RITHM CAPITAL CORP. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS (form 10-Q)

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 Rithm Capital. 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
September 30, 2022 compared to the immediately preceding prior quarter ended
June 30, 2022.

COMPANY OVERVIEW

Rithm Capital 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 September 30, 2022, we had approximately $35 billion in total assets and
7,330 employees, including those employed by our operating entities.

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

INTERNALIZATION OF MANAGEMENT


On June 17, 2022, we entered into definitive agreements with the Former Manager
to internalize our management function. As part of the termination of the
existing Management Agreement, we agreed to pay $400.0 million (subject to
certain adjustments) to the Former Manager. Following the Internalization, we no
longer pay a management or incentive fee to the Former Manager.

In connection with the termination of the Management Agreement, we entered into
the Transition Services Agreement with the Former Manager in order to facilitate
the transition of management functions and operations through the earliest to
occur (i) the date on which no remaining service is to be provided under the
Transition Services Agreement or (ii) December 31, 2022 (or earlier if the
Transition Services Agreement is terminated earlier). Under the Transition
Services Agreement, the Former Manager provides (or causes to be provided), at
cost, all of the services it was previously providing to us immediately prior to
the Effective Date. The Transition Services primarily include information
technology, legal, regulatory compliance, tax and accounting services. The
Company may elect to terminate any individual service at any time upon written
notice to the Former Manager. The Transition Services are provided for a fee
intended to be equal to the Former Manager's cost of providing the Transition
Services, including the allocated cost of, among other things, overhead,
employee wages and compensation and actually incurred out-of-pocket expenses,
and will be invoiced on a monthly basis. The Transition Services Agreement may
be terminated earlier in accordance with its terms or if we and the Former
Manager agree that no further services are required. We incurred $3.9 million
and $4.4 million in costs for Transition Services during the three and nine
months ended September 30, 2022, respectively, and these costs are recorded in
General and Administrative expense in the Consolidated Statements of Income.

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BOOK VALUE PER COMMON SHARE

The following table summarizes the calculation of book value per common share:

                                          September 30,            June 30,            March 31,           December 31,           September 30,
$ in thousands except per share amounts       2022                   2022                 2022                 2021                   2021
Total equity                            $    7,061,626          $ 7,062,998 

$ 7,184,712 $ 6,669,380 $ 6,627,113
Less: Preferred Stock Series A, B, C,
and D

                                        1,258,667            1,258,667            1,258,667             1,262,481               1,262,498
Less: Noncontrolling interests of
consolidated subsidiaries                       71,055               69,171               62,078                65,348                  71,023
Total equity attributable to common
stock                                   $    5,731,904          $ 5,735,160 

$ 5,863,967 $ 5,341,551 $ 5,293,592


Common stock outstanding                      473,715,100          466,856,753          466,786,526           466,758,266             466,579,920

Book value per common share             $        12.10          $     12.28          $     12.56          $      11.44          $        11.35



Our book value per common share decreased 1.5% to $12.10 as of September 30,
2022, down from $12.28 as of June 30, 2022, primarily due to the impact from the
partial cashless exercise of the 2020 Warrants. Net income largely offset
dividends declared during the quarter. Refer to Item 3. "Quantitative and
Qualitative Disclosures About Market Risk" for interest rate risk and its impact
on fair value.

MARKET CONSIDERATIONS

Economic data and indicators regarding the overall financial health and
condition of the U.S. for the third quarter of 2022 were mixed. On balance, the
U.S. real gross domestic product ("GDP") declined on a year-to-date basis and is
expected to be at a below-trend pace for the full year. Labor market conditions
continued to remain tight, and the total unemployment rate declined to 3.5% as
of September 30, 2022. 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 continued supply-demand imbalances exacerbated by
Russia's war against Ukraine and COVID-19-related lockdowns in China.

Consumer spending softened during the third quarter of 2022, driven by higher
food and energy prices, and broader price pressures.


Inflation indicators remained high and persistent throughout the third quarter
of 2022, with supply bottlenecks contributing to pricing pressures for energy
and commodities. There were, however, some signs of gradual improvement in the
supply situation, including improved availability of certain key materials, less
upward pressure on input prices and a decline in delivery times. Nevertheless,
the Federal Reserve continued 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 ("FOMC") voted unanimously to
increase the benchmark federal funds rate by 50 basis points. In June, July and
September 2022, the FOMC further increased the federal funds rate by 75 basis
points and again raised it by 75 basis points in November 2022. Uncertainty
about the medium-term course of inflation remains high.

Volatility in the financial markets remained elevated during the third quarter
of 2022. Equity indexes were lower during the period, while spreads widened. The
"10-2 treasury yield spread," which represents the difference between the
10-year treasury rate and the 2-year treasury rate, remained negative throughout
the third quarter of 2022, reflecting expectations of slower growth and the
possibility that the U.S. economy could enter a recession in the coming
quarters.

Housing activity, including both home-purchase and refinance mortgage
origination volumes, continued to slowdown during the third quarter of 2022 as a
result of elevated mortgage rates. Longer-term borrowing costs for households
were generally higher. The increase in mortgage rates has resulted in
residential real estate prices peaking, and our expectation is that home prices
will begin to decrease. However, we believe that homeowners are better
positioned to weather a decrease in home prices compared to the mid-2000s given
mortgage debt growth has significantly lagged growth in house prices, leaving
households with substantial equity cushions. Moreover, for much of the past
decade, most new mortgage debt had been added by borrowers with prime credit
scores. Conventional 30-year rates increased to 6.1% as of September 30, 2022
compared to 5.5% as of June 30, 2022. The Mortgage Bankers Association estimates
full year 2022 production volume of $2.3 trillion, down from full year 2021
volume of $4.4 trillion. Furthermore, 33% of 2022 volume is estimated to be
refinance volume compared to 57% in 2021.

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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 other 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
                    September 30,       June 30,      March 31,      December 31,      September 30,
                       2022(A)            2022          2022             2021              2021
       Real GDP              2.6  %       (0.6) %        (1.6) %            6.9  %             2.3  %

(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
:

                         September 30,      June 30,      March 31,      

December 31, September 30,

                             2022             2022          2022             2021              2021
   Unemployment rate             3.5  %        3.6  %         3.6  %            3.9  %             4.7  %



The following table summarizes the 10-year Treasury rate and the 30-year fixed
mortgage rates:
                                 September 30,                 June 30,                 March 31,                 December 31,                 September 30,
                                     2022                        2022                     2022                        2021                          2021
10-year U.S. Treasury rate                   3.8  %                   3.0  %                    2.3  %                       1.5  %                         1.5  %
30-year fixed mortgage rate                  6.1  %                   5.5  %                    4.2  %                       3.1  %                         2.9  %



Since May 2022, in response to the inflationary pressures, the Federal Reserve
has rapidly raised interest rates and indicated it anticipates further interest
rate increases. Rising interest rates would result in increased interest expense
on our outstanding variable rate and future variable and fixed rate debt,
thereby adversely affecting cash flow and our ability to service our
indebtedness and pay distributions. In addition, in the event of a significant
rising interest rate environment and/or economic downturn, loan and collateral
defaults may increase and result in credit losses that would adversely affect
our liquidity and operating results.

We believe the estimates and assumptions underlying our consolidated financial
statements are reasonable and supportable based on the information available as
of September 30, 2022; however, uncertainty related to market volatility and
inflationary pressures, 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 September 30, 2022 inherently less certain than
they would be absent the current economic environment, potential impacts of
COVID-19, and the ongoing war in Ukraine. Actual results may materially differ
from those estimates. Market volatility and inflationary pressures, the COVID-19
pandemic, and the war in Ukraine and their impact on the current financial,
economic and capital 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
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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.
During the nine months ended September 30, 2022, new and renewed facilities
began adopting the SOFR index, while other facilities early adopted and
transitioned to the SOFR index.

