Good day, and welcome to the New Residential third quarter 2021 earnings conference call. All participants will be in a listen-only mode. Should you need assistance, please signal a conference specialist by pressing the star key followed by zero. After today's presentation, there will be an opportunity to ask questions. To ask a question, you may press star then one on a touch-tone phone. To withdraw your question, please press star then two. Please note, this event is being recorded. I would now like to turn the conference over to Caitlin Moritz, Investor Relations. Please go ahead. Great. Thank you, Betsy, and good morning, everyone. I'd like to thank you for joining us today for New Residential's third quarter 2021 earnings call. Joining me today are Michael Nierenberg, Chairman, CEO, and President of New Residential, and Nicola Santoro, Chief Financial Officer of New Residential. Also with me today are Sanjiv Das and Baron Silverstein, Chief Executive Officer and Chief Operating Officer and President, respectively, of Newrez and Caliber. Throughout the call this morning, we are going to reference the earnings supplement that was posted to the New Residential website this morning. If you have not already done so, I'd encourage you to download the presentation now. Before I turn the call over to Michael, I'd like to point out that certain statements today will be forward-looking statements. These statements, by their nature, are uncertain and may differ materially from actual results. I'd encourage you to review the disclaimers in our press release and earnings supplement regarding forward-looking statements and review the risk factors contained in our annual and quarterly reports filed with the SEC. In addition, we'll be discussing some non-GAAP financial measures during today's call. A reconciliation of these measures to the most directly comparable GAAP measures can be found in our earnings supplement. With that, I'll turn the call over to Michael. Thanks, Cait. Good morning, everyone. Thanks for joining us today. You know, when we look at our company today and look back over the recent history, I'm super excited for where our company is and what this is gonna mean for our shareholders as we go forward. The combination of our investment portfolio and operating business lines should continue to drive higher earnings as we go forward. The ability to manufacture our own assets through our different operating business lines, thus creating earnings for our company, is a true differentiating factor for us. This past quarter, we grew our core earnings from $0.31 to $0.44, and we increased book value from $11.27 to $11.35, despite the fact that the ten-year note ended the quarter essentially unchanged versus the end of Q2. With the macro outlook looking like higher rates ahead, the Fed likely to announce the beginning of tapering tomorrow, and inflation seems like it's here to stay for a while, our portfolios are in great shape to take advantage of this environment. Our MSR portfolio should do extremely well and sees much slower speeds in this scenario. During the quarter, we closed our Caliber transaction, which makes our mortgage company one of those top five players in this space. The addition of great talent, complementary origination business lines, and a terrific technology platform really transforms our business. During the quarter, we announced the acquisition of Genesis Capital, which is a market leader in the industry of providing loans to developers and real estate investors for the development and fixing of single-family homes. We believe the integration of this business into the family of our operating companies will be a very good acquisition, which will not only create high coupon short duration assets for our balance sheet, but will also strengthen and help grow our SFR business. We expect to close this transaction in December. Regarding the SFR business, also known as the single-family rental space, we are now up to 2,500 units. While home prices are up roughly 19% on the year, we still believe that housing supply issues, along with the robust rental market, should provide a very favorable backdrop for the business. On the investment portfolio side, we are beginning to see a slower amortization, which will be great for our MSR portfolios, as I mentioned earlier. Our call business continues to be robust, and our loan and securitization business is in full gear. Overall leverage for our business is roughly 1-1.5 times away from our agency portfolios, and that is one of the lowest levels we've seen in years. When we think about our financing, roughly 99% of all of our financing has no daily mark-to-market triggers, again, away from our agency business. With that, I'll now refer to our supplement, which has been posted online, and I'm gonna begin on page 3. When you look at our evolution as a company, in 2013, NRZ was created to be an acquisition vehicle to purchase excess MSRs. Over time, we've grown our excess MSR business through acquisitions of HLSS, large portfolios of MSRs from Citi, getting fully licensed. As you look at the timeline, 2018 really transformed our company when we acquired Newrez. 2019, we acquired assets from Ditech. As we fast-forward into 2021, the acquisition of Caliber and Genesis creates what I think are wonderful operating businesses, which will continue to provide high-quality assets for our balance sheet, again, thus driving higher earnings as we go forward. Page four, Q3 highlights. GAAP net income $146.1 million or $0.30 per diluted share. Core earnings, $209.9 million or $0.44 per diluted share. Again, up from $0.31 in Q2. Third quarter common dividend, $0.25, 9.1% dividend yield, and that's as of the end of September. Cash and liquidity, roughly $1.9 billion total. Net equity $6.6 billion. Book value on the quarter up from $11.27 to $11.35. Total economic return 2.9%. During the quarter, we raised $465 million in a preferred stock offering. We closed the acquisition of Caliber, and we announced the acquisition of Genesis Capital. Page five, Caliber. We announced this deal in April, got it closed in August, and the integration not only is well along the way, it quite frankly began at the announcement. When you think about returns for our shareholders, we raised our common stock dividend by 25% quarter-over-quarter, and our economic return of 2.9% during the third quarter. The acquisition of Genesis, which is one of the leaders in the so-called business purpose lending, also known as the fix and flip business. As we think about that, we think that company will likely provide something between $2 billion-$2.5 billion a year of high coupon, short duration, good REIT assets for our balance sheet. Again, it's gonna, with Robert Wasmund and his management team, we're gonna really. I really believe that we're bolstering our SFR business and should do really good things there. On the recapture side, and as we get into the deck a little bit further, we'll talk more about that. The continued focus on recapture rates, not only on the Caliber side, but also on the Newrez side, continues to increase, thus slowing amortization and creating more retention opportunities on our MSR