XML 44 R32.htm IDEA: XBRL DOCUMENT
v3.8.0.1

Fair Value Measurements (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2017
Fair Value Disclosures [Abstract] |
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) |  | Significant Unobservable Inputs (Level 3) |  | Counterparty and Cash Collateral Netting(1) |  | Total |
September 30, 2017 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - floors | $ | — |  |  | $ | 130 |  |  | $ | — |  |  | $ | 47 |  |  | $ | 177 |  |
Interest rate derivatives - caps | — |  |  | 6 |  |  | — |  |  | — |  |  | 6 |  |
Credit default swaps | — |  |  | 512 |  |  | — |  |  | 63 |  |  | 575 |  |
| — |  |  | 648 |  |  | — |  |  | 110 |  |  | 758 |  | (2)
Non-derivative assets: |  |  |  |  |  |  |  |  |  |
Investment in Ashford Inc. | 11,810 |  |  | — |  |  | — |  |  | — |  |  | 11,810 |  |
Total | $ | 11,810 |  |  | $ | 648 |  |  | $ | — |  |  | $ | 110 |  |  | $ | 12,568 |  |
| Quoted Market Prices (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Counterparty and Cash Collateral Netting(1) |  | Total |
December 31, 2016 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - floors | $ | — |  |  | $ | 1,091 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,091 |  |
Options on futures contracts | 58 |  |  | — |  |  | — |  |  | — |  |  | 58 |  |
| 58 |  |  | 1,091 |  |  | — |  |  | — |  |  | 1,149 |  | (1)
Non-derivative assets: |  |  |  |  |  |  |  |  |  |
Investment in Ashford Inc. | 8,407 |  |  | — |  |  | — |  |  | — |  |  | 8,407 |  |
Total | $ | 8,465 |  |  | $ | 1,091 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,556 |  |
__________________
(1) | Represents net cash collateral posted between us and our counterparties.
(2) | 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 September 30, |  | Nine Months Ended September 30, |
|  | 2017 |  | 2016 |  | 2017 |  | 2016 |
Assets |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |
Interest rate derivatives - floors |  | $ | (132 | ) |  | $ | (3,911 | ) |  | $ | (1,026 | ) |  | $ | 2,336 |  |
Interest rate derivatives - caps |  | (24 | ) |  | (2 | ) |  | (341 | ) |  | (62 | ) |
Credit default swaps (1) |  | (375 | ) |  | — |  |  | (375 | ) |  | — |  |
Options on futures contracts |  | — |  |  | (77 | ) |  | (58 | ) |  | (134 | ) |
Total derivative assets |  | $ | (531 | ) |  | $ | (3,990 | ) |  | $ | (1,800 | ) |  | $ | 2,140 |  |
Non-derivative assets: |  |  |  |  |  |  |  |  |
Investment in Ashford Inc. |  | 1,875 |  |  | (458 | ) |  | 3,403 |  |  | (1,091 | ) |
Total |  | $ | 1,344 |  |  | $ | (4,448 | ) |  | $ | 1,603 |  |  | $ | 1,049 |  |
Total combined |  |  |  |  |  |  |  |  |
Interest rate derivatives - floors |  | $ | (132 | ) |  | $ | (3,911 | ) |  | $ | (1,026 | ) |  | $ | 2,336 |  |
Interest rate derivatives - caps |  | (24 | ) |  | (2 | ) |  | (341 | ) |  | (62 | ) |
Credit default swaps |  | (375 | ) |  | — |  |  | (375 | ) |  | — |  |
Options on futures contracts |  | — |  |  | 1 |  |  | 213 |  |  | (56 | ) |
Unrealized gain (loss) on derivatives |  | (531 | ) |  | (3,912 | ) |  | (1,529 | ) |  | 2,218 |  |
Realized gain (loss) on options on futures contracts |  | — |  |  | (78 | ) | (2) | (271 | ) | (2) | (78 | ) | (2)
Unrealized gain (loss) on investment in Ashford Inc. |  | 1,875 |  |  | (458 | ) |  | 3,403 |  |  | (1,091 | ) |
Net |  | $ | 1,344 |  |  | $ | (4,448 | ) |  | $ | 1,603 |  |  | $ | 1,049 |  |
_______________
(1) | Excludes costs of $22 associated with credit default swaps for both the three and nine months ended September 30, 2017 included in “other income (expense)” in the condensed consolidated statements of operations.
(2) | Included in “other income (expense)” in the condensed consolidated statements of operations.

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/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisGainLossIncludedInEarningsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration