New Residential’s
derivatives are recorded at fair value on the Consolidated Balance Sheets as follows:
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
December 31, |
|
| |
|
Balance Sheet Location |
|
2013 |
|
|
2012 |
|
| Real Estate Securities |
|
Derivative assets |
|
$ |
1,452 |
|
|
$ |
— |
|
| Non-Performing Loans |
|
Derivative assets |
|
|
34,474 |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
$ |
35,926 |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
The following table
summarizes gains (losses) recorded in relation to derivatives:
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Year Ended
December 31, |
|
| |
|
Income Statement Location |
|
2013 |
|
|
2012 |
|
| Real Estate Securities |
|
Other Income |
|
$ |
(11 |
) |
|
$ |
— |
|
| Non-Performing Loans |
|
Other Income |
|
|
1,831 |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
$ |
1,820 |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
The following table
presents both gross and net information about linked transactions:
| |
|
|
|
|
|
|
|
|
| |
|
December 31, |
|
| |
|
2013 |
|
|
2012 |
|
| Real Estate Securities |
|
|
|
|
|
|
|
|
| Real estate securities, at fair value (A) |
|
$ |
9,952 |
|
|
$ |
— |
|
| Repurchase agreements (B) |
|
|
(8,500 |
) |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
| |
|
|
1,452 |
|
|
|
— |
|
| |
|
|
| Non-Performing Loans |
|
|
|
|
|
|
|
|
| Non-performing loans, at fair value (C) |
|
|
95,014 |
|
|
|
— |
|
| Repurchase agreements (B) |
|
|
(60,540 |
) |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
| |
|
|
34,474 |
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
| Net assets recognized as linked transactions |
|
$ |
35,926 |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
| (A) |
Real estate securities that had a current face amount of $10.0 million as of December 31, 2013, which represents the notional amount of the linked transaction. |
| (B) |
Represents their face amount that approximates fair value. Amounts for repurchase agreements related to non-performing loans also includes $0.4 million of accrued interest and deferred financing costs. |
| (C) |
Non-performing loans that had a UPB of $164.6 million as of December 31, 2013, which represents the notional amount of the linked transaction. | |