Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.10.0.1
DERIVATIVES (Tables)
9 Months Ended
Sep. 30, 2018
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, 2018
 
December 31, 2017
Derivative assets
 
 
 
 
 
Interest Rate Caps
Other assets
 
$
8

 
$
2,423

Interest Rate Lock Commitments
Other assets
 
8,357

 

Forward Loan Sale Commitments
Other assets
 
305

 

TBAs
Other assets
 
18,542

 

 
 
 
$
27,212

 
$
2,423

Derivative liabilities
 
 
 
 
 
Interest Rate Swaps(A)
Accrued expenses and other liabilities
 
$
2,294

 
$

TBAs
Accrued expenses and other liabilities
 

 
697

 
 
 
$
2,294

 
$
697


(A)
Net of $6.8 million of related variation margin accounts as of September 30, 2018. As of December 31, 2017, no variation margin accounts existed.
 
The following table summarizes notional amounts related to derivatives:
 
September 30, 2018
 
December 31, 2017
Interest Rate Caps(A)
$
162,500

 
$
772,500

Interest Rate Swaps(B)
4,242,000

 

Interest Rate Lock Commitments
572,654

 

Forward Loan Sale Commitments
28,402

 

TBAs, short position(C)
5,466,100

 
3,101,100

TBAs, long position(C)
4,207,800

 
1,014,000


(A)
As of September 30, 2018, caps LIBOR at 4.00% for $162.5 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2018 was 4 months.
(B)
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2018 was 50 months and the weighted average fixed pay rate was 2.93%.
(C)
Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes all income (losses) recorded in relation to derivatives:
 
 
For the  
 Three Months Ended 
 September 30,
 
For the  
 Nine Months Ended 
 September 30,
 
 
2018
 
2017
 
2018
 
2017
Other income (loss), net(A)
 
 
 
 
 
 
 
 
Interest Rate Caps
 
$
(2
)
 
$
(1,083
)
 
$
436

 
$
(1,353
)
Interest Rate Swaps
 
18,785

 
5,300

 
19,668

 
349

Unrealized gains(losses) on Interest Rate Lock Commitments
 
(2,247
)
 

 
(2,247
)
 

Forward Loan Sale Commitments
 
(17
)
 

 
(17
)
 

TBAs
 
$
7,780

 
$
(657
)
 
$
10,145

 
$
880

 
 
24,299

 
3,560

 
27,985

 
(124
)
Gain (loss) on settlement of investments, net
 
 
 
 
 
 
 
 
Interest Rate Caps
 

 
322

 
(603
)
 
(240
)
Interest Rate Swaps
 
(656
)
 
(2,499
)
 
37,287

 
(12,097
)
TBAs(B)
 
20,115

 
(16,579
)
 
39,408

 
(45,989
)
 
 
19,459

 
(18,756
)
 
76,092

 
(58,326
)
 
 
 
 
 
 
 
 
 
Total income (losses)
 
$
43,758

 
$
(15,196
)
 
$
104,077

 
$
(58,450
)


(A)
Represents unrealized gains (losses).
(B)
Excludes $2.8 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8).