OUR PORTFOLIO


Our portfolio, as of September 30, 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
September 30, 2022
Investments                              $ 2,677,372          $  7,356,620          $   2,798,750                $  12,832,742          $   9,437,008          $    2,223,712          $       393,599          $   1,919,913          $        -          $ 26,806,974
Cash and cash equivalents                    204,562               566,855                248,458                    1,019,875                339,909                   1,099                    2,366                 33,602              23,159             1,420,010
Restricted cash                              350,501                73,676                 56,974                      481,151                  6,131                   4,638                   17,611                 20,034                   -               529,565
Other assets                                 630,855             2,305,263              2,508,960                    5,445,078                298,181                 342,009                   32,735                141,131             233,653             6,492,787
Goodwill                                      11,836                12,540                  5,092                       29,468                      -                       -                        -                 55,731                   -                85,199
Total assets                             $ 3,875,126          $ 10,314,954          $   5,618,234                $  19,808,314          $  10,081,229          $    2,571,458          $       446,311          $   2,170,411          $  256,812          $ 35,334,535
Debt                                     $ 2,874,184          $  4,484,277          $   3,249,426                $  10,607,887          $   8,835,284          $    1,896,255          $       320,001          $   1,589,330          $  604,766          $ 23,853,523
Other liabilities                            495,306             2,723,063                 37,430                    3,255,799                522,863                 351,944                    1,039                 23,568             264,173             4,419,386
Total liabilities                          3,369,490             7,207,340              3,286,856                   13,863,686              9,358,147               2,248,199                  321,040              1,612,898             868,939            28,272,909
Total equity                                 505,636             3,107,614              2,331,378                    5,944,628                723,082                 323,259                  125,271                557,513            (612,127)            7,061,626
Noncontrolling interests in equity
of consolidated subsidiaries                  13,093                     -                  9,474                       22,567                      -                       -                   48,488                      -                   -                71,055
Total Rithm Capital stockholders'
equity                                   $   492,543          $  3,107,614          $   2,321,904                $   5,922,061          $     723,082   

$ 323,259 $ 76,783 $ 557,513

    $ (612,127)         $  6,990,571
Investments in equity method
investees                                $         -          $          -          $     106,492                $     106,492          $           -          $            -          $             -          $           -          $        -          $    106,492



Operating Investments

Origination

Housing activity, including both home-purchase and refinance mortgage
origination volumes, continued to slowdown during the third quarter of 2022 as a
result of elevated mortgage rates, with the 30-year average conventional
mortgage rate increasing 116 basis points during the quarter. Accordingly, for
the three months ended September 30, 2022, funded loan origination volume was
$13.8 billion, down from $19.1 billion in the prior quarter. Gain on sale margin
for the three months ended September 30, 2022 was 1.71%, 24 bps lower than the
1.95% for the prior quarter, primarily due to channel mix (refer to the tables
below).

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                                                         Nine Months Ended
                               September 30,                                                                          September 30,                             September 30,
(in millions)                      2022              % of Total           June 30, 2022           % of Total              2022              % of Total              2021              % of Total            QoQ Change          YoY Change
Production by Channel
 Direct to Consumer            $   1,063                      8  %       $       2,164                    11  %       $   7,654                     13  %       $  18,502                     22  %       $    (1,101)         $  (10,848)
 Retail / Joint Venture            4,284                     31  %               6,103                    32  %          16,791                     28  %           7,613                      9  %            (1,819)              9,178
 Wholesale                         1,811                     13  %               3,197                    17  %           9,656                     16  %           9,561                     11  %            (1,386)                 95
 Correspondent                     6,651                     48  %               7,591                    40  %          25,643                     43  %          49,491                     58  %              (940)            (23,848)
Total Production by Channel    $  13,809                    100  %       $      19,055                   100  %       $  59,744                    100  %       $  85,167                    100  %       $    (5,246)         $  (25,423)

Production by Product
 Agency                        $   6,557                     48  %       $      10,248                    53  %       $  34,895                     58  %       $  61,942                     73  %       $    (3,691)         $  (27,047)
 Government                        6,340                     46  %               7,621                    40  %          21,536                     36  %          21,978                     26  %            (1,281)               (442)
 Non-QM                              269                      2  %                 293                     2  %           1,111                      2  %             247                      -  %               (24)                864
 Non-Agency                          460                      3  %                 747                     4  %           1,724                      3  %             860                      1  %              (287)                864
 Other                               183                      1  %                 146                     1  %             478                      1  %             140                      -  %                37                 338
Total Production by Product    $  13,809                    100  %       $      19,055                   100  %       $  59,744                    100  %       $  85,167                    100  %       $    (5,246)         $  (25,423)

% Purchase                            83   %                                        75  %                                    68   %                                    38   %
% Refinance                           17   %                                        25  %                                    32   %                                    62   %


                                                          Three Months Ended                                     Nine Months Ended
(dollars in thousands)                        September 30, 2022          June 30, 2022           September 30, 2022           September 30, 2021           QoQ Change             YoY Change

Gain on originated residential mortgage
loans, held-for-sale, net(A)(B)(C)(D)        $             214,703       $     302,610          $               924,582       $        1,163,702        

$ (87,907) $ (239,120)


Pull through adjusted lock volume            $          12,569,769       $     15,520,818       $            54,773,668       $       79,135,350        

$ (2,951,049) $ (24,361,682)


Gain on originated residential mortgage
loans, as a percentage of pull through
adjusted lock volume, by channel:
Direct to Consumer                                        3.47   %                5.10  %                    3.59     %                     4.02  %
Retail / Joint Venture                                    3.64   %                3.36  %                    3.18     %                     4.02  %
Wholesale                                                 1.20   %                1.24  %                    1.05     %                     1.21  %
Correspondent                                             0.45   %                0.39  %                    0.28     %                     0.30  %
Total gain on originated residential
mortgage loans, as a percentage of pull
through adjusted lock volume                              1.71   %                1.95  %                    1.69     %                     1.47  %


(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 $156.8 million and $116.8 million for the
three months ended September 30, 2022 and June 30, 2022, respectively. Includes
loan origination fees of $526.1 million and $1,775.7 million for the nine months
ended September 30, 2022 and 2021, respectively.
(C)Excludes $11.2 million and $2.2 million of Gain on Originated Residential
Mortgage Loans, Held-for-Sale, Net for the three months ended September 30, 2022
and June 30, 2022, respectively, and $55.7 million and $93.4 million of Gain on
Originated Residential Mortgage Loans, Held-for-Sale, Net for the nine months
ended September 30, 2022 and 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 $87.9 million for the three months ended September 30, 2022 compared
to the three months ended June 30, 2022, primarily due to lower loan production
related to the rise in interest rates during the quarter as noted above.
Additionally, purchase originations comprised 83% of all funded loans for the
three months ended September 30, 2022 compared to 75% for the three months ended
June 30, 2022. The lower percentage of refinance originations for the quarter
was primarily driven by the 30-year conventional mortgage rate continuing to
increase during the third quarter of 2022, resulting in a reduction in refinance
volume compared to the high number of loans that had been previously refinanced
during the preceding historically low interest rate environment. Total Gain on
Originated Residential Mortgage Loans, Held-for-Sale, Net decreased
$239.1 million for the nine months ended September 30, 2022 compared to the same
period in 2021, primarily due to lower loan production related to the rise in
interest rates during 2022.
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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 mortgage loans. As of
September 30, 2022, the performing loan servicing division (the Mortgage
Company) serviced $395.6 billion UPB of loans and Shellpoint Mortgage Servicing
serviced $108.0 billion UPB of loans, for a total servicing portfolio of $503.6
billion UPB, representing a 4% increase from December 31, 2021. The increase was
attributable to newly originated loans outpacing scheduled and voluntary
prepayment loan activity. The decrease in prepayment activity was driven by
lower refinance volumes as a result of the 30-year conventional mortgage rate
increasing during the first nine months of 2022.

The table below provides the mix of our serviced assets portfolio between
subserviced performing servicing on behalf of Rithm Capital 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 Rithm Capital subsidiaries for the periods
presented.
                                                                 Unpaid Principal Balance
                                                                                                                  September 30,
(in millions)                                      September 30, 2022           June 30, 2022                         2021              QoQ Change           YoY Change
Performing Servicing
MSR Assets                                        $     391,797               $      389,762                      $  368,716          $     2,035          $    23,081
Residential Whole Loans                                   3,472                        3,832                           9,119                 (360)              (5,647)
Third Party                                                 317                          436                             954                 (119)                (637)
Total Performing Servicing                              395,586                      394,030                         378,789                1,556               16,797

Special Servicing
MSR Assets                                               10,029                       10,138                          16,450                 (109)              (6,421)
Residential Whole Loans                                   6,458                        7,127                           5,779                 (669)                 679
Third Party                                              91,503                       86,754                          74,814                4,749               16,689
Total Special Servicing                                 107,990                      104,019                          97,043                3,971               10,947
Total Servicing Portfolio                         $     503,576               $      498,049                      $  475,832          $     5,527          $    27,744

Agency Servicing
MSR Assets                                        $     278,318               $      279,694                      $  269,830          $    (1,376)         $     8,488

Third Party                                               9,697                        9,774                          12,319                  (77)              (2,622)
Total Agency Servicing                                  288,015                      289,468                         282,149               (1,453)               5,866

Government-insured Servicing
MSR Assets                                              119,168                      115,449                         105,976                3,719               13,192

Total Government Servicing                              119,168                      115,449                         105,976                3,719               13,192

Non-Agency (Private Label) Servicing
MSR Assets                                                4,340                        4,757                           9,360                 (417)              (5,020)
Residential Whole Loans                                   9,930                       10,959                          14,898               (1,029)              (4,968)
Third Party                                              82,123                       77,416                          63,449                4,707               18,674
Total Non-Agency (Private Label) Servicing               96,393                       93,132                          87,707                3,261                8,686
Total Servicing Portfolio                         $     503,576               $      498,049                      $  475,832          $     5,527          $    27,744


