Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE (Tables)

v2.4.0.8
FAIR VALUE (Tables)
 9 Months Ended
Sep. 30, 2013
Fair Value Tables  
Schedule Of Carrying Value and Fair Value Of Assets and Liabilities

The carrying values and fair values of Newcastle’s assets and liabilities at September 30, 2013 were as follows:

 

    Principal                     Weighted     Weighted  
    Balance or                     Average     Average  
    Notional     Carrying     Estimated         Yield/Funding     Maturity  
    Amount     Value     Fair Value     Fair Value Method (A)   Cost     (Years)  
Assets                                            
Financial instruments:                                            
Real estate securities, available-for-sale*   $ 1,038,815     $ 825,499     $ 825,499     Broker quotations, counterparty quotations,  pricing services,  pricing models     5.64 %     3.1  
Real estate related and other loans, held-for-sale, net     1,353,531       795,297       808,151     Broker quotations, counterparty quotations, pricing services,  pricing models     11.97 %     1.3  
Residential mortgage loans, held-for-investment, net     288,059       260,463       261,994     Pricing models     8.33 %     5.5  
Residential mortgage loans, held-for-sale, net     3,238       2,236       2,236     Pricing models     19.71 %     4.5  
Subprime mortgage loans subject to call option (B)     406,217       406,217       406,217     (B)     9.09 %     (B )
Restricted cash*     1,827       1,827       1,827                      
Cash and cash equivalents*     92,134       92,134       92,134                      
Non-hedge derivative assets (C)(D)*     116,806       43,172       43,172     Counterparty quotations     N/A       (C )
Investments in real estate and intangibles, net             450,412                              
Equity method investment in Local Media Group             57,384                              
Other investments             25,133                              
Receivables and other assets             27,003                              
            $ 2,986,777                              
                                             
Liabilities                                            
Financial instruments:                                            
CDO bonds payable (F)   $ 717,508     $ 718,473     $ 568,186     Pricing models     2.03 %     1.6  
Other bonds and notes payable (F)     157,663       153,798       157,916     Broker quotations, pricing models     5.27 %     3.9  
Repurchase agreements     376,886       376,886       376,886     Market comparables     0.44 %     0.1  
Mortgage notes payable     338,954       335,238       335,238     Pricing models     4.70 %     4.9  
Financing of subprime mortgage loans subject to call option (B)     406,217       406,217       406,217   (B)     9.09 %     (B )
Junior subordinated notes payable     51,004       51,239       34,385     Pricing models     7.39 %     21.6  
Interest rate swaps, treated as hedges (D)(E)*     105,393       7,416       7,416     Counterparty quotations     N/A       (E )
Non-hedge derivatives (C)(D)*     186,008       9,699       9,699     Counterparty quotations     N/A       (C )
Due to affiliates             4,911                              
Dividends payable, accrued expenses and other liabilities             57,925                              
            $ 2,121,802                              

 

*Measured at fair value on a recurring basis.

 

(A) Methods are listed in order of priority. In the case of real estate securities and real estate related and other 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) These two items result from an option, not an obligation, to repurchase loans from Newcastle’s subprime mortgage loan securitizations (Note 6), are noneconomic until such option is exercised, and are equal and offsetting.

 

(C) This represents one interest rate swap agreement with a total notional balance of $186.0 million, maturing in March 2015 and linked transactions entered into in June 2013 with $116.8 face amount of underlying financed securities. Newcastle entered into the interest rate swap agreement to reduce its exposure to interest rate changes on the floating rate financings of CDO VI. These derivative agreements were not designated as hedges for accounting purposes as of September 30, 2013.

 

(D) Newcastle’s derivatives fall into two categories. As of September 30, 2013, all derivative liabilities, which represent two interest rate swaps, were held within Newcastle’s nonrecourse structures. An aggregate notional balance of $291.4 million is only subject to the credit risks of the respective CDO structures. As they are senior to all the debt obligations of the respective CDOs and the fair value of each of the CDOs’ total investments exceeded the fair value of each of the CDOs’ derivative liabilities, no credit valuation adjustments were recorded. Derivatives with an aggregate notional balance of $116.8 million, represent linked transactions with $116.8 face amount of underlying financed securities. Newcastle’s interest rate swap counterparties include Bank of America and Credit Suisse.

