FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
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6 Months Ended |
Jun. 30, 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 June 30, 2017:
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Carrying
Value |
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Estimated
Fair Value |
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Fair Value Method (A) |
Assets |
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Real estate securities, available-for-sale |
$ |
2,114 |
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$ |
2,114 |
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Pricing models |
Real estate securities, available-for-sale - pledged as collateral |
319,184 |
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|
319,184 |
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Pricing services, broker/counterparty quotations |
Real estate related and other loans, held-for-sale, net |
62,708 |
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|
68,240 |
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Pricing models |
Residential mortgage loans, held-for-sale, net (B) |
95 |
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|
95 |
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Broker/counterparty quotations, pricing models |
Cash and cash equivalents |
118,030 |
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118,030 |
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Restricted cash |
5,338 |
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5,338 |
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Non-hedge derivative assets (C) |
1,970 |
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1,970 |
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Counterparty quotations, pricing services |
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Liabilities |
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Repurchase agreements |
307,689 |
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307,689 |
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Counterparty quotations, market comparables |
Credit facilities - Traditional Golf term loan |
99,288 |
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102,000 |
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Pricing models |
Junior subordinated notes payable |
51,212 |
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25,927 |
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Pricing models |
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(A) |
Methods are listed in order of priority. In the case of real estate securities and residential mortgage 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. |
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(B) |
Residential mortgage loans held-for-sale, net is recorded in receivables and other assets on the Consolidated Balance Sheets. |
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(C) |
Represents derivative assets, including an interest rate cap and TBA forward contracts (Note 9). |
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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 June 30, 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 |
$ |
2,114 |
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$ |
— |
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$ |
— |
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$ |
2,114 |
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$ |
2,114 |
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Real estate securities, available-for-sale total |
$ |
2,114 |
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$ |
— |
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$ |
— |
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$ |
2,114 |
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$ |
2,114 |
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Real estate securities, available-for-sale - pledged as collateral: |
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FNMA/FHLMC |
$ |
319,184 |
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$ |
319,184 |
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$ |
— |
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$ |
— |
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$ |
319,184 |
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Real estate securities, available-for-sale - pledged as collateral total |
$ |
319,184 |
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$ |
319,184 |
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$ |
— |
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$ |
— |
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$ |
319,184 |
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Derivative assets: |
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Interest rate cap, not treated as hedge |
$ |
200 |
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$ |
200 |
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$ |
— |
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$ |
— |
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$ |
200 |
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TBAs, not treated as hedges |
$ |
1,770 |
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$ |
1,770 |
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$ |
— |
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$ |
— |
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$ |
1,770 |
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Derivative assets total |
$ |
1,970 |
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$ |
1,970 |
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$ |
— |
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$ |
— |
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$ |
1,970 |
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| Schedule of quantitative information regarding 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 June 30, 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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$ |
856 |
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$ |
2,114 |
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12.0 |
% |
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4.1 |
% |
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3.7 |
% |
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65.5 |
% |
Total |
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$ |
856 |
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$ |
2,114 |
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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 during the six months ended June 30, 2017 as follows:
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ABS - Non-Agency RMBS |
Balance at December 31, 2016 |
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$ |
1,950 |
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Total gains (losses) (A) |
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Included in other comprehensive income (loss) |
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90 |
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Amortization included in interest income |
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95 |
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Purchases, sales and repayments (A) |
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Proceeds |
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(21 |
) |
Balance at June 30, 2017 |
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$ |
2,114 |
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(A) |
None of the gains (losses) recorded in earnings during the period are 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 six months ended June 30, 2017. There were no transfers into or out of Level 3 during the six months ended June 30, 2017.
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| Schedule of fair value for real estate related and other loans |
The following table summarizes certain information for real estate related and other loans as of June 30, 2017:
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Significant Input |
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Range |
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Weighted Average |
Loan Type |
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Carrying Value |
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Fair Value |
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Discount Rate |
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Loss Severity |
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Discount Rate |
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Loss Severity |
Corporate Loans |
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62,708 |
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68,240 |
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0.0%-22.5% |
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0.0%-100.0% |
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22.5 |
% |
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46.6 |
% |
Total Real Estate Related and Other Loans Held-for-Sale, Net (A) |
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$ |
62,708 |
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$ |
68,240 |
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(A) |
Excludes $17.8 million face amount of mezzanine loans which have a zero carrying value.
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| Liabilities for which fair value is only 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 Not Measured At Fair Value for Which Fair Value Is Disclosed |
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Fair Value Hierarchy |
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Valuation Techniques and Significant Inputs |
Repurchase agreements |
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Level 2 |
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Valuation technique is based on market comparables. Significant inputs include: |
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l |
Amount and timing of expected future cash flows |
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l |
Interest rates |
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l |
Collateral funding spreads |
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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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l |
Amount and timing of expected future cash flows |
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l |
Interest rates |
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l |
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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l |
Amount and timing of expected future cash flows |
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l |
Interest rates |
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l |
Market yields and the credit spread of the Company |
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