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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 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 |
Re-measurement of fair value |  | 436 |
Balance at September 30, 2023 |  | $ | 23,096 |
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, 2023: |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | — |  |  | $ | 25,493 |  |  | $ | — |  |  |  |  | $ | 25,493 |  | (1)
Total | $ | — |  |  | $ | 25,493 |  |  | $ | — |  |  |  |  | $ | 25,493 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Embedded debt derivative | $ | — |  |  | $ | — |  |  | $ | (23,096) |  |  |  |  | $ | (23,096) |  | (2)
Net | $ | — |  |  | $ | 25,493 |  |  | $ | (23,096) |  |  |  |  | $ | 2,397 |  |
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 September 30, |  |  |  |
| 2023 |  | 2022 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | (2,242) |  |  | $ | 9,055 |  | (3) |  |  |  |  |  |  |
Total | $ | (2,242) |  |  | $ | 9,055 |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |
Embedded debt derivative | $ | (436) |  |  | $ | 719 |  |  |  |  |  |  |  |  |
Net | $ | (2,678) |  |  | $ | 9,774 |  |  |  |  |  |  |  |  |
Total combined |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | (12,567) |  |  | $ | 9,055 |  |  |  |  |  |  |  |  |
Embedded debt derivative | (436) |  |  | 719 |  |  |  |  |  |  |  |  |
Unrealized gain (loss) on derivatives | (13,003) |  | (1) | 9,774 |  | (1) |  |  |  |  |  |  |
Realized gain (loss) on interest rate caps | 10,325 |  | (1) (2) | — |  |  |  |  |  |  |  |  |
Net | $ | (2,678) |  |  | $ | 9,774 |  |  |  |  |  |  |  |  |
____________________________________ (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. (3) Amount excludes income of $133,000 associated with payments received from counterparties on interest rate caps, which is included in other income (expense) in our consolidated statements of operations.
| Gain (Loss) Recognized in Income |  |  |  |  |  |  |  |
| Nine Months Ended September 30, |  |  |  |  |  |  |  |
| 2023 |  | 2022 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | 3,899 |  |  | $ | 14,431 |  | (3) |  |  |  |  |  |  |
Total | $ | 3,899 |  |  | $ | 14,431 |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |
Embedded debt derivative | $ | 591 |  |  | $ | 4,628 |  |  |  |  |  |  |  |  |
Net | $ | 4,490 |  |  | $ | 19,059 |  |  |  |  |  |  |  |  |
Total combined |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | (26,891) |  |  | $ | 14,431 |  |  |  |  |  |  |  |  |
Embedded debt derivative | 591 |  |  | 4,628 |  |  |  |  |  |  |  |  |
Unrealized gain (loss) on derivatives | (26,300) |  | (1) | 19,059 |  | (1) |  |  |  |  |  |  |
Realized gain (loss) on interest rate caps | 30,790 |  | (1) (2) | — |  |  |  |  |  |  |  |  |
Net | $ | 4,490 |  |  | $ | 19,059 |  |  |  |  |  |  |  |  |
____________________________________ (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. (3) Amount excludes income of $133,000 associated with payments received from counterparties on interest rate caps, which is included in other income (expense) in our consolidated statements of operations.

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