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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

Summary of Derivative Liabilities Measured at Fair Value

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

						Fair Value
Balance at December 31, 2021						$	27,906
Re-measurement of fair value						(932)
Balance at March 31, 2022						26,974
Re-measurement of fair value						(2,977)
Balance at June 30, 2022						23,997
Re-measurement of fair value						(719)
Balance at September 30, 2022						23,278
Re-measurement of fair value						409
Balance at December 31, 2022						23,687
Re-measurement of fair value						934
Balance at March 31, 2023						24,621
Re-measurement of fair value						(1,961)
Balance at June 30, 2023						$	22,660

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
																					June 30, 2023:
																					Assets
Derivative assets:
Interest rate derivatives - caps			$	—					$	36,532					$	—											$	36,532		(1)
Total			$	—					$	36,532					$	—											$	36,532
Liabilities
Embedded debt derivative			$	—					$	—					$	(22,660)											$	(22,660)		(2)
Net			$	—					$	36,532					$	(22,660)											$	13,872
December 31, 2022:
Assets
Derivative assets:
Interest rate derivatives - caps			$	—					$	47,182					$	—											$	47,182		(1)
Total			$	—					$	47,182					$	—											$	47,182
Liabilities
Embedded debt derivative			$	—					$	—					$	(23,687)											$	(23,687)		(2)
Net			$	—					$	47,182					$	(23,687)											$	23,495

____________________________________

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

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

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 June 30,
			2023						2022
Assets
Derivative assets:
Interest rate derivatives - caps			$	10,621					$	3,097
Total			$	10,621					$	3,097
Liabilities
Derivative liabilities:
Embedded debt derivative			$	1,962					$	2,977
Net			$	12,583					$	6,074
Total combined
Interest rate derivatives - caps			$	(1,345)					$	3,097
Embedded debt derivative			1,962						2,977
Unrealized gain (loss) on derivatives			617			(1)			6,074			(1)
Realized gain (loss) on interest rate caps			11,966			(1) (2)			—
Net			$	12,583					$	6,074

____________________________________

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

(2)    Represents settled and unsettled payments from counterparties on interest rate caps.

			Gain (Loss) Recognized in Income
			Six Months Ended June 30,
			2023						2022
Assets
Derivative assets:
Interest rate derivatives - caps			$	6,141					$	5,376
Total			$	6,141					$	5,376
Liabilities
Derivative liabilities:
Embedded debt derivative			$	1,027					$	3,909
Net			$	7,168					$	9,285
Total combined
Interest rate derivatives - caps			$	(15,352)					$	5,376
Embedded debt derivative			1,027						3,909
Unrealized gain (loss) on derivatives			(14,325)			(1)			9,285			(1)
Realized gain (loss) on interest rate caps			21,493			(1) (2)			—
Net			$	7,168					$	9,285

____________________________________

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

(2)    Represents settled and unsettled payments from counterparties on interest rate caps.

X

- 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
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
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