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

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                                           Three Months Ended                          Nine Months Ended
                                  September 30,                                September 30,        September 30,
(in thousands)                        2022              June 30, 2022              2022                 2021             QoQ Change          YoY Change
Base Servicing Fees
MSR Assets                        $  297,433          $      300,676          $    879,219          $  477,020          $   (3,243)         $  402,199
Residential Whole Loans                2,593                   3,019                 9,001              13,518                (426)             (4,517)
Third Party                           22,717                  23,069                69,439              77,051                (352)             (7,612)
Total Base Servicing Fees            322,743                 326,764               957,659             567,589              (4,021)            390,070

Other Fees
Incentive                             14,785                  16,207                52,236              64,296              (1,422)            (12,060)
Ancillary                             13,090                  13,628                40,169              37,330                (538)              2,839
Boarding                                 946                   1,287                 4,041               6,872                (341)             (2,831)
Other                                  2,607                   6,812                13,169              20,056              (4,205)             (6,887)
Total Other Fees(A)                   31,428                  37,934               109,615             128,554              (6,506)            (18,939)

Total Servicing Fees              $  354,171          $      364,698          $  1,067,274          $  696,143          $  (10,527)         $  371,131


(A)Includes other fees earned from third parties of $11.6 million and
$10.6 million for the three months ended September 30, 2022 and June 30, 2022,
and $31.0 million and $46.6 million for the nine months ended September 30, 2022
and 2021, respectively.

MSR Related Investments

MSRs and MSR Financing Receivables


Our MSR related investments include MSRs, MSR finance receivables and Excess
MSRs. An MSR provides a mortgage servicer with the right to service a pool of
residential mortgage loans in exchange for a portion of the interest payments
made on the underlying residential mortgage loans, plus ancillary income and
custodial interest. An MSR is made up of two components: a basic fee and an
excess MSR. The basic fee is the amount of compensation for the performance of
servicing duties (including advance obligations), and the Excess MSR is the
amount that exceeds the basic fee.

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 September 30, 2022, these
subservicers include PHH, Mr. Cooper, LoanCare, Valon and Flagstar, which
subservice 9.3%, 8.2%, 6.2%, 2.0% and 0.3% of the underlying UPB of the related
mortgages, respectively (includes both MSRs and MSR Financing Receivables). The
remaining 74.0% 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
September 30, 2022:
(dollars in millions)     Current UPB      Weighted Average MSR (bps)             Carrying Value

GSE                      $ 369,056.5                      30            bps      $       6,018.5
Non-Agency                  55,380.2                      46                               810.7
Ginnie Mae                 119,740.9                      40                             2,065.9

Total/Weighted Average   $ 544,177.6                      34            bps      $       8,895.1


The following table summarizes the collateral characteristics of the residential
mortgage loans underlying our MSRs and MSR Financing Receivables as of
September 30, 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                           $   6,018,491          $  369,056,523           1,984,011                       755                        3.7  %                  280                          50                       1.5  %              7.7  %              7.6  %                -  %                  4.3  %
Non-Agency                          810,719              55,380,229             495,431                       635                        4.3  %                  289                         198                      10.2  %              8.9  %              7.0  %              1.9  %                  0.9  %
Ginnie Mae                        2,065,864             119,740,843             515,918                       694                        3.4  %                  330                          26                       0.7  %              8.6  %              8.5  %              0.1  %                  3.8  %

Total                         $   8,895,074          $  544,177,595           2,995,360                       729                        3.6  %                  292                          60                       2.2  %              8.0  %              7.7  %              0.2  %                  3.8  %



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

GSE                                                                        0.5  %                     0.2  %                  -  %                    0.1  %
Non-Agency                                                                 4.7  %                     5.7  %                0.8  %                    2.4  %
Ginnie Mae                                                                 2.0  %                     0.3  %                  -  %                    0.3  %

Weighted Average                                                           1.3  %                     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 90 or more days.

Excess MSRs

The following tables summarize the terms of our Excess MSRs:

                                                                    MSR Component(A)                                                                      Excess MSR
                                                                                     Weighted
                                    Current UPB         Weighted Average          Average Excess                                                        Carrying Value
Direct Excess MSRs                  (billions)             MSR (bps)                 MSR (bps)                 Interest in Excess MSR (%)                 (millions)

Total/Weighted Average            $       50.0                    32     bps              18      bps                32.5% - 100.0%                    $        248.5


(A)The MSR is a weighted average as of September 30, 2022, and the Excess MSR
represents the difference between the weighted average MSR and the basic fee
(which fee remains constant).
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(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 $17.5 billion UPB underlying these Excess
MSRs.

                                                            MSR Component(A)
                                                                          Weighted
                                                      Weighted             Average         Rithm Capital           Investee             Rithm Capital
Excess MSRs Through Equity      Current UPB           Average            Excess MSR         Interest in           Interest in             Effective           Investee Carrying
Method Investees                 (billions)          MSR (bps)              (bps)           Investee (%)        Excess MSR (%)          Ownership (%)         Value (millions)
Agency                        $        20.1              34     bps          22      bps          50.0  %               66.7  %                 33.3  %       $        134.9


(A)The MSR is a weighted average as of September 30, 2022, and the Excess MSR
represents the difference between the weighted average MSR and the basic fee
(which fee remains constant).

The following tables summarize the collateral characteristics of the loans
underlying our direct Excess MSRs as of September 30, 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

Total/Weighted Average(H)              $   248,495          $   49,993,358             336,738                       710                        4.3  %                  252                         146                        3.7  %            11.1  %            10.4  %             0.9  %                21.9  %


                                                                Collateral Characteristics

                                                 Delinquency                              Real
                                                                         Loans in        Estate       Loans in
                                                 90+ Days(F)            Foreclosure      Owned       Bankruptcy

Total/Weighted Average(G)                                    1.9  %           2.8  %      0.3  %          0.7  %


(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)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 90 or more days.
(G)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
September 30, 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
                                                                                   Rithm Capital
                                         Current               Current               Effective                                                                                                                                                             Three Month         Three Month         Three Month          Three Month
                                         Carrying             Principal              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

Total/Weighted Average(G)             $   134,942          $ 20,073,992                    33.3  %        194,270                     723                        4.5  %                  231                      114                        1.1  %             12.0  %             11.9  %              0.2  %                32.3  %



                                                                Collateral Characteristics

                                                 Delinquency                              Real
                                                                         Loans in        Estate       Loans in
                                                 90+ Days(F)            Foreclosure      Owned       Bankruptcy

Total/Weighted Average(G)                                    1.2  %           0.5  %      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.
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(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 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


Servicer advances are a customary feature of residential mortgage securitization
transactions and represent one of the duties for
which a servicer is compensated since the advances are non-interest bearing.
Servicer advances are generally reimbursable payments made by a servicer (i)
when the borrower fails to make scheduled payments due on a residential mortgage
loan or (ii)
to support the value of the collateral property. Servicer Advance Investments
are associated with specified pools of residential mortgage loans in which we
have contractually assumed the servicing advance obligation and include the
related outstanding servicer advances, the requirement to purchase future
servicer advances and the rights to the basic fee component of the related
MSR. We have purchased Servicer Advance Investments on certain loan pools
underlying our Excess MSRs.

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):
                                                                             September 30, 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
Mr. Cooper and SLS serviced
pools                         $   358,225          $  371,418          $    17,491,636          $      334,818                          1.9  %


(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 nine months ended
September 30, 2022 (dollars in thousands):

                                                                                     Nine Months
                                                                                        Ended
                                                                                    September 30,
                                                                                        2022                                           Loan-to-Value ("LTV")(A)                   Cost of Funds(B)
                                                                                   Change in Fair
                                                                                   Value Recorded         Face Amount of
                               Weighted Average        Weighted Average Life       in Other Income       Secured Notes and
                                 Discount Rate              (Years)(C)                 (Loss)              Bonds Payable               Gross                Net(D)             Gross              Net
Servicer advance
  investments(E)                          5.2  %                         7.8       $     (2,828)         $      318,590                     91.1  %           90.3  %             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):
                                                       September 30, 2022
Principal and interest advances                       $           65,388
Escrow advances (taxes and insurance advances)                   148,576
Foreclosure advances                                             120,854
Total                                                 $          334,818


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

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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
September 30, 2022, our ownership interest in Covius is 18.1%.

