized rate based on the advance estimate.

The following table summarizes the U.S. unemployment rate according to the U.S. Department of Labor:


                           March 31,      December 31,      September 30,      June 30,      March 31,
                             2022             2021              2021             2021          2021
     Unemployment rate         3.6  %            3.9  %             4.7  %        5.9  %         6.0  %



The following table summarizes the 10-year Treasury rate and the 30-year fixed
mortgage rates:
                                March 31,      December 31,      September 30,      June 30,      March 31,
                                  2022             2021              2021             2021          2021
 10-year U.S. Treasury rate         2.6  %            1.5  %             

1.5 % 1.5 % 1.7 %


 30-year fixed mortgage rate        4.2  %            3.1  %             

2.9 % 3.0 % 3.1 %





We believe the estimates and assumptions underlying our consolidated financial
statements are reasonable and supportable based on the information available as
of March 31, 2022; however, uncertainty over the ultimate impact COVID-19 as
well as the geopolitical risks associated with the Russian invasion of Ukraine
will have on the global economy generally, and our business in particular, makes
any estimates and assumptions as of March 31, 2022 inherently less certain than
they would be absent the current and potential impacts of COVID-19 and the war
in Ukraine. Actual results may materially differ from those estimates. The
COVID-19 pandemic and the war in Ukraine and their impact on the current
financial, economic and capital
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markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity and ability to pay distributions.

CHANGES TO LIBOR



LIBOR is used extensively in the U.S. and globally as a "benchmark" or
"reference rate" for various commercial and financial contracts, including
corporate and municipal bonds and loans, floating rate mortgages, asset-backed
securities, consumer loans, and interest rate swaps and other derivatives. It
had been expected that a number of private-sector banks currently reporting
information used to set LIBOR would stop doing so after 2021 when their current
reporting commitment ends, which would either cause LIBOR to stop publication
immediately or cause LIBOR's regulator to determine that its quality has
degraded to the degree that it is no longer representative of its underlying
market. On March 5, 2021, Intercontinental Exchange Inc. ("ICE") announced that
ICE Benchmark Administration Limited, the administrator of LIBOR, intends to
stop publication of the majority of USD-LIBOR tenors (overnight, 1-, 3-, 6-, and
12-month) on June 30, 2023. On January 1, 2022, ICE discontinued the publication
of the 1-week and 2-month tenors of USD-LIBOR. In the U.S., the Alternative
Reference Rates Committee ("ARRC") has identified the Secured Overnight
Financing Rate ("SOFR") as its preferred alternative rate for U.S. dollar-based
LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized
by U.S. Treasury securities, and is based on directly observable U.S.
Treasury-backed repurchase transactions. However, some market participants are
still evaluating what convention of SOFR will be adopted for various types of
financial instruments and securitization vehicles. For example, the mortgage and
derivatives markets have adopted the daily compounded and paid in arrears SOFR
convention. In contrast, GSEs, such as Fannie Mae and Freddie Mac, have begun
issuing adjustable rate mortgages and mortgage-backed securities indexed to the
30-, 90-, and 180-day Average SOFR rates published by the Federal Reserve Bank
of New York as well as term SOFR rates in the future.

We have material contracts that are indexed to USD-LIBOR and are monitoring this
activity, evaluating the related risks and our exposure, and adding alternative
language to contracts, where necessary. Certain contracts, such as interest rate
swaps, have an orderly market transition already in process. However, it is not
possible to predict the effect of any of these developments, and any future
initiatives to regulate, reform or change the manner of administration of LIBOR
could result in adverse consequences to the rate of interest payable and
receivable on, market value of and market liquidity for LIBOR-based financial
instruments. We do not currently intend to amend our 7.50% Series A-, 7.125%
Series B-, 6.375% Series C- Fixed-to-Floating Rate Cumulative Redeemable
Preferred Stock to change the existing USD-LIBOR cessation fallback language.

The Financial Accounting Standards Board has issued accounting guidance that
provides optional expedients and exceptions to contracts, hedging relationships
and other transactions impacted by LIBOR transition if certain criteria are met.
The guidance can be applied as of January 1, 2020. In preparation for the
phase-out of LIBOR, we adopted and implemented the SOFR index for our Freddie
Mac and Fannie Mae adjustable-rate mortgages ("ARMs") and Non-QM residential
loans. For debt facilities that do not mature prior to the phase-out of LIBOR,
we adopted the allowable contract modification relief optional expedient and
have implemented amending terms to transition to an alternative benchmark. For
the quarter ended March 31, 2022, new and renewed facilities began adopting the
SOFR index, while other facilities early adopted and transitioned to the SOFR
index.

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OUR PORTFOLIO



Our portfolio, as of March 31, 2022, is composed of servicing and origination,
including our subsidiary operating entities, residential securities and loans
and other investments, as described in more detail below. The assets in our
portfolio are described in more detail below (dollars in thousands).
                                                                                                               Residential Securities, Properties and
                                                             Origination and Servicing                                          Loans
                                                                                                                    Total                                     Properties and
                                                                                    MSR Related                Origination and          Real Estate             Residential                                    Mortgage Loans
                                         Origination           Servicing            Investments                   Servicing              Securities           Mortgage Loans           Consumer Loans            Receivable            Corporate              Total
March 31, 2022
Investments                             $ 4,967,437          $ 6,666,098          $   2,835,711                $  14,469,246          $   9,509,930          $    2,791,926          $       462,055          $   1,670,415          $        -          $ 28,903,572
Cash and cash equivalents                   609,337              278,059                269,187                    1,156,583                301,454                   2,900                   29,702                 39,048             141,490             1,671,177
Restricted cash                              47,166               68,090                 62,224                      177,480                 11,308                   1,591                   23,734                 80,612                 312               295,037
Other assets                                869,977            2,671,819              2,143,253                    5,685,049                713,256                 165,379                   35,702                113,293             200,883             6,913,562
Goodwill                                     11,836               12,540                  5,092                       29,468                      -                       -                        -                 55,731                   -                85,199
Total assets                            $ 6,505,753          $ 9,696,606          $   5,315,467                $  21,517,826          $  10,535,948          $    2,961,796          $       551,193          $   1,959,099          $  342,685          $ 37,868,547
Debt                                    $ 4,795,869          $ 4,621,279          $   3,433,522                $  12,850,670          $   9,485,486          $    2,331,373          $       413,881          $   1,413,739          $  610,047          $ 27,105,196
Other liabilities                           503,738            2,201,283                364,851                    3,069,872                  7,346                 310,112                      973                 26,615             163,721             3,578,639
Total liabilities                         5,299,607            6,822,562              3,798,373                   15,920,542              9,492,832               2,641,485                  414,854              1,440,354             773,768            30,683,835
Total equity                              1,206,146            2,874,044              1,517,094                    5,597,284              1,043,116                 320,311                  136,339                518,745            (431,083)            7,184,712
Noncontrolling interests in
equity of consolidated
subsidiaries                                 13,334                    -                  9,999                       23,333                      -                       -                   38,745                      -                   -                62,078
Total New Residential
stockholders' equity                    $ 1,192,812          $ 2,874,044          $   1,507,095                $   5,573,951          $   1,043,116          $      320,311          $        97,594          $     518,745          $ (431,083)         $  7,122,634
Investments in equity method
investees                               $         -          $         -          $      93,129                $      93,129          $           -          $            -          $             -          $           -          $        -          $     93,129



Operating Investments

Origination

For the three months ended March 31, 2022, loan origination volume was $26.9
billion, down from $38.1 billion in the prior quarter. Gain on sale margin for
the three months ended March 31, 2022 was 1.53%, 12 bps lower than the 1.65% for
the prior quarter, primarily driven by rising interest rates coupled with excess
industry capacity. We expect margins to stabilize throughout 2022, especially in
third-party originated channels, as industry capacity continues to adjust to
demand.

Included in our Origination segment are the financial results of two services
businesses, E Street Appraisal Management LLC ("eStreet") and Avenue 365 Lender
Services, LLC ("Avenue 365"). E Street offers appraisal valuation services, and
Avenue 365 provides title insurance and settlement services to our Mortgage
Company.

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The tables below provide selected operating statistics for our Origination
segment:
                                                                                 Unpaid Principal Balance
                                                                                 Three Months Ended
                                                                                                December 31,
(in millions)                                   March 31, 2022            % of Total                2021               % of Total                                     QoQ Change

Production by Channel


 Direct to Consumer                            $      4,425                         16  %       $   6,680                        18  %                               $   (2,255)
 Retail / Joint Venture                               6,404                         24  %           9,168                        24  %                                   (2,764)
 Wholesale                                            4,646                         17  %           6,628                        17  %                                   (1,982)
 Correspondent                                       11,401                         43  %          15,645                        41  %                                   (4,244)
Total Production by Channel                    $     26,876                        100  %       $  38,121                       100  %                               $  (11,245)

Production by Product


 Agency                                        $     18,086                         67  %       $  26,330                        69  %                               $   (8,244)
 Government                                           7,576                         28  %          10,402                        27  %                                   (2,826)
 Non-QM                                                 549                          2  %             356                         1  %                                      193
 Non-Agency                                             515                          2  %             830                         2  %                                     (315)
 Other                                                  150                          1  %             203                         1  %                                      (53)
Total Production by Product                    $     26,876                        100  %       $  38,121                       100  %                               $  (11,245)

% Purchase                                               54   %                                        51  %
% Refinance                                              46   %                                        49  %


                                                                       Three Months Ended
(dollars in thousands)                                      March 31, 2022          December 31, 2021                      QoQ Change

Gain on originated residential mortgage loans,
held-for-sale, net(A)(B)(C)(D)                             $         407,269       $        540,662                      $   (133,393)

Pull through adjusted lock volume                          $      26,683,082       $        33,509,582                   $ (6,826,500)

Gain on originated residential mortgage loans, as a
percentage of pull through adjusted lock volume, by
channel:
Direct to Consumer                                                   3.14  %                   3.22  %
Retail / Joint Venture                                               2.85  %                   3.42  %
Wholesale                                                            0.90  %                   0.91  %
Correspondent                                                        0.13  %                   0.20  %

Total gain on originated residential mortgage loans, as a percentage of pull through adjusted lock volume

                      1.53  %                   1.65  %


(A)Includes realized gains on loan sales and related new MSR capitalization,
changes in repurchase reserves, changes in fair value of IRLCs, changes in fair
value of loans held for sale and economic hedging gains and losses.
(B)Includes loan origination fees of $252.5 million and $478.0 million for the
three months ended March 31, 2022 and December 31, 2021, respectively.
(C)Excludes $64.7 million and $29.2 million of Gain on Originated Residential
Mortgage Loans, Held-for-Sale, Net for the three months ended March 31, 2022 and
December 31, 2021, respectively, related to the MSR Related Investments,
Servicing, and Residential Mortgage Loans segments, as well as intercompany
eliminations (Note 8 to the Consolidated Financial Statements).
(D)Excludes mortgage servicing rights revenue on recaptured loan volume
delivered back to NRM.

Total Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net decreased by $133.4 million for the three months ended March 31, 2022 compared to the three months ended December 31, 2021, primarily due to lower loan production related to rising interest rates during the quarter.

Servicing



Our servicing business operates through our performing loan servicing division
and a special servicing division, Shellpoint Mortgage Servicing ("SMS"). The
performing loan servicing division services performing Agency and
government-insured loans. SMS services delinquent government-insured, Agency and
Non-Agency loans on behalf of the owners of the underlying
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mortgage loans. As of March 31, 2022, the performing loan servicing division
(the Mortgage Company) serviced $392.6 billion UPB of loans and Shellpoint
Mortgage Servicing serviced $104.3 billion UPB of loans, for a total servicing
portfolio of $496.9 billion UPB, representing a 3% increase from December 31,
2021. In addition, the 30-year conventional mortgage rate was 106 bps higher
during the first quarter of 2022, in turn slowing down prepayments on mortgages
and amortization on MSR assets.

The table below provides the mix of our serviced assets portfolio between subserviced performing servicing on behalf of New Residential or its subsidiaries (labeled as "Performing Servicing") and subserviced non-performing, or special servicing (labeled as "Special Servicing") for third parties and delinquent loans subserviced for other New Residential subsidiaries for the periods presented.

