Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

v3.5.0.2
DERIVATIVES
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

Newcastle’s derivative instruments are comprised of interest rate swaps, interest rate caps and TBAs. Derivative assets with a fair value of $0.4 million and $0.1 million as of September 30, 2016 and December 31, 2015, respectively, were recorded within receivables and other assets on the Consolidated Balance Sheets. Derivative liabilities with a fair value of $2.5 million and $0.7 million as of September 30, 2016 and December 31, 2015, respectively, were recorded within accounts payable, accrued expenses and other liabilities on the Consolidated Balance Sheets.

The following table summarizes gains (losses) recorded in relation to derivatives:
 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Income Statement Location
 
2016
 
2015
 
2016
 
2015
Cash flow hedges
 
 
 
 
 
 
 
 
 
Loss recognized on termination of derivative instruments
Gain (loss) on settlement of investments, net
 
$
—

 
$
—

 
$
—

 
$
(612
)
Deferred hedge gain reclassified from Accumulated Other Comprehensive Income (“AOCI”) into earnings
Interest expense
 
—

 
20

 
20

 
58

Amount of loss reclassified from AOCI into income (effective portion)
Interest expense
 
—

 
—

 
—

 
(1,363
)
Amount of unrealized loss recognized in Other Comprehensive Income on derivatives (effective portion)
N/A
 
—

 
—

 
—

 
(60
)
 
 
 
 
 
 
 
 
 
 
Non-hedge derivatives
 
 
 
 
 
 
 
 
 
Unrealized gain (loss) on interest rate derivatives
Other income (loss), net
 
$
(15
)
 
$
—

 
$
(34
)
 
$
292

Unrealized gain (loss) recognized related to TBAs
Other income (loss), net
 
270

 
(382
)
 
(1,668
)
 
(381
)
Realized loss on settlement of TBAs
Gain (loss) on settlement of investments, net
 
(3,730
)
 
(10,771
)
 
(13,675
)
 
(12,714
)

As of September 30, 2016 and December 31, 2015, Newcastle had zero and less than $0.1 million, respectively, of expected reclassification of deferred hedges from AOCI into earnings over the next 12 months.