Residential Securities and Loans

Real Estate Securities

Agency RMBS

The following table summarizes our Agency RMBS portfolio as of September 30,
2022
(dollars in thousands):

                                                                         Percentage of                Gross Unrealized                                                                                                     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               $   9,098,824          $  9,082,503                   100.0  %       $    14          $ (584,557)         $ 8,497,960               32                          9.9               0.1  %       $   8,224,352


(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 September 30, 2022:

         Net Interest Spread(A)
Weighted Average Asset Yield      4.12  %
Weighted Average Funding Cost     2.75  %
Net Interest Spread               1.37  %

(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 September 30, 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 September 30,
2022 (dollars in thousands):

                                                                                       Gross Unrealized                                    Outstanding
                                   Outstanding Face       Amortized Cost                                                Carrying           Repurchase
Asset Type                              Amount                Basis               Gains              Losses              Value             Agreements
Non-Agency RMBS                    $  17,510,598          $   938,933          $ 113,701          $ (113,586)         $ 939,048          $          -

(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
September 30, 2022 (dollars in thousands):

                                                                                                                                    Non-Agency RMBS Characteristics
                                                                                                                                        Percentage of
                                     Average Minimum                                      Outstanding Face       Amortized Cost        Total Amortized                                                                                            Weighted Average        Weighted Average
                                        Rating(A)            Number of Securities              Amount                Basis                Cost Basis             Carrying Value         Principal Subordination(B)        Excess Spread(C)          Life (Years)              Coupon(D)

Total/weighted average                            AA+                  659                $  17,509,426          $   938,369                    100.0  %       $       937,605                              16.9  %                 0.2  %                      5.1                  2.8  %



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                                                                                                   Collateral Characteristics
                                               Average Loan Age                                                                                                 Cumulative Losses to
                                                    (years)                 Collateral Factor(E)          3-Month CPR(F)              Delinquency(G)                    Date

Total/weighted average                                      11.2                     0.60                           6.7  %                         2.0  %                     0.2  %


(A)Excludes the ratings of the collateral underlying 374 bonds with a carrying
value of $442.2 million, which either have never been rated or for which rating
information is no longer provided.
(B)The percentage of amortized cost basis of securities and residual interests
that is subordinate to our investments. This excludes interest-only bonds.
(C)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 September 30, 2022.
(D)Excludes residual bonds, and certain other Non-Agency bonds, with a carrying
value of $17.1 million and $1.2 million, respectively, for which no coupon
payment is expected.
(E)The ratio of original UPB of loans still outstanding.
(F)Three-month average constant prepayment rate and default rates.
(G)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 September 30, 2022:

         Net Interest Spread(A)
Weighted average asset yield      4.03  %
Weighted average funding cost     5.11  %
Net interest spread              (1.08) %

(A)The Non-Agency RMBS portfolio consists of 39.7% floating rate securities and
60.3% 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 September 30, 2022 and
December 31, 2021, the Company pledged Non-Agency RMBS with a carrying value of
approximately $926.3 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 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.

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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


We have accumulated our residential mortgage loan portfolio through various bulk
acquisitions and the execution of call rights. Additionally, through our
Mortgage Company, we originate residential mortgage loans for sale and
securitization to third parties and we generally retain the servicing rights on
the underlying loans.

Loans are accounted for based on our strategy for the loan and on whether the
loan was performing or non-performing at the date of acquisition. Acquired
performing loans means that at the time of acquisition it is likely the borrower
will continue making payments in accordance with contractual terms. Purchased
non-performing loans means that at the time of acquisition the borrower will not
likely make payments in accordance with contractual terms (i.e.,
credit-impaired). We account for loans based on the following categories:

•Loans held-for-investment, at fair value
•Loans held-for-sale, at lower of cost or fair value
•Loans held-for-sale, at fair value


As of September 30, 2022, we had approximately $4.8 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 $3.7 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 September 30, 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)           $     557,143          $   470,935                9,936                      8.1  %                         3.9

Acquired performing loans(C)                          101,691               86,418                2,414                      8.0  %                         4.3
Acquired non-performing loans(D)                       20,560               17,601                  379                      6.8  %                     

4.3

Total residential mortgage loans,
held-for-sale, at lower of cost or market $ 122,251 $ 104,019

                2,793                      7.8  %                    

4.3


Acquired performing loans(C)(E)                 $   1,094,652          $ 1,009,159                5,508                      5.2  %                  

17.5

Acquired non-performing loans(D)(E)                 275,162.0              246,861                1,432                      4.9  %                        14.8
Originated loans                                    2,756,474            2,677,372                4,574                      5.5  %                        29.0
Total residential mortgage loans,
held-for-sale, at fair value                    $   4,126,288          $ 3,933,392               11,514                      5.4  %                  

25.0



(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 due.
(D)As of September 30, 2022, we have placed all Non-Performing Loans,
held-for-sale on nonaccrual status, except as described in (E) below.
(E)Includes $645.2 million and $140.2 million UPB of Ginnie Mae EBO performing
and non-performing loans, respectively, on accrual status as contractual cash
flows are guaranteed by the FHA.

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


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 September 30, 2022 and December 31,
2021, the Company pledged residential mortgage loans with a carrying value of
approximately $4.1 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 September 30, 2022 (dollars in thousands):
                                                                                      Collateral Characteristics
                                                                                        Weighted Average        Adjustable Rate         Average Loan Age         Average Expected                      Delinquency 90+
                            UPB                           Number of Loans                    Coupon                  Loan %                 (months)               Life (Years)                            Days(A)            
12-Month CRR(B)        12-Month CDR(C)
Consumer loans       $      353,163                           58,686                             17.8  %                  13.5  %                213                           3.3                                1.4  %                22.4  %                 4.2  %


(A)Represents the percentage of the total principal balance of the pool that
corresponds to loans that are delinquent by 90 or more days.
(B)Represents the annualized rate of the voluntary prepayments during the three
months as a percentage of the total principal balance of the pool.
(C)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 September 30, 2022, our SFR portfolio consisted of approximately 3,698
properties with an aggregate carrying value of $959.4 million, up from 3,608
units with an aggregate carrying value of $927.2 million as of June 30, 2022.
During the three months ended September 30, 2022 and June 30, 2022, we acquired
approximately 104 and 325 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
September 30, 2022 (dollars in thousands):

                                                                                                                                      Average
                                                                                                                                     Gross Book
                                                              % of Total SFR                                  % of Total Net         Value per           % of Rented SFR           Average
                            Number of SFR Properties            Properties             Net Book Value           Book Value            Property             Properties            Monthly Rent        Average Sq. Ft.
Alabama                                  95                             2.6  %       $        17,818                   1.9  %       $     188                      76.8  %       $   1,472                1,579
Arizona                                 154                             4.2  %                60,580                   6.3  %             393                      81.7  %           2,008                1,543
Florida                                 843                            22.8  %               226,253                  23.6  %             268                      88.4  %           1,859                1,448
Georgia                                 757                            20.5  %               178,359                  18.6  %             236                      71.4  %           1,797                1,769
Indiana                                 120                             3.2  %                26,468                   2.8  %             221                      88.3  %           1,602                1,625
Mississippi                             101                             2.7  %                16,859                   1.8  %             167                      87.0  %           1,565                1,658
Missouri                                360                             9.7  %                70,689                   7.4  %             196                      68.2  %           1,546                1,468
Nevada                                  109                             2.9  %                36,151                   3.8  %             332                      85.3  %           1,852                1,456
North Carolina                          441                            11.9  %               128,557                  13.4  %             292                      82.2  %           1,736                1,539
Oklahoma                                 56                             1.5  %                12,042                   1.3  %             215                      55.4  %           1,535                1,630
Tennessee                                88                             2.4  %                29,404                   3.1  %             334                      87.5  %           1,887                1,500
Texas                                   571                            15.4  %               155,499                  16.2  %             272                      88.1  %           1,904                1,811
Other U.S.                                3                             0.1  %                   769                   0.1  %             257                      66.7  %           1,730                1,585
Total/Weighted Average                3,698                           100.0  %       $       959,448                 100.0  %       $     259                      80.7  %       $   1,783                1,606



We primarily rely on the use of credit facilities, term loans, and
mortgage-backed securitizations to finance purchases of SFR properties. See Note
18 to our Consolidated Financial Statements for further information regarding
financing of our SFR properties.

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 and revolving securitization structures.


