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DERIVATIVES
 12 Months Ended
Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

As of December 31, 2015, New Residential’s derivative instruments included economic hedges that were not designated as hedges for accounting purposes. As of December 31, 2014 and 2013, New Residential’s derivative instruments also included RMBS and non-performing loans accounted for as linked transactions that were not entered into for risk management purposes or for hedging activity. New Residential uses economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors including governmental monetary and tax policies, domestic and international economic and political considerations and other factors. New Residential’s credit risk with respect to economic hedges is the risk of default on New Residential’s investments that results from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments.

As of December 31, 2015, New Residential held to-be-announced forward contract positions (“TBAs”) of $1.5 billion in a short notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of set-off with the TBA counterparty. New Residential’s net short position in TBAs was entered into as an economic hedge in order to mitigate New Residential’s interest rate risk on certain specified mortgage backed securities. As of December 31, 2015, New Residential separately held TBAs of $750.0 million in a long notional amount of Agency RMBS and any amounts or obligations owed by or to New Residential are subject to the right of set-off with the TBA counterparty. New Residential purchased these TBAs during the fourth quarter of 2015, but as the specific securities were not identified as of December 31, 2015, the positions are recorded as derivatives within the Accrued Expenses and Other Liabilities line on the balance sheet. As part of executing these trades, New Residential has entered into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. New Residential has fulfilled all obligations and requirements entered into under these agreements.

As a result of ASU No. 2014-11 (Note 2), New Residential determined that, as of January 1, 2015, its linked transactions are accounted for as secured borrowings. As a result, $32.4 million carrying amount of derivatives was removed from the balance sheet and replaced with $116.8 million carrying amount of Non-Agency RMBS, $1.8 million carrying amount of Residential Mortgage Loans, Held-for-Investment, $86.0 million of Repurchase Agreements, and $0.2 million of other liabilities.

New Residential’s derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
 
 
 
December 31,
 
Balance Sheet Location
 
2015
 
2014
Derivative assets
 
 
 
 
 
Real Estate Securities(A)
Derivative assets
 
$
—

 
$
32,090

Non-Performing Loans(A)
Derivative assets
 
—

 
312

Interest Rate Caps
Derivative assets
 
2,689

 
195

 
 
 
$
2,689

 
$
32,597

Derivative liabilities
 
 
 
 
 
TBAs
Accrued expenses and other liabilities
 
$
2,058

 
$
4,985

Interest Rate Swaps
Accrued expenses and other liabilities
 
11,385

 
9,235

 
 
 
$
13,443

 
$
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:
 
December 31,
 
2015
 
2014
Non-Performing Loans(A)
$
—

 
$
2,931

Real Estate Securities(B)
—

 
186,694

TBAs, short position(C)
1,450,000

 
1,234,000

TBAs, long position(C)
750,000

 
—

Interest Rate Caps(D)
3,400,000

 
210,000

Interest Rate Swaps(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 $650.0 million of notional, at 0.75% for $2,600.0 million of notional, and at 4.0% for $150.0 million of notional.
(E)
Receive LIBOR and pay a fixed rate.

The following table summarizes gains (losses) recorded in relation to derivatives:
 
Year Ended December 31,
 
2015
 
2014
 
2013
Other income (loss), net
 
 
 
 
 
Non-Performing Loans(A)
$
—

 
$
(1,149
)
 
$
1,831

Real Estate Securities(A)
—

 
2,336

 
(11
)
TBAs
(2,058
)
 
(4,985
)
 
—

Interest Rate Caps
(1,749
)
 
(4
)
 
—

Interest Rate Swaps
(2,150
)
 
(9,235
)
 
—

 
(5,957
)
 
(13,037
)
 
1,820

Gain (loss) on settlement of investments, net
 
 


 
 
Non-Performing Loans(A)
—

 
5,609

 
—

Real Estate Securities(A)
—

 
43

 
—

TBAs
(27,142
)
 
(33,638
)
 
—

Interest Rate Caps
(1,180
)
 
—

 
—

Interest Rate Swaps
(16,241
)
 
(8,400
)
 
—

U.S.T. Short Positions
—

 
176

 
—

 
(44,563
)
 
(36,210
)
 
—

Total gains (losses)
$
(50,520
)
 
$
(49,247
)
 
$
1,820


(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 presents both gross and net information about transactions formerly accounted for as linked transactions:
 
December 31, 2014
Non-Performing Loans
 
Non-performing loan assets, at fair value(A)
$
1,581

Repurchase agreements(B)
(1,269
)
 
312

Real Estate Securities
 
Real estate securities, at fair value(C)
116,739

Repurchase agreements(B)
(84,649
)
 
32,090

Net assets recognized as linked transactions
$
32,402


(A)
Non-performing loans that had a UPB of $2.9 million as of December 31, 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 $186.7 million as of December 31, 2014, which represented the notional amount of the linked transaction.