Unpaid Principal Balance


                                                                                                December 31,
(in millions)                                                          March 31, 2022               2021                                QoQ Change
Performing Servicing
MSR Assets                                                          $     387,394               $  376,218                            $    11,176
Residential Whole Loans                                                     4,889                    7,539                                 (2,650)
Third Party                                                                   304                      509                                   (205)
Total Performing Servicing                                                392,587                  384,266                                  8,321

Special Servicing
MSR Assets                                                                 11,336                   13,634                                 (2,298)
Residential Whole Loans                                                     7,093                    6,558                                    535
Third Party                                                                85,875                   78,305                                  7,570
Total Special Servicing                                                   104,304                   98,497                                  5,807
Total Servicing Portfolio                                           $     496,891               $  482,763                            $    14,128

Agency Servicing
MSR Assets                                                          $     281,456               $  272,919                            $     8,537

Third Party                                                                10,735                   11,027                                   (292)
Total Agency Servicing                                                    292,191                  283,946                                  8,245

Government-insured Servicing
MSR Assets                                                                111,693                  109,577                                  2,116

Total Government Servicing                                                111,693                  109,577                                  2,116

Non-Agency (Private Label) Servicing
MSR Assets                                                                  5,581                    7,356                                 (1,775)
Residential Whole Loans                                                    11,982                   14,097                                 (2,115)
Third Party                                                                75,444                   67,787                                  7,657
Total Non-Agency (Private Label) Servicing                                 93,007                   89,240                                  3,767
Total Servicing Portfolio                                           $     496,891               $  482,763                            $    14,128














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The table below summarizes base servicing fees and other fees for the periods
presented:

                                       Three Months Ended
(in thousands)               March 31, 2022       December 31, 2021                   QoQ Change
Base Servicing Fees
MSR Assets                  $       281,110      $          254,905                  $    26,205
Residential Whole Loans               3,389                   2,930                          459
Third Party                          23,653                  26,566                       (2,913)
Total Base Servicing Fees           308,152                 284,401                       23,751

Other Fees
Incentive fees                       21,244                  21,493                         (249)
Ancillary fees                       13,451                  12,570                          881
Boarding fees                         1,808                   2,848                       (1,040)
Other fees                            4,403                   8,434                       (4,031)
Total Other Fees(A)                  40,906                  45,345                       (4,439)

Total Servicing Fees        $       349,058      $          329,746                  $    19,312

(A)Includes other fees earned from third parties of $8.8 million and $8.3 million for the three months ended March 31, 2022 and December 31, 2021, respectively.



MSR Related Investments

MSRs and MSR Financing Receivables



As of March 31, 2022, we had $8.0 billion carrying value of MSRs and MSR
Financing Receivables. As of March 31, 2022, our Full and Excess MSR portfolio
decreased to $626 billion UPB from $629 billion UPB as of December 31, 2021.
Full MSRs as of March 31, 2022 remained relatively unchanged at $549 billion UPB
from December 31, 2021. Excess MSRs as of March 31, 2022 decreased to
$77 billion UPB from $80 billion as of December 31, 2021. The increase in
portfolio size during the periods presented was predominantly a result of
favorable mark-to-market changes in valuations inputs and assumptions.

We finance our MSRs and MSR financing receivables with short- and medium-term
bank and public capital markets notes. These borrowings are primarily recourse
debt and bear both fixed and variable interest rates offered by the counterparty
for the term of the notes of a specified margin over LIBOR or SOFR. The capital
markets notes are typically issued with a collateral coverage percentage, which
is a quotient expressed as a percentage equal to the aggregate note amount
divided by the market value of the underlying collateral. The market value of
the underlying collateral is generally updated on a quarterly basis and if the
collateral coverage percentage becomes greater than or equal to a collateral
trigger, generally 90%, we may be required to add funds, pay down principal on
the notes, or add additional collateral to bring the collateral coverage
percentage below 90%. The difference between the collateral coverage percentage
and the collateral trigger is referred to as a "margin holiday."

See Note 18 to our Consolidated Financial Statements for further information regarding financing of our MSRs and MSR Financing Receivables.



We have contracted with certain subservicers and, in relation to certain MSR
purchases, interim subservicers, to perform the related servicing duties on the
residential mortgage loans underlying our MSRs. As of March 31, 2022, these
subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which
subservice 9.9%, 8.9%, 7.5%, 0.9% and 0.3% of the underlying UPB of the related
mortgages, respectively (includes both MSRs and MSR Financing Receivables). The
remaining 72.5% of the underlying UPB of the related mortgages is subserviced by
our Mortgage Company.

We are generally obligated to fund all future servicer advances related to the
underlying pools of residential mortgage loans on our MSRs and MSR Financing
Receivables. Generally, we will advance funds when the borrower fails to meet,
including forbearances, contractual payments (e.g. principal, interest, property
taxes, insurance). We will also advance funds to maintain and report foreclosed
real estate properties on behalf of investors. Advances are recovered through
claims to the related investor and subservicers. Pursuant to our servicing
agreements, we are obligated to make certain advances on residential mortgage
loans to be in compliance with applicable requirements. In certain instances,
the subservicer is required to reimburse us for any advances that were deemed
nonrecoverable or advances that were not made in accordance with the related
servicing contract.
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We finance our servicer advances with short- and medium-term collateralized
borrowings. These borrowings are non-recourse committed facilities that are not
subject to margin calls and bear both fixed and variable interest rates offered
by the counterparty for the term of the notes, generally less than one year, of
a specified margin over LIBOR or SOFR. See Note 18 to our Consolidated Financial
Statements for further information regarding financing of our servicer advances.

The table below summarizes our MSRs and MSR Financing Receivables as of
March 31, 2022:
(dollars in millions)    Current UPB      Weighted Average MSR (bps)             Carrying Value

GSE                     $ 376,795.2                      29            bps      $       5,318.6
Non-Agency                 60,341.6                      48                               858.0
Ginnie Mae                111,972.2                      39                             1,787.9

Total                   $ 549,109.0                      33            bps      $       7,964.5



The following table summarizes the collateral characteristics of the residential
mortgage loans underlying our MSRs and MSR Financing Receivables as of March 31,
2022 (dollars in thousands):
                                                                                                                                                        

Collateral Characteristics


                                                                                                                                                                                                                                     Three Month         Three Month         Three Month           Three Month
                              Current Carrying       Current Principal                                                                                                              Average Loan Age         Adjustable Rate           Average             Average             Average          Average Recapture
                                   Amount                 Balance             Number of Loans          WA FICO Score(A)            WA Coupon           WA Maturity (months)             (months)              Mortgage %(B)            CPR(C)              CRR(D)              CDR(E)                 Rate

GSE                           $   5,318,541          $  376,795,155           2,052,288                       755                        3.6  %                  281                          48                       1.5  %             12.5  %             12.4  %              0.1  %                 20.8  %
Non-Agency                          857,998              60,341,642             530,439                       638                        4.2  %                  291                         187                      10.5  %             12.3  %             10.8  %              1.6  %                  6.9  %
Ginnie Mae                        1,787,926             111,972,212             494,140                       697                        3.2  %                  332                          24                       0.7  %             13.6  %             13.3  %              0.3  %                 24.5  %

Total                         $   7,964,465          $  549,109,009           3,076,867                       730                        3.6  %                  292                          58                       2.3  %             12.7  %             12.4  %              0.3  %                 20.0  %



                                                                                        Collateral Characteristics
                              Delinquency 30             Delinquency 60            Delinquency 90+                                       Real Estate
                                 Days(F)                    Days(F)                    Days(F)              Loans in Foreclosure            Owned            Loans in Bankruptcy

GSE                                      0.8  %                     0.2  %                     1.1  %                     0.2  %                  -  %                    0.1  %
Non-Agency                               6.8  %                     2.6  %                     5.8  %                     5.5  %                0.8  %                    2.3  %
Ginnie Mae                               2.5  %                     0.8  %                     2.0  %                     0.3  %                  -  %                    0.3  %

Total                                    1.8  %                     0.6  %                     1.8  %                     0.8  %                0.1  %                    0.4  %


(A)Based on the weighted average of information provided by the loan servicer on
a monthly basis. The loan servicer generally updates the FICO score when loans
are refinanced or become delinquent.
(B)Represents the percentage of the total principal balance of the pool that
corresponds to adjustable rate mortgages.
(C)Represents the annualized rate of the prepayments during the quarter as a
percentage of the total principal balance of the pool.
(D)Represents the annualized rate of the voluntary prepayments during the
quarter as a percentage of the total principal balance of the pool.
(E)Represents the annualized rate of the involuntary prepayments (defaults)
during the quarter as a percentage of the total principal balance of the pool.
(F)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more
days.


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Excess MSRs

The following tables summarize the terms of our Excess MSRs:


               Summary of Direct Excess MSRs as of March 31, 2022

                                                                      MSR Component(A)                                                                      Excess MSR
                                                                                       Weighted
                                      Current UPB         Weighted Average          Average Excess                                                        Carrying Value
                                      (billions)             MSR (bps)                 MSR (bps)                 Interest in Excess MSR (%)                 (millions)
Agency                              $       25.4                    29     bps              21      bps                 32.5% - 66.7%                    $        129.7
Non-Agency(B)                               29.2                    35                      15                          33.3% - 100%                              127.7
Total/Weighted Average              $       54.6                    32     bps              18      bps                                                  $        257.4


(A)The MSR is a weighted average as of March 31, 2022, and the Excess MSR
represents the difference between the weighted average MSR and the basic fee
(which fee remains constant).
(B)Serviced by Mr. Cooper and SLS, we also invested in related Servicer advance
investments, including the basic fee component of the related MSR (Note 6 to our
Consolidated Financial Statements) on $19.2 billion UPB underlying these Excess
MSRs.

  Summary of Excess MSRs Through Equity Method Investees as of March 31, 2022
                                                                             MSR Component(A)
                                                                                              Weighted
                                                                                              Average            New Residential             Investee             New Residential
                                             Current UPB          Weighted Average           Excess MSR            Interest in             Interest in          Effective Ownership        Investee Carrying
                                              (billions)             MSR (bps)                 (bps)               Investee (%)           Excess MSR (%)                (%)                Value (millions)
Agency                                     $        21.8                    33     bps           22      bps               50.0  %                66.7  %                    33.3  %       $        148.7
Total/Weighted Average                     $        21.8                    33     bps           22      bps                                                                               $        148.7

(A)The MSR is a weighted average as of March 31, 2022, and the Excess MSR represents the difference between the weighted average MSR and the basic fee (which fee remains constant).



The following table summarizes the collateral characteristics of the loans
underlying our direct Excess MSRs as of March 31, 2022 (dollars in thousands):
                                                                                                                                                          Collateral Characteristics
                                    Current                                                                                                                                                                                          Three Month        Three Month        Three Month          Three Month
                                    Carrying          Current Principal                                                                                                              Average Loan Age         Adjustable Rate          Average            Average            Average              Average
                                     Amount                Balance             Number of Loans          WA FICO Score(A)            WA Coupon           WA Maturity (months)             (months)              Mortgage %(B)            CPR(C)             CRR(D)             CDR(E)           Recapture Rate
Agency
Original Pools                   $    70,037          $   15,326,409             133,431                       731                        4.5  %                  223                         147                       1.5  %            19.2  %            18.5  %             0.9  %                23.5  %
Recaptured Loans                      59,630              10,104,134              63,898                       737                        3.8  %                  261                          49                         -  %            18.8  %            18.5  %             0.4  %                43.4  %
                                 $   129,667          $   25,430,543             197,329                       734                        4.2  %                  238                         107                       0.8  %            19.1  %            18.5  %             0.7  %                31.6  %
Non-Agency(F)
Mr. Cooper and SLS Serviced:
Original Pools                   $   101,431          $   25,461,696             149,045                       679                        4.2  %                  266                         192                       8.4  %            17.2  %            14.6  %             1.5  %                15.8  %
Recaptured Loans                      26,290               3,725,361              17,791                       743                        3.5  %                  273                          29                         -  %            16.8  %            16.8  %               -  %                48.4  %
                                 $   127,721          $   29,187,057             166,836                       687                        4.1  %                  267                         172                       6.7  %            17.2  %            14.9  %             1.3  %                19.9  %

Total/Weighted Average(H) $ 257,388 $ 54,617,600

     364,165                       708                        4.2  %                  254                         143                       3.7  %            18.0  %            16.5  %             1.0  %                25.9  %


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                                                                                            Collateral Characteristics

                                                              Delinquency                                                                      Real
                                                                                                                     Loans in                 Estate                 Loans in
                                    30 Days(G)                60 Days(G)                90+ Days(G)                Foreclosure                 Owned                Bankruptcy
Agency
Original Pools                               2.2  %                    0.6  %                     2.7  %                     0.5  %                0.1  %                    0.1  %
Recaptured Loans                             1.4  %                    0.4  %                     1.6  %                     0.1  %                  -  %                      -  %
                                             1.9  %                    0.5  %                     2.2  %                     0.3  %                0.1  %                    0.1  %
Non-Agency(F)
Mr. Cooper and SLS Serviced:
Original Pools                              12.1  %                    2.8  %                     4.5  %                     5.1  %                0.4  %                    1.5  %
Recaptured Loans                             1.5  %                    0.3  %                     1.0  %                       -  %                  -  %                      -  %
                                            10.8  %                    2.5  %                     4.0  %                     4.5  %                0.4  %                    1.3  %
Total/Weighted Average(H)                    6.8  %                    1.6  %                     3.2  %                     2.6  %                0.2  %                    0.8  %


(A)Based on the weighted average of information provided by the loan servicer on
a monthly basis. The loan servicer generally updates the FICO score when loans
are refinanced or become delinquent.
(B)Represents the percentage of the total principal balance of the pool that
corresponds to adjustable rate mortgages.
(C)Constant prepayment rate, represents the annualized rate of the prepayments
during the quarter as a percentage of the total principal balance of the pool.
(D)Represents the annualized rate of the voluntary prepayments during the
quarter as a percentage of the total principal balance of the pool.
(E)Represents the annualized rate of the involuntary prepayments (defaults)
during the quarter as a percentage of the total principal balance of the pool.
(F)We also invested in related Servicer Advance Investments, including the basic
fee component of the related MSR (Note 6 to our Consolidated Financial
Statements) on $19.2 billion UPB underlying these Excess MSRs.
(G)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more
days.
(H)Weighted averages exclude collateral information for which collateral data
was not available as of the report date.

