| Schedule of Activity Related to the Carrying Value of Investments in Excess MSRs |
The following table presents activity related to the carrying value of New Residential’s investments in Excess MSRs: | | | | | | | | | | | | | | | | | | | | Servicer | | | Nationstar | | SLS(A) | | Ocwen(B) | | Total | Balance as of December 31, 2014 | | $ | 409,076 |
| | $ | 8,657 |
| | $ | — |
| | $ | 417,733 |
| Transfers from indirect ownership | | 98,258 |
| | — |
| | — |
| | 98,258 |
| Purchases | | 131,488 |
| | — |
| | 919,531 |
| | 1,051,019 |
| Interest income | | 46,840 |
| | 176 |
| | 40,858 |
| | 87,874 |
| Other income | | 2,246 |
| | — |
| | — |
| | 2,246 |
| Proceeds from repayments | | (94,212 | ) | | (997 | ) | | (101,957 | ) | | (197,166 | ) | Change in fair value(C) | | 1,854 |
| | (1,890 | ) | | (238 | ) | | (274 | ) | Balance as of September 30, 2015 | | $ | 595,550 |
| | $ | 5,946 |
| | $ | 858,194 |
| | $ | 1,459,690 |
|
| | (A) | Specialized Loan Servicing LLC (“SLS”). See Note 6 for a description of the SLS Transaction. |
| | (B) | Ocwen services the loans underlying the Excess MSRs and Servicer Advances acquired from HLSS. See Note 1. |
| | (C) | In the third quarter of 2015, New Residential recorded a cumulative positive prior period adjustment of $4.4 million (of which $4.2 million related to 2014 and prior) resulting from adjustments to certain modeling assumptions. |
|
| Summary of Direct Investments in Excess MSRs |
The following is a summary of New Residential’s direct investments in Excess MSRs: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2015 | | December 31, 2014 | | Unpaid Principal Balance (“UPB”) of Underlying Mortgages | | Interest in Excess MSR | | Weighted Average Life Years(A) | | Amortized Cost Basis(B) | | Carrying Value(C) | | Carrying Value(C) | | | | New Residential | | Fortress-managed funds | | Nationstar | | | | | | | | | Agency | | | | | | | | | | | | | | | | Original and Recaptured Pools | $ | 78,057,699 |
| | 32.5% - 66.7% |
| | 0.0% - 40.0% |
| | 20.0% - 35.0% |
| | 5.9 | | $ | 236,787 |
| | $ | 284,805 |
| | $ | 188,733 |
| Recapture Agreements | — |
| | 32.5% - 66.7% |
| | 0.0% - 40.0% |
| | 20.0% - 35.0% |
| | 11.7 | | 25,127 |
| | 47,270 |
| | 28,786 |
| | 78,057,699 |
| | | | | | | | 6.5 | | 261,914 |
| | 332,075 |
| | 217,519 |
| | | | | | | | | | | | | | | | | Non-Agency(D) | | | | | | | | | | | | | | | | Nationstar and SLS Serviced: | | | | | | | | | | | | | | | | Original and Recaptured Pools | $ | 98,914,180 |
| | 33.3% - 80.0% |
| | 0.0% - 50.0% |
| | 0.0% - 33.3% |
| | 5.1 | | $ | 215,268 |
| | $ | 252,674 |
| | $ | 189,812 |
| Recapture Agreements | — |
| | 33.3% - 80.0% |
| | 0.0% - 50.0% |
| | 0.0% - 33.3% |
| | 12.0 | | 14,830 |
| | 16,748 |
| | 10,402 |
| Ocwen Serviced Pools | 145,781,953 |
| | 100.0 | % | | — | % | | — | % | | 5.4 | | 858,431 |
| | 858,193 |
| | — |
| | 244,696,133 |
| | | | | | | | 5.4 | | 1,088,529 |
| | 1,127,615 |
| | 200,214 |
| Total | $ | 322,753,832 |
| | | | | | | | 5.6 | | $ | 1,350,443 |
| | $ | 1,459,690 |
| | $ | 417,733 |
|
| | (A) | Weighted Average Life represents the weighted average expected timing of the receipt of expected cash flows for this investment. |
| | (B) | The amortized cost basis of the Recapture Agreements is determined based on the relative fair values of the Recapture Agreements and related Excess MSRs at the time they were acquired. |
| | (C) | Carrying Value represents the fair value of the pools or Recapture Agreements, as applicable. |
| | (D) | Excess MSR investments in which New Residential also invested in related servicer advances, including the basic fee component of the related MSR as of September 30, 2015 (Note 6). |
Changes in fair value recorded in other income are comprised of the following: | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | | 2015 | | 2014 | | 2015 | | 2014 | Original and Recaptured Pools |
| $ | 1,485 |
| | $ | 24,124 |
| | $ | (3,933 | ) | | $ | 34,012 |
| Recapture Agreements |
| (354 | ) | | 4,442 |
| | 3,659 |
| | 6,658 |
| | | $ | 1,131 |
| | $ | 28,566 |
| | $ | (274 | ) | | $ | 40,670 |
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