New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows:



	Balance Sheet Location	September 30, 2015			December 31, 2014
Derivative assets
Real Estate Securities^(A)	Derivative assets	$	—		$	32,090
Non-Performing Loans^(A)	Derivative assets	—			312
Interest Rate Caps	Derivative assets	1,318			195
		$	1,318		$	32,597
Derivative liabilities
TBAs	Accrued expenses and other liabilities	$	(254	)	$	4,985
Interest Rate Swaps	Accrued expenses and other liabilities	29,618			9,235
		$	29,364		$	14,220


(A)	For December 31, 2014, investments purchased from, and financed by, the selling counterparty that New Residential accounted for as linked transactions are reflected as derivatives. Upon the adoption of ASU No. 2014-11 on January 1, 2015, these transactions are accounted for as secured borrowings.

The following table summarizes notional amounts related to derivatives:



	September 30, 2015		December 31, 2014
Non-Performing Loans^(A)	$	—	$	2,931
Real Estate Securities^(B)	—		186,694
TBAs, short position^(C)	1,500,000		1,234,000
TBAs, long position^(C)	500,000		—
Interest Rate Caps^(D)	2,560,000		210,000
Interest Rate Swaps, short positions^(E)	2,444,000		1,107,000


(A)	For December 31, 2014, represents the UPB of the underlying loans of the non-performing loan pools within linked transactions.


(B)	For December 31, 2014, represents the face amount of the real estate securities within linked transactions.


(C)	Represents the notional amount of Agency RMBS, classified as derivatives.


(D)	Caps LIBOR at 0.50% for $1,275 million of notional, at 0.75% for $1,075 million of notional, and at 3.0% for $210 million of notional.


(E)	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,
	2015			2014			2015			2014
Other income (loss)
Non-Performing Loans^(A)	$	—		$	5,111		$	—		$	4,797
Real Estate Securities^(A)	—			—			—			26
TBAs	2,054			33			254			263
Interest Rate Swaps	(15,294		)	(345		)	(20,383		)	(2,731		)
U.S.T. Short Positions	—			—			—			—
Interest Rate Caps	(999		)	—			(2,369		)	—
	(14,239		)	4,799			(22,498		)	2,355
Gain (loss) on settlement of investments
Real Estate Securities^(A)	—			—			—			—
TBAs	(33,398		)	—			(36,902		)	43
Interest Rate Caps	(545		)	—			(545		)	—
Interest Rate Swaps	(5,463		)	(2,403		)	(10,780		)	(6,405		)
U.S.T. Short Positions	—			—			—			176
	(39,406		)	(2,403		)	(48,227		)	(6,186		)
Total gains (losses)	$	(53,645	)	$	2,396		$	(70,725	)	$	(3,831	)


(A)	For December 31, 2014, investments purchased from, and financed by, the selling counterparty that New Residential accounted for as linked transactions are reflected as derivatives. Upon the adoption of ASU No. 2014-11 on January 1, 2015, these transactions are accounted for as secured borrowings (Note 1).