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
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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 9.3%, and have initial terms typically ranging from 6 to 120 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 September 30, 2022, the average commitment size
of our loans was $1.7 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 5.3% 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 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 September 30, 2022, we have loans in 32 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 September 30, 2022
(dollars in thousands):
Loans originated                             $   623,945
Loans repaid(A)                              $   340,186
Number of loans originated                           457
Unpaid principal balance                     $ 1,919,913
Total commitment                             $ 2,718,595
Average total commitment                     $     1,711
Weighted average contractual interest(B)             8.4  %


(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 September 30, 2022 (dollars in thousands):

                                                                                                                              Weighted Average
                                                                                                                               Committed Loan
                                             Number of                                                                           Balance to
                                               Loans                %              Total Commitment             %                 Value(A)
Construction                                          606          38.1  %       $       1,607,287             59.1  %         77.2% / 66.1%
Bridge                                                548          34.5  %                 764,768             28.1  %             76.4%
Renovation                                            435          27.4  %                 346,540             12.8  %         78.1% / 66.4%
Total                                          1,589              100.0  %       $       2,718,595            100.0  %

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

The following table summarizes our total mortgage loans receivable portfolio by
geographic location as of September 30, 2022 (dollars in thousands):

                   Number of
                     Loans           %         Total Commitment          %
California           708           44.6  %    $       1,532,735        56.4  %
Washington           150            9.4  %              269,927         9.9  %
New York              42            2.6  %              161,861         6.0  %
Other U.S.           689           43.4  %              754,072        27.7  %
Total              1,589          100.0  %    $       2,718,595       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 September 30, 2022, we recorded a net deferred tax liability of
$738.2 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 and nine months ended September 30, 2022, we recognized deferred
tax expense of $22.1 million and $297.5 million, respectively, 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, offset partially by the allocation
of the termination payment to taxable entities.

CRITICAL ACCOUNTING POLICIES AND USE OF ESTIMATES


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 September 30, 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 mortgage and financial industries are operating in a challenging and
uncertain economic environment. Financial and real estate companies continue to
be affected by, among other things, market volatility, rapidly rising interest
rates and inflationary pressures. In addition, the ultimate duration and impact
of the COVID-19 pandemic, and to a lesser extent the ongoing 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 September 30, 2022; however,
uncertainty over the current macroeconomic conditions, 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
September 30, 2022 inherently less certain than they would be absent the current
and potential impacts of the worsening economy, 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

Factors Impacting Comparability of Our Results of Operations


In the second half of 2021, we completed two acquisitions, Caliber Home Loans,
Inc. and Genesis Capital, LLC. As a result of these acquisitions, operating
revenues and expenses increased during the nine months ended September 30, 2022,
compared to the nine months ended September 30, 2021.

Summary of Results of Operations

The following table summarizes the changes in our results of operations for the
three months ended September 30, 2022 compared to the three months ended
June 30, 2022 and the nine months ended September 30, 2022 compared to the nine

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months ended September 30, 2021 (dollars in thousands). Our results of
operations are not necessarily indicative of future performance.

                                            Three Months Ended                  Nine Months Ended
                                          September 30,                                       September 30,         September 30,
                                              2022                     June 30, 2022              2022                  2021               QoQ Change          YoY Change
Revenues
Servicing fee revenue, net and interest
income from MSRs and MSR financing
receivables                              $    453,163                $      

469,478 $ 1,379,041 $ 1,095,353 $ (16,315)

       $  283,688
Change in fair value of MSRs and MSR
financing receivables (includes
realization of cash flows of $(141,616),
$(180,265), $(522,206) and $(924,766),
respectively)                                 (17,178)                      336,563               894,778              (421,332)            (353,741)   

1,316,110

Servicing revenue, net                        435,985                       806,041             2,273,819               674,021             (370,056)          1,599,798
Interest income                               273,379                       211,648               710,440               593,342               61,731             117,098
Gain on originated residential mortgage
loans, held-for-sale, net                     203,479                       304,791               980,266             1,257,094             (101,312)           (276,828)
                                              912,843                     1,322,480             3,964,525             2,524,457             (409,637)          1,440,068
Expenses
Interest expense and warehouse line fees      218,089                       150,829               507,751               355,372               67,260    

152,379

General and administrative                    214,624                       225,271               686,133               574,166              (10,647)   

111,967

Compensation and benefits                     290,984                       339,658             1,023,261               717,919              (48,674)   

305,342

Management fee to affiliate                         -                        20,985                46,174                70,154              (20,985)   

(23,980)

Termination fee to affiliate                        -                       400,000               400,000                     -             (400,000)   

400,000

                                              723,697                     1,136,743             2,663,319             1,717,611             (413,046)            945,708
Other Income (Loss)
Change in fair value of investments, net      968,340                      (234,040)              587,181                 1,224            1,202,380   

585,957

Gain (loss) on settlement of
investments, net                           (1,004,454)                       94,936              (848,334)             (188,919)          (1,099,390)   

(659,415)

Other income (loss), net                       23,242                        59,388               134,962               127,333              (36,146)              7,629
                                              (12,872)                      (79,716)             (126,191)              (60,362)              66,844             (65,829)
Income Before Income Taxes                    176,274                       106,021             1,175,015               746,484               70,253    

428,531

Income tax expense (benefit)                   22,084                        72,690               297,563               128,741              (50,606)            168,822
Net Income                               $    154,190                $       33,331          $    877,452          $    617,743          $   120,859          $  259,709
Noncontrolling interests in income
(loss) of consolidated subsidiaries             7,307                        14,182                27,098                28,448               (6,875)   

(1,350)

Dividends on preferred stock                   22,427                        22,427                67,315                44,249                    -    

23,066

Net Income (Loss) Attributable to Common
Stockholders                             $    124,456                $       (3,278)         $    783,039          $    545,046          $   127,734          $  237,993



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Servicing Revenue, Net

Servicing Revenue, Net consists of the following:

                                                     Three Months Ended                    Nine Months Ended
                                         September 30,                                      September 30,        September 30,
                                             2022              June 30, 2022                    2022                 2021             QoQ Change           YoY Change
Servicing fee revenue, net and interest
income from MSRs and MSR financing
receivables                              $  419,793          $      434,789                $  1,276,137          $  996,465          $  (14,996)         $   279,672
Ancillary and other fees                     33,370                  34,689                     102,904              98,888              (1,319)               4,016
Servicing fee revenue and fees              453,163                 469,478                   1,379,041           1,095,353             (16,315)        

283,688

Change in fair value due to:
Realization of cash flows                  (141,616)               (180,265)                   (522,206)           (924,766)             38,649              402,560
Change in valuation inputs and
assumptions(A)                              143,175                 514,955                   1,503,167             573,213            (371,780)        

929,954

Change in fair value of derivative
instruments                                 (18,505)                      -                     (11,316)            (41,564)            (18,505)              30,248
(Gain) loss realized                          1,995                   1,873                       4,174             (17,088)                122               21,262
Gain (loss) on settlement of derivative
instruments                                  (2,227)                      -                     (79,041)            (11,127)             (2,227)             (67,914)
Servicing revenue, net                   $  435,985          $      806,041                $  2,273,819          $  674,021          $ (370,056)         $ 1,599,798

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

                                        Three Months Ended                  

Nine Months Ended

                               September 30,                                

September 30, September 30,

                                   2022              June 30, 2022              2022                 2021             QoQ Change           YoY Change
Changes in interest and
prepayment rates               $  528,576          $      749,624         

$ 2,235,718 $ 454,521 $ (221,048) $ 1,781,197
Changes in discount rates (277,707)

                (65,729)             (408,753)            113,305            (211,978)            (522,058)
Changes in other factors         (107,694)               (168,940)             (323,798)              5,387              61,246             (329,185)
Change in valuation and
assumptions                    $  143,175          $      514,955          $  1,503,167          $  573,213          $ (371,780)         $   929,954



The table below summarizes the unpaid principal balances of our MSRs and MSR
Financing Receivables:
                                                                    Unpaid Principal Balance
                                                    September 30,                               September 30,
(dollars in millions)                                   2022              June 30, 2022             2021              QoQ Change           YoY Change

GSE                                                 $  369,057          $      374,752          $  374,946          $    (5,695)         $    (5,889)
Non-Agency                                              55,380                  57,260              68,904               (1,880)             (13,524)
Ginnie Mae                                             119,741                 116,083             105,975                3,658               13,766
Total                                               $  544,178          $      548,095          $  549,825          $    (3,917)         $    (5,647)


Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Servicing revenue, net decreased $370.1 million, primarily due to a
$371.8 million net decrease in mark-to-market adjustments on our MSR portfolio,
driven by a smaller increase in interest rates quarter-over-quarter and an
increase in discount rates, partially offset by slower prepays. Servicing
revenue and fees decreased $16.3 million as a result of a decline in UPB
quarter-over-quarter. Weighted average servicing revenues and fees were
approximately 31 bps for both quarters ended September 30, 2022 and June 30,
2022.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Servicing revenue, net increased $1,599.8 million, primarily driven by a $930.0
million net increase in mark-to-market adjustments on our MSR portfolio, driven
by changes in assumptions related to slower prepayment rates and higher
estimated custodial earnings due to an increase in projected forward interest
rates, partially offset by higher discount rates. Servicing
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revenue and fees increased $283.7 million year over year as a result of an
increase in UPB attributable to the inclusion of Caliber results.

Interest Income

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Interest income increased $61.7 million quarter over quarter, primarily driven
by net purchases of higher coupon Agency securities and float income earned on
custodial accounts associated with our MSRs.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Interest income increased $117.1 million year over year, primarily driven by
higher interest rates during the period, including higher float income earned on
custodial accounts associated with our MSRs, and the inclusion of results from
the Caliber and Genesis acquisitions during the second half of 2021.

