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DERIVATIVES (Tables)
 12 Months Ended
Dec. 31, 2015
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:
 
 
 
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.