 

(E) Represents derivative agreements:

 

Year of Maturity   Weighted Average Month of Maturity     Aggregate Notional Amount     Weighted Average Fixed Pay Rate / Cap Rate     Aggregate Fair Value
 Asset / (Liability)		  
                               
Interest rate swap agreements which receive 1-Month LIBOR:                      
                               
2016   Apr     $ 105,393       5.04 %   $ (7,416 )

 

(F) Newcastle notes that the unrealized gain on the liabilities within CDOs and other non-recourse financing structures cannot be fully realized. Assets held within CDOs and other non-recourse structures are not available to satisfy obligations outside of such financings, except to the extent Newcastle receives net cash flow distributions from such structures. Furthermore, creditors or beneficial interest holders of these structures have no recourse to the general credit of Newcastle. Therefore, Newcastle’s exposure to the economic losses from such structures is limited to its invested equity in them and economically their book value cannot be less than zero. As a result, the fair value of Newcastle’s net investments in these nonrecourse financing structures is equal to the present value of their expected future net cash flows.

 
Schedule of Fair Value Of Derivative Assets
Represents derivative agreements:

 

Year of Maturity   Weighted Average Month of Maturity     Aggregate Notional Amount     Weighted Average Fixed Pay Rate / Cap Rate     Aggregate Fair Value
 Asset / (Liability)		  
                               
Interest rate swap agreements which receive 1-Month LIBOR:                      
                               
2016   Apr     $ 105,393       5.04 %   $ (7,416 )

 
Schedule of Fair Value of Assets and Liabilities Measured on a Recurring Basis

The following table summarizes such financial assets and liabilities measured at fair value on a recurring basis at September 30, 2013:

 

                Fair Value  
    Principal Balance or Notional Amount     Carrying Value     Level 2     Level 3A     Level 3B     Total  
Assets                                                
Real estate securities, available-for-sale:                                                
CMBS   $ 343,917     $ 286,076     $ —     $ 283,866     $ 2,210     $ 286,076  
REIT debt     29,200       31,215       31,215       —       —       31,215  
Non-Agency RMBS     101,315       57,506       —       57,393       113       57,506  
ABS - other real estate     8,464       —       —       —       —       —  
FNMA / FHLMC     362,484       387,608       387,608       —       —       387,608  
CDO     193,435       63,094       —       58,036       5,058       63,094  
Real estate securities total   $ 1,038,815     $ 825,499     $ 418,823     $ 399,295     $ 7,381     $ 825,499  
Derivative assets:                                                
Linked transactions at fair value     116,806       43,172       —       43,172       —       43,172  
Derivative assets total   $ 116,806     $ 43,172     $ —     $ 43,172     $ —     $ 43,172  
                                                 
Liabilities                                                
Derivative Liabilities:                                                
Interest rate swaps, treated as hedges   $ 105,393     $ 7,416     $ 7,416     $ —     $ —     $ 7,416  
Interest rate swaps, not treated as hedges     186,008       9,699       9,699       —       —       9,699  
Derivative liabilities total   $ 291,401     $ 17,115     $ 17,115     $ —     $ —     $ 17,115  

 
Schedule of Change in Fair Value of Level 3 Investments

Newcastle’s investments in instruments measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2013 as follows:

 

