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DERIVATIVES
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

As of December 31, 2016, New Residential’s derivative instruments included economic hedges that were not designated as hedges for accounting purposes. 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, as well as 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, 2016, New Residential held to-be-announced forward contract positions (“TBAs”) of $3.5 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, 2016, New Residential separately held TBAs of $2.1 billion 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. $0.5 billion of the long notional amount of Agency RMBS represented TBAs purchased for which the specific securities were not identified as of December 31, 2016 and, as such, the positions were recorded as derivatives within the Other Assets 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.

New Residential’s derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
 
 
 
December 31,
 
Balance Sheet Location
 
2016
 
2015
Derivative assets
 
 
 
 
 
Interest Rate Caps
Other assets
 
$
4,251

 
$
2,689

TBAs
Other assets
 
2,511

 
—

 
 
 
$
6,762

 
$
2,689

Derivative liabilities
 
 
 
 
 
TBAs
Accrued expenses and other liabilities
 
$
—

 
$
2,058

Interest Rate Swaps
Accrued expenses and other liabilities
 
3,021

 
11,385

 
 
 
$
3,021

 
$
13,443



The following table summarizes notional amounts related to derivatives:
 
December 31,
 
2016
 
2015
TBAs, short position(A)
$
3,465,500

 
$
1,450,000

TBAs, long position(A)
2,125,552

 
750,000

Interest Rate Caps(B)
1,185,000

 
3,400,000

Interest Rate Swaps, short positions(C)
3,640,000

 
2,444,000



(A)
Represents the notional amount of Agency RMBS, classified as derivatives.
(B)
Caps LIBOR at 0.50% for $550.0 million of notional, at 0.75% for $300.0 million of notional, at 2.00% for $185.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of December 31, 2016 was 18 months.
(C)
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of December 31, 2016 was 22 months and the weighted average fixed pay rate was 1.35%.

The following table summarizes all income (losses) recorded in relation to derivatives:
 
Year Ended December 31,
 
2016
 
2015
 
2014
Other income (loss), net(A)
 
 
 
 
 
Non-Performing Loans(B)
$
—

 
$
—

 
$
(1,149
)
Real Estate Securities(B)
—

 
—

 
2,336

TBAs
(414
)
 
(2,058
)
 
(4,985
)
Interest Rate Caps
688

 
(1,749
)
 
(4
)
Interest Rate Swaps
5,500

 
269

 
(5,045
)
 
5,774

 
(3,538
)
 
(8,847
)
Gain (loss) on settlement of investments, net
 
 
 
 
 
Non-Performing Loans(B)
—

 
—

 
5,609

Real Estate Securities(B)
—

 
—

 
43

TBAs
(17,927
)
 
(27,142
)
 
(33,638
)
Interest Rate Caps
(4,754
)
 
(1,180
)
 
—

Interest Rate Swaps
(4,810
)
 
(18,660
)
 
(12,590
)
U.S.T. Short Positions
—

 
—

 
176

 
(27,491
)
 
(46,982
)
 
(40,400
)
Total income (losses)
$
(21,717
)
 
$
(50,520
)
 
$
(49,247
)

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