Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v2.4.0.8
DERIVATIVES (Tables)
9 Months Ended
Sep. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives
New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows:
 
Balance Sheet Location
 
September 30, 2014
 
December 31, 2013
Derivative assets
 
 
 
 
 
Real Estate Securities(A)
Derivative assets
 
$

 
$
1,452

Non-Performing Loans(A)
Derivative assets
 
27,571

 
34,474

TBAs
Derivative assets
 
1,115

 

 
 
 
$
28,686

 
$
35,926

Derivate liabilities
 
 
 
 
 
     Real Estate Securities
Accrued expenses and other liabilities
 
$

 
$
18

     Interest Rate Swaps
Accrued expenses and other liabilities
 
345

 

 
 
 
$
345

 
$
18

 
(A)
Investments purchased from, and financed by, the selling counterparty that New Residential accounts for as linked transactions and are reflected as derivatives.

The following table summarizes notional amounts related to derivatives:
 
September 30, 2014
 
December 31, 2013
Non-Performing Loans(A)
$
161,561

 
$
164,598

Real Estate Securities(B)

 
10,000

TBAs, short position(C)
1,301,000

 

Interest Rate Swaps, short position(D)
1,595,000

 

 
(A)
Represents the UPB of the underlying loans of the non-performing loan pools within linked transactions.
(B)
Represents the face amount of the real estate securities within linked transactions.
(C)
Represents the notional amount of Agency RMBS, classified as derivatives.
(D)
Receive LIBOR and pay a fixed rate.

The following table summarizes gains (losses) recorded in relation to derivatives:
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
 
2014
 
2014
Other income (loss)
 
 
 
 
   Non-Performing Loans(A)
 
$
5,111

 
$
4,797

   Real Estate Securities(A)
 

 
26

   TBAs
 
33

 
263

   Interest Rate Swaps
 
(345
)
 
(2,731
)
 
 
4,799

 
2,355

Gain (loss) on settlement of investments
 
 
 
 
   Real Estate Securities(A)
 

 
43

   TBAs
 
(2,403
)
 
(6,405
)
   U.S.T. Short Positions
 

 
176

 
 
(2,403
)
 
(6,186
)
Total gains (losses)
 
$
2,396

 
$
(3,831
)
 
(A)
Investments purchased from, and financed by, the selling counterparty that New Residential accounts for as linked transactions and are reflected as derivatives.

The following table presents both gross and net information about linked transactions:
 
September 30, 2014
 
December 31, 2013
Non-Performing Loans
 

 
 

Non-performing loan assets, at fair value(A)
$
96,836

 
$
95,014

Repurchase agreements(B)
(69,265
)
 
(60,540
)
 
27,571

 
34,474

Real Estate Securities
 

 
 
Real estate securities, at fair value(C)

 
9,952

Repurchase agreements(B)

 
(8,500
)
 

 
1,452

Net assets recognized as linked transactions
$
27,571

 
$
35,926

 
(A)
Non-performing loans that had a UPB of $161.6 million as of September 30, 2014, which represented the notional amount of the linked transaction and accrued interest.
(B)
Represents carrying amount that approximates fair value.
(C)
Real estate securities that had a current face amount of $10.0 million as of December 31, 2013, which represented the notional amount of the linked transaction.