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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

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, 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
Re-measurement of fair value						600
Balance at December 31, 2023						23,696
Re-measurement of fair value						(2,624)
Balance at March 31, 2024						21,072
Re-measurement of fair value						128
Balance at June 30, 2024						$	21,200

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, 2024:
																					Assets
Derivative assets:
Interest rate derivatives - caps			$	—					$	16,332					$	—											$	16,332		(1)
Total			$	—					$	16,332					$	—											$	16,332
Liabilities
Embedded debt derivative			$	—					$	—					$	(21,200)											$	(21,200)		(2)
Net			$	—					$	16,332					$	(21,200)											$	(4,868)
December 31, 2023:
Assets
Derivative assets:
Interest rate derivatives - caps			$	—					$	13,696					$	—											$	13,696		(1)
Total			$	—					$	13,696					$	—											$	13,696
Liabilities
Embedded debt derivative			$	—					$	—					$	(23,696)											$	(23,696)		(2)
Net			$	—					$	13,696					$	(23,696)											$	(10,000)

____________________________________

(1)    Reported 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,
			2024						2023
Assets
Derivative assets:
Interest rate derivatives - caps			$	1,485					$	10,621
Total			$	1,485					$	10,621
Liabilities
Derivative liabilities:
Embedded debt derivative			$	(128)					$	1,962
Net			$	1,357					$	12,583
Total combined
Interest rate derivatives - caps			$	(5,873)					$	(1,345)
Embedded debt derivative			(128)						1,962
Unrealized gain (loss) on derivatives			(6,001)			(1)			617			(1)
Realized gain (loss) on interest rate caps			7,358			(1) (2)			11,966			(1) (2)
Net			$	1,357					$	12,583

____________________________________

(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,
			2024						2023
Assets
Derivative assets:
Interest rate derivatives - caps			$	3,622					$	6,141
Total			$	3,622					$	6,141
Liabilities
Derivative liabilities:
Embedded debt derivative			$	2,496					$	1,027
Net			$	6,118					$	7,168
Total combined
Interest rate derivatives - caps			$	(12,450)					$	(15,352)
Embedded debt derivative			2,496						1,027
Unrealized gain (loss) on derivatives			(9,954)			(1)			(14,325)			(1)
Realized gain (loss) on interest rate caps			16,072			(1) (2)			21,493			(1) (2)
Net			$	6,118					$	7,168

____________________________________

(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.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 102
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-102

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- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 3
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-3

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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- Definition

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/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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