The following table summarizes the collateral characteristics as of March 31,
2022 of the loans underlying Excess MSRs made through joint ventures accounted
for as equity method investees (dollars in thousands). For each of these pools,
we own a 50% interest in an entity that invested in a 66.7% interest in the
Excess MSRs.

                                                                                                                                                                    Collateral Characteristics
                                   Current               Current             New Residential                                                                                                                                                           Three Month         Three Month         Three Month          Three Month
                                   Carrying             Principal          Effective Ownership          Number                                                                                           Average Loan          Adjustable Rate           Average             Average             Average              Average
                                    Amount               Balance                   (%)                 of Loans            WA FICO Score(A)            WA Coupon           WA Maturity (months)          Age (months)           Mortgage %(B)            CPR(C)              CRR(D)              CDR(E)            Recapture Rate
Agency
Original Pools                  $    59,508          $ 10,825,969                      33.3  %        124,457                     717                        5.1  %                  212                      166                        1.2  %             18.8  %             17.3  %              1.8  %                25.9  %
Recaptured Loans                     89,195            11,005,723                      33.3  %         84,475                     723                        3.9  %                  256                       59                          -  %             19.9  %             19.2  %              1.0  %                49.1  %

Total/Weighted Average(G) $ 148,703 $ 21,831,692

                           208,932                     720                        4.5  %                  234                      112                        1.2  %             19.4  %             18.2  %              1.4  %                38.3  %



                                                                                           Collateral Characteristics

                                                             Delinquency                                                                      Real
                                                                                                                    Loans in                 Estate                 Loans in
                                   30 Days(F)                60 Days(F)                90+ Days(F)                Foreclosure                 Owned                Bankruptcy
Agency
Original Pools                              3.0  %                    0.8  %                     2.6  %                     0.7  %                0.2  %                    0.1  %
Recaptured Loans                            2.0  %                    0.5  %                     1.7  %                     0.1  %                  -  %                    0.1  %
Total/Weighted Average(G)                   2.5  %                    0.6  %                     2.1  %                     0.4  %                0.1  %                    0.1  %


(A)Based on the weighted average of information provided by the loan servicer on
a monthly basis. The loan servicer generally updates the FICO score on a monthly
basis.
(B)Represents the percentage of the total principal balance of the pool that
corresponds to adjustable rate mortgages.
(C)Represents the annualized rate of the prepayments during the quarter as a
percentage of the total principal balance of the pool.
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(D)Represents the annualized rate of the voluntary prepayments during the
quarter as a percentage of the total principal balance of the pool.
(E)Represents the annualized rate of the involuntary prepayments (defaults)
during the quarter as a percentage of the total principal balance of the pool.
(F)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more
days.
(G)Weighted averages exclude collateral information for which collateral data
was not available as of the report date.

Servicer Advance Investments



The following is a summary of our Servicer Advance Investments, including the
right to the basic fee component of the related MSRs (dollars in thousands):
                                                                                 March 31, 2022
                                                                                                                           Servicer Advances to
                                                                         UPB of Underlying                                  UPB of Underlying
                                Amortized Cost         Carrying             Residential              Outstanding           Residential Mortgage
                                    Basis              Value(A)            Mortgage Loans         Servicer Advances               Loans
Servicer advance investments
Mr. Cooper and SLS serviced
pools                           $   375,232          $  390,770          $    19,171,537          $      354,566                          1.8  %


(A)Represents the fair value of the Servicer advance investments, including the basic fee component of the related MSRs.

The following is additional information regarding our Servicer advance investments, and related financing, as of and for the three months ended March 31, 2022 (dollars in thousands):


                                                                                    Three Months
                                                                                        Ended
                                                                                   March 31, 2022                                      Loan-to-Value ("LTV")(A)                   Cost of Funds(B)
                                                                                   Change in Fair         Face Amount of
                               Weighted Average        Weighted Average Life       Value Recorded        Secured Notes and
                                 Discount Rate              (Years)(C)             in Other Income         Bonds Payable               Gross                Net(D)             Gross              Net
Servicer advance
  investments(E)                          5.2  %                         7.3       $       (483)         $      329,437                     92.8  %           92.0  %             1.2  %           1.2  %


(A)Based on outstanding servicer advances, excluding purchased but unsettled
servicer advances.
(B)Annualized measure of the cost associated with borrowings. Gross Cost of
Funds primarily includes interest expense and facility fees. Net Cost of Funds
excludes facility fees.
(C)Represents the weighted average expected timing of the receipt of expected
net cash flows for this investment.
(D)Ratio of face amount of borrowings to par amount of servicer advance
collateral, net of any general reserve.
(E)The following table summarizes the types of advances included in Servicer
Advance Investments (dollars in thousands):
                                                       March 31, 2022
Principal and interest advances                       $        63,594
Escrow advances (taxes and insurance advances)                165,808
Foreclosure advances                                          125,164
Total                                                 $       354,566

MSR Related Services Businesses



Our MSR related investments segment also includes the activity from several
wholly-owned subsidiaries or minority investments in companies that perform
various services in the mortgage and real estate industries. Our subsidiary
Guardian is a national provider of field services and property management
services. We also made a strategic minority investment in Covius, a provider of
various technology-enabled services to the mortgage and real estate industries.
As of March 31, 2022, our ownership interest in Covius is 18.1%.

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Residential Securities and Loans

Real Estate Securities

Agency RMBS



The following table summarizes our Agency RMBS portfolio as of March 31, 2022
(dollars in thousands):
                                                                                                      Gross Unrealized
                                                                         Percentage of                                                                                                                                     Outstanding
                          Outstanding Face       Amortized Cost         Total Amortized                                                Carrying                             Weighted Average                                Repurchase
Asset Type                     Amount                 Basis               Cost Basis             Gains             Losses              Value(A)             Count             Life (Years)          3-Month CPR(B)          Agreements

Agency RMBS               $   9,078,723          $  9,338,295                   100.0  %       $   602          $ (806,137)         $ 8,532,760               43                          9.1              10.8  %       $   8,852,537


(A)Carrying value equals fair value.
(B)Represents the annualized rate of the prepayments during the quarter as a
percentage of the total amortized cost basis.

The following table summarizes the net interest spread of our Agency RMBS portfolio for the three months ended March 31, 2022:


         Net Interest Spread(A)
Weighted Average Asset Yield      2.18  %
Weighted Average Funding Cost     0.23  %
Net Interest Spread               1.95  %

(A)The Agency RMBS portfolio consists of 100.0% fixed rate securities (based on amortized cost basis). See table above for details on rate resets of the floating rate securities.



We finance our investments in Agency RMBS with short-term borrowings under
master repurchase agreements. These borrowings generally bear interest rates
offered by the counterparty for the term of the proposed repurchase transaction
(e.g., 30 days, 60 days, etc.) of a specified margin over one-month LIBOR. The
repurchase agreements represent uncommitted financing. At March 31, 2022 and
December 31, 2021, the Company pledged Agency RMBS with a carrying value of
approximately $8.5 billion and $8.4 billion, respectively, as collateral for
borrowings under repurchase agreements. To the extent available on desirable
terms, we expect to continue to finance our acquisitions of Agency RMBS with
repurchase agreement financing. See Note 18 to our Consolidated Financial
Statements for further information regarding financing of our Agency RMBS.

Non-Agency RMBS



The following table summarizes our Non-Agency RMBS portfolio as of March 31,
2022 (dollars in thousands):

                                                                                      Gross Unrealized                                    Outstanding
                                   Outstanding Face       Amortized Cost                                              Carrying            Repurchase
Asset Type                              Amount                Basis               Gains             Losses            Value(A)            Agreements
Non-Agency RMBS                    $  17,081,763          $   942,742          $ 99,383          $ (64,955)         $ 977,170          $      632,949

(A)Fair value, which is equal to carrying value for all securities.



The following tables summarize the characteristics of our Non-Agency RMBS
portfolio and of the collateral underlying our Non-Agency RMBS as of March 31,
2022 (dollars in thousands):
                                                                                                                                 Non-Agency RMBS Characteristics(A)
                                       Average                                                                                       Percentage of
                                       Minimum                                         Outstanding Face       Amortized Cost        Total Amortized                                                                                            Weighted Average        Weighted Average
Vintage(B)                            Rating(C)           Number of Securities              Amount                Basis                Cost Basis             Carrying Value         Principal Subordination(D)        Excess Spread(E)          Life (Years)              Coupon(F)
Pre-2008                                        NR                  122                $     447,877          $    17,148                      1.8  %       $        21,335                                 -  %                   -  %                      4.3                  3.4  %
2008 and later                                 BBB                  504                   16,631,633              924,155                     98.2  %               953,398                              24.6  %                 0.2  %                      3.4                  2.7  %
Total/weighted average                        BBB-                  626                $  17,079,510          $   941,303                    100.0  %       $       974,733                              24.0  %                 0.2  %                      3.4                  2.7  %



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                                                                                                  Collateral Characteristics(A)(G)
                                                                                                                                                                     Cumulative Losses to
Vintage(B)                                   Average Loan Age (years)            Collateral Factor(H)          3-Month CPR(I)              Delinquency(J)                    Date
Pre-2008                                                         13.8                     0.08                           8.0  %                         9.4  %                    11.2  %
2008 and later                                                   11.9                     0.62                          17.7  %                         3.5  %                     0.6  %
Total/weighted average                                           12.0                     0.61                          17.5  %                         3.6  %                    20.6  %


(A)Excludes $1.8 million face amount of bonds backed by consumer loans and
$0.4 million face amount of bonds backed by corporate debt.
(B)The year in which the securities were issued.
(C)Ratings provided above were determined by third party rating agencies,
represent the most recent credit ratings available as of the reporting date and
may not be current. This excludes the ratings of the collateral underlying 307
bonds with a carrying value of $349.5 million, which either have never been
rated or for which rating information is no longer provided. We had no assets
that were on negative watch for possible downgrade by at least one rating agency
as of March 31, 2022.
(D)The percentage of amortized cost basis of securities and residual interests
that is subordinate to our investments. This excludes interest-only bonds.
(E)The current amount of interest received on the underlying loans in excess of
the interest paid on the securities, as a percentage of the outstanding
collateral balance for the quarter ended March 31, 2022.
(F)Excludes residual bonds, and certain other Non-Agency bonds, with a carrying
value of $18.6 million and $2.2 million, respectively, for which no coupon
payment is expected.
(G)The weighted average loan size of the underlying collateral is $290.6
thousand.
(H)The ratio of original UPB of loans still outstanding.
(I)Three-month average constant prepayment rate and default rates.
(J)The percentage of underlying loans that are 90+ days delinquent, or in
foreclosure or considered REO.

The following table summarizes the net interest spread of our Non-Agency RMBS portfolio for the three months ended March 31, 2022:


         Net Interest Spread(A)
Weighted average asset yield      4.23  %
Weighted average funding cost     2.81  %
Net interest spread               1.42  %

(A)The Non-Agency RMBS portfolio consists of 39.1% floating rate securities and 60.9% fixed rate securities (based on amortized cost basis).



We finance our investments in Non-Agency RMBS with short-term borrowings under
master repurchase agreements. These borrowings generally bear interest rates
offered by the counterparty for the term of the proposed repurchase transaction
(e.g., 30 days, 60 days, etc.) of a specified margin over one-month LIBOR. The
repurchase agreements represent uncommitted financing. At March 31, 2022 and
December 31, 2021, the Company pledged Non-Agency RMBS with a carrying value of
approximately $931.0 million and $924.9 million, respectively, as collateral for
borrowings under repurchase agreements. A portion of collateral for borrowings
under repurchase agreements is subject to daily mark-to-market fluctuations and
margin calls. In addition, a portion of collateral for borrowings under
repurchase agreements is not subject to daily margin calls unless the collateral
coverage percentage, a quotient expressed as a percentage equal to the current
carrying value of outstanding debt divided by the market value of the underlying
collateral, becomes greater than or equal to a collateral trigger. The
difference between the collateral coverage percentage and the collateral trigger
is referred to as a "margin holiday." See Note 18 to our Consolidated Financial
Statements for further information regarding financing of our Non-Agency RMBS.

Call Rights



We hold a limited right to cleanup call options with respect to certain
securitization trusts (including securitizations we have issued) serviced or
master serviced by Mr. Cooper whereby, when the UPB of the underlying
residential mortgage loans falls below a pre-determined threshold, we can
effectively purchase the underlying residential mortgage loans at par, plus
unreimbursed servicer advances, resulting in the repayment of all of the
outstanding securitization financing at par, in exchange for a fee of 0.75% of
UPB paid to Mr. Cooper at the time of exercise. We similarly hold a limited
right to cleanup call options with respect to certain securitization trusts
master serviced by SLS for no fee, and also with respect to certain
securitization trusts serviced or master serviced by Ocwen subject to a fee of
0.5% of UPB on loans that are current or thirty (30) days or less
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delinquent, paid to Ocwen at the time of exercise. The aggregate UPB of the underlying residential mortgage loans within these various securitization trusts is approximately $76.0 billion.



