FAIR VALUE (Tables)
|
9 Months Ended |
Sep. 30, 2016 |
|---|
| 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 Newcastle’s financial instruments at September 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
Carrying
Value |
|
Estimated
Fair Value |
|
Fair Value Method (A) |
Assets |
|
|
|
|
|
|
|
Real estate securities, available-for-sale |
$ |
3,430 |
|
|
$ |
3,430 |
|
|
Broker/counterparty quotations, pricing services, pricing models |
Real estate securities, available-for-sale - pledged as collateral |
663,559 |
|
|
663,559 |
|
|
Broker/counterparty quotations, pricing services |
Real estate related and other loans, held-for-sale, net |
52,874 |
|
|
58,406 |
|
|
Pricing models, broker/counterparty quotations, pricing services |
Residential mortgage loans, held-for-sale, net (B) |
240 |
|
|
274 |
|
|
Broker/counterparty quotations, pricing models |
Subprime mortgage loans subject to call option (C) |
353,347 |
|
|
353,347 |
|
|
(C) |
Cash and cash equivalents |
134,289 |
|
|
134,289 |
|
|
|
Restricted cash |
7,295 |
|
|
7,295 |
|
|
|
Non-hedge derivative assets (D) |
395 |
|
|
395 |
|
|
Counterparty quotations, pricing services |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
Repurchase agreements |
831,741 |
|
|
831,741 |
|
|
Counterparty quotations, market comparables |
Credit facilities and obligations under capital leases |
114,697 |
|
|
114,697 |
|
|
Pricing models |
Financing of subprime mortgage loans subject to call option (C) |
353,347 |
|
|
353,347 |
|
|
(C) |
Junior subordinated notes payable |
51,219 |
|
|
22,978 |
|
|
Pricing models |
Non-hedge derivative liabilities (D) |
2,463 |
|
|
2,463 |
|
|
Counterparty quotations, pricing services |
|
|
(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) |
Residential mortgage loans held-for-sale, net is recorded in receivables and other assets on the Consolidated Balance Sheets. |
|
|
(C) |
Represents an option, not an obligation, to repurchase loans from Newcastle’s subprime mortgage loan securitizations (Note 6).
|
|
|
(D) |
Represents derivative assets and liabilities, including interest rate caps and TBA forward contracts (Note 12). |
|
| 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, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
3,430 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
Real estate securities, available-for-sale total |
$ |
3,430 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
|
|
|
|
|
|
|
|
|
Real estate securities, available-for-sale - pledged as collateral: |
|
|
|
|
|
|
|
|
|
FNMA/FHLMC |
$ |
663,559 |
|
|
$ |
663,559 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
663,559 |
|
Real estate securities, available-for-sale - pledged as collateral total |
$ |
663,559 |
|
|
$ |
663,559 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
663,559 |
|
|
|
|
|
|
|
|
|
|
|
Derivative assets: |
|
|
|
|
|
|
|
|
|
Interest rate cap, not treated as hedge |
$ |
156 |
|
|
$ |
156 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
156 |
|
TBAs, not treated as hedges |
239 |
|
|
239 |
|
|
— |
|
|
— |
|
|
239 |
|
Derivative assets total |
$ |
395 |
|
|
$ |
395 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
395 |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
TBAs, not treated as hedges |
$ |
2,463 |
|
|
$ |
2,463 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,463 |
|
Derivative liabilities total |
$ |
2,463 |
|
|
$ |
2,463 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,463 |
|
|
| 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, 2016 as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBS |
|
ABS - Non-Agency RMBS |
|
Equity/Other Securities |
|
Total |
Balance at December 31, 2015 |
$ |
39,684 |
|
|
$ |
9,619 |
|
|
$ |
9,731 |
|
|
$ |
59,034 |
|
Transfers |
|
|
|
|
|
|
|
Transfers into Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
CDO VI deconsolidation |
(37,179 |
) |
|
(6,710 |
) |
|
|
|
|
(43,889 |
) |
Total gains (losses) (A) |
|
|
|
|
|
|
|
|
|
|
|
Included in net income (B) |
(110 |
) |
|
— |
|
|
10,669 |
|
|
10,559 |
|
Included in other comprehensive income (loss) |
(658 |
) |
|
499 |
|
|
(9,731 |
) |
|
(9,890 |
) |
Amortization included in interest income |
879 |
|
|
234 |
|
|
— |
|
|
1,113 |
|
Purchases, sales and repayments |
|
|
|
|
|
|
|
|
|
|
|
Purchases |
— |
|
|
— |
|
|
— |
|
|
— |
|
Proceeds from sales |
— |
|
|
— |
|
|
(10,669 |
) |
|
(10,669 |
) |
Proceeds from repayments |
(2,616 |
) |
|
(212 |
) |
|
— |
|
|
(2,828 |
) |
Balance at September 30, 2016 |
$ |
— |
|
|
$ |
3,430 |
|
|
$ |
— |
|
|
$ |
3,430 |
|
|
|
(A) |
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 dates. |
|
|
(B) |
These gains (losses) are recorded in the following line items in the Consolidated Statements of Operations: |
|
|
|
|
|
|
Nine Months Ended September 30, 2016 |
Gain (loss) on settlement of investments, net |
$ |
10,669 |
|
OTTI |
(110 |
) |
Total |
$ |
10,559 |
|
|
| Schedule of fair value for real estate related and other loans held-for-sale |
The following table summarizes certain information for real estate related and other loans as of September 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant Input |
|
|
|
|
|
|
Range |
|
Weighted Average |
Loan Type |
|
Carrying Value |
|
Fair Value |
|
Discount Rate |
|
Loss Severity |
|
Discount Rate |
|
Loss Severity |
Corporate Loans |
|
52,874 |
|
|
58,406 |
|
|
0.0%-22.5% |
|
0%-100% |
|
22.5 |
% |
|
39.0 |
% |
Total Real Estate Related and Other Loans Held-for-Sale, Net (A) |
|
$ |
52,874 |
|
|
$ |
58,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(A) |
Excludes $17.8 million face amount of mezzanine loans which have a zero carrying value.
|
|