portfolios. From a balance sheet perspective, roughly $40 billion in assets under management, and again, non-daily mark-to-market away from our agency portfolio is roughly 99%. Call right strategy remains very, very strong. We called $636 million in collateral in Q3, $1.9 billion year to date. Our call population roughly at $50 billion now, where 60% of that population is currently callable. Again, as delinquencies go down and advanced balances decrease, we're gonna be able to call more and more of that collateral. Page six. Just a little bit of a summary of our business as we think about it. Origination and servicing in, you know, in the mortgage company, as you think about some of the other operating businesses, Genesis Capital is an origination business as well. Overall, the way to think about the company today is the MSR portfolio, the excess servicing that sits both in the mortgage company and in NRZ, is a little bit north of $600 billion right now. When you think about our agency portfolio, we keep a core portfolio of agency securities. One is to do some hedging around our MSR portfolio. The other part is we need, for good REIT assets and '40 Act compliance. Our portfolio of residential mortgage loans is really driven by our call strategies. We're not outgoing in the market and competing for mortgage loans. Again, going back to my opening remarks, when you think about our company, our ability to manufacture assets for our balance sheet truly differentiates us, I think, from the rest of the pack. Finally, on the bottom part of the page, when you think about so-called business purpose lending, Genesis Capital, bridge loans, renovation loans, and construction loans to the residential housing market. Page 7. Just a quick summary of Genesis Capital. It's really on 7 and 8. The acquisition of Genesis Capital gives us roughly $1.4 billion of high quality performing loans. Coupons are roughly 7%-8% on that portfolio, short duration in nature. We're really, really happy with those assets. Obviously, we intend to grow that. As you think about that business, it sat inside of Goldman Sachs. We think that the possibilities for our company, quite frankly, and with Robert Wasmund and his leadership team are endless. You know, then couple that with our SFR business, we're really excited about that. Page eight, business purpose lending. As you think about it's a large addressable market, a little bit less than half a trillion dollars. When you think about homeownership rates in the U.S., you know, they're kind of always fairly stable in the low sixties. You're starting to see, you know, what we think going forward is gonna be a large purchase market. Sanjiv and Baron will talk to that a little bit. There is a shortage of homes for sale. Obviously, construction and development has been pretty robust over the course of the past few years. With the shortage of housing, we expect that to continue. When you think about some of the recent law changes in California, for example, you're gonna see more development, we think, on some of the smaller lots there. So we're very focused on that. When you think about HPA, you know, HPA is up roughly 20% year-over-year. At some point, housing becomes a little bit less affordable for a lot of folks. As we think about that, the rental market's going to remain extremely strong. Thinking about tax rates and the geographic population shifts that are going on, i.e., folks moving from, you know, some of the high tax states to Texas, to Florida and some of the other areas, we think there's gonna be a large opportunity for us to provide capital in those areas. Finally, the growth of our SFR business. Page nine. I'm not gonna spend a ton of time on this because I've hit this. Really, again, the way to think about NRZ today, which I think is very different than where we've been over the years, really, we're an investment company. Start with that thesis. We have a great investment portfolio led by Charles Sorrentino and his team. On the operating business, we have a great mortgage company led by Baron, Sanjiv and their team. You know, we'll do roughly $175 billion in origination this year, and we intend to pick up market share as we go forward. As we add other business lines that are going to create assets for our balance sheet, we think we're gonna be able to use those assets to grow core earnings as we go forward. Very excited about the possibilities ahead. Tailwinds, page ten. You know, we think that we are in great shape. You know, I get on this call this morning and I said to our board yesterday during a meeting, very, very excited about the prospects for our company, where we stand, our pool of capital, $1.9 billion of cash and liquidity. One of the highest numbers that we've had, you know, probably ever, quite frankly. We are going to retain more capital on balance sheet today and probably forever as we go forward. Just to throw that out there. When we think about yields, the 10-year note, we believe, is going to continue to increase. Yesterday, we had some meetings. We brought in a couple economists, John Ryding and Conrad DeQuadros. You know, we spoke a lot about inflation. We spoke about the macro picture. We spoke about the global economy. I think everybody is in the belief that rates will continue to rise. Goldman Sachs has actually pulled forward some of their rate increase forecast on the Fed. We think that we're perfectly situated to take advantage of any increase in rates. As you think about that and our large portfolio of MSRs, we should be in great shape again. Purchase originations are expected to increase. I'll let Sanjiv and Baron talk about that. Our non-agency origination continues to increase as well. When you think about non-QM, we shut down non-QM during the pandemic. This, I think our 2022 projections are probably something between $3 billion and $4 billion in non-agency production. And that's a very profitable business line. You think about borrower strength and delinquencies, they continue to decline. Then overall, I think when you look to the right side of the page and think about where we are, we are a top 5 mortgage originator and servicer in the U.S. When you look at the fragmented nature of this, away from the banks, the amount of market share that's out there, we think, is something around 50%. Any small increase there will obviously help our origination business, but enable us to pick up market share. Page 12, just taking you through real quickly some of our performance stuff, and then I'm gonna turn it over to Sanjiv. On the MSR portfolio, a couple things to point out here. As of the end of September, $635 billion UPB. MSRs go up in value as rates rise. Hold that thought. When you think about our Newrez, Caliber servicing portfolio, it's we basically service roughly 70% of our own. We still have some sub-servicing with Mr. Cooper, Ocwen, and a couple other smaller players in the industry. 