We continue to evaluate the call rights we acquired from each of our servicers,
and our ability to exercise such rights and realize the benefits therefrom are
subject to a number of risks. See "Risk Factors-Risks Related to Our
Business-Our ability to exercise our cleanup call rights may be limited or
delayed if a third party also possessing such cleanup call rights exercises such
rights, if the related securitization trustee refuses to permit the exercise of
such rights, or if a related party is subject to bankruptcy proceedings." The
actual UPB of the residential mortgage loans on which we can successfully
exercise call rights and realize the benefits therefrom may differ materially
from our initial assumptions.

We have exercised our call rights with respect to Non-Agency RMBS trusts and
purchased performing and non-performing residential mortgage loans and REO
contained in such trusts prior to their termination. In certain cases, we sold
portions of the purchased loans through securitizations, and retained bonds
issued by such securitizations. In addition, we received par on the securities
issued by the called trusts which we owned prior to such trusts' termination.
Refer to Notes 8 and 23 in our Consolidated Financial Statements for further
details on these transactions.

Refer to Note 23 for additional discussion regarding call rights and transactions with affiliates.

Residential Mortgage Loans



As of March 31, 2022, we had approximately $7.9 billion outstanding face amount
of residential mortgage loans (see below). These investments were financed with
secured financing agreements with an aggregate face amount of approximately
$6.5 billion and secured notes and bonds payable with an aggregate face amount
of approximately $0.8 billion. We acquired these loans through open market
purchases, through loan origination, as well as through the exercise of call
rights and acquisitions.

The following table presents the total residential mortgage loans outstanding by loan type at March 31, 2022 (dollars in thousands).


                                              Outstanding Face          Carrying               Loan             Weighted Average        Weighted Average Life
                                                   Amount                Value                 Count                  Yield                  (Years)(A)
Total residential mortgage loans,
held-for-investment, at fair value(B)         $     605,417          $   547,404               10,891                      7.1  %                         5.1

Acquired performing loans(C)                        135,025              122,889                2,705                      7.0  %                         4.7
Acquired non-performing loans(D)                      3,352                2,670                   41                      7.4  %                      

4.5


Total residential mortgage loans,
held-for-sale, at lower of cost or
market                                        $     138,377          $   125,559                2,746                      7.0  %                    

4.7



Acquired performing loans(C)(E)               $   1,592,694          $ 1,550,278                9,535                      3.9  %                  

11.7


Acquired non-performing loans(D)(E)               597,699.0              559,201                3,278                      3.4  %                         4.9
Originated loans                                  4,984,128            4,967,437                8,113                      3.8  %                        27.5
Total residential mortgage loans,
held-for-sale, at fair value/lower of
cost or market                                $   7,174,521          $ 7,076,916               20,926                      3.8  %                        22.1


(A)For loans classified as Level 3 in the fair value hierarchy, the weighted
average life is based on the expected timing of the receipt of cash flows. For
Level 2 loans, the weighted average life is based on the contractual term of the
loan.
(B)Residential mortgage loans, held-for-investment, at fair value is grouped and
presented as part of Residential Loans and Variable Interest Entity Consumer
Loans, Held-for-Investment, at Fair Value on the Consolidated Balance Sheets.
(C)Performing loans are generally placed on nonaccrual status when principal or
interest is 120 days or more past
(D)As of March 31, 2022, we have placed all Non-Performing Loans, held-for-sale
on nonaccrual status, except as described in (E) below.
(E)Includes $725.3 million and $363.9 million UPB of Ginnie Mae EBO performing
and non-performing loans, respectively, on accrual status as contractual cash
flows are guaranteed by the FHA.

We consider the delinquency status, loan-to-value ratios, and geographic area of residential mortgage loans as our credit quality indicators.


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We finance a significant portion of our investments in residential mortgage
loans with borrowings under repurchase agreements. These recourse borrowings
bear variable interest rates offered by the counterparty for the term of the
proposed repurchase transaction, generally less than one year, of a specified
margin over the one-month LIBOR or SOFR. At March 31, 2022 and December 31,
2021, the Company pledged residential mortgage loans with a carrying value of
approximately $7.2 billion and $11.0 billion, respectively, as collateral for
borrowings under repurchase agreements. A portion of collateral for borrowings
under repurchase agreements is subject to daily mark-to-market fluctuations and
margin calls. A portion of collateral for borrowings under repurchase agreements
is not subject to daily margin calls unless the collateral coverage percentage,
a quotient expressed as a percentage equal to the current carrying value of
outstanding debt divided by the market value of the underlying collateral,
becomes greater than or equal to a collateral trigger. The difference between
the collateral coverage percentage and the collateral trigger is referred to as
a "margin holiday." See Note 18 to our Consolidated Financial Statements for
further information regarding financing of our residential mortgage loans.

Other

Consumer Loans



The table below summarizes the collateral characteristics of the consumer loans,
including those held in the Consumer Loan Companies and those acquired from the
Consumer Loan Seller, as of March 31, 2022 (dollars in thousands):
                                                                                                                                                                          Collateral Characteristics
                                                                                                                         Weighted
                                                                                                                         Average
                                                    Personal                                                             Original                                                                                  Average
                                                Unsecured Loans            Personal                                        FICO              Weighted            Adjustable Rate         Average Loan Age          Expected           Delinquency 30            Delinquency 60            Delinquency 90+             12-Month             12-Month
                               UPB                     %               Homeowner Loans %        Number of Loans          Score(A)         Average Coupon             Loan %                  (months)            Life (Years)             Days(B)                   Days(B)                   Days(B)                  CRR(C)               CDR(D)
Consumer loans          $      414,888                   57.4  %                 42.6  %           66,752                  688                   17.6  %                   13.2  %                206                     3.1                    1.6  %                    0.9  %                     1.6  %              23.5  %               4.3  %


(A)Represents the FICO score at the time the loan was originated.
(B)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 30-59 days, 60-89 days or 90 or more
days, respectively.
(C)Represents the annualized rate of the voluntary prepayments during the three
months as a percentage of the total principal balance of the pool.
(D)Represents the annualized rate of the involuntary prepayments (defaults)
during the three months as a percentage of the total principal balance of the
pool.

We have financed our investments in consumer loans with securitized non-recourse
long-term notes with a stated maturity date of May 2036. See Note 18 to our
Consolidated Financial Statements for further information regarding financing of
our consumer loans.

Single-Family Rental ("SFR") Portfolio



As of March 31, 2022, our SFR portfolio consisted of approximately 3,285
properties with an aggregate carrying value of $814.9 million, up from 2,551
units with an aggregate carrying value of $579.6 million as of December 31,
2021. During the three months ended March 31, 2022 and December 31, 2021, we
acquired approximately 734 and 669 SFR properties, respectively.

Our ability to identify and acquire properties that meet our investment criteria
is impacted by property prices in our target markets, the inventory of
properties available, competition for our target assets and our available
capital. Properties added to our portfolio through traditional acquisition
channels require expenditures in addition to payment of the purchase price,
including property inspections, closing costs, liens, title insurance, transfer
taxes, recording fees, broker commissions, property taxes and homeowners'
association ("HOA") fees, when applicable. In addition, we typically incur costs
to renovate a property acquired through traditional acquisition channels to
prepare it for rental. Renovation work varies, but may include paint, flooring,
cabinetry, appliances, plumbing hardware and other items required to prepare the
property for rental. The time and cost involved to prepare our properties for
rental can impact our financial performance and varies among properties based on
several factors, including the source of acquisition channel and age and
condition of the property. Our operating results are also impacted by the amount
of time it takes to market and lease a property, which can vary greatly among
properties, and is impacted by local demand, our marketing techniques and the
size of our available inventory.

Our revenues are derived primarily from rents collected from tenants for our SFR properties under lease agreements which typically have a term of one to two years. Our rental rates and occupancy levels are affected by macroeconomic factors and local and property-level factors, including market conditions, seasonality and tenant defaults, and the amount of time it takes to turn properties when tenants vacate.


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Once a property is available for its initial lease, we incur ongoing
property-related expenses, which consist primarily of property taxes, insurance,
HOA fees (when applicable), utility expenses, repairs and maintenance, leasing
costs, marketing expenses, and property administration. All of our SFR
properties are managed through an external property manager. Prior to a property
being rentable, certain of these expenses are capitalized as building and
improvements. Once a property is rentable, expenditures for ordinary repairs and
maintenance thereafter are expensed as incurred, and we capitalize expenditures
that improve or extend the life of a property.

The following table summarizes certain key SFR property metrics as of March 31, 2022 (dollars in thousands):


                                                                                                                                 Average
                                                                                                                                Gross Book
                                                         % of Total SFR                                  % of Total Net         Value per                                   Average
                       Number of SFR Properties            Properties             Net Book Value           Book Value            Property         Average Occupancy       Monthly Rent        Average Sq. Ft.
Alabama                             85                             2.6  %       $        15,683                   1.9  %       $     185                    69.1  %       $   1,411                1,586
Arizona                            118                             3.6  %                43,142                   5.3  %             366                     8.4  %           2,005                1,527
Florida                            753                            22.9  %               192,009                  23.6  %             255                    48.1  %           1,783                1,458
Georgia                            664                            20.2  %               146,855                  18.0  %             221                    59.7  %           1,654                1,775
Indiana                            111                             3.4  %                22,631                   2.8  %             204                    29.5  %           1,490                1,596
Mississippi                         97                             3.0  %                16,772                   2.1  %             173                    88.6  %           1,450                1,660
Missouri                           319                             9.7  %                59,800                   7.3  %             187                    45.8  %           1,458                1,491
Nevada                              94                             2.9  %                29,309                   3.6  %             312                    24.1  %           1,799                1,402
North Carolina                     368                            11.2  %               105,853                  13.0  %             288                    50.6  %           1,735                1,542
Oklahoma                            30                             0.9  %                 6,401                   0.8  %             213                    16.7  %           1,465                1,660
Tennessee                           80                             2.4  %                24,438                   3.0  %             305                    62.8  %           1,920                1,485
Texas                              488                            14.9  %               123,785                  15.2  %             254                    32.3  %           1,852                1,783
Other U.S.                          78                             2.4  %                28,193                   3.5  %             361                    44.6  %           1,669                1,580
Total/Average                    3,285                           100.0  %       $       814,871                 100.0  %       $     248                    47.1  %       $   1,707                1,603



We primarily rely on the use of credit facilities and mortgage-backed
securitizations to finance purchases of SFR properties. During the first quarter
of 2022, we completed a mortgage-backed securitization collateralized by certain
SFR properties. We utilized the proceeds from our securitization to fund
repayments of the then-outstanding indebtedness on our credit facility. We
expect to continue financing SFR properties with the use of securitization
structures in the future.

2022-SFR1 Securitization



The 2022-SFR 1 Securitization is a fixed-rate loan for $267.3 million with a
5-year term maturing in February 2027 and has a weighted-average interest rate
of 3.51%. The loan is secured by first priority mortgages on a portfolio of
1,200 SFR properties. In addition to the SFR pass-through certificates sold to
third parties, we acquired 5.0% of each Class, except for Class R certificates,
which bear no interest, for $13.4 million in the aggregate. We evaluated the
purchased Class certificates as a variable interest in the trust and concluded
that each Class certificate will not absorb a majority of the trust's expected
losses or receive a majority of the trust's expected residual returns. We also
concluded that each Class certificate does not provide us with an ability to
direct activities that could impact the trust's economic performance. We do not
consolidate the trust and the $13.4 million of aggregate purchased Class
certificates are grouped and presented within Real Estate and Other Securities
on the Consolidated Balance Sheets. Gross proceeds to us from the transaction,
after purchase of 5.0% of each Class certificates, were $253.9 million, before
issuance costs of $6.2 million, and were used to pay down the outstanding
balance on the credit facility and for general corporate purposes.

The loan agreement requires maintenance of covenants typical for securitization
transactions including maintaining certain reserve accounts and a debt service
coverage ratio of at least 1.20 to 1.00. The loan agreement defines the debt
service coverage ratio as of any determination date as a ratio in which the
numerator is the net cash flow divided by the aggregate debt service for the
12-month period following the date of determination.
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The following table summarizes our mortgage-backed securitizations (dollars in
thousands):
                                                                                                Weighted Average              Outstanding Principal Balance
                                            Origination Date             Maturity Date            Interest Rate         March 31, 2022         December 31, 2021
2022-SFR1                                       Jan-2022                   Feb-2027                        3.5  %       $   267,326          $                -
Total securitizations                                                                                                       267,326                           -



The following table summarizes the number of properties pledged as collateral
for the Company's mortgage-backed securitizations and the aggregate net book
values (dollars in thousands):
                                                             March 31, 2022                                    December 31, 2021
                                                   Number of
                                                   Properties             Net Book Value         Number of Properties          Net Book Value
2022-SFR1                                             1,200             $       253,420                           -          $             -
Total encumbered properties                           1,200                     253,420                           -          $             -



Mortgage Loans Receivable

Through our wholly owned subsidiary Genesis, we specialize in originating and managing a portfolio of primarily short-term mortgage loans to fund single-family and multi-family real estate developers with construction, renovation and bridge loans.

Construction - Loans provided for ground-up construction, including mid-construction refinancing of ground-up construction, and the acquisition of such properties.

Renovation - Acquisition or refinance loans for properties requiring renovation, excluding ground-up construction.

Bridge - Loans for initial purchase, refinance of completed projects, or rental properties.

We currently finance construction, renovation and bridge loans using a warehouse credit facility but we expect to finance these loans with revolving securitization structures in the future.



