|12 Months Ended|
Dec. 31, 2020
|Derivative Instruments and Hedging Activities Disclosure [Abstract]|
|Schedule of Derivatives||
New Residential’s derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
(A)Net of $237.7 million and $171.7 million of related variation margin accounts as of December 31, 2020 and December 31, 2019, respectively.
The following table summarizes notional amounts related to derivatives:
(A)As of December 31, 2019, caps LIBOR at 4.0% for $12.5 million of notional. The weighted average maturity of the interest rate caps as of December 31, 2019 was 11 months.
(B)Includes $6.5 billion notional of Receive LIBOR/Pay Fixed of 2.2% and $0.0 billion notional of Receive Fixed of 0.0%/Pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020. Includes $0.0 billion notional of Receive LIBOR/Pay Fixed of 0.0% and $0.9 billion notional of Received Fixed of 1.9%/Pay LIBOR with weighted average maturities of 36 months and 87 months, respectively, as of December 31, 2019.
(C)Represents the notional amount of Agency RMBS, classified as derivatives.
The following table summarizes all income (losses) recorded in relation to derivatives:
(A)Represents unrealized gains (losses).
(B)Excludes $361.8 millionand $53.4 million in loss on settlement and $1.2 million in gain on settlement included as a realized gain on sale of originated mortgage loans, held-for-sale, net (Note 9) for the years ended December 31, 2020, 2019 and 2018, respectively.