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                           Nine Months Ended
                                                           September 30,                              September 30,          September 30,
                                                                2022             June 30, 2022             2022                   2021
Direct to Consumer                                                 3.47  %             5.10  %                3.59  %                4.02  %
Retail / Joint Venture                                             3.64  %             3.36  %                3.18  %                4.02  %
Wholesale                                                          1.20  %             1.24  %                1.05  %                1.21  %
Correspondent                                                      0.45  %             0.39  %                0.28  %                0.30  %
                                                                   1.71  %             1.95  %                1.69  %                1.47  %


The following table summarizes funded loan production by channel:

Unpaid Principal Balance

                                                         Three Months Ended                         Nine Months Ended
                                               September 30,                                September 30,        September 30,
(in millions)                                       2022              June 30, 2022              2022                2021              QoQ Change          YoY Change
Production by Channel
 Direct to Consumer                            $     1,063          $        2,164          $     7,654          $   18,502          $    (1,101)         $  (10,848)
 Retail / Joint Venture                              4,284                   6,103               16,791               7,613               (1,819)              9,178
 Wholesale                                           1,811                   3,197                9,656               9,561               (1,386)                 95
 Correspondent                                       6,651                   7,591               25,643              49,491                 (940)            (23,848)
Total Production by Channel                    $    13,809          $       19,055          $    59,744          $   85,167          $    (5,246)         $  (25,423)


Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Gain on originated residential mortgage loans, held-for-sale, net decreased
$101.3 million, primarily driven by a reduction in volumes attributable to an
increase in interest rates during the quarter. Gain on sale margin for the three
months ended September 30, 2022 was 1.71%, 24 bps lower than 1.95% for the prior
quarter, with the decrease primarily driven by channel mix (refer to the tables
above). For the three months ended September 30, 2022, funded loan origination
volume was $13.8 billion, down from $19.1 billion in the prior quarter as
production in all four channels continued to move towards comparable historical
levels after unprecedented purchase and refinance volume in the previous year.
Purchase originations comprised 83% of all funded loans for the three months
ended September 30, 2022 compared to 75% for the three months ended June 30,
2022.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.

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Gain on originated residential mortgage loans, held-for-sale, net decreased
$276.8 million, primarily driven by a reduction in the pull through adjusted
lock volume attributable to an increase in interest rates during the year,
partially offset by the inclusion of the Caliber acquisition since August 2021.
Gain on sale margin for the nine months ended September 30, 2022 was 1.69%, 22
bps higher than 1.47% for the prior year. For the nine months ended September
30, 2022, loan origination volume was $85.2 billion, up from $59.7 billion in
the prior year, primarily driven by the inclusion of Caliber results for 2022.
We expect production in all four channels to continue to move towards comparable
historical levels given the elevated interest rate environment.

Interest Expense and Warehouse Line Fees

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

Interest expense and warehouse line fees increased $67.3 million quarter over
quarter, primarily due to an increase in interest rates during the quarter,
partially offset by lower loan funding on our secured financing warehouse lines.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Interest expense and warehouse line fees increased by $152.4 million year over
year, primarily due the inclusion of the Caliber and Genesis acquisitions and
higher interest expense attributable to an increase in interest rates during
2022.

General and Administrative

General and Administrative expenses consists of the following:

                                                         Three Months Ended                      Nine Months Ended
                                             September 30,                               September 30,       September 30,
                                                 2022              June 30, 2022             2022                2021             QoQ Change          YoY Change
Legal and professional                       $   16,310          $       20,822          $   65,718          $   66,225          $   (4,512)         $     (507)
Loan origination                                 16,991                  35,015              91,907             137,642             (18,024)            (45,735)
Occupancy                                        29,916                  28,886              88,579              39,183               1,030              49,396
Subservicing                                     37,899                  41,987             126,694             161,521              (4,088)            (34,827)
Loan servicing                                    3,371                   4,866              13,541              13,282              (1,495)                259
Property and maintenance                         24,698                  22,108              70,409              47,216               2,590              23,193
Other                                            85,439                  71,587             229,285             109,097              13,852             120,188
Total                                        $  214,624          $      225,271          $  686,133          $  574,166          $  (10,647)         $  111,967


Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

General and administrative expenses decreased $10.6 million quarter over
quarter, primarily driven by a reduction in headcount within our Origination
segment associated with a decrease in loan production, and lower legal and
professional fees attributable to fewer securitizations during the current
quarter, partially offset by $14 million of lease termination fees and $12
million
of write-off related to software and contract termination fees.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


General and administrative expenses increased $112.0 million year over year,
primarily driven by the Caliber acquisition. The reduction in loan origination
and subservicing expenses of $45.7 million and $34.8 million, respectively,
reflects the decrease in loan production commensurate with an increase in
interest rates during 2022.

Compensation and Benefits

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Compensation and benefits expense decreased $48.7 million quarter over quarter,
primarily due to lower headcount within our Origination segment commensurate
with aligning our expense base to a lower production environment, partially
offset by $16 million of severance expense related to the reduction in headcount
primarily at the Mortgage Company. We incurred $7.5 million of compensation
expenses during the quarter in lieu of the $25 million quarterly management fees
incurred prior to the Internalization, which previously covered employee
compensation, occupancy expense, and other administrative and
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managerial services. See Note 1 to our Consolidated Financial Statements for
further information regarding the termination fee to affiliate.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.

Compensation and benefits expense increased $305.3 million year over year,
primarily due to the Caliber and Genesis acquisitions, initially adding over
7,000 in aggregate headcount.


Termination Fee to Affiliate

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


The decrease in the termination fee to affiliate of $400.0 million for three
months ended September 30, 2022 relates to the Internalization effective June
17, 2022. See Notes 1, 23 and 25 to our Consolidated Financial Statements for
further information regarding the termination fee to affiliate.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


The increase in the termination fee to affiliate of $400.0 million for the nine
months ended September 30, 2022 relates to the Internalization effective June
17, 2022. Notes 1, 23 and 25 to our Consolidated Financial Statements for
further information regarding the termination fee to affiliate.

Change in Fair Value of Investments, Net

Change in Fair Value of Investments, Net consists of the following:

                                               Three Months Ended                         Nine Months Ended
                                      September 30,                               September 30,       September 30,
                                          2022              June 30, 2022             2022                2021              QoQ Change          YoY Change
Excess MSRs                           $   (3,857)         $        1,066    

$ (5,421) $ (13,666) $ (4,923) $ 8,245
Excess MSRs, equity method investees (3,823)

                    156              (1,964)              1,421               (3,979)             (3,385)
Servicer advance investments              (1,031)                 (1,314)             (2,828)             (6,535)                 283               3,707
Real estate and other securities(A)      572,799                (379,656)           (412,152)           (336,009)             952,455             

(76,143)

Residential mortgage loans               (41,799)                (25,477)           (174,196)            154,984              (16,322)           (329,180)
Consumer loans                            (5,845)                 (7,196)            (26,774)            (13,338)               1,351             (13,436)
Mortgage loans receivable                      -                  (5,542)                  -                   -                5,542                   -
Derivative instruments                   451,896                 183,923           1,210,516             214,367              267,973             996,149
Total change in fair value of
investments, net                      $  968,340          $     (234,040)         $  587,181          $    1,224          $ 1,202,380          $  585,957


Change in Fair Value of Real Estate and Other Securities

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Change in fair value of real estate securities primarily reflects the continued
shift of our Agency RMBS portfolio toward higher coupon securities, resulting in
the reclassification of $949.2 million of unrealized losses for securities sold
during the three
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months ended September 30, 2022, partially offset by $376.5 million of negative
mark to market adjustments on securities still held at September 30, 2022.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.

Change in fair value of real estate securities was primarily driven by
unfavorable changes in the fair value of Agency securities attributable to an
increase in interest rates during the year.

Change in Fair Value of Residential Mortgage Loans

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

Change in fair value of residential mortgage loans was primarily due to
unfavorable changes in valuation inputs and assumptions including increased
discount rates attributable to an increase in interest rates during the quarter.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Change in fair value of residential mortgage loans was primarily due to
unfavorable changes in valuation inputs and assumptions largely attributable to
an increase in interest rates during the year and decreases in loan pricing in
the market.

Change in Fair Value of Derivative Instruments

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.