Properties securing our loans are typically secured by a mortgage or a first
deed of trust lien on real estate. Depending on loan type, the size of each loan
committed is based on a maximum loan value in accordance with our lending
policy. For construction and renovation loans, we generally use loan-to-cost
("LTC") or loan-to-after-repair-value ("LTARV") ratio. For bridge loans, we use
a loan-to-value ("LTV") ratio. LTC and LTARV are measured by the total
commitment amount of the loan at origination divided by the total estimated cost
of a project or value of a property after renovations and improvements to a
property. LTV is measured by the total commitment amount of the loan at
origination divided by the "as-complete" appraisal.

At the time of origination, the difference between the initial outstanding
principal and the total commitment is the amount held back for future release
subject to property inspections, progress reports and other conditions in
accordance with the loan documents. Loan ratios described above do not reflect
interim activity such as construction draws or interest payments capitalized to
loans, or partial repayments of the loan.

Each loan is backed by a corporate or personal guarantee to provide further credit support for the loan. The guarantee may be collaterally secured by a pledge of the guarantor's interest in the borrower or other real estate or assets owned by the guarantor.



Loan commitments at origination are typically interest only and bear a variable
interest rate tied to either LIBOR or the SOFR plus a spread ranging from 3.8%
to 8.5%, and have initial terms typically ranging from 6 to 36 months in
duration based on the size of the project and expected timeline for completion
of construction, which we often elect to extend for several months based on our
evaluation of the project. As of March 31, 2022, the average commitment size of
our loans was $1.6 million and the weighted average remaining term to
contractual maturity of our loans was 8.9 months.

We typically receive loan origination fees, or "points" of up to 5.0% of the
total commitment at origination, along with loan amendment and extension fees,
each of which varies in amount based upon the term of the loan and the quality
of the borrower
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and the underlying collateral. In addition, we charge fees on past due
receivables and receive reimbursements from borrowers for costs associated with
services provided by us, such as closing costs, collection costs on defaulted
loans, and inspection fees.

Typical borrowers include real estate investors and developers. Loan proceeds
are used to fund the construction, development, investment, land acquisition and
refinancing of residential properties and to a lesser extent mixed-use
properties. We also make loans to fund the renovation and rehabilitation of
residential properties. Our loans are generally structured with partial funding
at closing and additional loan installments disbursed to the borrower upon
satisfactory completion of previously agreed stages of construction.

A principal source of new loans has been repeat business from our customers and
their referral of new business. Our retention originations typically have lower
customer acquisition costs than originations to new customers, positively
impacting our profit margins.

As of March 31, 2022, we have loans in 29 states with the majority of loans located in California.



The following table summarizes certain information related to our mortgage loans
receivable activity as of and for the three months ended March 31, 2022 (dollars
in thousands):
Loans originated                             $   688,653
Loans repaid(A)                              $   357,025
Number of loans originated                           403
Unpaid principal balance                     $ 1,650,091
Total commitment                             $ 2,322,440
Average total commitment                     $     1,632
Weighted average contractual interest(B)             7.1  %


(A)Based on commitment.
(B)Excludes loan fees and based on commitment at funding.
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The following table summarizes our total mortgage loans receivable portfolio by loan purpose as of March 31, 2022 (dollars in thousands):


                                                                                                                        Weighted Average
                                         Number of                                                                       Committed Loan
                                           Loans                %             Total Commitment             %           Balance to Value(A)
Construction                                      560         39.4  %       $       1,328,033            57.2  %             76.0% - 65.3%
Bridge                                            484         34.0  %                 709,984            30.6  %                   77.4  %
Renovation                                        379         26.6  %                 284,423            12.2  %             78.3% - 66.2%
                                           1,423             100.0  %       $       2,322,440           100.0  %

(A)Weighted by commitment LTV for bridge loans and LTC or LTARV for construction and renovation loans.

The following table summarizes our total mortgage loans receivable portfolio by geographic location as of March 31, 2022 (dollars in thousands):


                   Number of
                     Loans           %         Total Commitment          %
California           643           45.2  %    $       1,354,611        58.3  %
Washington           167           11.7  %              255,253        11.0  %
New York              39            2.7  %              115,522         5.0  %
Other U.S.           574           40.3  %              597,054        25.7  %
                   1,423           99.9  %    $       2,322,440       100.0  %



TAXES

We have elected to be treated as a REIT for U.S. federal income tax purposes. As
a REIT we generally pay no federal or state and local income tax on assets that
qualify under the REIT requirements if we distribute out at least 90% of the
current taxable income generated from these assets.

We hold certain assets, including Servicer Advance Investments and MSRs, in
taxable REIT subsidiaries ("TRSs") that are subject to federal, state and local
income tax because these assets either do not qualify under the REIT
requirements or the status of these assets is uncertain. We also operate our
securitization program, servicing, origination, and services businesses through
TRSs.

As our operating investments continue to grow and become a larger component of our total consolidated income, we anticipate income subject to tax will increase, along with a corresponding increase in tax expense and our consolidated effective tax rate.



At March 31, 2022, we recorded a net deferred tax liability of $642.0 million,
primarily composed of deferred tax liabilities generated through the deferral of
gains from loans sold by our origination business with servicing retained by us
and deferred tax liabilities generated from changes in fair value of MSRs,
loans, and swaps held within taxable entities.

For the three months and March 31, 2022, we recognized deferred tax expense of
$201.3 million, primarily reflecting deferred tax expense generated from changes
in the fair value of MSRs, loans, and swaps held within taxable entities as well
as income in our servicing and origination business segments.

APPLICATION OF CRITICAL ACCOUNTING POLICIES



Management's Discussion and Analysis of Financial Condition and Results of
Operations is based upon our Consolidated Financial Statements, which have been
prepared in accordance with GAAP. The preparation of financial statements in
conformity with GAAP requires the use of estimates and assumptions that could
affect the reported amounts of assets and liabilities, the disclosure of
contingent assets and liabilities and the reported amounts of revenue and
expenses. Actual results could differ from these estimates. We believe that the
estimates and assumptions utilized in the preparation of the Consolidated
Financial Statements are prudent and reasonable. Actual results historically
have generally been in line with our estimates and judgments used in applying
each of the accounting policies described below, as modified periodically to
reflect current market conditions.

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Our critical accounting policies as of March 31, 2022, which represent our accounting policies that are most affected by judgments, estimates and assumptions, included all of the critical accounting policies referred to in our annual report on Form 10-K for the year ended December 31, 2021.



The ultimate duration and impact of the COVID-19 pandemic, and to a lesser
extent the war in Ukraine, and response thereto remain uncertain. We believe the
estimates and assumptions underlying our Consolidated Financial Statements are
reasonable and supportable based on the information available as of March 31,
2022; however, uncertainty over the ultimate impact COVID-19 and the Russian
invasion of Ukraine will have on the global economy generally, and our business
in particular, makes any estimates and assumptions as of March 31, 2022
inherently less certain than they would be absent the current and potential
impacts of COVID-19 and the war in Ukraine. Actual results may materially differ
from those estimates.

Recent Accounting Pronouncements

See Note 2 to our Consolidated Financial Statements.

RESULTS OF OPERATIONS

The following table summarizes the changes in our results of operations for the three months ended March 31, 2022 compared to the three months ended December 31, 2021 (dollars in thousands). Our results of operations are not necessarily indicative of future performance.


                                                                        Three Months Ended
                                                                                       December 31,
                                                                March 31, 2022             2021                               QoQ Change
Revenues

Servicing fee revenue, net and interest income from MSRs and MSR financing receivables

$       456,400          $  464,200                            $   (7,800)

Change in fair value of MSRs and MSR financing receivables (includes realization of cash flows of $(200,325) and $(267,880), respectively)

                                             575,393            (154,021)                              729,414
Servicing revenue, net                                              1,031,793             310,179                               721,614
Interest income                                                       225,413             217,555                                 7,858
Gain on originated residential mortgage loans, held-for-sale,
net                                                                   471,996             569,815                               (97,819)
                                                                    1,729,202           1,097,549                               631,653
Expenses
Interest expense and warehouse line fees                              138,833             141,936                                (3,103)
General and administrative                                            246,238             289,861                               (43,623)
Compensation and benefits                                             392,619             441,891                               (49,272)
Management fee to affiliate                                            25,189              25,772                                  (583)

                                                                      802,879             899,460                               (96,581)
Other Income (Loss)
Change in fair value of investments                                  (147,119)             10,499                              (157,618)
Gain (loss) on settlement of investments, net                          61,184             (45,642)                              106,826

Other income (loss), net                                               56,072              54,271                                 1,801
                                                                      (29,863)             19,128                               (48,991)
Impairment
Provision (reversal) for credit losses on securities                      711                (181)                                  892
Valuation and credit loss provision (reversal) on loans and
real estate owned (REO)                                                 3,029                  74                                 2,955
                                                                        3,740                (107)                                3,847
Income Before Income Taxes                                            892,720             217,324                               675,396
Income tax expense (benefit)                                          202,789              29,485                               173,304
Net Income                                                    $       689,931          $  187,839                            $  502,092

Noncontrolling interests in income (loss) of consolidated subsidiaries

                                                            5,609               4,908                                   701
Dividends on preferred stock                                           22,461              22,495                                   (34)
Net Income Attributable to Common Stockholders                $       661,861          $  160,436                            $  501,425



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Servicing Revenue, Net

Servicing Revenue, Net consists of the following:


                                                                        Three Months Ended
                                                                                       December 31,
                                                                March 31, 2022             2021                               QoQ Change

Servicing fee revenue, net and interest income from MSRs and MSR financing receivables

$       421,555          $  450,042                            $  (28,487)
Ancillary and other fees                                               34,845              14,158                                20,687
Servicing fee revenue and fees                                        456,400             464,200                                (7,800)
Change in fair value due to:
Realization of cash flows                                            (200,325)           (267,880)                               67,555
Change in valuation inputs and assumptions(A)                         845,037             106,875                               738,162
Change in fair value of derivative instruments                          7,189              11,083                                (3,894)
(Gain) loss realized                                                      306              19,498                               (19,192)
Gain (loss) on settlement of derivative instruments                   (76,814)            (23,597)                              (53,217)
Servicing revenue, net                                        $     1,031,793          $  310,179                            $  721,614

(A)The following table summarizes the components of servicing revenue, net related to changes in valuation inputs and assumptions:


                                                                  Three Months Ended
                                                                                 December 31,
                                                          March 31, 2022             2021                               QoQ Change
Changes in interest and prepayment rates                $       969,165          $   90,185                            $  878,980
Changes in discount rates                                       (65,317)                  -                               (65,317)
Changes in other factors                                        (58,811)             16,690                               (75,501)
Change in valuation and assumptions                     $       845,037          $  106,875                            $  738,162

The table below summarizes the unpaid principal balances of our MSRs and MSR Financing Receivables:


                                Unpaid Principal Balance
(dollars in millions)    March 31, 2022      December 31, 2021             QoQ Change

GSE                     $    376,795.2      $        374,815.6            $  1,979.6
Non-Agency                    60,341.6                63,851.1              (3,509.5)
Ginnie Mae                   111,972.2               109,946.4               2,025.8
Total                   $    549,109.0      $        548,613.1            $    495.9

Servicing revenue, net increased $721.6 million, primarily driven by a $738.2 million net increase in mark-to-market adjustments on our MSR portfolio, and a $67.6 million net decrease in realization of cash flows. The positive mark-to-market


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adjustments of $845.0 million for the three months ended March 31, 2022 were
primarily driven by changes in assumptions related to slower prepayment rates
and higher float income due to rate sell off observed during the quarter.

Interest Income

Interest income increased by $7.9 million quarter over quarter, primarily driven by higher interest rates during the period.

Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net

The following table provides information regarding Gain on Originated Residential Mortgage Loans, Held-for-Sale, Net as a percentage of pull through adjusted lock volume, by channel:


                                                 Three Months Ended
                                       March 31, 2022        December 31, 2021
            Direct to Consumer                   3.14  %                3.22  %
            Retail / Joint Venture               2.85  %                3.42  %
            Wholesale                            0.90  %                0.91  %
            Correspondent                        0.13  %                0.20  %
                                                 1.53  %                1.65  %


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The following table summarizes funded loan production by channel:


                                         Unpaid Principal Balance
                                            Three Months Ended
(in millions)                     March 31, 2022          December 31, 2021                   QoQ Change
Production by Channel
 Direct to Consumer           $       4,425              $            6,680                  $   (2,255)
 Retail / Joint Venture               6,404                           9,168                      (2,764)
 Wholesale                            4,646                           6,628                      (1,982)
 Correspondent                       11,401                          15,645                      (4,244)
Total Production by Channel   $      26,876              $           38,121                  $  (11,245)



Gain on originated residential mortgage loans, held-for-sale, net decreased
$97.8 million primarily driven by a reduction in the pull through adjusted lock
volume attributable to an increase in interest rates during the quarter. Gain on
sale margin for the three months ended March 31, 2022 was 1.53%, 12 bps lower
than 1.65% for the prior quarter. For the three months ended March 31, 2022,
loan origination volume was $26.9 billion, down from $38.1 billion in the prior
quarter as production in all four channels continued to decrease to more
historical levels.

Interest Expense and Warehouse Line Fees



Interest expense decreased by $3.1 million quarter over quarter primarily due to
lower loan fundings on our secured financing warehouse lines, partially offset
by higher interest expense driven by an increase in interest rates during the
quarter.

