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DERIVATIVES (Tables)
 12 Months Ended
Dec. 31, 2018
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
 
2018
 
2017
Derivative assets
 
 
 
 
 
Interest Rate Caps
Other assets
 
$
3

 
$
2,423

Interest Rate Lock Commitments
Other assets
 
10,851

 
—

Forward Loan Sale Commitments
Other assets
 
39

 
—

 
 
 
$
10,893

 
$
2,423

Derivative liabilities
 
 
 
 
 
Interest Rate Swaps(A)
Accrued expenses and other liabilities
 
$
5,245

 
$
—

Interest Rate Lock Commitments
Accrued expenses and other liabilities
 
223

 
—

TBAs
Accrued expenses and other liabilities
 
23,921

 
697

 
 
 
$
29,389

 
$
697



(A)
Net of $106.1 million of related variation margin accounts as of December 31, 2018. As of December 31, 2017, no variation margin accounts existed.

The following table summarizes notional amounts related to derivatives:
 
December 31,
 
2018
 
2017
Interest Rate Caps(A)
$
50,000

 
$
772,500

Interest Rate Swaps(B)
4,725,000

 
—

Interest Rate Lock Commitments
823,187

 
—

Forward Loan Sale Commitments
30,274

 
—

TBAs, short position(C)
5,904,300

 
3,101,100

TBAs, long position(C)
5,067,200

—

1,014,000



(A)
As of December 31, 2018, caps LIBOR at 4.00% for $50.0 million of notional. The weighted average maturity of the interest rate caps as of December 31, 2018 was 23 months.
(B)
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps was 52 months and the weighted average fixed pay rate was 3.21% as of December 31, 2018. There were no interest rate swaps outstanding at December 31, 2017.
(C)
Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes all income (losses) recorded in relation to derivatives:
 
Year Ended December 31,
 
2018
 
2017
 
2016
Other income (loss), net(A)
 
 
 
 
 
Interest Rate Caps
$
431

 
$
323

 
$
688

Interest Rate Swaps
(108,098
)
 
(720
)
 
5,500

Unrealized gains(losses) on Interest Rate Lock Commitments
23

 
—

 
—

Forward Loan Sale Commitments
(283
)
 
—

 
—

TBAs
(5,631
)
 
(1,793
)
 
(414
)
 
(113,558
)
 
(2,190
)
 
5,774

Gain (loss) on settlement of investments, net
 
 
 
 
 
Interest Rate Caps
$
(603
)
 
$
(1,911
)
 
$
(4,754
)
Interest Rate Swaps
65,823

 
6,921

 
(4,810
)
TBAs(B)
(10,353
)
 
(44,224
)
 
(17,927
)
 
54,867

 
(39,214
)
 
(27,491
)
Total income (losses)
$
(58,691
)
 
$
(41,404
)
 
$
(21,717
)

(A)
Represents unrealized gains (losses).
(B)
Excludes $1.2 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8).