100% of our MSR financings are now non-daily mark-to-market. Here's a good stat for everybody. Today, only 29% of our full MSR portfolio is in the money to refinance. You go back to Q2 of 2021, that was roughly 40%. Just to throw a couple amortization numbers at you real quick. Q3 2020 on the NRZ portfolio alone, amortization was $509 million. Q3 2021, our amortization number on the NRZ portfolio alone is $250 million. You've already seen a decrease of roughly 50% from the highs in Q3 2020 to where we are in Q3 2021. When you think about higher rates, potential for mortgage company earnings to decrease a little bit here, the MSR portfolio should kick in in a big way. As those go up in value, that's only gonna add to our book value as a company. Page 13. Again, MSR portfolios continue to see slower speeds. I'm not gonna beat a dead horse there. Page 14, call rate activity. As I pointed out earlier, we called 26 deals in the third quarter, $636 million in collateral. I think Q4 is probably on track to do about the same. Our call rate population roughly $50 billion today, with roughly 60% of that currently callable. We still need delinquencies to decrease and advanced balances to decrease. On the SFR side, we've been pretty cautious, quite frankly. Today we have roughly 2,500 units. Just to give you a sense, we backed our pricing over the course of the past couple weeks. We put in some higher cap rates just to see what would happen in our acquisition vehicles. Quite frankly, we saw lower acquisition rates. We continue to be very, very focused on there, on that business, maintaining prudence, looking at proper BPO values just to make sure that the market is not too frothy. We continue to grow that business. The addition of the Genesis Capital folks is gonna make us a much better, much smarter business there. On the long-term opportunity as we think about the investment side, you know, I look at the EBO business today with the acquisition of Caliber. Our Ginnie Mae portfolios are comparable to that of some of our peers in the industry. Our overall P&L numbers, however, today are much lower than some of our peers in the industry. I think there's a fair amount of upside there. As you think about non-QM, I mentioned that business again, we expect to do roughly $3 billion-$4 billion in the non-QM channels next year. Then when we think about, you know, other opportunities in loans, whether it be in our call right business and other areas, and our own ability to manufacture assets, we're very, very excited about what lies ahead. Servicer advance balances, I'm not gonna spend a lot of time there. Virtually unchanged. You know, financing is extremely efficient there. And we continue to see lower and lower levels on the forbearance side. On the mortgage company side, I'll just close my comments and then turn it over to Sanjiv. You know, really, really excited about where we stand. We have a lot of work to do on a go-forward basis. You know, there's a large spend on the technology side. We have a lot of work to do on the expense side. Our expenses, you know, when I think about where we are, and if you think about an annual run rate of roughly $2.5-$3 billion of expenses, if we could take out roughly 10%-20% in expenses, that's roughly $1 a share. There's a lot of work to do there. I'm confident that we're gonna get there. I do think we're a market leader. The acquisition of Caliber makes us a far better company. With that, I'll turn it over to Sanjiv, and I'll be back for Q&A. Sanjiv? Thank you, Michael. I'm excited to join you all in the first earnings call since the close of the acquisition of Caliber. I'm on page 18. Let me begin by giving you a quick update on the integration between Caliber and Newrez. As Michael mentioned, we had started that work pretty much right after announcement. Across the business, with leaders on both sides, we have now combined it into one unified team. I can tell you that even in the first 60 days since we closed, we've made tremendous progress in that both our correspondent and wholesale teams have come together in terms of both sales and operations. We have also made a tremendous amount of progress integrating or thinking through what our integrated technology platforms will look like. As you all know, some of these things take a little bit of time, but we know that we will drive improved efficiencies through a consolidated tech platform. Over the next few months, we will continue to integrate the rest of our origination channels. It's basically DTC across the two companies because retail is largely unchanged. It will stay on the Caliber platform, and so that part of the business stays pretty much unchanged. We are also working through our servicing platform to see how we consolidate a pretty large servicing platform. Overall, very pleased with the progress, and we are very confident about our ability to achieve full integration and full synergies through 2022, with a strong focus on expenses, as Michael mentioned. As part of our integration efforts, we have already identified synergies which are shown on the right of the chart. I think we had shown some of these numbers before. Even in the two months since we've closed, we've made significant progress towards achieving our financing cost goals. For example, we know, and I know Michael had mentioned this in an earlier call, we are now very clear, and it's established that the savings in our financing cost will be roughly $45 million annually, which is a very significant saving in the combined platforms. We are, on the operating side, doubling down on digitization and automation to make sure that the combined platform will drive improvement in cost of production and cycle time. We've talked about cost per loan, cycle time as being critical metrics that we look across in our business. Net-net, we are very confident of achieving synergies through all of 2022 in the $80-$120 million run rate. $80-$100 million annualized and a run rate of $150-$200. I know that falls short by about $100 million for what Michael actually wanted. On the origination side, we have, on page 19, I am excited to share with you the solid performance of our combined business during the quarter. Now, this is literally stitching up the math and just adding the two volumes together. We haven't really synergized our origination, so to speak. You can see that the origination platform, origination segment made $177.5 million in pre-tax income in the third quarter. This was driven by volume growth. You can see that on the bottom left-hand chart. Very significant growth in our volume and a very significant change in the mix in our volume. That mix in the change of volume has essentially impacted margins on the right in a very positive way. You can see the combined company is not only a very large company in terms of origination volume, but also very profitable in terms of the origination margin mix. As the acquisition of Caliber closed towards the end of August, I think August twenty-third was when the acquisition was completed, the actual reported results of $34.5 billion that you see in funded volumes only includes a stub period of Caliber's performance from the end of August through September. If it had been a fully owned company through all of the third quarter, the combined origination volume would've been $45.3 billion, which as Michael mentioned makes us the fourth largest non-bank originator, and I think the fifth largest originator, including banks and non-banks, because it includes Wells Fargo. This would give us a market share of roughly 5%, which is a decent market share and a lot of scale. Our combined funded volume growth was flat on a pro forma basis. We were about 1% quarter on quarter. We know that we did better than the market. Both Caliber and Newrez were down slightly on DTC, but up on the correspondent side. Pull-through adjusted locks also remained very strong at $43.8 billion compared to $38.9 billion. In the appendix, we break out Caliber and Newrez volumes, as well as margins by channel to provide additional context, but in future, we will only show one metric for the combined entity. As you can see, the channel mix has changed very materially in terms of the retail and retail-like margins, which are stable and higher margins, enabling us to perform across pretty much all rate environments. This is a very significant differentiator for many of our monoline peers. Additionally, with our combination, the overall platform has added scale across each channel. If you look at, you know, just the histogram on the bottom left-hand side, you'll see that each channel, if you annualize it, is now roughly at about $30 billion-$40 billion each channel in terms of origination volume if it's annualized. Providing the overall business with natural hedges against margin pressures in any one channel. We saw that in the wholesale channel last quarter. We saw that in the wholesale channel a couple of years ago. This four-channel strategy essentially enables us to grow profitably across all cycles. We reported a Q3 gain on sale margin of 161 basis points. This would have been 184 basis points if Caliber had been owned for the entire quarter. On the whole, the third quarter margins remained strong. Correspondent margins actually improved a little bit, as did wholesale because of the price wars easing off in wholesale. In retail and direct-to-consumer margins remained high, albeit flat quarter-over-quarter. Just in terms of guidance for the fourth quarter and accounting for seasonal factors, we are estimating about $35 billion-$40 billion in origination production. That would put our combined full year 2021 of funded production at roughly $175 billion-$180 billion. Again, as Michael mentioned earlier, the organic MSR origination power of $175 billion-$180 billion dollar originator of funding in the NRZ ecosystem is a very powerful and differentiating dynamic for the entity. On slide 20, I'll move on to recapture rates real quick. You can see that both Newrez and Caliber improved our recapture performance quarter on quarter. Again, it was mainly an exchange of ideas at this point and best practice between the two companies, but we have every confidence in our ability to show continued improvement in our track record. You can see we've had a pretty good track record of over 60% in recapture rates at Caliber. That combined with our heavy investments in consumer experience, we know is really gonna get us there in terms of the magical closing the gap between the two companies. Our ability to do this on a much larger servicing book is a huge opportunity for us, even as the market sees refinancing slowing down a little bit. The recapture sensitivity table on the top right speaks to that earnings opportunity, and we thought we'd articulate that for you. Net-net, with industry refinancing expected to come down, we believe the size of our retained servicing portfolio and closing the gap in our relative recapture performance will give us a lift that will help us mitigate some of these refinancing volumes coming down. I have talked about purchase recapture in the past. It's not something that the rest of the industry talks about, mainly because the numbers in the industry tend to be tough on purchase recapture. Purchase recapture is the ability to recapture existing borrowers who purchase their next home. In geographies where we have a very strong retail franchise, this is an immense opportunity for us. Today, Caliber captures about 57% of purchase recapture transactions in the market. The potential to do that across a much larger combined servicing base with the retail franchise is a very significant and strategic advantage in purchase, which is a great segue to our next page on purchase. Slide 21, I'll quickly talk about purchase. As you know, we've always talked about purchase. We've been a leader in purchase lending. It's in our DNA, and it's a fact that has contributed to our strong, consistent, and steady margins across rate cycles. The MBA is forecasting purchase volumes to rise roughly 10% in 2022. As Michael mentioned before, we know that the market dynamics around the urban-suburban shift, state taxes, and the demographic factors such as millennials will be a strong tailwind to support purchase. This backdrop bodes really well for our franchise. Our platform's already proven that our local relationships set us apart and that borrowers still leverage local brokers and realtors to help them buy a home. Our combined purchase volume increased 18% from second quarter to third quarter. At $23.2 billion of total purchase volume, we know that we are over-indexed in our purchase market share at roughly 5.6% compared to 5% in our overall share. On the bottom right of this page, we show the purchase mix in each of our distributor channels. Retail, joint venture, wholesale, correspondent account for over 75% of our total origination volume. You can see in each of these channels, our purchase share is over-indexed to the market. On page 22, I want to talk to you a little bit about our market share. Michael mentioned earlier how fragmented the market is. It's not a goal, but I think it's a natural place we land. In fact, in our last call, we had put out an explicit number in terms of our market share growth at 10%. Let me take you through how we think we'll get there. We are strategically positioned at scale, as I mentioned before, in each of our four channels. Within each channel, we believe we can capture outsized share through our distribution, our products, and a technology platform that brings digitization and automation into our manufacturing process across each of those channels. This page shows that path across the channels. As we make progress on our goals, we are confident we can carry that momentum and continue to capture market share opportunities. Again, I'll share a common ethos that Michael and us have in that we will not chase market share at the cost of profitability. In other words, it is strategically our view that while we will continue to focus on growth through technology, we will make sure that we continue to focus on profitability, liquidity, and responsibility to our regulators. Last slide on servicing, slide 23. As of the end of the third quarter, Newrez and Caliber now have a combined servicing platform of $479 billion in UPB of loans representing approximately 2.3 million customers. That size would position us now as the fourth-largest non-bank servicer. Of the $476 billion, $385 billion represents servicing of our owned MSR, and $75 billion represents loans that we service on behalf of third parties. We anticipate that at the end