General and Administrative

General and Administrative expenses consists of the following:


                                            Three Months Ended
                                  March 31, 2022       December 31, 2021                         QoQ Change
      Legal and professional     $        28,586      $           35,889                        $   (7,303)
      Loan origination                    39,901                  59,347                           (19,446)
      Occupancy                           29,777                  31,433                            (1,656)
      Subservicing                        46,808                  62,616                           (15,808)
      Loan servicing                       5,304                   3,158                             2,146
      Property and maintenance            23,603                  21,867                             1,736
      Other                               72,259                  75,551                            (3,292)
      Total                      $       246,238      $          289,861                        $  (43,623)



General and administrative expenses decreased $43.6 million quarter over
quarter, primarily driven by a reduction in loan origination expenses of $19.4
million related to the decrease in loan production and a reduction in
subservicing expense of $15.8 million related to reclasses to subservicing fees
on the HLSS portfolio during the fourth quarter of 2021, as well as a decrease
in UPB and transfers of servicing from external services to internal servicers.

Compensation and Benefits

Compensation and benefits expense decreased $49.3 million quarter over quarter, primarily due to lower headcount within our operating companies and reduced commissions and bonuses commensurate with lower loan production.

Change in Fair Value of Investments

Change in Fair Value of Investments consists of the following:


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                                                  Three Months Ended
                                        March 31, 2022       December 31, 2021                         QoQ Change
Excess MSRs                            $        (2,630)     $           (1,412)                       $   (1,218)
Excess MSRs, equity method investees             1,703                     397                             1,306
Servicer advance investments                      (483)                 (2,541)                            2,058
Real estate and other securities              (605,295)                (64,360)                         (540,935)
Residential mortgage loans                    (106,920)                    774                          (107,694)
Consumer loans                                 (13,733)                 (6,795)                           (6,938)
Mortgage loans receivable                          5,542                     -                             5,542
Derivative instruments                         574,697                  84,436                           490,261

Change in fair value of investments $ (147,119) $ 10,499

$ (157,618)

Change in Fair Value of Real Estate and Other Securities



Change in fair value of investments in real estate securities decreased $540.9
million, primarily driven by unfavorable changes in the fair value of Agency
securities attributable to an increase in interest rates during the quarter.

Change in Fair Value of Residential Mortgage Loans



Change in fair value of investments in residential mortgage loans decreased
$107.7 million, primarily due to unfavorable changes in valuation inputs and
assumptions largely attributable to an increase in interest rates during the
quarter and decreases in loan pricing in the market.

Change in Fair Value of Consumer Loans

Change in fair value of consumer loans decreased $6.9 million, primarily due to unfavorable changes in inputs and assumptions, including lower projected recoveries.

Change in Fair Value of Derivative Instruments



Change in fair value of derivative instruments increased $490.3 million, driven
by favorable changes in inputs and assumptions on interest rate swaps used as
economic hedges within our investment portfolio-i.e., the current outstanding
swap positions are primarily fixed payors and higher interest rates during the
quarter resulted in favorable mark to market adjustments.

Gain (Loss) on Settlement of Investments, Net

Gain (Loss) on Settlement of Investments, Net consists of the following:


                                                                        Three Months Ended
                                                                                       December 31,
                                                                March 31, 2022             2021                               QoQ Change
Sale of real estate securities                                $        (1,557)         $     (311)                           $   (1,246)
Sale of acquired residential mortgage loans                            50,419               4,276                                46,143
Settlement of derivatives                                              47,475             (19,668)                               67,143
Liquidated residential mortgage loans                                 (29,932)                (78)                              (29,854)
Sale of REO                                                            (2,090)             (2,808)                                  718
Extinguishment of debt                                                      -              (1,568)                                1,568
Other                                                                  (3,131)            (25,485)                               22,354
                                                              $        61,184          $  (45,642)                           $  106,826



Gain on settlement of investments, net increased $106.8 million during the first
quarter of 2022, primarily due to net realized gains on loan sales and
settlement of derivatives, partially offset by an increase in realized losses
associated with collapse loan purchases.

Other Income (Loss), Net


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Other Income (Loss), Net consists of the following:


                                                                       Three Months Ended
                                                                                      December 31,
                                                               March 31, 2022             2021                                QoQ Change

Unrealized gain (loss) on secured notes and bonds payable $ 7,194 $ 7,746

$      (552)
Rental revenue                                                         8,129               5,919                                  2,210
Property and maintenance revenue                                      34,305              31,032                                  3,273
Other income (loss)                                                    6,444               9,574                                 (3,130)
                                                             $        56,072          $   54,271                            $     1,801

Other income increased $1.8 million, primarily due to an increase of $3.3 million in property and maintenance revenue at Guardian Asset Management and an increase of $2.2 million in rental property revenue from our SFR business.

Income Tax Expense

Income tax expense increased $173.3 million, primarily driven by changes in the fair value of MSRs, loans, and swaps held within taxable entities, offset partially by the deferral of income related to capitalized MSRs.

LIQUIDITY AND CAPITAL RESOURCES



Liquidity is a measurement of our ability to meet potential cash requirements,
including ongoing commitments to repay borrowings, fund and maintain
investments, and other general business needs. Additionally, to maintain our
status as a REIT under the Internal Revenue Code, we must distribute annually at
least 90% of our REIT taxable income. We note that a portion of this requirement
may be able to be met in future years through stock dividends, rather than cash,
subject to limitations based on the value of our stock.

Our primary sources of funds are cash provided by operating activities (primarily income from loan originations and servicing), sales of and repayments from our investments, potential debt financing sources, including securitizations, and the issuance of equity securities, when feasible and appropriate.



Our primary uses of funds are the payment of interest, management fees,
servicing and subservicing expenses, outstanding commitments (including margins
and loan originations), other operating expenses, repayment of borrowings and
hedge obligations, dividends and funding of future servicer advances. The
Company's total cash and cash equivalents at March 31, 2022 was $1,671.2
million.

Our ability to utilize funds generated by the MSRs held in our servicer
subsidiaries, NRM, Newrez, and Caliber, is subject to and limited by certain
regulatory requirements, including maintaining liquidity, tangible net worth and
ratio of capital to assets. Moreover, our ability to access and utilize cash
generated from our regulated entities is an important part of our dividend
paying ability. As of March 31, 2022, approximately $1,126.1 million of our cash
and cash equivalents were held at NRM, Newrez, and Caliber, of which $955.7
million were in excess of regulatory liquidity requirements. NRM, Newrez, and
Caliber are expected to maintain compliance with applicable liquidity and net
worth requirements throughout the year.

Currently, our primary sources of financing are secured financing agreements and
secured notes and bonds payable, although we have in the past and may in the
future also pursue one or more other sources of financing such as
securitizations and other secured and unsecured forms of borrowing. As of
March 31, 2022, we had outstanding secured financing agreements with an
aggregate face amount of approximately $17.3 billion to finance our investments.
The financing of our entire RMBS portfolio, which generally has 30- to 90-day
terms, is subject to margin calls. Under secured financing agreements, we sell a
security to a counterparty and concurrently agree to repurchase the same
security at a later date for a higher specified price. The sale price represents
financing proceeds and the difference between the sale and repurchase prices
represents interest on the financing. The price at which the security is sold
generally represents the market value of the security less a discount or
"haircut," which can range broadly. During the term of the secured financing
agreement, the counterparty holds the security as collateral. If the agreement
is subject to margin calls, the counterparty monitors and calculates what it
estimates to be the value of the collateral during the term of the agreement. If
this value declines by more than a de minimis threshold, the counterparty could
require us to post additional collateral (or "margin") in order to maintain the
initial haircut on the collateral. This margin is typically required to be
posted in the form of cash and cash equivalents. Furthermore, we may, from time
to time, be a party to derivative agreements or financing arrangements that may
be subject to margin calls based on the value of such instruments. In addition,
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$4.8 billion face amount of our MSR and Excess MSR financing is subject to
mandatory monthly repayment to the extent that the outstanding balance exceeds
the market value (as defined in the related agreement) of the financed asset
multiplied by the contractual maximum loan-to-value ratio. We seek to maintain
adequate cash reserves and other sources of available liquidity to meet any
margin calls or related requirements resulting from decreases in value related
to a reasonably possible (in our opinion) change in interest rates.

Our ability to obtain borrowings and to raise future equity capital is dependent
on our ability to access borrowings and the capital markets on attractive terms.
We continually monitor market conditions for financing opportunities and at any
given time may be entering or pursuing one or more of the transactions described
above. Our Manager's senior management team has extensive long-term
relationships with investment banks, brokerage firms and commercial banks, which
we believe enhance our ability to source and finance asset acquisitions on
attractive terms and access borrowings and the capital markets at attractive
levels.

Our ability to fund our operations, meet financial obligations and finance
acquisitions may be impacted by our ability to secure and maintain our secured
financing agreements, credit facilities and other financing arrangements.
Because secured financing agreements and credit facilities are short-term
commitments of capital, lender responses to market conditions may make it more
difficult for us to renew or replace, on a continuous basis, our maturing
short-term borrowings and have imposed, and may continue to impose, more onerous
conditions when rolling such financings. If we are not able to renew our
existing facilities or arrange for new financing on terms acceptable to us, or
if we default on our covenants or are otherwise unable to access funds under our
financing facilities or if we are required to post more collateral or face
larger haircuts, we may have to curtail our asset acquisition activities and/or
dispose of assets.

While market volatility attributable to COVID-19 has subsided, it is possible
that volatility may increase again due to the continued uncertainty brought
about by the initial COVID-19 strain as well as its evolving variants.
Consequently, our lenders may become unwilling or unable to provide us with
financing and we could be forced to sell our assets at an inopportune time when
prices are depressed. In addition, if the regulatory capital requirements
imposed on our lenders change, they may be required to significantly increase
the cost of the financing that they provide to us. Our lenders also have revised
and may continue to revise their eligibility requirements for the types of
assets they are willing to finance or the terms of such financings, including
haircuts and requiring additional collateral in the form of cash, based on,
among other factors, the regulatory environment and their management of actual
and perceived risk. Moreover, the amount of financing we receive under our
secured financing agreements will be directly related to our lenders' valuation
of our assets that cover the outstanding borrowings.

In February 2022, the FHFA released re-proposed Enterprise Single Family
Seller/Servicers Eligibility Requirements for comment. The FHFA's re-proposed
requirements, if adopted, would increase our capital and liquidity requirements
and, as a result, would lower our returns on capital.

With respect to the next 12 months, we expect that our cash on hand combined
with our cash flow provided by operations and our ability to roll our secured
financing agreements and servicer advance financings will be sufficient to
satisfy our anticipated liquidity needs with respect to our current investment
portfolio, including related financings, potential margin calls, loan
origination and operating expenses. Our ability to roll over short-term
borrowings is critical to our liquidity outlook. We have a significant amount of
near-term maturities, which we expect to be able to refinance. If we cannot
repay or refinance our debt on favorable terms, we will need to seek out other
sources of liquidity. While it is inherently more difficult to forecast beyond
the next 12 months, we currently expect to meet our long-term liquidity
requirements through our cash on hand and, if needed, additional borrowings,
proceeds received from secured financing agreements and other financings,
proceeds from equity offerings and the liquidation or refinancing of our assets.

These short-term and long-term expectations are forward-looking and subject to a
number of uncertainties and assumptions, including those described under
"-Market Considerations" as well as "Risk Factors." If our assumptions about our
liquidity prove to be incorrect, we could be subject to a shortfall in liquidity
in the future, and such a shortfall may occur rapidly and with little or no
notice, which could limit our ability to address the shortfall on a timely basis
and could have a material adverse effect on our business.

Our cash flow provided by operations differs from our net income due to these
primary factors (i) the difference between (a) accretion and amortization and
unrealized gains and losses recorded with respect to our investments and (b)
cash received therefrom, (ii) unrealized gains and losses on our derivatives,
and recorded impairments, if any, (iii) deferred taxes, and (iv) principal cash
flows related to held-for-sale loans, which are characterized as operating cash
flows under GAAP.

