Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.7.0.1
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Schedule of carrying value and estimated fair value of assets and liabilities
The following table summarizes the carrying values and estimated fair values of the Company’s financial instruments at June 30, 2017
 
Carrying
Value
 
Estimated
Fair Value
 
Fair Value Method (A)
Assets
 

 
 

 
 
Real estate securities, available-for-sale
$
2,114

 
$
2,114

 
Pricing models
Real estate securities, available-for-sale - pledged as collateral
319,184

 
319,184

 
Pricing services, broker/counterparty quotations
Real estate related and other loans, held-for-sale, net
62,708

 
68,240

 
Pricing models
Residential mortgage loans, held-for-sale, net (B)
95

 
95

 
Broker/counterparty quotations, pricing models
Cash and cash equivalents
118,030

 
118,030

 
 
Restricted cash
5,338

 
5,338

 
 
Non-hedge derivative assets (C)
1,970

 
1,970

 
Counterparty quotations, pricing services
 
 
 
 
 
 
Liabilities
 
 
 
 
 
Repurchase agreements
307,689

 
307,689

 
Counterparty quotations, market comparables
Credit facilities - Traditional Golf term loan
99,288

 
102,000

 
Pricing models
Junior subordinated notes payable
51,212

 
25,927

 
Pricing models
 

(A)
Methods are listed in order of priority. In the case of real estate securities and residential mortgage loans, broker quotations are obtained if available and practicable, otherwise counterparty quotations or pricing service valuations are obtained or, finally, internal pricing models are used. Internal pricing models are only used for (i) securities and loans that are not traded in an active market, and, therefore, have little or no price transparency, and for which significant unobservable inputs must be used in estimating fair value, or (ii) loans or debt obligations which are private and untraded.
(B)
Residential mortgage loans held-for-sale, net is recorded in receivables and other assets on the Consolidated Balance Sheets.
(C)
Represents derivative assets, including an interest rate cap and TBA forward contracts (Note 9).
Schedule of assets and liabilities measured at fair value on a recurring basis
The following table summarizes financial assets and liabilities measured at fair value on a recurring basis at June 30, 2017:
 
 
 
Fair Value
 
Carrying Value
 
Level 2
 
Level 3
 
Total
 
 
 
Market Quotations (Observable)
 
Market Quotations (Unobservable)
 
Internal Pricing Models
 
 
Assets
 

 
 

 
 

 
 
 
 

Real estate securities, available-for-sale:
 

 
 

 
 

 
 
 
 

ABS - Non-Agency RMBS
$
2,114

 
$

 
$

 
$
2,114

 
$
2,114

Real estate securities, available-for-sale total
$
2,114

 
$

 
$

 
$
2,114

 
$
2,114

 
 
 
 
 
 
 
 
 
 
Real estate securities, available-for-sale - pledged as collateral:
 
 
 
 
 
 
 
 
 
FNMA/FHLMC
$
319,184

 
$
319,184

 
$

 
$

 
$
319,184

Real estate securities, available-for-sale - pledged as collateral total
$
319,184

 
$
319,184

 
$

 
$

 
$
319,184

 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
Interest rate cap, not treated as hedge
$
200

 
$
200

 
$

 
$

 
$
200

TBAs, not treated as hedges
$
1,770

 
$
1,770

 
$

 
$

 
$
1,770

Derivative assets total
$
1,970

 
$
1,970

 
$

 
$

 
$
1,970

Schedule of quantitative information regarding significant unobservable inputs
The following table provides quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of June 30, 2017:

 
 
 
 
 
 
Weighted Average Significant Input
Asset Type
 
Amortized Cost Basis
 
Fair Value
 
Discount
Rate
 
Prepayment
Speed
 
Cumulative Default Rate
 
Loss
Severity
ABS - Non-Agency RMBS
 
$
856

 
$
2,114

 
12.0
%
 
4.1
%
 
3.7
%
 
65.5
%
Total
 
$
856

 
$
2,114

 
 
 
 
 
 
 
 
Schedule of change in fair value of Level 3 investments
The Company’s investments in instruments measured at fair value on a recurring basis using Level 3 inputs changed during the six months ended June 30, 2017 as follows:
 
 
ABS - Non-Agency RMBS
Balance at December 31, 2016
 
$
1,950

Total gains (losses) (A)
 
 

Included in other comprehensive income (loss)
 
90

Amortization included in interest income
 
95

Purchases, sales and repayments (A)
 
 

Proceeds
 
(21
)
Balance at June 30, 2017
 
$
2,114


(A)
None of the gains (losses) recorded in earnings during the period are attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. There were no purchases or sales during the six months ended June 30, 2017. There were no transfers into or out of Level 3 during the six months ended June 30, 2017.
 
 

Schedule of fair value for real estate related and other loans
The following table summarizes certain information for real estate related and other loans as of June 30, 2017:
 
 
 
 
 
 
Significant Input
 
 
 
 
 
 
Range
 
Weighted Average
Loan Type
 
Carrying Value
 
Fair Value
 
Discount Rate
 
Loss Severity
 
Discount Rate
 
Loss Severity
Corporate Loans
 
62,708

 
68,240

 
0.0%-22.5%
 
0.0%-100.0%
 
22.5
%
 
46.6
%
Total Real Estate Related and Other Loans Held-for-Sale, Net (A)
 
$
62,708

 
$
68,240

 
 
 
 
 
 

 
 

(A)
Excludes $17.8 million face amount of mezzanine loans which have a zero carrying value.
Liabilities for which fair value is only disclosed
The following table summarizes the level of the fair value hierarchy, valuation techniques and inputs used for estimating each class of liabilities not measured at fair value in the statement of financial position but for which fair value is disclosed:
Type of Liabilities Not Measured At Fair Value for Which Fair Value Is Disclosed
 
Fair Value Hierarchy
 
 
Valuation Techniques and Significant Inputs
Repurchase agreements
 
Level 2
 
Valuation technique is based on market comparables. Significant inputs include:
 
 
 
 
l
Amount and timing of expected future cash flows
 
 
 
 
l
Interest rates
 
 
 
 
l
Collateral funding spreads
 
 
 
 
 
 
Credit facilities
 
Level 3
 
Valuation technique is based on discounted cash flows. Significant inputs include:
 
 
 
 
l
Amount and timing of expected future cash flows
 
 
 
 
l
Interest rates
 
 
 
 
l
Market yields
 
 
 
 
 
 
Junior subordinated notes payable
 
Level 3
 
Valuation technique is based on discounted cash flows. Significant inputs include:
 
 
 
 
l
Amount and timing of expected future cash flows
 
 
 
 
l
Interest rates
 
 
 
 
l
Market yields and the credit spread of the Company