of the year, our entire servicing portfolio will be roughly $480 billion-$490 billion in UPB. Overall, so forbearance rates on our servicing portfolio continues to be pretty low at 1.94%, and our servicing team continues to work diligently with homeowners to find solutions. As we continue to evaluate our strategy of bringing together our servicing platforms, we are diligently focused on minimizing any borrower disruption, achieving economies of scale, and maintaining high levels of recapture and retention of our existing borrower base. With that, let me turn this back to Michael. Thanks, Sanjiv. Why don't we turn it back to the operator and open it up for Q&A. Thank you. We will now begin the question and answer session. To ask a question, you may press star, then one on your touchtone phone. If you're using a speakerphone, please pick up your handset before pressing the keys. If at any time your question has been addressed and you would like to withdraw your question, please press star, then two. At this time, we will pause momentarily to assemble our roster. The first question comes from Kevin Barker with Piper Sandler. Please go ahead. Good morning. Thanks for taking my questions. I just wanted to get an idea from when you think about Caliber and Newrez integrated, could you help us think about what the pre-tax operating margins would be on the combined entity when you measure it against origination volume, year to date? Then what do you expect that to run rate, you know, next year and then maybe into 2023? In other words, you're looking for forward guidance? Sure. Actually, no, we're just looking for, like, what do you think you can operate these businesses at for on an operating basis per UPB originated when you on a combined entity? Obviously, it'll move around depending on the cycles, but... Why don't I take the first crack and go back to, you know, when Sanjiv speaks about expenses or I speak about expenses, our top line revenue in the origination business, when you look at gain on sale for the quarter, was about $900 million on the origination side. Really our goal, when we take a step back, is to reduce our, you know, I mean, to do the best we can, obviously. When Sanjiv speaks to whatever expense reduction that we could do, I think that the ability for us to reduce our expenses there and drive higher net earnings for the company is significant. That's where, you know, the integration work, which has begun, and quite frankly, has a lot of work to continue as we get more and more efficient and use the technology of H2O on the Caliber side, is really gonna bear some fruit for us. As we look at going forward into 2022 and 2023, origination volumes, when you look at the MBA stuff, you know, if you look at 2020 production, 2020 production was roughly $4 trillion. 2021 was, you know, projected to be about $3.5 trillion. When you look at 2022, it's about $2.5 trillion-ish, and that's what the steady run rate looks like. We think we're gonna be able to pick up market share. We think we're gonna be able to take out expenses on a go-forward basis. As we pick up market share, reduce expenses, that $900 million number will obviously come down because you're gonna be doing less volume, but so will the amount of expenses that come out of that. I don't know if that's helpful, but that's how, you know, that's my initial take on it. I think on the expense side, you know, when you think about the large amount of expenses that in the combined organization, we're gonna be able to make, you know, I think be able to take out significant amount of expenses. That's a real lever for us to pull in the on the operating side there. You know, the gain on sale margin is obviously higher at Caliber. They also have higher operating expenses just given the distributed platform and operating in several different channels, right? Do you think Caliber could be significantly accretive to the pre-tax margins that are generated in the origination channel today versus what Caliber was producing prior? Yes, Kevin. So you're right in stating the fact that the gain on sale margins from Caliber are higher. They're also quite stable. You know, you saw on one of the slides I talk about a gain on sale margin of 184 on a pro forma basis. Our expectation is because of our mix that gain on sale for the combined business is actually doesn't drop that much. We think that it'll probably drop more in DTC compared to historical margins. Michael and I were talking about this earlier today. DTC has about 40 basis points we think across the industry to drop retail probably about 20 basis points, but correspondent and wholesale pretty much at historical levels. We think gain on sale margins don't drop that much for us because of our mix. Our opportunity is in expenses, again, as Michael pointed out. We think that with the addition of our non-QM businesses, roughly $3.5-$4 billion, as Michael indicated earlier, at pretty substantial gain on sale margins. That combined with the fact that we will take out our expenses aggressively will be accretive to the overall franchise. Okay. Thank you, Sanjiv. Thank you, Michael. Thanks, Kevin. The next question comes from Douglas Harter with Credit Suisse. Please go ahead. Thanks. Michael, can you talk about your expectation for the dividend, you know, kind of given your level of earnings right now and, you know, kind of how you're balancing potentially raising the dividend versus looking to retain capital, you know, and use that to reinvest back into the business? Good question, Kevin. I mean, Doug, sorry about that. Yeah, so here, as you think about it, $0.44 in core, $0.30 in GAAP. As we look forward, you know, into 2022, we think we're hopeful that we're gonna be able to maintain something with a four handle as you think about our core earnings. There's always the balance about, on the dividend of how much capital you actually give back. Historically, we've been paying, you know, north of 90% of our taxable earnings to our shareholders. I think the way that we are thinking about it is it is November second today. From a dividend perspective, any dividend announcement would get paid at the end of January. So we have some time. I think as we have a $0.40 core run rate, it's likely that we would consider increasing our dividend, assuming that the board has the desire to go there. You know, we don't wanna give back all the capital, but as long as we continue to see this path and continue to operate the way that we are, and as I pointed out in my opening remarks, you know, when we think about the ability to manufacture our own assets, the great investment portfolio, the slowdown we're gonna see, I think, in speeds, you know, I do think that there'll likely be another increase at some point in the future. No promises, but that's just my take. Great. I appreciate that, Michael. Anything else, Doug? I guess how quickly, you know, on the expense side, you know, can you actually really start ramping it up? Is that something that we start to see kind of in the fourth quarter or, you know, is that more of a 2022 event where those cost saves start to really start coming through? You know, what I would say is on the expense