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Debt Obligations

The following table summarizes certain information regarding our debt obligations (dollars in thousands):

March 31, 2022                                                                                                                   December 31, 2021
                                                                                                                                                                                                                                    Collateral
                                                      Outstanding Face                                                                     Weighted Average        Weighted Average                                   Amortized Cost                                  Weighted Average
Debt Obligations/Collateral                                Amount              Carrying Value(A)          Final Stated Maturity(B)           Funding Cost            Life (Years)            Outstanding Face              Basis              Carrying Value            Life (Years)            Carrying Value(A)
Secured Financing Agreements(C)
Repurchase Agreements:
Warehouse Credit Facilities-Residential
Mortgage Loans(F)                                     $   6,499,733          $        6,496,986               Apr-22 to Sep-25                      2.02  %                      0.8       $       7,301,583          $  7,243,197          $     7,151,031                        21.0       $       10,138,297
Warehouse Credit Facilities-Mortgage
Loans Receivable(E)                                       1,089,677                   1,089,677                    Dec-23                           2.59  %                      1.7               1,314,181             1,314,181                1,327,176                         0.7                1,252,660
Agency RMBS(D)                                            8,852,537                   8,852,537               Apr-22 to Jun-22                      0.23  %                      0.1               9,076,373             9,335,810                8,530,172                         9.1                8,386,538
Non-Agency RMBS(E)                                          634,347                     634,347               Apr-22 to Oct-23                      2.81  %                      0.1              14,324,636               902,889                  931,034                         3.2                  656,874
SFR properties(E)                                           208,326                     208,326                    Dec-22                           2.77  %                      0.7                        N/A            292,626                  292,626                         N/A                  158,515
Total Secured Financing Agreements                       17,284,620                  17,281,873                                                     1.18  %                      0.4                                                                                                                  

20,592,884


Secured Notes and Bonds Payable
Excess MSRs(G)                                              228,497                     228,497                     Aug-25                          3.74  %                      3.4              76,449,292               268,120                  330,248                         6.7                  237,835
MSRs(H)                                                   4,538,376                   4,528,074               Dec-22 to Dec-26                      3.53  %                      3.0             529,125,502             5,668,359                7,610,826                         6.8                4,234,771
Servicer Advance Investments(I)                             329,437                     328,586               Apr-22 to Dec-22                      1.22  %                      0.7                 354,566               375,232                  390,770                         7.3                  355,722
Servicer Advances(I)                                      2,249,796                   2,244,605               May-22 to Nov-24                      2.32  %                      1.4               2,712,916             2,652,210                2,652,210                         0.7                2,355,969
Residential Mortgage Loans(J)                               775,179                     774,476               Mar-24 to Jul-43                      1.43  %                      2.7                 782,973               784,969                  784,969                        26.8                  802,526
Consumer Loans(K)                                           419,866                     413,881                    Sep-37                           2.06  %                      8.1                 414,800               426,933                  462,023                         3.2                  458,580
SFR Properties                                              437,660                     437,414                Mar-23 - Feb-27                      3.21  %                      3.3                        N/A            483,268                  483,268                         N/A                  199,407
Mortgage Loans Receivable(L)                                324,062                     324,062                    Dec-26                           4.21  %                      4.7                 356,514               356,514                  356,514                         0.4                

-


Total Secured Notes and Bonds Payable                     9,302,873                   9,279,595                                                     2.93  %                      2.8                                                                                                                   8,644,810
Total/ Weighted Average                               $  26,587,493          $       26,561,468                                                     1.80  %                      1.3                                                                                                          $       29,237,694



(A)Net of deferred financing costs.
(B)All debt obligations with a stated maturity through the date of issuance were
refinanced, extended or repaid.
(C)Includes approximately $21.3 million of associated accrued interest payable
as of March 31, 2022.
(D)All fixed interest rates.
(E)All LIBOR-based floating interest rates.
(F)Includes $240.1 million which bear interest at a fixed rate of 4.0% with the
remaining having LIBOR-based floating interest rates.
(G)Includes $228.5 million of corporate loans which bear interest at a fixed
rate of 3.7%.
(H)Includes $2.4 billion of MSR notes which bear interest equal to the sum of
(i) a floating rate index equal to one-month LIBOR or SOFR, and (ii) a margin
ranging from 2.5% to 3.5%; and $2.2 billion of capital market notes with fixed
interest rates ranging 3.0% to 5.4%. The outstanding face amount of the
collateral represents the UPB of the residential mortgage loans underlying the
MSRs and MSR Financing Receivables securing these notes.
(I)$1.8 billion face amount of the notes have a fixed rate while the remaining
notes bear interest equal to the sum of (i) a floating rate index equal to
one-month LIBOR or a cost of funds rate, as applicable, and (ii) a margin
ranging from 1.1% to 3.5%. Collateral includes Servicer Advance Investments, as
well as servicer advances receivable related to the mortgage servicing rights
and MSR financing receivables owned by NRM.
(J)Represents (i) $25.2 million of SAFT 2013-1 mortgage-backed securities issued
with fixed interest rate of 3.8%, and (ii) $750.0 million securitization backed
by a revolving warehouse facility to finance newly originated first-lien, fixed-
and adjustable-rate residential mortgage loans which bears interest equal to
one-month LIBOR plus 1.1%.
(K)Includes the SpringCastle debt, which is primarily composed of the following
classes of asset-backed notes held by third parties: $366.8 million UPB of Class
A notes with a coupon of 2.0% and a stated maturity date in September 2037 and
$53.0 million UPB of Class B notes with a coupon of 2.7% and a stated maturity
date in September 2037 (collectively, "SCFT 2020-A").
(L)Reflects the 2022-RTL1 Securitization. Refer to Note 20 for details.

Certain of the debt obligations included above are obligations of our consolidated subsidiaries, which own the related collateral. In some cases, such collateral is not available to other creditors of ours.



We have margin exposure on $17.3 billion of repurchase agreements. To the extent
that the value of the collateral underlying these repurchase agreements
declines, we may be required to post margin, which could significantly impact
our liquidity.
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The following tables provide additional information regarding our short-term borrowings (dollars in thousands):

Three Months Ended March 31, 2022


                                          Outstanding              Average Daily
                                           Balance at                 Amount               Maximum Amount          Weighted Average
                                         March 31, 2022           Outstanding(A)             Outstanding          Daily Interest Rate
Secured Financing Agreements
Agency RMBS                            $     8,852,537          $      9,015,478          $   11,494,782                      0.20  %
Non-Agency RMBS                                634,347                   646,092                 667,277                      2.59  %
Residential mortgage loans                   6,010,632                 7,477,038              11,167,266                      1.90  %
Real estate owned                                3,948                     4,703                   5,168                      2.29  %

Secured Notes and Bonds Payable



MSRs                                           592,000                   521,267                 592,000                      3.47  %
Servicer advances                              852,128                 1,051,673               1,242,051                      1.70  %

Total/weighted average                 $    16,945,592          $     18,716,251          $   25,168,544                      1.08  %


(A)Represents the average for the period the debt was outstanding.



                                                         Average Daily Amount Outstanding(A)
                                                                  Three Months Ended
                                                                                   September 30,
                               March 31, 2022           December 31, 2021               2021              June 30, 2021
Secured Financing Agreements
Agency RMBS                  $     9,015,478          $        8,789,698          $  10,098,123          $  15,169,877
Non-Agency RMBS                      646,092                     711,931                715,802                724,014
Residential mortgage loans         7,477,038                   8,497,137              4,879,365              4,622,809
Real estate owned                      4,703                       5,609                  9,923                 19,294

(A)Represents the average for the period the debt was outstanding.

Corporate Debt

On May 19, 2020, we, as borrower, entered into a three-year senior secured term loan facility agreement (the "2020 Term Loan") in the principal amount of $600.0 million at a fixed annual rate of 11.0%.



In August 2020, we made a $51.0 million prepayment on the 2020 Term Loan. As a
result, we recorded a $5.7 million loss on extinguishment of debt, representing
a write-off of unamortized debt issuance costs and original issue discount.

In conjunction with the issuance of the 2020 Term Loan, we issued warrants
providing the lenders with the right to acquire, subject to anti-dilution
adjustments, up to 43.4 million shares of our common stock in the aggregate (the
"2020 Warrants"). The 2020 Warrants are exercisable in cash or on a cashless
basis and expire on May 19, 2023 and are exercisable, in whole or in part, at
any time or from time to time after September 19, 2020 at the following prices
(subject to certain anti-dilution provisions): approximately 24.6 million shares
of common stock at $6.11 per share and approximately 18.9 million shares of
common stock at $7.94 per share. As of March 31, 2022, the weighted average
exercise price was $6.40 per share.

On September 16, 2020, we, as borrower, completed a private offering of $550.0
million aggregate principal amount of 6.250% senior unsecured notes due 2020
(the "2025 Senior Notes"). Interest on the 2025 Senior Notes accrue at the rate
of 6.250% per annum with interest payable semi-annually in arrears on each April
15 and October 15, commencing on April 15, 2021. Net proceeds from the offering
were approximately $544.5 million, after deducting the initial purchasers'
discounts and commissions and estimated offering expenses payable by us. We used
the net proceeds from the offering, together with cash on hand, to prepay and
retire our then-existing 2020 Term Loan and to pay related fees and expenses. As
a result, we recorded a $61.1 million loss on extinguishment of debt,
representing a write-off of unamortized debt issuance costs and original issue
discount.

The 2025 Senior Notes mature on October 15, 2025 and we may redeem some or all
of the 2025 Senior Notes at our option, at any time from time to time, on or
after October 15, 2022 at a price equal to the following fixed redemption prices
(expressed as a percentage of principal amount of the 2025 Senior Notes to be
redeemed):
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Year                      Price
2022                      103.125%
2023                      101.563%
2024 and thereafter       100.000%



Prior to October 15, 2022, we will be entitled at its option on one or more
occasions to redeem the 2025 Senior Notes in an aggregate principal amount not
to exceed 40% of the aggregate principal amount of the 2025 Senior Notes
originally issued prior to the applicable redemption date at a fixed redemption
price of 106.250%.

For additional information on our debt activities, see Note 18 to our Consolidated Financial Statements.

Maturities



Our debt obligations as of March 31, 2022, as summarized in Note 18 to our
Consolidated Financial Statements, had contractual maturities as follows (in
thousands):
Year Ending                             Nonrecourse(A)       Recourse(B)    

Total

April 1 through December 31, 2022 $ 710,834 $ 13,307,583

  $ 14,018,417
2023                                         1,200,000         4,790,712         5,990,712
2024                                         1,196,018         1,358,936         2,554,954
2025                                                 -         1,954,100         1,954,100
2026                                                 -         1,906,939         1,906,939
2027 and thereafter                            445,044           267,327           712,371
                                       $     3,551,896      $ 23,585,597      $ 27,137,493

(A)Includes secured notes and bonds payable of $3.6 billion. (B)Includes secured financing agreements and secured notes and bonds payable of $17.3 billion and $6.3 billion, respectively.



The weighted average differences between the fair value of the assets and the
face amount of available financing for the Agency RMBS repurchase agreements and
Non-Agency RMBS repurchase agreements were 3.8% and 32%, respectively, and for
residential mortgage loans and SFR Properties were 9% and 29%, respectively,
during the three months ended March 31, 2022.

Borrowing Capacity

The following table summarizes our borrowing capacity as of March 31, 2022 (in thousands):


                                                                Borrowing               Balance               Available
Debt Obligations / Collateral                                    Capacity             Outstanding            Financing(A)
Secured Financing Agreements
Residential mortgage loans and REO                           $   5,353,992          $   3,050,672          $   2,303,320
Loan origination                                                16,404,154              5,497,064             10,907,090
Secured Notes and Bonds Payable
Excess MSRs                                                        286,380                228,497                 57,883
MSRs                                                             5,582,219              4,538,376              1,043,843
Servicer advances                                                4,033,346              2,579,233              1,454,113
Residential mortgage loans                                         200,000                170,335                 29,665
                                                             $  31,860,091          $  16,064,177          $  15,795,914


(A)Although available financing is uncommitted, our unused borrowing capacity is
available to us if we have additional eligible collateral to pledge and meet
other borrowing conditions as set forth in the applicable agreements, including
any applicable advance rate.

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Covenants



Certain of the debt obligations are subject to customary loan covenants and
event of default provisions, including event of default provisions triggered by
certain specified declines in our equity or failure to maintain a specified
tangible net worth, liquidity, or indebtedness to tangible net worth ratio.
Additionally, with the expected phase out of LIBOR, we expect the calculated
rate on certain debt obligations will be changed to another published reference
standard before the planned cessation of LIBOR quotations in 2023. However, we
do not anticipate this change having a significant effect on the terms and
conditions, ability to access credit, or on our financial condition. We were in
compliance with all of our debt covenants as of March 31, 2022.

Stockholders' Equity

Preferred Stock

Pursuant to our certificate of incorporation, we are authorized to designate and issue up to 100.0 million shares of preferred stock, par value of $0.01 per share, in one or more classes or series.

The following table summarizes preferred shares:


                                                                                                                                                                               Dividends Declared per
                                                                                                                                                                                        Share
                                                                                                                                                                                 Three Months Ended
                                                           Number of Shares                                                                                                           March 31,
                                                                                                      Liquidation                    Issuance             Carrying
Series                                     March 31, 2022               December 31, 2021            Preference(A)                   Discount             Value(B)              2022             2021
Series A, 7.50% issued July 2019(C)            6,210                              6,210            $       155,250                       3.15  %       $    150,026          $   0.47          $ 0.47
Series B, 7.125% issued August
2019(C)                                       11,300                             11,300                    282,500                       3.15  %            273,418              0.45            0.45
Series C, 6.375% issued February
2020(C)                                       15,928                             16,100                    398,209                       3.15  %            385,734              0.40            0.40
Series D, 7.00%, issued September
2021(D)                                       18,600                             18,600                    465,000                       3.15  %            449,489              0.44               -
Total                                         52,038                             52,210            $     1,300,959                                     $  1,258,667          $   1.76          $ 1.32

(A)Each series has a liquidation preference or par value of $25.00 per share. (B)Carrying value reflects par value less discount and issuance costs. (C)Fixed-to-floating rate cumulative redeemable preferred. (D)Fixed-rate reset cumulative redeemable preferred.



