| 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). |
|