[1]

generally obtained pricing service quotations or broker quotations from two sources, one of which was generally the seller (the party that sold New Residential the security) for Non-Agency RMBS. New Residential selected one of the quotes received as being most representative of the fair value and did not use an average of the quotes. Even if New Residential receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because it believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes New Residential receives. New Residential believes using an average of the quotes in these cases would not represent the fair value of the asset. Based on New Residential’s own fair value analysis, it selects one of the quotes which is believed to more accurately reflect fair value. New Residential never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” — meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price. New Residential’s investments in Agency RMBS are classified within Level 2 of the fair value hierarchy because the market for these securities is very active and market prices are readily observable.

[2]

was unable to obtain quotations from more than one source on these securities. The one source was the party that sold New Residential the security.

[3]

Includes securities issued or guaranteed by U.S. Government agencies such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”).

[4]

The total outstanding face amount was $1.0 billion for fixed rate securities and $192.6 million for floating rate securities as of September 30, 2015.

[5]

Includes New Residential’s investments in interest-only notes for which the fair value option for financial instruments was elected.

[6]

Includes Other ABS consisting primarily of (i) interest-only securities which New Residential elected to carry at fair value and record changes to valuation through the income statement and representing 5.3% of the carrying value of the Non-Agency RMBS portfolio and (ii) bonds backed by servicer advances representing 10.4% of the carrying value of the Non-Agency RMBS portfolio. Gross Unrealized Weighted AverageAsset Type Outstanding Face Amount Amortized Cost Basis Gains Losses Carrying Value Number of Securities Rating Coupon Yield Life (Years) Principal SubordinationOther ABS $1,131,277 $64,116 $1,129 $(1,835) $63,410 9 AA+ 1.86% 8.71% 4.2 N/AServicer Advance Bond $122,000 $122,000 $— $— $122,000 1 AAA 2.54% 2.54% 1.0 N/A

[7]

The total outstanding face amount was $1.6 billion (including $1.4 billion of residual and interest-only notional amount) for fixed rate securities and $966.9 million (including $44.8 million of residual and interest-only notional amount) for floating rate securities as of September 30, 2015.