The house they're given to raise the girls in seems to be in Richmond - Annabel sarcastically refers to the cops who come over as "Richmond's finest", and Luke says he's in Richmond when getting the number of a car rental company.
I don't know where Luke and Annabel lived before that, or where his brother kidnapped the girls from. It's implied that Annabel has to leave her old life (or at least her band) behind, but I just figured that was due to the responsibilities of step-motherhood, rather than geography.
Were parts of the film specifically set in New York?
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