| 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 June 30, 2015 and December 31, 2014:
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Fair Value |
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June 30, 2015 |
|
December 31, 2014 |
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Balance Sheet Location |
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|
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| Derivative assets |
|
|
|
|
|
| TBAs, not designated as hedges |
Receivables and other assets |
|
$ |
8 |
|
|
$ |
|
|
| |
|
|
$ |
8 |
|
|
$ |
|
|
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|
|
|
|
|
| Derivative liabilities |
|
|
|
|
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| Interest rate swaps, designated as hedges |
Accounts payable, accrued expenses and other liabilities |
|
$ |
|
|
|
$ |
1,963 |
|
| Interest rate swaps, not designated as hedges |
Accounts payable, accrued expenses and other liabilities |
|
|
|
|
334 |
|
| TBAs, not designated as hedges |
Accounts payable, accrued expenses and other liabilities |
|
2,037 |
|
|
2,031 |
|
| |
|
|
$ |
2,037 |
|
|
$ |
4,328 |
|
The following table summarizes gains (losses) recorded in relation to derivatives:
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Three Months Ended June 30, |
|
Six Months Ended June 30, |
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Income Statement Location |
|
2015 |
|
2014 |
|
2015 |
|
2014 |
| Cash flow hedges |
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|
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| Gain on the ineffective portion |
Other income (loss) |
$ |
|
|
$ |
259 |
|
$ |
|
|
$ |
259 |
|
| Loss recognized on termination of hedge |
Gain (loss) on settlement of investments |
|
(612 |
) |
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|
|
|
(612 |
) |
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|
|
| Deferred hedge gain reclassified from AOCI into earnings |
Interest expense |
|
19 |
|
|
14 |
|
|
38 |
|
|
27 |
|
| Amount of loss reclassified from AOCI into income (effective portion) |
Interest expense |
|
(655 |
) |
|
(1,177 |
) |
|
(1,363 |
) |
|
(2,457 |
) |
| Amount of unrealized loss recognized in OCI on derivatives (effective portion) |
None |
|
(27 |
) |
|
(75 |
) |
|
(60 |
) |
|
(152 |
) |
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| Non-hedge derivatives |
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| Gain recognized related to interest rate swaps |
Other income (loss) |
$ |
|
|
$ |
2,029 |
|
$ |
292 |
|
$ |
4,104 |
|
| Gain recognized related to linked transactions |
Other income (loss) |
|
|
|
1,825 |
|
|
|
|
|
12,498 |
|
| Loss recognized related to linked transactions |
Interest expense |
|
|
|
|
(89 |
) |
|
|
|
|
(211 |
) |
| Gain recognized related to TBAs |
Other income (loss) |
|
1,322 |
|
|
|
|
|
1 |
|
|
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| Gain (loss) on settlement of TBAs |
Gain (loss) on settlement of investments, net |
|
2,928 |
|
|
|
|
|
(1,943 |
) |
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|
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The following table presents additional information about cash flow hedge transactions:
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June 30, 2015 |
|
December 31, 2014 |
| Cash flow hedges |
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| Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months |
$ |
60 |
|
$ |
78 |
|
| Expected reclassification of current hedges from AOCI into earnings over the next 12 months |
|
|
|
|
(1,730 |
) |
|