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



	Balance Sheet Location	March 31, 2017		December 31, 2016
Derivative assets
Interest Rate Caps	Other assets	$	4,159	$	4,251
TBAs	Other assets	—		2,511
		$	4,159	$	6,762
Derivative liabilities
TBAs	Accrued expenses and other liabilities	$	9,671	$	—
Interest Rate Swaps	Accrued expenses and other liabilities	7,014		3,021
		$	16,685	$	3,021

The following table summarizes notional amounts related to derivatives:



	March 31, 2017		December 31, 2016
TBAs, short position^(A)	$	3,686,000	$	3,465,500
TBAs, long position^(A)	2,361,000		2,125,552
Interest Rate Caps^(B)	910,000		1,185,000
Interest Rate Swaps, short positions^(C)	5,525,500		3,640,000


(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 $25.0 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 March 31, 2017 was 17 months.


(C)	Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of March 31, 2017 was 25 months and the weighted average fixed pay rate was 1.51%.

The following table summarizes all income (losses) recorded in relation to derivatives:



	For the Three Months Ended March 31,
	2017			2016
Other income (loss), net^(A)
TBAs	$	123		$	(5,531	)
Interest Rate Caps	573			(951		)
Interest Rate Swaps	3,630			(18,075		)
	4,326			(24,557		)
Gain (loss) on settlement of investments, net
TBAs	(6,801		)	(28,171		)
Interest Rate Caps	(562		)	(1,124		)
Interest Rate Swaps	(4,473		)	(1,084		)
	(11,836		)	(30,379		)
Total income (losses)	$	(7,510	)	$	(54,936	)


(A)	Represents unrealized gains (losses).