Rithm Capital Corp. · NYSE:RITM

Rithm Capital — New Residential Investment — Q3 2014 Earnings Presentation

29 slides from Rithm Capital's earnings presentation, November 2014

1. Slide 1: New Residential Quarterly Supplement Third Quarter 2014

   New Residential Quarterly Supplement Third Quarter 2014

2. Slide 2: Disclaimers

   Disclaimers IN GENERAL. This disclaimer applies to this document and the verbal or written comments of any person presenting it. This document, taken together with any such verbal or written comments, is referred to herein as the “Presentation.” We encourage you to review the Abbreviations included

3. Slide 3: Company Overview

   Company Overview New Residential is a publicly traded REIT (NYSE:NRZ) with a market capitalization of $1.8 billion(1)  NRZ primarily invests across the vast $20 trillion U.S. housing market(2)  Performance has been strong:  Recorded the highest quarterly earning results in the company’s history(3

4. Slide 4: Financial Highlights – 3Q'14

   Financial Highlights – 3Q’14*  For the third quarter:  GAAP Income of $126 million, or $0.88 per diluted share  Core Earnings of $63 million, or $0.43 per diluted share (1)  Common dividend of $49 million, or $0.35 per share 3Q’14 2Q’14 ($/ diluted share)(2) ($/ diluted share)(2) ($mm) Pre Split

5. Slide 5: Consistently Strong Financial Performance

   Consistently Strong Financial Performance  NRZ has delivered significant value since inception(1):  Core Earnings(2): 65% YoY growth from $38 million in 3Q’13 to $63 million in 3Q’14  Net Income: Doubled net income from $63 million in 3Q’13 to $126 million in 3Q’14  Dividends: Cumulative dividen

6. Slide 6: New Residential Today

   New Residential Today*  Our core focus is on Excess MSRs and Non-Agency deal collapses  We believe our portfolio is unique and with high barriers to entry  First to create Excess MSRs as a REIT-eligible asset class(1)  Own call rights on approximately $100 billion UPB across 810 Non-Agency deals

7. Slide 7: 3Q Highlights: Executing Our Strategy

   3Q Highlights: Executing Our Strategy  Committed to or settled on $25 billion UPB of additional Excess MSRs(1) Continued Growth of  $20 million of equity invested in 3Q’14 Excess MSRs  Currently evaluating $150 billion UPB pipeline(1)  Originators selling MSRs to maintain profitability  Collaps

8. Slide 8: Portfolio Update

   New RESIDENTIAL INvesTMENT Corp.

9. Slide 9: Excess MSR – What Is It?

   Excess MSR – What Is It?  What is an MSR?  Contractual right to cashflows in exchange for performing mortgage servicing duties  Typically calculated on the percentage of the unpaid principal balance (“UPB”) of a particular loan  We pioneered a REIT-eligible asset class by splitting the MSR into

10. Slide 10: Excess MSRs – Large Market with Significant Growth Potential

    Excess MSRs – Large Market with Significant Growth Potential  Approximately $10 trillion mortgage servicing market(1)  Historically dominated by banks; shift continues  Driven by operational pressure and regulatory capital requirements  Refocus on core businesses and customers  We believe mortg

11. Slide 11: Excess MSRs – Long-Term, Predictable Cashflows

    Excess MSRs – Long-Term, Predictable Cashflows  We own a portfolio of $251 billion UPB of Excess MSRs  Seasoned, credit-impaired borrowers(1) with limited refinance options  Stable prepayment speeds despite volatile interest rates; cashflows continue to grow as fewer borrowers default  Life-to-d

12. Slide 12: Resi Securities & Call Rights – Deal Collapse Opportunity

    Resi Securities & Call Rights – Deal Collapse Opportunity NRZ owns the clean-up call rights on 810 Non-Agency deals with a total UPB of ~$100 billion  Multiple paths to monetize our call rights: What is a deal collapse? It is the exercise of the “clean-  Sell or re-securitize called loans for a ga

13. Slide 13: Other Investments – Overview

    Other Investments – Overview Opportunistic investments targeting 20%+ returns  Focus on large addressable markets with assets that offer significant upside and capital appreciation  Leverage our manager and industry experience to source opportunities not broadly available  NRZ has a proven track

14. Slide 14: 3Q'14 Summary & Looking Forward

    3Q’14 Summary & Looking Forward  Record GAAP Net Income and Core Earnings Record 3Q Results  Active quarter across all businesses  Currently have approximately $262 million of cash to invest (1) Robust Near-Term  Pipeline of MSRs looks better than it has in the past year Pipeline  Continued foc

15. Slide 15: Appendix

    Appendix ~ y SS Gay New RESIDENTIAL ws INVESTMENT Corp.