side, initially day one, when we all got together, I think we picked up roughly $50 million in synergies around some of the financing stuff. That was an immediate pickup. Keep in mind, that's on an annual basis, right? You're not gonna see that all day one in Q3 or Q4. I think the real expense saves you're gonna begin to see are gonna be in 2022 as we go forward. You know, one of the things when we're all sitting around this table here doing this call this morning, you know, the technology side of where we go with our business is something that's significant. I personally believe we have only scratched the surface. Clearly, the Caliber technology organization is something that we didn't have on the Newrez side. That is a huge massive pickup when we think about the acquisition of Caliber. As we go forward and, you know, we're in the market now, quite frankly, we're gonna hire a chief digital officer. We have a search. You know, the team has been interviewing a number of folks, so we hope to get that done by year-end, which then would launch what we'll call a lab within the company that will focus on how we become, you know, quite frankly, competitors to Rocket and everybody else or anybody else that's a real leading technology provider in the industry. That's kind of really where I think we're headed, that will help us on expenses. It's I think, you know, this is the long-winded answer to your question is it's gonna be more likely you'll see these results in 2022 and forward. Great. Thank you. Thank you. The next question comes from Trevor Cranston with JMP Securities. Please go ahead. Hey, thanks. Question on the MSR portfolio and some of the numbers you were talking about around, you know, slowdown in speeds and amortization. I guess most of that seemed like it was in the context of the possibility of higher rates. I was curious if you could maybe just comment on how you see prepaid speeds evolving in 4Q, and going forward if we just assume like a flat rate environment from where we are today, and how much of a slowdown we could get in prepaid speeds, just from that. Thanks. I think there's a couple factors, Trevor, that go into that. One is, you know, we keep talking about recapture rates. On the Newrez side, where we're in the 20s, now we're in the 40s and Caliber's in the 60s. That delta between, you know, 40 and 60, I think is something that will continue to add to the slowdown we're going to see in overall speeds. I think when you think about HPA being up roughly 20% on the year, what does that really mean? Housing becomes a little less affordable as rates move a little bit higher here. So we are expecting that slowdown. I think Street Consensus is roughly down, you know, speeds down 6%, I think in November, as we look forward. You know, I think it's a number of different factors that are gonna go into that real slowdown. Clearly, you know, Q3 2020 versus Q3 2021, a dramatic reduction in the overall speeds. Our organization is 1000% better today than where we were in 2020, quite frankly. You know, we got hit in the teeth during that March period. We recovered quite nicely, and that is not just due to the markets, but quite frankly, it's due to the hard work of our organization and our team. When you think about our MSR portfolio, $600-something billion, I was doing the math this morning prior to the call. If we have one multiple higher in valuation where we are today, that's gonna add roughly, you know, $1.5-ish to book value as we go forward. Really what we're playing for is, you know, I don't think higher rates hurt us. I think lower rates don't hurt us either because our manufacturing machine is that good. That's the difference where we are today versus where we were, you know, going back in time. The balanced nature of what we're doing around the MSR portfolio, higher rates, we are biased to the short side. You know, as I pointed out, I think earlier in our opening remarks. The combination of higher recapture, higher rates, higher purchase market, lower refis, I think drives higher book value and higher earnings as we go forward. Got it. Okay, that's very helpful. Just one quick one on gain on sale margins. Thank you for all the detail you guys gave on the margins for the different channels. I heard the guidance you guys gave for 4Q on the origination side. I may have missed it, but did you guys comment on the expectation for where you see margins on an overall basis heading into 4Q? Yeah, sure. This is Sanjiv. In the fourth quarter, we are seeing margins potentially decline more in DTC than in any other channel. Obviously, as the refi population is shrinking, we are all getting aggressive with rates. We expect DTC to drop, say, roughly 40-ish basis points. Correspondent is kind of at historical levels, but we are bracing ourselves for, you know, 5-10 basis point drop in margins in correspondent. Wholesale has actually picked up quarter-on-quarter from 95 basis points to about 105 basis points. Combined, we expect it to stay around the 100 basis points range. No major change, Trevor, on the wholesale side. Retail, of course, high and strong continues to be at the 3.65%, 3.3%, 3.80%-ish range, and we expect it to stay stable through Q4. Okay, perfect. Appreciate the comments. Thank you. Thanks, Trevor. The next question comes from Bose George with KBW. Please go ahead. Hey, everyone. Good morning. I just wanted to first ask just about Genesis. Are you able to, you know, disclose the purchase price or is there a way for us to think about the accretion? Also, is there any goodwill created as a result of that? Yeah. There's roughly $100 million of goodwill created, depending upon where, you know, the loans are marked. As I pointed out earlier, they're roughly, you know, 7%-8% kinda coupon, very short duration loans. As, you know, depending upon, you know, how we book those, that's gonna dictate, I think, the goodwill amount. From an accretion standpoint, it's likely, I think, early on, probably about $0.01 a quarter, is the way to think about that, again, depending upon where those loans are marked. The overall amount of capital from a business perspective or equity, I should say, is about $350 million, probably $325 million-$350 million, I think something is where we'll settle out on that one. Okay, great. That's helpful. Thanks. In terms of, you know, future acquisitions, you know, are there things that you guys are looking at either on the mortgage, you know, the services side? Are there things that could complement, you know, what you have at the moment? Bo, that's like leading the horse to the water. The answer is yes. Yeah, we're always, you know, we are M&A and acquisition team are always on the hunt for things that we think will be accretive for our business. You know, I look at some of our peers out there and you know, some of the large private equity firms. Our ability to go out and acquire an operating business that's gonna generate good REIT assets for our business, which will feed into our earnings, is really where we where we've gravitated to, and I think where we're gonna continue to gravitate to. We don't wanna overpay for anything. You know, even echoing what Sanjiv said, when you think