FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
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12 Months Ended |
Dec. 31, 2017 |
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| Fair Value Disclosures [Abstract] |
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| 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 December 31, 2017 and 2016:
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December 31, 2017 |
December 31, 2016 |
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Carrying
Value |
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Estimated
Fair Value |
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Fair Value Method (A) |
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Carrying
Value |
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Estimated
Fair Value |
Assets |
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Real estate securities, available-for-sale |
$ |
2,294 |
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$ |
2,294 |
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Pricing models |
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$ |
629,254 |
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$ |
629,254 |
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Loans, held-for-sale, net (B) |
147 |
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147 |
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Pricing models |
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55,612 |
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61,144 |
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Residential mortgage loans, held-for-sale, net (C) |
— |
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— |
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Broker/counterparty quotations, pricing models |
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231 |
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249 |
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Cash and cash equivalents |
167,692 |
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167,692 |
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140,140 |
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140,140 |
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Restricted cash - current and noncurrent |
5,996 |
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5,996 |
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6,404 |
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6,404 |
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Non-hedge derivative assets (D) |
286 |
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286 |
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Counterparty quotations |
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856 |
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856 |
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Liabilities |
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Repurchase agreements |
— |
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— |
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Counterparty quotations, market comparables |
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600,964 |
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600,964 |
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Credit facilities - Traditional Golf term loan |
99,931 |
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103,199 |
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Pricing models |
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98,680 |
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98,680 |
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Junior subordinated notes payable |
51,208 |
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27,531 |
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Pricing models |
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51,217 |
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26,756 |
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(A) |
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. |
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(B) |
Loans held-for-sale, net are recorded in other current assets on the Consolidated Balance Sheets. |
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(C) |
Residential mortgage loans held-for-sale, net is recorded in other current assets on the Consolidated Balance Sheets. |
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(D) |
Represents an interest rate cap and TBA forward contracts (Note 10). |
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| 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 December 31, 2017:
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Fair Value |
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Carrying Value |
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Level 2 |
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Level 3 |
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Total |
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Market Quotations
(Observable) |
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Market Quotations (Unobservable) |
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Internal Pricing Models |
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Assets: |
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Real estate securities, available-for-sale: |
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ABS- Non-Agency RMBS |
$ |
2,294 |
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$ |
— |
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$ |
— |
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$ |
2,294 |
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$ |
2,294 |
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Derivative assets: |
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Interest rate cap, not treated as hedge |
$ |
286 |
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$ |
286 |
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$ |
— |
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$ |
— |
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$ |
286 |
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| Schedule of quantitative information about 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 December 31, 2017.
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Weighted Average Significant Input |
Asset Type |
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Amortized
Cost
Basis |
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Fair
Value |
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Discount Rate |
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Prepayment Speed |
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Cumulative Default Rate |
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Loss Severity |
ABS - Non-Agency RMBS |
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$ |
924 |
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$ |
2,294 |
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12.0 |
% |
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4.8 |
% |
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4.5 |
% |
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69.6 |
% |
Total |
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$ |
924 |
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$ |
2,294 |
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| 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 as follows:
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Level 3 Assets |
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CMBS |
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ABS - Non-Agency RMBS |
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Equity/Other Securities |
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Total |
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Balance at December 31, 2015 |
$ |
39,684 |
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$ |
9,619 |
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$ |
9,731 |
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$ |
59,034 |
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CDO VI deconsolidation |
(37,179 |
) |
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(6,710 |
) |
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— |
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(43,889 |
) |
Total gains (losses) (A) |
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Included in net income (B) |
(108 |
) |
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3 |
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11,232 |
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11,127 |
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Included in other comprehensive income (loss) |
(658 |
) |
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(1,015 |
) |
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(9,731 |
) |
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(11,404 |
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Amortization included in interest income |
879 |
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278 |
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— |
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1,157 |
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Purchases, sales and settlements |
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Proceeds from sales |
(2 |
) |
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(3 |
) |
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(11,232 |
) |
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(11,237 |
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Proceeds from repayments |
(2,616 |
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(222 |
) |
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— |
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(2,838 |
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Balance at December 31, 2016 |
$ |
— |
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$ |
1,950 |
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$ |
— |
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$ |
1,950 |
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Total gains (losses) (A) |
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Included in net income (B) |
— |
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— |
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— |
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— |
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Included in other comprehensive income (loss) |
— |
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202 |
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— |
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202 |
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Amortization included in interest income |
— |
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196 |
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— |
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196 |
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Purchases, sales and settlements |
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Proceeds from repayments |
— |
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(54 |
) |
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— |
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(54 |
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Balance at December 31, 2017 |
$ |
— |
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$ |
2,294 |
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$ |
— |
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$ |
2,294 |
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(A) |
None of the gains (losses) recorded in earnings during the periods is 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 year ended December 31, 2017. There were no transfers into or out of Level 3 during the years ended December 31, 2017 and 2016.
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(B) |
These gains (losses) are recorded in the following line items in the Consolidated Statements of Operations: |
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Year Ended December 31, |
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2017 |
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2016 |
Realized and unrealized gain on investments |
$ |
— |
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$ |
11,237 |
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Impairment (reversal) |
— |
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(110 |
) |
Total |
$ |
— |
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$ |
11,127 |
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Realized and unrealized gain on investments, net, from investments transferred into Level 3 during the period |
$ |
— |
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$ |
— |
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| Schedule of gains losses on fair value of real estate securities |
These gains (losses) are recorded in the following line items in the Consolidated Statements of Operations:
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Year Ended December 31, |
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2017 |
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2016 |
Realized and unrealized gain on investments |
$ |
— |
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$ |
11,237 |
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Impairment (reversal) |
— |
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(110 |
) |
Total |
$ |
— |
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$ |
11,127 |
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Realized and unrealized gain on investments, net, from investments transferred into Level 3 during the period |
$ |
— |
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$ |
— |
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| Liabilities for which fair value is 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:
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Type of Liabilities |
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Not Measured At Fair |
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Value for Which |
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Fair Value Is Disclosed |
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Fair Value Hierarchy |
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Valuation Techniques and Significant Inputs |
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Credit facilities |
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Level 3 |
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Valuation technique is based on discounted cash flows. Significant inputs include: |
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• |
Amount and timing of expected future cash flows |
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• |
Interest rates |
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• |
Market yields |
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Junior subordinated notes payable |
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Level 3 |
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Valuation technique is based on discounted cash flows. Significant inputs include: |
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• |
Amount and timing of expected future cash flows |
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• |
Interest rates |
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• |
Market yields and the credit spread of the Company |
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