DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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


		December 31,
	Balance Sheet Location	2020		2019
Derivative assets

Interest Rate Swaps	Other assets	$	—	$	155
Interest Rate Lock Commitments	Other assets	289,355		41,346

TBAs	Other assets	789		—
		$	290,144	$	41,501
Derivative liabilities
Interest Rate Swaps(A)	Accrued expenses and other liabilities	$	25	$	—
Interest Rate Lock Commitments	Accrued expenses and other liabilities	281		1,455
Forward Loan Sale Commitments	Accrued expenses and other liabilities	—		27
TBAs	Accrued expenses and other liabilities	119,456		5,403
		$	119,762	$	6,885

(A)Net of $237.7 million and $171.7 million of related variation margin accounts as of December 31, 2020 and December 31, 2019, respectively.

The following table summarizes notional amounts related to derivatives:


	December 31,
	2020		2019
Interest Rate Caps(A)	$	—	$	12,500
Interest Rate Swaps(B)	6,515,000		4,900,000
Interest Rate Lock Commitments	15,031,345		4,043,935
Forward Loan Sale Commitments	—		43,654
TBAs, short position(C)	23,529,408		5,048,000
TBAs, long position(C)	—		11,692,212

(A)As of December 31, 2019, caps LIBOR at 4.0% for $12.5 million of notional. The weighted average maturity of the interest rate caps as of December 31, 2019 was 11 months.

(B)Includes $6.5 billion notional of Receive LIBOR/Pay Fixed of 2.2% and $0.0 billion notional of Receive Fixed of 0.0%/Pay LIBOR with weighted average maturities of 47 months and 0 months, respectively, as of December 31, 2020. Includes $0.0 billion notional of Receive LIBOR/Pay Fixed of 0.0% and $0.9 billion notional of Received Fixed of 1.9%/Pay LIBOR with weighted average maturities of 36 months and 87 months, respectively, as of December 31, 2019.

(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,
	2020		2019		2018
Change in fair value of derivative investments(A)
Interest Rate Caps	$	—	$	(3)	$	431
Interest Rate Swaps	(53,467)		(58,918)		(108,098)


TBAs	—		2,778		(567)
	(53,467)		(56,143)		(108,234)
Gain (loss) on settlement of investments, net
Interest Rate Caps	$	—	$	—	$	(603)
Interest Rate Swaps	(2,685)		(8,671)		65,823
TBAs(B)	(72,127)		(121,252)		(10,353)
	(74,812)		(129,923)		54,867
Gain on originated mortgage loans, held for sale, net(A)
Interest Rate Lock Commitments	$	249,183	$	26,151	$	23
TBAs	(115,243)		3,067		(5,064)
Forward Loan Sale Commitments	27		(66)		(283)
	133,967		29,152		(5,324)
Total income (losses)	$	5,688	$	(156,914)	$	(58,691)

(A)Represents unrealized gains (losses).

(B)Excludes $361.8 millionand $53.4 million in loss on settlement and $1.2 million in gain on settlement included as a realized gain on sale of originated mortgage loans, held-for-sale, net (Note 9) for the years ended December 31, 2020, 2019 and 2018, respectively.