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DERIVATIVES (Tables)
 9 Months Ended
Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives
New Residential’s derivatives are recorded at fair value on the Condensed Consolidated Balance Sheets as follows:
 
Balance Sheet Location
 
September 30, 2018
 
December 31, 2017
Derivative assets
 
 
 
 
 
Interest Rate Caps
Other assets
 
$
8

 
$
2,423

Interest Rate Lock Commitments
Other assets
 
8,357

 
—

Forward Loan Sale Commitments
Other assets
 
305

 
—

TBAs
Other assets
 
18,542

 
—

 
 
 
$
27,212

 
$
2,423

Derivative liabilities
 
 
 
 
 
Interest Rate Swaps(A)
Accrued expenses and other liabilities
 
$
2,294

 
$
—

TBAs
Accrued expenses and other liabilities
 
—

 
697

 
 
 
$
2,294

 
$
697


(A)
Net of $6.8 million of related variation margin accounts as of September 30, 2018. As of December 31, 2017, no variation margin accounts existed.
 
The following table summarizes notional amounts related to derivatives:
 
September 30, 2018
 
December 31, 2017
Interest Rate Caps(A)
$
162,500

 
$
772,500

Interest Rate Swaps(B)
4,242,000

 
—

Interest Rate Lock Commitments
572,654

 
—

Forward Loan Sale Commitments
28,402

 
—

TBAs, short position(C)
5,466,100

 
3,101,100

TBAs, long position(C)
4,207,800

 
1,014,000


(A)
As of September 30, 2018, caps LIBOR at 4.00% for $162.5 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2018 was 4 months.
(B)
Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2018 was 50 months and the weighted average fixed pay rate was 2.93%.
(C)
Represents the notional amount of Agency RMBS, classified as derivatives.

The following table summarizes all income (losses) recorded in relation to derivatives:
 
 
For the  
 Three Months Ended 
 September 30,
 
For the  
 Nine Months Ended 
 September 30,
 
 
2018
 
2017
 
2018
 
2017
Other income (loss), net(A)
 
 
 
 
 
 
 
 
Interest Rate Caps
 
$
(2
)
 
$
(1,083
)
 
$
436

 
$
(1,353
)
Interest Rate Swaps
 
18,785

 
5,300

 
19,668

 
349

Unrealized gains(losses) on Interest Rate Lock Commitments
 
(2,247
)
 
—

 
(2,247
)
 
—

Forward Loan Sale Commitments
 
(17
)
 
—

 
(17
)
 
—

TBAs
 
$
7,780

 
$
(657
)
 
$
10,145

 
$
880

 
 
24,299

 
3,560

 
27,985

 
(124
)
Gain (loss) on settlement of investments, net
 
 
 
 
 
 
 
 
Interest Rate Caps
 
—

 
322

 
(603
)
 
(240
)
Interest Rate Swaps
 
(656
)
 
(2,499
)
 
37,287

 
(12,097
)
TBAs(B)
 
20,115

 
(16,579
)
 
39,408

 
(45,989
)
 
 
19,459

 
(18,756
)
 
76,092

 
(58,326
)
 
 
 
 
 
 
 
 
 
Total income (losses)
 
$
43,758

 
$
(15,196
)
 
$
104,077

 
$
(58,450
)


(A)
Represents unrealized gains (losses).
(B)
Excludes $2.8 million in loss on settlement included within gain on sale of originated mortgage loans, net (Note 8).