about mortgage production, we're not in a race to be the biggest. We're just in a race to make the most amount of money for shareholders. That's kinda how we think about it. We are looking at things, quite frankly, in the commercial space, which could be accretive. You know, these are not what I would say, going out to acquire a whole business. There's some things that we're currently working on that we're excited about the prospects of potentially getting that done. Not a lot of capital required. What that would do is effectively put us in the business of creating assets for our balance sheet. Same theory, same thesis with Genesis, same thesis on the NewRez Caliber side. The short answer is yes. Okay, great. Thanks. That's helpful. Just actually one follow-up on your earlier comments about the servicing technology. Is there a timeline, do you think, by when you kind of decide which platform, you know, you'd choose, and it sounds from what you said that the likelihood is that you end up consolidating on the Caliber platform. Is that fair? Yeah. It's I mean, that part is already decided. That was decided, I think, you know, at the day that we announced the acquisition. The H2O platform that Caliber has and Sanjiv and the team and Renee Galatis have built is something that I think is, you know, it's far superior to what we had on the Newrez side. We're gonna continue to expand on that. You know, like, again, I go back to prior earnings calls over the past couple of years where everybody always asks how do we think about ourself versus Rocket. I always said, you know, we'll never compete against Rocket. There's no disrespect to those guys because they've done a great job in their business. There's nothing that's gonna stop us now. Okay, great. Thanks. Thank you. The next question comes from Eric Hagen with BTIG. Please go ahead. Hey, thanks. Good morning, guys. Another follow-up on the margin. Can you discuss any differences between margins for purchase loans versus refi? Then when the purchase loans end up back in the MSR portfolio, do they get valued any differently in this environment compared to the refi loans? The margin stuff. Yeah, I mean, obviously we see that in our DTC and our joint venture businesses, that the purchase margins are much higher than they are on the refi side. Mm-hmm. Roughly 50-75 basis points in certain cases, and much more stable in terms of given where these rates are at today. I'm talking about the primary rate. Also, when we book these loans today, one of the things that we see is that these loans are, because they are being originated at relatively low consumer rates, our expectation is that they will have a much longer duration. In fact, going back to even refi and the point that Michael was making earlier on the slowing down of the runoff in our businesses, which is related to the question you asked. What we are seeing is that for the same cohort of customers that are in the money, far fewer of them are refinancing because of sheer refinance fatigue. That is something that we also have taken into account in our refinance models. Hopefully that answers your question on the duration. I think it does. Oh, go ahead. Eric, regarding the marks, there's no difference in how we book the loan on the MSR side. Got it. Yep, that's what my follow-up was gonna be. Great. Can you discuss the outlook for the call rights business at this point and what the pace of activity could look like there, and how much capital you think you might need to capitalize on that opportunity as it hopefully grows? Yeah, I think the financing market's extremely efficient, so our desire to turn around, you know, our loan portfolio, as we call these deals, is pretty high. The overall opportunity, I, you know, we've—I think we're running a little bit south of $2 billion year to date. That'll likely continue as we go forward. You know, keep in mind, a lot of these loans, or most of these loans are from, you know, vintage mid-2000s, like 2005 to 2007. You have to think they're gonna continue to get cleaned up. If the industry was smart, we'd figure out a way to call all these deals, quite frankly. You'd liquidate, you know, all the REO that's sitting in these pipelines. Not that that's a driver or a restraining factor, I think on the side of the call business, but you'd clean up those legacy deals, and then you'd figure out a way to collapse the rest of them. Clearly, there's a lot of different interests and, you know, folks that own different parts of the capital structure, but I would expect it to continue to only pick up as we go forward. Got it. Thank you very much. The next question comes from Henry Coffey with Wedbush. Please go ahead. Yes, good morning, and thanks for taking my questions, and frankly, awesome quarter. Just a little sort of picky question. A gain on settlement of investments of $98 million-dollar loss this quarter, $78 million the prior quarter. What is that tied to, and under what environment would that gain, even though it's not part of core, it does affect book value. How would that shrink or change what- The gain on sale of investments that relates to the carry on a derivative. There's an offset that comes through in the mark to market. Overall, that number was relatively flat in the quarter. The $98 million is offset by what? Offset by swaps. Henry, it's a long and short, I think, on our agency mortgage business versus our swap business. The way to think about our overall portfolio and Nick's here and obviously Nick's much more knowledgeable about the way this stuff gets reported. If you take a step back and think about our portfolio, we have roughly $9 billion of agency mortgages that we have to keep on our balance sheet for REIT compliance. As I've pointed out, we're not just net long. We're actually in fact we're net biased to higher rates. Effectively against that, we have swaps against that. As rates move higher, the value of your agency mortgages likely go down in value, but you're gonna pick up your income on the swap side. We're hedged against that portfolio. Nick, correct me if I'm wrong, but I believe it's just an up and down between those two. That's correct. Yeah. The offset is in comprehensive income, or? No, it comes through mark-to-market, Henry. No, that's helpful. That's extremely helpful. Getting back to the operating business, you know, on the wholesale side of the equation, Caliber was number three, now they're number four. You've got Rocket with that new initiative they announced with Salesforce, which sounds still confusing, but sounds like it's kind of a restart of that old business PHH Corp had with banks and credit unions. PennyMac has talked about wanting to be number three in that business. Obviously Homepoint doesn't wanna go away. What are your thoughts there? It's not an unimportant part of what you do. Are you willing to sort of just step back and focus on other areas? Are there acquisition opportunities in the wholesale business that we should be thinking about? You know, what are your thoughts in terms of the future growth of the wholesale channel? I think we've been pretty clear that everything we do is about how we make money for shareholders. This is not