Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

v3.3.0.814
DERIVATIVES
 9 Months Ended
Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
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 September 30, 2015 and December 31, 2014:

 
 
 
Fair Value
 
 
 
September 30, 2015
 
December 31, 2014
 
Balance Sheet Location
 
 
 
 
Derivative assets
 
 
 
 
 
TBAs, not designated as hedges
Receivables and other assets
 
$
3,712

 
$
—

 
 
 
$
3,712

 
$
—

 
 
 
 
 
 
Derivative liabilities
 
 
 
 
 
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
 
6,124

 
2,031

 
 
 
$
6,124

 
$
4,328



The following table summarizes gains (losses) recorded in relation to derivatives:
 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Income Statement Location
 
2015
 
2014
 
2015
 
2014
Cash flow hedges
 
 
 
 
 
 
 
 
 
Gain (loss) on the ineffective portion
Other income (loss)
 
$
—

 
$
(158
)
 
$
—

 
$
101

Loss immediately recognized at de-designation
Other income (loss)
 
—

 
(34
)
 
—

 
(34
)
Loss recognized on termination of hedge
Gain (loss) on settlement of investments
 
—

 
—

 
(612
)
 
—

Net deferred hedge gain reclassified from AOCI into earnings
Interest expense
 
20

 
16

 
58

 
42

Amount of loss reclassified from AOCI into income (effective portion)
Interest expense
 
—

 
(1,024
)
 
(1,363
)
 
(3,481
)
Amount of unrealized gain (loss) recognized in OCI on derivatives (effective portion)
N/A
 
—

 
6

 
(60
)
 
(148
)
 
 
 
 
 
 
 
 
 
 
Non-hedge derivatives
 
 
 
 
 
 
 
 
 
Gain recognized related to interest rate swaps
Other income (loss)
 
$
—

 
$
1,762

 
$
292

 
$
5,866

Gain recognized related to linked transactions
Other income (loss)
 
—

 
—

 
—

 
12,499

Loss recognized related to linked transactions
Interest expense
 
—

 
—

 
—

 
(211
)
Loss recognized related to TBAs
Other income (loss)
 
(382
)
 
—

 
(381
)
 
—

Loss on settlement of TBAs
Gain (loss) on settlement of investments, net
 
(10,771
)
 
—

 
(12,714
)
 
—



The following table presents additional information about cash flow hedge transactions:

 
September 30, 2015
 
December 31, 2014
Cash flow hedges
 
 
 
Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months
$
40

 
$
78

Expected reclassification of current hedges from AOCI into earnings over the next 12 months
—

 
(1,730
)