Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present 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)		Total
March 31, 2016
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	4,137	$	4,137	⁽¹⁾
Interest rate derivatives - caps	—		16		16		⁽¹⁾
Options on futures contracts	251		—		251		⁽¹⁾
	251		4,153		4,404
Non-derivative assets:
Investment in Ashford Inc.	8,884		—		8,884
Total	$	9,135	$	4,153	$	13,288



	Quoted Market Prices (Level 1)		Significant Other Observable Inputs (Level 2)		Total
December 31, 2015
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	578	$	578	⁽¹⁾
Interest rate derivatives - caps	—		58		58		⁽¹⁾
Options on futures contracts	117		—		117		⁽¹⁾
	117		636		753
Non-derivative assets:
Investment in Ashford Inc.	10,377		—		10,377
Total	$	10,494	$	636	$	11,130

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⁽¹⁾	Reported as “derivative assets” in the condensed 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 the condensed consolidated statements of operations (in thousands):



	Gain (Loss) Recognized in Income
	Three Months Ended March 31,
	2016				2015
Assets
Derivative assets:
Interest rate derivatives - floors	$	3,560			$	—
Interest rate derivatives - caps	(47		)		(32		)
Equity put options	—				(629		)
Equity call options	—				54
Options on futures contracts	20				—

Non-derivative assets:
Investment in Ashford Inc.	(1,493		)		—
Equity securities	—				1,388
U.S. treasury securities	—				150
Total	2,040				931
Liabilities
Derivative liabilities:
Short equity put options	—				307
Short equity call options	—				47
Net	$	2,040			$	1,285
Total combined
Interest rate derivatives - floors	$	3,560		⁽¹⁾	$	—		⁽¹⁾
Interest rate derivatives - caps	(47		)		(32		)
Options on futures contracts	20				—
Total derivatives	3,533				(32		)
Unrealized loss on investment in Ashford Inc.	(1,493		)		—
Unrealized gain on marketable securities	—				1,323
Realized loss on marketable securities	—			⁽²⁾	(6		)	⁽²⁾
Net	$	2,040			$	1,285

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


⁽²⁾	Reported as “other income (expense)” in the condensed consolidated statements of operations.