Our Series A, Series B, Series C, and Series D rank senior to all classes or
series of our common stock and to all other equity securities issued by us that
expressly indicate are subordinated to the Series A, Series B, Series C, and
Series D with respect to rights to the payment of dividends and the distribution
of assets upon our liquidation, dissolution or winding up. Our Series A, Series
B, Series C, and Series D have no stated maturity, are not subject to any
sinking fund or mandatory redemption and rank on parity with each other. Under
certain circumstances upon a change of control, our Series A, Series B, Series
C, and Series D are convertible to shares of our common stock.

From and including the date of original issue, July 2, 2019, August 15, 2019,
February 14, 2020, and September 17, 2021 but excluding August 15, 2024, August
15, 2024, February 15, 2025, and November 15, 2026, holders of shares of our
Series A, Series B, Series C, and Series D are entitled to receive cumulative
cash dividends at a rate of 7.50%, 7.125%, 6.375%, and 7.00% per annum of the
$25.00 liquidation preference per share (equivalent to $1.875, $1.781, $1.594,
and $1.750 per annum per share), respectively, and from and including August 15,
2024, August 15, 2024 and February 15, 2025, at a floating rate per annum equal
to the three-month LIBOR plus a spread of 5.802%, 5.640%, and 4.969% per annum,
for our Series A, Series B, and Series C, respectively. Holders of shares of our
Series D, from and including November 15, 2026, are entitled to receive
cumulative cash dividends based on the five-year treasury rate plus a spread of
6.223%. Dividends for the Series A, Series B, Series C, and Series D are payable
quarterly in arrears on or about the 15th day of each February, May, August and
November.

The Series A and Series B will not be redeemable before August 15, 2024, the
Series C will not be redeemable before February 15, 2025, and the Series D will
not be redeemable before November 15, 2026 except under certain limited
circumstances intended to preserve our qualification as a REIT for U.S. federal
income tax purposes and except upon the occurrence of a Change of Control (as
defined in the Certificate of Designations). On or after August 15, 2024 for the
Series A and Series B, February 15, 2025 for the Series C, and November 15, 2026
for the Series D we may, at our option, upon not less than 30 nor more than 60
days' written notice, redeem the Series A, Series B, Series C, and Series D in
whole or in part, at any time or from time to time, for cash at a redemption
price of $25.00 per share, plus any accumulated and unpaid dividends thereon
(whether or not authorized or declared) to, but excluding, the redemption date,
without interest.

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Common Stock

Our certificate of incorporation authorizes 2.0 billion shares of common stock, par value $0.01 per share.

Approximately 2.4 million shares of our common stock were held by Fortress, through its affiliates, and its principals as of March 31, 2022.



On April 14, 2021, we priced our underwritten public offering of 45,000,000
shares of its common stock at a public offering price of $10.10 per share. In
connection with the offering, we granted the underwriters an option for a period
of 30 days to purchase up to an additional 6,750,000 shares of common stock at a
price of $10.10 per share. On April 16, 2021, the underwriters exercised their
option, in part, to purchase an additional 6,725,000 shares of common stock. The
offering closed on April 19, 2021. To compensate the Manager for its successful
efforts in raising capital for us, we granted options to the Manager relating to
5.2 million shares of New Residential's common stock at $10.10 per share. We
used the net proceeds of approximately $512.0 million from the offering, along
with cash on hand and other sources of liquidity, to finance the Caliber
acquisition in the third quarter of 2021.

On May 19, 2021, we entered into a Distribution Agreement to sell shares of our
common stock, par value $0.01 per share (the "ATM Shares"), having an aggregate
offering price of up to $500.0 million, from time to time, through an
"at-the-market" equity offering program (the "ATM Program"). No share issuances
were made during the three months ended March 31, 2022.

On September 14, 2021, we priced our underwritten public offering of 17,000,000
of our 7.00% fixed-rate reset series D cumulative redeemable preferred stock,
par value $0.01 per share, with a liquidation preference of $25.00 per share for
net proceeds of approximately $449.5 million. The offering closed on September
17, 2021. In connection with the offering, we granted the underwriters an option
for a period of 30 days to purchase up to an additional 2,550,000 shares of
preferred stock at a price of $24.2125 per share. On September 22, 2021, the
underwriters exercised their option, in part, to purchase an additional
1,600,000 shares of preferred stock. To compensate the Manager for its
successful efforts in raising capital for us, we granted options to the Manager
relating to approximately 1.9 million shares of our common stock at $10.89 per
share.

In December 2021, our board of directors authorized the repurchase of up to
$200.0 million of our common stock and $100.0 million of our preferred stock
through December 31, 2022. Repurchases may be made at any time and from time to
time through open market purchases or privately negotiated transactions,
pursuant to one or more plans established pursuant to Rule 10b5-1 under the
Exchange Act, by means of one or more tender offers, or otherwise, in each case,
as permitted by securities laws and other legal and contractual requirements.
The amount and timing of the purchases will depend on a number of factors
including the price and availability of our shares, trading volume, capital
availability, our performance and general economic and market conditions. The
share repurchase programs may be suspended or discontinued at any time. No share
repurchases have been made as of the filing of this report. Repurchases may
impact our financial results, including fees paid to our Manager. During the
three months ended March 31, 2022, we repurchased approximately $3.8 million of
Preferred Series C at a weighted average price of $22.20 per share.

The following table summarizes outstanding options as of March 31, 2022:



Held by the Manager                                                         

18,467,776

Issued to the Manager and subsequently assigned to certain of the Manager's employees

3,004,214


Issued to the independent directors                                                     6,000
Total                                                                              21,477,990


As of March 31, 2022, our outstanding options had a weighted average exercise price of $13.82.



Common Dividends

We are organized and intend to conduct our operations to qualify as a REIT for
U.S. federal income tax purposes. We intend to make regular quarterly
distributions to holders of our common stock. U.S. federal income tax law
generally requires that a REIT distribute annually at least 90% of its REIT
taxable income, without regard to the deduction for dividends paid and excluding
net capital gains, and that it pay tax at regular corporate rates to the extent
that it annually distributes less than 100% of its taxable income. We intend to
make regular quarterly distributions of our taxable income to holders of our
common stock out of assets legally available for this purpose, if and to the
extent authorized by our board of directors. Before we pay any dividend, whether
for U.S. federal income tax purposes or otherwise, we must first meet both our
operating requirements and
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debt service on our secured financing agreements and other debt payable. If our
cash available for distribution is less than our taxable income, we could be
required to sell assets or raise capital to make cash distributions or we may
make a portion of the required distribution in the form of a taxable stock
distribution or distribution of debt securities.

We make distributions based on a number of factors, including an estimate of
taxable earnings per common share. Dividends distributed and taxable and GAAP
earnings will typically differ due to items such as fair value adjustments,
differences in premium amortization and discount accretion, other differences in
method of accounting, non-deductible general and administrative expenses,
taxable income arising from certain modifications of debt instruments and
investments held in TRSs. Our quarterly dividend per share may be substantially
different than our quarterly taxable earnings and GAAP earnings per share.

We will continue to monitor market conditions and the potential impact the
ongoing volatility and uncertainty may have on our business. Our board of
directors will continue to evaluate the payment of dividends as market
conditions evolve, and no definitive determination has been made at this time.
While the terms and timing of the approval and declaration of cash dividends, if
any, on shares of our capital stock is at the sole discretion of our board of
directors and we cannot predict how market conditions may evolve, we intend to
distribute to our stockholders an amount equal to at least 90% of our REIT
taxable income determined before applying the deduction for dividends paid and
by excluding net capital gains consistent with our intention to maintain our
qualification as a REIT under the Code.

The following table summarizes common dividends declared for the periods
presented:
Common Dividends Declared for the Period Ended         Paid/Payable      Amount Per Share

March 31, 2021                                          April 2021      $            0.20
June 30, 2021                                           July 2021                    0.20
September 30, 2021                                     October 2021                  0.25
December 31, 2021                                      January 2022                  0.25
March 31, 2022                                          April 2022                   0.25



Cash Flows

The following table summarizes changes to our cash, cash equivalents, and restricted cash for the periods presented:


                                                                 Three Months Ended
                                                          March 31,           December 31,
                                                             2022                 2021                Change
Beginning of period - cash, cash equivalents, and
restricted cash                                         $ 1,528,442

$ 1,561,423 $ (32,981)



Net cash provided by (used in) operating
activities                                                3,890,152             3,570,367             319,785
Net cash provided by (used in) investing
activities                                                 (736,320)             (500,790)           (235,530)
Net cash provided by (used in) financing
activities                                               (2,716,060)           (3,102,558)            386,498

Net increase (decrease) in cash, cash
equivalents, and restricted cash                            437,772               (32,981)            470,753

End of period - cash, cash equivalents, and
restricted cash                                         $ 1,966,214          $  1,528,442          $  437,772



Operating Activities

Net cash provided by operating activities were approximately $3.9 billion and
$3.6 billion for the three months ended March 31, 2022 and December 31, 2021,
respectively. Operating cash inflows for the three months March 31, 2022
primarily consisted of proceeds from sales and principal repayments of purchased
residential mortgage loans, held-for-sale, servicing fees received, net interest
income received, and net recoveries of servicer advances receivable. Operating
cash outflows primarily consisted of purchases of residential mortgage loans,
held-for-sale, loan originations, management fees paid to the Manager, and
subservicing fees paid.

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Investing Activities



Cash flows (used in) investing activities were $(0.7) billion and $(0.5) billion
for the three months ended March 31, 2022 and December 31, 2021, respectively.
Investing activities for the three months March 31, 2022 primarily consisted of
cash paid for SFR properties, real estate securities, and the funding of
servicer advance investments, net of principal repayments from servicer advance
investments, MSRs, real estate securities and loans as well as proceeds from the
sale of real estate securities, loans and REO, and derivative cash flows.

Financing Activities



Cash flows (used in) financing activities were approximately $(2.7) billion and
$(3.1) billion for the three months ended March 31, 2022 and December 31, 2021,
respectively. Financing activities for the three months March 31, 2022 primarily
consisted of borrowings net of repayments under debt obligations, margin
deposits net of returns, capital contributions net of distributions from
noncontrolling interests in the equity of consolidated subsidiaries, and payment
of dividends.

INTEREST RATE, CREDIT AND SPREAD RISK

We are subject to interest rate, credit and spread risk with respect to our investments. These risks are further described in "Quantitative and Qualitative Disclosures About Market Risk."

OFF-BALANCE SHEET ARRANGEMENTS



We have material off-balance sheet arrangements related to our non-consolidated
securitizations of residential mortgage loans treated as sales in which we
retained certain interests. We believe that these off-balance sheet structures
presented the most efficient and least expensive form of financing for these
assets at the time they were entered and represented the most common
market-accepted method for financing such assets. Our exposure to credit losses
related to these non-recourse, off-balance sheet financings is limited to
$1.0 billion. As of March 31, 2022, there was $11.7 billion in total outstanding
unpaid principal balance of residential mortgage loans underlying such
securitization trusts that represent off-balance sheet financings.

We are party to mortgage loan participation purchase and sale agreements, pursuant to which we have access to uncommitted facilities that provide liquidity for recently sold MBS up to the MBS settlement date. These facilities, which we refer to as gestation facilities, are a component of our financing strategy and are off-balance sheet arrangements.

As of March 31, 2022, we did not have any other commitments or obligations, including contingent obligations, arising from arrangements with unconsolidated entities or persons that have or are reasonably likely to have a material current or future effect on our financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, cash requirements or capital resources.

CONTRACTUAL OBLIGATIONS



Our contractual obligations as of March 31, 2022 included all of the material
contractual obligations referred to in our annual report on Form 10-K for the
year ended December 31, 2021, excluding debt that was repaid as described in
"-Liquidity and Capital Resources-Debt Obligations."

In addition, we executed the following material contractual obligations during the three months ended March 31, 2022:

•Derivatives - as described in Note 17 to our Consolidated Financial Statements, we altered the composition of our economic hedges during the period. •Debt obligations - as described in Note 18 to our Consolidated Financial Statements, we borrowed additional amounts.



See Notes 16, 22 and 25 to our Consolidated Financial Statements included in
this report for information regarding commitments and material contracts entered
into subsequent to March 31, 2022, if any. As described in Note 22, we have
committed to purchase certain future servicer advances. The actual amount of
future advances is subject to significant uncertainty. However, we currently
expect that net recoveries of servicer advances will exceed net fundings for the
foreseeable future. This expectation is based on judgments, estimates and
assumptions, all of which are subject to significant uncertainty. In addition,
the Consumer Loan Companies have invested in loans with an aggregate of $237.9
million of unfunded and available revolving credit privileges as of March 31,
2022. However, under the terms of these loans, requests for draws may be denied
and unfunded availability may be terminated at management's discretion. Lastly,
Genesis had commitments to fund up to $672.3 million of additional advances on
existing mortgage loans as of March 31, 2022. These commitments are generally
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subject to loan agreements with covenants regarding the financial performance of
the customer and other terms regarding advances that must be met before Genesis
funds the commitment.

INFLATION

Virtually all of our assets and liabilities are financial in nature. As a
result, interest rates and other factors affect our performance more so than
inflation, although inflation rates can often have a meaningful influence over
the direction of interest rates. Furthermore, our financial statements are
prepared in accordance with GAAP and our distributions are determined by our
board of directors primarily based on our taxable income, and, in each case, our
activities and balance sheet are measured with reference to historical cost
and/or fair market value without considering inflation. See "Quantitative and
Qualitative Disclosures About Market Risk-Interest Rate Risk."

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