Change in fair value of derivative instruments was primarily driven by interest
rate swaps used as economic hedges within our investment portfolio. The current
outstanding swap positions are fixed payors; higher interest rates during the
quarter resulted in favorable mark to market adjustments.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Change in fair value of derivative instruments was primarily driven by interest
rate swaps used as economic hedges within our investment portfolio. The current
outstanding swap positions are fixed payors; higher interest rates during the
year 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                            Nine Months Ended
                                September 30,                                  September 30,         September 30,
                                     2022               June 30, 2022               2022                  2021              QoQ Change            YoY

Change

Sale of real estate securities $ (1,021,850) $ (118,079)

   $  (1,141,486)         $   (89,500)         $   (903,771)         $ (1,051,986)
Sale of acquired residential
mortgage loans                         6,592                  (1,798)                55,213              116,404                 8,390               (61,191)
Settlement of derivatives             12,722                 232,470                292,667             (152,913)             (219,748)              445,580
Liquidated residential
mortgage loans                           677                 (14,551)               (43,806)              (5,868)               15,228               (37,938)
Sale of REO                             (780)                 (1,268)                (4,138)              (3,814)                  488                  (324)
Extinguishment of debt                     -                       -                      -                   83                     -                   (83)
Other                                 (1,815)                 (1,838)                (6,784)             (53,311)                   23                46,527
                               $  (1,004,454)         $       94,936          $    (848,334)         $  (188,919)         $ (1,099,390)         $   (659,415)


Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

Loss on settlement of investment, net was driven by the sale of Agency
securities that were in an unrealized loss position at the date of sale. The
sales resulted in net realized losses of $1.0 billion offset by the
reclassification of net unrealized losses of

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$949.2 million related to securities sold during the quarter, and favorable
changes of $315 million attributable to interest rate swaps.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.

Gain on settlement of investments, net was driven by loss on sales of real
estate securities of $1,141.5 million attributable to the sales of Agency
securities during the third quarter, offset by gain on settlement of derivatives
of $292.7 million largely attributable to the settlement of TBAs.

Other Income (Loss), Net

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

                                                    Three Months Ended                         Nine Months Ended
                                          September 30,                                September 30,       September 30,
                                               2022              June 30, 2022             2022                2021             QoQ Change           YoY Change
Unrealized gain (loss) on secured notes
and bonds payable                         $    15,128          $       27,957          $   50,279          $    5,245          $  (12,829)         $    45,034
Rental revenue                                 16,937                  12,272              37,339              39,094               4,665               (1,755)
Property and maintenance revenue               34,520                  32,035             100,860              73,765               2,485          

27,095

(Provision) reversal for credit losses on
securities                                     (2,812)                 (2,174)             (5,697)              5,020                (638)         

(10,717)

Valuation and credit loss (provision)
reversal on loans and real estate owned        (3,932)                 (1,614)             (8,575)             42,617              (2,318)             (51,192)
Other income (loss)                           (36,599)                 (9,088)            (39,244)            (38,408)            (27,511)                (836)
                                          $    23,242          $       59,388          $  134,962          $  127,333          $  (36,146)         $     7,629


Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

Other income decreased $36.1 million, primarily due to a write down of our
private note with Covius and increased reserve for expected loan repurchases.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Other income increased $7.6 million, reflecting an increase of $27.1 million in
property and maintenance revenue at Guardian Asset Management, lower servicing
provisions for servicing losses, and decreased write-offs of receivables. These
items were partially offset by the change in provision for credit losses on
loans and securities during 2022.

Income Tax Expense

Three months ended September 30, 2022 compared to the three months ended
June 30, 2022.

Income tax expense decreased $50.6 million, primarily driven by changes in the
fair value of MSRs, loans and swaps held within taxable entities.

Nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021.


Income tax expense increased $168.8 million, primarily driven by changes in the
fair value of MSRs, loans, and swaps held within taxable entities, partially
offset by the deduction for the termination fee to affiliate.

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.

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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, 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 September 30, 2022 was $1,420.0 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 September 30, 2022, approximately $1,003.6 million of our
cash and cash equivalents were held at NRM, Newrez, and Caliber, of which $832.4
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
September 30, 2022, we had outstanding secured financing agreements with an
aggregate face amount of approximately $13.7 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,
$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 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.

The use of TBA dollar roll transactions generally increases our funding
diversification, expands our available pool of assets, and increases our overall
liquidity position, as TBA contracts typically have lower implied haircuts
relative to Agency RMBS pools funded with repo financing. TBA dollar roll
transactions may also have a lower implied cost of funds than comparable repo
funded transactions offering incremental return potential. However, if it were
to become uneconomical to roll our TBA contracts into future months it may be
necessary to take physical delivery of the underlying securities and fund those
assets with cash or other financing sources, which could reduce our liquidity
position.

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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 evolving variants of COVID-19. 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.

On June 17, 2022, we entered into definitive agreements with the Former Manager
to internalize our management function. As part of the termination of the
existing Management Agreement, we agreed to pay $400.0 million (subject to
certain adjustments) to the Former Manager. Following the internalization of
management on June 17, 2022, we no longer pay a management or incentive fee to
the Former Manager. Consequently, we have assumed general and administrative,
and compensation and benefit expenses directly. We anticipate a savings in
operating costs as a result of the Internalization.

On August 16, 2022, the U.S. government enacted the Inflation Reduction Act. The
Inflation Reduction Act introduces a new 15% corporate minimum tax, based on
adjusted financial statement income of certain large corporations. Applicable
corporations would be allowed to claim a credit for the minimum tax paid against
regular tax in future years. The corporate minimum tax is effective for tax
years beginning after December 31, 2022. The Inflation Reduction Act also
includes an excise tax that would impose a 1% surcharge on stock repurchases.
This excise tax is effective on stock repurchases after December 31, 2022. While
we continue to evaluate the impact the Inflation Reduction Act on our
consolidated financial statements, we currently do not expect a material impact
on our results, financial position, or cash flows.

On August 17, 2022, the FHFA and Ginnie Mae released updated capital and
liquidity standard for loan sellers and servicers. In regards to capital
requirements, the updated standards require all loan sellers and servicers to
maintain a minimum tangible net worth of $2.5 million plus 25 bps for Fannie
Mae, Freddie Mac and private label servicing UPB plus 35 bps for Ginnie Mae
servicing. This change aligns the existing Ginnie Mae capital requirement with
the FHFA's. In addition, the definition of tangible net worth has been changed
to remove deferred tax assets, though the tangible net worth to tangible asset
ratio remained unchanged at 6% or greater. In regard to liquidity requirements,
the updated standards require all non-depositories to maintain base liquidity of
3.5 bps of Fannie Mae, Freddie Mac and private label servicing UPB plus 10 bps
for Ginnie Mae servicing. This change is an increase in required liquidity for
the Ginnie Mae balances and aligns with the FHFA's. Furthermore, specific to
FHFA, all non-banks will have to hold additional origination liquidity of 50 bps
times loans held for sale plus pipeline loans. Large non-banks with greater than
$50 billion UPB in servicing will have to hold an additional liquidity buffer of
2 bps on Fannie Mae and Freddie Mac servicing balances and 5 bps on Ginnie Mae
servicing. Notwithstanding Ginnie Mae's risk-based capital requirement, the
updated standards will become effective on September 30, 2023. Noncompliance
with the capital and liquidity requirements can result in the FHFA and Ginnie
Mae taking various remedial actions up to and including removing the Company's
ability to sell loans to and service loans on behalf of the FHFA and Ginnie Mae.
Currently, Ginnie Mae's risk-based capital requirement is expected to go into
effect on December 31, 2024.

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
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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.

Debt Obligations

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

                                                                                                                                                             September 30, 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)                                     $   3,743,336          $        3,741,373               Oct-22 to Sep-25                      3.96  %                      0.6       $       4,454,467          $  4,260,857          $     4,112,852                        21.4       $       10,296,812
Warehouse Credit Facilities-Mortgage
Loans Receivable(E)                                       1,077,413                   1,077,413               Feb-23 to Dec-23                      5.65  %                      1.0               1,283,193             1,283,193                1,283,193                         0.7                1,252,660
Agency RMBS(D)                                            8,224,352                   8,224,352               Oct-22 to Jan-23                      2.75  %                      0.0               8,598,313             8,582,299                8,482,906                         9.9                8,386,538
Non-Agency RMBS(E)                                          612,109                     612,109               Oct-22 to Dec-23                      5.11  %                      0.9              14,626,707               930,056                  926,339                         5.1                  656,874

Total Secured Financing Agreements                       13,657,210                  13,655,247                                                     3.42  %                      0.3                                                                                                                  

