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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Summary of Derivative Liabilities Measured at Fair Value

The following table includes a summary of the derivative liabilities measured at fair value using significant unobservable (Level 3) inputs (in thousands):

						Fair Value
Balance at January 1, 2021						$	—
Additions						43,680
Re-measurement of fair value						(1,279)
Balance at March 31, 2021						$	42,401
Re-measurement of fair value						2,676
Balance at June 30, 2021						$	45,077
Re-measurement of fair value						(6,125)
Balance at September 30, 2021						$	38,952

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents our assets and liabilities measured at fair value on a recurring basis aggregated by the level within which measurements fall in the fair value hierarchy (in thousands):

			Quoted Market Prices (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)												Total
																					September 30, 2021:
																					Assets
Derivative assets:
Interest rate derivatives - floors			$	—					$	51					$	—											$	51		(1)
Interest rate derivatives - caps			—						20						—												20			(1)
Total			$	—					$	71					$	—											$	71
Liabilities
Embedded debt derivative			—						—						(38,952)												(38,952)			(2)
Net			$	—					$	71					$	(38,952)											$	(38,881)
December 31, 2020:
Assets
Derivative assets:
Interest rate derivatives - floors			$	—					$	263					$	—											$	263		(1)
Total			$	—					$	263					$	—											$	263

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(1)    Reported net as “derivative assets” in our consolidated balance sheets.

(2)    Reported in “indebtedness, net” in our consolidated balance sheet.

Effect of Fair Value Measured Assets and Liabilities on Consolidated Statements of Operations

The following table summarizes the effect of fair value measured assets and liabilities on our consolidated statements of operations (in thousands):

			Gain (Loss) Recognized in Income
			Three Months Ended September 30,
			2021						2020
Assets
Derivative assets:
Interest rate derivatives - floors			$	(72)					$	(95)
Interest rate derivatives - caps			(24)						(59)
Credit default swaps			—						323			(4)
			(96)						169
Non-derivative assets:
Equity			—						(724)
Total			(96)						(555)
Liabilities
Derivative liabilities:
Embedded debt derivative			6,125						—
Net			$	6,029					$	(555)
Total combined
Interest rate derivatives - floors			$	(72)					$	6,185
Interest rate derivatives - caps			(24)						(59)
Credit default swaps			—						323
Embedded debt derivative			6,125						—
Unrealized gain (loss) on derivatives			6,029			(1)			6,449			(1)
Realized gain (loss) on interest rate floors			—						(6,280)			(2)
Unrealized gain (loss) on marketable securities			—						(758)			(3)
Realized gain (loss) on marketable securities			—						34			(2)
Net			$	6,029					$	(555)

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(1)    Reported as “unrealized gain (loss) on derivatives” in our consolidated statements of operations.

(2)    Included in “other income (expense)” in our consolidated statements of operations.

(3)    Reported as “unrealized gain (loss) on marketable securities” in our consolidated statements of operations.

(4)    Excludes costs of $271 for the three months ended September 30, 2020 included in “other income (expense)” associated with credit default swaps.

			Gain (Loss) Recognized in Income
			Nine Months Ended September 30,
			2021						2020
Assets
Derivative assets:
Interest rate derivatives - floors			$	(462)					$	668
Interest rate derivatives - caps			(554)						(129)
Credit default swaps			—						1,019			(4)
			(1,016)						1,558
Non-derivative assets:
Equity			—						386
Total			(1,016)						1,944
Liabilities
Derivative liabilities:
Embedded debt derivative			4,728						—
Net			$	3,712					$	1,944
Total combined
Interest rate derivatives - floors			$	(462)					$	10,173
Interest rate derivatives - caps			(554)						(129)
Credit default swaps			—						1,019
Embedded debt derivative			4,728						—
Unrealized gain (loss) on derivatives			3,712			(1)			11,063			(1)
Realized gain (loss) on options on interest rate floors			—						(9,505)			(2)
Unrealized gain (loss) on marketable securities			—						(1,756)			(3)
Realized gain (loss) on marketable securities			—						2,142			(2)
Net			$	3,712					$	1,944

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(1)    Reported as “unrealized gain (loss) on derivatives” in our consolidated statements of operations.

(2)    Included in “other income (expense)” in our consolidated statements of operations.

(3)    Reported as “unrealized gain (loss) on marketable securities” in our consolidated statements of operations.

(4)    Excludes costs of $881 for the nine months ended September 30, 2020, included in “other income (expense)” associated with credit default swaps.

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- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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