a pounding of the chest where we're gonna get into a price war with anybody on any channel, right? When we think about the capital, you know, we're fiduciaries to our shareholders. At the end of the day, if we could grow a channel and it's profitable, or if we have a view to, even if you, I mean, I guess throw wholesale to the side. If you think about the correspondent business, the correspondent business is truly a manufacturing arm in a normal, steady state environment. You're not making a lot of money in correspondent, but you create MSRs. If we think valuations on MSRs are gonna go higher, that is a great channel for us to kind of put our foot to the pedal a little bit. On the wholesale channel, and I think Sanjiv's been pretty clear about this, and I think he mentioned on our last earnings call, you know, we're not gonna compete against Rocket and UWM when there's a price war, we're just not. Yes. If pricing normalizes, which it has in the marketplace now, we'll continue to originate product. We don't wanna get into a price war with anybody, unless we have a specific view on the market and where this is gonna take our company. Yeah. I'll just, you know, Michael and I have talked a lot about this channel, and I agree. While we are number 4 in terms of originations, I am certain that we are number 3 in terms of profitability. That's number 1. Number 2, you know, folks may aspire to be number 3, but we are number 3. So, that's the other thing. And the way we plan to evolve from a distributed wholesale business is to grow in the direction that essentially UWM has led the path, and I have no problem saying that we will be a fast follower to UWM. And so we are investing pretty heavily in our direct-to-broker business as opposed to just our distributor business. Our distributed business shows that we have much higher wallet share with larger clients. Our direct-to-broker business shows it's a much lower cost of operating at roughly 53 basis points of cost per loan. The most important thing I'll say that, and Michael touched on this, is that our wholesale and correspondent channels actually are a fantastic distribution channel for us to distribute non-QM-like products. We will gain outsized share because of our sheer presence in different geographies. That's kind of how we think about it. On the other hand, we also realize that recapture opportunities in wholesale are much lower. You know, we treat it as a strategic channel, as a hedge to retail in case retail loan officers move to wholesale. But I think we have a pretty comprehensive view of how we want to run a $30 billion-$40 billion, maybe $50 billion channel profitably. Great. Thank you very much. Thanks, Henry. The next question comes from Mark DeVries with Barclays. Please go ahead. Thanks. Had a follow-up question on the 4Q gain on sale margins. Appreciate the color on the direction of margins by channel. You know, 4Q, you're obviously gonna benefit from a full quarter of the higher margin Caliber businesses. Any sense you can give us on how kind of your 4Q margin could compare to what you reported, the 161 basis points in 3Q? Yeah. On a pro forma basis, we said 184 basis points is what we would have done in Q3. In Q4, I'd say we are probably around 176 basis points, so roughly 8 basis points if my math is right. Even though we are seeing a 40 basis point drop, factoring in a 40 basis point drop in DTC, it's the mix in our other channels, particularly in retail, that allows us to mitigate a lot of that drop. Net-net, down 8 basis points. Okay, great. That's helpful. Michael, how should we think about the cyclicality of the Genesis business you're acquiring, particularly around originations? Is that a business where it's a lot easier for them to originate these loans in kind of a frothier housing market? Do you expect kind of a more steady production from that business? I think it's a good question, you know. I think it's gonna be more steady production. I think production is gonna increase, quite frankly. You know, we're looking at a lot of different initiatives that the team has that quite frankly couldn't do under certain circumstances, you know, based on where they were with Goldman. I think the opportunity for us to grow in certain channels there is gonna be pretty significant. You know, the other thing there is not just a quick sidecar on this. There's another question in the queue from an investor. I just wanted to address. You know, over the past, you know, 1 or 2 earnings calls, I spoke about a management team that we were potentially gonna bring on to lead the SFR business. You know, doing the Genesis acquisition, I think puts us in a far better place than if we're gonna go down this other path, you know, with a different management team. Not that there was anything wrong with the other management team. Great group of folks. We think this is a much better solution for our company. You know, with Charles leading our investment business, we think that, you know, the overall acquisition of Genesis is going to lend, not only on the origination side of the loan stuff, but also, again, as I said in the earlier remarks, it's gonna really bolster our SFR business through the acquisition channel. We, you know, we're pretty pumped about that. Okay. Are there any, you know, synergies with that business with the new kind of local distribution you have in real estate markets from the Caliber acquisition? I mean, absolutely. I mean, if you think about it, Caliber has give or take 400 branches. Yeah. You know, I think we have 5,000 LOs in the entire system. All of a sudden we have more products to roll out to, you know, what I would call family and friends of the retail brokers. It should be highly accretive there as well, so. Yeah. You know, the overall strategic thing when we do an acquisition and we think about it logically is to actually look at it across all of our operating platforms. If you look as we continue to grow our operating platforms, you know, we've only scratched the surface from a synergy standpoint. You know, you think about servicing, you think about the services businesses that we have and how each one of these underlying businesses could provide more and more support and actually generate more income for our overall company. It's, you know, I think what we do is unparalleled to anybody else in the industry. Okay. Got it. Thank you. Thank you. This concludes our question and answer session. I would like to turn the conference back over to Michael Nierenberg for any closing remarks. Thanks to everybody for joining us. You know, this is not necessarily related to our company, but I was walking to work this morning, and I'm thinking of November second. As we all take a step back and look at life, it goes really quick. I think back to the March days of 2020. I look to where we are now. Hopefully, we continue to do what we're doing and drive higher earnings and higher dividends and higher share stock price for our shareholders. I thank you. We thank you for all your support. We'll talk to you again, I'm sure in the new year, if not before. Have a great holiday season. Thanks, everyone. The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.