    Level 3A  
    CMBS     ABS                          
    Conduit     Other     Non-Agency RMBS     Other     Equity/Other Securities     Linked Transactions     Total  
Balance at December 31, 2012   $ 225,575     $ 104,451       330,021     $ 798     $ 65,027     $ —     $ 725,872  
Transfers (A)                                                        
Transfers from Level 3B     12,152       11,803       21,897       —       —       —       45,852  
Transfers into Level 3B     (3,291 )     (8,257 )     —       —       —       —       (11,548 )
Spin-off of New Residential     —       —       (560,783 )     —       —       —       (560,783 )
Total gains (losses) (B)                                                        
Included in net income (C)     279       (165 )     (683 )     (87 )     1,381       —       725  
Included in other comprehensive income (loss)     10,836       2,128       26,542       296       (1,581 )     —       38,221  
Amortization included in interest income     6,746       516       12,375       —       3,703       —       23,340  
Purchases, sales and repayments                                                        
Purchases     —       —       267,160       —       —       43,172       310,332  
Proceeds from sales     (51,708 )     (16,902 )     (6,127 )     (934 )     (4,801 )     —       (80,472 )
Proceeds from repayments     (4,758 )     (5,539 )     (33,009 )     (73 )     (5,693 )     —       (49,072 )
Balance at September 30, 2013   $ 195,831     $ 88,035       57,393     $ —     $ 58,036     $ 43,172     $ 442,467  

 

    Level 3B  
    CMBS     ABS                        
    Conduit     Other     Non-Agency RMBS     Other     Equity/Other Securities     Linked Transactions     Total  
Balance at December 31, 2012   $ 29,194     $ 17,171     $ 25,954     $ 677     $ 5,998     $ —     $ 78,994  
Transfers (A)                                                        
Transfers from Level 3A     3,291       8,257       —       —       —       —       11,548  
Transfers into Level 3A     (12,152 )     (11,803 )     (21,897 )     —       —       —       (45,852 )
Total gains (losses) (B)                                                        
Included in net income (C)     69       (159 )     3,055       5       —       —       2,970  
Included in other comprehensive income (loss)     3,607       1,135       (2,137 )     (223 )     (42 )     —       2,340  
Amortization included in interest income     1,593       240       3,345       307       365       —       5,850  
Purchases, sales and repayments                                                        
Purchases     —       —       —       —       —       —       —  
Proceeds from sales     (21,868 )     (14,841 )     (5,054 )     (425 )     —       —       (42,188 )
Proceeds from repayments     (1,524 )     —       (3,153 )     (341 )     (1,263 )     —       (6,281 )
Balance at September 30, 2013   $ 2,210     $ —     $ 113     $ —     $ 5,058     $ —     $ 7,381  

 

(A) Transfers are assumed to occur at the beginning of the quarter.

(B) None of the gains (losses) recorded in earnings during the period is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date.

(C) These gains (losses) are recorded in the following line items in the consolidated statements of income:

 

    Nine Months Ended September 30, 2013  
    Level 3A     Level 3B  
Gain (loss) on settlement of investments, net   $ 1,531     $ 3,586  
Other income (loss), net     —       —  
OTTI     (806 )     (616 )
Total   $ 725     $ 2,970  
                 
Gain (loss) on settlement of investments, net, from investments transferred into Level 3 during the period   $ —     $ —  
Schedule of Gains Losses on Fair Value of RE Securities
These gains (losses) are recorded in the following line items in the consolidated statements of income:

 

    Nine Months Ended September 30, 2013  
    Level 3A     Level 3B  
Gain (loss) on settlement of investments, net   $ 1,531     $ 3,586  
Other income (loss), net     —       —  
OTTI     (806 )     (616 )
Total   $ 725     $ 2,970  
                 
Gain (loss) on settlement of investments, net, from investments transferred into Level 3 during the period   $ —     $ —  

 
Schedule of Securities Valuation Methodology And Results

As of September 30, 2013, Newcastle’s securities valuation methodology and results are further detailed as follows:

 

                Fair Value  
    Outstanding     Amortized                 Internal        
    Face     Cost     Multiple     Single     Pricing        
Asset Type   Amount (A)     Basis (B)     Quotes (C)     Quote (D)     Models (E)     Total  
                                                 
CMBS   $ 343,917     $ 228,946     $ 241,108     $ 42,758     $ 2,210     $ 286,076  
REIT debt     29,200       28,607       31,215       —       —       31,215  
Non-Agency RMBS     101,315       40,950       57,393       —       113       57,506  
ABS - other real estate     8,464       —       —       —       —       —  
FNMA / FHLMC     362,484       386,640       387,608       —       —       387,608  
CDO     193,435       61,230       —       58,036       5,058       63,094  
Total   $ 1,038,815     $ 746,373     $ 717,324     $ 100,794     $ 7,381     $ 825,499  

 

(A) Net of incurred losses

(B) Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended September 30, 2013.