20,592,884

Secured Notes and Bonds Payable
Excess MSRs(G)                                              228,497                     228,497                     Aug-25                          3.74  %                      2.9              70,067,350               263,278                  315,966                         5.9                  237,835
MSRs(H)                                                   4,574,995                   4,566,704               Mar-23 to Dec-26                      4.91  %                      2.4             536,226,491             6,764,622                8,839,634                         7.1                4,234,771
Servicer Advance Investments(I)                             318,590                     317,752               Dec-22 to Mar-24                      1.23  %                      0.3                 334,818               358,225                  371,418                         7.8                  355,722
Servicer Advances(I)                                      2,127,691                   2,123,593               Oct-22 to Nov-26                      3.16  %                      1.0               2,525,729             2,522,246                2,522,246                         0.7                2,355,969
Residential Mortgage Loans(J)                               771,748                     771,285               May-24 to Jul-43                      2.17  %                      2.1                 789,890               799,997                  799,997                        28.2                  802,526
Consumer Loans(K)                                           355,211                     320,001                    Sep-37                           2.07  %                      3.3                 353,127               365,989                  393,567                         3.3                  458,580
SFR Properties                                              863,029                     813,915               Mar-23 to Sep-27                      3.60  %                      4.2                        N/A            941,715                  941,715                         N/A                  199,407
Mortgage Loans Receivable                                   524,062                     511,917               Jul-26 to Dec-26                      5.17  %                      4.1                 576,851               576,851                  576,851                         0.6                

Total Secured Notes and Bonds Payable                     9,763,823                   9,653,664                                                     3.96  %                      2.3                                                                                                                   8,644,810
Total/ Weighted Average                               $  23,421,033          $       23,308,911                                                     3.65  %                      1.1                                                                                                          $       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 $54.0 million of associated accrued interest payable
as of September 30, 2022.
(D)All fixed interest rates.
(E)All LIBOR-based floating interest rates.
(F)Includes $217.6 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 $2.7 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 $1.9 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)$1.7 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) $21.8 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: $302.2 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").

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 $13.7 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):

Nine Months Ended September 30, 2022

                                         Outstanding
                                          Balance at             Average Daily
                                        September 30,               Amount               Maximum Amount          Weighted Average
                                             2022               Outstanding(A)             Outstanding          Daily Interest Rate
Secured Financing Agreements
Agency RMBS                            $   8,224,352          $      8,364,703          $   13,403,573                      1.05  %
Non-Agency RMBS                              612,109                   634,740               1,029,016                      3.46  %
Residential mortgage loans                 3,398,172                 5,578,070              11,681,187                      2.62  %

Secured Notes and Bonds Payable

MSRs                                       1,077,000                   754,692               1,077,000                      4.24  %
Servicer Advances                          1,902,189                   959,324               1,987,002                      2.36  %

SFR Properties                               133,790                   150,396                 177,494                      2.75  %
Total/weighted average                 $  15,347,612          $     16,441,925          $   29,355,272                      1.89  %


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

                                                          Average Daily Amount Outstanding(A)
                                                                  Three Months Ended
                              September 30,
                                   2022               June 30, 2022           March 31, 2022           December 31, 2021
Secured Financing Agreements
Agency RMBS                  $   8,200,636          $    7,886,950          $     9,015,478          $        8,789,698
Non-Agency RMBS                    613,057                 266,365                  646,092                     711,931
Residential mortgage loans       3,610,003               5,274,925                7,481,741                   8,502,746
and REO

(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.

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):
Year                      Price
2022                      103.125%
2023                      101.563%
2024 and thereafter       100.000%



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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 September 30, 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

October 1 through December 31, 2022 $ 500,000 $ 9,114,790

     $  9,614,790
2023                                            1,307,040         5,503,195         6,810,235
2024                                            1,207,484         1,325,350         2,532,834
2025                                                    -         1,810,739         1,810,739
2026                                              324,062         1,772,173         2,096,235
2027 and thereafter                             1,106,200                 -         1,106,200
                                          $     4,444,786      $ 19,526,247      $ 23,971,033

(A)Includes secured notes and bonds payable of $4.4 billion.
(B)Includes secured financing agreements and secured notes and bonds payable of
$13.7 billion and $5.9 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 3.0% and 34%, respectively, and for
residential mortgage loans and SFR Properties was 9% during the nine months
ended September 30, 2022.

Borrowing Capacity

The following table summarizes our borrowing capacity as of September 30, 2022
(in thousands):

                                                                Borrowing               Balance               Available
Debt Obligations / Collateral                                    Capacity             Outstanding            Financing(A)
Secured Financing Agreements
Residential mortgage loans and REO                           $   5,414,545          $   2,152,331          $   3,262,214
Loan origination                                                14,509,009              2,668,419             11,840,590
Secured Notes and Bonds Payable
Excess MSRs                                                        286,380                228,497                 57,883
MSRs                                                             5,503,838              4,574,995                928,843
Servicer advances                                                4,183,491              2,446,280              1,737,211
Residential mortgage loans                                         290,715                224,503                 66,212
                                                             $  30,187,978          $  12,295,025          $  17,892,953


(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.

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 September 30, 2022.

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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                     Nine Months Ended
                                                     Number of Shares                                                                                                             September 30,                          September 30,
                                                                                                  Liquidation                    Issuance              Carrying
Series                              September 30, 2022              December 31, 2021            Preference(A)                   Discount              Value(B)                2022              2021                2022                2021
Series A, 7.50% issued July
2019(C)                                   6,210                               6,210            $       155,250                        3.15  %       $    150,026          $   0.47             $ 0.47          $     1.41              $ 1.41
Series B, 7.125% issued
August 2019(C)                           11,300                              11,300                    282,500                        3.15  %            273,418              0.45               0.45                1.34           

1.34

Series C, 6.375% issued
February 2020(C)                         15,928                              16,100                    398,209                        3.15  %            385,734              0.40               0.40                1.20           

1.20

Series D, 7.00%, issued
September 2021(D)                        18,600                              18,600                    465,000                        3.15  %            449,489              0.44               0.28                1.31                0.28
Total                                    52,038                              52,210            $     1,300,959                                      $  1,258,667          $   1.76             $ 1.60          $     5.26              $ 4.23

(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.

Common Stock

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


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 Former Manager for its
successful efforts in raising capital for us, we granted options to the Former
Manager relating to 5.2 million shares of Rithm Capital's common stock at $10.10
per share. We used the net
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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 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 Former Manager for its
successful efforts in raising capital for us, we granted options to the Former
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. During
the nine months ended September 30, 2022, we repurchased approximately
$3.8 million of Preferred Series C at a weighted average price of $22.20 per
share.

On August 5, 2022, 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 September 30, 2022 under the ATM
Program.

The following table summarizes outstanding options as of September 30, 2022:


Held by the Former Manager                                                               21,471,990

Issued to the Former Manager and subsequently assigned to certain of the
Former Manager’s employees

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


As of September 30, 2022, our outstanding options had a weighted average
exercise price of $13.83.

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 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

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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
June 30, 2022                                           July 2022                    0.25
September 30, 2022                                     October 2022                  0.25



Cash Flows

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

                                                                 Nine Months Ended
                                                                   September 30,
                                                                           2022                 2021                      Change
Beginning of period - cash, cash equivalents, and
restricted cash                                                       $ 1,528,442          $ 1,080,473                $   447,969

Net cash provided by (used in) operating activities                     6,731,911             (686,495)                 7,418,406
Net cash provided by (used in) investing activities                      (854,575)           2,807,043                 (3,661,618)
Net cash provided by (used in) financing activities                    (5,456,203)          (1,639,598)                (3,816,605)

Net increase (decrease) in cash, cash equivalents,
and restricted cash

                                                       421,133              480,950                    (59,817)

End of period - cash, cash equivalents, and
restricted cash                                                       $ 1,949,575          $ 1,561,423                $   388,152


Operating Activities


Net cash provided by (used in) operating activities were approximately $6.7
billion and $(0.7) billion for the nine months ended September 30, 2022 and
2021, respectively. Operating cash inflows for the nine months ended
September 30, 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, termination fee
paid to the Former Manager, and subservicing fees paid.

Investing Activities


Net cash provided by (used in) investing activities were approximately $(0.9)
billion and $2.8 billion for the nine months ended September 30, 2022 and 2021,
respectively. Investing activities for the nine months ended September 30, 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

Net cash provided by (used in) financing activities were approximately $(5.5)
billion and $(1.6) billion for the nine months ended September 30, 2022 and
2021, respectively. Financing activities for the nine months ended September 30,
2022 primarily
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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
$0.9 billion. As of September 30, 2022, there was $12.1 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.


TBA dollar roll transactions represent a form of off-balance sheet financing
accounted for as derivative instruments. In a TBA dollar roll transaction, we do
not intend to take physical delivery of the underlying agency MBS and will
generally enter into an offsetting position and net settle the paired-off
positions in cash. However, under certain market conditions, it may be
uneconomical for us to roll our TBA contracts into future months and we may need
to take or make physical delivery of the underlying securities. If we were
required to take physical delivery to settle a long TBA contract, we would have
to fund our total purchase commitment with cash or other financing sources and
our liquidity position could be negatively impacted.

As of September 30, 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 September 30, 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 nine months ended September 30, 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 September 30, 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 $223.5
million of unfunded and available revolving credit privileges as of
September 30, 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 $798.7 million of
additional advances on existing mortgage loans as of September 30, 2022. These
commitments are generally 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.

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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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