16. Slide 16: Excess MSRs – Investment Details

    Excess MSRs – Investment Details Credit Characteristics Prepayment Speeds(1) 24% Gross CPR Net CPR(2) 21% 21% Acquisition Current (9/30) Change 20% WAC 5.1% 4.7% (0.4%) 17% 17% 16% 16% 16% WALA (Yrs) 5.6 7.0 0.9 16% 14% 13% 13% 13% FICO 672 679 7 12% 11% LTV 99.1 91.6 (7.5) 8% 60+DQ 17.2 14.5 (2.7)

17. Slide 17: Residential Loans & Securities – Performance Update

    Residential Loans & Securities – Performance Update  Residential Loans – $761 million fair market value portfolio acquired for 64% of BPO  Positioned to gain from faster loan resolutions with downside mitigated by positive equity loans(1)  18% LTD IRR – primarily driven by active portfolio manage

18. Slide 18: Other Investments – Servicer Advances Performance Update

    Other Investments – Servicer Advances Performance Update(1)  We have invested $313 million(2) for a 45% interest in $5.2 billion of Non-Agency mortgage servicer advances and related rights to MSRs on loans with a UPB of $107 billion  Structured with incentive fees to provide a floor to expected IR

19. Slide 19: Other Investments – Consumer Loans Performance Update

    Other Investments – Consumer Loans Performance Update  In April 2013, NRZ invested $241 million(1) to purchase an interest in a $3.9 billion UPB consumer loan portfolio  $462 million lifetime cash received(2)  Very strong return on investment:  ~1.9x cashflow multiple in less than 18 months  Ex

20. Slide 20: Other Investments – Consumer Loans Debt Refinance

    Other Investments – Consumer Loans Debt Refinance  On October 3, NRZ along with its co-investors completed a $2.6bn securitization of its consumer loan portfolio  Advance rate increased from 51% to 92%, and cost-of-funds decreased from 4.68% to 4.65%  NRZ’s portion of the refinance generated $338

21. Slide 21: Significant Book Value Accretion with Potential Upside

    Significant Book Value Accretion with Potential Upside  $11.14 reported book value per share as of 3Q’14; 12% YoY growth  Primarily attributable to business segments outperforming original underwriting and accretive reinvestment of capital  3Q’14 reported book value does not include:  $0.52 per

22. Slide 22: Financial Statements

    Financial Statements Gy New RESIDENTIAL Ny Investment Corr. \ 4

23. Slide 23: Unaudited Consolidated Balance Sheet

    Unaudited Consolidated Balance Sheet ($000, except where otherwise noted) As of 9/30/14 ASSETS Investments in: Excess mortgage servicing rights, at fair value $ 409,236 Excess mortgage servicing rights, equity method investees, at fair value 342,538 Servicer advances, at fair value 3,214,113 Real es

24. Slide 24: Unaudited Consolidated Income Statement

    Unaudited Consolidated Income Statement Ending September 30, 2014 ($ 000s) 3 months 9 months Interest Income $ 97,587 $ 261,733 Interest Expense 33,307 108,816 Net Interest Income 64,280 152,917 Impairment 1,134 2,534 Net Interest Income after impairment 63,146 150,383 Other Income Change in fair va

25. Slide 25: GAAP Reconciliation & Endnotes

    3) GAAP Reconciliation & Endnotes 24

26. Slide 26: GAAP Reconciliation of Core Earnings

    GAAP Reconciliation of Core Earnings  Management uses Core Earnings, which is a Non-GAAP measure, as one measure of operating performance.  Please see slide 26 for the definition of Core Earnings. ($000, except per share data) 3Q’14 2Q’14 Reconciliation of Core Earnings Net income (loss) attributa

27. Slide 27: Reconciliation of Non-GAAP Measures

    Reconciliation of Non-GAAP Measures  New Residential has four primary variables that impact the Company’s operating performance: (i) the current yield earned on its investments, (ii) the interest expense incurred under the debt incurred to finance its investments, (iii) its operating expenses and (

28. Slide 28: Endnotes

    Endnotes to Slide 5 1) We have received an IRS private letter ruling that our Excess MSRs represent interests in mortgages on real property and thus are qualifying “real estate assets” for purposes of the REIT asset test. 2) Net Investment of $752 million represents carrying value of Excess MSRs. 3)

29. Slide 29: Abbreviations

    Abbreviations Abbreviations: This Presentation may include abbreviations, which have the following meanings: •60+ DQ – Percentage of loans that are delinquent by 60 days or more •Age (mths) or Loan Age (mths) – Weighted average number of months loans are outstanding •BPO – Broker’s Price Opinion •BV

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