(C) Management generally obtained pricing service quotations or broker quotations from at least two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of fair value and did not use an average of the quotes. Even if Newcastle receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes Newcastle receives. Management believes using an average of the quotes in these cases would generally not represent the fair value of the asset. Based on Newcastle’s own fair value analysis using internal models, management selects one of the quotes which are believed to more accurately reflect fair value. Newcastle never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” – meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price.

(D) Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service.

(E) Securities whose fair value was estimated based on internal pricing models are further detailed as follows:

 

                Impairment     Unrealized     Weighted Average Significant Input  
    Amortized             Recorded
In 		    Gains
(Losses) in 		                    Cumulative          
    Cost             Current     Accumulated     Discount     Prepayment     Default     Loss  
    Basis (B)     Fair Value     Period     OCI     Rate     Speed (F)     Rate     Severity  
CMBS - Conduit   $ 797     $ 2,210     $ 76     $ 1,413       8.0 %     N/A       24.5 %     47.1 %
Non-Agency RMBS     —       113       —       113       8.0 %     2.0 %     8.0 %     75.0 %
CDO     3,081       5,058       —       1,977       17.7 %     4.5 %     17.5 %     73.5 %
Total   $ 3,878     $ 7,381     $ 76     $ 3,503                                  

 

All of the assumptions listed have some degree of market observability, based on Newcastle’s knowledge of the market, relationships with market participants, and use of common market data sources. Collateral prepayment, default and loss severity projections are in the form of “curves” or “vectors” that vary for each monthly collateral cash flow projection. Methods used to develop these projections vary by asset class (e.g., CMBS projections are developed differently than home equity ABS projections) but conform to industry conventions.  Newcastle uses assumptions that generate its best estimate of future cash flows of each respective security.

 

The prepayment vector specifies the percentage of the collateral balance that is expected to voluntarily pay off at each point in the future. The prepayment vector is based on projections from a widely published investment bank model which considers factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. This vector is scaled up or down to match recent collateral-specific prepayment experience, as obtained from remittance reports and market data services.

 

Loss severities are based on recent collateral-specific experience with additional consideration given to collateral characteristics. Collateral age is taken into consideration because severities tend to initially increase with collateral age before eventually stabilizing. Newcastle typically uses projected severities that are higher than the historic experience for collateral that is relatively new to account for this effect. Collateral characteristics such as loan size, lien position, and location (state) also effect loss severity. Newcastle considers whether a collateral pool has experienced a significant change in its composition with respect to these factors when assigning severity projections.

 

Default rates are determined from the current “pipeline” of loans that are more than 90 days delinquent, in foreclosure, or are REO. These significantly delinquent loans determine the first 24 months of the default vector. Beyond month 24, the default vector transitions to a steady-state value that is generally equal to or greater than that given by the widely published investment bank model.

 

The discount rates Newcastle uses are derived from a range of observable pricing on securities backed by similar collateral and offered in a live market. As the markets in which Newcastle transacts have become less liquid, Newcastle has had to rely on fewer data points in this analysis.

 

(F) Projected annualized average prepayment rate.

 
Securities valued based on internal pricing models
Securities whose fair value was estimated based on internal pricing models are further detailed as follows:

 

                Impairment     Unrealized     Weighted Average Significant Input  
    Amortized             Recorded
In 		    Gains
(Losses) in 		                    Cumulative          
    Cost             Current     Accumulated     Discount     Prepayment     Default     Loss  
    Basis (B)     Fair Value     Period     OCI     Rate     Speed (F)     Rate     Severity  
CMBS - Conduit   $ 797     $ 2,210     $ 76     $ 1,413       8.0 %     N/A       24.5 %     47.1 %
Non-Agency RMBS     —       113       —       113       8.0 %     2.0 %     8.0 %     75.0 %
CDO     3,081       5,058       —       1,977       17.7 %     4.5 %     17.5 %     73.5 %
Total   $ 3,878     $ 7,381     $ 76     $ 3,503                                  

 

All of the assumptions listed have some degree of market observability, based on Newcastle’s knowledge of the market, relationships with market participants, and use of common market data sources. Collateral prepayment, default and loss severity projections are in the form of “curves” or “vectors” that vary for each monthly collateral cash flow projection. Methods used to develop these projections vary by asset class (e.g., CMBS projections are developed differently than home equity ABS projections) but conform to industry conventions.  Newcastle uses assumptions that generate its best estimate of future cash flows of each respective security.

