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12. DERIVATIVES
Newcastle's derivative instruments are comprised of interest rate swaps and TBAs. The table below presents the fair value of the derivative financial instruments as well as their classification on the consolidated balance sheets as of March 31, 2015 and December 31, 2014:
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Fair Value
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March 31, 2015
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December 31, 2014
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Balance Sheet Location
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Derivative liabilities
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Interest rate swaps, designated as hedges
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Accounts payable, accrued expenses and other liabilities
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$
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1,287
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$
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1,963
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Interest rate swaps, not designated as hedges
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Accounts payable, accrued expenses and other liabilities
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—
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334
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TBAs, not designated as hedges
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Accounts payable, accrued expenses and other liabilities
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3,352
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2,031
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$
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4,639
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$
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4,328
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The following table summarizes gains (losses) recorded in relation to derivatives:
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Three Months Ended March 31,
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Income Statement Location
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2015
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2014
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Cash flow hedges
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Deferred hedge gain (loss) reclassified from AOCI into earnings
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Interest expense
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19
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13
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Amount of loss reclassified from AOCI into income (effective portion)
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Interest expense
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(708
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)
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(1,280
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)
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Amount of unrealized gain (loss) recognized in OCI on derivatives (effective portion)
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None
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(33
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)
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(77
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)
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Non-hedge derivatives
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Gain recognized related to interest rate swaps
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Other income (loss)
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292
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2,075
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Gain recognized related to linked transactions
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Other income (loss)
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—
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10,673
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Gain (loss) recognized related to TBAs
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Other income (loss)
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(1,321
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)
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—
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Gain (loss) on settlement of TBAs
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Gain (loss) on
settlement of investments, net
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(4,871
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)
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—
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The following table presents
additional information about cash flow hedge transactions:
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March 31, 2015
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December 31, 2014
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Cash flow hedges
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Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months
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79
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78
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Expected reclassification of current hedges from AOCI into earnings over the next 12 months
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(1,705
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)
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(1,730
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)
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