Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.8.0.1
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
9 Months Ended
Sep. 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 September 30, 2017
 
Carrying
Value
 
Estimated
Fair Value
 
Fair Value Method (A)
Assets
 

 
 

 
 
Real estate securities, available-for-sale
$
2,236

 
$
2,236

 
Pricing models
Real estate related and other loans, held-for-sale, net (B)
147

 
147

 
Pricing models
Cash and cash equivalents
182,371

 
182,371

 
 
Restricted cash, current and noncurrent
6,036

 
6,036

 
 
Non-hedge derivative assets (C)
167

 
167

 
Counterparty quotations
 
 
 
 
 
 
Liabilities
 
 
 
 
 
Credit facilities - Traditional Golf term loan
99,606

 
103,028

 
Pricing models
Junior subordinated notes payable
51,210

 
26,595

 
Pricing models
 

(A)
Internal pricing models are used for (i) real estate 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) debt obligations which are private and untraded.
(B)
Real estate related and other loans held-for-sale, net are recorded in other current assets on the Consolidated Balance Sheets.
(C)
Represents an interest rate cap (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 September 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
$
2,236

 
$

 
$

 
$
2,236

 
$
2,236

Real estate securities, available-for-sale total
$
2,236

 
$

 
$

 
$
2,236

 
$
2,236

 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
Interest rate cap, not treated as hedge
$
167

 
$
167

 
$

 
$

 
$
167

Derivative assets total
$
167

 
$
167

 
$

 
$

 
$
167

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 September 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
 
$
889

 
$
2,236

 
12.0
%
 
4.0
%
 
3.2
%
 
71.3
%
Total
 
$
889

 
$
2,236

 
 
 
 
 
 
 
 
Schedule of change in fair value of Level 3 investments
Real estate securities measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 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)
 
179

Amortization included in interest income
 
144

Purchases, sales and repayments (A)
 
 

Proceeds
 
(37
)
Balance at September 30, 2017
 
$
2,236


(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 nine months ended September 30, 2017. There were no transfers into or out of Level 3 during the nine months ended September 30, 2017.

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
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