 

The prepayment vector specifies the percentage of the collateral balance that is expected to voluntarily pay off at each point in the future. The prepayment vector is based on projections from a widely published investment bank model which considers factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. This vector is scaled up or down to match recent collateral-specific prepayment experience, as obtained from remittance reports and market data services.

 

Loss severities are based on recent collateral-specific experience with additional consideration given to collateral characteristics. Collateral age is taken into consideration because severities tend to initially increase with collateral age before eventually stabilizing. Newcastle typically uses projected severities that are higher than the historic experience for collateral that is relatively new to account for this effect. Collateral characteristics such as loan size, lien position, and location (state) also effect loss severity. Newcastle considers whether a collateral pool has experienced a significant change in its composition with respect to these factors when assigning severity projections.

 

Default rates are determined from the current “pipeline” of loans that are more than 90 days delinquent, in foreclosure, or are REO. These significantly delinquent loans determine the first 24 months of the default vector. Beyond month 24, the default vector transitions to a steady-state value that is generally equal to or greater than that given by the widely published investment bank model.

 

The discount rates Newcastle uses are derived from a range of observable pricing on securities backed by similar collateral and offered in a live market. As the markets in which Newcastle transacts have become less liquid, Newcastle has had to rely on fewer data points in this analysis.
Schedule of fair value for real estate related loans and residential mortgage loans held for sale

The following tables summarize certain information for real estate related and other loans and residential mortgage loans held-for-sale as of September 30, 2013:

 

                      Valuation     Significant Input  
    Outstanding                 Allowance/     Range     Weighted Average  
    Face     Carrying     Fair     (Reversal) In     Discount     Loss     Discount     Loss  
Loan Type   Amount     Value     Value     Current Year     Rate     Severity     Rate     Severity  
Mezzanine   $ 338,178     $ 268,635     $ 272,735     $ (13,611 )     5.0% - 25.3%       0.0% - 100.0%       10.7 %     5.4 %
Bank Loan     875,072       402,139       409,354       (3,110 )     5.9% - 33.3%       0.0% - 100.0%       13.7 %     45.1 %(A)
B-Note     110,461       94,703       96,179       6,192       6.0% - 15.0%       0.0% - 47.0%       10.5 %     9.7 %
Whole Loan     29,820       29,820       29,883       —       4.8% - 6.9%       0.0% - 15.5%       4.8 %     15.1 %
                                                                 
Total Real Estate Related and other Loans Held-for-Sale, Net   $ 1,353,531     $ 795,297     $ 808,151     $ (10,529 )                                

 

(A) Primarily driven by the 60% severity of the GateHouse loans (see Note 2).

 

                            Valuation                                  
    Outstanding                 Allowance/     Significant Input (Weighted Average)  
    Face     Carrying     Fair     (Reversal) In     Discount     Prepayment     Constant     Loss  
Loan Type   Amount     Value     Value     Current Year     Rate     Speed     Default Rate     Severity  
Non-securitized Manufactured Housing Loans Portfolio I   $ 561     $ 145     $ 145     $ (9 )     81.5 %     5.0 %     11.6 %     65.0 %
Non-securitized Manufactured Housing Loans Portfolio II     2,677       2,091       2,091       (33 )     15.4 %     5.0 %     3.5 %     60.0 %
Total Residential Mortgage Loans Held-for-Sale, Net   $ 3,238     $ 2,236     $ 2,236     $ (42 )                              
Schedule of fair value for residential mortgage loans held for investment

The following table summarizes certain information for residential mortgage loans held-for-investment as of September 30, 2013:

 

                            Significant Input (Weighted Average)  
Loan Type   Outstanding Face Amount     Carrying Value     Fair Value     Valuation Allowance/ (Reversal) In Current Year     Discount Rate     Prepayment Speed     Constant Default Rate     Loss Severity  
Securitized Manufactured Housing Loans Portfolio I   $ 106,304     $ 91,488     $ 93,533     $ (1,778 )     9.5 %     6.0 %     3.0 %     65.0 %
Securitized Manufactured Housing Loans Portfolio II     134,641       132,728       128,623       1,740       7.7 %     7.0 %     3.5 %     60.0 %
                                                                 
Residential Loans     47,114       36,247       39,838       (864 )     7.8 %     4.6 %     2.8 %     46.0 %
Total Residential Mortgage Loans, Held-for-Investment, Net   $ 288,059     $ 260,463     $ 261,994     $ (902 )                                

 

 
Schedule of Fair Value of Derivatives

Newcastle’s derivatives are recorded on its balance sheet as follows:

 

        Fair Value  
        September 30,     December 31,  
    Balance sheet location   2013     2012  
                 
Derivative Assets                    
Linked transactions at fair value   Derivative Assets   $ 43,172     $ —  
Interest rate caps, not designated as hedges   Derivative Assets     —       165  
        $ 43,172     $ 165  
Derivative Liabilities                    
Interest rate swaps, designated as hedges   Derivative Liabilities   $ 7,416     $ 12,175  
Interest rate swaps, not designated as hedges   Derivative Liabilities     9,699       19,401  
        $ 17,115     $ 31,576  

 
Schedule of Outstanding Derivatives

The following table summarizes information related to derivatives:

 

    September 30, 2013     December 31, 2012  
Cash flow hedges                
Notional amount of interest rate swap agreements   $ 105,393     $ 154,450  
Amount of (loss) recognized in OCI on effective portion     (7,331 )     (12,050 )
Deferred hedge gain (loss) related to anticipated financings, which have subsequently occurred, net of amortization     187       237  
Deferred hedge gain (loss) related to dedesignation, net of amortization     (163 )     (210 )
Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months     8       4  
Expected reclassification of current hedges from AOCI into earnings over the next 12 months     (4,547 )     (6,259 )
                 
Non-hedge Derivatives                
Notional amount of interest rate swap agreements     186,008       294,203  
Notional amount of interest rate cap agreements     —       23,400  
Notional amount of linked transactions (A)     116,806       —  

 

(A) This represents the current face amount of the underlying financed securities comprising linked transactions.
Schedule of Gain Loss on Derivatives

The following table summarizes gains (losses) recorded in relation to derivatives:

 

        Three Months Ended
September 30,		     Nine Months Ended
September 30,		  
    Income statement location   2013     2012     2013     2012  
Cash flow hedges                                    
Gain (loss) on the ineffective portion   Other income (loss)   $ —     $ —     $ —     $ 483  
Gain (loss) immediately recognized at dedesignation   Gain (loss) on sale of investments; Other income (loss)     —       —       —       (7,036 )
Amount of gain (loss) reclassified from AOCI into income, related to effective portion   Interest expense     (1,280 )     (7,830 )     (4,848 )     (28,766 )
Deferred hedge gain reclassified from AOCI into income, related to anticipated financings   Interest expense     17       15       50       45  
Deferred hedge gain (loss) reclassified from AOCI into income, related to effective portion of dedesignated hedges   Interest expense     (16 )     307       (48 )     1,205  
                                     
Non-hedge derivatives gain (loss)                                    
Interest rate swaps   Other income (loss)     1,894       1,975       7,302       6,052  
Linked transactions   Interest expense     (110 )     —       (118 )     —  
Schedule of net assets recognized as linked transactions

The following table presents both gross information and net information about linked transactions as of September 30, 2013:

 

Real estate securities-available for sale (A)   $ 103,140  
Repurchase agreements (B)     (59,968 )
Net assets recognized as linked transactions   $ 43,172  

 

(A) Represents the fair value of the securities accounted for as part of linked transactions at September 30, 2013.

(B) Represents the carrying value, which approximates fair value, of the repurchase agreements accounted for as part of linked transactions at September 30, 2013.